UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

                            Greenwich, CT 06830

                        

(Address of principal executive offices) (Zip code)

H.J. Willcox, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

                        Greenwich, CT 06830                            

(Name and Address of Agent for Service)

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

Date of fiscal year end:  December 31

Date of reporting period:  January 1, 2019 to December 31, 2019

Item 1. Reports to Shareholders.

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

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report.

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Annual

Report

December

31,

2019

AQR

Alternative

Risk

Premia

Fund

AQR

Diversified

Arbitrage

Fund

AQR

Equity

Market

Neutral

Fund

AQR

Global

Macro

Fund

AQR

Long-Short

Equity

Fund

AQR

Multi-Asset

Fund

AQR

Multi-Strategy

Alternative

Fund

AQR

Risk-Balanced

Commodities

Strategy

Fund

AQR

Risk

Parity

II

HV

Fund

AQR

Risk

Parity

II

MV

Fund

AQR

Style

Premia

Alternative

Fund

AQR

Style

Premia

Alternative

LV

Fund

AQR

Volatility

Risk

Premium

Fund

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Alternative

Risk

Premia

Fund

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

2

AQR

Diversified

Arbitrage

Fund

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

4

AQR

Equity

Market

Neutral

Fund

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

8

AQR

Global

Macro

Fund

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

10

AQR

Long-Short

Equity

Fund

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

13

AQR

Multi-Asset

Fund

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

16

AQR

Multi-Strategy

Alternative

Fund

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

18

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

20

AQR

Risk

Parity

II

HV

Fund

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

22

AQR

Risk

Parity

II

MV

Fund

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

24

AQR

Style

Premia

Alternative

Fund

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

26

AQR

Style

Premia

Alternative

LV

Fund

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

28

AQR

Volatility

Risk

Premium

Fund

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

30

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

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

33

AQR

Diversified

Arbitrage

Fund

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

50

AQR

Equity

Market

Neutral

Fund

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

75

AQR

Global

Macro

Fund

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

89

AQR

Long-Short

Equity

Fund

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

101

AQR

Multi-Asset

Fund

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

126

AQR

Multi-Strategy

Alternative

Fund

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

141

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

182

AQR

Risk

Parity

II

HV

Fund

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

189

AQR

Risk

Parity

II

MV

Fund

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

194

AQR

Style

Premia

Alternative

Fund

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

201

AQR

Style

Premia

Alternative

LV

Fund

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

228

AQR

Volatility

Risk

Premium

Fund

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

251

Financial

Statements

and

Notes

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

259

Report

of

Independent

Registered

Public

Accounting

Firm

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

356

Other

Federal

Tax

Information

(Unaudited)

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

357

Fund

Expense

Examples

(Unaudited)

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

358

Trustees

and

Officers

(Unaudited)

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

361

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

2

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Alternative

Risk

Premia

Fund

(the

“Fund”)

returned

-2.97%

(Class

I

shares)

in

2019.

For

the

year

ended

December

31,

2019,

the

Fund

realized

+6.4%

annualized

daily

volatility

and

a

+0.2

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index

SM

,

which

is

the

Fund’s

benchmark

returned

+2.28%

over

that

same

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

four

different

asset

groups,

including

through

the

use

of

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds,

and

currencies.

The

Fund

employs

market-neutral

and

long-short

strategies

across

these

asset

groups

based

on

six

investment

styles:

Value

–

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

–

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

–

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

–

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Trend

–

The

tendency

for

an

asset’s

recent

performance

to

continue

in

the

future

Volatility

–

The

tendency

for

options

to

be

richly

priced

From

an

asset

group

perspective,

the

Fund’s

losses

were

concentrated

in

Stocks

and

Industries

(-8.6%),

with

Fixed

Income

(+3.4%),

Currencies

(+1.3%),

and

Equity

Indices

(+0.9%)

partially

offsetting

with

gains.

Value

(-9.3%)

and

Momentum

(-3.1%)

detracted

at

the

theme

level,

primarily

within

Stocks

and

Industries,

while

Defensive

(+3.6%),

Carry

(+3.0%)

and

Trend

(+1.4%)

contributed

positively

to

performance.

Volatility

(-0.1%)

was

close

to

flat

over

the

year.

Negative

performance

in

Stocks

and

Industries

was

driven

by

the

industry-neutral

stock

selection

strategy,

with

industry

and

country-industry

selection

also

detracting

to

a

lesser

extent.

Strong

performance

in

Fixed

Income

helped

offset

some

of

these

losses,

with

Trend

and

Carry

leading.

Broad

directional

long

fixed

income

positioning

in

Trend

was

the

primary

driver

of

positive

performance.

Currencies

also

added

over

the

period,

driven

by

Carry

and

Value.

Relative

value

currencies

positioning

drove

gains,

with

a

long

in

the

Canadian

dollar

and

a

short

Swiss

franc

as

the

largest

contributors.

Equity

Indices

were

also

positive

over

the

year,

with

gains

in

Momentum

and

Defensive

more

than

offsetting

negative

performance

from

Value.

Long

positioning

in

European

equities

and

short

positioning

in

Japanese

equities

contributed

the

most.

Ronen

Israel

Principal

Ari

Levine

Principal

Nathan

Sosner

Principal

Yao

Hua

Ooi

Principal

3

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

3.44%,

3.68%

and

3.35%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

09/19/2017

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

1

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRPIX

-2.97%*

-4.59%

9/19/2017

Fund

-

Class

N:

QRPNX

-3.24%

-4.80%

9/19/2017

Fund

-

Class

R6:

QRPRX

-2.93%

-4.48%

9/19/2017

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.96%

9/19/2017

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

4

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Diversified

Arbitrage

Fund

(the

“Fund”)

invests

in

arbitrage

strategies,

including

merger

arbitrage,

convertible

arbitrage,

and

event-driven

strategies.

The

investment

process

seeks

to

capture

a

liquidity

premium

around

corporate

control

and

capital

raising

events,

while

maintaining

a

highly

diversified

portfolio

of

corporate

securities.

Over

the

2019

calendar

year,

the

Fund

returned

+8.53%,

with

positive

contributions

from

all

three

major

strategy

buckets.

The

event-driven

strategy

led

the

way

(+4.5%)

followed

by

convertible

arbitrage

(+2.3%)

and

merger

arbitrage

(+1.7%).

A

discussion

of

specific

performance

drivers

for

each

of

the

three

core

strategies

is

included

below.

Since

its

inception

on

January

15,

2009,

the

Fund’s

correlation

with

overall

equity

and

credit

markets

remains

low.

Based

on

monthly

returns

since

inception

through

December

31,

2019,

the

Fund’s

equity

market

beta

(relative

to

the

S&P

500

Total

Return

Index®)

is

less

than

0.1,

its

annualized

volatility

is

2.8%

and

its

Sharpe

ratio

is

0.9.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Fund

Description

Unlike

the

textbook

definition

of

arbitrage

that

requires

no

capital

and

where

identical

securities

can

simultaneously

be

bought

and

sold

for

different

prices,

corporate

arbitrage

investments

require

significant

capital

and

involve

the

purchase

and

sale

of

related

but

not

identical

securities

at

advantageous

prices.

For

example,

in

merger

arbitrage,

the

target

stock

can

often

be

purchased

for

a

price

that

is

less

than

the

merger

consideration

offered

by

the

acquiring

company.

Arbitrageurs

attempt

to

capture

this

difference

by

buying

the

target

stock,

and

in

the

case

of

a

stock

merger,

short-selling

the

acquirer’s

stock.

Similarly,

in

the

case

of

convertible

arbitrage,

investors

typically

purchase

a

convertible

bond

at

a

price

below

fundamental

value

and

hedge

the

risk

of

the

underlying

equity

call

option

that

is

embedded

in

the

bond

by

short

selling

the

issuer’s

common

stock.

Arbitrageurs

generally

profit

when

the

prices

of

securities

purchased

increase

relative

to

their

fundamental

values.

Like

merger

arbitrage

and

convertible

arbitrage,

the

event-driven

strategies

employed

by

the

Fund

involve

the

purchase

of

securities

around

corporate

events

at

discounts

to

their

fundamental

values.

For

every

investment,

an

attempt

is

made

to

mitigate

the

embedded

systematic

risk

via

hedging.

Where

there

is

no

direct

hedge

for

a

particular

security,

correlated

indirect

hedges

are

employed.

For

example,

systematic

equity

market

risk

is

hedged

by

shorting

S&P

500

futures.

Similarly,

for

example,

credit

and

interest

rate

risks

are

hedged

using

derivative

contracts

(credit

default

swap

indices

and

Treasury

futures).

Although

indirect

hedges

can

effectively

mitigate

systematic

risk

(e.g.

beta)

on

average,

they

expose

the

Fund

to

basis

risk—the

basket

of

securities

purchased

around

corporate

events

does

not

necessarily

move

in

lockstep

with

the

hedging

instruments.

Performance

Attribution

Over

a

long

horizon,

we

expect

arbitrage

returns

to

have

a

low

correlation

to

equity

and

credit

markets

and

exceed

short-term

Treasury

bill

returns

by

3.0%

to

4.0%

on

average.

In

some

years,

as

in

2019,

arbitrage

strategies

will

generate

returns

that

are

greater

than

the

long-run

expected

average.

In

other

years,

as

in

2014

and

2015,

arbitrage

investments

will

fail

to

reach

the

3.0%

-

4.0%

expected

excess

return

range.

Since

its

inception

in

2009,

the

Fund

has

averaged

2.5%

above

short-term

Treasury

bills

1

annually,

slightly

below

expectations

for

the

long-term

horizon.

Albeit

below

expectations,

the

Fund’s

performance

is

not

surprising

given

the

macro-economic

distortions

caused

by

record

low

interest

rates

since

the

financial

crisis.

Record

low

interest

rates

not

only

have

the

intended

effect

of

increasing

asset

and

equity

prices,

but

also

cause

spread

compression

across

arbitrage

strategies,

which

can

reduce

long-term

expected

returns.

Ronen

Israel

Principal

Lars

Nielsen

Principal

Mark

Mitchell,

Ph.D.

Founding

Principal,

CHN

Partners

Todd

Pulvino,

Ph.D.

Founding

Principal,

CNH

Partners

Rocky

Bryant

Principal,

CNH

Partners

5

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Event-Driven

The

event-driven

strategy

contributed

+4.5%

to

the

Fund’s

returns

in

2019,

which

was

the

largest

of

the

three

core

strategy

buckets.

The

Special

Purpose

Acquisition

Companies

(“SPAC”)

sub-strategy

was

the

largest

contributor

(+2.2%),

with

the

Event-Driven

Credit

(+1.1%),

Corporate

Events

and

Specialty

Arbitrage

(+0.9%),

and

Closed

End

Fund

(“CEF”)

(+0.5%)

sub-strategies

also

adding

meaningful

returns.

The

Spin-off

sub-strategy

was

the

sole

detractor

on

the

year

(-0.2%).

The

SPAC

strategy

benefited

from

a

high

percentage

of

successful

de-spacings

amidst

record

issuance

in

2019.

$15

billion

of

new

SPAC

IPOs

were

issued

in

2019

surpassing

the

$13

billion

raised

in

2007

which

took

the

total

outstanding

at

the

end

of

2019

to

$23.5

billion

across

101

deals.

The

Event-

Driven

Credit

sub-strategy

saw

positive

contributions

from

positions

in

Fannie

Mae

and

Freddie

Mac

after

the

Trump

administration

announced

plans

to

end

the

government

control

of

the

two

Government-Sponsored

Enterprises.

In

the

Corporate

Events

and

Specialty

Arbitrage

sub-strategy,

the

Fund’s

legacy

position

in

First

Banks,

Inc.,

which

was

purchased

as

part

of

the

Trouble

Asset

Relief

Program

(“TARP”)

auction,

realized

significant

gains

after

the

company

tendered

for

the

position

in

the

second

quarter.

The

CEF

sub-strategy

saw

widening

in

median

discounts

across

all

CEF

buckets

in

late-December

2018;

municipal

bond

CEFs

went

from

-6.0%

to

-13.5%,

credit

CEFs

went

from

-6.9%

to

-15.6%,

and

equity

CEFs

went

from

-7.2%

to

-13.0%.

This

widening

created

an

attractive

investment

opportunity

and

led

to

gains

in

the

first

quarter

of

2019

(+0.44%)

as

this

dislocation

normalized.

In

Spin-offs,

the

underperformance

by

small

cap

names

in

the

portfolio

relative

to

the

broader

market

resulted

in

losses

from

market

hedges.

Additionally,

there

were

fewer

investment

opportunities

than

there

have

been

in

recent

years

with

only

11

new

investible

situations

in

2019

compared

to

20

in

both

2017

and

2018.

Convertible

Arbitrage

Convertible

arbitrage

contributed

+2.3%

to

the

Fund’s

returns

in

2019.

Performance

was

driven

by

richening

and

positive

carry

of

the

portfolio

which

were

partially

offset

by

two

small

negative

idiosyncratic

events

which

contributed

a

combined

-0.3%

to

the

Fund.

More

than

two

thirds

of

the

traditional

convertible

arbitrage

positions

held

in

the

Fund

during

the

year

contributed

positively

to

performance

within

the

strategy.

The

U.S.

convertible

new-issuance

market

had

its

busiest

year

in

terms

of

dollars

raised

in

over

a

decade.

In

2019

companies

raised

$58

billion

via

convertible

securities

which

is

a

post-crisis

record

and

comes

after

the

market

set

a

post-crisis

record

$51

billion

of

new-

issuance

in

2018.

The

record

new-issuance

in

2019

outpaced

maturities

and

issuer

redemptions

and

resulted

in

the

US

convertible

market

growing

by

roughly

$16

billion.

The

difference

between

the

median

market

price

of

equity-sensitive

convertible

bonds

and

their

theoretical

values

narrowed

throughout

the

year

from

+0.9%

to

+0.5%.

Admittedly,

it

is

unusual

to

see

richening

when

the

new-issue

market

is

active,

but

the

Wall

Street

Journal

recently

put

forth

what

we

view

as

a

plausible

explanation

of

the

richening

market

despite

robust

new-issuance.

They

suggested

that

convertible

bonds

are

drawing

increased

investment

interest

from

recession-worried

fundamental

investors

due

to

their

unique

ability

to

provide

both

equity-like

upside

participation

and

bond-like

downside

protection.

2

The

two

negative

idiosyncratic

events

in

the

Fund’s

portfolio

during

the

year

involved

investments

in

Verastem

Inc.

(“VSTM”)

and

Legacy

Reserves,

Inc.

(“LGCY”).

In

May

VSTM

announced

disappointing

earnings

and

provided

investors

with

a

poor

sales

outlook

for

their

lead

drug.

Following

these

announcements,

the

convertible

bonds

fell

nearly

30

points.

Unfortunately,

the

stock

prices

had

previously

fallen

to

the

point

where

the

delta

hedge

did

not

offset

much

of

the

loss.

In

November

we

entered

into

an

exchange

agreement

with

VSTM

whereby

the

company

retired

the

bonds

held

by

the

Fund

in

exchange

for

a

lesser

quantity

of

new

structurally

senior,

more

equity-sensitive

bonds.

The

exchange

and

subsequent

move

upward

in

the

equity

price

resulted

in

a

gain

but

combined

with

the

fall

in

value

of

the

old

bonds

resulted

in

a

loss

to

the

Fund

of

-0.2%.

The

other

notable

loss

in

the

Fund’s

portfolio

involved

its

position

in

LGCY’s

8.0%

convertible

notes.

During

the

second

quarter

the

Fund

experienced

losses

in

the

position

as

it

became

apparent

that

the

company

was

going

to

file

for

bankruptcy.

The

Fund

exited

its

position

in

the

LGCY

convertibles

shortly

after

the

company’s

bankruptcy

filing

in

mid-June

resulting

in

a

loss

of

-0.1%

to

the

Fund.

Merger

Arbitrage

Merger

arbitrage

contributed

+1.7%

to

the

Fund’s

return

in

2019.

The

strategy

benefited

from

orderly

deal

progression

and

completions

alongside

a

low

failure

rate

(2.3%).

In

2019,

there

were

no

outsized

winners,

with

positive

gains

diversified

throughout

the

portfolio.

Several

large

transactions,

including

Wellcare

Health

Plans

Inc

/

Centene

Corp,

Allergan

PLC

/

AbbVie

Inc,

and

Celgene

Corp

/

Bristol-Myers

Squibb

Company,

collectively

contributed

notable

gains

(+0.3%)

to

the

portfolio

as

they

were

all

large

positions

for

the

Fund

and

tended

to

trade

at

wider

spreads

than

the

median.

Overall,

the

merger

arbitrage

environment

was

conducive

to

positive

returns

in

2019.

The

size

of

the

universe

expanded

from

$205

billion

at

the

end

of

2018

to

$512

billion

at

the

end

of

June

as

there

was

a

surge

in

large

transaction

announcements

in

the

first

and

second

quarter.

As

of

the

end

of

the

year,

the

size

of

the

investible

universe,

$314

billion,

remains

above

the

long-term

average

of

$280

billion.

Additionally,

while

median

annualized

spreads

exhibited

limited

volatility

throughout

2019,

with

the

average

median

annualized

spread

for

2019

at

just

2.9%,

wide

dispersion

around

the

median

continued

to

present

compelling

investment

opportunities

for

the

Fund.

6

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2019

One

notable

laggard

in

the

portfolio

over

2019,

was

the

Sprint

Corp

/T-Mobile

US

Inc

merger,

which

was

initially

announced

in

April

2018.

Despite

key

antitrust

approvals

by

the

Federal

Communications

Commission

(“FCC”)

and

the

Department

of

Justice

(“DOJ”),

the

transaction

faces

an

antitrust

lawsuit

from

a

group

of

states.

The

states’

lawsuit

went

to

trial

in

early-December

2019

and

as

of

the

time

of

this

letter

the

trial

has

concluded,

but

a

decision

by

Judge

Marrero,

of

the

Southern

District

of

New

York,

remains

outstanding.

This

transaction

detracted

-0.5%

from

Fund

performance

in

2019.

Looking

Forward

Overall,

we

are

pleased

with

performance

in

2019.

The

SPAC

strategy

continued

to

drive

positive

performance

in

the

event-driven

strategy

and

had

a

record

year

of

IPOs.

Looking

ahead,

there

isn’t

much

evidence

of

the

SPAC

market

slowing

in

2020.

So

far

this

year

there

are

6

SPAC

registrations

seeking

to

raise

$1

billion

in

aggregate,

which

is

in-line

with

the

start

of

2019.

Across

the

rest

of

the

event-driven

strategies,

we

believe

opportunities

will

continue

to

persist

under

various

market

conditions.

We

are

encouraged

by

the

record

new-issuance

($58

billion)

in

the

domestic

convertible

bond

market

in

2019.

Bank

of

America

Merrill

Lynch

is

projecting

a

very

light

year

for

maturities

and

redemptions

of

$19

billion

in

2020,

as

compared

to

the

trailing

5-year

average

of

$34

billion.

As

a

result,

we

are

optimistic

that

the

convertible

market

will

continue

to

grow.

While

merger

arbitrage

spreads

remain

below

their

long-

term

average,

we

are

cautiously

optimistic

about

the

opportunity

set

in

2020

as

the

size

of

the

universe

is

still

above

the

long-term

average

at

$314

billion

at

year-end.

We

are

cognizant

of

continued

global

trade

tensions

as

well

as

other

geopolitical

tensions

and

are

monitoring

potential

exposure

to

these

within

the

Fund’s

portfolio.

Irrespective

of

where

the

Fund

deploys

capital

in

2020,

we

will

continue

to

hedge

systematic

equity,

credit,

and

interest

rate

market

risks,

with

the

intention

of

delivering

uncorrelated

excess

returns.

3

1

The

ICE

Bank

of

America

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2

Goldfarb,

Sam.

“Investors

Seek

Middle

Ground

in

Convertible

Securities”

The

Wall

Street

Journal

,

September

30,

2019

3

Note

that

the

Fund

uses

various

derivatives

instruments

(e.g.,

futures,

options,

forwards,

and

swaps),

primarily

to

hedge

systematic

risks

including

credit

risk

and

interest

rate

risk. 

While

the

purpose

of

employing

derivatives

instruments

is

to

decrease

the

Fund’s

overall

risk,

hedging

instruments

are

imperfect

tools

and

their

effectiveness

depends

on

the

degree

of

price

correlation

between

the

derivative

instruments

and

the

assets

being

hedged. 

Imperfect

correlation

may

be

caused

by

several

factors,

including

temporary

price

disparities

between

derivative

markets

and

markets

for

the

underlying

assets.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.09%,

2.34%

and

2.00%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

DIVERSIFIED

ARBITRAGE

FUND

1

Year

3

Year

5

Year

10

Year

Date

of

Inception

Fund

-

Class

I:

ADAIX

8.53%

5.51%

3.76%

2.39%

1/15/2009

Fund

-

Class

N:

ADANX

8.32%*

5.27%

3.51%

2.14%

1/15/2009

Fund

-

Class

R6:

QDARX

8.63%*

5.66%

3.88%

na

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.58%

1/15/2009

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

7

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

DIVERSIFIED

ARBITRAGE

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

8

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholders:

The

AQR

Equity

Market

Neutral

Fund

(the

“Fund”)

seeks

to

provide

investors

with

returns

from

potential

gains

of

its

long

and

short

equity

positions.

The

Fund

is

designed

to

be

market-

or

beta-neutral,

meaning

the

Fund

seeks

to

achieve

returns

that

are

not

closely

correlated

with

the

returns

of

the

equity

markets

in

which

the

Fund

invests.

Accordingly,

the

Fund,

on

average,

intends

to

target

a

portfolio

beta

of

zero

over

a

normal

business

cycle.

The

Fund

pursues

its

investment

objective

by

investing

at

least

80%

of

its

net

assets

(including

borrowings

for

investment

purposes)

in

equity

securities

and

equity

related

derivative

instruments.

Since

the

Fund

targets

a

beta

of

zero,

an

appropriate

benchmark

is

U.S.

cash

returns,

which

remain

at

relatively

low

levels.

In

2019,

the

strategy’s

performance

was

disappointing

as

the

Fund’s

Class

I

shares

returned

-11.27%,

net

of

fees.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Strategy

performance

in

2019

was

impacted

by

a

continuation

of

key

market

dynamics

that

began

in

2018,

namely

market

participants’

seeming

preference

for

long-term,

speculative

growth.

Specifically,

stocks

with

high

forecasted

earnings

growth

years

into

the

future

performed

exceptionally

well,

while

stocks

that

recently

realized

improvements

in

earnings

were

penalized.

This

price

behavior

is

in

contrast

with

history,

as

investors

typically

reward

companies

with

improving

fundamentals

and

ignore

analyst

projections

of

future

long-term

growth.

These

dynamics

created

a

difficult

environment

for

value

investing,

which

tends

to

favor

cheaper

companies

with

modest

future

growth

forecasts,

and

negatively

impacted

our

stock

selection

process.

Interestingly,

one

period

when

these

unusual

phenomena

occurred

in

the

past

was

during

the

technology

bubble,

when

investors’

demand

for

growth

stocks

resulted

in

a

large

drawdown

for

value.

Ultimately,

2019

was

only

the

second

calendar

year

since

2001

in

which

cheap

and

improving

stocks

lagged

expensive

and

deteriorating

ones

(i.e.

the

combination

of

Value

and

Momentum

underperformed),

proving

difficult

for

the

Fund.

Geographically,

stocks

in

the

U.S.

detracted

the

most

from

overall

returns,

followed

by

Japan

and

Europe.

At

the

sector

level,

stock

selection

within

Health

Care,

Materials,

and

Industrials

drove

losses.

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Industrials,

while

our

largest

underweight

was

in

Energy.

Going

forward,

we

maintain

conviction

in

our

investment

philosophy,

and

in

the

belief

that

fundamentals

drive

stock

prices.

At

the

same

time,

we

keep

an

open

mind

towards

shifting

market

forces

that

might

impact

our

model’s

ability

to

continue

to

deliver

outperformance.

We

have

researched,

and

continue

to

thoroughly

research,

whether

the

market

environment

has

fundamentally

changed,

or

whether

this

is

a

temporary

period

when

our

process

has

been

out

of

favor.

To

date,

our

research

supports

the

conclusion

that

the

recent

underperformance

of

the

Value-Momentum

combination

reflects

a

temporary

shift

in

market

sentiment,

and

that

markets

will

eventually

reward

companies

with

strong

fundamentals

as

they

have

done

historically.

In

prior

difficult

periods,

we

have

found

that

sticking

with

our

philosophy

was

the

right

decision

and

ultimately

paid

off

as

market

dynamics

reverted.

We

remain

confident

in

our

fundamentally-oriented

philosophy

and

disciplined

systematic

investment

approach.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

9

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.03%,

2.31%

and

1.97%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

EQUITY

MARKET

NEUTRAL

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/7/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

EQUITY

MARKET

NEUTRAL

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMNIX

-11.27%

-6.06%

0.63%

1.71%

10/7/2014

Fund

-

Class

N:

QMNNX

-11.52%

-6.31%

0.36%

1.45%

10/7/2014

Fund

-

Class

R6:

QMNRX

-11.17%

-5.98%

0.70%

1.79%

10/7/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

1.03%

10/7/2014

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

10

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Global

Macro

Fund

(the

“Fund”)

invests

across

a

wide

range

of

asset

classes,

including

fixed

income,

currencies,

commodities,

and

equities

through

the

use

of

derivatives

such

as

futures,

forwards,

and

swaps.

Within

each

asset

class,

the

Fund

takes

both

relative

value

and

directional

positions.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

modestly

over

time

based

on

attractiveness

of

opportunities

within

the

different

asset

classes

that

the

Fund

trades.

The

Fund’s

strategy

trades

predominately

on

trends

in

macroeconomic

fundamentals,

using

a

systematic,

bottom-up

approach

that

integrates

both

quantitative

and

qualitative

trading

signals.

While

the

Strategy

is

long-term

market

neutral,

it

can

take

directional

views

over

the

short

term.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

Our

strategy

invests

across

liquid

markets

on

the

basis

of

macroeconomic

news

and

trends,

an

investment

approach

we

call

macro

momentum.

We

evaluate

both

quantitative

and

qualitative

indicators

across

a

variety

of

dimensions,

from

growth

and

inflation

to

monetary

policy

and

international

trade.

By

integrating

both

quantitative

and

discretionary

indicators

in

a

bottom-up,

risk-controlled

portfolio

construction,

we

capture

the

best

features

of

both

approaches

while

maintaining

the

benefits

of

a

systematic

and

disciplined

process.

In

addition

to

economic

fundamentals,

we

also

consider

other

indicators,

including

measures

of

price

momentum,

value

and

carry.

This

multifactor

approach

provides

a

more

holistic

picture

of

each

asset’s

attractiveness.

Macro

momentum

tends

to

drive

asset

positioning

(long

or

short)

in

our

portfolio,

however,

the

degree

of

agreement

between

economic

fundamentals,

on

the

one

hand,

and

price

momentum,

value

and

carry,

on

the

other,

determines

ultimate

position

sizing.

The

bottom-up

portfolio

construction

–

in

which

we

evaluate

the

attractiveness

of

each

asset

across

a

large

number

of

dimensions

–

allows

us

to

build

a

highly

diversified

portfolio

that

does

not

depend

on

a

few

“best

ideas.”

The

Fund

concluded

2019

with

a

positive

overall

return,

outperforming

its

benchmark.

The

Fund’s

Class

I

shares

returned

+4.90%

versus

a

+2.28%

return

for

its

benchmark,

the

ICE

Bank

of

America

ML

3-Month

T-Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

+4.84%,

fixed

income

contributed

+0.77%,

currencies

added

0.58%,

and

commodities

added

0.34%.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

2019

was

a

challenging

year

for

the

global

economy,

as

growth

slowed

across

a

number

of

countries.

Indeed,

global

GDP

growth

was

likely

weaker

in

2019

than

in

any

year

since

the

2009

recession.

A

number

of

uncertainties

weighed

on

global

growth,

including

the

U.S.-China

trade

dispute,

difficulties

agreeing

on

a

Brexit

plan

in

the

U.K.,

and

episodes

of

political

turmoil

in

several

regions.

Global

trade

flows

decelerated

notably,

manufacturing

activity

stalled,

and

investment

activity

slowed

in

most

major

economies.

Nonetheless,

the

year

featured

strong

performance

for

both

equity

markets

and

fixed

income.

Asset

prices

benefited

as

growth

concerns

and

subdued

inflation

facilitated

a

broad

shift

towards

accommodative

monetary

policy

across

developed

economies.

In

the

U.S.,

the

Federal

Reserve

pivoted

from

rate

hikes

in

2018

toward

multiple

rate

cuts

in

the

second

half

of

2019.

The

European

Central

Bank

cut

rates

deeper

into

negative

territory

and

relaunched

its

asset

purchase

program

to

provide

additional

support.

Risky

assets

further

benefited

over

the

course

of

the

year

as

various

fears

began

to

moderate.

Progress

towards

a

“Phase

one”

trade

deal

between

the

U.S.

and

China

led

to

optimism

that

trade

tensions

would

be

less

of

a

headwind

to

growth

in

2020.

A

general

election

in

the

U.K.

resulted

in

a

Conservative

majority

capable

of

passing

Brexit

legislation,

reducing

concerns

of

a

chaotic

“No

Deal”

exit

from

the

European

Union.

Despite

slower

growth,

U.S.

and

European

labor

markets

remained

healthy,

and

neither

economy

appeared

to

be

falling

into

recession.

Chinese

growth

data

released

late

in

2019

pointed

to

a

potential

improvement

in

manufacturing

activity,

raising

hopes

that

the

global

industrial

downturn

might

be

drawing

to

a

close.

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Michael

Katz

Principal

David

Kupersmith

Principal

Yao

Hua

Ooi

Principal

11

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

AQR

Funds

|

Annual

Report

|

December

2019

The

Fund

was

able

to

navigate

this

environment

successfully,

with

gains

in

all

major

asset

classes

and

in

both

relative

value

and

directional

positions.

Equities

Relative

value

positions

in

developed

equity

indexes

were

profitable

in

2019,

particularly

in

the

second

and

third

quarters.

Performance

benefited

from

long

positions

in

Eurozone

equities

against

shorts

in

Japan

and

Hong

Kong.

Japanese

equities

underperformed

in

the

second

quarter

as

trade

tensions

increased,

while

Hong

Kong

shares

lagged

in

the

third

quarter

as

a

major

protest

movement

weighed

on

growth

and

increased

political

uncertainty.

Directional

long

positions

across

developed

markets

added

to

returns

from

the

second

quarter

onward,

as

supportive

monetary

policy,

low

inflation,

and

a

gradual

reduction

in

uncertainty

boosted

equity

prices.

Fixed

Income

The

Fund

was

profitable

in

fixed

income

relative

value

strategies,

somewhat

offset

by

losses

in

directional

positions.

Short

positions

in

U.K.

10-year

government

bonds

against

other

developed

bond

markets

and

steepener

positions

in

U.K.

interest

rate

swaps

against

flatteners

in

other

countries

both

contributed

to

performance.

U.K.

bonds

underperformed

and

the

local

yield

curve

steepened

relative

to

other

countries

as

the

Bank

of

England

maintained

a

steady

monetary

policy

stance

and

as

political

developments

later

in

the

year

reduced

uncertainty

over

Brexit.

Directional

short

positions

in

U.S.

10-year

Treasury

futures

detracted

from

performance

over

the

year,

as

lower-than-expected

inflation

and

dovish

shifts

in

Federal

Reserve

policy

boosted

bonds.

Currencies

Emerging

currencies

positions

were

additive

in

2019,

particularly

short

positions

in

the

Korean

won

and

the

Chilean

peso.

The

won

underperformed

in

the

first

and

second

quarters

as

rising

trade

tensions

and

slower

global

growth

weighed

on

the

outlook

for

Korea’s

export-oriented

economy.

Short

positions

in

the

Chilean

peso

were

profitable

in

the

fourth

quarter,

as

a

domestic

protest

movement

disrupted

economic

activity

and

increased

political

uncertainty

moving

forward.

Gains

in

emerging

currencies

were

somewhat

offset

by

losses

in

developed

currencies,

as

long

positions

in

the

New

Zealand

dollar

and

Australian

dollar

suffered

losses.

Slower

growth

in

China,

a

key

trading

partner

for

both

countries,

and

a

turn

towards

rate

cuts

from

the

Reserve

Bank

of

Australia

and

the

Reserve

Bank

of

New

Zealand

weighed

on

both

currencies.

Commodities

Short

positions

in

natural

gas

were

profitable

in

the

second

quarter,

as

prices

fell

on

milder-than-usual

weather

and

larger-than-

expected

inventory

builds.

Gains

in

natural

gas

were

largely

offset

by

losses

in

metals,

particularly

a

short

position

in

nickel.

Nickel

rallied

significantly

in

the

second

quarter

on

a

proposal

to

restrict

exports

from

Indonesia,

a

major

producer

of

the

metal.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.98%,

2.16%

and

1.96%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

GLOBAL

MACRO

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QGMIX

4.90%

2.99%

2.14%

1.79%

4/8/2014

Fund

-

Class

N:

QGMNX

4.62%*

2.73%

1.88%

1.53%

4/8/2014

Fund

-

Class

R6:

QGMRX

5.01%

3.03%

2.18%

2.51%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.94%

4/8/2014

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

12

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

GLOBAL

MACRO

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

4/8/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

13

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Long-Short

Equity

Fund

(the

“Fund”)

seeks

to

provide

higher

risk-adjusted

returns

with

lower

volatility

relative

to

global

equity

markets.

It

does

so

by

using

three

different

sources

of

return:

1)

the

potential

gains

from

its

long

and

short

equity

positions,

2)

overall

exposure

to

equity

markets,

and

3)

the

tactical

variation

of

its

net

exposure

to

equity

markets.

The

strategy

primarily

seeks

to

add

alpha

via

its

long/

short

(market-neutral)

equity

portfolio,

which

includes

the

use

of

derivatives

such

as

swaps

and

futures.

It

also

manages

its

beta

relative

to

the

MSCI

World

Index

(“MSCI

World”)

to

a

long-term

target

of

0.5,

and

within

a

shorter-term

range

of

0.3

to

0.7,

depending

on

our

market

views.

In

2019,

the

Class

I

shares

of

the

Fund

returned

+1.19%,

net

of

fees.

Positive

performance

was

driven

by

the

Fund’s

overall

exposure

to

global

developed

equity

markets,

which

experienced

strong

returns

during

the

year.

Conversely,

the

Fund’s

long-short

stock

selection

component

detracted

from

performance,

mostly

offsetting

gains

experienced

elsewhere.

The

Fund’s

custom

benchmark

(50%

MSCI

World

+

50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index)

delivered

a

return

of

+14.53%

over

this

period.

As

such,

the

Fund

underperformed

its

benchmark.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Strategy

performance

in

2019

was

impacted

by

a

continuation

of

key

market

dynamics

that

began

in

2018,

namely

market

participants’

seeming

preference

for

long-term,

speculative

growth.

Specifically,

stocks

with

high

forecasted

earnings

growth

years

into

the

future

performed

exceptionally

well,

while

stocks

that

recently

realized

improvements

in

earnings

were

penalized.

This

price

behavior

is

in

contrast

with

history,

as

investors

typically

reward

companies

with

improving

fundamentals

and

ignore

analyst

projections

of

future

long-term

growth.

These

dynamics

created

a

difficult

environment

for

value

investing,

which

tends

to

favor

cheaper

companies

with

modest

future

growth

forecasts,

and

negatively

impacted

our

stock

selection

process.

Interestingly,

one

period

when

these

unusual

phenomena

occurred

in

the

past

was

during

the

technology

bubble,

when

investors’

demand

for

growth

stocks

resulted

in

a

large

drawdown

for

value.

Ultimately,

2019

was

only

the

second

calendar

year

since

2001

in

which

cheap

and

improving

stocks

lagged

expensive

and

deteriorating

ones

(i.e.

the

combination

of

Value

and

Momentum

underperformed),

proving

difficult

for

the

Fund.

Geographically,

stocks

in

the

U.S.

detracted

the

most

from

overall

returns,

followed

by

Europe

and

Japan.

At

the

sector

level,

stock

selection

within

Health

Care,

Materials,

and

Industrials

drove

losses.

The

Fund

experienced

positive

performance

from

its

static

long-term

beta

exposure

of

0.5

to

the

MSCI

World,

given

the

index’s

strong

returns

in

2019.

The

Fund’s

tactical

market

exposure

(the

desired

deviation

from

a

beta

of

0.5)

also

contributed

positively

to

performance,

but

to

a

lesser

extent.

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Industrials,

while

our

largest

underweight

was

in

Energy.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

14

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Going

forward,

we

maintain

conviction

in

our

investment

philosophy,

and

in

the

belief

that

fundamentals

drive

stock

prices.

At

the

same

time,

we

keep

an

open

mind

towards

shifting

market

forces

that

might

impact

our

model’s

ability

to

continue

to

deliver

outperformance.

We

have

researched,

and

continue

to

thoroughly

research,

whether

the

market

environment

has

fundamentally

changed,

or

whether

this

is

a

temporary

period

when

our

process

has

been

out

of

favor.

To

date,

our

research

supports

the

conclusion

that

the

recent

underperformance

of

the

Value-Momentum

combination

reflects

a

temporary

shift

in

market

sentiment,

and

that

markets

will

eventually

reward

companies

with

strong

fundamentals

as

they

have

done

historically.

In

prior

difficult

periods,

we

have

found

that

sticking

with

our

philosophy

was

the

right

decision

and

ultimately

paid

off

as

market

dynamics

reverted.

We

remain

confident

in

our

fundamentally-oriented

philosophy

and

disciplined

systematic

investment

approach.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.78%,

2.06%

and

1.71%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

LONG-SHORT

EQUITY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QLEIX

1.19%*

-0.68%

4.96%

7.83%

7/16/2013

Fund

-

Class

N:

QLENX

1.01%

-0.93%

4.70%

7.55%

7/16/2013

Fund

-

Class

R6:

QLERX

1.28%*

-0.60%

5.06%

5.93%

9/2/2014

50%

MSCI

World

Index/50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

14.53%

7.16%

5.02%

5.16%

7/16/2013

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

15

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

LONG-SHORT

EQUITY

FUND

VS.

ICE

Bofa

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

16

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

For

the

year

ended

December

31,

2019,

the

AQR

Multi-Asset

Fund

Class

I

shares

returned

+21.05%

and

realized

an

annualized

volatility

of

7.5%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Barclays®

U.S.

Aggregate

Bond

Index,

returned

+22.18%

at

an

average

realized

volatility

of

6.4%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$136

million

at

the

end

of

2019.

Through

the

use

of

derivatives

such

as

futures,

swaps,

and

forwards

as

well

as

securities,

the

AQR

Multi-Asset

Fund

(the

“Fund”)

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

and

emerging

market

equities,

developed

and

emerging

market

currencies,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds,

global

credit

spreads

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund

experienced

gains

across

the

major

asset

classes

it

trades:

equities

contributed

+9.2%,

fixed

income

contributed

+6.3%,

commodities

contributed

+2.8%,

and

currency/credit

exposures

contributed

+2.8%.

Active

asset

allocation

benefited

the

portfolio,

while

active

security

selection

within

equity

markets

detracted

from

performance.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Global

equity,

credit,

and

energy

markets

began

2019

with

strong

rallies

as

the

risk-off

sentiment

that

ended

2018

reversed

course.

The

Federal

Reserve

reassured

markets

that

they

would

be

careful

not

to

hike

the

U.S.

economy

into

recession,

further

supporting

risky

assets

and

pushing

global

yields

lower.

As

the

year

progressed,

however,

global

growth

data

began

to

point

towards

weakness

while

the

capricious

nature

of

U.S.-China

trade

negations

and

the

Brexit

process

cast

continued

uncertainty

over

markets.

This

prompted

more

dovish

rhetoric

and,

ultimately,

action

from

central

banks

across

the

globe,

further

supporting

bond

markets.

As

the

year

ended,

uncertainty

largely

abated:

the

U.S.

and

China

agreed

to

a

first

phase

of

trade

negotiations

and

a

large

majority

win

for

the

U.K.’s

Conservative

Party

decreased

the

odds

of

a

disorderly

break

between

the

U.K.

and

European

Union.

Equities

and

commodities

rallied

into

the

end

of

the

year,

while

global

bonds

gave

back

some

of

their

gains.

The

Fund

seeks

to

allocate

among

asset

classes

in

a

way

that

avoids

excessive

risk

exposure

to

any

single

asset

class

or

risk

premium,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

asset

classes

fairly

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition,

we

also

adjust

position

sizes

in

an

attempt

to

best

capture

the

opportunity

set

within

and

across

asset

classes

based

on

AQR’s

proprietary

expected

return

models.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

active

views

The

Fund

is

generally

expected

to

remain

net

long

the

asset

classes

in

which

it

invests

but

does

allow

for

a

limited

amount

of

shorting.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

our

perceptions

of

the

opportunity

sets

within

the

different

asset

classes

we

trade.

At

the

end

of

the

year,

the

Fund

had

bearish

views

on

nominal

and

inflation-linked

bonds

and

bullish

views

on

equities,

emerging

currencies,

and

commodities.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

elevated,

largely

due

to

lower-than-average

forecasted

risk.

Jon

Liew

Founding

Principal

John

Huss

Principal

Ronen

Israel

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

17

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

AQR

Funds

|

Annual

Report

|

December

2019

As

all

major

asset

classes

gained

on

the

year,

it

is

no

surprise

that

the

portfolio

experienced

strong

performance;

years

when

everything

goes

up

tend

to

be

particularly

fruitful

for

our

investment

approach.

One

of

the

strengths

of

our

risk-balanced

approach

is

the

limited,

humble

assumptions

necessary

to

believe

in

the

strategy.

If

investors

believe

that

taking

market

risk

in

major

asset

classes

is

rewarded

on

average,

that

the

risk-adjusted

returns

to

these

asset

classes

are

more

similar

than

they

are

different

and

that

they

tend

to

pay

off

at

somewhat

different

times,

then

the

case

for

the

Fund

is

a

straight

forward

one.

We

remain

confident

that

the

diversification

benefits

of

the

Fund

provide

a

sound

allocation

for

the

wide

variety

of

potential

market

environments

we

may

face

in

the

coming

years.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.38%,

1.65%

and

1.31%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MULTI-ASSET

FUND

VS.60%S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

9/29/2010

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

MULTI-ASSET

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQRIX

21.05%

9.43%

5.80%

6.41%

9/30/2010

Fund

-

Class

N:

AQRNX

20.67%

9.14%

5.53%

6.12%

9/30/2010

Fund

-

Class

R6:

AQRRX

21.07%

9.51%

5.86%

4.70%

9/2/2014

60%S&P

500

Index®/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

22.18%

10.87%

8.37%

9.88%

9/30/2010

Shareholder

Letter

(Unaudited)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

18

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Multi-Strategy

Alternative

Fund’s

(the

“Fund”)

Class

I

shares

returned

-9.99%

in

2019.

For

the

year,

the

Fund

realized

+5.4%

annualized

daily

volatility

and

a

+0.1

beta

to

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

IndexSM,

which

is

the

fund’s

benchmark,

returned

+2.28%.

The

hedge

fund

industry,

as

represented

by

the

Credit

Suisse

Hedge

Fund

IndexSM

(“CS

Index”)

and

the

HFRITM

Fund

Weighted

Composite

Index

(“HFRI

Index”)

gained

+9.31%

and

+10.49%,

respectively,

net

of

fees

for

the

year.

These

indices

have

had

correlations

to

global

equities,

as

represented

by

the

MSCI

World

Index,

of

+0.8

and

+0.9

respectively,

over

the

past

24

months,

which

is

slightly

higher

than

longer-term

correlations.

This

added

to

performance

during

a

year

of

very

strong

equity

market

performance.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Five

of

the

Fund’s

nine

strategies

had

negative

results

for

the

year.

The

stock

selection

strategies,

in

aggregate,

were

the

largest

source

of

losses

and

each

contributed

negatively.

The

macro

strategy

group

also

detracted,

while

the

arbitrage

strategy

group

contributed

positively

across

sub-strategies.

Following

is

a

more

detailed

review

of

the

three

strategy

groups:

Stock

Selection

Strategies

–

Equity

Market

Neutral

(-7.4%),

Long/Short

Equity

(-2.8%),

and

Dedicated

Short

Bias

(-1.8%)

all

detracted.

Equity

Market

Neutral

detracted

consistently

throughout

the

year,

with

the

value

theme

especially

contributing

to

losses.

Smaller

losses

in

Long/Short

Equity

were

similarly

driven

by

valuation-based

themes,

as

well

as

quality

measures.

Within

Dedicated

Short

Bias,

the

directionally

short

nature

of

the

strategy

hurt

performance

amid

a

very

strong

year

for

U.S.

equities,

while

investor

sentiment

themes

helped

partially

offset

with

gains.

Macro

Strategies

–

As

a

group,

macro

strategies

were

somewhat

down,

driven

by

Global

Macro

and

Emerging

Markets,

while

Fixed

Income

Arbitrage

partially

offset

with

gains.

Managed

Futures

was

close

to

flat

over

the

period.

Global

Macro

(-1.0%)

was

negatively

affected

by

relative

value

positioning

in

equity

indices

and

short

directional

fixed

income

exposure.

The

relative

value

currencies

strategy

helped

offset

with

gains.

In

Emerging

Markets

(-0.5%),

losses

in

stock

selection

more

than

offset

gains

in

currencies.

Fixed

Income

Arbitrage

(+0.8%)

gained

over

the

period,

led

by

the

relative

value

bonds

strategy.

Managed

Futures

was

essentially

flat

(+0.2%)

as

gains

in

fixed

income

were

mostly

offset

by

losses

in

currencies

and

commodities.

Arbitrage

Strategies

–

Convertible

and

Volatility

Arbitrage

(+1.9%)

and

Event

Driven

(+1.9%)

were

the

largest

contributors

to

performance

over

the

year.

Convertible

and

Volatility

Arbitrage

posted

gains

amid

continued

robust

new

issuance,

while

gains

from

merger

arbitrage

were

the

result

of

successful

deal

completions

across

most

of

the

portfolio.

John

Liew

Founding

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Yao

Hua

Ooi

Principal

Mark

Mitchell,

Ph.D.

Founding

Principal,

CNH

Partners

Todd

Pulvino,

Ph.D.

Founding

Principal,

CNH

Partners

19

Shareholder

Letter

(Unaudited)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.41%,

2.68%

and

2.33%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/18/2011

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ASAIX

-9.99%

-7.14%

-2.68%

-0.29%

7/18/2011

Fund

-

Class

N:

ASANX

-10.19%*

-7.38%

-2.91%

-0.53%

7/18/2011

Fund

-

Class

R6:

QSARX

-9.85%

-7.05%

-2.59%

-1.31%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.66%

7/18/2011

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

20

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Risk-Balanced

Commodities

Fund

(the

“Fund”)

Class

I

shares

returned

18.14%

in

2019,

with

energies

and

precious

metals

contributing

significantly

to

performance.

Energies

rallied

significantly

on

OPEC

production

cuts,

geopolitical

tensions,

and

easing

of

global

growth

concerns.

Precious

metals

also

appreciated

as

real

interest

rates

fell

throughout

the

year.

Base

metals

were

mostly

flat

except

for

nickel,

which

saw

large

rallies

on

Indonesia’s

announced

plan

to

ban

nickel

ore

exports.

Softs

had

mixed

performance,

but

were

overall

positive

contributors

as

coffee

prices

rallied

late

in

the

year

due

to

extremely

dry

growing

conditions

in

Latin

and

South

America.

The

Bloomberg

Commodity

TR

Index

(“BCOM”),

the

Fund’s

benchmark,

was

up

7.69%,

leading

to

an

outperformance

of

10.45%.

The

Fund

has

outperformed

over

a

three-year

period

(2.44%

vs.

-0.94%)

and

since

inception

(-4.57%

vs.

-6.34%).

Note

that,

while

we

use

BCOM

as

a

benchmark,

we

do

not

aim

to

replicate

it.

The

Fund’s

construction

is

sufficiently

different

that

we

would

expect

a

difference

in

the

performance

of

the

Fund

and

this

benchmark.

Specifically,

we

expect

the

magnitude

of

performance

differences

to

be

roughly

10%

per

year

on

average,

in

either

direction.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Volatility

targeting

was

a

large

contributor

to

the

outperformance

relative

to

the

BCOM

benchmark.

The

Fund's

volatility

targeting

required

more

than

100%

notional

exposure,

leading

to

outperformance

as

commodities

were

up

overall

in

2019.

We

aim

to

maintain

a

target

level

of

volatility

by

varying

the

level

of

exposure

in

the

Fund.

This

reduces

the

likelihood

that

short

periods

can

determine

outcomes

over

long

investment

horizons.

Another

important

contributor

to

the

outperformance

was

differences

in

allocations

within

sectors,

particularly

within

the

energies.

Tactical

models

also

contributed

to

the

outperformance.

The

outperformance

to

the

benchmark

was

reduced

due

to

the

Fund’s

risk-balanced

strategic

allocation.

Given

the

strong

performance

in

the

energies,

the

Fund’s

lower

exposure

to

energies

relative

to

its

benchmark

reduced

the

outperformance.

The

Fund

began

the

year

at

a

volatility

target

of

17.1%,

just

below

its

long

run

target

of

18%.

At

year-end,

the

volatility

target

decreased

to

13.2%

as

the

Fund

was

constrained

by

exposure

limits.

The

Fund

obtains

exposure

to

the

individual

commodities

and

sectors

by

investing

in

commodity-linked

derivative

instruments,

such

as

swaps

and

futures.

The

strategic

portion

of

the

portfolio

returned

15.11%,

and

tactical

tilts

added

3.03%.

The

strategic

return

in

this

attribution

is

the

return

to

a

long-only

risk-balanced

portfolio.

The

tactical

returns

are

the

returns

from

the

active

views

in

the

individual

commodities

and

sectors.

The

tactical

portion

of

the

Fund

gained

on

the

year,

primarily

from

active

views

in

metals.

At

year-end,

the

Fund’s

tactical

positioning

reflected

generally

mixed

views

on

commodities.

The

Fund

finished

its

seventh

full

year

up

18.14%

and

outperformed

the

BCOM

benchmark

by

10.45%.

The

Fund’s

volatility

targeting

led

the

outperformance,

with

active

tilts

and

within-sector

allocations

also

adding

to

gains.

While

short

term

results

can

be

noisy,

we

believe

the

Fund’s

broader

diversification,

strong

risk

management

and

active

commodity

selection

will

continue

to

deliver

steady

volatility

and

strong

returns

across

market

environments

in

the

long

term.

Thank

you

for

your

investment.

Ronen

Israel

Principal

Ari

Levine

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

21

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.04%,

1.32%

and

0.98%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

RISK

BALANCED

COMMODITIES

STRATEGY

FUND

VS.

BLOOMBERG

COMMODITY

INDEX

TOTAL

RETURN

SM

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ARCIX

18.14%*

2.44%

0.18%

-4.58%

7/9/2012

Fund

-

Class

N:

ARCNX

17.67%

2.14%

-0.13%

-4.85%

7/9/2012

Fund

-

Class

R6:

QRCRX

18.20%

2.49%

0.22%

-3.61%

9/2/2014

Bloomberg

Commodity

Total

Return

IndexSM

7.69%

-0.94%

-3.92%

-6.34%

7/9/2012

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

HV

FUND

22

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

For

the

year

ended

December

31,

2019,

the

AQR

Risk

Parity

II

HV

Fund

Class

I

shares

returned

+32.94%

and

realized

an

annualized

volatility

of

9.8%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Barclays®

U.S.

Aggregate

Bond

Index,

returned

+22.18%

at

an

average

realized

volatility

of

6.4%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$33

million

at

the

end

of

2019.

Through

the

use

of

derivatives

such

as

futures

and

swaps

as

well

as

securities,

the

AQR

Risk

Parity

II

HV

Fund

(the

“Fund”)

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

and

emerging

market

equities,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund

experienced

gains

in

all

three

of

its

major

risk

categories

for

the

full

year:

equities

contributed

+16.7%,

inflation-sensitive

assets

contributed

+8.3%

and

fixed

income

contributed

+8.0%.

Tactical

tilts

contributed

modestly

to

performance

with

gains

attributable

to

views

in

fixed

income,

which

benefited

from

bullish

trend

views

for

much

of

the

year,

and

equities,

which

benefited

from

bullish

positioning

in

the

fourth

quarter.

Tactical

tilts

in

commodities

modestly

detracted

on

the

year.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Global

equity,

credit,

and

energy

markets

began

2019

with

strong

rallies

as

the

risk-off

sentiment

that

ended

2018

reversed

course.

The

Federal

Reserve

reassured

markets

that

they

would

be

careful

not

to

hike

the

U.S.

economy

into

recession,

further

supporting

risky

assets

and

pushing

global

yields

lower.

As

the

year

progressed,

however,

global

growth

data

began

to

point

towards

weakness

while

the

capricious

nature

of

U.S.-China

trade

negations

and

the

Brexit

process

cast

continued

uncertainty

over

markets.

This

prompted

more

dovish

rhetoric

and,

ultimately,

action

from

central

banks

across

the

globe,

further

supporting

bond

markets.

As

the

year

ended,

uncertainty

largely

abated:

the

U.S.

and

China

agreed

to

a

first

phase

of

trade

negotiations

and

a

large

majority

win

for

the

U.K.’s

Conservative

Party

decreased

the

odds

of

a

disorderly

break

between

the

U.K.

and

European

Union.

Equities

and

commodities

rallied

into

the

end

of

the

year,

while

global

bonds

gave

back

some

of

their

gains.

Risk

parity

investing

involves

allocating

to

investments

by

risk,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

risk

categories

fairly

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition

to

adjusting

position

sizes

to

control

for

increasing

or

decreasing

risk

expectations,

we

also

employ

modest

asset

tilts

based

on

AQR’s

proprietary

expected

return

models.

These

tilts

allow

the

portfolio

to

get

over-

and

underweight

a

broad

array

of

global

markets.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

on

a

risk-adjusted

basis

than

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

tactical

tilts.

The

Fund

is

generally

expected

to

remain

long

the

markets

in

which

it

invests.

The

targeted

annualized

volatility

for

the

Fund

is

15%,

on

average,

which

varies

over

time

based

on

our

perceptions

of

tactical

opportunities

within

the

different

asset

classes

we

trade.

The

Fund

started

the

year

targeting

a

volatility

level

below

its

long-term

average

due

to

mostly

bearish

views

across

asset

classes.

At

the

end

of

the

year,

the

Fund

had

bearish

views

on

nominal

and

inflation-linked

bonds

and

bullish

views

on

equities

and

commodities.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

elevated,

largely

due

to

lower-than-average

forecasted

risk.

John

Liew

Founding

Principal

John

J.

Huss

Principal

Ronen

Israel

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

23

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2019

As

all

major

asset

classes

gained

on

the

year,

it

is

no

surprise

that

the

portfolio

experienced

strong

performance;

years

when

everything

goes

up

tend

to

be

particularly

fruitful

for

our

investment

approach.

One

of

the

strengths

of

our

risk-balanced

approach

is

the

limited,

humble

assumptions

necessary

to

believe

in

the

strategy.

If

investors

believe

that

taking

market

risk

in

major

asset

classes

is

rewarded

on

average,

that

the

risk-adjusted

returns

to

these

asset

classes

are

more

similar

than

they

are

different

and

that

they

tend

to

pay

off

at

somewhat

different

times,

then

the

case

for

the

Fund

is

a

straight

forward

one.

We

remain

confident

that

the

diversification

benefits

of

the

Fund

provide

a

sound

allocation

for

the

wide

variety

of

potential

market

environments

we

may

face

in

the

coming

years.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.10%,

2.36%

and

2.08%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

RISK

PARITY

II

HV

FUND

VS.60%

S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

11/5/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

RISK

PARITY

II

HV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRHIX

32.94%

12.19%

6.66%

5.84%

11/5/2012

Fund

-

Class

N:

QRHNX

32.43%

11.82%

6.31%

5.52%

11/5/2012

Fund

-

Class

R6:

QRHRX

32.88%

12.25%

6.69%

5.22%

9/2/2014

60%

S&P

500

Index/40%

Barclays

U.S.

Aggregate

Bond

Index

22.18%

10.87%

8.37%

9.84%

11/5/2012

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

24

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

For

the

year

ended

December

31,

2019,

the

AQR

Risk

Parity

II

MV

Fund

Class

I

shares

returned

+21.54%

and

realized

an

annualized

volatility

of

6.6%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Barclays®

U.S.

Aggregate

Bond

Index,

returned

+22.18%

at

an

average

realized

volatility

of

6.4%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$111

million

at

the

end

of

2019.

Through

the

use

of

derivatives

such

as

futures

and

swaps

as

well

as

securities,

the

AQR

Risk

Parity

II

MV

Fund

(the

“Fund”)

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

and

emerging

market

equities,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund

experienced

gains

in

all

three

of

its

major

risk

categories

for

the

full

year:

equities

contributed

+10.9%,

fixed

income

contributed

+5.4%

and

inflation-sensitive

assets

contributed

+5.2%.

Tactical

tilts

contributed

modestly

to

performance

with

gains

attributable

to

views

in

fixed

income,

which

benefited

from

bullish

trend

views

for

much

of

the

year,

and

equities,

which

benefited

from

bullish

positioning

in

the

fourth

quarter.

Tactical

tilts

in

commodities

modestly

detracted

on

the

year.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Global

equity,

credit,

and

energy

markets

began

2019

with

strong

rallies

as

the

risk-off

sentiment

that

ended

2018

reversed

course.

The

Federal

Reserve

reassured

markets

that

they

would

be

careful

not

to

hike

the

U.S.

economy

into

recession,

further

supporting

risky

assets

and

pushing

global

yields

lower.

As

the

year

progressed,

however,

global

growth

data

began

to

point

towards

weakness

while

the

capricious

nature

of

U.S.-China

trade

negations

and

the

Brexit

process

cast

continued

uncertainty

over

markets.

This

prompted

more

dovish

rhetoric

and,

ultimately,

action

from

central

banks

across

the

globe,

further

supporting

bond

markets.

As

the

year

ended,

uncertainty

largely

abated:

the

U.S.

and

China

agreed

to

a

first

phase

of

trade

negotiations

and

a

large

majority

win

for

the

U.K.’s

Conservative

Party

decreased

the

odds

of

a

disorderly

break

between

the

U.K.

and

European

Union.

Equities

and

commodities

rallied

into

the

end

of

the

year,

while

global

bonds

gave

back

some

of

their

gains.

Risk

parity

investing

involves

allocating

to

investments

by

risk,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

risk

categories

fairly

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition

to

adjusting

position

sizes

to

control

for

increasing

or

decreasing

risk

expectations,

we

also

employ

modest

asset

tilts

based

on

AQR’s

proprietary

expected

return

models.

These

tilts

allow

the

portfolio

to

get

over-

and

underweight

a

broad

array

of

global

markets.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

tactical

tilts.

The

Fund

is

generally

expected

to

remain

long

the

markets

in

which

it

invests.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

our

perceptions

of

tactical

opportunities

within

the

different

asset

classes

we

trade.

The

Fund

started

the

year

targeting

a

volatility

level

below

its

long-term

average

due

to

mostly

bearish

views

across

asset

classes.

At

the

end

of

the

year,

the

Fund

had

bearish

views

on

nominal

and

inflation-linked

bonds

and

bullish

views

on

equities

and

commodities.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

elevated,

largely

due

to

lower-than-average

forecasted

risk.

John

Liew

Principal

John

J.

Huss

Principal

Ronen

Israel

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

25

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

AQR

Funds

|

Annual

Report

|

December

2019

As

all

major

asset

classes

gained

on

the

year,

it

is

no

surprise

that

the

portfolio

experienced

strong

performance;

years

when

everything

goes

up

tend

to

be

particularly

fruitful

for

our

investment

approach.

One

of

the

strengths

of

our

risk-balanced

approach

is

the

limited,

humble

assumptions

necessary

to

believe

in

the

strategy.

If

investors

believe

that

taking

market

risk

in

major

asset

classes

is

rewarded

on

average,

that

the

risk-adjusted

returns

to

these

asset

classes

are

more

similar

than

they

are

different

and

that

they

tend

to

pay

off

at

somewhat

different

times,

then

the

case

for

the

Fund

is

a

straight

forward

one.

We

remain

confident

that

the

diversification

benefits

of

the

Fund

provide

a

sound

allocation

for

the

wide

variety

of

potential

market

environments

we

may

face

in

the

coming

years.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.19%,

1.45%

and

1.10%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

RISK

PARITY

II

MV

FUND

VS.60%

S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

11/5/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

RISK

PARITY

II

MV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRMIX

21.54%*

8.60%

5.08%

4.45%

11/5/2012

Fund

-

Class

N:

QRMNX

21.33%*

8.31%

4.80%

4.17%

11/5/2012

Fund

-

Class

R6:

QRMRX

21.79%*

8.71%

5.18%

4.17%

9/2/2014

60%

S&P

500

Index/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

22.18%

10.87%

8.37%

9.84%

11/5/2012

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

26

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Style

Premia

Alternative

Fund

(the

“Fund”)

returned

-8.20%

(Class

I

shares)

in

2019.

For

the

year

ended

December

31,

2019,

the

Fund

realized

+7.8%

annualized

daily

volatility

and

a

+0.2

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

IndexSM,

which

is

the

Fund’s

benchmark,

returned

+2.28%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

five

different

asset

groups,

through

the

use

of

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds

and

interest

rate

futures,

currencies

and

commodities.

The

Fund

employs

market-neutral,

long-short

strategies

across

these

asset

groups

based

on

four

investment

styles:

Value

–

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

–

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

–

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

–

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Losses

primarily

occurred

in

one

of

five

asset

groups

and

one

of

the

four

styles

traded

in

the

Fund.

Value

(-15.3%)

was

the

largest

style

detractor,

with

Momentum

also

posting

negative

performance

(-2.4%).

Carry

(+5.1%)

and

Defensive

(+3.6%)

partially

offset

with

gains.

Among

asset

groups,

Stocks

&

Industries

drove

negative

Fund

performance,

with

Value

primarily

detracting.

Momentum

also

hurt

the

asset

group,

while

Defensive

provided

some

offsetting

positive

returns.

Performance

in

Commodities

was

close

to

flat

over

the

year,

with

slight

losses

driven

by

Value.

A

long

position

in

natural

gas

detracted

the

most

amid

milder

weather

in

the

winter

months

and

larger-than-expected

inventories.

Currencies

experienced

positive

performance,

driven

by

Carry

and

Value.

Short

positions

in

the

Swedish

krona

and

Swiss

franc

as

well

as

a

long

position

in

the

Canadian

dollar

led

gains.

In

Fixed

Income,

Carry

and

Momentum

led

positive

performance

from

a

style

perspective,

while

a

long

in

Australian

government

bonds

drove

position-

level

gains.

A

dovish

bias

from

the

Reserve

Bank

of

Australia

for

much

of

the

year

led

to

the

asset’s

outperformance.

Within

Equity

Indices,

gains

in

Momentum,

Defensive

and

Carry

were

only

partially

offset

by

losses

in

Value.

The

largest

contributing

position

was

a

short

in

Japanese

equities,

which

were

weighed

down

by

weaker-than-expected

growth,

political

tensions

with

South

Korea

and

a

stronger

yen

(which

rallied

on

safe-haven

demand

during

the

height

of

global

trade

concerns)

in

the

first

half

of

the

year.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.32%,

2.58%

and

2.25%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSPIX

-8.20%

-3.39%

-0.49%

2.01%

10/30/2013

Fund

-

Class

N:

QSPNX

-8.33%

-3.64%

-0.74%

1.76%

10/30/2013

Fund

-

Class

R6:

QSPRX

-8.08%

-3.32%

-0.41%

1.00%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.88%

10/30/2013

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Yao

Hua

Ooi

Principal

27

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/30/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

28

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Style

Premia

Alternative

LV

Fund

(the

“Fund”)

returned

-3.69%

(Class

I

shares)

in

2019.

For

the

year

ended

December

31,

2019

the

Fund

realized

+4.0%

annualized

daily

volatility

and

a

+0.2

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S

Treasury

Bill

IndexSM,

which

is

the

fund’s

benchmark,

returned

+2.28%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

five

different

asset

groups,

through

the

use

of

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds

and

interest

rate

futures,

currencies

and

commodities.

The

Fund

employs

market-neutral

and

long-short

strategies

across

these

asset

groups

based

on

four

investment

styles:

Value

-

The

tendency

for

relatively

cheap

assets

to

outperform

relatively

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Losses

primarily

occurred

in

one

of

five

asset

groups

and

two

of

the

four

styles

traded

in

the

Fund.

Value

(-8.3%)

was

the

largest

style

detractor

with

Momentum

also

posting

negative

performance

(-1.3%).

Carry

(+2.8%)

and

Defensive

(+1.3%)

partially

offset

with

gains.

Among

asset

groups,

Stocks

&

Industries

drove

negative

Fund

performance,

with

Value

primarily

detracting.

Momentum

also

hurt

the

asset

group,

while

Defensive

provided

some

offsetting

positive

returns.

Performance

in

Commodities

was

close

to

flat

over

the

year,

with

slight

losses

driven

by

Value.

A

long

position

in

natural

gas

detracted

the

most

amid

milder

weather

in

the

winter

months

and

larger-than-expected

inventories.

Currencies

experienced

positive

performance,

driven

by

Carry

and

Value.

Short

positions

in

the

Swedish

krona

and

Swiss

franc

as

well

as

a

long

position

in

the

Canadian

dollar

led

gains.

In

Fixed

Income,

Carry

and

Momentum

led

positive

performance

from

a

style

perspective,

while

a

long

in

Australian

government

bonds

drove

position-

level

gains.

A

dovish

bias

from

the

Reserve

Bank

of

Australia

for

much

of

the

year

led

to

the

asset’s

outperformance.

Within

Equity

Indices,

gains

in

Momentum,

Defensive

and

Carry

were

only

partially

offset

by

losses

in

Value.

The

largest

contributing

position

was

a

short

in

Japanese

equities,

which

were

weighed

down

by

weaker-than-expected

growth,

political

tensions

with

South

Korea

and

a

stronger

yen

(which

rallied

on

safe-haven

demand

during

the

height

of

global

trade

concerns)

in

the

first

half

of

the

year

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.24%,

1.51%

and

1.17%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSLIX

-3.69%

-0.86%

0.40%

0.95%

9/17/2014

Fund

-

Class

N:

QSLNX

-3.92%

-1.13%

0.13%

0.67%

9/17/2014

Fund

-

Class

R6:

QSLRX

-3.59%

-0.78%

0.49%

1.02%

9/17/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

1.02%

9/17/2014

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Yao

Hua

Ooi

Principal

29

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

9/27/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

VOLATILITY

RISK

PREMIUM

FUND

30

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

AQR

Volatility

Risk

Premium

Fund

(the

“Fund”)

seeks

to

outperform

a

custom

benchmark

that

consists

of

50%

MSCI

World

net

Total

Return

USD

Index

+

50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index.

It

invests

globally

in

a

broad

range

of

instruments

–

including,

but

not

limited

to,

equities,

futures,

currency

futures

and

forwards,

options

and

swaps.

The

Fund

combines

two

distinct

sources

of

potential

return:

Volatility

Risk

Premium

Strategy

–

The

Fund

seeks

to

capture

the

volatility

risk

premium

across

global

developed

equity

and

bond

markets

by

selling

(i.e.,

writing)

call

and

put

options

to

buyers

seeking

financial

insurance

in

exchange

for

a

premium,

or

payment,

from

the

option

buyer.

Systematic

Equity

Strategy

–

The

Fund

invests

approximately

50%

of

its

total

assets

in

an

actively

managed

portfolio

of

global

equities

that

seeks

to

outperform

the

MSCI

World

Index

while

targeting

a

consistent

level

of

risk

relative

to

this

benchmark.

The

Fund

is

not

designed

to

be

market

neutral.

Over

the

long

term,

the

Fund

targets

a

portfolio

beta

of

0.5,

typically

within

a

range

of

range

of

0.4

and

0.6,

to

the

MSCI

World

Index.

The

AQR

Volatility

Risk

Premium

Fund

Class

I

Shares

returned

10.96%

in

2019.

The

Fund’s

custom

benchmark

(50%

MSCI

World

Index

+

50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill)

delivered

a

return

of

14.53%

over

this

period.

As

such,

the

Fund

underperformed

its

benchmark

The

Volatility

Risk

Premium

Strategy

had

a

slightly

negative

return

over

the

course

of

2019.

Losses

were

concentrated

in

the

Bond

Volatility

sleeve,

while

they

were

partially

offset

by

the

Equity

Volatility

sleeve,

which

was

positive

for

the

year.

The

strategy

had

gained

for

the

first

half

of

the

year,

but

suffered

losses

in

August

2019

due

to

a

quick

increase

in

market

volatility.

For

reference,

during

August

the

VIX

started

at

16.1

and

rose

to

24.6

over

the

first

three

days

of

the

month,

while

the

TYVIX

(a

measure

of

implied

volatility

in

the

US

Treasury

market)

rose

from

4.2

at

the

beginning

of

the

month

to

a

peak

of

6.4

on

August

15th,

ending

the

month

at

5.3.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund’s

Systematic

Equity

Strategy

had

a

positive

return

for

the

year

due

to

its

0.5-beta

exposure.

However,

the

bulk

of

the

Fund’s

underperformance

versus

the

benchmark

was

attributable

to

poor

stock

selection

performance.

Stock

selection

performance

in

2019

was

impacted

by

a

continuation

of

key

market

dynamics

that

began

in

2018,

namely

market

participants’

seeming

preference

for

long-term,

speculative

growth.

Specifically,

stocks

with

high

forecasted

earnings

growth

years

into

the

future

performed

exceptionally

well,

while

stocks

that

recently

realized

improvements

in

earnings

were

penalized.

This

price

behavior

is

in

contrast

with

history,

as

investors

typically

reward

companies

with

improving

fundamentals

and

ignore

analyst

projections

of

future

long-term

growth.

These

dynamics

created

a

difficult

environment

for

value

investing,

which

tends

to

favor

cheaper

companies

with

modest

future

growth

forecasts,

and

negatively

impacted

our

stock

selection

process.

Interestingly,

one

period

when

these

unusual

phenomena

occurred

in

the

past

was

during

the

technology

bubble,

when

investors’

demand

for

growth

stocks

resulted

in

a

large

drawdown

for

value.

Ultimately,

2019

was

only

the

second

calendar

year

since

2001

in

which

cheap

and

improving

stocks

lagged

expensive

and

deteriorating

ones

(i.e.

the

combination

of

Value

and

Momentum

underperformed),

proving

difficult

for

the

Fund.

Ronen

Israel

Principal

Roni

Israelov

Principal

Lars

Nielsen

Principal

31

Shareholder

Letter

(Unaudited)

AQR

VOLATILITY

RISK

PREMIUM

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.65%,

2.90%

and

2.55%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

VOLATILITY

RISK

PREMIUM

FUND

VS.

50%

MSCI

WORLD

INDEX**/50%

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

11/1/2018

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

VOLATILITY

RISK

PREMIUM

FUND

1

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QVPIX

10.96%

5.26%

11/1/2018

Fund

-

Class

N:

QVPNX

10.72%

5.02%

11/1/2018

Fund

-

Class

R6:

QVPRX

10.98%

5.29%

11/1/2018

50%

MSCI

World

index/50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

14.53%

8.95%

11/1/2018

32

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

DEFINITIONS:

Bloomberg

Barclays

®

U.S.

Aggregate

Bond

Index:

is

a

market-weighted

index

comprised

of

investment

grade

corporate

bonds

(rated

BBB

or

better),

mortgages

and

U.S.

Treasury

and

government

agency

issues

with

at

least

one

year

to

maturity.

Bloomberg

Commodity

Index

Total

Return:

is

a

broad-based

index

used

to

represent

the

most

frequently-traded

global

commodity

futures.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

ICE

Bank

of

America

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-

equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

Credit

Suisse

Hedge

Fund

Index:

is

an

asset-weighted

benchmark

that

seeks

to

measure

hedge

fund

performance

and

provide

the

most

accurate

representation

of

the

hedge

fund

universe.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

HFRI

TM

Fund

Weighted

Composite

Index:

is

a

global,

equal-weighted

index

of

over

2,000

single-manager

funds.

MSCI

World

Index:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

S&P

500

®

:

is

a

capitalization

weighted

index

designed

to

measure

performance

of

the

broad

domestic

economy

through

changes

in

the

aggregate

market

value

of

500

stocks

representing

all

major

industries.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

33

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

174.2%

COMMON

STOCKS

-

103.7%

Australia

-

2.7%

AGL

Energy

Ltd.(2)

58,094

$

836,181

Ansell

Ltd.(2)(a)

1,595

32,479

Aurizon

Holdings

Ltd.(2)(a)

23,877

87,627

Beach

Energy

Ltd.(2)(a)

202,314

357,843

BlueScope

Steel

Ltd.(2)(a)

94,426

1,000,122

CIMIC

Group

Ltd.(2)(a)

848

19,716

Coca-Cola

Amatil

Ltd.(2)(a)

38,075

295,677

Flight

Centre

Travel

Group

Ltd.(2)(a)

992

30,683

Fortescue

Metals

Group

Ltd.(2)(a)

230,088

1,734,486

Harvey

Norman

Holdings

Ltd.(2)(a)

117,740

336,278

Iluka

Resources

Ltd.(2)(a)

47,390

310,299

Newcrest

Mining

Ltd.(2)(a)

22,238

469,644

South32

Ltd.(2)(a)

173,200

327,022

Telstra

Corp.

Ltd.(2)(a)

200,855

498,922

6,336,979

—

Austria

-

0.1%

ams

AG(2)*

6,213

252,235

Belgium

-

0.8%

Ageas(2)

16,830

995,202

Proximus

SADP(2)(a)

32,241

923,825

1,919,027

—

Canada

-

4.4%

Air

Canada*(a)

34,698

1,296,215

Alimentation

Couche-Tard,

Inc.,

Class

B(a)

628

19,930

ARC

Resources

Ltd.(a)

16,006

100,827

Atco

Ltd.,

Class

I

10,193

390,671

Bank

of

Montreal(a)

2,078

161,049

Bank

of

Nova

Scotia

(The)(a)

7,460

421,386

Canadian

Imperial

Bank

of

Commerce(a)

5,542

461,182

Canadian

Natural

Resources

Ltd.(a)

2,038

65,917

CGI,

Inc.*(a)

7,527

629,902

CI

Financial

Corp.(a)

14,564

243,490

Cogeco

Communications,

Inc.(a)

1,794

156,390

Constellation

Software,

Inc.(a)

22

21,367

Empire

Co.

Ltd.,

Class

A(a)

13,549

317,818

Encana

Corp.(a)

264,045

1,236,297

Husky

Energy,

Inc.(a)

18,797

150,833

Hydro

One

Ltd.(a)(b)

24,124

465,927

iA

Financial

Corp.,

Inc.

2,591

142,325

IGM

Financial,

Inc.(a)

3,045

87,419

Intact

Financial

Corp.(a)

402

43,471

Kinross

Gold

Corp.*(a)

12,916

61,270

Linamar

Corp.(a)

6,478

245,092

Magna

International,

Inc.(a)

16,227

889,733

National

Bank

of

Canada(a)

10,505

583,112

Northland

Power,

Inc.

10,100

211,559

Onex

Corp.(a)

3,725

235,712

Power

Financial

Corp.(a)

1,827

49,159

Quebecor,

Inc.,

Class

B(a)

12,202

311,404

Seven

Generations

Energy

Ltd.,

Class

A*(a)

55,652

362,999

Teck

Resources

Ltd.,

Class

B(a)

19,008

329,645

INVESTMENTS

SHARES

VALUE

Canada

-

4.4%

(continued)

Thomson

Reuters

Corp.(a)

1,934

$

138,346

TMX

Group

Ltd.(a)

697

60,358

Tourmaline

Oil

Corp.(a)

41,166

482,497

10,373,302

—

China

-

0.0%(c)

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)(d)

104,900

87,441

Denmark

-

0.8%

Carlsberg

A/S,

Class

B(2)(a)

2,342

349,511

Danske

Bank

A/S(2)(a)

2,195

35,511

Novo

Nordisk

A/S,

Class

B(2)(a)

929

53,834

Orsted

A/S(2)(a)(b)

5,117

529,368

Pandora

A/S(2)

13,304

578,574

Rockwool

International

A/S,

Class

B(2)(a)

355

84,180

Vestas

Wind

Systems

A/S(2)(a)

2,049

206,962

1,837,940

—

Finland

-

0.6%

Fortum

OYJ(2)(a)

26,362

650,705

Kesko

OYJ,

Class

B(2)

6,081

430,437

Neste

OYJ(2)(a)

9,684

337,013

1,418,155

—

France

-

3.0%

Air

France-KLM(2)*(a)

29,086

324,481

AXA

SA(2)(a)

31,939

902,476

BNP

Paribas

SA(2)(a)

10,228

607,933

Electricite

de

France

SA(2)(a)

41,949

468,079

Engie

SA(2)(a)

100,865

1,633,844

Eutelsat

Communications

SA(2)(a)

19,767

322,079

Peugeot

SA(2)(a)

60,648

1,460,232

Publicis

Groupe

SA(2)(a)

1,365

61,891

Societe

Generale

SA(2)(a)

23,153

807,993

Suez(2)(d)

28,454

431,171

7,020,179

—

Germany

-

3.0%

adidas

AG(2)(a)

968

315,101

Allianz

SE

(Registered)(2)(a)

2,125

520,684

Bayer

AG

(Registered)(2)(a)

2,162

175,763

Deutsche

Lufthansa

AG

(Registered)

(2)(a)

24,520

450,450

Freenet

AG(2)(a)

13,859

317,359

Hannover

Rueck

SE(2)(a)

4,794

924,355

HeidelbergCement

AG(2)(a)

6,618

480,896

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

3,918

404,731

HOCHTIEF

AG(2)(a)

2,585

329,112

HUGO

BOSS

AG(2)(a)

1,415

68,492

METRO

AG(2)(a)

14,565

234,368

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)(2)(a)

1,750

516,413

ProSiebenSat.1

Media

SE(2)(a)

44,187

687,689

Rheinmetall

AG(2)(a)

484

55,496

Schaeffler

AG

(Preference)(2)(a)

196

2,116

34

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Germany

-

3.0%

(continued)

Volkswagen

AG

(Preference)(2)(a)

8,155

$

1,605,218

7,088,243

—

Italy

-

3.0%

A2A

SpA(2)

259,681

487,640

Assicurazioni

Generali

SpA(2)(a)

82,193

1,696,858

BPER

Banca(2)

32,825

165,160

Enel

SpA(2)(a)

216,432

1,719,298

Eni

SpA(2)(a)

22,672

352,124

Hera

SpA(2)

87,850

384,787

Italgas

SpA(2)

18,971

115,983

Leonardo

SpA(2)(a)

2,554

29,952

Poste

Italiane

SpA(2)(b)

94,525

1,074,076

Snam

SpA(2)(a)

51,361

270,046

Terna

Rete

Elettrica

Nazionale

SpA(2)

(a)

17,469

116,831

UniCredit

SpA(2)(a)

12,659

185,036

Unipol

Gruppo

SpA(2)

66,402

381,218

6,979,009

—

Japan

-

16.8%

AGC,

Inc.(2)(a)

18,700

668,674

Alfresa

Holdings

Corp.(2)(a)

1,000

20,315

Amada

Holdings

Co.

Ltd.(2)(a)

5,200

59,144

Astellas

Pharma,

Inc.(2)(a)

11,300

192,891

Bandai

Namco

Holdings,

Inc.(2)(a)

7,200

437,992

Brother

Industries

Ltd.(2)(a)

6,300

130,115

Central

Japan

Railway

Co.(2)(a)

3,200

643,420

Chubu

Electric

Power

Co.,

Inc.(2)(a)

(d)

73,200

1,034,744

Citizen

Watch

Co.

Ltd.(2)

25,600

139,420

Electric

Power

Development

Co.

Ltd.

(2)(d)

3,200

77,672

Fujitsu

Ltd.(2)(a)

5,500

517,307

Fukuoka

Financial

Group,

Inc.(2)

40,200

768,064

GungHo

Online

Entertainment,

Inc.

(2)(a)

4,390

93,004

Haseko

Corp.(2)

39,600

531,584

Hino

Motors

Ltd.(2)(a)

7,300

77,201

Hitachi

High-Technologies

Corp.(2)(a)

3,200

226,622

Hitachi

Ltd.(2)(a)

24,300

1,025,357

Idemitsu

Kosan

Co.

Ltd.(2)(a)

47,800

1,320,796

Inpex

Corp.(2)(a)

120,400

1,247,311

ITOCHU

Corp.(2)(a)

74,700

1,731,299

Japan

Airlines

Co.

Ltd.(2)(a)

10,400

323,813

JFE

Holdings,

Inc.(2)(a)

42,700

547,902

JTEKT

Corp.(2)(a)

11,700

138,213

JXTG

Holdings,

Inc.(2)(a)

626,400

2,842,967

Kajima

Corp.(2)(a)

39,300

522,501

Kaken

Pharmaceutical

Co.

Ltd.(2)

1,400

77,246

Kamigumi

Co.

Ltd.(2)(a)

9,100

200,035

KDDI

Corp.(2)(a)

47,500

1,417,228

Kyocera

Corp.(2)(a)

2,600

177,205

Kyushu

Railway

Co.(2)(a)

13,000

435,209

Mabuchi

Motor

Co.

Ltd.(2)(a)

6,700

252,962

Marubeni

Corp.(2)(a)

214,600

1,585,545

Mazda

Motor

Corp.(2)(a)

12,700

108,222

Medipal

Holdings

Corp.(2)(a)

11,300

249,395

INVESTMENTS

SHARES

VALUE

Japan

-

16.8%

(continued)

Mitsubishi

Chemical

Holdings

Corp.

(2)(a)

50,900

$

379,265

Mitsubishi

Corp.(2)(a)

7,200

190,738

Mitsubishi

Electric

Corp.(2)(a)

12,800

174,281

Mitsubishi

Heavy

Industries

Ltd.(2)(a)

1,500

58,165

Mitsubishi

Logistics

Corp.(2)(a)

1,100

28,613

Mitsubishi

Materials

Corp.(2)(a)

3,000

81,419

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)(a)

49,200

265,992

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.(2)(a)

7,600

48,926

Mitsui

&

Co.

Ltd.(2)(a)

50,400

895,886

Mitsui

Chemicals,

Inc.(2)(a)

13,300

323,979

Mixi,

Inc.(2)(a)

12,700

240,784

MS&AD

Insurance

Group

Holdings,

Inc.(2)(a)

9,200

303,680

Nexon

Co.

Ltd.(2)*(a)

40,500

537,244

NGK

Insulators

Ltd.(2)(a)

3,900

67,845

Nippon

Express

Co.

Ltd.(2)(a)

1,500

87,929

Nippon

Steel

Corp.(2)(a)

52,900

797,358

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

63,600

1,607,407

NSK

Ltd.(2)(a)

4,000

37,813

Obayashi

Corp.(2)(a)

86,600

961,837

ORIX

Corp.(2)(a)

30,500

505,427

Osaka

Gas

Co.

Ltd.(2)

9,400

179,758

Resona

Holdings,

Inc.(2)(a)

249,000

1,085,274

Sankyo

Co.

Ltd.(2)

4,400

146,136

Sawai

Pharmaceutical

Co.

Ltd.(2)

3,000

190,062

Sekisui

House

Ltd.(2)(a)

15,100

322,458

Shimamura

Co.

Ltd.(2)(a)

400

30,410

Shimizu

Corp.(2)(a)

46,100

469,612

Shinsei

Bank

Ltd.(2)

44,000

671,317

Shionogi

&

Co.

Ltd.(2)(a)

400

24,745

Showa

Denko

KK(2)(a)

32,300

851,283

Sojitz

Corp.(2)(a)

191,000

615,612

Sumitomo

Chemical

Co.

Ltd.(2)(a)

41,000

186,163

Sumitomo

Corp.(2)(a)

70,100

1,041,219

Sumitomo

Dainippon

Pharma

Co.

Ltd.

(2)(a)

2,000

38,750

Sumitomo

Electric

Industries

Ltd.(2)

(a)

1,500

22,527

Sumitomo

Heavy

Industries

Ltd.(2)(a)

9,600

272,686

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

16,600

613,127

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

15,800

624,589

Taiheiyo

Cement

Corp.(2)(a)

20,200

592,933

Taisei

Corp.(2)(a)

800

33,137

Teijin

Ltd.(2)(a)

35,400

661,348

Toho

Gas

Co.

Ltd.(2)

500

20,416

Tohoku

Electric

Power

Co.,

Inc.(2)

2,200

21,810

Tokyo

Electric

Power

Co.

Holdings,

Inc.(2)*

228,300

977,251

Tokyo

Gas

Co.

Ltd.(2)(a)

28,100

682,799

Toppan

Printing

Co.

Ltd.(2)(a)

17,700

365,651

Tosoh

Corp.(2)(a)

39,900

614,691

Toyo

Seikan

Group

Holdings

Ltd.(2)

(a)

5,900

101,564

Toyota

Boshoku

Corp.(2)(a)

2,100

33,720

35

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

16.8%

(continued)

Toyota

Tsusho

Corp.(2)(a)

3,200

$

112,408

West

Japan

Railway

Co.(2)(a)

6,600

570,858

Yamada

Denki

Co.

Ltd.(2)(a)

8,700

46,162

Yokohama

Rubber

Co.

Ltd.

(The)(2)

(a)

1,800

34,911

39,671,350

—

Netherlands

-

1.9%

ASM

International

NV(2)(a)

2,705

305,320

ASR

Nederland

NV(2)

4,815

180,445

Koninklijke

Ahold

Delhaize

NV(2)(a)

69,254

1,736,363

NN

Group

NV(2)(a)

32,730

1,244,486

Randstad

NV(2)(a)

14,645

897,375

Signify

NV(2)(a)(b)

4,439

138,935

4,502,924

—

Norway

-

0.4%

Leroy

Seafood

Group

ASA(2)(a)

18,671

124,293

Mowi

ASA(2)(a)

26,571

690,870

Salmar

ASA(2)(a)

4,402

225,586

1,040,749

—

Russia

-

0.0%(c)

Evraz

plc(2)

4,242

22,715

Singapore

-

0.4%

ComfortDelGro

Corp.

Ltd.(2)

224,700

397,586

Genting

Singapore

Ltd.(2)

89,000

60,946

SATS

Ltd.(2)

31,100

117,064

Venture

Corp.

Ltd.(2)(d)

14,000

168,893

Wilmar

International

Ltd.(2)

52,400

160,538

905,027

—

Spain

-

2.3%

Acciona

SA(2)

946

99,743

Banco

Bilbao

Vizcaya

Argentaria

SA(2)(a)

139,420

782,750

Banco

de

Sabadell

SA(2)

30,000

35,127

Enagas

SA(2)

40,433

1,032,749

Endesa

SA(2)(a)

40,324

1,076,842

Iberdrola

SA(2)(a)

99,442

1,024,806

Red

Electrica

Corp.

SA(2)(a)

10,844

218,504

Repsol

SA(2)(a)

48,059

755,015

Telefonica

SA(2)(a)

43,937

307,256

5,332,792

—

Sweden

-

0.7%

Axfood

AB(2)

8,626

192,101

Boliden

AB(2)*(a)

4,375

116,194

Hennes

&

Mauritz

AB,

Class

B(2)(a)

1,922

39,204

ICA

Gruppen

AB(2)(a)

9,094

424,799

Skanska

AB,

Class

B(2)(a)

1,590

35,968

SKF

AB,

Class

B(2)(a)

2,929

59,301

SSAB

AB,

Class

A(2)(a)

81,312

285,710

Volvo

AB,

Class

B(2)(a)

27,399

458,692

1,611,969

—

INVESTMENTS

SHARES

VALUE

Switzerland

-

2.2%

Adecco

Group

AG

(Registered)(2)(a)

4,349

$

274,954

Helvetia

Holding

AG

(Registered)(2)

2,822

398,605

Novartis

AG

(Registered)(2)(a)

2,019

191,178

Roche

Holding

AG(2)(a)

5,409

1,757,939

Sonova

Holding

AG

(Registered)(2)(a)

758

173,285

Swiss

Life

Holding

AG

(Registered)

(2)(a)

3,462

1,736,783

Swisscom

AG

(Registered)(2)(a)

874

462,675

Zurich

Insurance

Group

AG(2)(a)

539

221,098

5,216,517

—

United

Kingdom

-

4.0%

Aggreko

plc(2)(a)

20,733

228,953

Babcock

International

Group

plc(2)(a)

41,848

349,220

Barratt

Developments

plc(2)(a)

46,888

464,259

Bellway

plc(2)

9,868

498,064

Berkeley

Group

Holdings

plc(2)(a)

6,628

426,667

Britvic

plc(2)(a)

6,626

79,410

BT

Group

plc(2)(a)

179,612

457,686

Dialog

Semiconductor

plc(2)*(a)

12,269

623,108

GVC

Holdings

plc(2)(d)

4,067

47,687

Hays

plc(2)(a)

55,926

134,504

Howden

Joinery

Group

plc(2)(a)

24,718

220,219

Janus

Henderson

Group

plc(a)

2,865

70,049

John

Wood

Group

plc(2)(a)

17,033

90,338

Meggitt

plc(2)(a)

5,114

44,543

Micro

Focus

International

plc(2)(a)

23,418

328,686

Moneysupermarket.com

Group

plc(2)

(a)

37,667

165,352

National

Grid

plc(2)(a)

95,612

1,194,879

Pennon

Group

plc(2)(d)

45,120

611,994

Persimmon

plc(2)(a)

5,078

181,382

Petrofac

Ltd.(2)(a)

52,224

266,288

Playtech

plc(2)(a)

7,647

40,201

Royal

Mail

plc(2)(a)

152,347

458,178

Taylor

Wimpey

plc(2)(a)

106,268

272,479

Unilever

NV(2)(a)

20,690

1,187,414

United

Utilities

Group

plc(2)

76,598

958,540

WH

Smith

plc(2)(a)

1,664

57,348

9,457,448

—

United

States

-

56.6%

Aaron's,

Inc.(a)

6,121

349,570

AbbVie,

Inc.(d)

13,831

1,224,597

Accenture

plc,

Class

A(a)

253

53,274

Activision

Blizzard,

Inc.(a)(d)

1,534

91,150

Acuity

Brands,

Inc.(a)(d)

5,432

749,616

Adobe,

Inc.*(a)

303

99,932

Adtalem

Global

Education,

Inc.*(a)

577

20,178

Agilent

Technologies,

Inc.(a)

1,026

87,528

Air

Lease

Corp.(d)

4,582

217,737

Akamai

Technologies,

Inc.*(a)

6,937

599,218

Alexion

Pharmaceuticals,

Inc.*(a)

7,254

784,520

Alliance

Data

Systems

Corp.(a)

4,262

478,196

Allison

Transmission

Holdings,

Inc.(a)

663

32,036

Alphabet,

Inc.,

Class

A*(a)

590

790,240

AMC

Networks,

Inc.,

Class

A*(d)

6,877

271,642

Amdocs

Ltd.(a)

2,788

201,266

AMERCO(d)

54

20,294

36

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

56.6%

(continued)

American

Eagle

Outfitters,

Inc.(a)

29,334

$

431,210

American

Water

Works

Co.,

Inc.(d)

2,211

271,621

Ameriprise

Financial,

Inc.(a)(d)

5,399

899,365

AmerisourceBergen

Corp.(a)

2,748

233,635

Amgen,

Inc.(a)(d)

4,330

1,043,833

ANSYS,

Inc.*(a)

1,213

312,238

Anthem,

Inc.(a)

1,436

433,715

Apergy

Corp.*(a)

8,834

298,413

Apple,

Inc.(d)

691

202,912

Applied

Materials,

Inc.(a)

4,571

279,014

Arrow

Electronics,

Inc.*(d)

7,538

638,770

Aspen

Technology,

Inc.*(a)

1,968

237,990

Assured

Guaranty

Ltd.(d)

19,385

950,253

AT&T,

Inc.(d)

9,347

365,281

Athene

Holding

Ltd.,

Class

A*(d)

36,325

1,708,365

AutoNation,

Inc.*(d)

6,644

323,098

AutoZone,

Inc.*(d)

397

472,950

Avnet,

Inc.(a)

10,184

432,209

AXA

Equitable

Holdings,

Inc.(d)

50,345

1,247,549

Bausch

Health

Cos.,

Inc.*(a)

13,064

391,050

Baxter

International,

Inc.(a)

1,837

153,610

Best

Buy

Co.,

Inc.(d)

5,968

523,990

Biogen,

Inc.*(a)(d)

5,465

1,621,629

Bio-Rad

Laboratories,

Inc.,

Class

A*(d)

1,065

394,082

Bio-Techne

Corp.(d)

1,318

289,314

Booking

Holdings,

Inc.*(a)(d)

479

983,737

Booz

Allen

Hamilton

Holding

Corp.(a)

4,703

334,524

Boston

Beer

Co.,

Inc.

(The),

Class

A*(d)

3,183

1,202,697

Boyd

Gaming

Corp.(d)

691

20,689

Brighthouse

Financial,

Inc.*

21,378

838,659

Brinker

International,

Inc.(d)

2,512

105,504

Bristol-Myers

Squibb

Co.(a)

10,052

645,238

BRP,

Inc.

10,889

496,087

Bruker

Corp.(d)

1,706

86,955

Brunswick

Corp.(d)

3,082

184,858

Burlington

Stores,

Inc.*(d)

204

46,518

Cabot

Oil

&

Gas

Corp.(a)

35,261

613,894

CACI

International,

Inc.,

Class

A*(a)

3,097

774,219

Cadence

Design

Systems,

Inc.*(a)

10,346

717,599

Callon

Petroleum

Co.*(d)

169,312

817,777

Capital

One

Financial

Corp.(a)(d)

10,101

1,039,494

Capri

Holdings

Ltd.*(d)

1,990

75,919

Carlisle

Cos.,

Inc.(a)

1,462

236,610

Carnival

Corp.(d)

2,730

138,766

Cars.com,

Inc.*(d)

16,989

207,606

Carter's,

Inc.(d)

6,954

760,350

Casey's

General

Stores,

Inc.(d)

1,786

283,956

CDW

Corp.(a)

8,302

1,185,858

Charles

River

Laboratories

International,

Inc.*(a)(d)

11,439

1,747,423

Chemed

Corp.(a)

243

106,740

Chevron

Corp.(a)

5,278

636,052

Churchill

Downs,

Inc.(a)

1,149

157,643

Ciena

Corp.*(a)

13,291

567,393

Cimarex

Energy

Co.(a)(d)

8,098

425,064

Cinemark

Holdings,

Inc.(d)

2,325

78,701

Cirrus

Logic,

Inc.*

14,442

1,190,165

Citrix

Systems,

Inc.(a)

532

58,999

INVESTMENTS

SHARES

VALUE

United

States

-

56.6%

(continued)

CNX

Resources

Corp.*(a)(d)

37,490

$

331,787

Columbia

Sportswear

Co.(d)

3,059

306,481

Comcast

Corp.,

Class

A(a)(d)

8,057

362,323

ConocoPhillips(a)

8,330

541,700

Cooper

Cos.,

Inc.

(The)(d)

1,362

437,597

Costco

Wholesale

Corp.(d)

2,167

636,925

Cracker

Barrel

Old

Country

Store,

Inc.(d)

917

140,980

Crane

Co.(a)

387

33,429

Cummins,

Inc.(d)

2,599

465,117

Curtiss-Wright

Corp.(a)

6,674

940,300

Dana,

Inc.(a)(d)

19,266

350,641

Danaher

Corp.(a)

4,167

639,551

Darden

Restaurants,

Inc.(a)

2,510

273,615

Deckers

Outdoor

Corp.*

9,300

1,570,398

Delphi

Technologies

plc*(a)

22,111

283,684

Deluxe

Corp.(a)

7,601

379,442

Dick's

Sporting

Goods,

Inc.(d)

12,900

638,421

Dillard's,

Inc.,

Class

A(a)(d)

10,278

755,227

Discover

Financial

Services(d)

1,426

120,953

Discovery,

Inc.,

Class

A*(d)

1,912

62,599

Dollar

General

Corp.(a)

2,022

315,392

DXC

Technology

Co.(d)

4,787

179,943

Eaton

Corp.

plc(a)

4,821

456,645

eBay,

Inc.(d)

11,371

410,607

EchoStar

Corp.,

Class

A*(d)

1,209

52,362

Edwards

Lifesciences

Corp.*(a)

2,359

550,331

Electronic

Arts,

Inc.*(a)

7,087

761,923

Eli

Lilly

&

Co.(a)(d)

4,181

549,509

EMCOR

Group,

Inc.(a)

1,314

113,398

EOG

Resources,

Inc.(a)

2,463

206,301

EPAM

Systems,

Inc.*(d)

536

113,718

Estee

Lauder

Cos.,

Inc.

(The),

Class

A(a)

5,821

1,202,269

Everest

Re

Group

Ltd.(d)

2,877

796,469

Exelixis,

Inc.*(d)

25,712

453,045

Facebook,

Inc.,

Class

A*(a)

8,410

1,726,153

Fair

Isaac

Corp.*(a)

1,000

374,680

Federated

Investors,

Inc.,

Class

B(d)

10,143

330,560

Foot

Locker,

Inc.(a)(d)

16,083

627,076

Fortinet,

Inc.*(a)

7,158

764,188

Gap,

Inc.

(The)(d)

24,906

440,338

Gilead

Sciences,

Inc.(d)

8,228

534,655

Globus

Medical,

Inc.,

Class

A*(a)

8,378

493,297

Goldman

Sachs

Group,

Inc.

(The)(a)

3,109

714,852

GrafTech

International

Ltd.(d)

13,055

151,699

Graham

Holdings

Co.,

Class

B(a)

791

505,441

Halliburton

Co.(a)

22,723

556,032

Hanesbrands,

Inc.(d)

26,619

395,292

Hasbro,

Inc.(d)

975

102,970

HCA

Healthcare,

Inc.(a)

706

104,354

Helen

of

Troy

Ltd.*(d)

438

78,748

Herman

Miller,

Inc.(a)(d)

9,528

396,841

Hewlett

Packard

Enterprise

Co.(a)

7,398

117,332

Hill-Rom

Holdings,

Inc.(a)

3,263

370,448

HollyFrontier

Corp.(a)

23,350

1,184,079

Horizon

Therapeutics

plc*(d)

716

25,919

Hubbell,

Inc.(a)(d)

227

33,555

Humana,

Inc.(a)

396

145,142

37

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

56.6%

(continued)

Huntington

Ingalls

Industries,

Inc.(a)

(d)

6,782

$

1,701,468

IAC/InterActiveCorp*(d)

3,207

798,896

Incyte

Corp.*(a)

739

64,529

Ingredion,

Inc.(a)(d)

1,811

168,332

Intel

Corp.(a)(d)

13,564

811,805

International

Business

Machines

Corp.(d)

5,154

690,842

International

Paper

Co.(d)

11,706

539,061

Intuit,

Inc.(a)

1,612

422,231

IQVIA

Holdings,

Inc.*(d)

5,433

839,453

ITT,

Inc.(a)(d)

3,169

234,221

j2

Global,

Inc.(a)(d)

7,661

717,912

Jabil,

Inc.

18,889

780,682

Jacobs

Engineering

Group,

Inc.(d)

2,951

265,088

Jazz

Pharmaceuticals

plc*(a)

10,016

1,495,188

KBR,

Inc.(a)

1,727

52,674

Keysight

Technologies,

Inc.*(d)

3,587

368,134

KLA

Corp.(d)

513

91,401

Kohl's

Corp.(d)

5,459

278,136

Kroger

Co.

(The)(a)(d)

56,645

1,642,139

Laboratory

Corp.

of

America

Holdings*(a)

5,351

905,229

Lam

Research

Corp.(a)

3,043

889,773

Lear

Corp.(a)(d)

1,372

188,238

Lennar

Corp.,

Class

A(a)(d)

5,464

304,837

Ligand

Pharmaceuticals,

Inc.*(d)

1,515

157,999

Lockheed

Martin

Corp.(a)

734

285,805

LogMeIn,

Inc.(a)

1,392

119,350

LPL

Financial

Holdings,

Inc.(a)

1,018

93,911

Lululemon

Athletica,

Inc.*(d)

4,262

987,378

Macy's,

Inc.(d)

55,266

939,522

Manhattan

Associates,

Inc.*(a)

4,215

336,146

ManpowerGroup,

Inc.(a)(d)

13,937

1,353,283

Marathon

Oil

Corp.(d)

30,271

411,080

Marathon

Petroleum

Corp.(a)

8,209

494,592

Masimo

Corp.*(d)

3,090

488,405

MasTec,

Inc.*(a)

620

39,779

Matador

Resources

Co.*(a)(d)

11,285

202,791

Match

Group,

Inc.*(a)(d)

9,017

740,386

MAXIMUS,

Inc.(a)

3,303

245,710

McKesson

Corp.(a)

4,784

661,723

Medtronic

plc(a)(d)

3,121

354,077

Merck

&

Co.,

Inc.(a)

10,300

936,785

Micron

Technology,

Inc.*(a)(d)

28,721

1,544,615

Microsoft

Corp.(a)

5,168

814,994

MKS

Instruments,

Inc.(a)(d)

3,404

374,474

Molina

Healthcare,

Inc.*(d)

407

55,226

Molson

Coors

Brewing

Co.,

Class

B(d)

10,200

549,780

Morgan

Stanley(a)

3,103

158,625

MSA

Safety,

Inc.(a)

980

123,833

MSCI,

Inc.(a)

292

75,389

Murphy

Oil

Corp.(a)(d)

11,516

308,629

Murphy

USA,

Inc.*(a)(d)

4,709

550,953

Mylan

NV*(a)(d)

33,342

670,174

NIKE,

Inc.,

Class

B(a)

972

98,473

Nordstrom,

Inc.(a)(d)

4,647

190,202

Northrop

Grumman

Corp.(a)

653

224,612

NorthWestern

Corp.(d)

2,656

190,356

INVESTMENTS

SHARES

VALUE

United

States

-

56.6%

(continued)

Norwegian

Cruise

Line

Holdings

Ltd.*(a)

9,463

$

552,734

Nu

Skin

Enterprises,

Inc.,

Class

A(a)

20,188

827,304

NuVasive,

Inc.*(a)(d)

5,421

419,260

nVent

Electric

plc(a)(d)

4,392

112,347

Oasis

Petroleum,

Inc.*(d)

59,848

195,104

ON

Semiconductor

Corp.*(a)

28,056

684,005

OneMain

Holdings,

Inc.(a)

9,061

381,921

Oracle

Corp.(a)

2,485

131,655

Oshkosh

Corp.(a)(d)

3,829

362,415

Packaging

Corp.

of

America(d)

2,635

295,094

Patterson-UTI

Energy,

Inc.(a)(d)

14,568

152,964

Paycom

Software,

Inc.*(a)(d)

352

93,196

Penske

Automotive

Group,

Inc.(d)

3,937

197,716

Phillips

66(a)(d)

9,587

1,068,088

Pilgrim's

Pride

Corp.*(a)

23,721

776,033

Polaris,

Inc.(d)

2,302

234,113

Popular,

Inc.

2,308

135,595

PRA

Health

Sciences,

Inc.*(d)

4,133

459,383

PulteGroup,

Inc.(d)

43,789

1,699,013

PVH

Corp.(a)(d)

4,886

513,763

Qorvo,

Inc.*(a)

2,350

273,141

Quanta

Services,

Inc.(a)

13,800

561,798

Ralph

Lauren

Corp.(d)

3,340

391,515

Regal

Beloit

Corp.(a)

7,555

646,784

Regeneron

Pharmaceuticals,

Inc.*(a)

(d)

2,103

789,634

Reinsurance

Group

of

America,

Inc.

(d)

1,164

189,802

Reliance

Steel

&

Aluminum

Co.(a)

1,003

120,119

Robert

Half

International,

Inc.(d)

13,955

881,258

Ross

Stores,

Inc.(a)

2,919

339,830

Sally

Beauty

Holdings,

Inc.*(d)

20,691

377,611

Santander

Consumer

USA

Holdings,

Inc.(d)

8,581

200,538

Seagate

Technology

plc(a)(d)

14,042

835,499

Silgan

Holdings,

Inc.(a)(d)

7,928

246,402

Skechers

U.S.A.,

Inc.,

Class

A*(a)

23,578

1,018,334

Skyworks

Solutions,

Inc.(a)(d)

8,968

1,084,052

Snap-on,

Inc.(d)

2,295

388,773

Sonoco

Products

Co.(d)

479

29,564

Southwestern

Energy

Co.*(d)

194,477

470,634

Spirit

AeroSystems

Holdings,

Inc.,

Class

A(a)

10,658

776,755

Sprouts

Farmers

Market,

Inc.*

22,689

439,032

SS&C

Technologies

Holdings,

Inc.(d)

611

37,515

Steel

Dynamics,

Inc.(a)

6,683

227,489

STERIS

plc(a)(d)

2,205

336,086

Stifel

Financial

Corp.(d)

2,571

155,931

Stryker

Corp.(a)

2,175

456,620

Synaptics,

Inc.*(d)

836

54,984

Synchrony

Financial(a)(d)

25,539

919,659

SYNNEX

Corp.(d)

1,230

158,424

Synopsys,

Inc.*(a)

1,976

275,059

Target

Corp.(a)

13,433

1,722,245

TE

Connectivity

Ltd.(a)

527

50,508

TEGNA,

Inc.(a)

53,766

897,355

Teledyne

Technologies,

Inc.*(a)(d)

4,435

1,536,905

Teradyne,

Inc.(d)

3,267

222,777

Textron,

Inc.(a)

13,424

598,710

38

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

56.6%

(continued)

Thermo

Fisher

Scientific,

Inc.(d)

2,494

$

810,226

Timken

Co.

(The)(a)

606

34,124

TJX

Cos.,

Inc.

(The)(a)(d)

11,856

723,927

T-Mobile

US,

Inc.*(a)

736

57,717

Toll

Brothers,

Inc.(d)

11,301

446,503

TRI

Pointe

Group,

Inc.*

13,665

212,901

Tyson

Foods,

Inc.,

Class

A(a)(d)

7,730

703,739

United

Therapeutics

Corp.*(d)

3,269

287,934

Universal

Health

Services,

Inc.,

Class

B(d)

5,110

733,081

Unum

Group

1,649

48,085

Urban

Outfitters,

Inc.*(d)

9,967

276,784

Valero

Energy

Corp.(a)

10,177

953,076

Varian

Medical

Systems,

Inc.*(a)

1,429

202,932

VeriSign,

Inc.*(a)

3,829

737,772

Verizon

Communications,

Inc.(a)

5,938

364,593

Vertex

Pharmaceuticals,

Inc.*(d)

92

20,143

VF

Corp.(a)

3,064

305,358

ViacomCBS,

Inc.(d)

748

31,394

Vishay

Intertechnology,

Inc.(d)

27,430

583,985

VMware,

Inc.,

Class

A*(d)

1,145

173,800

Voya

Financial,

Inc.(a)

4,914

299,656

Walgreens

Boots

Alliance,

Inc.(a)(d)

6,077

358,300

Walmart,

Inc.(a)(d)

6,865

815,837

Walt

Disney

Co.

(The)(d)

1,563

226,057

Waste

Management,

Inc.(a)

4,110

468,376

Werner

Enterprises,

Inc.(a)(d)

2,893

105,276

West

Pharmaceutical

Services,

Inc.(a)

2,203

331,177

Whirlpool

Corp.(d)

1,745

257,440

Williams-Sonoma,

Inc.(a)(d)

12,313

904,267

Woodward,

Inc.(a)(d)

4,517

534,993

World

Fuel

Services

Corp.(a)

1,073

46,590

WPX

Energy,

Inc.*(a)

9,910

136,163

Xerox

Holdings

Corp.(a)

24,985

921,197

Zebra

Technologies

Corp.,

Class

A*(a)

2,612

667,209

Zimmer

Biomet

Holdings,

Inc.(a)

3,641

544,985

Zoetis,

Inc.(a)

2,446

323,728

133,281,213

—

TOTAL

COMMON

STOCKS

(Cost

$198,461,397)

244,355,214

SHORT-TERM

INVESTMENTS

-

70.5%

INVESTMENT

COMPANIES

-

40.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(e)(f)

6,635,050

6,635,050

Limited

Purpose

Cash

Investment

Fund,

1.61%(e)

87,427,766

87,427,766

TOTAL

INVESTMENT

COMPANIES

(Cost

$94,047,843)

94,062,816

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

30.5%

U.S.

Treasury

Bills

2.06%,

1/2/2020(2)(g)

$

694,000

694,000

2.10%,

1/9/2020(2)(g)

6,110,000

6,108,329

2.03%,

1/23/2020(2)(g)

171,000

170,853

2.06%,

1/30/2020(2)(g)

13,493,000

13,477,729

1.97%,

2/6/2020(2)(g)

12,848,000

12,829,388

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

30.5%

(continued)

1.91%,

2/13/2020(2)(g)

$

16,695,000

$

16,666,027

1.86%,

2/20/2020(2)(g)

6,352,000

6,338,902

1.86%,

2/27/2020(2)(g)(h)

15,698,000

15,661,127

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$71,911,105)

71,946,355

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$165,958,948)

166,009,171

TOTAL

LONG

POSITIONS

(Cost

$364,420,345)

410,364,385

SHARES

SHORT

POSITIONS

-

(86.2)%

COMMON

STOCKS

-

(86.2)%

Australia

-

(2.4)%

Afterpay

Ltd.(2)*

(34,447)

(709,015)

AMP

Ltd.(2)

(408,013)

(548,858)

APA

Group(2)

(91,644)

(713,397)

Atlas

Arteria

Ltd.(2)

(34,954)

(192,193)

Challenger

Ltd.(2)

(112,628)

(640,913)

Commonwealth

Bank

of

Australia(2)

(2,418)

(135,645)

Domino's

Pizza

Enterprises

Ltd.(2)

(4,164)

(153,052)

Insurance

Australia

Group

Ltd.(2)

(70,685)

(379,799)

Medibank

Pvt

Ltd.(2)

(168,181)

(372,726)

Oil

Search

Ltd.(2)

(30,389)

(154,955)

QBE

Insurance

Group

Ltd.(2)

(56,514)

(510,687)

Ramsay

Health

Care

Ltd.(2)

(1,058)

(53,829)

SEEK

Ltd.(2)

(24,336)

(385,183)

Suncorp

Group

Ltd.(2)

(4,465)

(40,559)

Tabcorp

Holdings

Ltd.(2)

(9,054)

(28,784)

Treasury

Wine

Estates

Ltd.(2)

(20,201)

(230,105)

Viva

Energy

Group

Ltd.(2)(b)

(26,943)

(36,301)

Washington

H

Soul

Pattinson

&

Co.

Ltd.(2)

(6,093)

(91,919)

WiseTech

Global

Ltd.(2)

(10,263)

(168,541)

Worley

Ltd.(2)

(6,629)

(71,610)

(5,618,071)

—

Belgium

-

(0.7)%

Anheuser-Busch

InBev

SA/NV(2)

(6,227)

(509,994)

Telenet

Group

Holding

NV(2)

(5,134)

(230,789)

Umicore

SA(2)

(17,975)

(875,994)

(1,616,777)

—

Brazil

-

0.0%(c)

Yamana

Gold,

Inc.

(9,150)

(36,218)

Canada

-

(4.0)%

Agnico

Eagle

Mines

Ltd.

(9,612)

(592,020)

Alamos

Gold,

Inc.,

Class

A

(9,880)

(59,574)

AltaGas

Ltd.

(15,481)

(235,812)

Barrick

Gold

Corp.

(42,914)

(797,108)

BlackBerry

Ltd.*

(47,252)

(303,842)

Bombardier,

Inc.,

Class

B*

(168,968)

(251,133)

Cameco

Corp.

(24,612)

(218,723)

Canada

Goose

Holdings,

Inc.*

(19,816)

(717,377)

CCL

Industries,

Inc.,

Class

B

(7,405)

(315,463)

Cenovus

Energy,

Inc.

(12,474)

(126,801)

Dollarama,

Inc.

(1,531)

(52,619)

Finning

International,

Inc.

(8,653)

(168,589)

39

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Canada

-

(4.0)%

(continued)

Franco-Nevada

Corp.

(6,099)

$

(629,791)

Gildan

Activewear,

Inc.

(1,513)

(44,730)

Inter

Pipeline

Ltd.

(31,014)

(538,336)

Methanex

Corp.

(3,440)

(132,853)

Pan

American

Silver

Corp.

(11,506)

(272,554)

Parkland

Fuel

Corp.

(6,441)

(236,649)

PrairieSky

Royalty

Ltd.

(19,768)

(231,848)

Restaurant

Brands

International,

Inc.

(5,490)

(349,977)

Shopify,

Inc.,

Class

A*

(1,418)

(563,793)

SNC-Lavalin

Group,

Inc.

(51,092)

(1,178,394)

Vermilion

Energy,

Inc.

(1,865)

(30,491)

West

Fraser

Timber

Co.

Ltd.

(16,672)

(735,414)

Wheaton

Precious

Metals

Corp.

(18,295)

(544,391)

WSP

Global,

Inc.

(1,666)

(113,761)

(9,442,043)

—

Chile

-

(0.2)%

Lundin

Mining

Corp.

(83,076)

(496,454)

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR(2)

(5,754)

(276,330)

Denmark

-

(0.4)%

AP

Moller

-

Maersk

A/S,

Class

B(2)

(204)

(294,337)

Chr

Hansen

Holding

A/S(2)

(6,081)

(483,409)

FLSmidth

&

Co.

A/S(2)

(4,295)

(171,279)

(949,025)

—

France

-

(2.1)%

BioMerieux(2)

(371)

(33,076)

Bollore

SA(2)

(22,695)

(99,175)

Bollore

SA(2)*

(232)

(987)

Cie

Plastic

Omnium

SA(2)

(1,195)

(33,557)

Edenred(2)

(11,579)

(600,076)

Elior

Group

SA(2)(b)

(1,870)

(27,546)

Iliad

SA(2)

(6,247)

(812,560)

Imerys

SA(2)

(9,193)

(390,223)

Ipsen

SA(2)

(646)

(57,343)

JCDecaux

SA(2)

(4,826)

(149,114)

LVMH

Moet

Hennessy

Louis

Vuitton

SE(2)

(69)

(32,151)

Natixis

SA(2)

(4,528)

(20,170)

Orpea(2)

(3,934)

(504,713)

Remy

Cointreau

SA(2)

(2,203)

(270,753)

SEB

SA(2)

(1,959)

(291,358)

Ubisoft

Entertainment

SA(2)*

(4,749)

(329,026)

Valeo

SA(2)

(15,470)

(548,308)

Worldline

SA(2)*(b)

(9,305)

(659,640)

(4,859,776)

—

Germany

-

(2.8)%

1&1

Drillisch

AG(2)

(6,588)

(168,255)

CECONOMY

AG(2)*

(14,765)

(89,258)

Commerzbank

AG(2)

(43,227)

(266,971)

Delivery

Hero

SE(2)*(b)

(3,870)

(306,733)

Deutsche

Bank

AG

(Registered)(2)

(371,177)

(2,876,073)

GEA

Group

AG(2)

(5,779)

(191,282)

LANXESS

AG(2)

(1,331)

(89,368)

Nemetschek

SE(2)

(2,107)

(138,806)

INVESTMENTS

SHARES

VALUE

Germany

-

(2.8)%

(continued)

RWE

AG(2)

(18,833)

$

(577,080)

Sartorius

AG

(Preference)(2)

(1,751)

(374,297)

Telefonica

Deutschland

Holding

AG(2)

(94,278)

(273,492)

thyssenkrupp

AG(2)

(49,829)

(669,558)

United

Internet

AG

(Registered)(2)

(14,788)

(484,296)

Zalando

SE(2)*(b)

(2,176)

(109,736)

(6,615,205)

—

Ghana

-

(0.2)%

Kosmos

Energy

Ltd.

(73,969)

(421,623)

Italy

-

(1.4)%

Davide

Campari-Milano

SpA(2)

(105,919)

(967,813)

Ferrari

NV(2)

(2,598)

(431,361)

FinecoBank

Banca

Fineco

SpA(2)

(93,622)

(1,123,072)

Freni

Brembo

SpA(2)

(40,617)

(504,287)

Infrastrutture

Wireless

Italiane

SpA(2)

(b)

(2,883)

(28,216)

Pirelli

&

C

SpA(2)(b)

(43,995)

(253,925)

Prysmian

SpA(2)

(1,022)

(24,670)

Saipem

SpA(2)*

(15,707)

(76,818)

(3,410,162)

—

Japan

-

(17.0)%

Advantest

Corp.(2)

(5,600)

(315,830)

Aeon

Co.

Ltd.(2)

(56,400)

(1,163,892)

Asahi

Intecc

Co.

Ltd.(2)

(31,000)

(907,718)

Asics

Corp.(2)

(48,900)

(811,321)

Bank

of

Kyoto

Ltd.

(The)(2)

(600)

(25,585)

Benesse

Holdings,

Inc.(2)

(1,800)

(47,313)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.(2)

(15,700)

(401,140)

Cosmos

Pharmaceutical

Corp.(2)

(1,800)

(373,164)

Credit

Saison

Co.

Ltd.(2)

(24,400)

(423,188)

CyberAgent,

Inc.(2)

(40,900)

(1,424,783)

Daifuku

Co.

Ltd.(2)

(9,800)

(592,262)

Dentsu

Group,

Inc.(2)

(5,100)

(175,725)

Disco

Corp.(2)

(3,100)

(727,958)

Eisai

Co.

Ltd.(2)

(4,700)

(351,682)

FamilyMart

Co.

Ltd.(2)

(44,500)

(1,065,762)

Fancl

Corp.(2)

(1,200)

(31,949)

FANUC

Corp.(2)

(3,000)

(553,995)

Fast

Retailing

Co.

Ltd.(2)

(100)

(59,407)

Fuji

Electric

Co.

Ltd.(2)

(1,800)

(54,679)

GMO

Payment

Gateway,

Inc.(2)

(1,400)

(95,874)

Hisamitsu

Pharmaceutical

Co.,

Inc.(2)

(700)

(34,091)

Hitachi

Metals

Ltd.(2)

(11,100)

(163,389)

Hoshizaki

Corp.(2)

(1,600)

(142,656)

Ibiden

Co.

Ltd.(2)

(900)

(21,427)

IHI

Corp.(2)

(6,200)

(145,086)

Isetan

Mitsukoshi

Holdings

Ltd.(2)

(22,300)

(200,248)

Izumi

Co.

Ltd.(2)

(4,100)

(147,676)

J

Front

Retailing

Co.

Ltd.(2)

(5,900)

(82,289)

Japan

Airport

Terminal

Co.

Ltd.(2)

(6,400)

(355,105)

JGC

Holdings

Corp.(2)

(13,600)

(216,458)

Kansai

Paint

Co.

Ltd.(2)

(4,600)

(112,374)

Keikyu

Corp.(2)

(6,600)

(127,241)

Keio

Corp.(2)

(500)

(30,255)

Kikkoman

Corp.(2)

(14,600)

(714,740)

Kintetsu

Group

Holdings

Co.

Ltd.(2)

(1,700)

(92,208)

40

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

(17.0)%

(continued)

Kobayashi

Pharmaceutical

Co.

Ltd.(2)

(1,800)

$

(152,462)

Kobe

Bussan

Co.

Ltd.(2)

(2,300)

(79,130)

Koito

Manufacturing

Co.

Ltd.(2)

(2,900)

(134,287)

Kose

Corp.(2)

(6,600)

(962,042)

Kyushu

Electric

Power

Co.,

Inc.(2)

(7,600)

(65,937)

Lawson,

Inc.(2)

(2,900)

(164,612)

LINE

Corp.(2)*

(6,100)

(299,707)

LIXIL

Group

Corp.(2)

(5,700)

(98,364)

Makita

Corp.(2)

(6,100)

(210,663)

Marui

Group

Co.

Ltd.(2)

(5,000)

(121,913)

Matsumotokiyoshi

Holdings

Co.

Ltd.

(2)

(700)

(27,100)

Mercari,

Inc.(2)*

(23,300)

(476,345)

MINEBEA

MITSUMI,

Inc.(2)

(8,400)

(173,512)

MISUMI

Group,

Inc.(2)

(24,000)

(594,003)

Mitsubishi

Motors

Corp.(2)

(15,700)

(65,442)

MonotaRO

Co.

Ltd.(2)

(54,600)

(1,453,505)

Murata

Manufacturing

Co.

Ltd.(2)

(1,100)

(67,703)

Nabtesco

Corp.(2)

(5,800)

(170,908)

Nidec

Corp.(2)

(20,300)

(2,772,650)

Nifco,

Inc.(2)

(2,000)

(54,618)

Nintendo

Co.

Ltd.(2)

(800)

(319,968)

Nippon

Paint

Holdings

Co.

Ltd.(2)

(2,100)

(108,112)

Nippon

Yusen

KK(2)

(4,700)

(84,711)

Nisshin

Seifun

Group,

Inc.(2)

(1,500)

(26,171)

Olympus

Corp.(2)

(19,600)

(302,089)

Ono

Pharmaceutical

Co.

Ltd.(2)

(5,800)

(132,416)

Oriental

Land

Co.

Ltd.(2)

(1,000)

(136,441)

Pan

Pacific

International

Holdings

Corp.(2)

(28,400)

(471,192)

Panasonic

Corp.(2)

(2,800)

(26,262)

Park24

Co.

Ltd.(2)

(27,000)

(661,123)

PeptiDream,

Inc.(2)*

(7,600)

(388,385)

Persol

Holdings

Co.

Ltd.(2)

(44,100)

(826,485)

Pigeon

Corp.(2)

(22,600)

(827,526)

Pola

Orbis

Holdings,

Inc.(2)

(11,800)

(281,065)

Rakuten,

Inc.(2)

(32,900)

(281,071)

Recruit

Holdings

Co.

Ltd.(2)

(4,900)

(183,531)

Renesas

Electronics

Corp.(2)*

(122,100)

(834,181)

Rinnai

Corp.(2)

(300)

(23,445)

Rohm

Co.

Ltd.(2)

(2,600)

(207,452)

Ryohin

Keikaku

Co.

Ltd.(2)

(70,100)

(1,633,774)

SCREEN

Holdings

Co.

Ltd.(2)

(10,700)

(729,728)

Seiko

Epson

Corp.(2)

(3,600)

(54,356)

Sharp

Corp.(2)

(20,900)

(319,404)

Shimadzu

Corp.(2)

(9,400)

(293,968)

Shiseido

Co.

Ltd.(2)

(13,400)

(951,534)

SoftBank

Group

Corp.(2)

(17,100)

(742,432)

Sony

Financial

Holdings,

Inc.(2)

(12,700)

(304,862)

Sosei

Group

Corp.(2)*

(5,500)

(109,218)

Sundrug

Co.

Ltd.(2)

(1,000)

(36,182)

Suzuki

Motor

Corp.(2)

(8,600)

(358,981)

Sysmex

Corp.(2)

(9,500)

(646,807)

T&D

Holdings,

Inc.(2)

(13,900)

(175,775)

Taiyo

Nippon

Sanso

Corp.(2)

(3,400)

(75,255)

Takeda

Pharmaceutical

Co.

Ltd.(2)

(20,800)

(822,686)

THK

Co.

Ltd.(2)

(3,700)

(99,339)

Tokyo

Electron

Ltd.(2)

(900)

(196,497)

Toshiba

Corp.(2)

(27,000)

(916,427)

TOTO

Ltd.(2)

(12,400)

(523,616)

INVESTMENTS

SHARES

VALUE

Japan

-

(17.0)%

(continued)

Trend

Micro,

Inc.(2)

(600)

$

(30,702)

Tsuruha

Holdings,

Inc.(2)

(2,500)

(320,995)

Unicharm

Corp.(2)

(23,100)

(780,023)

USS

Co.

Ltd.(2)

(2,300)

(43,478)

Welcia

Holdings

Co.

Ltd.(2)

(3,400)

(216,000)

Yakult

Honsha

Co.

Ltd.(2)

(13,500)

(744,019)

Yamato

Holdings

Co.

Ltd.(2)

(51,200)

(872,939)

Yaskawa

Electric

Corp.(2)

(37,600)

(1,416,430)

Yokogawa

Electric

Corp.(2)

(9,100)

(159,806)

(40,030,232)

—

Luxembourg

-

(0.4)%

ArcelorMittal

SA(2)

(36,714)

(646,889)

Tenaris

SA(2)

(17,989)

(203,814)

(850,703)

—

Netherlands

-

(1.5)%

Adyen

NV(2)*(b)

(2,254)

(1,854,132)

Akzo

Nobel

NV(2)

(1,088)

(111,111)

Boskalis

Westminster(2)

(16,791)

(430,258)

Koninklijke

DSM

NV(2)

(351)

(45,892)

OCI

NV(2)*

(18,006)

(381,218)

SBM

Offshore

NV(2)

(12,181)

(227,578)

Takeaway.com

NV(2)*(b)

(4,174)

(385,829)

(3,436,018)

—

Norway

-

(0.3)%

Norsk

Hydro

ASA(2)

(165,720)

(616,249)

Panama

-

(0.2)%

Copa

Holdings

SA,

Class

A

(4,516)

(488,089)

Singapore

-

(0.4)%

City

Developments

Ltd.(2)

(9,700)

(78,947)

Singapore

Telecommunications

Ltd.

(2)

(362,900)

(909,833)

(988,780)

—

Spain

-

(1.4)%

Bankia

SA(2)

(73,451)

(157,270)

Cellnex

Telecom

SA(2)(b)

(46,906)

(2,023,320)

Ferrovial

SA(2)

(34,577)

(1,047,585)

Grifols

SA(2)

(2,491)

(88,011)

Industria

de

Diseno

Textil

SA(2)

(2,676)

(94,571)

(3,410,757)

—

Sweden

-

(0.6)%

Autoliv,

Inc.

(2,907)

(245,380)

BillerudKorsnas

AB(2)

(1,691)

(19,982)

Hexpol

AB(2)

(25,787)

(253,422)

Saab

AB,

Class

B(2)

(5,523)

(185,216)

Svenska

Cellulosa

AB

SCA,

Class

B(2)

(36,026)

(365,326)

Swedish

Match

AB(2)

(4,897)

(252,277)

(1,321,603)

—

41

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Switzerland

-

(1.5)%

ABB

Ltd.

(Registered)(2)

(28,103)

$

(677,932)

Credit

Suisse

Group

AG

(Registered)

(2)*

(27,984)

(378,279)

Dufry

AG

(Registered)(2)*

(2,577)

(255,539)

Glencore

plc(2)*

(155,427)

(483,956)

Idorsia

Ltd.(2)*

(9,776)

(302,266)

Lonza

Group

AG

(Registered)(2)*

(276)

(100,687)

OC

Oerlikon

Corp.

AG

(Registered)(2)

(8,127)

(95,239)

Sika

AG

(Registered)(2)

(109)

(20,470)

STMicroelectronics

NV(2)

(1,909)

(51,506)

Temenos

AG

(Registered)(2)*

(7,442)

(1,177,244)

UBS

Group

AG

(Registered)(2)*

(7,807)

(98,520)

(3,641,638)

—

United

Arab

Emirates

-

(0.3)%

NMC

Health

plc(2)

(31,163)

(730,130)

United

Kingdom

-

(2.9)%

Ashtead

Group

plc(2)

(1,288)

(41,183)

B&M

European

Value

Retail

SA(2)

(3,830)

(20,782)

British

American

Tobacco

plc(2)

(8,505)

(361,480)

Bunzl

plc(2)

(2,119)

(57,956)

Capita

plc(2)*

(35,766)

(77,898)

CNH

Industrial

NV(2)

(112,822)

(1,238,774)

ConvaTec

Group

plc(2)(b)

(55,514)

(146,098)

easyJet

plc(2)

(55,694)

(1,049,100)

Hargreaves

Lansdown

plc(2)

(10,087)

(258,744)

Hiscox

Ltd.(2)

(20,512)

(387,190)

Liberty

Global

plc,

Class

C*

(23,158)

(504,729)

Mondi

plc(2)

(8,874)

(208,088)

Ocado

Group

plc(2)*

(8,271)

(140,334)

Prudential

plc(2)

(63,442)

(1,215,589)

Reckitt

Benckiser

Group

plc(2)

(938)

(76,192)

RSA

Insurance

Group

plc(2)

(5,631)

(42,203)

Signature

Aviation

plc(2)

(8,881)

(37,337)

Standard

Chartered

plc(2)

(6,737)

(63,483)

Standard

Life

Aberdeen

plc(2)

(32,999)

(143,566)

Virgin

Money

UK

plc(2)

(89,563)

(223,592)

Vodafone

Group

plc(2)

(126,523)

(245,629)

Weir

Group

plc

(The)(2)

(9,381)

(187,620)

(6,727,567)

—

United

States

-

(45.1)%

2U,

Inc.*

(4,274)

(102,533)

Acadia

Healthcare

Co.,

Inc.*

(11,854)

(393,790)

Adient

plc*

(33,839)

(719,079)

Advanced

Micro

Devices,

Inc.*

(11,278)

(517,209)

AES

Corp.

(33,542)

(667,486)

Agios

Pharmaceuticals,

Inc.*

(21,804)

(1,041,141)

Albemarle

Corp.

(10,418)

(760,931)

Alcoa

Corp.*

(43,486)

(935,384)

Alkermes

plc*

(4,191)

(85,496)

Allegheny

Technologies,

Inc.*

(18,039)

(372,686)

Alnylam

Pharmaceuticals,

Inc.*

(5,218)

(600,957)

Alteryx,

Inc.,

Class

A*

(3,142)

(314,420)

Altice

USA,

Inc.,

Class

A*

(38,935)

(1,064,483)

Altria

Group,

Inc.

(8,600)

(429,226)

American

Airlines

Group,

Inc.

(13,604)

(390,163)

American

International

Group,

Inc.

(6,891)

(353,715)

Antero

Resources

Corp.*

(33,779)

(96,270)

INVESTMENTS

SHARES

VALUE

United

States

-

(45.1)%

(continued)

AO

Smith

Corp.

(4,147)

$

(197,563)

Apache

Corp.

(78,923)

(2,019,640)

Aptiv

plc

(4,510)

(428,315)

Arista

Networks,

Inc.*

(1,475)

(300,015)

Atlassian

Corp.

plc,

Class

A*

(4,504)

(542,011)

Avalara,

Inc.*

(5,240)

(383,830)

Avanos

Medical,

Inc.*

(3,820)

(128,734)

Axalta

Coating

Systems

Ltd.*

(3,212)

(97,645)

Axon

Enterprise,

Inc.*

(7,430)

(544,470)

Baker

Hughes

Co.

(25,921)

(664,355)

Ball

Corp.

(24,062)

(1,556,090)

BancorpSouth

Bank

(736)

(23,118)

Bank

OZK

(7,363)

(224,608)

Berry

Global

Group,

Inc.*

(566)

(26,879)

BGC

Partners,

Inc.,

Class

A

(50,064)

(297,380)

BioMarin

Pharmaceutical,

Inc.*

(776)

(65,611)

Bluebird

Bio,

Inc.*

(16,413)

(1,440,241)

Brink's

Co.

(The)

(2,649)

(240,211)

Carpenter

Technology

Corp.

(597)

(29,719)

Carvana

Co.*

(18,652)

(1,716,917)

Cboe

Global

Markets,

Inc.

(688)

(82,560)

CenterPoint

Energy,

Inc.

(35,629)

(971,603)

CenturyLink,

Inc.

(81,695)

(1,079,191)

Charles

Schwab

Corp.

(The)

(8,364)

(397,792)

Chemours

Co.

(The)

(18,399)

(332,838)

Cheniere

Energy,

Inc.*

(64,990)

(3,968,938)

Citizens

Financial

Group,

Inc.

(1,635)

(66,397)

CNO

Financial

Group,

Inc.

(11,196)

(202,983)

Cognex

Corp.

(1,738)

(97,398)

Coherent,

Inc.*

(323)

(53,731)

Comerica,

Inc.

(423)

(30,350)

CommScope

Holding

Co.,

Inc.*

(21,067)

(298,941)

CommVault

Systems,

Inc.*

(2,350)

(104,904)

Compass

Minerals

International,

Inc.

(3,122)

(190,317)

Concho

Resources,

Inc.

(5,785)

(506,592)

Core

Laboratories

NV

(4,725)

(177,991)

Coupa

Software,

Inc.*

(3,860)

(564,525)

Covetrus,

Inc.*

(40,554)

(535,313)

Cree,

Inc.*

(6,543)

(301,959)

CSX

Corp.

(486)

(35,167)

Cullen/Frost

Bankers,

Inc.

(1,874)

(183,240)

Dell

Technologies,

Inc.,

Class

C*

(631)

(32,427)

Devon

Energy

Corp.

(18,007)

(467,642)

DexCom,

Inc.*

(1,972)

(431,355)

Dominion

Energy,

Inc.

(2,902)

(240,344)

Dycom

Industries,

Inc.*

(4,272)

(201,425)

Eagle

Materials,

Inc.

(360)

(32,638)

Edgewell

Personal

Care

Co.*

(5,154)

(159,568)

Edison

International

(18,325)

(1,381,888)

Element

Solutions,

Inc.*

(52,683)

(615,337)

Energizer

Holdings,

Inc.

(2,903)

(145,789)

EQT

Corp.

(72,240)

(787,416)

Equifax,

Inc.

(1,931)

(270,572)

Equitrans

Midstream

Corp.

(112,927)

(1,508,705)

Erie

Indemnity

Co.,

Class

A

(1,267)

(210,322)

Exact

Sciences

Corp.*

(2,129)

(196,890)

FedEx

Corp.

(7,647)

(1,156,303)

FireEye,

Inc.*

(30,213)

(499,421)

First

Horizon

National

Corp.

(7,083)

(117,294)

Five

Below,

Inc.*

(843)

(107,786)

42

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

(45.1)%

(continued)

Floor

&

Decor

Holdings,

Inc.,

Class

A*

(7,923)

$

(402,568)

Fluor

Corp.

(55,049)

(1,039,325)

FNB

Corp.

(3,869)

(49,136)

Freeport-McMoRan,

Inc.

(179,958)

(2,361,048)

General

Electric

Co.

(112,085)

(1,250,869)

GoDaddy,

Inc.,

Class

A*

(864)

(58,683)

Granite

Construction,

Inc.

(11,955)

(330,795)

Green

Dot

Corp.,

Class

A*

(4,327)

(100,819)

Grubhub,

Inc.*

(13,963)

(679,160)

Hain

Celestial

Group,

Inc.

(The)*

(24,271)

(629,954)

Hancock

Whitney

Corp.

(557)

(24,441)

Harley-Davidson,

Inc.

(8,815)

(327,830)

Healthcare

Services

Group,

Inc.

(21,255)

(516,922)

HealthEquity,

Inc.*

(15,963)

(1,182,379)

Hess

Corp.

(29,514)

(1,971,830)

Home

BancShares,

Inc.

(9,849)

(193,631)

Howard

Hughes

Corp.

(The)*

(2,410)

(305,588)

IAA,

Inc.*

(13,243)

(623,216)

Illumina,

Inc.*

(1,619)

(537,087)

Insperity,

Inc.

(8,707)

(749,150)

Insulet

Corp.*

(1,914)

(327,677)

InterDigital,

Inc.

(5,970)

(325,305)

International

Flavors

&

Fragrances,

Inc.

(2,114)

(272,748)

International

Game

Technology

plc

(53,785)

(805,161)

James

Hardie

Industries

plc,

CHESS(2)

(3,204)

(62,620)

Kemper

Corp.

(624)

(48,360)

Kennametal,

Inc.

(897)

(33,090)

Kirby

Corp.*

(566)

(50,674)

Kraft

Heinz

Co.

(The)

(40,363)

(1,296,863)

Lions

Gate

Entertainment

Corp.,

Class

A*

(33,162)

(353,507)

LiveRamp

Holdings,

Inc.*

(8,836)

(424,747)

Lumentum

Holdings,

Inc.*

(5,931)

(470,328)

Macquarie

Infrastructure

Corp.

(5,899)

(252,713)

Madison

Square

Garden

Co.

(The),

Class

A*

(1,197)

(352,145)

Marvell

Technology

Group

Ltd.

(8,006)

(212,639)

Mattel,

Inc.*

(49,310)

(668,151)

Mercury

General

Corp.

(724)

(35,281)

MongoDB,

Inc.*

(4,400)

(579,084)

Mosaic

Co.

(The)

(9,022)

(195,236)

National

Fuel

Gas

Co.

(32,694)

(1,521,579)

National

Oilwell

Varco,

Inc.

(19,705)

(493,610)

NCR

Corp.*

(829)

(29,148)

Nektar

Therapeutics*

(82,463)

(1,779,964)

Netflix,

Inc.*

(4,685)

(1,515,925)

Newell

Brands,

Inc.

(50,497)

(970,552)

News

Corp.,

Class

A

(24,633)

(348,311)

Nielsen

Holdings

plc

(51,806)

(1,051,662)

NiSource,

Inc.

(33,994)

(946,393)

Noble

Energy,

Inc.

(16,356)

(406,283)

NOW,

Inc.*

(10,712)

(120,403)

NRG

Energy,

Inc.

(31,173)

(1,239,127)

Nutanix,

Inc.,

Class

A*

(8,492)

(265,460)

Occidental

Petroleum

Corp.

(45,097)

(1,858,447)

Oceaneering

International,

Inc.*

(3,721)

(55,480)

O-I

Glass,

Inc.

(65,448)

(780,795)

Okta,

Inc.*

(767)

(88,489)

INVESTMENTS

SHARES

VALUE

United

States

-

(45.1)%

(continued)

Olin

Corp.

(3,836)

$

(66,171)

Ollie's

Bargain

Outlet

Holdings,

Inc.*

(22,161)

(1,447,335)

PacWest

Bancorp

(10,115)

(387,101)

Papa

John's

International,

Inc.

(346)

(21,850)

Parsley

Energy,

Inc.,

Class

A

(2,707)

(51,189)

Penumbra,

Inc.*

(1,170)

(192,196)

Philip

Morris

International,

Inc.

(4,483)

(381,458)

Pluralsight,

Inc.,

Class

A*

(33,115)

(569,909)

PNM

Resources,

Inc.

(855)

(43,357)

Pure

Storage,

Inc.,

Class

A*

(75,573)

(1,293,054)

QEP

Resources,

Inc.

(130,988)

(589,446)

QIAGEN

NV(2)*

(12,497)

(425,814)

Range

Resources

Corp.

(132,412)

(642,198)

Regions

Financial

Corp.

(11,108)

(190,613)

Resideo

Technologies,

Inc.*

(4,580)

(54,639)

RingCentral,

Inc.,

Class

A*

(274)

(46,216)

Roku,

Inc.*

(8,021)

(1,074,012)

Sage

Therapeutics,

Inc.*

(13,353)

(963,953)

Schlumberger

Ltd.

(46,233)

(1,858,567)

Scientific

Games

Corp.*

(25,036)

(670,464)

Sealed

Air

Corp.

(8,733)

(347,835)

ServiceMaster

Global

Holdings,

Inc.*

(16,826)

(650,493)

Signet

Jewelers

Ltd.

(6,440)

(140,006)

Six

Flags

Entertainment

Corp.

(6,774)

(305,575)

SLM

Corp.

(8,192)

(72,991)

Smartsheet,

Inc.,

Class

A*

(8,390)

(376,879)

Snap,

Inc.,

Class

A*

(50,220)

(820,093)

Square,

Inc.,

Class

A*

(10,302)

(644,493)

Stericycle,

Inc.*

(5,038)

(321,475)

Sterling

Bancorp

(7,557)

(159,302)

SVB

Financial

Group*

(124)

(31,129)

Switch,

Inc.,

Class

A

(10,109)

(149,815)

Synovus

Financial

Corp.

(847)

(33,202)

Targa

Resources

Corp.

(35,786)

(1,461,142)

Tenet

Healthcare

Corp.*

(14,707)

(559,307)

Teradata

Corp.*

(5,601)

(149,939)

Tesla,

Inc.*

(3,723)

(1,557,443)

Texas

Capital

Bancshares,

Inc.*

(3,283)

(186,376)

Thor

Industries,

Inc.

(5,797)

(430,659)

Transocean

Ltd.*

(116,376)

(800,667)

TreeHouse

Foods,

Inc.*

(3,239)

(157,092)

Trex

Co.,

Inc.*

(11,214)

(1,007,914)

Trinity

Industries,

Inc.

(17,899)

(396,463)

Tupperware

Brands

Corp.

(7,727)

(66,298)

Twilio,

Inc.,

Class

A*

(10,028)

(985,552)

Ubiquiti,

Inc.

(1,477)

(279,123)

UGI

Corp.

(3,061)

(138,235)

Umpqua

Holdings

Corp.

(7,369)

(130,431)

Univar

Solutions,

Inc.*

(35,504)

(860,617)

Universal

Display

Corp.

(1,672)

(344,549)

Valaris

plc

(80,603)

(528,756)

Valley

National

Bancorp

(8,329)

(95,367)

Valvoline,

Inc.

(6,848)

(146,616)

Virtu

Financial,

Inc.,

Class

A

(16,688)

(266,841)

Visteon

Corp.*

(5,577)

(482,912)

Vistra

Energy

Corp.

(1,720)

(39,543)

Wayfair,

Inc.,

Class

A*

(10,946)

(989,190)

Webster

Financial

Corp.

(2,284)

(121,874)

Western

Digital

Corp.

(10,463)

(664,087)

43

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

(45.1)%

(continued)

Westinghouse

Air

Brake

Technologies

Corp.

(4,395)

$

(341,931)

Williams

Cos.,

Inc.

(The)

(51,395)

(1,219,089)

Workday,

Inc.,

Class

A*

(219)

(36,015)

World

Wrestling

Entertainment,

Inc.,

Class

A

(12,530)

(812,821)

WW

International,

Inc.*

(6,328)

(241,793)

Wynn

Resorts

Ltd.

(2,374)

(329,677)

XPO

Logistics,

Inc.*

(4,492)

(358,012)

Zayo

Group

Holdings,

Inc.*

(47,045)

(1,630,109)

Zendesk,

Inc.*

(7,064)

(541,314)

Zillow

Group,

Inc.,

Class

C*

(11,972)

(549,994)

Zscaler,

Inc.*

(3,493)

(162,425)

(106,183,564)

—

Zambia

-

(0.3)%

First

Quantum

Minerals

Ltd.

(76,714)

(778,040)

TOTAL

COMMON

STOCKS

(Proceeds$(222,684,733))

(202,945,054)

TOTAL

SHORT

POSITIONS

(Proceeds

$(222,684,733))

(202,945,054)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.0%

(Cost

$141,735,612)

207,419,331

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.0%(i)

28,114,235

NET

ASSETS

-

100.0%

$235,533,566

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,761,937)

(1.2)

%

Consumer

Discretionary

10,726,085

4.6

Consumer

Staples

1,292,118

0.5

Energy

(4,781,846)

(2.0)

Financials

17,032,973

7.2

Health

Care

12,096,131

5.1

Industrials

1,378,385

0.6

Information

Technology

6,168,051

2.6

Materials

(8,960,058)

(3.8)

Real

Estate

(384,535)

(0.2)

Utilities

9,604,793

4.1

Short-Term

Investments

166,009,171

70.5

Total

Investments

In

Securities

At

Value

207,419,331

88.0

Other

Assets

in

Excess

of

Liabilities(i)

28,114,235

12.0

Net

Assets

$

235,533,566

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

$165,131,492.

(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

December

31,

2019

amounted

to

$(3,623,170),

which

represents

approximately

(1.54)%

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

$53,984,889.

(e)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

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)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

44

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

Written

Call

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

8

EUR

(299,612)

EUR

3,600.00

1/17/2020

$

(13,236)

EURO

STOXX

50

Index

JPMS

4

EUR

(149,806)

EUR

3,675.00

1/17/2020

(3,711)

FTSE

100

Index

JPMS

3

GBP

(226,273)

GBP

7,350.00

1/17/2020

(9,100)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

24,000.00

2/14/2020

(5,246)

S&P

500

Index

JPMS

12

USD

(3,876,936)

USD

3,080.00

1/17/2020

(191,699)

S&P

500

Index

JPMS

6

USD

(1,938,468)

USD

3,090.00

1/17/2020

(81,000)

S&P

500

Index

JPMS

3

USD

(969,234)

USD

3,155.00

2/21/2020

(34,320)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,160.00

2/21/2020

(53,900)

S&P

500

Index

JPMS

10

USD

(3,230,780)

USD

3,190.00

1/17/2020

(54,980)

S&P

500

Index

JPMS

12

USD

(3,876,936)

USD

3,190.00

2/21/2020

(99,240)

(546,432)

Written

Put

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

26

EUR

(973,739)

EUR

3,600.00

1/17/2020

$

(2,741)

EURO

STOXX

50

Index

JPMS

4

EUR

(149,806)

EUR

3,625.00

1/17/2020

(534)

EURO

STOXX

50

Index

JPMS

25

EUR

(936,288)

EUR

3,650.00

1/17/2020

(4,291)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

22,625.00

2/14/2020

(2,945)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,000.00

2/14/2020

(4,326)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,125.00

1/10/2020

(1,123)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,375.00

1/10/2020

(2,025)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,375.00

2/14/2020

(6,166)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,500.00

1/10/2020

(2,669)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,625.00

2/14/2020

(8,007)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

23,750.00

1/10/2020

(2,393)

S&P

500

Index

JPMS

9

USD

(2,907,702)

USD

2,985.00

2/21/2020

(13,167)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,025.00

2/21/2020

(9,040)

S&P

500

Index

JPMS

3

USD

(969,234)

USD

3,030.00

2/21/2020

(5,520)

S&P

500

Index

JPMS

12

USD

(3,876,936)

USD

3,045.00

2/21/2020

(24,360)

S&P

500

Index

JPMS

8

USD

(2,584,624)

USD

3,070.00

2/21/2020

(20,056)

S&P

500

Index

JPMS

11

USD

(3,553,858)

USD

3,080.00

2/21/2020

(26,950)

S&P

500

Index

JPMS

10

USD

(3,230,780)

USD

3,105.00

1/17/2020

(7,100)

S&P

500

Index

JPMS

19

USD

(6,138,482)

USD

3,115.00

2/21/2020

(57,095)

S&P

500

Index

JPMS

10

USD

(3,230,780)

USD

3,125.00

1/17/2020

(8,480)

S&P

500

Index

JPMS

9

USD

(2,907,702)

USD

3,145.00

1/17/2020

(10,404)

S&P

500

Index

JPMS

11

USD

(3,553,858)

USD

3,155.00

2/21/2020

(38,555)

S&P

500

Index

JPMS

9

USD

(2,907,702)

USD

3,170.00

1/17/2020

(12,600)

(270,547)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($734,944))

$

(816,979)

45

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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)

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(48,805,400)

$

673,778

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/20/2020

CHF

3,787,920

22,245

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MSCS

03/20/2020

CHF

14,941,240

129,927

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

Euro

Interbank

Offered

Rate

(“EURIBOR”)

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

EUR

2,193,681

41,995

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.02%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

EUR

6,460,933

191,430

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

London

Interbank

Offered

Rate

(“LIBOR”)

plus

or

minus

a

specified

spread

(-0.22%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

CHF

2,242,053

52,000

1,111,375

Hang

Seng

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

01/30/2020

HKD

(5,654,000)

(6,375)

46

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

Australian

Bank-Bill

Swap

Reference

Rate

(“BBR”)

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

AUD

720,761

$

(2,009)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

Canadian

Bankers’

Acceptance

Rate

("BA")

plus

or

minus

a

specified

spread

(-0.70%)

Monthly

BANA

03/18/2020

CAD

(1,190,016)

(6,105)

MSCI

France

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

(-0.23%)

Monthly

BANA

03/18/2020

EUR

(2,565,999)

(60,294)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

EUR

115

(1)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.16%)

Monthly

BANA

03/18/2020

EUR

(1,119,707)

(21,587)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

Stockholm

Interbank

Offered

Rate

(“STIBOR”)

plus

or

minus

a

specified

spread

(-0.26%)

Monthly

BANA

03/18/2020

SEK

(31,450,037)

(81,488)

47

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.19%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/20/2020

GBP

12,547

$

(144)

(178,003)

$

933,372

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

35

Index

145

1/2020

EUR

$

15,497,446

$

(117,738)

Australia

10

Year

Bond

504

3/2020

AUD

50,561,719

(963,848)

Australia

3

Year

Bond

60

3/2020

AUD

4,842,650

(30,762)

DJIA

CBOT

E-Mini

Index

9

3/2020

USD

1,282,860

10,410

EURO

STOXX

50

Index

1,389

3/2020

EUR

58,099,360

(168,445)

Euro-Bund

739

3/2020

EUR

141,325,348

(2,162,471)

FTSE

100

Index

56

3/2020

GBP

5,562,578

(3,012)

FTSE/MIB

Index

95

3/2020

EUR

12,473,024

(39,338)

Japan

10

Year

Bond

3

3/2020

JPY

4,201,739

718

MSCI

EAFE

E-Mini

Index

2

3/2020

USD

203,650

(468)

NASDAQ

100

E-Mini

Index

17

3/2020

USD

2,975,765

49,868

Nikkei

225

Index

5

3/2020

JPY

1,087,847

14,596

Russell

2000

E-Mini

Index

29

3/2020

USD

2,422,370

26,730

S&P

Midcap

400

E-Mini

Index

5

3/2020

USD

1,032,400

9,133

S&P/TSX

60

Index

55

3/2020

CAD

8,576,027

(15,484)

SPI

200

Index

205

3/2020

AUD

23,747,482

(648,339)

U.S.

Treasury

10

Year

Note

163

3/2020

USD

20,932,766

(25,107)

U.S.

Treasury

2

Year

Note

10

3/2020

USD

2,155,000

274

U.S.

Treasury

5

Year

Note

5

3/2020

USD

593,047

(262)

U.S.

Treasury

Long

Bond

2

3/2020

USD

311,813

(5,046)

U.S.

Treasury

Ultra

Bond

1

3/2020

USD

181,656

(3,523)

(4,072,114)

Short

Contracts

Amsterdam

Exchange

Index

(72)

1/2020

EUR

(9,766,274)

39,844

CAC

40

10

Euro

Index

(374)

1/2020

EUR

(25,045,093)

3,124

Hang

Seng

Index

(47)

1/2020

HKD

(8,525,660)

(82,206)

OMXS30

Index

(264)

1/2020

SEK

(4,983,991)

57,189

Canada

10

Year

Bond

(404)

3/2020

CAD

(42,772,261)

771,514

DAX

Index

(29)

3/2020

EUR

(10,772,484)

50,500

Euro-Bobl

(9)

3/2020

EUR

(1,349,035)

6,043

Euro-BTP

(21)

3/2020

EUR

(3,355,745)

3,382

Euro-OAT

(4)

3/2020

EUR

(730,316)

10,695

Euro-Schatz

(117)

3/2020

EUR

(14,686,289)

8,871

Long

Gilt

(615)

3/2020

GBP

(107,025,956)

1,147,022

S&P

500

E-Mini

Index

(273)

3/2020

USD

(44,104,515)

(621,490)

48

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

TOPIX

Index

(15)

3/2020

JPY

$

(2,375,869)

$

5,923

1,400,411

$

(2,671,703)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

40,962,500

USD

28,068,514

CITI

3/18/2020

$

730,477

AUD

40,962,500

USD

28,068,549

JPMC

3/18/2020

730,443

CAD

38,225,511

USD

28,902,430

CITI

3/18/2020

542,468

CAD

38,225,489

USD

28,902,450

JPMC

3/18/2020

542,428

CHF

12,133,504

USD

12,364,934

CITI

3/18/2020

239,519

CHF

12,133,496

USD

12,364,942

JPMC

3/18/2020

239,503

DKK

21,500

USD

3,226

CITI

3/18/2020

18

DKK

21,500

USD

3,226

JPMC

3/18/2020

18

EUR

13,803,000

USD

15,405,012

CITI

3/18/2020

150,967

EUR

13,803,000

USD

15,405,031

JPMC

3/18/2020

150,946

GBP

32,885,510

USD

42,814,873

CITI

3/18/2020

835,627

GBP

32,885,490

USD

42,814,901

JPMC

3/18/2020

835,573

JPY

1,396,940,752

USD

12,892,874

CITI

3/18/2020

18,974

JPY

1,396,940,748

USD

12,892,890

JPMC

3/18/2020

18,959

NOK

44,120,500

USD

4,911,152

CITI

3/18/2020

115,492

NOK

44,120,500

USD

4,911,158

JPMC

3/18/2020

115,487

NZD

35,165,005

USD

22,787,164

CITI

3/18/2020

911,673

NZD

35,164,995

USD

22,787,186

JPMC

3/18/2020

911,648

SEK

26,402,497

USD

2,785,521

CITI

3/18/2020

43,582

SEK

26,402,503

USD

2,785,525

JPMC

3/18/2020

43,578

SGD

209,000

USD

154,008

CITI

3/18/2020

1,501

SGD

209,000

USD

154,009

JPMC

3/18/2020

1,501

USD

283,897

GBP

211,500

CITI

3/18/2020

3,163

USD

283,896

GBP

211,500

JPMC

3/18/2020

3,163

USD

2,348,773

JPY

253,418,752

CITI

3/18/2020

6,437

USD

2,348,770

JPY

253,418,752

JPMC

3/18/2020

6,435

USD

73,493

NZD

109,000

CITI

3/18/2020

35

USD

73,493

NZD

109,000

JPMC

3/18/2020

35

USD

1,191,065

SEK

11,087,200

CITI

3/18/2020

3,040

USD

1,191,063

SEK

11,087,200

JPMC

3/18/2020

3,038

Total

unrealized

appreciation

7,205,728

GBP

143,500

USD

193,165

CITI

3/18/2020

(2,690)

GBP

143,500

USD

193,165

JPMC

3/18/2020

(2,691)

JPY

1,338,555,752

USD

12,405,894

CITI

3/18/2020

(33,695)

JPY

1,338,555,748

USD

12,405,909

JPMC

3/18/2020

(33,710)

SEK

1,994,500

USD

214,349

CITI

3/18/2020

(632)

SEK

1,994,500

USD

214,350

JPMC

3/18/2020

(634)

USD

23,044,970

AUD

33,566,488

CITI

3/18/2020

(554,201)

USD

23,044,957

AUD

33,566,512

JPMC

3/18/2020

(554,229)

USD

5,071,666

CAD

6,703,508

CITI

3/18/2020

(92,009)

USD

5,071,647

CAD

6,703,492

JPMC

3/18/2020

(92,015)

USD

52,291,669

CHF

51,544,512

CITI

3/18/2020

(1,253,490)

USD

52,291,579

CHF

51,544,488

JPMC

3/18/2020

(1,253,555)

USD

645,357

DKK

4,318,500

CITI

3/18/2020

(6,280)

49

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

645,356

DKK

4,318,500

JPMC

3/18/2020

$

(6,280)

USD

30,148,333

EUR

27,087,005

CITI

3/18/2020

(378,721)

USD

30,148,284

EUR

27,086,995

JPMC

3/18/2020

(378,758)

USD

9,685,371

GBP

7,436,003

CITI

3/18/2020

(184,788)

USD

9,685,352

GBP

7,435,997

JPMC

3/18/2020

(184,801)

USD

5,722,390

JPY

621,768,752

CITI

3/18/2020

(24,585)

USD

5,722,383

JPY

621,768,752

JPMC

3/18/2020

(24,593)

USD

13,002,116

NOK

119,090,495

CITI

3/18/2020

(565,855)

USD

13,002,101

NOK

119,090,505

JPMC

3/18/2020

(565,872)

USD

13,128,731

NZD

20,236,004

CITI

3/18/2020

(508,969)

USD

13,128,709

NZD

20,235,996

JPMC

3/18/2020

(508,985)

USD

4,746,080

SEK

44,678,798

CITI

3/18/2020

(41,381)

USD

4,746,075

SEK

44,678,802

JPMC

3/18/2020

(41,386)

USD

303,917

SGD

413,496

CITI

3/18/2020

(3,750)

USD

303,923

SGD

413,504

JPMC

3/18/2020

(3,751)

Total

unrealized

depreciation

(7,302,306)

Net

unrealized

depreciation

$

(96,578)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(520,000)

$

–

$

(520,000)

Investment

Companies

761,544

–

761,544

BARC

Cash

–

9,782,454

9,782,454

CITI

Investment

Companies

2,505,538

–

2,505,538

GSCO

Cash

–

546,266

546,266

JPMC

Investment

Companies

3,367,967

–

3,367,967

JPMS

Cash

–

16,200,369

16,200,369

MLIN

Cash

2,070,000

–

2,070,000

MSCS

Cash

(290,000)

–

(290,000)

U.S.

Treasury

Bills

2,314,551

–

2,314,551

50

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

121.6%

COMMON

STOCKS

-

34.7%

Airlines

-

0.0%(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)*(b)

4,473

$

80,827

Auto

Components

-

0.9%

Faurecia

SE

(France)(2)

2,138

116,067

Garrett

Motion,

Inc.

(Switzerland)*

17,428

174,106

Keihin

Corp.

(Japan)(2)

96,433

2,252,213

Showa

Corp.

(Japan)(2)

106,296

2,202,730

Veoneer,

Inc.

(Sweden)*

7,817

122,101

4,867,217

Automobiles

-

0.3%

Fiat

Chrysler

Automobiles

NV

(United

Kingdom)(2)

50,939

755,249

Tesla,

Inc.*(b)

2,363

988,514

1,743,763

Banks

-

0.2%

Patriot

National

Bancorp,

Inc.

17,287

220,582

PNBK

Holdings

LLC,

Class

A(3)*(c)(d)

2,090,900

1,033,448

PNBK

Holdings

LLC,

Class

B(3)*(c)(d)

3,218

–

1,254,030

Biotechnology

-

1.9%

BioMarin

Pharmaceutical,

Inc.*(b)

3,088

261,091

Cyclerion

Therapeutics,

Inc.*

14,842

40,370

Intrexon

Corp.*(b)

34,184

187,328

Medicines

Co.

(The)*

113,347

9,627,694

10,116,483

Building

Products

-

0.0%(a)

Resideo

Technologies,

Inc.*

11,741

140,070

Capital

Markets

-

23.2%

Acamar

Partners

Acquisition

Corp.,

Class

A*(b)

450,000

4,509,000

Act

II

Global

Acquisition

Corp.,

Class

A*(b)

278,175

2,812,349

AMCI

Acquisition

Corp.,

Class

A(2)*(b)

210,000

2,121,000

Amplitude

Healthcare

Acquisition

Corp.(2)*

93,750

942,187

Apex

Technology

Acquisition

Corp.,

Class

A(2)*(b)

80,000

790,400

B

Riley

Principal

Merger

Corp.,

Class

A*

170,000

1,701,700

Big

Rock

Partners

Acquisition

Corp.*

200,000

2,120,000

Boxwood

Merger

Corp.,

Class

A*

34,251

349,018

CF

Finance

Acquisition

Corp.,

Class

A(2)*

300,000

3,069,000

CHP

Merger

Corp.*

250,000

2,542,500

INVESTMENTS

SHARES

VALUE

Capital

Markets

-

23.2%

(continued)

Churchill

Capital

Corp.

II,

Class

A*

69,999

$

722,838

CIIG

Merger

Corp.(2)*

125,000

1,265,000

Conyers

Park

II

Acquisition

Corp.,

Class

A(2)*

15,000

151,650

Crescent

Acquisition

Corp.,

Class

A(2)*

400,000

3,996,000

Diamond

Eagle

Acquisition

Corp.,

Class

A*

120,000

1,284,000

DiamondPeak

Holdings

Corp.,

Class

A*

459,999

4,576,990

Experience

Investment

Corp.,

Class

A(2)*

199,998

1,949,981

FinServ

Acquisition

Corp.(2)*

200,000

2,030,000

FinTech

Acquisition

Corp.

III,

Class

A*

250,000

2,532,500

GigCapital2,

Inc.(2)*

153,000

1,519,290

Gordon

Pointe

Acquisition

Corp.

(2)*

245,960

2,599,797

Gores

Metropoulos,

Inc.,

Class

A(2)*

99,999

1,011,990

Graf

Industrial

Corp.*

66,000

672,540

Greenvision

Acquisition

Corp.

(China)*

170,000

1,671,100

GS

Acquisition

Holdings

Corp.,

Class

A*

64,280

709,008

GX

Acquisition

Corp.,

Class

A*

400,000

4,004,000

Haymaker

Acquisition

Corp.

II,

Class

A*(b)

398,999

4,013,930

Healthcare

Merger

Corp.*

175,000

1,811,250

Hennessy

Capital

Acquisition

Corp.

IV,

Class

A*

400,000

4,064,000

Insurance

Acquisition

Corp.,

Class

A(2)*

220,000

2,195,600

Juniper

Industrial

Holdings,

Inc.

(2)*

300,000

3,030,000

Landcadia

Holdings

II,

Inc.,

Class

A(2)*

349,998

3,454,480

Legacy

Acquisition

Corp.,

Class

A*

100,000

1,027,000

Leisure

Acquisition

Corp.*

150,000

1,563,000

Leo

Holdings

Corp.,

Class

A

(United

Kingdom)(2)*

6,614

68,389

LGL

Systems

Acquisition

Corp.*

28,750

292,963

Longevity

Acquisition

Corp.

(China)*

125,000

22,888

Megalith

Financial

Acquisition

Corp.,

Class

A*

6,400

65,664

Merida

Merger

Corp.

I*

150,000

1,459,500

Monocle

Acquisition

Corp.*

236,119

2,403,691

Mudrick

Capital

Acquisition

Corp.,

Class

A(2)*

150,000

1,548,000

Nebula

Acquisition

Corp.,

Class

A*

69,998

737,779

New

Providence

Acquisition

Corp.,

Class

A(2)*

200,000

1,972,000

Opes

Acquisition

Corp.

(Mexico)

(2)*

100,000

1,052,000

Osprey

Technology

Acquisition

Corp.*

150,000

1,527,000

51

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Capital

Markets

-

23.2%

(continued)

Pivotal

Investment

Corp.

II,

Class

A*

199,998

$

1,987,980

Proficient

Alpha

Acquisition

Corp.*

80,000

805,600

PROMECAP

Acquisition

Co.

SAB

de

CV

(Mexico)(3)*(c)

400,000

4,104,191

PropTech

Acquisition

Corp.(2)*

162,500

1,657,500

Replay

Acquisition

Corp.(2)*

230,000

2,304,600

RMG

Acquisition

Corp.,

Class

A*

499,998

4,989,980

Schultze

Special

Purpose

Acquisition

Corp.*

138,000

1,399,320

Software

Acquisition

Group,

Inc.*

109,120

1,107,568

South

Mountain

Merger

Corp.,

Class

A*

300,000

2,961,000

Spartan

Energy

Acquisition

Corp.,

Class

A*

89,998

915,100

Stable

Road

Acquisition

Corp.*

125,000

1,286,250

Switchback

Energy

Acquisition

Corp.,

Class

A(2)*

339,999

3,321,790

Tortoise

Acquisition

Corp.,

Class

A(2)*

415,588

4,139,256

Trine

Acquisition

Corp.,

Class

A*

460,000

4,590,800

Tuscan

Holdings

Corp.*

320,000

3,187,200

Tuscan

Holdings

Corp.

II*

190,000

1,873,400

VectoIQ

Acquisition

Corp.*

62,580

645,826

XP,

Inc.,

Class

A

(Brazil)*

1,000

38,520

125,278,853

Chemicals

-

0.3%

Corteva,

Inc.

8,225

243,131

Dow,

Inc.

4,562

249,678

Hitachi

Chemical

Co.

Ltd.

(Japan)(2)

24,278

1,017,147

Livent

Corp.*

36,260

310,023

1,819,979

Commercial

Services

&

Supplies

-

0.1%

IAA,

Inc.*

6,119

287,960

Construction

&

Engineering

-

0.1%

Arcosa,

Inc.(b)

5,913

263,424

Diversified

Consumer

Services

-

0.1%

frontdoor,

Inc.*

5,343

253,365

Diversified

Financial

Services

-

0.0%(a)

Rescap

Liquidating

Trust*(b)

125,811

114,488

Electrical

Equipment

-

0.0%(a)

nVent

Electric

plc

9,069

231,985

Electronic

Equipment,

Instruments

&

Components

-

0.0%(a)

Arlo

Technologies,

Inc.*(b)

31,914

134,358

Energy

Equipment

&

Services

-

0.1%

Apergy

Corp.*(b)

6,608

223,218

KLX

Energy

Services

Holdings,

Inc.*(b)

8,271

53,266

276,484

Entertainment

-

0.2%

Cineplex,

Inc.

(Canada)

48,215

1,256,846

INVESTMENTS

SHARES

VALUE

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.1%

CorePoint

Lodging,

Inc.

1,263

$

13,489

Industrial

Logistics

Properties

Trust

7,722

173,127

Retail

Value,

Inc.

6,915

254,472

441,088

Health

Care

Equipment

&

Supplies

-

0.1%

Alcon,

Inc.

(Switzerland)*(b)

5,219

295,239

China

Medical

Technologies,

Inc.,

ADR

(China)(3)*(c)

4,931

–

295,239

Health

Care

Providers

&

Services

-

0.1%

Covetrus,

Inc.*

4,602

60,747

Pennant

Group,

Inc.

(The)*

14,746

487,650

548,397

Hotels,

Restaurants

&

Leisure

-

1.7%

Panera

Bread

Co.,

Class

A(3)*(c)

(d)

10,533

160,899

Stars

Group,

Inc.

(The)

(Canada)*

327,261

8,538,240

Wyndham

Hotels

&

Resorts,

Inc.

4,647

291,878

8,991,017

Insurance

-

0.4%

Power

Financial

Corp.

(Canada)

70,055

1,884,965

Interactive

Media

&

Services

-

1.6%

IAC/InterActiveCorp*

19,467

4,849,425

LINE

Corp.

(Japan)(2)*

77,947

3,829,711

8,679,136

Internet

&

Direct

Marketing

Retail

-

0.3%

Booking

Holdings,

Inc.*(b)

256

525,755

Wayfair,

Inc.,

Class

A*(b)

12,251

1,107,123

1,632,878

IT

Services

-

0.0%(a)

Euronet

Worldwide,

Inc.*(b)

715

112,655

Life

Sciences

Tools

&

Services

-

0.4%

Illumina,

Inc.*(b)

6,295

2,088,303

Machinery

-

0.0%(a)

Pentair

plc

3,151

144,536

Media

-

0.2%

Altice

USA,

Inc.,

Class

A*(b)

11,683

319,413

Fox

Corp.,

Class

B

11,960

435,344

iHeartMedia,

Inc.,

Class

A*

3,276

55,364

News

Corp.,

Class

A

11

156

Sirius

XM

Holdings,

Inc.(b)

221

1,580

811,857

52

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Metals

&

Mining

-

0.5%

Continental

Gold,

Inc.

(Canada)*

145,856

$

600,924

Detour

Gold

Corp.

(Canada)*

112,367

2,175,431

2,776,355

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Brooge

Holdings

Ltd.*

24,000

210,240

Equitrans

Midstream

Corp.

10,119

135,190

Quicksilver

Resources,

Inc.

(3)*(c)(d)

14,730

146,347

491,777

Personal

Products

-

0.0%(a)

BellRing

Brands,

Inc.,

Class

A*

10,000

212,900

Pharmaceuticals

-

0.3%

Jazz

Pharmaceuticals

plc*(b)

312

46,575

Mitsubishi

Tanabe

Pharma

Corp.

(Japan)(2)

83,038

1,523,340

1,569,915

Real

Estate

Management

&

Development

-

0.8%

Howard

Hughes

Corp.

(The)*(b)

23,488

2,978,278

Newmark

Group,

Inc.,

Class

A

22,004

296,064

TLG

Immobilien

AG

(Germany)

(2)

19,393

616,974

Unizo

Holdings

Co.

Ltd.

(Japan)

(2)

12,972

609,123

4,500,439

Semiconductors

&

Semiconductor

Equipment

-

0.1%

Impinj,

Inc.*(b)

26,327

680,816

Software

-

0.4%

Bill.Com

Holdings,

Inc.*

500

19,025

Cerence,

Inc.*

17,557

397,315

DocuSign,

Inc.*(b)

4,131

306,148

LivePerson,

Inc.*(b)

14,861

549,857

MINDBODY,

Inc.,

Class

A(3)*(c)

(d)

21,570

860,022

Proofpoint,

Inc.*(b)

1,666

191,224

Sprout

Social,

Inc.,

Class

A*

5,000

80,250

2,403,841

Textiles,

Apparel

&

Luxury

Goods

-

0.1%

Kontoor

Brands,

Inc.

7,140

299,809

Trading

Companies

&

Distributors

-

0.0%(a)

AM

Castle

&

Co.*(b)

8,695

14,347

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited(3)*(c)(d)

1

279,013

TOTAL

COMMON

STOCKS

(Cost

$185,182,727)

186,979,415

PREFERRED

STOCKS

-

1.0%

Banks

-

0.1%

FB

Corp.,

Class

C(3)*(c)(d)

786

593,216

INVESTMENTS

SHARES

VALUE

Multi-Utilities

-

0.3%

Dominion

Energy,

Inc.,

Series

A,

7.25%,

6/1/2022(2)(b)

13,425

$

1,436,341

Thrifts

&

Mortgage

Finance

-

0.6%

FHLMC,

Series

V,

5.57%,

2/3/2020*(b)(e)

83,409

828,251

FHLMC,

Series

W,

5.66%,

2/3/2020*(e)

29,460

296,073

FHLMC,

Series

X,

6.02%,

2/3/2020*(e)

47,843

542,540

FHLMC,

Series

Z,

8.38%,

12/31/2022*(e)(f)

45,876

543,631

FNMA,

Series

S,

8.25%,

12/31/2020*(e)(f)

77,876

930,618

3,141,113

TOTAL

PREFERRED

STOCKS

(Cost

$3,970,336)

5,170,670

CONVERTIBLE

PREFERRED

STOCKS

-

3.4%

Capital

Markets

-

0.3%

Virtus

Investment

Partners,

Inc.

Series

D,

$100

par,

7.25%,

2/1/2020(2)(b)

17,975

1,811,341

Diversified

Financial

Services

-

0.5%

2017

Mandatory

Exchangeable

Trust

$100

par,

5.19%,

12/1/2020(2)(b)(g)

18,425

2,847,386

Electric

Utilities

-

0.6%

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022(2)(b)

56,425

2,893,474

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

QTS

Realty

Trust,

Inc.

Series

B,

$100

par,

6.50%(2)(b)(e)

9,525

1,221,756

Gas

Utilities

-

0.1%

South

Jersey

Industries,

Inc.

$50

par,

7.25%,

4/15/2021(2)(b)

12,425

644,982

Health

Care

Technology

-

0.2%

Change

Healthcare,

Inc.

$50

par,

6.00%,

6/30/2022(2)(b)

14,475

868,355

Machinery

-

0.3%

Colfax

Corp.

$100

par,

5.75%,

1/15/2022(2)(b)

5,000

788,800

Fortive

Corp.

Series

A,

$1,000

par,

5.00%,

7/1/2021(2)(b)

875

851,721

1,640,521

53

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Multi-Utilities

-

1.0%

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021(2)(b)

39,775

$

1,938,476

DTE

Energy

Co.

$50

par,

6.25%,

11/1/2022(2)*(b)

43,400

2,224,684

Sempra

Energy

Series

A,

$100

par,

6.00%,

1/15/2021(2)(b)

7,925

951,362

5,114,522

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

NCR

Corp.

Series

A,

$1,000

par,

5.50%,

12/31/2049(2)*(b)

(e)(h)

925

1,200,942

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$16,120,993)

18,243,279

CLOSED

END

FUNDS

-

0.9%

Aberdeen

Australia

Equity

Fund,

Inc.(b)

749

4,052

Aberdeen

Global

Dynamic

Dividend

Fund(b)

1,327

13,801

Adams

Natural

Resources

Fund,

Inc.(b)

2,582

42,500

Apollo

Senior

Floating

Rate

Fund,

Inc.(b)

6,543

99,061

BlackRock

Enhanced

Global

Dividend

Trust

7,891

86,722

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

7,242

97,332

BlackRock

Floating

Rate

Income

Trust

2,302

29,627

BlackRock

Municipal

Bond

Trust

4,494

69,747

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

6,711

84,626

BlackRock

MuniHoldings

Quality

Fund,

Inc.

11,262

141,563

BlackRock

MuniYield

New

Jersey

Fund,

Inc.

5,841

88,141

BlackRock

MuniYield

Pennsylvania

Quality

Fund

15,148

216,465

BlackRock

New

York

Municipal

Income

Trust

8,397

117,724

Clough

Global

Equity

Fund

900

10,863

Clough

Global

Opportunities

Fund

19,674

185,723

Delaware

Investments

Minnesota

Municipal

Income

Fund

II,

Inc.

11,615

152,621

Dividend

and

Income

Fund

21,313

286,873

DTF

Tax-Free

Income,

Inc.

14,276

211,285

DWS

Municipal

Income

Trust

7,888

89,371

Eaton

Vance

Floating-Rate

Income

Trust

977

13,404

Eaton

Vance

New

York

Municipal

Bond

Fund

4,628

55,906

Eaton

Vance

Senior

Floating-

Rate

Trust

6,708

90,893

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

0.9%

(continued)

Federated

Premier

Municipal

Income

Fund

13,812

$

194,749

First

Trust

Senior

Floating

Rate

Income

Fund

II

1,618

20,306

Gabelli

Dividend

&

Income

Trust

(The)

7,705

169,125

High

Income

Securities

Fund

514

4,605

Madison

Covered

Call

&

Equity

Strategy

Fund

2,412

15,992

MFS

Investment

Grade

Municipal

Trust

3,287

32,104

New

Germany

Fund,

Inc.

(The)

1,102

17,279

Nuveen

Arizona

Quality

Municipal

Income

Fund

3,933

52,978

Nuveen

Floating

Rate

Income

Opportunity

Fund

7,571

75,634

Nuveen

Georgia

Quality

Municipal

Income

Fund

7,262

91,574

Nuveen

Maryland

Quality

Municipal

Income

Fund

2,104

28,299

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

2,675

38,039

Nuveen

Michigan

Quality

Municipal

Income

Fund

12,390

175,195

Nuveen

Ohio

Quality

Municipal

Income

Fund

8,934

137,807

Nuveen

Virginia

Quality

Municipal

Income

Fund

21,610

315,506

Pioneer

Floating

Rate

Trust

3,845

42,180

Pioneer

Municipal

High

Income

Advantage

Trust

494

5,340

Royce

Micro-Cap

Trust,

Inc.

814

6,952

Source

Capital,

Inc.(b)

2,110

81,636

Swiss

Helvetia

Fund,

Inc.

(The)

(b)

4,798

40,351

Tekla

Healthcare

Investors

11,830

247,010

Tekla

Life

Sciences

Investors

6,897

120,215

THL

Credit

Senior

Loan

Fund

3,991

60,543

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

35,806

221,639

Voya

Infrastructure

Industrials

and

Materials

Fund(b)

20,579

236,864

Western

Asset

Intermediate

Muni

Fund,

Inc.

24,756

224,784

Western

Asset

Municipal

Partners

Fund,

Inc.

3,892

59,353

TOTAL

CLOSED

END

FUNDS

(Cost

$4,603,560)

4,904,359

  PRINCIPAL

    AMOUNT

CORPORATE

BONDS

-

5.7%

Aerospace

&

Defense

-

0.2%

Bombardier,

Inc.

(Canada)

8.75%,

12/1/2021(2)(g)

$

1,000,000

1,095,625

Airlines

-

0.2%

United

Airlines

Holdings,

Inc.

6.00%,

12/1/2020(3)(c)

1,000,000

1,031,500

54

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Banks

-

0.0%(a)

Washington

Mutual,

Inc.

Escrow

0.00%,

9/29/2017(3)(c)(i)

$

5,000,000

$

60,000

Commercial

Services

&

Supplies

-

0.1%

Harland

Clarke

Holdings

Corp.

6.88%,

3/1/2020(2)(g)

636,000

635,841

Consumer

Finance

-

0.3%

Curo

Group

Holdings

Corp.

8.25%,

9/1/2025(2)(g)

1,000,000

879,980

Navient

Corp.

5.00%,

10/26/2020(2)

1,000,000

1,014,700

1,894,680

Diversified

Financial

Services

-

0.6%

Refinitiv

US

Holdings,

Inc.

8.25%,

11/15/2026(2)(g)

2,900,000

3,266,125

Diversified

Telecommunication

Services

-

0.6%

CenturyLink,

Inc.

Series

V,

5.63%,

4/1/2020(2)

1,000,000

1,006,250

Series

S,

6.45%,

6/15/2021(2)

2,000,000

2,093,500

3,099,750

Energy

Equipment

&

Services

-

0.0%

Green

Field

Energy

Services,

Inc.

13.00%,

7/23/2019(3)(c)(i)

2,073,000

–

Food

Products

-

0.2%

Viterra,

Inc.

(Switzerland)

5.95%,

8/1/2020(2)(g)

923,000

942,256

Gas

Utilities

-

0.4%

Ferrellgas

LP

6.50%,

5/1/2021(2)

2,500,000

2,162,500

Health

Care

Equipment

&

Supplies

-

0.2%

Kinetic

Concepts,

Inc.

12.50%,

11/1/2021(2)(g)

985,000

1,013,319

Health

Care

Providers

&

Services

-

0.7%

HCA

Healthcare,

Inc.

6.25%,

2/15/2021(2)

2,000,000

2,085,000

Owens

&

Minor,

Inc.

4.38%,

12/15/2024(2)(b)

2,000,000

1,520,000

3,605,000

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

Energy

Future

Holdings

0.00%,

12/1/2018(3)(c)(i)

1,000,000

–

Media

-

0.0%(a)

iHeartCommunications,

Inc.

14.00%,

2/1/2021(3)(c)(i)

1,010,000

–

6.38%,

5/1/2026(2)

12,439

13,496

8.38%,

5/1/2027(2)

23,318

25,767

39,263

Metals

&

Mining

-

0.2%

Aleris

International,

Inc.

10.75%,

7/15/2023(2)(g)

1,095,000

1,141,538

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Oil,

Gas

&

Consumable

Fuels

-

0.4%

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2021(3)(c)(i)

$

2,375,000

$

344,375

Black

Elk

Energy

Escrow

13.75%,

12/1/2015(3)(c)

(d)(i)

2,833,436

162,150

Energy

Transfer

Operating

LP

7.50%,

10/15/2020(2)

1,000,000

1,039,229

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2020(3)(c)(h)

3,412,225

648,790

2,194,544

Pharmaceuticals

-

0.1%

Advanz

Pharma

Corp.

(Canada)

8.00%,

9/6/2024(2)

549,000

518,805

Semiconductors

&

Semiconductor

Equipment

-

0.1%

SunEdison,

Inc.

2.00%,

10/1/2018(3)(c)(i)

16,350,000

347,438

2.75%,

1/1/2021(3)(c)(i)

4,400,000

93,500

440,938

Specialty

Retail

-

0.8%

GameStop

Corp.

6.75%,

3/15/2021(2)(b)(g)

2,500,000

2,456,250

Men's

Wearhouse,

Inc.

(The)

7.00%,

7/1/2022(2)

2,000,000

1,910,000

4,366,250

Technology

Hardware,

Storage

&

Peripherals

-

0.4%

Lexmark

International,

Inc.

7.13%,

3/15/2020(2)(j)

2,000,000

1,960,800

Wireless

Telecommunication

Services

-

0.2%

Sprint

Communications,

Inc.

7.00%,

8/15/2020(2)

1,000,000

1,021,250

T-Mobile

USA,

Inc.

4.75%,

2/1/2028(3)(c)(i)

2,301,000

–

1,021,250

TOTAL

CORPORATE

BONDS

(Cost

$64,333,205)

30,489,984

CONVERTIBLE

BONDS

-

38.9%

Air

Freight

&

Logistics

-

0.6%

Atlas

Air

Worldwide

Holdings,

Inc.

1.88%,

6/1/2024(2)(b)

3,875,000

3,267,012

Airlines

-

0.7%

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024(2)(b)(g)

1,025,000

1,180,030

Norwegian

Air

Shuttle

ASA

(Norway)

6.38%,

11/15/2024(2)(k)

2,400,000

2,336,400

3,516,430

Auto

Components

-

0.1%

Veoneer,

Inc.

(Sweden)

4.00%,

6/1/2024(2)(b)

775,000

792,856

55

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Automobiles

-

0.7%

Tesla,

Inc.

2.00%,

5/15/2024(2)(b)

$

1,700,000

$

2,570,098

Winnebago

Industries,

Inc.

1.50%,

4/1/2025(2)(b)(g)

950,000

1,017,052

3,587,150

Biotechnology

-

5.0%

Apellis

Pharmaceuticals,

Inc.

3.50%,

9/15/2026(2)(b)(g)

3,175,000

3,270,250

Clovis

Oncology,

Inc.

4.50%,

8/1/2024(2)(b)(g)

1,175,000

1,622,910

1.25%,

5/1/2025(2)(b)

625,000

392,188

Cytokinetics,

Inc.

4.00%,

11/15/2026(2)(b)

2,425,000

2,896,615

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024(2)(b)(g)

2,075,000

1,727,370

Intercept

Pharmaceuticals,

Inc.

2.00%,

5/15/2026(2)(b)

400,000

529,243

Intrexon

Corp.

3.50%,

7/1/2023(2)(b)

2,550,000

1,528,406

Invitae

Corp.

2.00%,

9/1/2024(2)(b)(g)

575,000

520,212

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024(2)(b)(g)

1,400,000

1,654,098

1.50%,

6/15/2026(2)(b)(g)

1,400,000

1,678,133

Karyopharm

Therapeutics,

Inc.

3.00%,

10/15/2025(2)(b)

1,900,000

2,706,312

Ligand

Pharmaceuticals,

Inc.

0.75%,

5/15/2023(2)(b)

225,000

194,184

OPKO

Health,

Inc.

4.50%,

2/15/2025(2)(b)

5,075,000

3,968,945

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026(2)(b)(g)

2,050,000

2,383,780

Verastem,

Inc.

5.00%,

11/1/2048(2)(b)

1,996,000

1,727,139

26,799,785

Capital

Markets

-

2.4%

Deutsche

Bank

AG

(Germany)

1.00%,

5/1/2023(2)(b)

1,975,000

2,059,708

Hercules

Capital,

Inc.

4.38%,

2/1/2022(2)(b)

1,225,000

1,251,158

New

Mountain

Finance

Corp.

5.75%,

8/15/2023(2)(b)

3,325,000

3,486,854

Prospect

Capital

Corp.

6.38%,

3/1/2025(2)(b)

3,000,000

3,184,345

TPG

Specialty

Lending,

Inc.

4.50%,

8/1/2022(2)(b)

2,750,000

2,912,638

12,894,703

Communications

Equipment

-

0.8%

Harmonic,

Inc.

2.00%,

9/1/2024(2)(b)(g)

375,000

426,338

Infinera

Corp.

2.13%,

9/1/2024(2)(b)

1,625,000

1,715,381

Lumentum

Holdings,

Inc.

Series

QIB,

0.50%,

12/15/2026(2)(b)(g)

2,025,000

2,197,125

4,338,844

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Construction

&

Engineering

-

0.4%

Granite

Construction,

Inc.

2.75%,

11/1/2024(2)(b)(g)

$

2,175,000

$

2,357,559

Consumer

Finance

-

0.5%

Encore

Capital

Group,

Inc.

3.25%,

10/1/2025(2)(b)(g)

1,400,000

1,508,957

EZCORP,

Inc.

2.88%,

7/1/2024(2)(b)

475,000

444,422

2.38%,

5/1/2025(2)(b)

1,025,000

830,250

2,783,629

Diversified

Financial

Services

-

0.2%

Element

Fleet

Management

Corp.

(Canada)

4.25%,

6/30/2024(2)(b)

CAD

1,100,000

972,808

Diversified

Telecommunication

Services

-

0.1%

Vonage

Holdings

Corp.

1.75%,

6/1/2024(2)(b)(g)

$

775,000

691,994

Electrical

Equipment

-

0.3%

Plug

Power,

Inc.

5.50%,

3/15/2023(2)(b)

1,100,000

1,612,038

Electronic

Equipment,

Instruments

&

Components

-

0.3%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025(2)(b)(g)

1,375,000

1,620,833

Energy

Equipment

&

Services

-

0.5%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023(2)(b)

1,125,000

1,451,250

SEACOR

Holdings,

Inc.

2.50%,

12/15/2027(2)(b)

1,150,000

1,117,908

2,569,158

Entertainment

-

0.1%

iQIYI,

Inc.

(China)

2.00%,

4/1/2025(2)(b)(g)

700,000

694,833

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

CorEnergy

Infrastructure

Trust,

Inc.

5.88%,

8/15/2025(2)(b)(g)

2,300,000

2,337,676

Uniti

Fiber

Holdings,

Inc.

4.00%,

6/15/2024(2)(b)(g)

1,800,000

1,611,455

3,949,131

Food

&

Staples

Retailing

-

0.5%

Chefs'

Warehouse,

Inc.

(The)

1.88%,

12/1/2024(2)(b)(g)

2,425,000

2,668,244

Health

Care

Equipment

&

Supplies

-

0.6%

China

Medical

Technologies,

Inc.

(China)

4.00%,

8/15/2013(3)(c)(i)

250,000

–

6.25%,

12/15/2016(3)(c)

(g)(i)

2,625,000

–

Senseonics

Holdings,

Inc.

5.25%,

1/15/2025(2)(b)(g)

675,000

638,498

Wright

Medical

Group,

Inc.

1.63%,

6/15/2023(2)

2,316,000

2,446,352

3,084,850

Health

Care

Providers

&

Services

-

1.0%

Anthem,

Inc.

2.75%,

10/15/2042(2)(b)

1,279,000

5,371,411

56

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Health

Care

Technology

-

0.4%

Allscripts

Healthcare

Solutions,

Inc.

0.88%,

1/1/2027(2)(b)(g)

$

2,300,000

$

2,249,721

Hotels,

Restaurants

&

Leisure

-

0.1%

Caesars

Entertainment

Corp.

5.00%,

10/1/2024(2)

318,000

610,958

Insurance

-

0.4%

AXA

SA

(France)

7.25%,

5/15/2021(2)(b)(g)

900,000

1,037,700

HCI

Group,

Inc.

4.25%,

3/1/2037(2)(b)

1,175,000

1,203,090

2,240,790

Interactive

Media

&

Services

-

1.2%

JOYY,

Inc.

(China)

1.38%,

6/15/2026(2)(b)(g)

475,000

428,537

Zillow

Group,

Inc.

1.50%,

7/1/2023(2)(b)

1,175,000

1,124,980

0.75%,

9/1/2024(2)(b)(g)

1,950,000

2,372,531

1.38%,

9/1/2026(2)(b)(g)

1,950,000

2,372,516

6,298,564

Internet

&

Direct

Marketing

Retail

-

2.1%

Etsy,

Inc.

0.00%,

3/1/2023(2)(b)

225,000

316,812

IAC

Financeco

3,

Inc.

2.00%,

1/15/2030(2)(b)(g)

775,000

903,340

MercadoLibre,

Inc.

(Argentina)

2.00%,

8/15/2028(2)(b)

1,250,000

1,863,078

Quotient

Technology,

Inc.

1.75%,

12/1/2022(2)(b)

475,000

466,881

Wayfair,

Inc.

1.13%,

11/1/2024(2)(b)

1,250,000

1,295,555

1.00%,

8/15/2026(2)(b)(g)

7,575,000

6,661,636

11,507,302

IT

Services

-

0.8%

Akamai

Technologies,

Inc.

0.38%,

9/1/2027(2)(b)(g)

2,025,000

1,999,322

Carbonite,

Inc.

2.50%,

4/1/2022(2)

1,127,000

1,192,329

KBR,

Inc.

2.50%,

11/1/2023(2)(b)(g)

775,000

1,026,875

4,218,526

Media

-

1.0%

Liberty

Latin

America

Ltd.

(Chile)

2.00%,

7/15/2024(2)(b)(g)

1,450,000

1,542,438

Liberty

Media

Corp.

2.25%,

12/1/2048(2)(b)(g)

1,525,000

1,809,984

2.75%,

12/1/2049(2)(b)(g)

2,000,000

2,095,000

5,447,422

Metals

&

Mining

-

1.1%

Allegheny

Technologies,

Inc.

4.75%,

7/1/2022(2)(b)

1,475,000

2,342,647

Cleveland-Cliffs,

Inc.

1.50%,

1/15/2025(2)(b)

325,000

388,690

Endeavour

Mining

Corp.

(Ivory

Coast)

3.00%,

2/15/2023(2)(b)(g)

350,000

367,080

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Metals

&

Mining

-

1.1%

(continued)

United

States

Steel

Corp.

5.00%,

11/1/2026(2)(b)(g)

$

2,550,000

$

2,833,293

5,931,710

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

3.5%

Apollo

Commercial

Real

Estate

Finance,

Inc.

4.75%,

8/23/2022(2)(b)

2,250,000

2,259,269

5.38%,

10/15/2023(2)(b)

1,550,000

1,570,691

Arbor

Realty

Trust,

Inc.

4.75%,

11/1/2022(2)(b)(g)

3,125,000

3,112,383

Blackstone

Mortgage

Trust,

Inc.

4.38%,

5/5/2022(2)(b)

900,000

955,387

4.75%,

3/15/2023(2)(b)

1,800,000

1,925,154

Granite

Point

Mortgage

Trust,

Inc.

6.38%,

10/1/2023(2)(b)

1,900,000

1,978,375

MFA

Financial,

Inc.

6.25%,

6/15/2024(2)(b)

2,125,000

2,213,984

PennyMac

Corp.

5.50%,

11/1/2024(2)(b)(g)

825,000

818,561

Redwood

Trust,

Inc.

4.75%,

8/15/2023(2)(b)

1,375,000

1,405,185

5.63%,

7/15/2024(2)(b)

2,775,000

2,826,937

19,065,926

Oil,

Gas

&

Consumable

Fuels

-

1.4%

Green

Plains,

Inc.

4.13%,

9/1/2022(2)(b)

500,000

466,228

4.00%,

7/1/2024(2)(b)(g)

2,125,000

2,591,172

Scorpio

Tankers,

Inc.

(Monaco)

3.00%,

5/15/2022(2)(b)

1,250,000

1,532,768

SFL

Corp.

Ltd.

(Norway)

5.75%,

10/15/2021(2)(b)

2,600,000

2,763,490

7,353,658

Pharmaceuticals

-

1.6%

Aerie

Pharmaceuticals,

Inc.

1.50%,

10/1/2024(2)(b)(g)

1,225,000

1,464,113

Aphria,

Inc.

(Canada)

5.25%,

6/1/2024(2)(b)(g)

1,150,000

762,594

Lannett

Co.,

Inc.

4.50%,

10/1/2026(2)(b)(g)

3,250,000

2,741,217

Omeros

Corp.

Class

B-3,

6.25%,

11/15/2023(2)(b)

2,250,000

2,158,926

Teva

Pharmaceutical

Finance

Co.

LLC

(Israel)

Series

C,

0.25%,

2/1/2026(2)(b)

1,000,000

947,930

Tilray,

Inc.

(Canada)

5.00%,

10/1/2023(2)(b)

725,000

377,000

8,451,780

Semiconductors

&

Semiconductor

Equipment

-

4.8%

Impinj,

Inc.

2.00%,

12/15/2026(2)(b)(g)

1,450,000

1,420,130

Microchip

Technology,

Inc.

2.25%,

2/15/2037(2)(b)

1,726,000

2,507,177

Novellus

Systems,

Inc.

2.63%,

5/15/2041(2)(b)

2,400,000

21,883,930

SunEdison,

Inc.

0.25%,

1/15/2020(3)(c)(i)

575,000

12,219

25,823,456

57

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

Software

-

3.6%

8x8,

Inc.

0.50%,

2/1/2024(2)(b)(g)

$

800,000

$

796,478

Atlassian,

Inc.

0.63%,

5/1/2023(2)(b)

350,000

553,322

Benefitfocus,

Inc.

1.25%,

12/15/2023(2)

2,625,000

2,264,063

Blackline,

Inc.

0.13%,

8/1/2024(2)(b)(g)

650,000

647,156

CyberArk

Software

Ltd.

0.00%,

11/15/2024(2)(b)(g)

1,825,000

1,884,621

Everbridge,

Inc.

0.13%,

12/15/2024(2)(b)(g)

1,575,000

1,556,492

FireEye,

Inc.

0.88%,

6/1/2024(2)(b)

525,000

527,710

j2

Global,

Inc.

1.75%,

11/1/2026(2)(b)(g)

2,725,000

2,764,486

Pluralsight,

Inc.

0.38%,

3/1/2024(2)(b)(g)

3,150,000

2,733,958

Rapid7,

Inc.

1.25%,

8/1/2023(2)(b)

400,000

596,017

SailPoint

Technologies

Holding,

Inc.

0.13%,

9/15/2024(2)(b)(g)

2,125,000

2,285,948

Splunk,

Inc.

1.13%,

9/15/2025(2)(b)

2,175,000

2,682,047

Workiva,

Inc.

1.13%,

8/15/2026(2)(b)(g)

325,000

291,444

19,583,742

Specialty

Retail

-

0.9%

Guess?,

Inc.

2.00%,

4/15/2024(2)(b)(g)

900,000

987,187

RH

0.00%,

6/15/2023(2)(b)

825,000

1,046,765

0.00%,

9/15/2024(2)(b)(g)

2,350,000

2,786,494

4,820,446

Trading

Companies

&

Distributors

-

0.0%(a)

AM

Castle

&

Co.

7.00%,

8/31/2022(2)

106,492

3,195

Wireless

Telecommunication

Services

-

0.5%

Gogo,

Inc.

6.00%,

5/22/2022(2)(b)

1,975,000

2,469,619

TOTAL

CONVERTIBLE

BONDS

(Cost

$181,890,805)

209,650,083

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

LOAN

PARTICIPATIONS

-

0.5%

Distributors

-

0.2%

American

Tire

Distributors,

Inc.,

U.S.

Junior

FILO

Facility

(ICE

LIBOR

USD

3

Month

+

6.00%),

7.79%,

9/1/2023(3)(c)(l)

$

107,388

$

105,442

American

Tire

Distributors,

Inc.,

U.S.

Senior

Secured

Term

Loan

(ICE

LIBOR

USD

1

Month

+

7.50%;

ICE

LIBOR

USD

3

Month

+

7.50%),

9.20%,

9/2/2024(2)(l)

1,060,744

941,411

1,046,853

Media

-

0.0%(a)

iHeartCommunications,

Inc.,

First

Lien

Term

Loan

(ICE

LIBOR

USD

1

Month

+

4.00%),

5.69%,

5/1/2026(2)(l)

36,329

36,587

Personal

Products

-

0.3%

Revlon

Consumer

Products

Corp.,

Term

Loan

(ICE

LIBOR

USD

3

Month

+

3.50%),

5.60%,

9/7/2023(2)(l)

2,474,425

1,887,516

TOTAL

LOAN

PARTICIPATIONS

(Cost

$2,894,510)

2,970,956

NO.

OF

RIGHTS

RIGHTS

-

0.2%

Biotechnology

-

0.0%(a)

Ambit

Biosciences

Corp.,

CVR(3)*(c)(d)

146,272

68,831

Tobira

Therapeutics,

Inc.,

CVR(3)*(c)(d)

11,880

122,999

191,830

Capital

Markets

-

0.2%

Allegro

Merger

Corp.,

expiring

12/31/2023*

180,000

57,456

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022(2)*

200,000

52,000

GigCapital2,

Inc.,

expiring

2/28/2026(2)*

153,000

38,250

Greenvision

Acquisition

Corp.,

expiring

1/6/2021

(China)(2)*

170,000

30,600

HL

Acquisitions

Corp.,

expiring

6/1/2026*

54,000

13,662

KBL

Merger

Corp.

IV(2)*

1,000,000

155,000

Pensare

Acquisition

Corp.,

expiring

8/8/2022*

1,000,000

290,000

Proficient

Alpha

Acquisition

Corp.,

expiring

4/30/2026(2)*

80,000

13,600

58

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

NO.

OF

RIGHTS

VALUE

Capital

Markets

-

0.2%

(continued)

TKK

Symphony

Acquisition

Corp.

(Hong

Kong)*

370,000

$

92,500

743,068

TOTAL

RIGHTS

(Cost

$–)

934,898

NO.

OF

WARRANTS

WARRANTS

-

2.2%

Aerospace

&

Defense

-

0.1%

Tempus

Applied

Solutions

Holdings,

Inc.,

expiring

7/31/2020(2)*

614,551

22,738

Virgin

Galactic

Holdings,

Inc.,

expiring

10/25/2024*

83,334

279,169

301,907

Biotechnology

-

0.0%(a)

DermTech,

Inc.,

expiring

8/29/2024*

675,000

209,250

Xynomic

Pharmaceuticals

Holdings,

Inc.,

expiring

5/15/2024(3)*(c)

75,000

1,500

210,750

Capital

Markets

-

1.3%

Acamar

Partners

Acquisition

Corp.,

expiring

2/26/2026*(b)

150,000

103,500

Acasta

Enterprises,

Inc.,

expiring

1/3/2022

(Canada)(3)*(c)

579,085

2,230

Act

II

Global

Acquisition

Corp.,

expiring

4/30/2024*(b)

180,000

198,000

Allegro

Merger

Corp.,

expiring

1/6/2025*

180,000

31,464

AMCI

Acquisition

Corp.,

expiring

10/1/2025(2)*(b)

460,000

142,646

Apex

Technology

Acquisition

Corp.,

expiring

9/30/2026*

40,000

50,000

B

Riley

Principal

Merger

Corp.,

expiring

4/8/2024(2)*

85,000

69,700

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022(2)*

100,000

17,350

Boxwood

Merger

Corp.,

expiring

11/26/2025*

321,747

199,483

CF

Finance

Acquisition

Corp.,

expiring

4/30/2025(2)*

300,000

270,000

ChaSerg

Technology

Acquisition

Corp.,

expiring

9/30/2023*

90,000

198,000

Churchill

Capital

Corp.

II,

expiring

7/24/2024*

23,333

33,208

Conyers

Park

II

Acquisition

Corp.,

expiring

12/31/2026*

3,750

7,012

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

1.3%

(continued)

Crescent

Acquisition

Corp.,

expiring

3/7/2024(2)*

200,000

$

160,000

Diamond

Eagle

Acquisition

Corp.,

expiring

6/30/2026*

40,000

96,000

DiamondPeak

Holdings

Corp.,

expiring

4/12/2024(3)*(c)

153,333

118,066

Experience

Investment

Corp.,

expiring

9/1/2026(3)*(c)

66,666

44,666

Far

Point

Acquisition

Corp.,

expiring

6/1/2025*

33,333

43,000

FinTech

Acquisition

Corp.

III,

expiring

12/1/2023*

230,000

315,100

Forum

Merger

II

Corp.,

expiring

9/30/2025*

180,000

82,818

GigCapital2,

Inc.,

expiring

7/1/2024(2)*

153,000

48,960

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023*

122,980

44,273

Gores

Holdings

III,

Inc.,

expiring

9/11/2023*

66,666

103,332

Gores

Metropoulos,

Inc.,

expiring

3/25/2024*

33,333

49,989

Graf

Industrial

Corp.,

expiring

12/31/2025*

198,000

86,724

Greenvision

Acquisition

Corp.,

expiring

10/28/2024(2)*

170,000

23,681

GS

Acquisition

Holdings

Corp.,

expiring

7/30/2023*

100,000

230,490

GX

Acquisition

Corp.,

expiring

5/24/2026*

200,000

159,980

Haymaker

Acquisition

Corp.

II,

expiring

10/31/2026*(b)

133,333

188,000

Hennessy

Capital

Acquisition

Corp.

IV,

expiring

9/25/2025*

300,000

240,000

HL

Acquisitions

Corp.,

expiring

7/18/2023*

54,000

18,900

Hunter

Maritime

Acquisition

Corp.,

expiring

3/21/2024*

470,000

47,000

Insurance

Acquisition

Corp.,

expiring

3/31/2024(2)*

110,000

130,900

KBL

Merger

Corp.

IV,

expiring

1/15/2024*

500,000

40,000

Landcadia

Holdings

II,

Inc.,

expiring

5/9/2026(2)*

116,666

84,000

Legacy

Acquisition

Corp.,

expiring

11/30/2022*

250,000

134,400

Leisure

Acquisition

Corp.,

expiring

12/28/2022*

125,000

123,750

Leo

Holdings

Corp.,

expiring

4/5/2023

(United

Kingdom)*

125,000

82,900

59

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

1.3%

(continued)

LF

Capital

Acquisition

Corp.,

expiring

6/27/2023(3)*(c)

240,000

$

108,000

Longevity

Acquisition

Corp.,

expiring

7/31/2025

(China)(2)*

125,000

11,250

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023*

128,200

41,037

Merida

Merger

Corp.

I,

expiring

11/7/2026*

75,000

37,500

Monocle

Acquisition

Corp.,

expiring

6/12/2024*

336,119

268,895

Mudrick

Capital

Acquisition

Corp.,

expiring

3/12/2025*

250,000

125,000

Nebula

Acquisition

Corp.,

expiring

1/12/2023(2)*

46,666

58,333

New

Frontier

Health

Corp.,

expiring

7/25/2023

(Hong

Kong)*

50,000

76,500

New

Providence

Acquisition

Corp.,

expiring

9/1/2024(3)*(c)

100,000

90,000

Opes

Acquisition

Corp.,

expiring

1/15/2023*

250,000

45,000

Pensare

Acquisition

Corp.,

expiring

8/8/2022*

250,000

82,500

Pivotal

Acquisition

Corp.,

expiring

12/1/2025(3)*(c)

247,565

148,539

Pivotal

Investment

Corp.

II,

expiring

6/1/2025(3)*(c)

66,666

52,666

Proficient

Alpha

Acquisition

Corp.,

expiring

4/30/2026(2)*

80,000

12,000

PROMECAP

Acquisition

Co.

SAB

de

CV,

expiring

3/23/2023

(Mexico)(3)*(c)

400,000

19,040

Pure

Acquisition

Corp.,

expiring

4/17/2023*

172,500

169,050

Replay

Acquisition

Corp.,

expiring

4/8/2024(3)*(c)

115,000

96,600

RMG

Acquisition

Corp.,

expiring

2/21/2026(3)*(c)

166,666

96,666

Schultze

Special

Purpose

Acquisition

Corp.,

expiring

12/31/2023(2)*

288,000

109,440

South

Mountain

Merger

Corp.,

expiring

6/20/2024*

150,000

134,790

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023*

48,333

26,583

Switchback

Energy

Acquisition

Corp.,

expiring

12/31/2024*

113,333

68,000

Tenzing

Acquisition

Corp.,

expiring

8/23/2025(2)*

250,000

62,500

Tiberius

Acquisition

Corp.,

expiring

4/10/2023*

117,500

133,950

TKK

Symphony

Acquisition

Corp.,

expiring

8/20/2023

(Hong

Kong)*

370,000

22,200

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

1.3%

(continued)

Tortoise

Acquisition

Corp.,

expiring

3/4/2024(2)*

207,794

$

97,268

Trine

Acquisition

Corp.,

expiring

3/5/2024*

230,000

218,500

Tuscan

Holdings

Corp.,

expiring

4/1/2026(2)*

320,000

188,800

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025(2)*

95,000

42,760

VectoIQ

Acquisition

Corp.,

expiring

6/11/2023*

180,000

106,200

6,769,089

Commercial

Services

&

Supplies

-

0.0%(a)

Estre

Ambiental,

Inc.,

expiring

12/22/2022

(Brazil)*(b)

661,870

3,508

Construction

&

Engineering

-

0.0%(a)

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023*

343,006

27,441

Limbach

Holdings,

Inc.,

expiring

7/20/2021(2)*(b)

168,252

25,406

Peck

Co.

Holdings,

Inc.

(The),

expiring

6/20/2024(2)*

122,916

1,856

54,703

Consumer

Finance

-

0.0%(a)

China

Lending

Corp.,

expiring

7/6/2021

(China)

(2)*(b)

142,386

100

Diversified

Consumer

Services

-

0.1%

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)*

99,990

583,942

Energy

Equipment

&

Services

-

0.0%(a)

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023*

259,500

233,550

Entertainment

-

0.0%(a)

Akazoo

SA,

expiring

12/31/2024*(b)

147,836

73,918

Kew

Media

Group,

Inc.,

expiring

3/20/2022

(Canada)*

50,000

770

74,688

Food

Products

-

0.0%(a)

Bioceres

Crop

Solutions

Corp.,

expiring

3/14/2024

(Argentina)*

249,978

39,994

Hotels,

Restaurants

&

Leisure

-

0.1%

Accel

Entertainment,

Inc.,

expiring

11/20/2024*

66,666

196,665

Allied

Esports

Entertainment,

Inc.,

expiring

8/9/2024*(b)

210,000

39,900

Inspired

Entertainment,

Inc.,

expiring

12/23/2021*

372,453

160,155

60

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Hotels,

Restaurants

&

Leisure

-

0.1%

(continued)

Simplicity

Esports

and

Gaming

Co.,

expiring

11/20/2023*(b)

225,000

$

87,727

Target

Hospitality

Corp.,

expiring

3/15/2024*

53,333

27,733

512,180

Insurance

-

0.0%(a)

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)*

175,000

115,898

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023*

276,625

91,840

207,738

Internet

&

Direct

Marketing

Retail

-

0.0%(a)

LXRandCo,

Inc.,

expiring

6/9/2022

(Canada)(3)*(c)

1,274,000

4,905

Reebonz

Holding

Ltd.,

expiring

12/19/2023

(Singapore)(2)*(b)

75,000

825

5,730

IT

Services

-

0.1%

Exela

Technologies,

Inc.,

expiring

7/12/2022*(b)

880,354

5,722

Repay

Holdings

Corp.,

expiring

7/11/2024*

180,000

201,600

Verra

Mobility

Corp.,

expiring

10/17/2023*

66,666

269,331

476,653

Machinery

-

0.1%

Blue

Bird

Corp.,

expiring

2/24/2020(2)*

53,842

318,745

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024*

131,393

49,929

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Alta

Mesa

Resources,

Inc.,

expiring

2/9/2023*(b)

308,333

92

Altus

Midstream

Co.,

expiring

11/12/2023*

125,000

12,500

Brooge

Holdings

Ltd.,

expiring

12/20/2024*

240,000

177,576

Falcon

Minerals

Corp.,

expiring

8/23/2023(2)*

222,879

66,864

NextDecade

Corp.,

expiring

7/24/2022*

547,770

191,720

Rosehill

Resources,

Inc.,

expiring

4/27/2022*

244,800

22,032

470,784

Pharmaceuticals

-

0.1%

AYR

Strategies,

Inc.,

expiring

5/24/2024

(Canada)*

145,400

335,913

Professional

Services

-

0.1%

Akerna

Corp.,

expiring

8/1/2024*

7,500

7,200

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Professional

Services

-

0.1%

(continued)

Clarivate

Analytics

plc,

expiring

5/13/2024

(United

Kingdom)*

77,500

$

484,375

491,575

Road

&

Rail

-

0.0%(a)

Daseke,

Inc.,

expiring

2/27/2022*

378,003

44,604

Software

-

0.1%

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024*

314,900

179,461

Kaleyra,

Inc.,

expiring

3/6/2025*

281,250

317,812

Phunware,

Inc.,

expiring

12/26/2023*

58,632

4,691

Rimini

Street,

Inc.,

expiring

9/30/2022*(b)

471,690

56,603

558,567

Specialty

Retail

-

0.0%(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)*(b)

125,000

2,500

Technology

Hardware,

Storage

&

Peripherals

-

0.0%(a)

Borqs

Technologies,

Inc.,

expiring

8/18/2022

(China)*(b)

373,500

747

Trading

Companies

&

Distributors

-

0.0%(a)

Nesco

Holdings,

Inc.,

expiring

1/1/2025*

83,333

39,166

Wireless

Telecommunication

Services

-

0.0%(a)

Trilogy

International

Partners,

Inc.,

expiring

2/7/2022

(Canada)(3)*(c)

445,000

3,427

TOTAL

WARRANTS

(Cost

$704,803)

11,790,489

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

69,654

DEMC

Ltd.,

Class

A-3(3)*(c)(d)

146,077,276,370

154,842

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

$647,263)

225,010

61

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

34.1%

INVESTMENT

COMPANIES

-

27.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(m)(n)

29,390,294

$

29,390,294

Limited

Purpose

Cash

Investment

Fund,

1.61%(m)

117,303,301

117,303,301

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(m)

1,671

1,671

TOTAL

INVESTMENT

COMPANIES

(Cost

$146,687,068)

146,695,266

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

6.9%

U.S.

Treasury

Bills

2.06%,

1/2/2020(2)(o)

$

3,870,000

3,870,000

2.10%,

1/9/2020(2)(o)(p)

4,580,000

4,578,748

1.97%,

2/6/2020(2)(o)(p)

3,910,000

3,904,336

1.91%,

2/13/2020(2)(o)(p)

10,629,000

10,610,554

1.55%,

5/7/2020(2)(o)(p)

14,492,000

14,414,712

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$37,368,573)

37,378,350

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$184,055,641)

184,073,616

TOTAL

LONG

POSITIONS

(Cost

$644,403,843)

655,432,759

SHARES

SHORT

POSITIONS

-

(27.3)%

COMMON

STOCKS

-

(25.4)%

Aerospace

&

Defense

-

(0.1)%

Virgin

Galactic

Holdings,

Inc.*

(35,000)

(404,250)

Air

Freight

&

Logistics

-

(0.1)%

Atlas

Air

Worldwide

Holdings,

Inc.*

(21,569)

(594,657)

Airlines

-

(0.2)%

Norwegian

Air

Shuttle

ASA

(Norway)(2)*

(264,499)

(1,141,626)

Auto

Components

-

(0.1)%

Veoneer,

Inc.

(Sweden)*

(21,709)

(339,095)

Automobiles

-

(0.8)%

Peugeot

SA

(France)(2)

(29,254)

(704,353)

Tesla,

Inc.*

(6,972)

(2,916,597)

Winnebago

Industries,

Inc.

(9,689)

(513,323)

(4,134,273)

Biotechnology

-

(2.5)%

Apellis

Pharmaceuticals,

Inc.*

(61,951)

(1,896,940)

Clovis

Oncology,

Inc.*

(145,230)

(1,514,023)

Cytokinetics,

Inc.*

(181,570)

(1,926,458)

Inovio

Pharmaceuticals,

Inc.*

(221,688)

(731,570)

Intercept

Pharmaceuticals,

Inc.*

(3,044)

(377,212)

Invitae

Corp.*

(11,409)

(184,027)

Ironwood

Pharmaceuticals,

Inc.*

(157,420)

(2,095,260)

Karyopharm

Therapeutics,

Inc.*

(100,665)

(1,929,748)

Ligand

Pharmaceuticals,

Inc.*

(208)

(21,692)

OPKO

Health,

Inc.*

(408,499)

(600,494)

PTC

Therapeutics,

Inc.*

(29,079)

(1,396,664)

INVESTMENTS

SHARES

VALUE

Biotechnology

-

(2.5)%

(continued)

Verastem,

Inc.*

(604,170)

$

(809,588)

(13,483,676)

Capital

Markets

-

(0.7)%

Hercules

Capital,

Inc.

(11,570)

(162,212)

New

Mountain

Finance

Corp.

(35,657)

(489,927)

Penson

Worldwide,

Inc.(3)*(c)

(212,307)

–

Prospect

Capital

Corp.

(13,289)

(85,581)

TPG

Specialty

Lending,

Inc.

(57,300)

(1,230,231)

Virtus

Investment

Partners,

Inc.

(14,645)

(1,782,589)

(3,750,540)

Communications

Equipment

-

(0.2)%

Harmonic,

Inc.*

(30,752)

(239,866)

Infinera

Corp.*

(105,332)

(836,336)

(1,076,202)

Construction

&

Engineering

-

(0.2)%

Granite

Construction,

Inc.

(45,962)

(1,271,769)

Limbach

Holdings,

Inc.*

(10,000)

(37,800)

(1,309,569)

Consumer

Finance

-

(0.2)%

Encore

Capital

Group,

Inc.*

(25,025)

(884,884)

EZCORP,

Inc.,

Class

A*

(42,750)

(291,555)

(1,176,439)

Containers

&

Packaging

-

0.0%(a)

Ranpak

Holdings

Corp.*

(5,110)

(41,646)

Diversified

Consumer

Services

-

(0.3)%

OneSpaWorld

Holdings

Ltd.

(Bahamas)*

(109,990)

(1,852,232)

Diversified

Financial

Services

-

(0.4)%

AXA

Equitable

Holdings,

Inc.

(32,266)

(799,551)

Element

Fleet

Management

Corp.

(Canada)

(48,382)

(413,197)

Voya

Financial,

Inc.

(13,613)

(830,121)

(2,042,869)

Diversified

Telecommunication

Services

-

0.0%(a)

Vonage

Holdings

Corp.*

(11,736)

(86,964)

Electric

Utilities

-

(0.3)%

NextEra

Energy,

Inc.

(7,301)

(1,768,010)

Electrical

Equipment

-

(0.2)%

Plug

Power,

Inc.*

(386,344)

(1,220,847)

Electronic

Equipment,

Instruments

&

Components

-

(0.2)%

Insight

Enterprises,

Inc.*

(14,290)

(1,004,444)

Energy

Equipment

&

Services

-

(0.4)%

Helix

Energy

Solutions

Group,

Inc.*

(79,415)

(764,766)

National

Energy

Services

Reunited

Corp.*

(104,992)

(957,527)

62

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Energy

Equipment

&

Services

-

(0.4)%

(continued)

SEACOR

Holdings,

Inc.*

(6,333)

$

(273,269)

(1,995,562)

Entertainment

-

(0.3)%

iQIYI,

Inc.,

ADR

(China)*

(13,514)

(285,280)

Live

Nation

Entertainment,

Inc.*

(15,685)

(1,121,007)

(1,406,287)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

(0.4)%

CorEnergy

Infrastructure

Trust,

Inc.

(15,319)

(684,912)

QTS

Realty

Trust,

Inc.,

Class

A

(13,276)

(720,489)

Uniti

Group,

Inc.

(83,276)

(683,696)

(2,089,097)

Food

&

Staples

Retailing

-

(0.2)%

Chefs'

Warehouse,

Inc.

(The)*

(28,587)

(1,089,451)

Gas

Utilities

-

(0.1)%

South

Jersey

Industries,

Inc.

(12,846)

(423,661)

Health

Care

Equipment

&

Supplies

-

0.0%(a)

China

Medical

Technologies,

Inc.,

ADR

(China)(3)*(c)

(40,234)

–

Senseonics

Holdings,

Inc.*

(219,886)

(201,416)

(201,416)

Health

Care

Providers

&

Services

-

(1.0)%

AdaptHealth

Corp.*

(5,738)

(63,003)

Anthem,

Inc.

(17,276)

(5,217,871)

(5,280,874)

Health

Care

Technology

-

(0.1)%

Change

Healthcare,

Inc.*

(43,146)

(707,163)

Hotels,

Restaurants

&

Leisure

-

(0.1)%

Accel

Entertainment,

Inc.*

(20,000)

(250,000)

Target

Hospitality

Corp.*

(14,934)

(74,670)

(324,670)

Insurance

-

(0.4)%

HCI

Group,

Inc.

(6,723)

(306,905)

Power

Corp.

of

Canada

(Canada)

(73,554)

(1,894,714)

(2,201,619)

Interactive

Media

&

Services

-

(1.8)%

ANGI

Homeservices,

Inc.,

Class

A*

(97,270)

(823,877)

JOYY,

Inc.,

ADR

(China)*

(2,476)

(130,708)

Match

Group,

Inc.*

(52,313)

(4,295,420)

Weibo

Corp.,

ADR

(China)*

(26,394)

(1,223,362)

Zillow

Group,

Inc.,

Class

C*

(73,892)

(3,394,599)

(9,867,966)

Internet

&

Direct

Marketing

Retail

-

(1.1)%

Etsy,

Inc.*

(4,806)

(212,906)

MercadoLibre,

Inc.

(Argentina)*

(2,312)

(1,322,325)

INVESTMENTS

SHARES

VALUE

Internet

&

Direct

Marketing

Retail

-

(1.1)%

(continued)

Quotient

Technology,

Inc.*

(11,015)

$

(108,608)

Takeaway.com

NV

(Netherlands)

(2)*(g)

(3,419)

(316,040)

Wayfair,

Inc.,

Class

A*

(44,441)

(4,016,133)

(5,976,012)

IT

Services

-

(0.6)%

Akamai

Technologies,

Inc.*

(9,063)

(782,862)

KBR,

Inc.

(23,238)

(708,759)

Repay

Holdings

Corp.*

(40,500)

(593,325)

Verra

Mobility

Corp.*

(80,785)

(1,130,182)

(3,215,128)

Machinery

-

(0.4)%

Blue

Bird

Corp.*

(45,043)

(1,032,386)

Colfax

Corp.*

(19,101)

(694,894)

Fortive

Corp.

(7,889)

(602,641)

(2,329,921)

Media

-

(0.9)%

Fox

Corp.,

Class

A

(11,690)

(433,348)

Liberty

Latin

America

Ltd.,

Class

C

(Chile)*

(42,717)

(831,273)

New

York

Times

Co.

(The),

Class

A

(83,042)

(2,671,461)

News

Corp.,

Class

B

(10)

(145)

Sirius

XM

Holdings,

Inc.

(111,603)

(797,962)

(4,734,189)

Metals

&

Mining

-

(1.1)%

Allegheny

Technologies,

Inc.*

(85,234)

(1,760,935)

Cleveland-Cliffs,

Inc.

(30,797)

(258,695)

Endeavour

Mining

Corp.

(Ivory

Coast)*

(6,955)

(131,382)

Kirkland

Lake

Gold

Ltd.

(Canada)

(48,801)

(2,151,145)

United

States

Steel

Corp.

(139,313)

(1,589,561)

(5,891,718)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

(0.7)%

Apollo

Commercial

Real

Estate

Finance,

Inc.

(32,229)

(589,469)

Arbor

Realty

Trust,

Inc.

(21,064)

(302,268)

Blackstone

Mortgage

Trust,

Inc.,

Class

A

(34,774)

(1,294,288)

Granite

Point

Mortgage

Trust,

Inc.

(12,994)

(238,830)

MFA

Financial,

Inc.

(16,032)

(122,645)

PennyMac

Mortgage

Investment

Trust

(7,278)

(162,227)

Redwood

Trust,

Inc.

(48,960)

(809,798)

(3,519,525)

Multi-Utilities

-

(0.8)%

CenterPoint

Energy,

Inc.

(48,899)

(1,333,476)

Dominion

Energy,

Inc.

(11,235)

(930,483)

DTE

Energy

Co.

(10,421)

(1,353,375)

63

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Multi-Utilities

-

(0.8)%

(continued)

Sempra

Energy

(4,793)

$

(726,043)

(4,343,377)

Oil,

Gas

&

Consumable

Fuels

-

(0.8)%

Falcon

Minerals

Corp.

(75,000)

(529,500)

Green

Plains,

Inc.

(112,418)

(1,734,610)

Rosehill

Resources,

Inc.*

(20,066)

(25,684)

Scorpio

Tankers,

Inc.

(Monaco)

(23,005)

(905,017)

SFL

Corp.

Ltd.

(Norway)

(68,350)

(993,809)

(4,188,620)

Pharmaceuticals

-

(0.6)%

Aerie

Pharmaceuticals,

Inc.*

(37,277)

(900,985)

Lannett

Co.,

Inc.*

(153,041)

(1,349,822)

Omeros

Corp.*

(51,249)

(722,098)

(2,972,905)

Professional

Services

-

(0.3)%

Clarivate

Analytics

plc

(United

Kingdom)*

(86,404)

(1,451,587)

Real

Estate

Management

&

Development

-

(0.1)%

Aroundtown

SA

(Germany)(2)

(69,815)

(627,063)

Semiconductors

&

Semiconductor

Equipment

-

(4.5)%

Lam

Research

Corp.

(74,901)

(21,901,052)

Microchip

Technology,

Inc.

(21,604)

(2,262,371)

(24,163,423)

Software

-

(1.3)%

8x8,

Inc.*

(18,072)

(330,718)

Atlassian

Corp.

plc,

Class

A*

(3,581)

(430,938)

Benefitfocus,

Inc.*

(18,065)

(396,346)

Blackline,

Inc.*

(4,974)

(256,459)

CyberArk

Software

Ltd.*

(6,835)

(796,824)

FireEye,

Inc.*

(10,311)

(170,441)

j2

Global,

Inc.

(10,684)

(1,001,198)

Kaleyra,

Inc.

(Italy)*

(7,221)

(61,378)

Pluralsight,

Inc.,

Class

A*

(30,885)

(531,531)

Rapid7,

Inc.*

(7,887)

(441,830)

Rimini

Street,

Inc.*

(10,000)

(38,800)

SailPoint

Technologies

Holding,

Inc.*

(50,885)

(1,200,886)

Splunk,

Inc.*

(10,120)

(1,515,672)

Workiva,

Inc.*

(2,230)

(93,771)

(7,266,792)

Specialty

Retail

-

(0.5)%

Guess?,

Inc.

(21,644)

(484,393)

RH*

(11,614)

(2,479,589)

(2,963,982)

Technology

Hardware,

Storage

&

Peripherals

-

(0.1)%

NCR

Corp.*

(15,571)

(547,476)

INVESTMENTS

SHARES

VALUE

Wireless

Telecommunication

Services

-

(0.3)%

Gogo,

Inc.*

(227,157)

$

(1,453,805)

TOTAL

COMMON

STOCKS

(Proceeds

$(115,217,009))

(136,660,628)

  PRINCIPAL

    AMOUNT

CONVERTIBLE

BONDS

-

(1.9)%

Biotechnology

-

(0.2)%

BioMarin

Pharmaceutical,

Inc.

0.60%,

8/1/2024(2)

$

(875,000)

(924,436)

Internet

&

Direct

Marketing

Retail

-

(0.7)%

Booking

Holdings,

Inc.

0.90%,

9/15/2021(2)

(900,000)

(1,037,137)

IAC

Financeco

2,

Inc.

0.88%,

6/15/2026(2)(g)

(900,000)

(1,009,170)

Wayfair,

Inc.

0.38%,

9/1/2022(2)

(1,650,000)

(1,792,490)

(3,838,797)

IT

Services

-

0.0%(a)

Euronet

Worldwide,

Inc.

0.75%,

3/15/2049(2)(g)

(250,000)

(298,197)

Life

Sciences

Tools

&

Services

-

(0.6)%

Illumina,

Inc.

0.50%,

6/15/2021(2)

(1,900,000)

(2,641,633)

0.00%,

8/15/2023(2)

(400,000)

(440,802)

(3,082,435)

Pharmaceuticals

-

0.0%(a)

Jazz

Investments

I

Ltd.

1.50%,

8/15/2024(2)

(175,000)

(176,203)

Software

-

(0.4)%

DocuSign,

Inc.

0.50%,

9/15/2023(2)

(425,000)

(527,717)

LivePerson,

Inc.

0.75%,

3/1/2024(2)(g)

(825,000)

(988,304)

Proofpoint,

Inc.

0.25%,

8/15/2024(2)(g)

(475,000)

(489,203)

(2,005,224)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(10,864,538))

(10,325,292)

TOTAL

SHORT

POSITIONS

(Proceeds

$(126,081,547))

(146,985,920)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.3%

(Cost

$518,322,296)

508,446,839

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.7%(q)

30,509,666

NET

ASSETS

-

100.0%

$538,956,505

64

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

13,355,039

2.5

%

Consumer

Discretionary

26,195,154

4.9

Consumer

Staples

4,661,460

0.9

Energy

7,405,772

1.4

Financials

180,087,345

33.4

Health

Care

40,715,759

7.6

Industrials

9,124,622

1.7

Information

Technology

23,978,831

4.4

Materials

5,736,217

1.1

Real

Estate

7,396,254

1.3

Utilities

5,716,770

1.0

Short-Term

Investments

184,073,616

34.1

Total

Investments

In

Securities

At

Value

508,446,839

94.3

Other

Assets

in

Excess

of

Liabilities(q)

30,509,666

5.7

Net

Assets

$

538,956,505

100.0%

*

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

$249,901,029.

In

addition,

$25,880,013

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

December

31,

2019

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2019

amounted

to

$11,185,695,

which

represents

approximately

2.08%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

December

31,

2019.

The

maturity

date

reflects

the

next

call

date.

(f)

Variable

or

floating

rate

security,

the

interest

rate

of

which

adjusts

periodically

based

on

changes

in

current

interest

rates

and

prepayments

on

the

underlying

pool

of

assets.

The

interest

rate

shown

was

the

current

rate

as

of

December

31,

2019.

(g)

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

December

31,

2019

amounted

to

$100,329,160,

which

represents

approximately

18.62%

of

net

assets

of

the

fund.

(h)

Payment

in-kind

security.

(i)

Defaulted

security.

(j)

Step

bond.

Coupon

rate

is

a

fixed

rate

for

an

initial

period

that

either

resets

at

a

specific

date

or

may

reset

in

the

future

contingent

upon

a

rating

change

made

by

a

rating

agency.

The

interest

rate

shown

was

the

current

rate

as

of

December

31,

2019.

(k)

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

December

31,

2019,

the

value

of

these

securities

amounted

to

$2,336,400

or

0.43%

of

net

assets.

(l)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

December

31,

2019.

(m)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(n)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(o)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(p)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(q)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

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

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

65

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2019:

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

33.V2

5.00

%

Quarterly

12/20/2024

2.80

%

USD

15,475,000

$

(991,064)

$

(510,765)

$

(1,501,829)

Markit

CDX

North

America

Investment

Grade

Index

Series

33.V1

1.00

Quarterly

12/20/2024

0.45

USD

50,000

(1,139)

(174)

(1,313)

$

(992,203)

$

(510,939)

$

(1,503,142)

Futures

contracts

outstanding

as

of

December

31,

2019:

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

(153)

3/2020

USD

$

(24,717,915)

$

(419,620)

U.S.

Treasury

10

Year

Note

(28)

3/2020

USD

(3,595,813)

30,851

U.S.

Treasury

5

Year

Note

(296)

3/2020

USD

(35,108,375)

124,102

$

(264,667)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

8,555,063

USD

6,514,387

CITI

3/18/2020

$

75,530

CAD

20,985

USD

15,810

JPMC

3/18/2020

354

EUR

207,207

USD

230,857

CITI

3/18/2020

2,666

GBP

32,000

USD

42,041

CITI

3/18/2020

434

USD

5,544,323

JPY

598,018,398

CITI

3/18/2020

16,870

USD

590,472

JPY

63,698,958

JPMC

3/18/2020

1,706

Total

unrealized

appreciation

97,560

USD

5,551,032

CAD

7,342,664

CITI

3/18/2020

(104,980)

USD

3,626,652

CAD

4,810,433

JPMC

3/18/2020

(78,798)

USD

115,291

EUR

103,599

CITI

3/18/2020

(1,465)

USD

115,300

EUR

103,608

JPMC

3/18/2020

(1,466)

USD

27,406

GBP

21,004

CITI

3/18/2020

(474)

USD

19,479

GBP

14,996

JPMC

3/18/2020

(426)

USD

4,854,693

JPY

526,691,202

CITI

3/18/2020

(13,485)

USD

602,253

JPY

65,227,692

JPMC

3/18/2020

(643)

Total

unrealized

depreciation

(201,737)

Net

unrealized

depreciation

$

(104,177)

66

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-1.50%

to

1.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2020

-

12/29/2021

$1,915,779

$(165,472)

$91,955

$(73,517)

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.

24

months

maturity

09/25/2020

$320,774

$(40,850)

$(215)

$(41,065)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

or

Euro

Overnight

Index

Average

(“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.

61

months

maturity

10/23/2023

$3,226,632

$9,405

$(1,777)

$7,628

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”)

plus

or

minus

a

specified

spread

(0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

10/10/2024

-

12/06/2024

$1,352,453

$25,887

$(2,060)

$23,827

GSIN

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

(0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

04/12/2023

-

03/21/2024

$1,992,671

$(9,469)

$(488)

$(9,957)

67

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.40%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13

months

maturity

09/30/2020

$1,077,836

$(3,268)

$(270)

$(3,538)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-11.68%

to

0.85%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-65

months

maturity

ranging

from

03/25/2020

-

07/11/2024

$62,404,663

$2,058,232

$(8,210,862)

$(6,152,630)

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

United

States

AMAG

Pharmaceuticals,

Inc.,

3.25%,

6/1/2022(a)

1,600,000

1,350,576

(392,924)

6.4

Hope

Bancorp,

Inc.,

2.00%,

5/15/2038

3,600,000

3,395,920

(43,488)

0.7

Innoviva,

Inc.,

2.13%,

1/15/2023

1,475,000

1,492,694

70,490

(1.1)

Innoviva,

Inc.,

2.50%,

8/15/2025

1,000,000

1,093,660

40,169

(0.7)

Intel

Corp.,

3.25%,

8/1/2039

14,450,000

41,908,067

5,324,279

(86.5)

Invacare

Corp.,

4.50%,

6/1/2022

2,550,000

2,385,670

(886,737)

14.4

Paratek

Pharmaceuticals,

Inc.,

4.75%,

5/1/2024

1,950,000

1,395,147

(516,738)

8.4

SHARES

Short

Positions

Common

Stocks

Brazil

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(37,484)

(677,336)

1,499

(0.0)

United

States

AMAG

Pharmaceuticals,

Inc.

(14,634)

(178,096)

(7,309)

0.1

Hope

Bancorp,

Inc.

(34,889)

(518,451)

(12,022)

0.2

Innoviva,

Inc.

(69,114)

(978,654)

(86,176)

1.4

Intel

Corp.

(107,693)

(6,445,426)

(1,457,217)

23.7

68

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Invacare

Corp.

(57,729)

(520,716)

25,735

(0.4)

Paratek

Pharmaceuticals,

Inc.

(15,943)

(64,250)

(1,329)

0.0

(a)

Security

fair

valued

as

of

December

31,

2019

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

or

Sterling

Overnight

Index

Average

(“SONIA”)

plus

or

minus

a

specified

spread

(-0.06%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

03/27/2024

-

10/16/2024

$21,523,594

$(964,105)

$(38,940)

$(1,003,045)

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

United

Kingdom

Cobham

plc

2,964,790

6,447,978

163,447

(16.3)

Just

Eat

plc

93,359

1,032,909

108,012

(10.8)

Sophos

Group

plc

757,750

5,595,554

(148,574)

14.8

Short

Positions

Common

Stocks

Ireland

Flutter

Entertainment

plc

(69,078)

(8,447,153)

(1,086,990)

108.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

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

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

12/01/2023

-

11/19/2024

$25,704,096

$1,882,177

$(29,138)

$1,853,039

69

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

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

Longevity

Acquisition

Corp.

125,000

1,305,000

90,625

4.9

Hong

Kong

New

Frontier

Health

Corp.

50,000

76,500

26,500

1.4

TKK

Symphony

Acquisition

Corp.

150,000

1,539,000

76,500

4.1

Mexico

Opes

Acquisition

Corp.

150,000

1,578,000

89,250

4.8

United

States

AdaptHealth

Corp.

66,667

120,667

38,667

2.1

Allegro

Merger

Corp.

150,000

1,531,500

74,250

4.0

Broadmark

Realty

Capital,

Inc.

250,000

95,000

94,999

5.1

Far

Point

Acquisition

Corp.

150,000

1,537,500

90,000

4.9

Forum

Merger

II

Corp.

150,000

1,531,500

84,000

4.5

Graf

Industrial

Corp.

150,000

1,528,500

87,000

4.7

HL

Acquisitions

Corp.

54,000

557,820

20,520

1.1

LF

Capital

Acquisition

Corp.

140,000

1,450,400

85,400

4.6

Megalith

Financial

Acquisition

Corp.

150,000

1,539,000

85,500

4.6

Pure

Acquisition

Corp.

150,000

1,557,000

85,500

4.6

Spartan

Energy

Acquisition

Corp.

150,000

1,525,200

85,200

4.6

Tenzing

Acquisition

Corp.

150,000

1,570,500

60,000

3.2

VectoIQ

Acquisition

Corp.

150,000

1,548,000

91,500

4.9

NO.

OF

WARRANTS

Warrants

United

Kingdom

Leo

Holdings

Corp.,

expiring

4/5/2023

125,000

82,900

(63,350)

(3.4)

United

States

Akazoo

SA,

expiring

12/31/2024

425,000

212,500

56,100

3.0

Blue

Bird

Corp.,

expiring

2/24/2020

53,842

318,745

119,529

6.5

ChaSerg

Technology

Acquisition

Corp.,

expiring

9/30/2023

90,000

198,000

132,264

7.1

Clarivate

Analytics

plc,

expiring

5/13/2024

77,500

484,375

410,750

22.2

Falcon

Minerals

Corp.,

expiring

8/23/2023

250,000

75,000

(95,000)

(5.1)

Far

Point

Acquisition

Corp.,

expiring

6/1/2025

33,333

43,000

(7,000)

(0.4)

Forum

Merger

II

Corp.,

expiring

9/30/2025

180,000

82,818

(6,282)

(0.3)

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023

122,980

44,273

(4,858)

(0.3)

Graf

Industrial

Corp.,

expiring

12/31/2025

198,000

86,724

(396)

(0.0)

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

343,006

27,440

(268,437)

(14.5)

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

636,986

273,904

82,808

4.5

KBL

Merger

Corp.

IV,

expiring

1/15/2024

500,000

40,000

(8,400)

(0.5)

Legacy

Acquisition

Corp.,

expiring

11/30/2022

250,000

134,400

46,900

2.5

Leisure

Acquisition

Corp.,

expiring

12/28/2022

125,000

123,750

23,750

1.3

Limbach

Holdings,

Inc.,

expiring

7/20/2021

168,252

25,406

(55,456)

(3.0)

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

128,200

41,037

(14,102)

(0.8)

Mudrick

Capital

Acquisition

Corp.,

expiring

3/12/2025

250,000

125,000

1,500

0.1

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

409,500

368,550

(163,800)

(8.8)

Nesco

Holdings,

Inc.,

expiring

1/1/2025

83,334

39,167

(62,500)

(3.4)

NextDecade

Corp.,

expiring

7/24/2022

547,771

191,720

38,344

2.1

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

99,990

583,942

506,739

27.3

Pensare

Acquisition

Corp.,

expiring

8/8/2022

250,000

82,500

1,375

0.1

Purple

Innovation,

Inc.,

expiring

2/2/2023

384,000

330,240

264,960

14.3

70

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

NO.

OF

WARRANTS

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Ranpak

Holdings

Corp.,

expiring

6/3/2024

125,000

142,500

25,000

1.3

Repay

Holdings

Corp.,

expiring

7/11/2024

180,000

201,600

201,600

10.9

Rimini

Street,

Inc.,

expiring

9/30/2022

471,690

56,603

(249,996)

(13.5)

Rosehill

Resources,

Inc.,

expiring

4/27/2022

244,800

22,032

(67,198)

(3.6)

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

286,625

95,160

(191,465)

(10.3)

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023

48,333

26,583

(31,416)

(1.7)

Tiberius

Acquisition

Corp.,

expiring

4/10/2023

117,500

133,950

86,950

4.7

VectoIQ

Acquisition

Corp.,

expiring

6/11/2023

180,000

106,200

35,640

1.9

Verra

Mobility

Corp.,

expiring

10/17/2023

66,667

269,335

156,001

8.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.36%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-61

months

maturity

ranging

from

04/15/2020

-

12/26/2024

$202,751,852

$1,245,478

$259,997

$1,505,475

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

Netherlands

InterXion

Holding

NV

28,000

2,346,680

(117,724)

(7.8)

United

States

Acacia

Communications,

Inc.

117,719

7,982,525

425,128

28.2

Achillion

Pharmaceuticals,

Inc.

200,477

1,208,876

(45,128)

(3.0)

Advanced

Disposal

Services,

Inc.

248,030

8,152,746

101,472

6.7

Aircastle

Ltd.

18,000

576,180

(2,186)

(0.1)

Allergan

plc

55,645

10,637,655

1,553,052

103.2

Anixter

International,

Inc.

28,865

2,658,466

160,437

10.7

ArQule,

Inc.

176,800

3,528,928

48,627

3.2

Audentes

Therapeutics,

Inc.

110,625

6,619,800

77,803

5.2

Caesars

Entertainment

Corp.

493,627

6,713,327

1,031,680

68.5

Carolina

Financial

Corp.

12,000

518,760

14,776

1.0

Cincinnati

Bell,

Inc.

35,000

366,450

2,045

0.1

Cision

Ltd.

87,533

872,704

(4,807)

(0.3)

Continental

Building

Products,

Inc.

19,100

695,813

5,488

0.4

Cypress

Semiconductor

Corp.

416,923

9,726,814

310,111

20.6

El

Paso

Electric

Co.

42,213

2,865,841

57,354

3.8

Fitbit,

Inc.

348,000

2,286,360

(184,714)

(12.3)

Genworth

Financial,

Inc.

250,774

1,103,406

(7,523)

(0.5)

IBERIABANK

Corp.

30,566

2,287,254

(66,691)

(4.4)

Independent

Bank

Group,

Inc.

19,968

1,107,026

(73,818)

(4.9)

71

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Instructure,

Inc.

25,400

1,224,534

(12,763)

(0.8)

KEMET

Corp.

146,200

3,954,710

136,566

9.1

Liberty

Property

Trust

38,000

2,281,900

72,013

4.8

LogMeIn,

Inc.

14,000

1,200,360

(976)

(0.1)

Mellanox

Technologies

Ltd.

78,382

9,184,803

422,222

28.0

Pacific

Biosciences

of

California,

Inc.

197,259

1,013,911

(71,019)

(4.7)

Pattern

Energy

Group,

Inc.

123,600

3,306,918

(49,512)

(3.3)

Ra

Pharmaceuticals,

Inc.

132,723

6,228,690

112,933

7.5

Raytheon

Co.

12,636

2,776,635

369,982

24.6

Sprint

Corp.

1,160,132

6,044,288

(1,867,813)

(124.1)

Tallgrass

Energy

LP

242,800

5,370,736

205

0.0

Tech

Data

Corp.

23,100

3,317,160

119,910

8.0

Tiffany

&

Co.

70,507

9,423,261

33,815

2.2

WABCO

Holdings,

Inc.

84,251

11,416,010

284,495

18.9

WellCare

Health

Plans,

Inc.

28,785

9,505,095

1,770,326

117.6

Wesco

Aircraft

Holdings,

Inc.

37,392

412,060

38

0.0

William

Lyon

Homes

41,177

822,716

(10,241)

(0.7)

Wright

Medical

Group

NV

273,372

8,332,379

290,715

19.3

Zayo

Group

Holdings,

Inc.

181,375

6,284,644

199,465

13.2

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(48,189)

(4,266,654)

(1,008,114)

(67.0)

Centene

Corp.

(97,293)

(6,116,811)

(1,657,730)

(110.1)

Digital

Realty

Trust,

Inc.

(19,788)

(2,369,415)

151,103

10.0

Eldorado

Resorts,

Inc.

(48,351)

(2,883,654)

(997,965)

(66.3)

First

Horizon

National

Corp.

(139,735)

(2,314,012)

56,044

3.7

Prologis,

Inc.

(25,650)

(2,286,441)

(68,327)

(4.5)

Taylor

Morrison

Home

Corp.

(32,895)

(719,085)

15,314

1.0

Texas

Capital

Bancshares,

Inc.

(19,369)

(1,099,578)

82,780

5.5

T-Mobile

US,

Inc.

(118,996)

(9,331,666)

86,867

5.8

United

Bankshares,

Inc.

(13,560)

(524,230)

(10,577)

(0.7)

United

Technologies

Corp.

(29,502)

(4,418,220)

(474,097)

(31.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.36%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

09/24/2020

-

12/06/2024

$79,009,301

$320,598

$(201,436)

$119,162

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

72

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Exact

Sciences

Corp.

4,058

375,284

36,154

30.3

PRINCIPAL

Convertible

Bonds

Argentina

MercadoLibre,

Inc.,

2.00%,

8/15/2028

3,900,000

5,842,243

6,322

5.3

Germany

Deutsche

Bank

AG,

1.00%,

5/1/2023

3,375,000

3,766,993

358,324

300.7

United

States

Air

Transport

Services

Group,

Inc.,

1.13%,

10/15/2024

3,000,000

2,926,236

34,323

28.8

Allegheny

Technologies,

Inc.,

4.75%,

7/1/2022

3,150,000

5,077,753

248,081

208.2

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

1,625,000

1,372,618

(41,363)

(34.7)

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,200,000

5,052,151

215,492

180.8

DISH

Network

Corp.,

3.38%,

8/15/2026

2,925,000

2,850,804

136,922

114.9

Guess?,

Inc.,

2.00%,

4/15/2024

2,250,000

2,477,558

224,642

188.5

Infinera

Corp.,

2.13%,

9/1/2024

1,700,000

1,806,665

338,174

283.8

Liberty

Media

Corp.,

2.25%,

12/1/2048

2,600,000

3,090,857

28,465

23.9

Ligand

Pharmaceuticals,

Inc.,

0.75%,

5/15/2023

1,900,000

1,641,615

94,397

79.2

Lumentum

Holdings,

Inc.,

0.25%,

3/15/2024

2,875,000

4,192,446

808,375

678.4

Meritor,

Inc.,

3.25%,

10/15/2037

2,075,000

2,271,955

174,738

146.6

Splunk,

Inc.,

1.13%,

9/15/2025

1,425,000

1,761,960

238,521

200.2

Zendesk,

Inc.,

0.25%,

3/15/2023

3,900,000

5,322,116

75,309

63.2

SHARES

Short

Positions

Common

Stocks

Argentina

MercadoLibre,

Inc.

(7,212)

(4,124,831)

(89,626)

(75.2)

United

States

Air

Transport

Services

Group,

Inc.

(51,253)

(1,202,395)

(71,880)

(60.3)

Allegheny

Technologies,

Inc.

(182,024)

(3,760,616)

(116,640)

(97.9)

Atlas

Air

Worldwide

Holdings,

Inc.

(9,045)

(249,371)

(22,192)

(18.6)

Cleveland-Cliffs,

Inc.

(397,996)

(3,343,166)

(228,840)

(192.0)

DISH

Network

Corp.

(24,234)

(859,580)

(20,817)

(17.5)

Guess?,

Inc.

(54,109)

(1,210,959)

(213,971)

(179.6)

Infinera

Corp.

(111,916)

(888,613)

(240,465)

(201.8)

JPMorgan

Chase

&

Co.

(16,910)

(2,357,254)

(260,767)

(218.8)

Ligand

Pharmaceuticals,

Inc.

(1,759)

(183,446)

8,277

6.9

Live

Nation

Entertainment,

Inc.

(26,873)

(1,920,613)

(75,264)

(63.2)

Lumentum

Holdings,

Inc.

(37,942)

(3,008,801)

(818,647)

(687.0)

Meritor,

Inc.

(27,546)

(721,430)

(126,799)

(106.4)

Splunk,

Inc.

(6,630)

(992,975)

(215,786)

(181.1)

Zendesk,

Inc.

(47,614)

(3,648,661)

(117,449)

(98.6)

73

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Convertible

Bonds

Exact

Sciences

Corp.,

0.38%,

3/15/2027

(625,000)

(707,336)

(45,412)

(38.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

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.

12-61

months

maturity

ranging

from

04/17/2020

-

07/03/2023

$10,738,764

$(13,275,552)

$14,510

$(13,261,042)

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

Penson

Technologies

LLC,

Class

B

Shares(a)

9,326,216

93

84

(0.0)

China

SINA

Corp.

26,694

1,065,891

(2,188,374)

16.5

United

States

Altaba,

Inc.

212,645

4,306,061

(11,093,823)

83.7

FHLMC

78,659

236,276

111,995

(0.8)

Fitbit,

Inc.

651,308

4,279,094

(242,397)

1.8

FNMA

27,686

86,380

41,252

(0.3)

Genworth

Financial,

Inc.

51,097

224,827

30,658

(0.2)

Short

Positions

Common

Stocks

United

States

Intrexon

Corp.

(98,566)

(540,142)

65,053

(0.5)

74

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

9,984,787

$

–

$

9,984,787

BARC

Cash

–

1,412,095

1,412,095

CITG

Cash

–

2,025,170

2,025,170

Investment

Companies

–

384,595

384,595

GSIN

Cash

14,341,000

–

14,341,000

U.S.

Treasury

Bills

31,007,197

–

31,007,197

JPMC

Investment

Companies

19,020,912

–

19,020,912

JPMS

Cash

–

111,113

111,113

MLIN

Cash

110,000

–

110,000

75

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

137.6%

COMMON

STOCKS

-

42.8%

Austria

-

0.3%

ams

AG*

19,559

$

794,056

Belgium

-

2.1%

Ageas(a)

48,546

2,870,651

bpost

SA(a)

29,149

337,011

Solvay

SA(a)

4,394

511,430

UCB

SA(a)

21,189

1,686,106

5,405,198

—

Canada

-

4.2%

Air

Canada(1)*(a)

48,009

1,793,476

Alimentation

Couche-Tard,

Inc.,

Class

B(1)(a)

31,526

1,000,490

Atco

Ltd.,

Class

I(1)(a)

14,042

538,193

Canadian

Imperial

Bank

of

Commerce(1)(a)

553

46,018

CGI,

Inc.(1)*(a)

2,836

237,333

CI

Financial

Corp.(1)(a)

20,226

338,151

Empire

Co.

Ltd.,

Class

A(1)(a)

42,412

994,855

Finning

International,

Inc.(1)(a)

22,650

441,296

George

Weston

Ltd.(1)(a)

1,038

82,349

Gildan

Activewear

,

Inc.(1)(a)

1,648

48,721

iA

Financial

Corp.,

Inc.(1)(a)

7,148

392,643

Linamar

Corp.(1)(a)

14,829

561,048

Magna

International,

Inc.(1)(a)

21,344

1,170,300

Manulife

Financial

Corp.(1)(a)

9,345

189,699

Methanex

Corp.(1)(a)

14,886

574,897

Open

Text

Corp.(1)(a)

4,453

196,219

Quebecor,

Inc.,

Class

B(1)(a)

15,713

401,008

Seven

Generations

Energy

Ltd.,

Class

A(1)*(a)

37,697

245,885

Shaw

Communications,

Inc.,

Class

B(1)(a)

3,103

62,966

Teck

Resources

Ltd.,

Class

B(1)(a)

54,649

947,746

Thomson

Reuters

Corp.(1)(a)

7,962

569,551

Tourmaline

Oil

Corp.(1)(a)

9,122

106,917

10,939,761

—

China

-

0.3%

Yangzijiang

Shipbuilding

Holdings

Ltd.(b)

800,000

666,854

Denmark

-

4.3%

Carlsberg

A/S,

Class

B(a)

21,364

3,188,277

Coloplast

A/S,

Class

B(a)

1,010

125,302

FLSmidth

&

Co.

A/S(b)

8,393

334,702

GN

Store

Nord

A/S(a)

37,287

1,754,007

H

Lundbeck

A/S(a)

31,712

1,212,366

Novo

Nordisk

A/S,

Class

B(a)

39,346

2,280,055

Pandora

A/S(a)

35,543

1,545,718

Rockwool

International

A/S,

Class

B

3,345

793,193

Vestas

Wind

Systems

A/S

450

45,453

11,279,073

—

Finland

-

2.0%

Fortum

OYJ(a)

94,832

2,340,780

Kesko

OYJ,

Class

B(a)

14,452

1,022,970

Kone

OYJ,

Class

B(a)

10,636

695,465

INVESTMENTS

SHARES

VALUE

Finland

-

2.0%

(continued)

Orion

OYJ,

Class

B(a)

5,023

$

232,623

UPM-

Kymmene

OYJ(a)

25,221

875,030

5,166,868

—

Germany

-

0.8%

Deutsche

Lufthansa

AG

(Registered)

(a)

115,832

2,127,918

Italy

-

5.9%

A2A

SpA

891,717

1,674,503

Assicurazioni

Generali

SpA

(a)

110,029

2,271,527

Autogrill

SpA

(a)

40,732

426,407

Banca

Generali

SpA

3,809

123,826

BPER

Banca(a)

278,764

1,402,614

Enel

SpA

(a)

169,591

1,347,201

Eni

SpA

(a)

138,960

2,158,220

Hera

SpA

241,945

1,059,729

Italgas

SpA

183,613

1,122,554

Leonardo

SpA

(a)

109,337

1,282,232

Poste

Italiane

SpA

(a)(c)

43,034

488,990

Snam

SpA

(a)

185,383

974,707

Unipol

Gruppo

SpA

(a)

171,236

983,078

15,315,588

—

Luxembourg

-

0.0%(d)

Aperam

SA(a)

1,967

63,397

Malta

-

0.2%

Kindred

Group

plc,

SDR

88,552

543,256

Netherlands

-

4.6%

ASM

International

NV(a)

16,690

1,883,840

ASR

Nederland

NV(a)

43,757

1,639,816

Koninklijke

Ahold

Delhaize

NV(a)

138,098

3,462,447

Koninklijke

Philips

NV(a)

18,096

884,600

NN

Group

NV(a)

18,931

719,810

Randstad

NV(a)

4,943

302,883

Signify

NV(a)(c)

50,528

1,581,466

Wolters

Kluwer

NV(a)

22,470

1,640,659

12,115,521

—

Norway

-

1.1%

Equinor

ASA(a)

37,639

750,608

Leroy

Seafood

Group

ASA(a)

90,879

604,982

Orkla

ASA(a)(b)

42,933

435,376

Salmar

ASA(a)

18,207

933,040

Telenor

ASA(a)

2,847

51,034

2,775,040

—

Singapore

-

0.5%

ComfortDelGro

Corp.

Ltd.

291,200

515,252

Genting

Singapore

Ltd.

1,300,800

890,773

1,406,025

—

Spain

-

5.5%

ACS

Actividades

de

Construccion

y

Servicios

SA(a)

31,183

1,250,880

Banco

Bilbao

Vizcaya

Argentaria

SA(a)

66,449

373,067

Enagas

SA(a)

76,098

1,943,712

76

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Spain

-

5.5%

(continued)

Endesa

SA(a)

94,571

$

2,525,493

Iberdrola

SA(a)

206,786

2,131,047

Mapfre

SA(a)

125,665

333,206

Naturgy

Energy

Group

SA(a)

64,370

1,620,903

Red

Electrica

Corp.

SA(a)

142,570

2,872,751

Repsol

SA(a)

75,640

1,188,317

14,239,376

—

Sweden

-

3.7%

Assa

Abloy

AB,

Class

B

2,374

55,493

Axfood

AB(a)(b)

19,389

431,792

Electrolux

AB,

Series

B(a)

31,409

772,138

Essity

AB,

Class

B

95,169

3,065,036

Getinge

AB,

Class

B

20,758

386,040

ICA

Gruppen

AB

4,229

197,545

Sandvik

AB

11,168

217,523

Securitas

AB,

Class

B(a)

42,505

732,328

Skanska

AB,

Class

B(a)

35,275

797,978

Swedish

Match

AB(a)(b)

9,500

489,409

Swedish

Orphan

Biovitrum

AB*

53,169

881,318

Telefonaktiebolaget

LM

Ericsson,

Class

B

186,410

1,628,816

Volvo

AB,

Class

B

7,704

128,974

9,784,390

—

Switzerland

-

5.7%

Adecco

Group

AG

(Registered)(a)

33,098

2,092,530

dormakaba

Holding

AG*(a)

233

166,798

Flughafen

Zurich

AG

(Registered)

684

124,850

Helvetia

Holding

AG

(Registered)

6,435

908,938

LafargeHolcim

Ltd.

(Registered)*(a)

15,783

875,601

Nestle

SA

(Registered)(a)

20,046

2,170,286

Novartis

AG

(Registered)(a)

31,258

2,959,808

Roche

Holding

AG(a)

10,784

3,504,830

Sonova

Holding

AG

(Registered)(a)

7,826

1,789,091

UBS

Group

AG

(Registered)*(a)(b)

12,473

157,402

14,750,134

—

United

Kingdom

-

1.0%

Fiat

Chrysler

Automobiles

NV(a)

124,106

1,840,061

Unilever

NV(a)

12,138

696,609

2,536,670

—

United

States

-

0.6%

Alliance

Data

Systems

Corp.(1)(a)

485

54,417

BRP,

Inc.(1)(a)

23,728

1,081,013

Morgan

Stanley(1)

10,611

542,434

1,677,864

—

TOTAL

COMMON

STOCKS

(Cost

$93,184,382)

111,586,989

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

94.8%

INVESTMENT

COMPANIES

-

32.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(e)(f)

2,200,834

$

2,200,834

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(e)(g)

81,189,187

81,189,187

TOTAL

INVESTMENT

COMPANIES

(Cost

$83,364,936)

83,390,021

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

62.8%

U.S.

Treasury

Bills

1.89%,

2/27/2020(h)

$

22,600,000

22,546,915

1.88%,

3/5/2020(h)

22,600,000

22,540,576

1.84%,

3/12/2020(h)(

i

)

41,272,000

41,151,423

1.89%,

3/19/2020(h)(

i

)

22,600,000

22,528,378

1.88%,

3/26/2020(h)(

i

)

6,514,000

6,491,083

1.70%,

4/9/2020(h)(

i

)

12,516,000

12,464,033

1.63%,

4/16/2020(h)(

i

)

33,542,000

33,393,525

1.62%,

4/30/2020(h)(

i

)

3,071,000

3,055,504

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$164,069,747)

164,171,437

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$247,434,683)

247,561,458

TOTAL

LONG

POSITIONS

(Cost

$340,619,065)

359,148,447

SHARES

SHORT

POSITIONS

-

(31.1)%

COMMON

STOCKS

-

(31.1)%

Belgium

-

(1.1)%

Umicore

SA

(59,042)

(2,877,353)

Canada

-

(4.5)%

Agnico

Eagle

Mines

Ltd.(1)

(4,229)

(260,472)

AltaGas

Ltd.(1)

(56,665)

(863,143)

BlackBerry

Ltd.(1)*

(11,286)

(72,572)

Bombardier,

Inc.,

Class

B(1)*

(375,678)

(558,360)

Brookfield

Asset

Management,

Inc.,

Class

A(1)

(3,017)

(174,322)

Cameco

Corp.(1)

(72,889)

(647,753)

Canada

Goose

Holdings,

Inc.(1)*

(15,041)

(544,513)

Dollarama,

Inc.(1)

(8,691)

(298,702)

Element

Fleet

Management

Corp.(1)

(50,797)

(433,821)

Enbridge,

Inc.(1)

(30,283)

(1,204,043)

Franco-Nevada

Corp.(1)

(2,066)

(213,338)

Inter

Pipeline

Ltd.(1)

(52,825)

(916,927)

Keyera

Corp.(1)

(21,003)

(550,246)

Pembina

Pipeline

Corp.(1)

(25,877)

(959,115)

PrairieSky

Royalty

Ltd.(1)

(48,271)

(566,145)

Restaurant

Brands

International,

Inc.

(1)

(1,251)

(79,749)

Saputo,

Inc.(1)

(3,546)

(109,776)

Shopify,

Inc.,

Class

A(1)*

(252)

(100,195)

SNC-Lavalin

Group,

Inc.(1)

(62,451)

(1,440,381)

Stars

Group,

Inc.

(The)(1)*

(30,124)

(786,186)

TC

Energy

Corp.(1)

(11,038)

(587,877)

Vermilion

Energy,

Inc.(1)

(19,124)

(312,658)

77

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Canada

-

(4.5)%

(continued)

West

Fraser

Timber

Co.

Ltd.(1)

(1,043)

$

(46,008)

(11,726,302)

—

Denmark

-

(2.8)%

AP

Moller

-

Maersk

A/S,

Class

B

(1,092)

(1,575,567)

Chr

Hansen

Holding

A/S

(22,933)

(1,823,057)

Dfds

A/S

(10,998)

(536,873)

DSV

Panalpina

A/S

(10,874)

(1,253,513)

Genmab

A/S*

(6,298)

(1,400,698)

Novozymes

A/S,

Class

B

(15,960)

(781,196)

(7,370,904)

—

Finland

-

(0.9)%

Huhtamaki

OYJ

(28,800)

(1,337,187)

Nokian

Renkaat

OYJ

(11,530)

(331,625)

Nordea

Bank

Abp

(8,247)

(66,720)

Outokumpu

OYJ

(210,629)

(663,822)

(2,399,354)

—

France

-

0.0%(d)

Adevinta

ASA,

Class

B*

(10,262)

(121,905)

Italy

-

(4.2)%

Amplifon

SpA

(16,489)

(474,541)

Banco

BPM

SpA

*

(20,519)

(46,701)

Davide

Campari-Milano

SpA

(44,201)

(403,878)

DiaSorin

SpA

(1,314)

(170,174)

FinecoBank

Banca

Fineco

SpA

(257,609)

(3,090,229)

Freni

Brembo

SpA

(73,907)

(917,604)

Moncler

SpA

(4,924)

(221,617)

Pirelli

&

C

SpA

(c)

(228,132)

(1,316,703)

Prysmian

SpA

(43,228)

(1,043,491)

Saipem

SpA

*

(262,659)

(1,284,590)

UniCredit

SpA

(47,177)

(689,585)

Unione

di

Banche

Italiane

SpA

(360,249)

(1,177,603)

(10,836,716)

—

Luxembourg

-

(0.9)%

ArcelorMittal

SA

(120,988)

(2,131,770)

Tenaris

SA

(20,735)

(234,926)

(2,366,696)

—

Netherlands

-

(3.3)%

Adyen

NV*(c)

(1,391)

(1,144,231)

Aegon

NV

(31,996)

(146,465)

Altice

Europe

NV*

(316,233)

(2,047,767)

Boskalis

Westminster

(32,447)

(831,433)

Koninklijke

DSM

NV

(721)

(94,268)

Koninklijke

Vopak

NV

(24,755)

(1,345,196)

OCI

NV*

(30,476)

(645,230)

SBM

Offshore

NV

(75,954)

(1,419,050)

Takeaway.com

NV*(c)

(10,645)

(983,985)

(8,657,625)

—

Norway

-

(0.6)%

Norsk

Hydro

ASA

(175,749)

(653,542)

Schibsted

ASA,

Class

A

(22,540)

(681,958)

Yara

International

ASA

(5,819)

(242,442)

(1,577,942)

—

INVESTMENTS

SHARES

VALUE

Singapore

-

(0.4)%

City

Developments

Ltd.

(40,900)

$

(332,878)

Keppel

Corp.

Ltd.

(3,200)

(16,123)

Singapore

Telecommunications

Ltd.

(232,600)

(583,157)

(932,158)

—

Spain

-

(4.3)%

Banco

de

Sabadell

SA

(80,323)

(94,051)

Banco

Santander

SA

(143,238)

(600,561)

Bankia

SA

(379,452)

(812,464)

CaixaBank

SA

(124,619)

(392,433)

Cellnex

Telecom

SA(c)

(79,441)

(3,426,738)

Ferrovial

SA

(105,582)

(3,198,834)

Grifols

SA

(73,200)

(2,586,265)

(11,111,346)

—

Sweden

-

(2.4)%

Atlas

Copco

AB,

Class

A

(6,924)

(276,376)

BillerudKorsnas

AB

(64,426)

(761,292)

Elekta

AB,

Class

B

(34,622)

(456,776)

Epiroc

AB,

Class

A

(29,471)

(360,408)

Hexagon

AB,

Class

B

(6,343)

(355,533)

Hexpol

AB

(60,398)

(593,563)

Husqvarna

AB,

Class

B

(90,091)

(721,963)

Saab

AB,

Class

B

(8,009)

(268,584)

Svenska

Cellulosa

AB

SCA,

Class

B

(57,074)

(578,765)

Svenska

Handelsbanken

AB,

Class

A

(77,062)

(829,977)

Tele2

AB,

Class

B

(66,867)

(970,511)

(6,173,748)

—

Switzerland

-

(5.1)%

ABB

Ltd.

(Registered)

(4,699)

(113,355)

Chocoladefabriken

Lindt

&

Spruengli

AG

(65)

(504,353)

Cie

Financiere

Richemont

SA

(Registered)

(10,644)

(831,838)

Clariant

AG

(Registered)*

(3,999)

(89,371)

EMS-

Chemie

Holding

AG

(Registered)

(89)

(58,512)

Idorsia

Ltd.*

(27,273)

(843,258)

Julius

Baer

Group

Ltd.*

(29,109)

(1,500,654)

Lonza

Group

AG

(Registered)*

(4,122)

(1,503,736)

Schindler

Holding

AG

(2,202)

(559,971)

Sika

AG

(Registered)

(13,598)

(2,553,644)

Straumann

Holding

AG

(Registered)

(771)

(756,299)

Temenos

AG

(Registered)*

(8,938)

(1,413,896)

Vifor

Pharma

AG

(15,340)

(2,799,633)

(13,528,520)

—

78

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

*

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

$99,823,660.

(b)

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

$750,740.

(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

December

31,

2019

amounted

to

$(4,801,201),

which

represents

approximately

(1.84)%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(h)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

(0.4)%

Subsea

7

SA

(93,410)

$

(1,117,475)

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.(1)

(41,257)

(418,432)

TOTAL

COMMON

STOCKS

(Proceeds$(79,836,119))

(81,216,476)

TOTAL

SHORT

POSITIONS

(Proceeds

$(79,836,119))

(81,216,476)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

106.5%

(Cost

$260,782,946)

277,931,971

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(6.5)%(j)

(17,012,154)

NET

ASSETS

-

100.0%

$260,919,817

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(7,317,028)

(2.8)

%

Consumer

Discretionary

1,844,951

0.7

Consumer

Staples

17,757,457

6.8

Energy

(6,696,058)

(2.6)

Financials

3,726,283

1.4

Health

Care

6,704,767

2.6

Industrials

6,661,493

2.6

Information

Technology

1,708,255

0.7

Materials

(12,975,161)

(5.0)

Real

Estate

(332,878)

(0.1)

Utilities

19,288,432

7.4

Short-Term

Investments

247,561,458

94.8

Total

Investments

In

Securities

At

Value

277,931,971

106.5

Liabilities

in

Excess

of

Other

Assets(j)

(17,012,154)

(6.5)

Net

Assets

$

260,919,817

100.0%

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

31.1%

INVESTMENT

COMPANIES

-

31.1%

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)^(a)

(Cost

$81,164,102)

740,706,994

603,078,855

(1,262,596,662)

81,189,187

$81,189,187

$7,562,510

$83,254

$(101,911)

^    No

longer

affiliated

as

of

December

31,

2019.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

79

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

185,003

USD

139,189

CITI

3/18/2020

$

3,318

CAD

184,997

USD

139,185

JPMC

3/18/2020

3,317

CHF

386,000

USD

400,770

CITI

3/18/2020

212

CHF

386,000

USD

400,771

JPMC

3/18/2020

211

DKK

156,500

USD

23,479

CITI

3/18/2020

135

DKK

156,500

USD

23,479

JPMC

3/18/2020

135

EUR

3,985,000

USD

4,460,486

CITI

3/18/2020

30,611

EUR

3,985,000

USD

4,460,492

JPMC

3/18/2020

30,604

NOK

308,998

USD

33,814

CITI

3/18/2020

1,389

NOK

309,002

USD

33,815

JPMC

3/18/2020

1,389

SEK

717,000

USD

76,756

CITI

3/18/2020

73

SEK

717,000

USD

76,756

JPMC

3/18/2020

73

SGD

210,000

USD

155,877

CITI

3/18/2020

376

SGD

210,000

USD

155,877

JPMC

3/18/2020

376

USD

1,542

CAD

2,000

CITI

3/18/2020

1

USD

1,542

CAD

2,000

JPMC

3/18/2020

1

USD

5,197

CHF

5,000

CITI

3/18/2020

3

USD

5,197

CHF

5,000

JPMC

3/18/2020

3

USD

141,073

DKK

934,500

CITI

3/18/2020

62

USD

141,073

DKK

934,500

JPMC

3/18/2020

62

USD

31,587

EUR

28,000

CITI

3/18/2020

31

USD

31,587

EUR

28,000

JPMC

3/18/2020

31

USD

1,939

NOK

17,000

CITI

3/18/2020

2

USD

1,939

NOK

17,000

JPMC

3/18/2020

2

USD

646

SEK

6,000

CITI

3/18/2020

3

USD

646

SEK

6,000

JPMC

3/18/2020

3

Total

unrealized

appreciation

72,423

EUR

1,610,500

USD

1,815,173

CITI

3/18/2020

(140)

EUR

1,610,500

USD

1,815,175

JPMC

3/18/2020

(142)

SEK

599,000

USD

64,523

CITI

3/18/2020

(338)

SEK

599,000

USD

64,523

JPMC

3/18/2020

(338)

USD

568,113

CAD

747,154

CITI

3/18/2020

(7,415)

USD

568,102

CAD

747,140

JPMC

3/18/2020

(7,415)

USD

1,714,379

CHF

1,687,994

CITI

3/18/2020

(39,132)

USD

1,714,390

CHF

1,688,006

JPMC

3/18/2020

(39,135)

USD

1,719,501

DKK

11,499,500

CITI

3/18/2020

(15,705)

USD

1,719,498

DKK

11,499,500

JPMC

3/18/2020

(15,708)

USD

15,892,769

EUR

14,281,003

CITI

3/18/2020

(201,921)

USD

15,892,742

EUR

14,280,997

JPMC

3/18/2020

(201,942)

USD

25,522

HKD

200,000

CITI

3/18/2020

(128)

USD

25,522

HKD

200,000

JPMC

3/18/2020

(129)

USD

81,891

NOK

729,998

CITI

3/18/2020

(1,277)

USD

81,891

NOK

730,002

JPMC

3/18/2020

(1,277)

USD

2,173,491

SEK

20,760,500

CITI

3/18/2020

(51,058)

USD

2,173,488

SEK

20,760,500

JPMC

3/18/2020

(51,057)

USD

941,563

SGD

1,280,996

CITI

3/18/2020

(11,581)

USD

941,567

SGD

1,281,004

JPMC

3/18/2020

(11,582)

Total

unrealized

depreciation

(657,420)

Net

unrealized

depreciation

$

(584,997)

80

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Reserve

Bank

of

Australia

Cash

Rate

("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.

11-73

months

maturity

10/14/2020

$12,277,250

$(692,925)

$(329,281)

$(1,022,206)

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

AGL

Energy

Ltd.

23,629

340,106

(25,344)

2.5

Aurizon

Holdings

Ltd.

566,632

2,079,498

95,184

(9.3)

Beach

Energy

Ltd.

50,167

88,733

3,055

(0.3)

Bendigo

&

Adelaide

Bank

Ltd.

14,462

99,236

(258)

0.0

BlueScope

Steel

Ltd.

99,596

1,054,881

170,015

(16.6)

CIMIC

Group

Ltd.

43,590

1,013,451

(187,076)

18.3

Fortescue

Metals

Group

Ltd.

59,039

445,057

85,435

(8.4)

Harvey

Norman

Holdings

Ltd.

69,188

197,608

7,546

(0.7)

Iluka

Resources

Ltd.

30,770

201,475

6,409

(0.6)

Incitec

Pivot

Ltd.

57,308

128,031

(2,943)

0.3

South32

Ltd.

125,764

237,457

(105,408)

10.3

Telstra

Corp.

Ltd.

98,898

245,662

(12,114)

1.2

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(74,596)

(120,488)

(2,236)

0.2

AMP

Ltd.

(217,595)

(292,708)

2,862

(0.3)

Challenger

Ltd.

(200,498)

(1,140,939)

92,317

(9.0)

Computershare

Ltd.

(3,851)

(45,403)

(4,110)

0.4

Domino's

Pizza

Enterprises

Ltd.

(4,605)

(169,261)

(27,741)

2.7

Ramsay

Health

Care

Ltd.

(9,665)

(491,734)

(53,270)

5.2

SEEK

Ltd.

(99,824)

(1,579,984)

(242,360)

23.7

Sydney

Airport

(25,486)

(154,846)

(30,913)

3.0

Worley

Ltd.

(105,792)

(1,142,824)

(116,860)

11.4

United

States

James

Hardie

Industries

plc

(51,568)

(1,007,868)

(345,115)

33.8

81

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-4.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-85

months

maturity

10/13/2021

$69,754,477

$(4,184,404)

$(547,539)

$(4,731,943)

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

France

Atos

SE

9,080

758,752

(85,489)

1.8

Carrefour

SA

45,165

759,615

(93,532)

2.0

Cie

de

Saint-Gobain

25,918

1,061,753

65,024

(1.4)

CNP

Assurances

34,965

696,683

(44,877)

0.9

Danone

SA

6,150

510,733

(11,403)

0.2

Electricite

de

France

SA

81,778

912,502

(130,003)

2.7

Engie

SA

98,364

1,593,333

44,244

(0.9)

Eutelsat

Communications

SA

68,264

1,112,279

(113,612)

2.4

Natixis

SA

152,193

677,946

40,805

(0.9)

Peugeot

SA

96,361

2,320,100

(237,044)

5.0

Publicis

Groupe

SA

32,524

1,474,685

(38,770)

0.8

Sanofi

11,957

1,200,811

122,680

(2.6)

Veolia

Environnement

SA

21,430

570,217

35,463

(0.7)

Germany

adidas

AG

3,635

1,183,258

282,398

(6.0)

Bayer

AG

(Registered)

15,653

1,272,536

71,806

(1.5)

CECONOMY

AG

105,140

635,597

18,822

(0.4)

Covestro

AG

31,328

1,457,696

(991,374)

21.0

Fresenius

Medical

Care

AG

&

Co.

KGaA

17,293

1,273,246

38,471

(0.8)

HeidelbergCement

AG

16,430

1,193,884

35,931

(0.8)

HOCHTIEF

AG

9,342

1,189,385

26,460

(0.6)

HUGO

BOSS

AG

30,093

1,456,626

85,703

(1.8)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

4,424

1,305,491

200,709

(4.2)

ProSiebenSat.1

Media

SE

89,842

1,398,225

31,558

(0.7)

Rheinmetall

AG

12,324

1,413,095

(92,179)

1.9

Software

AG

18,211

634,063

(133,249)

2.8

Volkswagen

AG

(Preference)

4,401

866,286

88,156

(1.9)

Luxembourg

SES

SA

87,792

1,233,974

(433,401)

9.2

United

Kingdom

Dialog

Semiconductor

plc

33,127

1,682,428

487,173

(10.3)

82

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Altran

Technologies

SA

(34,039)

(542,346)

(247,472)

5.2

Bollore

SA

(111,589)

(487,634)

(32,953)

0.7

Cie

Plastic

Omnium

SA

(17,580)

(493,660)

(23,353)

0.5

Faurecia

SE

(18,547)

(1,006,873)

(97,857)

2.1

Iliad

SA

(11,508)

(1,496,870)

(217,387)

4.6

JCDecaux

SA

(22,547)

(696,657)

23,210

(0.5)

Orpea

(9,795)

(1,256,649)

(82,555)

1.7

Remy

Cointreau

SA

(8,691)

(1,068,140)

92,072

(1.9)

SEB

SA

(4,515)

(671,506)

48,112

(1.0)

Ubisoft

Entertainment

SA

(7,832)

(542,626)

63,948

(1.4)

Valeo

SA

(32,977)

(1,168,813)

(247,177)

5.2

Worldline

SA

(19,392)

(1,374,718)

(57,196)

1.2

Germany

Delivery

Hero

SE

(35,250)

(2,793,889)

(1,351,750)

28.6

Deutsche

Bank

AG

(Registered)

(464,593)

(3,599,909)

(183,173)

3.9

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(10,441)

(886,285)

(46,616)

1.0

GEA

Group

AG

(26,157)

(865,783)

(117,440)

2.5

Sartorius

AG

(Preference)

(6,173)

(1,319,553)

(218,778)

4.6

thyssenkrupp

AG

(278,687)

(3,744,747)

48,765

(1.0)

United

Internet

AG

(Registered)

(44,229)

(1,448,467)

278,664

(5.9)

Zalando

SE

(35,725)

(1,801,618)

(630,064)

13.3

Luxembourg

Eurofins

Scientific

SE

(2,813)

(1,562,712)

(298,462)

6.3

United

States

QIAGEN

NV

(29,905)

(1,018,962)

(68,268)

1.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-2.13%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-85

months

maturity

10/13/2021

$71,818,253

$(260,702)

$58,441

$(202,261)

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

Russia

Evraz

plc

248,524

1,330,801

(274,048)

135.5

83

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Africa

Anglo

American

plc

36,648

1,052,822

133,067

(65.8)

Investec

plc

207,284

1,218,161

(223,427)

110.5

United

Kingdom

Aviva

plc

162,987

904,667

63,028

(31.2)

BAE

Systems

plc

124,158

929,611

38,499

(19.0)

Barclays

plc

644,426

1,536,618

194,330

(96.1)

Barratt

Developments

plc

202,897

2,008,972

356,279

(176.1)

Bellway

plc

29,981

1,513,219

271,766

(134.4)

Berkeley

Group

Holdings

plc

22,187

1,428,254

264,324

(130.7)

BT

Group

plc

431,332

1,099,116

(103,329)

51.1

Close

Brothers

Group

plc

29,085

616,021

38,092

(18.8)

Drax

Group

plc

229,580

954,569

(161,321)

79.8

Hays

plc

347,743

836,332

138,268

(68.4)

Inchcape

plc

88,198

825,165

(26,321)

13.0

JD

Sports

Fashion

plc

87,044

966,849

90,124

(44.6)

Kingfisher

plc

290,723

836,913

892

(0.4)

Man

Group

plc

446,087

934,267

(57,919)

28.6

Marks

&

Spencer

Group

plc

282,657

801,463

15,785

(7.8)

Meggitt

plc

124,897

1,087,849

160,493

(79.3)

Moneysupermarket.com

Group

plc

160,160

703,076

78,039

(38.6)

Persimmon

plc

64,077

2,288,773

496,734

(245.6)

Playtech

plc

116,518

612,550

(46,286)

22.9

Royal

Mail

plc

394,181

1,185,485

(81,706)

40.4

Tate

&

Lyle

plc

143,899

1,449,903

26,234

(13.0)

Taylor

Wimpey

plc

572,260

1,467,317

180,311

(89.1)

WH

Smith

plc

30,212

1,041,220

199,746

(98.8)

William

Hill

plc

294,876

737,656

(209)

0.1

Short

Positions

Common

Stocks

Germany

TUI

AG

(88,170)

(1,112,729)

(147,575)

73.0

United

Arab

Emirates

NMC

Health

plc

(53,089)

(1,243,843)

508,116

(251.2)

United

Kingdom

Admiral

Group

plc

(37,519)

(1,146,520)

(63,275)

31.3

ASOS

plc

(31,016)

(1,389,912)

(192,521)

95.2

Beazley

plc

(145,230)

(1,068,575)

4,020

(2.0)

Capita

plc

(296,649)

(646,096)

(28,044)

13.9

DS

Smith

plc

(202,216)

(1,028,497)

(93,408)

46.2

easyJet

plc

(55,642)

(1,048,120)

(265,591)

131.3

GVC

Holdings

plc

(156,574)

(1,835,889)

(514,489)

254.4

Hargreaves

Lansdown

plc

(79,373)

(2,036,014)

(249,468)

123.3

Hiscox

Ltd.

(42,201)

(796,597)

(2,379)

1.2

HSBC

Holdings

plc

(108,316)

(847,946)

54,865

(27.1)

Informa

plc

(100,926)

(1,147,895)

(204,877)

101.3

InterContinental

Hotels

Group

plc

(15,604)

(1,072,225)

(19,841)

9.8

John

Wood

Group

plc

(322,910)

(1,712,621)

683,848

(338.1)

Lloyds

Banking

Group

plc

(940,999)

(779,544)

(158,579)

78.4

Ocado

Group

plc

(128,513)

(2,180,483)

(265,631)

131.3

Prudential

plc

(44,914)

(860,581)

(81,100)

40.1

Severn

Trent

plc

(76,367)

(2,546,130)

(294,518)

145.6

St

James's

Place

plc

(138,196)

(2,130,256)

(219,990)

108.8

Tesco

plc

(317,829)

(1,074,146)

(28,386)

14.0

84

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Virgin

Money

UK

plc

(242,159)

(604,543)

(76,087)

37.6

Weir

Group

plc

(The)

(84,120)

(1,682,399)

121,970

(60.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Hong

Kong

Overnight

Index

Average

(“HONIX”)

plus

or

minus

a

specified

spread

(-4.00%

to

0.45%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-73

months

maturity

10/15/2020

$10,447,966

$(608,424)

$(113,755)

$(722,179)

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

Hong

Kong

CK

Asset

Holdings

Ltd.

41,000

295,865

(50,014)

6.9

CLP

Holdings

Ltd.

26,000

272,933

(41,713)

5.8

Henderson

Land

Development

Co.

Ltd.

81,050

397,717

33,090

(4.6)

HKT

Trust

&

HKT

Ltd.

51,000

71,874

(6,574)

0.9

Hysan

Development

Co.

Ltd.

64,000

250,961

(77,496)

10.7

Kerry

Properties

Ltd.

175,000

555,814

(12,765)

1.8

Li

&

Fung

Ltd.

1,140,000

124,416

(75,015)

10.4

Melco

International

Development

Ltd.

192,000

539,405

(62,555)

8.7

New

World

Development

Co.

Ltd.

560,000

767,616

176

(0.0)

Sun

Hung

Kai

Properties

Ltd.

15,500

237,381

(4,594)

0.6

WH

Group

Ltd.

635,000

656,574

29,544

(4.1)

Wheelock

&

Co.

Ltd.

57,000

379,978

(9,733)

1.3

Yue

Yuen

Industrial

Holdings

Ltd.

144,500

426,462

20,841

(2.9)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

26,000

247,923

(20,238)

2.8

Short

Positions

Common

Stocks

Hong

Kong

AIA

Group

Ltd.

(68,200)

(717,325)

(167,320)

23.2

ASM

Pacific

Technology

Ltd.

(68,100)

(945,253)

(178,910)

24.8

Hang

Seng

Bank

Ltd.

(20,700)

(427,868)

6,059

(0.8)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(342,000)

(337,080)

4,722

(0.7)

Hong

Kong

&

China

Gas

Co.

Ltd.

(46,000)

(89,878)

(1,835)

0.3

MTR

Corp.

Ltd.

(145,808)

(861,655)

(65,352)

9.0

Swire

Properties

Ltd.

(23,600)

(78,183)

(2,126)

0.3

Techtronic

Industries

Co.

Ltd.

(15,500)

(126,506)

(17,845)

2.5

85

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Vitasoy

International

Holdings

Ltd.

(26,000)

(94,318)

6,590

(0.9)

Wharf

Real

Estate

Investment

Co.

Ltd.

(152,000)

(927,438)

6,172

(0.9)

Italy

PRADA

SpA

(14,600)

(60,353)

(18,373)

2.5

Macau

MGM

China

Holdings

Ltd.

(341,200)

(557,190)

96,840

(13.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-2.75%

to

0.45%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-73

months

maturity

10/15/2020

$153,943,662

$(12,791,311)

$(2,394,864)

$(15,186,175)

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

Alfresa

Holdings

Corp.

56,700

1,151,863

(201,396)

1.3

Astellas

Pharma,

Inc.

81,900

1,398,032

128,845

(0.8)

Chubu

Electric

Power

Co.,

Inc.

90,100

1,273,640

(94,215)

0.6

Fujitsu

Ltd.

17,900

1,683,599

391,472

(2.6)

Haseko

Corp.

121,100

1,625,628

(2,542)

0.0

Hitachi

High-Technologies

Corp.

26,900

1,905,045

849,821

(5.6)

Hitachi

Ltd.

26,600

1,122,407

199,885

(1.3)

Japan

Airlines

Co.

Ltd.

112,000

3,487,219

(827,829)

5.5

Kajima

Corp.

105,700

1,405,302

(595,362)

3.9

Kamigumi

Co.

Ltd.

53,100

1,167,238

(47,222)

0.3

Matsumotokiyoshi

Holdings

Co.

Ltd.

31,400

1,215,650

(64,748)

0.4

Mazda

Motor

Corp.

175,200

1,492,956

(242,098)

1.6

Nikon

Corp.

96,300

1,177,716

(135,586)

0.9

Nitto

Denko

Corp.

21,200

1,192,029

35,376

(0.2)

Obayashi

Corp.

187,000

2,076,946

(153,633)

1.0

Otsuka

Corp.

29,600

1,182,074

58,320

(0.4)

Pola

Orbis

Holdings,

Inc.

52,500

1,250,501

(655,908)

4.3

Shinsei

Bank

Ltd.

73,100

1,115,301

78,384

(0.5)

Shionogi

&

Co.

Ltd.

27,600

1,707,378

(22,841)

0.2

Sojitz

Corp.

424,300

1,367,560

(238,250)

1.6

Sumitomo

Heavy

Industries

Ltd.

41,800

1,187,321

(332,700)

2.2

Taiheiyo

Cement

Corp.

46,700

1,370,790

(45,945)

0.3

Teijin

Ltd.

72,800

1,360,060

119,210

(0.8)

Tosoh

Corp.

86,300

1,329,520

(322,631)

2.1

86

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(95,800)

(1,976,966)

(192,833)

1.3

CyberAgent

,

Inc.

(48,900)

(1,703,470)

237,199

(1.6)

Daifuku

Co.

Ltd.

(18,900)

(1,142,219)

(196,636)

1.3

Daiichi

Sankyo

Co.

Ltd.

(22,300)

(1,472,787)

(620,556)

4.1

FamilyMart

Co.

Ltd.

(80,560)

(1,929,388)

347,480

(2.3)

Fast

Retailing

Co.

Ltd.

(3,100)

(1,841,630)

(274,373)

1.8

GMO

Payment

Gateway,

Inc.

(16,300)

(1,116,246)

(10,371)

0.1

Japan

Airport

Terminal

Co.

Ltd.

(22,500)

(1,248,415)

(356,287)

2.3

Kansai

Paint

Co.

Ltd.

(57,800)

(1,412,004)

(393,162)

2.6

Keio

Corp.

(23,000)

(1,391,713)

(224,798)

1.5

Kikkoman

Corp.

(40,300)

(1,972,878)

(233,032)

1.5

Kintetsu

Group

Holdings

Co.

Ltd.

(28,700)

(1,556,682)

(416,270)

2.7

M3,

Inc.

(65,700)

(1,981,223)

(955,831)

6.3

Marui

Group

Co.

Ltd.

(72,900)

(1,777,488)

(435,108)

2.9

MISUMI

Group,

Inc.

(48,800)

(1,207,807)

10,558

(0.1)

MonotaRO

Co.

Ltd.

(69,300)

(1,844,834)

(259,249)

1.7

Nidec

Corp.

(9,100)

(1,242,913)

(88,568)

0.6

Nippon

Paint

Holdings

Co.

Ltd.

(54,100)

(2,785,159)

(987,588)

6.5

Odakyu

Electric

Railway

Co.

Ltd.

(59,500)

(1,388,077)

(126,926)

0.8

Shimano,

Inc.

(9,600)

(1,557,417)

(184,057)

1.2

Softbank

Corp.

(99,100)

(1,328,899)

(1,107)

0.0

Sony

Financial

Holdings,

Inc.

(76,600)

(1,838,773)

(453,841)

3.0

Suzuki

Motor

Corp.

(65,300)

(2,725,750)

414,900

(2.7)

TOTO

Ltd.

(31,700)

(1,338,599)

(122,263)

0.8

Yamaha

Corp.

(23,000)

(1,275,201)

(354,740)

2.3

Yaskawa

Electric

Corp.

(64,700)

(2,437,314)

(696,834)

4.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-5.35%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-61

months

maturity

10/15/2020

$476,390,557

$950,545

$231,481

$1,182,026

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

Alexion

Pharmaceuticals,

Inc.

19,647

2,124,823

8,466

0.7

Allstate

Corp.

(The)

15,242

1,713,963

245,910

20.8

Amdocs

Ltd.

27,417

1,979,233

214,621

18.2

Arrow

Electronics,

Inc.

25,536

2,163,921

165,563

14.0

87

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Assured

Guaranty

Ltd.

39,462

1,934,427

225,358

19.1

Avnet,

Inc.

54,436

2,310,264

11,218

0.9

Biogen,

Inc.

8,954

2,656,920

559,432

47.3

Bio-Rad

Laboratories,

Inc.

4,742

1,754,682

441,575

37.4

Charles

River

Laboratories

International,

Inc.

10,997

1,679,902

364,827

30.9

Cisco

Systems,

Inc.

43,619

2,091,967

(35,155)

(3.0)

Crane

Co.

23,022

1,988,640

48,692

4.1

Curtiss-Wright

Corp.

14,928

2,103,206

168,909

14.3

eBay,

Inc.

47,807

1,726,311

(49,086)

(4.2)

Electronic

Arts,

Inc.

20,396

2,192,774

306,543

25.9

Facebook,

Inc.

9,524

1,954,801

132,733

11.2

Gilead

Sciences,

Inc.

41,654

2,706,677

22,144

1.9

Humana,

Inc.

5,003

1,833,700

306,997

26.0

Huntington

Ingalls

Industries,

Inc.

7,191

1,804,078

145,357

12.3

Johnson

&

Johnson

14,709

2,145,602

148,817

12.6

LyondellBasell

Industries

NV

18,834

1,779,436

364,003

30.8

McKesson

Corp.

12,863

1,779,210

3,306

0.3

Norwegian

Cruise

Line

Holdings

Ltd.

36,475

2,130,505

275,913

23.3

Pfizer,

Inc.

41,503

1,626,088

90,293

7.6

Popular,

Inc.

29,937

1,758,799

447,738

37.9

Spirit

AeroSystems

Holdings,

Inc.

26,313

1,917,691

(295,302)

(25.0)

Tyson

Foods,

Inc.

27,814

2,532,187

662,503

56.0

WESCO

International,

Inc.

28,190

1,674,204

87,538

7.4

Short

Positions

Common

Stocks

United

States

Acadia

Healthcare

Co.,

Inc.

(55,726)

(1,851,218)

(322,992)

(27.3)

Albemarle

Corp.

(22,231)

(1,623,752)

335,525

28.4

Amcor

plc

(223,268)

(2,420,225)

(246,258)

(20.8)

Axon

Enterprise,

Inc.

(25,925)

(1,899,784)

(402,538)

(34.1)

Charter

Communications,

Inc.

(5,433)

(2,635,440)

(556,808)

(47.1)

Digital

Realty

Trust,

Inc.

(13,353)

(1,598,888)

(42,103)

(3.6)

Edison

International

(34,155)

(2,575,629)

(181,296)

(15.3)

Energizer

Holdings,

Inc.

(35,688)

(1,792,251)

(167,654)

(14.2)

Equitrans

Midstream

Corp.

(145,167)

(1,939,431)

546,507

46.2

Eversource

Energy

(24,548)

(2,088,298)

(78,740)

(6.7)

Hess

Corp.

(24,933)

(1,665,774)

(228,825)

(19.4)

International

Flavors

&

Fragrances,

Inc.

(17,704)

(2,284,170)

(82,022)

(6.9)

Knight-Swift

Transportation

Holdings,

Inc.

(48,359)

(1,733,187)

(301,760)

(25.5)

Newell

Brands,

Inc.

(82,656)

(1,588,648)

(145,820)

(12.3)

Noble

Energy,

Inc.

(70,253)

(1,745,085)

(98,167)

(8.3)

Sempra

Energy

(21,753)

(3,295,144)

(774,653)

(65.5)

Stericycle,

Inc.

(35,200)

(2,246,112)

(242,404)

(20.5)

Targa

Resources

Corp.

(55,223)

(2,254,755)

(211,317)

(17.9)

Tesla,

Inc.

(4,185)

(1,750,711)

(722,016)

(61.1)

Trex

Co.,

Inc.

(20,963)

(1,884,154)

(407,698)

(34.5)

Twilio

,

Inc.

(18,793)

(1,846,976)

482,146

40.8

Westinghouse

Air

Brake

Technologies

Corp.

(25,790)

(2,006,462)

(186,748)

(15.8)

88

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

World

Wrestling

Entertainment,

Inc.

(30,627)

(1,986,773)

77,106

6.5

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Investment

Companies

$

751,032

$

–

$

751,032

JPMC

Investment

Companies

1,449,802

–

1,449,802

MSIP

U.S.

Treasury

Bills

70,774,314

–

70,774,314

89

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

87.8%

INVESTMENT

COMPANIES

-

41.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(a)(b)

323,748

$

323,748

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

11,184,421

11,184,421

TOTAL

INVESTMENT

COMPANIES

(Cost

$11,506,721)

11,508,169

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.7%

U.S.

Treasury

Bills

1.63%,

4/16/2020(c)

$

1,361,000

1,354,975

1.61%,

4/23/2020(c)

1,993,000

1,983,496

1.62%,

4/30/2020(c)(d)

2,666,000

2,652,547

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

46.7%

(continued)

1.55%,

5/7/2020(c)

$

2,369,000

$

2,356,366

1.56%,

5/14/2020(c)

2,009,000

1,997,661

1.55%,

5/21/2020(c)

761,000

756,483

1.59%,

5/28/2020(c)

309,000

307,063

1.58%,

6/4/2020(c)

830,000

824,545

1.56%,

6/18/2020(c)

331,000

328,621

1.58%,

6/25/2020(c)

530,000

526,043

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$13,085,105)

13,087,800

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$24,591,826)

24,595,969

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.8%

(Cost

$24,591,826)

24,595,969

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.2%(e)

3,403,254

NET

ASSETS

-

100.0%

$27,999,223

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(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)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

December

31,

2019:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Quarterly

3/10/2022

AUD

6,300,000

$

13,274

$

(4,135)

$

9,139

Pay

3

Month

London

Interbank

Offered

Rate

Quarterly

1.75%

Semi-Annually

3/18/2022

USD

100,000

257

(62)

195

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

3/18/2030

EUR

6,100,000

278,360

(82,227)

196,133

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

3/16/2022

NZD

16,600,000

(8,833)

68,927

60,094

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

6/15/2022

NZD

6,400,000

16,569

7,488

24,057

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.75%

Semi-Annually

3/16/2022

CAD

600,000

(621)

2,718

2,097

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

2.00%

Semi-Annually

3/18/2030

CAD

100,000

689

532

1,221

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.50%

Semi-Annually

6/17/2030

CAD

2,900,000

117,569

21,006

138,575

90

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

1.00%

Semi-Annually

6/17/2022

USD

800,000

$

10,032

$

(100)

$

9,932

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

1.25%

Semi-Annually

6/17/2030

USD

2,400,000

112,005

33,050

145,055

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

3/16/2022

SEK

305,400,000

(51,237)

210,907

159,670

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

6/15/2022

SEK

351,100,000

194,037

3,752

197,789

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.00%

Semi-Annually

3/07/2030

AUD

2,000,000

13,913

57,414

71,327

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.50%

Semi-Annually

6/13/2030

AUD

3,200,000

(37,334)

53,261

15,927

Receive

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

6/17/2022

EUR

6,400,000

27,686

7,759

35,445

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

3/18/2030

GBP

6,400,000

(72,728)

94,781

22,053

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

3/20/2030

CHF

600,000

10,860

16,214

27,074

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

3/21/2030

JPY

797,700,000

(24,160)

119,405

95,245

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.75%

Semi-Annually

6/17/2030

GBP

1,800,000

43,221

22,346

65,567

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

3/20/2030

NOK

24,200,000

28,006

115,319

143,325

671,565

748,355

1,419,920

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

3/10/2022

AUD

5,700,000

(11,772)

(19,381)

(31,153)

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

6/09/2022

AUD

15,600,000

(40,550)

(48,124)

(88,674)

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.50%

Semi-Annually

3/13/2030

NZD

1,700,000

19,033

(51,753)

(32,720)

Pay

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.50%

Semi-Annually

6/15/2022

CAD

18,200,000

(135,213)

385

(134,828)

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

3/20/2030

SEK

44,300,000

(118,200)

(212,196)

(330,396)

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.50%

Annually

6/19/2030

SEK

32,200,000

(52,897)

(27,002)

(79,899)

91

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

6/17/2030

EUR

500,000

$

(21,132)

$

(6,855)

$

(27,987)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

3/16/2022

CHF

1,500,000

(6,249)

(6,267)

(12,516)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

3/16/2022

JPY

4,439,500,000

116,207

(125,710)

(9,503)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.75%

Semi-Annually

3/18/2022

GBP

37,800,000

(11,629)

(30,755)

(42,384)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

6/15/2022

JPY

38,200,000

396

(478)

(82)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Semi-Annually

6/17/2022

GBP

26,900,000

(208,212)

3,466

(204,746)

Pay

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

3/16/2022

NOK

98,300,000

(31,182)

(72,969)

(104,151)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

2.00%

Semi-Annually

3/18/2030

USD

100,000

(5,451)

4,530

(921)

Receive

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

3/18/2022

EUR

68,700,000

(161,465)

120,090

(41,375)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

6/15/2022

CHF

2,300,000

(8,062)

4,127

(3,935)

(676,378)

(468,892)

(1,145,270)

$

(4,813)

$

279,463

$

274,650

(a)

Floating

rate

indices

at

December

31,

2019

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate:

0.92%

3

Month

Canadian

Bankers’

Acceptance

Rate:

2.08%

3

Month

London

Interbank

Offered

Rate:

1.91%

3

Month

Stockholm

Interbank

Offered

Rate:

0.15%

6

Month

Australian

Bank-Bill

Reference

Rate:

1.03%

6

Month

Euro

Interbank

Offered

Rate:

(0.32)%

6

Month

London

Interbank

Offered

Rate:

1.91%

6

Month

Norwegian

Interbank

Offered

Rate:

1.96%

92

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/28/2020

TRY

734,760

$

1,627

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(3,162,040)

43,372

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

5,605,500

7,798

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/12/2020

BRL

4,058,320

20,577

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/12/2020

KRW

147,600,000

4,102

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

1,771,200,000

100,950

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

187,758

2,916

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/20/2020

CHF

841,760

4,806

Tel

Aviv

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/29/2020

ILS

(168,329)

28

MSCI

Brazil

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”)

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

BRL

201,012

2,163

MSCI

China

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

HKD

1,640,050

13,849

93

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.01%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

EUR

1,838

$

43

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

EUR

323,066

6,157

MSCI

Spain

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

GSIN

03/20/2020

EUR

204,395

6,048

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

CHF

3,196

28

214,464

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(252,038)

(2,691)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

19,388

(23)

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/19/2020

ZAR

(435,000)

(78)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(47,775)

(2,151)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(47,775)

(2,169)

94

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(182,820)

$

(2,120)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(121,880)

(1,307)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

30,470

(56)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(479,826)

(39,595)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(223,500)

(18,361)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(83,813)

(6,572)

WIG20

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

03/20/2020

PLN

(215,800)

(591)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

AUD

6,736

(19)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/20/2020

AUD

6,866

(109)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(14,968)

(515)

95

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”)

plus

or

minus

a

specified

spread

(-0.15%)

Monthly

GSIN

03/18/2020

ZAR

(2,036,798)

$

(6,491)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.15%)

Monthly

GSIN

03/18/2020

ZAR

(2,112,241)

(7,724)

MSCI

Spain

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

GSIN

03/20/2020

EUR

207

(2)

(90,574)

$

123,890

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

4

1/2020

USD

$

264,000

$

2,857

CAC

40

10

Euro

Index

3

1/2020

EUR

200,896

(59)

IBEX

35

Index

10

1/2020

EUR

1,068,789

(8,271)

LME

Aluminum

Base

Metal

1

1/2020

USD

44,812

1,734

LME

Aluminum

Base

Metal

3

1/2020

USD

134,675

3,108

LME

Aluminum

Base

Metal

5

1/2020

USD

224,938

9,110

LME

Copper

Base

Metal

1

1/2020

USD

153,866

11,501

LME

Copper

Base

Metal

1

1/2020

USD

154,900

13,306

LME

Copper

Base

Metal

1

1/2020

USD

153,881

11,026

LME

Copper

Base

Metal

2

1/2020

USD

307,870

16,259

LME

Nickel

Base

Metal

1

1/2020

USD

83,757

(21,469)

NY

Harbor

ULSD

1

1/2020

USD

84,958

3,149

RBOB

Gasoline

1

1/2020

USD

71,001

2,005

SGX

NIFTY

50

Index

18

1/2020

USD

440,820

(2,475)

WTI

Crude

Oil

11

1/2020

USD

671,660

16,093

LME

Aluminum

Base

Metal

1

2/2020

USD

45,025

1,522

LME

Aluminum

Base

Metal

2

2/2020

USD

89,886

129

LME

Aluminum

Base

Metal

2

2/2020

USD

89,908

(488)

LME

Aluminum

Base

Metal

3

2/2020

USD

134,977

2,443

96

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

13

2/2020

USD

$

585,325

$

20,980

LME

Copper

Base

Metal

1

2/2020

USD

154,171

8,418

LME

Copper

Base

Metal

3

2/2020

USD

462,620

19,361

LME

Zinc

Base

Metal

1

2/2020

USD

56,919

(1,713)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(4,925)

LME

Zinc

Base

Metal

1

2/2020

USD

56,914

(739)

LME

Zinc

Base

Metal

2

2/2020

USD

113,975

(10,087)

Australia

10

Year

Bond

12

3/2020

AUD

1,203,850

(16,102)

EURO

STOXX

50

Index

171

3/2020

EUR

7,152,621

(20,792)

Euro-Bund

59

3/2020

EUR

11,283,080

(182,240)

FTSE/MIB

Index

33

3/2020

EUR

4,332,734

(13,394)

KOSPI

200

Index

9

3/2020

KRW

574,344

34,457

LME

Aluminum

Base

Metal

3

3/2020

USD

135,750

(837)

LME

Aluminum

Base

Metal

4

3/2020

USD

180,992

(1,210)

LME

Aluminum

Base

Metal

7

3/2020

USD

316,750

(2,371)

LME

Copper

Base

Metal

1

3/2020

USD

154,341

(1,162)

LME

Copper

Base

Metal

1

3/2020

USD

154,350

(727)

LME

Copper

Base

Metal

1

3/2020

USD

154,348

1,462

LME

Copper

Base

Metal

1

3/2020

USD

154,375

1,135

LME

Copper

Base

Metal

2

3/2020

USD

308,554

15,861

LME

Nickel

Base

Metal

1

3/2020

USD

84,072

4,728

LME

Nickel

Base

Metal

1

3/2020

USD

84,111

3,489

LME

Zinc

Base

Metal

1

3/2020

USD

56,903

1,213

LME

Zinc

Base

Metal

3

3/2020

USD

170,657

3,398

LME

Zinc

Base

Metal

4

3/2020

USD

227,475

(931)

S&P

500

E-Mini

Index

16

3/2020

USD

2,584,880

20,512

S&P/TSX

60

Index

1

3/2020

CAD

155,928

(443)

Silver

1

3/2020

USD

89,605

3,640

SPI

200

Index

14

3/2020

AUD

1,621,779

(44,459)

(101,998)

Short

Contracts

Amsterdam

Exchange

Index

(16)

1/2020

EUR

(2,170,283)

11,654

FTSE

Bursa

Malaysia

KLCI

Index

(5)

1/2020

MYR

(97,482)

1,447

Hang

Seng

Index

(16)

1/2020

HKD

(2,902,352)

(23,623)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,812)

(1,839)

LME

Aluminum

Base

Metal

(3)

1/2020

USD

(134,675)

(3,309)

LME

Aluminum

Base

Metal

(5)

1/2020

USD

(224,938)

(9,641)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,881)

(11,303)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,866)

(11,587)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,900)

(12,884)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,870)

(16,683)

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,757)

21,834

MSCI

Singapore

Index

(50)

1/2020

SGD

(1,381,092)

(875)

MSCI

Taiwan

Index

(1)

1/2020

USD

(45,960)

488

Natural

Gas

(27)

1/2020

USD

(591,030)

25,695

OMXS30

Index

(3)

1/2020

SEK

(56,636)

648

100

oz

Gold

(1)

2/2020

USD

(152,310)

(4,990)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,025)

(1,540)

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(89,908)

661

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(89,886)

(416)

LME

Aluminum

Base

Metal

(3)

2/2020

USD

(134,977)

(2,453)

LME

Aluminum

Base

Metal

(13)

2/2020

USD

(585,325)

(21,599)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,171)

(8,220)

LME

Copper

Base

Metal

(3)

2/2020

USD

(462,620)

(21,719)

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,919)

1,427

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

4,685

97

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

2/2020

USD

$

(56,914)

$

567

LME

Zinc

Base

Metal

(2)

2/2020

USD

(113,975)

10,519

Canada

10

Year

Bond

(38)

3/2020

CAD

(4,023,133)

67,789

DAX

Index

(7)

3/2020

EUR

(2,600,255)

13,489

FTSE

100

Index

(32)

3/2020

GBP

(3,178,616)

(11,875)

FTSE/JSE

Top

40

Index

(6)

3/2020

ZAR

(220,020)

551

Japan

10

Year

Bond

(8)

3/2020

JPY

(11,204,639)

(3,955)

LME

Aluminum

Base

Metal

(3)

3/2020

USD

(135,750)

1,019

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(180,992)

951

LME

Aluminum

Base

Metal

(25)

3/2020

USD

(1,131,250)

(31,594)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,348)

(1,163)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,341)

1,205

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,350)

315

LME

Copper

Base

Metal

(2)

3/2020

USD

(308,554)

(15,643)

LME

Copper

Base

Metal

(4)

3/2020

USD

(617,500)

(14,274)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,072)

(4,525)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,111)

(2,206)

LME

Nickel

Base

Metal

(3)

3/2020

USD

(252,450)

(9,863)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,903)

(828)

LME

Zinc

Base

Metal

(3)

3/2020

USD

(170,657)

(3,614)

LME

Zinc

Base

Metal

(5)

3/2020

USD

(284,344)

(4,127)

Long

Gilt

(36)

3/2020

GBP

(6,264,934)

67,663

MEX

BOLSA

Index

(3)

3/2020

MXN

(70,185)

1,507

SET50

Index

(63)

3/2020

THB

(448,790)

(568)

Soybean

(7)

3/2020

USD

(334,425)

(15,483)

TOPIX

Index

(10)

3/2020

JPY

(1,583,912)

(5,778)

U.S.

Treasury

10

Year

Note

(61)

3/2020

USD

(7,833,734)

20,176

Wheat

(6)

3/2020

USD

(167,625)

(12,883)

(36,770)

$

(138,768)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,043,490

USD

712,150

CITI

3/18/2020

$

21,484

AUD

1,043,510

USD

712,164

JPMC

3/18/2020

21,483

BRL

2,765,501

USD

670,575

CITI

**

3/18/2020

14,773

BRL

2,765,499

USD

670,576

JPMC

**

3/18/2020

14,773

CAD

4,246,993

USD

3,200,471

CITI

3/18/2020

70,963

CAD

4,247,007

USD

3,200,486

JPMC

3/18/2020

70,960

CLP

73,000,000

USD

92,405

CITI

**

3/18/2020

4,760

CLP

73,000,000

USD

92,405

JPMC

**

3/18/2020

4,760

CNY

1,253,600

USD

178,796

CITI

**

3/18/2020

977

CNY

1,253,600

USD

178,796

JPMC

**

3/18/2020

977

COP

950,000,000

USD

274,897

CITI

**

3/18/2020

13,067

COP

950,000,000

USD

274,897

JPMC

**

3/18/2020

13,066

CZK

1,300,000

USD

56,358

CITI

3/18/2020

997

CZK

1,300,000

USD

56,358

JPMC

3/18/2020

997

EUR

1,948,992

USD

2,177,310

CITI

3/18/2020

19,204

EUR

1,949,008

USD

2,177,331

JPMC

3/18/2020

19,201

GBP

1,249,504

USD

1,626,292

CITI

3/18/2020

32,234

98

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

GBP

1,249,496

USD

1,626,283

JPMC

3/18/2020

$

32,232

HUF

35,000,000

USD

116,398

CITI

3/18/2020

2,670

HUF

35,000,000

USD

116,398

JPMC

3/18/2020

2,670

IDR

1,965,000,000

USD

137,557

CITI

**

3/18/2020

3,616

IDR

1,965,000,000

USD

137,558

JPMC

**

3/18/2020

3,616

INR

8,613,992

USD

119,005

CITI

**

3/18/2020

1,001

INR

8,614,008

USD

119,005

JPMC

**

3/18/2020

1,001

JPY

17,482,500

USD

161,227

CITI

3/18/2020

362

JPY

17,482,500

USD

161,228

JPMC

3/18/2020

362

KRW

456,555,501

USD

391,285

CITI

**

3/18/2020

4,489

KRW

456,555,499

USD

391,285

JPMC

**

3/18/2020

4,488

MXN

8,037,003

USD

410,568

CITI

3/18/2020

9,771

MXN

8,036,997

USD

410,569

JPMC

3/18/2020

9,771

NZD

2,619,000

USD

1,695,709

CITI

3/18/2020

69,320

NZD

2,619,000

USD

1,695,711

JPMC

3/18/2020

69,318

PHP

24,399,992

USD

477,868

CITI

**

3/18/2020

2,248

PHP

24,400,008

USD

477,869

JPMC

**

3/18/2020

2,247

PLN

1,150,496

USD

297,446

CITI

3/18/2020

5,860

PLN

1,150,504

USD

297,448

JPMC

3/18/2020

5,860

RUB

16,250,000

USD

250,958

CITI

**

3/18/2020

8,482

RUB

16,250,000

USD

250,959

JPMC

**

3/18/2020

8,481

SEK

1,200,500

USD

126,030

CITI

3/18/2020

2,607

SEK

1,200,500

USD

126,030

JPMC

3/18/2020

2,607

SGD

152,000

USD

111,889

CITI

3/18/2020

1,209

SGD

152,000

USD

111,889

JPMC

3/18/2020

1,209

THB

239,500

USD

7,938

CITI

3/18/2020

72

THB

239,500

USD

7,938

JPMC

3/18/2020

71

TWD

11,950,000

USD

396,439

CITI

**

3/18/2020

5,373

TWD

11,950,000

USD

396,439

JPMC

**

3/18/2020

5,374

USD

44,257

CLP

33,000,000

CITI

**

3/18/2020

333

USD

44,257

CLP

33,000,000

JPMC

**

3/18/2020

333

USD

13,103

ILS

45,000

CITI

3/18/2020

19

USD

13,103

ILS

45,000

JPMC

3/18/2020

19

USD

463,911

JPY

50,044,500

CITI

3/18/2020

1,353

USD

463,911

JPY

50,044,500

JPMC

3/18/2020

1,352

USD

193,321

MXN

3,689,000

CITI

3/18/2020

384

USD

193,321

MXN

3,689,000

JPMC

3/18/2020

384

USD

29,523

PHP

1,500,000

CITI

**

3/18/2020

7

USD

29,523

PHP

1,500,000

JPMC

**

3/18/2020

7

ZAR

4,718,500

USD

322,912

CITI

3/18/2020

10,653

ZAR

4,718,500

USD

322,913

JPMC

3/18/2020

10,652

Total

unrealized

appreciation

616,559

COP

35,000,000

USD

10,642

CITI

**

3/18/2020

(32)

COP

35,000,000

USD

10,642

JPMC

**

3/18/2020

(32)

MXN

2,723,003

USD

142,426

CITI

3/18/2020

(11)

MXN

2,722,997

USD

142,425

JPMC

3/18/2020

(11)

RUB

1,650,000

USD

26,461

CITI

**

3/18/2020

(118)

RUB

1,650,000

USD

26,462

JPMC

**

3/18/2020

(118)

TWD

2,750,000

USD

92,484

CITI

**

3/18/2020

(16)

TWD

2,750,000

USD

92,484

JPMC

**

3/18/2020

(17)

USD

1,709,780

AUD

2,482,490

CITI

3/18/2020

(35,553)

USD

1,709,792

AUD

2,482,510

JPMC

3/18/2020

(35,556)

USD

505,041

BRL

2,108,001

CITI

**

3/18/2020

(17,365)

USD

505,040

BRL

2,107,999

JPMC

**

3/18/2020

(17,366)

USD

3,431,526

CAD

4,523,825

CITI

3/18/2020

(53,151)

USD

3,431,532

CAD

4,523,839

JPMC

3/18/2020

(53,156)

USD

1,302,012

CHF

1,283,504

CITI

3/18/2020

(31,310)

USD

1,302,002

CHF

1,283,496

JPMC

3/18/2020

(31,312)

99

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

797,325

CLP

627,999,998

CITI

**

3/18/2020

$

(38,560)

USD

797,324

CLP

628,000,002

JPMC

**

3/18/2020

(38,561)

USD

463,572

CNY

3,270,800

CITI

**

3/18/2020

(5,480)

USD

463,573

CNY

3,270,814

JPMC

**

3/18/2020

(5,480)

USD

7,135

COP

25,000,000

CITI

**

3/18/2020

(443)

USD

7,135

COP

25,000,000

JPMC

**

3/18/2020

(443)

USD

218,327

EUR

195,000

CITI

3/18/2020

(1,438)

USD

218,327

EUR

195,000

JPMC

3/18/2020

(1,438)

USD

2,984,444

GBP

2,297,000

CITI

3/18/2020

(64,473)

USD

2,984,440

GBP

2,297,000

JPMC

3/18/2020

(64,477)

USD

301,767

ILS

1,045,000

CITI

3/18/2020

(2,079)

USD

301,766

ILS

1,045,000

JPMC

3/18/2020

(2,079)

USD

3,643

INR

264,000

CITI

**

3/18/2020

(35)

USD

3,643

INR

264,000

JPMC

**

3/18/2020

(35)

USD

462,066

JPY

50,044,500

CITI

3/18/2020

(493)

USD

462,065

JPY

50,044,500

JPMC

3/18/2020

(493)

USD

1,416,890

KRW

1,664,921,008

CITI

**

3/18/2020

(26,378)

USD

1,416,889

KRW

1,664,920,991

JPMC

**

3/18/2020

(26,380)

USD

579,867

MXN

11,463,500

CITI

3/18/2020

(19,681)

USD

579,866

MXN

11,463,500

JPMC

3/18/2020

(19,682)

USD

1,355,305

NOK

12,372,504

CITI

3/18/2020

(54,293)

USD

1,355,302

NOK

12,372,496

JPMC

3/18/2020

(54,295)

USD

140,234

PHP

7,150,000

CITI

**

3/18/2020

(456)

USD

140,234

PHP

7,150,000

JPMC

**

3/18/2020

(456)

USD

137,417

PLN

533,500

CITI

3/18/2020

(3,230)

USD

137,417

PLN

533,500

JPMC

3/18/2020

(3,230)

USD

279,633

SEK

2,672,000

CITI

3/18/2020

(6,680)

USD

279,632

SEK

2,672,000

JPMC

3/18/2020

(6,680)

USD

284,064

SGD

386,496

CITI

3/18/2020

(3,514)

USD

284,069

SGD

386,504

JPMC

3/18/2020

(3,515)

USD

364

THB

11,000

CITI

3/18/2020

(4)

USD

364

THB

11,000

JPMC

3/18/2020

(4)

USD

354,802

ZAR

5,182,000

CITI

3/18/2020

(11,529)

USD

354,802

ZAR

5,182,000

JPMC

3/18/2020

(11,529)

Total

unrealized

depreciation

(752,667)

Net

unrealized

depreciation

$

(136,108)

**

Non-deliverable

forward.

100

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,704,927

$

1,704,927

CITI

Investment

Companies

133,364

–

133,364

CRSU

Cash

–

759,246

759,246

GSCO

Cash

–

416,744

416,744

GSIN

Cash

(100,000)

–

(100,000)

U.S.

Treasury

Bills

298,486

–

298,486

JPMC

Investment

Companies

190,383

–

190,383

JPMS

Cash

–

37,595

37,595

MLIN

Cash

(110,000)

–

(110,000)

MSCL

Cash

–

63,264

63,264

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

16,549

$

16,549

JPPC

Cash

–

198,078

198,078

MSCL

Cash

–

125,863

125,863

101

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

*

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

$904,533.

In

addition,

$11,300,546

of

cash

collateral

was

pledged.

(b)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

96.6%

COMMON

STOCKS

-

0.1%

United

States

-

0.1%

AMC

Networks,

Inc.,

Class

A(1)*(a)

11,682

$

461,439

New

York

Times

Co.

(The),

Class

A(1)

(a)

4,857

156,250

News

Corp.,

Class

A(1)(a)

20,286

286,844

TOTAL

COMMON

STOCKS

(Cost

$1,025,261)

904,533

SHORT-TERM

INVESTMENTS

-

96.5%

INVESTMENT

COMPANIES

-

37.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(b)(c)

117,925,547

117,925,547

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(b)(d)

262,591,498

262,591,498

TOTAL

INVESTMENT

COMPANIES

(Cost

$380,456,194)

380,517,045

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

58.7%

U.S.

Treasury

Bills

1.84%,

3/5/2020(e)(f)

$

20,038,000

19,985,312

1.89%,

3/19/2020(e)(f)

11,000,000

10,965,140

1.88%,

3/26/2020(e)(f)

11,497,000

11,456,553

1.56%,

5/14/2020(e)(f)

14,068,000

13,988,598

1.55%,

5/21/2020(e)(g)

107,798,000

107,158,174

1.59%,

5/28/2020(e)(f)

168,277,000

167,222,081

1.58%,

6/4/2020(e)(f)

145,766,000

144,807,908

1.53%,

6/11/2020(e)(f)

87,714,000

87,111,365

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

58.7%

(continued)

1.58%,

6/25/2020(e)(f)

$

27,942,000

$

27,733,366

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$590,318,877)

590,428,497

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$970,775,071)

970,945,542

TOTAL

LONG

POSITIONS

(Cost

$971,800,332)

971,850,075

SHARES

SHORT

POSITIONS

-

(0.4)%

COMMON

STOCKS

-

(0.4)%

United

States

-

(0.4)%

Discovery,

Inc.,

Class

A(1)*

(88,059)

(2,883,052)

Sirius

XM

Holdings,

Inc.(1)

(133,329)

(953,302)

TOTAL

COMMON

STOCKS

(Proceeds$(3,667,950))

(3,836,354)

TOTAL

SHORT

POSITIONS

(Proceeds

$(3,667,950))

(3,836,354)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.2%

(Cost

$968,132,382)

968,013,721

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.8%(h)

38,229,731

NET

ASSETS

-

100.0%

$1,006,243,452

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,931,821)

(0.3)

%

Short-Term

Investments

970,945,542

96.5

Total

Investments

In

Securities

At

Value

968,013,721

96.2

Other

Assets

in

Excess

of

Liabilities(h)

38,229,731

3.8

Net

Assets

$

1,006,243,452

100.0%

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

26.1%

INVESTMENT

COMPANIES

-

26.1%

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

(Cost

$262,530,647)

193,083,657

3,675,307,072

(3,605,799,231)

262,591,498

$262,591,498

$8,708,267

$49,223

$9

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

102

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

(e)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(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.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/20/2020

CHF

19,465,700

$

122,877

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.28%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

CAD

13,918

69

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.35%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

HKD

168,069

952

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

EUR

2,316,096

44,338

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

JPMC

03/23/2020

JPY

4,552,190,666

124,264

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

03/20/2020

EUR

272,879

5,229

103

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

Singapore

Interbank

Offered

Rate

(“SIBOR”)

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

SGD

1,018,760

$

17,403

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

EUR

2,606,791

77,426

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

SEK

340,460

876

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

CHF

6,307

147

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

GBP

35,688

2,134

395,715

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

03/20/2020

AUD

2,195,962

(6,159)

(6,159)

$

389,556

104

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

77

1/2020

EUR

$

10,444,487

$

(45,368)

CAC

40

10

Euro

Index

330

1/2020

EUR

22,098,612

6,960

Hang

Seng

Index

32

1/2020

HKD

5,804,705

54,255

IBEX

35

Index

26

1/2020

EUR

2,778,852

(21,668)

MSCI

Singapore

Index

15

1/2020

SGD

414,328

(1,455)

OMXS30

Index

380

1/2020

SEK

7,173,926

(85,110)

DAX

Index

33

3/2020

EUR

12,258,344

(59,335)

FTSE

100

Index

289

3/2020

GBP

28,706,876

162,944

FTSE/MIB

Index

24

3/2020

EUR

3,151,080

(10,658)

S&P

500

E-Mini

Index

2,108

3/2020

USD

340,557,941

5,851,014

S&P/TSX

60

Index

133

3/2020

CAD

20,738,393

(10,920)

SPI

200

Index

110

3/2020

AUD

12,742,551

(348,270)

TOPIX

Index

23

3/2020

JPY

3,642,998

13,046

$

5,505,435

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

9,598,992

USD

6,549,931

CITI

3/18/2020

$

198,711

AUD

9,599,008

USD

6,549,950

JPMC

3/18/2020

198,703

CAD

14,438,203

USD

10,879,772

CITI

3/18/2020

241,894

CAD

14,438,207

USD

10,879,789

JPMC

3/18/2020

241,880

CHF

8,809,495

USD

8,941,968

CITI

3/18/2020

209,459

CHF

8,809,505

USD

8,941,989

JPMC

3/18/2020

209,447

DKK

11,859,721

USD

1,772,877

CITI

3/18/2020

16,685

DKK

11,859,722

USD

1,772,879

JPMC

3/18/2020

16,683

EUR

44,370,997

USD

49,456,991

CITI

3/18/2020

549,119

EUR

44,371,004

USD

49,457,061

JPMC

3/18/2020

549,063

GBP

12,162,000

USD

15,794,446

CITI

3/18/2020

348,757

GBP

12,162,001

USD

15,794,467

JPMC

3/18/2020

348,731

HKD

27,629,500

USD

3,526,083

CITI

3/18/2020

17,535

HKD

27,629,500

USD

3,526,087

JPMC

3/18/2020

17,531

ILS

1,447,128

USD

419,381

CITI

3/18/2020

1,387

ILS

1,447,124

USD

419,380

JPMC

3/18/2020

1,387

JPY

1,281,994,250

USD

11,838,761

CITI

3/18/2020

10,643

JPY

1,281,994,251

USD

11,838,775

JPMC

3/18/2020

10,629

NOK

5,522,000

USD

602,363

CITI

3/18/2020

26,758

NOK

5,522,000

USD

602,363

JPMC

3/18/2020

26,758

NZD

366,999

USD

235,807

CITI

3/18/2020

11,526

NZD

367,000

USD

235,808

JPMC

3/18/2020

11,526

SEK

24,811,001

USD

2,595,396

CITI

3/18/2020

63,174

SEK

24,811,000

USD

2,595,399

JPMC

3/18/2020

63,171

SGD

3,668,500

USD

2,703,819

CITI

3/18/2020

25,781

SGD

3,668,500

USD

2,703,822

JPMC

3/18/2020

25,779

USD

276,856

HKD

2,158,000

CITI

3/18/2020

82

USD

276,856

HKD

2,158,000

JPMC

3/18/2020

81

Total

unrealized

appreciation

3,442,880

ILS

482,376

USD

140,422

CITI

3/18/2020

(165)

ILS

482,372

USD

140,421

JPMC

3/18/2020

(166)

105

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

1,281,994,250

USD

11,880,542

CITI

3/18/2020

$

(31,138)

JPY

1,281,994,250

USD

11,880,557

JPMC

3/18/2020

(31,154)

USD

840,026

AUD

1,209,000

CITI

3/18/2020

(9,970)

USD

840,025

AUD

1,209,000

JPMC

3/18/2020

(9,971)

USD

2,258,398

CAD

2,967,000

CITI

3/18/2020

(27,066)

USD

2,258,395

CAD

2,967,000

JPMC

3/18/2020

(27,068)

USD

1,630,030

CHF

1,596,713

CITI

3/18/2020

(28,658)

USD

1,630,019

CHF

1,596,705

JPMC

3/18/2020

(28,660)

USD

170,309

DKK

1,137,000

CITI

3/18/2020

(1,257)

USD

170,309

DKK

1,137,000

JPMC

3/18/2020

(1,257)

USD

21,321,579

EUR

19,141,556

CITI

3/18/2020

(250,954)

USD

21,321,562

EUR

19,141,565

JPMC

3/18/2020

(250,981)

USD

1,864,935

GBP

1,428,000

CITI

3/18/2020

(30,517)

USD

1,864,933

GBP

1,428,000

JPMC

3/18/2020

(30,520)

USD

371,913

HKD

2,913,500

CITI

3/18/2020

(1,758)

USD

371,912

HKD

2,913,500

JPMC

3/18/2020

(1,758)

USD

10,552

ILS

36,500

CITI

3/18/2020

(61)

USD

10,552

ILS

36,500

JPMC

3/18/2020

(61)

USD

2,554,618

JPY

278,289,500

CITI

3/18/2020

(17,597)

USD

2,554,615

JPY

278,289,500

JPMC

3/18/2020

(17,600)

USD

1,323,136

NOK

12,111,745

CITI

3/18/2020

(56,754)

USD

1,323,134

NOK

12,111,740

JPMC

3/18/2020

(56,756)

USD

356,954

SEK

3,360,616

CITI

3/18/2020

(3,146)

USD

356,954

SEK

3,360,623

JPMC

3/18/2020

(3,147)

USD

2,186,874

SGD

2,975,140

CITI

3/18/2020

(26,822)

USD

2,186,875

SGD

2,975,145

JPMC

3/18/2020

(26,824)

Total

unrealized

depreciation

(971,786)

Net

unrealized

appreciation

$

2,471,094

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.40%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13

months

maturity

01/14/2021

$5,663,183

$(28,113)

$13,116

$(14,997)

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

(0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12

months

maturity

07/31/2020

$484,537

$(54,139)

$2,413

$(51,726)

106

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.75%

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

01/25/2021

-

02/25/2021

$191,778,434

$(1,352,219)

$(257,936)

$(1,610,155)

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

Alcoa

Corp.

51,379

1,105,162

28,772

(1.8)

Brunswick

Corp.

29,981

1,798,260

1,779

(0.1)

Cabot

Corp.

34,841

1,655,644

11,498

(0.7)

Celanese

Corp.

13,670

1,683,050

27,613

(1.7)

Deckers

Outdoor

Corp.

27,568

4,655,132

71,952

(4.5)

Domtar

Corp.

35,934

1,374,116

(28,388)

1.8

Eastman

Chemical

Co.

67,269

5,331,741

(33,635)

2.1

Garmin

Ltd.

30,718

2,996,848

2,765

(0.2)

Hanesbrands,

Inc.

116,569

1,731,050

4,351

(0.3)

International

Paper

Co.

131,237

6,043,464

(31,497)

2.0

Lululemon

Athletica,

Inc.

13,003

3,012,405

84,367

(5.2)

LyondellBasell

Industries

NV

66,470

6,280,086

(45,864)

2.8

NIKE,

Inc.

40,617

4,114,908

30,057

(1.9)

PolyOne

Corp.

43,037

1,583,331

184,198

(11.4)

PulteGroup,

Inc.

120,286

4,667,097

(14,434)

0.9

PVH

Corp.

40,570

4,265,936

(71,403)

4.4

Ralph

Lauren

Corp.

50,716

5,944,930

(89,260)

5.5

Reliance

Steel

&

Aluminum

Co.

30,815

3,690,404

(33,280)

2.1

Sealed

Air

Corp.

28,412

1,131,650

23,298

(1.4)

Silgan

Holdings,

Inc.

58,866

1,829,555

35,320

(2.2)

Skechers

U.S.A.,

Inc.

133,535

5,767,377

14,689

(0.9)

Steel

Dynamics,

Inc.

156,657

5,332,604

(124,542)

7.7

Tempur

Sealy

International,

Inc.

13,216

1,150,585

(17,279)

1.1

Toll

Brothers,

Inc.

83,920

3,315,679

–

–

Tupperware

Brands

Corp.

329,678

2,828,637

44,306

(2.8)

Walmart,

Inc.

13,030

1,548,485

(13,291)

0.8

Short

Positions

Common

Stocks

United

States

Albemarle

Corp.

(79,830)

(5,830,783)

(330,497)

20.5

Allegheny

Technologies,

Inc.

(204,421)

(4,223,338)

73,592

(4.6)

Amcor

plc

(681,249)

(7,384,739)

(46,442)

2.9

Capri

Holdings

Ltd.

(46,742)

(1,783,207)

17,175

(1.1)

Carpenter

Technology

Corp.

(36,203)

(1,802,185)

(1,810)

0.1

107

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Carter's,

Inc.

(15,999)

(1,749,331)

(16,799)

1.0

CenturyLink,

Inc.

(348,439)

(4,602,879)

10,453

(0.6)

Chemours

Co.

(The)

(120,846)

(2,186,104)

(55,589)

3.5

Columbia

Sportswear

Co.

(11,775)

(1,179,737)

9,656

(0.6)

Compass

Minerals

International,

Inc.

(63,689)

(3,882,481)

(123,557)

7.7

Element

Solutions,

Inc.

(192,198)

(2,244,873)

(69,191)

4.3

Freeport-McMoRan,

Inc.

(414,711)

(5,441,008)

(58,060)

3.6

GCI

Liberty,

Inc.

(58,784)

(4,164,846)

(166,947)

10.4

International

Flavors

&

Fragrances,

Inc.

(77,436)

(9,990,793)

(506,432)

31.5

KB

Home

(76,424)

(2,619,050)

(67,253)

4.2

Leggett

&

Platt,

Inc.

(60,375)

(3,068,861)

40,583

(2.5)

Mattel,

Inc.

(234,802)

(3,181,567)

(117,401)

7.3

Mosaic

Co.

(The)

(65,997)

(1,428,175)

(49,231)

3.1

Newell

Brands,

Inc.

(292,648)

(5,624,695)

(187,203)

11.6

Newmont

Goldcorp

Corp.

(45,266)

(1,966,808)

(111,807)

6.9

O-I

Glass,

Inc.

(95,246)

(1,136,285)

(40,003)

2.5

Royal

Gold,

Inc.

(28,831)

(3,524,590)

(186,826)

11.6

Under

Armour,

Inc.

(278,378)

(6,012,965)

(155,892)

9.7

United

States

Steel

Corp.

(334,605)

(3,817,843)

736,130

(45.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.02%

to

0.02%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

09/21/2021

$60,359,740

$(2,492,058)

$(801,481)

$(3,293,539)

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

AGL

Energy

Ltd.

225,770

3,249,640

(120,558)

3.7

Aurizon

Holdings

Ltd.

2,058,717

7,555,341

763,808

(23.2)

Beach

Energy

Ltd.

352,444

623,386

2,292

(0.1)

Bendigo

&

Adelaide

Bank

Ltd.

138,508

950,421

(46)

0.0

BlueScope

Steel

Ltd.

351,208

3,719,855

653,796

(19.9)

Brambles

Ltd.

32,141

264,543

(7,574)

0.2

CIMIC

Group

Ltd.

154,426

3,590,346

(338,781)

10.3

Evolution

Mining

Ltd.

77,356

205,646

(43,434)

1.3

Flight

Centre

Travel

Group

Ltd.

8,408

260,060

7,298

(0.2)

Fortescue

Metals

Group

Ltd.

367,976

2,773,935

534,839

(16.2)

Harvey

Norman

Holdings

Ltd.

204,832

585,022

(1,012)

0.0

Iluka

Resources

Ltd.

189,425

1,240,312

11,052

(0.3)

Incitec

Pivot

Ltd.

164,031

366,459

(9,777)

0.3

108

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Medibank

Pvt

Ltd.

100,547

222,834

(15,555)

0.5

South32

Ltd.

875,950

1,653,896

(621,748)

18.9

Telstra

Corp.

Ltd.

1,186,237

2,946,602

(36,666)

1.1

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(689,078)

(1,113,004)

17,858

(0.5)

AMP

Ltd.

(714,508)

(961,155)

17,738

(0.5)

APA

Group

(164,277)

(1,278,805)

(344,350)

10.5

Challenger

Ltd.

(674,802)

(3,839,979)

1,381,253

(41.9)

Computershare

Ltd.

(25,514)

(300,808)

(12,800)

0.4

Origin

Energy

Ltd.

(56,181)

(333,111)

(35,020)

1.1

Ramsay

Health

Care

Ltd.

(65,545)

(3,334,789)

(536,344)

16.3

REA

Group

Ltd.

(15,513)

(1,126,970)

(337,190)

10.2

SEEK

Ltd.

(336,209)

(5,321,416)

(670,082)

20.3

Sydney

Airport

(203,605)

(1,237,047)

(235,922)

7.2

Transurban

Group

(139,138)

(1,456,365)

(262,554)

8.0

Treasury

Wine

Estates

Ltd.

(28,070)

(319,738)

(15,150)

0.5

Worley

Ltd.

(368,648)

(3,982,341)

(368,855)

11.2

United

States

James

Hardie

Industries

plc

(283,759)

(5,545,914)

(1,868,574)

56.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.30%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

111

months

maturity

08/19/2022

$270,883,144

$(1,547,659)

$(321,254)

$(1,868,913)

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

BHP

Group

plc

122,691

2,875,131

80,948

(4.3)

Russia

Evraz

plc

925,773

4,957,348

(1,013,978)

54.3

South

Africa

Anglo

American

plc

162,821

4,677,513

417,349

(22.3)

Investec

plc

741,854

4,359,708

(994,213)

53.2

109

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

Coca-Cola

HBC

AG

73,577

2,500,882

(99,301)

5.3

United

Kingdom

Aviva

plc

590,815

3,279,348

218,958

(11.7)

BAE

Systems

plc

378,815

2,836,309

66,417

(3.6)

Barclays

plc

2,747,777

6,552,008

888,262

(47.5)

Barratt

Developments

plc

726,899

7,197,346

1,229,178

(65.8)

Bellway

plc

104,558

5,277,316

1,003,335

(53.7)

Berkeley

Group

Holdings

plc

80,468

5,180,003

969,090

(51.9)

BT

Group

plc

1,797,693

4,580,866

(715,828)

38.3

Burberry

Group

plc

111,370

3,251,516

336,584

(18.0)

Centrica

plc

2,950,202

3,487,706

(1,662,532)

89.0

Drax

Group

plc

691,010

2,873,146

(500,723)

26.8

Hays

plc

1,000,174

2,405,447

365,888

(19.6)

Inchcape

plc

303,645

2,840,849

(8,263)

0.4

JD

Sports

Fashion

plc

279,765

3,107,514

248,103

(13.3)

Kingfisher

plc

1,062,030

3,057,297

49,581

(2.7)

Man

Group

plc

1,601,652

3,354,435

(268,565)

14.4

Marks

&

Spencer

Group

plc

1,019,437

2,890,573

226,120

(12.1)

Meggitt

plc

571,439

4,977,216

776,189

(41.5)

Moneysupermarket.com

Group

plc

604,759

2,654,791

328,375

(17.6)

Persimmon

plc

229,842

8,209,751

1,788,723

(95.7)

Royal

Mail

plc

1,508,941

4,538,087

35,143

(1.9)

Tate

&

Lyle

plc

448,292

4,516,917

63,169

(3.4)

Taylor

Wimpey

plc

1,944,799

4,986,607

623,739

(33.4)

WH

Smith

plc

79,856

2,752,141

539,979

(28.9)

William

Hill

plc

1,124,286

2,812,491

(857,799)

45.9

Short

Positions

Common

Stocks

Germany

TUI

AG

(351,806)

(4,439,886)

(674,308)

36.1

United

Arab

Emirates

NMC

Health

plc

(245,514)

(5,752,241)

2,608,403

(139.6)

United

Kingdom

ASOS

plc

(110,984)

(4,973,497)

(871,927)

46.7

Beazley

plc

(486,424)

(3,579,015)

55,065

(2.9)

DS

Smith

plc

(569,437)

(2,896,230)

(254,374)

13.6

easyJet

plc

(299,879)

(5,648,777)

(1,508,717)

80.7

GVC

Holdings

plc

(529,786)

(6,211,942)

(1,761,236)

94.2

Hargreaves

Lansdown

plc

(303,012)

(7,772,628)

(536,188)

28.7

HSBC

Holdings

plc

(552,514)

(4,325,325)

295,129

(15.8)

Informa

plc

(348,182)

(3,960,094)

(708,927)

37.9

John

Wood

Group

plc

(1,224,497)

(6,494,376)

2,308,136

(123.5)

Lloyds

Banking

Group

plc

(4,363,073)

(3,614,466)

(714,628)

38.2

Melrose

Industries

plc

(1,478,463)

(4,709,241)

(1,526,972)

81.7

National

Grid

plc

(284,253)

(3,552,358)

(197,579)

10.6

Ocado

Group

plc

(491,954)

(8,346,994)

(859,284)

46.0

Prudential

plc

(184,169)

(3,528,795)

(375,456)

20.1

Severn

Trent

plc

(205,278)

(6,844,115)

(648,630)

34.7

SSE

plc

(124,711)

(2,378,519)

(338,545)

18.1

St

James's

Place

plc

(526,697)

(8,118,900)

(1,007,314)

53.9

Tesco

plc

(1,236,704)

(4,179,608)

(103,801)

5.6

Weir

Group

plc

(The)

(274,667)

(5,493,336)

1,141,765

(61.1)

110

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.35%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/19/2022

$40,469,040

$(2,541,473)

$(237,376)

$(2,778,849)

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

Hong

Kong

CK

Asset

Holdings

Ltd.

266,500

1,923,124

(192,628)

6.9

CLP

Holdings

Ltd.

44,500

467,135

(1,335)

0.0

Henderson

Land

Development

Co.

Ltd.

219,960

1,079,356

85,900

(3.1)

Hysan

Development

Co.

Ltd.

330,000

1,294,015

(278,276)

10.0

Kerry

Properties

Ltd.

650,000

2,064,453

(100,244)

3.6

Li

&

Fung

Ltd.

3,272,000

357,094

(223,879)

8.1

Melco

International

Development

Ltd.

919,000

2,581,841

(323,672)

11.6

New

World

Development

Co.

Ltd.

1,784,000

2,445,405

111,894

(4.0)

Sino

Land

Co.

Ltd.

184,000

267,078

(39,407)

1.4

Sun

Hung

Kai

Properties

Ltd.

63,500

972,495

53,231

(1.9)

WH

Group

Ltd.

2,661,500

2,751,922

122,129

(4.4)

Wheelock

&

Co.

Ltd.

216,000

1,439,918

91,211

(3.3)

Yue

Yuen

Industrial

Holdings

Ltd.

485,000

1,431,378

107,438

(3.9)

Macau

Wynn

Macau

Ltd.

131,600

324,279

21,959

(0.8)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

87,000

829,587

(19,211)

0.7

Short

Positions

Common

Stocks

Hong

Kong

AIA

Group

Ltd.

(370,600)

(3,897,958)

(832,623)

30.0

ASM

Pacific

Technology

Ltd.

(291,900)

(4,051,680)

(394,980)

14.2

Hang

Seng

Bank

Ltd.

(87,200)

(1,802,422)

91,081

(3.3)

Hong

Kong

&

China

Gas

Co.

Ltd.

(366,300)

(715,702)

21,210

(0.8)

MTR

Corp.

Ltd.

(775,865)

(4,584,986)

(588,397)

21.2

Swire

Properties

Ltd.

(53,400)

(176,906)

(1,919)

0.1

Techtronic

Industries

Co.

Ltd.

(64,500)

(526,429)

(76,591)

2.8

Wharf

Real

Estate

Investment

Co.

Ltd.

(542,000)

(3,307,048)

(149,156)

5.4

Macau

Galaxy

Entertainment

Group

Ltd.

(43,000)

(316,549)

(43,901)

1.6

MGM

China

Holdings

Ltd.

(526,800)

(860,280)

18,693

(0.7)

111

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.30%

to

0.02%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

99

months

maturity

08/19/2021

$657,813,798

$(52,543,679)

$(4,513,626)

$(57,057,305)

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

Astellas

Pharma,

Inc.

429,300

7,328,146

842,153

(1.5)

Fujitsu

Ltd.

75,700

7,120,026

1,486,673

(2.6)

Haseko

Corp.

474,800

6,373,641

117,969

(0.2)

Hitachi

High-Technologies

Corp.

89,900

6,366,676

2,518,667

(4.4)

Hitachi

Ltd.

139,100

5,869,429

809,818

(1.4)

Japan

Airlines

Co.

Ltd.

440,200

13,706,015

(2,996,679)

5.3

Kajima

Corp.

551,200

7,328,310

(2,549,378)

4.5

Marubeni

Corp.

756,800

5,591,523

369,372

(0.6)

Matsumotokiyoshi

Holdings

Co.

Ltd.

121,500

4,703,868

418,967

(0.7)

Mazda

Motor

Corp.

684,900

5,836,333

(1,237,472)

2.2

Mitsubishi

Gas

Chemical

Co.,

Inc.

308,100

4,693,653

(2,023,165)

3.5

Nikon

Corp.

409,900

5,012,938

(659,949)

1.2

Nippon

Express

Co.

Ltd.

79,500

4,660,211

142,118

(0.2)

Obayashi

Corp.

712,400

7,912,388

(806,987)

1.4

Otsuka

Corp.

128,100

5,115,666

(97,693)

0.2

Shionogi

&

Co.

Ltd.

103,500

6,402,668

241,781

(0.4)

Sojitz

Corp.

1,611,500

5,194,022

(822,550)

1.4

Sumitomo

Corp.

312,900

4,647,611

44,633

(0.1)

Taiheiyo

Cement

Corp.

215,100

6,313,855

(802,817)

1.4

Taisei

Corp.

176,700

7,319,099

(1,716,627)

3.0

Tokyo

Electric

Power

Co.

Holdings,

Inc.

1,139,500

4,877,694

(1,082,142)

1.9

Tosoh

Corp.

340,300

5,242,591

(1,741,931)

3.1

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(349,700)

(7,216,546)

(653,524)

1.1

Asahi

Intecc

Co.

Ltd.

(168,100)

(4,922,177)

(1,052,828)

1.8

Chugai

Pharmaceutical

Co.

Ltd.

(58,900)

(5,424,410)

(1,643,493)

2.9

CyberAgent,

Inc.

(193,700)

(6,747,692)

706,990

(1.2)

Daifuku

Co.

Ltd.

(90,000)

(5,439,139)

(1,125,356)

2.0

Daiichi

Sankyo

Co.

Ltd.

(115,600)

(7,634,718)

(2,491,483)

4.4

FamilyMart

Co.

Ltd.

(296,300)

(7,096,297)

1,207,977

(2.1)

Fast

Retailing

Co.

Ltd.

(16,400)

(9,742,818)

(1,567,130)

2.7

112

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Kansai

Paint

Co.

Ltd.

(221,400)

(5,408,609)

(237,494)

0.4

Keio

Corp.

(86,900)

(5,258,255)

(1,394,038)

2.4

Kikkoman

Corp.

(151,500)

(7,416,650)

(1,696,970)

3.0

Kintetsu

Group

Holdings

Co.

Ltd.

(104,400)

(5,662,634)

(1,567,165)

2.7

M3,

Inc.

(323,800)

(9,764,386)

(4,146,609)

7.3

Marui

Group

Co.

Ltd.

(283,100)

(6,902,701)

(1,694,817)

3.0

MISUMI

Group,

Inc.

(186,000)

(4,603,527)

(49,191)

0.1

MonotaRO

Co.

Ltd.

(182,400)

(4,855,668)

(587,162)

1.0

Nidec

Corp.

(36,800)

(5,026,284)

(245,441)

0.4

Nippon

Paint

Holdings

Co.

Ltd.

(176,300)

(9,076,220)

(3,158,693)

5.5

Odakyu

Electric

Railway

Co.

Ltd.

(214,900)

(5,013,406)

(549,494)

1.0

Pan

Pacific

International

Holdings

Corp.

(291,400)

(4,834,699)

(272,645)

0.5

Ricoh

Co.

Ltd.

(572,800)

(6,232,927)

(571,640)

1.0

Shimano,

Inc.

(45,400)

(7,365,287)

(1,023,072)

1.8

Sony

Financial

Holdings,

Inc.

(248,900)

(5,974,812)

(1,510,460)

2.6

Suzuki

Motor

Corp.

(268,200)

(11,195,192)

1,732,060

(3.0)

Takeda

Pharmaceutical

Co.

Ltd.

(123,300)

(4,876,789)

(772,140)

1.4

Terumo

Corp.

(173,600)

(6,158,343)

(1,235,762)

2.2

TOTO

Ltd.

(122,300)

(5,164,376)

(488,871)

0.9

Yaskawa

Electric

Corp.

(314,600)

(11,851,296)

(1,104,503)

1.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

or

EONIA

plus

or

minus

a

specified

spread

(-0.20%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/19/2023

-

01/02/2025

$139,925,887

$(9,550,447)

$(1,838,059)

$(11,388,506)

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

Alstom

SA

13,402

636,851

32,381

(0.3)

Arkema

SA

7,654

818,423

76,585

(0.7)

Atos

SE

45,084

3,767,352

(203,884)

1.8

Bouygues

SA

32,661

1,392,239

94,495

(0.8)

Capgemini

SE

6,372

779,327

40,626

(0.4)

Carrefour

SA

191,592

3,222,321

(380,697)

3.3

Cie

de

Saint-Gobain

90,529

3,708,599

204,293

(1.8)

Cie

Generale

des

Etablissements

Michelin

SCA

2,973

365,855

20,444

(0.2)

CNP

Assurances

132,466

2,639,406

(223,109)

2.0

Danone

SA

22,823

1,895,358

(21,043)

0.2

Dassault

Aviation

SA

603

791,279

(38,217)

0.3

113

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Electricite

de

France

SA

15,750

175,743

(2,925)

0.0

Engie

SA

815,306

13,206,597

581,438

(5.1)

Eutelsat

Communications

SA

238,356

3,883,721

(516,454)

4.5

Natixis

SA

641,542

2,857,760

148,500

(1.3)

Orange

SA

213,343

3,135,334

(127,973)

1.1

Peugeot

SA

413,050

9,945,073

(197,525)

1.7

Publicis

Groupe

SA

123,150

5,583,797

(271,026)

2.4

Renault

SA

8,674

411,906

(138,620)

1.2

Rexel

SA

54,478

724,595

11,516

(0.1)

Sanofi

49,939

5,015,247

678,327

(6.0)

SCOR

SE

6,244

262,846

1,174

(0.0)

Societe

BIC

SA

10,644

740,729

(136,561)

1.2

Sodexo

SA

9,507

1,127,630

20,325

(0.2)

Sopra

Steria

Group

1,084

175,080

(1,183)

0.0

Teleperformance

5,148

1,257,748

362,297

(3.2)

Thales

SA

16,037

1,668,728

(259,432)

2.3

TOTAL

SA

11,785

653,956

124

(0.0)

Veolia

Environnement

SA

85,905

2,285,791

270,843

(2.4)

Luxembourg

SES

SA

377,717

5,309,058

(2,356,778)

20.7

Short

Positions

Common

Stocks

France

Accor

SA

(44,282)

(2,078,544)

90,236

(0.8)

Altran

Technologies

SA

(254,638)

(4,057,167)

(2,033,054)

17.9

Bollore

SA

(415,820)

(1,817,097)

105,607

(0.9)

Bollore

SA

(3,388)

(14,418)

(14,300)

0.1

Cie

Plastic

Omnium

SA

(61,145)

(1,717,000)

(121,570)

1.1

Edenred

(31,636)

(1,639,519)

(91,005)

0.8

Elior

Group

SA

(118,381)

(1,743,823)

(159,623)

1.4

Faurecia

SE

(53,943)

(2,928,438)

(234,694)

2.1

Iliad

SA

(53,478)

(6,955,997)

126,748

(1.1)

Ingenico

Group

SA

(40,347)

(4,388,879)

(2,009,524)

17.6

JCDecaux

SA

(85,172)

(2,631,642)

39,333

(0.3)

Orpea

(35,840)

(4,598,093)

(524,441)

4.6

Remy

Cointreau

SA

(33,146)

(4,073,705)

222,657

(2.0)

Sartorius

Stedim

Biotech

(2,061)

(342,101)

(46,801)

0.4

SEB

SA

(11,359)

(1,689,399)

139,065

(1.2)

Ubisoft

Entertainment

SA

(27,297)

(1,891,223)

229,079

(2.0)

Valeo

SA

(275,038)

(9,748,250)

(2,080,814)

18.3

Worldline

SA

(48,811)

(3,460,260)

(169,700)

1.5

Luxembourg

Eurofins

Scientific

SE

(10,282)

(5,711,983)

(685,587)

6.0

114

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.28%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/19/2023

-

01/02/2025

$940,052,561

$(719,033)

$(6,380,058)

$(7,099,091)

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)

62,132

6,986,743

999,467

(14.1)

Amazon.com,

Inc.

2,719

5,024,277

244,224

(3.4)

Amdocs

Ltd.

131,993

9,528,575

833,588

(11.7)

Applied

Materials,

Inc.

111,787

6,823,478

2,031,189

(28.6)

Assured

Guaranty

Ltd.

159,536

7,820,455

1,668,966

(23.5)

Athene

Holding

Ltd.

130,818

6,152,371

357,235

(5.0)

Booking

Holdings,

Inc.

2,586

5,310,946

458,490

(6.5)

Colgate-Palmolive

Co.

88,618

6,100,463

213,338

(3.0)

eBay,

Inc.

196,393

7,091,751

(163,296)

2.3

Electronic

Arts,

Inc.

86,807

9,332,621

490,231

(6.9)

Exelon

Corp.

152,097

6,934,102

(381,563)

5.4

Facebook,

Inc.

38,713

7,945,843

662,125

(9.3)

Intel

Corp.

91,620

5,483,457

1,131,764

(15.9)

Kimberly-Clark

Corp.

39,027

5,368,164

701,234

(9.9)

Lam

Research

Corp.

16,292

4,763,781

1,849,810

(26.1)

MAXIMUS,

Inc.

63,303

4,709,110

678,221

(9.6)

MetLife,

Inc.

149,296

7,609,617

790,393

(11.1)

Monster

Beverage

Corp.

84,454

5,367,052

435,403

(6.1)

Norwegian

Cruise

Line

Holdings

Ltd.

137,677

8,041,714

980,096

(13.8)

Oracle

Corp.

88,350

4,680,783

59,962

(0.8)

PepsiCo,

Inc.

38,859

5,310,860

690,534

(9.7)

Reinsurance

Group

of

America,

Inc.

40,844

6,660,023

408,032

(5.7)

Tyson

Foods,

Inc.

119,708

10,898,216

2,929,066

(41.3)

ViacomCBS,

Inc.

136,863

5,744,140

112,228

(1.6)

Short

Positions

Common

Stocks

United

States

American

Airlines

Group,

Inc.

(175,934)

(5,045,787)

(5,706)

0.1

Charter

Communications,

Inc.

(26,297)

(12,756,149)

(488,072)

6.9

Conagra

Brands,

Inc.

(179,118)

(6,133,000)

(2,045,979)

28.8

Coupa

Software,

Inc.

(33,940)

(4,963,725)

(219,620)

3.1

Digital

Realty

Trust,

Inc.

(39,084)

(4,679,918)

(194,073)

2.7

Edison

International

(106,724)

(8,048,057)

(530,548)

7.5

115

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Energizer

Holdings,

Inc.

(112,584)

(5,653,968)

(648,799)

9.1

Eversource

Energy

(71,982)

(6,123,509)

(242,937)

3.4

First

Republic

Bank

(62,913)

(7,389,132)

(1,016,212)

14.3

Hain

Celestial

Group,

Inc.

(The)

(205,279)

(5,328,016)

528,185

(7.4)

Knight-Swift

Transportation

Holdings,

Inc.

(168,373)

(6,034,488)

(400,111)

5.6

Macquarie

Infrastructure

Corp.

(132,181)

(5,662,634)

(118,011)

1.7

McCormick

&

Co.,

Inc.

(Non-Voting)

(40,392)

(6,855,734)

(1,851,512)

26.1

MongoDB,

Inc.

(41,917)

(5,516,696)

349,818

(4.9)

National

Fuel

Gas

Co.

(112,337)

(5,228,164)

531,873

(7.5)

Papa

John's

International,

Inc.

(90,143)

(5,692,530)

(1,149,661)

16.2

Pinnacle

Financial

Partners,

Inc.

(82,855)

(5,302,720)

(672,936)

9.5

Sempra

Energy

(88,650)

(13,428,702)

(3,235,168)

45.6

Square,

Inc.

(77,620)

(4,855,907)

617,235

(8.7)

Stericycle,

Inc.

(126,447)

(8,068,583)

(837,069)

11.8

Tesla,

Inc.

(19,295)

(8,071,677)

(3,686,798)

51.9

Twilio,

Inc.

(71,375)

(7,014,735)

1,555,133

(21.9)

United

Bankshares,

Inc.

(125,864)

(4,865,902)

(546,568)

7.7

VEREIT,

Inc.

(674,328)

(6,230,791)

(1,571,416)

22.1

World

Wrestling

Entertainment,

Inc.

(117,337)

(7,611,651)

469,634

(6.6)

Zillow

Group,

Inc.

(125,917)

(5,784,627)

(841,161)

11.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Canadian

Dollar

Offered

Rate

(“CDOR”)

plus

or

minus

a

specified

spread

(-1.29%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13

months

maturity

01/14/2021

$101,673,586

$(1,327,917)

$(267,023)

$(1,594,940)

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

Canada

Air

Canada

265,712

9,926,217

(305,320)

19.1

Alimentation

Couche-Tard,

Inc.

114,723

3,640,780

(76,664)

4.8

Atco

Ltd.

19,382

742,861

(1,365)

0.1

Canadian

Imperial

Bank

of

Commerce

21,326

1,774,662

(27,130)

1.7

Canadian

Tire

Corp.

Ltd.

5,506

592,556

(13,527)

0.8

CGI,

Inc.

15,077

1,261,729

(9,629)

0.6

CI

Financial

Corp.

52,500

877,729

5,120

(0.3)

Constellation

Software,

Inc.

625

607,004

12,188

(0.8)

Empire

Co.

Ltd.

148,599

3,485,677

(40,051)

2.5

Finning

International,

Inc.

86,171

1,678,893

24,293

(1.5)

116

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Gildan

Activewear,

Inc.

16,422

485,496

2,208

(0.1)

Linamar

Corp.

55,892

2,114,646

9,267

(0.6)

Magna

International,

Inc.

103,812

5,692,052

(226,937)

14.2

Manulife

Financial

Corp.

19,605

397,973

3,725

(0.2)

Methanex

Corp.

59,601

2,301,791

(60,947)

3.8

National

Bank

of

Canada

31,316

1,738,291

2,281

(0.1)

Open

Text

Corp.

20,091

885,301

(4,318)

0.3

Power

Financial

Corp.

15,808

425,345

(6,780)

0.4

Quebecor,

Inc.

52,904

1,350,151

768

(0.0)

Seven

Generations

Energy

Ltd.

38,812

253,157

(1,706)

0.1

Shaw

Communications,

Inc.

10,349

210,000

73

(0.0)

Teck

Resources

Ltd.

173,091

3,001,817

(1,595)

0.1

Thomson

Reuters

Corp.

30,245

2,163,535

(32,492)

2.0

Tourmaline

Oil

Corp.

21,853

256,134

11,849

(0.7)

West

Fraser

Timber

Co.

Ltd.

18,183

802,066

(8,818)

0.6

United

States

Bausch

Health

Cos.,

Inc.

5,887

176,218

1,171

(0.1)

BRP,

Inc.

81,504

3,713,201

(107,917)

6.8

Short

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

(22,064)

(1,358,961)

(41,017)

2.6

AltaGas

Ltd.

(160,571)

(2,445,878)

24,674

(1.5)

ARC

Resources

Ltd.

(48,936)

(308,264)

(10,469)

0.7

Bombardier,

Inc.

(1,438,109)

(2,137,423)

(43,983)

2.8

Brookfield

Asset

Management,

Inc.

(3,231)

(186,687)

2,008

(0.1)

Cameco

Corp.

(260,313)

(2,313,359)

(9,729)

0.6

Canada

Goose

Holdings,

Inc.

(46,168)

(1,671,370)

72,364

(4.5)

Cenovus

Energy,

Inc.

(122,186)

(1,242,043)

(27,931)

1.8

Element

Fleet

Management

Corp.

(292,428)

(2,497,421)

4,248

(0.3)

Enbridge,

Inc.

(166,591)

(6,623,614)

(52,898)

3.3

Encana

Corp.

(50,697)

(237,371)

(6,584)

0.4

Franco-Nevada

Corp.

(3,188)

(329,197)

(15,999)

1.0

Inter

Pipeline

Ltd.

(227,452)

(3,948,071)

(11,864)

0.7

Keyera

Corp.

(83,974)

(2,199,989)

(6,843)

0.4

Pembina

Pipeline

Corp.

(101,327)

(3,755,626)

40,339

(2.5)

PrairieSky

Royalty

Ltd.

(177,817)

(2,085,521)

2,648

(0.2)

Shopify,

Inc.

(1,159)

(460,815)

3,846

(0.2)

SNC-Lavalin

Group,

Inc.

(232,006)

(5,351,030)

(220,629)

13.8

Stars

Group,

Inc.

(The)

(100,466)

(2,621,996)

(105,725)

6.6

TC

Energy

Corp.

(101,056)

(5,382,182)

(19,701)

1.2

Vermilion

Energy,

Inc.

(75,460)

(1,233,696)

(41,907)

2.6

Wheaton

Precious

Metals

Corp.

(27,224)

(810,085)

(43,169)

2.7

Zambia

First

Quantum

Minerals

Ltd.

(189,084)

(1,917,705)

32,657

(2.0)

117

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

13

months

maturity

01/14/2021

$115,172,850

$(129,298)

$(125,847)

$(255,145)

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

Italy

A2A

SpA

3,280,065

6,159,442

9,577

(3.8)

Assicurazioni

Generali

SpA

463,438

9,567,584

(28,633)

11.2

Banca

Generali

SpA

12,439

404,377

(2,507)

1.0

BPER

Banca

1,004,891

5,056,154

6,360

(2.5)

Enel

SpA

1,104,845

8,776,696

89,170

(34.9)

Eni

SpA

561,510

8,720,941

97,093

(38.1)

Hera

SpA

984,586

4,312,526

(87,444)

34.3

Italgas

SpA

679,988

4,157,241

(129,372)

50.7

Leonardo

SpA

274,708

3,221,593

(41,965)

16.4

Poste

Italiane

SpA

158,987

1,806,550

(7,125)

2.8

Snam

SpA

569,359

2,993,577

85,165

(33.4)

Terna

Rete

Elettrica

Nazionale

SpA

97,948

655,068

10,581

(4.1)

Unipol

Gruppo

SpA

602,420

3,458,534

(130,967)

51.3

Spain

Repsol

SA

326,397

5,127,749

15,891

(6.2)

United

Kingdom

Fiat

Chrysler

Automobiles

NV

634,800

9,411,884

(438,527)

171.9

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(33,049)

(951,126)

936

(0.4)

Banco

BPM

SpA

(609,091)

(1,386,278)

8,669

(3.4)

Buzzi

Unicem

SpA

(59,964)

(1,511,507)

(4,801)

1.9

Davide

Campari-Milano

SpA

(68,886)

(629,432)

(2,644)

1.0

DiaSorin

SpA

(1,475)

(191,024)

1,729

(0.7)

Ferrari

NV

(3,154)

(523,676)

6,180

(2.4)

FinecoBank

Banca

Fineco

SpA

(788,773)

(9,461,974)

286,556

(112.3)

Freni

Brembo

SpA

(247,416)

(3,071,833)

80,049

(31.4)

Pirelli

&

C

SpA

(849,725)

(4,904,336)

108,904

(42.7)

Prysmian

SpA

(133,633)

(3,225,797)

18,422

(7.2)

Saipem

SpA

(762,445)

(3,728,900)

(67,340)

26.4

UniCredit

SpA

(104,581)

(1,528,657)

4,912

(1.9)

Unione

di

Banche

Italiane

SpA

(1,115,871)

(3,647,624)

19,287

(7.6)

118

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Luxembourg

Tenaris

SA

(253,731)

(2,874,755)

14,248

(5.6)

Netherlands

Koninklijke

Vopak

NV

(68,200)

(3,706,015)

(51,702)

20.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-4.79%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13

months

maturity

01/14/2021

$653,092,798

$(4,819,760)

$(819,966)

$(5,639,726)

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

Agilent

Technologies,

Inc.

57,970

4,945,421

108,984

(1.9)

Alexion

Pharmaceuticals,

Inc.

79,387

8,585,704

(83,356)

1.5

Arrow

Electronics,

Inc.

80,112

6,788,691

51,006

(0.9)

Avnet,

Inc.

133,260

5,655,554

74,626

(1.3)

Baxter

International,

Inc.

55,178

4,613,984

(2,207)

0.0

Biogen,

Inc.

41,880

12,427,052

5,026

(0.1)

Bio-Rad

Laboratories,

Inc.

16,014

5,925,660

166,065

(2.9)

Charles

River

Laboratories

International,

Inc.

45,782

6,993,658

229,826

(4.1)

Cisco

Systems,

Inc.

176,680

8,473,573

233,218

(4.1)

Crane

Co.

57,775

4,990,604

71,641

(1.3)

Cummins,

Inc.

33,499

5,994,981

(61,638)

1.1

Curtiss-Wright

Corp.

57,768

8,138,934

75,098

(1.3)

F5

Networks,

Inc.

48,467

6,768,417

(33,927)

0.6

Flex

Ltd.

520,635

6,570,414

(46,857)

0.8

Gilead

Sciences,

Inc.

145,110

9,429,248

(101,577)

1.8

Honeywell

International,

Inc.

28,000

4,956,000

66,080

(1.2)

Humana,

Inc.

18,878

6,919,165

(19,444)

0.3

Huntington

Ingalls

Industries,

Inc.

34,551

8,668,155

(28,677)

0.5

Johnson

&

Johnson

52,477

7,654,820

140,638

(2.5)

McKesson

Corp.

50,932

7,044,914

67,740

(1.2)

Mylan

NV

244,314

4,910,711

300,506

(5.3)

Northrop

Grumman

Corp.

14,422

4,960,735

76,004

(1.3)

Oshkosh

Corp.

49,907

4,723,698

88,834

(1.6)

Pfizer,

Inc.

118,875

4,657,522

33,780

(0.6)

Regeneron

Pharmaceuticals,

Inc.

16,169

6,071,136

66,616

(1.2)

Spirit

AeroSystems

Holdings,

Inc.

102,913

7,500,299

(298,448)

5.3

TE

Connectivity

Ltd.

61,075

5,853,428

20,155

(0.4)

Teledyne

Technologies,

Inc.

13,344

4,624,230

119,028

(2.1)

119

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Vishay

Intertechnology,

Inc.

238,361

5,074,706

28,603

(0.5)

WESCO

International,

Inc.

108,029

6,415,842

418,072

(7.4)

World

Fuel

Services

Corp.

107,489

4,667,172

(7,524)

0.1

Short

Positions

Common

Stocks

United

States

Acadia

Healthcare

Co.,

Inc.

(211,264)

(7,018,190)

23,239

(0.4)

Alnylam

Pharmaceuticals,

Inc.

(48,640)

(5,601,869)

8,269

(0.1)

Axon

Enterprise,

Inc.

(92,939)

(6,810,570)

(320,640)

5.7

Bluebird

Bio,

Inc.

(61,241)

(5,373,898)

374,795

(6.6)

BWX

Technologies,

Inc.

(81,442)

(5,055,919)

19,546

(0.3)

Cheniere

Energy,

Inc.

(79,959)

(4,883,096)

38,380

(0.7)

Cognex

Corp.

(102,062)

(5,719,554)

(34,701)

0.6

DexCom,

Inc.

(23,237)

(5,082,861)

(2,091)

0.0

Equitrans

Midstream

Corp.

(525,508)

(7,020,787)

(578,059)

10.2

Hess

Corp.

(100,352)

(6,704,517)

(175,616)

3.1

Nektar

Therapeutics

(222,652)

(4,805,943)

(66,796)

1.2

Noble

Energy,

Inc.

(277,784)

(6,900,155)

(497,233)

8.8

ONEOK,

Inc.

(66,479)

(5,030,466)

(118,333)

2.1

Penumbra,

Inc.

(30,266)

(4,971,796)

(179,780)

3.2

Premier,

Inc.

(129,346)

(4,899,626)

195,312

(3.5)

Targa

Resources

Corp.

(227,903)

(9,305,279)

(492,270)

8.7

TransDigm

Group,

Inc.

(10,606)

(5,939,360)

78,909

(1.4)

Trex

Co.,

Inc.

(70,983)

(6,379,952)

(163,261)

2.9

Westinghouse

Air

Brake

Technologies

Corp.

(108,985)

(8,479,033)

(330,225)

5.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Swiss

Average

Rate

Overnight

(“SARON”)

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-27

months

maturity

05/12/2020

$98,786,205

$(4,812,782)

$(450,891)

$(5,263,673)

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

62,296

2,529,092

(338,995)

6.4

120

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

Adecco

Group

AG

(Registered)

139,430

8,815,078

(587,181)

11.2

dormakaba

Holding

AG

294

210,466

7,243

(0.1)

Flughafen

Zurich

AG

(Registered)

965

176,141

(18)

0.0

Helvetia

Holding

AG

(Registered)

13,323

1,881,862

265,568

(5.0)

LafargeHolcim

Ltd.

(Registered)

23,473

1,302,223

124,607

(2.4)

Nestle

SA

(Registered)

79,674

8,625,927

141,165

(2.7)

Novartis

AG

(Registered)

83,256

7,883,478

584,921

(11.1)

Roche

Holding

AG

41,281

13,416,441

1,777,025

(33.8)

Sonova

Holding

AG

(Registered)

23,484

5,368,643

465,945

(8.9)

Swiss

Life

Holding

AG

(Registered)

1,171

587,456

136,979

(2.6)

UBS

Group

AG

(Registered)

29,995

378,519

22,803

(0.4)

Short

Positions

Common

Stocks

Switzerland

Chocoladefabriken

Lindt

&

Spruengli

AG

(280)

(2,172,597)

(527,991)

10.0

Cie

Financiere

Richemont

SA

(Registered)

(45,378)

(3,546,333)

(28,206)

0.5

Clariant

AG

(Registered)

(41,241)

(921,670)

(166,263)

3.2

EMS-Chemie

Holding

AG

(Registered)

(1,466)

(963,800)

(76,380)

1.5

Idorsia

Ltd.

(98,677)

(3,051,008)

(829,077)

15.8

Julius

Baer

Group

Ltd.

(76,195)

(3,928,075)

(704,260)

13.4

Lonza

Group

AG

(Registered)

(16,536)

(6,032,456)

(245,906)

4.7

Schindler

Holding

AG

(6,412)

(1,630,579)

(160,048)

3.0

Sika

AG

(Registered)

(52,918)

(9,937,764)

(2,086,335)

39.6

Straumann

Holding

AG

(Registered)

(3,837)

(3,763,836)

(537,192)

10.2

Temenos

AG

(Registered)

(16,725)

(2,645,717)

(13,621)

0.3

Vifor

Pharma

AG

(49,407)

(9,017,044)

(2,037,565)

38.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Copenhagen

Interbank

Offered

Rate

("CIBOR")

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-24

months

maturity

02/12/2020

$63,958,967

$(1,418,319)

$(771,514)

$(2,189,833)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

121

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

57,204

8,536,894

2,072,024

(94.6)

Coloplast

A/S

1,600

198,498

8,128

(0.4)

FLSmidth

&

Co.

A/S

12,279

489,671

9,722

(0.4)

GN

Store

Nord

A/S

135,987

6,396,927

1,619,629

(74.0)

H

Lundbeck

A/S

96,522

3,690,086

(962,925)

44.0

Novo

Nordisk

A/S

119,030

6,897,650

416,427

(19.0)

Pandora

A/S

129,996

5,653,354

(390,805)

17.8

Rockwool

International

A/S

10,185

2,415,147

(123,659)

5.6

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(6,548)

(9,447,628)

(1,468,453)

67.1

Chr

Hansen

Holding

A/S

(60,299)

(4,793,467)

691,430

(31.6)

Dfds

A/S

(34,822)

(1,699,853)

(286,803)

13.1

DSV

PANALPINA

A/S

(31,567)

(3,638,923)

(653,260)

29.8

Genmab

A/S

(34,968)

(7,777,008)

(2,056,266)

93.9

Novozymes

A/S

(47,477)

(2,323,861)

(293,508)

13.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-4.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

15-37

months

maturity

12/16/2020

$364,681,082

$(17,353,761)

$2,162,362

$(15,191,399)

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

174,445

10,315,387

2,039,020

(13.4)

UCB

SA

95,790

7,622,449

412,959

(2.7)

Finland

Fortum

OYJ

204,530

5,048,504

321,917

(2.1)

Kone

OYJ

38,039

2,487,288

270,269

(1.8)

Neste

OYJ

136,881

4,763,596

1,246,955

(8.2)

UPM-Kymmene

OYJ

109,856

3,811,399

178,198

(1.2)

122

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

adidas

AG

9,287

3,023,086

177,927

(1.2)

Bayer

AG

(Registered)

54,773

4,452,861

245,631

(1.6)

Covestro

AG

108,942

5,069,084

(4,517,582)

29.7

Deutsche

Lufthansa

AG

(Registered)

590,476

10,847,475

(6,808,823)

44.8

E.ON

SE

575,749

6,152,959

113,607

(0.7)

Fresenius

Medical

Care

AG

&

Co.

KGaA

57,979

4,268,868

108,625

(0.7)

HeidelbergCement

AG

34,530

2,509,119

77,363

(0.5)

HOCHTIEF

AG

35,763

4,553,199

(87,373)

0.6

HUGO

BOSS

AG

104,078

5,037,807

48,789

(0.3)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

18,515

5,463,646

848,444

(5.6)

ProSiebenSat.1

Media

SE

362,405

5,640,166

28,133

(0.2)

Rheinmetall

AG

45,319

5,196,368

(319,807)

2.1

Volkswagen

AG

(Preference)

18,526

3,646,627

394,361

(2.6)

Netherlands

ASM

International

NV

62,203

7,021,005

2,565,670

(16.9)

ASR

Nederland

NV

144,628

5,420,007

(111,875)

0.7

Koninklijke

Ahold

Delhaize

NV

637,458

15,982,600

2,005,103

(13.2)

Koninklijke

Philips

NV

56,664

2,769,947

473,027

(3.1)

NN

Group

NV

75,250

2,861,216

(63,747)

0.4

Signify

NV

176,856

5,535,381

(822,642)

5.4

Spain

Enagas

SA

236,850

6,049,675

473,285

(3.1)

Endesa

SA

344,454

9,198,552

2,089,200

(13.8)

Iberdrola

SA

724,731

7,468,766

1,415,573

(9.3)

Naturgy

Energy

Group

SA

258,647

6,512,997

(303,436)

2.0

Red

Electrica

Corp.

SA

465,277

9,375,221

(257,928)

1.7

United

Kingdom

Dialog

Semiconductor

plc

107,805

5,475,117

1,437,537

(9.5)

Short

Positions

Common

Stocks

Belgium

Umicore

SA

(231,323)

(11,273,295)

(2,712,636)

17.9

Finland

Huhtamaki

OYJ

(58,665)

(2,723,824)

(856,261)

5.6

Germany

Delivery

Hero

SE

(110,923)

(8,791,676)

(4,032,393)

26.5

Deutsche

Bank

AG

(Registered)

(1,761,928)

(13,652,336)

2,924,738

(19.3)

GEA

Group

AG

(96,296)

(3,187,349)

125,894

(0.8)

Sartorius

AG

(Preference)

(17,842)

(3,813,942)

(654,921)

4.3

thyssenkrupp

AG

(1,089,654)

(14,641,798)

623,380

(4.1)

United

Internet

AG

(Registered)

(169,310)

(5,544,779)

612,205

(4.0)

Zalando

SE

(133,388)

(6,726,780)

(2,141,999)

14.1

Luxembourg

ArcelorMittal

SA

(448,597)

(7,904,136)

(729,509)

4.8

Netherlands

Adyen

NV

(4,484)

(3,688,521)

(496,748)

3.3

Altice

Europe

NV

(1,287,682)

(8,338,388)

(3,841,878)

25.3

Boskalis

Westminster

(99,213)

(2,542,268)

85,565

(0.6)

SBM

Offshore

NV

(247,894)

(4,631,408)

(623,982)

4.1

Takeaway.com

NV

(29,153)

(2,694,797)

(108,910)

0.7

123

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Cellnex

Telecom

SA

(304,102)

(13,117,636)

(4,395,981)

28.9

Ferrovial

SA

(364,192)

(11,033,979)

(3,962,367)

26.1

Grifols

SA

(229,849)

(8,120,907)

(2,157,032)

14.2

United

States

QIAGEN

NV

(117,458)

(4,002,183)

(398,518)

2.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Norway

Interbank

Offered

Rate

("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.

4-24

months

maturity

02/12/2020

$20,015,889

$(532,722)

$(337,472)

$(870,194)

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

Norway

Equinor

ASA

128,477

2,562,125

(254,414)

29.2

Leroy

Seafood

Group

ASA

334,474

2,226,597

86,734

(10.0)

Orkla

ASA

154,839

1,570,194

85,468

(9.8)

Salmar

ASA

69,696

3,571,656

697,824

(80.2)

Short

Positions

Common

Stocks

France

Adevinta

ASA

(43,293)

(514,291)

(210,883)

24.2

Norway

Gjensidige

Forsikring

ASA

(8,391)

(176,135)

(24,978)

2.9

Norsk

Hydro

ASA

(565,428)

(2,102,608)

(153,642)

17.7

Schibsted

ASA

(66,029)

(1,997,738)

(513,690)

59.0

Yara

International

ASA

(24,677)

(1,028,137)

(11,915)

1.4

United

Kingdom

Subsea

7

SA

(356,630)

(4,266,408)

(233,226)

26.8

124

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.75%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-24

months

maturity

02/12/2020

$57,811,907

$630,532

$(622,593)

$7,939

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

Malta

Kindred

Group

plc

262,960

1,613,229

(1,364,077)

(17182.0)

Sweden

Assa

Abloy

AB

7,346

171,716

(1,863)

(23.5)

Boliden

AB

19,804

525,968

(22,767)

(286.8)

Electrolux

AB

157,476

3,871,287

219,146

2760.4

Essity

AB

284,733

9,170,178

1,475,859

18590.0

Getinge

AB

29,061

540,452

(580)

(7.3)

ICA

Gruppen

AB

4,627

216,136

9,688

122.0

Sandvik

AB

111,536

2,172,428

397,146

5002.5

Securitas

AB

72,182

1,243,640

136,797

1723.1

Skanska

AB

34,094

771,261

176,530

2223.6

Swedish

Match

AB

56,947

2,933,723

704,483

8873.7

Swedish

Orphan

Biovitrum

AB

205,358

3,403,968

(793,079)

(9989.7)

Telefonaktiebolaget

LM

Ericsson

502,477

4,390,551

(145,466)

(1832.3)

Volvo

AB

170,459

2,853,687

206,923

2606.4

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(67,834)

(3,257,653)

550,916

6939.4

Sweden

BillerudKorsnas

AB

(204,114)

(2,411,918)

156,559

1972.0

Elekta

AB

(88,702)

(1,170,265)

(15,580)

(196.2)

Epiroc

AB

(51,312)

(627,508)

(94,944)

(1195.9)

Hexagon

AB

(25,002)

(1,401,395)

(147,090)

(1852.8)

Hexpol

AB

(195,102)

(1,917,369)

(333,760)

(4204.1)

Husqvarna

AB

(209,093)

(1,675,609)

162,249

2043.7

Saab

AB

(105,801)

(3,548,070)

(180,529)

(2274.0)

Svenska

Cellulosa

AB

SCA

(193,069)

(1,957,838)

(309,896)

(3903.5)

Svenska

Handelsbanken

AB

(345,026)

(3,716,018)

(10,418)

(131.2)

125

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Tele2

AB

(155,025)

(2,250,040)

(145,715)

(1835.4)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

1,420,000

$

–

$

1,420,000

BARC

Cash

–

1,734,394

1,734,394

U.S.

Treasury

Bills

–

16,686,459

16,686,459

CITI

Cash

(920,000)

–

(920,000)

Investment

Companies

2,324,551

–

2,324,551

DTBK

Cash

123,162,900

–

123,162,900

GSIN

U.S.

Treasury

Bills

72,101,420

–

72,101,420

JPMC

Investment

Companies

114,180,995

–

114,180,995

MSIP

U.S.

Treasury

Bills

66,624,905

–

66,624,905

126

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

118.9%

COMMON

STOCKS

-

56.7%

Australia

-

1.9%

Afterpay

Ltd.(2)*(a)

414

$

8,521

Aurizon

Holdings

Ltd.(2)

9,873

36,233

Beach

Energy

Ltd.(2)

97,783

172,954

BHP

Group

Ltd.(2)

4,244

116,211

BHP

Group

plc(2)

9,704

227,403

BlueScope

Steel

Ltd.(2)

40,806

432,200

CIMIC

Group

Ltd.(2)

6,128

142,474

Evolution

Mining

Ltd.(2)

14,878

39,552

Fortescue

Metals

Group

Ltd.(2)

50,902

383,718

Rio

Tinto

plc(2)

4,308

255,012

Santos

Ltd.(2)

61,537

354,020

South32

Ltd.(2)

23,058

43,536

Woodside

Petroleum

Ltd.(2)

12,538

303,151

2,514,985

—

Austria

-

0.1%

ams

AG(2)*

5,002

203,071

Canada

-

1.8%

Air

Canada*

15,711

586,916

Alimentation

Couche-Tard,

Inc.,

Class

B

1,791

56,838

Barrick

Gold

Corp.

2,160

40,121

Canadian

Natural

Resources

Ltd.

548

17,724

Canadian

Pacific

Railway

Ltd.

26

6,628

Cenovus

Energy,

Inc.

5,423

55,126

CGI,

Inc.*

2,314

193,649

Constellation

Software,

Inc.

15

14,568

iA

Financial

Corp.,

Inc.

969

53,228

Kinross

Gold

Corp.*

8,516

40,398

Magna

International,

Inc.(b)

6,448

353,546

Manulife

Financial

Corp.

8,599

174,556

Onex

Corp.

3,198

202,364

Open

Text

Corp.

380

16,745

Shopify,

Inc.,

Class

A*

287

114,110

Teck

Resources

Ltd.,

Class

B

27,363

474,541

2,401,058

—

China

-

0.3%

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

422,600

352,266

Denmark

-

0.6%

Genmab

A/S(2)*

321

71,392

Novo

Nordisk

A/S,

Class

B(2)

4,002

231,911

Pandora

A/S(2)(b)

9,214

400,704

Rockwool

International

A/S,

Class

B(2)

250

59,282

763,289

—

Finland

-

0.2%

Fortum

OYJ(2)

2,078

51,292

Kone

OYJ,

Class

B(2)

1,452

94,943

UPM-Kymmene

OYJ(2)

3,956

137,252

283,487

—

INVESTMENTS

SHARES

VALUE

France

-

2.0%

Air

France-KLM(2)*

1,308

$

14,592

Atos

SE(2)(a)

4,223

352,886

AXA

SA(2)(b)

12,379

349,784

BNP

Paribas

SA(2)

1,630

96,884

CNP

Assurances(2)

2,919

58,162

Electricite

de

France

SA(2)

5,453

60,846

Engie

SA(2)

37,403

605,867

Natixis

SA(2)

25,920

115,461

Orange

SA(2)

1,612

23,690

Peugeot

SA(2)

19,974

480,918

Sanofi(2)

1,746

175,346

TOTAL

SA(2)

7,680

426,167

2,760,603

—

Germany

-

2.0%

adidas

AG(2)

1,139

370,765

Allianz

SE

(Registered)(2)(b)

2,407

589,783

Bayer

AG

(Registered)(2)

4,748

385,996

CECONOMY

AG(2)*(a)

17,840

107,847

Covestro

AG(2)(c)

1,920

89,338

Deutsche

Lufthansa

AG

(Registered)

(2)

20,965

385,142

HeidelbergCement

AG(2)

4,444

322,923

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)(2)

515

151,973

ProSiebenSat.1

Media

SE(2)

5,729

89,161

Software

AG(2)

554

19,289

Volkswagen

AG

(Preference)(2)

696

136,999

2,649,216

—

Hong

Kong

-

0.9%

CK

Asset

Holdings

Ltd.(2)

46,000

331,946

Henderson

Land

Development

Co.

Ltd.(2)

5,000

24,535

HKT

Trust

&

HKT

Ltd.(2)

9,000

12,684

Hong

Kong

Exchanges

&

Clearing

Ltd.(2)(a)

3,000

97,463

Kerry

Properties

Ltd.(2)

32,500

103,223

New

World

Development

Co.

Ltd.(2)

131,000

179,567

WH

Group

Ltd.(2)(c)

353,500

365,509

Wheelock

&

Co.

Ltd.(2)

9,000

59,997

Yue

Yuen

Industrial

Holdings

Ltd.(2)

(a)

3,500

10,330

1,185,254

—

Italy

-

0.7%

BPER

Banca(2)

31,943

160,723

Enel

SpA(2)

27,194

216,024

Eni

SpA(2)

11,242

174,602

Leonardo

SpA(2)

3,441

40,354

Unipol

Gruppo

SpA(2)

63,013

361,762

953,465

—

Japan

-

3.0%

Astellas

Pharma,

Inc.(2)

18,100

308,966

GungHo

Online

Entertainment,

Inc.(2)

3,030

64,192

Hachijuni

Bank

Ltd.

(The)(2)(a)

26,500

115,266

Haseko

Corp.(2)

16,400

220,151

127

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

3.0%

(continued)

Hoya

Corp.(2)

1,800

$

171,832

Inpex

Corp.(2)

5,300

54,907

JGC

Holdings

Corp.(2)

2,000

31,832

JXTG

Holdings,

Inc.(2)

49,900

226,475

Kajima

Corp.(2)

1,500

19,943

Kamigumi

Co.

Ltd.(2)

7,100

156,071

Marubeni

Corp.(2)

41,600

307,355

Mazda

Motor

Corp.(2)

11,000

93,736

Mitsubishi

Gas

Chemical

Co.,

Inc.(2)

6,800

103,592

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

18,900

102,180

Mixi,

Inc.(2)

700

13,272

Nikon

Corp.(2)

9,700

118,628

Nippon

Express

Co.

Ltd.(2)

500

29,310

Nippon

Telegraph

&

Telephone

Corp.

(2)

600

15,164

Nitto

Denko

Corp.(2)

1,000

56,228

Obayashi

Corp.(2)

2,600

28,877

Resona

Holdings,

Inc.(2)

29,600

129,013

Shimizu

Corp.(2)

3,100

31,579

Shinsei

Bank

Ltd.(2)

15,300

233,435

Shionogi

&

Co.

Ltd.(2)

200

12,372

Showa

Denko

KK(2)

3,600

94,880

Sojitz

Corp.(2)

46,400

149,552

Sony

Corp.(2)

3,000

203,693

Sumitomo

Corp.(2)

21,200

314,890

Sumitomo

Heavy

Industries

Ltd.(2)

1,700

48,288

Sumitomo

Mitsui

Financial

Group,

Inc.(2)

4,600

169,903

Taiheiyo

Cement

Corp.(2)

4,100

120,348

Teijin

Ltd.(2)

2,100

39,233

Tokyo

Electric

Power

Co.

Holdings,

Inc.(2)*

40,900

175,075

Tosoh

Corp.(2)

11,000

169,464

Toyota

Boshoku

Corp.(2)

1,900

30,508

Toyota

Tsusho

Corp.(2)

2,500

87,819

4,248,029

—

Netherlands

-

1.2%

ASM

International

NV(2)

1,365

154,071

ING

Groep

NV(2)

5,135

61,735

Koninklijke

Ahold

Delhaize

NV(2)

37,198

932,643

Koninklijke

Philips

NV(2)

352

17,207

NN

Group

NV(2)

4,632

176,122

Royal

Dutch

Shell

plc,

Class

A(2)

1,732

51,292

Royal

Dutch

Shell

plc,

Class

B(2)

4,919

146,014

Signify

NV(2)(c)

1,168

36,557

1,575,641

—

INVESTMENTS

SHARES

VALUE

Norway

-

0.0%(d)

Salmar

ASA(2)

1,137

$

58,267

Russia

-

0.1%

Evraz

plc(2)

30,932

165,635

Singapore

-

0.2%

ComfortDelGro

Corp.

Ltd.(2)

176,000

311,416

South

Africa

-

0.1%

Anglo

American

plc(2)

6,980

200,521

Spain

-

0.8%

Enagas

SA(2)

5,616

143,445

Endesa

SA(2)

19,293

515,215

Iberdrola

SA(2)(a)

30,515

314,474

Naturgy

Energy

Group

SA(2)

603

15,184

Red

Electrica

Corp.

SA(2)

3,330

67,099

Repsol

SA(2)

1,204

18,915

1,074,332

—

Sweden

-

0.4%

Getinge

AB,

Class

B(2)

20,982

390,206

Skanska

AB,

Class

B(2)

707

15,993

Telefonaktiebolaget

LM

Ericsson,

Class

B(2)

7,386

64,538

Volvo

AB,

Class

B(2)

1,856

31,072

501,809

—

Switzerland

-

1.7%

Adecco

Group

AG

(Registered)(2)

696

44,003

Coca-Cola

HBC

AG(2)*

650

22,094

Glencore

plc(2)*

36,610

113,993

LafargeHolcim

Ltd.

(Registered)(2)*

2,601

144,297

Novartis

AG

(Registered)(2)

358

33,899

Roche

Holding

AG(2)(b)

4,243

1,378,987

Sonova

Holding

AG

(Registered)(2)

683

156,140

Swiss

Life

Holding

AG

(Registered)(2)

35

17,558

Zurich

Insurance

Group

AG(2)(a)

814

333,902

2,244,873

—

United

Kingdom

-

2.0%

AstraZeneca

plc(2)

328

32,830

Barclays

plc(2)

7,014

16,725

Barratt

Developments

plc(2)

17,289

171,186

Bellway

plc(2)

3,598

181,600

Berkeley

Group

Holdings

plc(2)

2,474

159,260

BT

Group

plc(2)

70,954

180,804

Burberry

Group

plc(2)

2,146

62,654

Centrica

plc(2)

140,591

166,206

Compass

Group

plc(2)

1,519

38,069

Dialog

Semiconductor

plc(2)*

3,713

188,573

Direct

Line

Insurance

Group

plc(2)

7,378

30,527

Dunelm

Group

plc(2)

2,365

36,214

Fiat

Chrysler

Automobiles

NV(2)

35,355

524,192

GlaxoSmithKline

plc(2)

697

16,377

Micro

Focus

International

plc(2)(a)

1,485

20,843

Moneysupermarket.com

Group

plc(2)

21,556

94,627

Next

plc(2)

1,531

142,663

Persimmon

plc(2)

3,507

125,267

Playtech

plc(2)

6,731

35,386

Royal

Mail

plc(2)

74,922

225,325

128

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

2.0%

(continued)

Sage

Group

plc

(The)(2)

3,915

$

38,840

Standard

Chartered

plc(2)(a)

7,154

67,413

Tate

&

Lyle

plc(2)

5,610

56,525

Taylor

Wimpey

plc(2)

43,300

111,024

Thomas

Cook

Group

plc(3)*(e)

134,840

2

2,723,132

—

United

States

-

36.7%

3M

Co.

177

31,226

Accenture

plc,

Class

A

117

24,637

Adobe,

Inc.*

1,080

356,195

Agilent

Technologies,

Inc.

2,019

172,241

Akamai

Technologies,

Inc.*

3,579

309,154

Alexion

Pharmaceuticals,

Inc.*

4,042

437,142

Align

Technology,

Inc.*

350

97,664

Allergan

plc

599

114,511

Alliance

Data

Systems

Corp.

1,397

156,743

Allstate

Corp.

(The)(b)

8,615

968,757

Alphabet,

Inc.,

Class

A*(b)

843

1,129,106

Alphabet,

Inc.,

Class

C*

454

607,007

Amazon.com,

Inc.*(b)

691

1,276,857

AMC

Networks,

Inc.,

Class

A*(a)

2,858

112,891

American

Tower

Corp.,

REIT

793

182,247

Ameriprise

Financial,

Inc.

188

31,317

Amgen,

Inc.

513

123,669

Analog

Devices,

Inc.

721

85,684

Apple,

Inc.(a)(b)

6,135

1,801,542

Applied

Materials,

Inc.(b)

8,176

499,063

Archer-Daniels-Midland

Co.

1,073

49,734

Arrow

Electronics,

Inc.*(a)

3,910

331,333

Associated

Banc-Corp.(a)

726

16,001

Assured

Guaranty

Ltd.

330

16,177

Athene

Holding

Ltd.,

Class

A*

6,981

328,316

Avnet,

Inc.

5,483

232,699

Bank

of

New

York

Mellon

Corp.

(The)

2,716

136,696

Bausch

Health

Cos.,

Inc.*

593

17,751

Baxter

International,

Inc.

5,061

423,201

Berkshire

Hathaway,

Inc.,

Class

B*

1,904

431,256

Best

Buy

Co.,

Inc.(a)

3,294

289,213

Biogen,

Inc.*(b)

4,807

1,426,380

Boeing

Co.

(The)(a)

826

269,078

Booking

Holdings,

Inc.*(a)

239

490,841

Bristol-Myers

Squibb

Co.

5,499

352,981

Broadcom,

Inc.

338

106,815

Bunge

Ltd.

1,295

74,527

CACI

International,

Inc.,

Class

A*

1,830

457,482

Cadence

Design

Systems,

Inc.*

620

43,003

Capital

One

Financial

Corp.

511

52,587

Caterpillar,

Inc.(a)

1,226

181,056

CDW

Corp.

974

139,126

Charles

River

Laboratories

International,

Inc.*

1,633

249,457

Ciena

Corp.*

1,910

81,538

Cirrus

Logic,

Inc.*

1,920

158,227

Cisco

Systems,

Inc.(a)(b)

19,419

931,335

CIT

Group,

Inc.

531

24,230

Citigroup,

Inc.

5,797

463,122

Citizens

Financial

Group,

Inc.

1,618

65,707

INVESTMENTS

SHARES

VALUE

United

States

-

36.7%

(continued)

Cognizant

Technology

Solutions

Corp.,

Class

A

2,482

$

153,934

Comcast

Corp.,

Class

A

4,498

202,275

Comerica,

Inc.

1,345

96,504

CommVault

Systems,

Inc.*

1,520

67,853

CoStar

Group,

Inc.*(a)

210

125,643

Crane

Co.

261

22,545

Crown

Castle

International

Corp.,

REIT

537

76,335

Cummins,

Inc.

3,070

549,407

Dana,

Inc.(a)

5,553

101,065

Deckers

Outdoor

Corp.*

2,345

395,977

Delphi

Technologies

plc*

4,945

63,444

DR

Horton,

Inc.

278

14,665

Dropbox,

Inc.,

Class

A*

2,172

38,901

DuPont

de

Nemours,

Inc.

990

63,558

DXC

Technology

Co.(a)

1,232

46,311

Eagle

Materials,

Inc.(a)

411

37,261

eBay,

Inc.(a)

15,125

546,164

Edwards

Lifesciences

Corp.*

903

210,661

Electronic

Arts,

Inc.*(b)

6,411

689,247

Eli

Lilly

&

Co.(a)

129

16,954

EMCOR

Group,

Inc.

389

33,571

Equinix,

Inc.,

REIT

144

84,053

Evercore,

Inc.,

Class

A

5,097

381,052

Exelixis,

Inc.*(a)

2,707

47,697

Exelon

Corp.

4,419

201,462

F5

Networks,

Inc.*

551

76,947

Facebook,

Inc.,

Class

A*(b)

6,538

1,341,925

First

American

Financial

Corp.

2,523

147,141

Flex

Ltd.*(a)

20,744

261,789

Foot

Locker,

Inc.

1,379

53,767

Fortinet,

Inc.*

500

53,380

Garmin

Ltd.

2,648

258,339

Gilead

Sciences,

Inc.(b)

10,027

651,554

Goldman

Sachs

Group,

Inc.

(The)

1,171

269,248

Goodyear

Tire

&

Rubber

Co.

(The)

3,644

56,682

GrafTech

International

Ltd.(a)

13,025

151,351

Herman

Miller,

Inc.

2,060

85,799

HollyFrontier

Corp.

2,234

113,286

Home

Depot,

Inc.

(The)

327

71,410

Honeywell

International,

Inc.

1,026

181,602

HP,

Inc.

2,675

54,971

Humana,

Inc.

1,022

374,583

Huntington

Ingalls

Industries,

Inc.

965

242,099

Incyte

Corp.*

1,149

100,331

Ingersoll-Rand

plc

2,318

308,109

Ingredion,

Inc.

821

76,312

Inogen,

Inc.*(a)

1,648

112,608

Intel

Corp.(a)

14,087

843,107

International

Business

Machines

Corp.(a)

5,594

749,820

International

Paper

Co.(a)

3,816

175,727

Intuit,

Inc.(b)

1,752

458,901

IQVIA

Holdings,

Inc.*(a)

651

100,586

ITT,

Inc.(a)

558

41,242

Jabil,

Inc.

3,976

164,328

Jazz

Pharmaceuticals

plc*

938

140,025

Johnson

&

Johnson(b)

5,986

873,178

Johnson

Controls

International

plc(a)

1,403

57,116

129

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

36.7%

(continued)

JPMorgan

Chase

&

Co.(a)

1,683

$

234,610

Kimberly-Clark

Corp.(a)

2,476

340,574

Kohl's

Corp.(a)

2,262

115,249

Lam

Research

Corp.

1,433

419,009

Las

Vegas

Sands

Corp.

778

53,713

Lear

Corp.

1,964

269,461

Lincoln

Electric

Holdings,

Inc.(a)

350

33,856

Lockheed

Martin

Corp.

450

175,221

LyondellBasell

Industries

NV,

Class

A

2,746

259,442

Mallinckrodt

plc*(a)

9,530

33,260

Manhattan

Associates,

Inc.*

573

45,697

ManpowerGroup,

Inc.

1,093

106,130

Marathon

Petroleum

Corp.

365

21,991

McKesson

Corp.(b)

4,504

622,993

Medtronic

plc

2,704

306,769

Merck

&

Co.,

Inc.

7,071

643,107

MetLife,

Inc.

10,029

511,178

MGIC

Investment

Corp.

20,033

283,868

Michaels

Cos.,

Inc.

(The)*(a)

12,413

100,421

Micron

Technology,

Inc.*(b)

6,828

367,210

Microsoft

Corp.(b)

9,619

1,516,915

Monster

Beverage

Corp.*

2,880

183,024

Morgan

Stanley

4,867

248,801

Mylan

NV*

11,323

227,592

NortonLifeLock,

Inc.

2,473

63,111

Norwegian

Cruise

Line

Holdings

Ltd.*

8,268

482,934

Nu

Skin

Enterprises,

Inc.,

Class

A

150

6,147

nVent

Electric

plc(a)

2,758

70,550

Oracle

Corp.(a)

14,151

749,720

Oshkosh

Corp.

2,495

236,152

Parker-Hannifin

Corp.(a)

347

71,420

PepsiCo,

Inc.

163

22,277

Pfizer,

Inc.(b)

20,603

807,226

Philip

Morris

International,

Inc.

753

64,073

Phillips

66

1,792

199,647

Pilgrim's

Pride

Corp.*

864

28,266

Popular,

Inc.

1,046

61,453

PRA

Health

Sciences,

Inc.*

407

45,238

Procter

&

Gamble

Co.

(The)

4,260

532,074

Prologis,

Inc.,

REIT

836

74,521

Prudential

Financial,

Inc.

149

13,967

Public

Storage,

REIT(a)

284

60,481

PulteGroup,

Inc.(a)

7,735

300,118

PVH

Corp.

1,007

105,886

QUALCOMM,

Inc.(a)

2,233

197,018

Qurate

Retail,

Inc.,

Series

A*

25,019

210,910

Ralph

Lauren

Corp.(a)

599

70,215

Raytheon

Co.(a)

510

112,067

Regeneron

Pharmaceuticals,

Inc.*

671

251,947

Robert

Half

International,

Inc.(a)

3,308

208,900

S&P

Global,

Inc.

358

97,752

Simon

Property

Group,

Inc.,

REIT

791

117,827

Skechers

U.S.A.,

Inc.,

Class

A*

8,423

363,789

Skyworks

Solutions,

Inc.

1,556

188,089

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

5,592

407,545

Starbucks

Corp.

466

40,971

Steel

Dynamics,

Inc.

6,906

235,080

Stryker

Corp.

64

13,436

Synchrony

Financial

10,548

379,833

INVESTMENTS

SHARES

VALUE

United

States

-

36.7%

(continued)

Take-Two

Interactive

Software,

Inc.*

211

$

25,833

Target

Corp.

678

86,926

TE

Connectivity

Ltd.

3,085

295,666

Terex

Corp.

1,932

57,535

Texas

Instruments,

Inc.

2,529

324,445

Textron,

Inc.

681

30,373

Thermo

Fisher

Scientific,

Inc.

1,560

506,797

Tiffany

&

Co.

195

26,062

Timken

Co.

(The)

763

42,965

TJX

Cos.,

Inc.

(The)

2,869

175,181

Toll

Brothers,

Inc.(a)

4,732

186,961

TRI

Pointe

Group,

Inc.*

1,016

15,829

Tupperware

Brands

Corp.

13,285

113,985

Twitter,

Inc.*

4,028

129,097

Tyson

Foods,

Inc.,

Class

A(b)

7,627

694,362

Umpqua

Holdings

Corp.(a)

858

15,187

United

Airlines

Holdings,

Inc.*

954

84,038

United

Therapeutics

Corp.*

1,519

133,794

Unum

Group

2,149

62,665

Urban

Outfitters,

Inc.*(a)

562

15,607

Valero

Energy

Corp.

1,711

160,235

Varian

Medical

Systems,

Inc.*

403

57,230

VeriSign,

Inc.*

179

34,490

Verizon

Communications,

Inc.(b)

1,282

78,715

Vertex

Pharmaceuticals,

Inc.*(a)

210

45,980

ViacomCBS,

Inc.(a)

6,393

268,314

Vishay

Intertechnology,

Inc.(a)

16,981

361,525

Walgreens

Boots

Alliance,

Inc.

305

17,983

Walmart,

Inc.

3,370

400,491

WellCare

Health

Plans,

Inc.*

126

41,606

Wells

Fargo

&

Co.(b)

12,916

694,881

WESCO

International,

Inc.*(a)

7,971

473,398

Westrock

Co.

1,492

64,022

World

Fuel

Services

Corp.

9,115

395,773

Xerox

Holdings

Corp.

5,620

207,209

Xilinx,

Inc.(a)

2,434

237,972

49,845,187

—

TOTAL

COMMON

STOCKS

(Cost

$68,391,155)

77,015,536

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

5.4%

Deutsche

Bundesrepublik

Inflation

Linked

Bond

0.10%,

4/15/2023(2)(f)(g)(h)

EUR

152,122

177,787

0.10%,

4/15/2026(2)(f)(g)(h)

EUR

2,495,865

3,046,353

0.50%,

4/15/2030(2)(f)(g)(h)

EUR

2,708,185

3,601,369

United

Kingdom

Inflation

Linked

Treasury

Gilt

1.25%,

11/22/2027(2)(f)(g)(h)

GBP

149,649

261,312

0.13%,

3/22/2029(2)(f)(g)(h)

GBP

122,323

203,456

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$7,174,546)

7,290,277

U.S.

TREASURY

OBLIGATIONS

-

21.0%

U.S.

Treasury

Inflation

Linked

Notes

0.38%,

7/15/2027(2)

4,680,000

5,022,128

0.50%,

1/15/2028(2)

5,210,000

5,576,053

0.75%,

7/15/2028(2)

5,150,000

5,554,541

0.88%,

1/15/2029(2)

5,320,000

5,757,646

130

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

21.0%

(continued)

0.25%,

7/15/2029(2)

6,400,000

$

6,501,330

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$28,146,566)

28,411,698

SHORT-TERM

INVESTMENTS

-

35.8%

REPURCHASE

AGREEMENTS

-

3.5%

GSCO,

(0.60)%,

dated

12/20/2019,

due

1/15/2020,

repurchase

price

$1,362,441,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.10%,

due

4/15/2023(2)

EUR

1,363,033

1,515,558

JPMS,

0.70%,

dated

12/16/2019,

due

1/15/2020,

repurchase

price

$155,615,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

3/22/2029(2)

GBP

155,524

207,515

JPMS,

0.70%,

dated

12/16/2019,

due

1/15/2020,

repurchase

price

$156,824,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

8/10/2028(2)

GBP

156,733

209,128

JPMS,

0.70%,

dated

12/16/2019,

due

1/15/2020,

repurchase

price

$132,445,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

3/22/2026(2)

GBP

132,368

176,618

JPMS,

0.70%,

dated

12/6/2019,

due

1/15/2020,

repurchase

price

$156,392,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

3/22/2029(2)

GBP

156,270

205,636

JPMS,

0.70%,

dated

12/5/2019,

due

1/15/2020,

repurchase

price

$202,678,

collateralized

by

collateralized

by

Foreign

Government

Securities,

1.25%,

due

11/22/2027(2)

GBP

202,517

265,397

JPMS,

0.70%,

dated

12/9/2019,

due

1/15/2020,

repurchase

price

$297,569,

collateralized

by

collateralized

by

Foreign

Government

Securities,

1.25%,

due

11/22/2027(2)

GBP

297,355

390,767

JPMS,

0.70%,

dated

12/5/2019,

due

1/15/2020,

repurchase

price

$157,875,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

3/22/2029(2)

GBP

157,749

206,729

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

3.5%

(continued)

JPMS,

0.70%,

dated

12/4/2019,

due

1/15/2020,

repurchase

price

$131,796,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

8/10/2028(2)

GBP

131,688

$

171,161

JPMS,

0.70%,

dated

12/5/2019,

due

1/15/2020,

repurchase

price

$134,091,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.13%,

due

3/22/2026(2)

GBP

133,984

175,585

MPFS,

(0.57)%,

dated

12/17/2019,

due

1/15/2020,

repurchase

price

$114,128,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.10%,

due

3/1/2028(2)

EUR

114,180

126,935

MPFS,

(0.50)%,

dated

11/26/2019,

due

1/15/2020,

repurchase

price

$251,805,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.70%,

due

7/25/2030(2)

EUR

251,980

277,759

MPFS,

(0.50)%,

dated

12/17/2019,

due

1/15/2020,

repurchase

price

$140,144,

collateralized

by

collateralized

by

Foreign

Government

Securities,

1.85%,

due

7/25/2027(2)

EUR

140,200

155,861

MPFS,

(0.50)%,

dated

12/17/2019,

due

1/15/2020,

repurchase

price

$125,819,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.70%,

due

7/25/2030(2)

EUR

125,870

139,930

MPFS,

(0.50)%,

dated

12/17/2019,

due

1/15/2020,

repurchase

price

$112,275,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.10%,

due

3/1/2029(2)

EUR

112,320

124,866

MPFS,

(0.50)%,

dated

11/26/2019,

due

1/15/2020,

repurchase

price

$114,231,

collateralized

by

collateralized

by

Foreign

Government

Securities,

0.10%,

due

3/1/2028(2)

EUR

114,310

126,005

131

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

3.5%

(continued)

MPFS,

(0.50)%,

dated

11/26/2019,

due

1/15/2020,

repurchase

price

$280,325,

collateralized

by

collateralized

by

Foreign

Government

Securities,

1.85%,

due

7/25/2027(2)

EUR

280,520

$

309,219

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$4,784,669)

4,784,669

SHARES

INVESTMENT

COMPANIES

-

23.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(i)(j)

5,111,574

5,111,574

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

1.53%(i)(j)

3

3

Limited

Purpose

Cash

Investment

Fund,

1.61%(i)

26,555,345

26,555,345

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(i)

34,176

34,176

TOTAL

INVESTMENT

COMPANIES

(Cost

$31,698,877)

31,701,098

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

8.9%

U.S.

Treasury

Bills

2.03%,

1/23/2020(2)(k)(l)

$

1,182,000

1,180,986

2.06%,

1/30/2020(2)(j)(l)

20,000

19,977

1.97%,

2/6/2020(2)(l)

54,000

53,922

1.86%,

2/20/2020(2)(k)(l)

622,000

620,717

1.55%,

5/7/2020(2)(k)(l)

1,711,000

1,701,875

1.56%,

6/18/2020(2)(j)(l)

1,241,000

1,232,080

1.58%,

6/25/2020(2)(l)

5,482,000

5,441,069

1.57%,

7/2/2020(2)(l)

1,761,000

1,747,178

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$11,995,559)

11,997,804

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$48,479,105)

48,483,571

TOTAL

LONG

POSITIONS

(Cost

$152,191,372)

161,201,082

SHARES

SHORT

POSITIONS

-

(13.4)%

COMMON

STOCKS

-

(13.4)%

Australia

-

(0.6)%

AMP

Ltd.(2)

(30,954)

(41,639)

Challenger

Ltd.(2)

(50,763)

(288,869)

SEEK

Ltd.(2)

(15,942)

(252,325)

Worley

Ltd.(2)

(19,807)

(213,966)

(796,799)

—

Belgium

-

0.0%(d)

Umicore

SA(2)

(388)

(18,909)

Canada

-

(0.5)%

Bombardier,

Inc.,

Class

B*

(86,231)

(128,163)

Encana

Corp.

(4,586)

(21,472)

PrairieSky

Royalty

Ltd.

(16,874)

(197,906)

INVESTMENTS

SHARES

VALUE

Canada

-

(0.5)%

(continued)

Stars

Group,

Inc.

(The)*

(1,340)

$

(34,972)

West

Fraser

Timber

Co.

Ltd.

(5,615)

(247,682)

(630,195)

—

France

-

0.0%(d)

Altran

Technologies

SA(2)

(1,717)

(27,357)

Germany

-

(0.7)%

Delivery

Hero

SE(2)*(c)

(1,393)

(110,408)

Deutsche

Bank

AG

(Registered)(2)

(36,784)

(285,022)

thyssenkrupp

AG(2)

(32,430)

(435,765)

United

Internet

AG

(Registered)(2)

(3,942)

(129,098)

Zalando

SE(2)*(c)

(1,069)

(53,910)

(1,014,203)

—

Italy

-

(0.4)%

FinecoBank

Banca

Fineco

SpA(2)

(33,437)

(401,104)

Freni

Brembo

SpA(2)

(2,887)

(35,844)

Pirelli

&

C

SpA(2)(c)

(27,849)

(160,735)

(597,683)

—

Japan

-

0.0%(d)

Yaskawa

Electric

Corp.(2)

(1,300)

(48,972)

Luxembourg

-

(0.2)%

ArcelorMittal

SA(2)

(17,065)

(300,680)

Netherlands

-

(0.3)%

Altice

Europe

NV(2)*

(8,567)

(55,476)

Takeaway.com

NV(2)*(c)

(3,411)

(315,300)

(370,776)

—

Spain

-

(0.7)%

Cellnex

Telecom

SA(2)(c)

(21,585)

(931,083)

United

Arab

Emirates

-

(0.1)%

NMC

Health

plc(2)

(4,083)

(95,662)

United

Kingdom

-

(0.2)%

John

Wood

Group

plc(2)

(10,075)

(53,435)

Ocado

Group

plc(2)*

(15,183)

(257,610)

(311,045)

—

United

States

-

(9.5)%

2U,

Inc.*

(2,456)

(58,919)

Acadia

Healthcare

Co.,

Inc.*

(6,124)

(203,439)

Adient

plc*

(8,572)

(182,155)

Advanced

Micro

Devices,

Inc.*

(3,675)

(168,536)

Agios

Pharmaceuticals,

Inc.*

(5,863)

(279,958)

Albemarle

Corp.

(524)

(38,273)

Alnylam

Pharmaceuticals,

Inc.*

(3,134)

(360,943)

Apache

Corp.

(12,694)

(324,839)

Axon

Enterprise,

Inc.*

(5,708)

(418,282)

Baker

Hughes

Co.

(2,613)

(66,971)

Bluebird

Bio,

Inc.*

(5,132)

(450,333)

Carvana

Co.*

(2,320)

(213,556)

Catalent,

Inc.*

(1,762)

(99,201)

CenturyLink,

Inc.

(21,176)

(279,735)

Cheniere

Energy,

Inc.*

(5,555)

(339,244)

Conagra

Brands,

Inc.

(4,096)

(140,247)

Concho

Resources,

Inc.

(895)

(78,375)

132

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

(9.5)%

(continued)

Coty,

Inc.,

Class

A

(6,330)

$

(71,213)

Coupa

Software,

Inc.*

(957)

(139,961)

Covetrus,

Inc.*

(2,770)

(36,564)

DexCom,

Inc.*

(705)

(154,212)

EchoStar

Corp.,

Class

A*

(216)

(9,355)

Edison

International

(657)

(49,544)

Energizer

Holdings,

Inc.

(1,264)

(63,478)

EQT

Corp.

(10,663)

(116,227)

Equitrans

Midstream

Corp.

(32,598)

(435,509)

Exact

Sciences

Corp.*

(3,016)

(278,920)

Freeport-McMoRan,

Inc.

(33,783)

(443,233)

Granite

Construction,

Inc.

(909)

(25,152)

Grubhub,

Inc.*

(271)

(13,181)

Hess

Corp.

(6,837)

(456,779)

Insulet

Corp.*

(736)

(126,003)

International

Flavors

&

Fragrances,

Inc.

(3,189)

(411,445)

James

Hardie

Industries

plc,

CHESS(2)

(23,984)

(468,753)

Ligand

Pharmaceuticals,

Inc.*

(271)

(28,263)

Matador

Resources

Co.*

(11,510)

(206,835)

Mattel,

Inc.*

(4,610)

(62,466)

Meredith

Corp.

(180)

(5,845)

MongoDB,

Inc.*

(1,328)

(174,778)

Murphy

Oil

Corp.

(512)

(13,722)

National

Oilwell

Varco,

Inc.

(11,383)

(285,144)

Nektar

Therapeutics*

(17,422)

(376,054)

Newell

Brands,

Inc.

(16,865)

(324,145)

Noble

Energy,

Inc.

(17,237)

(428,167)

Oasis

Petroleum,

Inc.*

(12,356)

(40,281)

Ollie's

Bargain

Outlet

Holdings,

Inc.*

(428)

(27,953)

Patterson-UTI

Energy,

Inc.

(9,374)

(98,427)

QEP

Resources,

Inc.

(33,291)

(149,810)

Sage

Therapeutics,

Inc.*

(4,370)

(315,470)

Scientific

Games

Corp.*

(5,816)

(155,752)

Snap,

Inc.,

Class

A*

(7,192)

(117,445)

Square,

Inc.,

Class

A*

(1,880)

(117,613)

Stericycle,

Inc.*

(3,402)

(217,082)

Targa

Resources

Corp.

(9,227)

(376,738)

Tesla,

Inc.*

(966)

(404,107)

Transocean

Ltd.*

(61,808)

(425,239)

Twilio,

Inc.,

Class

A*

(2,122)

(208,550)

Under

Armour,

Inc.,

Class

A*

(1,707)

(36,871)

United

States

Steel

Corp.

(13,652)

(155,769)

Valaris

plc

(23,801)

(156,135)

Virtu

Financial,

Inc.,

Class

A

(9,199)

(147,092)

Wayfair,

Inc.,

Class

A*

(1,250)

(112,963)

Westinghouse

Air

Brake

Technologies

Corp.

(4,726)

(367,683)

World

Wrestling

Entertainment,

Inc.,

Class

A

(1,839)

(119,296)

WPX

Energy,

Inc.*

(1,031)

(14,166)

Zillow

Group,

Inc.,

Class

C*

(2,011)

(92,385)

(12,764,781)

—

INVESTMENTS

SHARES

VALUE

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(20,986)

$

(212,842)

TOTAL

COMMON

STOCKS

(Proceeds$(17,898,542))

(18,120,987)

TOTAL

SHORT

POSITIONS

(Proceeds

$(17,898,542))

(18,120,987)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.5%

(Cost

$134,292,830)

143,080,095

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.5)%(m)

(7,534,773)

NET

ASSETS

-

100.0%

$135,545,322

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

3,253,014

2.4

%

Consumer

Discretionary

8,060,685

5.9

Consumer

Staples

3,706,782

2.7

Energy

(1,607,108)

(1.2)

Financials

44,436,474

32.8

Health

Care

10,358,591

7.6

Industrials

6,570,019

4.9

Information

Technology

14,128,558

10.4

Materials

1,912,132

1.4

Real

Estate

1,294,732

1.0

Utilities

2,482,645

1.8

Short-Term

Investments

48,483,571

35.8

Total

Investments

In

Securities

At

Value

143,080,095

105.5

Liabilities

in

Excess

of

Other

Assets(m)

(7,534,773)

(5.5)

Net

Assets

$

135,545,322

100.0%

*

Non-income

producing

security.

(a)

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

$4,519,406.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$15,210,039.

(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

December

31,

2019

amounted

to

$(1,080,032),

which

represents

approximately

(0.80)%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Security

fair

valued

as

of

December

31,

2019

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2019

amounted

to

$2,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

133

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

(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

December

31,

2019,

the

value

of

these

securities

amounted

to

$7,290,277

or

5.38%

of

net

assets.

(g)

Inflation

protected

security.

(h)

On

12/31/2019,

securities

valued

at

$7,290,277

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(i)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(l)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(m)

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

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Reverse

repurchase

agreements

at

December

31,

2019:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

GSCO

11/20/2019

(0.20)%

1/15/2020

EUR

$

2,972,166

GSCO

11/20/2019

(0.20)%

1/15/2020

EUR

2,286,646

GSCO

11/20/2019

(0.20)%

1/15/2020

EUR

1,656,495

GSCO

12/18/2019

(0.10)%

1/15/2020

EUR

558,237

GSCO

12/17/2019

(0.10)%

1/15/2020

EUR

695,793

JPMS

12/31/2019

0.75%

1/15/2020

GBP

258,661

JPMS

12/31/2019

0.75%

1/15/2020

GBP

201,268

JPMS

11/20/2019

0.86%

1/15/2020

GBP

338,415

JPMS

11/20/2019

0.86%

1/15/2020

GBP

366,769

JPMS

11/20/2019

0.86%

1/15/2020

GBP

595,419

JPMS

11/20/2019

0.86%

1/15/2020

GBP

632,415

MPFS

11/20/2019

(0.52)%

1/15/2020

EUR

250,354

MPFS

11/20/2019

(0.45)%

1/15/2020

EUR

413,601

MPFS

11/20/2019

(0.45)%

1/15/2020

EUR

460,810

MPFS

11/20/2019

(0.45)%

1/15/2020

EUR

122,876

$

11,809,925

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

December

31,

2019

was

$29,682,297

at

a

net

weighted

average

interest

rate

of

0.918%.

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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)

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(274,960)

$

3,772

Cocoa

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

25,400

903

Cocoa

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

50,800

969

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

243,188

57,891

134

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

193,875

$

1,300

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/30/2020

HKD

1,413,500

735

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/07/2020

USD

1,259,250

8,075

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

429,975

8,013

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

1,767,675

35,628

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

2,293,200

46,362

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

2,253,096

239,241

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MSCS

03/20/2020

CHF

841,760

8,011

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/20/2020

CHF

1,788,740

10,174

421,074

Cocoa

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

(50,800)

(910)

Cocoa

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

(25,400)

(450)

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

(243,188)

(56,597)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(193,875)

(3,793)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/14/2020

USD

85,710

(2,922)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/14/2020

USD

85,710

(2,885)

135

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

352,590

$

(3,186)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(2,006,550)

(142,719)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(1,767,675)

(106,548)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(429,975)

(21,105)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(604,998)

(19,116)

(360,231)

$

60,843

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

88

1/2020

USD

$

5,808,000

$

470,202

IBEX

35

Index

17

1/2020

EUR

1,816,942

(13,980)

LME

Aluminum

Base

Metal

1

1/2020

USD

44,631

1,079

LME

Aluminum

Base

Metal

13

1/2020

USD

582,699

22,615

LME

Copper

Base

Metal

1

1/2020

USD

153,844

11,078

LME

Copper

Base

Metal

3

1/2020

USD

461,597

34,013

LME

Copper

Base

Metal

7

1/2020

USD

1,077,696

46,831

LME

Lead

Base

Metal

1

1/2020

USD

47,967

(7,867)

LME

Nickel

Base

Metal

1

1/2020

USD

83,865

(17,103)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(4,929)

LME

Zinc

Base

Metal

5

1/2020

USD

284,938

(28,779)

RBOB

Gasoline

16

1/2020

USD

1,136,016

72,099

100

oz

Gold

52

2/2020

USD

7,920,120

244,348

Brent

Crude

Oil

100

2/2020

USD

6,529,000

(84,845)

Lean

Hogs

6

2/2020

USD

171,420

(5,115)

Live

Cattle

17

2/2020

USD

856,290

(4,337)

LME

Copper

Base

Metal

1

2/2020

USD

154,171

8,409

RBOB

Gasoline

5

2/2020

USD

357,630

(2,597)

Sugar

No.

11

53

2/2020

USD

796,611

69,119

WTI

Crude

Oil

12

2/2020

USD

729,240

8,358

Australia

10

Year

Bond

59

3/2020

AUD

5,918,931

(114,266)

Cocoa

22

3/2020

USD

558,800

1,698

Coffee

'C'

26

3/2020

USD

1,264,575

111,859

136

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Corn

48

3/2020

USD

$

930,600

$

13,009

Cotton

No.

2

4

3/2020

USD

138,100

6,629

EURO

STOXX

50

Index

255

3/2020

EUR

10,666,189

(28,362)

Euro-Bobl

446

3/2020

EUR

66,852,177

(309,859)

Euro-Bund

243

3/2020

EUR

46,470,988

(658,883)

Feeder

Cattle

2

3/2020

USD

144,225

1,844

FTSE

100

Index

12

3/2020

GBP

1,191,981

672

FTSE/MIB

Index

36

3/2020

EUR

4,726,619

(28,055)

Japan

10

Year

Bond

11

3/2020

JPY

15,406,378

(1,685)

KC

HRW

Wheat

11

3/2020

USD

267,300

30,112

LME

Aluminum

Base

Metal

4

3/2020

USD

181,000

(1,117)

LME

Aluminum

Base

Metal

5

3/2020

USD

226,240

(1,512)

LME

Aluminum

Base

Metal

8

3/2020

USD

361,934

(1,998)

LME

Aluminum

Base

Metal

29

3/2020

USD

1,310,996

20,062

LME

Aluminum

Base

Metal

31

3/2020

USD

1,402,750

18,967

LME

Copper

Base

Metal

1

3/2020

USD

154,295

5,978

LME

Copper

Base

Metal

3

3/2020

USD

463,050

(2,182)

LME

Copper

Base

Metal

3

3/2020

USD

463,023

(3,629)

LME

Copper

Base

Metal

4

3/2020

USD

617,257

(7,005)

LME

Copper

Base

Metal

8

3/2020

USD

1,234,850

613

LME

Copper

Base

Metal

47

3/2020

USD

7,255,625

397,322

LME

Lead

Base

Metal

3

3/2020

USD

144,638

(1,128)

LME

Lead

Base

Metal

10

3/2020

USD

482,125

(45,073)

LME

Nickel

Base

Metal

1

3/2020

USD

84,122

(895)

LME

Nickel

Base

Metal

12

3/2020

USD

1,009,800

(230,405)

LME

Zinc

Base

Metal

9

3/2020

USD

511,911

(1,093)

LME

Zinc

Base

Metal

35

3/2020

USD

1,990,406

(50,971)

Low

Sulphur

Gasoil

14

3/2020

USD

855,750

14,546

S&P

500

E-Mini

Index

107

3/2020

USD

17,286,385

274,363

S&P

Midcap

400

E-Mini

Index

15

3/2020

USD

3,097,200

42,457

S&P/TSX

60

Index

7

3/2020

CAD

1,091,494

(233)

Silver

27

3/2020

USD

2,419,335

108,211

Soybean

28

3/2020

USD

1,337,700

17,985

Soybean

Meal

15

3/2020

USD

457,050

(4,357)

SPI

200

Index

5

3/2020

AUD

579,207

(15,840)

TOPIX

Index

39

3/2020

JPY

6,177,258

3,614

U.S.

Treasury

10

Year

Note

431

3/2020

USD

55,349,828

(452,239)

U.S.

Treasury

5

Year

Note

275

3/2020

USD

32,617,578

(117,759)

Wheat

29

3/2020

USD

810,188

41,515

(148,491)

Short

Contracts

Amsterdam

Exchange

Index

(5)

1/2020

EUR

(678,213)

3,641

CAC

40

10

Euro

Index

(8)

1/2020

EUR

(535,724)

(37)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,631)

(1,209)

LME

Aluminum

Base

Metal

(13)

1/2020

USD

(582,699)

(23,111)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,844)

(11,311)

LME

Copper

Base

Metal

(3)

1/2020

USD

(461,597)

(34,762)

LME

Copper

Base

Metal

(7)

1/2020

USD

(1,077,696)

(48,315)

LME

Lead

Base

Metal

(1)

1/2020

USD

(47,967)

7,781

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,865)

17,472

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,060

LME

Zinc

Base

Metal

(5)

1/2020

USD

(284,938)

28,574

Natural

Gas

(6)

1/2020

USD

(131,340)

8,814

WTI

Crude

Oil

(4)

1/2020

USD

(244,240)

(20,820)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,171)

(8,637)

Natural

Gas

(9)

2/2020

USD

(194,220)

642

137

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

NY

Harbor

ULSD

(17)

2/2020

USD

$

(1,439,781)

$

(28,157)

Canada

10

Year

Bond

(43)

3/2020

CAD

(4,552,493)

82,011

DAX

Index

(1)

3/2020

EUR

(371,465)

424

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(181,000)

1,466

LME

Aluminum

Base

Metal

(5)

3/2020

USD

(226,240)

1,201

LME

Aluminum

Base

Metal

(8)

3/2020

USD

(361,934)

1,767

LME

Aluminum

Base

Metal

(29)

3/2020

USD

(1,310,996)

(24,551)

LME

Aluminum

Base

Metal

(39)

3/2020

USD

(1,764,750)

(35,449)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,295)

(6,172)

LME

Copper

Base

Metal

(3)

3/2020

USD

(463,023)

3,614

LME

Copper

Base

Metal

(3)

3/2020

USD

(463,050)

944

LME

Copper

Base

Metal

(4)

3/2020

USD

(617,257)

5,569

LME

Copper

Base

Metal

(8)

3/2020

USD

(1,234,850)

64

LME

Copper

Base

Metal

(20)

3/2020

USD

(3,087,500)

(35,376)

LME

Lead

Base

Metal

(3)

3/2020

USD

(144,638)

1,866

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,122)

685

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,300)

(1,445)

LME

Zinc

Base

Metal

(9)

3/2020

USD

(511,911)

2

Long

Gilt

(26)

3/2020

GBP

(4,524,675)

48,868

(58,887)

$

(207,378)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

11,131,008

USD

7,596,761

CITI

3/18/2020

$

228,978

AUD

11,130,992

USD

7,596,759

JPMC

3/18/2020

228,968

BRL

11,388,998

USD

2,702,727

CITI

**

3/18/2020

119,705

BRL

11,389,002

USD

2,702,731

JPMC

**

3/18/2020

119,701

CAD

6,546,492

USD

4,936,969

CITI

3/18/2020

105,757

CAD

6,546,508

USD

4,936,987

JPMC

3/18/2020

105,751

CHF

2,951,000

USD

3,026,400

CITI

3/18/2020

39,140

CHF

2,951,000

USD

3,026,404

JPMC

3/18/2020

39,136

CLP

9,302,500

USD

12,137

CITI

**

3/18/2020

245

CLP

9,302,500

USD

12,137

JPMC

**

3/18/2020

245

CNY

18,591,495

USD

2,635,024

CITI

**

3/18/2020

31,102

CNY

18,591,505

USD

2,635,028

JPMC

**

3/18/2020

31,099

CZK

28,731,500

USD

1,254,539

CITI

3/18/2020

13,077

CZK

28,731,500

USD

1,254,541

JPMC

3/18/2020

13,075

DKK

752,500

USD

112,749

CITI

3/18/2020

799

DKK

752,500

USD

112,749

JPMC

3/18/2020

798

EUR

7,274,492

USD

8,131,897

CITI

3/18/2020

66,456

EUR

7,274,508

USD

8,131,925

JPMC

3/18/2020

66,446

GBP

3,811,499

USD

4,979,723

CITI

3/18/2020

79,461

GBP

3,811,501

USD

4,979,731

JPMC

3/18/2020

79,455

HKD

1,475,500

USD

189,167

CITI

3/18/2020

73

HKD

1,475,500

USD

189,167

JPMC

3/18/2020

73

HUF

125,240,000

USD

416,386

CITI

3/18/2020

9,672

HUF

125,240,000

USD

416,387

JPMC

3/18/2020

9,672

INR

282,377,503

USD

3,900,129

CITI

**

3/18/2020

33,817

INR

282,377,497

USD

3,900,134

JPMC

**

3/18/2020

33,812

138

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

210,254,000

USD

1,931,098

CITI

3/18/2020

$

12,268

JPY

210,254,000

USD

1,931,100

JPMC

3/18/2020

12,266

KRW

5,017,107,008

USD

4,264,303

CITI

**

3/18/2020

84,871

KRW

5,017,106,991

USD

4,264,309

JPMC

**

3/18/2020

84,866

MXN

106,355,002

USD

5,392,390

CITI

3/18/2020

170,036

MXN

106,354,998

USD

5,392,397

JPMC

3/18/2020

170,029

NOK

8,178,000

USD

921,373

CITI

3/18/2020

10,346

NOK

8,178,000

USD

921,375

JPMC

3/18/2020

10,344

NZD

6,250,000

USD

4,079,781

CITI

3/18/2020

132,297

NZD

6,250,000

USD

4,079,786

JPMC

3/18/2020

132,292

PLN

10,054,008

USD

2,592,068

CITI

3/18/2020

58,473

PLN

10,053,992

USD

2,592,067

JPMC

3/18/2020

58,470

RUB

82,908,000

USD

1,280,713

CITI

**

3/18/2020

42,960

RUB

82,908,000

USD

1,280,715

JPMC

**

3/18/2020

42,958

SEK

1,790,000

USD

190,913

CITI

3/18/2020

891

SEK

1,790,000

USD

190,913

JPMC

3/18/2020

890

SGD

121,500

USD

89,755

CITI

3/18/2020

649

SGD

121,500

USD

89,755

JPMC

3/18/2020

648

USD

139,887

GBP

104,298

CITI

3/18/2020

1,448

USD

139,886

GBP

104,297

JPMC

3/18/2020

1,448

USD

729,729

INR

52,349,500

CITI

**

3/18/2020

421

USD

729,728

INR

52,349,500

JPMC

**

3/18/2020

420

USD

1,543,945

JPY

166,552,000

CITI

3/18/2020

4,514

USD

1,543,943

JPY

166,552,000

JPMC

3/18/2020

4,512

USD

52,095

MXN

994,000

CITI

3/18/2020

108

USD

52,095

MXN

994,000

JPMC

3/18/2020

108

ZAR

41,494,498

USD

2,782,197

CITI

3/18/2020

151,175

ZAR

41,494,504

USD

2,782,200

JPMC

3/18/2020

151,172

Total

unrealized

appreciation

2,797,393

GBP

200,000

USD

269,247

CITI

3/18/2020

(3,778)

GBP

200,000

USD

269,247

JPMC

3/18/2020

(3,778)

HUF

28,715,000

USD

98,140

CITI

3/18/2020

(454)

HUF

28,715,000

USD

98,140

JPMC

3/18/2020

(454)

INR

68,014,500

USD

955,633

CITI

**

3/18/2020

(8,088)

INR

68,014,500

USD

955,634

JPMC

**

3/18/2020

(8,089)

JPY

20,075,000

USD

185,851

CITI

3/18/2020

(298)

JPY

20,075,000

USD

185,851

JPMC

3/18/2020

(298)

SEK

7,900,000

USD

849,751

CITI

3/18/2020

(3,243)

SEK

7,900,000

USD

849,752

JPMC

3/18/2020

(3,244)

USD

7,165,434

AUD

10,459,004

CITI

3/18/2020

(187,847)

USD

7,165,420

AUD

10,458,996

JPMC

3/18/2020

(187,856)

USD

784,506

BRL

3,255,500

CITI

**

3/18/2020

(22,275)

USD

784,505

BRL

3,255,500

JPMC

**

3/18/2020

(22,276)

USD

4,021,989

CAD

5,300,002

CITI

3/18/2020

(60,573)

USD

4,021,981

CAD

5,299,998

JPMC

3/18/2020

(60,578)

USD

9,229,770

CHF

9,097,500

CITI

3/18/2020

(220,840)

USD

9,229,759

CHF

9,097,500

JPMC

3/18/2020

(220,851)

USD

31,134

CLP

24,579,000

CITI

**

3/18/2020

(1,582)

USD

31,134

CLP

24,579,000

JPMC

**

3/18/2020

(1,582)

USD

595,257

CNY

4,180,500

CITI

**

3/18/2020

(4,251)

USD

595,256

CNY

4,180,500

JPMC

**

3/18/2020

(4,252)

USD

466,569

DKK

3,121,000

CITI

3/18/2020

(4,371)

USD

466,568

DKK

3,121,000

JPMC

3/18/2020

(4,372)

USD

22,702,758

EUR

20,370,203

CITI

3/18/2020

(254,460)

USD

22,702,704

EUR

20,370,180

JPMC

3/18/2020

(254,488)

USD

6,742,274

GBP

5,178,932

CITI

3/18/2020

(131,969)

USD

6,742,261

GBP

5,178,929

JPMC

3/18/2020

(131,977)

USD

853,358

HKD

6,687,000

CITI

3/18/2020

(4,282)

139

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

853,357

HKD

6,687,000

JPMC

3/18/2020

$

(4,283)

USD

3,369,856

JPY

365,960,000

CITI

3/18/2020

(12,693)

USD

3,369,852

JPY

365,960,000

JPMC

3/18/2020

(12,697)

USD

1,599,543

KRW

1,891,088,000

CITI

**

3/18/2020

(39,782)

USD

1,599,541

KRW

1,891,088,000

JPMC

**

3/18/2020

(39,784)

USD

1,516,256

MXN

29,397,000

CITI

3/18/2020

(21,223)

USD

1,516,254

MXN

29,397,000

JPMC

3/18/2020

(21,225)

USD

5,149,074

NOK

46,952,496

CITI

3/18/2020

(200,221)

USD

5,149,068

NOK

46,952,504

JPMC

3/18/2020

(200,227)

USD

1,027,520

NZD

1,600,000

CITI

3/18/2020

(50,772)

USD

1,027,518

NZD

1,600,000

JPMC

3/18/2020

(50,774)

USD

216,702

PLN

839,500

CITI

3/18/2020

(4,615)

USD

216,702

PLN

839,500

JPMC

3/18/2020

(4,615)

USD

67,199

RUB

4,252,500

CITI

**

3/18/2020

(695)

USD

67,199

RUB

4,252,500

JPMC

**

3/18/2020

(695)

USD

1,422,109

SEK

13,586,998

CITI

3/18/2020

(33,777)

USD

1,422,107

SEK

13,587,002

JPMC

3/18/2020

(33,779)

USD

496,841

SGD

676,000

CITI

3/18/2020

(6,146)

USD

496,840

SGD

676,000

JPMC

3/18/2020

(6,147)

USD

554,397

ZAR

8,103,000

CITI

3/18/2020

(18,429)

USD

554,396

ZAR

8,103,000

JPMC

3/18/2020

(18,429)

Total

unrealized

depreciation

(2,593,414)

Net

unrealized

appreciation

$

203,979

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

2,264,653

$

2,264,653

CITI

Cash

(190,000)

–

(190,000)

Investment

Companies

921,797

–

921,797

GSCO

Cash

–

504,872

504,872

Foreign

Government

Securities

6,825,509

–

6,825,509

U.S.

Treasury

Bills

–

929,403

929,403

JPMC

Investment

Companies

4,130,338

–

4,130,338

JPMS

Cash

–

1,341,635

1,341,635

Foreign

Government

Securities

464,768

–

464,768

MSCL

Cash

–

410,875

410,875

U.S.

Treasury

Bills

–

600,119

600,119

MSCS

U.S.

Treasury

Bills

119,259

–

119,259

140

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

59,438

$

–

$

59,438

GSCO

Cash

–

506,531

506,531

GSIN

Cash

296,718

–

296,718

JPPC

Cash

–

567,722

567,722

MLIN

Cash

100,422

–

100,422

MSCL

Cash

–

271,313

271,313

SOCG

Cash

118,112

–

118,112

141

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

124.6%

COMMON

STOCKS

-

4.1%

Brazil

-

0.0%(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR(1)*(b)

5,129

$

92,681

United

States

-

4.1%

BioMarin

Pharmaceutical,

Inc.(1)*(b)

5,206

440,167

Booking

Holdings,

Inc.(1)*(b)

1,480

3,039,521

Clovis

Oncology,

Inc.(1)*(b)

4,996

52,083

DocuSign,

Inc.(1)*(b)

3,645

270,131

Euronet

Worldwide,

Inc.(1)*(b)

858

135,186

Exact

Sciences

Corp.(1)*

1,623

150,095

IAC/InterActiveCorp(1)*(b)

1,616

402,562

Illumina,

Inc.(1)*(b)

2,937

974,320

Intrexon

Corp.(1)*(b)

27,145

148,755

Jazz

Pharmaceuticals

plc(1)*(b)

1,247

186,152

LivePerson

,

Inc.(1)*(b)

4,053

149,961

MINDBODY,

Inc.,

Class

A(3)*(c)(d)

93,547

3,729,833

Panera

Bread

Co.,

Class

A(3)*(c)(d)

38,740

591,782

Proofpoint

,

Inc.(1)*(b)

1,315

150,936

Sirius

XM

Holdings,

Inc.(1)(b)

289

2,066

Tesla,

Inc.(1)*(b)

3,758

1,572,084

TTM

Technologies,

Inc.(1)*(b)

13,660

205,583

Wayfair,

Inc.,

Class

A(1)*(b)

13,874

1,253,793

13,455,010

—

TOTAL

COMMON

STOCKS

(Cost

$11,700,036)

13,547,691

PREFERRED

STOCKS

-

0.5%

United

States

-

0.5%

Dominion

Energy,

Inc.,

Series

A,

7.25%,

6/1/2022(b)

(Cost

$1,487,500)

14,875

1,591,476

CONVERTIBLE

PREFERRED

STOCKS

-

11.1%

United

States

-

11.1%

2017

Mandatory

Exchangeable

Trust

$100

par,

5.19%,

12/1/2020(b)

(e)

25,225

3,898,253

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021(b)

122,675

5,978,694

Change

Healthcare,

Inc.

$50

par,

6.00%,

6/30/2022(b)

8,375

502,416

DTE

Energy

Co.

$50

par,

6.25%,

11/1/2022*(b)

24,100

1,235,366

Fortive

Corp.

Series

A,

$1,000

par,

5.00%,

7/1/2021(b)

11,150

10,853,366

NCR

Corp.

Series

A,

$1,000

par,

5.50%,

12/31/2049*(b)(f)(g)

3,975

5,160,806

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022(b)

39,650

2,033,252

QTS

Realty

Trust,

Inc.,

REIT

Series

B,

$100

par,

6.50%(b)(f)

7,650

981,253

INVESTMENTS

SHARES

VALUE

United

States

-

11.1%

(continued)

Sempra

Energy

Series

A,

$100

par,

6.00%,

1/15/2021(b)

33,975

$

4,078,551

South

Jersey

Industries,

Inc.

$50

par,

7.25%,

4/15/2021(b)

16,500

856,515

Southern

Co.

(The)

Series

2019,

$50

par,

6.75%,

8/1/2022(b)

24,450

1,317,855

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$35,096,130)

36,896,327

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.1%

United

States

-

0.1%

SunEdison,

Inc.

2.00%,

10/1/2018(3)(c)(h)

$

5,950,000

126,438

2.75%,

1/1/2021(3)(b)(c)(h)

4,925,000

104,656

TOTAL

CORPORATE

BONDS

(Cost

$15,555,747)

231,094

CONVERTIBLE

BONDS

-

44.2%

Argentina

-

1.9%

MercadoLibre

,

Inc.

2.00%,

8/15/2028(b)

4,300,000

6,408,990

Brazil

-

0.4%

GOL

Equity

Finance

SA

3.75%,

7/15/2024(b)(e)

1,175,000

1,352,717

Canada

-

1.0%

Aphria

,

Inc.

5.25%,

6/1/2024(b)(e)

900,000

596,813

Element

Fleet

Management

Corp.

4.25%,

6/30/2020(b)

2,500,000

1,934,272

Tilray

,

Inc.

5.00%,

10/1/2023(b)

1,425,000

741,000

3,272,085

Chile

-

0.3%

Liberty

Latin

America

Ltd.

2.00%,

7/15/2024(b)(e)

1,025,000

1,090,344

China

-

0.4%

iQIYI

,

Inc.

2.00%,

4/1/2025(b)(e)

1,425,000

1,414,482

France

-

3.1%

AXA

SA

7.25%,

5/15/2021(b)(e)

8,825,000

10,175,225

Germany

-

1.0%

Deutsche

Bank

AG

1.00%,

5/1/2023(b)

3,250,000

3,389,393

Ivory

Coast

-

0.2%

Endeavour

Mining

Corp.

3.00%,

2/15/2023(b)(e)

625,000

655,500

Monaco

-

0.3%

Scorpio

Tankers,

Inc.

3.00%,

5/15/2022(b)

750,000

919,661

142

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Norway

-

1.1%

SFL

Corp.

Ltd.

5.75%,

10/15/2021(b)

$

3,600,000

$

3,826,371

United

States

-

34.5%

Aerie

Pharmaceuticals,

Inc.

1.50%,

10/1/2024(b)(e)

650,000

776,876

Aerojet

Rocketdyne

Holdings,

Inc.

2.25%,

12/15/2023(b)

250,000

453,911

Akamai

Technologies,

Inc.

0.38%,

9/1/2027(b)(e)

1,900,000

1,875,907

Allscripts

Healthcare

Solutions,

Inc.

0.88%,

1/1/2027(b)(e)

575,000

562,430

AMAG

Pharmaceuticals,

Inc.

3.25%,

6/1/2022(b)

2,450,000

2,061,326

Apellis

Pharmaceuticals,

Inc.

3.50%,

9/15/2026(b)(e)

975,000

1,004,250

Apollo

Commercial

Real

Estate

Finance,

Inc.,

REIT

4.75%,

8/23/2022(b)

1,350,000

1,355,561

5.38%,

10/15/2023(b)

1,925,000

1,950,697

Arbor

Realty

Trust,

Inc.,

REIT

4.75%,

11/1/2022(b)(e)

825,000

821,669

Ares

Capital

Corp.

4.63%,

3/1/2024(b)

2,650,000

2,810,855

Atlas

Air

Worldwide

Holdings,

Inc.

1.88%,

6/1/2024

1,475,000

1,243,573

Benefitfocus

,

Inc.

1.25%,

12/15/2023

450,000

388,125

Blackline,

Inc.

0.13%,

8/1/2024(b)(e)

500,000

497,813

Blackstone

Mortgage

Trust,

Inc.,

REIT

4.75%,

3/15/2023(b)

2,300,000

2,459,919

Clovis

Oncology,

Inc.

4.50%,

8/1/2024(b)(e)

200,000

276,240

1.25%,

5/1/2025(b)

625,000

392,188

CyberArk

Software

Ltd.

0.00%,

11/15/2024(b)(e)

925,000

955,219

DISH

Network

Corp.

3.38%,

8/15/2026(b)

1,525,000

1,466,898

Dycom

Industries,

Inc.

0.75%,

9/15/2021(b)

2,023,000

1,960,632

Etsy,

Inc.

0.00%,

3/1/2023(b)

150,000

211,208

0.13%,

10/1/2026(b)(e)

775,000

697,068

Everbridge

,

Inc.

0.13%,

12/15/2024(b)(e)

775,000

765,893

FireEye,

Inc.

0.88%,

6/1/2024(b)

2,700,000

2,713,937

FTI

Consulting,

Inc.

2.00%,

8/15/2023(b)

2,500,000

3,127,766

Gogo

,

Inc.

6.00%,

5/22/2022(b)

1,325,000

1,656,833

Granite

Construction,

Inc.

2.75%,

11/1/2024(b)(e)

700,000

758,755

Guess?,

Inc.

2.00%,

4/15/2024(b)(e)

575,000

630,703

IAC

Financeco

3,

Inc.

2.00%,

1/15/2030(b)(e)

950,000

1,107,320

IAC

FinanceCo

,

Inc.

0.88%,

10/1/2022(b)(e)

1,600,000

2,750,960

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

United

States

-

34.5%

(continued)

Infinera

Corp.

2.13%,

9/1/2024(b)

$

2,125,000

$

2,243,191

Innoviva

,

Inc.

2.13%,

1/15/2023(b)

825,000

826,798

Insight

Enterprises,

Inc.

0.75%,

2/15/2025(b)(e)

750,000

884,091

Intercept

Pharmaceuticals,

Inc.

2.00%,

5/15/2026(b)

50,000

66,155

Intrexon

Corp.

3.50%,

7/1/2023(b)

2,025,000

1,213,734

Invitae

Corp.

2.00%,

9/1/2024(b)(e)

175,000

158,326

j2

Global,

Inc.

1.75%,

11/1/2026(b)(e)

1,375,000

1,394,924

KBR,

Inc.

2.50%,

11/1/2023(b)(e)

1,675,000

2,219,375

Liberty

Media

Corp.

2.25%,

12/1/2048(b)(e)

2,950,000

3,501,281

2.75%,

12/1/2049(b)(e)

1,500,000

1,571,250

Ligand

Pharmaceuticals,

Inc.

0.75%,

5/15/2023(b)

1,950,000

1,682,927

Lumentum

Holdings,

Inc.

Series

QIB,

0.50%,

12/15/2026(b)(e)

1,275,000

1,383,375

Meritor,

Inc.

3.25%,

10/15/2037(b)

1,625,000

1,767,987

MFA

Financial,

Inc.,

REIT

6.25%,

6/15/2024(b)

750,000

781,406

Microchip

Technology,

Inc.

2.25%,

2/15/2037(b)

10,115,000

14,692,983

Neurocrine

Biosciences,

Inc.

2.25%,

5/15/2024(b)

575,000

880,490

Okta

,

Inc.

0.13%,

9/1/2025(b)(e)

450,000

435,765

Omeros

Corp.

Class

B-3,

6.25%,

11/15/2023(b)

1,575,000

1,511,248

OPKO

Health,

Inc.

4.50%,

2/15/2025(b)

875,000

684,301

PennyMac

Corp.,

REIT

5.50%,

11/1/2024(b)(e)

225,000

223,244

Prospect

Capital

Corp.

6.38%,

3/1/2025(b)

675,000

716,478

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026(b)(e)

1,050,000

1,220,961

Pure

Storage,

Inc.

0.13%,

4/15/2023(b)

375,000

371,870

Redwood

Trust,

Inc.,

REIT

4.75%,

8/15/2023(b)

1,000,000

1,021,953

5.63%,

7/15/2024(b)

1,900,000

1,935,560

RH

0.00%,

6/15/2023(b)

1,425,000

1,808,049

0.00%,

9/15/2024(b)(e)

1,725,000

2,045,404

SailPoint

Technologies

Holding,

Inc.

0.13%,

9/15/2024(b)(e)

1,300,000

1,398,462

SEACOR

Holdings,

Inc.

2.50%,

12/15/2027(b)

5,575,000

5,419,426

Splunk

,

Inc.

1.13%,

9/15/2025(b)

3,825,000

4,716,703

143

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

United

States

-

34.5%

(continued)

SunEdison,

Inc.

0.25%,

1/15/2020(3)(b)(c)(h)

$

8,325,000

$

176,906

Tesla,

Inc.

2.00%,

5/15/2024(b)

2,175,000

3,288,213

United

States

Steel

Corp.

5.00%,

11/1/2026(b)(e)

1,475,000

1,638,866

Uniti

Fiber

Holdings,

Inc.,

REIT

4.00%,

6/15/2024(b)(e)

1,100,000

984,778

Vector

Group

Ltd.

1.75%,

4/15/2020(b)(

i

)

650,000

675,594

Vonage

Holdings

Corp.

1.75%,

6/1/2024(b)(e)

550,000

491,093

Wayfair,

Inc.

1.13%,

11/1/2024(b)

3,950,000

4,093,955

1.00%,

8/15/2026(b)(e)

1,725,000

1,517,006

Winnebago

Industries,

Inc.

1.50%,

4/1/2025(b)(e)

475,000

508,526

Workiva

,

Inc.

1.13%,

8/15/2026(b)(e)

225,000

201,769

Zillow

Group,

Inc.

1.50%,

7/1/2023(b)

2,125,000

2,034,538

0.75%,

9/1/2024(b)(e)

1,350,000

1,642,521

1.38%,

9/1/2026(b)(e)

700,000

851,673

114,617,687

TOTAL

CONVERTIBLE

BONDS

(Cost

$143,075,899)

147,122,455

SHARES

SHORT-TERM

INVESTMENTS

-

64.6%

INVESTMENT

COMPANIES

-

51.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(j)(k)

111,221,763

111,221,763

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(j)(l)

61,268,016

61,268,016

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(1)(j)

363,249

363,249

TOTAL

INVESTMENT

COMPANIES

(Cost

$172,840,130)

172,853,028

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

12.8%

U.S.

Treasury

Bills

1.97%,

2/6/2020(m)

$

4,602,000

4,595,334

1.91%,

2/13/2020(m)

3,856,000

3,849,308

1.86%,

2/20/2020(m)

5,267,000

5,256,139

1.86%,

2/27/2020(m)

3,444,000

3,435,910

1.62%,

3/26/2020(b)(m)

4,000,000

3,985,928

1.81%,

4/2/2020(b)(m)(n)

10,585,000

10,544,196

1.56%,

5/14/2020(b)(m)

10,981,000

10,919,021

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$42,568,538)

42,585,836

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$215,408,668)

215,438,864

TOTAL

LONG

POSITIONS

(Cost

$422,323,980)

414,827,907

SHARES

SHORT

POSITIONS

-

(34.3)%

COMMON

STOCKS

-

(30.1)%

INVESTMENTS

SHARES

VALUE

Argentina

-

(1.4)%

MercadoLibre

,

Inc.(1)*

(7,952)

$

(4,548,067)

Canada

-

0.0%(a)

Element

Fleet

Management

Corp.(1)

(1,436)

(12,264)

Chile

-

(0.2)%

Liberty

Latin

America

Ltd.,

Class

C(1)*

(30,196)

(587,614)

China

-

(0.2)%

iQIYI

,

Inc.,

ADR(1)*

(27,510)

(580,736)

Ivory

Coast

-

(0.1)%

Endeavour

Mining

Corp.(1)*

(12,420)

(234,618)

Monaco

-

(0.2)%

Scorpio

Tankers,

Inc.(1)

(13,803)

(543,010)

Norway

-

(0.4)%

SFL

Corp.

Ltd.(1)

(94,639)

(1,376,051)

United

States

-

(27.6)%

Aerie

Pharmaceuticals,

Inc.(1)*

(19,780)

(478,083)

Aerojet

Rocketdyne

Holdings,

Inc.(1)*

(8,606)

(392,950)

Akamai

Technologies,

Inc.(1)*

(8,504)

(734,576)

AMAG

Pharmaceuticals,

Inc.(1)*

(22,706)

(276,332)

Apellis

Pharmaceuticals,

Inc.(1)*

(19,024)

(582,515)

Apollo

Commercial

Real

Estate

Finance,

Inc.,

REIT(1)

(25,154)

(460,067)

Arbor

Realty

Trust,

Inc.,

REIT(1)

(5,561)

(79,800)

Ares

Capital

Corp.(1)

(25,323)

(472,274)

Atlas

Air

Worldwide

Holdings,

Inc.(1)*

(8,210)

(226,350)

AXA

Equitable

Holdings,

Inc.(1)

(316,382)

(7,839,945)

Benefitfocus

,

Inc.(1)*

(3,097)

(67,948)

Blackline,

Inc.(1)*

(3,826)

(197,269)

Blackstone

Mortgage

Trust,

Inc.,

Class

A,

REIT(1)

(27,368)

(1,018,637)

CenterPoint

Energy,

Inc.(1)

(150,815)

(4,112,724)

Change

Healthcare,

Inc.(1)*

(24,964)

(409,160)

Clovis

Oncology,

Inc.(1)*

(29,817)

(310,842)

CyberArk

Software

Ltd.(1)*

(3,464)

(403,833)

DISH

Network

Corp.,

Class

A(1)*

(12,635)

(448,163)

Dominion

Energy,

Inc.(1)

(12,446)

(1,030,778)

DTE

Energy

Co.(1)

(5,787)

(751,558)

Dycom

Industries,

Inc.(1)*

(3,995)

(188,364)

Etsy,

Inc.(1)*

(8,285)

(367,026)

FireEye,

Inc.(1)*

(53,030)

(876,586)

Fortive

Corp.(1)

(100,532)

(7,679,638)

FTI

Consulting,

Inc.(1)*

(17,717)

(1,960,563)

Gogo

,

Inc.(1)*

(152,397)

(975,341)

Granite

Construction,

Inc.(1)

(14,792)

(409,295)

Guess?,

Inc.(1)

(13,828)

(309,471)

IAC/InterActiveCorp(1)*

(11,692)

(2,912,594)

Infinera

Corp.(1)*

(137,742)

(1,093,671)

Innoviva

,

Inc.(1)*

(18,570)

(262,951)

Insight

Enterprises,

Inc.(1)*

(7,795)

(547,911)

Intercept

Pharmaceuticals,

Inc.(1)*

(380)

(47,090)

Invitae

Corp.(1)*

(3,472)

(56,003)

j2

Global,

Inc.(1)

(5,392)

(505,284)

KBR,

Inc.(1)

(50,225)

(1,531,863)

Ligand

Pharmaceuticals,

Inc.(1)*

(1,805)

(188,243)

Live

Nation

Entertainment,

Inc.(1)*

(30,341)

(2,168,471)

Meritor,

Inc.(1)*

(21,572)

(564,971)

144

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

(27.6)%

(continued)

MFA

Financial,

Inc.,

REIT(1)

(5,658)

$

(43,284)

Microchip

Technology,

Inc.(1)

(126,607)

(13,258,284)

NCR

Corp.(1)*

(66,912)

(2,352,626)

Neurocrine

Biosciences,

Inc.(1)*

(6,134)

(659,344)

New

York

Times

Co.

(The),

Class

A(1)

(113,689)

(3,657,375)

NextEra

Energy,

Inc.(1)

(5,131)

(1,242,523)

Okta

,

Inc.(1)*

(1,455)

(167,863)

Omeros

Corp.(1)*

(35,874)

(505,465)

OPKO

Health,

Inc.(1)*

(70,431)

(103,534)

PennyMac

Mortgage

Investment

Trust,

REIT(1)

(1,985)

(44,246)

Prospect

Capital

Corp.(1)

(2,990)

(19,256)

PTC

Therapeutics,

Inc.(1)*

(14,894)

(715,359)

Pure

Storage,

Inc.,

Class

A(1)*

(6,720)

(114,979)

QTS

Realty

Trust,

Inc.,

Class

A,

REIT(1)

(10,662)

(578,627)

Redwood

Trust,

Inc.,

REIT(1)

(34,216)

(565,933)

RH(1)*

(11,750)

(2,508,625)

SailPoint

Technologies

Holding,

Inc.

(1)*

(31,129)

(734,644)

SEACOR

Holdings,

Inc.(1)*

(30,698)

(1,324,619)

Sempra

Energy(1)

(20,545)

(3,112,157)

Sirius

XM

Holdings,

Inc.(1)

(83,825)

(599,349)

South

Jersey

Industries,

Inc.(1)

(17,059)

(562,606)

Southern

Co.

(The)(1)

(12,796)

(815,105)

Splunk

,

Inc.(1)*

(17,797)

(2,665,457)

Tesla,

Inc.(1)*

(9,654)

(4,038,557)

TTM

Technologies,

Inc.(1)*

(13,660)

(205,583)

United

States

Steel

Corp.(1)

(80,583)

(919,452)

Uniti

Group,

Inc.,

REIT(1)

(50,891)

(417,815)

Vector

Group

Ltd.(1)

(321)

(4,298)

Vonage

Holdings

Corp.(1)*

(8,329)

(61,718)

Voya

Financial,

Inc.(1)

(22,401)

(1,366,013)

Wayfair,

Inc.,

Class

A(1)*

(39,197)

(3,542,233)

Winnebago

Industries,

Inc.(1)

(4,844)

(256,635)

Workiva

,

Inc.(1)*

(1,544)

(64,925)

Zillow

Group,

Inc.,

Class

C(1)*

(46,594)

(2,140,528)

(92,308,157)

—

TOTAL

COMMON

STOCKS

(Proceeds$(93,724,860))

(100,190,517)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(4.2)%

United

States

-

(4.2)%

BioMarin

Pharmaceutical,

Inc.

0.60%,

8/1/2024

(1,475,000)

(1,558,336)

Booking

Holdings,

Inc.

0.90%,

9/15/2021

(5,200,000)

(5,992,346)

DocuSign,

Inc.

0.50%,

9/15/2023

(375,000)

(465,632)

Euronet

Worldwide,

Inc.

0.75%,

3/15/2049(e)

(300,000)

(357,836)

Exact

Sciences

Corp.

0.38%,

3/15/2027

(250,000)

(282,656)

IAC

Financeco

2,

Inc.

0.88%,

6/15/2026(e)

(725,000)

(812,943)

Illumina,

Inc.

0.50%,

6/15/2021

(550,000)

(764,683)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

United

States

-

(4.2)%

(continued)

0.00%,

8/15/2023

$

(1,250,000)

$

(1,377,508)

Jazz

Investments

I

Ltd.

1.50%,

8/15/2024

(700,000)

(704,813)

LivePerson

,

Inc.

0.75%,

3/1/2024(e)

(225,000)

(269,538)

Proofpoint

,

Inc.

0.25%,

8/15/2024(e)

(375,000)

(386,213)

Wayfair,

Inc.

0.38%,

9/1/2022

(1,000,000)

(1,086,358)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(13,925,215))

(14,058,862)

TOTAL

SHORT

POSITIONS

(Proceeds

$(107,650,075))

(114,249,379)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.3%

(Cost

$314,673,905)

300,578,528

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.7%(o)

32,385,105

NET

ASSETS

-

100.0%

$332,963,633

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,993,651

0.6

%

Consumer

Discretionary

8,062,322

2.4

Consumer

Staples

671,296

0.2

Energy

6,921,778

2.1

Financials

21,552,768

6.5

Health

Care

7,827,135

2.4

Industrials

10,189,256

3.1

Information

Technology

20,347,315

6.1

Materials

1,140,296

0.3

Real

Estate

969,589

0.3

Utilities

5,464,258

1.7

Short-Term

Investments

215,438,864

64.6

Total

Investments

In

Securities

At

Value

300,578,528

90.3

Other

Assets

in

Excess

of

Liabilities(o)

32,385,105

9.7

Net

Assets

$

332,963,633

100.0%

145

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

*

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

$202,700,866.

In

addition,

$6,914,206

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

December

31,

2019

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2019

amounted

to

$4,729,615,

which

represents

approximately

1.42%

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

December

31,

2019

amounted

to

$55,110,597,

which

represents

approximately

16.55%

of

net

assets

of

the

fund.

(f)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

December

31,

2019.

The

maturity

date

reflects

the

next

call

date.

(g)

Payment

in-kind

security.

(h)

Defaulted

security.

(i)

Variable

or

floating

rate

security,

the

interest

rate

of

which

adjusts

periodically

based

on

changes

in

current

interest

rates

and

prepayments

on

the

underlying

pool

of

assets.

The

interest

rate

shown

was

the

current

rate

as

of

December

31,

2019.

(j)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(l)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(m)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(n)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(o)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

18.4%

INVESTMENT

COMPANIES

-

18.4%

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)^(a)

(Cost

$61,255,118)

533,760,562

1,250,726,294

(1,723,218,840)

61,268,016

$61,268,016

$5,804,878

$157,104

$(124,446)

^    No

longer

affiliated

as

of

December

31,

2019.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2019:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Series

32.V1

5.00

%

Quarterly

12/20/2024

2.07

%

EUR

8,389,000

$

(1,220,329)

$

(77,426)

$

(1,297,755)

iTraxx

Europe

Series

32.V1

1.00

Quarterly

12/20/2024

0.44

EUR

3,312,000

(83,451)

(20,968)

(104,419)

Markit

CDX

North

America

High

Yield

Index

Series

33.V2

5.00

Quarterly

12/20/2024

2.80

USD

2,971,000

(207,491)

(80,841)

(288,332)

Markit

CDX

North

America

Investment

Grade

Index

Series

33.V1

1.00

Quarterly

12/20/2024

0.45

USD

22,300,000

(457,778)

(127,947)

(585,725)

$

(1,969,049)

$

(307,182)

$

(2,276,231)

146

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Written

Call

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

2

EUR

(74,903)

EUR

3,650.00

1/17/2020

$

(2,319)

EURO

STOXX

50

Index

JPMS

9

EUR

(337,064)

EUR

3,675.00

1/17/2020

(8,349)

EURO

STOXX

50

Index

JPMS

6

EUR

(224,709)

EUR

3,700.00

1/17/2020

(4,267)

FTSE

100

Index

JPMS

5

GBP

(377,122)

GBP

7,350.00

1/17/2020

(15,167)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

22,875.00

1/10/2020

(7,501)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

24,000.00

2/14/2020

(2,623)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,645.00

2/21/2020

(5,385)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,660.00

1/17/2020

(2,467)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,675.00

1/17/2020

(1,810)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,080.00

1/17/2020

(79,874)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,090.00

1/17/2020

(13,500)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,160.00

1/17/2020

(8,660)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,160.00

2/21/2020

(10,780)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,165.00

1/17/2020

(14,540)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,165.00

2/21/2020

(49,265)

S&P

500

Index

JPMS

3

USD

(969,234)

USD

3,190.00

1/17/2020

(16,494)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,190.00

2/21/2020

(41,350)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,225.00

1/17/2020

(6,750)

(291,101)

Written

Put

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

8

EUR

(299,612)

EUR

3,600.00

1/17/2020

$

(844)

EURO

STOXX

50

Index

JPMS

10

EUR

(374,515)

EUR

3,625.00

1/17/2020

(1,335)

EURO

STOXX

50

Index

JPMS

6

EUR

(224,709)

EUR

3,650.00

1/17/2020

(1,030)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

22,625.00

2/14/2020

(2,945)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,000.00

2/14/2020

(4,326)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,125.00

1/10/2020

(1,123)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

23,375.00

1/10/2020

(1,012)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,375.00

2/14/2020

(6,166)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

23,500.00

1/10/2020

(1,335)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,625.00

2/14/2020

(8,007)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

23,750.00

1/10/2020

(2,393)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,530.00

2/21/2020

(885)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,560.00

2/21/2020

(1,031)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,570.00

2/21/2020

(1,148)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,585.00

1/17/2020

(440)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,585.00

2/21/2020

(1,340)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,595.00

2/21/2020

(1,505)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,605.00

1/17/2020

(546)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,615.00

2/21/2020

(1,920)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,620.00

1/17/2020

(648)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,635.00

1/17/2020

(845)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

2,985.00

2/21/2020

(2,926)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,000.00

2/21/2020

(8,025)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,025.00

2/21/2020

(1,808)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,040.00

2/21/2020

(9,215)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,045.00

2/21/2020

(10,150)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,070.00

2/21/2020

(2,507)

S&P

500

Index

JPMS

10

USD

(3,230,780)

USD

3,080.00

2/21/2020

(24,500)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,085.00

1/17/2020

(1,240)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,100.00

1/17/2020

(660)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,105.00

1/17/2020

(1,420)

147

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,110.00

1/17/2020

$

(1,500)

S&P

500

Index

JPMS

6

USD

(1,938,468)

USD

3,115.00

2/21/2020

(18,030)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,125.00

1/17/2020

(1,696)

S&P

500

Index

JPMS

6

USD

(1,938,468)

USD

3,125.00

2/21/2020

(18,600)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,130.00

1/17/2020

(887)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,135.00

1/17/2020

(1,053)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,140.00

1/17/2020

(1,890)

S&P

500

Index

JPMS

5

USD

(1,615,390)

USD

3,145.00

1/17/2020

(5,780)

S&P

500

Index

JPMS

6

USD

(1,938,468)

USD

3,155.00

2/21/2020

(21,030)

S&P

500

Index

JPMS

3

USD

(969,234)

USD

3,165.00

1/17/2020

(5,325)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,170.00

1/17/2020

(2,800)

S&P

500

Index

JPMS

3

USD

(969,234)

USD

3,185.00

1/17/2020

(5,340)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,205.00

1/17/2020

(5,200)

(192,406)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($478,396))

$

(483,507)

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

02/28/2020

TRY

4,691,160

$

11,264

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(6,736,520)

92,835

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

486,375

51,042

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

2,055,075

27,246

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

34,525

1,800

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

310,725

9,468

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

03/19/2020

ZAR

(1,631,250)

365

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/19/2020

ZAR

(1,413,750)

131

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

1,121,100

1,153

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

2,242,200

3,616

148

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

02/12/2020

BRL

6,377,360

$

32,228

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

02/12/2020

BRL

6,957,120

36,526

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/12/2020

KRW

73,800,000

635

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

664,200,000

20,814

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/12/2020

KRW

959,400,000

30,635

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

03/12/2020

KRW

9,077,400,000

516,586

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

755,550

5,135

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/30/2020

USD

(710,210)

4,067

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

01/30/2020

USD

(73,470)

517

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

143,325

529

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

525,525

2,673

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/21/2020

USD

182,820

1,080

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

229,482

18,985

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/15/2020

TWD

9,595,200

318

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/15/2020

TWD

21,589,200

539

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

EUR

1,491,343

28,508

149

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Emerging

Markets

Korea

Net

Total

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

03/20/2020

USD

102,760

$

1,359

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

USD

825,429

7,232

907,286

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

(486,375)

(77,078)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(2,055,075)

(21,329)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

(345,250)

(17,362)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

(34,525)

(1,555)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(2,054,325)

(98,098)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(668,850)

(31,614)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(1,553,970)

(16,109)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

578,930

(996)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(20,862)

(2,064)

150

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

03/20/2020

CHF

(1,893,960)

$

(12,781)

WIG20

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

03/20/2020

PLN

(1,553,760)

(3,829)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

03/18/2020

CAD

(1,036,915)

(5,340)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(37,986)

(1,427)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(1,143,037)

(39,336)

MSCI

France

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

(-0.11%)

Monthly

CITI

03/18/2020

EUR

(1,579,561)

(37,009)

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

Mexico

Equilibrium

Interbank

Interest

Rate

(“TIIE”)

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

CITI

03/18/2020

MXN

(3,447,116)

(3,482)

151

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

Warsaw

Interbank

Offered

Rate

(“WIBOR”)

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

03/18/2020

PLN

(7,992)

$

(104)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

CITI

03/18/2020

ZAR

(1,084,447)

(3,537)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

CITI

03/18/2020

ZAR

(26,748,173)

(98,031)

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

CITI

03/18/2020

GBP

(582,905)

(34,905)

(505,986)

$

401,300

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

222

1/2020

USD

$

14,652,000

$

325,336

Hang

Seng

Index

25

1/2020

HKD

4,534,926

31,714

HSCEI

77

1/2020

HKD

5,539,103

54,485

IBEX

35

Index

45

1/2020

EUR

4,809,552

(36,652)

LME

Aluminum

Base

Metal

1

1/2020

USD

44,731

1,910

LME

Aluminum

Base

Metal

1

1/2020

USD

44,531

1,595

LME

Aluminum

Base

Metal

1

1/2020

USD

44,598

1,461

LME

Aluminum

Base

Metal

1

1/2020

USD

44,880

1,243

LME

Aluminum

Base

Metal

1

1/2020

USD

44,988

2,085

LME

Aluminum

Base

Metal

1

1/2020

USD

44,648

946

LME

Aluminum

Base

Metal

2

1/2020

USD

89,784

2,079

LME

Aluminum

Base

Metal

2

1/2020

USD

89,600

3,444

LME

Aluminum

Base

Metal

2

1/2020

USD

89,486

3,042

LME

Aluminum

Base

Metal

2

1/2020

USD

89,807

2,000

152

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

1/2020

USD

$

89,738

$

3,132

LME

Aluminum

Base

Metal

3

1/2020

USD

134,435

5,426

LME

Aluminum

Base

Metal

3

1/2020

USD

133,844

2,971

LME

Aluminum

Base

Metal

4

1/2020

USD

179,292

6,756

LME

Copper

Base

Metal

1

1/2020

USD

154,032

7,770

LME

Copper

Base

Metal

1

1/2020

USD

153,963

9,371

LME

Copper

Base

Metal

1

1/2020

USD

154,010

6,120

LME

Copper

Base

Metal

1

1/2020

USD

154,021

6,118

LME

Copper

Base

Metal

1

1/2020

USD

154,900

13,572

LME

Copper

Base

Metal

2

1/2020

USD

307,763

19,870

LME

Copper

Base

Metal

2

1/2020

USD

307,913

13,459

LME

Copper

Base

Metal

3

1/2020

USD

461,663

30,884

LME

Nickel

Base

Metal

1

1/2020

USD

83,865

(17,281)

LME

Nickel

Base

Metal

1

1/2020

USD

83,738

(22,627)

LME

Nickel

Base

Metal

1

1/2020

USD

83,897

(16,398)

LME

Zinc

Base

Metal

1

1/2020

USD

57,806

(633)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(5,243)

LME

Zinc

Base

Metal

1

1/2020

USD

57,025

(3,784)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(141)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(6,076)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(5,354)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(4,936)

LME

Zinc

Base

Metal

1

1/2020

USD

57,023

(88)

LME

Zinc

Base

Metal

1

1/2020

USD

57,038

(3,201)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(8,387)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(12,956)

MSCI

Singapore

Index

46

1/2020

SGD

1,270,605

(1,559)

MSCI

Taiwan

Index

72

1/2020

USD

3,309,120

(24,643)

NY

Harbor

ULSD

4

1/2020

USD

339,830

9,949

RBOB

Gasoline

15

1/2020

USD

1,065,015

27,629

SGX

FTSE

China

A50

Index

15

1/2020

USD

216,150

3,393

WTI

Crude

Oil

61

1/2020

USD

3,724,660

35,747

100

oz

Gold

50

2/2020

USD

7,615,500

228,028

Live

Cattle

7

2/2020

USD

352,590

2,893

LME

Aluminum

Base

Metal

1

2/2020

USD

45,077

1,017

LME

Aluminum

Base

Metal

1

2/2020

USD

44,998

1,117

LME

Aluminum

Base

Metal

1

2/2020

USD

44,992

809

LME

Aluminum

Base

Metal

1

2/2020

USD

45,086

1,053

LME

Aluminum

Base

Metal

2

2/2020

USD

89,886

130

LME

Aluminum

Base

Metal

2

2/2020

USD

90,137

2,931

LME

Aluminum

Base

Metal

3

2/2020

USD

134,862

(727)

LME

Aluminum

Base

Metal

3

2/2020

USD

134,846

(1,190)

LME

Aluminum

Base

Metal

3

2/2020

USD

134,960

2,033

LME

Aluminum

Base

Metal

5

2/2020

USD

224,798

(2,075)

LME

Copper

Base

Metal

1

2/2020

USD

154,182

8,177

LME

Copper

Base

Metal

4

2/2020

USD

616,427

20,784

LME

Copper

Base

Metal

5

2/2020

USD

771,076

35,949

LME

Copper

Base

Metal

7

2/2020

USD

1,079,199

58,862

LME

Nickel

Base

Metal

1

2/2020

USD

84,033

(2,460)

LME

Nickel

Base

Metal

1

2/2020

USD

84,000

(3,152)

LME

Nickel

Base

Metal

1

2/2020

USD

83,976

(8,427)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(5,290)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(5,190)

LME

Zinc

Base

Metal

1

2/2020

USD

56,944

(1,622)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(6,415)

LME

Zinc

Base

Metal

1

2/2020

USD

56,917

(536)

153

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

2/2020

USD

$

56,911

$

(429)

Low

Sulphur

Gasoil

22

2/2020

USD

1,350,250

35,776

Sugar

No.

11

55

2/2020

USD

826,672

10,168

3

Month

Eurodollar

9

3/2020

USD

2,210,963

(1,018)

3

Month

Sterling

53

3/2020

GBP

8,709,659

(1,404)

ASX

90

Day

Bank

Accepted

Bill

46

3/2020

AUD

32,209,813

(10,737)

Australia

10

Year

Bond

115

3/2020

AUD

11,536,900

(171,180)

Australia

3

Year

Bond

53

3/2020

AUD

4,277,674

(27,280)

Cocoa

7

3/2020

USD

177,800

(2,554)

Cocoa

10

3/2020

GBP

240,945

(5,334)

Coffee

'C'

12

3/2020

USD

583,650

8,570

Corn

85

3/2020

USD

1,647,938

27,176

DJIA

CBOT

E-Mini

Index

9

3/2020

USD

1,282,860

10,641

EURO

STOXX

50

Index

1,013

3/2020

EUR

42,371,959

(119,859)

Euro-Bund

300

3/2020

EUR

57,371,590

(910,120)

FTSE/MIB

Index

120

3/2020

EUR

15,755,398

(49,567)

Japan

10

Year

Bond

9

3/2020

JPY

12,605,218

(3,639)

KC

HRW

Wheat

6

3/2020

USD

145,800

13,882

KOSPI

200

Index

102

3/2020

KRW

6,509,231

263,421

LME

Aluminum

Base

Metal

1

3/2020

USD

45,120

391

LME

Aluminum

Base

Metal

1

3/2020

USD

45,250

(278)

LME

Aluminum

Base

Metal

1

3/2020

USD

45,138

1,272

LME

Aluminum

Base

Metal

1

3/2020

USD

45,129

898

LME

Aluminum

Base

Metal

1

3/2020

USD

45,233

136

LME

Aluminum

Base

Metal

1

3/2020

USD

45,233

1,045

LME

Aluminum

Base

Metal

1

3/2020

USD

45,181

1,278

LME

Aluminum

Base

Metal

1

3/2020

USD

45,241

1,037

LME

Aluminum

Base

Metal

2

3/2020

USD

90,450

992

LME

Aluminum

Base

Metal

2

3/2020

USD

90,454

439

LME

Aluminum

Base

Metal

2

3/2020

USD

90,471

(278)

LME

Aluminum

Base

Metal

13

3/2020

USD

588,250

6,010

LME

Copper

Base

Metal

1

3/2020

USD

154,375

(552)

LME

Copper

Base

Metal

1

3/2020

USD

154,375

(809)

LME

Copper

Base

Metal

4

3/2020

USD

617,425

15

LME

Nickel

Base

Metal

1

3/2020

USD

84,150

1,755

LME

Nickel

Base

Metal

1

3/2020

USD

84,117

1,338

LME

Zinc

Base

Metal

1

3/2020

USD

56,883

1,005

LME

Zinc

Base

Metal

1

3/2020

USD

56,889

1,149

LME

Zinc

Base

Metal

1

3/2020

USD

56,872

(635)

LME

Zinc

Base

Metal

1

3/2020

USD

56,800

(342)

LME

Zinc

Base

Metal

1

3/2020

USD

56,896

418

LME

Zinc

Base

Metal

1

3/2020

USD

56,903

1,213

LME

Zinc

Base

Metal

1

3/2020

USD

56,908

292

LME

Zinc

Base

Metal

1

3/2020

USD

56,817

(1,632)

LME

Zinc

Base

Metal

4

3/2020

USD

227,475

(2,949)

MSCI

EAFE

E-Mini

Index

3

3/2020

USD

305,475

(288)

MSCI

Emerging

Markets

E-Mini

Index

25

3/2020

USD

1,400,250

19,906

NASDAQ

100

E-Mini

Index

8

3/2020

USD

1,400,360

23,467

Nikkei

225

Index

6

3/2020

JPY

1,305,416

11,967

Palladium

2

3/2020

USD

381,860

24,616

Russell

2000

E-Mini

Index

654

3/2020

USD

54,628,620

684,694

S&P

Midcap

400

E-Mini

Index

6

3/2020

USD

1,238,880

10,629

S&P/TSX

60

Index

42

3/2020

CAD

6,548,966

(8,334)

Silver

25

3/2020

USD

2,240,125

84,211

Soybean

Oil

11

3/2020

USD

229,482

13,136

SPI

200

Index

80

3/2020

AUD

9,267,310

(253,385)

154

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

TOPIX

Index

37

3/2020

JPY

$

5,860,476

$

13,706

U.S.

Treasury

10

Year

Note

62

3/2020

USD

7,962,156

13,859

U.S.

Treasury

2

Year

Note

9

3/2020

USD

1,939,500

(125)

U.S.

Treasury

Long

Bond

2

3/2020

USD

311,813

(5,046)

U.S.

Treasury

Ultra

Bond

1

3/2020

USD

181,656

(3,523)

Wheat

37

3/2020

USD

1,033,688

52,827

Platinum

6

4/2020

USD

293,340

9,545

3

Month

Sterling

214

6/2020

GBP

35,177,932

(7,019)

ASX

90

Day

Bank

Accepted

Bill

169

6/2020

AUD

118,347,700

6,618

3

Month

Sterling

231

9/2020

GBP

37,980,090

(5,675)

ASX

90

Day

Bank

Accepted

Bill

171

9/2020

AUD

119,760,052

(36,069)

3

Month

Sterling

191

12/2020

GBP

31,401,870

2,472

ASX

90

Day

Bank

Accepted

Bill

134

12/2020

AUD

93,835,513

(19,700)

3

Month

Sterling

7

3/2021

GBP

1,150,912

(219)

3

Month

Sterling

6

6/2021

GBP

986,297

29

3

Month

Sterling

5

9/2021

GBP

821,749

(68)

3

Month

Sterling

4

12/2021

GBP

657,200

(161)

502,038

Short

Contracts

Amsterdam

Exchange

Index

(4)

1/2020

EUR

(542,571)

2,892

CAC

40

10

Euro

Index

(59)

1/2020

EUR

(3,950,964)

1,264

FTSE

Bursa

Malaysia

KLCI

Index

(33)

1/2020

MYR

(643,381)

8,947

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,731)

(1,789)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,531)

(1,607)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,598)

(1,651)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,880)

(1,358)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,988)

(1,902)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,648)

(1,030)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,738)

(3,012)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,486)

(2,985)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,600)

(3,487)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,807)

(2,331)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,784)

(1,839)

LME

Aluminum

Base

Metal

(3)

1/2020

USD

(134,435)

(5,227)

LME

Aluminum

Base

Metal

(3)

1/2020

USD

(133,844)

(3,334)

LME

Aluminum

Base

Metal

(4)

1/2020

USD

(179,292)

(6,913)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,021)

(6,324)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,963)

(9,228)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,032)

(7,810)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,010)

(5,882)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,900)

(14,078)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,763)

(19,260)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,913)

(13,344)

LME

Copper

Base

Metal

(3)

1/2020

USD

(461,663)

(30,551)

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,865)

16,692

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,738)

22,911

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,897)

16,486

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,435

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

6,335

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

135

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,025)

3,560

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,023)

(244)

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,038)

2,873

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,285

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,806)

803

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,010

155

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(2)

1/2020

USD

$

(113,975)

$

7,857

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

12,819

Natural

Gas

(371)

1/2020

USD

(8,121,190)

315,098

OMXS30

Index

(62)

1/2020

SEK

(1,170,483)

13,589

SGX

NIFTY

50

Index

(8)

1/2020

USD

(195,920)

1,248

Lean

Hogs

(5)

2/2020

USD

(142,850)

(1,798)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,086)

(1,038)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(44,992)

(820)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,077)

(1,092)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(44,998)

(876)

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(89,886)

(679)

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(90,137)

(2,952)

LME

Aluminum

Base

Metal

(3)

2/2020

USD

(134,960)

(2,294)

LME

Aluminum

Base

Metal

(3)

2/2020

USD

(134,862)

879

LME

Aluminum

Base

Metal

(3)

2/2020

USD

(134,846)

1,196

LME

Aluminum

Base

Metal

(5)

2/2020

USD

(224,798)

1,838

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,182)

(7,660)

LME

Copper

Base

Metal

(4)

2/2020

USD

(616,427)

(20,458)

LME

Copper

Base

Metal

(5)

2/2020

USD

(771,076)

(37,307)

LME

Copper

Base

Metal

(7)

2/2020

USD

(1,079,199)

(59,494)

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,033)

2,392

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,000)

3,347

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,976)

7,957

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,911)

485

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

5,215

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,944)

1,581

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,917)

405

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

5,067

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

6,660

3

Month

Canadian

Bankers

Acceptance

(11)

3/2020

CAD

(2,075,392)

341

3

Month

Euro

Euribor

(108)

3/2020

EUR

(30,402,501)

9,264

Canada

10

Year

Bond

(394)

3/2020

CAD

(41,713,542)

523,097

Copper

(3)

3/2020

USD

(209,775)

(11,290)

DAX

Index

(11)

3/2020

EUR

(4,086,115)

22,689

Euro-

Bobl

(8)

3/2020

EUR

(1,199,142)

5,726

Euro-BTP

(34)

3/2020

EUR

(5,433,111)

3,831

Euro-OAT

(3)

3/2020

EUR

(547,737)

7,935

Euro-Schatz

(99)

3/2020

EUR

(12,426,860)

8,560

FTSE

100

Index

(12)

3/2020

GBP

(1,191,981)

(2,217)

FTSE/JSE

Top

40

Index

(19)

3/2020

ZAR

(696,730)

8,072

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,120)

(323)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,233)

(1,111)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,181)

(1,307)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,250)

478

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,233)

(86)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,138)

(1,382)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,241)

(1,044)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,129)

(1,100)

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,471)

211

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,450)

(1,436)

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,454)

(747)

LME

Aluminum

Base

Metal

(24)

3/2020

USD

(1,086,000)

(30,322)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,375)

798

LME

Copper

Base

Metal

(4)

3/2020

USD

(617,425)

(350)

LME

Copper

Base

Metal

(5)

3/2020

USD

(771,875)

(7,907)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,117)

(1,183)

156

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

3/2020

USD

$

(84,150)

$

(1,357)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,908)

(612)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,872)

725

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,896)

(695)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,903)

(829)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,800)

422

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,889)

(1,292)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,883)

(936)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,817)

1,256

LME

Zinc

Base

Metal

(6)

3/2020

USD

(341,213)

(4,139)

Long

Gilt

(450)

3/2020

GBP

(78,311,675)

785,410

MEX

BOLSA

Index

(21)

3/2020

MXN

(491,294)

10,611

S&P

500

E-Mini

Index

(587)

3/2020

USD

(94,832,785)

(1,261,542)

SET50

Index

(132)

3/2020

THB

(940,322)

(1,099)

Soybean

(129)

3/2020

USD

(6,162,975)

(224,311)

U.S.

Treasury

5

Year

Note

(218)

3/2020

USD

(25,856,844)

60,626

3

Month

Canadian

Bankers

Acceptance

(34)

6/2020

CAD

(6,416,156)

1,215

3

Month

Euro

Euribor

(575)

6/2020

EUR

(161,865,165)

99,514

3

Month

Eurodollar

(1)

6/2020

USD

(245,775)

(9)

3

Month

Euroswiss

(4)

6/2020

CHF

(1,040,608)

200

3

Month

Canadian

Bankers

Acceptance

(31)

9/2020

CAD

(5,850,920)

1,493

3

Month

Euro

Euribor

(585)

9/2020

EUR

(164,663,806)

128,158

3

Month

Eurodollar

(2)

9/2020

USD

(491,825)

(57)

3

Month

Euroswiss

(1)

9/2020

CHF

(260,152)

51

3

Month

Canadian

Bankers

Acceptance

(19)

12/2020

CAD

(3,586,048)

346

3

Month

Euro

Euribor

(474)

12/2020

EUR

(133,406,613)

56,723

3

Month

Eurodollar

(7)

12/2020

USD

(1,721,650)

(320)

3

Month

Euroswiss

(1)

12/2020

CHF

(260,100)

26

3

Month

Euro

Euribor

(20)

3/2021

EUR

(5,628,130)

1,570

3

Month

Eurodollar

(3)

3/2021

USD

(738,300)

171

3

Month

Euro

Euribor

(8)

6/2021

EUR

(2,250,803)

2,007

3

Month

Eurodollar

(2)

6/2021

USD

(492,200)

(67)

3

Month

Euro

Euribor

(7)

9/2021

EUR

(1,968,962)

1,357

3

Month

Eurodollar

(2)

9/2021

USD

(492,175)

(53)

3

Month

Euro

Euribor

(4)

12/2021

EUR

(1,124,785)

721

3

Month

Eurodollar

(1)

12/2021

USD

(245,988)

(49)

389,039

$

891,077

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

38,692,520

USD

26,640,642

CITI

3/18/2020

$

562,422

AUD

38,692,480

USD

26,640,648

JPMC

3/18/2020

562,391

BRL

16,577,000

USD

3,970,164

CITI

**

3/18/2020

137,962

BRL

16,577,000

USD

3,970,169

JPMC

**

3/18/2020

137,960

CAD

39,137,985

USD

29,535,625

CITI

3/18/2020

612,146

CAD

39,138,014

USD

29,535,683

JPMC

3/18/2020

612,108

CHF

7,029,995

USD

7,156,902

CITI

3/18/2020

145,954

CHF

7,030,005

USD

7,156,921

JPMC

3/18/2020

145,945

CLP

138,869,998

USD

173,058

CITI

**

3/18/2020

11,782

CLP

138,870,002

USD

173,058

JPMC

**

3/18/2020

11,782

157

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CNY

12,767,000

USD

1,815,094

CITI

**

3/18/2020

$

15,769

CNY

12,766,999

USD

1,815,096

JPMC

**

3/18/2020

15,766

COP

535,752,496

USD

158,616

CITI

**

3/18/2020

3,781

COP

535,752,504

USD

158,616

JPMC

**

3/18/2020

3,781

CZK

41,000,000

USD

1,778,412

CITI

3/18/2020

30,483

CZK

41,000,000

USD

1,778,415

JPMC

3/18/2020

30,481

EUR

6,767,001

USD

7,553,438

CITI

3/18/2020

72,973

EUR

6,766,999

USD

7,553,445

JPMC

3/18/2020

72,964

GBP

10,755,514

USD

14,015,601

CITI

3/18/2020

260,705

GBP

10,707,488

USD

13,952,523

JPMC

3/18/2020

260,033

HKD

1,466,000

USD

187,091

CITI

3/18/2020

930

HKD

1,466,000

USD

187,091

JPMC

3/18/2020

930

HUF

962,419,500

USD

3,252,700

CITI

3/18/2020

21,385

HUF

962,419,500

USD

3,252,704

JPMC

3/18/2020

21,382

IDR

23,087,367,723

USD

1,621,111

CITI

**

3/18/2020

37,579

IDR

23,087,367,709

USD

1,621,113

JPMC

**

3/18/2020

37,575

ILS

2,838,002

USD

822,766

CITI

3/18/2020

2,416

ILS

2,838,000

USD

822,766

JPMC

3/18/2020

2,416

INR

308,678,016

USD

4,263,480

CITI

**

3/18/2020

36,872

INR

308,677,984

USD

4,263,485

JPMC

**

3/18/2020

36,869

JPY

597,537,999

USD

5,517,830

CITI

3/18/2020

5,181

JPY

597,538,003

USD

5,517,837

JPMC

3/18/2020

5,174

KRW

8,582,415,000

USD

7,388,043

CITI

**

3/18/2020

51,788

KRW

8,582,415,000

USD

7,388,051

JPMC

**

3/18/2020

51,780

MXN

434,264,489

USD

22,158,086

CITI

3/18/2020

554,188

MXN

434,264,519

USD

22,158,115

JPMC

3/18/2020

554,163

NOK

103,475,500

USD

11,361,189

CITI

3/18/2020

427,767

NOK

103,475,500

USD

11,361,203

JPMC

3/18/2020

427,753

NZD

38,260,005

USD

24,908,042

CITI

3/18/2020

876,612

NZD

38,259,996

USD

24,908,067

JPMC

3/18/2020

876,579

PHP

34,726,004

USD

680,188

CITI

**

3/18/2020

3,114

PHP

34,725,996

USD

680,189

JPMC

**

3/18/2020

3,113

PLN

27,956,006

USD

7,226,106

CITI

3/18/2020

143,948

PLN

27,955,994

USD

7,226,112

JPMC

3/18/2020

143,938

SEK

31,826,996

USD

3,360,161

CITI

3/18/2020

50,193

SEK

31,827,004

USD

3,360,166

JPMC

3/18/2020

50,187

SGD

14,465,502

USD

10,633,728

CITI

3/18/2020

129,534

SGD

14,465,498

USD

10,633,738

JPMC

3/18/2020

129,521

THB

19,537,500

USD

647,485

CITI

3/18/2020

5,938

THB

19,537,500

USD

647,485

JPMC

3/18/2020

5,937

TWD

163,882,504

USD

5,421,307

CITI

**

3/18/2020

89,160

TWD

163,882,496

USD

5,421,313

JPMC

**

3/18/2020

89,155

USD

479,583

CLP

360,072,000

CITI

**

3/18/2020

317

USD

479,582

CLP

360,072,000

JPMC

**

3/18/2020

316

USD

1,347,146

GBP

1,001,500

CITI

3/18/2020

17,807

USD

1,347,145

GBP

1,001,500

JPMC

3/18/2020

17,805

USD

508,896

ILS

1,747,688

CITI

3/18/2020

736

USD

508,895

ILS

1,747,686

JPMC

3/18/2020

736

USD

48,852

INR

3,497,000

CITI

**

3/18/2020

133

USD

48,852

INR

3,497,000

JPMC

**

3/18/2020

133

USD

1,226,302

JPY

132,290,080

CITI

3/18/2020

3,551

USD

1,226,300

JPY

132,290,080

JPMC

3/18/2020

3,550

USD

162,230

MXN

3,093,000

CITI

3/18/2020

464

USD

162,230

MXN

3,093,000

JPMC

3/18/2020

464

USD

152,233

PHP

7,731,000

CITI

**

3/18/2020

110

USD

152,233

PHP

7,731,000

JPMC

**

3/18/2020

110

USD

204,926

SEK

1,904,500

CITI

3/18/2020

853

USD

204,926

SEK

1,904,500

JPMC

3/18/2020

853

158

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

93,296,505

USD

6,321,072

CITI

3/18/2020

$

274,341

ZAR

93,296,498

USD

6,321,080

JPMC

3/18/2020

274,334

Total

unrealized

appreciation

9,176,878

CLP

241,406,000

USD

323,780

CITI

**

3/18/2020

(2,462)

CLP

241,406,000

USD

323,781

JPMC

**

3/18/2020

(2,462)

COP

5,712,000

USD

1,737

CITI

**

3/18/2020

(6)

COP

5,712,000

USD

1,737

JPMC

**

3/18/2020

(6)

HUF

91,289,000

USD

312,021

CITI

3/18/2020

(1,462)

HUF

91,289,000

USD

312,021

JPMC

3/18/2020

(1,462)

ILS

589,498

USD

171,640

CITI

3/18/2020

(236)

ILS

589,500

USD

171,641

JPMC

3/18/2020

(237)

INR

5,004,500

USD

70,093

CITI

**

3/18/2020

(373)

INR

5,004,500

USD

70,093

JPMC

**

3/18/2020

(373)

JPY

646,877,996

USD

5,994,954

CITI

3/18/2020

(15,896)

JPY

646,878,000

USD

5,994,962

JPMC

3/18/2020

(15,906)

NZD

298,000

USD

200,970

CITI

3/18/2020

(138)

NZD

298,000

USD

200,970

JPMC

3/18/2020

(138)

SEK

655,500

USD

70,529

CITI

3/18/2020

(290)

SEK

655,500

USD

70,529

JPMC

3/18/2020

(290)

USD

17,131,082

AUD

25,069,502

CITI

3/18/2020

(494,218)

USD

17,131,058

AUD

25,069,498

JPMC

3/18/2020

(494,240)

USD

18,693,973

BRL

78,665,004

CITI

**

3/18/2020

(800,860)

USD

18,693,948

BRL

78,664,996

JPMC

**

3/18/2020

(800,883)

USD

8,385,495

CAD

11,084,496

CITI

3/18/2020

(152,830)

USD

8,362,674

CAD

11,054,503

JPMC

3/18/2020

(152,547)

USD

28,271,327

CHF

27,838,996

CITI

3/18/2020

(648,210)

USD

28,271,300

CHF

27,839,004

JPMC

3/18/2020

(648,246)

USD

4,764,507

CLP

3,725,861,961

CITI

**

3/18/2020

(194,715)

USD

4,764,502

CLP

3,725,861,959

JPMC

**

3/18/2020

(194,721)

USD

299,311

CNY

2,115,000

CITI

**

3/18/2020

(3,992)

USD

299,311

CNY

2,115,000

JPMC

**

3/18/2020

(3,992)

USD

148,485

COP

522,405,708

CITI

**

3/18/2020

(9,867)

USD

148,485

COP

522,405,716

JPMC

**

3/18/2020

(9,867)

USD

33,025,163

EUR

29,587,006

CITI

3/18/2020

(319,391)

USD

33,025,114

EUR

29,586,999

JPMC

3/18/2020

(319,433)

USD

11,141,040

GBP

8,566,489

CITI

3/18/2020

(229,667)

USD

11,130,499

GBP

8,558,511

JPMC

3/18/2020

(229,617)

USD

187,232

HKD

1,466,000

CITI

3/18/2020

(789)

USD

187,232

HKD

1,466,000

JPMC

3/18/2020

(789)

USD

8,215,555

HUF

2,470,717,488

CITI

3/18/2020

(189,658)

USD

8,215,545

HUF

2,470,717,496

JPMC

3/18/2020

(189,668)

USD

960,474

IDR

13,649,164,000

CITI

**

3/18/2020

(20,136)

USD

960,473

IDR

13,649,164,000

JPMC

**

3/18/2020

(20,138)

USD

5,541,599

ILS

19,171,816

CITI

3/18/2020

(32,824)

USD

5,540,869

ILS

19,171,811

JPMC

3/18/2020

(33,553)

USD

169,262

INR

12,193,000

CITI

**

3/18/2020

(604)

USD

169,262

INR

12,193,000

JPMC

**

3/18/2020

(605)

USD

10,010,253

JPY

1,088,826,578

CITI

3/18/2020

(53,711)

USD

10,010,241

JPY

1,088,826,586

JPMC

3/18/2020

(53,724)

USD

22,471,411

KRW

26,498,853,664

CITI

**

3/18/2020

(499,624)

USD

22,471,383

KRW

26,498,853,689

JPMC

**

3/18/2020

(499,652)

USD

4,189,275

MXN

82,140,500

CITI

3/18/2020

(106,719)

USD

4,189,270

MXN

82,140,500

JPMC

3/18/2020

(106,725)

USD

3,393,589

NOK

31,093,004

CITI

3/18/2020

(148,835)

USD

3,393,584

NOK

31,092,997

JPMC

3/18/2020

(148,839)

USD

12,372,622

NZD

19,266,003

CITI

3/18/2020

(611,364)

USD

12,372,604

NZD

19,266,000

JPMC

3/18/2020

(611,377)

USD

58,290

PHP

2,973,500

CITI

**

3/18/2020

(218)

159

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

58,290

PHP

2,973,500

JPMC

**

3/18/2020

$

(218)

USD

2,131,719

PLN

8,229,001

CITI

3/18/2020

(37,696)

USD

2,131,715

PLN

8,228,999

JPMC

3/18/2020

(37,698)

USD

21,095,768

SEK

201,531,995

CITI

3/18/2020

(498,961)

USD

21,095,742

SEK

201,532,003

JPMC

3/18/2020

(498,987)

USD

529,387

SGD

721,001

CITI

3/18/2020

(7,084)

USD

529,385

SGD

720,999

JPMC

3/18/2020

(7,085)

USD

41,800

THB

1,263,500

CITI

3/18/2020

(457)

USD

41,800

THB

1,263,500

JPMC

3/18/2020

(457)

USD

1,692,463

TWD

51,141,997

CITI

**

3/18/2020

(27,162)

USD

1,692,459

TWD

51,142,003

JPMC

**

3/18/2020

(27,166)

USD

1,724,980

ZAR

25,700,000

CITI

3/18/2020

(91,831)

USD

1,724,977

ZAR

25,700,000

JPMC

3/18/2020

(91,833)

Total

unrealized

depreciation

(10,405,220)

Net

unrealized

depreciation

$

(1,228,342)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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.

57-65

months

maturity

07/11/2024

$776,414

$1,719

$(73,358)

$(71,639)

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

(-1.50%

to

1.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-25

months

maturity

ranging

from

09/25/2020

-

12/29/2021

$2,020,918

$62,531

$(916)

$61,615

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.

24

months

maturity

09/25/2020

$481,160

$(53,704)

$(1,723)

$(55,427)

160

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.05%

to

0.07%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/13/2023

-

11/13/2024

$2,690,162

$(312,378)

$(108,867)

$(421,245)

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

(-0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

02/09/2024

$56

$(5)

$56,683

$56,678

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

(-1.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-18

months

maturity

01/14/2021

$2,212,080

$(15,569)

$(6,533)

$(22,102)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(0.40%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-13

months

maturity

ranging

from

11/11/2020

-

01/06/2021

$1,161,373

$23,172

$(1,082)

$22,090

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EUR/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.30%

to

0.02%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

97

months

maturity

12/21/2020

$35,036,480

$(1,130,606)

$(301,178)

$(1,431,784)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

161

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Aeroports

de

Paris

2,071

410,045

(16,573)

1.2

Amundi

SA

11,054

869,248

185,010

(12.9)

BioMerieux

3,345

298,221

13,367

(0.9)

Bouygues

SA

5,882

250,732

19,882

(1.4)

Bureau

Veritas

SA

15,467

404,337

23,295

(1.6)

Carrefour

SA

27,465

461,925

(58,845)

4.1

Cie

Generale

des

Etablissements

Michelin

SCA

4,997

614,926

53,379

(3.7)

CNP

Assurances

39,565

788,339

(27,937)

2.0

Dassault

Systemes

SE

5,122

844,748

44,869

(3.1)

Electricite

de

France

SA

43,186

481,881

(99,647)

7.0

Engie

SA

41,838

677,706

30,823

(2.2)

Eutelsat

Communications

SA

38,577

628,565

(83,452)

5.8

Ipsen

SA

3,021

268,164

(100,971)

7.1

Kering

SA

1,586

1,045,039

141,983

(9.9)

Korian

SA

7,756

365,612

56,120

(3.9)

Natixis

SA

131,948

587,765

45,676

(3.2)

Orange

SA

79,723

1,171,626

(77,271)

5.4

Peugeot

SA

83,376

2,007,458

60,561

(4.2)

Sanofi

5,902

592,723

91,665

(6.4)

SCOR

SE

8,444

355,457

(4,742)

0.3

Suez

23,789

360,481

20,489

(1.4)

Teleperformance

3,512

858,044

247,723

(17.3)

Ubisoft

Entertainment

SA

3,383

234,385

16,539

(1.2)

Veolia

Environnement

SA

21,971

584,612

49,950

(3.5)

Vivendi

SA

15,126

438,012

21,953

(1.5)

Luxembourg

SES

SA

51,328

721,448

(84,915)

5.9

Short

Positions

Common

Stocks

France

Accor

SA

(8,598)

(403,580)

(40,577)

2.8

Air

France-KLM

(84,730)

(945,240)

21,414

(1.5)

Altran

Technologies

SA

(20,452)

(325,863)

(142,724)

10.0

AXA

SA

(20,970)

(592,534)

(37,681)

2.6

Bollore

SA

(111,856)

(488,801)

(98,118)

6.9

Cie

Plastic

Omnium

SA

(15,828)

(444,463)

(40,403)

2.8

Credit

Agricole

SA

(36,235)

(527,268)

4,492

(0.3)

Edenred

(10,092)

(523,013)

(80,112)

5.6

Elior

Group

SA

(27,020)

(398,021)

(36,601)

2.6

EssilorLuxottica

SA

(12,270)

(1,875,857)

(391,173)

27.3

Getlink

SE

(38,708)

(674,869)

(229,021)

16.0

Iliad

SA

(8,644)

(1,124,343)

(92,953)

6.5

Imerys

SA

(5,369)

(227,903)

23,623

(1.6)

Ingenico

Group

SA

(4,022)

(437,506)

(139,577)

9.7

JCDecaux

SA

(28,609)

(883,960)

89,230

(6.2)

Pernod

Ricard

SA

(1,188)

(212,578)

(2,442)

0.2

Publicis

Groupe

SA

(4,477)

(202,994)

35,471

(2.5)

Remy

Cointreau

SA

(16,466)

(2,023,702)

(607,467)

42.4

Renault

SA

(19,709)

(935,930)

104,008

(7.3)

Sartorius

Stedim

Biotech

(1,512)

(250,973)

(40,197)

2.8

Societe

BIC

SA

(13,275)

(923,824)

100,964

(7.1)

162

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Valeo

SA

(7,410)

(262,635)

(30,367)

2.1

Worldline

SA

(9,125)

(646,880)

(2,432)

0.2

Luxembourg

Eurofins

Scientific

SE

(1,231)

(683,860)

(95,705)

6.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.30%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

97

months

maturity

12/21/2020

$90,314,830

$(1,281,079)

$142,980

$(1,138,099)

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

BHP

Group

plc

75,593

1,771,440

(30,306)

2.7

Rio

Tinto

plc

21,925

1,297,850

96,524

(8.5)

Netherlands

Royal

Dutch

Shell

plc

53,534

1,585,368

(37,550)

3.3

Russia

Evraz

plc

290,858

1,557,492

(318,198)

28.0

South

Africa

Anglo

American

plc

32,991

947,764

91,795

(8.1)

Investec

plc

171,878

1,010,088

(259,917)

22.8

Switzerland

Coca-Cola

HBC

AG

34,264

1,164,633

(64,217)

5.6

Glencore

plc

365,564

1,138,264

(46,027)

4.0

IWG

plc

210,238

1,217,540

571,811

(50.2)

United

Kingdom

Barclays

plc

302,579

721,492

113,047

(9.9)

Barratt

Developments

plc

101,139

1,001,422

149,881

(13.2)

Bellway

plc

26,327

1,328,792

279,104

(24.5)

BT

Group

plc

818,124

2,084,736

(77,486)

6.8

Close

Brothers

Group

plc

85,059

1,801,552

145,206

(12.8)

Direct

Line

Insurance

Group

plc

177,386

733,944

(23,389)

2.1

Dixons

Carphone

plc

736,217

1,405,699

(436,908)

38.4

Drax

Group

plc

354,537

1,474,127

(289,838)

25.5

Hays

plc

356,576

857,575

57,605

(5.1)

Inchcape

plc

191,232

1,789,133

59,656

(5.2)

163

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Intermediate

Capital

Group

plc

78,055

1,664,831

829,145

(72.9)

Man

Group

plc

584,463

1,224,076

(89,071)

7.8

Meggitt

plc

88,579

771,520

118,488

(10.4)

Moneysupermarket.com

Group

plc

203,214

892,076

111,618

(9.8)

Standard

Life

Aberdeen

plc

166,162

722,909

54,860

(4.8)

Tate

&

Lyle

plc

193,254

1,947,196

147,189

(12.9)

Taylor

Wimpey

plc

422,092

1,082,275

90,834

(8.0)

William

Hill

plc

350,940

877,904

(252,992)

22.2

Short

Positions

Common

Stocks

Germany

TUI

AG

(61,963)

(781,990)

(116,959)

10.3

United

Arab

Emirates

NMC

Health

plc

(48,161)

(1,128,382)

538,205

(47.3)

United

Kingdom

Admiral

Group

plc

(39,184)

(1,197,399)

(107,998)

9.5

Aggreko

plc

(107,561)

(1,187,786)

22,124

(1.9)

Babcock

International

Group

plc

(193,626)

(1,615,799)

82,382

(7.2)

Capita

plc

(573,911)

(1,249,968)

(360,368)

31.7

easyJet

plc

(98,202)

(1,849,817)

(555,489)

48.8

Hargreaves

Lansdown

plc

(107,589)

(2,759,789)

(891,466)

78.3

John

Wood

Group

plc

(314,794)

(1,669,576)

668,191

(58.7)

Jupiter

Fund

Management

plc

(189,391)

(1,028,540)

(187,668)

16.5

Legal

&

General

Group

plc

(239,876)

(963,596)

(213,673)

18.8

Micro

Focus

International

plc

(50,134)

(703,662)

261,823

(23.0)

Ocado

Group

plc

(69,518)

(1,179,513)

(25,890)

2.3

Pearson

plc

(155,552)

(1,314,119)

264,092

(23.2)

Prudential

plc

(74,402)

(1,425,590)

(179,127)

15.7

Rightmove

plc

(105,003)

(881,096)

(238,617)

21.0

Rotork

plc

(171,071)

(760,464)

(189,554)

16.7

Schroders

plc

(20,671)

(912,752)

(49,695)

4.4

Severn

Trent

plc

(58,246)

(1,941,963)

(393,951)

34.6

SSE

plc

(41,890)

(798,936)

(221,124)

19.4

St

James's

Place

plc

(144,182)

(2,222,529)

(295,610)

26.0

Weir

Group

plc

(The)

(64,334)

(1,286,679)

174,432

(15.3)

Wm

Morrison

Supermarkets

plc

(288,305)

(763,478)

(26,574)

2.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

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

(0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

11/05/2024

$3,554,609

$(45,397)

$(635)

$(46,032)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

164

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Keihin

Corp.

77,400

1,807,694

(27,084)

58.8

Showa

Corp.

84,300

1,746,915

(18,313)

39.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

or

HONIX

plus

or

minus

a

specified

spread

(-2.18%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/13/2023

-

11/29/2024

$48,094,019

$(1,411,483)

$(918,078)

$(2,329,561)

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

AAC

Technologies

Holdings,

Inc.

62,000

541,259

204,444

(8.8)

Anhui

Conch

Cement

Co.

Ltd.

103,000

750,471

110,721

(4.8)

ANTA

Sports

Products

Ltd.

51,000

456,613

109,554

(4.7)

BAIC

Motor

Corp.

Ltd.

1,334,000

758,014

(37,833)

1.6

Beijing

Capital

International

Airport

Co.

Ltd.

1,110,000

1,075,201

(8,412)

0.4

Beijing

Enterprises

Holdings

Ltd.

154,500

708,934

(126,019)

5.4

China

CITIC

Bank

Corp.

Ltd.

916,000

549,239

20,584

(0.9)

China

Communications

Services

Corp.

Ltd.

920,000

670,665

5,424

(0.2)

China

Medical

System

Holdings

Ltd.

510,000

734,093

229,147

(9.8)

China

Mobile

Ltd.

84,000

709,788

(176,322)

7.6

China

National

Building

Material

Co.

Ltd.

538,000

600,206

105,916

(4.5)

China

Resources

Cement

Holdings

Ltd.

356,000

453,180

71,486

(3.1)

China

Resources

Power

Holdings

Co.

Ltd.

446,000

626,226

(140,068)

6.0

China

Telecom

Corp.

Ltd.

1,082,000

445,772

(104,197)

4.5

CITIC

Ltd.

736,000

982,353

(120,560)

5.2

CSPC

Pharmaceutical

Group

Ltd.

210,000

501,144

167,780

(7.2)

Far

East

Horizon

Ltd.

1,077,000

1,009,187

(96,363)

4.1

Kunlun

Energy

Co.

Ltd.

610,000

538,898

9,444

(0.4)

Li

Ning

Co.

Ltd.

268,500

805,308

(18,127)

0.8

New

China

Life

Insurance

Co.

Ltd.

131,500

565,332

(110,344)

4.7

Nexteer

Automotive

Group

Ltd.

529,000

479,481

(211,322)

9.1

PICC

Property

&

Casualty

Co.

Ltd.

540,999

652,076

69,685

(3.0)

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.

576,000

690,191

192,616

(8.3)

Sinopec

Engineering

Group

Co.

Ltd.

1,138,500

681,429

(468,498)

20.1

Sinotruk

Hong

Kong

Ltd.

235,000

501,557

71,938

(3.1)

Uni

-President

China

Holdings

Ltd.

838,000

880,380

26,728

(1.1)

165

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

China

(continued)

Weichai

Power

Co.

Ltd.

342,000

721,868

195,472

(8.4)

Zhejiang

Expressway

Co.

Ltd.

736,000

670,996

(26,864)

1.2

Hong

Kong

Haier

Electronics

Group

Co.

Ltd.

275,000

859,193

66,662

(2.9)

Kingboard

Laminates

Holdings

Ltd.

377,000

467,316

79,404

(3.4)

Short

Positions

Common

Stocks

China

BBMG

Corp.

(3,527,000)

(1,082,354)

34,664

(1.5)

Brilliance

China

Automotive

Holdings

Ltd.

(596,000)

(618,562)

73,686

(3.2)

CGN

Power

Co.

Ltd.

(2,592,000)

(692,199)

(16,539)

0.7

China

Gas

Holdings

Ltd.

(263,200)

(985,477)

(66,940)

2.9

China

International

Capital

Corp.

Ltd.

(376,000)

(724,953)

(70,381)

3.0

China

Merchants

Bank

Co.

Ltd.

(153,000)

(786,593)

(175,492)

7.5

China

Molybdenum

Co.

Ltd.

(2,088,000)

(895,883)

(95,317)

4.1

China

Southern

Airlines

Co.

Ltd.

(1,204,000)

(809,545)

132,981

(5.7)

China

State

Construction

International

Holdings

Ltd.

(620,000)

(562,908)

62,639

(2.7)

China

Tower

Corp.

Ltd.

(3,008,000)

(664,558)

130,132

(5.6)

CITIC

Securities

Co.

Ltd.

(342,000)

(780,249)

(131,866)

5.7

COSCO

SHIPPING

Energy

Transportation

Co.

Ltd.

(968,000)

(457,203)

65,617

(2.8)

Guangzhou

Automobile

Group

Co.

Ltd.

(998,000)

(1,242,503)

(189,258)

8.1

Huatai

Securities

Co.

Ltd.

(672,400)

(1,189,223)

(39,761)

1.7

Ping

An

Insurance

Group

Co.

of

China

Ltd.

(104,000)

(1,230,681)

(272,657)

11.7

Postal

Savings

Bank

of

China

Co.

Ltd.

(714,000)

(485,582)

(14,021)

0.6

Shanghai

Fosun

Pharmaceutical

Group

Co.

Ltd.

(204,500)

(617,172)

15,284

(0.7)

Xiaomi

Corp.

(767,400)

(1,062,754)

(131,613)

5.6

Yanzhou

Coal

Mining

Co.

Ltd.

(678,000)

(609,144)

(34,989)

1.5

Zhaojin

Mining

Industry

Co.

Ltd.

(459,500)

(504,077)

(57,334)

2.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.07%

to

0.05%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/12/2023

-

09/09/2024

$3,491,043

$(198,928)

$(36,238)

$(235,166)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

166

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Mexico

Alfa

SAB

de

CV

299,900

248,707

(119,572)

50.8

Arca

Continental

SAB

de

CV

179,500

949,169

(119,535)

50.8

Gruma

SAB

de

CV

78,595

806,963

(132,753)

56.5

Grupo

Mexico

SAB

de

CV

99,900

274,008

31,325

(13.3)

Kimberly-Clark

de

Mexico

SAB

de

CV

59,000

117,017

(8,169)

3.5

Short

Positions

Common

Stocks

Mexico

Alsea

SAB

de

CV

(73,900)

(194,761)

2,625

(1.1)

El

Puerto

de

Liverpool

SAB

de

CV

(57,940)

(287,808)

124,107

(52.8)

Industrias

Penoles

SAB

de

CV

(32,415)

(339,811)

64,913

(27.6)

Infraestructura

Energetica

Nova

SAB

de

CV

(58,000)

(272,799)

(41,869)

17.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-3.00%

to

0.08%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

52-61

months

maturity

ranging

from

04/12/2023

-

01/02/2025

$246,430,096

$(881,349)

$(1,372,980)

$(2,254,329)

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

South

Korea

Kia

Motors

Corp.

32,757

1,251,007

250,659

(11.1)

United

States

Alcoa

Corp.

70,847

1,523,919

(2,835)

0.1

Alkermes

plc

77,246

1,575,818

(647,764)

28.7

Ashland

Global

Holdings,

Inc.

19,136

1,464,478

12,039

(0.5)

Axis

Capital

Holdings

Ltd.

34,879

2,073,208

125,849

(5.6)

Biogen,

Inc.

5,518

1,637,356

321,422

(14.3)

Bunge

Ltd.

52,642

3,029,547

126,092

(5.6)

Cabot

Corp.

43,645

2,074,010

(508,463)

22.6

CF

Industries

Holdings,

Inc.

28,188

1,345,695

43,162

(1.9)

Charles

River

Laboratories

International,

Inc.

8,328

1,272,185

72,614

(3.2)

ConocoPhillips

20,922

1,360,558

(178,403)

7.9

First

American

Financial

Corp.

23,577

1,375,011

201,668

(8.9)

167

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Gilead

Sciences,

Inc.

21,786

1,415,654

(11,405)

0.5

Hanover

Insurance

Group,

Inc.

(The)

12,155

1,661,224

206,471

(9.2)

Huntsman

Corp.

98,837

2,387,902

130,002

(5.8)

Incyte

Corp.

19,159

1,672,964

75,740

(3.4)

JBS

SA

199,000

1,276,307

126,324

(5.6)

Lancaster

Colony

Corp.

8,287

1,326,749

165,866

(7.4)

Monster

Beverage

Corp.

20,201

1,283,774

85,599

(3.8)

Oceaneering

International,

Inc.

87,165

1,299,630

(252,542)

11.2

Phillips

66

11,879

1,323,439

123,104

(5.5)

Progressive

Corp.

(The)

17,997

1,302,803

(92,745)

4.1

Reliance

Steel

&

Aluminum

Co.

13,812

1,654,125

400,701

(17.8)

Tyson

Foods,

Inc.

21,861

1,990,225

459,059

(20.4)

Willis

Towers

Watson

plc

9,247

1,867,339

236,555

(10.5)

World

Fuel

Services

Corp.

61,995

2,691,823

1,341,610

(59.5)

WR

Grace

&

Co.

30,279

2,114,988

(165,802)

7.4

Short

Positions

Common

Stocks

South

Korea

CJ

Logistics

Corp.

(9,587)

(1,282,957)

(42,298)

1.9

Lotte

Corp.

(38,776)

(1,303,321)

545,773

(24.2)

S-Oil

Corp.

(15,457)

(1,269,512)

(69,704)

3.1

United

States

Albemarle

Corp.

(31,412)

(2,294,332)

152,754

(6.8)

Amcor

plc

(280,465)

(3,040,241)

(302,531)

13.4

BioMarin

Pharmaceutical,

Inc.

(17,704)

(1,496,873)

(42,393)

1.9

Bio-

Techne

Corp.

(8,128)

(1,784,177)

(475,796)

21.1

Brown-Forman

Corp.

(29,993)

(2,027,527)

(491,836)

21.8

Chemours

Co.

(The)

(105,544)

(1,909,291)

340,242

(15.1)

Chubb

Ltd.

(9,038)

(1,406,855)

(126,711)

5.6

Compass

Minerals

International,

Inc.

(31,919)

(1,945,782)

92,377

(4.1)

Conagra

Brands,

Inc.

(72,933)

(2,497,226)

(520,699)

23.1

Hain

Celestial

Group,

Inc.

(The)

(65,875)

(1,709,786)

(243,494)

10.8

Hormel

Foods

Corp.

(33,182)

(1,496,840)

(157,353)

7.0

International

Flavors

&

Fragrances,

Inc.

(32,035)

(4,133,156)

(123,973)

5.5

Matador

Resources

Co.

(77,389)

(1,390,680)

104,668

(4.6)

Nektar

Therapeutics

(66,852)

(1,443,000)

(292,257)

13.0

ONEOK,

Inc.

(19,799)

(1,498,190)

(167,769)

7.4

Prestige

Consumer

Healthcare,

Inc.

(47,251)

(1,913,666)

(256,904)

11.4

Principal

Financial

Group,

Inc.

(44,424)

(2,443,320)

(221,130)

9.8

Sensient

Technologies

Corp.

(21,242)

(1,403,884)

(70,854)

3.1

Waters

Corp.

(8,494)

(1,984,623)

(182,515)

8.1

WR

Berkley

Corp.

(38,145)

(2,635,820)

(695,297)

30.8

168

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.05%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/14/2023

-

12/02/2024

$6,298,165

$96,839

$(370,036)

$(273,197)

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

South

Africa

Absa

Group

Ltd.

7,645

81,557

(798)

0.3

Anglo

American

Platinum

Ltd.

5,131

477,875

197,140

(72.2)

Aspen

Pharmacare

Holdings

Ltd.

3,899

33,252

7,277

(2.7)

Exxaro

Resources

Ltd.

3,553

33,213

(1,916)

0.7

Foschini

Group

Ltd.

(The)

36,041

384,972

(15,634)

5.7

Investec

Ltd.

72,556

430,199

(4,978)

1.8

Momentum

Metropolitan

Holdings

121,842

190,056

39,192

(14.3)

Mr

Price

Group

Ltd.

7,223

94,301

6,415

(2.3)

MultiChoice

Group

26,824

223,478

(14,793)

5.4

Netcare

Ltd.

225,273

313,135

62,499

(22.9)

Pick

n

Pay

Stores

Ltd.

35,929

163,950

(21,969)

8.0

RMB

Holdings

Ltd.

12,785

73,536

(1,291)

0.5

Truworths

International

Ltd.

60,371

212,455

(79,585)

29.1

Short

Positions

Common

Stocks

South

Africa

Bidvest

Group

Ltd.

(The)

(6,051)

(88,460)

(6,867)

2.5

Clicks

Group

Ltd.

(38,233)

(701,021)

(152,947)

56.0

Discovery

Ltd.

(38,123)

(328,593)

102,181

(37.4)

MTN

Group

Ltd.

(43,773)

(258,048)

3,139

(1.1)

Nedbank

Group

Ltd.

(1,763)

(26,995)

983

(0.4)

Old

Mutual

Ltd.

(184,910)

(259,510)

3,587

(1.3)

PSG

Group

Ltd.

(27,881)

(466,572)

(30,238)

11.1

Sanlam

Ltd.

(91,445)

(516,653)

(20,448)

7.5

Sasol

Ltd.

(15,099)

(327,582)

(36,331)

13.3

Tiger

Brands

Ltd.

(3,919)

(58,991)

(701)

0.3

Vodacom

Group

Ltd.

(67,222)

(553,761)

62,922

(23.0)

169

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$14,530,275

$(478,529)

$(72,761)

$(551,290)

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

12,155

493,468

(70,006)

12.7

Switzerland

Adecco

Group

AG

(Registered)

2,448

154,768

17,594

(3.2)

Alcon,

Inc.

2,323

131,601

(9,616)

1.7

Baloise

Holding

AG

(Registered)

1,075

194,559

18,849

(3.4)

Clariant

AG

(Registered)

4,454

99,540

11,786

(2.1)

Flughafen

Zurich

AG

(Registered)

4,147

756,951

(195,522)

35.5

Helvetia

Holding

AG

(Registered)

8,305

1,173,074

227,071

(41.2)

LafargeHolcim

Ltd.

(Registered)

5,109

283,434

22,043

(4.0)

Nestle

SA

(Registered)

286

30,964

(2,126)

0.4

Novartis

AG

(Registered)

9,241

875,027

52,434

(9.5)

OC

Oerlikon

Corp.

AG

(Registered)

4,672

54,750

(507)

0.1

Roche

Holding

AG

3,673

1,193,735

153,240

(27.8)

Sonova

Holding

AG

(Registered)

5,690

1,300,783

107,894

(19.6)

Sunrise

Communications

Group

AG

5,472

429,895

(30,138)

5.5

Swiss

Life

Holding

AG

(Registered)

1,156

579,931

60,874

(11.0)

Zurich

Insurance

Group

AG

435

178,437

24,173

(4.4)

Short

Positions

Common

Stocks

Switzerland

Barry

Callebaut

AG

(Registered)

(18)

(39,735)

(2,081)

0.4

Bucher

Industries

AG

(Registered)

(128)

(44,923)

(2,620)

0.5

Chocoladefabriken

Lindt

&

Spruengli

AG

(37)

(287,093)

(72,927)

13.2

Cie

Financiere

Richemont

SA

(Registered)

(6,844)

(534,865)

17,323

(3.1)

DKSH

Holding

AG

(4,549)

(247,334)

(22,807)

4.1

dormakaba

Holding

AG

(40)

(28,635)

1,588

(0.3)

Dufry

AG

(Registered)

(589)

(58,406)

(8,251)

1.5

EMS-

Chemie

Holding

AG

(Registered)

(121)

(79,550)

(3,543)

0.6

Idorsia

Ltd.

(1,253)

(38,742)

(15,044)

2.7

Julius

Baer

Group

Ltd.

(1,971)

(101,611)

(11,147)

2.0

Kuehne

+

Nagel

International

AG

(Registered)

(2,922)

(492,844)

(58,375)

10.6

Schindler

Holding

AG

(252)

(64,084)

(1,631)

0.3

Sika

AG

(Registered)

(3,597)

(675,501)

(73,852)

13.4

Straumann

Holding

AG

(Registered)

(1,187)

(1,164,366)

(319,270)

57.9

170

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Swatch

Group

AG

(The)

(1,247)

(348,169)

8,446

(1.5)

Swisscom

AG

(Registered)

(195)

(103,228)

(2,252)

0.4

Temenos

AG

(Registered)

(4,402)

(696,349)

(25,827)

4.7

UBS

Group

AG

(Registered)

(21,181)

(267,291)

(17,597)

3.2

Vifor

Pharma

AG

(7,269)

(1,326,632)

(256,705)

46.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$9,911,292

$437,913

$2,046

$439,959

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

Carlsberg

A/S

2,287

341,303

8,443

1.9

Danske

Bank

A/S

40,211

650,546

85,069

19.3

Dfds

A/S

2,908

141,955

13,270

3.0

FLSmidth

&

Co.

A/S

1,565

62,410

(3,510)

(0.8)

Genmab

A/S

1,707

379,643

45,147

10.3

GN

Store

Nord

A/S

31,281

1,471,481

504,836

114.7

H

Lundbeck

A/S

28,484

1,088,958

(373,205)

(84.8)

Novo

Nordisk

A/S

6,868

397,993

59,524

13.5

Orsted

A/S

6,465

668,822

164,565

37.4

Rockwool

International

A/S

1,339

317,514

(62,571)

(14.2)

Tryg

A/S

553

16,401

(2,056)

(0.5)

Vestas

Wind

Systems

A/S

1,175

118,683

12,915

2.9

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(248)

(357,821)

(45,677)

(10.4)

Chr

Hansen

Holding

A/S

(8,035)

(638,742)

26,945

6.1

Demant

A/S

(48,635)

(1,531,705)

41,545

9.4

DSV

PANALPINA

A/S

(768)

(88,532)

193

0.0

ISS

A/S

(2,778)

(66,630)

5,841

1.3

Jyske

Bank

A/S

(Registered)

(6,730)

(245,581)

(2,961)

(0.7)

Novozymes

A/S

(8,468)

(414,484)

(27,535)

(6.3)

Pandora

A/S

(20,973)

(912,088)

(12,865)

(2.9)

171

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-6.90%

to

0.70%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$84,521,469

$340,313

$(372,184)

$(31,871)

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

Telenet

Group

Holding

NV

15,282

686,973

(110,258)

346.0

Finland

Kesko

OYJ

22,594

1,599,293

395,446

(1240.8)

Germany

adidas

AG

2,964

964,835

66,734

(209.4)

Bayer

AG

(Registered)

14,029

1,140,511

46,870

(147.1)

Carl

Zeiss

Meditec

AG

10,866

1,381,390

438,849

(1377.0)

HUGO

BOSS

AG

17,537

848,864

11,926

(37.4)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

2,902

856,360

156,064

(489.7)

Rheinmetall

AG

11,189

1,282,953

(53,532)

168.0

Software

AG

34,329

1,195,252

(419,111)

1315.0

Suedzucker

AG

40,446

740,892

67,767

(212.6)

Talanx

AG

16,127

798,157

162,755

(510.7)

Volkswagen

AG

(Preference)

4,561

897,780

126,841

(398.0)

Italy

A2A

SpA

623,828

1,171,450

178,255

(559.3)

Enel

SpA

125,171

994,337

101,490

(318.4)

Eni

SpA

50,959

791,456

(58,328)

183.0

Ferrari

NV

6,169

1,024,274

(14,580)

45.7

Hera

SpA

171,973

753,249

217,204

(681.5)

Poste

Italiane

SpA

317,064

3,602,759

1,200,508

(3766.8)

Unipol

Gruppo

SpA

283,953

1,630,194

316,153

(992.0)

Netherlands

ASM

International

NV

8,816

995,083

345,133

(1082.9)

ASR

Nederland

NV

51,641

1,935,272

(36,709)

115.2

NN

Group

NV

22,354

849,962

(82,862)

260.0

Signify

NV

25,093

785,381

(108,786)

341.3

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

21,847

876,374

(9,183)

28.8

Iberdrola

SA

68,110

701,912

(1,326)

4.2

Red

Electrica

Corp.

SA

55,554

1,119,400

(55,095)

172.9

172

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Belgium

Umicore

SA

(21,695)

(1,057,284)

(337,443)

1058.8

Germany

1&1

Drillisch

AG

(26,726)

(682,572)

519,709

(1630.7)

Daimler

AG

(Registered)

(21,364)

(1,181,094)

98,773

(309.9)

Delivery

Hero

SE

(8,826)

(699,542)

(305,584)

958.8

Deutsche

Bank

AG

(Registered)

(169,421)

(1,312,762)

(21,560)

67.6

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(8,925)

(757,599)

(29,811)

93.5

FUCHS

PETROLUB

SE

(Preference)

(19,788)

(983,136)

1,053

(3.3)

GEA

Group

AG

(27,558)

(912,156)

130,010

(407.9)

Henkel

AG

&

Co.

KGaA

(Preference)

(7,690)

(794,381)

37,949

(119.1)

Sartorius

AG

(Preference)

(4,794)

(1,024,775)

(286,199)

898.0

thyssenkrupp

AG

(65,811)

(884,310)

23,998

(75.3)

United

Internet

AG

(Registered)

(34,407)

(1,126,804)

267,968

(840.8)

Zalando

SE

(17,976)

(906,533)

(207,967)

652.5

Italy

Banca

Generali

SpA

(30,627)

(995,647)

(233,147)

731.5

Prysmian

SpA

(28,229)

(681,426)

(120,552)

378.2

Recordati

SpA

(21,640)

(912,228)

(33,970)

106.6

Unione

di

Banche

Italiane

SpA

(268,427)

(877,450)

(64,248)

201.6

Luxembourg

ArcelorMittal

SA

(43,006)

(757,752)

(39,729)

124.7

Netherlands

Aegon

NV

(166,167)

(760,648)

(26,104)

81.9

Koninklijke

Vopak

NV

(33,380)

(1,813,882)

(551,809)

1731.4

SBM

Offshore

NV

(46,167)

(862,539)

(128,143)

402.1

Takeaway.com

NV

(7,808)

(721,743)

(87,596)

274.8

Spain

Bankia

SA

(452,130)

(968,078)

734,606

(2304.9)

Cellnex

Telecom

SA

(72,270)

(3,117,413)

(1,460,309)

4581.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-13.00%

to

0.70%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$205,701,855

$(9,524,904)

$(529,692)

$(10,054,596)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

173

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Aisin

Seiki

Co.

Ltd.

35,800

1,326,021

(66,911)

0.7

Alfresa

Holdings

Corp.

73,100

1,485,029

(128,311)

1.3

Hankyu

Hanshin

Holdings,

Inc.

35,400

1,514,259

245,157

(2.4)

Hikari

Tsushin,

Inc.

9,800

2,462,720

957,561

(9.5)

Hitachi

High-Technologies

Corp.

29,900

2,117,504

772,479

(7.7)

Hitachi

Ltd.

35,345

1,491,409

794,273

(7.9)

Hoya

Corp.

17,100

1,632,401

477,082

(4.7)

Ibiden

Co.

Ltd.

52,400

1,247,526

300,137

(3.0)

Japan

Airlines

Co.

Ltd.

80,300

2,500,211

(558,396)

5.6

Kamigumi

Co.

Ltd.

83,000

1,824,496

39,351

(0.4)

Mazda

Motor

Corp.

147,000

1,252,651

(264,577)

2.6

Obayashi

Corp.

164,125

1,822,881

81,768

(0.8)

Sekisui

Chemical

Co.

Ltd.

83,100

1,441,777

50,846

(0.5)

Shinsei

Bank

Ltd.

91,000

1,388,405

82,520

(0.8)

Sojitz

Corp.

672,800

2,168,500

(375,306)

3.7

Sony

Corp.

20,900

1,419,062

372,121

(3.7)

Stanley

Electric

Co.

Ltd.

49,400

1,426,734

(340,097)

3.4

Sumitomo

Mitsui

Trust

Holdings,

Inc.

43,000

1,699,831

170,340

(1.7)

Sundrug

Co.

Ltd.

41,600

1,505,170

(158,176)

1.6

Taiheiyo

Cement

Corp.

48,500

1,423,626

(198,662)

2.0

Toyo

Seikan

Group

Holdings

Ltd.

78,900

1,358,200

(89,040)

0.9

Toyo

Suisan

Kaisha

Ltd.

34,000

1,443,837

149,543

(1.5)

Toyoda

Gosei

Co.

Ltd.

49,500

1,235,985

113,812

(1.1)

Toyota

Boshoku

Corp.

81,900

1,315,070

(308,042)

3.1

Short

Positions

Common

Stocks

Japan

Acom

Co.

Ltd.

(326,230)

(1,480,159)

(189,426)

1.9

Calbee

,

Inc.

(79,100)

(2,577,182)

20,955

(0.2)

Casio

Computer

Co.

Ltd.

(85,300)

(1,704,593)

(421,156)

4.2

Chugoku

Electric

Power

Co.,

Inc.

(The)

(99,500)

(1,307,939)

(211,263)

2.1

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(76,000)

(1,941,823)

104,115

(1.0)

Hirose

Electric

Co.

Ltd.

(9,600)

(1,227,183)

(244,310)

2.4

Hitachi

Metals

Ltd.

(111,000)

(1,633,889)

(316,810)

3.2

Japan

Airport

Terminal

Co.

Ltd.

(38,800)

(2,152,823)

(610,501)

6.1

Kakaku.com,

Inc.

(60,900)

(1,554,966)

(531,859)

5.3

Kansai

Paint

Co.

Ltd.

(150,300)

(3,671,698)

(442,554)

4.4

Kikkoman

Corp.

(34,284)

(1,678,366)

(227,426)

2.3

M3,

Inc.

(48,414)

(1,459,954)

(675,386)

6.7

NGK

Spark

Plug

Co.

Ltd.

(117,400)

(2,275,682)

474,062

(4.7)

Nippon

Paint

Holdings

Co.

Ltd.

(72,600)

(3,737,570)

(1,404,030)

14.0

Park24

Co.

Ltd.

(62,100)

(1,520,583)

(150,113)

1.5

Ricoh

Co.

Ltd.

(134,000)

(1,458,122)

(89,793)

0.9

Sawai

Pharmaceutical

Co.

Ltd.

(23,200)

(1,469,811)

(442,188)

4.4

Seven

Bank

Ltd.

(507,400)

(1,662,291)

3,994

(0.0)

Shimano,

Inc.

(9,300)

(1,508,748)

(207,143)

2.1

Sony

Financial

Holdings,

Inc.

(76,500)

(1,836,373)

(368,181)

3.7

Sumitomo

Metal

Mining

Co.

Ltd.

(37,800)

(1,217,160)

(26,928)

0.3

Suzuki

Motor

Corp.

(47,500)

(1,982,743)

50,744

(0.5)

Takeda

Pharmaceutical

Co.

Ltd.

(41,600)

(1,645,372)

(220,258)

2.2

Tsuruha

Holdings,

Inc.

(15,200)

(1,951,650)

(623,305)

6.2

Yamaha

Motor

Co.

Ltd.

(71,800)

(1,438,368)

36,739

(0.4)

174

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(46,100)

(1,736,633)

(299,753)

3.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$5,074,314

$(462,279)

$(83,654)

$(545,933)

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

Norway

DNB

ASA

3,895

72,887

2,952

(0.5)

Equinor

ASA

15,008

299,294

11,402

(2.1)

Gjensidige

Forsikring

ASA

11,729

246,203

14,696

(2.7)

Leroy

Seafood

Group

ASA

106,928

711,821

(31,293)

5.7

Norsk

Hydro

ASA

23,752

88,324

5,977

(1.1)

Orkla

ASA

21,791

220,979

4,905

(0.9)

Salmar

ASA

9,714

497,806

80,717

(14.8)

Telenor

ASA

22,904

410,570

(76,786)

14.1

Yara

International

ASA

2,188

91,160

(7,657)

1.4

Short

Positions

Common

Stocks

France

Adevinta

ASA

(13,204)

(156,854)

(150,139)

27.5

Norway

Mowi

ASA

(59,398)

(1,544,403)

(221,444)

40.6

Schibsted

ASA

(10,421)

(315,292)

(59,134)

10.8

United

Kingdom

Subsea

7

SA

(35,001)

(418,721)

(36,475)

6.7

175

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$10,353,120

$137,508

$28,315

$165,823

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

Sweden

AAK

AB

8,762

166,655

(13,700)

(8.3)

Boliden

AB

17,902

475,453

47,584

28.7

Electrolux

AB

23,752

583,904

(12,485)

(7.5)

Essity

AB

9,872

317,940

17,753

10.7

Getinge

AB

61,643

1,146,386

201,659

121.6

Holmen

AB

2,951

89,841

10,586

6.4

Sandvik

AB

22,231

433,001

94,388

56.9

Securitas

AB

5,867

101,084

11,216

6.8

Skanska

AB

12,773

288,946

67,449

40.7

SKF

AB

1,940

39,278

6,147

3.7

SSAB

AB

17,106

60,106

13,197

8.0

Swedish

Match

AB

18,917

974,542

46,832

28.2

Swedish

Orphan

Biovitrum

AB

15,021

248,985

(79,621)

(48.0)

Telefonaktiebolaget

LM

Ericsson

98,180

857,879

(48,048)

(29.0)

Volvo

AB

5,950

99,610

12,520

7.6

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(8,918)

(428,277)

92,043

55.5

Finland

Nordea

Bank

Abp

(56,626)

(458,115)

(76,826)

(46.3)

Sweden

Elekta

AB

(29,108)

(384,028)

10,030

6.0

Epiroc

AB

(13,396)

(163,823)

(39,963)

(24.1)

Hennes

&

Mauritz

AB

(33,868)

(690,824)

(119,413)

(72.0)

Hexagon

AB

(2,579)

(144,556)

(19,196)

(11.6)

Hexpol

AB

(37,407)

(367,618)

(74,856)

(45.1)

Husqvarna

AB

(58,629)

(469,835)

24,868

15.0

Svenska

Cellulosa

AB

SCA

(3,697)

(37,490)

(6,263)

(3.8)

Svenska

Handelsbanken

AB

(45,078)

(485,502)

(1,577)

(1.0)

Swedbank

AB

(31,244)

(464,473)

(11,936)

(7.2)

Tele2

AB

(10,926)

(158,580)

(1,531)

(0.9)

Telia

Co.

AB

(27,751)

(119,233)

8,742

5.3

176

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Trelleborg

AB

(5,397)

(97,156)

(22,091)

(13.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-7.58%

to

1.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-36

months

maturity

01/14/2021

$550,423,382

$(7,871,809)

$(1,030,822)

$(8,902,631)

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

Kingdom

Liberty

Global

plc

98,816

2,153,695

(102,708)

1.2

United

States

ALLETE,

Inc.

27,121

2,201,412

54,494

(0.6)

Altice

USA,

Inc.

76,892

2,102,227

167,387

(1.9)

American

Electric

Power

Co.,

Inc.

29,448

2,783,130

264,727

(3.0)

Armstrong

World

Industries,

Inc.

21,325

2,003,910

595,821

(6.7)

Brink's

Co.

(The)

24,714

2,241,066

319,191

(3.6)

Clean

Harbors,

Inc.

28,750

2,465,312

654,193

(7.3)

Cummins,

Inc.

13,071

2,339,186

285,346

(3.2)

Curtiss-Wright

Corp.

16,542

2,330,602

301,276

(3.4)

EMCOR

Group,

Inc.

25,167

2,171,912

256,362

(2.9)

Entergy

Corp.

23,509

2,816,378

503,032

(5.7)

Exelon

Corp.

72,297

3,296,020

(108,688)

1.2

First

Hawaiian,

Inc.

109,741

3,166,028

306,437

(3.4)

Flex

Ltd.

209,713

2,646,578

445,153

(5.0)

ITT,

Inc.

41,221

3,046,644

901,634

(10.1)

Jabil,

Inc.

92,195

3,810,419

1,183,567

(13.3)

M&T

Bank

Corp.

14,955

2,538,611

161,913

(1.8)

NorthWestern

Corp.

58,805

4,214,554

1,114,694

(12.5)

Oshkosh

Corp.

27,801

2,631,365

550,604

(6.2)

PNM

Resources,

Inc.

52,914

2,683,269

611,646

(6.9)

Popular,

Inc.

102,115

5,999,256

1,496,778

(16.8)

Signature

Bank

15,127

2,066,499

243,884

(2.7)

Spirit

AeroSystems

Holdings,

Inc.

31,160

2,270,941

(523,992)

5.9

Timken

Co.

(The)

54,625

3,075,934

659,607

(7.4)

Wintrust

Financial

Corp.

30,041

2,129,907

(411,940)

4.6

177

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Alliant

Energy

Corp.

(45,020)

(2,463,494)

(433,116)

4.9

Axon

Enterprise,

Inc.

(30,597)

(2,242,148)

(534,522)

6.0

BWX

Technologies,

Inc.

(88,440)

(5,490,355)

(1,238,509)

13.9

Carvana

Co.

(23,736)

(2,184,899)

(519,930)

5.8

Cognex

Corp.

(47,292)

(2,650,244)

(487,736)

5.5

Dominion

Energy,

Inc.

(43,049)

(3,565,318)

(303,852)

3.4

Energizer

Holdings,

Inc.

(48,158)

(2,418,495)

(255,424)

2.9

Eversource

Energy

(30,505)

(2,595,060)

(215,873)

2.4

First

Republic

Bank

(72,319)

(8,493,867)

(1,612,555)

18.1

Invesco

Ltd.

(130,811)

(2,351,982)

16,839

(0.2)

IPG

Photonics

Corp.

(23,029)

(3,337,363)

(281,894)

3.2

Middleby

Corp.

(The)

(23,208)

(2,541,740)

(154,892)

1.7

NextEra

Energy,

Inc.

(11,705)

(2,834,483)

(383,191)

4.3

PPL

Corp.

(85,314)

(3,061,066)

(685,108)

7.7

Premier,

Inc.

(72,714)

(2,754,406)

(422,489)

4.7

Rollins,

Inc.

(73,666)

(2,442,765)

(1,646,043)

18.5

Sempra

Energy

(13,326)

(2,018,622)

(439,851)

4.9

Sirius

XM

Holdings,

Inc.

(296,327)

(2,118,738)

(410,291)

4.6

TransDigm

Group,

Inc.

(5,603)

(3,137,680)

(789,941)

8.9

Trex

Co.,

Inc.

(23,898)

(2,147,952)

(493,176)

5.5

Trinity

Industries,

Inc.

(120,326)

(2,665,221)

(223,590)

2.5

Ubiquiti,

Inc.

(15,562)

(2,940,907)

(1,104,883)

12.4

Western

Alliance

Bancorp

(40,049)

(2,282,793)

(107,191)

1.2

Westinghouse

Air

Brake

Technologies

Corp.

(31,838)

(2,476,996)

(269,468)

3.0

Xcel

Energy,

Inc.

(33,824)

(2,147,486)

(126,606)

1.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

01/14/2021

$7,124,110

$16,431

$13,016

$29,447

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

Canada

Cineplex,

Inc.

28,400

740,318

(1,678)

(5.7)

Continental

Gold,

Inc.

100,355

413,461

(1,253)

(4.3)

Detour

Gold

Corp.

92,000

1,781,125

168,297

571.5

178

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Power

Financial

Corp.

45,000

1,210,812

(43,004)

(146.0)

Short

Positions

Common

Stocks

Canada

Kirkland

Lake

Gold

Ltd.

(39,956)

(1,761,258)

(140,144)

(475.9)

Power

Corp.

of

Canada

(47,250)

(1,217,136)

34,213

116.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-18

months

maturity

01/14/2021

$18,870,830

$(821,154)

$48,290

$(772,864)

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

United

Kingdom

Cobham

plc

2,898,944

6,304,773

134,822

(17.4)

Just

Eat

plc

73,274

810,692

63,939

(8.3)

Sophos

Group

plc

674,436

4,980,327

(132,255)

17.1

Short

Positions

Common

Stocks

Ireland

Flutter

Entertainment

plc

(55,404)

(6,775,038)

(887,660)

114.9

179

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.35%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-15

months

maturity

01/14/2021

$5,075,675

$107,476

$150

$107,626

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

Japan

Hitachi

Chemical

Co.

Ltd.

11,800

494,371

(2,574)

(2.4)

LINE

Corp.

60,000

2,947,935

100,018

92.9

Mitsubishi

Tanabe

Pharma

Corp.

59,600

1,093,367

(5,962)

(5.5)

Unizo

Holdings

Co.

Ltd.

11,500

540,002

15,994

14.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-5.18%

to

0.65%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-56

months

maturity

ranging

from

01/14/2021

-

07/03/2023

$161,616,343

$445,007

$(86,215)

$358,792

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

Stars

Group,

Inc.

(The)

245,916

6,415,948

1,365,247

380.5

Netherlands

InterXion

Holding

NV

24,000

2,011,440

(100,525)

(28.0)

United

States

Acacia

Communications,

Inc.

73,671

4,995,631

194,472

54.2

Achillion

Pharmaceuticals,

Inc.

177,826

1,072,291

(38,894)

(10.8)

Advanced

Disposal

Services,

Inc.

170,588

5,607,228

104,370

29.1

180

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Aircastle

Ltd.

13,500

432,135

(1,406)

(0.4)

Allergan

plc

30,136

5,761,099

748,918

208.7

Anixter

International,

Inc.

23,185

2,135,338

120,492

33.6

ArQule

,

Inc.

70,875

1,414,665

19,380

5.4

Audentes

Therapeutics,

Inc.

55,301

3,309,212

38,542

10.7

Caesars

Entertainment

Corp.

325,468

4,426,365

623,917

173.9

Cision

Ltd.

71,908

716,923

(4,163)

(1.2)

Continental

Building

Products,

Inc.

15,000

546,450

4,394

1.2

Cypress

Semiconductor

Corp.

238,638

5,567,425

268,685

74.9

El

Paso

Electric

Co.

59,884

4,065,525

109,002

30.4

Fitbit,

Inc.

682,036

4,480,977

(295,999)

(82.5)

Genworth

Financial,

Inc.

490,421

2,157,852

46,665

13.0

IBERIABANK

Corp.

28,504

2,132,954

(52,885)

(14.7)

Independent

Bank

Group,

Inc.

19,297

1,069,826

(76,287)

(21.3)

Instructure,

Inc.

14,000

674,940

(6,209)

(1.7)

KEMET

Corp.

107,668

2,912,419

100,405

28.0

Liberty

Property

Trust

30,000

1,801,500

55,156

15.4

LogMeIn,

Inc.

6,000

514,440

(290)

(0.1)

Medicines

Co.

(The)

76,443

6,493,068

79,153

22.1

Mellanox

Technologies

Ltd.

49,621

5,814,589

31,119

8.7

Pacific

Biosciences

of

California,

Inc.

426,033

2,189,810

(1,056,519)

(294.5)

Pattern

Energy

Group,

Inc.

96,200

2,573,831

(38,985)

(10.9)

Ra

Pharmaceuticals,

Inc.

100,139

4,699,523

79,636

22.2

Raytheon

Co.

17,130

3,764,146

635,539

177.1

Sprint

Corp.

989,775

5,156,728

(654,796)

(182.5)

Tallgrass

Energy

LP

99,000

2,189,880

152

0.0

Tech

Data

Corp.

17,000

2,441,200

88,525

24.7

Tiffany

&

Co.

48,656

6,502,874

32,779

9.1

WABCO

Holdings,

Inc.

41,598

5,636,529

144,750

40.3

WellCare

Health

Plans,

Inc.

17,407

5,747,965

1,021,996

284.8

Wesco

Aircraft

Holdings,

Inc.

54,276

598,122

181

0.1

William

Lyon

Homes

20,187

403,336

(2,159)

(0.6)

Wright

Medical

Group

NV

188,976

5,759,988

201,060

56.0

Zayo

Group

Holdings,

Inc.

143,300

4,965,345

211,693

59.0

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(26,097)

(2,310,628)

(487,901)

(136.0)

Centene

Corp.

(58,836)

(3,699,019)

(609,627)

(169.9)

Digital

Realty

Trust,

Inc.

(16,960)

(2,030,790)

128,208

35.7

Eldorado

Resorts,

Inc.

(29,260)

(1,745,066)

(431,265)

(120.2)

First

Horizon

National

Corp.

(130,659)

(2,163,713)

44,042

12.3

Intrexon

Corp.

(78,273)

(428,936)

51,660

14.4

Prologis,

Inc.

(20,250)

(1,805,085)

(52,445)

(14.6)

Texas

Capital

Bancshares,

Inc.

(18,714)

(1,062,394)

85,221

23.8

T-Mobile

US,

Inc.

(101,504)

(7,959,944)

(1,455,682)

(405.7)

United

Bankshares

,

Inc.

(10,170)

(393,172)

(8,011)

(2.2)

United

Technologies

Corp.

(39,996)

(5,989,801)

(837,544)

(233.4)

181

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

131,900

$

–

$

131,900

BARC

Cash

–

10,464,239

10,464,239

CITG

Cash

–

2,862,372

2,862,372

Investment

Companies

–

4,025,947

4,025,947

DTBK

Cash

10,393,978

–

10,393,978

GSCO

Cash

–

2,322,970

2,322,970

GSIN

Cash

23,287,952

–

23,287,952

JPMC

Investment

Companies

107,002,494

–

107,002,494

JPMS

Cash

–

1,000,165

1,000,165

MSCL

Cash

–

54,951

54,951

MSCS

Cash

881,845

–

881,845

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

61,422

$

–

$

61,422

GSCO

Cash

–

739,879

739,879

GSIN

U.S.

Treasury

Bills

298,844

–

298,844

JPPC

Cash

–

150,498

150,498

MSCL

Cash

–

(669,363)

(669,363)

U.S.

Treasury

Bills

–

3,187,520

3,187,520

SOCG

Cash

144,988

–

144,988

182

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

90.8%

INVESTMENT

COMPANIES

-

49.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(a)(b)

1,307,231

$

1,307,231

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

131,872,785

131,872,785

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(1)(a)

980

980

TOTAL

INVESTMENT

COMPANIES

(Cost

$133,159,347)

133,180,996

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

41.0%

U.S.

Treasury

Bills

2.06%,

1/2/2020(c)

$

3,376,000

3,376,000

2.03%,

1/16/2020(c)

8,075,000

8,070,611

2.03%,

1/23/2020(c)

216,000

215,815

2.06%,

1/30/2020(c)

2,676,000

2,672,971

1.97%,

2/6/2020(c)

21,041,000

21,010,520

1.91%,

2/13/2020(c)

4,180,000

4,172,746

1.86%,

2/20/2020(c)

3,656,000

3,648,461

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

41.0%

(continued)

1.86%,

2/27/2020(c)

$

4,645,000

$

4,634,089

1.84%,

3/5/2020(c)

241,000

240,366

1.89%,

3/19/2020(c)

1,986,000

1,979,706

1.88%,

3/26/2020(c)

1,872,000

1,865,414

1.61%,

4/23/2020(c)

8,096,000

8,057,394

1.62%,

4/30/2020(c)

9,349,000

9,301,826

1.55%,

5/7/2020(b)(c)

7,119,000

7,081,033

1.56%,

5/14/2020(c)

8,326,000

8,279,006

1.58%,

6/4/2020(c)

2,340,000

2,324,620

1.53%,

6/11/2020(c)

8,827,000

8,766,355

1.56%,

6/18/2020(b)(c)

4,580,000

4,547,082

1.58%,

6/25/2020(c)

5,583,000

5,541,314

1.57%,

7/2/2020(c)

3,903,000

3,872,366

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$109,624,478)

109,657,695

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$242,783,825)

242,838,691

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

90.8%

(Cost

$242,783,825)

242,838,691

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

9.2%(d)

24,574,354

NET

ASSETS

-

100.0%

$267,413,045

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(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

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

76,200

$

1,866

Cocoa

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

127,000

2,728

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/12/2020

USD

1,118,663

265,184

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

3,550,538

718,367

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

19,388

140

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

6,417,263

80,063

183

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

6,475,425

$

90,222

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

172,625

8,775

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

3,625,125

182,320

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

453,330

2,750

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/07/2020

USD

2,619,240

21,137

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

16,017,660

121,370

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

5,016,375

99,413

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

12,469,275

217,040

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

26,610,675

528,045

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

19,339,074

2,056,769

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

27,938

2,357

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

2,514,375

196,754

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

4,386,188

376,597

4,971,897

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(19,388)

(125)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/14/2020

USD

599,970

(19,426)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/14/2020

USD

885,670

(29,021)

184

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/14/2020

USD

1,171,370

$

(34,818)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(11,943,750)

(475,727)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(716,625)

(43,597)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

3,808,750

(34,495)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

4,997,080

(50,012)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(1,126,548)

(122,208)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(27,938)

(2,580)

(812,009)

$

4,159,888

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

412

1/2020

USD

$

27,192,000

$

2,147,784

LME

Aluminum

Base

Metal

5

1/2020

USD

224,115

8,700

LME

Aluminum

Base

Metal

6

1/2020

USD

269,213

8,945

LME

Aluminum

Base

Metal

15

1/2020

USD

673,376

15,542

LME

Aluminum

Base

Metal

28

1/2020

USD

1,246,875

49,792

LME

Aluminum

Base

Metal

167

1/2020

USD

7,456,216

157,456

LME

Copper

Base

Metal

1

1/2020

USD

154,000

6,197

LME

Copper

Base

Metal

2

1/2020

USD

308,042

12,236

LME

Copper

Base

Metal

3

1/2020

USD

462,095

22,661

LME

Copper

Base

Metal

5

1/2020

USD

768,625

60,760

LME

Copper

Base

Metal

18

1/2020

USD

2,771,217

120,018

LME

Copper

Base

Metal

50

1/2020

USD

7,694,375

518,603

LME

Lead

Base

Metal

2

1/2020

USD

95,675

(9,641)

LME

Lead

Base

Metal

7

1/2020

USD

335,431

(45,927)

LME

Lead

Base

Metal

7

1/2020

USD

335,766

(54,680)

185

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

14

1/2020

USD

$

672,105

$

(107,911)

LME

Nickel

Base

Metal

1

1/2020

USD

83,891

(16,681)

LME

Nickel

Base

Metal

2

1/2020

USD

167,400

(44,298)

LME

Nickel

Base

Metal

8

1/2020

USD

670,923

(136,461)

LME

Nickel

Base

Metal

9

1/2020

USD

754,387

(124,904)

LME

Nickel

Base

Metal

13

1/2020

USD

1,088,947

(284,581)

LME

Nickel

Base

Metal

18

1/2020

USD

1,510,266

(310,513)

LME

Zinc

Base

Metal

5

1/2020

USD

284,938

(28,665)

LME

Zinc

Base

Metal

7

1/2020

USD

398,913

(45,387)

LME

Zinc

Base

Metal

13

1/2020

USD

740,838

(75,276)

LME

Zinc

Base

Metal

29

1/2020

USD

1,654,088

(58,811)

Natural

Gas

40

1/2020

USD

875,600

(86,322)

RBOB

Gasoline

77

1/2020

USD

5,467,077

369,433

100

oz

Gold

736

2/2020

USD

112,100,160

3,269,543

Brent

Crude

Oil

717

2/2020

USD

46,812,930

(244,208)

Lean

Hogs

71

2/2020

USD

2,028,470

(1,610)

Live

Cattle

130

2/2020

USD

6,548,100

35,514

LME

Aluminum

Base

Metal

10

2/2020

USD

450,250

14,471

LME

Aluminum

Base

Metal

15

2/2020

USD

676,155

16,111

LME

Aluminum

Base

Metal

22

2/2020

USD

990,429

28,964

LME

Aluminum

Base

Metal

30

2/2020

USD

1,348,785

(10,304)

LME

Aluminum

Base

Metal

35

2/2020

USD

1,573,390

(8,536)

LME

Aluminum

Base

Metal

83

2/2020

USD

3,734,357

66,549

LME

Copper

Base

Metal

1

2/2020

USD

154,107

5,279

LME

Copper

Base

Metal

1

2/2020

USD

154,171

8,243

LME

Copper

Base

Metal

4

2/2020

USD

616,897

22,137

LME

Copper

Base

Metal

6

2/2020

USD

924,975

42,171

LME

Lead

Base

Metal

2

2/2020

USD

96,124

(8,757)

LME

Lead

Base

Metal

8

2/2020

USD

385,246

(5,481)

LME

Lead

Base

Metal

12

2/2020

USD

577,575

(20,923)

LME

Nickel

Base

Metal

1

2/2020

USD

83,972

(8,851)

LME

Nickel

Base

Metal

1

2/2020

USD

83,943

(14,310)

LME

Nickel

Base

Metal

1

2/2020

USD

83,938

(13,676)

LME

Nickel

Base

Metal

6

2/2020

USD

504,233

(16,164)

LME

Nickel

Base

Metal

16

2/2020

USD

1,344,000

(37,007)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(5,228)

LME

Zinc

Base

Metal

8

2/2020

USD

455,900

(39,403)

LME

Zinc

Base

Metal

21

2/2020

USD

1,195,294

(30,543)

LME

Zinc

Base

Metal

41

2/2020

USD

2,336,488

(155,612)

Natural

Gas

11

2/2020

USD

237,380

1,320

RBOB

Gasoline

74

2/2020

USD

5,292,924

(89,795)

Sugar

No.

11

711

2/2020

USD

10,686,614

1,057,744

Cocoa

268

3/2020

USD

6,807,200

136,202

Coffee

'C'

325

3/2020

USD

15,807,188

3,179,875

Corn

979

3/2020

USD

18,980,363

335,501

LME

Aluminum

Base

Metal

15

3/2020

USD

677,843

20,236

LME

Aluminum

Base

Metal

30

3/2020

USD

1,353,863

26,949

LME

Aluminum

Base

Metal

36

3/2020

USD

1,624,950

49,300

LME

Aluminum

Base

Metal

64

3/2020

USD

2,896,000

(17,865)

LME

Aluminum

Base

Metal

71

3/2020

USD

3,212,608

(21,471)

LME

Aluminum

Base

Metal

97

3/2020

USD

4,379,186

164,850

LME

Aluminum

Base

Metal

449

3/2020

USD

20,317,250

314,877

LME

Copper

Base

Metal

1

3/2020

USD

154,339

1,492

LME

Copper

Base

Metal

1

3/2020

USD

154,277

7,837

LME

Copper

Base

Metal

9

3/2020

USD

1,389,150

(6,547)

LME

Copper

Base

Metal

11

3/2020

USD

1,697,240

65,761

186

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

12

3/2020

USD

$

1,851,429

$

84,269

LME

Copper

Base

Metal

30

3/2020

USD

4,630,230

(36,721)

LME

Copper

Base

Metal

460

3/2020

USD

71,012,500

4,694,144

LME

Lead

Base

Metal

6

3/2020

USD

289,251

1,083

LME

Lead

Base

Metal

11

3/2020

USD

530,024

5,521

LME

Lead

Base

Metal

15

3/2020

USD

722,603

(5,438)

LME

Lead

Base

Metal

17

3/2020

USD

819,060

5,546

LME

Lead

Base

Metal

17

3/2020

USD

818,975

(475)

LME

Lead

Base

Metal

150

3/2020

USD

7,231,875

(524,024)

LME

Nickel

Base

Metal

1

3/2020

USD

84,148

(1,650)

LME

Nickel

Base

Metal

2

3/2020

USD

168,144

9,457

LME

Nickel

Base

Metal

2

3/2020

USD

168,222

6,978

LME

Nickel

Base

Metal

3

3/2020

USD

252,428

(1,775)

LME

Nickel

Base

Metal

12

3/2020

USD

1,009,000

39,184

LME

Nickel

Base

Metal

23

3/2020

USD

1,933,788

105,195

LME

Nickel

Base

Metal

164

3/2020

USD

13,800,600

(2,295,870)

LME

Zinc

Base

Metal

2

3/2020

USD

113,792

1,364

LME

Zinc

Base

Metal

7

3/2020

USD

398,200

7,930

LME

Zinc

Base

Metal

11

3/2020

USD

625,930

8,726

LME

Zinc

Base

Metal

20

3/2020

USD

1,137,990

21,531

LME

Zinc

Base

Metal

332

3/2020

USD

18,880,425

(468,273)

Low

Sulphur

Gasoil

11

3/2020

USD

672,375

856

Silver

226

3/2020

USD

20,250,730

926,770

Soybean

Meal

217

3/2020

USD

6,611,990

(19,512)

Soybean

Oil

11

3/2020

USD

229,482

7,859

Wheat

45

3/2020

USD

1,257,188

66,306

100

oz

Gold

1

4/2020

USD

152,930

(108)

Lean

Hogs

5

4/2020

USD

155,850

(522)

Platinum

54

10/2020

JPY

827,978

25,342

12,846,397

Short

Contracts

LME

Aluminum

Base

Metal

(5)

1/2020

USD

(224,115)

(8,879)

LME

Aluminum

Base

Metal

(6)

1/2020

USD

(269,213)

(9,430)

LME

Aluminum

Base

Metal

(15)

1/2020

USD

(673,376)

(16,421)

LME

Aluminum

Base

Metal

(28)

1/2020

USD

(1,246,875)

(50,366)

LME

Aluminum

Base

Metal

(167)

1/2020

USD

(7,456,216)

(162,984)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,000)

(6,490)

LME

Copper

Base

Metal

(2)

1/2020

USD

(308,042)

(12,673)

LME

Copper

Base

Metal

(3)

1/2020

USD

(462,095)

(23,323)

LME

Copper

Base

Metal

(5)

1/2020

USD

(768,625)

(60,790)

LME

Copper

Base

Metal

(18)

1/2020

USD

(2,771,217)

(124,366)

LME

Copper

Base

Metal

(50)

1/2020

USD

(7,694,375)

(515,148)

LME

Lead

Base

Metal

(2)

1/2020

USD

(95,675)

9,682

LME

Lead

Base

Metal

(7)

1/2020

USD

(335,431)

44,736

LME

Lead

Base

Metal

(7)

1/2020

USD

(335,766)

54,614

LME

Lead

Base

Metal

(14)

1/2020

USD

(672,105)

108,074

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,891)

16,732

LME

Nickel

Base

Metal

(2)

1/2020

USD

(167,400)

43,937

LME

Nickel

Base

Metal

(8)

1/2020

USD

(670,923)

139,414

LME

Nickel

Base

Metal

(9)

1/2020

USD

(754,387)

123,167

LME

Nickel

Base

Metal

(13)

1/2020

USD

(1,088,947)

285,615

LME

Nickel

Base

Metal

(18)

1/2020

USD

(1,510,266)

309,049

LME

Zinc

Base

Metal

(5)

1/2020

USD

(284,938)

28,649

LME

Zinc

Base

Metal

(7)

1/2020

USD

(398,913)

43,204

LME

Zinc

Base

Metal

(13)

1/2020

USD

(740,838)

78,803

LME

Zinc

Base

Metal

(29)

1/2020

USD

(1,654,088)

60,864

187

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

WTI

Crude

Oil

(157)

1/2020

USD

$

(9,586,420)

$

(753,853)

LME

Aluminum

Base

Metal

(10)

2/2020

USD

(450,250)

(15,398)

LME

Aluminum

Base

Metal

(15)

2/2020

USD

(676,155)

(15,537)

LME

Aluminum

Base

Metal

(22)

2/2020

USD

(990,429)

(31,956)

LME

Aluminum

Base

Metal

(30)

2/2020

USD

(1,348,785)

9,902

LME

Aluminum

Base

Metal

(35)

2/2020

USD

(1,573,390)

1,507

LME

Aluminum

Base

Metal

(83)

2/2020

USD

(3,734,357)

(67,875)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,107)

(5,922)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,171)

(8,220)

LME

Copper

Base

Metal

(4)

2/2020

USD

(616,897)

(21,189)

LME

Copper

Base

Metal

(6)

2/2020

USD

(924,975)

(40,743)

LME

Lead

Base

Metal

(2)

2/2020

USD

(96,124)

8,545

LME

Lead

Base

Metal

(8)

2/2020

USD

(385,246)

5,930

LME

Lead

Base

Metal

(12)

2/2020

USD

(577,575)

21,790

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,972)

8,937

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,938)

14,426

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,943)

13,794

LME

Nickel

Base

Metal

(6)

2/2020

USD

(504,233)

14,895

LME

Nickel

Base

Metal

(16)

2/2020

USD

(1,344,000)

35,077

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

5,097

LME

Zinc

Base

Metal

(8)

2/2020

USD

(455,900)

40,076

LME

Zinc

Base

Metal

(21)

2/2020

USD

(1,195,294)

29,994

LME

Zinc

Base

Metal

(41)

2/2020

USD

(2,336,488)

157,729

NY

Harbor

ULSD

(8)

2/2020

USD

(677,544)

10,426

WTI

Crude

Oil

(162)

2/2020

USD

(9,844,740)

94,158

Copper

(3)

3/2020

USD

(209,775)

2,511

Cotton

No.

2

(5)

3/2020

USD

(172,625)

294

Feeder

Cattle

(24)

3/2020

USD

(1,730,700)

(15,624)

LME

Aluminum

Base

Metal

(15)

3/2020

USD

(677,843)

(18,671)

LME

Aluminum

Base

Metal

(30)

3/2020

USD

(1,353,863)

(32,930)

LME

Aluminum

Base

Metal

(36)

3/2020

USD

(1,624,950)

(53,656)

LME

Aluminum

Base

Metal

(64)

3/2020

USD

(2,896,000)

23,290

LME

Aluminum

Base

Metal

(71)

3/2020

USD

(3,212,608)

16,788

LME

Aluminum

Base

Metal

(97)

3/2020

USD

(4,379,186)

(150,372)

LME

Aluminum

Base

Metal

(348)

3/2020

USD

(15,747,000)

(387,423)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,277)

(7,822)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,339)

(1,567)

LME

Copper

Base

Metal

(9)

3/2020

USD

(1,389,150)

2,831

LME

Copper

Base

Metal

(11)

3/2020

USD

(1,697,240)

(67,897)

LME

Copper

Base

Metal

(12)

3/2020

USD

(1,851,429)

(82,514)

LME

Copper

Base

Metal

(30)

3/2020

USD

(4,630,230)

36,139

LME

Copper

Base

Metal

(95)

3/2020

USD

(14,665,625)

(534,551)

LME

Lead

Base

Metal

(6)

3/2020

USD

(289,251)

(441)

LME

Lead

Base

Metal

(11)

3/2020

USD

(530,024)

(5,769)

LME

Lead

Base

Metal

(15)

3/2020

USD

(722,603)

2,232

LME

Lead

Base

Metal

(17)

3/2020

USD

(818,975)

974

LME

Lead

Base

Metal

(17)

3/2020

USD

(819,060)

(8,635)

LME

Lead

Base

Metal

(44)

3/2020

USD

(2,121,350)

158,589

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,148)

1,496

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,222)

(4,411)

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,144)

(9,049)

LME

Nickel

Base

Metal

(3)

3/2020

USD

(252,428)

375

LME

Nickel

Base

Metal

(12)

3/2020

USD

(1,009,000)

(39,189)

LME

Nickel

Base

Metal

(23)

3/2020

USD

(1,933,788)

(115,349)

LME

Nickel

Base

Metal

(38)

3/2020

USD

(3,197,700)

35,594

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,792)

(798)

188

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(7)

3/2020

USD

$

(398,200)

$

(8,433)

LME

Zinc

Base

Metal

(11)

3/2020

USD

(625,930)

(7,625)

LME

Zinc

Base

Metal

(20)

3/2020

USD

(1,137,990)

(20,049)

LME

Zinc

Base

Metal

(50)

3/2020

USD

(2,843,438)

121,570

Soybean

(107)

3/2020

USD

(5,111,925)

(294,942)

Live

Cattle

(36)

4/2020

USD

(1,831,320)

1,797

Platinum

(36)

12/2020

JPY

(552,814)

658

(1,595,319)

$

11,251,078

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(860,000)

$

–

$

(860,000)

Investment

Companies

1,307,231

–

1,307,231

GSCO

Cash

–

3,270,811

3,270,811

GSIN

Cash

2,220,658

–

2,220,658

JPPC

Cash

–

5,119,246

5,119,246

MACQ

U.S.

Treasury

Bills

477,218

–

477,218

MSCL

Cash

–

2,624,516

2,624,516

SOCG

Cash

1,611,244

–

1,611,244

189

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

FOREIGN

GOVERNMENT

SECURITIES

-

20.0%

Deutsche

Bundesrepublik

Inflation

Linked

Bond

0.10%,

4/15/2023(a)(b)

EUR

488,963

$

571,460

0.10%,

4/15/2026(a)(b)

EUR

867,207

1,058,479

0.50%,

4/15/2030(a)(b)

EUR

1,256,538

1,670,956

France

Government

Bond

OAT

1.85%,

7/25/2027(a)(b)

EUR

336,542

466,726

0.10%,

3/1/2029(a)(b)

EUR

101,001

124,956

0.70%,

7/25/2030(a)(b)

EUR

315,696

419,535

United

Kingdom

Inflation

Linked

Treasury

Gilt

0.13%,

3/22/2026(a)(b)

GBP

224,920

346,807

1.25%,

11/22/2027(a)(b)

GBP

538,736

940,724

0.13%,

8/10/2028(a)(b)

GBP

228,813

375,733

0.13%,

3/22/2029(a)(b)

GBP

415,898

691,750

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$6,619,768)

6,667,126

U.S.

TREASURY

OBLIGATIONS

-

49.1%

U.S.

Treasury

Inflation

Linked

Notes

0.50%,

4/15/2024(c)

$

1,604,800

1,663,963

0.13%,

10/15/2024(c)

500,000

504,407

0.25%,

1/15/2025

1,000,000

1,096,172

0.38%,

7/15/2025

1,000,000

1,107,295

0.63%,

1/15/2026

1,300,000

1,451,110

0.13%,

7/15/2026

1,095,000

1,179,311

0.38%,

1/15/2027

1,200,000

1,297,817

0.38%,

7/15/2027

1,280,000

1,373,573

0.50%,

1/15/2028

1,410,000

1,509,066

0.75%,

7/15/2028

1,520,000

1,639,398

0.88%,

1/15/2029

1,550,000

1,677,510

0.25%,

7/15/2029(c)

1,900,000

1,930,082

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$16,270,346)

16,429,704

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

33.1%

INVESTMENT

COMPANIES

-

28.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(d)(e)

391,860

$

391,860

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(d)

9,237,929

9,237,929

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(1)(d)

3,914

3,914

TOTAL

INVESTMENT

COMPANIES

(Cost

$9,632,811)

9,633,703

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

4.3%

U.S.

Treasury

Bills

1.70%,

4/9/2020(f)

$

268,000

266,887

1.63%,

4/16/2020(f)

245,000

243,916

1.61%,

4/23/2020(f)

350,000

348,331

1.62%,

4/30/2020(f)

217,000

215,905

1.56%,

5/14/2020(f)

351,000

349,019

1.63%,

5/21/2020(f)

4,000

3,976

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,427,614)

1,428,034

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$11,060,425)

11,061,737

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

102.2%

(Cost

$33,950,539)

34,158,567

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(2.2)%(g)

(720,193)

NET

ASSETS

-

100.0%

$33,438,374

(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

December

31,

2019,

the

value

of

these

securities

amounted

to

$6,667,126

or

19.94%

of

net

assets.

(c)

On

12/31/2019,

securities

valued

at

$4,098,452

were

pledged

as

collateral

for

reverse

repurchase

agreements

outstanding.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(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)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

190

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Reverse

repurchase

agreements

at

December

31,

2019:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

CITI

11/14/2019

1.90%

1/9/2020

USD

$

1,638,902

JPMS

12/16/2019

1.64%

1/9/2020

USD

501,250

JPMS

11/14/2019

1.80%

1/9/2020

USD

906,750

JPMS

11/25/2019

1.88%

1/9/2020

USD

203,000

JPMS

12/16/2019

1.95%

1/9/2020

USD

709,625

JPMS

12/12/2019

2.00%

1/9/2020

USD

101,750

$

4,061,277

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

December

31,

2019

was

$5,633,787

at

a

net

weighted

average

interest

rate

of

2.408%.

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

1,413,500

$

735

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

3,923,850

5,632

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

8,408,250

11,508

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/12/2020

BRL

579,760

3,008

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/12/2020

BRL

1,739,280

8,774

KC

HRW

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

48,600

5,025

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

738,000,000

42,022

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/20/2020

CHF

1,157,420

8,067

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/15/2020

TWD

11,994,000

964

85,735

191

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGX

NIFTY

50

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

USD

146,940

$

(1,214)

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/15/2020

TWD

4,797,600

(129)

(1,343)

$

84,392

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

1

1/2020

EUR

$

135,643

$

(423)

Brent

Crude

Oil

24

1/2020

USD

1,584,000

128,640

CAC

40

10

Euro

Index

7

1/2020

EUR

468,758

91

Hang

Seng

Index

1

1/2020

HKD

181,397

(85)

HSCEI

10

1/2020

HKD

719,364

7,435

IBEX

35

Index

3

1/2020

EUR

320,637

(2,563)

LME

Aluminum

Base

Metal

4

1/2020

USD

179,292

6,958

LME

Copper

Base

Metal

2

1/2020

USD

307,913

13,380

LME

Lead

Base

Metal

1

1/2020

USD

47,967

(7,685)

LME

Nickel

Base

Metal

1

1/2020

USD

83,865

(17,103)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(5,756)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(4,929)

MSCI

Taiwan

Index

4

1/2020

USD

183,840

(1,694)

RBOB

Gasoline

6

1/2020

USD

426,006

26,873

SGX

NIFTY

50

Index

14

1/2020

USD

342,860

(1,970)

WTI

Crude

Oil

7

1/2020

USD

427,420

33,529

100

oz

Gold

24

2/2020

USD

3,655,440

111,594

Brent

Crude

Oil

39

2/2020

USD

2,546,310

(13,968)

Lean

Hogs

6

2/2020

USD

171,420

(5,162)

Live

Cattle

18

2/2020

USD

906,660

2,481

NY

Harbor

ULSD

1

2/2020

USD

84,693

(1,041)

RBOB

Gasoline

5

2/2020

USD

357,630

(7,239)

Sugar

No.

11

40

2/2020

USD

601,216

36,036

WTI

Crude

Oil

14

2/2020

USD

850,780

592

Australia

10

Year

Bond

11

3/2020

AUD

1,103,530

(21,847)

Canada

10

Year

Bond

15

3/2020

CAD

1,588,079

(28,778)

Cocoa

9

3/2020

USD

228,600

2,822

Coffee

'C'

13

3/2020

USD

632,288

64,524

Corn

22

3/2020

USD

426,525

7,215

Cotton

No.

2

6

3/2020

USD

207,150

9,471

DAX

Index

1

3/2020

EUR

371,465

(486)

EURO

STOXX

50

Index

56

3/2020

EUR

2,342,379

(6,703)

Euro-Bund

100

3/2020

EUR

19,123,862

(285,156)

Feeder

Cattle

2

3/2020

USD

144,225

(169)

FTSE

100

Index

14

3/2020

GBP

1,390,645

7,813

FTSE/JSE

Top

40

Index

8

3/2020

ZAR

293,360

(2,477)

192

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

FTSE/MIB

Index

7

3/2020

EUR

$

919,065

$

(4,352)

Japan

10

Year

Bond

Mini

49

3/2020

JPY

6,851,567

(7,854)

KC

HRW

Wheat

5

3/2020

USD

121,500

9,716

KOSPI

200

Index

9

3/2020

KRW

574,344

36,484

LME

Aluminum

Base

Metal

1

3/2020

USD

45,242

(250)

LME

Aluminum

Base

Metal

1

3/2020

USD

45,248

(302)

LME

Aluminum

Base

Metal

1

3/2020

USD

45,250

(279)

LME

Aluminum

Base

Metal

5

3/2020

USD

226,034

3,459

LME

Aluminum

Base

Metal

11

3/2020

USD

497,750

11,875

LME

Copper

Base

Metal

2

3/2020

USD

308,713

153

LME

Copper

Base

Metal

14

3/2020

USD

2,161,250

125,223

LME

Lead

Base

Metal

4

3/2020

USD

192,850

(24,136)

LME

Nickel

Base

Metal

4

3/2020

USD

336,600

(80,865)

LME

Zinc

Base

Metal

2

3/2020

USD

113,758

(243)

LME

Zinc

Base

Metal

11

3/2020

USD

625,556

(19,799)

Low

Sulphur

Gasoil

11

3/2020

USD

672,375

6,455

Russell

2000

E-Mini

Index

14

3/2020

USD

1,169,420

12,066

S&P

500

E-Mini

Index

95

3/2020

USD

15,347,724

253,633

S&P

Midcap

400

E-Mini

Index

6

3/2020

USD

1,238,880

16,713

S&P/TSX

60

Index

5

3/2020

CAD

779,639

(430)

Silver

12

3/2020

USD

1,075,260

48,728

Soybean

19

3/2020

USD

907,725

16,817

Soybean

Meal

6

3/2020

USD

182,820

(1,461)

Soybean

Oil

29

3/2020

USD

604,998

45,679

SPI

200

Index

7

3/2020

AUD

810,890

(22,184)

TOPIX

Index

15

3/2020

JPY

2,375,869

2,324

U.S.

Treasury

10

Year

Note

252

3/2020

USD

32,362,312

(259,872)

Wheat

17

3/2020

USD

474,938

24,443

235,961

Short

Contracts

LME

Aluminum

Base

Metal

(4)

1/2020

USD

(179,292)

(7,054)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,913)

(13,868)

LME

Lead

Base

Metal

(1)

1/2020

USD

(47,967)

7,556

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,865)

17,472

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,060

LME

Zinc

Base

Metal

(1)

1/2020

USD

(56,988)

5,760

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,242)

237

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,248)

174

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,250)

286

LME

Aluminum

Base

Metal

(5)

3/2020

USD

(226,034)

(4,233)

LME

Aluminum

Base

Metal

(5)

3/2020

USD

(226,250)

(3,637)

LME

Copper

Base

Metal

(2)

3/2020

USD

(308,713)

32

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,758)

(1)

7,784

$

243,745

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

132,469

GBP

98,970

CITI

3/18/2020

$

1,101

193

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

132,469

GBP

98,970

JPMC

3/18/2020

$

1,101

Total

unrealized

appreciation

2,202

USD

2,189,318

EUR

1,965,244

CITI

3/18/2020

(25,512)

USD

2,189,330

EUR

1,965,258

JPMC

3/18/2020

(25,515)

USD

1,051,538

GBP

809,568

CITI

3/18/2020

(23,040)

USD

1,051,512

GBP

809,549

JPMC

3/18/2020

(23,041)

Total

unrealized

depreciation

(97,108)

Net

unrealized

depreciation

$

(94,906)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,095,763

$

1,095,763

CITI

Investment

Companies

137,322

–

137,322

U.S.

Treasury

Inflation

Linked

Notes

1,663,963

–

1,663,963

GSCO

Cash

–

626,003

626,003

GSIN

Cash

90,134

–

90,134

JPMC

Investment

Companies

254,535

–

254,535

JPMS

Cash

–

65,969

65,969

U.S.

Treasury

Inflation

Linked

Notes

2,434,489

–

2,434,489

MLIN

Cash

(130,000)

–

(130,000)

MSCL

Cash

–

552,108

552,108

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

200,115

$

200,115

JPPC

Cash

–

229,026

229,026

MSCL

Cash

–

146,523

146,523

194

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

  PRINCIPAL

    AMOUNT

VALUE

FOREIGN

GOVERNMENT

SECURITIES

-

13.3%

Deutsche

Bundesrepublik

Inflation

Linked

Bond

0.10%,

4/15/2023(a)(b)

EUR

1,130,048

$

1,320,707

0.10%,

4/15/2026(a)(b)

EUR

2,051,686

2,504,205

0.50%,

4/15/2030(a)(b)

EUR

2,658,348

3,535,095

France

Government

Bond

OAT

1.85%,

7/25/2027(a)(b)

EUR

673,083

933,452

0.10%,

3/1/2028(a)(b)

EUR

207,890

254,660

0.10%,

3/1/2029(a)(b)

EUR

202,002

249,912

0.70%,

7/25/2030(a)(b)

EUR

631,392

839,071

United

Kingdom

Inflation

Linked

Treasury

Gilt

0.13%,

3/22/2026(a)(b)

GBP

562,300

867,017

1.25%,

11/22/2027(a)(b)

GBP

1,069,990

1,868,382

0.13%,

8/10/2028(a)(b)

GBP

468,027

768,545

0.13%,

3/22/2029(a)(b)

GBP

1,003,049

1,668,339

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$14,728,517)

14,809,385

U.S.

TREASURY

OBLIGATIONS

-

31.9%

U.S.

Treasury

Inflation

Linked

Notes

0.50%,

4/15/2024(c)

$

1,645,400

1,706,059

0.13%,

10/15/2024

1,000,000

1,008,813

0.25%,

1/15/2025

1,300,000

1,425,024

0.38%,

7/15/2025

2,500,000

2,768,238

0.63%,

1/15/2026

2,800,000

3,125,467

0.13%,

7/15/2026

2,845,000

3,064,055

0.38%,

1/15/2027

3,200,000

3,460,845

0.38%,

7/15/2027(c)

3,250,000

3,487,589

0.50%,

1/15/2028(c)

3,600,000

3,852,935

0.75%,

7/15/2028

3,570,000

3,850,430

0.88%,

1/15/2029

3,695,000

3,998,966

0.25%,

7/15/2029

3,900,000

3,961,748

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$35,343,158)

35,710,169

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

49.5%

INVESTMENT

COMPANIES

-

30.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(d)(e)

854,613

$

854,613

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(d)

32,897,849

32,897,849

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(1)(d)

8,211

8,211

TOTAL

INVESTMENT

COMPANIES

(Cost

$33,756,566)

33,760,673

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

19.3%

U.S.

Treasury

Bills

2.06%,

1/2/2020(f)

$

1,945,000

1,945,000

2.10%,

1/9/2020(f)(g)

1,093,000

1,092,701

2.03%,

1/16/2020(f)

2,640,000

2,638,565

2.03%,

1/23/2020(f)

3,667,000

3,663,856

2.06%,

1/30/2020(f)

1,827,000

1,824,932

1.91%,

2/13/2020(f)

173,000

172,700

1.84%,

3/12/2020(f)

126,000

125,632

1.81%,

4/2/2020(f)

4,875,000

4,856,208

1.56%,

5/14/2020(f)

2,545,000

2,530,635

1.55%,

5/21/2020(f)

1,557,000

1,547,759

1.56%,

6/18/2020(f)

1,267,000

1,257,893

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$21,648,175)

21,655,881

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$55,404,741)

55,416,554

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.7%

(Cost

$105,476,416)

105,936,108

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.3%(h)

5,951,992

NET

ASSETS

-

100.0%

$111,888,100

(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

December

31,

2019,

the

value

of

these

securities

amounted

to

$14,809,385

or

13.24%

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

December

31,

2019.

(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

(See

Note

5).

195

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

25,400

$

866

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/12/2020

USD

48,638

12,242

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

194,550

47,019

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

4,240,500

4,392

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

11,771,550

15,815

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

12,892,650

18,727

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/12/2020

BRL

1,159,520

7,763

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/12/2020

BRL

4,058,320

20,353

KC

HRW

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

24,300

2,621

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

1,771,200,000

100,949

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/07/2020

USD

604,440

4,513

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

429,975

8,013

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

621,075

13,284

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

1,576,575

32,225

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

30,470

28

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

91,410

73

196

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

62,586

$

6,115

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

1,418,616

149,737

Sugar

No.

11

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/18/2020

USD

15,030

1,710

Sugar

No.

11

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/18/2020

USD

30,061

3,368

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/20/2020

CHF

2,525,280

17,545

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/15/2020

TWD

7,196,400

511

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/15/2020

TWD

26,386,800

783

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

27,938

1,363

470,015

Canada

10

Year

Bond

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

687,400

(9,692)

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

(194,550)

(47,723)

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/12/2020

USD

(48,638)

(11,606)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/14/2020

USD

28,570

(1,426)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/14/2020

USD

28,570

(1,484)

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/14/2020

USD

171,420

(6,376)

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

856,290

(1,148)

197

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGX

NIFTY

50

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

USD

318,370

$

(2,628)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(1,576,575)

(100,797)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(621,075)

(44,478)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(429,975)

(19,965)

(247,323)

$

222,692

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

3

1/2020

EUR

$

406,928

$

(1,560)

Brent

Crude

Oil

52

1/2020

USD

3,432,000

275,844

CAC

40

10

Euro

Index

16

1/2020

EUR

1,071,448

297

Hang

Seng

Index

3

1/2020

HKD

544,191

3,969

HSCEI

29

1/2020

HKD

2,086,156

23,486

IBEX

35

Index

5

1/2020

EUR

534,395

(4,217)

LME

Aluminum

Base

Metal

1

1/2020

USD

44,903

1,255

LME

Aluminum

Base

Metal

8

1/2020

USD

358,584

13,917

LME

Copper

Base

Metal

3

1/2020

USD

461,870

20,071

LME

Nickel

Base

Metal

1

1/2020

USD

83,865

(17,103)

LME

Nickel

Base

Metal

1

1/2020

USD

83,910

(16,803)

LME

Zinc

Base

Metal

3

1/2020

USD

170,963

(17,267)

MSCI

Taiwan

Index

11

1/2020

USD

505,560

(3,962)

RBOB

Gasoline

12

1/2020

USD

852,012

53,745

SGX

NIFTY

50

Index

30

1/2020

USD

734,700

(4,243)

WTI

Crude

Oil

16

1/2020

USD

976,960

78,241

100

oz

Gold

54

2/2020

USD

8,224,740

244,395

Brent

Crude

Oil

89

2/2020

USD

5,810,810

(27,078)

Lean

Hogs

5

2/2020

USD

142,850

(1,140)

Live

Cattle

20

2/2020

USD

1,007,400

11,563

LME

Copper

Base

Metal

1

2/2020

USD

154,171

8,409

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(5,226)

NY

Harbor

ULSD

1

2/2020

USD

84,693

(1,041)

RBOB

Gasoline

11

2/2020

USD

786,786

(14,635)

Sugar

No.

11

82

2/2020

USD

1,232,493

70,940

WTI

Crude

Oil

31

2/2020

USD

1,883,870

(3,347)

Australia

10

Year

Bond

25

3/2020

AUD

2,508,022

(49,486)

198

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Canada

10

Year

Bond

30

3/2020

CAD

$

3,176,158

$

(57,556)

Cocoa

20

3/2020

USD

508,000

6,203

Coffee

'C'

29

3/2020

USD

1,410,488

168,342

Corn

48

3/2020

USD

930,600

16,705

Cotton

No.

2

13

3/2020

USD

448,825

22,137

DAX

Index

4

3/2020

EUR

1,485,860

(7,356)

EURO

STOXX

50

Index

125

3/2020

EUR

5,228,524

(15,140)

Euro-Bund

221

3/2020

EUR

42,263,737

(629,723)

Feeder

Cattle

3

3/2020

USD

216,338

1,140

FTSE

100

Index

30

3/2020

GBP

2,979,953

17,457

FTSE/JSE

Top

40

Index

17

3/2020

ZAR

623,390

(5,299)

FTSE/MIB

Index

15

3/2020

EUR

1,969,425

(8,380)

Japan

10

Year

Bond

Mini

118

3/2020

JPY

16,499,691

(18,389)

KC

HRW

Wheat

13

3/2020

USD

315,900

29,752

KOSPI

200

Index

18

3/2020

KRW

1,148,688

72,838

LME

Aluminum

Base

Metal

2

3/2020

USD

90,484

(499)

LME

Aluminum

Base

Metal

2

3/2020

USD

90,500

(558)

LME

Aluminum

Base

Metal

2

3/2020

USD

90,496

(605)

LME

Aluminum

Base

Metal

12

3/2020

USD

542,481

8,302

LME

Aluminum

Base

Metal

24

3/2020

USD

1,086,000

26,719

LME

Copper

Base

Metal

5

3/2020

USD

771,781

383

LME

Copper

Base

Metal

32

3/2020

USD

4,940,000

283,915

LME

Lead

Base

Metal

2

3/2020

USD

96,425

(752)

LME

Lead

Base

Metal

8

3/2020

USD

385,700

(36,823)

LME

Nickel

Base

Metal

9

3/2020

USD

757,350

(182,544)

LME

Zinc

Base

Metal

3

3/2020

USD

170,637

(364)

LME

Zinc

Base

Metal

23

3/2020

USD

1,307,981

(38,400)

Low

Sulphur

Gasoil

23

3/2020

USD

1,405,875

12,408

Russell

2000

E-Mini

Index

31

3/2020

USD

2,589,430

29,746

S&P

500

E-Mini

Index

211

3/2020

USD

34,088,104

564,263

S&P

Midcap

400

E-Mini

Index

13

3/2020

USD

2,684,240

35,857

S&P/TSX

60

Index

12

3/2020

CAD

1,871,133

(68)

Silver

27

3/2020

USD

2,419,335

110,677

Soybean

42

3/2020

USD

2,006,550

34,414

Soybean

Meal

13

3/2020

USD

396,110

(3,128)

Soybean

Oil

10

3/2020

USD

208,620

21,746

SPI

200

Index

15

3/2020

AUD

1,737,621

(47,484)

TOPIX

Index

32

3/2020

JPY

5,068,520

7,382

U.S.

Treasury

10

Year

Note

559

3/2020

USD

71,787,827

(576,508)

Wheat

34

3/2020

USD

949,875

49,324

529,158

Short

Contracts

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,903)

(1,219)

LME

Aluminum

Base

Metal

(8)

1/2020

USD

(358,584)

(14,232)

LME

Copper

Base

Metal

(3)

1/2020

USD

(461,870)

(20,578)

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,865)

17,472

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,910)

16,611

LME

Zinc

Base

Metal

(3)

1/2020

USD

(170,963)

17,205

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,171)

(8,637)

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

5,010

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,484)

442

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,496)

514

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,500)

733

LME

Aluminum

Base

Metal

(12)

3/2020

USD

(543,000)

(8,729)

LME

Aluminum

Base

Metal

(12)

3/2020

USD

(542,481)

(10,159)

LME

Copper

Base

Metal

(5)

3/2020

USD

(771,781)

17

199

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(2)

3/2020

USD

$

(96,425)

$

1,244

LME

Zinc

Base

Metal

(3)

3/2020

USD

(170,637)

5

(4,301)

$

524,857

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

132,469

GBP

98,970

CITI

3/18/2020

$

1,101

USD

132,469

GBP

98,970

JPMC

3/18/2020

1,101

Total

unrealized

appreciation

2,202

GBP

98,854

USD

132,171

CITI

3/18/2020

(957)

GBP

98,854

USD

132,171

JPMC

3/18/2020

(958)

USD

4,895,482

EUR

4,394,969

CITI

3/18/2020

(57,648)

USD

4,895,465

EUR

4,394,959

JPMC

3/18/2020

(57,654)

USD

2,585,826

GBP

1,990,800

CITI

3/18/2020

(56,657)

USD

2,585,820

GBP

1,990,798

JPMC

3/18/2020

(56,661)

Total

unrealized

depreciation

(230,535)

Net

unrealized

depreciation

$

(228,333)

200

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

2,506,675

$

2,506,675

CITI

Investment

Companies

260,189

–

260,189

GSCO

Cash

–

683,503

683,503

U.S.

Treasury

Inflation

Linked

Notes

–

691,826

691,826

GSIN

Cash

141,926

–

141,926

JPMC

Investment

Companies

509,405

–

509,405

JPMS

Cash

–

145,689

145,689

MLIN

Cash

(240,000)

–

(240,000)

MSCL

Cash

–

520,706

520,706

U.S.

Treasury

Inflation

Linked

Notes

–

726,995

726,995

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Investment

Companies

$

85,018

$

–

$

85,018

GSCO

Cash

–

451,445

451,445

GSIN

U.S.

Treasury

Bills

109,970

–

109,970

JPPC

Cash

–

481,643

481,643

MSCL

Cash

–

283,257

283,257

SOCG

Cash

181,917

–

181,917

201

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

132.6%

COMMON

STOCKS

-

65.0%

Canada

-

7.6%

Air

Canada*(a)

491,970

$

18,378,549

Alimentation

Couche-Tard,

Inc.,

Class

B(a)

127,370

4,042,138

ARC

Resources

Ltd.

70,923

446,768

Atco

Ltd.,

Class

I

17,161

657,736

Bank

of

Montreal(a)

95,673

7,414,832

Bank

of

Nova

Scotia

(The)(a)

40,180

2,269,611

BCE,

Inc.

19,120

885,803

Brookfield

Asset

Management,

Inc.,

Class

A

19,011

1,098,452

Canadian

Imperial

Bank

of

Commerce(a)

105,387

8,769,873

Canadian

Tire

Corp.

Ltd.,

Class

A(a)

34,248

3,685,771

CGI,

Inc.*(a)

98,897

8,276,260

CI

Financial

Corp.(a)(b)

183,067

3,060,633

Cronos

Group,

Inc.*

189,147

1,452,232

Emera,

Inc.(a)

53,633

2,304,251

Encana

Corp.(a)(b)

1,730,219

8,101,137

Husky

Energy,

Inc.

158,998

1,275,853

Hydro

One

Ltd.(a)(c)

119,799

2,313,780

iA

Financial

Corp.,

Inc.(a)

36,437

2,001,503

IGM

Financial,

Inc.

31,512

904,676

Intact

Financial

Corp.(a)

39,440

4,264,884

Kinross

Gold

Corp.*(a)

212,310

1,007,146

Linamar

Corp.(a)

118,349

4,477,676

Loblaw

Cos.

Ltd.

11,308

583,448

Magna

International,

Inc.(a)

128,371

7,038,632

Manulife

Financial

Corp.(a)

606,438

12,310,428

National

Bank

of

Canada(a)

105,941

5,880,580

Open

Text

Corp.(a)

16,308

718,604

Peyto

Exploration

&

Development

Corp.

17,780

52,030

Power

Financial

Corp.(a)

61,641

1,658,570

Quebecor,

Inc.,

Class

B(a)

152,954

3,903,504

Rogers

Communications,

Inc.,

Class

B(a)

71,911

3,570,768

Royal

Bank

of

Canada(a)

113,499

8,980,803

Seven

Generations

Energy

Ltd.,

Class

A*(a)

780,027

5,087,851

Shaw

Communications,

Inc.,

Class

B

28,761

583,614

Sun

Life

Financial,

Inc.

16,247

740,815

Teck

Resources

Ltd.,

Class

B(a)

204,307

3,543,178

Toronto-Dominion

Bank

(The)(a)

189,666

10,637,538

Tourmaline

Oil

Corp.(a)

379,030

4,442,522

156,822,449

—

China

-

0.3%

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

6,486,900

5,407,271

Italy

-

6.0%

A2A

SpA(2)

4,756,131

8,931,259

Assicurazioni

Generali

SpA(2)(a)

1,054,445

21,768,805

Autogrill

SpA(2)

45,972

481,263

BPER

Banca(2)(a)

502,964

2,530,686

Enel

SpA(2)(a)

4,134,543

32,844,089

Eni

SpA(2)(a)

430,469

6,685,713

Hera

SpA(2)

1,064,066

4,660,652

INVESTMENTS

SHARES

VALUE

Italy

-

6.0%

(continued)

Italgas

SpA(2)

687,867

$

4,205,411

Leonardo

SpA(2)

194,017

2,275,303

Poste

Italiane

SpA(2)(c)

1,718,167

19,523,318

Snam

SpA(2)

418,825

2,202,099

Terna

Rete

Elettrica

Nazionale

SpA(2)

(a)

1,471,846

9,843,583

Unipol

Gruppo

SpA(2)

521,978

2,996,711

UnipolSai

Assicurazioni

SpA(2)

1,929,814

5,612,508

124,561,400

—

Singapore

-

0.4%

ComfortDelGro

Corp.

Ltd.(2)

1,525,800

2,699,764

Genting

Singapore

Ltd.(2)

1,319,700

903,716

Venture

Corp.

Ltd.(2)(b)

276,400

3,334,424

Wilmar

International

Ltd.(2)

626,900

1,920,633

8,858,537

—

Spain

-

0.9%

Repsol

SA(2)(a)

1,129,874

17,750,503

United

Kingdom

-

0.8%

Fiat

Chrysler

Automobiles

NV(2)

1,173,468

17,398,463

United

States

-

49.0%

Aaron's,

Inc.(a)

32,779

1,872,009

Activision

Blizzard,

Inc.(b)

21,700

1,289,414

Acuity

Brands,

Inc.(a)(b)

62,500

8,625,000

Adobe,

Inc.*(a)

16,293

5,373,594

AECOM*

20,284

874,849

AGCO

Corp.(a)(b)

43,644

3,371,499

Air

Lease

Corp.(b)

18,208

865,244

Akamai

Technologies,

Inc.*(a)

115,204

9,951,322

Align

Technology,

Inc.*(b)

5,166

1,441,521

Alliance

Data

Systems

Corp.(a)

20,155

2,261,391

Allison

Transmission

Holdings,

Inc.(a)

43,866

2,119,605

Alphabet,

Inc.,

Class

A*(a)

16,165

21,651,238

Amazon.com,

Inc.*(a)

785

1,450,554

Amdocs

Ltd.(a)

147,837

10,672,353

American

Eagle

Outfitters,

Inc.(a)(b)

323,742

4,759,007

AmerisourceBergen

Corp.(a)(b)

47,856

4,068,717

Analog

Devices,

Inc.(a)

10,286

1,222,388

ANSYS,

Inc.*(a)

17,532

4,512,912

Anthem,

Inc.(a)(b)

38,447

11,612,147

Apergy

Corp.*(a)

40,993

1,384,744

Applied

Materials,

Inc.(a)(b)

118,613

7,240,138

Arconic,

Inc.(b)

97,658

3,004,937

Aspen

Technology,

Inc.*

3,555

429,906

AutoNation,

Inc.*(b)

67,152

3,265,602

AutoZone,

Inc.*(a)(b)

2,218

2,642,326

Bausch

Health

Cos.,

Inc.*

111,700

3,343,559

Baxter

International,

Inc.(a)(b)

115,344

9,645,065

Best

Buy

Co.,

Inc.(b)

84,923

7,456,239

Booking

Holdings,

Inc.*(a)(b)

4,466

9,171,958

Booz

Allen

Hamilton

Holding

Corp.(a)

47,463

3,376,043

Broadcom,

Inc.(a)

8,071

2,550,597

BRP,

Inc.(a)

184,540

8,407,367

Burlington

Stores,

Inc.*(b)

16,188

3,691,350

CACI

International,

Inc.,

Class

A*(a)

(b)

14,212

3,552,858

Cadence

Design

Systems,

Inc.*(a)

151,069

10,478,146

202

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

49.0%

(continued)

Callon

Petroleum

Co.*(b)

1,494,312

$

7,217,527

Cardinal

Health,

Inc.(b)

52,826

2,671,939

Carlisle

Cos.,

Inc.(a)

30,305

4,904,561

Cars.com,

Inc.*

145,614

1,779,403

CDK

Global,

Inc.(a)(b)

86,943

4,754,043

Centene

Corp.*(b)

7,485

470,582

Cigna

Corp.(a)

8,534

1,745,118

Cirrus

Logic,

Inc.*(a)

222,622

18,346,278

Citrix

Systems,

Inc.(a)

29,228

3,241,385

CNX

Resources

Corp.*(a)(b)

419,189

3,709,823

Cognizant

Technology

Solutions

Corp.,

Class

A(a)

63,676

3,949,186

Cooper

Cos.,

Inc.

(The)(b)

22,673

7,284,608

Crane

Co.(a)

16,188

1,398,319

Cummins,

Inc.(a)(b)

40,837

7,308,190

Curtiss-Wright

Corp.(a)

56,121

7,906,888

CVS

Health

Corp.(a)

29,952

2,225,134

Danaher

Corp.(a)(b)

81,080

12,444,158

DaVita,

Inc.*

18,738

1,405,912

Dick's

Sporting

Goods,

Inc.(b)

92,156

4,560,800

Dillard's,

Inc.,

Class

A(a)(b)

140,388

10,315,710

Dollar

General

Corp.(a)

37,290

5,816,494

DXC

Technology

Co.(a)(b)

56,009

2,105,378

Eaton

Corp.

plc(a)(b)

198,167

18,770,377

eBay,

Inc.(b)

323,784

11,691,840

Edwards

Lifesciences

Corp.*(a)(b)

27,440

6,401,478

Electronic

Arts,

Inc.*(a)

85,458

9,187,590

EMCOR

Group,

Inc.(a)

45,375

3,915,863

Entegris,

Inc.(b)

12,180

610,096

Expedia

Group,

Inc.(a)(b)

24,084

2,604,444

Facebook,

Inc.,

Class

A*(a)

87,310

17,920,377

Fair

Isaac

Corp.*(a)(b)

19,025

7,128,287

Foot

Locker,

Inc.(a)(b)

185,832

7,245,590

Fortinet,

Inc.*(a)

60,296

6,437,201

Fortune

Brands

Home

&

Security,

Inc.

(b)

52,232

3,412,839

Gap,

Inc.

(The)(b)

251,964

4,454,724

GATX

Corp.(b)

7,670

635,460

General

Dynamics

Corp.(a)

40,680

7,173,918

Genpact

Ltd.(a)

16,679

703,353

Globus

Medical,

Inc.,

Class

A*(a)

150,633

8,869,271

GrafTech

International

Ltd.(b)

152,746

1,774,909

HCA

Healthcare,

Inc.(a)

24,331

3,596,365

HEICO

Corp.(b)

9,277

1,058,970

Henry

Schein,

Inc.*(b)

68,975

4,602,012

Hexcel

Corp.(a)

15,320

1,123,109

Hill-Rom

Holdings,

Inc.(a)

8,056

914,598

HollyFrontier

Corp.(a)(b)

228,614

11,593,016

Home

Depot,

Inc.

(The)(a)

11,502

2,511,807

Honeywell

International,

Inc.(a)

7,676

1,358,652

Hubbell,

Inc.(a)(b)

20,555

3,038,440

Humana,

Inc.(a)

18,168

6,658,935

Huntington

Ingalls

Industries,

Inc.(a)

(b)

87,533

21,960,278

IAC/InterActiveCorp*(b)

16,130

4,018,144

ICU

Medical,

Inc.*(b)

10,869

2,033,807

Ingersoll-Rand

plc(a)

8,563

1,138,194

Inogen,

Inc.*(b)

19,337

1,321,297

Intel

Corp.(a)(b)

280,644

16,796,542

INVESTMENTS

SHARES

VALUE

United

States

-

49.0%

(continued)

International

Business

Machines

Corp.(a)(b)

120,881

$

16,202,889

Interpublic

Group

of

Cos.,

Inc.

(The)

(b)

26,755

618,041

Intuit,

Inc.(a)

2,224

582,532

ITT,

Inc.(a)

77,198

5,705,704

j2

Global,

Inc.(b)

133,488

12,509,160

Johnson

Controls

International

plc(b)

73,673

2,999,228

KLA

Corp.(b)

19,533

3,480,195

Kohl's

Corp.(b)

126,199

6,429,839

L3Harris

Technologies,

Inc.(b)

20,442

4,044,859

Laboratory

Corp.

of

America

Holdings*(a)(b)

25,388

4,294,888

Lam

Research

Corp.(a)(b)

40,887

11,955,359

Leidos

Holdings,

Inc.

8,784

859,866

Lockheed

Martin

Corp.(a)(b)

44,067

17,158,807

LogMeIn,

Inc.(a)

35,589

3,051,401

Macy's,

Inc.(b)

360,657

6,131,169

Manhattan

Associates,

Inc.*(a)

108,820

8,678,395

Marathon

Petroleum

Corp.(a)(b)

75,380

4,541,645

Masco

Corp.(a)(b)

182,925

8,778,571

Masimo

Corp.*(b)

12,376

1,956,151

MasTec,

Inc.*(a)

118,337

7,592,502

Match

Group,

Inc.*(a)(b)

52,779

4,333,684

McKesson

Corp.(a)

58,011

8,024,082

MEDNAX,

Inc.*(a)(b)

88,873

2,469,781

Medtronic

plc(b)

71,398

8,100,103

Michaels

Cos.,

Inc.

(The)*(b)

205,375

1,661,484

Micron

Technology,

Inc.*(a)(b)

192,810

10,369,322

Microsoft

Corp.(a)

82,712

13,043,682

MKS

Instruments,

Inc.(b)

13,796

1,517,698

Molina

Healthcare,

Inc.*(b)

42,414

5,755,156

Murphy

USA,

Inc.*(a)

109,904

12,858,768

NewMarket

Corp.

2,853

1,388,042

Nordstrom,

Inc.(b)

29,433

1,204,693

Northrop

Grumman

Corp.(a)

50,831

17,484,338

Nuance

Communications,

Inc.*(b)

39,410

702,680

NuVasive,

Inc.*(a)(b)

45,077

3,486,255

nVent

Electric

plc(b)

35,715

913,590

Omnicom

Group,

Inc.(b)

12,929

1,047,508

ON

Semiconductor

Corp.*(a)(b)

164,371

4,007,365

Oracle

Corp.(a)(b)

275,258

14,583,169

O'Reilly

Automotive,

Inc.*

1,769

775,282

Oshkosh

Corp.(a)

95,303

9,020,429

Owens

Corning(a)(b)

164,107

10,686,648

PACCAR,

Inc.(b)

30,885

2,443,004

Parker-Hannifin

Corp.(b)

16,666

3,430,196

Patterson

Cos.,

Inc.(b)

20,743

424,817

Patterson-UTI

Energy,

Inc.(b)

577,897

6,067,919

Penske

Automotive

Group,

Inc.(b)

34,220

1,718,528

Phillips

66(a)(b)

50,235

5,596,681

Qorvo,

Inc.*(a)(b)

58,345

6,781,439

QUALCOMM,

Inc.(b)

9,365

826,274

Quanta

Services,

Inc.(a)

161,021

6,555,165

Quest

Diagnostics,

Inc.(b)

3,578

382,095

Qurate

Retail,

Inc.,

Series

A*(a)(b)

792,238

6,678,566

Regal

Beloit

Corp.(a)

73,698

6,309,286

ResMed,

Inc.(b)

4,672

724,020

Roper

Technologies,

Inc.

1,188

420,825

Ross

Stores,

Inc.(a)

57,770

6,725,583

203

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

49.0%

(continued)

Sally

Beauty

Holdings,

Inc.*(b)

260,919

$

4,761,772

Science

Applications

International

Corp.(b)

7,984

694,768

Skyworks

Solutions,

Inc.(a)(b)

113,008

13,660,407

Snap-on,

Inc.(b)

61,614

10,437,412

Southwestern

Energy

Co.*(b)

2,806,085

6,790,726

Spirit

AeroSystems

Holdings,

Inc.,

Class

A(a)

241,335

17,588,494

SS&C

Technologies

Holdings,

Inc.(b)

26,404

1,621,206

STERIS

plc(a)(b)

5,242

798,986

Stryker

Corp.

1,864

391,328

Synaptics,

Inc.*

11,410

750,436

SYNNEX

Corp.(a)(b)

5,774

743,691

Synopsys,

Inc.*(a)

33,011

4,595,131

Target

Corp.(a)(b)

121,980

15,639,056

Teledyne

Technologies,

Inc.*(a)(b)

27,842

9,648,367

Teradyne,

Inc.(a)(b)

38,757

2,642,840

Terex

Corp.(b)

20,251

603,075

Texas

Instruments,

Inc.(a)

76,438

9,806,231

Textron,

Inc.(a)(b)

206,908

9,228,097

Timken

Co.

(The)(a)

49,464

2,785,318

TJX

Cos.,

Inc.

(The)(a)(b)

101,919

6,223,174

TripAdvisor,

Inc.(a)

256,886

7,804,197

Twitter,

Inc.*(a)(b)

107,034

3,430,440

United

Technologies

Corp.(a)

54,748

8,199,060

UnitedHealth

Group,

Inc.(b)

3,963

1,165,043

Universal

Health

Services,

Inc.,

Class

B(b)

67,299

9,654,715

Urban

Outfitters,

Inc.*(b)

67,383

1,871,226

Valero

Energy

Corp.(a)(b)

72,071

6,749,449

Varian

Medical

Systems,

Inc.*(a)

25,106

3,565,303

VeriSign,

Inc.*(a)

45,622

8,790,447

VMware,

Inc.,

Class

A*(b)

52,304

7,939,224

West

Pharmaceutical

Services,

Inc.(a)

3,218

483,762

Western

Union

Co.

(The)

15,391

412,171

Williams-Sonoma,

Inc.(a)(b)

123,759

9,088,861

Woodward,

Inc.(a)(b)

75,893

8,988,767

World

Fuel

Services

Corp.(a)

40,497

1,758,380

Xilinx,

Inc.(b)

38,712

3,784,872

Yelp,

Inc.*(a)

13,806

480,863

1,015,525,471

—

TOTAL

COMMON

STOCKS

(Cost

$1,167,403,388)

1,346,324,094

SHORT-TERM

INVESTMENTS

-

67.6%

INVESTMENT

COMPANIES

-

44.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(d)(e)

113,570,971

113,570,971

Limited

Purpose

Cash

Investment

Fund,

1.61%(d)(f)

806,746,055

806,746,055

TOTAL

INVESTMENT

COMPANIES

(Cost

$920,124,779)

920,317,026

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

23.2%

U.S.

Treasury

Bills

2.03%,

1/23/2020(2)(g)

$

26,713,000

26,690,094

2.06%,

1/30/2020(2)(g)(h)

50,698,000

50,640,620

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

23.2%

(continued)

1.97%,

2/6/2020(2)(g)

$

17,627,000

$

17,601,465

1.91%,

2/13/2020(2)(g)(h)

40,539,000

40,468,648

1.86%,

2/20/2020(2)(g)(i)

170,707,000

170,354,988

1.86%,

2/27/2020(2)(g)

22,480,000

22,427,197

1.84%,

3/5/2020(2)(g)(i)

11,574,000

11,543,568

1.88%,

3/26/2020(2)(g)

2,999,000

2,988,449

1.81%,

4/2/2020(2)(g)

7,739,000

7,709,167

1.63%,

4/16/2020(2)(g)

12,266,000

12,211,704

1.61%,

4/23/2020(2)(g)

30,503,000

30,357,545

1.62%,

4/30/2020(2)(g)(i)

59,046,000

58,748,058

1.55%,

5/7/2020(2)(g)

2,568,000

2,554,305

1.56%,

5/14/2020(2)(g)

25,975,000

25,828,392

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$479,911,874)

480,124,200

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,400,036,653)

1,400,441,226

TOTAL

LONG

POSITIONS

(Cost

$2,567,440,041)

2,746,765,320

SHARES

SHORT

POSITIONS

-

(51.3)%

COMMON

STOCKS

-

(51.3)%

Argentina

-

0.0%(j)

MercadoLibre,

Inc.*

(1,134)

(648,580)

Brazil

-

0.0%(j)

Yamana

Gold,

Inc.

(164,071)

(649,436)

Canada

-

(8.0)%

Agnico

Eagle

Mines

Ltd.

(70,447)

(4,338,956)

Algonquin

Power

&

Utilities

Corp.

(28,053)

(396,853)

AltaGas

Ltd.

(522,011)

(7,951,467)

Barrick

Gold

Corp.

(289,348)

(5,374,513)

BlackBerry

Ltd.*

(383,274)

(2,464,547)

Bombardier,

Inc.,

Class

B*

(5,023,787)

(7,466,720)

Cameco

Corp.

(551,961)

(4,905,187)

Canada

Goose

Holdings,

Inc.*

(130,942)

(4,740,351)

Canadian

National

Railway

Co.

(10,189)

(921,722)

CCL

Industries,

Inc.,

Class

B

(74,463)

(3,172,225)

Cenovus

Energy,

Inc.

(621,016)

(6,312,742)

Dollarama,

Inc.

(251,604)

(8,647,404)

Element

Fleet

Management

Corp.

(454,590)

(3,882,333)

Enbridge,

Inc.

(344,962)

(13,715,596)

Fairfax

Financial

Holdings

Ltd.

(929)

(436,216)

Finning

International,

Inc.

(196,715)

(3,832,651)

Franco-Nevada

Corp.

(37,042)

(3,825,006)

George

Weston

Ltd.

(6,938)

(550,424)

Gildan

Activewear,

Inc.

(20,199)

(597,158)

Imperial

Oil

Ltd.

(14,318)

(378,748)

Inter

Pipeline

Ltd.

(297,085)

(5,156,749)

Keyera

Corp.

(130,503)

(3,418,977)

Methanex

Corp.

(15,979)

(617,109)

Pan

American

Silver

Corp.

(89,275)

(2,114,743)

Parkland

Fuel

Corp.

(17,477)

(642,122)

Pembina

Pipeline

Corp.

(252,582)

(9,361,805)

Restaurant

Brands

International,

Inc.

(60,994)

(3,888,247)

Saputo,

Inc.

(29,586)

(915,912)

Shopify,

Inc.,

Class

A*

(23,100)

(9,184,498)

SNC-Lavalin

Group,

Inc.

(648,881)

(14,965,912)

Stars

Group,

Inc.

(The)*

(93,357)

(2,436,463)

204

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Canada

-

(8.0)%

(continued)

Suncor

Energy,

Inc.

(37,577)

$

(1,231,587)

TC

Energy

Corp.

(145,345)

(7,740,988)

Vermilion

Energy,

Inc.

(139,253)

(2,276,648)

West

Fraser

Timber

Co.

Ltd.

(108,369)

(4,780,237)

Wheaton

Precious

Metals

Corp.

(431,479)

(12,839,204)

WSP

Global,

Inc.

(9,855)

(672,937)

(166,154,957)

—

Chile

-

(0.2)%

Lundin

Mining

Corp.

(564,437)

(3,373,017)

Ghana

-

(0.4)%

Kosmos

Energy

Ltd.

(1,311,433)

(7,475,168)

Italy

-

(2.8)%

Amplifon

SpA(2)

(30,240)

(870,285)

Atlantia

SpA(2)

(153,704)

(3,587,284)

Azimut

Holding

SpA(2)

(30,457)

(727,734)

Banca

Generali

SpA(2)

(40,233)

(1,307,927)

Banco

BPM

SpA(2)*

(215,659)

(490,835)

Buzzi

Unicem

SpA(2)

(149,633)

(3,771,786)

Davide

Campari-Milano

SpA(2)

(729,494)

(6,665,601)

Ferrari

NV(2)

(95,887)

(15,920,661)

FinecoBank

Banca

Fineco

SpA(2)

(625,383)

(7,501,978)

Freni

Brembo

SpA(2)

(338,991)

(4,208,797)

Moncler

SpA(2)

(39,091)

(1,759,387)

Pirelli

&

C

SpA(2)(c)

(143,709)

(829,442)

Prysmian

SpA(2)

(372,383)

(8,989,038)

Saipem

SpA(2)*

(105,783)

(517,354)

Unione

di

Banche

Italiane

SpA(2)

(162,297)

(530,526)

(57,678,635)

—

Luxembourg

-

(0.2)%

Tenaris

SA(2)

(296,408)

(3,358,283)

Netherlands

-

(0.2)%

Koninklijke

Vopak

NV(2)

(91,450)

(4,969,429)

Portugal

-

0.0%(j)

Banco

Espirito

Santo

SA

(Registered)

(3)*(k)

(216,618)

(2)

Singapore

-

(0.5)%

City

Developments

Ltd.(2)

(159,800)

(1,300,586)

Keppel

Corp.

Ltd.(2)

(225,500)

(1,136,197)

Singapore

Telecommunications

Ltd.

(2)

(2,844,200)

(7,130,747)

(9,567,530)

—

Switzerland

-

(0.2)%

Temenos

AG

(Registered)(2)*

(23,184)

(3,667,462)

United

Kingdom

-

(0.5)%

CNH

Industrial

NV(2)

(1,005,762)

(11,043,165)

United

States

-

(38.1)%

2U,

Inc.*

(74,700)

(1,792,053)

Acadia

Healthcare

Co.,

Inc.*

(290,317)

(9,644,331)

Advanced

Micro

Devices,

Inc.*

(224,241)

(10,283,692)

Alteryx,

Inc.,

Class

A*

(23,308)

(2,332,432)

Amedisys,

Inc.*

(8,861)

(1,479,078)

Antero

Resources

Corp.*

(1,272,304)

(3,626,066)

INVESTMENTS

SHARES

VALUE

United

States

-

(38.1)%

(continued)

Apache

Corp.

(666,269)

$

(17,049,823)

Atlassian

Corp.

plc,

Class

A*

(43,231)

(5,202,419)

Autodesk,

Inc.*

(4,606)

(845,017)

Avalara,

Inc.*

(43,228)

(3,166,451)

Avanos

Medical,

Inc.*

(55,519)

(1,870,990)

Axon

Enterprise,

Inc.*

(80,129)

(5,871,853)

Baker

Hughes

Co.

(578,622)

(14,830,082)

Boeing

Co.

(The)

(24,748)

(8,061,908)

BWX

Technologies,

Inc.

(79,925)

(4,961,744)

Cabot

Oil

&

Gas

Corp.

(152,055)

(2,647,278)

Cantel

Medical

Corp.

(9,886)

(700,917)

CarMax,

Inc.*

(24,536)

(2,151,071)

Carvana

Co.*

(135,988)

(12,517,695)

Centennial

Resource

Development,

Inc.,

Class

A*

(496,632)

(2,294,440)

Ceridian

HCM

Holding,

Inc.*

(53,922)

(3,660,225)

Cheniere

Energy,

Inc.*

(431,239)

(26,335,765)

Chesapeake

Energy

Corp.*

(486,369)

(401,546)

Chevron

Corp.

(87,337)

(10,524,982)

Cimarex

Energy

Co.

(17,387)

(912,644)

Colfax

Corp.*

(25,775)

(937,695)

CommVault

Systems,

Inc.*

(30,814)

(1,375,537)

Concho

Resources,

Inc.

(121,141)

(10,608,317)

ConocoPhillips

(122,008)

(7,934,180)

Core

Laboratories

NV

(62,091)

(2,338,968)

Coupa

Software,

Inc.*

(41,915)

(6,130,069)

Covetrus,

Inc.*

(301,662)

(3,981,938)

Cree,

Inc.*

(96,729)

(4,464,043)

Devon

Energy

Corp.

(109,065)

(2,832,418)

DexCom,

Inc.*

(38,261)

(8,369,211)

DocuSign,

Inc.*

(62,793)

(4,653,589)

Dollar

Tree,

Inc.*

(42,805)

(4,025,810)

Donaldson

Co.,

Inc.

(48,709)

(2,806,613)

Dover

Corp.

(9,901)

(1,141,189)

Dycom

Industries,

Inc.*

(67,058)

(3,161,785)

Emerson

Electric

Co.

(14,052)

(1,071,606)

Encompass

Health

Corp.

(29,153)

(2,019,428)

EnerSys

(10,951)

(819,463)

EOG

Resources,

Inc.

(97,502)

(8,166,768)

EQT

Corp.

(612,091)

(6,671,792)

Equitrans

Midstream

Corp.

(986,011)

(13,173,107)

Etsy,

Inc.*

(28,586)

(1,266,360)

Exxon

Mobil

Corp.

(121,588)

(8,484,411)

Fastenal

Co.

(189,101)

(6,987,282)

FireEye,

Inc.*

(591,103)

(9,770,933)

First

Solar,

Inc.*

(18,321)

(1,025,243)

Five

Below,

Inc.*

(64,066)

(8,191,479)

Floor

&

Decor

Holdings,

Inc.,

Class

A*

(168,495)

(8,561,231)

Flowserve

Corp.

(103,903)

(5,171,252)

Fluor

Corp.

(341,778)

(6,452,769)

Fortive

Corp.

(5,581)

(426,333)

Gardner

Denver

Holdings,

Inc.*

(11,310)

(414,851)

Gartner,

Inc.*

(50,517)

(7,784,670)

General

Electric

Co.

(1,398,945)

(15,612,226)

Genuine

Parts

Co.

(33,973)

(3,608,952)

GoDaddy,

Inc.,

Class

A*

(17,380)

(1,180,450)

Granite

Construction,

Inc.

(113,082)

(3,128,979)

Grubhub,

Inc.*

(159,792)

(7,772,283)

Guidewire

Software,

Inc.*

(82,889)

(9,098,726)

HealthEquity,

Inc.*

(167,495)

(12,406,355)

205

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

(38.1)%

(continued)

Hess

Corp.

(235,136)

$

(15,709,436)

HubSpot,

Inc.*

(3,733)

(591,681)

Insulet

Corp.*

(42,984)

(7,358,861)

Kinder

Morgan,

Inc.

(381,972)

(8,086,347)

LivaNova

plc*

(18,656)

(1,407,222)

LiveRamp

Holdings,

Inc.*

(87,791)

(4,220,113)

LKQ

Corp.*

(54,479)

(1,944,900)

Marathon

Oil

Corp.

(39,530)

(536,817)

Marvell

Technology

Group

Ltd.

(59,816)

(1,588,713)

Matador

Resources

Co.*

(47,316)

(850,269)

Middleby

Corp.

(The)*

(15,338)

(1,679,818)

MongoDB,

Inc.*

(20,624)

(2,714,325)

Monolithic

Power

Systems,

Inc.

(16,183)

(2,880,898)

Murphy

Oil

Corp.

(95,453)

(2,558,140)

National

Oilwell

Varco,

Inc.

(530,861)

(13,298,068)

Netflix,

Inc.*

(37,859)

(12,250,037)

Noble

Energy,

Inc.

(750,852)

(18,651,163)

NOW,

Inc.*

(309,113)

(3,474,430)

Nutanix,

Inc.,

Class

A*

(54,479)

(1,703,014)

NVIDIA

Corp.

(9,488)

(2,232,526)

Occidental

Petroleum

Corp.

(401,717)

(16,554,758)

Oceaneering

International,

Inc.*

(205,342)

(3,061,649)

Okta,

Inc.*

(21,741)

(2,508,259)

Ollie's

Bargain

Outlet

Holdings,

Inc.*

(228,461)

(14,920,788)

ONEOK,

Inc.

(279,618)

(21,158,693)

Parsley

Energy,

Inc.,

Class

A

(86,787)

(1,641,142)

PBF

Energy,

Inc.,

Class

A

(47,861)

(1,501,400)

Penumbra,

Inc.*

(24,578)

(4,037,428)

Pluralsight,

Inc.,

Class

A*

(238,648)

(4,107,132)

Pool

Corp.

(11,142)

(2,366,338)

Premier,

Inc.,

Class

A*

(270,713)

(10,254,608)

Proofpoint,

Inc.*

(9,759)

(1,120,138)

QEP

Resources,

Inc.

(1,104,975)

(4,972,388)

Range

Resources

Corp.

(1,148,321)

(5,569,357)

Resideo

Technologies,

Inc.*

(177,209)

(2,114,103)

RingCentral,

Inc.,

Class

A*

(21,972)

(3,706,017)

Rockwell

Automation,

Inc.

(24,213)

(4,907,249)

Schlumberger

Ltd.

(683,695)

(27,484,538)

ServiceNow,

Inc.*

(2,193)

(619,128)

Signet

Jewelers

Ltd.

(26,411)

(574,175)

Smartsheet,

Inc.,

Class

A*

(79,704)

(3,580,304)

Snap,

Inc.,

Class

A*

(486,903)

(7,951,126)

Splunk,

Inc.*

(23,521)

(3,522,740)

Square,

Inc.,

Class

A*

(114,211)

(7,145,040)

Switch,

Inc.,

Class

A

(221,890)

(3,288,410)

Targa

Resources

Corp.

(545,687)

(22,280,399)

Tenet

Healthcare

Corp.*

(333,210)

(12,671,976)

Teradata

Corp.*

(17,557)

(470,001)

TransDigm

Group,

Inc.

(2,879)

(1,612,240)

Transocean

Ltd.*

(449,561)

(3,092,980)

Trex

Co.,

Inc.*

(111,387)

(10,011,464)

Trinity

Industries,

Inc.

(214,481)

(4,750,754)

Twilio,

Inc.,

Class

A*

(87,571)

(8,606,478)

United

Rentals,

Inc.*

(11,157)

(1,860,653)

Univar

Solutions,

Inc.*

(708,416)

(17,172,003)

Universal

Display

Corp.

(19,656)

(4,050,512)

Valaris

plc

(1,047,330)

(6,870,485)

Watsco,

Inc.

(27,765)

(5,001,865)

Wayfair,

Inc.,

Class

A*

(91,662)

(8,283,495)

Welbilt,

Inc.*

(385,112)

(6,011,598)

INVESTMENTS

SHARES

VALUE

United

States

-

(38.1)%

(continued)

Westinghouse

Air

Brake

Technologies

Corp.

(139,074)

$

(10,819,957)

Williams

Cos.,

Inc.

(The)

(578,157)

(13,713,884)

Workday,

Inc.,

Class

A*

(4,193)

(689,539)

WPX

Energy,

Inc.*

(215,928)

(2,966,851)

WW

Grainger,

Inc.

(6,108)

(2,067,680)

Zendesk,

Inc.*

(66,382)

(5,086,853)

Zillow

Group,

Inc.,

Class

C*

(213,619)

(9,813,657)

Zscaler,

Inc.*

(15,416)

(716,844)

Zynga,

Inc.,

Class

A*

(217,918)

(1,333,658)

(789,552,325)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(472,542)

(4,792,560)

TOTAL

COMMON

STOCKS

(Proceeds$(1,064,756,696))

(1,062,930,549)

TOTAL

SHORT

POSITIONS

(Proceeds

$(1,064,756,696))

(1,062,930,549)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

81.3%

(Cost

$1,502,683,345)

1,683,834,771

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

18.7%(l)

387,486,651

NET

ASSETS

-

100.0%

$2,071,321,422

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

44,025,365

2.1

%

Consumer

Discretionary

87,810,277

4.3

Consumer

Staples

(1,585,718)

(0.1)

Energy

(301,600,452)

(14.5)

Financials

107,547,675

5.2

Health

Care

68,812,308

3.3

Industrials

114,395,741

5.5

Information

Technology

149,384,822

7.2

Materials

(43,710,426)

(2.1)

Real

Estate

(1,300,586)

(0.1)

Utilities

59,614,539

2.9

Short-Term

Investments

1,400,441,226

67.6

Total

Investments

In

Securities

At

Value

1,683,834,771

81.3

Other

Assets

in

Excess

of

Liabilities(l)

387,486,651

18.7

Net

Assets

$

2,071,321,422

100.0%

206

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

*

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

$863,821,625.

(b)

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

$292,202,304.

(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

December

31,

2019

amounted

to

$21,007,656,

which

represents

approximately

1.01%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(f)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

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

futures

contracts.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(j)

Represents

less

than

0.05%

of

net

assets.

(k)

Security

fair

valued

as

of

December

31,

2019

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2019

amounted

to

$(2),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

39.0%

INVESTMENT

COMPANIES

-

39.0%

Limited

Purpose

Cash

Investment

Fund,

1.61%(a)

(Cost

$806,553,808)

766,394,439

3,048,631,835

(3,008,280,219)

806,746,055

$806,746,055

$22,172,914

$84,376

$(15,487)

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/28/2020

TRY

197,820

$

431

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(389,068,400)

5,399,587

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/19/2020

ZAR

(32,516,250)

612

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/12/2020

KRW

10,332,000,000

584,805

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/12/2020

KRW

11,217,600,000

643,770

207

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

59,187,600,000

$

3,380,500

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

USD

(5,730,660)

43,820

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

USD

(1,983,690)

13,381

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

USD

(1,420,420)

6,147

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

27,709,500

1,308,654

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

71,232,525

3,376,748

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/20/2020

CHF

275,045,080

2,018,810

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

EUR

10,471,441

200,166

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

CITI

03/18/2020

MXN

(9,107,772)

–

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

SGD

1,352,389

23,113

MSCI

Spain

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

03/20/2020

EUR

64,823,711

1,912,649

208

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

CHF

62,288,715

$

1,427,934

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.40%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

GBP

107,064

6,387

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

USD

1,759,930

15,420

20,362,934

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(76,212,263)

(790,708)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(30,535,313)

(266,365)

Hang

Seng

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

HKD

(5,654,000)

(5,585)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

(162,559,500)

(250,694)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

HKD

(119,397,150)

(175,291)

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

02/12/2020

BRL

(23,190,400)

(124,337)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(27,088,425)

(273,640)

209

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Tel

Aviv

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/29/2020

ILS

63,965,020

$

(27,141)

WIG20

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

03/20/2020

PLN

(5,308,680)

(13,820)

WIG20

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

03/20/2020

PLN

(1,596,920)

(4,633)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

AUD

7,254,758

(20,598)

MSCI

Brazil

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

CDI

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

03/18/2020

BRL

(4,508,579)

(48,718)

MSCI

China

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.20%)

Monthly

GSIN

03/18/2020

HKD

(785,208)

(6,633)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(315,123)

(7,274)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(383,437)

(6,564)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(402,102)

(2,091)

210

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(416,698)

$

(7,143)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(468,017)

(5,127)

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

(-0.30%)

Monthly

JPMC

03/18/2020

USD

(751,138)

(25,850)

MSCI

France

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

(-0.11%)

Monthly

CITI

03/18/2020

EUR

(34,481,480)

(807,896)

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

CITI

03/18/2020

MXN

(35,271,725)

(35,632)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.12%)

Monthly

CITI

03/18/2020

EUR

(11,614,186)

(223,656)

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

03/18/2020

PLN

(612,000)

(7,302)

211

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

CITI

03/18/2020

ZAR

(284,257,724)

$

(1,041,789)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

CITI

03/18/2020

SEK

(164,995,660)

(428,301)

(4,606,788)

$

15,756,146

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

1,963

1/2020

USD

$

129,558,000

$

4,110,974

IBEX

35

Index

1,348

1/2020

EUR

144,072,812

(1,096,754)

MSCI

Singapore

Index

462

1/2020

SGD

12,761,292

(13,902)

MSCI

Taiwan

Index

1,988

1/2020

USD

91,368,480

(664,430)

Natural

Gas

1,403

1/2020

USD

30,711,670

(1,065,054)

WTI

Crude

Oil

973

1/2020

USD

59,411,380

2,076,742

3

Month

Canadian

Bankers

Acceptance

129

3/2020

CAD

24,338,685

339

3

Month

Eurodollar

904

3/2020

USD

222,078,900

(169,936)

ASX

90

Day

Bank

Accepted

Bill

658

3/2020

AUD

460,740,373

96,980

Australia

3

Year

Bond

26,626

3/2020

AUD

2,149,006,808

(14,003,266)

EURO

STOXX

50

Index

12,661

3/2020

EUR

529,586,750

(1,518,070)

Euro-Bobl

740

3/2020

EUR

110,920,650

(615,626)

Euro-Bund

7,899

3/2020

EUR

1,510,593,957

(24,502,871)

FTSE

100

Index

1,560

3/2020

GBP

154,957,534

827,111

FTSE/MIB

Index

1,006

3/2020

EUR

132,082,755

(387,972)

Japan

10

Year

Bond

57

3/2020

JPY

79,833,050

(18,149)

KOSPI

200

Index

380

3/2020

KRW

24,250,076

1,259,468

LME

Copper

Base

Metal

10

3/2020

USD

1,543,410

(12,245)

LME

Copper

Base

Metal

10

3/2020

USD

1,543,750

(10,467)

Silver

748

3/2020

USD

67,024,540

2,634,702

SPI

200

Index

2,193

3/2020

AUD

254,040,138

(6,907,033)

U.S.

Treasury

2

Year

Note

28,077

3/2020

USD

6,050,593,501

(3,063,071)

U.S.

Treasury

5

Year

Note

1,113

3/2020

USD

132,012,234

(483,014)

3

Month

Canadian

Bankers

Acceptance

241

6/2020

CAD

45,479,227

(1,652)

3

Month

Eurodollar

4,690

6/2020

USD

1,152,684,750

(1,635,360)

ASX

90

Day

Bank

Accepted

Bill

3,711

6/2020

AUD

2,598,747,436

1,245,701

3

Month

Canadian

Bankers

Acceptance

318

9/2020

CAD

60,019,117

(1,348)

3

Month

Eurodollar

4,511

9/2020

USD

1,109,311,288

(1,895,156)

ASX

90

Day

Bank

Accepted

Bill

3,638

9/2020

AUD

2,547,877,609

(878,545)

3

Month

Canadian

Bankers

Acceptance

345

12/2020

CAD

65,115,080

(308)

212

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Eurodollar

3,607

12/2020

USD

$

887,141,650

$

(691,696)

ASX

90

Day

Bank

Accepted

Bill

2,587

12/2020

AUD

1,811,585,616

(534,878)

(47,918,786)

Short

Contracts

Amsterdam

Exchange

Index

(657)

1/2020

EUR

(89,117,250)

478,686

CAC

40

10

Euro

Index

(4,946)

1/2020

EUR

(331,211,312)

(45,444)

FTSE

Bursa

Malaysia

KLCI

Index

(11)

1/2020

MYR

(214,460)

1,187

Hang

Seng

Index

(732)

1/2020

HKD

(132,782,619)

(1,304,064)

HSCEI

(909)

1/2020

HKD

(65,390,186)

(737,580)

OMXS30

Index

(3,604)

1/2020

SEK

(68,039,023)

775,096

SGX

NIFTY

50

Index

(970)

1/2020

USD

(23,755,300)

152,076

100

oz

Gold

(2,335)

2/2020

USD

(355,643,850)

(11,342,782)

3

Month

Euro

Euribor

(530)

3/2020

EUR

(149,197,457)

22,126

3

Month

Sterling

(2,115)

3/2020

GBP

(347,564,687)

377,228

Australia

10

Year

Bond

(1,283)

3/2020

AUD

(128,711,677)

1,467,584

Canada

10

Year

Bond

(4,983)

3/2020

CAD

(527,559,848)

9,514,769

Copper

(1,035)

3/2020

USD

(72,372,375)

(3,749,344)

Corn

(4,166)

3/2020

USD

(80,768,325)

(620,056)

DAX

Index

(376)

3/2020

EUR

(139,670,831)

683,719

Euro-Buxl

(320)

3/2020

EUR

(71,207,311)

2,866,731

Euro-Schatz

(7,362)

3/2020

EUR

(924,106,496)

651,609

FTSE/JSE

Top

40

Index

(612)

3/2020

ZAR

(22,442,039)

87,905

LME

Copper

Base

Metal

(10)

3/2020

USD

(1,543,410)

10,561

LME

Copper

Base

Metal

(15)

3/2020

USD

(2,315,625)

(116,969)

Long

Gilt

(5,802)

3/2020

GBP

(1,009,698,536)

8,214,528

MEX

BOLSA

Index

(201)

3/2020

MXN

(4,702,385)

101,088

S&P

500

E-Mini

Index

(3,825)

3/2020

USD

(617,947,875)

(10,019,127)

S&P/TSX

60

Index

(185)

3/2020

CAD

(28,846,637)

7,742

SET50

Index

(244)

3/2020

THB

(1,738,170)

(3,498)

TOPIX

Index

(366)

3/2020

JPY

(57,971,193)

(175,491)

U.S.

Treasury

10

Year

Note

(6,686)

3/2020

USD

(858,628,656)

679,965

U.S.

Treasury

Long

Bond

(911)

3/2020

USD

(142,030,594)

3,047,723

3

Month

Euro

Euribor

(2,683)

6/2020

EUR

(755,276,937)

189,215

3

Month

Sterling

(12,385)

6/2020

GBP

(2,035,881,692)

624,153

3

Month

Euro

Euribor

(2,851)

9/2020

EUR

(802,489,766)

340,591

3

Month

Sterling

(12,548)

9/2020

GBP

(2,063,091,624)

1,869,871

3

Month

Euro

Euribor

(2,224)

12/2020

EUR

(625,941,576)

200,427

3

Month

Sterling

(10,302)

12/2020

GBP

(1,693,728,062)

(136,796)

4,113,429

$

(43,805,357)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

140,986,992

USD

96,203,334

CITI

3/18/2020

$

2,918,622

AUD

140,986,997

USD

96,203,458

JPMC

3/18/2020

2,918,502

BRL

24,000,000

USD

5,887,479

CITI

**

3/18/2020

60,223

BRL

24,000,000

USD

5,887,486

JPMC

**

3/18/2020

60,215

CAD

173,136,680

USD

130,967,367

CITI

3/18/2020

2,398,843

CAD

173,136,670

USD

130,967,523

JPMC

3/18/2020

2,398,681

CHF

17,984,452

USD

18,397,570

CITI

3/18/2020

284,929

213

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

17,984,460

USD

18,397,601

JPMC

3/18/2020

$

284,907

CNY

395,471,201

USD

56,023,408

CITI

**

3/18/2020

689,414

CNY

395,471,209

USD

56,023,479

JPMC

**

3/18/2020

689,342

EUR

8,434,500

USD

9,406,491

CITI

3/18/2020

99,190

EUR

8,434,500

USD

9,406,503

JPMC

3/18/2020

99,179

GBP

214,538,625

USD

279,351,784

CITI

3/18/2020

5,415,517

GBP

214,538,624

USD

279,352,131

JPMC

3/18/2020

5,415,167

ILS

151,000

USD

43,687

CITI

3/18/2020

218

ILS

151,000

USD

43,687

JPMC

3/18/2020

218

INR

2,620,124,352

USD

36,185,544

CITI

**

3/18/2020

316,755

INR

2,620,124,338

USD

36,185,589

JPMC

**

3/18/2020

316,712

JPY

11,285,701,340

USD

104,219,434

CITI

3/18/2020

93,694

JPY

11,285,701,340

USD

104,219,564

JPMC

3/18/2020

93,564

KRW

19,300,000,000

USD

16,515,397

CITI

**

3/18/2020

215,176

KRW

19,300,000,000

USD

16,515,417

JPMC

**

3/18/2020

215,154

MXN

2,224,567,165

USD

112,565,189

CITI

3/18/2020

3,780,930

MXN

2,224,567,176

USD

112,565,331

JPMC

3/18/2020

3,780,788

NOK

2,302,754

USD

251,194

CITI

3/18/2020

11,159

NOK

2,302,763

USD

251,195

JPMC

3/18/2020

11,158

NZD

14,043,929

USD

9,023,600

CITI

3/18/2020

441,058

NZD

14,043,928

USD

9,023,611

JPMC

3/18/2020

441,047

PLN

24,500,000

USD

6,314,370

CITI

3/18/2020

144,574

PLN

24,500,004

USD

6,314,379

JPMC

3/18/2020

144,566

SEK

23,529,776

USD

2,461,371

CITI

3/18/2020

59,911

SEK

23,529,771

USD

2,461,374

JPMC

3/18/2020

59,909

SGD

21,177,749

USD

15,566,145

CITI

3/18/2020

191,460

SGD

21,177,752

USD

15,566,167

JPMC

3/18/2020

191,441

THB

42,295,000

USD

1,400,931

CITI

3/18/2020

13,605

THB

42,295,000

USD

1,400,933

JPMC

3/18/2020

13,604

USD

6,642,659

ILS

22,812,694

CITI

3/18/2020

9,609

USD

6,642,650

ILS

22,812,692

JPMC

3/18/2020

9,601

USD

524,047

MXN

10,000,000

CITI

3/18/2020

1,041

USD

524,046

MXN

10,000,000

JPMC

3/18/2020

1,040

USD

7,313,229

SEK

68,078,699

CITI

3/18/2020

18,402

USD

7,313,220

SEK

68,078,699

JPMC

3/18/2020

18,393

ZAR

551,500,000

USD

36,960,946

CITI

3/18/2020

2,026,256

ZAR

551,500,000

USD

36,960,992

JPMC

3/18/2020

2,026,209

Total

unrealized

appreciation

38,379,983

JPY

11,285,701,338

USD

104,587,246

CITI

3/18/2020

(274,118)

JPY

11,285,701,338

USD

104,587,377

JPMC

3/18/2020

(274,248)

KRW

250,000,000

USD

216,789

CITI

**

3/18/2020

(72)

KRW

250,000,000

USD

216,789

JPMC

**

3/18/2020

(72)

MXN

2,500,000

USD

131,076

CITI

3/18/2020

(325)

MXN

2,500,000

USD

131,077

JPMC

3/18/2020

(325)

USD

33,427,693

AUD

48,244,500

CITI

3/18/2020

(490,963)

USD

33,427,651

AUD

48,244,500

JPMC

3/18/2020

(491,005)

USD

28,349,881

BRL

120,327,512

CITI

**

3/18/2020

(1,469,792)

USD

28,349,848

BRL

120,327,522

JPMC

**

3/18/2020

(1,469,828)

USD

2,352,812

CAD

3,127,502

CITI

3/18/2020

(56,285)

USD

2,352,806

CAD

3,127,498

JPMC

3/18/2020

(56,288)

USD

331,520,841

CHF

326,893,128

CITI

3/18/2020

(8,060,305)

USD

331,520,413

CHF

326,893,115

JPMC

3/18/2020

(8,060,721)

USD

5,656,063

CNY

39,690,500

CITI

**

3/18/2020

(35,781)

USD

5,656,056

CNY

39,690,500

JPMC

**

3/18/2020

(35,788)

USD

805,423

DKK

5,386,212

CITI

3/18/2020

(7,324)

USD

805,422

DKK

5,386,211

JPMC

3/18/2020

(7,325)

USD

180,863,970

EUR

162,480,188

CITI

3/18/2020

(2,251,196)

USD

180,863,740

EUR

162,480,184

JPMC

3/18/2020

(2,251,422)

214

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

14,532,830

HUF

4,369,500,000

CITI

3/18/2020

$

(331,912)

USD

14,532,812

HUF

4,369,500,000

JPMC

3/18/2020

(331,930)

USD

46,314,216

ILS

159,809,358

CITI

3/18/2020

(152,168)

USD

46,314,154

ILS

159,809,347

JPMC

3/18/2020

(152,226)

USD

116,995,242

KRW

137,789,834,484

CITI

**

3/18/2020

(2,450,494)

USD

116,995,096

KRW

137,789,834,476

JPMC

**

3/18/2020

(2,450,640)

USD

17,062,807

MXN

330,500,000

CITI

3/18/2020

(222,529)

USD

17,062,786

MXN

330,500,000

JPMC

3/18/2020

(222,550)

USD

81,824,333

NOK

749,696,455

CITI

3/18/2020

(3,588,529)

USD

81,824,231

NOK

749,696,460

JPMC

3/18/2020

(3,588,632)

USD

28,496,751

SEK

268,993,710

CITI

3/18/2020

(326,694)

USD

28,496,715

SEK

268,993,707

JPMC

3/18/2020

(326,729)

USD

3,079,158

SGD

4,187,500

CITI

3/18/2020

(36,611)

USD

3,079,154

SGD

4,187,500

JPMC

3/18/2020

(36,615)

USD

15,322

THB

463,500

CITI

3/18/2020

(180)

USD

15,322

THB

463,500

JPMC

3/18/2020

(180)

USD

18,343,318

TWD

554,631,840

CITI

**

3/18/2020

(305,904)

USD

18,343,256

TWD

554,631,844

JPMC

**

3/18/2020

(305,966)

Total

unrealized

depreciation

(40,123,672)

Net

unrealized

depreciation

$

(1,743,689)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

or

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”)

plus

or

minus

a

specified

spread

(-0.08%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/19/2023

-

12/20/2024

$163,265,674

$(2,434,626)

$(1,066,334)

$(3,500,960)

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

AGL

Energy

Ltd.

1,029,213

14,814,066

67,641

(1.9)

Alumina

Ltd.

1,195,108

1,930,347

(55,368)

1.6

Aurizon

Holdings

Ltd.

557,596

2,046,337

3,830

(0.1)

Beach

Energy

Ltd.

1,899,492

3,359,731

120,028

(3.4)

BlueScope

Steel

Ltd.

825,539

8,743,779

1,571,387

(44.9)

215

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Boral

Ltd.

117,136

368,520

(3,477)

0.1

CIMIC

Group

Ltd.

32,024

744,546

(202,168)

5.8

Evolution

Mining

Ltd.

265,982

707,096

(138,780)

4.0

Flight

Centre

Travel

Group

Ltd.

15,656

484,242

(267,390)

7.6

Fortescue

Metals

Group

Ltd.

2,294,451

17,296,395

4,302,424

(122.9)

Harvey

Norman

Holdings

Ltd.

1,516,058

4,330,024

248,072

(7.1)

Iluka

Resources

Ltd.

294,540

1,928,582

217,193

(6.2)

Newcrest

Mining

Ltd.

241,971

5,110,179

1,231,621

(35.2)

Northern

Star

Resources

Ltd.

76,436

602,382

10,986

(0.3)

South32

Ltd.

2,700,794

5,099,414

(906,863)

25.9

Telstra

Corp.

Ltd.

3,449,994

8,569,755

297,205

(8.5)

Wesfarmers

Ltd.

92,325

2,683,124

340,144

(9.7)

Woodside

Petroleum

Ltd.

130,845

3,163,649

414,866

(11.9)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(206,989)

(4,260,414)

272,333

(7.8)

AMP

Ltd.

(3,393,588)

(4,565,047)

289,615

(8.3)

APA

Group

(823,980)

(6,414,226)

(826,180)

23.6

Atlas

Arteria

Ltd.

(376,931)

(2,072,541)

(8,039)

0.2

Challenger

Ltd.

(1,489,079)

(8,473,644)

(52,474)

1.5

Commonwealth

Bank

of

Australia

(9,776)

(548,412)

15,391

(0.4)

Domino's

Pizza

Enterprises

Ltd.

(11,726)

(431,000)

(81,130)

2.3

Insurance

Australia

Group

Ltd.

(216,731)

(1,164,521)

69,863

(2.0)

Lendlease

Group

(491,525)

(6,076,980)

(1,185,275)

33.9

Medibank

Pvt

Ltd.

(2,360,510)

(5,231,412)

(432,655)

12.4

National

Australia

Bank

Ltd.

(23,412)

(405,124)

19,983

(0.6)

Oil

Search

Ltd.

(277,792)

(1,416,473)

1,035

(0.0)

Origin

Energy

Ltd.

(938,583)

(5,565,086)

(809,642)

23.1

QBE

Insurance

Group

Ltd.

(889,277)

(8,035,923)

(1,679,819)

48.0

Ramsay

Health

Care

Ltd.

(44,056)

(2,241,475)

(150,494)

4.3

REA

Group

Ltd.

(9,073)

(659,124)

(27,750)

0.8

SEEK

Ltd.

(351,048)

(5,556,283)

(1,052,232)

30.1

Suncorp

Group

Ltd.

(61,340)

(557,202)

43,870

(1.3)

Transurban

Group

(40,100)

(419,729)

7,491

(0.2)

Treasury

Wine

Estates

Ltd.

(258,423)

(2,943,633)

(192,565)

5.5

Westpac

Banking

Corp.

(36,463)

(622,670)

97,673

(2.8)

WiseTech

Global

Ltd.

(64,218)

(1,054,598)

210,406

(6.0)

Worley

Ltd.

(85,026)

(918,498)

(130,372)

3.7

United

States

James

Hardie

Industries

plc

(596,051)

(11,649,491)

(4,085,010)

116.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

or

HONIX

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/19/2023

-

12/10/2024

$140,812,461

$(8,191,577)

$(799,334)

$(8,990,911)

216

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

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.

114,000

395,743

9,074

(0.1)

Hong

Kong

CK

Asset

Holdings

Ltd.

361,500

2,608,665

(112,484)

1.3

CLP

Holdings

Ltd.

684,500

7,185,487

(282,719)

3.1

Henderson

Land

Development

Co.

Ltd.

2,307,580

11,323,422

(832,778)

9.3

HKT

Trust

&

HKT

Ltd.

820,000

1,155,616

(68,186)

0.8

Hysan

Development

Co.

Ltd.

280,000

1,097,952

5,520

(0.1)

Kerry

Properties

Ltd.

396,000

1,257,728

(41,312)

0.5

Melco

International

Development

Ltd.

597,000

1,677,213

(245,586)

2.7

New

World

Development

Co.

Ltd.

6,119,000

8,387,575

(973,965)

10.8

NWS

Holdings

Ltd.

997,000

1,397,358

(483,668)

5.4

Sun

Hung

Kai

Properties

Ltd.

365,500

5,597,590

173,758

(1.9)

WH

Group

Ltd.

7,272,000

7,519,059

632,356

(7.0)

Yue

Yuen

Industrial

Holdings

Ltd.

1,254,000

3,700,922

17,589

(0.2)

Macau

Sands

China

Ltd.

122,400

653,992

79,731

(0.9)

SJM

Holdings

Ltd.

913,000

1,039,599

78,857

(0.9)

Wynn

Macau

Ltd.

277,600

684,041

108,267

(1.2)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

1,549,000

14,770,470

(1,443,012)

16.0

Short

Positions

Common

Stocks

China

Minth

Group

Ltd.

(1,628,000)

(5,748,597)

52,838

(0.6)

Hong

Kong

AIA

Group

Ltd.

(2,068,000)

(21,751,155)

(2,283,417)

25.4

ASM

Pacific

Technology

Ltd.

(545,300)

(7,568,965)

(1,823,199)

20.3

Hang

Lung

Properties

Ltd.

(253,000)

(555,523)

21,664

(0.2)

Hang

Seng

Bank

Ltd.

(20,200)

(417,534)

19,084

(0.2)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(2,095,000)

(2,064,861)

22,125

(0.2)

Hong

Kong

&

China

Gas

Co.

Ltd.

(3,246,400)

(6,343,042)

(47,912)

0.5

Power

Assets

Holdings

Ltd.

(519,000)

(3,796,807)

(147,691)

1.6

Swire

Properties

Ltd.

(434,400)

(1,439,101)

(69,052)

0.8

Techtronic

Industries

Co.

Ltd.

(559,000)

(4,562,388)

(1,166,437)

13.0

Vitasoy

International

Holdings

Ltd.

(588,000)

(2,133,039)

347,393

(3.9)

Wharf

Holdings

Ltd.

(The)

(1,965,000)

(4,994,427)

(13,207)

0.1

Wharf

Real

Estate

Investment

Co.

Ltd.

(949,000)

(5,790,384)

143,447

(1.6)

Macau

MGM

China

Holdings

Ltd.

(1,956,000)

(3,194,206)

131,345

(1.5)

217

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Tokyo

Overnight

Average

Rate

("TONAR")

or

LIBOR

plus

or

minus

a

specified

spread

(-1.03%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/20/2023

-

12/20/2024

$1,235,362,820

$(57,270,973)

$(6,644,855)

$(63,915,828)

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

AGC,

Inc.

298,200

10,663,024

(129,874)

0.2

Central

Japan

Railway

Co.

56,600

11,380,492

543,816

(0.9)

Fujitsu

Ltd.

86,900

8,173,451

2,435,588

(3.8)

Haseko

Corp.

815,500

10,947,145

(985,634)

1.5

Hitachi

Ltd.

236,000

9,958,197

1,671,884

(2.6)

Inpex

Corp.

1,040,600

10,780,335

(1,092,397)

1.7

ITOCHU

Corp.

1,208,000

27,997,436

4,991,277

(7.8)

JXTG

Holdings,

Inc.

2,865,600

13,005,753

(4,135,006)

6.5

KDDI

Corp.

527,400

15,735,703

2,501,391

(3.9)

Marubeni

Corp.

2,723,200

20,120,024

141,091

(0.2)

Mazda

Motor

Corp.

949,700

8,092,810

(3,797,261)

5.9

Mitsubishi

Corp.

370,300

9,809,754

(638,621)

1.0

Mitsui

&

Co.

Ltd.

743,800

13,221,436

337,132

(0.5)

Nippon

Telegraph

&

Telephone

Corp.

998,000

25,223,144

3,201,387

(5.0)

Obayashi

Corp.

1,155,200

12,830,419

743,263

(1.2)

ORIX

Corp.

708,000

11,732,528

1,548,265

(2.4)

Resona

Holdings,

Inc.

2,294,900

10,002,394

(650,648)

1.0

Showa

Denko

KK

368,200

9,704,100

(810,110)

1.3

Sojitz

Corp.

4,436,900

14,300,564

(1,125,541)

1.8

Sumitomo

Corp.

687,200

10,207,218

(1,149,314)

1.8

Tokyo

Electric

Power

Co.

Holdings,

Inc.

5,486,100

23,483,562

(6,343,277)

9.9

Tokyo

Gas

Co.

Ltd.

671,600

16,319,149

(746,024)

1.2

Tosoh

Corp.

648,200

9,986,034

(561,796)

0.9

West

Japan

Railway

Co.

102,300

8,848,292

1,764,595

(2.8)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(748,100)

(15,438,085)

(1,430,641)

2.2

Asics

Corp.

(732,100)

(12,146,582)

(525,756)

0.8

Cosmos

Pharmaceutical

Corp.

(39,000)

(8,085,221)

(253,520)

0.4

CyberAgent,

Inc.

(465,200)

(16,205,608)

4,709,061

(7.4)

Daifuku

Co.

Ltd.

(209,400)

(12,655,063)

(1,777,841)

2.8

Daikin

Industries

Ltd.

(82,300)

(11,611,693)

(1,617,234)

2.5

Isetan

Mitsukoshi

Holdings

Ltd.

(1,010,500)

(9,074,004)

1,310,414

(2.1)

218

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Kansai

Paint

Co.

Ltd.

(355,500)

(8,684,554)

(953,911)

1.5

Kikkoman

Corp.

(277,000)

(13,560,475)

(2,351,118)

3.7

LIXIL

Group

Corp.

(826,200)

(14,257,616)

(2,992,171)

4.7

Marui

Group

Co.

Ltd.

(501,300)

(12,222,974)

(1,868,516)

2.9

MonotaRO

Co.

Ltd.

(471,100)

(12,541,148)

(1,104,220)

1.7

Nidec

Corp.

(190,600)

(26,032,874)

2,877,451

(4.5)

Nippon

Paint

Holdings

Co.

Ltd.

(244,500)

(12,587,271)

(3,245,414)

5.1

Nomura

Holdings,

Inc.

(1,924,300)

(9,902,043)

(3,095,374)

4.8

Park24

Co.

Ltd.

(352,600)

(8,633,776)

(1,117,498)

1.7

Pigeon

Corp.

(265,400)

(9,717,938)

2,406,477

(3.8)

Ryohin

Keikaku

Co.

Ltd.

(546,000)

(12,725,263)

(2,376,372)

3.7

Shimano,

Inc.

(51,100)

(8,290,003)

(1,471,500)

2.3

SoftBank

Group

Corp.

(204,100)

(8,861,419)

(690,613)

1.1

Sony

Financial

Holdings,

Inc.

(412,400)

(9,899,609)

(2,409,995)

3.8

Takeda

Pharmaceutical

Co.

Ltd.

(317,000)

(12,538,055)

(1,362,655)

2.1

TOTO

Ltd.

(397,800)

(16,797,946)

(1,158,174)

1.8

Tsuruha

Holdings,

Inc.

(97,700)

(12,544,487)

(3,856,420)

6.0

Welcia

Holdings

Co.

Ltd.

(129,500)

(8,227,045)

(3,548,370)

5.6

Yaskawa

Electric

Corp.

(445,300)

(16,774,896)

2,026,526

(3.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.06%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/19/2023

-

12/20/2024

$2,401,579,564

$10,779,277

$(3,816,970)

$6,962,307

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

American

Water

Works

Co.,

Inc.

102,045

12,536,228

1,167,726

16.8

Ameriprise

Financial,

Inc.

82,185

13,690,377

1,921,317

27.6

Amgen,

Inc.

59,698

14,391,397

2,377,682

34.2

Arrow

Electronics,

Inc.

176,024

14,916,274

1,372,587

19.7

Assured

Guaranty

Ltd.

416,155

20,399,918

4,831,021

69.4

AT&T,

Inc.

323,505

12,642,575

1,118,454

16.1

Athene

Holding

Ltd.

441,976

20,786,131

724,888

10.4

Biogen,

Inc.

63,108

18,726,037

4,160,837

59.8

Capital

One

Financial

Corp.

185,301

19,069,326

2,581,750

37.1

Charles

River

Laboratories

International,

Inc.

201,870

30,837,661

6,767,262

97.2

Consolidated

Edison,

Inc.

179,560

16,244,793

2,503,924

36.0

Deckers

Outdoor

Corp.

90,759

15,325,565

5,285,087

75.9

Estee

Lauder

Cos.,

Inc.

(The)

81,467

16,826,194

5,135,676

73.8

219

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Everest

Re

Group

Ltd.

74,076

20,507,200

2,178,575

31.3

Gilead

Sciences,

Inc.

199,740

12,979,105

(659,527)

(9.5)

Jabil,

Inc.

390,693

16,147,342

4,653,154

66.8

Kroger

Co.

(The)

467,234

13,545,114

828,178

11.9

ManpowerGroup,

Inc.

155,035

15,053,898

(1,428,969)

(20.5)

PepsiCo,

Inc.

104,933

14,341,193

250,486

3.6

Pfizer,

Inc.

383,367

15,020,319

(2,120,951)

(30.5)

Procter

&

Gamble

Co.

(The)

161,142

20,126,636

2,259,464

32.5

PulteGroup,

Inc.

418,772

16,248,354

4,576,915

65.7

Reinsurance

Group

of

America,

Inc.

100,933

16,458,135

1,008,321

14.5

Robert

Half

International,

Inc.

257,695

16,273,439

223,205

3.2

Synchrony

Financial

427,776

15,404,214

1,489,605

21.4

Tech

Data

Corp.

117,120

16,818,432

7,082,979

101.7

Thermo

Fisher

Scientific,

Inc.

40,924

13,294,980

2,259,079

32.4

Tyson

Foods,

Inc.

140,716

12,810,785

2,756,626

39.6

Verizon

Communications,

Inc.

211,450

12,983,030

1,028,071

14.8

Short

Positions

Common

Stocks

Panama

Copa

Holdings

SA

(168,027)

(18,160,358)

(3,596,550)

(51.7)

United

States

Agios

Pharmaceuticals,

Inc.

(338,840)

(16,179,610)

9,024,638

129.6

Alnylam

Pharmaceuticals,

Inc.

(125,144)

(14,412,834)

(4,231,971)

(60.8)

Ball

Corp.

(192,809)

(12,468,958)

(2,173,858)

(31.2)

CenterPoint

Energy,

Inc.

(480,390)

(13,100,235)

568,475

8.2

Charter

Communications,

Inc.

(26,207)

(12,712,492)

(4,441,211)

(63.8)

Dominion

Energy,

Inc.

(161,665)

(13,389,095)

(832,430)

(12.0)

Edison

International

(333,764)

(25,169,143)

(3,152,533)

(45.3)

FedEx

Corp.

(90,798)

(13,729,566)

892,168

12.8

FirstEnergy

Corp.

(406,876)

(19,774,174)

(5,496,242)

(78.9)

Freeport-McMoRan,

Inc.

(1,363,041)

(17,883,098)

(1,764,538)

(25.3)

Illumina,

Inc.

(52,717)

(17,488,338)

(2,988,186)

(42.9)

Liberty

Broadband

Corp.

(146,104)

(18,372,578)

(6,826,644)

(98.1)

National

Fuel

Gas

Co.

(295,363)

(13,746,194)

1,145,775

16.5

Pure

Storage,

Inc.

(1,056,534)

(18,077,297)

(341,859)

(4.9)

Sealed

Air

Corp.

(463,288)

(18,452,761)

1,333,917

19.2

Stericycle,

Inc.

(246,951)

(15,757,943)

(2,198,367)

(31.6)

Tesla,

Inc.

(60,387)

(25,261,694)

(11,157,432)

(160.3)

Visteon

Corp.

(143,960)

(12,465,496)

(3,753,638)

(53.9)

Willis

Towers

Watson

plc

(62,343)

(12,589,545)

(3,814,780)

(54.8)

Zayo

Group

Holdings,

Inc.

(694,821)

(24,075,548)

(835,808)

(12.0)

220

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-1.20%

to

0.30%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-39

months

maturity

01/14/2021

$375,877,693

$(1,352,584)

$128,226

$(1,224,358)

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

46,326

2,742,266

129,157

(10.5)

Russia

Evraz

plc

1,042,121

5,580,370

(1,672,159)

136.6

South

Africa

Anglo

American

plc

111,651

3,207,504

142,048

(11.6)

Investec

plc

578,931

3,402,246

(378,393)

30.9

United

Kingdom

Auto

Trader

Group

plc

411,513

3,249,780

100,060

(8.2)

Babcock

International

Group

plc

688,711

5,747,259

1,395,184

(114.0)

Barratt

Developments

plc

1,350,128

13,368,210

3,028,115

(247.3)

Bellway

plc

221,722

11,190,889

1,173,568

(95.9)

Berkeley

Group

Holdings

plc

242,826

15,631,548

3,667,221

(299.5)

Britvic

plc

244,860

2,934,551

119,879

(9.8)

BT

Group

plc

3,395,727

8,652,962

(594,383)

48.5

Close

Brothers

Group

plc

176,525

3,738,804

607,216

(49.6)

Hays

plc

1,641,962

3,948,965

284,817

(23.3)

Howden

Joinery

Group

plc

298,402

2,658,540

830,689

(67.8)

Lloyds

Banking

Group

plc

3,115,143

2,580,653

185,902

(15.2)

Micro

Focus

International

plc

399,653

5,609,381

(2,295,834)

187.5

National

Grid

plc

780,327

9,751,879

976,403

(79.7)

Next

plc

49,971

4,656,434

811,690

(66.3)

Pennon

Group

plc

504,415

6,841,736

1,840,726

(150.3)

Persimmon

plc

261,466

9,339,332

651,321

(53.2)

Royal

Mail

plc

2,422,746

7,286,323

(3,648,859)

298.0

Taylor

Wimpey

plc

4,526,577

11,606,475

980,084

(80.0)

United

Utilities

Group

plc

1,209,477

15,135,281

2,241,723

(183.1)

William

Hill

plc

1,060,870

2,653,851

(1,580,138)

129.1

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(274,384)

(3,322,170)

(340,600)

27.8

South

Africa

Old

Mutual

Ltd.

(3,178,422)

(4,436,007)

1,465,975

(119.7)

Switzerland

Glencore

plc

(993,151)

(3,092,394)

(61,005)

5.0

221

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Arab

Emirates

NMC

Health

plc

(313,251)

(7,339,278)

2,924,527

(238.9)

United

Kingdom

B&M

European

Value

Retail

SA

(948,251)

(5,145,407)

(542,893)

44.3

Beazley

plc

(341,079)

(2,509,594)

15,377

(1.3)

Bunzl

plc

(113,086)

(3,092,984)

75,398

(6.2)

Burberry

Group

plc

(117,199)

(3,421,697)

(284,951)

23.3

Capita

plc

(2,715,423)

(5,914,145)

(1,589,643)

129.8

easyJet

plc

(735,979)

(13,863,530)

(3,907,189)

319.1

Hargreaves

Lansdown

plc

(271,200)

(6,956,611)

40,916

(3.3)

Hiscox

Ltd.

(325,370)

(6,141,767)

386,313

(31.6)

Melrose

Industries

plc

(4,186,625)

(13,335,352)

(4,027,239)

328.9

Mondi

plc

(397,811)

(9,328,352)

(683,783)

55.8

Prudential

plc

(286,734)

(5,494,006)

189,255

(15.5)

Reckitt

Benckiser

Group

plc

(86,052)

(6,989,874)

(64,916)

5.3

Rentokil

Initial

plc

(700,405)

(4,197,927)

(858,135)

70.1

Rolls-Royce

Holdings

plc

(642,255)

(5,804,708)

1,123,152

(91.7)

RSA

Insurance

Group

plc

(965,964)

(7,239,616)

(110,077)

9.0

SSE

plc

(223,122)

(4,255,437)

(651,687)

53.2

Standard

Chartered

plc

(620,371)

(5,845,813)

(128,297)

10.5

Standard

Life

Aberdeen

plc

(1,516,196)

(6,596,404)

(1,057,158)

86.3

Tesco

plc

(1,501,295)

(5,073,829)

(605,754)

49.5

Virgin

Money

UK

plc

(1,116,018)

(2,786,108)

(389,918)

31.8

Vodafone

Group

plc

(4,284,364)

(8,317,556)

75,814

(6.2)

Weir

Group

plc

(The)

(206,533)

(4,130,657)

227,320

(18.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.75%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-27

months

maturity

05/18/2020

$139,822,305

$3,394,970

$235,257

$3,630,227

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

108,683

4,412,310

(645,090)

(17.8)

Switzerland

Adecco

Group

AG

(Registered)

41,708

2,636,873

263,262

7.3

Flughafen

Zurich

AG

(Registered)

4,194

765,530

(26,573)

(0.7)

Geberit

AG

(Registered)

735

412,542

12,586

0.3

Georg

Fischer

AG

(Registered)

686

695,621

63,798

1.8

Helvetia

Holding

AG

(Registered)

20,801

2,938,123

542,243

14.9

Nestle

SA

(Registered)

69,571

7,532,123

510,260

14.1

Novartis

AG

(Registered)

115,639

10,949,812

905,321

24.9

222

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Roche

Holding

AG

69,632

22,630,596

3,835,731

105.7

Sonova

Holding

AG

(Registered)

11,576

2,646,373

563,597

15.5

Swiss

Life

Holding

AG

(Registered)

37,837

18,981,702

4,743,409

130.7

Swisscom

AG

(Registered)

4,731

2,504,477

104,110

2.9

Zurich

Insurance

Group

AG

10,926

4,481,841

770,604

21.2

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(298,777)

(7,207,441)

(1,320,188)

(36.4)

Alcon,

Inc.

(7,581)

(429,400)

21,560

0.6

Cie

Financiere

Richemont

SA

(Registered)

(4,746)

(370,904)

(892)

(0.0)

Credit

Suisse

Group

AG

(Registered)

(160,104)

(2,164,234)

(143,024)

(3.9)

dormakaba

Holding

AG

(540)

(386,571)

3,156

0.1

Dufry

AG

(Registered)

(35,249)

(3,495,337)

(416,336)

(11.5)

EMS-Chemie

Holding

AG

(Registered)

(1,901)

(1,249,784)

(71,228)

(2.0)

Idorsia

Ltd.

(246,717)

(7,628,279)

(2,271,492)

(62.6)

Julius

Baer

Group

Ltd.

(135,965)

(7,009,393)

(1,095,603)

(30.2)

Kuehne

+

Nagel

International

AG

(Registered)

(11,845)

(1,997,857)

(310,633)

(8.6)

Lonza

Group

AG

(Registered)

(9,230)

(3,367,173)

(39,807)

(1.1)

OC

Oerlikon

Corp.

AG

(Registered)

(267,101)

(3,130,107)

905,318

24.9

Partners

Group

Holding

AG

(7,000)

(6,415,691)

(992,175)

(27.3)

Sika

AG

(Registered)

(18,254)

(3,428,020)

(521,009)

(14.4)

Straumann

Holding

AG

(Registered)

(704)

(690,576)

(93,454)

(2.6)

Swiss

Re

AG

(16,239)

(1,824,330)

(159,939)

(4.4)

Vifor

Pharma

AG

(40,762)

(7,439,285)

(1,742,542)

(48.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-24

months

maturity

02/18/2020

$71,683,063

$(4,571,062)

$(2,710,331)

$(7,281,393)

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

Carlsberg

A/S

47,449

7,081,097

820,632

(11.3)

Coloplast

A/S

4,968

616,335

165,074

(2.3)

GN

Store

Nord

A/S

59,410

2,794,689

661,371

(9.1)

H

Lundbeck

A/S

83,541

3,193,816

(526,569)

7.2

ISS

A/S

69,237

1,660,635

(343,842)

4.7

Jyske

Bank

A/S

(Registered)

13,752

501,817

(81,987)

1.1

223

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Denmark

(continued)

Novo

Nordisk

A/S

63,759

3,694,760

726,719

(10.0)

Orsted

A/S

49,384

5,108,912

1,881,740

(25.8)

Pandora

A/S

136,698

5,944,816

(1,309,928)

18.0

Rockwool

International

A/S

20,420

4,842,150

(1,324,439)

18.2

Vestas

Wind

Systems

A/S

35,944

3,630,578

573,198

(7.9)

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(13,188)

(19,027,997)

(3,698,857)

50.8

Chr

Hansen

Holding

A/S

(15,178)

(1,206,574)

55,881

(0.8)

FLSmidth

&

Co.

A/S

(46,285)

(1,845,786)

361,233

(5.0)

Genmab

A/S

(44,512)

(9,899,628)

(2,509,549)

34.5

Novozymes

A/S

(12,942)

(633,473)

(21,739)

0.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-7.75%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-37

months

maturity

11/11/2020

$838,293,973

$(20,284,109)

$(4,625,914)

$(24,910,023)

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

340,955

20,161,557

3,204,860

(12.9)

KBC

Group

NV

111,452

8,402,884

(297,282)

1.2

Finland

Neste

OYJ

268,675

9,350,160

3,534,404

(14.2)

France

Air

France-KLM

716,458

7,992,735

1,446,566

(5.8)

BNP

Paribas

SA

131,166

7,796,257

1,686,131

(6.8)

Electricite

de

France

SA

1,067,452

11,910,926

(3,118,372)

12.5

Engie

SA

1,671,709

27,078,897

1,316,318

(5.3)

Orange

SA

518,478

7,619,664

(342,639)

1.4

Peugeot

SA

944,798

22,748,057

457,067

(1.8)

Societe

Generale

SA

230,380

8,039,798

1,014,912

(4.1)

Suez

432,674

6,556,422

472,091

(1.9)

TOTAL

SA

211,593

11,741,405

(773,162)

3.1

Germany

Allianz

SE

(Registered)

57,999

14,211,366

1,536,369

(6.2)

Deutsche

Lufthansa

AG

(Registered)

1,029,852

18,919,133

(12,002,822)

48.2

Deutsche

Telekom

AG

(Registered)

435,109

7,110,632

(234,868)

0.9

224

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

(continued)

Hannover

Rueck

SE

85,777

16,539,067

5,932,339

(23.8)

HeidelbergCement

AG

116,904

8,494,817

(153,516)

0.6

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

59,761

17,635,051

4,181,569

(16.8)

Netherlands

ASR

Nederland

NV

215,875

8,090,024

(129,280)

0.5

Koninklijke

Ahold

Delhaize

NV

1,087,054

27,255,050

1,605,920

(6.4)

NN

Group

NV

424,776

16,151,172

(1,233,577)

5.0

Randstad

NV

102,547

6,283,583

900,107

(3.6)

Signify

NV

204,143

6,389,431

(85,443)

0.3

Spain

Endesa

SA

699,194

18,671,789

4,136,466

(16.6)

Iberdrola

SA

1,238,264

12,761,016

925,997

(3.7)

United

Kingdom

Dialog

Semiconductor

plc

169,280

8,597,261

2,426,555

(9.7)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(97,296)

(7,968,582)

408,981

(1.6)

Umicore

SA

(111,109)

(5,414,786)

(1,773,655)

7.1

Finland

Stora

Enso

OYJ

(581,463)

(8,460,742)

(1,998,968)

8.0

France

Accor

SA

(272,869)

(12,808,144)

(775,069)

3.1

Edenred

(323,826)

(16,782,114)

(7,606,797)

30.5

Iliad

SA

(87,200)

(11,342,289)

1,855,544

(7.4)

Ingenico

Group

SA

(54,216)

(5,897,526)

(1,908,032)

7.7

Remy

Cointreau

SA

(68,190)

(8,380,679)

325,288

(1.3)

Valeo

SA

(165,133)

(5,852,856)

(875,420)

3.5

Vivendi

SA

(201,740)

(5,841,894)

(611,169)

2.5

Germany

Delivery

Hero

SE

(198,506)

(15,733,441)

(7,549,007)

30.3

Deutsche

Bank

AG

(Registered)

(3,196,071)

(24,764,822)

10,790,420

(43.3)

RWE

AG

(673,317)

(20,631,769)

(2,789,901)

11.2

thyssenkrupp

AG

(1,155,744)

(15,529,857)

630,487

(2.5)

United

Internet

AG

(Registered)

(217,124)

(7,110,652)

1,211,680

(4.9)

Zalando

SE

(120,164)

(6,059,891)

(1,902,117)

7.6

Luxembourg

ArcelorMittal

SA

(597,206)

(10,522,579)

(1,550,411)

6.2

Netherlands

Adyen

NV

(12,031)

(9,896,653)

(1,139,994)

4.6

Koninklijke

KPN

NV

(2,496,337)

(7,387,601)

(809,494)

3.2

OCI

NV

(258,791)

(5,479,054)

395,050

(1.6)

Spain

Amadeus

IT

Group

SA

(73,106)

(5,987,145)

(300,220)

1.2

Cellnex

Telecom

SA

(586,878)

(25,315,362)

(9,686,787)

38.9

Ferrovial

SA

(469,866)

(14,235,600)

(3,657,267)

14.7

Industria

de

Diseno

Textil

SA

(188,065)

(6,646,312)

(1,363,015)

5.5

225

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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.

4-24

months

maturity

02/18/2020

$32,953,163

$2,474,154

$136,941

$2,611,095

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

Norway

DNB

ASA

105,885

1,981,416

28,061

1.1

Equinor

ASA

104,253

2,079,043

(464,568)

(17.8)

Gjensidige

Forsikring

ASA

22,623

474,878

57,967

2.2

Mowi

ASA

436,696

11,354,500

4,066,761

155.7

Salmar

ASA

47,029

2,410,058

517,681

19.8

Short

Positions

Common

Stocks

France

Adevinta

ASA

(50,014)

(594,132)

(277,531)

(10.6)

Norway

Norsk

Hydro

ASA

(1,327,086)

(4,934,919)

(83,790)

(3.2)

Schibsted

ASA

(155,397)

(4,701,608)

(1,555,153)

(59.6)

Telenor

ASA

(85,807)

(1,538,149)

183,737

7.0

Yara

International

ASA

(29,132)

(1,213,750)

30,797

1.2

United

Kingdom

Subsea

7

SA

(139,655)

(1,670,710)

(29,808)

(1.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.75%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-24

months

maturity

02/18/2020

$72,137,130

$(3,362,859)

$(1,608,087)

$(4,970,946)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

226

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

83,504

1,859,632

270,422

(5.4)

Boliden

AB

78,404

2,082,306

(249,804)

5.0

Essity

AB

117,554

3,785,972

154,626

(3.1)

Getinge

AB

71,098

1,322,222

185,157

(3.7)

Hennes

&

Mauritz

AB

151,245

3,085,027

595,279

(12.0)

ICA

Gruppen

AB

36,106

1,686,582

135,122

(2.7)

Sandvik

AB

54,813

1,067,613

77,068

(1.6)

Securitas

AB

204,660

3,526,132

468,128

(9.4)

Skanska

AB

45,782

1,035,663

229,312

(4.6)

SKF

AB

134,395

2,721,005

339,282

(6.8)

SSAB

AB

897,198

3,152,524

(695,861)

14.0

Swedish

Orphan

Biovitrum

AB

254,615

4,220,442

(1,695,976)

34.1

Telia

Co.

AB

203,827

875,748

(62,426)

1.3

Trelleborg

AB

30,959

557,321

115,625

(2.3)

Volvo

AB

395,074

6,614,010

624,891

(12.6)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(71,584)

(3,437,743)

727,099

(14.6)

Sweden

BillerudKorsnas

AB

(159,901)

(1,889,474)

833

(0.0)

Elekta

AB

(65,727)

(867,151)

(804)

0.0

Hexagon

AB

(13,017)

(729,620)

(69,396)

1.4

Hexpol

AB

(171,368)

(1,684,123)

(308,675)

6.2

Husqvarna

AB

(83,635)

(670,226)

82,993

(1.7)

Nibe

Industrier

AB

(45,998)

(798,037)

(177,219)

3.6

Saab

AB

(16,531)

(554,372)

(38,897)

0.8

Svenska

Cellulosa

AB

SCA

(1,361,372)

(13,805,145)

(2,321,922)

46.7

Svenska

Handelsbanken

AB

(93,511)

(1,007,137)

(79,754)

1.6

Swedish

Match

AB

(113,099)

(5,826,490)

(736,977)

14.8

Tele2

AB

(58,108)

(843,382)

(8,810)

0.2

Telefonaktiebolaget

LM

Ericsson

(278,334)

(2,432,031)

(922,175)

18.6

227

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(4,170,000)

$

–

$

(4,170,000)

BARC

Cash

–

136,864,639

136,864,639

U.S.

Treasury

Bills

–

26,862,633

26,862,633

CITI

Investment

Companies

48,310,468

–

48,310,468

GSCO

Cash

–

1,703,553

1,703,553

U.S.

Treasury

Bills

–

41,838,601

41,838,601

GSIN

Cash

272,123,452

–

272,123,452

JPMC

Investment

Companies

54,737,360

–

54,737,360

JPMS

Cash

–

43,896,930

43,896,930

MLIN

Cash

(4,940,000)

–

(4,940,000)

MSCL

Cash

–

15,789,906

15,789,906

MSIP

U.S.

Treasury

Bills

117,796,451

–

117,796,451

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Cash

$

(1,850,000)

$

–

$

(1,850,000)

Investment

Companies

10,523,048

–

10,523,048

GSCO

Cash

–

12,322,417

12,322,417

GSIN

Cash

4,780,000

–

4,780,000

JPPC

Cash

–

192,332

192,332

MSCL

Cash

–

29,136,494

29,136,494

228

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

117.0%

COMMON

STOCKS

-

27.1%

Austria

-

0.1%

ams

AG*(a)

7,106

$

288,489

Belgium

-

0.7%

Ageas(a)

16,661

985,209

bpost

SA(a)

8,123

93,915

Colruyt

SA(a)

2,597

135,438

KBC

Group

NV(a)

1,087

81,954

Proximus

SADP(a)

13,226

378,974

UCB

SA(a)

2,762

219,785

1,895,275

—

Canada

-

3.3%

Air

Canada(1)*(a)

22,711

848,417

Alimentation

Couche-Tard,

Inc.,

Class

B(1)(a)

8,312

263,785

ARC

Resources

Ltd.(1)(a)

9,552

60,171

Atco

Ltd.,

Class

I(1)(a)

5,611

215,055

Bank

of

Montreal(1)(a)

3,982

308,612

Bank

of

Nova

Scotia

(The)(1)(a)

4,256

240,405

BCE,

Inc.(1)(a)

614

28,446

Brookfield

Asset

Management,

Inc.,

Class

A(1)(a)

341

19,703

Canadian

Imperial

Bank

of

Commerce(1)(a)

6,923

576,105

Canadian

Tire

Corp.

Ltd.,

Class

A(1)

(a)

1,623

174,667

Canadian

Utilities

Ltd.,

Class

A(1)

925

27,902

CGI,

Inc.(1)*(a)

6,631

554,921

CI

Financial

Corp.(1)(a)

13,040

218,011

Cogeco

Communications,

Inc.(1)

257

22,404

Cronos

Group,

Inc.(1)*(a)

7,021

53,906

Emera,

Inc.(1)(a)

4,792

205,880

Empire

Co.

Ltd.,

Class

A(1)(a)

2,989

70,113

Encana

Corp.(1)(a)

107,685

504,197

Fortis,

Inc.(1)(a)

811

33,650

Husky

Energy,

Inc.(1)(a)(b)

8,147

65,374

Hydro

One

Ltd.(1)(a)(c)

10,876

210,057

iA

Financial

Corp.,

Inc.(1)(a)

2,558

140,512

IGM

Financial,

Inc.(1)(a)

2,367

67,954

Intact

Financial

Corp.(1)(a)

243

26,277

Linamar

Corp.(1)(a)

6,192

234,271

Loblaw

Cos.

Ltd.(1)(a)

540

27,862

Magna

International,

Inc.(1)(a)

7,598

416,601

Manulife

Financial

Corp.(1)(a)

25,484

517,314

National

Bank

of

Canada(1)(a)

6,905

383,283

Northland

Power,

Inc.(1)(a)

2,533

53,057

Onex

Corp.(1)

806

51,002

Open

Text

Corp.(1)(a)

774

34,106

Peyto

Exploration

&

Development

Corp.(1)(a)

24,718

72,333

Power

Financial

Corp.(1)(a)

5,267

141,719

Quebecor,

Inc.,

Class

B(1)(a)

11,088

282,974

Rogers

Communications,

Inc.,

Class

B(1)(a)

2,696

133,871

Royal

Bank

of

Canada(1)(a)

4,841

383,052

Seven

Generations

Energy

Ltd.,

Class

A(1)*(a)

38,507

251,168

Stantec,

Inc.(1)

713

20,151

INVESTMENTS

SHARES

VALUE

Canada

-

3.3%

(continued)

Sun

Life

Financial,

Inc.(1)

1,076

$

49,062

Teck

Resources

Ltd.,

Class

B(1)(a)

8,797

152,561

Toronto-Dominion

Bank

(The)(1)(a)

3,145

176,389

Tourmaline

Oil

Corp.(1)(a)

28,434

333,268

8,650,568

—

China

-

0.2%

Yangzijiang

Shipbuilding

Holdings

Ltd.(a)

527,700

439,874

Denmark

-

0.8%

Carlsberg

A/S,

Class

B(a)

3,337

498,000

GN

Store

Nord

A/S(a)

1,397

65,716

H

Lundbeck

A/S(a)

2,933

112,130

ISS

A/S(a)

3,954

94,836

Novo

Nordisk

A/S,

Class

B

419

24,281

Orsted

A/S(a)(c)

539

55,761

Pandora

A/S(a)

13,530

588,402

Rockwool

International

A/S,

Class

B(a)

1,281

303,761

Vestas

Wind

Systems

A/S(a)

2,202

222,416

1,965,303

—

Finland

-

0.4%

Fortum

OYJ(a)

8,499

209,785

Kesko

OYJ,

Class

B(a)

3,787

268,059

Kone

OYJ,

Class

B(a)

400

26,155

Neste

OYJ(a)

5,455

189,839

Orion

OYJ,

Class

B(a)

3,585

166,027

Sampo

OYJ,

Class

A(a)

1,877

81,956

941,821

—

Germany

-

0.4%

Deutsche

Lufthansa

AG

(Registered)

(a)

50,136

921,035

OSRAM

Licht

AG

1,335

66,113

987,148

—

Italy

-

2.5%

A2A

SpA(a)

297,499

558,656

Assicurazioni

Generali

SpA(a)

47,357

977,676

Autogrill

SpA(a)

4,529

47,412

BPER

Banca(a)

23,410

117,788

Enel

SpA(a)

182,976

1,453,529

Eni

SpA(a)

12,549

194,901

Hera

SpA(a)

52,589

230,342

Intesa

Sanpaolo

SpA

67,448

177,671

Italgas

SpA(a)

39,014

238,520

Leonardo

SpA(a)

29,062

340,820

Mediobanca

Banca

di

Credito

Finanziario

SpA

1,765

19,434

Poste

Italiane

SpA(a)(c)

87,160

990,388

Snam

SpA(a)

28,241

148,486

Telecom

Italia

SpA*

171,663

107,205

Terna

Rete

Elettrica

Nazionale

SpA(a)

36,449

243,768

Unipol

Gruppo

SpA(a)

62,001

355,952

UnipolSai

Assicurazioni

SpA(a)

109,026

317,082

6,519,630

—

229

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

12.2%

ABC-Mart,

Inc.(a)

500

$

34,131

AGC,

Inc.(a)

18,900

675,825

Alfresa

Holdings

Corp.(a)

20,800

422,553

Alps

Alpine

Co.

Ltd.(a)

1,800

40,859

Amada

Holdings

Co.

Ltd.(a)

13,000

147,859

Aozora

Bank

Ltd.(a)

1,300

34,344

Astellas

Pharma,

Inc.(a)

12,600

215,082

Bandai

Namco

Holdings,

Inc.(a)

7,800

474,491

Bridgestone

Corp.

700

26,005

Brother

Industries

Ltd.(a)

8,900

183,814

Central

Japan

Railway

Co.(a)

2,800

562,993

Chubu

Electric

Power

Co.,

Inc.(a)

34,100

482,032

Citizen

Watch

Co.

Ltd.(a)

14,900

81,147

Dai

Nippon

Printing

Co.

Ltd.

1,100

29,752

Daicel

Corp.(a)

8,200

78,395

Dai-ichi

Life

Holdings,

Inc.(a)

1,200

19,776

DeNA

Co.

Ltd.(a)(b)

5,300

85,421

East

Japan

Railway

Co.(a)

800

72,210

Electric

Power

Development

Co.

Ltd.

(a)

11,300

274,280

Fujitsu

Ltd.(a)

4,600

432,657

Fukuoka

Financial

Group,

Inc.(a)

12,400

236,915

GungHo

Online

Entertainment,

Inc.(a)

15,280

323,712

Hakuhodo

DY

Holdings,

Inc.(a)

3,300

53,100

Haseko

Corp.(a)

33,600

451,041

Hino

Motors

Ltd.

7,300

77,201

Hitachi

Chemical

Co.

Ltd.(a)

900

37,706

Hitachi

High-Technologies

Corp.(a)

1,100

77,901

Hitachi

Ltd.(a)

14,100

594,960

Honda

Motor

Co.

Ltd.

800

22,641

Hoya

Corp.(a)

1,400

133,647

Idemitsu

Kosan

Co.

Ltd.(a)

8,400

232,106

Inpex

Corp.(a)

61,400

636,087

Isuzu

Motors

Ltd.(a)

4,300

50,829

ITOCHU

Corp.(a)

54,500

1,263,130

Itochu

Techno-Solutions

Corp.(a)

1,100

30,978

Japan

Airlines

Co.

Ltd.(a)

13,000

404,766

Japan

Post

Holdings

Co.

Ltd.(a)

24,300

228,528

JFE

Holdings,

Inc.(a)

14,500

186,056

JTEKT

Corp.(a)

12,400

146,483

JXTG

Holdings,

Inc.(a)

145,800

661,725

Kajima

Corp.(a)

19,800

263,245

Kaken

Pharmaceutical

Co.

Ltd.(a)

700

38,623

Kamigumi

Co.

Ltd.(a)

12,100

265,981

KDDI

Corp.(a)

28,400

847,353

Konami

Holdings

Corp.(a)

800

32,874

Konica

Minolta,

Inc.(a)

20,100

130,933

Kyocera

Corp.(a)

4,500

306,701

Kyushu

Railway

Co.(a)

12,400

415,122

Mabuchi

Motor

Co.

Ltd.(a)

4,100

154,798

Marubeni

Corp.(a)

113,400

837,842

Mazda

Motor

Corp.(a)

49,800

424,368

Medipal

Holdings

Corp.(a)

20,000

441,407

MINEBEA

MITSUMI,

Inc.(a)

3,800

78,493

Mitsubishi

Chemical

Holdings

Corp.(a)

37,600

280,165

Mitsubishi

Corp.(a)

11,700

309,949

Mitsubishi

Electric

Corp.(a)

11,100

151,134

Mitsubishi

Gas

Chemical

Co.,

Inc.(a)

4,300

65,507

Mitsubishi

Heavy

Industries

Ltd.(a)

4,200

162,863

INVESTMENTS

SHARES

VALUE

Japan

-

12.2%

(continued)

Mitsubishi

UFJ

Financial

Group,

Inc.

(a)

37,400

$

202,197

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.(a)

8,100

52,145

Mitsui

&

Co.

Ltd.(a)

31,700

563,484

Mitsui

Chemicals,

Inc.(a)

10,600

258,209

Mixi,

Inc.(a)

12,900

244,575

MS&AD

Insurance

Group

Holdings,

Inc.(a)

10,500

346,591

Nexon

Co.

Ltd.*(a)

22,900

303,775

NH

Foods

Ltd.(a)

500

20,712

NHK

Spring

Co.

Ltd.(a)

19,700

178,292

Nikon

Corp.(a)

3,300

40,358

Nippon

Electric

Glass

Co.

Ltd.(a)

2,000

44,400

Nippon

Express

Co.

Ltd.(a)(b)

2,000

117,238

Nippon

Shokubai

Co.

Ltd.(a)

1,100

68,165

Nippon

Steel

Corp.(a)

14,600

220,065

Nippon

Telegraph

&

Telephone

Corp.

(a)

44,800

1,132,262

Nitto

Denko

Corp.(a)

500

28,114

NSK

Ltd.(a)

6,300

59,555

NTT

Data

Corp.(a)

4,700

62,858

Obayashi

Corp.(a)

49,500

549,780

Oji

Holdings

Corp.

7,200

38,938

ORIX

Corp.(a)

36,600

606,512

Osaka

Gas

Co.

Ltd.(a)

10,000

191,232

Otsuka

Corp.(a)

500

19,967

Resona

Holdings,

Inc.(a)

139,200

606,708

Sankyu,

Inc.

800

40,202

Sawai

Pharmaceutical

Co.

Ltd.(a)

1,900

120,372

Sekisui

House

Ltd.(a)

16,400

350,220

Shimamura

Co.

Ltd.(a)

700

53,217

Shimizu

Corp.

20,400

207,811

Shinsei

Bank

Ltd.(a)

18,500

282,258

Shionogi

&

Co.

Ltd.(a)

2,600

160,840

Showa

Denko

KK(a)

20,000

527,110

Sojitz

Corp.(a)

313,600

1,010,765

Subaru

Corp.

3,800

94,125

Sugi

Holdings

Co.

Ltd.

400

21,102

Sumitomo

Chemical

Co.

Ltd.(a)

51,500

233,839

Sumitomo

Corp.(a)

31,200

463,424

Sumitomo

Heavy

Industries

Ltd.(a)

12,200

346,539

Sumitomo

Mitsui

Financial

Group,

Inc.(a)

11,800

435,837

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(a)

3,800

150,218

Suntory

Beverage

&

Food

Ltd.

1,000

41,749

Suzuken

Co.

Ltd.(a)

8,770

357,447

Taiheiyo

Cement

Corp.(a)

18,000

528,356

Taisei

Corp.(a)

3,200

132,547

Takashimaya

Co.

Ltd.

2,300

25,799

TDK

Corp.(a)

200

22,476

Teijin

Ltd.(a)

17,400

325,069

TIS,

Inc.

400

23,645

Toho

Gas

Co.

Ltd.(a)

3,600

146,996

Tohoku

Electric

Power

Co.,

Inc.(a)

6,900

68,404

Tokyo

Broadcasting

System

Holdings,

Inc.(a)

4,800

81,493

Tokyo

Electric

Power

Co.

Holdings,

Inc.*(a)

258,000

1,104,385

230

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

12.2%

(continued)

Tokyo

Gas

Co.

Ltd.(a)

39,100

$

950,088

Toppan

Printing

Co.

Ltd.(a)(b)

18,400

380,112

Tosoh

Corp.(a)

29,900

460,633

Toyo

Seikan

Group

Holdings

Ltd.(a)

19,200

330,513

Toyoda

Gosei

Co.

Ltd.

1,400

34,957

Toyota

Motor

Corp.

300

21,138

Toyota

Tsusho

Corp.(a)

3,500

122,947

West

Japan

Railway

Co.

400

34,597

Yamaguchi

Financial

Group,

Inc.(a)

20,200

136,612

Yokohama

Rubber

Co.

Ltd.

(The)

1,000

19,395

31,233,865

—

Netherlands

-

1.4%

ASM

International

NV(a)

2,345

264,686

ASR

Nederland

NV(a)

9,303

348,635

Koninklijke

Ahold

Delhaize

NV(a)

57,410

1,439,406

NN

Group

NV(a)

17,627

670,228

Randstad

NV(a)

7,258

444,735

Signify

NV(a)(c)

7,901

247,292

Wolters

Kluwer

NV(a)

536

39,136

3,454,118

—

Norway

-

0.4%

Equinor

ASA(a)

6,680

133,214

Leroy

Seafood

Group

ASA(a)

27,578

183,587

Mowi

ASA(a)

14,605

379,744

Salmar

ASA(a)

4,002

205,087

901,632

—

Singapore

-

0.3%

ComfortDelGro

Corp.

Ltd.(a)

187,700

332,118

Genting

Singapore

Ltd.(a)

119,000

81,490

Venture

Corp.

Ltd.(a)

19,900

240,069

Wilmar

International

Ltd.(a)

40,500

124,080

777,757

—

Spain

-

1.6%

Acciona

SA(a)

1,077

113,555

ACS

Actividades

de

Construccion

y

Servicios

SA(a)

3,512

140,881

Banco

Bilbao

Vizcaya

Argentaria

SA(a)

53,303

299,261

Banco

de

Sabadell

SA(a)

74,198

86,879

Banco

Santander

SA(a)

30,838

129,296

Ebro

Foods

SA(a)

263

5,699

Enagas

SA(a)

8,856

226,202

Endesa

SA(a)

32,793

875,728

Iberdrola

SA(a)

53,574

552,111

Mapfre

SA(a)

100,326

266,019

Naturgy

Energy

Group

SA(a)

7,132

179,591

Red

Electrica

Corp.

SA(a)

12,519

252,255

Repsol

SA(a)

29,213

458,941

Telefonica

SA(a)

58,295

407,663

3,994,081

—

Sweden

-

0.9%

Assa

Abloy

AB,

Class

B(b)

974

22,768

Axfood

AB(a)

6,936

154,465

Boliden

AB*(a)

817

21,698

INVESTMENTS

SHARES

VALUE

Sweden

-

0.9%

(continued)

Essity

AB,

Class

B(a)

12,872

$

414,558

Getinge

AB,

Class

B(a)

6,439

119,747

Hennes

&

Mauritz

AB,

Class

B(a)

7,622

155,470

ICA

Gruppen

AB(a)

2,689

125,608

Sandvik

AB(a)

2,185

42,558

Securitas

AB,

Class

B(a)

11,385

196,155

Skanska

AB,

Class

B(a)

3,993

90,328

SKF

AB,

Class

B(a)

3,522

71,308

SSAB

AB,

Class

A(a)

57,160

200,846

Swedish

Orphan

Biovitrum

AB*(a)

14,988

248,438

Volvo

AB,

Class

B(a)

19,693

329,684

2,193,631

—

Switzerland

-

1.3%

Adecco

Group

AG

(Registered)(a)

2,944

186,126

Flughafen

Zurich

AG

(Registered)(a)

432

78,853

Geberit

AG

(Registered)(a)

168

94,295

Helvetia

Holding

AG

(Registered)(a)

2,180

307,923

Nestle

SA

(Registered)(a)

1,071

115,952

Novartis

AG

(Registered)(a)

4,011

379,800

Roche

Holding

AG(a)

3,159

1,026,684

Sonova

Holding

AG

(Registered)(a)

129

29,491

Swiss

Life

Holding

AG

(Registered)(a)

1,133

568,393

Swisscom

AG

(Registered)(a)

722

382,209

Zurich

Insurance

Group

AG(a)

281

115,266

3,284,992

—

United

Kingdom

-

0.3%

Fiat

Chrysler

Automobiles

NV(a)

27,034

400,821

Unilever

NV

4,873

279,665

680,486

—

United

States

-

0.3%

Bausch

Health

Cos.,

Inc.(1)*(a)

6,292

188,341

BRP,

Inc.(1)(a)

10,084

459,412

647,753

—

TOTAL

COMMON

STOCKS

(Cost

$61,518,261)

68,856,423

SHORT-TERM

INVESTMENTS

-

89.9%

INVESTMENT

COMPANIES

-

64.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(d)(e)

5,123,402

5,123,402

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(d)(f)

159,933,629

159,933,629

TOTAL

INVESTMENT

COMPANIES

(Cost

$165,035,230)

165,057,031

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

25.1%

U.S.

Treasury

Bills

1.91%,

2/13/2020(g)

$

1,655,000

1,652,128

1.86%,

2/27/2020(g)(h)

9,489,000

9,466,711

1.84%,

3/5/2020(g)(h)

10,438,000

10,410,555

1.89%,

3/19/2020(g)

163,000

162,483

1.81%,

4/2/2020(g)

2,338,000

2,328,987

1.55%,

5/7/2020(g)

919,000

914,099

231

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

25.1%

(continued)

1.56%,

5/14/2020(g)(h)

$

8,960,000

$

8,909,428

1.55%,

5/21/2020(g)(h)

5,940,000

5,904,744

1.59%,

5/28/2020(g)(h)

3,427,000

3,405,516

1.58%,

6/4/2020(g)(h)

3,433,000

3,410,436

1.53%,

6/11/2020(g)(h)

9,173,000

9,109,977

1.58%,

6/25/2020(g)(h)

360,000

357,312

1.57%,

7/2/2020(g)

7,974,000

7,911,414

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$63,926,082)

63,943,790

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$228,961,312)

229,000,821

TOTAL

LONG

POSITIONS

(Cost

$290,479,573)

297,857,244

SHARES

SHORT

POSITIONS

-

(22.8)%

COMMON

STOCKS

-

(22.8)%

Belgium

-

(0.2)%

Anheuser-Busch

InBev

SA/NV

(1,353)

(110,811)

Telenet

Group

Holding

NV

(5,803)

(260,863)

Umicore

SA

(4,078)

(198,737)

(570,411)

—

Brazil

-

0.0%(i)

Yamana

Gold,

Inc.(1)

(6,797)

(26,904)

Canada

-

(3.6)%

Agnico

Eagle

Mines

Ltd.(1)

(4,101)

(252,588)

Algonquin

Power

&

Utilities

Corp.(1)

(1,812)

(25,634)

AltaGas

Ltd.(1)

(36,627)

(557,916)

Barrick

Gold

Corp.(1)

(15,749)

(292,531)

BlackBerry

Ltd.(1)*

(35,652)

(229,251)

Bombardier,

Inc.,

Class

B(1)*

(268,859)

(399,598)

Cameco

Corp.(1)

(24,553)

(218,198)

Canada

Goose

Holdings,

Inc.(1)*

(6,006)

(217,429)

Canadian

National

Railway

Co.(1)

(799)

(72,279)

Canadian

Pacific

Railway

Ltd.(1)

(76)

(19,374)

CCL

Industries,

Inc.,

Class

B(1)

(6,008)

(255,949)

Cenovus

Energy,

Inc.(1)

(44,000)

(447,268)

Dollarama,

Inc.(1)

(15,900)

(546,469)

Element

Fleet

Management

Corp.(1)

(21,866)

(186,742)

Enbridge,

Inc.(1)

(4,925)

(195,817)

Fairfax

Financial

Holdings

Ltd.(1)

(43)

(20,191)

Finning

International,

Inc.(1)

(10,981)

(213,946)

Franco-Nevada

Corp.(1)

(2,595)

(267,963)

Gildan

Activewear,

Inc.(1)

(1,724)

(50,968)

Imperial

Oil

Ltd.(1)

(1,051)

(27,802)

Inter

Pipeline

Ltd.(1)

(15,239)

(264,516)

Keyera

Corp.(1)

(6,821)

(178,700)

Kinross

Gold

Corp.(1)*

(8,851)

(41,987)

Methanex

Corp.(1)

(1,556)

(60,093)

Pan

American

Silver

Corp.(1)

(5,071)

(120,122)

Parkland

Fuel

Corp.(1)

(812)

(29,834)

Pembina

Pipeline

Corp.(1)

(13,930)

(516,307)

PrairieSky

Royalty

Ltd.(1)

(17,647)

(206,972)

Restaurant

Brands

International,

Inc.

(1)

(3,619)

(230,704)

Saputo,

Inc.(1)

(1,422)

(44,022)

Shopify,

Inc.,

Class

A(1)*

(705)

(280,306)

INVESTMENTS

SHARES

VALUE

Canada

-

(3.6)%

(continued)

SNC-Lavalin

Group,

Inc.(1)

(31,087)

$

(716,995)

Stars

Group,

Inc.

(The)(1)*

(11,881)

(310,074)

Suncor

Energy,

Inc.(1)

(1,575)

(51,621)

TC

Energy

Corp.(1)

(5,506)

(293,246)

Vermilion

Energy,

Inc.(1)

(2,659)

(43,472)

West

Fraser

Timber

Co.

Ltd.(1)

(4,697)

(207,188)

Wheaton

Precious

Metals

Corp.(1)

(24,069)

(716,204)

WSP

Global,

Inc.(1)

(658)

(44,931)

(8,855,207)

—

Chile

-

(0.1)%

Lundin

Mining

Corp.(1)

(30,850)

(184,356)

Colombia

-

0.0%(i)

Millicom

International

Cellular

SA,

SDR

(2,594)

(124,574)

Denmark

-

(0.6)%

AP

Moller

-

Maersk

A/S,

Class

B

(577)

(832,511)

Chr

Hansen

Holding

A/S

(1,819)

(144,601)

DSV

Panalpina

A/S

(246)

(28,358)

FLSmidth

&

Co.

A/S

(1,799)

(71,742)

Genmab

A/S*

(1,833)

(407,666)

Novozymes

A/S,

Class

B

(653)

(31,962)

(1,516,840)

—

Finland

-

(0.2)%

Nokia

OYJ

(14,358)

(53,108)

Nokian

Renkaat

OYJ

(1,986)

(57,121)

Stora

Enso

OYJ,

Class

R

(24,314)

(353,788)

UPM-Kymmene

OYJ

(1,266)

(43,923)

(507,940)

—

France

-

0.0%(i)

Adevinta

ASA,

Class

B*

(627)

(7,448)

Germany

-

(0.2)%

OSRAM

Licht

AG*

(10,781)

(490,373)

Italy

-

(1.1)%

Amplifon

SpA

(1,217)

(35,024)

Atlantia

SpA

(13,252)

(309,287)

Banca

Generali

SpA

(5,408)

(175,808)

Buzzi

Unicem

SpA

(783)

(19,737)

Davide

Campari-Milano

SpA

(42,156)

(385,192)

DiaSorin

SpA

(231)

(29,916)

Ferrari

NV

(3,266)

(542,272)

FinecoBank

Banca

Fineco

SpA

(28,236)

(338,714)

Freni

Brembo

SpA

(22,973)

(285,225)

Moncler

SpA

(3,783)

(170,263)

Pirelli

&

C

SpA(c)

(19,088)

(110,170)

Prysmian

SpA

(19,549)

(471,898)

Saipem

SpA*

(7,515)

(36,754)

(2,910,260)

—

Japan

-

(12.4)%

Acom

Co.

Ltd.

(32,300)

(146,550)

Advantest

Corp.

(1,100)

(62,038)

Aeon

Co.

Ltd.

(34,100)

(703,701)

AEON

Financial

Service

Co.

Ltd.

(9,300)

(146,537)

Asahi

Intecc

Co.

Ltd.

(8,500)

(248,891)

232

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

(12.4)%

(continued)

Asics

Corp.

(37,700)

$

(625,497)

Bank

of

Kyoto

Ltd.

(The)

(5,200)

(221,733)

Benesse

Holdings,

Inc.

(7,900)

(207,649)

Calbee,

Inc.

(5,800)

(188,972)

Canon,

Inc.

(2,500)

(68,421)

Casio

Computer

Co.

Ltd.

(4,700)

(93,922)

Chugoku

Electric

Power

Co.,

Inc.

(The)

(14,300)

(187,975)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(15,000)

(383,255)

Cosmos

Pharmaceutical

Corp.

(2,400)

(497,552)

Credit

Saison

Co.

Ltd.

(8,300)

(143,953)

CyberAgent,

Inc.

(24,300)

(846,509)

Daifuku

Co.

Ltd.

(9,200)

(556,001)

Daiichi

Sankyo

Co.

Ltd.

(300)

(19,813)

Daikin

Industries

Ltd.

(3,300)

(465,596)

Daiwa

Securities

Group,

Inc.

(7,300)

(36,853)

Disco

Corp.

(1,400)

(328,755)

Eisai

Co.

Ltd.

(500)

(37,413)

FamilyMart

Co.

Ltd.

(13,000)

(311,346)

FANUC

Corp.

(1,600)

(295,464)

Fast

Retailing

Co.

Ltd.

(400)

(237,630)

Fuji

Electric

Co.

Ltd.

(2,600)

(78,981)

GMO

Payment

Gateway,

Inc.

(300)

(20,544)

Hachijuni

Bank

Ltd.

(The)

(6,500)

(28,273)

Hikari

Tsushin,

Inc.

(700)

(175,909)

Hirose

Electric

Co.

Ltd.

(200)

(25,566)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(1,100)

(53,572)

Hitachi

Metals

Ltd.

(2,600)

(38,271)

Hokuriku

Electric

Power

Co.*

(20,900)

(152,511)

Hoshizaki

Corp.

(700)

(62,412)

Ibiden

Co.

Ltd.

(1,300)

(30,950)

IHI

Corp.

(7,100)

(166,147)

Isetan

Mitsukoshi

Holdings

Ltd.

(49,000)

(440,006)

Izumi

Co.

Ltd.

(2,100)

(75,639)

J

Front

Retailing

Co.

Ltd.

(4,600)

(64,157)

Japan

Airport

Terminal

Co.

Ltd.

(9,000)

(499,366)

JGC

Holdings

Corp.

(14,400)

(229,191)

Kansai

Electric

Power

Co.,

Inc.

(The)

(1,900)

(22,011)

Kansai

Paint

Co.

Ltd.

(22,800)

(556,984)

Keikyu

Corp.

(17,399)

(335,435)

Keio

Corp.

(1,100)

(66,560)

Keyence

Corp.

(800)

(280,911)

Kikkoman

Corp.

(11,100)

(543,398)

Kintetsu

Group

Holdings

Co.

Ltd.

(1,600)

(86,784)

Kobayashi

Pharmaceutical

Co.

Ltd.

(600)

(50,821)

Kobe

Bussan

Co.

Ltd.

(8,200)

(282,115)

Kobe

Steel

Ltd.

(10,300)

(55,189)

Koito

Manufacturing

Co.

Ltd.

(3,500)

(162,071)

Kose

Corp.

(1,400)

(204,070)

Kyushu

Electric

Power

Co.,

Inc.

(4,200)

(36,439)

Lawson,

Inc.

(3,200)

(181,640)

LINE

Corp.*

(4,700)

(230,922)

Lion

Corp.

(1,500)

(29,158)

LIXIL

Group

Corp.

(46,900)

(809,346)

Makita

Corp.

(3,400)

(117,419)

Marui

Group

Co.

Ltd.

(25,200)

(614,440)

McDonald's

Holdings

Co.

Japan

Ltd.

(600)

(28,907)

Mercari,

Inc.*

(9,000)

(183,996)

MISUMI

Group,

Inc.

(24,400)

(603,904)

INVESTMENTS

SHARES

VALUE

Japan

-

(12.4)%

(continued)

Mitsubishi

Logistics

Corp.

(1,000)

$

(26,012)

Mitsubishi

Motors

Corp.

(5,900)

(24,593)

Mitsui

OSK

Lines

Ltd.

(6,300)

(173,253)

Mizuho

Financial

Group,

Inc.

(26,300)

(40,513)

MonotaRO

Co.

Ltd.

(20,900)

(556,379)

Nabtesco

Corp.

(11,800)

(347,710)

Nankai

Electric

Railway

Co.

Ltd.

(1,600)

(43,416)

NGK

Spark

Plug

Co.

Ltd.

(1,800)

(34,891)

Nidec

Corp.

(10,500)

(1,434,129)

Nifco,

Inc.

(4,200)

(114,698)

Nintendo

Co.

Ltd.

(300)

(119,988)

Nippon

Paint

Holdings

Co.

Ltd.

(11,000)

(566,298)

Nippon

Shinyaku

Co.

Ltd.

(5,000)

(432,968)

Nippon

Yusen

KK

(10,700)

(192,853)

Nissin

Foods

Holdings

Co.

Ltd.

(2,600)

(193,109)

Nitori

Holdings

Co.

Ltd.

(2,100)

(331,488)

Nomura

Holdings,

Inc.

(100,000)

(514,579)

Odakyu

Electric

Railway

Co.

Ltd.

(11,600)

(270,617)

Olympus

Corp.

(1,400)

(21,578)

Oriental

Land

Co.

Ltd.

(700)

(95,509)

Pan

Pacific

International

Holdings

Corp.

(8,000)

(132,730)

Park24

Co.

Ltd.

(19,000)

(465,235)

PeptiDream,

Inc.*

(4,100)

(209,524)

Persol

Holdings

Co.

Ltd.

(26,900)

(504,137)

Pigeon

Corp.

(10,500)

(384,470)

Pola

Orbis

Holdings,

Inc.

(2,600)

(61,930)

Rakuten,

Inc.

(9,400)

(80,306)

Recruit

Holdings

Co.

Ltd.

(6,000)

(224,732)

Renesas

Electronics

Corp.*

(42,100)

(287,625)

Ricoh

Co.

Ltd.

(2,000)

(21,763)

Rinnai

Corp.

(300)

(23,445)

Ryohin

Keikaku

Co.

Ltd.

(31,000)

(722,497)

SCREEN

Holdings

Co.

Ltd.

(2,700)

(184,137)

Sega

Sammy

Holdings,

Inc.

(11,100)

(160,724)

Seven

Bank

Ltd.

(6,500)

(21,295)

Sharp

Corp.

(12,800)

(195,616)

Shikoku

Electric

Power

Co.,

Inc.

(5,400)

(53,341)

Shimadzu

Corp.

(5,900)

(184,512)

Shimano,

Inc.

(800)

(129,785)

Shiseido

Co.

Ltd.

(6,400)

(454,464)

SMC

Corp.

(600)

(274,389)

SoftBank

Group

Corp.

(14,300)

(620,864)

Sony

Financial

Holdings,

Inc.

(11,500)

(276,056)

Sosei

Group

Corp.*

(2,000)

(39,716)

Square

Enix

Holdings

Co.

Ltd.

(2,100)

(104,567)

Sumitomo

Metal

Mining

Co.

Ltd.

(3,000)

(96,600)

Suzuki

Motor

Corp.

(1,400)

(58,439)

Sysmex

Corp.

(2,100)

(142,978)

T&D

Holdings,

Inc.

(5,500)

(69,551)

Takeda

Pharmaceutical

Co.

Ltd.

(7,900)

(312,463)

Tobu

Railway

Co.

Ltd.

(3,500)

(126,703)

Tokyu

Corp.

(4,500)

(83,217)

Toshiba

Corp.

(13,800)

(468,396)

TOTO

Ltd.

(20,500)

(865,655)

Tsuruha

Holdings,

Inc.

(4,800)

(616,311)

Unicharm

Corp.

(7,900)

(266,761)

Welcia

Holdings

Co.

Ltd.

(7,800)

(495,529)

Yakult

Honsha

Co.

Ltd.

(7,400)

(407,833)

Yamato

Holdings

Co.

Ltd.

(21,400)

(364,861)

233

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

(12.4)%

(continued)

Yaskawa

Electric

Corp.

(22,900)

$

(862,665)

(31,276,444)

—

Luxembourg

-

(0.3)%

Aperam

SA

(713)

(22,904)

ArcelorMittal

SA

(42,509)

(748,995)

Tenaris

SA

(3,395)

(38,465)

(810,364)

—

Netherlands

-

(0.7)%

Adyen

NV*(c)

(597)

(491,090)

Akzo

Nobel

NV

(1,288)

(131,536)

Altice

Europe

NV*

(34,487)

(223,321)

ASML

Holding

NV

(82)

(24,277)

Boskalis

Westminster

(6,646)

(170,299)

Koninklijke

KPN

NV

(13,043)

(38,599)

Koninklijke

Vopak

NV

(2,895)

(157,315)

OCI

NV*

(12,858)

(272,226)

SBM

Offshore

NV

(14,486)

(270,642)

(1,779,305)

—

Norway

-

(0.2)%

Norsk

Hydro

ASA

(86,337)

(321,054)

Schibsted

ASA,

Class

A

(7,065)

(213,755)

(534,809)

—

Singapore

-

(0.3)%

City

Developments

Ltd.

(4,700)

(38,253)

Jardine

Cycle

&

Carriage

Ltd.

(900)

(20,126)

Keppel

Corp.

Ltd.

(7,800)

(39,301)

Singapore

Airlines

Ltd.

(6,800)

(45,718)

Singapore

Technologies

Engineering

Ltd.

(9,200)

(26,944)

Singapore

Telecommunications

Ltd.

(214,000)

(536,523)

(706,865)

—

Spain

-

(1.2)%

Acerinox

SA

(3,464)

(39,142)

Amadeus

IT

Group

SA

(2,977)

(243,807)

Bankia

SA

(27,697)

(59,303)

Bankinter

SA

(3,982)

(29,249)

Cellnex

Telecom

SA(c)

(29,653)

(1,279,101)

Ferrovial

SA

(38,660)

(1,171,288)

Grifols

SA

(7,924)

(279,967)

(3,101,857)

—

Sweden

-

(0.5)%

BillerudKorsnas

AB

(9,060)

(107,058)

Elekta

AB,

Class

B

(2,341)

(30,885)

Hexpol

AB

(11,324)

(111,287)

Husqvarna

AB,

Class

B

(4,788)

(38,370)

Svenska

Cellulosa

AB

SCA,

Class

B

(89,005)

(902,564)

Swedish

Match

AB

(3,576)

(184,224)

(1,374,388)

—

Switzerland

-

(0.9)%

ABB

Ltd.

(Registered)

(13,979)

(337,217)

Credit

Suisse

Group

AG

(Registered)*

(12,813)

(173,202)

Dufry

AG

(Registered)*

(1,263)

(125,241)

INVESTMENTS

SHARES

VALUE

Switzerland

-

(0.9)%

(continued)

Idorsia

Ltd.*

(11,677)

$

(361,043)

Julius

Baer

Group

Ltd.*

(7,431)

(383,090)

Lonza

Group

AG

(Registered)*

(302)

(110,172)

OC

Oerlikon

Corp.

AG

(Registered)

(3,621)

(42,434)

Sika

AG

(Registered)

(841)

(157,936)

Temenos

AG

(Registered)*

(2,780)

(439,766)

Vifor

Pharma

AG

(1,157)

(211,159)

(2,341,260)

—

United

Kingdom

-

(0.2)%

CNH

Industrial

NV

(48,700)

(534,721)

Subsea

7

SA

(6,350)

(75,966)

(610,687)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.(1)

(24,582)

(249,313)

TOTAL

COMMON

STOCKS

(Proceeds$(54,570,054))

(57,979,605)

TOTAL

SHORT

POSITIONS

(Proceeds

$(54,570,054))

(57,979,605)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.2%

(Cost

$235,909,519)

239,877,639

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.8%(j)

14,665,415

NET

ASSETS

-

100.0%

$254,543,054

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

241,279

0.1

%

Consumer

Discretionary

(2,859,421)

(1.1)

Consumer

Staples

(2,206,010)

(0.9)

Energy

740,432

0.3

Financials

10,522,859

4.1

Health

Care

1,539,570

0.6

Industrials

(1,091,143)

(0.4)

Information

Technology

(683,928)

(0.3)

Materials

(3,554,046)

(1.4)

Real

Estate

(38,252)

0.0

(i)

Utilities

8,265,478

3.3

Short-Term

Investments

229,000,821

89.9

Total

Investments

In

Securities

At

Value

239,877,639

94.2

Other

Assets

in

Excess

of

Liabilities(j)

14,665,415

5.8

Net

Assets

$

254,543,054

100.0%

234

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

*

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

$60,980,840.

(b)

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

$310,291.

(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

December

31,

2019

amounted

to

$(376,863),

which

represents

approximately

(0.15)%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

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

contracts.

(i)

Represents

less

than

0.05%

of

net

assets.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

62.8%

INVESTMENT

COMPANIES

-

62.8%

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

(Cost

$159,911,828)

213,737,105

315,864,493

(369,667,969)

159,933,629

$159,933,629

$3,464,970

$10,813

$(8,187)

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/28/2020

TRY

1,653,210

$

3,922

Canada

10

Year

Bond

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

03/20/2020

CAD

(18,422,320)

255,512

DTOP

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

03/19/2020

ZAR

(1,740,000)

167

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/12/2020

KRW

295,200,000

16,544

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

1,402,200,000

79,938

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

03/12/2020

KRW

2,140,200,000

121,979

235

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

01/30/2020

USD

(220,410)

$

1,197

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

USD

(146,940)

811

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

USD

(146,940)

980

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

2,197,650

103,678

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

2,627,625

124,566

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MSCS

03/20/2020

CHF

12,942,060

112,167

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/20/2020

USD

134,715

4,606

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

EUR

487,859

9,326

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

SGD

59,577

1,018

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

CITI

03/18/2020

ZAR

(1,604,162)

1,280

236

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

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

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

EUR

337,750

$

7,794

MSCI

Spain

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

03/20/2020

EUR

3,081,915

90,933

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

CHF

592,835

13,590

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.40%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

GBP

202,233

12,063

962,071

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(3,916,275)

(46,568)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(1,434,675)

(12,515)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

HKD

(12,892,650)

(14,288)

HSCEI

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

(10,089,900)

(15,492)

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

02/12/2020

BRL

(579,760)

(3,247)

237

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(2,627,625)

$

(53,744)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(573,300)

(3,222)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/20/2020

CHF

6,628,860

(25,196)

Tel

Aviv

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/29/2020

ILS

3,703,238

(1,571)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/20/2020

AUD

323,332

(918)

MSCI

Brazil

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

CDI

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

03/18/2020

BRL

(587,003)

(6,343)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

03/18/2020

CAD

(1,489,260)

(7,669)

MSCI

France

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

(-0.11%)

Monthly

CITI

03/18/2020

EUR

(1,266,064)

(29,664)

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

CITI

03/18/2020

MXN

(1,727,685)

(1,745)

238

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.12%)

Monthly

CITI

03/18/2020

EUR

(599,677)

$

(11,548)

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

03/18/2020

PLN

(5,419)

(29)

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

03/18/2020

PLN

(20,424)

(244)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.45%)

Monthly

CITI

03/18/2020

ZAR

(14,633,740)

(53,632)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

CITI

03/18/2020

SEK

(15,150,491)

(39,328)

(326,963)

$

635,108

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

117

1/2020

USD

$

7,722,000

$

222,973

IBEX

35

Index

76

1/2020

EUR

8,122,800

(64,794)

MSCI

Singapore

Index

22

1/2020

SGD

607,681

(1,083)

MSCI

Taiwan

Index

98

1/2020

USD

4,504,080

(32,799)

Natural

Gas

91

1/2020

USD

1,991,990

(50,539)

WTI

Crude

Oil

54

1/2020

USD

3,297,240

120,036

3

Month

Canadian

Bankers

Acceptance

7

3/2020

CAD

1,320,704

(7)

239

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Eurodollar

49

3/2020

USD

$

12,037,463

$

(6,990)

ASX

90

Day

Bank

Accepted

Bill

53

3/2020

AUD

37,111,307

13,698

Australia

3

Year

Bond

1,343

3/2020

AUD

108,394,657

(708,271)

EURO

STOXX

50

Index

515

3/2020

EUR

21,541,519

(59,940)

Euro-Bobl

53

3/2020

EUR

7,944,317

(44,106)

Euro-Bund

368

3/2020

EUR

70,375,817

(1,067,377)

FTSE

100

Index

67

3/2020

GBP

6,655,227

38,034

FTSE/MIB

Index

63

3/2020

EUR

8,271,584

(26,605)

KOSPI

200

Index

25

3/2020

KRW

1,595,400

61,217

Silver

28

3/2020

USD

2,508,940

98,321

SPI

200

Index

132

3/2020

AUD

15,291,062

(407,412)

U.S.

Treasury

2

Year

Note

1,507

3/2020

USD

324,758,499

(119,894)

U.S.

Treasury

5

Year

Note

25

3/2020

USD

2,965,234

(10,702)

3

Month

Canadian

Bankers

Acceptance

13

6/2020

CAD

2,453,236

(92)

3

Month

Eurodollar

238

6/2020

USD

58,494,450

(61,702)

ASX

90

Day

Bank

Accepted

Bill

200

6/2020

AUD

140,056,450

39,587

3

Month

Canadian

Bankers

Acceptance

18

9/2020

CAD

3,397,309

(91)

3

Month

Eurodollar

239

9/2020

USD

58,773,088

(101,646)

ASX

90

Day

Bank

Accepted

Bill

196

9/2020

AUD

137,268,832

(46,349)

3

Month

Canadian

Bankers

Acceptance

19

12/2020

CAD

3,586,048

24

3

Month

Eurodollar

210

12/2020

USD

51,649,500

(34,183)

ASX

90

Day

Bank

Accepted

Bill

149

12/2020

AUD

104,339,489

(29,828)

(2,280,520)

Short

Contracts

Amsterdam

Exchange

Index

(42)

1/2020

EUR

(5,696,993)

30,601

CAC

40

10

Euro

Index

(214)

1/2020

EUR

(14,330,615)

(1,974)

Hang

Seng

Index

(41)

1/2020

HKD

(7,437,278)

(71,220)

HSCEI

(34)

1/2020

HKD

(2,445,838)

(26,675)

OMXS30

Index

(285)

1/2020

SEK

(5,380,444)

60,530

SGX

NIFTY

50

Index

(55)

1/2020

USD

(1,346,950)

8,534

100

oz

Gold

(127)

2/2020

USD

(19,343,370)

(625,414)

3

Month

Euro

Euribor

(24)

3/2020

EUR

(6,756,111)

991

3

Month

Sterling

(125)

3/2020

GBP

(20,541,648)

19,459

Australia

10

Year

Bond

(51)

3/2020

AUD

(5,116,364)

74,928

Canada

10

Year

Bond

(261)

3/2020

CAD

(27,632,575)

491,682

Copper

(45)

3/2020

USD

(3,146,625)

(160,520)

Corn

(216)

3/2020

USD

(4,187,700)

(37,874)

DAX

Index

(10)

3/2020

EUR

(3,714,650)

16,911

Euro-Buxl

(16)

3/2020

EUR

(3,560,366)

136,326

Euro-Schatz

(2)

3/2020

EUR

(251,048)

65

FTSE/JSE

Top

40

Index

(31)

3/2020

ZAR

(1,136,770)

4,864

Japan

10

Year

Bond

(2)

3/2020

JPY

(2,801,160)

(597)

Long

Gilt

(320)

3/2020

GBP

(55,688,303)

296,373

MEX

BOLSA

Index

(13)

3/2020

MXN

(304,134)

6,625

S&P

500

E-Mini

Index

(199)

3/2020

USD

(32,149,445)

(471,355)

S&P/TSX

60

Index

(10)

3/2020

CAD

(1,559,278)

1,034

TOPIX

Index

(12)

3/2020

JPY

(1,900,695)

(5,981)

U.S.

Treasury

10

Year

Note

(241)

3/2020

USD

(30,949,672)

(26,957)

U.S.

Treasury

Long

Bond

(48)

3/2020

USD

(7,483,500)

157,252

3

Month

Euro

Euribor

(125)

6/2020

EUR

(35,188,079)

8,978

3

Month

Sterling

(682)

6/2020

GBP

(112,109,109)

41,066

3

Month

Euro

Euribor

(134)

9/2020

EUR

(37,717,863)

15,944

3

Month

Sterling

(696)

9/2020

GBP

(114,433,517)

79,277

3

Month

Euro

Euribor

(103)

12/2020

EUR

(28,989,201)

9,372

240

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Sterling

(571)

12/2020

GBP

$

(93,876,793)

$

(6,997)

25,248

$

(2,255,272)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

6,363,000

USD

4,341,832

CITI

3/18/2020

$

131,722

AUD

6,363,000

USD

4,341,837

JPMC

3/18/2020

131,718

BRL

800,000

USD

195,991

CITI

**

3/18/2020

2,265

BRL

800,000

USD

195,992

JPMC

**

3/18/2020

2,265

CAD

10,300,006

USD

7,779,587

CITI

3/18/2020

154,449

CAD

10,299,994

USD

7,779,588

JPMC

3/18/2020

154,439

CHF

2,005,000

USD

2,055,514

CITI

3/18/2020

27,308

CHF

2,005,000

USD

2,055,517

JPMC

3/18/2020

27,306

CNY

20,760,996

USD

2,941,927

CITI

**

3/18/2020

35,319

CNY

20,761,004

USD

2,941,931

JPMC

**

3/18/2020

35,314

DKK

500

USD

75

CITI

3/18/2020

–

DKK

500

USD

75

JPMC

3/18/2020

–

EUR

465,000

USD

518,803

CITI

3/18/2020

5,252

EUR

465,000

USD

518,803

JPMC

3/18/2020

5,252

GBP

12,814,510

USD

16,722,594

CITI

3/18/2020

286,711

GBP

12,814,490

USD

16,722,589

JPMC

3/18/2020

286,692

INR

122,650,008

USD

1,693,854

CITI

**

3/18/2020

14,846

INR

122,649,992

USD

1,693,856

JPMC

**

3/18/2020

14,844

JPY

564,768,500

USD

5,215,170

CITI

3/18/2020

4,955

JPY

564,768,500

USD

5,215,176

JPMC

3/18/2020

4,948

KRW

1,125,000,000

USD

962,797

CITI

**

3/18/2020

12,432

KRW

1,125,000,000

USD

962,798

JPMC

**

3/18/2020

12,430

MXN

116,304,994

USD

5,896,924

CITI

3/18/2020

185,896

MXN

116,305,006

USD

5,896,932

JPMC

3/18/2020

185,887

NOK

747,000

USD

83,600

CITI

3/18/2020

1,505

NOK

747,000

USD

83,601

JPMC

3/18/2020

1,505

NZD

576,000

USD

371,228

CITI

3/18/2020

16,957

NZD

576,000

USD

371,228

JPMC

3/18/2020

16,957

PLN

1,350,000

USD

347,935

CITI

3/18/2020

7,965

PLN

1,350,000

USD

347,935

JPMC

3/18/2020

7,965

SEK

137,500

USD

14,539

CITI

3/18/2020

194

SEK

137,500

USD

14,539

JPMC

3/18/2020

194

SGD

1,836,502

USD

1,350,533

CITI

3/18/2020

15,942

SGD

1,836,498

USD

1,350,531

JPMC

3/18/2020

15,941

THB

320,500

USD

10,612

CITI

3/18/2020

106

THB

320,500

USD

10,612

JPMC

3/18/2020

106

USD

60,988

DKK

404,000

CITI

3/18/2020

27

USD

60,988

DKK

404,000

JPMC

3/18/2020

27

USD

106,528

EUR

94,500

CITI

3/18/2020

27

USD

106,528

EUR

94,500

JPMC

3/18/2020

26

USD

305,560

ILS

1,049,376

CITI

3/18/2020

442

USD

305,559

ILS

1,049,374

JPMC

3/18/2020

442

USD

151,753

JPY

16,371,000

CITI

3/18/2020

437

USD

151,753

JPY

16,371,000

JPMC

3/18/2020

437

241

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

2,744,055

SEK

25,495,500

CITI

3/18/2020

$

12,141

USD

2,744,051

SEK

25,495,500

JPMC

3/18/2020

12,136

ZAR

27,550,000

USD

1,850,682

CITI

3/18/2020

96,911

ZAR

27,550,000

USD

1,850,685

JPMC

3/18/2020

96,909

Total

unrealized

appreciation

2,027,549

CAD

4,000

USD

3,084

CITI

3/18/2020

(3)

CAD

4,000

USD

3,084

JPMC

3/18/2020

(3)

CHF

1,500

USD

1,559

CITI

3/18/2020

(1)

CHF

1,500

USD

1,559

JPMC

3/18/2020

(1)

DKK

2,000

USD

302

CITI

3/18/2020

–

DKK

2,000

USD

302

JPMC

3/18/2020

–

INR

28,000,000

USD

391,219

CITI

**

3/18/2020

(1,137)

INR

28,000,000

USD

391,220

JPMC

**

3/18/2020

(1,137)

JPY

548,016,500

USD

5,079,055

CITI

3/18/2020

(13,768)

JPY

548,016,500

USD

5,079,061

JPMC

3/18/2020

(13,775)

MXN

9,800,000

USD

514,146

CITI

3/18/2020

(1,600)

MXN

9,800,000

USD

514,147

JPMC

3/18/2020

(1,602)

NOK

500

USD

57

CITI

3/18/2020

–

NOK

500

USD

57

JPMC

3/18/2020

–

SEK

6,500

USD

700

CITI

3/18/2020

(3)

SEK

6,500

USD

700

JPMC

3/18/2020

(3)

USD

870,145

AUD

1,262,000

CITI

3/18/2020

(17,114)

USD

870,143

AUD

1,262,000

JPMC

3/18/2020

(17,115)

USD

1,579,202

BRL

6,655,000

CITI

**

3/18/2020

(70,046)

USD

1,579,200

BRL

6,655,000

JPMC

**

3/18/2020

(70,048)

USD

185,543

CAD

243,500

CITI

3/18/2020

(2,024)

USD

185,542

CAD

243,500

JPMC

3/18/2020

(2,024)

USD

17,967,658

CHF

17,697,008

CITI

3/18/2020

(416,241)

USD

17,967,619

CHF

17,696,992

JPMC

3/18/2020

(416,264)

USD

280,749

CNY

1,964,500

CITI

**

3/18/2020

(971)

USD

280,749

CNY

1,964,500

JPMC

**

3/18/2020

(971)

USD

245,426

DKK

1,642,500

CITI

3/18/2020

(2,418)

USD

245,426

DKK

1,642,500

JPMC

3/18/2020

(2,418)

USD

11,034,181

EUR

9,912,995

CITI

3/18/2020

(137,764)

USD

11,034,178

EUR

9,913,005

JPMC

3/18/2020

(137,777)

USD

570,813

GBP

434,000

CITI

3/18/2020

(5,256)

USD

570,813

GBP

434,000

JPMC

3/18/2020

(5,256)

USD

965,868

HUF

290,000,000

CITI

3/18/2020

(20,692)

USD

965,867

HUF

290,000,000

JPMC

3/18/2020

(20,693)

USD

2,722,163

ILS

9,395,632

CITI

3/18/2020

(9,724)

USD

2,722,155

ILS

9,395,618

JPMC

3/18/2020

(9,727)

USD

1,264,803

JPY

137,425,500

CITI

3/18/2020

(5,413)

USD

1,264,802

JPY

137,425,500

JPMC

3/18/2020

(5,415)

USD

6,733,555

KRW

7,925,124,994

CITI

**

3/18/2020

(136,490)

USD

6,733,546

KRW

7,925,125,006

JPMC

**

3/18/2020

(136,499)

USD

894,105

MXN

17,250,000

CITI

3/18/2020

(8,079)

USD

894,104

MXN

17,250,000

JPMC

3/18/2020

(8,081)

USD

5,998,571

NOK

54,960,500

CITI

3/18/2020

(263,074)

USD

5,998,564

NOK

54,960,500

JPMC

3/18/2020

(263,082)

USD

1,454,569

SEK

13,694,002

CITI

3/18/2020

(12,784)

USD

1,454,567

SEK

13,693,998

JPMC

3/18/2020

(12,785)

USD

404,235

SGD

550,000

CITI

3/18/2020

(5,001)

USD

404,234

SGD

550,000

JPMC

3/18/2020

(5,001)

USD

79,334

THB

2,392,500

CITI

3/18/2020

(682)

USD

79,334

THB

2,392,500

JPMC

3/18/2020

(682)

USD

1,157,554

TWD

35,000,000

CITI

**

3/18/2020

(19,304)

242

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,157,550

TWD

35,000,000

JPMC

**

3/18/2020

$

(19,308)

Total

unrealized

depreciation

(2,299,256)

Net

unrealized

depreciation

$

(271,707)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

December

31,

2019

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

or

AOISR

plus

or

minus

a

specified

spread

(-0.08%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

04/13/2023

-

01/02/2025

$9,543,277

$(154,577)

$(93,273)

$(247,850)

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

AGL

Energy

Ltd.

69,376

998,569

20,018

(8.1)

Alumina

Ltd.

52,872

85,399

(2,707)

1.1

Ansell

Ltd.

1,911

38,914

(313)

0.1

Aurizon

Holdings

Ltd.

29,422

107,977

(715)

0.3

Beach

Energy

Ltd.

118,892

210,291

4,203

(1.7)

BlueScope

Steel

Ltd.

69,076

731,625

144,523

(58.3)

Boral

Ltd.

22,647

71,249

(2,638)

1.1

CIMIC

Group

Ltd.

1,409

32,759

(7,876)

3.2

Coca-Cola

Amatil

Ltd.

11,115

86,315

1,027

(0.4)

Crown

Resorts

Ltd.

3,534

29,796

(3,428)

1.4

Evolution

Mining

Ltd.

16,971

45,116

(7,351)

3.0

Flight

Centre

Travel

Group

Ltd.

1,902

58,829

(10,082)

4.1

Fortescue

Metals

Group

Ltd.

117,452

885,395

220,351

(88.9)

Harvey

Norman

Holdings

Ltd.

106,086

302,993

38,799

(15.7)

Iluka

Resources

Ltd.

17,264

113,041

12,610

(5.1)

Newcrest

Mining

Ltd.

1,491

31,488

1,343

(0.5)

Santos

Ltd.

3,341

19,221

(314)

0.1

South32

Ltd.

156,921

296,285

(55,205)

22.3

Star

Entertainment

Grp

Ltd.

(The)

10,914

35,209

2,370

(1.0)

Telstra

Corp.

Ltd.

218,656

543,140

81,046

(32.7)

Wesfarmers

Ltd.

1,813

52,689

(643)

0.3

243

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(12,808)

(263,625)

6,006

(2.4)

AMP

Ltd.

(234,265)

(315,133)

25,281

(10.2)

APA

Group

(32,569)

(253,532)

(4,651)

1.9

Atlas

Arteria

Ltd.

(18,035)

(99,165)

942

(0.4)

Challenger

Ltd.

(88,826)

(505,467)

15,648

(6.3)

Commonwealth

Bank

of

Australia

(429)

(24,066)

675

(0.3)

CSL

Ltd.

(100)

(19,388)

(2,566)

1.0

Domino's

Pizza

Enterprises

Ltd.

(570)

(20,951)

(2,661)

1.1

Insurance

Australia

Group

Ltd.

(10,304)

(55,365)

3,609

(1.5)

Lendlease

Group

(27,323)

(337,809)

(62,193)

25.1

Medibank

Pvt

Ltd.

(153,781)

(340,813)

(39,716)

16.0

National

Australia

Bank

Ltd.

(1,637)

(28,327)

1,002

(0.4)

Northern

Star

Resources

Ltd.

(2,507)

(19,757)

(174)

0.1

Oil

Search

Ltd.

(11,853)

(60,439)

(867)

0.3

Origin

Energy

Ltd.

(41,195)

(244,255)

(47,476)

19.2

QBE

Insurance

Group

Ltd.

(38,476)

(347,687)

(63,514)

25.6

Ramsay

Health

Care

Ltd.

(1,614)

(82,117)

(4,208)

1.7

REA

Group

Ltd.

(532)

(38,648)

(1,783)

0.7

SEEK

Ltd.

(30,930)

(489,551)

(82,343)

33.2

Suncorp

Group

Ltd.

(2,996)

(27,215)

1,716

(0.7)

Treasury

Wine

Estates

Ltd.

(18,067)

(205,797)

(16,094)

6.5

Westpac

Banking

Corp.

(1,266)

(21,619)

3,391

(1.4)

WiseTech

Global

Ltd.

(5,191)

(85,247)

12,621

(5.1)

Worley

Ltd.

(5,149)

(55,622)

(5,214)

2.1

United

States

James

Hardie

Industries

plc

(42,231)

(825,382)

(327,026)

131.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

or

EONIA

plus

or

minus

a

specified

spread

(-0.35%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/13/2023

-

01/02/2025

$27,701,021

$(490,555)

$(75,295)

$(565,850)

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

Air

France-KLM

32,821

366,148

70,878

(12.5)

BNP

Paribas

SA

8,982

533,873

94,608

(16.7)

Cie

de

Saint-Gobain

5,177

212,080

(3,848)

0.7

244

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

CNP

Assurances

14,535

289,612

(36,156)

6.4

Electricite

de

France

SA

68,960

769,475

(294,983)

52.1

Engie

SA

76,836

1,244,615

91,915

(16.2)

Eutelsat

Communications

SA

17,711

288,579

(54,491)

9.6

Natixis

SA

42,019

187,174

6,235

(1.1)

Orange

SA

40,986

602,339

(16,726)

3.0

Peugeot

SA

51,317

1,235,568

96,388

(17.0)

Publicis

Groupe

SA

4,406

199,774

(6,449)

1.1

Societe

Generale

SA

11,257

392,847

98,138

(17.3)

Suez

36,149

547,775

52,968

(9.4)

TOTAL

SA

6,749

374,505

7,304

(1.3)

Veolia

Environnement

SA

12,603

335,345

39,586

(7.0)

Germany

Allianz

SE

(Registered)

2,533

620,655

75,596

(13.4)

Bayer

AG

(Registered)

2,574

209,258

4,124

(0.7)

Deutsche

Telekom

AG

(Registered)

42,068

687,483

(6,818)

1.2

E.ON

SE

29,568

315,990

14,015

(2.5)

Hannover

Rueck

SE

3,640

701,846

225,733

(39.9)

HeidelbergCement

AG

7,975

579,503

(6,248)

1.1

Henkel

AG

&

Co.

KGaA

(Preference)

2,112

218,171

2,323

(0.4)

HOCHTIEF

AG

2,157

274,620

13,074

(2.3)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

2,513

741,569

159,946

(28.3)

Volkswagen

AG

(Preference)

1,724

339,349

62,499

(11.0)

United

Kingdom

Dialog

Semiconductor

plc

13,032

661,859

313,170

(55.3)

Short

Positions

Common

Stocks

France

Accor

SA

(11,385)

(534,398)

(38,752)

6.8

Bollore

SA

(44,779)

(195,680)

(10,129)

1.8

Edenred

(15,606)

(808,773)

(327,013)

57.8

Iliad

SA

(4,645)

(604,185)

(13,175)

2.3

Imerys

SA

(7,106)

(301,634)

16,612

(2.9)

Ingenico

Group

SA

(2,461)

(267,703)

(113,838)

20.1

JCDecaux

SA

(5,879)

(181,649)

4,748

(0.8)

Kering

SA

(505)

(332,752)

(80,925)

14.3

Orpea

(3,659)

(469,431)

(65,842)

11.6

Remy

Cointreau

SA

(3,465)

(425,855)

(22,041)

3.9

SEB

SA

(1,806)

(268,602)

307

(0.1)

Ubisoft

Entertainment

SA

(5,491)

(380,434)

47,496

(8.4)

Valeo

SA

(10,395)

(368,433)

(68,635)

12.1

Vivendi

SA

(8,234)

(238,436)

(9,383)

1.7

Worldline

SA

(3,716)

(263,431)

(12,961)

2.3

Germany

CECONOMY

AG

(27,696)

(167,429)

(54,639)

9.7

Delivery

Hero

SE

(10,449)

(828,180)

(405,962)

71.7

Deutsche

Bank

AG

(Registered)

(174,729)

(1,353,891)

174,050

(30.8)

GEA

Group

AG

(6,848)

(226,665)

(43,391)

7.7

RWE

AG

(32,544)

(997,213)

(161,240)

28.5

thyssenkrupp

AG

(60,124)

(807,893)

9,180

(1.6)

United

Internet

AG

(Registered)

(15,861)

(519,436)

106,206

(18.8)

Zalando

SE

(12,921)

(651,608)

(264,462)

46.7

245

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

QIAGEN

NV

(6,041)

(205,837)

30,157

(5.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

or

SONIA

plus

or

minus

a

specified

spread

(-0.28%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-61

months

maturity

ranging

from

01/15/2020

-

01/02/2025

$21,154,265

$130,067

$79,103

$209,170

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

Russia

Evraz

plc

53,743

287,784

(59,322)

(28.4)

United

Kingdom

Aggreko

plc

20,862

230,377

17,753

8.5

Babcock

International

Group

plc

45,986

383,751

89,816

42.9

Barratt

Developments

plc

66,735

660,773

198,872

95.1

Bellway

plc

11,349

572,814

141,413

67.6

Berkeley

Group

Holdings

plc

8,218

529,021

151,082

72.2

Britvic

plc

15,390

184,443

9,166

4.4

BT

Group

plc

146,482

373,264

(19,091)

(9.1)

Drax

Group

plc

41,234

171,447

(31,885)

(15.2)

Hays

plc

89,219

214,574

34,338

16.4

Howden

Joinery

Group

plc

19,780

176,225

58,272

27.9

Lloyds

Banking

Group

plc

190,202

157,568

11,664

5.6

Marks

&

Spencer

Group

plc

60,656

171,988

(5,364)

(2.6)

Micro

Focus

International

plc

24,064

337,753

(133,068)

(63.6)

Moneysupermarket.com

Group

plc

54,582

239,606

17,447

8.3

National

Grid

plc

53,787

672,185

76,273

36.5

Next

plc

2,288

213,202

41,512

19.8

Pennon

Group

plc

38,536

522,691

146,976

70.3

Persimmon

plc

10,104

360,906

96,008

45.9

RELX

plc

6,636

167,515

3,030

1.4

Royal

Mail

plc

153,521

461,709

(219,962)

(105.2)

Taylor

Wimpey

plc

182,439

467,787

94,551

45.2

United

Utilities

Group

plc

72,591

908,397

139,063

66.5

246

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Chile

Antofagasta

plc

(19,603)

(237,348)

(27,092)

(13.0)

South

Africa

Old

Mutual

Ltd.

(149,535)

(208,701)

48,123

23.0

Switzerland

Glencore

plc

(59,273)

(184,560)

(2,351)

(1.1)

United

Arab

Emirates

NMC

Health

plc

(15,181)

(355,681)

145,983

69.8

United

Kingdom

B&M

European

Value

Retail

SA

(41,221)

(223,674)

(29,236)

(14.0)

Beazley

plc

(22,654)

(166,684)

(537)

(0.3)

Burberry

Group

plc

(7,388)

(215,697)

(25,463)

(12.2)

Capita

plc

(127,220)

(277,083)

(65,456)

(31.3)

easyJet

plc

(34,920)

(657,783)

(196,052)

(93.7)

Hargreaves

Lansdown

plc

(15,860)

(406,828)

3,186

1.5

Hiscox

Ltd.

(21,193)

(400,044)

34,236

16.4

Informa

plc

(20,684)

(235,252)

(48,266)

(23.1)

Melrose

Industries

plc

(341,582)

(1,088,016)

(307,933)

(147.2)

Mondi

plc

(21,907)

(513,702)

(41,761)

(20.0)

Prudential

plc

(17,926)

(343,474)

(36,423)

(17.4)

Reckitt

Benckiser

Group

plc

(4,171)

(338,804)

2,454

1.2

Rentokil

Initial

plc

(82,546)

(494,745)

(123,149)

(58.9)

Rolls-Royce

Holdings

plc

(36,140)

(326,634)

73,213

35.0

RSA

Insurance

Group

plc

(62,995)

(472,129)

(16,161)

(7.7)

Signature

Aviation

plc

(39,424)

(165,743)

17,821

8.5

SSE

plc

(9,400)

(179,279)

(18,530)

(8.9)

St

James's

Place

plc

(11,941)

(184,067)

(15,935)

(7.6)

Standard

Life

Aberdeen

plc

(81,121)

(352,927)

(64,132)

(30.7)

Tesco

plc

(79,561)

(268,887)

(26,259)

(12.6)

Virgin

Money

UK

plc

(73,121)

(182,545)

(9,387)

(4.5)

Vodafone

Group

plc

(230,046)

(446,606)

11,941

5.7

Weir

Group

plc

(The)

(12,172)

(243,440)

(5,776)

(2.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

or

HONIX

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

04/13/2023

-

01/02/2025

$7,216,855

$(388,006)

$(1,109)

$(389,115)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

247

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

9,000

31,243

377

(0.1)

Hong

Kong

CK

Asset

Holdings

Ltd.

13,000

93,811

(1,381)

0.4

CLP

Holdings

Ltd.

27,500

288,679

(24,183)

6.2

Henderson

Land

Development

Co.

Ltd.

119,190

584,872

87

(0.0)

HKT

Trust

&

HKT

Ltd.

26,000

36,641

(438)

0.1

Hysan

Development

Co.

Ltd.

14,000

54,898

312

(0.1)

Kerry

Properties

Ltd.

52,000

165,156

(19,673)

5.1

Lifestyle

International

Holdings

Ltd.

12,000

13,769

(8,554)

2.2

New

World

Development

Co.

Ltd.

357,000

489,355

(40,215)

10.3

NWS

Holdings

Ltd.

80,000

112,125

(45,897)

11.8

Sun

Hung

Kai

Properties

Ltd.

18,000

275,668

12,071

(3.1)

Swire

Properties

Ltd.

6,000

19,877

(4,609)

1.2

WH

Group

Ltd.

339,500

351,034

29,124

(7.5)

Yue

Yuen

Industrial

Holdings

Ltd.

61,000

180,029

4,651

(1.2)

Macau

SJM

Holdings

Ltd.

137,000

155,997

24,324

(6.3)

Wynn

Macau

Ltd.

10,400

25,627

3,891

(1.0)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

75,000

715,162

(49,677)

12.8

Short

Positions

Common

Stocks

China

Minth

Group

Ltd.

(70,000)

(247,176)

4,229

(1.1)

Hong

Kong

AIA

Group

Ltd.

(111,800)

(1,175,909)

(170,010)

43.7

ASM

Pacific

Technology

Ltd.

(25,400)

(352,561)

(98,582)

25.3

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(130,500)

(128,623)

3,502

(0.9)

Hong

Kong

&

China

Gas

Co.

Ltd.

(188,000)

(367,328)

(1,480)

0.4

Power

Assets

Holdings

Ltd.

(25,000)

(182,890)

(5,949)

1.5

Techtronic

Industries

Co.

Ltd.

(22,000)

(179,557)

(41,340)

10.6

Vitasoy

International

Holdings

Ltd.

(46,000)

(166,870)

34,843

(9.0)

Wharf

Holdings

Ltd.

(The)

(96,000)

(244,003)

2,769

(0.7)

Wharf

Real

Estate

Investment

Co.

Ltd.

(56,000)

(341,688)

18,269

(4.7)

Xinyi

Glass

Holdings

Ltd.

(62,000)

(82,149)

(17,851)

4.6

Macau

MGM

China

Holdings

Ltd.

(94,400)

(154,158)

3,384

(0.9)

248

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

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

(-0.47%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

04/12/2023

-

01/02/2025

$221,196,075

$2,139,676

$(538,932)

$1,600,744

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

Alphabet,

Inc.

869

1,163,930

135,407

8.5

Amgen,

Inc.

3,705

893,164

150,422

9.4

Assured

Guaranty

Ltd.

19,523

957,017

208,878

13.0

Athene

Holding

Ltd.

23,083

1,085,593

85,898

5.4

Biogen,

Inc.

3,887

1,153,390

196,954

12.3

Bio-Rad

Laboratories,

Inc.

2,225

823,317

88,916

5.6

Capital

One

Financial

Corp.

9,353

962,517

149,281

9.3

Charles

River

Laboratories

International,

Inc.

9,228

1,409,669

270,863

16.9

Eaton

Corp.

plc

8,899

842,913

158,479

9.9

Everest

Re

Group

Ltd.

3,832

1,060,851

219,128

13.7

Facebook,

Inc.

4,569

937,787

75,625

4.7

Gilead

Sciences,

Inc.

13,330

866,183

6,666

0.4

Huntington

Ingalls

Industries,

Inc.

4,244

1,064,735

10,148

0.6

Intel

Corp.

13,823

827,307

145,586

9.1

j2

Global,

Inc.

9,049

847,982

162,487

10.2

ManpowerGroup,

Inc.

9,477

920,217

78,701

4.9

Microsoft

Corp.

5,075

800,328

186,308

11.6

PepsiCo,

Inc.

6,564

897,102

30,515

1.9

Procter

&

Gamble

Co.

(The)

7,233

903,402

135,635

8.5

PulteGroup,

Inc.

21,557

836,412

269,453

16.8

Robert

Half

International,

Inc.

12,809

808,888

36,206

2.3

Spirit

AeroSystems

Holdings,

Inc.

11,295

823,180

(135,597)

(8.5)

Synchrony

Financial

24,329

876,087

131,749

8.2

Target

Corp.

7,200

923,112

260,919

16.3

Short

Positions

Common

Stocks

Panama

Copa

Holdings

SA

(8,020)

(866,802)

(192,999)

(12.1)

United

States

Agios

Pharmaceuticals,

Inc.

(18,238)

(870,864)

375,392

23.5

Apache

Corp.

(33,335)

(853,043)

(12,021)

(0.8)

Ball

Corp.

(11,799)

(763,041)

(80,819)

(5.0)

CenterPoint

Energy,

Inc.

(35,564)

(969,830)

23,177

1.4

249

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cheniere

Energy,

Inc.

(23,581)

(1,440,092)

(6,795)

(0.4)

Dominion

Energy,

Inc.

(9,499)

(786,707)

(60,802)

(3.8)

Edison

International

(16,557)

(1,248,563)

(166,115)

(10.4)

FedEx

Corp.

(5,053)

(764,064)

50,871

3.2

Freeport-McMoRan,

Inc.

(80,250)

(1,052,880)

(82,688)

(5.2)

GCI

Liberty,

Inc.

(10,649)

(754,482)

(265,736)

(16.6)

General

Electric

Co.

(75,480)

(842,357)

(179,316)

(11.2)

Hess

Corp.

(11,630)

(777,000)

(272,339)

(17.0)

Illumina,

Inc.

(2,730)

(905,650)

(140,612)

(8.8)

NiSource,

Inc.

(43,031)

(1,197,983)

(53,024)

(3.3)

Noble

Energy,

Inc.

(37,038)

(920,024)

(64,213)

(4.0)

Occidental

Petroleum

Corp.

(22,109)

(911,112)

25,389

1.6

ONEOK,

Inc.

(10,502)

(794,686)

(184,868)

(11.5)

Pure

Storage,

Inc.

(56,023)

(958,554)

(6,140)

(0.4)

Schlumberger

Ltd.

(35,947)

(1,445,069)

(82,752)

(5.2)

Stericycle,

Inc.

(13,137)

(838,272)

(236,925)

(14.8)

Targa

Resources

Corp.

(26,833)

(1,095,591)

(91,333)

(5.7)

Tesla,

Inc.

(3,368)

(1,408,935)

(621,734)

(38.8)

Univar

Solutions,

Inc.

(39,498)

(957,432)

17,065

1.1

Visteon

Corp.

(8,984)

(777,925)

(157,949)

(9.9)

Zayo

Group

Holdings,

Inc.

(35,021)

(1,213,478)

(90,882)

(5.7)

250

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BANA

Cash

$

(140,000)

$

–

$

(140,000)

BARC

Cash

–

5,752,623

5,752,623

CITI

Investment

Companies

2,842,486

–

2,842,486

GSCO

Cash

–

2,118,606

2,118,606

GSIN

Cash

(930,000)

–

(930,000)

U.S.

Treasury

Bills

14,689,453

–

14,689,453

JPMC

Investment

Companies

1,795,676

–

1,795,676

JPMS

Cash

–

5,085,245

5,085,245

MSCL

Cash

–

822,334

822,334

MSCS

Cash

(230,000)

–

(230,000)

U.S.

Treasury

Bills

2,328,500

–

2,328,500

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Cash

$

(100,000)

$

–

$

(100,000)

Investment

Companies

485,171

–

485,171

GSCO

Cash

–

635,992

635,992

GSIN

Cash

242,235

–

242,235

MSCL

Cash

–

1,686,835

1,686,835

251

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

48.6%

Australia

-

1.2%

Aurizon

Holdings

Ltd.(2)

992

$

3,641

BHP

Group

Ltd.(2)

446

12,213

BHP

Group

plc(2)

867

20,317

BlueScope

Steel

Ltd.(2)

2,003

21,215

Dexus,

REIT(2)

458

3,770

Fortescue

Metals

Group

Ltd.(2)

5,085

38,332

Goodman

Group,

REIT(2)

1,206

11,333

Rio

Tinto

plc(2)

402

23,796

Santos

Ltd.(2)

358

2,060

Scentre

Group,

REIT(2)

1,888

5,081

Wesfarmers

Ltd.(2)

91

2,645

144,403

—

Belgium

-

0.2%

Ageas(2)

351

20,756

Canada

-

1.5%

Air

Canada*

504

18,828

Alimentation

Couche-Tard,

Inc.,

Class

B

724

22,976

Barrick

Gold

Corp.

629

11,683

CGI,

Inc.*

285

23,850

Constellation

Software,

Inc.

27

26,223

Empire

Co.

Ltd.,

Class

A

243

5,700

Franco-Nevada

Corp.

79

8,158

Kinross

Gold

Corp.*

2,264

10,740

Magna

International,

Inc.

164

8,992

Manulife

Financial

Corp.

167

3,390

Onex

Corp.

136

8,606

Open

Text

Corp.

307

13,528

RioCan,

REIT

122

2,514

Teck

Resources

Ltd.,

Class

B

1,302

22,580

187,768

—

Chile

-

0.0%(a)

Lundin

Mining

Corp.

488

2,916

China

-

0.1%

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

7,400

6,168

Denmark

-

0.8%

H

Lundbeck

A/S(2)

186

7,111

Novo

Nordisk

A/S,

Class

B(2)

814

47,170

Pandora

A/S(2)

745

32,399

Vestas

Wind

Systems

A/S(2)

95

9,596

96,276

—

Finland

-

0.5%

Fortum

OYJ(2)

1,057

26,091

Kone

OYJ,

Class

B(2)

104

6,800

Neste

OYJ(2)

547

19,036

Orion

OYJ,

Class

B(2)

190

8,799

60,726

—

France

-

1.4%

AXA

SA(2)

1,064

30,065

BNP

Paribas

SA(2)

156

9,272

Bouygues

SA(2)

286

12,191

INVESTMENTS

SHARES

VALUE

France

-

1.4%

(continued)

Cie

de

Saint-Gobain(2)

449

$

18,394

Dassault

Aviation

SA(2)

2

2,624

Engie

SA(2)

226

3,661

Hermes

International(2)

21

15,731

Kering

SA(2)

51

33,605

Klepierre

SA,

REIT(2)

79

3,005

Natixis

SA(2)

1,356

6,040

Peugeot

SA(2)

292

7,031

Schneider

Electric

SE(2)

124

12,740

Unibail-Rodamco-Westfield,

REIT(2)

110

17,362

171,721

—

Germany

-

1.6%

adidas

AG(2)

31

10,091

Allianz

SE

(Registered)(2)

229

56,111

Bayer

AG

(Registered)(2)

212

17,235

Covestro

AG(2)(b)

46

2,140

Deutsche

Lufthansa

AG

(Registered)

(2)

2,285

41,977

HOCHTIEF

AG(2)

53

6,748

Infineon

Technologies

AG(2)

918

20,742

KION

Group

AG(2)

40

2,751

METRO

AG(2)

343

5,519

SAP

SE(2)

291

39,168

202,482

—

Hong

Kong

-

0.6%

CK

Asset

Holdings

Ltd.(2)

1,000

7,216

Hong

Kong

Exchanges

&

Clearing

Ltd.(2)

200

6,498

Kerry

Properties

Ltd.(2)

4,000

12,704

Link,

REIT(2)

500

5,297

New

World

Development

Co.

Ltd.(2)

10,000

13,707

Sun

Hung

Kai

Properties

Ltd.(2)

1,000

15,315

WH

Group

Ltd.(2)(b)

9,000

9,306

70,043

—

Italy

-

0.6%

Assicurazioni

Generali

SpA(2)

94

1,941

Enel

SpA(2)

6,167

48,990

Intesa

Sanpaolo

SpA(2)

5,068

13,350

Leonardo

SpA(2)

1,169

13,709

77,990

—

Japan

-

3.5%

Amada

Holdings

Co.

Ltd.(2)

200

2,275

Aozora

Bank

Ltd.(2)

100

2,642

Astellas

Pharma,

Inc.(2)

1,700

29,019

Bandai

Namco

Holdings,

Inc.(2)

100

6,083

Hitachi

High-Technologies

Corp.(2)

200

14,164

Hitachi

Ltd.(2)

700

29,537

ITOCHU

Corp.(2)

500

11,588

Japan

Airlines

Co.

Ltd.(2)

300

9,341

Japan

Retail

Fund

Investment

Corp.,

REIT(2)

1

2,152

JTEKT

Corp.(2)

300

3,544

Kamigumi

Co.

Ltd.(2)

200

4,396

Marubeni

Corp.(2)

1,400

10,344

Mebuki

Financial

Group,

Inc.(2)

1,200

3,059

252

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

Japan

-

3.5%

(continued)

MINEBEA

MITSUMI,

Inc.(2)

200

$

4,131

Mitsubishi

Corp.(2)

500

13,246

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

4,800

25,950

MS&AD

Insurance

Group

Holdings,

Inc.(2)

500

16,504

Nikon

Corp.(2)

800

9,784

Nippon

Telegraph

&

Telephone

Corp.

(2)

800

20,219

Nitto

Denko

Corp.(2)

100

5,623

Obayashi

Corp.(2)

500

5,553

Olympus

Corp.(2)

200

3,083

Renesas

Electronics

Corp.(2)*

500

3,416

Resona

Holdings,

Inc.(2)

3,800

16,562

Shimizu

Corp.(2)

400

4,075

Shinsei

Bank

Ltd.(2)

500

7,629

Shionogi

&

Co.

Ltd.(2)

100

6,186

SoftBank

Group

Corp.(2)

200

8,683

Sony

Corp.(2)

700

47,529

SUMCO

Corp.(2)

600

9,941

Sumitomo

Corp.(2)

800

11,883

Sumitomo

Mitsui

Financial

Group,

Inc.(2)

100

3,694

Taiheiyo

Cement

Corp.(2)

300

8,806

THK

Co.

Ltd.(2)

300

8,054

Tokio

Marine

Holdings,

Inc.(2)

400

22,396

Tokyo

Electric

Power

Co.

Holdings,

Inc.(2)*

2,600

11,129

Tokyo

Electron

Ltd.(2)

100

21,833

Toshiba

Corp.(2)

200

6,788

Tosoh

Corp.(2)

200

3,081

433,922

—

Macau

-

0.1%

Wynn

Macau

Ltd.(2)

4,800

11,828

Netherlands

-

1.1%

ASML

Holding

NV(2)

21

6,217

ING

Groep

NV(2)

533

6,408

Koninklijke

Ahold

Delhaize

NV(2)

2,787

69,878

Koninklijke

Philips

NV(2)

327

15,985

NN

Group

NV(2)

408

15,513

Royal

Dutch

Shell

plc,

Class

A(2)

62

1,836

Royal

Dutch

Shell

plc,

Class

B(2)

505

14,990

Wolters

Kluwer

NV(2)

64

4,673

135,500

—

Russia

-

0.0%(a)

Evraz

plc(2)

927

4,964

Singapore

-

0.2%

ComfortDelGro

Corp.

Ltd.(2)

9,200

16,279

Genting

Singapore

Ltd.(2)

9,400

6,437

22,716

—

INVESTMENTS

SHARES

VALUE

South

Africa

-

0.1%

Anglo

American

plc(2)

620

$

17,811

Spain

-

0.7%

Banco

Bilbao

Vizcaya

Argentaria

SA(2)

5,163

28,986

Enagas

SA(2)

1,129

28,837

Endesa

SA(2)

333

8,893

Iberdrola

SA(2)

264

2,721

Naturgy

Energy

Group

SA(2)

343

8,637

Red

Electrica

Corp.

SA(2)

640

12,896

90,970

—

Sweden

-

0.1%

Assa

Abloy

AB,

Class

B(2)

76

1,777

Skanska

AB,

Class

B(2)

263

5,949

Telefonaktiebolaget

LM

Ericsson,

Class

B(2)

308

2,691

10,417

—

Switzerland

-

2.0%

Adecco

Group

AG

(Registered)(2)

461

29,145

Novartis

AG

(Registered)(2)

110

10,416

Roche

Holding

AG(2)

331

107,576

Sonova

Holding

AG

(Registered)(2)

128

29,262

Swiss

Life

Holding

AG

(Registered)(2)

58

29,097

Zurich

Insurance

Group

AG(2)

103

42,251

247,747

—

United

Kingdom

-

1.9%

AstraZeneca

plc(2)

23

2,302

Aviva

plc(2)

3,007

16,692

BAE

Systems

plc(2)

2,214

16,577

Barclays

plc(2)

4,158

9,915

Barratt

Developments

plc(2)

1,573

15,575

Berkeley

Group

Holdings

plc(2)

229

14,742

BP

plc(2)

344

2,164

BT

Group

plc(2)

5,283

13,462

Burberry

Group

plc(2)

78

2,277

CK

Hutchison

Holdings

Ltd.(2)

500

4,768

Fiat

Chrysler

Automobiles

NV(2)

1,808

26,807

GlaxoSmithKline

plc(2)

662

15,555

HSBC

Holdings

plc(2)

919

7,194

Meggitt

plc(2)

1,161

10,112

Melrose

Industries

plc(2)

4,866

15,499

Persimmon

plc(2)

437

15,609

RELX

plc(2)

269

6,790

Standard

Life

Aberdeen

plc(2)

2,516

10,946

Taylor

Wimpey

plc(2)

5,969

15,305

Unilever

plc(2)

171

9,788

232,079

—

United

States

-

30.4%

Adobe,

Inc.*

184

60,685

Aflac,

Inc.

61

3,227

Akamai

Technologies,

Inc.*

204

17,622

Alexion

Pharmaceuticals,

Inc.*

109

11,788

Alleghany

Corp.*

3

2,399

Allergan

plc

47

8,985

Allstate

Corp.

(The)

592

66,570

Alphabet,

Inc.,

Class

A*

48

64,291

253

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

30.4%

(continued)

Alphabet,

Inc.,

Class

C*

42

$

56,155

Altria

Group,

Inc.

348

17,369

Amazon.com,

Inc.*

21

38,805

American

Airlines

Group,

Inc.

66

1,893

American

Electric

Power

Co.,

Inc.

140

13,231

American

Financial

Group,

Inc.

150

16,448

American

Tower

Corp.,

REIT

48

11,031

Anthem,

Inc.

61

18,424

Apple,

Inc.

702

206,142

Applied

Materials,

Inc.

763

46,574

Arch

Capital

Group

Ltd.*

283

12,138

Arrow

Electronics,

Inc.*

74

6,271

Athene

Holding

Ltd.,

Class

A*

387

18,201

AutoZone,

Inc.*

15

17,870

AvalonBay

Communities,

Inc.,

REIT

21

4,404

Berkshire

Hathaway,

Inc.,

Class

B*

174

39,411

Best

Buy

Co.,

Inc.

418

36,700

Biogen,

Inc.*

231

68,545

Boston

Properties,

Inc.,

REIT

14

1,930

Bristol-Myers

Squibb

Co.

100

6,419

Broadcom,

Inc.

7

2,212

Capital

One

Financial

Corp.

17

1,749

CDW

Corp.

156

22,283

Chipotle

Mexican

Grill,

Inc.*

37

30,973

Chubb

Ltd.

43

6,693

Cisco

Systems,

Inc.

622

29,831

Citigroup,

Inc.

239

19,094

Citizens

Financial

Group,

Inc.

542

22,011

Comcast

Corp.,

Class

A

1,251

56,257

Comerica,

Inc.

235

16,861

Crown

Castle

International

Corp.,

REIT

37

5,260

Cummins,

Inc.

68

12,169

Darden

Restaurants,

Inc.

199

21,693

Dell

Technologies,

Inc.,

Class

C*

37

1,901

Delta

Air

Lines,

Inc.

1,000

58,480

Digital

Realty

Trust,

Inc.,

REIT

23

2,754

Discover

Financial

Services

326

27,651

DXC

Technology

Co.

244

9,172

Eastman

Chemical

Co.

265

21,004

Eaton

Corp.

plc

350

33,152

Edwards

Lifesciences

Corp.*

34

7,932

Electronic

Arts,

Inc.*

189

20,319

Eli

Lilly

&

Co.

18

2,366

Equinix,

Inc.,

REIT

4

2,335

Equity

Residential,

REIT

47

3,803

Essex

Property

Trust,

Inc.,

REIT

7

2,106

Everest

Re

Group

Ltd.

108

29,899

Facebook,

Inc.,

Class

A*

547

112,272

Fifth

Third

Bancorp

829

25,483

Fiserv,

Inc.*

22

2,544

Flex

Ltd.*

699

8,821

Fortinet,

Inc.*

113

12,064

Garmin

Ltd.

310

30,244

General

Dynamics

Corp.

157

27,687

Gilead

Sciences,

Inc.

231

15,010

HCA

Healthcare,

Inc.

86

12,712

HD

Supply

Holdings,

Inc.*

146

5,872

HollyFrontier

Corp.

123

6,237

Home

Depot,

Inc.

(The)

274

59,836

INVESTMENTS

SHARES

VALUE

United

States

-

30.4%

(continued)

Humana,

Inc.

146

$

53,512

Huntington

Ingalls

Industries,

Inc.

63

15,805

IAC/InterActiveCorp*

69

17,189

Ingredion,

Inc.

273

25,375

Intel

Corp.

1,191

71,281

International

Business

Machines

Corp.

253

33,912

Intuit,

Inc.

100

26,193

Jazz

Pharmaceuticals

plc*

128

19,108

Johnson

&

Johnson

147

21,443

JPMorgan

Chase

&

Co.

25

3,485

Keysight

Technologies,

Inc.*

20

2,053

Laboratory

Corp.

of

America

Holdings*

48

8,120

Lam

Research

Corp.

162

47,369

Las

Vegas

Sands

Corp.

50

3,452

Lockheed

Martin

Corp.

82

31,929

Lowe's

Cos.,

Inc.

76

9,102

Lululemon

Athletica,

Inc.*

73

16,912

ManpowerGroup,

Inc.

499

48,453

Mastercard,

Inc.,

Class

A

226

67,481

Maxim

Integrated

Products,

Inc.

78

4,798

McDonald's

Corp.

10

1,976

McKesson

Corp.

254

35,133

Medtronic

plc

183

20,761

Merck

&

Co.,

Inc.

663

60,300

MetLife,

Inc.

1,077

54,895

Micron

Technology,

Inc.*

629

33,828

Microsoft

Corp.

1,453

229,138

Monster

Beverage

Corp.*

597

37,939

Mylan

NV*

696

13,990

Newmont

Goldcorp

Corp.

477

20,726

NIKE,

Inc.,

Class

B

621

62,914

Northrop

Grumman

Corp.

93

31,989

Norwegian

Cruise

Line

Holdings

Ltd.*

303

17,698

Oracle

Corp.

397

21,033

O'Reilly

Automotive,

Inc.*

24

10,518

PepsiCo,

Inc.

230

31,434

Pfizer,

Inc.

881

34,518

Phillips

66

23

2,562

PNC

Financial

Services

Group,

Inc.

(The)

120

19,156

Procter

&

Gamble

Co.

(The)

382

47,712

Prologis,

Inc.,

REIT

140

12,480

Public

Service

Enterprise

Group,

Inc.

267

15,766

Public

Storage,

REIT

55

11,713

PVH

Corp.

140

14,721

Qorvo,

Inc.*

129

14,994

QUALCOMM,

Inc.

518

45,703

Ralph

Lauren

Corp.

74

8,674

Raytheon

Co.

40

8,790

Reinsurance

Group

of

America,

Inc.

114

18,589

Robert

Half

International,

Inc.

229

14,461

Ross

Stores,

Inc.

20

2,328

S&P

Global,

Inc.

34

9,284

SBA

Communications

Corp.,

REIT

8

1,928

Seagate

Technology

plc

179

10,651

Signature

Bank

36

4,918

Simon

Property

Group,

Inc.,

REIT

80

11,917

Skyworks

Solutions,

Inc.

25

3,022

254

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

United

States

-

30.4%

(continued)

Southwest

Airlines

Co.

640

$

34,547

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

69

5,029

Starbucks

Corp.

123

10,814

Steel

Dynamics,

Inc.

88

2,996

Synchrony

Financial

2,027

72,992

Target

Corp.

192

24,616

Texas

Instruments,

Inc.

241

30,918

Textron,

Inc.

279

12,443

TJX

Cos.,

Inc.

(The)

388

23,691

Tractor

Supply

Co.

26

2,429

Travelers

Cos.,

Inc.

(The)

37

5,067

Tyson

Foods,

Inc.,

Class

A

745

67,825

United

Airlines

Holdings,

Inc.*

472

41,578

United

Rentals,

Inc.*

124

20,679

United

Technologies

Corp.

69

10,333

Universal

Health

Services,

Inc.,

Class

B

160

22,954

Ventas,

Inc.,

REIT

45

2,598

Walmart,

Inc.

502

59,658

Walt

Disney

Co.

(The)

48

6,942

Waste

Management,

Inc.

68

7,749

Wells

Fargo

&

Co.

651

35,024

Welltower,

Inc.,

REIT

23

1,881

Xerox

Holdings

Corp.

512

18,877

Xilinx,

Inc.

85

8,310

3,717,351

—

TOTAL

COMMON

STOCKS

(Cost

$4,929,031)

5,966,554

SHORT-TERM

INVESTMENTS

-

43.3%

INVESTMENT

COMPANIES

-

43.3%

Limited

Purpose

Cash

Investment

Fund,

1.61%(c)

(Cost

$5,321,733)

5,322,226

5,322,226

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

91.9%

(Cost

$10,250,764)

11,288,780

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

8.1%(d)

998,296

NET

ASSETS

-

100.0%

$12,287,076

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

375,789

3.1

%

Consumer

Discretionary

728,435

5.9

Consumer

Staples

410,479

3.4

Energy

48,886

0.4

Financials

952,710

7.8

Health

Care

741,717

6.0

Industrials

785,996

6.4

Information

Technology

1,306,993

10.6

Materials

259,101

2.1

Real

Estate

175,597

1.4

Utilities

180,851

1.5

Short-Term

Investments

5,322,226

43.3

Total

Investments

In

Securities

At

Value

11,288,780

91.9

Other

Assets

in

Excess

of

Liabilities(d)

998,296

8.1

Net

Assets

$

12,287,076

100.0%

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2019

amounted

to

$11,446,

which

represents

approximately

0.09%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(d)

Includes

appreciation/(depreciation)

on

futures

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

255

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

Written

Call

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,190.00

1/17/2020

$

(5,498)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,225.00

1/17/2020

(3,375)

(8,873)

Written

Put

Option

Contracts

(Premium

Style)

as

of

December

31,

2019:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

3

EUR

(112,355)

EUR

3,600.00

1/17/2020

$

(316)

EURO

STOXX

50

Index

JPMS

3

EUR

(112,355)

EUR

3,650.00

1/17/2020

(515)

Nikkei

225

Index

JPMS

2

JPY

(47,313,240)

JPY

23,125.00

1/10/2020

(1,123)

Nikkei

225

Index

JPMS

1

JPY

(23,656,620)

JPY

23,500.00

1/10/2020

(1,335)

Russell

2000

Index

JPMS

1

USD

(166,847)

USD

1,595.00

1/17/2020

(405)

Russell

2000

Index

JPMS

2

USD

(333,694)

USD

1,605.00

1/17/2020

(1,092)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

2,985.00

2/21/2020

(1,463)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,025.00

2/21/2020

(1,808)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,030.00

2/21/2020

(1,840)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,045.00

2/21/2020

(2,030)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,070.00

2/21/2020

(5,014)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,075.00

1/17/2020

(540)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,080.00

2/21/2020

(2,450)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,105.00

1/17/2020

(710)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,115.00

2/21/2020

(6,010)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,125.00

1/17/2020

(848)

S&P

500

Index

JPMS

2

USD

(646,156)

USD

3,145.00

1/17/2020

(2,312)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,155.00

2/21/2020

(3,505)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,165.00

1/17/2020

(1,775)

S&P

500

Index

JPMS

1

USD

(323,078)

USD

3,170.00

1/17/2020

(1,400)

(36,491)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($67,371))

$

(45,364)

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

2

3/2020

USD

$

203,650

$

(468)

(468)

Short

Contracts

EURO

STOXX

50

Index

(2)

3/2020

EUR

(83,656)

207

Nikkei

225

Index

(1)

3/2020

JPY

(217,569)

2,566

Russell

2000

E-Mini

Index

(1)

3/2020

USD

(83,530)

(760)

S&P

500

E-Mini

Index

(6)

3/2020

USD

(969,331)

(9,927)

(7,914)

$

(8,382)

256

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

JPMS

Cash

$

–

$

993,652

$

993,652

257

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System  Depository

Interest

CVR

-

Contingent

Value

Rights

FHLMC

-

Federal

Home

Loan

Mortgage

Corp.

FNMA

-

Federal

National

Mortgage

Association

ICE

-

Intercontinental

Exchange

LIBOR

-

London

Interbank

Offered

Rate

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

258

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

DTBK

-

Deutsche

Bank

AG

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MPFS

-

Merrill

Lynch,

Pierce,

Fenner

&

Smith,

Inc.

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.87%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.92%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate:

-0.07%

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”):

4.40%

Canadian

Dollar

Offered

Rate

(“CDOR”):

2.08%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.48%

EUR/USD

1

Week

Forward

Swap

Rate:

-0.50%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.44%

Euro

Overnight

Index

Average

(“EONIA”):

-0.45%

GBP/USD

1

Week

Forward

FX

Swap

Rate:

2.90%

HKD/USD

1

Month

Forward

FX

Swap

Rate:

2.67%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

2.67%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

4.44%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

6.63%

JPY/USD

1

Week

Forward

Swap

Rate:

-0.09%

London

Interbank

Offered

Rate

(“LIBOR”):

1.76%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

7.56%

Norway

Interbank

Offered

Rate

("NIBOR"):

1.69%

Rand

Overnight

Deposit

Rate:

6.34%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.75%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

1.75%

Sterling

Overnight

Index

Average

(“SONIA”):

0.71%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

0.00%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.66%

Tokyo

Overnight

Average

Rate

(“TONAR”):  -0.08%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

1.53%

Statements

of

Assets

and

Liabilities

259

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

364,420,345

$

644,403,843

$

259,454,963

$

24,591,826

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

81,164,102

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

410,364,385

$

655,432,759

$

277,959,260

$

24,595,969

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

—

81,189,187

—

Cash

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

903,555

256,908

—

112,917

Cash

denominated

in

foreign

currencies

‡

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

960,573

3,849,646

331,616

165,239

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

....

7,205,728

97,560

72,423

616,559

Unrealized

appreciation

on

OTC

swaps

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

1,111,375

3,509,131

1,182,026

214,464

Deposits

for

securities

sold

short

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

—

25,880,013

—

—

Deposits

for

written

options

contracts

(premium-style)

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

7,564,912

—

—

—

Due

from

broker

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

2,078,720

14,446,599

—

2,648

Deposits

with

brokers

for

centrally

cleared

swaps(unamortized

upfront

(receipts),

$—,

$(992,203),

$—

and

$(4,813),

respectively)

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

—

513,845

—

1,002,334

Deposits

with

brokers

for

futures

contracts

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

18,007,358

1,298,955

979

2,464,435

Variation

margin

on

centrally

cleared

swaps

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

—

8,183

—

31,562

Variation

margin

on

futures

contracts

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

—

7,790

—

22,276

Receivables:

Securities

sold

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

7,680,834

4,375,354

23,676,789

15,561

Foreign

tax

reclaims

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

155,261

39,223

1,273,210

—

Dividends

and

interest

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

480,484

2,230,398

235,355

17,566

Capital

shares

sold

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

3,101,790

435,095

2,059,351

326

Prepaid

expenses

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

43,312

34,364

39,303

16,527

Total

Assets

459,658,287

712,415,823

388,019,499

29,278,383

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $222,684,733,

$126,081,547,

$79,836,119

and

$–,

respectively)

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

202,945,054

146,985,920

81,216,476

—

Written

option

contracts

(premium-style),

at

value

(premiums

$734,944,

$–,

$–

and

$–,

respectively)

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

816,979

—

—

—

Due

to

custodian

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

—

—

2,474

—

Due

to

broker

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

829,932

2,106

—

230,107

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

....

7,302,306

201,737

657,420

752,667

Unrealized

depreciation

on

OTC

swaps

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

178,003

20,544,794

21,864,764

90,574

Variation

margin

on

futures

contracts

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

1,714,884

48,204

—

62,459

Payables:

–

–

–

–

Securities

purchased

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

7,877,208

3,427,152

19,554,917

15,564

Accrued

investment

advisory

fees

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

270,021

408,616

261,073

10,454

Accrued

distribution

fees—Class

N

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

1,978

12,000

3,318

254

Capital

shares

redeemed

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

1,585,650

709,247

3,210,567

—

Dividends

and

interest

payable

on

securities

sold

short

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

412,103

793,227

112,994

—

Other

accrued

expenses

and

liabilities

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

190,603

326,315

215,679

117,081

Total

Liabilities

224,124,721

173,459,318

127,099,682

1,279,160

Commitments

and

contingent

liabilities

*

Net

Assets

$

235,533,566

$

538,956,505

$

260,919,817

$

27,999,223

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

$

256,575,872

$

862,043,823

$

246,912,375

$

27,704,035

Total

distributable

earnings

(loss)

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

(21,042,306)

(323,087,318)

14,007,442

295,188

Net

Assets

$

235,533,566

$

538,956,505

$

260,919,817

$

27,999,223

NET

ASSETS:

Class

I

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

$

144,244,817

$

464,185,232

$

208,679,298

$

14,985,436

Class

N

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

8,989,322

55,694,046

14,128,330

1,172,654

Class

R6

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

82,299,427

19,077,227

38,112,189

11,841,133

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

16,218,999

49,900,354

22,686,831

1,573,992

Class

N

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

1,012,625

5,978,981

1,549,427

124,939

Class

R6

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

9,236,940

2,054,739

4,135,843

1,242,121

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

8.89

$

9.30

$

9.20

$

9.52

Class

N

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

$

8.88

$

9.31

$

9.12

$

9.39

Class

R6

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

$

8.91

$

9.28

$

9.22

$

9.53

‡

Cash

denominated

in

foreign

currencies

at

cost

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

$

955,521

$

3,865,204

$

328,221

$

162,128

*

AQR

Diversified

Arbitrage

Fund,

see

Note

4

in

the

Notes

to

Financial

Statements

for

additional

information.

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

260

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

709,269,685

$

152,191,372

$

361,068,862

$

242,783,825

Investments

in

securities

of

affiliated

issuers,

at

cost

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

262,530,647

—

61,255,118

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

709,258,577

$

161,201,082

$

353,559,891

$

242,838,691

Investments

in

securities

of

affiliated

issuers,

at

value

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

262,591,498

—

61,268,016

—

Cash

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

9,466,330

1,661

2,816,049

240,084

Cash

denominated

in

foreign

currencies

‡

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

12,460,867

632,232

2,585,365

—

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

....

3,442,880

2,797,393

9,176,878

—

Unrealized

appreciation

on

OTC

swaps

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

403,654

421,074

2,149,316

4,971,897

Deposits

for

securities

sold

short

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

11,300,545

—

6,914,206

—

Deposits

for

written

options

contracts

(premium-style)

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

—

—

254

—

Due

from

broker

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

123,169,322

501,390

34,643,267

3,008,873

Deposits

with

brokers

for

centrally

cleared

swaps(unamortized

upfront

(receipts),

$—,

$—,

$(1,969,049)

and

$—,

respectively)

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

—

—

577,105

—

Deposits

with

brokers

for

futures

contracts

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

6,985,433

5,957,535

15,198,861

23,980,149

Variation

margin

on

centrally

cleared

swaps

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

—

—

14,949

—

Variation

margin

on

futures

contracts

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

254,396

106,735

215,386

37,648

Receivables:

Securities

sold

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

12,940,420

568,369

22,240,879

—

Foreign

tax

reclaims

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

1,298,077

79,866

123,790

—

Dividends

and

interest

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

627,143

213,942

1,172,651

175,265

Capital

shares

sold

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

1,449,833

134,577

102,992

195,243

Prepaid

expenses

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

49,573

27,181

37,213

26,639

Total

Assets

1,155,698,548

172,643,037

512,797,068

275,474,489

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $3,667,950,

$17,898,542,

$107,650,075

and

$–,

respectively)

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

3,836,354

18,120,987

114,249,379

—

Written

option

contracts

(premium-style),

at

value

(premiums

$–,

$–,

$478,396

and

$–,

respectively)

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

—

—

483,507

—

Reverse

repurchase

agreements,

at

value

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

—

11,809,925

—

—

Due

to

broker

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

920,000

251,106

12,258

1,253,868

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

....

971,786

2,593,414

10,405,220

—

Unrealized

depreciation

on

OTC

swaps

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

116,174,150

360,231

29,643,752

812,009

Deposits

from

brokers

for

futures

contracts

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

—

172,916

—

—

Variation

margin

on

futures

contracts

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

—

231,131

460,086

1,752,146

Payables:

–

–

–

–

Securities

purchased

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

20,181,344

2,320,103

22,161,637

3,872,218

Accrued

investment

advisory

fees

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

991,302

75,038

472,954

168,280

Accrued

distribution

fees—Class

N

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

6,451

2,400

1,414

2,890

Capital

shares

redeemed

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

5,648,605

839,169

1,090,263

45,655

Dividends

and

interest

payable

on

securities

sold

short

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

271,761

17,300

587,118

—

Other

accrued

expenses

and

liabilities

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

453,343

303,995

265,847

154,378

Total

Liabilities

149,455,096

37,097,715

179,833,435

8,061,444

Net

Assets

$

1,006,243,452

$

135,545,322

$

332,963,633

$

267,413,045

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

$

1,027,156,882

$

133,131,213

$

775,209,582

$

249,826,137

Total

distributable

earnings

(loss)

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

(20,913,430)

2,414,109

(442,245,949)

17,586,908

Net

Assets

$

1,006,243,452

$

135,545,322

$

332,963,633

$

267,413,045

NET

ASSETS:

Class

I

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

$

901,269,468

$

119,487,881

$

191,545,464

$

105,144,858

Class

N

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

28,688,845

11,366,316

6,218,109

13,585,728

Class

R6

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

76,285,139

4,691,125

135,200,060

148,682,459

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

81,348,092

12,373,196

27,243,059

16,598,224

Class

N

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

2,621,145

1,180,290

893,886

2,172,479

Class

R6

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

6,862,414

486,163

19,181,639

23,405,902

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

11.08

$

9.66

$

7.03

$

6.33

Class

N

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

$

10.95

$

9.63

$

6.96

$

6.25

Class

R6

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

$

11.12

$

9.65

$

7.05

$

6.35

‡

Cash

denominated

in

foreign

currencies

at

cost

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

$

12,396,186

$

629,277

$

2,524,957

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

261

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

33,950,539

$

105,476,416

$

1,760,886,233

$

130,567,745

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

806,553,808

159,911,828

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

34,158,567

$

105,936,108

$

1,940,019,265

$

137,923,615

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

—

806,746,055

159,933,629

Cash

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

111,264

5,000

1,226,027

9,915,065

Cash

denominated

in

foreign

currencies

‡

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

87,572

210,629

14,046,576

1,134,213

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

....

2,202

2,202

38,379,983

2,027,549

Unrealized

appreciation

on

OTC

swaps

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

85,735

470,015

33,566,563

2,771,985

Due

from

broker

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

111,296

327,929

278,581,317

326,564

Deposits

with

brokers

for

futures

contracts

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

3,347,630

5,961,455

212,448,276

14,906,884

Variation

margin

on

futures

contracts

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

—

1,500

2,945,915

116,167

Receivables:

Securities

sold

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

20,661

45,041

55,246,427

29,975,420

Foreign

tax

reclaims

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

—

—

2,025,107

131,688

Dividends

and

interest

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

56,786

145,723

2,458,801

272,118

Capital

shares

sold

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

52,040

143,854

3,865,798

88,890

Prepaid

expenses

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

24,779

26,317

91,557

29,710

Total

Assets

38,058,532

113,275,773

3,391,647,667

359,553,497

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $–,

$–,

$1,064,756,696

and

$54,570,054,

respectively)

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

—

—

1,062,930,549

57,979,605

Reverse

repurchase

agreements,

at

value

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

4,061,277

—

—

—

Due

to

broker

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

116,175

222,463

11,048,975

1,429,051

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

....

97,108

230,535

40,123,672

2,299,256

Unrealized

depreciation

on

OTC

swaps

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

1,343

247,323

119,401,207

1,529,778

Deposits

from

brokers

for

futures

contracts

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

—

2,137

—

—

Variation

margin

on

futures

contracts

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

188,378

363,043

19,293,277

1,176,704

Payables:

–

–

–

–

Securities

purchased

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

20,665

45,051

55,335,807

39,082,811

Accrued

investment

advisory

fees

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

7,773

53,377

2,532,097

113,192

Accrued

distribution

fees—Class

N

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

1,039

447

9,452

1,107

Capital

shares

redeemed

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

—

83,171

7,170,431

1,113,144

Dividends

and

interest

payable

on

securities

sold

short

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

—

—

1,904,558

105,704

Interest

payable

for

reverse

repurchase

agreements

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

7,814

—

—

—

Other

accrued

expenses

and

liabilities

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

118,586

140,126

576,220

180,091

Total

Liabilities

4,620,158

1,387,673

1,320,326,245

105,010,443

Net

Assets

$

33,438,374

$

111,888,100

$

2,071,321,422

$

254,543,054

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

$

31,946,525

$

108,701,213

$

2,593,812,785

$

271,595,553

Total

distributable

earnings

(loss)

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

1,491,849

3,186,887

(522,491,363)

(17,052,499)

Net

Assets

$

33,438,374

$

111,888,100

$

2,071,321,422

$

254,543,054

NET

ASSETS:

Class

I

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

$

27,611,518

$

109,225,240

$

866,804,405

$

193,223,503

Class

N

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

4,874,018

2,198,373

40,665,497

4,377,140

Class

R6

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

952,838

464,487

1,163,851,520

56,942,411

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

3,168,142

11,733,439

106,373,674

20,073,949

Class

N

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

559,066

237,647

5,010,960

457,827

Class

R6

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

109,367

49,900

142,483,592

5,905,940

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

8.72

$

9.31

$

8.15

$

9.63

Class

N

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

$

8.72

$

9.25

$

8.12

$

9.56

Class

R6

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

$

8.71

$

9.31

$

8.17

$

9.64

‡

Cash

denominated

in

foreign

currencies

at

cost

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

$

87,185

$

209,309

$

13,796,117

$

1,112,117

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

262

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

VOLATILITY

RISK

PREMIUM

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

10,250,764

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

11,288,780

Cash

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

74,716

Cash

denominated

in

foreign

currencies

‡

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

32,922

Deposits

for

written

options

contracts

(premium-style)

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

917,060

Deposits

with

brokers

for

futures

contracts

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

68,210

Receivables:

Securities

sold

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

6,292

Foreign

tax

reclaims

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

2,541

Dividends

and

interest

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

12,092

Due

from

Investment

Adviser

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

9,635

Prepaid

expenses

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

22,370

Total

Assets

12,434,618

LIABILITIES:

Written

option

contracts

(premium-style),

at

value

(premiums

$67,371)

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

45,364

Payables:

–

Securities

purchased

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

6,288

Accrued

distribution

fees—Class

N

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

223

Other

accrued

expenses

and

liabilities

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

95,667

Total

Liabilities

147,542

Net

Assets

$

12,287,076

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

11,768,219

Total

distributable

earnings

(loss)

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

518,857

Net

Assets

$

12,287,076

NET

ASSETS:

Class

I

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

$

1,526,675

Class

N

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

1,057,148

Class

R6

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

9,703,253

SHARES

OUTSTANDING:

–

Class

I

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

147,053

Class

N

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

101,887

Class

R6

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

935,093

NET

ASSET

VALUE:

–

Class

I

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

$

10.38

Class

N

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

$

10.38

Class

R6

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

$

10.38

‡

Cash

denominated

in

foreign

currencies

at

cost

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

$

32,193

Statements

of

Operations

263

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

12,295,409

$

4,921,539

$

8,535,777

$

275,478

Affiliated

issuers

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

—

—

7,562,510

—

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

1,940,815

8,638,445

6,282,094

383,483

Total

Income

14,236,224

13,559,984

22,380,381

658,961

EXPENSES:

Investment

advisory

fees

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

4,191,065

4,761,668

7,046,925

403,835

Custody

fees

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

33,375

83,153

13,098

22,874

Administration

&

accounting

fees

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

155,178

210,293

259,867

24,694

Legal

fees

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

14,811

41,255

30,907

4,234

Audit

&

tax

fees

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

113,082

138,902

112,507

105,690

Shareholder

reporting

fees

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

45,568

100,753

89,220

10,436

Transfer

agent

fees

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

246,920

461,995

464,194

37,812

Trustee

fees

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

23,536

29,678

39,548

7,578

Distribution

fees—Class

N

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

27,066

150,607

205,007

7,374

Dividends

and

interest

on

securities

sold

short

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

7,488,190

3,624,097

5,987,908

—

Interest

expense

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

4,613

67,390

—

111

Registration

fees

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

111,497

68,898

116,083

61,697

Pricing

fee

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

12,197

159,879

18,273

—

Other

expenses

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

15,849

21,221

44,774

2,537

Total

Expenses

12,482,947

9,919,789

14,428,311

688,872

Less

fee

waivers

and/or

reimbursements

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

(185,976)

(387,285)

(103,475)

(224,341)

Net

Expenses

12,296,971

9,532,504

14,324,836

464,531

Net

Investment

Income

(Loss)

1,939,253

4,027,480

8,055,545

194,430

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(12,806,816)

30,546,976

31,610,901

(28,197)

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

83,254

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(191,775)

200,160

60,796

15,195

Settlement

of

forward

foreign

currency

contracts

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

183,958

116,061

4,048,847

(310,725)

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

13,447,425

(9,319,737)

2,004,888

835,008

Closed

short

positions

in

securities

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

(50,451,951)

(18,876,562)

23,112,332

—

Expiration

or

closing

of

swap

contracts

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

2,819,996

14,826,400

(82,624,956)

(328,901)

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

3,503,309

—

—

—

Net

realized

gain

(loss)

(43,495,854)

17,493,298

(21,703,938)

182,380

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

62,866,510

53,724,860

5,839,622

(2,325)

Investment

securities

of

affiliated

issuers

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

—

(1,257,110)

(101,911)

—

Foreign

currency

and

foreign

currency

transactions

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

(39,165)

99,283

(334,835)

(19,800)

Forward

foreign

currency

exchange

contracts

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

4,797,563

(189,473)

(249,830)

794,225

Futures

and

futures-style

options

contracts

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

(5,488,066)

(851,931)

—

(255,468)

Short

positions

in

securities

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

(30,989,005)

(27,530,280)

(74,719,796)

—

Swap

contracts

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

1,807,250

(7,546,962)

(6,146,928)

666,104

Written

option

contracts

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

426,007

—

—

—

Net

change

in

unrealized

appreciation

(depreciation)

33,381,094

16,448,387

(75,713,678)

1,182,736

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(10,114,760)

33,941,685

(97,417,616)

1,365,116

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(8,175,507)

$

37,969,165

$

(89,362,071)

$

1,559,546

________________

†

Net

of

foreign

taxes

withheld

of

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

$

608,779

$

10,920

$

1,323,042

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

264

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

17,614,187

$

3,623,773

$

9,824,604

$

2,670,767

Affiliated

issuers

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

8,708,267

—

5,804,878

—

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

19,370,247

1,533,091

7,419,204

2,465,874

Interfund

lending

income

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

3,595

—

—

—

Total

Income

45,696,296

5,156,864

23,048,686

5,136,641

EXPENSES:

Investment

advisory

fees

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

16,920,003

1,473,324

13,756,907

2,024,443

Custody

fees

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

87,746

37,242

47,416

28,057

Administration

&

accounting

fees

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

614,426

91,177

307,281

116,018

Legal

fees

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

67,782

57,287

49,700

9,855

Audit

&

tax

fees

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

96,469

119,649

127,534

116,261

Shareholder

reporting

fees

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

135,684

22,978

129,468

31,689

Transfer

agent

fees

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

1,131,390

175,161

526,722

120,170

Trustee

fees

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

85,305

16,315

45,690

18,714

Distribution

fees—Class

N

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

168,608

30,745

257,273

36,834

Dividends

and

interest

on

securities

sold

short

and

reverse

repurchase

agreements

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

12,240,385

786,919

5,586,451

—

Interest

expense

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

1,011

6,892

45,932

1,466

Registration

fees

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

122,078

80,845

110,955

84,888

Pricing

fee

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

21,559

861

62,140

71

Other

expenses

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

98,450

11,146

57,416

12,985

Total

Expenses

31,790,896

2,910,541

21,110,885

2,601,451

Less

fee

waivers

and/or

reimbursements

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

—

(253,632)

(248,786)

(177,256)

Net

Expenses

31,790,896

2,656,909

20,862,099

2,424,195

Net

Investment

Income

(Loss)

13,905,400

2,499,955

2,186,587

2,712,446

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

113,472,316

2,181,776

190,834,588

3,377

Transactions

in

investment

securities

of

affiliated

issuers

.......

49,223

—

157,104

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

388,907

(78,021)

(1,761,070)

(108)

Settlement

of

forward

foreign

currency

contracts

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

(5,720,598)

3,287,174

13,664,084

—

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

149,777,304

21,218,796

(19,124,911)

18,869,122

Closed

short

positions

in

securities

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

21,513,528

(3,658,024)

(163,018,328)

—

Expiration

or

closing

of

swap

contracts

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

(173,732,316)

1,071,451

(106,295,787)

(5,626,173)

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

—

—

2,445,985

—

Net

realized

gain

(loss)

105,748,364

24,023,152

(83,098,335)

13,246,218

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

44,149,832

12,094,908

(32,190,409)

25,459

Investment

securities

of

affiliated

issuers

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

9

—

(124,446)

—

Foreign

currency

and

foreign

currency

transactions

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

(503,448)

(219,501)

428,916

156

Forward

foreign

currency

exchange

contracts

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

1,384,485

(146,516)

14,057,221

—

Futures

and

futures-style

options

contracts

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

45,050,531

(588,335)

(982,253)

22,265,452

Short

positions

in

securities

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

(166,489,336)

(222,445)

20,238,408

—

Swap

contracts

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

(29,989,264)

2,511,207

861,297

4,704,335

Written

option

contracts

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

—

—

317,278

—

Net

change

in

unrealized

appreciation

(depreciation)

(106,397,191)

13,429,318

2,606,012

26,995,402

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(648,827)

37,452,470

(80,492,323)

40,241,620

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

13,256,573

$

39,952,425

$

(78,305,736)

$

42,954,066

________________

†

Net

of

foreign

taxes

withheld

of

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

$

752,456

$

158,096

$

106,945

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

265

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

213,590

$

759,071

$

42,555,505

$

3,020,915

Affiliated

issuers

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

—

—

22,172,914

3,464,970

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

422,469

1,181,897

13,821,236

1,878,581

Total

Income

636,059

1,940,968

78,549,655

8,364,466

EXPENSES:

Investment

advisory

fees

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

286,935

743,595

38,690,710

1,917,478

Custody

fees

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

21,049

24,389

63,728

19,550

Administration

&

accounting

fees

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

22,974

52,335

1,184,212

131,996

Legal

fees

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

3,707

5,993

130,103

14,862

Audit

&

tax

fees

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

110,929

102,456

126,620

119,909

Shareholder

reporting

fees

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

5,363

10,478

356,311

41,352

Transfer

agent

fees

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

36,988

116,832

1,366,061

216,433

Trustee

fees

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

7,487

10,908

150,990

20,638

Distribution

fees—Class

N

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

11,155

5,854

167,360

29,723

Dividends

and

interest

on

securities

sold

short

and

reverse

repurchase

agreements

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

137,522

—

26,963,979

1,464,399

Interest

expense

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

799

923

1,451,728

6,718

Registration

fees

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

59,632

59,355

179,984

92,818

Pricing

fee

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

22

134

24,602

20,595

Other

expenses

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

2,008

4,538

151,962

18,005

Total

Expenses

706,570

1,137,790

71,008,350

4,114,476

Less

fee

waivers

and/or

reimbursements

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

(219,789)

(186,840)

(886,205)

(194,528)

Net

Expenses

486,781

950,950

70,122,145

3,919,948

Net

Investment

Income

(Loss)

149,278

990,018

8,427,510

4,444,518

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(77,374)

(204,631)

(93,903,309)

(439,257)

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

84,376

10,813

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(8,377)

(27,696)

(1,960,527)

15,007

Settlement

of

forward

foreign

currency

contracts

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

283,884

682,984

40,378,868

2,797,724

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

6,720,811

14,091,187

50,571,249

2,676,203

Closed

short

positions

in

securities

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

—

—

(95,379,782)

(3,266,986)

Expiration

or

closing

of

swap

contracts

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

530,815

687,097

(45,080,025)

(9,858,055)

Net

realized

gain

(loss)

7,449,759

15,228,941

(145,289,150)

(8,064,551)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

528,766

1,130,252

375,887,764

8,436,208

Investment

securities

of

affiliated

issuers

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

—

—

(15,487)

(8,187)

Foreign

currency

and

foreign

currency

transactions

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

3,795

8,267

1,033,625

574

Forward

foreign

currency

exchange

contracts

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

(92,187)

(215,786)

44,353,411

2,799,142

Futures

and

futures-style

options

contracts

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

276,562

521,761

(38,946,171)

(1,347,566)

Short

positions

in

securities

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

—

—

(269,244,255)

(13,614,994)

Swap

contracts

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

67,981

283,983

(207,370,301)

(2,851,319)

Net

change

in

unrealized

appreciation

(depreciation)

784,917

1,728,477

(94,301,414)

(6,586,142)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

8,234,676

16,957,418

(239,590,564)

(14,650,693)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

8,383,954

$

17,947,436

$

(231,163,054)

$

(10,206,175)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

287

$

330

$

2,325,677

$

318,235

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

266

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

248,330

Total

Income

248,330

EXPENSES:

Investment

advisory

fees

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

64,975

Custody

fees

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

2,715

Administration

&

accounting

fees

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

9,573

Legal

fees

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

3,239

Audit

&

tax

fees

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

92,998

Shareholder

reporting

fees

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

2,141

Transfer

agent

fees

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

17,920

Trustee

fees

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

5,753

Offering

costs

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

49,700

Distribution

fees—Class

N

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

2,543

Registration

fees

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

58,179

Pricing

fee

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

1,009

Other

expenses

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

789

Total

Expenses

311,534

Less

fee

waivers

and/or

reimbursements

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

(231,687)

Net

Expenses

79,847

Net

Investment

Income

(Loss)

168,483

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

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

(437,644)

Settlement

of

foreign

currency

and

foreign

currency

transactions

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

1,244

Expiration

or

closing

of

futures

and

futures-style

options

contracts

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

(308,175)

Expiration

or

closing

of

written

option

contracts

(premium-style)

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

376,864

Net

realized

gain

(loss)

(367,711)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

1,417,923

Foreign

currency

and

foreign

currency

transactions

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

1,038

Futures

and

futures-style

options

contracts

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

(77,201)

Written

option

contracts

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

55,981

Net

change

in

unrealized

appreciation

(depreciation)

1,397,741

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

1,030,030

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

1,198,513

________________

†

Net

of

foreign

taxes

withheld

of

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

$

10,217

Statements

of

Changes

in

Net

Assets

(Continued)

267

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

1,939,253

$

27,287

$

4,027,480

$

2,872,418

Net

realized

gain

(loss)

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

(43,495,854)

(43,584,880)

17,493,298

42,193,673

Net

change

in

unrealized

appreciation

(depreciation)

.......

33,381,094

30,038,179

16,448,387

(35,092,047)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(8,175,507)

(13,519,414)

37,969,165

9,974,044

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(1,268,769)

(197,523)

(9,543,069)

(21,292,398)

Class

N

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

(51,374)

(7,379)

(1,000,382)

(4,193,660)

Class

R6

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

(679,978)

(86,658)

(456,712)

(871,174)

Total

distributions

(2,000,121)

(291,560)

(11,000,163)

(26,357,232)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

157,006,742

469,503,958

226,431,267

133,439,029

Reinvestment

of

distributions

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

1,256,968

197,507

6,544,727

13,354,400

Cost

of

shares

redeemed

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

(269,352,660)

(226,403,359)

(110,213,810)

(201,260,502)

Net

increase

(decrease)

from

capital

transactions

(111,088,950)

243,298,106

122,762,184

(54,467,073)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

6,466,333

13,543,561

10,073,637

20,304,675

Reinvestment

of

distributions

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

51,374

7,379

993,345

4,179,442

Cost

of

shares

redeemed

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

(8,628,323)

(3,304,248)

(25,446,050)

(32,515,274)

Net

increase

(decrease)

from

capital

transactions

(2,110,616)

10,246,692

(14,379,068)

(8,031,157)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

149,749,670

143,810,607

12,147,262

11,477,232

Reinvestment

of

distributions

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

677,934

71,249

328,736

489,696

Cost

of

shares

redeemed

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

(162,942,747)

(90,399,580)

(7,928,226)

(6,190,750)

Net

increase

(decrease)

from

capital

transactions

(12,515,143)

53,482,276

4,547,772

5,776,178

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(125,714,709)

307,027,074

112,930,888

(56,722,052)

Total

increase

(decrease)

in

net

assets

(135,890,337)

293,216,100

139,899,890

(73,105,240)

NET

ASSETS:

Beginning

of

period

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

371,423,903

78,207,803

399,056,615

472,161,855

End

of

period

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

$

235,533,566

$

371,423,903

$

538,956,505

$

399,056,615

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

268

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

28,218,036

2,682,282

36,459,796

42,440,083

Shares

sold

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

16,882,156

49,682,754

24,819,158

14,381,039

Shares

issued

on

reinvestment

of

distributions

...........

140,600

21,237

705,251

1,522,737

Shares

redeemed

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

(29,021,793)

(24,168,237)

(12,083,851)

(21,884,063)

Shares

outstanding,

end

of

period

16,218,999

28,218,036

49,900,354

36,459,796

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,242,488

153,729

7,561,487

8,415,812

Shares

sold

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

694,072

1,436,820

1,100,646

2,195,480

Shares

issued

on

reinvestment

of

distributions

...........

5,759

795

106,811

476,018

Shares

redeemed

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

(929,694)

(348,856)

(2,789,963)

(3,525,823)

Shares

outstanding,

end

of

period

1,012,625

1,242,488

5,978,981

7,561,487

CLASS

R6

Shares

outstanding,

beginning

of

period

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

10,679,328

4,972,362

1,563,194

924,895

Shares

sold

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

16,097,977

15,254,295

1,322,476

1,255,278

Shares

issued

on

reinvestment

of

distributions

...........

75,747

7,645

35,501

55,965

Shares

redeemed

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

(17,616,112)

(9,554,974)

(866,432)

(672,944)

Shares

outstanding,

end

of

period

9,236,940

10,679,328

2,054,739

1,563,194

Statements

of

Changes

in

Net

Assets

(Continued)

269

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

8,055,545

$

5,603,109

$

194,430

$

103,508

Net

realized

gain

(loss)

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

(21,703,938)

(191,517,375)

182,380

2,613,397

Net

change

in

unrealized

appreciation

(depreciation)

.......

(75,713,678)

(85,648,629)

1,182,736

(1,680,724)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(89,362,071)

(271,562,895)

1,559,546

1,036,181

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(7,790,074)

(3,514,719)

(7,978)

(938,655)

Class

N

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

(548,127)

(1,041,810)

(589)

(986,322)

Class

R6

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

(1,491,330)

(1,017,912)

(5,854)

(460,233)

Total

distributions

(9,829,531)

(5,574,441)

(14,421)

(2,385,210)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

205,860,741

683,095,837

15,026,352

29,356,686

Reinvestment

of

distributions

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

6,437,151

2,641,777

7,978

936,110

Cost

of

shares

redeemed

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

(641,318,640)

(1,335,331,827)

(21,136,582)

(18,886,754)

Net

increase

(decrease)

from

capital

transactions

(429,020,748)

(649,594,213)

(6,102,252)

11,406,042

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

23,062,079

106,888,936

1,015,451

29,248,233

Reinvestment

of

distributions

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

545,211

1,041,355

589

986,322

Cost

of

shares

redeemed

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

(204,642,823)

(216,570,707)

(17,044,026)

(14,299,996)

Net

increase

(decrease)

from

capital

transactions

(181,035,533)

(108,640,416)

(16,027,986)

15,934,559

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

13,217,228

135,403,341

12,005

49,551

Reinvestment

of

distributions

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

1,294,751

919,463

5,849

459,833

Cost

of

shares

redeemed

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

(168,270,079)

(214,060,186)

(810,728)

(3,185,048)

Net

increase

(decrease)

from

capital

transactions

(153,758,100)

(77,737,382)

(792,874)

(2,675,664)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(763,814,381)

(835,972,011)

(22,923,112)

24,664,937

Total

increase

(decrease)

in

net

assets

(863,005,983)

(1,113,109,347)

(21,377,987)

23,315,908

NET

ASSETS:

Beginning

of

period

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

1,123,925,800

2,237,035,147

49,377,210

26,061,302

End

of

period

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

$

260,919,817

$

1,123,925,800

$

27,999,223

$

49,377,210

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

270

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

65,873,312

126,740,391

2,227,724

1,051,631

Shares

sold

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

19,880,367

58,626,776

1,627,269

3,084,850

Shares

issued

on

reinvestment

of

distributions

...........

691,423

247,821

830

102,084

Shares

redeemed

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

(63,758,271)

(119,741,676)

(2,281,831)

(2,010,841)

Shares

outstanding,

end

of

period

22,686,831

65,873,312

1,573,992

2,227,724

CLASS

N

Shares

outstanding,

beginning

of

period

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

19,566,477

29,297,507

1,903,036

334,118

Shares

sold

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

2,202,684

9,239,426

111,729

3,017,567

Shares

issued

on

reinvestment

of

distributions

...........

59,069

98,241

62

108,866

Shares

redeemed

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

(20,278,803)

(19,068,697)

(1,889,888)

(1,557,515)

Shares

outstanding,

end

of

period

1,549,427

19,566,477

124,939

1,903,036

CLASS

R6

Shares

outstanding,

beginning

of

period

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

19,134,890

26,681,122

1,329,111

1,597,192

Shares

sold

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

1,287,475

11,197,870

1,259

5,248

Shares

issued

on

reinvestment

of

distributions

...........

138,773

86,173

608

50,145

Shares

redeemed

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

(16,425,295)

(18,830,275)

(88,857)

(323,474)

Shares

outstanding,

end

of

period

4,135,843

19,134,890

1,242,121

1,329,111

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

271

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

LONG-SHORT

EQUITY

FUND

AQR

MULTI-ASSET

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

13,905,400

$

13,156,459

$

2,499,955

$

3,831,386

Net

realized

gain

(loss)

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

105,748,364

(459,823,744)

24,023,152

(16,828,064)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(106,397,191)

(428,306,953)

13,429,318

(15,343,053)

Net increase

(decrease)

in

net

assets

resulting

from

operations

13,256,573

(874,974,238)

39,952,425

(28,339,731)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(110,914,912)

(7,826,259)

(15,136,783)

Class

N

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

—

(7,317,725)

(679,342)

(848,775)

Class

R6

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

—

(13,197,027)

(294,420)

(1,726,240)

Total

distributions

—

(131,429,664)

(8,800,021)

(17,711,798)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

575,379,819

1,661,241,345

26,119,567

83,151,316

Reinvestment

of

distributions

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

—

79,782,800

6,899,732

14,317,789

Cost

of

shares

redeemed

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

(1,382,311,476)

(3,387,400,801)

(159,202,833)

(255,486,888)

Net

increase

(decrease)

from

capital

transactions

(806,931,657)

(1,646,376,656)

(126,183,534)

(158,017,783)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

16,852,037

123,395,387

782,310

5,543,736

Reinvestment

of

distributions

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

—

7,230,423

677,289

848,775

Cost

of

shares

redeemed

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

(106,143,566)

(344,172,803)

(4,029,937)

(8,771,264)

Net

increase

(decrease)

from

capital

transactions

(89,291,529)

(213,546,993)

(2,570,338)

(2,378,753)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

13,747,921

308,186,315

1,493,850

420,039

Reinvestment

of

distributions

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

—

8,033,877

294,420

1,726,240

Cost

of

shares

redeemed

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

(145,628,044)

(924,512,139)

(23,275,947)

(13,791,557)

Net

increase

(decrease)

from

capital

transactions

(131,880,123)

(608,291,947)

(21,487,677)

(11,645,278)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(1,028,103,309)

(2,468,215,596)

(150,241,549)

(172,041,814)

Total

increase

(decrease)

in

net

assets

(1,014,846,736)

(3,474,619,498)

(119,089,145)

(218,093,343)

NET

ASSETS:

Beginning

of

period

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

2,021,090,188

5,495,709,686

254,634,467

472,727,810

End

of

period

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

$

1,006,243,452

$

2,021,090,188

$

135,545,322

$

254,634,467

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

272

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

LONG-SHORT

EQUITY

FUND

AQR

MULTI-ASSET

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

155,099,515

298,568,829

25,535,240

42,326,766

Shares

sold

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

51,840,834

124,006,619

2,761,318

8,664,776

Shares

issued

on

reinvestment

of

distributions

...........

—

7,332,952

714,258

1,684,446

Shares

redeemed

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

(125,592,257)

(274,808,885)

(16,637,620)

(27,140,748)

Shares

outstanding,

end

of

period

81,348,092

155,099,515

12,373,196

25,535,240

CLASS

N

Shares

outstanding,

beginning

of

period

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

10,817,989

27,927,412

1,449,019

1,701,531

Shares

sold

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

1,538,748

9,163,590

82,769

585,761

Shares

issued

on

reinvestment

of

distributions

...........

—

670,726

70,258

100,091

Shares

redeemed

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

(9,735,592)

(26,943,739)

(421,756)

(938,364)

Shares

outstanding,

end

of

period

2,621,145

10,817,989

1,180,290

1,449,019

CLASS

R6

Shares

outstanding,

beginning

of

period

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

18,792,779

69,452,664

2,928,896

4,096,425

Shares

sold

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

1,238,828

22,146,443

152,687

46,099

Shares

issued

on

reinvestment

of

distributions

...........

—

736,377

30,478

203,087

Shares

redeemed

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

(13,169,193)

(73,542,705)

(2,625,898)

(1,416,715)

Shares

outstanding,

end

of

period

6,862,414

18,792,779

486,163

2,928,896

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

273

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

2,186,587

$

(11,984,962)

$

2,712,446

$

2,120,073

Net

realized

gain

(loss)

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

(83,098,335)

(140,927,580)

13,246,218

(48,707,894)

Net

change

in

unrealized

appreciation

(depreciation)

.......

2,606,012

(230,334,766)

26,995,402

(19,020,518)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(78,305,736)

(383,247,308)

42,954,066

(65,608,339)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

—

(5,315,484)

(679,036)

Class

N

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

—

—

(665,640)

(53,834)

Class

R6

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

—

—

(7,398,683)

(1,167,121)

Total

—

—

(13,379,807)

(1,899,991)

Return

of

capital:

—

—

—

—

Class

I

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

—

—

(2,012)

—

Class

N

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

—

—

(283)

—

Class

R6

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

—

—

(2,569)

—

Total

—

—

(4,864)

—

Total

distributions

—

—

(13,384,671)

(1,899,991)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

85,420,221

527,868,704

25,651,638

162,258,558

Reinvestment

of

distributions

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

—

—

4,124,956

590,639

Cost

of

shares

redeemed

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

(622,333,724)

(1,505,699,183)

(32,124,762)

(126,629,068)

Net

increase

(decrease)

from

capital

transactions

(536,913,503)

(977,830,479)

(2,348,168)

36,220,129

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

15,031,022

118,995,277

4,725,900

36,762,086

Reinvestment

of

distributions

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

—

—

665,923

53,834

Cost

of

shares

redeemed

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

(371,426,052)

(117,174,916)

(11,115,268)

(21,013,348)

Net

increase

(decrease)

from

capital

transactions

(356,395,030)

1,820,361

(5,723,445)

15,802,572

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

90,778,696

128,136,646

11,972,722

89,268,198

Reinvestment

of

distributions

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

—

—

7,400,954

875,880

Cost

of

shares

redeemed

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

(257,757,035)

(328,757,340)

(43,741,383)

(10,264,672)

Net

increase

(decrease)

from

capital

transactions

(166,978,339)

(200,620,694)

(24,367,707)

79,879,406

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(1,060,286,872)

(1,176,630,812)

(32,439,320)

131,902,107

Total

increase

(decrease)

in

net

assets

(1,138,592,608)

(1,559,878,120)

(2,869,925)

64,393,777

NET

ASSETS:

Beginning

of

period

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

1,471,556,241

3,031,434,361

270,282,970

205,889,193

End

of

period

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

$

332,963,633

$

1,471,556,241

$

267,413,045

$

270,282,970

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

274

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

99,406,698

219,604,853

17,068,772

12,725,339

Shares

sold

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

11,216,999

62,383,598

4,249,283

24,119,599

Shares

issued

on

reinvestment

of

distributions

...........

—

—

663,176

103,803

Shares

redeemed

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

(83,380,638)

(182,581,753)

(5,383,007)

(19,879,969)

Shares

outstanding,

end

of

period

27,243,059

99,406,698

16,598,224

17,068,772

CLASS

N

Shares

outstanding,

beginning

of

period

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

47,853,329

48,119,919

3,130,810

1,109,579

Shares

sold

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

1,958,757

13,941,914

796,135

5,502,638

Shares

issued

on

reinvestment

of

distributions

...........

—

—

108,457

9,596

Shares

redeemed

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

(48,918,200)

(14,208,504)

(1,862,923)

(3,491,003)

Shares

outstanding,

end

of

period

893,886

47,853,329

2,172,479

3,130,810

CLASS

R6

Shares

outstanding,

beginning

of

period

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

41,536,191

67,398,448

27,627,748

15,954,715

Shares

sold

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

12,023,241

15,159,212

1,985,800

13,160,776

Shares

issued

on

reinvestment

of

distributions

...........

—

—

1,186,050

153,663

Shares

redeemed

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

(34,377,793)

(41,021,469)

(7,393,696)

(1,641,406)

Shares

outstanding,

end

of

period

19,181,639

41,536,191

23,405,902

27,627,748

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

275

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

149,278

$

337,356

$

990,018

$

752,156

Net

realized

gain

(loss)

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

7,449,759

(2,376,244)

15,228,941

(3,522,303)

Net

change

in

unrealized

appreciation

(depreciation)

.......

784,917

(1,951,750)

1,728,477

(2,176,001)

Net increase

(decrease)

in

net

assets

resulting

from

operations

8,383,954

(3,990,638)

17,947,436

(4,946,148)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(2,881,853)

(1,723,903)

(10,512,914)

(1,595,156)

Class

N

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

(502,100)

(307,214)

(196,003)

(48,815)

Class

R6

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

(97,844)

(61,357)

(44,648)

(18,019)

Total

distributions

(3,481,797)

(2,092,474)

(10,753,565)

(1,661,990)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

7,128,526

6,786,842

35,240,225

10,645,365

Reinvestment

of

distributions

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

2,077,054

1,193,325

9,740,055

1,415,709

Cost

of

shares

redeemed

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

(6,077,393)

(21,362,946)

(6,568,665)

(19,758,283)

Net

increase

(decrease)

from

capital

transactions

3,128,187

(13,382,779)

38,411,615

(7,697,209)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

422,852

4,158,546

424,288

595,649

Reinvestment

of

distributions

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

502,100

307,214

196,003

48,816

Cost

of

shares

redeemed

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

(899,689)

(17,727,816)

(907,488)

(993,794)

Net

increase

(decrease)

from

capital

transactions

25,263

(13,262,056)

(287,197)

(349,329)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

84,884

133,573

—

66,000

Reinvestment

of

distributions

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

83,188

57,045

44,648

18,018

Cost

of

shares

redeemed

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

(138,019)

(35,963)

(362,146)

(4,602)

Net

increase

(decrease)

from

capital

transactions

30,053

154,655

(317,498)

79,416

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

3,183,503

(26,490,180)

37,806,920

(7,967,122)

Total

increase

(decrease)

in

net

assets

8,085,660

(32,573,292)

45,000,791

(14,575,260)

NET

ASSETS:

Beginning

of

period

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

25,352,714

57,926,006

66,887,309

81,462,569

End

of

period

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

$

33,438,374

$

25,352,714

$

111,888,100

$

66,887,309

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

276

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

2,796,989

4,358,862

7,567,807

8,422,139

Shares

sold

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

846,310

789,267

3,808,740

1,184,037

Shares

issued

on

reinvestment

of

distributions

...........

239,568

162,578

1,049,575

166,947

Shares

redeemed

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

(714,725)

(2,513,718)

(692,683)

(2,205,316)

Shares

outstanding,

end

of

period

3,168,142

2,796,989

11,733,439

7,567,807

CLASS

N

Shares

outstanding,

beginning

of

period

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

563,726

2,086,431

264,351

302,522

Shares

sold

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

46,206

487,124

45,097

65,208

Shares

issued

on

reinvestment

of

distributions

...........

57,912

41,855

21,258

5,790

Shares

redeemed

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

(108,778)

(2,051,684)

(93,059)

(109,169)

Shares

outstanding,

end

of

period

559,066

563,726

237,647

264,351

CLASS

R6

Shares

outstanding,

beginning

of

period

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

105,366

86,209

82,163

73,253

Shares

sold

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

9,403

15,739

—

7,330

Shares

issued

on

reinvestment

of

distributions

...........

9,606

7,782

4,811

2,125

Shares

redeemed

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

(15,008)

(4,364)

(37,074)

(545)

Shares

outstanding,

end

of

period

109,367

105,366

49,900

82,163

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

277

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

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

$

8,427,510

$

5,803,338

$

4,444,518

$

4,514,019

Net

realized

gain

(loss)

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

(145,289,150)

(327,176,831)

(8,064,551)

(13,454,694)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(94,301,414)

(307,305,309)

(6,586,142)

(15,031,045)

Net increase

(decrease)

in

net

as

sets

resulting

from

operations

(231,163,054)

(628,678,802)

(10,206,175)

(23,971,720)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

(14,824,074)

(18,380,634)

(182,401)

(382,170)

Class

N

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

(663,746)

(440,477)

—

—

Class

R6

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

(18,280,787)

(15,833,509)

(56,803)

(77,879)

Total

(33,768,607)

(34,654,620)

(239,204)

(460,049)

Return

of

capital:

—

—

—

—

Class

I

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

(904)

—

(28,079)

—

Class

N

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

(40)

—

—

—

Class

R6

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

(777)

—

(5,691)

—

Total

(1,721)

—

(33,770)

—

Total

distributions

(33,770,328)

(34,654,620)

(272,974)

(460,049)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

617,096,262

1,353,376,419

119,808,640

421,189,135

Reinvestment

of

distributions

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

13,262,027

15,448,117

190,873

323,831

Cost

of

shares

redeemed

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

(1,387,028,097)

(2,160,681,716)

(325,473,507)

(331,296,543)

Net

increase

(decrease)

from

capital

transactions

(756,669,808)

(791,857,180)

(205,473,994)

90,216,423

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

22,257,397

51,415,274

1,928,483

12,719,467

Reinvestment

of

distributions

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

638,706

433,236

—

—

Cost

of

shares

redeemed

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

(58,798,648)

(126,110,000)

(19,112,898)

(24,841,098)

Net

increase

(decrease)

from

capital

transactions

(35,902,545)

(74,261,490)

(17,184,415)

(12,121,631)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

461,478,228

555,928,288

51,316,011

17,844,154

Reinvestment

of

distributions

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

17,264,975

13,877,968

62,494

77,879

Cost

of

shares

redeemed

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

(651,263,343)

(486,434,136)

(44,904,903)

(55,944,746)

Net

increase

(decrease)

from

capital

transactions

(172,520,140)

83,372,120

6,473,602

(38,022,713)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(965,092,493)

(782,746,550)

(216,184,807)

40,072,079

Total

increase

(decrease)

in

net

assets

(1,230,025,875)

(1,446,079,972)

(226,663,956)

15,640,310

NET

ASSETS:

Beginning

of

period

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

3,301,347,297

4,747,427,269

481,207,010

465,566,700

End

of

period

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

$

2,071,321,422

$

3,301,347,297

$

254,543,054

$

481,207,010

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

278

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

195,099,458

284,753,468

40,707,426

31,798,558

Shares

sold

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

69,328,736

135,388,138

12,157,845

41,258,381

Shares

issued

on

reinvestment

of

distributions

...........

1,611,425

1,710,755

19,739

32,286

Shares

redeemed

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

(159,665,945)

(226,752,903)

(32,811,061)

(32,381,799)

Shares

outstanding,

end

of

period

106,373,674

195,099,458

20,073,949

40,707,426

CLASS

N

Shares

outstanding,

beginning

of

period

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

9,202,006

17,131,773

2,197,135

3,367,115

Shares

sold

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

2,523,622

5,095,016

194,649

1,223,931

Shares

issued

on

reinvestment

of

distributions

...........

77,891

48,031

—

—

Shares

redeemed

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

(6,792,559)

(13,072,814)

(1,933,957)

(2,393,911)

Shares

outstanding,

end

of

period

5,010,960

9,202,006

457,827

2,197,135

CLASS

R6

Shares

outstanding,

beginning

of

period

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

161,609,679

155,015,501

5,182,314

8,884,892

Shares

sold

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

53,256,825

55,361,426

5,271,072

1,705,485

Shares

issued

on

reinvestment

of

distributions

...........

2,092,724

1,535,173

6,449

7,749

Shares

redeemed

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

(74,475,636)

(50,302,421)

(4,553,895)

(5,415,812)

Shares

outstanding,

end

of

period

142,483,592

161,609,679

5,905,940

5,182,314

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

279

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

PERIOD

11/01/18

*

-

12/31/18

OPERATIONS:

Net

investment

income

(loss)

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

$

168,483

$

21,407

Net

realized

gain

(loss)

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

(367,711)

(154,913)

Net

change

in

unrealized

appreciation

(depreciation)

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

1,397,741

(345,291)

Net increase

(decrease)

in

net

assets

resulting

from

operations

1,198,513

(478,797)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(29,676)

(2,866)

Class

N

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

(18,220)

(2,213)

Class

R6

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

(190,100)

(24,930)

Total

distributions

(237,996)

(30,009)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

Proceeds

from

shares

sold

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

435,034

1,112,219

Reinvestment

of

distributions

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

29,676

1,667

Cost

of

shares

redeemed

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

(111,257)

—

Net

increase

(decrease)

from

capital

transactions

353,453

1,113,886

CLASS

N

—

—

Proceeds

from

shares

sold

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

1,158

1,000,000

Reinvestment

of

distributions

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

18,220

1,200

Cost

of

shares

redeemed

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

(1,169)

—

Net

increase

(decrease)

from

capital

transactions

18,209

1,001,200

CLASS

R6

—

—

Proceeds

from

shares

sold

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

—

9,145,000

Reinvestment

of

distributions

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

190,100

13,517

Net

increase

(decrease)

from

capital

transactions

190,100

9,158,517

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

561,762

11,273,603

Total

increase

(decrease)

in

net

assets

1,522,279

10,764,797

NET

ASSETS:

Beginning

of

period

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

10,764,797

—

End

of

period

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

$

12,287,076

$

10,764,797

$

—

$

—

Statements

of

Changes

in

Net

Assets

280

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

PERIOD

11/01/18

*

-

12/31/18

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

111,628

—

Shares

sold

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

43,150

111,453

Shares

issued

on

reinvestment

of

distributions

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

2,862

175

Shares

redeemed

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

(10,587)

—

Shares

outstanding,

end

of

period

147,053

111,628

CLASS

N

Shares

outstanding,

beginning

of

period

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

100,126

—

Shares

sold

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

116

100,001

Shares

issued

on

reinvestment

of

distributions

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

1,759

125

Shares

redeemed

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

(114)

—

Shares

outstanding,

end

of

period

101,887

100,126

CLASS

R6

Shares

outstanding,

beginning

of

period

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

916,760

—

Shares

sold

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

—

915,343

Shares

issued

on

reinvestment

of

distributions

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

18,333

1,417

Shares

outstanding,

end

of

period

935,093

916,760

*

Commencement

of

operations.

Statements

of

Cash

Flows

281

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

(8,175,507)

$

37,969,165

$

(89,362,071)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

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

(241,052,503)

(1,099,588,797)

(213,344,326)

Payments

to

cover

short

positions

in

securities

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

(434,768,713)

(482

,318,872)

(412,812,839)

Proceeds

from

sale

of

securities

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

376,628,732

1,027,202,951

482,089,465

Proceeds

from

short

positions

in

securities

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

276,741,142

507,239,944

182,086,876

Proceeds

from

option

contracts

written

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

14,814,967

—

—

Payments

to

close

option

contracts

written

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

(11,829,482)

—

—

(Purchases)

sales

of

short-term

investments,

net

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

111,421,860

(33,340,758)

804,742,473

Realized

(gain)

loss

on

investments

in

securities

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

12,806,816

(30,546,976)

(31,694,155)

Realized

(gain)

loss

on

short

positions

in

securities

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

50,451,951

18,876,562

(23,112,332)

Realized

(gain)

loss

on

option

contracts

written

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

(3,503,309)

—

—

Realized

(gain)

loss

on

paydowns

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

—

(6,735)

—

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

(62,866,510)

(52,467,750)

(5,737,711)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

30,989,005

27,530,280

74,719,796

Change

in

unrealized

(appreciation)

depreciation

on

option

contracts

written

....

(426,007)

—

—

Amortization

(accretion)

of

bond

premium

(discount)

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

(1,938,902)

(1,440,481)

(6,282,094)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

3,614,195

(9,841,440)

1,137,029

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

..........

(1,887,717)

1,238,082

(25)

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

(5,447,503)

41,382

379,844

Unrealized

appreciation

on

OTC

swaps

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

(945,990)

(2,128,909)

9,326,752

Deposits

for

securities

sold

short

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

3,448,308

(13,980,188)

—

Deposits  for

written

options

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

5,230,514

—

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

—

164,869

—

Variation

margin

on

centrally

cleared

swaps

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

—

(8,183)

—

Variation

margin

on

futures

and

futures-style

options

contracts

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

—

(7,786)

—

Foreign

tax

reclaim

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

(101,881)

12,034

(256,253)

Dividends

and

Interest

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

112,778

(98,724)

1,696,160

Prepaid

expenses

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

30,060

4,205

51,333

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

827,018

(1,154,098)

—

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

649,940

148,091

(130,014)

Unrealized

depreciation

on

OTC

swaps

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

(861,260)

8,596,047

(3,179,824)

Deposits

from

brokers

for

futures

contracts

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

—

—

(2)

Variation

margin

on

centrally

cleared

swaps

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

—

(23,880)

—

Variation

margin

on

futures

contracts

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

819,367

(446,112)

—

Accrued

investment

advisory

fees

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

(31,428)

38,014

(832,415)

Accrued

distribution

fees—Class

N

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

(112)

(3,154)

(41,427)

Dividends

and

Interest

payable

on

securities

sold

short

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

34,015

542,919

(200,465)

Other

accrued

expenses

and

liabilities

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

34,070

9,150

(327,017)

Net

cash

provided

by

(used

in)

operating

activities

$

114,817,914

$

(97,789,148)

$

768,916,758

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

312,089,686

248,594,063

246,299,456

Payments

on

shares

redeemed

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

(440,460,360)

(144,596,719)

(1,016,203,233)

Cash

distributions

paid

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

(13,845)

(3,133,355)

(1,552,418)

Due

to

custodian

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

(316,078)

(63,476)

2,474

Net

cash

provided

by

(used

in)

financing

activities

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

$

(128,700,597)

$

100,800,513

$

(771,453,721)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

(13,882,683)

3,011,365

(2,536,963)

Cash,

beginning

of

period

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

15,746,811

1,095,189

2,868,579

Cash,

end

of

period**

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

$

1,864,128

$

4,106,554

$

331,616

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$1,819,214,

$1,478,958

and

$1,424,144.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$1,986,276,

$7,866,808

and

$8,277,113.

Statements

of

Cash

Flows

282

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

***

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

13,256,573

$

39,952,425

$

(78,305,736)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

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

(786,076,239)

(282,366,322)

(431,498,303)

Payments

to

cover

short

positions

in

securities

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

(1,472,249,273)

(44,389,171)

(513,311,784)

Proceeds

from

sale

of

securities

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

2,264,403,946

300,264,895

832,714,042

Proceeds

from

short

positions

in

securities

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

672,757,634

58,629,689

190,243,547

Proceeds

from

option

contracts

written

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

—

—

8,971,931

Payments

to

close

option

contracts

written

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

—

—

(6,870,246)

(Purchases)

sales

of

short-term

investments,

net

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

390,946,882

80,853,027

997,051,550

Realized

(gain)

loss

on

investments

in

securities

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

(113,521,539)

(2,181,776)

(190,991,692)

Realized

(gain)

loss

on

short

positions

in

securities

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

(21,513,528)

3,658,024

163,018,328

Realized

(gain)

loss

on

option

contracts

written

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

—

—

(2,445,985)

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

(44,149,841)

(12,094,908)

32,314,855

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

166,489,336

222,445

(20,238,408)

Change

in

unrealized

(appreciation)

depreciation

on

option

contracts

written

....

—

—

(317,278)

Amortization

(accretion)

of

bond

premium

(discount)

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

(19,422,674)

(1,208,482)

(1,514,554)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

(9,359,950)

1,421,879

16,405,064

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

..........

12,011,795

(1,384,693)

36,787,907

Repurchase

Agreements

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

—

(4,752,805)

—

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

3,768,498

(649,946)

8,993,920

Unrealized

appreciation

on

OTC

swaps

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

43,705,836

(142,690)

27,151,957

Deposits

for

securities

sold

short

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

(11,300,545)

—

48,035,785

Deposits  for

written

options

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

—

—

265,915

Deposits

with

brokers

for

centrally

cleared

swaps

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

—

8,886,258

3,032,311

Variation

margin

on

centrally

cleared

swaps

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

—

366,530

(14,949)

Variation

margin

on

futures

and

futures-style

options

contracts

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

5,822,729

690,317

2,289,695

Foreign

tax

reclaim

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

50,313

(79,866)

177,120

Dividends

and

Interest

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

1,737,298

61,599

3,389,522

Prepaid

expenses

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

68,172

24,672

44,190

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

(1,084,143)

202,524

(954,215)

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

(5,152,983)

796,462

(23,051,141)

Unrealized

depreciation

on

OTC

swaps

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

(13,716,572)

(89,910)

(31,619,521)

Deposits

from

brokers

for

futures

contracts

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

—

123,324

(32,494)

Variation

margin

on

centrally

cleared

swaps

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

—

—

(235,596)

Variation

margin

on

futures

contracts

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

—

120,831

(436,499)

Accrued

investment

advisory

fees

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

(1,298,951)

(89,212)

(1,999,994)

Accrued

distribution

fees—Class

N

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

(20,940)

(488)

(78,501)

Dividends

and

Interest

payable

on

securities

sold

short

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

(506,205)

17,300

(118,077)

Other

accrued

expenses

and

liabilities

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

(927,011)

83,216

(346,154)

Net

cash

provided

by

(used

in)

operating

activities

$

1,074,718,618

$

146,945,148

$

1,066,506,512

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

613,035,068

28,673,894

193,263,269

Net

change

in

reverse

repurchase

agreements

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

—

12,677,507

—

Payments

on

shares

redeemed

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

(1,672,835,788)

(187,057,645)

(1,264,248,578)

Cash

distributions

paid

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

—

(928,580)

—

Due

to

custodian

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

—

—

(1,821,806)

Net

cash

provided

by

(used

in)

financing

activities

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

$

(1,059,800,720)

$

(146,634,824)

$

(1,072,807,115)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

14,917,898

310,324

(6,300,603)

Cash,

beginning

of

period

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

7,009,299

323,569

11,702,017

Cash,

end

of

period**

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

$

21,927,197

$

633,893

$

5,401,414

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$3,310,047,

$442,717

and

$2,165,999.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$–,

$7,871,441

and

$–.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

283

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

***

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

***

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

8,383,954

$

(231,163,054)

$

(10,206,175)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

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

(30,803,960)

(1,126,879,938)

(12,886,287)

Payments

to

cover

short

positions

in

securities

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

—

(1,507,194,077)

(75,241,216)

Proceeds

from

sale

of

securities

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

21,342,697

1,796,521,087

54,359,990

Proceeds

from

short

positions

in

securities

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

—

975,315,122

40,162,439

(Purchases)

sales

of

short-term

investments,

net

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

4,212,710

1,181,233,195

210,706,232

Realized

(gain)

loss

on

investments

in

securities

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

77,374

93,818,933

428,444

Realized

(gain)

loss

on

short

positions

in

securities

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

—

95,379,782

3,266,986

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

(528,766)

(375,872,277)

(8,428,021)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

—

269,244,255

13,614,994

Amortization

(accretion)

of

bond

premium

(discount)

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

(248,728)

(13,901,231)

(1,890,131)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

(61,680)

(218,412,572)

2,989,985

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

..........

(1,769,354)

(586,786)

6,020,428

Repurchase

Agreements

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

5,939,568

—

—

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

62,945

(7,544,369)

(662,190)

Unrealized

appreciation

on

OTC

swaps

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

35,928

129,329,576

2,898,084

Variation

margin

on

futures

and

futures-style

options

contracts

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

150,709

3,504,963

257,624

Foreign

tax

reclaim

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

—

293,230

(24,584)

Dividends

and

Interest

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

(22,286)

1,895,976

363,605

Due

from

Investment

Adviser

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

2,661

—

—

Prepaid

expenses

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

9,458

86,062

21,634

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

84,731

(116,443,934)

(3,085,998)

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

29,242

(36,809,042)

(2,136,952)

Unrealized

depreciation

on

OTC

swaps

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

(103,909)

78,040,725

(46,765)

Deposits

from

brokers

for

futures

contracts

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

—

(299,610)

—

Variation

margin

on

futures

contracts

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

160,143

1,489,744

(33)

Accrued

investment

advisory

fees

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

7,773

(1,492,680)

(145,834)

Accrued

distribution

fees—Class

N

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

127

(9,409)

(3,385)

Dividends

and

Interest

payable

on

securities

sold

short

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

—

(351,544)

5,799

Interest

payable

for

reverse

repurchase

agreements

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

(29,787)

—

—

Other

accrued

expenses

and

liabilities

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

(10,120)

(153,793)

(66,108)

Net

cash

provided

by

(used

in)

operating

activities

$

6,921,430

$

989,038,334

$

220,272,565

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

7,584,242

1,107,311,694

175,633,153

Net

change

in

reverse

repurchase

agreements

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

(6,096,613)

—

—

Payments

on

shares

redeemed

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

(7,415,346)

(2,116,455,169)

(394,423,116)

Cash

distributions

paid

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

(819,455)

(2,604,620)

(19,607)

Net

cash

provided

by

(used

in)

financing

activities

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

$

(6,747,172)

$

(1,011,748,095)

$

(218,809,570)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

174,258

(22,709,761)

1,462,995

Cash,

beginning

of

period

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

24,578

37,982,364

9,586,283

Cash,

end

of

period**

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

$

198,836

$

15,272,603

$

11,049,278

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$137,523,

$5,876,374

and

$421,886.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$2,662,342,

$31,165,708

and

$253,367.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

284

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

**

The

following

is

a

reconciliation

of

cash

and

cash

held

in

foreign

currencies

reported

within

the

Statements

of

Assets

and

Liabilities

that

sum

to

the

total

of

the

same

such

amounts

disclosed

in

the

Statement

of

Cash

Flows:

FUND

CASH

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

TOTAL

CASH

AND

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

AQR

Alternative

Risk

Premia

Fund

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

$

903,555

$

960,573

$

1,864,128

AQR

Diversified

Arbitrage

Fund

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

256,908

3,849,646

4,106,554

AQR

Equity

Market

Neutral

Fund

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

—

331,616

331,616

AQR

Long-Short

Equity

Fund

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

9,466,330

12,460,867

21,927,197

AQR

Multi-Asset

Fund

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

1,661

632,232

633,893

AQR

Multi-Strategy

Alternative

Fund

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

2,816,049

2,585,365

5,401,414

AQR

Risk

Parity

II

HV

Fund

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

111,264

87,572

198,836

AQR

Style

Premia

Alternative

Fund

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

1,226,027

14,046,576

15,272,603

AQR

Style

Premia

Alternative

LV

Fund

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

9,915,065

1,134,213

11,049,278

286

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.00)

7

(0.75)

(0.75)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.03)

(0.74)

(0.77)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.02

0.01

(0.75)

(0.74)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.03

10

0.02

—

—

—

—

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.75

0.08

0.67

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.06

0.14

0.20

(0.57)

—

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.02

0.52

0.54

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.21

0.07

0.61

0.68

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

0.07

(0.55)

(0.48)

(0.45)

—

—

(0.45)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.76

0.05

0.67

0.72

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.04

0.14

0.18

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.00

7

0.51

0.51

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.21

0.05

0.60

0.65

(0.63)

—

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.10

0.03

(0.51)

(0.48)

(0.41)

—

—

(0.41)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.73

0.12

0.63

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.08

0.13

0.21

(0.58)

—

—

(0.58)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

0.03

0.52

0.55

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.20

0.12

0.56

0.68

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.13

0.09

(0.55)

(0.46)

(0.47)

—

—

(0.47)

287

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.89

(3.08)%

$

144,245

3.60%

3.55%

1.40%

0.58%

6

192%

$

9.25

(7.51)%

$

260,990

3.40%

8

3.32%

1.40%

(0.00)%

253%

$

10.01

0.10%

$

26,852

3.06%

8

2.65%

1.40%

(0.25)%

293%

$

8.88

(3.24)%

$

8,989

3.85%

3.80%

1.65%

0.28%

6

192%

$

9.23

(7.72)%

$

11,467

3.64%

8

3.55%

1.63%

(0.27)%

253%

$

10.01

0.10%

$

1,538

3.70%

8

2.90%

1.65%

(0.44)%

293%

$

8.91

(2.93)%

$

82,300

3.51%

3.45%

1.30%

0.53%

6

192%

$

9.27

(7.41)%

$

98,967

3.31%

8

3.23%

1.30%

0.06%

253%

$

10.02

0.20%

$

49,818

3.14%

8

2.55%

1.30%

(0.22)%

293%

$

9.30

8.53%

$

464,186

2.06%

1.98%

1.20%

0.88%

361%

$

8.75

2.19%

$

319,152

1.96%

1.92%

1.20%

0.66%

390%

$

9.12

5.92%

$

386,972

2.08%

2.02%

1.19%

0.25%

205%

$

9.23

7.51%

$

359,989

2.36%

2.27%

1.20%

0.78%

277%

$

9.21

(4.67)%

$

772,394

2.44%

2.42%

1.19%

0.71%

249%

$

9.31

8.21%

$

55,694

2.30%

2.22%

1.44%

0.52%

361%

$

8.76

2.01%

$

66,251

2.21%

2.17%

1.45%

0.44%

390%

$

9.12

5.58%

$

76,774

2.34%

2.28%

1.44%

0.01%

205%

$

9.23

7.15%

$

100,869

2.61%

2.52%

1.44%

0.53%

277%

$

9.21

(4.75)%

$

183,029

2.69%

2.67%

1.45%

0.32%

249%

$

9.28

8.64%

$

19,077

1.96%

1.88%

1.10%

1.27%

361%

$

8.73

2.41%

$

13,654

1.87%

1.82%

1.10%

0.79%

390%

$

9.10

6.02%

$

8,416

1.98%

1.93%

1.10%

0.36%

205%

$

9.21

7.52%

$

5,159

2.27%

2.18%

1.10%

1.26%

277%

$

9.20

(4.55)%

$

866

2.36%

2.33%

1.10%

0.92%

249%

288

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.76

0.13

(1.34)

(1.21)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.04

(1.48)

(1.44)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.48

(0.13)

0.80

0.67

(0.18)

(0.00)

7

—

(0.18)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.15)

1.91

1.76

(0.28)

(0.01)

—

(0.29)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.70

0.12

(1.35)

(1.23)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.21

0.00

7

(1.46)

(1.46)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.95

(0.11)

0.78

0.67

(0.41)

—

—

(0.41)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.47

(0.15)

0.77

0.62

(0.14)

(0.00)

7

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.19)

1.94

1.75

(0.28)

(0.01)

—

(0.29)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.77

0.11

(1.31)

(1.20)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.05

(1.48)

(1.43)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.49

(0.14)

0.81

0.67

(0.19)

(0.00)

7

—

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.13)

1.90

1.77

(0.28)

(0.01)

—

(0.29)

AQR

GLOBAL

MACRO

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.38

0.44

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.03

0.65

0.68

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.06

(0.06)

(0.25)

(0.31)

(0.00)

7

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.60

(0.11)

0.12

10

0.01

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.94

(0.15)

0.32

0.17

—

(0.51)

—

(0.51)

AQR

GLOBAL

MACRO

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.97

0.03

0.39

0.42

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.66

(0.00)

7

0.66

0.66

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.99

(0.08)

(0.25)

(0.33)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.55

(0.13)

0.12

10

(0.01)

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.92

(0.16)

0.30

0.14

—

(0.51)

—

(0.51)

AQR

GLOBAL

MACRO

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.39

0.45

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.04

0.65

0.69

(0.16)

(0.20)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.07

(0.03)

(0.28)

(0.31)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.60

(0.10)

0.12

10

0.02

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.94

(0.14)

0.31

0.17

—

(0.51)

—

(0.51)

289

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

9.20

(11.27)%

$

208,679

2.23%

2.21%

1.27%

1.31%

263%

$

10.76

(11.73)%

$

708,592

1.99%

1.99%

1.24%

0.32%

175%

$

12.25

5.84%

$

1,552,269

2.07%

2.07%

1.27%

(0.66)%

237%

$

11.97

5.85%

$

790,179

2.13%

2.13%

1.28%

(1.15)%

227%

$

11.48

17.60%

$

179,312

2.17%

8

1.90%

1.25%

(1.36)%

383%

$

9.12

(11.52)%

$

14,129

2.50%

2.49%

1.55%

1.20%

263%

$

10.70

(11.94)%

$

209,290

2.27%

2.27%

1.53%

0.02%

175%

$

12.21

5.56%

$

357,839

2.35%

2.35%

1.55%

(0.92)%

237%

$

11.95

5.43%

$

154,189

2.40%

2.40%

1.55%

(1.27)%

227%

$

11.47

17.43%

$

89,755

2.41%

8

2.16%

1.51%

(1.69)%

383%

$

9.22

(11.17)%

$

38,112

2.15%

2.14%

1.20%

1.05%

263%

$

10.77

(11.65)%

$

206,044

1.93%

1.93%

1.18%

0.44%

175%

$

12.25

5.91%

$

326,927

2.00%

2.00%

1.20%

(0.61)%

237%

$

11.97

5.82%

$

177,683

2.05%

2.05%

1.20%

(1.22)%

227%

$

11.49

17.72%

$

148

3.05%

8

1.85%

1.20%

(1.26)%

383%

$

9.52

4.90%

$

14,985

2.15%

1.45%

1.45%

0.59%

0%

$

9.08

7.80%

$

20,230

1.93%

1.42%

1.42%

0.29%

0%

$

8.75

(3.38)%

$

9,199

2.30%

1.40%

1.40%

(0.65)%

0%

$

9.06

0.02%

$

18,972

1.98%

1.41%

1.41%

(1.12)%

0%

$

9.60

1.71%

$

31,453

1.78%

8

1.38%

1.38%

(1.45)%

0%

$

9.39

4.73%

$

1,173

2.23%

1.70%

1.70%

0.37%

0%

$

8.97

7.57%

$

17,074

2.11%

1.68%

1.68%

(0.04)%

0%

$

8.66

(3.67)%

$

2,892

2.63%

1.70%

1.70%

(0.89)%

0%

$

8.99

(0.19)%

$

3,217

2.17%

1.65%

1.65%

(1.35)%

0%

$

9.55

1.41%

$

20,838

1.88%

8

1.70%

1.70%

(1.56)%

0%

$

9.53

5.01%

$

11,841

2.08%

1.35%

1.35%

0.67%

0%

$

9.08

7.84%

$

12,073

1.91%

1.35%

1.35%

0.41%

0%

$

8.75

(3.41)%

$

13,970

2.32%

1.35%

1.35%

(0.34)%

0%

$

9.07

0.14%

$

4,374

1.95%

1.35%

1.35%

(1.09)%

0%

$

9.60

1.71%

$

104

1.72%

8

1.35%

1.35%

(1.41)%

0%

290

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.94

0.10

0.04

10

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.88

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.07

(0.08)

2.15

2.07

(0.56)

(0.70)

—

(1.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.12

(0.14)

1.48

1.34

(0.24)

(0.15)

—

(0.39)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.87

(0.15)

2.00

1.85

(0.58)

(0.02)

—

(0.60)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.84

0.07

0.04

10

0.11

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.80

(0.01)

(2.29)

(2.30)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.00

(0.11)

2.13

2.02

(0.52)

(0.70)

—

(1.22)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.07

(0.17)

1.47

1.30

(0.22)

(0.15)

—

(0.37)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.84

(0.19)

2.01

1.82

(0.57)

(0.02)

—

(0.59)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.97

0.10

0.05

10

0.15

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.91

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.08

(0.07)

2.17

2.10

(0.57)

(0.70)

—

(1.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.13

(0.14)

1.49

1.35

(0.25)

(0.15)

—

(0.40)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.87

(0.15)

2.02

1.87

(0.59)

(0.02)

—

(0.61)

AQR

MULTI-ASSET

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.12

1.67

1.79

(0.64)

—

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.82

0.09

(0.78)

(0.69)

(0.28)

(0.34)

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.49

1.51

(0.19)

(0.84)

—

(1.03)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.09

(0.02)

0.94

0.92

(0.24)

(0.43)

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.07)

(0.75)

(0.82)

—

(0.23)

—

(0.23)

AQR

MULTI-ASSET

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.49

0.11

1.65

1.76

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.80

0.06

(0.77)

(0.71)

(0.26)

(0.34)

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.01)

1.50

1.49

(0.17)

(0.84)

—

(1.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.08

(0.04)

0.92

0.88

(0.21)

(0.43)

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.10)

(0.73)

(0.83)

—

(0.23)

—

(0.23)

AQR

MULTI-ASSET

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.04

1.75

1.79

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.83

0.09

(0.78)

(0.69)

(0.29)

(0.34)

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.51

1.53

(0.20)

(0.84)

—

(1.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.10

(0.04)

0.95

0.91

(0.24)

(0.43)

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.04)

(0.77)

(0.81)

—

(0.23)

—

(0.23)

291

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

11.08

1.28%

$

901,269

2.06%

2.06%

1.26%

0.92%

292%

$

10.94

(16.40)%

$

1,697,554

1.73%

1.73%

1.24%

0.28%

462%

$

13.88

15.73%

$

4,144,436

2.01%

2.01%

1.27%

(0.60)%

249%

$

13.07

11.09%

$

1,799,994

1.99%

1.99%

1.28%

(1.12)%

247%

$

12.12

17.04%

$

452,667

1.86%

1.81%

1.27%

(1.28)%

303%

$

10.95

1.01%

$

28,689

2.33%

2.33%

1.53%

0.60%

292%

$

10.84

(16.64)%

$

117,289

2.01%

2.01%

1.51%

(0.04)%

462%

$

13.80

15.47%

$

385,302

2.27%

2.27%

1.53%

(0.80)%

249%

$

13.00

10.80%

$

287,362

2.25%

2.25%

1.54%

(1.39)%

247%

$

12.07

16.79%

$

90,141

2.12%

2.07%

1.53%

(1.58)%

303%

$

11.12

1.37%

$

76,285

1.99%

1.99%

1.19%

0.87%

292%

$

10.97

(16.36)%

$

206,247

1.66%

1.66%

1.16%

0.32%

462%

$

13.91

15.95%

$

965,972

1.92%

1.92%

1.17%

(0.46)%

249%

$

13.08

11.13%

$

452,452

1.90%

1.90%

1.19%

(1.07)%

247%

$

12.13

17.16%

$

16,200

1.77%

1.74%

1.20%

(1.21)%

303%

$

9.66

21.05%

$

119,488

1.47%

1.34%

0.93%

1.31%

233%

$

8.51

(6.96)%

$

217,406

0.93%

0.92%

0.92%

0.96%

21%

$

9.82

16.36%

$

415,799

0.94%

0.93%

0.93%

0.19%

48%

$

9.34

10.10%

$

349,335

0.94%

0.92%

0.92%

(0.22)%

72%

$

9.09

(8.10)%

$

492,977

0.94%

0.93%

0.93%

(0.71)%

157%

$

9.63

20.67%

$

11,366

1.74%

1.61%

1.20%

1.13%

233%

$

8.49

(7.23)%

$

12,303

1.20%

1.18%

1.18%

0.68%

21%

$

9.80

16.13%

$

16,673

1.21%

1.20%

1.20%

(0.06)%

48%

$

9.32

9.66%

$

17,027

1.21%

1.19%

1.19%

(0.46)%

72%

$

9.08

(8.20)%

$

22,005

1.19%

1.18%

1.18%

(0.96)%

157%

$

9.65

21.07%

$

4,691

1.38%

1.26%

0.85%

0.48%

233%

$

8.51

(6.94)%

$

24,925

0.86%

0.85%

0.85%

0.98%

21%

$

9.83

16.56%

$

40,256

0.87%

0.85%

0.85%

0.24%

48%

$

9.34

10.06%

$

33,987

0.88%

0.85%

0.85%

(0.42)%

72%

$

9.10

(8.00)%

$

2,796

0.86%

0.85%

0.85%

(0.37)%

157%

292

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.81

0.03

(0.81)

(0.78)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.05

(0.04)

(1.20)

(1.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.50

(0.07)

0.37

0.30

(0.60)

(0.15)

—

(0.75)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.76

(0.11)

0.09

(0.02)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.76

(0.15)

1.05

0.90

(0.74)

(0.16)

—

(0.90)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.74

(0.03)

(0.75)

(0.78)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.00

(0.06)

(1.20)

(1.26)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.45

(0.09)

0.37

0.28

(0.58)

(0.15)

—

(0.73)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.74

(0.13)

0.08

(0.05)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.74

(0.17)

1.05

0.88

(0.72)

(0.16)

—

(0.88)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

(0.81)

(0.77)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.03)

(1.21)

(1.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.51

(0.06)

0.37

0.31

(0.61)

(0.15)

—

(0.76)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.76

(0.09)

0.08

(0.01)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.75

(0.13)

1.05

0.92

(0.75)

(0.16)

—

(0.91)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.65

0.06

0.95

1.01

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.90

0.05

(1.26)

(1.21)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.25

(0.02)

0.67

0.65

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.62

(0.04)

0.97

0.93

(0.30)

—

—

(0.30)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.98

(0.05)

(1.31)

(1.36)

—

—

—

—

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.58

0.05

0.93

0.98

(0.31)

—

(0.00)

7

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.81

0.03

(1.24)

(1.21)

(0.02)

—

—

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.18

(0.03)

0.66

0.63

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.57

(0.06)

0.96

0.90

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.94

(0.08)

(1.29)

(1.37)

—

—

—

—

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.66

0.07

0.95

1.02

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.92

0.05

(1.27)

(1.22)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.26

(0.01)

0.67

0.66

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.63

(0.04)

0.97

0.93

(0.30)

—

—

(0.30)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.99

(0.05)

(1.31)

(1.36)

—

—

—

—

293

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.03

(9.99)%

$

191,546

2.72%

2.69%

1.96%

0.35%

173%

$

7.81

(13.70)%

$

776,088

2.37%

2.37%

1.95%

(0.45)%

136%

$

9.05

3.10%

$

1,987,557

2.30%

2.30%

1.97%

(0.75)%

110%

$

9.50

(0.20)%

$

2,405,511

2.47%

2.47%

1.97%

(1.10)%

261%

$

9.76

9.25%

$

2,284,285

2.41%

2.41%

1.97%

(1.44)%

208%

$

6.96

(10.08)%

$

6,218

2.98%

2.96%

2.23%

(0.42)%

173%

$

7.74

(14.00)%

$

370,597

2.64%

2.64%

2.22%

(0.74)%

136%

$

9.00

2.84%

$

433,225

2.56%

2.56%

2.23%

(0.96)%

110%

$

9.45

(0.51)%

$

469,478

2.73%

2.73%

2.23%

(1.31)%

261%

$

9.74

9.02%

$

103,504

2.68%

2.67%

2.23%

(1.66)%

208%

$

7.05

(9.85)%

$

135,200

2.63%

2.59%

1.87%

0.49%

173%

$

7.82

(13.69)%

$

324,871

2.29%

2.29%

1.87%

(0.37)%

136%

$

9.06

3.19%

$

610,652

2.20%

2.20%

1.87%

(0.61)%

110%

$

9.51

(0.10)%

$

622,862

2.38%

2.38%

1.88%

(0.94)%

261%

$

9.76

9.44%

$

100,959

2.33%

2.32%

1.88%

(1.29)%

208%

$

6.33

17.96%

$

105,145

1.06%

0.99%

0.99%

1.05%

0%

$

5.65

(17.58)%

$

96,393

0.99%

0.97%

0.97%

0.71%

0%

$

6.90

10.41%

$

87,863

1.05%

0.99%

0.99%

(0.27)%

0%

$

6.25

16.58%

$

93,849

1.04%

0.96%

0.96%

(0.65)%

0%

$

5.62

(19.48)%

$

71,321

1.14%

0.94%

0.94%

(0.88)%

0%

$

6.25

17.67%

$

13,586

1.32%

1.25%

1.25%

0.79%

0%

$

5.58

(17.82)%

$

17,457

1.27%

1.25%

1.25%

0.45%

0%

$

6.81

10.20%

$

7,559

1.31%

1.25%

1.25%

(0.50)%

0%

$

6.18

16.16%

$

7,214

1.33%

1.25%

1.25%

(0.97)%

0%

$

5.57

(19.74)%

$

2,083

1.48%

1.25%

1.25%

(1.21)%

0%

$

6.35

18.20%

$

148,682

0.97%

0.90%

0.90%

1.12%

0%

$

5.66

(17.60)%

$

156,433

0.93%

0.90%

0.90%

0.80%

0%

$

6.92

10.55%

$

110,467

0.96%

0.90%

0.90%

(0.16)%

0%

$

6.26

16.61%

$

102,156

0.98%

0.90%

0.90%

(0.63)%

0%

$

5.63

(19.46)%

$

29,122

1.11%

0.90%

0.90%

(0.85)%

0%

294

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

RISK

PARITY

II

HV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.31

0.05

2.36

2.41

(0.33)

(0.67)

—

(1.00)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.88

0.07

(1.02)

(0.95)

(0.34)

(0.28)

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.42

(0.02)

1.59

1.57

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.79

(0.02)

1.01

0.99

(0.12)

(0.24)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.55

(0.08)

(1.19)

(1.27)

(0.03)

(0.46)

—

(0.49)

AQR

RISK

PARITY

II

HV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.32

0.02

2.35

2.37

(0.30)

(0.67)

—

(0.97)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.85

0.04

(1.00)

(0.96)

(0.29)

(0.28)

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.43

0.21

1.32

1.53

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.80

(0.04)

1.00

0.96

(0.09)

(0.24)

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.56

(0.10)

(1.20)

(1.30)

—

(0.46)

—

(0.46)

AQR

RISK

PARITY

II

HV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.31

0.05

2.35

2.40

(0.33)

(0.67)

—

(1.00)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.88

0.08

(1.02)

(0.94)

(0.35)

(0.28)

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.41

(0.13)

1.71

1.58

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.78

(0.00)

7

0.99

0.99

(0.12)

(0.24)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.55

(0.03)

(1.25)

(1.28)

(0.03)

(0.46)

—

(0.49)

AQR

RISK

PARITY

II

MV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.45

0.10

1.74

1.84

(0.27)

(0.71)

—

(0.98)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.26

0.09

(0.69)

(0.60)

(0.10)

(0.11)

—

(0.21)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.98

0.02

1.08

1.10

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.51

(0.02)

0.84

0.82

(0.09)

(0.26)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.90

(0.08)

(0.79)

(0.87)

(0.02)

(0.50)

—

(0.52)

AQR

RISK

PARITY

II

MV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.40

0.06

1.74

1.80

(0.24)

(0.71)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.20

0.07

(0.68)

(0.61)

(0.08)

(0.11)

—

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.95

(0.05)

1.12

1.07

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.49

(0.04)

0.82

0.78

(0.06)

(0.26)

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.10)

(0.78)

(0.88)

—

(0.50)

—

(0.50)

AQR

RISK

PARITY

II

MV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.45

0.10

1.75

1.85

(0.28)

(0.71)

—

(0.99)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.26

0.10

(0.69)

(0.59)

(0.11)

(0.11)

—

(0.22)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.97

0.04

1.07

1.11

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.51

(0.01)

0.83

0.82

(0.10)

(0.26)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.89

(0.07)

(0.78)

(0.85)

(0.03)

(0.50)

—

(0.53)

295

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.72

32.94%

$

27,611

2.30%

1.57%

1.11%

0.53%

118%

$

7.31

(10.76)%

$

20,457

2.06%

1.63%

1.10%

0.85%

19%

$

8.88

19.03%

$

38,689

1.66%

1.34%

1.11%

(0.21)%

45%

$

8.42

12.77%

$

46,127

1.61%

1.23%

1.11%

(0.26)%

68%

$

7.79

(13.33)%

$

40,890

1.43%

1.13%

1.08%

(0.83)%

184%

$

8.72

32.43%

$

4,874

2.58%

1.85%

1.39%

0.26%

118%

$

7.32

(10.92)%

$

4,126

2.32%

1.92%

1.40%

0.47%

19%

$

8.85

18.52%

$

18,472

1.92%

1.63%

1.39%

2.36%

45%

$

8.43

12.47%

$

6,583

1.89%

1.52%

1.39%

(0.51)%

68%

$

7.80

(13.64)%

$

5,493

1.77%

1.45%

1.40%

(1.04)%

184%

$

8.71

32.88%

$

953

2.24%

1.51%

1.05%

0.63%

118%

$

7.31

(10.68)%

$

770

2.04%

1.58%

1.05%

0.94%

19%

$

8.88

19.17%

$

765

1.62%

1.28%

1.05%

(1.47)%

45%

$

8.41

12.85%

$

2,836

1.55%

1.17%

1.05%

(0.06)%

68%

$

7.78

(13.42)%

$

2,413

1.43%

1.11%

1.05%

(0.36)%

184%

$

9.31

21.83%

$

109,225

1.14%

0.95%

0.95%

1.01%

152%

$

8.45

(6.44)%

$

63,972

1.15%

0.94%

0.94%

1.01%

20%

$

9.26

12.36%

$

78,000

1.15%

0.93%

0.93%

0.26%

39%

$

8.98

9.66%

$

78,873

1.15%

0.94%

0.94%

(0.24)%

58%

$

8.51

(8.77)%

$

85,918

1.10%

0.93%

0.93%

(0.80)%

159%

$

9.25

21.47%

$

2,198

1.39%

1.20%

1.20%

0.69%

152%

$

8.40

(6.66)%

$

2,221

1.41%

1.20%

1.20%

0.78%

20%

$

9.20

12.07%

$

2,784

1.43%

1.20%

1.20%

(0.55)%

39%

$

8.95

9.25%

$

5,659

1.41%

1.20%

1.20%

(0.41)%

58%

$

8.49

(8.94)%

$

4,242

1.38%

1.20%

1.20%

(0.99)%

159%

$

9.31

21.93%

$

465

1.04%

0.85%

0.85%

1.05%

152%

$

8.45

(6.34)%

$

694

1.06%

0.85%

0.85%

1.10%

20%

$

9.26

12.49%

$

679

1.07%

0.85%

0.85%

0.42%

39%

$

8.97

9.64%

$

608

1.07%

0.85%

0.85%

(0.06)%

58%

$

8.51

(8.59)%

$

99

1.03%

0.85%

0.85%

(0.68)%

159%

296

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.02

0.02

6

(0.76)

(0.74)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.38

0.01

(1.28)

(1.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.92

(0.07)

1.27

1.20

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.14

(0.12)

0.07

(0.05)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.86

(0.14)

1.01

0.87

(0.56)

(0.03)

—

(0.59)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.00

0.00

6,7

(0.75)

(0.75)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.35

(0.02)

(1.28)

(1.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.89

(0.13)

1.30

1.17

(0.71)

—

—

(0.71)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.14

(0.15)

0.07

(0.08)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.17)

1.02

0.85

(0.55)

(0.03)

—

(0.58)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.03

0.03

6

(0.76)

(0.73)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.41

0.02

(1.30)

(1.28)

(0.10)

—

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.94

(0.07)

1.28

1.21

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.15

(0.11)

0.07

(0.04)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.14)

1.02

0.88

(0.57)

(0.03)

—

(0.60)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.01

0.15

(0.52)

(0.37)

(0.01)

—

(0.00)

7

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.57

0.10

(0.65)

(0.55)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.41

(0.00)

7

0.71

0.71

(0.55)

—

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.39

(0.06)

0.13

0.07

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.18

(0.08)

0.49

0.41

(0.17)

(0.03)

—

(0.20)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.95

0.12

(0.51)

(0.39)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.53

0.07

(0.65)

(0.58)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.37

(0.05)

0.72

0.67

(0.51)

—

—

(0.51)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.39

(0.08)

0.11

0.03

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.17

(0.09)

0.48

0.39

(0.14)

(0.03)

—

(0.17)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.02

0.16

(0.52)

(0.36)

(0.02)

—

(0.00)

7

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.59

0.10

(0.65)

(0.55)

(0.02)

—

—

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.42

(0.00)

7

0.72

0.72

(0.55)

—

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.40

(0.05)

0.12

0.07

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.17

(0.05)

0.48

0.43

(0.17)

(0.03)

—

(0.20)

297

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.15

(8.20)%

$

866,804

2.51%

2.48%

1.49%

0.28%

6

170%

$

9.02

(12.26)%

$

1,759,075

2.25%

2.24%

1.47%

0.09%

345%

$

10.38

11.94%

$

2,956,926

2.22%

2.21%

1.49%

(0.70)%

140%

$

9.92

(0.47)%

$

2,263,101

2.26%

2.24%

1.49%

(1.20)%

114%

$

10.14

8.76%

$

1,341,232

2.29%

2.25%

1.48%

(1.39)%

138%

$

8.12

(8.33)%

$

40,665

2.77%

2.74%

1.75%

0.02%

6

170%

$

9.00

(12.60)%

$

82,850

2.51%

2.50%

1.74%

(0.22)%

345%

$

10.35

11.67%

$

177,319

2.49%

2.47%

1.75%

(1.23)%

140%

$

9.89

(0.76)%

$

188,647

2.53%

2.50%

1.75%

(1.46)%

114%

$

10.14

8.50%

$

92,947

2.56%

2.52%

1.75%

(1.65)%

138%

$

8.17

(8.08)%

$

1,163,852

2.42%

2.39%

1.40%

0.33%

6

170%

$

9.03

(12.32)%

$

1,459,422

2.18%

2.17%

1.40%

0.21%

345%

$

10.41

12.10%

$

1,613,182

2.14%

2.12%

1.40%

(0.65)%

140%

$

9.94

(0.37)%

$

1,349,866

2.18%

2.15%

1.40%

(1.08)%

114%

$

10.15

8.80%

$

394,568

2.21%

2.17%

1.40%

(1.37)%

138%

$

9.63

(3.69)%

$

193,224

1.40%

1.33%

0.83%

1.50%

157%

$

10.01

(5.21)%

$

407,402

1.17%

1.17%

0.83%

0.99%

191%

$

10.57

6.74%

$

336,047

1.23%

1.22%

0.83%

0.00%

136%

$

10.41

0.65%

$

251,496

1.22%

1.19%

0.83%

(0.54)%

106%

$

10.39

4.02%

$

152,172

1.46%

1.11%

0.79%

(0.80)%

213%

$

9.56

(3.92)%

$

4,377

1.66%

1.60%

1.10%

1.21%

157%

$

9.95

(5.51)%

$

21,871

1.44%

1.44%

1.10%

0.63%

191%

$

10.53

6.46%

$

35,465

1.50%

1.49%

1.10%

(0.48)%

136%

$

10.37

0.26%

$

42,514

1.48%

1.45%

1.10%

(0.78)%

106%

$

10.39

3.85%

$

13,444

1.90%

1.41%

1.09%

(0.91)%

213%

$

9.64

(3.59)%

$

56,942

1.32%

1.25%

0.75%

1.59%

157%

$

10.02

(5.23)%

$

51,934

1.10%

1.10%

0.75%

0.98%

191%

$

10.59

6.90%

$

94,055

1.15%

1.14%

0.75%

(0.01)%

136%

$

10.42

0.65%

$

90,570

1.14%

1.11%

0.75%

(0.45)%

106%

$

10.40

4.23%

$

22,176

1.57%

1.08%

0.75%

(0.50)%

213%

298

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.15

0.90

1.05

(0.21)

—

—

(0.21)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.02

(0.45)

(0.43)

(0.03)

—

—

(0.03)

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.12

0.90

1.02

(0.18)

—

—

(0.18)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.01

(0.45)

(0.44)

(0.02)

—

—

(0.02)

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.15

0.90

1.05

(0.21)

—

—

(0.21)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.02

(0.45)

(0.43)

(0.03)

—

—

(0.03)

299

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.38

10.96%

$

1,527

2.62

%

8

0.67%

0.67%

1.43%

103%

$

9.54

(4.34)%

$

1,065

2.63%

8

0.76%

0.75%

1.14%

18%

$

10.38

10.72%

$

1,057

2.86%

8

0.90%

0.90%

1.20%

103%

$

9.54

(4.38)%

$

955

2.88%

8

1.00%

1.00%

0.89%

18%

$

10.38

10.98%

$

9,703

2.61%

8

0.65%

0.65%

1.45%

103%

$

9.54

(4.32)%

$

8,745

2.53%

8

0.65%

0.65%

1.24%

18%

300

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

–

Class

I

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

$

0.04

0.47%

AQR

Alternative

Risk

Premia

Fund

–

Class

N

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

0.02

0.17

AQR

Alternative

Risk

Premia

Fund

–

Class

R6

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

0.04

0.42

AQR

Style

Premia

Alternative

Fund

–

Class

I

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

0.01

0.16

AQR

Style

Premia

Alternative

Fund

–

Class

N

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

(0.01)

(0.10)

AQR

Style

Premia

Alternative

Fund

–

Class

R6

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

0.02

0.21

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Fund

invests.

5

Portfolio

turnover

is

not

annualized.

6

For

the

period

ended

December

31,

2019

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

7

Amount

is

less

than

$.005

per

share.

8

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

9

Commencement

of

operations.

10

The

amount

shown

for

a

share

outstanding

throughout

the

period

is

not

indicative

of

the

aggregate

net

realized

and

unrealized

gain

(loss)

for

that

period

because

of

the

timing

of

sales

and

repurchases

of

the

Fund

shares

in

relation

to

fluctuating

market

value

of

the

investments

in

the

Fund.

301

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

As

of

December

31,

2019,

the

Trust

consists

of

thirty-five

active

series,

thirteen

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund,

AQR

Style

Premia

Alternative

LV

Fund

and

AQR

Volatility

Risk

Premium

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

Adviser

has

retained

CNH

Partners,

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

to

serve

as

an

investment

sub-adviser

to

the

AQR

Diversified

Arbitrage

Fund

and

certain

strategies

of

the

AQR

Multi-Strategy

Alternative

Fund.

The

investment

objective

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Style

Premia

Alternative

LV

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund

and

AQR

Volatility

Risk

Premium

Fund

is

to

seek

total

return.

The

investment

objective

of

the

AQR

Long-Short

Equity

Fund

is

to

seek

capital

appreciation.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets,

of

Cash

Flows

and

the

Financial

Highlights

of

AQR

Global

Macro

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Style

Premia

Alternative

LV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Global

Macro

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Multi-

Strategy

Alternative

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.,

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

the

Consolidated

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2019

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2019

AQR

Global

Macro

Offshore

Fund

Ltd

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

$

6,516,058

20.2%

AQR

Multi-Asset

Offshore

Fund

Ltd

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

13,844,619

6.7%

AQR

Multi-Strategy

Alternative

Offshore

Fund

Ltd

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

54,569,854

6.3%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd

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

61,210,398

22.6%

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd

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

7,639,278

17.6%

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd

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

16,725,915

14.4%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd

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

478,482,014

8.7%

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd

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

58,833,927

12.6%

302

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statements

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Funds’

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statements

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-date

dividend

notification.

Upon

notification

from

issuers,

some

of

the

dividend

income

received

from

a

real

estate

investment

trust

may

be

redesignated

as

a

reduction

of

cost

of

the

related

investment

and/or

realized

gain.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Funds

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon

their

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which

they

invest.

Offering

Cost:

Offering

costs,

including

professional

fees,

printing

fees

and

initial

registration,

are

amortized

over

a

period

not

longer

than

twelve

months

from

the

date

the

Funds

commenced

operations. 

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

each

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly

no

provision

for

Federal

income

tax

is

necessary.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

more-likely-than-not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

December

31,

2019,

the

Funds

had

no

examinations

in

progress.

303

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

For

Federal

tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFCs

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company.

Additionally,

certain

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

Those

Funds

investing

in

the

LPCI

Fund

indirectly

bear

their

share

of

the

advisory

and

operating

expenses

borne

by

the

LPCI

Fund.

The

LPCI

Fund

may

be

considered

an

affiliated

person

of

some

of

the

Funds

in

the

Trust.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated

person

is

included

in

the

Schedules

of

Investments,

if

applicable.

Convertible

Securities:

Certain

Funds

invest

in

preferred

stocks

and

fixed-income

securities

which

are

convertible

into

common

stock.

Convertible

securities

may

be

converted

either

at

a

stated

price

or

rate

within

a

specified

period

of

time

into

a

specified

number

of

shares

of

common

stock.

By

investing

in

a

convertible

security,

the

Funds

may

participate

in

any

capital

appreciation

or

depreciation

of

a

company’s

stock,

but

to

a

lesser

degree

than

if

they

had

invested

in

that

company’s

common

stock.

Convertible

securities

rank

senior

to

common

stock

in

a

corporation’s

capital

structure

and,

therefore,

entail

less

risk

than

the

corporation’s

common

stock.

The

Funds

may

attempt

to

hedge

some

of

their

investments

in

convertible

debt

securities

by

selling

short

the

issuer’s

common

stock.

The

premiums

attributable

to

the

conversion

feature

are

not

amortized. 

High

Yield

Securities:

Certain

Funds

invest

in

lower-quality

debt

securities.

Investments

in

lower-rated

securities

or

unrated

securities

of

comparable

quality

tend

to

be

more

sensitive

to

economic

conditions

than

higher

rated

securities

causing

greater

price

volatility.

These

instruments

involve

a

greater

risk

of

loss

due

to

default

by

the

issuer

because

such

securities

are

generally

unsecured

and

are

often

subordinated

to

other

creditors’

claims. 

Inflation-Indexed

Bonds:

Certain

Funds

may

invest

in

inflation-indexed

bonds

which

are

adjusted

for

inflation

through

periodic

increases

or

decreases

in

the

security’s

interest

accruals,

face

amount,

or

principal

redemption

value,

by

amounts

corresponding

to

the

rate

of

inflation

as

measured

by

an

index.

Loan

Participations,

Assignments

and

Unfunded

Commitments:

Certain

Funds

invest

in

loan

participations

and

assignments.

When

a

Fund

purchases

a

loan

participation,

the

Fund

enters

into

a

contractual

relationship

with

the

lender

or

a

third

party

selling

such

participations

(“Selling

Participant”),

but

not

the

borrower.

In

this

case,

the

Fund

assumes

the

credit

risk

of

the

borrower

and

the

Selling

Participant

and

any

other

persons

inter-positioned

between

the

Fund

and

the

borrower

(“Intermediate

Participants”).

In

contrast,

when

one

of

the

Funds

purchases

an

assignment,

the

contractual

relationship

is

with

the

borrower

and

the

credit

risk

assumed

by

the

Fund

is

only

with

the

borrower.

Although

certain

loan

participations

or

assignments

are

secured

by

collateral,

the

Fund

could

experience

delays

or

limitations

in

realizing

such

collateral

or

have

its

interest

subordinated

to

other

indebtedness

of

the

obligor.

304

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

Funds

may

also

enter

into

unfunded

commitments,

which

are

contractual

obligations

for

future

funding.

These

unfunded

commitments

represent

a

future

obligation

in

full,

even

though

a

percentage

of

the

commitment

may

not

be

utilized

by

the

borrower.

These

types

of

investments

may

include

standby

financing

commitments,

such

as

revolving

credit

facilities,

which

obligate

the

Fund

to

supply

additional

cash

to

the

borrower

on

demand.

The

value

of

the

unfunded

portion

of

the

investment

is

determined

using

a

pro-rata

allocation,

based

on

its

par

value

relative

to

the

par

value

of

the

entire

investment.

In

addition,

loan

participations

and

assignments

are

vulnerable

to

market

conditions

such

that

economic

conditions

or

other

events

may

reduce

the

demand

for

loan

participations

and

assignments

and

certain

loan

participations

and

assignments

which

were

liquid,

when

purchased,

may

become

illiquid.

As

of

December

31,

2019,

AQR

Diversified

Arbitrage

Fund’s

unfunded

commitments

were

as

follows:

The

Fund

has

no

unrealized

gain

or

loss

on

the

unfunded

commitment.

Defaulted

Securities

and

Distressed

Investments:

Certain

Funds

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedules

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Funds

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Securities

Sold

Short:

Certain

Funds

may

engage

in

short

sales,

which

is

when

a

Fund

sells

securities

it

does

not

own

as

a

hedge

against

some

of

its

long

positions

and/or

in

anticipation

of

a

decline

in

the

market

value

of

that

security.

When

one

of

the

Funds

makes

a

short

sale,

it

must

borrow

the

security

sold

short

and

deliver

it

to

the

broker

through

which

it

made

the

short

sale.

The

Fund

may

have

to

pay

a

fee

to

borrow

the

particular

security

and

may

be

obligated

to

remit

any

interest

or

dividends

received

on

such

borrowed

securities.

Dividends

declared

on

short

positions

are

recorded

on

the

ex-date

as

an

expense.

A

gain,

limited

to

the

price

at

which

the

Fund

sold

the

security

short,

or

a

loss,

which

could

be

unlimited

in

magnitude,

will

be

recognized

upon

the

termination

of

a

short

sale

if

the

market

price

at

termination

is

less

than

or

greater

than,

respectively,

the

proceeds

originally

received.

The

Fund

is

also

subject

to

the

risk

that

it

may

be

unable

to

reacquire

a

security

to

terminate

a

short

position

except

at

a

price

substantially

in

excess

of

the

last

quoted

price.

The

Fund

is

also

subject

to

risk

of

loss

if

the

broker

were

to

fail

to

perform

its

obligations

under

the

contractual

terms.

Liabilities

for

securities

sold

short

are

reported

at

market

value

on

the

Statements

of

Assets

and

Liabilities

and

the

change

in

market

value

is

recorded

as

unrealized

gain

or

loss

on

the

Statements

of

Operations.

The

Funds

are

required

to

pledge

cash

or

liquid

securities

to

the

broker

as

collateral

for

securities

sold

short.

Collateral

requirements

are

calculated

daily

based

on

the

current

market

value

of

the

short

positions.

Daily

market

fluctuations

and

trading

activity

could

cause

the

value

of

securities

sold

short

to

be

more

or

less

than

the

value

of

the

collateral

segregated.

Cash

deposited

with

the

broker

for

collateral

for

securities

sold

short

is

recorded

as

an

asset

on

the

Statements

of

Assets

and

Liabilities

and

securities

segregated

as

collateral

are

denoted

in

the

Schedules

of

Investments.

The

Funds

may

receive

or

pay

the

net

of

the

following

amounts:

(i)

a

portion

of

the

income

from

the

investment

of

cash

collateral;

(ii)

the

broker’s

fee

on

the

borrowed

securities;

and

(iii)

a

financing

charge

for

the

difference

in

the

market

value

of

the

short

position

and

cash

collateral

deposited

with

the

broker.

This

income

or

fee

is

calculated

daily

based

upon

the

market

value

of

each

borrowed

security

and

a

variable

rate

that

is

dependent

on

the

availability

of

the

security.

Pursuant

to

a

Master

Securities

Loan

Agreement,

State

Street

Bank

and

Trust

Company

(“SSB”)

is

permitted,

subject

to

certain

conditions,

to

rehypothecate

up

to

30%

of

portfolio

securities

pledged

by

the

Funds

as

collateral

for

securities

sold

short.

The

Funds

continue

to

receive

dividends

and

interest

on

rehypothecated

securities.

The

Funds

also

have

the

right

under

the

MSLA

to

recall

the

rehypothecated

securities

from

SSB

on

demand.

If

SSB

fails

to

deliver

the

recalled

security

in

a

timely

manner,

the

Funds

will

be

compensated

by

SSB

for

any

fees

or

losses

related

to

the

failed

delivery

or,

in

the

event

a

recalled

security

will

not

be

returned

by

SSB,

the

Fund

may

reduce

the

loan

balance

outstanding

by

the

amount

of

the

recalled

security. 

The

net

amount

of

fees

incurred

are

included

in

the

dividend

and

interest

on

securities

sold

short

in

the

Statements

of

Operations

and

are

as

follows:

BORROWER

COMMITMENT

AMOUNT

DEMC,

Ltd

Class

A-2

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

$

341,716

Fund

AQR

Alternative

Risk

Premia

Fund

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

$

1,819,214

AQR

Diversified

Arbitrage

Fund

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

1,478,958

AQR

Equity

Market

Neutral

Fund

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

1,424,144

AQR

Long-Short

Equity

Fund

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

3,310,047

AQR

Multi-Asset

Fund

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

144,555

AQR

Multi-Strategy

Alternative

Fund

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

2,165,999

AQR

Style

Premia

Alternative

Fund

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

5,876,374

AQR

Style

Premia

Alternative

LV

Fund

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

421,886

305

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Futures

Contracts:

Certain

Funds

invest

in

futures

contracts

as

part

of

their

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Funds,

the

Funds

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Funds,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

Certain

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Swap

Contracts:

Certain

Funds

engage

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedules

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Total

Return

Swap

Contracts:

Certain

Funds

invest

in

total

return

swaps

to

obtain

exposure

to

the

underlying

referenced

instruments,

obtain

leverage

or

attain

the

returns

from

ownership

without

actually

owning

the

underlying

position.

Total

return

swaps

are

two-party

contracts

that

generally

obligate

one

party

to

pay

the

positive

return

and

the

other

party

to

pay

the

negative

return

on

a

specified

reference

security,

security

index

or

index

component

during

the

period

of

the

swap.

Total

return

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

net

change

in

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Total

return

swaps

normally

do

not

involve

the

delivery

of

securities

or

other

underlying

assets.

If

the

counterparty

to

a

total

return

swap

contract

defaults,

a

Fund’s

risk

of

loss

consists

of

the

net

amount

of

payments

the

Fund

is

contractually

entitled

to

receive,

if

any.

The

use

of

long

total

return

swap

contracts

subject

the

Funds

to

risk

of

loss

in

excess

of

the

amounts

shown

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

total

return

swaps

subject

the

Funds

to

potential

unlimited

loss.

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

from

the

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Total

Return

Basket

Swaps:

Certain

Funds

may

enter

into

a

total

return

basket

swap

agreement

to

obtain

exposure

to

a

portfolio

of

long

and/or

short

securities.

Under

the

terms

of

the

agreement,

the

swap

is

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

or

fixed

income

positions.

The

absolute

notional

value

of

the

total

return

basket

swap

represents

the

accumulated

notional

value

of

the

underlying

long

components

and

absolute

notional

value

of

the

short

components

held

within

the

total

return

basket

swap

at

period

end.

The

notional

value

of

each

component

represents

the

market

value

at

period

end.

The

Funds

have

the

ability

to

trade

in

and

out

of

long

and

short

positions

within

the

swap

and

will

receive

all

of

the

economic

benefits

and

risks

equivalent

to

direct

investments

in

these

positions

such

as:

capital

appreciation

(depreciation),

corporate

actions,

and

dividends

and

interest

received

and

paid,

all

of

which

are

reflected

in

the

swap

value.

The

swap

value

also

includes

financing

charges

and

credits

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

Finance

charges

and

credits

are

based

on

defined

market

rates

plus

or

minus

a

specified

spread.

Positions

within

the

swap

are

reset

periodically,

and

financing

costs

are

reset

generally

monthly.

During

a

reset,

any

realized

gains

(losses)

from

positions,

income,

proceeds

from

corporate

actions

and

accrued

financing

costs

may

become

available

for

cash

settlement

between

the

Funds

and

the

swap

counterparty.

Prior

to

the

reset,

these

amounts

are

included

as

a

component

of

the

swap

value

in

Net

cash

and

other

receivables

(payables).

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Funds

and

the

counterparty,

over

the

life

of

the

agreement,

and

is

generally

determined

based

on

limits

and

thresholds

established

as

part

of

the

Master

Agreement

between

the

Funds

and

the

counterparty.

The

maturity

dates

are

measured

from

the

commencement

of

investment

in

each

underlying

portfolio

swap

positions.

A

change

in

the

market

value

of

a

total

return

basket

swap

contract

is

recognized

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Cash

settlements

between

a

Fund

and

the

counterparty

are

recognized

as

net

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

basket

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

306

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Credit

Default

Swap

Contracts:

Certain

Funds

enter

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

contract,

the

protection

buyer

typically

makes

an

upfront

payment

and

a

periodic

stream

of

payments

to

a

counterparty,

the

protection

seller,

in

exchange

for

the

right

to

receive

a

contingent

payment

upon

the

occurrence

of

a

credit

event

on

the

reference

obligation

or

all

other

equally

ranked

obligations

of

the

reference

entity.

Credit

events

are

contract

specific

but

may

include

bankruptcy,

failure

to

pay,

restructuring

and

obligation

acceleration.

The

credit

default

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

an

unrealized

gain

or

loss.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

recorded

as

a

realized

gain

or

loss

on

swap

contracts

in

the

Statements

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swaps

on

credit

indexes

are

linked

to

the

weighted

average

spread

across

the

underlying

reference

obligations

included

in

a

particular

index.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

A

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

specific

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

contract.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Statements

of

Assets

and

Liabilities.

Credit

default

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Interest

Rate

Swaps:

Certain

Funds

enter

into

interest

rate

swaps

as

part

of

their

investment

strategy.

Interest

rate

swaps

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

agreements

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

on

derivatives

in

the

Statements

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

on

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swaps

may

have

forward

effective

dates.

The

amortization

of

the

upfront

premiums

(if

applicable)

and

payments

related

to

these

swap

contracts

begin

on

the

effective

date

of

the

contract.

Interest

rate

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Repurchase

Agreements:

Certain

Funds

may

enter

into

repurchase

agreements.

In

a

repurchase

agreement,

a

Fund

takes

possession

of

an

underlying

debt

obligation

(collateral)

subject

to

an

obligation

of

the

seller

to

repurchase,

and

a

Fund

to

resell,

the

obligation

at

an

agreed-upon

price

and

time.

Under

the

terms

of

a

master

repurchase

agreement,

the

underlying

securities

for

all

repurchase

agreements

are

held

in

safekeeping

at

the

Fund’s

custodian

or

designated

sub-custodians

under

tri-party

repurchase

agreements.

Investments

in

repurchase

agreements

are

reflected

as

assets

on

the

Statements

of

Assets

and

Liabilities.

Interest

earned

is

recorded

as

a

component

of

interest

income

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

collateral,

a

Fund

may

pay

a

fee

for

receipt

of

collateral,

which

may

result

in

interest

expense

to

the

Fund.

Generally,

in

the

event

of

counterparty

default,

a

Fund

has

the

right

to

use

the

collateral

to

offset

losses

incurred.

If

the

counterparty

should

default,

a

Fund

may

seek

to

sell

the

securities

which

it

holds

as

collateral.

This

could

involve

procedural

costs

or

delays

in

addition

to

a

loss

on

the

securities

if

their

value

should

fall

below

their

repurchase

price.

Repurchase

agreements

outstanding

at

period

end

are

included

within

each

Fund’s

Schedule

of

Investments. 

Reverse

Repurchase

Agreements:

Certain

Funds

may

enter

into

reverse

repurchase

agreements

under

the

terms

of

a

master

repurchase

agreement.

A

Fund

sells

a

security

that

it

holds

to

a

counterparty

with

a

contemporaneous

agreement

to

repurchase

the

same

security

at

an

agreed-upon

price

and

date.

Reverse

repurchase

agreements

are

accounted

for

as

secured

borrowings

and

are

reflected

as

a

liability

on

the

Statements

of

Assets

and

Liabilities.

Interest

payments

made

on

reverse

repurchase

agreements

are

recorded

as

a

component

of

interest

expense

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

the

security,

a

Fund

may

receive

a

fee

for

use

of

the

security

by

the

counterparty,

which

may

result

in

interest

income

to

the

Fund.

A

Fund

monitors

collateral

market

value

for

the

reverse

repurchase

agreement,

including

accrued

interest,

throughout

the

lives

of

the

agreements,

and

when

necessary,

delivers

or

receives

cash

or

securities

in

order

to

manage

credit

exposure

and

liquidity.

If

the

counterparty

defaults

or

enters

insolvency

proceeding,

realization

or

return

of

the

collateral

to

the

Fund

may

be

delayed

or

limited.

Reverse

repurchase

agreements

outstanding

at

period

end,

if

any,

including

the

underlying

debt

obligation

(collateral)

assigned

to

each

agreement,

are

listed

after

each

Fund’s

Schedule

of

Investments.

The

collateral

held

in

relation

to

the

repurchase

agreements

and

reverse

repurchase

agreements

was

in

U.S.

Treasury

Inflation

Protected

Securities

and

Foreign

Government

Securities

with

a

maturity

greater

than

90

days

in

the

amount

of

$29,517,519

and

$4,820,702

for

AQR

Multi-Asset

Fund

and AQR

Risk

Parity

II

HV

Fund,

respectively.

307

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Options:

Certain

Funds

may

write

and

purchase

put

and

call

options.

When

a

Fund

writes

a

premium-style option,

an

amount

equal

to

the

premium

received

by

the

Fund

is

reflected

as

an

asset

and

an

equivalent

liability.

The

amount

of

the

liability

is

subsequently

marked

to

market

to

reflect

the

current

market

value

of

the

option

written.

When

a

security

is

purchased

or

sold

through

an

exercise

of

an

option,

the

related

premium

paid

(or

received)

is

added

to

(or

deducted

from)

the

basis

of

the

security

acquired

or

deducted

from

(or

added

to)

the

proceeds

of

the

security

sold.

When

a

premium-

style option

expires,

a

Fund

realizes

a

gain

or

loss

on

the

option

to

the

extent

of

the

premiums

received

or

paid.

When

a

Fund

enters

into

a

closing

transaction,

the

Fund

realizes

a

gain

or

loss

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

paid

or

received.

Written

uncovered

call

options

subject

a

Fund

to

unlimited

risk

of

loss.

Written

covered

call

options

limit

the

upside

potential

of

a

security

above

the

strike

price.

Put

options

written

subject

a

Fund

to

risk

of

loss

if

the

value

of

the

security

declines

below

the

exercise

price

minus

the

put

premium.

A

Fund,

as

writer

of

an

option,

bears

the

market

risk

of

an

unfavorable

change

in

the

price

of

the

security

underlying

the

written

option.

Written

and

purchased

options

are

non-income

producing

investments.

The

maximum

financial

exposure

for

premium-style

written

put

options

is

limited

to

the

number

of

contracts

written

and

the

related

strike

prices.

The

number

contracts,

strike

price,

and

expiration

date

for

each

written

put

option

contract

is

disclosed

in

each

respective

Fund’s

Schedule

of

Investments,

as

applicable.

Certain

Funds

may

write

options

on

futures

contracts.

Written

options

on

a

futures

contract

may

be

traditional

premium-style

option

contracts

or

a

futures-style

option

contracts.

Futures-style

option

contracts

are

accounted

for

similar

to

futures

contracts

due

to

similar

characteristics,

including

but

not

limited

to

the

requirement

to

post

initial

margin,

daily

variation

margin,

and

the

lack

of

an

upfront

premium.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

and

futures-style

options

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.  

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions,

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Master

Repurchase

Agreements

govern

repurchase,

or

reverse

repurchase

transactions,

relating

to

government

bonds

between

certain

Funds

and

select

counterparties.

Master

Repurchase

Agreements

maintain

provisions

for

initiation,

income

payments,

events

of

default,

and

maintenance

of

collateral.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

certain

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Funds

are

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

are

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedules

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statements

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statements

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

certain

Funds

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

a

Fund

for

OTC

derivatives

pursuant

to

a

Master

Agreement

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statements

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

308

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

a

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund’s

Schedule

of

Investments.

Segregation

of

a

fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

Due

to

brokers

in

the

Statements

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

For

financial

reporting

purposes,

the

Funds

do

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statements

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

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.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

309

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

securities

sold

short,

rights,

exchange

options,

warrants,

Exchange-Traded

Funds

(“ETFs”)

and

closed-end

investment

companies,

are

valued

at

the

last

quoted

sales

prices

or

official

closing

prices

taken

from

the

primary

market,

or

composite

in

which

each

security

trades

and

are

therefore

classified

Level

1.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are

also

classified

as

Level

1.

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

310

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

The

Funds

value

the

repurchase

agreements

and

reverse

repurchase

agreements

they

have

entered

based

on

the

respective

contract

amounts,

which

approximate

fair

value.

As

such,

repurchase

agreements

are

carried

at

the

amount

of

cash

paid

plus

accrued

interest

receivable

(or

interest

payable

in

periods

of

increased

demand

for

collateral),

and

reverse

repurchase

agreements

are

carried

at

the

amount

of

cash

received

plus

accrued

interest

payable

(or

interest

receivable

in

periods

of

increased

demand

for

collateral).These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Quantitative

Information

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

†

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

$

143,724,564

$

100,630,650

$

–

$

244,355,214

Short-Term

Investments

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

94,062,816

71,946,355

–

166,009,171

Futures

Contracts*

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

2,215,836

–

–

2,215,836

Forward

Foreign

Currency

Exchange

Contracts*

........

–

7,205,728

–

7,205,728

Total

Return

Swaps

Contracts*

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

–

1,111,375

–

1,111,375

Total

Assets

$

240,003,216

$

180,894,108

$

–

$

420,897,324

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(118,107,706)

$

(84,837,348)

$

–

$

(202,945,054)

Written

Options

(Premium

Style)*

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

(816,979)

–

–

(816,979)

Futures

Contracts*

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

(4,887,539)

–

–

(4,887,539)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(7,302,306)

–

(7,302,306)

Total

Return

Swaps

Contracts*

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

–

(178,003)

–

(178,003)

Total

Liabilities

$

(123,812,224)

$

(92,317,657)

$

–

$

(216,129,881)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

121,283,031

$

59,112,464

$

6,583,920

$

186,979,415

Convertible

Preferred

Stocks

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

–

18,243,279

–

18,243,279

Corporate

Bonds

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

–

27,802,231

2,687,753

30,489,984

Convertible

Bonds

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

–

209,637,864

12,219

209,650,083

Closed

End

Funds

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

4,904,359

–

–

4,904,359

Loan

Participations

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

–

2,865,514

105,442

2,970,956

Preferred

Stocks

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

3,141,113

1,436,341

593,216

5,170,670

Rights

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

453,618

289,450

191,830

934,898

Securities

in

Litigation

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

–

–

225,010

225,010

Warrants

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

9,038,062

1,966,122

786,305

11,790,489

Short-Term

Investments

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

146,695,266

37,378,350

–

184,073,616

Futures

Contracts*

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

154,953

–

–

154,953

Forward

Foreign

Currency

Exchange

Contracts*

........

–

97,560

–

97,560

Total

Return

Basket

Swaps

Contracts*

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

–

3,509,131

–

3,509,131

Total

Assets

$

285,670,402

$

362,338,306

$

11,185,695

$

659,194,403

LIABILITIES

Common

Stocks(Sold

Short)

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

$

(133,871,546)

$

(2,789,082)

$

–

(a)

$

(136,660,628)

Convertible

Bonds(Sold

Short)

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

–

(10,325,292)

–

(10,325,292)

Futures

Contracts*

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

(419,620)

–

–

(419,620)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(201,737)

–

(201,737)

Credit

Default

Swap

Contracts*

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

–

(1,503,142)

–

(1,503,142)

Total

Return

Basket

Swaps

Contracts*

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

–

(20,544,794)

–

(20,544,794)

Total

Liabilities

$

(134,291,166)

$

(35,364,047)

$

–

(a)

$

(169,655,213)

311

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

12,617,625

$

98,969,364

$

–

$

111,586,989

Short-Term

Investments

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

83,390,021

164,171,437

–

247,561,458

Forward

Foreign

Currency

Exchange

Contracts*

........

–

72,423

–

72,423

Total

Return

Basket

Swaps

Contracts*

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

–

1,182,026

–

1,182,026

Total

Assets

$

96,007,646

$

264,395,250

$

–

$

360,402,896

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(12,144,734)

$

(69,071,742)

$

–

$

(81,216,476)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(657,420)

–

(657,420)

Total

Return

Basket

Swaps

Contracts*

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

–

(21,864,764)

–

(21,864,764)

Total

Liabilities

$

(12,144,734)

$

(91,593,926)

$

–

$

(103,738,660)

AQR

GLOBAL

MACRO

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

11,508,169

$

13,087,800

$

–

$

24,595,969

Futures

Contracts*

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

487,186

–

–

487,186

Forward

Foreign

Currency

Exchange

Contracts*

........

–

616,559

–

616,559

Interest

Rate

Swap

Contracts*

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

–

1,419,920

–

1,419,920

Total

Return

Swaps

Contracts*

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

–

214,464

–

214,464

Total

Assets

$

11,995,355

$

15,338,743

$

–

$

27,334,098

LIABILITIES

Futures

Contracts*

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

$

(625,954)

$

–

$

–

$

(625,954)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(752,667)

–

(752,667)

Interest

Rate

Swap

Contracts*

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

–

(1,145,270)

–

(1,145,270)

Total

Return

Swaps

Contracts*

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

–

(90,574)

–

(90,574)

Total

Liabilities

$

(625,954)

$

(1,988,511)

$

–

$

(2,614,465)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

904,533

$

–

$

–

$

904,533

Short-Term

Investments

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

380,517,045

590,428,497

–

970,945,542

Futures

Contracts*

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

6,088,219

–

–

6,088,219

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,442,880

–

3,442,880

Total

Return

Basket

Swaps

Contracts*

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

–

7,939

–

7,939

Total

Return

Swaps

Contracts*

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

–

395,715

–

395,715

Total

Assets

$

387,509,797

$

594,275,031

$

–

$

981,784,828

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(3,836,354)

$

–

$

–

$

(3,836,354)

Futures

Contracts*

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

(582,784)

–

–

(582,784)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(971,786)

–

(971,786)

Total

Return

Basket

Swaps

Contracts*

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

–

(116,167,991)

–

(116,167,991)

Total

Return

Swaps

Contracts*

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

–

(6,159)

–

(6,159)

Total

Liabilities

$

(4,419,138)

$

(117,145,936)

$

–

$

(121,565,074)

312

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

52,246,245

$

24,769,289

$

2

$

77,015,536

Foreign

Government

Securities

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

–

7,290,277

–

7,290,277

U.S.

Treasury

Obligations

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

–

28,411,698

–

28,411,698

Short-Term

Investments

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

31,701,098

16,782,473

–

48,483,571

Futures

Contracts*

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

2,320,072

–

–

2,320,072

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,797,393

–

2,797,393

Total

Return

Swaps

Contracts*

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

–

421,074

–

421,074

Total

Assets

$

86,267,415

$

80,472,204

$

2

$

166,739,621

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(13,139,065)

$

(4,981,922)

$

–

$

(18,120,987)

Reverse

Repurchase

Agreements

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

–

(11,809,925)

–

(11,809,925)

Futures

Contracts*

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

(2,527,450)

–

–

(2,527,450)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,593,414)

–

(2,593,414)

Total

Return

Swaps

Contracts*

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

–

(360,231)

–

(360,231)

Total

Liabilities

$

(15,666,515)

$

(19,745,492)

$

–

$

(35,412,007)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

9,226,076

$

–

$

4,321,615

$

13,547,691

Convertible

Preferred

Stocks

†

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

–

36,896,327

–

36,896,327

Corporate

Bonds

†

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

–

–

231,094

231,094

Convertible

Bonds

†

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

–

146,945,549

176,906

147,122,455

Preferred

Stocks

†

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

–

1,591,476

–

1,591,476

Short-Term

Investments

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

172,853,028

42,585,836

–

215,438,864

Futures

Contracts*

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

4,589,154

–

–

4,589,154

Forward

Foreign

Currency

Exchange

Contracts*

........

–

9,176,878

–

9,176,878

Total

Return

Basket

Swaps

Contracts*

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

–

1,242,030

–

1,242,030

Total

Return

Swaps

Contracts*

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

–

907,286

–

907,286

Total

Assets

$

186,668,258

$

239,345,382

$

4,729,615

$

430,743,255

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(100,190,517)

$

–

$

–

$

(100,190,517)

Convertible

Bonds

(Sold

Short)

†

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

–

(14,058,862)

–

(14,058,862)

Written

Options

(Premium

Style)*

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

(483,507)

–

–

(483,507)

Futures

Contracts*

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

(3,698,077)

–

–

(3,698,077)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(10,405,220)

–

(10,405,220)

Credit

Default

Swap

Contracts*

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

–

(2,276,231)

–

(2,276,231)

Total

Return

Basket

Swaps

Contracts*

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

–

(29,137,766)

–

(29,137,766)

Total

Return

Swaps

Contracts*

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

–

(505,986)

–

(505,986)

Total

Liabilities

$

(104,372,101)

$

(56,384,065)

$

–

$

(160,756,166)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

133,180,996

$

109,657,695

$

–

$

242,838,691

Futures

Contracts*

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

20,611,075

–

–

20,611,075

Total

Return

Swaps

Contracts*

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

–

4,971,897

–

4,971,897

Total

Assets

$

153,792,071

$

114,629,592

$

–

$

268,421,663

LIABILITIES

Futures

Contracts*

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

$

(9,359,997)

$

–

$

–

$

(9,359,997)

Total

Return

Swaps

Contracts*

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

–

(812,009)

–

(812,009)

Total

Liabilities

$

(9,359,997)

$

(812,009)

$

–

$

(10,172,006)

313

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

RISK

PARITY

II

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

6,667,126

$

–

$

6,667,126

U.S.

Treasury

Obligations

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

–

16,429,704

–

16,429,704

Short-Term

Investments

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

9,633,703

1,428,034

–

11,061,737

Futures

Contracts*

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

1,109,799

–

–

1,109,799

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,202

–

2,202

Total

Return

Swaps

Contracts*

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

–

85,735

–

85,735

Total

Assets

$

10,743,502

$

24,612,801

$

–

$

35,356,303

LIABILITIES

Reverse

Repurchase

Agreements

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

$

–

$

(4,061,277)

$

–

$

(4,061,277)

Futures

Contracts*

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

(866,054)

–

–

(866,054)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(97,108)

–

(97,108)

Total

Return

Swaps

Contracts*

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

–

(1,343)

–

(1,343)

Total

Liabilities

$

(866,054)

$

(4,159,728)

$

–

$

(5,025,782)

AQR

RISK

PARITY

II

MV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

14,809,385

$

–

$

14,809,385

U.S.

Treasury

Obligations

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

–

35,710,169

–

35,710,169

Short-Term

Investments

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

33,760,673

21,655,881

–

55,416,554

Futures

Contracts*

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

2,385,095

–

–

2,385,095

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,202

–

2,202

Total

Return

Swaps

Contracts*

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

–

470,015

–

470,015

Total

Assets

$

36,145,768

$

72,647,652

$

–

$

108,793,420

LIABILITIES

Futures

Contracts*

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

$

(1,860,238)

$

–

$

–

$

(1,860,238)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(230,535)

–

(230,535)

Total

Return

Swaps

Contracts*

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

–

(247,323)

–

(247,323)

Total

Liabilities

$

(1,860,238)

$

(477,858)

$

–

$

(2,338,096)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

1,172,347,920

$

173,976,174

$

–

$

1,346,324,094

Short-Term

Investments

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

920,317,026

480,124,200

–

1,400,441,226

Futures

Contracts*

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

44,616,597

–

–

44,616,597

Forward

Foreign

Currency

Exchange

Contracts*

........

–

38,379,983

–

38,379,983

Total

Return

Basket

Swaps

Contracts*

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

–

13,203,629

–

13,203,629

Total

Return

Swaps

Contracts*

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

–

20,362,934

–

20,362,934

Total

Assets

$

2,137,281,543

$

726,046,920

$

–

$

2,863,328,463

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(972,646,043)

$

(90,284,504)

$

(2)

$

(1,062,930,549)

Futures

Contracts*

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

(88,421,954)

–

–

(88,421,954)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(40,123,672)

–

(40,123,672)

Total

Return

Basket

Swaps

Contracts*

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

–

(114,794,419)

–

(114,794,419)

Total

Return

Swaps

Contracts*

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

–

(4,606,788)

–

(4,606,788)

Total

Liabilities

$

(1,061,067,997)

$

(249,809,383)

$

(2)

$

(1,310,877,382)

314

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

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. 

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

9,298,321

$

59,558,102

$

–

$

68,856,423

Short-Term

Investments

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

165,057,031

63,943,790

–

229,000,821

Futures

Contracts*

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

2,054,702

–

–

2,054,702

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,027,549

–

2,027,549

Total

Return

Basket

Swaps

Contracts*

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

–

1,809,914

–

1,809,914

Total

Return

Swaps

Contracts*

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

–

962,071

–

962,071

Total

Assets

$

176,410,054

$

128,301,426

$

–

$

304,711,480

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(9,315,780)

$

(48,663,825)

$

–

$

(57,979,605)

Futures

Contracts*

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

(4,309,974)

–

–

(4,309,974)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,299,256)

–

(2,299,256)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,202,815)

–

(1,202,815)

Total

Return

Swaps

Contracts*

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

–

(326,963)

–

(326,963)

Total

Liabilities

$

(13,625,754)

$

(52,492,859)

$

–

$

(66,118,613)

AQR

VOLATILITY

RISK

PREMIUM

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

3,908,035

$

2,058,519

$

–

$

5,966,554

Short-Term

Investments

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

5,322,226

–

–

5,322,226

Futures

Contracts*

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

2,773

–

–

2,773

Total

Assets

$

9,233,034

$

2,058,519

$

–

$

11,291,553

LIABILITIES

Written

Options

(Premium

Style)*

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

$

(45,364)

$

–

$

–

$

(45,364)

Futures

Contracts*

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

(11,155)

–

–

(11,155)

Total

Liabilities

$

(56,519)

$

–

$

–

$

(56,519)

*

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,

interest

rate

swaps

and

purchased

options

and

written

options

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

315

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

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:

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.

AQR

DIVERSIFIED

ARBITRAGE

FUND

COMMON

STOCKS

LOAN

PARTICIPATIONS/

CORPORATE

BONDS

CONVERTIBLE

BONDS

PREFERRED

STOCKS

RIGHTS

WARRANTS

SECURITIES

IN

LITIGATION

SHORT

COMMON

STOCKS

Balance

as

of

December

31,

2018

..........

$

1,793,755

$

1,295,689

$

98,239

$

737,083

$

168,578

$

930,053

$

434,209

$

–(a)

Accrued

discounts/

(premiums)

........

–

403,417

–

–

–

–

–

–

Realized

gain/(loss)

...

344

29,031

–

2,297,268

–

695,613

(3,272,732)

–

Change

in

unrealized

appreciation/

(depreciation)

......

97,097

(914,053)

(580)

716,433

23,252

146,456

3,229,554

–

Purchases

1

..........

63,243

983,142

–

–

–

–

147,636

–

Sales

2

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

(344)

(29,031)

–

(3,157,568)

–

(695,613)

(313,657)

–

Transfers

into

Level

3

..

4,629,825

1,025,000

–

–

–

110,422

–

–

Transfers

out

of

Level

3

.

–

–

(85,440)

–

–

(400,626)

–

–

Balance

as

of

December

31,

2019

..........

$

6,583,920

$

2,793,195

$

12,219

$

593,216

$

191,830

$

786,305

$

225,010

$

–(a)

Change

in

Unrealized

appreciation/

(depreciation)

for

the

securities

still

held

at

December

31,

2019

.

$

96,969

$

(457,551)

$

(580)

$

593,216

$

23,252

$

662,480

$

(155,167)

$

–

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.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

COMMON

STOCKS

CORPORATE

BONDS

CONVERTIBLE

BONDS

Balance

as

of

December

31,

2018

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

$

428,775

$

242,059

$

185,300

Accrued

discounts/(premiums)

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

–

–

–

Realized

gain/(loss)

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

–

–

–

Change

in

unrealized

appreciation/(depreciation)

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

481,181

(10,965)

(8,394)

Purchases

1

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

3,411,659

–

–

Sales

2

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

–

–

–

Transfers

into

Level

3

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

–

–

–

Transfers

out

of

Level

3

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

–

–

–

Balance

as

of

December

31,

2019

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

$

4,321,615

$

231,094

$

176,906

Change

in

Unrealized

appreciation/(depreciation)

for

the

securities

still

held

at

December

31,

2019

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

$

481,181

$

(10,965)

$

(8,394)

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.

316

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

table

summarizes

the

quantitative

inputs

and

assumptions

used

in

the

valuation

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

year

ended December

31,

2019

for

the

AQR

Diversified

Arbitrage

Fund

and

AQR

Multi-Strategy

Alternative

Fund:

Quantitative

Information

about

Level

3

Fair

Value

Measurements*

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

*

The

table

above

does

not

include

Level

3

securities

that

are

valued

by

pricing

vendors

or

brokers.

At

December

31,

2019,

the

value

of

these

securities

for

the

AQR

Diversified

Arbitrage

Fund

was

$7,534,273.

The

inputs

for

these

securities

are

not

readily

available

or

cannot

be

reasonably

estimated

and

are

generally

those

inputs

described

in

Note

5.

The

appropriateness

of

fair

values

for

these

securities

is

monitored

on

an

ongoing

basis

which

may

include

results

of

back

testing,

results

of

pricing

vendor

and/or

broker

due

diligence,

unchanged

price

review

and

consideration

of

macro

or

security

specific

events

**

Represents

amounts

used

when

the

reporting

entity

has

determined

that

market

participants

would

take

into

account

discounts,

as

applicable,

when

pricing

the

investments.

***

The

weighted

averages

disclosed

in

the

table

above

were

weighted

by

relative

fair

value.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

of AQR

Multi-

Asset

Fund

and

AQR

Style

Premia

Alternative

Fund

which

are

considered

quantitatively

insignificant

for

additional

disclosure. 

INVESTMENT

TYPE

TOTAL

FAIR

VALUE

VALUATION

METHODOLOGY

UNOBSERVABLE

INPUT(S)

INPUT

VALUE/

RANGE

WEIGHTED

AVERAGE***

Common

Stocks

$1,179,795

Enterprise

Value

Waterfall

Analysis

Discount

for

Lack

of

Marketability**

22.10%-50.10%

25.57%

EBITDA

Multiple

5.75x

to

6.75x

N/A

$1,299,934

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability**

5.30%-35.00%

14.28%

Discount

Rate

6.00%

N/A

Equity

Cost

of

Capital

47.50%

N/A

Legal

Fees

(%

of

potential

proceeds)

-7.50%

N/A

Scenario

Probability

5.00%-90.00%

33.33%

Term

0.05

to

3.00

years

N/A

Corporate

Bonds

$162,150

Liquidation

Analysis

Discount

for

Lack

of

Marketability

**

7.50%

N/A

Discount

Rate

16.93%

N/A

Term

1.03

years

N/A

Preferred

Stocks

$593,216

Enterprise

Value

Waterfall

Analysis

Dividend

Rate

9.00%

N/A

Equity

Cost

of

Capital

14.20%

N/A

Term

10.00

years

N/A

Rights

$191,830

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability

**

16.07%-37.50%

23.76%

Equity

Cost

of

Capital

20.00%

N/A

Weighted

Average

Cost

of

Capital

32.00%

N/A

Scenario

Probability

0.00%-70.00%

45.20%

Securities

in

Litigation

$224,496

Liquidation

Analysis

Discount

for

Lack

of

Marketability

**

30.00%

N/A

Discount

Rate

6.00%

N/A

Future

Fundings

as

%

of

Expected

Proceeds

41.30%

N/A

Term

2.10

years

N/A

INVESTMENT

TYPE

TOTAL

FAIR

VALUE

VALUATION

METHODOLOGY

UNOBSERVABLE

INPUT(S)

INPUT

VALUE/

RANGE

WEIGHTED

AVERAGE***

Common

Stocks

$4,321,615

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability

**

5.30%-35.00%

9.37%

Discount

Rate

6.00%

N/A

Term

0.05

to

1.13

years

N/A

317

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Federal

Income

Tax

Matters

At

December

31,

2019,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals,

and

differences

in

the

tax

treatment

of

passive

foreign

investment

companies

(“PFIC”),

investments

in

partnerships,

convertible

securities,

contingent

payment

debt

instruments

(“CPDI”)

and

certain

forward

foreign

currency,

swap,

option, and

futures

contracts. 

As

of

December

31,

2019,

the

components

of

net

assets

(excluding

paid-in

capital)

on

a

tax

basis

were

as

follows:

The

differences

between

book

basis

and

tax

basis

components

of

net

assets

are

primarily

attributable

to

wash

sale

loss

deferrals

and

other

book

and

tax

differences

including,

mark

to

market

on

PFICs,

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

and

options

contracts,

mark

to

market

and

income

on

certain

swaps,

certain

late

year

loss

deferrals,

straddle

loss

deferrals,

loss

deferrals

on

unsettled

short

sales,

gain/(loss)

recognition

on

constructive

sales,

investments

in

partnerships,

investments

in

inflation

protected

securities,

deemed

dividends

from

convertible

securities,

Cayman

subsidiary

taxable

income,

CPDI

accrued

income,

capital

loss

carryforwards

and

finance

charges

on

equity

swaps. 

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

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

$

139,558,761

$

86,767,541

$

(21,558,859)

$

65,208,682

AQR

Diversified

Arbitrage

Fund

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

511,869,810

74,554,894

(96,885,514)

(22,330,620)

AQR

Equity

Market

Neutral

Fund

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

242,155,144

36,743,978

(22,234,886)

14,509,092

AQR

Global

Macro

Fund

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

24,379,039

2,374,533

(2,033,939)

340,594

AQR

Long-Short

Equity

Fund

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

861,345,134

18,537,318

(19,662,698)

(1,125,380)

AQR

Multi-Asset

Fund

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

122,048,194

17,876,009

(8,596,589)

9,279,420

AQR

Multi-Strategy

Alternative

Fund

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

297,459,592

48,792,539

(76,265,042)

(27,472,503)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

244,637,982

24,310,641

(10,698,966)

13,611,675

AQR

Risk

Parity

II

HV

Fund

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

29,436,014

1,762,269

(867,762)

894,507

AQR

Risk

Parity

II

MV

Fund

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

104,539,372

4,012,383

(2,096,431)

1,915,952

AQR

Style

Premia

Alternative

Fund

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

1,395,387,031

492,141,266

(335,077,216)

157,064,050

AQR

Style

Premia

Alternative

LV

Fund

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

235,905,956

18,573,290

(15,886,379)

2,686,911

AQR

Volatility

Risk

Premium

Fund

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

10,195,426

1,068,361

(28,753)

1,039,608

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Alternative

Risk

Premia

Fund

$

2,336,595

$

(77,375,937)

$

64,493,543

$

(10,494,826)

$

(1,681)

$

(21,042,306)

AQR

Diversified

Arbitrage

Fund

..

2,207,748

(293,651,637)

(31,629,557)

—

(13,872)

(323,087,318)

AQR

Equity

Market

Neutral

Fund

—

4,899,885

12,941,266

(3,833,709)

—

14,007,442

AQR

Global

Macro

Fund

.......

—

—

265,400

(24,603)

54,391

295,188

AQR

Long-Short

Equity

Fund

...

—

5,778,420

(1,747,455)

(24,940,601)

(3,794)

(20,913,430)

AQR

Multi-Asset

Fund

........

857,962

(6,532,999)

8,729,229

(1,769,922)

1,129,839

2,414,109

AQR

Multi-Strategy

Alternative

Fund

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

—

(333,716,320)

(33,671,434)

(75,502,545)

644,350

(442,245,949)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

—

(20,760)

11,274,858

—

6,332,810

17,586,908

AQR

Risk

Parity

II

HV

Fund

....

752,013

220,224

768,389

(534,630)

285,853

1,491,849

AQR

Risk

Parity

II

MV

Fund

....

1,636,745

490,236

1,510,707

(1,143,612)

692,811

3,186,887

AQR

Style

Premia

Alternative

Fund

—

(601,236,381)

143,848,811

(64,793,106)

(310,687)

(522,491,363)

AQR

Style

Premia

Alternative

LV

Fund

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

—

(15,469,235)

1,877,958

(3,505,629)

44,407

(17,052,499)

AQR

Volatility

Risk

Premium

Fund

603

(498,714)

1,040,417

(23,449)

—

518,857

318

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

As

of

December

31,

2019,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

certain

non-deductible

expenses,

net

operating

losses,

and

income

from

investments

in

the

Cayman

subsidiary.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications. 

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends December

31,

2019

and

December

31,

2018 were

as

follows:

During

the

year

ended

December

31,

2019,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Alternative

Risk

Premia

Fund

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

$

33,183

$

(33,183)

AQR

Diversified

Arbitrage

Fund

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

116,115

(116,115)

AQR

Equity

Market

Neutral

Fund

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

77,333,700

(77,333,700)

AQR

Global

Macro

Fund

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

1,422,012

(1,422,012)

AQR

Long-Short

Equity

Fund

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

193,235,165

(193,235,165)

AQR

Multi-Asset

Fund

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

85,651

(85,651)

AQR

Multi-Strategy

Alternative

Fund

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

9,269,273

(9,269,273)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

53,291

(53,291)

AQR

Risk

Parity

II

HV

Fund

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

4,295

(4,295)

AQR

Risk

Parity

II

MV

Fund

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

6,768

(6,768)

AQR

Style

Premia

Alternative

Fund

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

194,001,645

(194,001,645)

AQR

Style

Premia

Alternative

LV

Fund

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

4,837,588

(4,837,588)

AQR

Volatility

Risk

Premium

Fund

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

54,413

(54,413)

DECEMBER

31,

2019

DECEMBER

31,

2018

FUND

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

AQR

Alternative

Risk

Premia

Fund

...........

$

2,000,121

$

—

$

—

$

291,560

$

—

$

—

AQR

Diversified

Arbitrage

Fund

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

11,000,163

—

—

26,357,232

—

—

AQR

Equity

Market

Neutral

Fund

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

—

9,829,531

—

5,574,441

—

—

AQR

Global

Macro

Fund

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

14,421

—

—

1,253,455

1,131,755

—

AQR

Long-Short

Equity

Fund

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

—

—

—

54,755,443

76,674,221

—

AQR

Multi-Asset

Fund

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

8,800,021

—

—

14,018,673

3,693,125

—

AQR

Risk-Balanced

Commodities

Strategy

Fund

.

13,379,807

—

4,864

1,899,991

—

—

AQR

Risk

Parity

II

HV

Fund

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

1,892,616

1,589,181

—

1,872,155

220,319

—

AQR

Risk

Parity

II

MV

Fund

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

5,964,937

4,788,628

—

1,492,536

169,454

—

AQR

Style

Premia

Alternative

Fund

...........

33,768,607

—

1,721

34,654,620

—

—

AQR

Style

Premia

Alternative

LV

Fund

........

239,204

—

33,770

460,049

—

—

AQR

Volatility

Risk

Premium

Fund

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

237,996

—

—

30,009

—

—

FUND

SHORT-TERM

LONG-TERM

AQR

Diversified

Arbitrage

Fund

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

$

3,157,775

$

–

AQR

Equity

Market

Neutral

Fund

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

35,310,741

–

AQR

Long-Short

Equity

Fund

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

128,961,648

–

AQR

Multi-Asset

Fund

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

7,447,284

7,613,461

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

1,306

–

AQR

Risk

Parity

II

HV

Fund

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

1,539,268

938,138

AQR

Risk

Parity

II

MV

Fund

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

1,656,137

959,189

319

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

As

of

December

31,

2019,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations:

Investment

Transactions

During

the year

ended

December

31,

2019,

the

cost

of

purchases

and

the

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments)

were

as

follows:

During

the year

ended

December

31,

2019,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations

as

follows:

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts,

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

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

$

73,449,991

$

3,925,946

AQR

Diversified

Arbitrage

Fund

....................................................

53,923,051

239,728,586

AQR

Multi-Asset

Fund

..........................................................

1,899,287

4,633,712

AQR

Multi-Strategy

Alternative

Fund

................................................

116,570,058

217,146,262

AQR

Risk-Balanced

Commodities

Strategy

Fund

.......................................

20,760

—

AQR

Style

Premia

Alternative

Fund

.................................................

524,786,902

76,449,479

AQR

Style

Premia

Alternative

LV

Fund

..............................................

13,456,981

2,012,254

AQR

Volatility

Risk

Premium

Fund

..................................................

498,714

—

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

..........................

$

245,838,652

$

383,809,222

$

276,741,142

$

434,534,697

AQR

Diversified

Arbitrage

Fund

.............................

1,074,729,381

995,719,355

507,239,944

481,579,734

AQR

Equity

Market

Neutral

Fund

...........................

232,611,812

505,090,993

182,086,876

411,886,992

AQR

Long-Short

Equity

Fund

..............................

790,661,657

1,959,318,588

672,757,634

1,472,249,273

AQR

Multi-Asset

Fund

...................................

284,145,263

300,391,053

58,629,689

44,281,973

AQR

Multi-Strategy

Alternative

Fund

.........................

176,470,584

559,392,153

190,243,547

513,296,086

AQR

Risk

Parity

II

HV

Fund

...............................

28,205,988

21,233,585

—

—

AQR

Risk

Parity

II

MV

Fund

...............................

81,871,025

60,749,747

—

—

AQR

Style

Premia

Alternative

Fund

..........................

1,076,385,016

1,668,084,767

975,315,122

1,507,194,077

AQR

Style

Premia

Alternative

LV

Fund

.......................

41,377,134

73,526,260

40,162,439

75,043,091

AQR

Volatility

Risk

Premium

Fund

...........................

5,892,184

5,816,268

—

—

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Diversified

Arbitrage

Fund

.............................

$

7,757,713

$

6,369,727

$

236,486,643

$

235,068,166

AQR

Multi-Asset

Fund

...................................

69,511,434

115,575,336

—

—

AQR

Risk

Parity

II

HV

Fund

...............................

22,205,463

15,705,684

—

—

AQR

Risk

Parity

II

MV

Fund

...............................

63,125,855

46,758,551

—

—

320

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

December

31,

2019.

ASSETS

LIABILITIES

FUND

UNREALIZED

APPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

APPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

UNREALIZED

DEPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

DEPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

AT

MARKET

VALUE

Equity

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

$

267,317

$

437,597

$

–

$

1,696,520

$

178,003

$

–

$

816,979

AQR

Diversified

Arbitrage

Fund

.

–

3,389,969

–

419,620

21,057,381

–

–

AQR

Equity

Market

Neutral

Fund

–

1,182,026

–

–

21,864,764

–

–

AQR

Global

Macro

Fund

......

84,753

168,176

–

132,612

15,529

–

–

AQR

Long-Short

Equity

Fund

..

6,088,219

403,654

–

582,784

116,174,150

–

–

AQR

Multi-Asset

Fund

.......

325,171

18,920

–

86,507

–

–

–

AQR

Multi-Strategy

Alternative

Fund

.....................

1,197,335

1,882,923

–

1,759,145

29,323,843

–

483,507

AQR

Risk

Parity

II

HV

Fund

...

336,559

80,710

–

43,367

1,343

–

–

AQR

Risk

Parity

II

MV

Fund

...

755,295

186,838

–

97,709

2,628

–

–

AQR

Style

Premia

Alternative

Fund

.....................

4,374,078

23,481,574

–

22,873,365

118,070,494

–

–

AQR

Style

Premia

Alternative

LV

Fund

.....................

228,350

2,288,229

–

1,169,838

1,413,729

–

–

AQR

Volatility

Risk

Premium

Fund

2,773

–

–

11,155

–

–

45,364

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

–

–

7,205,728

–

–

7,302,306

–

AQR

Diversified

Arbitrage

Fund

.

–

–

97,560

–

–

201,737

–

AQR

Equity

Market

Neutral

Fund

–

–

72,423

–

–

657,420

–

AQR

Global

Macro

Fund

......

–

–

616,559

–

–

752,667

–

AQR

Long-Short

Equity

Fund

..

–

–

3,442,880

–

–

971,786

–

AQR

Multi-Asset

Fund

.......

–

–

2,797,393

–

–

2,593,414

–

AQR

Multi-Strategy

Alternative

Fund

.....................

–

–

9,176,878

–

–

10,405,220

–

AQR

Risk

Parity

II

HV

Fund

...

–

–

2,202

–

–

97,108

–

AQR

Risk

Parity

II

MV

Fund

...

–

–

2,202

–

–

230,535

–

AQR

Style

Premia

Alternative

Fund

.....................

–

–

38,379,983

–

–

40,123,672

–

AQR

Style

Premia

Alternative

LV

Fund

.....................

–

–

2,027,549

–

–

2,299,256

–

Interest

Rate

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

1,948,519

673,778

–

3,191,019

–

–

–

AQR

Diversified

Arbitrage

Fund

.

154,953

2,788,689

–

–

2,156,940

–

–

AQR

Global

Macro

Fund

......

155,628

1,463,292

–

202,297

1,145,270

–

–

AQR

Multi-Asset

Fund

.......

130,879

3,772

–

1,654,691

–

–

–

AQR

Multi-Strategy

Alternative

Fund

.....................

1,721,320

148,435

–

1,203,538

53,704

–

–

AQR

Risk

Parity

II

HV

Fund

...

–

–

–

603,507

–

–

–

AQR

Risk

Parity

II

MV

Fund

...

–

–

–

1,331,662

9,692

–

–

AQR

Style

Premia

Alternative

Fund

.....................

31,409,540

5,399,587

–

48,631,672

–

–

–

AQR

Style

Premia

Alternative

LV

Fund

.....................

1,385,022

255,512

–

2,265,789

–

–

–

Credit

Risk

Exposure:

AQR

Diversified

Arbitrage

Fund

.

–

–

–

–

1,503,142

–

–

AQR

Multi-Strategy

Alternative

Fund

.....................

–

–

–

–

2,276,231

–

–

Commodity

Risk

Exposure:

AQR

Global

Macro

Fund

......

246,805

2,916

–

291,045

75,045

–

–

AQR

Multi-Asset

Fund

.......

1,864,022

398,382

–

786,252

360,231

–

–

AQR

Multi-Strategy

Alternative

Fund

.....................

1,670,499

117,958

–

735,394

266,205

–

–

321

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the year

ended

December

31,

2019:

FUND

UNREALIZED

APPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

APPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

UNREALIZED

DEPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

DEPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

AT

MARKET

VALUE

AQR

Risk-Balanced

Commodities

Strategy

Fund

..............

20,611,075

4,971,897

–

9,359,997

812,009

–

–

AQR

Risk

Parity

II

HV

Fund

...

773,240

5,025

–

219,180

–

–

–

AQR

Risk

Parity

II

MV

Fund

...

1,629,800

283,177

–

430,867

235,003

–

–

AQR

Style

Premia

Alternative

Fund

.....................

8,832,979

4,685,402

–

16,916,917

1,330,713

–

–

AQR

Style

Premia

Alternative

LV

Fund

.....................

441,330

228,244

–

874,347

116,049

–

–

Net

Fair

Value

of

Derivative

Contracts:

AQR

Alternative

Risk

Premia

Fund

–

933,372

–

2,671,703

–

96,578

816,979

AQR

Diversified

Arbitrage

Fund

.

–

–

–

264,667

18,538,805

104,177

–

AQR

Equity

Market

Neutral

Fund

–

–

–

–

20,682,738

584,997

–

AQR

Global

Macro

Fund

......

–

398,540

–

138,768

–

136,108

–

AQR

Long-Short

Equity

Fund

..

5,505,435

–

2,471,094

–

115,770,496

–

–

AQR

Multi-Asset

Fund

.......

–

60,843

203,979

207,378

–

–

–

AQR

Multi-Strategy

Alternative

Fund

.....................

891,077

–

–

–

29,770,667

1,228,342

483,507

AQR

Risk-Balanced

Commodities

Strategy

Fund

..............

11,251,078

4,159,888

–

–

–

–

–

AQR

Risk

Parity

II

HV

Fund

...

243,745

84,392

–

–

–

94,906

–

AQR

Risk

Parity

II

MV

Fund

...

524,857

222,692

–

–

–

228,333

–

AQR

Style

Premia

Alternative

Fund

.....................

–

–

–

43,805,357

85,834,644

1,743,689

–

AQR

Style

Premia

Alternative

LV

Fund

.....................

–

1,242,207

–

2,255,272

–

271,707

–

AQR

Volatility

Risk

Premium

Fund

–

–

–

8,382

–

–

45,364

*

Includes

cumulative

appreciation/(depreciation)

on

futures

contracts,

if

any,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

**

Includes

the

fair

value

of

centrally

cleared

swap

contracts

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

.

REALIZED

GAIN

(LOSS)

ON

DERIVATIVES

RECOGNIZED

AS

A

RESULT

FROM

OPERATIONS

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

ON

DERIVATIVES

RECOGNIZED

AS

A  RESULT

FROM

OPERATIONS

FUND

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

OPTIONS

PURCHASED

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

Equity

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

.....

$

(833,815)

$

3,026,690

$

–

$

3,687,996

$

–

$

(4,200,406)

$

1,133,472

$

–

$

224,682

AQR

Diversified

Arbitrage

Fund

.....

(7,075,997)

16,427,245

–

–

(10,762)

(2,339,237)

(14,529,684)

–

–

322

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

FUND

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

OPTIONS

PURCHASED

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

AQR

Equity

Market

Neutral

Fund

2,004,888

(82,624,956)

–

–

–

–

(6,146,928)

–

–

AQR

Global

Macro

Fund

701,972

298,902

–

–

–

(212,714)

107,102

–

–

AQR

Long-

Short

Equity

Fund

.....

149,777,304

(173,732,316)

–

–

–

45,050,531

(29,989,264)

–

–

AQR

Multi-

Asset

Fund

5,539,751

1,049,849

–

–

–

1,835,372

17,897

–

–

AQR

Multi-

Strategy

Alternative

Fund

.....

(22,442,606)

(98,364,385)

–

2,497,155

–

(5,531,746)

(1,059,796)

–

192,027

AQR

Risk

Parity

II

HV

Fund

.....

3,113,214

513,728

–

–

–

637,904

80,042

–

–

AQR

Risk

Parity

II

MV

Fund

.....

6,416,412

917,786

–

–

–

1,322,677

183,272

–

–

AQR

Style

Premia

Alternative

Fund

.....

27,514,070

(37,769,314)

–

–

–

(40,154,234)

(216,973,585)

–

–

AQR

Style

Premia

Alternative

LV

Fund

..

456,226

(9,609,664)

–

–

–

(1,894,929)

(3,260,517)

–

–

AQR

Volatility

Risk

Premium

Fund

.....

(338,379)

–

–

449,602

–

(41,986)

–

–

29,189

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

.....

–

–

183,958

–

–

–

–

4,797,563

–

AQR

Diversified

Arbitrage

Fund

.....

–

–

116,061

–

–

–

–

(189,473)

–

AQR

Equity

Market

Neutral

Fund

–

–

4,048,847

–

–

–

–

(249,830)

–

AQR

Global

Macro

Fund

–

–

(310,725)

–

–

–

–

794,225

–

AQR

Long-

Short

Equity

Fund

.....

–

–

(5,720,598)

–

–

–

–

1,384,485

–

AQR

Multi-

Asset

Fund

–

–

3,287,174

–

–

–

–

(146,516)

–

AQR

Multi-

Strategy

Alternative

Fund

.....

–

–

13,664,084

–

–

–

–

14,057,221

–

323

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

FUND

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

OPTIONS

PURCHASED

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

AQR

Risk

Parity

II

HV

Fund

.....

–

–

283,884

–

–

–

–

(92,187)

–

AQR

Risk

Parity

II

MV

Fund

.....

–

–

682,984

–

–

–

–

(215,786)

–

AQR

Style

Premia

Alternative

Fund

.....

–

–

40,378,868

–

–

–

–

44,353,411

–

AQR

Style

Premia

Alternative

LV

Fund

..

–

–

2,797,724

–

–

–

–

2,799,142

–

Interest

Rate

Risk

Exposure:

AQR

Alternative

Risk

Premia

Fund

.....

14,281,240

(206,694)

–

(184,687)

–

(1,287,660)

673,778

–

201,325

AQR

Diversified

Arbitrage

Fund

.....

(2,243,740)

(733,722)

–

–

–

1,487,306

8,062,546

–

–

AQR

Global

Macro

Fund

(123,245)

(613,135)

–

–

–

277,455

662,642

–

–

AQR

Multi-

Asset

Fund

14,570,306

2,038,007

–

–

–

(5,808,984)

(1,827,333)

–

–

AQR

Multi-

Strategy

Alternative

Fund

.....

7,596,077

(2,185,465)

–

(51,170)

–

7,750,914

6,2

69

,

407

–

125,251

AQR

Risk

Parity

II

HV

Fund

.....

3,171,574

–

–

–

–

(1,387,066)

–

–

–

AQR

Risk

Parity

II

MV

Fund

.....

6,598,830

1,716

–

–

–

(2,720,471)

(9,692)

–

–

AQR

Style

Premia

Alternative

Fund

.....

52,675,465

(1,245,028)

–

–

–

(5,240,695)

5,399,587

–

–

AQR

Style

Premia

Alternative

LV

Fund

..

3,593,614

(61,653)

–

–

–

(109,006)

255,512

–

–

AQR

Volatility

Risk

Premium

Fund

.....

30,204

–

–

(72,738)

–

(35,215)

–

–

26,792

Credit

Risk

Exposure:

AQR

Diversified

Arbitrage

Fund

.....

–

(867,123)

–

–

–

–

(1,079,824)

–

–

AQR

Multi-

Asset

Fund

–

(1,553,333)

–

–

–

–

4,109,711

–

–

324

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

FUND

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

OPTIONS

PURCHASED

FUTURES

AND

FUTURES-

STYLE

OPTIONS

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

WRITTEN

OPTIONS

AQR

Multi-

Strategy

Alternative

Fund

.....

–

(3,434,997)

–

–

–

–

(3,606,267)

–

–

Commodity

Risk

Exposure:

AQR

Global

Macro

Fund

256,281

(14,668)

–

–

–

(320,209)

(103,640)

–

–

AQR

Multi-

Asset

Fund

1,108,739

(463,072)

–

–

–

3,385,277

210,932

–

–

AQR

Multi-

Strategy

Alternative

Fund

.....

(4,278,382)

(2,310,940)

–

–

–

(3,201,421)

(742,047)

–

–

AQR

Risk-

Balanced

Commodities

Strategy

Fund

.....

18,869,122

(5,626,173)

–

–

–

22,265,452

4,704,335

–

–

AQR

Risk

Parity

II

HV

Fund

.....

436,023

17,087

–

–

–

1,025,724

(12,061)

–

–

AQR

Risk

Parity

II

MV

Fund

.....

1,075,945

(232,405)

–

–

–

1,919,555

110,403

–

–

AQR

Style

Premia

Alternative

Fund

.....

(29,618,286)

(6,065,683)

–

–

–

6,448,758

4,203,697

–

–

AQR

Style

Premia

Alternative

LV

Fund

..

(1,373,637)

(186,738)

–

–

–

656,369

153,686

–

–

325

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

tables

present

the

Funds’

gross

OTC

derivative,

repurchase

agreements

and

reverse

repurchase

agreements

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

December

31,

2019:

AQR

Alternative

Risk

Premia

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$160,073

and

total

additional

collateral

pledged

was

$10,923,022.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

959,203

$

(171,628)

$

787,575

$

–

$

(520,000)

$

267,575

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

3,602,973

(3,602,973)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,602,755

(3,602,755)

–

JPMC

..........

Total

Return

Swap

Contracts

22,245

(6,375)

15,870

Total

JPMC

3,625,000

(3,609,130)

15,870

–

–

15,870

MSCS

..........

Total

Return

Swap

Contracts

129,927

–

129,927

–

(129,927)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

8,317,103

(7,383,731)

933,372

–

(649,927)

283,445

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

171,628

$

(171,628)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

3,651,046

(3,602,973)

48,073

–

(48,073)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,651,260

(3,602,755)

48,505

JPMC

..........

Total

Return

Swap

Contracts

6,375

(6,375)

–

Total

JPMC

3,657,635

(3,609,130)

48,505

–

(48,505)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,480,309

(7,383,731)

96,578

–

(96,578)

–

326

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Diversified

Arbitrage

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

95,500

$

(95,500)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

3,509,131

(1,013,002)

2,496,129

–

–

2,496,129

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,060

(2,060)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,606,691

(1,110,562)

2,496,129

–

–

2,496,129

327

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

54,852,831.

AQR

Equity

Market

Neutral

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

6,267,212

$

–

$

6,267,212

$

–

$

(6,267,212)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

120,404

(95,500)

24,904

–

–

24,904

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,013,002

(1,013,002)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

81,333

(2,060)

79,273

JPMC

..........

Total

Return

Basket

Swap

Contracts

13,264,580

–

13,264,580

Total

JPMC

13,345,913

(2,060)

13,343,853

–

(13,343,853)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

20,746,531

(1,110,562)

19,635,969

–

(19,611,065)

24,904

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

36,216

$

(36,216)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

36,207

(36,207)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,182,026

(1,182,026)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,254,449

(1,254,449)

–

–

–

–

328

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

51,707,413.

AQR

Global

Macro

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

328,695

$

(36,216)

$

292,479

$

–

$

(292,479)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

328,725

(36,207)

292,518

–

(292,518)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

21,864,764

(1,182,026)

20,682,738

(20,682,738)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

22,522,184

(1,254,449)

21,267,735

(20,682,738)

(584,997)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

43,372

$

–

$

43,372

$

–

$

–

$

43,372

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

308,288

(308,288)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

62,392

(14,936)

47,456

–

(47,456)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

308,271

(308,271)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

105,784

(78)

105,706

–

(105,706)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

828,107

(631,573)

196,534

–

(153,162)

43,372

329

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$56,838

and

total

additional

collateral

pledged

was

$485,610.

AQR

Global

Macro

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

376,322

$

(308,288)

$

68,034

$

–

$

(68,034)

$

–

GSIN

..........

Total

Return

Swap

Contracts

14,936

(14,936)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

376,345

(308,271)

68,074

JPMC

..........

Total

Return

Swap

Contracts

515

–

515

Total

JPMC

376,860

(308,271)

68,589

–

(68,589)

–

MLIN

..........

Total

Return

Swap

Contracts

78

(78)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

768,196

(631,573)

136,623

–

(136,623)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

NET

AMOUNT

SOCG

.........

Total

Return

Swap

Contracts

$

2,916

$

(2,916)

$

–

$

–

$

–

$

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,916

(2,916)

–

–

–

–

330

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Long-Short

Equity

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

23,226

$

–

$

23,226

$

–

$

–

$

23,226

GSIN

..........

Total

Return

Swap

Contracts

8,741

–

8,741

–

–

8,741

MACQ

.........

Total

Return

Swap

Contracts

1,363

–

1,363

–

–

1,363

SOCG

.........

Total

Return

Swap

Contracts

41,715

(2,916)

38,799

–

–

38,799

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

75,045

(2,916)

72,129

–

–

72,129

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,721,511

$

(485,863)

$

1,235,648

$

–

$

(920,000)

$

315,648

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,721,369

(485,923)

1,235,446

JPMC

..........

Total

Return

Swap

Contracts

395,715

(6,159)

389,556

Total

JPMC

2,117,084

(492,082)

1,625,002

–

–

1,625,002

MSIP

..........

Total

Return

Basket

Swap

Contracts

7,939

(7,939)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,846,534

(985,884)

2,860,650

–

(920,000)

1,940,650

331

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

263,844,874.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

1,610,155

$

–

$

1,610,155

$

–

$

(1,420,000)

$

190,155

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

485,863

(485,863)

–

–

–

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

64,998,606

–

64,998,606

–

(64,998,606)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

18,487,597

–

18,487,597

(18,487,597)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

485,923

(485,923)

–

JPMC

..........

Total

Return

Swap

Contracts

6,159

(6,159)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

7,504,808

–

7,504,808

Total

JPMC

7,996,890

(492,082)

7,504,808

–

(7,504,808)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

23,566,825

(7,939)

23,558,886

(23,558,886)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

117,145,936

(985,884)

116,160,052

(42,046,483)

(73,923,414)

190,155

332

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Multi-Asset

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

the

counterparty.

Total

additional

collateral

received

was

$

87,925

and

total

additional

collateral

pledged

was

$

5,423,481.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

3,772

$

–

$

3,772

$

–

$

–

$

3,772

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,398,739

(1,296,664)

102,075

–

(102,075)

–

GSCO

.........

Repurchase

Agreements

1,515,558

(1,515,558)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,398,654

(1,296,750)

101,904

JPMC

..........

Total

Return

Swap

Contracts

10,909

–

10,909

Total

JPMC

1,409,563

(1,296,750)

112,813

–

–

112,813

JPMS

..........

Repurchase

Agreements

2,008,536

(2,008,536)

–

–

–

–

MPFS

..........

Repurchase

Agreements

1,260,575

(1,247,641)

12,934

–

–

12,934

MSCS

..........

Total

Return

Swap

Contracts

8,011

–

8,011

–

–

8,011

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,604,754

(7,365,149)

239,605

–

(102,075)

137,530

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,296,664

$

(1,296,664)

$

–

$

–

$

–

$

–

GSCO

.........

Reverse

Repurchase

Agreements

8,169,337

(1,515,558)

6,653,779

(6,653,779)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,296,750

(1,296,750)

–

–

–

–

JPMS

..........

Reverse

Repurchase

Agreements

2,392,947

(2,008,536)

384,411

(384,411)

–

–

MPFS

..........

Reverse

Repurchase

Agreements

1,247,641

(1,247,641)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

14,403,339

(7,365,149)

7,038,190

(7,038,190)

–

–

333

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Multi-Asset

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

461,632.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

68,173

$

(68,173)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

47,265

(47,265)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

8,075

(2,885)

5,190

–

–

5,190

SOCG

.........

Total

Return

Swap

Contracts

274,869

(128,850)

146,019

–

–

146,019

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

398,382

(247,173)

151,209

–

–

151,209

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

82,405

$

(68,173)

$

14,232

$

–

$

(14,232)

$

–

GSIN

..........

Total

Return

Swap

Contracts

146,091

(47,265)

98,826

–

(98,826)

–

MLIN

..........

Total

Return

Swap

Contracts

2,885

(2,885)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

128,850

(128,850)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

360,231

(247,173)

113,058

–

(113,058)

–

334

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Multi-Strategy

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

92,835

$

–

$

92,835

BANA  

.........

Total

Return

Basket

Swap

Contracts

61,615

(61,615)

–

Total

BANA

154,450

(61,615)

92,835

$

–

$

–

$

92,835

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

4,588,894

(4,588,894)

–

CITI

...........

Total

Return

Swap

Contracts

28,508

(28,508)

–

Total

CITI

4,617,402

(4,617,402)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

2,327

–

2,327

GSIN

..........

Total

Return

Basket

Swap

Contracts

56,678

(56,678)

–

Total

GSIN

59,005

(56,678)

2,327

–

–

2,327

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

4,587,984

(4,587,984)

–

JPMC

..........

Total

Return

Swap

Contracts

83,918

(57,373)

26,545

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,123,737

(1,123,737)

–

Total

JPMC

5,795,639

(5,769,094)

26,545

–

–

26,545

MLIN

..........

Total

Return

Swap

Contracts

24,561

–

24,561

–

–

24,561

MSCS

..........

Total

Return

Swap

Contracts

557,179

–

557,179

–

–

557,179

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

11,208,236

(10,504,789)

703,447

–

–

703,447

335

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

113,187,483.

AQR

Multi-Strategy

Alternative

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

127,066

$

(61,615)

$

65,451

$

–

$

(65,451)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

5,202,286

(4,588,894)

613,392

CITI

...........

Total

Return

Swap

Contracts

182,408

(28,508)

153,900

Total

CITI

5,384,694

(4,617,402)

767,292

–

–

767,292

DTBK

..........

Total

Return

Basket

Swap

Contracts

2,569,883

–

2,569,883

–

(2,569,883)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

5,559,530

(56,678)

5,502,852

–

(5,502,852)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

5,202,934

(4,587,984)

614,950

JPMC

..........

Total

Return

Swap

Contracts

57,373

(57,373)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

20,881,287

(1,123,737)

19,757,550

Total

JPMC

26,141,594

(5,769,094)

20,372,500

–

(20,372,500)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

39,782,767

(10,504,789)

29,277,978

–

(28,510,686)

767,292

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

87,756

$

(87,756)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

4,473

(4,473)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

18,985

(2,064)

16,921

–

–

16,921

MLIN

..........

Total

Return

Swap

Contracts

1,080

–

1,080

–

–

1,080

SOCG

.........

Total

Return

Swap

Contracts

5,664

(5,664)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

117,958

(99,957)

18,001

–

–

18,001

336

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

339,006.

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

115,769

$

(87,756)

$

28,013

$

–

$

(28,013)

$

–

GSIN

..........

Total

Return

Swap

Contracts

99,653

(4,473)

95,180

(95,180)

–

–

MACQ

.........

Total

Return

Swap

Contracts

2,064

(2,064)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

48,719

(5,664)

43,055

–

(43,055)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

266,205

(99,957)

166,248

(95,180)

(71,068)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

1,576,253

$

(475,727)

$

1,100,526

$

–

$

(860,000)

$

240,526

GSIN

..........

Total

Return

Swap

Contracts

400,642

(34,818)

365,824

–

–

365,824

MACQ

.........

Total

Return

Swap

Contracts

21,277

(21,277)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

2,973,725

(237,823)

2,735,902

–

–

2,735,902

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

4,971,897

(769,645)

4,202,252

–

(860,000)

3,342,252

337

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

5,573,987.

AQR

Risk

Parity

II

HV

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

475,727

$

(475,727)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

34,818

(34,818)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

63,641

(21,277)

42,364

(42,364)

–

–

SOCG

.........

Total

Return

Swap

Contracts

237,823

(237,823)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

812,009

(769,645)

42,364

(42,364)

–

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,101

$

(1,101)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

8,640

(129)

8,511

–

–

8,511

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,101

(1,101)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

72,070

(1,214)

70,856

–

(70,856)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

82,912

(3,545)

79,367

–

(70,856)

8,511

338

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

59,144

and

total

additional

collateral

pledged

was

$

424,260.

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

48,552

$

(1,101)

$

47,451

CITI

...........

Reverse

Repurchase

Agreements

1,638,902

–

1,638,902

Total

CITI

1,687,454

(1,101)

1,686,353

$

(1,663,963)

$

(22,390)

$

–

GSIN

..........

Total

Return

Swap

Contracts

129

(129)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

48,556

(1,101)

47,455

–

(47,455)

–

JPMS

..........

Reverse

Repurchase

Agreements

2,422,375

–

2,422,375

(2,422,375)

–

–

MLIN

..........

Total

Return

Swap

Contracts

1,214

(1,214)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

4,159,728

(3,545)

4,156,183

(4,086,338)

(69,845)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

GSIN

..........

Total

Return

Swap

Contracts

$

5,025

$

–

$

5,025

$

–

$

–

$

5,025

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

5,025

–

5,025

–

–

5,025

339

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Risk

Parity

II

MV

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

83,063

and

total

additional

collateral

pledged

was

$

683,187.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,101

$

(1,101)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

27,273

–

27,273

–

–

27,273

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,101

(1,101)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

159,565

(2,628)

156,937

–

(156,937)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

189,040

(4,830)

184,210

–

(156,937)

27,273

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

9,692

$

–

$

9,692

$

–

$

–

$

9,692

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

115,262

(1,101)

114,161

–

(114,161)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

115,273

(1,101)

114,172

–

(114,172)

–

MLIN

..........

Total

Return

Swap

Contracts

2,628

(2,628)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

242,855

(4,830)

238,025

–

(228,333)

9,692

340

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

334,702.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

56,742

$

(56,742)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

14,647

(14,647)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

14,024

(1,484)

12,540

–

–

12,540

SOCG

.........

Total

Return

Swap

Contracts

197,764

(119,927)

77,837

–

–

77,837

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

283,177

(192,800)

90,377

–

–

90,377

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

67,688

$

(56,742)

$

10,946

$

–

$

(10,946)

$

–

GSIN

..........

Total

Return

Swap

Contracts

45,904

(14,647)

31,257

(31,257)

–

–

MACQ

.........

Total

Return

Swap

Contracts

1,484

(1,484)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

119,927

(119,927)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

235,003

(192,800)

42,203

(31,257)

(10,946)

–

341

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Style

Premia

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

5,399,587

$

–

$

5,399,587

$

–

$

(4,170,000)

$

1,229,587

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

19,190,586

(19,190,586)

–

CITI

...........

Total

Return

Swap

Contracts

4,161,632

(2,808,588)

1,353,044

Total

CITI

23,352,218

(21,999,174)

1,353,044

–

–

1,353,044

GSIN

..........

Total

Return

Swap

Contracts

657,151

(261,960)

395,191

GSIN

..........

Total

Return

Basket

Swap

Contracts

6,962,307

(6,962,307)

–

Total

GSIN

7,619,458

(7,224,267)

395,191

–

–

395,191

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

19,189,397

(19,189,397)

–

JPMC

..........

Total

Return

Swap

Contracts

15,420

(15,420)

–

Total

JPMC

19,204,817

(19,204,817)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

5,443,742

(151,478)

5,292,264

–

(4,940,000)

352,264

MSIP

..........

Total

Return

Basket

Swap

Contracts

6,241,322

(6,241,322)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

67,261,144

(54,821,058)

12,440,086

–

(9,110,000)

3,330,086

342

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

389,594,623.

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

20,061,182

$

(19,190,586)

$

870,596

CITI

...........

Total

Return

Swap

Contracts

2,808,588

(2,808,588)

–

Total

CITI

22,869,770

(21,999,174)

870,596

$

–

$

(870,596)

$

–

GSIN

..........

Total

Return

Swap

Contracts

261,960

(261,960)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

76,407,699

(6,962,307)

69,445,392

Total

GSIN

76,669,659

(7,224,267)

69,445,392

–

(69,445,392)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

20,062,490

(19,189,397)

873,093

JPMC

..........

Total

Return

Swap

Contracts

54,049

(15,420)

38,629

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,224,358

–

1,224,358

Total

JPMC

21,340,897

(19,204,817)

2,136,080

–

(2,136,080)

–

MLIN

..........

Total

Return

Swap

Contracts

151,478

(151,478)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

37,162,362

(6,241,322)

30,921,040

(30,921,040)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

158,194,166

(54,821,058)

103,373,108

(30,921,040)

(72,452,068)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

3,376,748

$

(1,064,348)

$

2,312,400

$

–

$

(1,850,000)

$

462,400

GSIN

..........

Total

Return

Swap

Contracts

1,308,654

(266,365)

1,042,289

–

–

1,042,289

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

4,685,402

(1,330,713)

3,354,689

–

(1,850,000)

1,504,689

343

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

15,303,048.

AQR

Style

Premia

Alternative

LV

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

1,064,348

$

(1,064,348)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

266,365

(266,365)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,330,713

(1,330,713)

–

–

–

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

255,512

$

–

$

255,512

$

–

$

(140,000)

$

115,512

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,013,809

(1,013,809)

–

CITI

...........

Total

Return

Swap

Contracts

157,281

(157,281)

–

Total

CITI

1,171,090

(1,171,090)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

980

(980)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,809,914

(1,202,815)

607,099

Total

GSIN

1,810,894

(1,203,795)

607,099

–

(607,099)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,013,740

(1,013,740)

–

JPMC

..........

Total

Return

Swap

Contracts

4,606

–

4,606

Total

JPMC

1,018,346

(1,013,740)

4,606

–

–

4,606

MLIN

..........

Total

Return

Swap

Contracts

80,105

(1,571)

78,534

–

–

78,534

MSCS

..........

Total

Return

Swap

Contracts

235,343

(3,247)

232,096

–

(230,000)

2,096

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

4,571,290

(3,393,443)

1,177,847

–

(977,099)

200,748

344

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

322,901

and

total

additional

collateral

pledged

was

$

21,336,573.

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

1,149,589

$

(1,013,809)

$

135,780

CITI

...........

Total

Return

Swap

Contracts

190,604

(157,281)

33,323

Total

CITI

1,340,193

(1,171,090)

169,103

$

–

$

(169,103)

$

–

GSIN

..........

Total

Return

Swap

Contracts

15,492

(980)

14,512

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,202,815

(1,202,815)

–

Total

GSIN

1,218,307

(1,203,795)

14,512

(14,512)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,149,667

(1,013,740)

135,927

–

(135,927)

–

MLIN

..........

Total

Return

Swap

Contracts

1,571

(1,571)

–

–

–

–

MSCS

..........

Total

Return

Swap

Contracts

3,247

(3,247)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,712,985

(3,393,443)

319,542

(14,512)

(305,030)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

124,566

$

(100,312)

$

24,254

$

–

$

(24,254)

$

–

GSIN

..........

Total

Return

Swap

Contracts

103,678

(15,737)

87,941

–

–

87,941

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

228,244

(116,049)

112,195

–

(24,254)

87,941

345

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

75,746

and

total

additional

collateral

pledged

was

$

727,406.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

100,312

$

(100,312)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

15,737

(15,737)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

116,049

(116,049)

–

–

–

–

346

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

For

the year

ended

December

31,

2019,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

AQR

LONG-

SHORT

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

714,338,616

$

–

$

–

$

54,063,983

$

728,503,924

Average

Notional

Balance

-

Short

362,309,561

118,271,411

–

56,050,288

1,576,554

Ending

Notional

Balance

-

Long

358,066,547

–

–

37,089,030

470,513,093

Ending

Notional

Balance

-

Short

275,493,488

63,422,103

–

52,202,442

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

299,817,354

3,146,664

23,292,494

47,713,031

394,389,464

Average

Settlement

Value

-

Sold

356,154,297

10,822,406

86,277,407

49,632,075

138,987,620

Ending

Value

-

Purchased

367,806,407

6,803,095

14,340,140

28,569,044

254,677,306

Ending

Value

-

Sold

323,375,416

21,046,901

46,598,397

34,958,658

70,332,321

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

912

–

–

–

–

Ending

Number

of

Contracts

-

Written

251

–

–

–

–

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

17,200,000

–

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

15,525,000

–

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

28,542,364

–

–

4,377,392

97,821,674

Average

Notional

Balance

-

Short

2,483,666

–

–

3,644,376

–

Ending

Notional

Balance

-

Long

31,899,376

–

–

5,485,561

70,258,175

Ending

Notional

Balance

-

Short

29,901,681

–

–

3,699,962

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

154,741,821

–

Average

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

238,350,548

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

130,796,877

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

262,553,127

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

228,418,469

880,971,490

–

2,058,004,687

Average

Notional

of

Underlying

Positions

-

Short

–

70,021,998

841,829,595

–

2,024,483,178

Ending

Notional

Balance

-

Long

–

324,505,312

403,978,069

–

1,976,246,834

Ending

Notional

Balance

-

Short

–

87,513,096

390,654,114

–

1,806,376,751

347

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

*

AQR

MULTI-

ASSET

FUND

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

HV

FUND

AQR

RISK

PARITY

II

MV

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

390,166,465

$

2,694,944,442

$

498,899,447

$

94,559,060

$

206,923,237

Average

Notional

Balance

-

Short

23,968,998

1,170,727,474

155,544,051

1,985,650

4,289,116

Ending

Notional

Balance

-

Long

323,579,523

795,100,274

501,978,783

113,616,772

250,989,920

Ending

Notional

Balance

-

Short

26,394,413

826,533,504

150,034,580

1,743,508

3,811,058

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

163,233,489

958,569,986

–

8,804,653

2,310,315

Average

Settlement

Value

-

Sold

177,244,563

1,131,095,485

–

14,050,948

18,295,056

Ending

Value

-

Purchased

131,555,742

431,364,484

–

–

264,342

Ending

Value

-

Sold

140,956,276

441,518,115

–

6,746,636

15,227,531

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

–

518

–

–

–

Ending

Number

of

Contracts

-

Written

–

174

–

–

–

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

104,767,721

–

–

–

Average

Notional

Balance

-

Sell

Protection

200,780,016

20,889,258

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

38,396,012

–

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

18,412,339

41,573,858

131,338,002

4,213,665

13,678,642

Average

Notional

Balance

-

Short

7,616,857

52,443,810

48,630,566

3,230,915

2,405,850

Ending

Notional

Balance

-

Long

11,939,886

22,795,762

122,499,194

4,930,264

17,401,317

Ending

Notional

Balance

-

Short

5,534,204

9,079,496

13,834,248

–

2,870,813

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

117,782,530

–

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

–

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

1,694,536,465

–

–

–

Average

Notional

of

Underlying

Positions

-

Short

–

1,363,265,306

–

–

–

Ending

Notional

Balance

-

Long

–

836,510,584

–

–

–

Ending

Notional

Balance

-

Short

–

679,253,480

–

–

–

348

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

AQR

VOLATILITY

RISK

PREMIUM

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

24,913,905,616

$

1,435,378,400

$

1,443,329

Average

Notional

Balance

-

Short

14,927,069,057

804,648,729

1,670,624

Ending

Notional

Balance

-

Long

22,650,992,518

1,207,035,923

203,650

Ending

Notional

Balance

-

Short

14,231,587,784

687,176,094

1,354,086

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

2,486,133,117

129,354,769

–

Average

Settlement

Value

-

Sold

2,849,263,146

159,675,658

–

Ending

Value

-

Purchased

2,085,362,015

116,688,674

–

Ending

Value

-

Sold

1,848,239,973

115,554,630

–

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

–

–

95

Ending

Number

of

Contracts

-

Written

–

–

31

Total

Return

Swaps:

Average

Notional

Balance

-

Long

537,388,326

29,723,403

–

Average

Notional

Balance

-

Short

142,441,636

6,535,679

–

Ending

Notional

Balance

-

Long

628,327,056

35,385,467

–

Ending

Notional

Balance

-

Short

393,321,312

20,210,077

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

2,990,601,911

178,531,690

–

Average

Notional

of

Underlying

Positions

-

Short

2,788,427,216

154,501,627

–

Ending

Notional

Balance

-

Long

2,837,624,408

152,660,448

–

Ending

Notional

Balance

-

Short

2,634,163,485

134,151,046

–

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

349

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended

(the

“Investment

Management

Agreement”),

or

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended

(“Investment

Management

Agreement

II”),

each

entered

into

by

the

Trust,

on

behalf

of

the

Funds

(the

Investment

Management

Agreement

and

Investment

Management

Agreement

II

collectively

referred

to

herein

as

the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the

Advisory

Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

2020

for

Class

I,

N,

and

R6

shares.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

Fund

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

Prior

to

May

1,

2019,

pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

agreed

to

waive

fees

and/or

reimburse

expenses

of

each

Fund

to

the

extent

that

the

total

annual

fund

operating

expense

ratios,

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

exceeded

the

following

ratios:

FUND

RATIO

AQR

Alternative

Risk

Premia

Fund

........................................................................

1.20%

AQR

Diversified

Arbitrage

Fund

...........................................................................

1.00

AQR

Equity

Market

Neutral

Fund

.........................................................................

1.10

AQR

Global

Macro

Fund

................................................................................

1.25

AQR

Long-Short

Equity

Fund

............................................................................

1.10

AQR

Multi-Asset

Fund

.................................................................................

0.75(a)

AQR

Multi-Strategy

Alternative

Fund

.......................................................................

1.75(b)

AQR

Risk-Balanced

Commodities

Strategy

Fund

..............................................................

0.80

AQR

Risk

Parity

II

HV

Fund

.............................................................................

0.95(c)

AQR

Risk

Parity

II

MV

Fund

.............................................................................

0.75(d)

AQR

Style

Premia

Alternative

Fund

........................................................................

1.35

AQR

Style

Premia

Alternative

LV

Fund

.....................................................................

0.65

AQR

Volatility

Risk

Premium

Fund

.........................................................................

0.55

(a)

The

AQR

Multi-Asset

Fund

Advisory

Fee

is

based

on

the

following

two

tier

structure.

The

first

tier

charges

0.75%

on

the

first

$1

billion

of

net

assets

and

the

second

tier

charges

0.70%

on

net

assets

in

excess

of

$1

billion.

(b)

Effective

May

1,

2019,

the

AQR

Multi-Strategy

Alternative

Fund

Advisory

Fee

was

reduced

from

1.80%

to

1.75%.

(c)

The

AQR

Risk

Parity

II

HV

Fund

Advisory

Fee

is

based

on

the

following

three

tier

structure.

The

first

tier

charges

0.95%

of

the

first

$1

billion

of

net

assets;

the

second

tier

charges

0.925%

on

net

assets

in

excess

of

the

$1

billion,

up

to

$3

billion;

and

the

third

tier

charges

0.90%

on

net

assets

in

excess

of

$3

billion.

(d)

The

AQR

Risk

Parity

II

MV

Fund

Advisory

Fee

is

based

on

the

following

three

tier

structure.

The

first

tier

charges

0.75%

of

the

first

$1

billion

of

net

assets;

the

second

tier

charges

0.725%

on

net

assets

in

excess

of

the

$1

billion,

up

to

$3

billion;

and

the

third

tier

charges

0.70%

on

net

assets

in

excess

of

$3

billion.

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

....................................................

0.20

%

0.20

%

0.10

%

AQR

Diversified

Arbitrage

Fund

.......................................................

0.20

0.20

0.10

AQR

Equity

Market

Neutral

Fund

.....................................................

0.20

0.20

0.10

AQR

Global

Macro

Fund

............................................................

0.20

0.20

0.10

AQR

Long-Short

Equity

Fund

........................................................

0.20

0.20

0.10

AQR

Multi-Asset

Fund

.............................................................

0.20

0.20

0.10

AQR

Multi-Strategy

Alternative

Fund

...................................................

0.20

0.20

0.10

AQR

Risk-Balanced

Commodities

Strategy

Fund

..........................................

0.20

0.20

0.10

AQR

Risk

Parity

II

HV

Fund

.........................................................

0.20

0.20

0.10

AQR

Risk

Parity

II

MV

Fund

.........................................................

0.20

0.20

0.10

AQR

Style

Premia

Alternative

Fund

....................................................

0.15

0.15

0.05

AQR

Style

Premia

Alternative

LV

Fund

.................................................

0.20

0.20

0.10

AQR

Volatility

Risk

Premium

Fund

.....................................................

0.20

0.20

0.10

350

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

For

the year

ended December

31,

2019

the

Funds’

Adviser

waived

fees

and/or

reimbursed

expenses

for

each

of

the

Funds

as

follows:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

waiver/expense

reimbursement

to

the

Adviser.

A

repayment

shall

be

payable

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

waived

fees

or

reimbursed

the

applicable

Fund

for

its

operating

expenses

under

the

Expense

Limitation

Agreement.

Such

repayment

shall

be

made

only

out

of

the

class

of

the

Fund

for

which

the

applicable

fee

waiver

and/or

expense

reimbursement

was

made.

Repayments

with

respect

to

a

Fund

must

be

limited

to

amounts

that

do

not

cause

the

total

annual

operating

expenses

or

the

other

operating

expenses,

as

applicable,

attributable

to

a

share

class

of

the

Fund

during

a

year

in

which

such

repayment

is

made

to

exceed

either

of

(i)

the

applicable

limits

in

effect

at

the

time

of

the

waiver

and/or

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture.

For

the year

ended

December

31,

2019,

the

amounts

waived

and

reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at December

31,

2019

are

as

follows:

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

....................................................

1.40

%

1.65

%

1.30

%

AQR

Diversified

Arbitrage

Fund

.......................................................

1.20

1.45

1.10

AQR

Equity

Market

Neutral

Fund

.....................................................

1.30

1.55

1.20

AQR

Global

Macro

Fund

............................................................

1.45

1.70

1.35

AQR

Long-Short

Equity

Fund

........................................................

1.30

1.55

1.20

AQR

Multi-Asset

Fund

.............................................................

0.95

1.20

0.85

AQR

Multi-Strategy

Alternative

Fund

...................................................

1.98

2.23

1.88

AQR

Risk-Balanced

Commodities

Strategy

Fund

..........................................

1.00

1.25

0.90

AQR

Risk

Parity

II

HV

Fund

.........................................................

1.15

1.40

1.05

AQR

Risk

Parity

II

MV

Fund

.........................................................

0.95

1.20

0.85

AQR

Style

Premia

Alternative

Fund

....................................................

1.50

1.75

1.40

AQR

Style

Premia

Alternative

LV

Fund

.................................................

0.85

1.10

0.75

AQR

Volatility

Risk

Premium

Fund

.....................................................

0.75

1.00

0.65

FUND

INVESTMENT

ADVISORY

FEES

WAIVED

EXPENSE

REIMBURSEMENTS

TOTAL

AQR

Alternative

Risk

Premia

Fund

......................................

$

35,163

$

150,813

$

185,976

AQR

Diversified

Arbitrage

Fund

.........................................

100,261

287,024

387,285

AQR

Equity

Market

Neutral

Fund

.......................................

–

103,475

103,475

AQR

Global

Macro

Fund

..............................................

69,001

155,340

224,341

AQR

Multi-Asset

Fund

...............................................

75,712

177,920

253,632

AQR

Multi-Strategy

Alternative

Fund

.....................................

68,904

179,882

248,786

AQR

Risk-Balanced

Commodities

Strategy

Fund

............................

58,661

118,595

177,256

AQR

Risk

Parity

II

HV

Fund

...........................................

71,680

148,109

219,789

AQR

Risk

Parity

II

MV

Fund

...........................................

57,975

128,865

186,840

AQR

Style

Premia

Alternative

Fund

......................................

242,683

643,522

886,205

AQR

Style

Premia

Alternative

LV

Fund

...................................

44,274

150,254

194,528

AQR

Volatility

Risk

Premium

Fund

.......................................

20,791

210,896

231,687

FEES

WAIVED/

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31

,

DECEMBER

31,

2019

DECEMBER

31,

2019

20

20

20

21

20

22

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

...........

$

116,796

$

236,620

$

20,548

$

99,276

$

116,796

Class

N

...........

5,753

16,412

6,655

4,004

5,753

Class

R6

..........

63,427

188,974

65,173

60,374

63,427

Totals

$

185,976

$

442,006

$

92,376

$

163,654

$

185,976

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

...........

$

325,100

$

704,450

$

213,571

$

165,779

$

325,100

Class

N

...........

48,620

139,534

54,260

36,654

48,620

Class

R6

..........

13,565

23,322

3,781

5,976

13,565

Totals

$

387,285

$

867,306

$

271,612

$

208,409

$

387,285

351

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Pursuant

to

the

Sub-Advisory

Agreements

between

the

Sub-Adviser,

the

Adviser

and

the

Trust,

the

Adviser

will

pay

the

Sub-Adviser

an

annual

fee,

payable

monthly,

at

the

annual

rate

of

0.50%

and

0.35%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund

and

the

AQR

Multi-

Strategy

Alternative

Fund,

respectively. 

FEES

WAIVED/

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31,

DECEMBER

31,

2019

DECEMBER

31,

2019

2020

2021

2022

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

...........

$

82,820

$

82,820

$

–

$

–

$

82,820

Class

N

...........

7,800

7,800

–

–

7,800

Class

R6

..........

12,855

12,855

–

–

12,855

Totals

$

103,475

$

103,475

$

–

$

–

$

103,475

AQR

GLOBAL

MACRO

FUND

Class

I

...........

$

124,538

$

350,812

$

144,297

$

81,977

$

124,538

Class

N

...........

15,492

77,253

26,003

35,758

15,492

Class

R6

..........

84,311

242,008

76,279

81,418

84,311

Totals

$

224,341

$

670,073

$

246,579

$

199,153

$

224,341

AQR

MULTI-ASSET

FUND

Class

I

...........

$

231,142

$

323,828

$

54,202

$

38,484

$

231,142

Class

N

...........

16,312

20,536

2,300

1,924

16,312

Class

R6

..........

6,178

14,155

4,061

3,916

6,178

Totals

$

253,632

$

358,519

$

60,563

$

44,324

$

253,632

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Class

I

...........

$

155,261

$

155,261

$

–

$

–

$

155,261

Class

N

...........

15,490

15,490

–

–

15,490

Class

R6

..........

78,035

78,035

–

–

78,035

Totals

$

248,786

$

248,786

$

–

$

–

$

248,786

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

...........

$

74,269

$

152,699

$

52,799

$

25,631

$

74,269

Class

N

...........

10,360

19,190

4,376

4,454

10,360

Class

R6

..........

92,627

196,491

66,920

36,944

92,627

Totals

$

177,256

$

368,380

$

124,095

$

67,029

$

177,256

AQR

RISK

PARITY

II

HV

FUND

Class

I

...........

$

180,675

$

476,343

$

150,621

$

145,047

$

180,675

Class

N

...........

32,508

93,674

25,119

36,047

32,508

Class

R6

..........

6,606

19,715

9,242

3,867

6,606

Totals

$

219,789

$

589,732

$

184,982

$

184,961

$

219,789

AQR

RISK

PARITY

II

MV

FUND

Class

I

...........

$

181,047

$

499,972

$

168,303

$

150,622

$

181,047

Class

N

...........

4,533

19,031

9,047

5,451

4,533

Class

R6

..........

1,260

4,069

1,371

1,438

1,260

Totals

$

186,840

$

523,072

$

178,721

$

157,511

$

186,840

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

...........

$

463,180

$

1,047,879

$

356,732

$

227,967

$

463,180

Class

N

...........

20,742

57,330

26,199

10,389

20,742

Class

R6

..........

402,283

753,932

205,149

146,500

402,283

Totals

$

886,205

$

1,859,141

$

588,080

$

384,856

$

886,205

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Class

I

...........

$

154,058

$

211,123

$

49,831

$

7,234

$

154,058

Class

N

...........

7,297

14,342

6,665

380

7,297

Class

R6

..........

33,173

50,400

16,768

459

33,173

Totals

$

194,528

$

275,865

$

73,264

$

8,073

$

194,528

AQR

VOLATILITY

RISK

PREMIUM

FUND

Class

I

...........

$

28,794

$

38,906

$

–

$

10,112

$

28,794

Class

N

...........

19,959

29,676

–

9,717

19,959

Class

R6

..........

182,934

270,513

–

87,579

182,934

Totals

$

231,687

$

339,095

$

–

$

107,408

$

231,687

352

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

With

the

exception

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund, AQR

Long-

Short

Equity

Fund

and

AQR

Volatility

Risk

Premium

Fund,

the

Funds

are

non-diversified.

Because

the

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Funds

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Funds’

performance. 

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries.

The

Funds

may

invest

in

illiquid

investments

and

may

experience

difficulty

in

selling

those

investments

in

a

timely

manner

at

the

price

that

it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

net

asset

value

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

net

asset

value

of

a

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Fund

invests.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated. Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the

Funds

portfolio

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Funds

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Many

financial

instruments

may

be

tied

to

the

London

Interbank

Offered

Rate,

or

“LIBOR,”

to

determine

payment

obligations,

financing

terms,

hedging

strategies,

or

investment

value.

LIBOR

is

the

offered

rate

for

short-term

Eurodollar

deposits

between

major

international

banks.

On

July

27,

2017,

the

head

of

the

UK

Financial

Conduct

Authority

announced

a

desire

to

phase

out

the

use

of

LIBOR

by

the

end

of

2021.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates,

but

global

consensus

is

lacking

and

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR

remains

unclear.

There

also

remains

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

the

transition

away

from

LIBOR

may

lead

to

increased

volatility

and

illiquidity

in

markets

that

are

tied

to

LIBOR,

reduced

values

of

LIBOR-related

investments,

and

reduced

effectiveness

of

hedging

strategies,

adversely

affecting

the

Fund’s

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Fund. 

353

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility.

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

Currency

risk

arises

from

the

possibility

that

fluctuations

in

foreign

exchange

rates

will

affect

the

value

of

cash

balances

held

in

foreign

currencies

and

non-U.S.

denominated

financial

instruments.

The

liquidity

and

trading

value

of

foreign

currencies

could

be

affected

by

global

economic

factors,

such

as

inflation,

interest

rate

levels,

and

trade

balances

among

countries,

as

well

as

the

actions

of

sovereign

governments

and

central

banks.

Currency

rates

in

foreign

countries

may

fluctuate

significantly

over

short

periods

of

time

for

a

number

of

reasons. 

The

Funds

may

invest

in

securities

with

positive

momentum. This

entails

investing

in

securities

that

have

had

above-average

recent

returns.

These

securities

may

be

more

volatile

than

a

broad

cross-section

of

securities.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Funds

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

present

the

risk

that

the

securities

may

never

reach

what

the

Adviser

believes

are

their

full

market

values,

either

because

the

market

fails

to

recognize

what

the

Adviser

considers

to

be

the

security's

true

value

or

because

the

Adviser

misjudged

that

value.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Funds

while

using

a

value

strategy

may

suffer.

The

Funds

may

have

investments

that

appreciate

or

decrease

significantly

in

value

over

short

periods

of

time.

This

may

cause

the

Funds’

net

asset

value

per

share

to

experience

significant

increases

or

declines

in

value

over

short

periods

of

time,

however,

all

investments

long-term

or

short-term

are

subject

to

risk

of

loss. 

In

addition

to

market

risk,

the

Funds

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Funds’

portfolios

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

Certain

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary.

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Funds

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Funds’

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statements

of

Assets

and

Liabilities.

The

counterparties

to

the

Funds’

derivative

investments

may

include

affiliates

of

the

Funds’

clearing

brokers

and

other

major

financial

institutions.

While

the

Funds

use

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Funds

minimize

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund’s

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

354

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

Funds,

at

times,

utilize

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Funds’

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Funds.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

December

31,

2019

by

any

of

the

Funds

in

the

Trust. 

Line

of

Credit

Effective

March

22,

2019

and

terminating

on

March

20,

2020,

the

Trust

renewed

a

$350,000,000

committed

syndicated

line

of

credit

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

Administrative

Agent.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.0%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

which

is

paid

monthly.

The

maximum

loan

amount

available

to

a

Fund

is

the

lesser

of

an

amount

which

will

not

exceed

the

borrowing

limits

set

forth

in

the

Fund’s

Prospectus

and/or

Registration

Statement

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

a

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Fund

may

be

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interest

expense

in

the

Statements

of

Operations.

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

RECEIVED

AQR

Long-Short

Equity

Fund

..........................................

$

2,222,400

25

$

3,595

355

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

There

were

no

open

borrowings

as

of December

31,

2019 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2019. 

Principal

Ownership

As

of

December

31,

2019,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

New

Accounting

Pronouncements

and

Regulations 

In

March

2017,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2017-08,

Premium

Amortization

on

Purchased

Callable

Debt

Securities

(“ASU

2017-08”),

which

shortens

the

amortization

period

for

the

premium

on

certain

purchased

callable

debt

securities

to

the

earliest

call

date.

The

update

applies

to

securities

with

explicit,

non-contingent

call

features

that

are

callable

at

fixed

prices

and

on

preset

dates.

The

Funds

are

required

to

apply

ASU

2017-08

for

fiscal

years,

and

interim

periods

within

those

fiscal

years,

beginning

after

December

15,

2018.

The

adoption

of

ASU

2017-08

did

not

have

a

material

impact

on

the

financial

statements. 

Subsequent

Events 

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events.

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Alternative

Risk

Premia

Fund

..........................................

4

85.81%

AQR

Diversified

Arbitrage

Fund

.............................................

4

81.68%

AQR

Equity

Market

Neutral

Fund

...........................................

8

84.34%

AQR

Global

Macro

Fund*

.................................................

6

87.15%

AQR

Long-Short

Equity

Fund

..............................................

6

82.69%

AQR

Multi-Asset

Fund

...................................................

5

88.40%

AQR

Multi-Strategy

Alternative

Fund

.........................................

4

80.26%

AQR

Risk-Balanced

Commodities

Strategy

Fund

................................

5

95.99%

AQR

Risk

Parity

II

HV

Fund

...............................................

5

89.40%

AQR

Risk

Parity

II

MV

Fund

...............................................

2

83.94%

AQR

Style

Premia

Alternative

Fund

..........................................

3

76.69%

AQR

Style

Premia

Alternative

LV

Fund

.......................................

3

95.32%

AQR

Volatility

Risk

Premium

Fund*

..........................................

3

94.88%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

41.27%

and

94.88%

respectively.

356

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2019

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-

Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund,

AQR

Style

Premia

Alternative

LV

Fund,

and

AQR

Volatility

Risk

Premium

Fund

Opinions

on

the

Financial

Statements

We

have

audited

the

accompanying

statements

of

assets

and

liabilities,

including

the

schedules

of

investments,

of

each

of

the

funds

listed

in

the

table

below

(thirteen

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

“Funds”)

as

of

December

31,

2019,

the

related

statements

of

operations,

statements

of

changes

in

net

assets,

and

statements

of

cash

flows

for

each

of

the

periods

indicated

in

the

table

below,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

periods

indicated

therein

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2019,

the

results

of

each

of

their

operations,

the

changes

in

each

of

their

net

assets,

each

of

their

cash

flows

for

the

periods

indicated

in

the

table

below,

and

each

of

the

financial

highlights

for

each

of

the

periods

indicated

therein,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2019

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/PricewaterhouseCoopers

LLP

New

York,

New

York

February

21,

2020

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

AQR

Alternative

Risk

Premia

Fund

(1)

AQR

Risk-Balanced

Commodities

Strategy

Fund

(2)

AQR

Diversified

Arbitrage

Fund

(1)

AQR

Risk

Parity

II

HV

Fund

(1)

AQR

Equity

Market

Neutral

Fund

(1)

AQR

Risk

Parity

II

MV

Fund

(2)

AQR

Global

Macro

Fund

(2)

AQR

Style

Premia

Alternative

Fund

(1)

AQR

Long-Short

Equity

Fund

(1)

AQR

Style

Premia

Alternative

LV

Fund

(1)

AQR

Multi-Asset

Fund

(1)

AQR

Volatility

Risk

Premium

Fund

(3)

AQR

Multi-Strategy

Alternative

Fund

(1)

(1)

Statement

of

operations

and

statement

of

cash

flows

for

the

year

ended

December

31,

2019

and

statements

of

changes

in

net

assets

for

each

of

the

two

years

ended

December

31,

2019.

(2)

Statement

of

operations

for

the

year

ended

December

31,

2019

and

statements

of

changes

in

net

assets

for

each

of

the

two

years

ended

December

31,

2019.

(3)

Statement

of

operations

for

the

year

ended

December

31,

2019,

and

statements

of

changes

in

net

assets

for

the

year

ended

December

31,

2019

and

the

period

November

1,

2018

(commencement

of

operations)

through

December

31,

2018.

357

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

For

the

fiscal

year

ended

December

31,

2019,

the

Funds

designate

the

following

percentages

of

ordinary

income

dividends,

or

maximum

amount

allowable,

as

qualifying

for

the

reduced

tax

rate

under

the

Jobs

and

Growth

Tax

Relief

Reconciliation

Act

of

2003:

For

the

fiscal

year

ended

December

31,

2019,

the

following

percentages

of

income

dividends

paid

by

the

Funds

qualify

for

the

dividends

receivable

deduction

available

to

corporations:

The

Funds

designate

the

following

amounts,

or

the

maximum

allowable

under

Section

852

of

the

Internal

Revenue

Code,

as

long

term

capital

gain

dividends paid

during

the

fiscal

year

ended December

31,

2019:

The

Funds

designate

the

following

amounts,

or

the

maximum

allowable

under

Section

871(k)

of

the

Internal

Revenue

Code,

as short

term

capital

gain

dividends paid

during

the

fiscal

year

ended December

31,

2019 to

non-resident

alien

shareholders:

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

........................................................................

100.00%

AQR

Diversified

Arbitrage

Fund

...........................................................................

11.37%

AQR

Multi-Asset

Fund

.................................................................................

26.97%

AQR

Style

Premia

Alternative

Fund

........................................................................

22.31%

AQR

Style

Premia

Alternative

LV

Fund

.....................................................................

100.00%

AQR

Volatility

Risk

Premium

Fund

.........................................................................

51.32%

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

........................................................................

100.00%

AQR

Diversified

Arbitrage

Fund

...........................................................................

9.98%

AQR

Multi-Asset

Fund

.................................................................................

10.61%

AQR

Volatility

Risk

Premium

Fund

.........................................................................

23.89%

FUND

TOTAL

AQR

Equity

Market

Neutral

Fund

.........................................................................

$

9,829,531

AQR

Risk

Parity

II

HV

Fund

.............................................................................

1,589,181

AQR

Risk

Parity

II

MV

Fund

.............................................................................

4,788,627

FUND

TOTAL

AQR

Risk

Parity

II

HV

Fund

.............................................................................

$

759,108

AQR

Risk

Parity

II

MV

Fund

.............................................................................

3,014,686

358

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2018

As

a

shareholder

of

the

Trust,

you

incur

two

types

of

costs:

(1)

transaction

costs

and

(2)

ongoing

costs,

including

management

fees;

and

other

Fund

expenses.

This

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

Fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds

The

Example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

for

the

entire

period

as

indicated

below.

Actual

Expenses

The

table

below

provides

information

about

actual

account

values

and

actual

expenses.

You

may

use

the

information

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

under

the

heading

entitled

“Expenses

Paid

for

the

Period

Ending

12/31/2019”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Each

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

each

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/19

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/19

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$965.10

3.41%

$16.89

Hypothetical

Return

$1,000.00

$1,008.02

3.41%

$17.26

Class

N

Actual

Return

$1,000.00

$964.40

3.68%

$18.22

Hypothetical

Return

$1,000.00

$1,006.65

3.68%

$18.61

Class

R6

Actual

Return

$1,000.00

$966.50

3.37%

$16.70

Hypothetical

Return

$1,000.00

$1,008.22

3.37%

$17.06

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$1,027.70

2.05%

$10.48

Hypothetical

Return

$1,000.00

$1,014.87

2.05%

$10.41

Class

N

Actual

Return

$1,000.00

$1,025.90

2.32%

$11.85

Hypothetical

Return

$1,000.00

$1,013.51

2.32%

$11.77

Class

R6

Actual

Return

$1,000.00

$1,028.60

1.95%

$9.97

Hypothetical

Return

$1,000.00

$1,015.38

1.95%

$9.91

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$969.30

1.99%

$9.88

Hypothetical

Return

$1,000.00

$1,015.17

1.99%

$10.11

Class

N

Actual

Return

$1,000.00

$968.00

1.54%

$7.64

Hypothetical

Return

$1,000.00

$1,017.44

1.54%

$7.83

Class

R6

Actual

Return

$1,000.00

$970.30

1.84%

$9.14

Hypothetical

Return

$1,000.00

$1,015.93

1.84%

$9.35

359

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2018

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/19

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/19

AQR

Global

Macro

Fund

Class

I

Actual

Return

$1,000.00

$1,015.40

1.44%

$7.32

Hypothetical

Return

$1,000.00

$1,017.95

1.44%

$7.32

Class

N

Actual

Return

$1,000.00

$1,014.50

1.70%

$8.63

Hypothetical

Return

$1,000.00

$1,016.64

1.70%

$8.64

Class

R6

Actual

Return

$1,000.00

$1,015.40

1.35%

$6.86

Hypothetical

Return

$1,000.00

$1,018.40

1.35%

$6.87

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,025.90

2.13%

$10.88

Hypothetical

Return

$1,000.00

$1,014.47

2.13%

$10.82

Class

N

Actual

Return

$1,000.00

$1,025.30

2.45%

$12.51

Hypothetical

Return

$1,000.00

$1,012.85

2.45%

$12.43

Class

R6

Actual

Return

$1,000.00

$1,026.80

2.05%

$10.47

Hypothetical

Return

$1,000.00

$1,014.87

2.05%

$10.41

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$1,062.00

1.17%

$6.08

Hypothetical

Return

$1,000.00

$1,019.31

1.17%

$5.96

Class

N

Actual

Return

$1,000.00

$1,060.50

1.45%

$7.53

Hypothetical

Return

$1,000.00

$1,017.90

1.45%

$7.38

Class

R6

Actual

Return

$1,000.00

$1,062.20

1.02%

$5.30

Hypothetical

Return

$1,000.00

$1,020.06

1.02%

$5.19

AQR

Multi-Strategy

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$957.80

3.04%

$15.00

Hypothetical

Return

$1,000.00

$1,009.88

3.04%

$15.40

Class

N

Actual

Return

$1,000.00

$957.40

5.94%

$29.31

Hypothetical

Return

$1,000.00

$995.26

5.94%

$29.87

Class

R6

Actual

Return

$1,000.00

$959.20

2.87%

$14.17

Hypothetical

Return

$1,000.00

$1,010.74

2.87%

$14.55

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,112.60

0.99%

$5.27

Hypothetical

Return

$1,000.00

$1,020.21

0.99%

$5.04

Class

N

Actual

Return

$1,000.00

$1,111.00

1.25%

$6.65

Hypothetical

Return

$1,000.00

$1,018.90

1.25%

$6.36

Class

R6

Actual

Return

$1,000.00

$1,113.10

0.90%

$4.79

Hypothetical

Return

$1,000.00

$1,020.67

0.90%

$4.58

360

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2018

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/19

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/19

AQR

Risk

Parity

II

HV

Fund

Class

I

Actual

Return

$1,000.00

$1,081.00

1.44%

$7.55

Hypothetical

Return

$1,000.00

$1,017.95

1.44%

$7.32

Class

N

Actual

Return

$1,000.00

$1,078.30

1.72%

$9.01

Hypothetical

Return

$1,000.00

$1,016.53

1.72%

$8.74

Class

R6

Actual

Return

$1,000.00

$1,080.50

1.38%

$7.24

Hypothetical

Return

$1,000.00

$1,018.25

1.38%

$7.02

AQR

Risk

Parity

II

MV

Fund

Class

I

Actual

Return

$1,000.00

$1,056.90

0.95%

$4.93

Hypothetical

Return

$1,000.00

$1,020.42

0.95%

$4.84

Class

N

Actual

Return

$1,000.00

$1,055.20

1.20%

$6.22

Hypothetical

Return

$1,000.00

$1,019.16

1.20%

$6.11

Class

R6

Actual

Return

$1,000.00

$1,056.80

0.85%

$4.41

Hypothetical

Return

$1,000.00

$1,020.92

0.85%

$4.33

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$969.60

2.57%

$12.76

Hypothetical

Return

$1,000.00

$1,012.25

2.57%

$13.04

Class

N

Actual

Return

$1,000.00

$968.40

2.84%

$14.09

Hypothetical

Return

$1,000.00

$1,010.89

2.84%

$14.39

Class

R6

Actual

Return

$1,000.00

$969.70

2.46%

$12.21

Hypothetical

Return

$1,000.00

$1,012.80

2.46%

$12.48

AQR

Style

Premia

Alternative

LV

Fund

Class

I

Actual

Return

$1,000.00

$982.70

1.37%

$6.85

Hypothetical

Return

$1,000.00

$1,018.30

1.37%

$6.97

Class

N

Actual

Return

$1,000.00

$981.50

1.65%

$8.24

Hypothetical

Return

$1,000.00

$1,016.89

1.65%

$8.39

Class

R6

Actual

Return

$1,000.00

$982.70

1.28%

$6.40

Hypothetical

Return

$1,000.00

$1,018.75

1.28%

$6.51

AQR

Volatility

Risk

Premium

Fund

Class

I

Actual

Return

$1,000.00

$1,032.80

0.66%

$3.38

Hypothetical

Return

$1,000.00

$1,021.88

0.66%

$3.36

Class

N

Actual

Return

$1,000.00

$1,032.50

0.85%

$4.35

Hypothetical

Return

$1,000.00

$1,020.92

0.85%

$4.33

Class

R6

Actual

Return

$1,000.00

$1,032.90

0.65%

$3.33

Hypothetical

Return

$1,000.00

$1,021.93

0.65%

$3.31

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

361

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830.

The

Funds’

Statement

of

Additional

Information

includes

additional

information

about

the

Trustees

and

is

available

free

of

charge,

upon

request,

by

calling

(866)

290-2688,

or

by

writing

to

AQR

Funds,

P.O.

Box

2248,

Denver,

CO

80201-2248. 

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian

Posner,

M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

45

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-

2018);

BG

Medicine

(2012-2015)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2016);

Managing

Director,

Finance

Scholars

Group

(2010-2014)

(consulting)

45

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

45

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

45

None

Mark

A.

Zurack,

M.B.A.,

CFA

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

45

Exchange

Traded

Concepts

Trust

(since

2011);

Source

ETF

Trust

(2014-2015)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

45

None

William

Cashel,

M.B.A.,

1973

Trustee,

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2009)

45

None

Officers

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley

Asness,

J.D.,

M.B.A.,

1969

Vice

President,

since

2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since

2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Philip

Balzafiore,

J.D.,

LLM,

CPA

1977

Assistant

Treasurer,

since

2020

Managing

Director,

AQR

Capital

Management,

LLC

(since

2015)

N/A

N/A

362

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December

31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

and

Mr.

Cashel

are

interested

persons

of

the

Trust

because

of

their

positions

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Sub-Adviser

CNH

Partners,

LLC

Two

Greenwich

Plaza,

3rd

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Lincoln

Street

Boston,

MA

02111

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

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a

website

link

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access

the

report.

If

you

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you

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you

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take

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may

elect

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shareholder

reports

and

other

communications

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the

Funds

electronically

by

contacting

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financial

intermediary

or,

if

you

purchased

your

Fund

shares

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the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

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future

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free

of

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receiving

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copies

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your

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you

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shares

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shares

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the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

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all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Annual

Report

December

31,

2019

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Managed

Futures

Strategy

Fund

................................................................

2

AQR

Managed

Futures

Strategy

HV

Fund

.............................................................

6

Consolidated

Schedule

of

Investments

AQR

Managed

Futures

Strategy

Fund

................................................................

10

AQR

Managed

Futures

Strategy

HV

Fund

.............................................................

26

Consolidated

Financial

Statements

and

Notes

..............................................................

40

Report

of

Independent

Registered

Public

Accounting

Firm

.....................................................

65

Fund

Expense

Examples

(Unaudited)

....................................................................

66

Trustees

and

Officers

(Unaudited)

......................................................................

67

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

2

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

the

global

equity,

fixed

income,

commodity

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

trend-following

signals

to

attempt

to

profit

from

trends

that

occur.

Trend

following

can

be

simply

described

as

going

long

markets

that

are

rising

in

price

and

short

markets

that

are

falling

in

price.

In

addition

to

trend-following

signals,

we

also

incorporate

signals

that

seek

to

identify

over-extended

trends

and

reduce

risk

when

the

chance

of

a

reversal

is

perceived

as

higher

than

normal,

since

market

reversals

generally

cause

losses

for

trend-following

strategies.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

it

is

the

nature

of

the

strategy

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

Fund

concluded

2019

with

a

positive

overall

return

and

negative

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

+1.93%

versus

a

+2.28%

return

for

its

benchmark,

the

ICE

Bank

of

America

Merrill

Lynch

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

+0.38%,

fixed

income

contributed

+8.75%,

currencies

detracted

-2.20%,

and

commodities

detracted

-3.82%.

In

each

of

the

first

three

quarters,

the

Fund

generated

gains

as

the

global

economy

transitioned

into

a

state

of

greater

economic

and

geopolitical

uncertainty.

Global

bond

yields

fell

dramatically,

and

these

sustained

bullish

trends

in

fixed

income

generated

gains

for

the

Fund

through

the

full

year.

The

Fund

gave

back

some

of

its

gains

in

the

fourth

quarter

as

risk

sentiment

reversed

sharply

due

to

market-positive

developments

across

four

key

themes,

which

reduced

near-term

uncertainties.

Trends

in

currencies

were

the

most

negatively

impacted

in

that

period

and

generated

losses

for

the

year.

Earlier-year

reversals

in

commodities

also

caused

losses,

while

the

range-bound

dynamics

in

equities

during

the

middle

of

the

year

caused

overall

performance

to

be

modest

in

that

asset

class.

Global

trade

uncertainty

was

first

among

these

themes,

centered

around

the

ongoing

trade

dispute

between

the

U.S.

and

China.

Despite

a

bumpy

road

during

the

year,

which

caused

more

range

bound

equity

market

performance

in

the

second

and

third

quarters,

the

two

countries

agreed

to

a

“Phase

1”

deal

at

the

end

of

the

fourth

quarter,

holding

off

on

new

tariffs

and

reducing

some

existing

U.S.

tariffs

in

exchange

for

increased

Chinese

purchases

of

U.S.

agricultural

products.

Shortly

after,

the

U.S.

House

of

Representatives

also

passed

the

USMCA

updating

the

previous

NAFTA

between

the

U.S.,

Canada

and

Mexico,

which

further

reduced

global

trade

uncertainty.

Fourth

quarter

trend-following

gains

in

equities

helped

offset

losses

from

the

more

challenging

trend-following

environment

for

the

asset

class

earlier

in

the

year.

Second,

geopolitical

risks

stemming

from

a

“No

Deal”

immediate

Brexit

significantly

declined

towards

the

end

of

the

year,

causing

a

dramatic

reversal

in

the

British

pound

and

newer

bullish

trends.

In

October,

Prime

Minister

Johnson

obtained

parliamentary

support

for

a

new

election

to

be

held

in

December.

The

election

delivered

a

large

majority

for

Johnson’s

Conservative

Party,

and

Johnson’s

recently

negotiated

Withdrawal

Agreement

Bill

was

promptly

passed

into

law.

The

British

pound

reversed

earlier-year

bearish

trends

and

appreciated

sharply

in

the

runup

to

and

immediate

aftermath

of

the

election.

Also

within

the

theme

of

geopolitical

risk,

concerns

around

the

protest

movement

in

Hong

Kong

subsided

late

in

the

year,

causing

its

equity

market

to

reverse

mid-year

bearish

trends.

While

protests

continued

and

remained

disruptive

to

the

city’s

economy,

a

decisive

win

by

pro-democracy

candidates

in

local

elections

in

late

November

delivered

a

strong

show

of

support

for

protesters,

potentially

reducing

the

likelihood

of

a

harsh

crackdown

by

the

Chinese

government.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Ari

Levine

Principal

Yao

Hua

Ooi

Principal

3

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Third,

ongoing

trade

disputes

and

a

heightened

risk

environment

throughout

the

year

fueled

a

deceleration

in

global

investment

and

confidence,

causing

global

growth

in

2019

to

be

expected

to

sink

to

its

lowest

level

since

the

Global

Financial

Crisis.

While

growth

data

in

major

economies

generally

remained

weak

and

supported

the

overall

bullish

and

profitable

trend

in

fixed

income

throughout

the

year,

data

released

late

in

the

fourth

quarter

was

less

alarming

and

supported

the

reversal

in

risk

sentiment.

In

the

U.S.,

initial

jobless

claims

remained

near

cycle

lows,

nonfarm

payroll

data

showed

surprisingly

strong

employment

growth

in

both

October

and

November,

and

a

broad

improvement

in

housing-related

data

balanced

out

some

negative

news

in

manufacturing.

Eurozone

third

quarter

GDP

data

published

at

the

end

of

October

exceeded

consensus

forecasts,

indicating

that

European

growth

remained

comfortably

positive

despite

weakness

in

the

industrial

sector.

Notably,

Chinese

growth

data

showed

improvement

late

in

the

fourth

quarter

as

well.

PMIs

published

in

November

and

December

showed

a

notable

pickup

in

manufacturing

growth.

In

December,

key

activity

indicators

such

as

industrial

production

and

retail

sales

also

showed

signs

of

recovery,

fueling

hopes

that

the

Chinese

economy

might

improve

in

2020

after

growth

hit

a

multi-year

low

in

2019.

Fourth,

major

central

banks

responded

to

the

year’s

global

growth

slowdown

with

a

wave

of

easing

measures

in

2019,

but

policy

stabilized

somewhat

in

the

fourth

quarter.

The

Federal

Reserve

delivered

its

third

0.25%

rate

cut

in

a

row

in

October

but

signaled

that

further

near-term

easing

was

unlikely

as

policymakers

“believe

that

monetary

policy

is

in

a

good

place.”

However,

this

hawkish

message

was

tempered

by

a

clear

indication

that

there

was

a

high

hurdle

to

hiking

rates

any

time

soon

as

Chair

Powell

stated

that

“we

would

need

to

see

a

really

significant

move

up

in

inflation

that’s

persistent

before

we

would

consider

raising

rates

to

address

inflation

concerns.”

Also,

after

cutting

rates

by

0.1%

and

announcing

a

restart

of

its

asset

purchase

program

in

September,

the

ECB

held

off

on

any

new

easing

announcements

in

the

fourth

quarter.

As

a

result

of

the

directional

shifts

in

fixed

income

markets

due

to

the

recent

growth

and

monetary

policy

dynamics,

the

Fund

notably

became

positioned

close

to

neutral

towards

the

end

of

the

year

after

being

long

for

most

of

2019.

Equities

Trend

following

in

equities

had

a

modest

positive

impact

on

performance

as

equities

rallied

overall

but

staged

multiple

reversals

throughout

the

year.

Equities

detracted

from

performance

early

in

the

year

as

they

reversed

bearish

trends

from

late

2018

and

rallied

on

more

dovish

central

bank

posturing.

A

continued

rally

through

April

led

to

gains,

however

those

trends

reversed

in

May

and

again

in

August

on

heightened

trade

tensions

between

the

U.S.

and

China,

leading

to

losses

from

net

long

exposures

and

causing

positioning

to

turn

neutral

by

end

of

August

in

response.

Equities

again

resumed

bullish

trends

late

in

the

period

on

trade

concessions

and

improving

sentiment,

causing

positioning

to

turn

long

once

again.

Overall,

short-term

signals

benefitted

as

their

views

turned

in

line

with

intermittent

short-term

trends

while

long-term

signals

suffered

due

to

notable

reversals

over

the

year.

Fixed

Income

Trend

following

in

fixed

income

drove

the

Fund’s

positive

performance

for

the

year.

Global

yields

fell

meaningfully

as

central

banks

pivoted

towards

more

dovish

policies,

with

the

Fed’s

pivot

being

particularly

pronounced

as

it

responded

to

concerns

related

to

slowing

global

growth,

low

inflation,

trade

uncertainty

and

geopolitical

factors.

Signal

agreement

led

to

gains

across

short-term

and

long-term

signals.

Over-extended

signals

had

positive

performance

impact,

mainly

due

to

allowing

the

Fund

to

take

more

risk,

but

also

benefiting

from

late-year

fixed

income

reversals.

Currencies

Trend

following

in

currencies

detracted

from

performance

throughout

the

year.

Changes

in

risk

sentiment,

trade

uncertainty

and

reversals

in

crude

oil

and

related

commodities

contributed

to

reversals

in

several

currencies

over

the

period.

Trade-sensitive

currencies

such

as

the

New

Zealand

dollar

detracted

as

they

reversed

on

changing

outlooks

for

U.S.-China

trade

negotiations

and

interest

rates.

Additionally,

fluctuating

energy

prices

contributed

to

reversals

and

losses

in

the

Canadian

dollar.

In

contrast,

sustained

longer-term

bearish

trends

in

the

euro

and

South

Korean

won

contributed

strongly

to

performance

as

weakness

in

economic

data

from

those

regions,

trade

tensions

and

slowing

global

growth

concerns

weighed

on

the

currencies.

Overall,

these

dynamics

drove

losses

for

short-term

signals,

while

long-term

signals

were

more

neutral

as

losses

from

reversals

were

offset

by

sustained

bearish

trends

in

the

euro

and

won.

Over-extended

signals

detracted

as

they

viewed

the

U.S.

dollar

as

expensive,

but

it

broadly

appreciated

year-to-date.

Commodities

Trend

following

in

commodities

detracted

from

performance

throughout

the

year,

driven

primarily

by

reversals

in

energies,

and

to

a

lesser

extent,

agricultural

commodities.

Crude

oil

and

related

commodities

reversed

their

Q4

2018

selloff

and

rallied

early

in

the

year,

causing

losses.

As

positioning

turned

long,

crude

oil

reversed

and

sold

off

in

May,

causing

additional

losses.

With

positioning

turning

short

toward

the

end

of

Q2

2019,

selloffs

in

August

helped

offset

some

earlier

period

losses,

but

suffered

again

in

mid-September

on

rising

energy

prices

in

part

due

to

the

attack

on

Saudi

oil

production

facilities.

Natural

gas

and

metals

also

detracted

from

performance

as

the

assets

changed

direction

multiple

times

throughout

the

period.

Losses

were

shared

among

short-term

and

long-term

signals.

4

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

The

strategy’s

average

annualized

volatility

target

is

10%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade.

The

Fund

entered

the

year

targeting

9.3%

volatility

and

ended

the

year

with

a

volatility

target

of

8.3%

as

late-

year

reversals

led

to

muted

views

in

asset

classes

outside

of

equities.

In

2019,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

with

performance

differences

within

expected

tracking

error.

Underperformance

was

concentrated

in

the

first

three

quarters

of

the

year

as

fixed

income

markets

exhibited

low

volatility

and

the

Fund’s

risk

management

process

limited

net

long

fixed

income

exposures.

Additionally,

exposure

to

non-trend

strategies

such

as

carry

may

also

have

contributed

to

relative

outperformance

for

peers

who

include

exposure

to

those

strategies.

The

Fund

outperformed

in

the

fourth

quarter

however,

particularly

as

over-extended

signals

(a

differentiating

feature

of

our

strategy)

viewed

fixed

income

as

expensive

and

benefited

as

those

markets

sold

off.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.18%,

1.47%

and

1.13%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

MANAGED

FUTURES

STRATEGY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQMIX

1.93%*

-2.75%

-2.99%

0.47%

1/5/2010

Fund

-

Class

N:

AQMNX

1.56%

-3.02%

-3.26%

0.19%

1/5/2010

Fund

-

Class

R6:

AQMRX

2.03%

-2.68%

-2.92%

-0.49%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.58%

1/5/2010

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2019

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

5

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2019

AQR

MANAGED

FUTURES

STRATEGY

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

1/5/2010

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

6

AQR

Funds

|

Annual

Report

|

December

2019

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

HV

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

the

global

equity,

fixed

income,

commodity

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

trend-following

signals

to

attempt

to

profit

from

trends

that

occur.

Trend

following

can

be

simply

described

as

going

long

markets

that

are

rising

in

price

and

short

markets

that

are

falling

in

price.

In

addition

to

trend-following

signals,

we

also

incorporate

signals

that

seek

to

identify

over-extended

trends

and

reduce

risk

when

the

chance

of

a

reversal

is

perceived

as

higher

than

normal,

since

market

reversals

generally

cause

losses

for

trend-following

strategies.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

it

is

the

nature

of

the

strategy

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

Fund

concluded

2019

with

a

positive

overall

return

and

negative

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

+1.81%

versus

a

+2.28%

return

for

its

benchmark,

the

ICE

Bank

of

America

Merrill

Lynch

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

+0.37%,

fixed

income

contributed

+12.56%,

currencies

detracted

-3.82%,

and

commodities

detracted

-5.59%.

In

each

of

the

first

three

quarters,

the

Fund

generated

gains

as

the

global

economy

transitioned

into

a

state

of

greater

economic

and

geopolitical

uncertainty.

Global

bond

yields

fell

dramatically,

and

these

sustained

bullish

trends

in

fixed

income

generated

gains

for

the

Fund

through

the

full

year.

The

Fund

gave

back

some

of

its

gains

in

the

fourth

quarter

as

risk

sentiment

reversed

sharply

due

to

market-positive

developments

across

four

key

themes,

which

reduced

near-term

uncertainties.

Trends

in

currencies

were

the

most

negatively

impacted

in

that

period

and

generated

losses

for

the

year.

Earlier-year

reversals

in

commodities

also

caused

losses,

while

the

range-bound

dynamics

in

equities

during

the

middle

of

the

year

caused

overall

performance

to

be

modest

in

that

asset

class.

Global

trade

uncertainty

was

first

among

these

themes,

centered

around

the

ongoing

trade

dispute

between

the

U.S.

and

China.

Despite

a

bumpy

road

during

the

year,

which

caused

more

range

bound

equity

market

performance

in

the

second

and

third

quarters,

the

two

countries

agreed

to

a

“Phase

1”

deal

at

the

end

of

the

fourth

quarter,

holding

off

on

new

tariffs

and

reducing

some

existing

U.S.

tariffs

in

exchange

for

increased

Chinese

purchases

of

U.S.

agricultural

products.

Shortly

after,

the

U.S.

House

of

Representatives

also

passed

the

USMCA

updating

the

previous

NAFTA

between

the

U.S.,

Canada

and

Mexico,

which

further

reduced

global

trade

uncertainty.

Fourth

quarter

trend-following

gains

in

equities

helped

offset

losses

from

the

more

challenging

trend-following

environment

for

the

asset

class

earlier

in

the

year.

Second,

geopolitical

risks

stemming

from

a

“No

Deal”

immediate

Brexit

significantly

declined

towards

the

end

of

the

year,

causing

a

dramatic

reversal

in

the

British

pound

and

newer

bullish

trends.

In

October,

Prime

Minister

Johnson

obtained

parliamentary

support

for

a

new

election

to

be

held

in

December.

The

election

delivered

a

large

majority

for

Johnson’s

Conservative

Party,

and

Johnson’s

recently

negotiated

Withdrawal

Agreement

Bill

was

promptly

passed

into

law.

The

British

pound

reversed

earlier-year

bearish

trends

and

appreciated

sharply

in

the

runup

to

and

immediate

aftermath

of

the

election.

Also

within

the

theme

of

geopolitical

risk,

concerns

around

the

protest

movement

in

Hong

Kong

subsided

late

in

the

year,

causing

its

equity

market

to

reverse

mid-year

bearish

trends.

While

protests

continued

and

remained

disruptive

to

the

city’s

economy,

a

decisive

win

by

pro-democracy

candidates

in

local

elections

in

late

November

delivered

a

strong

show

of

support

for

protesters,

potentially

reducing

the

likelihood

of

a

harsh

crackdown

by

the

Chinese

government.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Ari

Levine

Principal

Yao

Hua

Ooi

Principal

7

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2019

Third,

ongoing

trade

disputes

and

a

heightened

risk

environment

throughout

the

year

fueled

a

deceleration

in

global

investment

and

confidence,

causing

global

growth

in

2019

to

be

expected

to

sink

to

its

lowest

level

since

the

Global

Financial

Crisis.

While

growth

data

in

major

economies

generally

remained

weak

and

supported

the

overall

bullish

and

profitable

trend

in

fixed

income

throughout

the

year,

data

released

late

in

the

fourth

quarter

was

less

alarming

and

supported

the

reversal

in

risk

sentiment.

In

the

U.S.,

initial

jobless

claims

remained

near

cycle

lows,

nonfarm

payroll

data

showed

surprisingly

strong

employment

growth

in

both

October

and

November,

and

a

broad

improvement

in

housing-related

data

balanced

out

some

negative

news

in

manufacturing.

Eurozone

third

quarter

GDP

data

published

at

the

end

of

October

exceeded

consensus

forecasts,

indicating

that

European

growth

remained

comfortably

positive

despite

weakness

in

the

industrial

sector.

Notably,

Chinese

growth

data

showed

improvement

late

in

the

fourth

quarter

as

well.

PMIs

published

in

November

and

December

showed

a

notable

pickup

in

manufacturing

growth.

In

December,

key

activity

indicators

such

as

industrial

production

and

retail

sales

also

showed

signs

of

recovery,

fueling

hopes

that

the

Chinese

economy

might

improve

in

2020

after

growth

hit

a

multi-year

low

in

2019.

Fourth,

major

central

banks

responded

to

the

year’s

global

growth

slowdown

with

a

wave

of

easing

measures

in

2019,

but

policy

stabilized

somewhat

in

the

fourth

quarter.

The

Federal

Reserve

delivered

its

third

0.25%

rate

cut

in

a

row

in

October

but

signaled

that

further

near-term

easing

was

unlikely

as

policymakers

“believe

that

monetary

policy

is

in

a

good

place.”

However,

this

hawkish

message

was

tempered

by

a

clear

indication

that

there

was

a

high

hurdle

to

hiking

rates

any

time

soon

as

Chair

Powell

stated

that

“we

would

need

to

see

a

really

significant

move

up

in

inflation

that’s

persistent

before

we

would

consider

raising

rates

to

address

inflation

concerns.”

Also,

after

cutting

rates

by

0.1%

and

announcing

a

restart

of

its

asset

purchase

program

in

September,

the

ECB

held

off

on

any

new

easing

announcements

in

the

fourth

quarter.

As

a

result

of

the

directional

shifts

in

fixed

income

markets

due

to

the

recent

growth

and

monetary

policy

dynamics,

the

Fund

notably

became

positioned

close

to

neutral

towards

the

end

of

the

year

after

being

long

for

most

of

2019.

Equities

Trend

following

in

equities

had

a

modest

positive

impact

on

performance

as

equities

rallied

overall

but

staged

multiple

reversals

throughout

the

year.

Equities

detracted

from

performance

early

in

the

year

as

they

reversed

bearish

trends

from

late

2018

and

rallied

on

more

dovish

central

bank

posturing.

A

continued

rally

through

April

led

to

gains,

however

those

trends

reversed

in

May

and

again

in

August

on

heightened

trade

tensions

between

the

U.S.

and

China,

leading

to

losses

from

net

long

exposures

and

causing

positioning

to

turn

neutral

by

end

of

August

in

response.

Equities

again

resumed

bullish

trends

late

in

the

period

on

trade

concessions

and

improving

sentiment,

causing

positioning

to

turn

long

once

again.

Overall,

short-term

signals

benefitted

as

their

views

turned

in

line

with

intermittent

short-term

trends

while

long-term

signals

suffered

due

to

notable

reversals

over

the

year.

Fixed

Income

Trend

following

in

fixed

income

drove

the

Fund’s

positive

performance

for

the

year.

Global

yields

fell

meaningfully

as

central

banks

pivoted

towards

more

dovish

policies,

with

the

Fed’s

pivot

being

particularly

pronounced

as

it

responded

to

concerns

related

to

slowing

global

growth,

low

inflation,

trade

uncertainty

and

geopolitical

factors.

Signal

agreement

led

to

gains

across

short-term

and

long-term

signals.

Over-extended

signals

had

positive

performance

impact,

mainly

due

to

allowing

the

Fund

to

take

more

risk,

but

also

benefiting

from

late-year

fixed

income

reversals.

Currencies

Trend

following

in

currencies

detracted

from

performance

throughout

the

year.

Changes

in

risk

sentiment,

trade

uncertainty

and

reversals

in

crude

oil

and

related

commodities

contributed

to

reversals

in

several

currencies

over

the

period.

Trade-sensitive

currencies

such

as

the

New

Zealand

dollar

detracted

as

they

reversed

on

changing

outlooks

for

U.S.-China

trade

negotiations

and

interest

rates.

Additionally,

fluctuating

energy

prices

contributed

to

reversals

and

losses

in

the

Canadian

dollar.

In

contrast,

sustained

longer-term

bearish

trends

in

the

euro

and

South

Korean

won

contributed

strongly

to

performance

as

weakness

in

economic

data

from

those

regions,

trade

tensions

and

slowing

global

growth

concerns

weighed

on

the

currencies.

Overall,

these

dynamics

drove

losses

for

short-term

signals,

while

long-term

signals

were

more

neutral

as

losses

from

reversals

were

offset

by

sustained

bearish

trends

in

the

euro

and

won.

Over-extended

signals

detracted

as

they

viewed

the

U.S.

dollar

as

expensive,

but

it

broadly

appreciated

year-to-date.

Commodities

Trend

following

in

commodities

detracted

from

performance

throughout

the

year,

driven

primarily

by

reversals

in

energies,

and

to

a

lesser

extent,

agricultural

commodities.

Crude

oil

and

related

commodities

reversed

their

Q4

2018

selloff

and

rallied

early

in

the

year,

causing

losses.

As

positioning

turned

long,

crude

oil

reversed

and

sold

off

in

May,

causing

additional

losses.

With

positioning

turning

short

toward

the

end

of

Q2

2019,

selloffs

in

August

helped

offset

some

earlier

period

losses,

but

suffered

again

in

mid-September

on

rising

energy

prices

in

part

due

to

the

attack

on

Saudi

oil

production

facilities.

Natural

gas

and

metals

also

detracted

from

performance

as

the

assets

changed

direction

multiple

times

throughout

the

period.

Losses

were

shared

among

short-term

and

long-term

signals

The

strategy’s

average

annualized

volatility

target

is

15%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade.

The

Fund

entered

the

year

targeting

14.2%

volatility

and

ended

the

year

with

a

volatility

target

of

12.6%

as

late-year

reversals

led

to

muted

views

in

asset

classes

outside

of

equities.

8

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2019

In

2019,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

after

accounting

for

volatility

differences,

with

performance

differences

within

expected

tracking

error.

Underperformance

was

concentrated

in

the

first

three

quarters

of

the

year

as

fixed

income

markets

exhibited

low

volatility

and

the

Fund’s

risk

management

process

limited

net

long

fixed

income

exposures.

Additionally,

exposure

to

non-trend

strategies

such

as

carry

may

also

have

contributed

to

relative

outperformance

for

peers

who

include

exposure

to

those

strategies.

The

Fund

outperformed

in

the

fourth

quarter

after

accounting

for

volatility

differences,

however,

particularly

as

over-extended

signals

(a

differentiating

feature

of

our

strategy)

viewed

fixed

income

as

expensive

and

benefited

as

those

markets

sold

off.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2019,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.67%,

1.93%

and

1.58%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2019

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMHIX

1.81%

-5.05%

-5.27%

-0.86%

7/16/2013

Fund

-

Class

N:

QMHNX

1.55%

-5.29%

-5.53%

-1.12%

7/16/2013

Fund

-

Class

R6:

QMHRX

1.93%

-4.93%

-5.19%

-1.58%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

2.28%

1.67%

1.07%

0.84%

7/16/2013

9

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

DEFINITIONS:

ICE

Bank

of

America

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-

equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

MSCI

World

Index:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

SG

Trend

Index

:

is

designed

to

track

the

10

largest

(by

AUM)

trend

following

Commodity

Trading

Advisors

(“CTAs”)

and

be

representative

of

the

trend

followers

in

the

managed

futures

space.

10

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

December

31,

2019,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

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

and

futures

contracts.

(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.

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

105.2%

INVESTMENT

COMPANIES

-

16.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(a)(b)

106,073,140

$

106,073,140

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)(c)

615,883,359

615,883,359

UBS

Select

Treasury

Preferred

Fund,

Class

I,

1.51%(1)(a)

12,647,914

12,647,914

TOTAL

INVESTMENT

COMPANIES

(Cost

$734,557,722)

734,604,413

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

88.5%

U.S.

Treasury

Bills

2.06%,

1/2/2020(d)

$

315,060,000

315,060,000

2.10%,

1/9/2020(d)

74,855,000

74,834,532

2.03%,

1/16/2020(d)

30,653,000

30,636,341

2.03%,

1/23/2020(d)

52,454,000

52,409,021

2.06%,

1/30/2020(d)

150,403,000

150,232,774

1.97%,

2/6/2020(d)(e)

148,276,000

148,061,206

1.91%,

2/13/2020(d)

32,910,000

32,852,887

1.86%,

2/20/2020(d)

146,276,000

145,974,367

1.86%,

2/27/2020(d)(e)

369,516,000

368,648,048

1.84%,

3/5/2020(d)(e)

412,669,000

411,583,936

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

88.5%

(continued)

1.84%,

3/12/2020(d)

$

295,110,000

$

294,247,827

1.89%,

3/19/2020(d)

175,519,000

174,962,759

1.88%,

3/26/2020(d)

239,104,000

238,262,813

1.81%,

4/2/2020(d)

384,546,000

383,063,629

1.70%,

4/9/2020(d)(e)

64,808,000

64,538,913

1.61%,

4/23/2020(d)

197,809,000

196,865,736

1.62%,

4/30/2020(d)(f)

113,585,000

113,011,858

1.55%,

5/7/2020(d)

19,478,000

19,374,121

1.56%,

5/14/2020(d)(g)

9,051,000

8,999,915

1.55%,

5/21/2020(d)(f)

42,084,000

41,834,214

1.59%,

5/28/2020(d)(f)

78,402,000

77,910,503

1.58%,

6/4/2020(d)(f)

28,571,000

28,383,208

1.53%,

6/11/2020(d)(f)

170,346,000

169,175,646

1.56%,

6/18/2020(d)(f)

42,321,000

42,016,820

1.58%,

6/25/2020(d)(f)

11,093,000

11,010,172

1.57%,

7/2/2020(d)

303,180,000

300,800,416

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$3,892,984,323)

3,894,751,662

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$4,627,542,045)

4,629,356,075

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.2%

(Cost

$4,627,542,045)

4,629,356,075

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.2)%(h)

(226,930,821)

NET

ASSETS

-

100.0%

$4,402,425,254

AFFILIATE

SHARES

HELD

AT

12/31/18

SHARES

PURCHASED

SHARES

SOLD

SHARES

HELD

AT

12/31/19

VALUE

AT

12/31/19

DIVIDEND

INCOME

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

SHORT-TERM

INVESTMENTS

-

14.0%

INVESTMENT

COMPANIES

-

14.0%

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

(Cost

$615,836,668)

548,985,680

10,257,815,050

(10,190,917,371)

615,883,359

$615,883,359

$12,990,537

$45,413

$(18,848)

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

11

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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)

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

23,054,175

$

2,595,293

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

6,262,163

51,933

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

77,220,413

1,072,147

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

5,178,750

230,200

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

7,319,300

200,933

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

01/30/2020

HKD

161,438,400

229,529

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

233,188,800

348,217

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

BRL

208,133,840

1,048,388

KC

HRW

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

48,600

4,707

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

7,527,600,000

429,606

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

03/12/2020

KRW

77,342,400,000

4,338,261

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/12/2020

KRW

248,041,800,000

12,329,874

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

27,653,130

193,929

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

27,040,650

131,386

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/21/2020

USD

6,551,050

38,700

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/21/2020

USD

208,620

3,660

12

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

8,824,626

$

740,123

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/20/2020

CHF

48,716,860

217,851

24,204,737

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

(23,054,175)

(3,651,945)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(77,220,413)

(799,869)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(6,262,163)

(59,161)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

(9,114,600)

(458,453)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

(5,178,750)

(266,250)

KC

HRW

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(48,600)

(5,379)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(70,563,675)

(3,370,252)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(62,768,200)

(640,693)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

25,686,210

(50,937)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(855,342)

(79,224)

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

01/15/2020

TWD

426,986,400

(20,908)

(9,403,071)

$

14,801,666

13

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

91

1/2020

EUR

$

12,343,485

$

(48,374)

Brent

Crude

Oil

3,567

1/2020

USD

235,422,000

5,476,855

CAC

40

10

Euro

Index

702

1/2020

EUR

47,009,774

2,751

Hang

Seng

Index

465

1/2020

HKD

84,349,614

445,169

HSCEI

626

1/2020

HKD

45,032,186

236,638

IBEX

35

Index

374

1/2020

EUR

39,972,724

(299,811)

LME

Aluminum

Base

Metal

17

1/2020

USD

760,147

27,503

LME

Aluminum

Base

Metal

19

1/2020

USD

852,725

23,609

LME

Aluminum

Base

Metal

20

1/2020

USD

892,625

21,582

LME

Aluminum

Base

Metal

23

1/2020

USD

1,025,754

33,599

LME

Aluminum

Base

Metal

36

1/2020

USD

1,612,386

43,148

LME

Aluminum

Base

Metal

36

1/2020

USD

1,606,122

35,650

LME

Aluminum

Base

Metal

38

1/2020

USD

1,699,788

67,726

LME

Aluminum

Base

Metal

41

1/2020

USD

1,825,781

67,524

LME

Aluminum

Base

Metal

44

1/2020

USD

1,974,225

68,895

LME

Aluminum

Base

Metal

53

1/2020

USD

2,366,344

60,250

LME

Aluminum

Base

Metal

57

1/2020

USD

2,564,288

118,359

LME

Aluminum

Base

Metal

63

1/2020

USD

2,818,069

116,789

LME

Aluminum

Base

Metal

71

1/2020

USD

3,180,800

122,266

LME

Aluminum

Base

Metal

74

1/2020

USD

3,322,841

80,674

LME

Aluminum

Base

Metal

79

1/2020

USD

3,546,448

82,125

LME

Aluminum

Base

Metal

91

1/2020

USD

4,071,590

139,322

LME

Aluminum

Base

Metal

103

1/2020

USD

4,615,585

186,281

LME

Aluminum

Base

Metal

200

1/2020

USD

8,964,600

338,163

LME

Copper

Base

Metal

3

1/2020

USD

461,466

35,105

LME

Copper

Base

Metal

4

1/2020

USD

615,375

45,232

LME

Copper

Base

Metal

5

1/2020

USD

769,406

56,704

LME

Copper

Base

Metal

6

1/2020

USD

923,610

50,442

LME

Copper

Base

Metal

6

1/2020

USD

923,685

57,475

LME

Copper

Base

Metal

7

1/2020

USD

1,076,075

87,082

LME

Copper

Base

Metal

9

1/2020

USD

1,385,318

73,542

LME

Copper

Base

Metal

10

1/2020

USD

1,539,458

85,933

LME

Copper

Base

Metal

10

1/2020

USD

1,539,625

93,714

LME

Copper

Base

Metal

13

1/2020

USD

2,000,538

126,104

LME

Copper

Base

Metal

13

1/2020

USD

2,002,413

101,006

LME

Copper

Base

Metal

13

1/2020

USD

2,001,435

86,847

LME

Copper

Base

Metal

15

1/2020

USD

2,310,315

91,634

LME

Copper

Base

Metal

16

1/2020

USD

2,464,164

97,912

LME

Copper

Base

Metal

20

1/2020

USD

3,079,990

124,298

LME

Copper

Base

Metal

31

1/2020

USD

4,801,900

415,941

LME

Copper

Base

Metal

57

1/2020

USD

8,771,231

569,301

LME

Nickel

Base

Metal

3

1/2020

USD

251,244

(63,063)

LME

Nickel

Base

Metal

3

1/2020

USD

251,398

(58,391)

LME

Nickel

Base

Metal

3

1/2020

USD

251,270

(65,961)

LME

Nickel

Base

Metal

3

1/2020

USD

251,424

(53,325)

LME

Nickel

Base

Metal

4

1/2020

USD

335,257

(66,484)

LME

Nickel

Base

Metal

4

1/2020

USD

335,385

(52,479)

LME

Nickel

Base

Metal

4

1/2020

USD

335,615

(68,837)

LME

Nickel

Base

Metal

4

1/2020

USD

334,954

(90,506)

LME

Nickel

Base

Metal

4

1/2020

USD

335,436

(60,240)

LME

Nickel

Base

Metal

6

1/2020

USD

503,116

(76,294)

LME

Nickel

Base

Metal

7

1/2020

USD

597,954

(130,446)

LME

Nickel

Base

Metal

9

1/2020

USD

753,886

(198,790)

14

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

10

1/2020

USD

$

838,208

$

(139,248)

LME

Nickel

Base

Metal

11

1/2020

USD

920,700

(247,583)

LME

Nickel

Base

Metal

11

1/2020

USD

922,870

(180,381)

LME

Nickel

Base

Metal

13

1/2020

USD

1,090,581

(216,369)

LME

Nickel

Base

Metal

17

1/2020

USD

1,426,470

(279,289)

LME

Nickel

Base

Metal

21

1/2020

USD

1,761,173

(360,658)

LME

Zinc

Base

Metal

3

1/2020

USD

171,070

(263)

LME

Zinc

Base

Metal

4

1/2020

USD

228,121

(1,425)

LME

Zinc

Base

Metal

9

1/2020

USD

513,144

(6,372)

LME

Zinc

Base

Metal

15

1/2020

USD

855,094

(52,487)

LME

Zinc

Base

Metal

19

1/2020

USD

1,082,763

(93,234)

LME

Zinc

Base

Metal

19

1/2020

USD

1,082,763

(6,094)

LME

Zinc

Base

Metal

21

1/2020

USD

1,196,738

(100,226)

LME

Zinc

Base

Metal

21

1/2020

USD

1,196,738

(127,592)

LME

Zinc

Base

Metal

21

1/2020

USD

1,196,738

(103,650)

LME

Zinc

Base

Metal

26

1/2020

USD

1,481,675

(171,544)

LME

Zinc

Base

Metal

28

1/2020

USD

1,596,700

(105,946)

LME

Zinc

Base

Metal

31

1/2020

USD

1,767,907

(104,010)

LME

Zinc

Base

Metal

31

1/2020

USD

1,791,994

(17,614)

LME

Zinc

Base

Metal

31

1/2020

USD

1,768,163

(90,722)

LME

Zinc

Base

Metal

38

1/2020

USD

2,165,525

(161,193)

LME

Zinc

Base

Metal

42

1/2020

USD

2,393,475

(225,895)

LME

Zinc

Base

Metal

45

1/2020

USD

2,564,438

(291,517)

LME

Zinc

Base

Metal

45

1/2020

USD

2,564,438

(249,839)

MSCI

Singapore

Index

698

1/2020

SGD

19,280,048

(34,623)

MSCI

Taiwan

Index

170

1/2020

USD

7,813,200

(64,218)

NY

Harbor

ULSD

142

1/2020

USD

12,063,979

427,656

OMXS30

Index

1,130

1/2020

SEK

21,332,990

(244,893)

RBOB

Gasoline

602

1/2020

USD

42,742,602

1,114,975

SGX

FTSE

China

A50

Index

727

1/2020

USD

10,476,070

183,468

SGX

NIFTY

50

Index

2,434

1/2020

USD

59,608,660

(341,963)

WTI

Crude

Oil

2,117

1/2020

USD

129,264,020

1,530,579

100

oz

Gold

2,402

2/2020

USD

365,848,620

10,970,508

Live

Cattle

285

2/2020

USD

14,355,450

82,295

LME

Aluminum

Base

Metal

6

2/2020

USD

270,410

8,792

LME

Aluminum

Base

Metal

6

2/2020

USD

270,150

9,159

LME

Aluminum

Base

Metal

6

2/2020

USD

270,357

9,639

LME

Aluminum

Base

Metal

9

2/2020

USD

405,176

13,011

LME

Aluminum

Base

Metal

12

2/2020

USD

540,300

18,265

LME

Aluminum

Base

Metal

13

2/2020

USD

585,325

20,112

LME

Aluminum

Base

Metal

17

2/2020

USD

766,309

17,286

LME

Aluminum

Base

Metal

21

2/2020

USD

946,796

22,227

LME

Aluminum

Base

Metal

35

2/2020

USD

1,574,921

41,220

LME

Aluminum

Base

Metal

44

2/2020

USD

1,979,659

35,604

LME

Aluminum

Base

Metal

104

2/2020

USD

4,675,216

(25,202)

LME

Aluminum

Base

Metal

108

2/2020

USD

4,858,569

73,196

LME

Aluminum

Base

Metal

111

2/2020

USD

4,988,673

7,189

LME

Aluminum

Base

Metal

116

2/2020

USD

5,214,026

(46,001)

LME

Aluminum

Base

Metal

171

2/2020

USD

7,688,075

(69,637)

LME

Copper

Base

Metal

1

2/2020

USD

154,224

5,676

LME

Copper

Base

Metal

2

2/2020

USD

308,413

12,907

LME

Copper

Base

Metal

3

2/2020

USD

462,675

24,716

LME

Copper

Base

Metal

3

2/2020

USD

462,638

23,354

LME

Copper

Base

Metal

3

2/2020

USD

462,699

20,153

LME

Copper

Base

Metal

3

2/2020

USD

462,514

25,272

LME

Copper

Base

Metal

5

2/2020

USD

770,813

35,167

15

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

5

2/2020

USD

$

770,856

$

40,961

LME

Copper

Base

Metal

7

2/2020

USD

1,079,274

57,400

LME

Copper

Base

Metal

10

2/2020

USD

1,540,853

57,708

LME

Copper

Base

Metal

12

2/2020

USD

1,849,152

70,144

LME

Copper

Base

Metal

12

2/2020

USD

1,848,894

85,898

LME

Copper

Base

Metal

13

2/2020

USD

2,004,087

97,647

LME

Copper

Base

Metal

19

2/2020

USD

2,928,028

100,180

LME

Nickel

Base

Metal

2

2/2020

USD

167,858

(30,178)

LME

Nickel

Base

Metal

2

2/2020

USD

167,877

(28,184)

LME

Nickel

Base

Metal

4

2/2020

USD

335,735

(54,181)

LME

Nickel

Base

Metal

7

2/2020

USD

588,272

(17,598)

LME

Nickel

Base

Metal

8

2/2020

USD

671,772

(71,287)

LME

Nickel

Base

Metal

8

2/2020

USD

672,267

(19,676)

LME

Nickel

Base

Metal

8

2/2020

USD

671,545

(107,602)

LME

Nickel

Base

Metal

9

2/2020

USD

755,701

(76,735)

LME

Nickel

Base

Metal

9

2/2020

USD

756,000

(28,372)

LME

Nickel

Base

Metal

9

2/2020

USD

756,250

(28,234)

LME

Nickel

Base

Metal

10

2/2020

USD

840,000

(23,130)

LME

Nickel

Base

Metal

10

2/2020

USD

839,953

(49,097)

LME

Nickel

Base

Metal

11

2/2020

USD

924,489

3,160

LME

Nickel

Base

Metal

21

2/2020

USD

1,764,117

(43,229)

LME

Nickel

Base

Metal

21

2/2020

USD

1,763,502

(153,470)

LME

Zinc

Base

Metal

5

2/2020

USD

284,938

(25,390)

LME

Zinc

Base

Metal

5

2/2020

USD

284,938

(32,074)

LME

Zinc

Base

Metal

6

2/2020

USD

341,925

(23,493)

LME

Zinc

Base

Metal

8

2/2020

USD

455,666

(17,358)

LME

Zinc

Base

Metal

9

2/2020

USD

512,494

(14,595)

LME

Zinc

Base

Metal

9

2/2020

USD

512,269

(15,417)

LME

Zinc

Base

Metal

9

2/2020

USD

512,199

(3,861)

LME

Zinc

Base

Metal

12

2/2020

USD

683,850

(77,097)

LME

Zinc

Base

Metal

12

2/2020

USD

683,676

(35,684)

LME

Zinc

Base

Metal

13

2/2020

USD

739,882

(9,606)

LME

Zinc

Base

Metal

15

2/2020

USD

853,688

2,393

LME

Zinc

Base

Metal

17

2/2020

USD

968,788

(88,238)

LME

Zinc

Base

Metal

21

2/2020

USD

1,195,100

(2,100)

LME

Zinc

Base

Metal

21

2/2020

USD

1,196,738

(110,799)

LME

Zinc

Base

Metal

34

2/2020

USD

1,935,187

(18,401)

Low

Sulphur

Gasoil

870

2/2020

USD

53,396,250

1,347,244

Sugar

No.

11

2,124

2/2020

USD

31,924,570

393,288

Australia

3

Year

Bond

2,496

3/2020

AUD

201,454,255

(1,190,508)

Cocoa

276

3/2020

USD

7,010,400

(55,213)

Cocoa

384

3/2020

GBP

9,252,278

(154,663)

Coffee

'C'

474

3/2020

USD

23,054,175

345,914

Copper

104

3/2020

USD

7,272,200

51,693

Corn

189

3/2020

USD

3,664,238

(8,077)

DAX

Index

169

3/2020

EUR

62,777,581

(249,915)

DJIA

CBOT

E-Mini

Index

431

3/2020

USD

61,434,740

526,166

EURO

STOXX

50

Index

1,732

3/2020

EUR

72,446,430

(184,771)

FTSE

100

Index

2,661

3/2020

GBP

264,321,794

1,460,849

FTSE/JSE

Top

40

Index

1,058

3/2020

ZAR

38,796,858

(367,001)

FTSE/MIB

Index

288

3/2020

EUR

37,812,956

(228,566)

KC

HRW

Wheat

232

3/2020

USD

5,637,600

531,909

KOSPI

200

Index

134

3/2020

KRW

8,551,342

321,608

LME

Aluminum

Base

Metal

4

3/2020

USD

180,792

4,380

LME

Aluminum

Base

Metal

7

3/2020

USD

315,781

6,231

LME

Aluminum

Base

Metal

9

3/2020

USD

406,548

8,721

16

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

10

3/2020

USD

$

452,328

$

10,453

LME

Aluminum

Base

Metal

14

3/2020

USD

632,531

17,889

LME

Aluminum

Base

Metal

18

3/2020

USD

813,411

24,283

LME

Aluminum

Base

Metal

23

3/2020

USD

1,037,961

20,661

LME

Aluminum

Base

Metal

24

3/2020

USD

1,084,962

20,062

LME

Aluminum

Base

Metal

29

3/2020

USD

1,308,988

36,889

LME

Aluminum

Base

Metal

31

3/2020

USD

1,399,534

50,167

LME

Aluminum

Base

Metal

33

3/2020

USD

1,488,968

12,896

LME

Aluminum

Base

Metal

38

3/2020

USD

1,719,168

39,402

LME

Aluminum

Base

Metal

42

3/2020

USD

1,900,416

(12,681)

LME

Aluminum

Base

Metal

45

3/2020

USD

2,036,250

(12,508)

LME

Aluminum

Base

Metal

50

3/2020

USD

2,261,663

6,784

LME

Aluminum

Base

Metal

51

3/2020

USD

2,307,011

(7,089)

LME

Aluminum

Base

Metal

69

3/2020

USD

3,120,663

15,145

LME

Aluminum

Base

Metal

69

3/2020

USD

3,120,525

34,222

LME

Aluminum

Base

Metal

520

3/2020

USD

23,530,000

208,129

LME

Copper

Base

Metal

1

3/2020

USD

154,288

135

LME

Copper

Base

Metal

1

3/2020

USD

154,260

7,332

LME

Copper

Base

Metal

1

3/2020

USD

154,256

(253)

LME

Copper

Base

Metal

1

3/2020

USD

154,288

(1,140)

LME

Copper

Base

Metal

2

3/2020

USD

308,642

6,286

LME

Copper

Base

Metal

3

3/2020

USD

463,125

(1,655)

LME

Copper

Base

Metal

4

3/2020

USD

617,481

101

LME

Copper

Base

Metal

4

3/2020

USD

617,425

438

LME

Copper

Base

Metal

6

3/2020

USD

926,085

6,470

LME

Copper

Base

Metal

6

3/2020

USD

925,979

12,519

LME

Copper

Base

Metal

6

3/2020

USD

926,033

7,542

LME

Copper

Base

Metal

9

3/2020

USD

1,388,493

72,216

LME

Copper

Base

Metal

36

3/2020

USD

5,557,500

32,160

LME

Nickel

Base

Metal

1

3/2020

USD

84,135

(2,778)

LME

Nickel

Base

Metal

1

3/2020

USD

84,138

(426)

LME

Nickel

Base

Metal

1

3/2020

USD

84,126

(1,017)

LME

Nickel

Base

Metal

1

3/2020

USD

84,072

4,728

LME

Nickel

Base

Metal

1

3/2020

USD

84,078

5,448

LME

Nickel

Base

Metal

1

3/2020

USD

84,083

3,314

LME

Nickel

Base

Metal

1

3/2020

USD

84,111

3,489

LME

Nickel

Base

Metal

1

3/2020

USD

84,137

(1,873)

LME

Nickel

Base

Metal

1

3/2020

USD

84,100

4,831

LME

Nickel

Base

Metal

2

3/2020

USD

168,233

2,675

LME

Nickel

Base

Metal

2

3/2020

USD

168,289

(2,177)

LME

Nickel

Base

Metal

2

3/2020

USD

168,296

(2,830)

LME

Nickel

Base

Metal

3

3/2020

USD

252,417

(2,868)

LME

Nickel

Base

Metal

3

3/2020

USD

252,367

(3,368)

LME

Nickel

Base

Metal

3

3/2020

USD

252,200

5,996

LME

Nickel

Base

Metal

5

3/2020

USD

420,306

10,941

LME

Nickel

Base

Metal

33

3/2020

USD

2,776,950

58,007

LME

Zinc

Base

Metal

2

3/2020

USD

113,624

(214)

LME

Zinc

Base

Metal

2

3/2020

USD

113,751

845

LME

Zinc

Base

Metal

5

3/2020

USD

284,361

(3,174)

LME

Zinc

Base

Metal

5

3/2020

USD

284,000

(1,712)

LME

Zinc

Base

Metal

11

3/2020

USD

624,825

(10,160)

LME

Zinc

Base

Metal

13

3/2020

USD

739,801

3,800

LME

Zinc

Base

Metal

16

3/2020

USD

909,024

(10,860)

LME

Zinc

Base

Metal

17

3/2020

USD

967,292

21,404

LME

Zinc

Base

Metal

17

3/2020

USD

965,881

(27,746)

LME

Zinc

Base

Metal

17

3/2020

USD

967,003

17,077

17

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

18

3/2020

USD

$

1,023,944

$

20,390

LME

Zinc

Base

Metal

18

3/2020

USD

1,022,738

(24,731)

LME

Zinc

Base

Metal

19

3/2020

USD

1,080,958

24,026

LME

Zinc

Base

Metal

19

3/2020

USD

1,081,024

7,943

LME

Zinc

Base

Metal

19

3/2020

USD

1,080,896

21,827

LME

Zinc

Base

Metal

19

3/2020

USD

1,081,219

26,663

LME

Zinc

Base

Metal

27

3/2020

USD

1,536,374

32,746

LME

Zinc

Base

Metal

133

3/2020

USD

7,563,544

(97,431)

MSCI

EAFE

E-Mini

Index

185

3/2020

USD

18,837,625

2,098

MSCI

Emerging

Markets

E-Mini

Index

1,258

3/2020

USD

70,460,580

1,013,796

NASDAQ

100

E-Mini

Index

372

3/2020

USD

65,116,740

1,091,085

Nikkei

225

Index

433

3/2020

JPY

94,207,538

1,243,912

Palladium

65

3/2020

USD

12,410,450

978,458

Russell

2000

E-Mini

Index

2,440

3/2020

USD

203,813,200

2,405,208

S&P

500

E-Mini

Index

543

3/2020

USD

87,724,365

1,507,165

S&P

Midcap

400

E-Mini

Index

302

3/2020

USD

62,356,960

577,746

S&P/TSX

60

Index

2,775

3/2020

CAD

432,699,550

(491,341)

Silver

291

3/2020

USD

26,075,055

730,655

Soybean

Oil

430

3/2020

USD

8,970,660

511,853

SPI

200

Index

1,264

3/2020

AUD

146,423,499

(4,006,268)

TOPIX

Index

1,706

3/2020

JPY

270,215,453

1,104,149

U.S.

Treasury

2

Year

Note

443

3/2020

USD

95,466,500

(9,976)

U.S.

Treasury

5

Year

Note

254

3/2020

USD

30,126,781

(19,214)

U.S.

Treasury

Long

Bond

104

3/2020

USD

16,214,250

(154,996)

U.S.

Treasury

Ultra

Bond

48

3/2020

USD

8,719,500

(157,866)

Wheat

1,436

3/2020

USD

40,118,250

2,049,391

Platinum

222

4/2020

USD

10,853,580

370,940

3

Month

Sterling

358

6/2020

GBP

58,849,063

(23,402)

3

Month

Sterling

371

9/2020

GBP

60,998,326

(24,650)

ASX

90

Day

Bank

Accepted

Bill

114

9/2020

AUD

79,840,035

(27,171)

3

Month

Sterling

454

12/2020

GBP

74,641,093

(1,750)

3

Month

Sterling

327

3/2021

GBP

53,764,023

(4,491)

3

Month

Sterling

291

6/2021

GBP

47,835,412

(1,755)

3

Month

Sterling

245

9/2021

GBP

40,265,687

(2,477)

3

Month

Sterling

198

12/2021

GBP

32,531,414

(3,722)

30,449,598

Short

Contracts

LME

Aluminum

Base

Metal

(17)

1/2020

USD

(760,147)

(29,930)

LME

Aluminum

Base

Metal

(19)

1/2020

USD

(852,725)

(25,806)

LME

Aluminum

Base

Metal

(20)

1/2020

USD

(892,625)

(24,049)

LME

Aluminum

Base

Metal

(23)

1/2020

USD

(1,025,754)

(37,972)

LME

Aluminum

Base

Metal

(36)

1/2020

USD

(1,606,122)

(40,003)

LME

Aluminum

Base

Metal

(36)

1/2020

USD

(1,612,386)

(49,192)

LME

Aluminum

Base

Metal

(38)

1/2020

USD

(1,699,788)

(71,837)

LME

Aluminum

Base

Metal

(41)

1/2020

USD

(1,825,781)

(68,088)

LME

Aluminum

Base

Metal

(44)

1/2020

USD

(1,974,225)

(66,259)

LME

Aluminum

Base

Metal

(53)

1/2020

USD

(2,366,344)

(57,938)

LME

Aluminum

Base

Metal

(57)

1/2020

USD

(2,564,288)

(108,545)

LME

Aluminum

Base

Metal

(63)

1/2020

USD

(2,818,069)

(113,098)

LME

Aluminum

Base

Metal

(71)

1/2020

USD

(3,180,800)

(123,790)

LME

Aluminum

Base

Metal

(74)

1/2020

USD

(3,322,841)

(89,259)

LME

Aluminum

Base

Metal

(79)

1/2020

USD

(3,546,448)

(72,656)

LME

Aluminum

Base

Metal

(91)

1/2020

USD

(4,071,590)

(137,478)

LME

Aluminum

Base

Metal

(103)

1/2020

USD

(4,615,585)

(179,465)

LME

Aluminum

Base

Metal

(200)

1/2020

USD

(8,964,600)

(346,604)

LME

Copper

Base

Metal

(3)

1/2020

USD

(461,466)

(37,481)

18

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(4)

1/2020

USD

$

(615,375)

$

(45,862)

LME

Copper

Base

Metal

(5)

1/2020

USD

(769,406)

(54,492)

LME

Copper

Base

Metal

(6)

1/2020

USD

(923,685)

(60,528)

LME

Copper

Base

Metal

(6)

1/2020

USD

(923,610)

(48,884)

LME

Copper

Base

Metal

(7)

1/2020

USD

(1,076,075)

(86,521)

LME

Copper

Base

Metal

(9)

1/2020

USD

(1,385,318)

(71,101)

LME

Copper

Base

Metal

(10)

1/2020

USD

(1,539,625)

(92,280)

LME

Copper

Base

Metal

(10)

1/2020

USD

(1,539,458)

(84,948)

LME

Copper

Base

Metal

(13)

1/2020

USD

(2,000,538)

(129,424)

LME

Copper

Base

Metal

(13)

1/2020

USD

(2,002,413)

(101,526)

LME

Copper

Base

Metal

(13)

1/2020

USD

(2,001,435)

(88,523)

LME

Copper

Base

Metal

(15)

1/2020

USD

(2,310,315)

(94,859)

LME

Copper

Base

Metal

(16)

1/2020

USD

(2,464,164)

(94,111)

LME

Copper

Base

Metal

(20)

1/2020

USD

(3,079,990)

(129,549)

LME

Copper

Base

Metal

(31)

1/2020

USD

(4,801,900)

(414,586)

LME

Copper

Base

Metal

(57)

1/2020

USD

(8,771,231)

(551,650)

LME

Nickel

Base

Metal

(3)

1/2020

USD

(251,244)

62,667

LME

Nickel

Base

Metal

(3)

1/2020

USD

(251,270)

64,017

LME

Nickel

Base

Metal

(3)

1/2020

USD

(251,398)

59,489

LME

Nickel

Base

Metal

(3)

1/2020

USD

(251,424)

52,533

LME

Nickel

Base

Metal

(4)

1/2020

USD

(335,436)

58,272

LME

Nickel

Base

Metal

(4)

1/2020

USD

(335,385)

53,163

LME

Nickel

Base

Metal

(4)

1/2020

USD

(335,257)

67,379

LME

Nickel

Base

Metal

(4)

1/2020

USD

(334,954)

91,643

LME

Nickel

Base

Metal

(4)

1/2020

USD

(335,615)

69,376

LME

Nickel

Base

Metal

(6)

1/2020

USD

(503,116)

75,530

LME

Nickel

Base

Metal

(7)

1/2020

USD

(597,954)

133,146

LME

Nickel

Base

Metal

(9)

1/2020

USD

(753,886)

198,501

LME

Nickel

Base

Metal

(10)

1/2020

USD

(838,208)

137,843

LME

Nickel

Base

Metal

(11)

1/2020

USD

(922,870)

181,349

LME

Nickel

Base

Metal

(11)

1/2020

USD

(920,700)

245,225

LME

Nickel

Base

Metal

(13)

1/2020

USD

(1,090,581)

216,660

LME

Nickel

Base

Metal

(17)

1/2020

USD

(1,426,470)

278,713

LME

Nickel

Base

Metal

(21)

1/2020

USD

(1,761,173)

355,565

LME

Zinc

Base

Metal

(3)

1/2020

USD

(171,070)

(733)

LME

Zinc

Base

Metal

(4)

1/2020

USD

(228,121)

1,317

LME

Zinc

Base

Metal

(9)

1/2020

USD

(513,144)

6,467

LME

Zinc

Base

Metal

(15)

1/2020

USD

(855,094)

50,862

LME

Zinc

Base

Metal

(19)

1/2020

USD

(1,082,763)

97,556

LME

Zinc

Base

Metal

(19)

1/2020

USD

(1,082,763)

6,531

LME

Zinc

Base

Metal

(21)

1/2020

USD

(1,196,738)

105,201

LME

Zinc

Base

Metal

(21)

1/2020

USD

(1,196,738)

133,026

LME

Zinc

Base

Metal

(21)

1/2020

USD

(1,196,738)

99,951

LME

Zinc

Base

Metal

(26)

1/2020

USD

(1,481,675)

176,723

LME

Zinc

Base

Metal

(28)

1/2020

USD

(1,596,700)

99,681

LME

Zinc

Base

Metal

(31)

1/2020

USD

(1,767,907)

92,196

LME

Zinc

Base

Metal

(31)

1/2020

USD

(1,768,163)

83,745

LME

Zinc

Base

Metal

(31)

1/2020

USD

(1,791,994)

21,740

LME

Zinc

Base

Metal

(38)

1/2020

USD

(2,165,525)

150,213

LME

Zinc

Base

Metal

(42)

1/2020

USD

(2,393,475)

219,485

LME

Zinc

Base

Metal

(45)

1/2020

USD

(2,564,438)

288,430

LME

Zinc

Base

Metal

(45)

1/2020

USD

(2,564,438)

251,705

Natural

Gas

(6,778)

1/2020

USD

(148,370,420)

5,391,942

Lean

Hogs

(202)

2/2020

USD

(5,771,140)

64,225

LME

Aluminum

Base

Metal

(6)

2/2020

USD

(270,357)

(9,646)

LME

Aluminum

Base

Metal

(6)

2/2020

USD

(270,150)

(9,005)

19

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(6)

2/2020

USD

$

(270,410)

$

(8,857)

LME

Aluminum

Base

Metal

(9)

2/2020

USD

(405,176)

(13,308)

LME

Aluminum

Base

Metal

(12)

2/2020

USD

(540,300)

(18,437)

LME

Aluminum

Base

Metal

(13)

2/2020

USD

(585,325)

(21,595)

LME

Aluminum

Base

Metal

(17)

2/2020

USD

(766,309)

(18,572)

LME

Aluminum

Base

Metal

(21)

2/2020

USD

(946,796)

(21,957)

LME

Aluminum

Base

Metal

(35)

2/2020

USD

(1,574,921)

(32,713)

LME

Aluminum

Base

Metal

(44)

2/2020

USD

(1,979,659)

(36,089)

LME

Aluminum

Base

Metal

(104)

2/2020

USD

(4,675,216)

30,477

LME

Aluminum

Base

Metal

(108)

2/2020

USD

(4,858,569)

(82,588)

LME

Aluminum

Base

Metal

(111)

2/2020

USD

(4,988,673)

(37,707)

LME

Aluminum

Base

Metal

(116)

2/2020

USD

(5,214,026)

46,232

LME

Aluminum

Base

Metal

(171)

2/2020

USD

(7,688,075)

59,671

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,224)

(5,121)

LME

Copper

Base

Metal

(2)

2/2020

USD

(308,413)

(14,765)

LME

Copper

Base

Metal

(3)

2/2020

USD

(462,699)

(20,902)

LME

Copper

Base

Metal

(3)

2/2020

USD

(462,514)

(25,498)

LME

Copper

Base

Metal

(3)

2/2020

USD

(462,675)

(23,784)

LME

Copper

Base

Metal

(3)

2/2020

USD

(462,638)

(23,521)

LME

Copper

Base

Metal

(5)

2/2020

USD

(770,813)

(34,859)

LME

Copper

Base

Metal

(5)

2/2020

USD

(770,856)

(41,746)

LME

Copper

Base

Metal

(7)

2/2020

USD

(1,079,274)

(56,620)

LME

Copper

Base

Metal

(10)

2/2020

USD

(1,540,853)

(61,070)

LME

Copper

Base

Metal

(12)

2/2020

USD

(1,849,152)

(70,562)

LME

Copper

Base

Metal

(12)

2/2020

USD

(1,848,894)

(88,529)

LME

Copper

Base

Metal

(13)

2/2020

USD

(2,004,087)

(100,759)

LME

Copper

Base

Metal

(19)

2/2020

USD

(2,928,028)

(97,291)

LME

Nickel

Base

Metal

(2)

2/2020

USD

(167,877)

26,967

LME

Nickel

Base

Metal

(2)

2/2020

USD

(167,858)

31,318

LME

Nickel

Base

Metal

(4)

2/2020

USD

(335,735)

55,849

LME

Nickel

Base

Metal

(7)

2/2020

USD

(588,272)

17,347

LME

Nickel

Base

Metal

(8)

2/2020

USD

(671,545)

102,771

LME

Nickel

Base

Metal

(8)

2/2020

USD

(671,772)

71,797

LME

Nickel

Base

Metal

(8)

2/2020

USD

(672,267)

19,136

LME

Nickel

Base

Metal

(9)

2/2020

USD

(755,701)

82,141

LME

Nickel

Base

Metal

(9)

2/2020

USD

(756,000)

30,123

LME

Nickel

Base

Metal

(9)

2/2020

USD

(756,250)

29,288

LME

Nickel

Base

Metal

(10)

2/2020

USD

(840,000)

21,905

LME

Nickel

Base

Metal

(10)

2/2020

USD

(839,953)

45,456

LME

Nickel

Base

Metal

(11)

2/2020

USD

(924,489)

(3,684)

LME

Nickel

Base

Metal

(21)

2/2020

USD

(1,763,502)

149,993

LME

Nickel

Base

Metal

(21)

2/2020

USD

(1,764,117)

43,525

LME

Zinc

Base

Metal

(5)

2/2020

USD

(284,938)

24,725

LME

Zinc

Base

Metal

(5)

2/2020

USD

(284,938)

33,298

LME

Zinc

Base

Metal

(6)

2/2020

USD

(341,925)

22,618

LME

Zinc

Base

Metal

(8)

2/2020

USD

(455,666)

15,288

LME

Zinc

Base

Metal

(9)

2/2020

USD

(512,494)

14,229

LME

Zinc

Base

Metal

(9)

2/2020

USD

(512,199)

4,365

LME

Zinc

Base

Metal

(9)

2/2020

USD

(512,269)

12,855

LME

Zinc

Base

Metal

(12)

2/2020

USD

(683,676)

35,378

LME

Zinc

Base

Metal

(12)

2/2020

USD

(683,850)

75,115

LME

Zinc

Base

Metal

(13)

2/2020

USD

(739,882)

7,677

LME

Zinc

Base

Metal

(15)

2/2020

USD

(853,688)

2,521

LME

Zinc

Base

Metal

(17)

2/2020

USD

(968,788)

86,144

LME

Zinc

Base

Metal

(21)

2/2020

USD

(1,195,100)

2,333

LME

Zinc

Base

Metal

(21)

2/2020

USD

(1,196,738)

107,108

20

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(34)

2/2020

USD

$

(1,935,187)

$

15,562

Australia

10

Year

Bond

(19)

3/2020

AUD

(1,906,097)

(2,147)

Canada

10

Year

Bond

(57)

3/2020

CAD

(6,034,700)

95,014

Euro-Bobl

(375)

3/2020

EUR

(56,209,789)

262,709

Euro-BTP

(1,538)

3/2020

EUR

(245,768,373)

235,341

Euro-Bund

(159)

3/2020

EUR

(30,406,943)

448,727

Euro-Buxl

(8)

3/2020

EUR

(1,780,183)

50,540

Euro-OAT

(143)

3/2020

EUR

(26,108,813)

389,598

Euro-Schatz

(4,629)

3/2020

EUR

(581,049,847)

399,892

Japan

10

Year

Bond

(24)

3/2020

JPY

(33,613,916)

(24,310)

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(180,792)

(4,375)

LME

Aluminum

Base

Metal

(7)

3/2020

USD

(315,781)

(8,764)

LME

Aluminum

Base

Metal

(9)

3/2020

USD

(406,548)

(9,723)

LME

Aluminum

Base

Metal

(10)

3/2020

USD

(452,328)

(11,107)

LME

Aluminum

Base

Metal

(14)

3/2020

USD

(632,531)

(18,303)

LME

Aluminum

Base

Metal

(18)

3/2020

USD

(813,411)

(22,894)

LME

Aluminum

Base

Metal

(23)

3/2020

USD

(1,037,961)

(25,303)

LME

Aluminum

Base

Metal

(24)

3/2020

USD

(1,084,962)

(21,833)

LME

Aluminum

Base

Metal

(29)

3/2020

USD

(1,308,988)

(40,080)

LME

Aluminum

Base

Metal

(31)

3/2020

USD

(1,399,534)

(47,970)

LME

Aluminum

Base

Metal

(33)

3/2020

USD

(1,488,968)

(10,666)

LME

Aluminum

Base

Metal

(38)

3/2020

USD

(1,719,168)

(39,680)

LME

Aluminum

Base

Metal

(42)

3/2020

USD

(1,900,416)

7,310

LME

Aluminum

Base

Metal

(45)

3/2020

USD

(2,036,250)

21,524

LME

Aluminum

Base

Metal

(50)

3/2020

USD

(2,261,663)

(4,285)

LME

Aluminum

Base

Metal

(51)

3/2020

USD

(2,307,011)

5,370

LME

Aluminum

Base

Metal

(69)

3/2020

USD

(3,120,525)

(49,539)

LME

Aluminum

Base

Metal

(69)

3/2020

USD

(3,120,663)

(25,785)

LME

Aluminum

Base

Metal

(905)

3/2020

USD

(40,951,250)

(1,161,907)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,256)

396

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,288)

(53)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,260)

(7,212)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,288)

1,066

LME

Copper

Base

Metal

(2)

3/2020

USD

(308,642)

(8,198)

LME

Copper

Base

Metal

(3)

3/2020

USD

(463,125)

2,393

LME

Copper

Base

Metal

(4)

3/2020

USD

(617,481)

507

LME

Copper

Base

Metal

(4)

3/2020

USD

(617,425)

(187)

LME

Copper

Base

Metal

(6)

3/2020

USD

(926,085)

(6,978)

LME

Copper

Base

Metal

(6)

3/2020

USD

(925,979)

(11,821)

LME

Copper

Base

Metal

(6)

3/2020

USD

(926,033)

(9,400)

LME

Copper

Base

Metal

(9)

3/2020

USD

(1,388,493)

(70,343)

LME

Copper

Base

Metal

(10)

3/2020

USD

(1,543,750)

(80,886)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,138)

809

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,126)

2,174

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,111)

(2,994)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,083)

(3,316)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,100)

(4,513)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,078)

(5,001)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,137)

1,900

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,135)

2,697

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,072)

(4,795)

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,296)

3,258

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,289)

1,342

LME

Nickel

Base

Metal

(2)

3/2020

USD

(168,233)

(2,366)

LME

Nickel

Base

Metal

(3)

3/2020

USD

(252,200)

(9,153)

LME

Nickel

Base

Metal

(3)

3/2020

USD

(252,417)

2,853

21

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(3)

3/2020

USD

$

(252,367)

$

2,723

LME

Nickel

Base

Metal

(5)

3/2020

USD

(420,306)

(8,755)

LME

Nickel

Base

Metal

(32)

3/2020

USD

(2,692,800)

(27,088)

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,624)

46

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,751)

(878)

LME

Zinc

Base

Metal

(5)

3/2020

USD

(284,000)

2,110

LME

Zinc

Base

Metal

(5)

3/2020

USD

(284,361)

3,624

LME

Zinc

Base

Metal

(11)

3/2020

USD

(624,825)

8,468

LME

Zinc

Base

Metal

(13)

3/2020

USD

(739,801)

(7,955)

LME

Zinc

Base

Metal

(16)

3/2020

USD

(909,024)

13,929

LME

Zinc

Base

Metal

(17)

3/2020

USD

(965,881)

21,353

LME

Zinc

Base

Metal

(17)

3/2020

USD

(967,292)

(18,534)

LME

Zinc

Base

Metal

(17)

3/2020

USD

(967,003)

(15,920)

LME

Zinc

Base

Metal

(18)

3/2020

USD

(1,022,738)

23,684

LME

Zinc

Base

Metal

(18)

3/2020

USD

(1,023,944)

(21,387)

LME

Zinc

Base

Metal

(19)

3/2020

USD

(1,080,958)

(21,471)

LME

Zinc

Base

Metal

(19)

3/2020

USD

(1,080,896)

(24,552)

LME

Zinc

Base

Metal

(19)

3/2020

USD

(1,081,219)

(28,969)

LME

Zinc

Base

Metal

(19)

3/2020

USD

(1,081,024)

(13,204)

LME

Zinc

Base

Metal

(27)

3/2020

USD

(1,536,374)

(22,370)

LME

Zinc

Base

Metal

(228)

3/2020

USD

(12,966,075)

(182,044)

Long

Gilt

(45)

3/2020

GBP

(7,831,168)

(8,967)

U.S.

Treasury

10

Year

Note

(21)

3/2020

USD

(2,696,859)

961

3

Month

Canadian

Bankers

Acceptance

(79)

6/2020

CAD

(14,908,128)

1,483

3

Month

Euro

Euribor

(2,736)

6/2020

EUR

(770,196,682)

148,511

3

Month

Eurodollar

(253)

6/2020

USD

(62,181,075)

(6,365)

3

Month

Euroswiss

(106)

6/2020

CHF

(27,576,100)

8,609

ASX

90

Day

Bank

Accepted

Bill

(34)

6/2020

AUD

(23,809,597)

(496)

3

Month

Canadian

Bankers

Acceptance

(66)

9/2020

CAD

(12,456,798)

2,867

3

Month

Euro

Euribor

(2,954)

9/2020

EUR

(831,481,855)

258,920

3

Month

Eurodollar

(203)

9/2020

USD

(49,920,238)

25,574

3

Month

Euroswiss

(65)

9/2020

CHF

(16,909,873)

5,691

3

Month

Euro

Euribor

(1,878)

12/2020

EUR

(528,560,378)

169,590

3

Month

Eurodollar

(160)

12/2020

USD

(39,352,000)

17,361

3

Month

Euroswiss

(35)

12/2020

CHF

(9,103,508)

3,172

3

Month

Euro

Euribor

(726)

3/2021

EUR

(204,301,109)

67,061

3

Month

Eurodollar

(123)

3/2021

USD

(30,270,300)

11,953

3

Month

Euro

Euribor

(356)

6/2021

EUR

(100,160,743)

87,066

3

Month

Eurodollar

(76)

6/2021

USD

(18,703,600)

(3,051)

3

Month

Euro

Euribor

(322)

9/2021

EUR

(90,572,255)

61,686

3

Month

Eurodollar

(84)

9/2021

USD

(20,671,350)

(3,559)

3

Month

Euro

Euribor

(184)

12/2021

EUR

(51,740,095)

33,015

3

Month

Eurodollar

(67)

12/2021

USD

(16,481,163)

(2,996)

6,997,496

$

37,447,094

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

719,554,044

USD

496,207,030

CITI

3/18/2020

$

9,680,810

AUD

719,554,044

USD

496,207,651

JPMC

3/18/2020

9,680,190

22

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

259,367,500

USD

63,396,582

CITI

**

3/18/2020

$

880,106

BRL

259,367,500

USD

63,396,661

JPMC

**

3/18/2020

880,027

CAD

629,118,483

USD

475,035,084

CITI

3/18/2020

9,571,342

CAD

629,118,476

USD

475,035,672

JPMC

3/18/2020

9,570,748

CHF

342,263,496

USD

348,573,387

CITI

3/18/2020

6,974,712

CHF

342,263,504

USD

348,573,831

JPMC

3/18/2020

6,974,276

CLP

4,353,760,000

USD

5,464,019

CITI

**

3/18/2020

330,953

CLP

4,353,760,000

USD

5,464,026

JPMC

**

3/18/2020

330,945

COP

24,492,659,000

USD

7,254,378

CITI

**

3/18/2020

169,837

COP

24,492,659,000

USD

7,254,387

JPMC

**

3/18/2020

169,828

EUR

268,427,499

USD

299,584,917

CITI

3/18/2020

2,932,865

EUR

268,427,501

USD

299,585,294

JPMC

3/18/2020

2,932,491

GBP

274,746,496

USD

358,946,486

CITI

3/18/2020

5,737,578

GBP

274,746,488

USD

358,946,925

JPMC

3/18/2020

5,737,129

HUF

34,965,002,566

USD

118,125,908

CITI

3/18/2020

822,653

HUF

34,965,002,572

USD

118,121,842

JPMC

3/18/2020

826,719

IDR

105,199,831,000

USD

7,435,696

CITI

**

3/18/2020

122,280

IDR

981,556,871,352

USD

68,880,277

CITI

**

3/18/2020

1,638,695

IDR

105,199,831,000

USD

7,435,706

JPMC

**

3/18/2020

122,271

IDR

981,556,871,360

USD

68,880,363

JPMC

**

3/18/2020

1,638,609

ILS

130,925,380

USD

37,955,751

CITI

3/18/2020

112,288

ILS

130,925,372

USD

37,955,796

JPMC

3/18/2020

112,241

INR

1,124,360,656

USD

15,534,540

CITI

**

3/18/2020

129,505

INR

1,124,360,640

USD

15,534,560

JPMC

**

3/18/2020

129,487

JPY

131,865,500

USD

1,212,316

CITI

3/18/2020

6,510

JPY

131,865,500

USD

1,212,317

JPMC

3/18/2020

6,508

KRW

302,613,605,500

USD

260,444,007

CITI

**

3/18/2020

1,882,346

KRW

302,613,605,500

USD

260,444,250

JPMC

**

3/18/2020

1,882,103

MXN

2,182,734,132

USD

110,825,264

CITI

3/18/2020

3,332,962

MXN

2,182,734,116

USD

110,825,402

JPMC

3/18/2020

3,332,823

NOK

1,444,847,000

USD

161,061,946

CITI

3/18/2020

3,549,368

NOK

1,444,847,000

USD

161,083,406

JPMC

3/18/2020

3,527,908

NZD

1,063,597,001

USD

690,824,603

CITI

3/18/2020

25,967,903

NZD

1,063,596,999

USD

690,825,465

JPMC

3/18/2020

25,967,039

PHP

1,561,805,404

USD

30,589,759

CITI

**

3/18/2020

141,748

PHP

1,561,805,404

USD

30,589,798

JPMC

**

3/18/2020

141,710

PLN

596,376,008

USD

154,483,555

CITI

3/18/2020

2,739,260

PLN

596,376,008

USD

154,483,748

JPMC

3/18/2020

2,739,067

SEK

984,205,500

USD

103,763,099

CITI

3/18/2020

1,697,332

SEK

984,205,500

USD

103,763,229

JPMC

3/18/2020

1,697,201

SGD

77,862,496

USD

57,288,208

CITI

3/18/2020

646,493

SGD

77,862,504

USD

57,288,286

JPMC

3/18/2020

646,421

TWD

1,231,380,483

USD

40,753,968

CITI

**

3/18/2020

650,593

TWD

1,231,380,468

USD

40,754,018

JPMC

**

3/18/2020

650,542

USD

16,636,147

GBP

12,433,500

CITI

3/18/2020

132,572

USD

16,636,126

GBP

12,433,500

JPMC

3/18/2020

132,552

USD

2,402,778

INR

172,014,500

CITI

**

3/18/2020

6,356

USD

2,402,775

INR

172,014,500

JPMC

**

3/18/2020

6,353

USD

57,891,764

JPY

6,245,227,612

CITI

3/18/2020

167,463

USD

57,891,691

JPY

6,245,227,608

JPMC

3/18/2020

167,390

USD

5,027,268

MXN

95,846,500

CITI

3/18/2020

14,442

USD

5,027,262

MXN

95,846,500

JPMC

3/18/2020

14,436

USD

7,847,416

PHP

398,474,500

CITI

**

3/18/2020

6,668

USD

7,847,406

PHP

398,474,500

JPMC

**

3/18/2020

6,658

USD

7,213,593

SEK

67,043,500

CITI

3/18/2020

29,690

USD

7,213,584

SEK

67,043,500

JPMC

3/18/2020

29,681

ZAR

497,355,544

USD

33,882,480

CITI

3/18/2020

1,277,087

23

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

497,355,560

USD

33,882,524

JPMC

3/18/2020

$

1,277,045

Total

unrealized

appreciation

162,682,815

CLP

1,748,079,500

USD

2,332,784

CITI

**

3/18/2020

(6,043)

CLP

1,748,079,500

USD

2,332,787

JPMC

**

3/18/2020

(6,045)

COP

265,673,500

USD

80,813

CITI

**

3/18/2020

(282)

COP

265,673,500

USD

80,813

JPMC

**

3/18/2020

(282)

HUF

4,640,982,934

USD

15,817,041

CITI

3/18/2020

(28,733)

HUF

4,640,982,928

USD

15,817,061

JPMC

3/18/2020

(28,753)

ILS

27,362,124

USD

7,966,162

CITI

3/18/2020

(10,314)

ILS

27,362,124

USD

7,966,172

JPMC

3/18/2020

(10,324)

INR

222,253,000

USD

3,113,628

CITI

**

3/18/2020

(17,307)

INR

222,253,000

USD

3,113,625

JPMC

**

3/18/2020

(17,305)

JPY

2,150,148,000

USD

19,924,044

CITI

3/18/2020

(50,342)

JPY

2,150,148,000

USD

19,924,069

JPMC

3/18/2020

(50,366)

NZD

15,291,500

USD

10,307,444

CITI

3/18/2020

(2,006)

NZD

15,291,500

USD

10,307,457

JPMC

3/18/2020

(2,019)

SEK

108,776,500

USD

11,666,696

CITI

3/18/2020

(10,984)

SEK

108,776,500

USD

11,666,710

JPMC

3/18/2020

(10,997)

USD

613,013,135

AUD

897,631,501

CITI

3/18/2020

(18,073,391)

USD

613,012,367

AUD

897,631,499

JPMC

3/18/2020

(18,074,157)

USD

67,969,194

BRL

288,387,496

CITI

**

3/18/2020

(3,499,256)

USD

67,969,109

BRL

288,387,496

JPMC

**

3/18/2020

(3,499,341)

USD

250,907,168

CAD

330,472,500

CITI

3/18/2020

(3,653,938)

USD

250,906,855

CAD

330,472,500

JPMC

3/18/2020

(3,654,251)

USD

144,650,222

CHF

142,452,000

CITI

3/18/2020

(3,330,905)

USD

144,650,041

CHF

142,452,000

JPMC

3/18/2020

(3,331,086)

USD

16,102,546

CLP

12,635,917,822

CITI

**

3/18/2020

(716,202)

USD

16,102,526

CLP

12,635,917,834

JPMC

**

3/18/2020

(716,222)

USD

6,797,569

COP

23,913,733,812

CITI

**

3/18/2020

(451,162)

USD

6,797,560

COP

23,913,733,812

JPMC

**

3/18/2020

(451,171)

USD

506,020,868

EUR

454,638,449

CITI

3/18/2020

(6,356,649)

USD

506,020,255

EUR

454,638,467

JPMC

3/18/2020

(6,357,282)

USD

228,724,427

GBP

174,756,000

CITI

3/18/2020

(3,237,505)

USD

228,724,142

GBP

174,756,000

JPMC

3/18/2020

(3,237,792)

USD

143,557,008

HUF

43,175,848,362

CITI

3/18/2020

(3,324,292)

USD

143,556,829

HUF

43,175,848,356

JPMC

3/18/2020

(3,324,471)

USD

39,688,505

IDR

564,631,353,500

CITI

**

3/18/2020

(876,870)

USD

39,688,456

IDR

564,631,353,500

JPMC

**

3/18/2020

(876,919)

USD

25,621,366

ILS

88,867,000

CITI

3/18/2020

(217,723)

USD

25,621,334

ILS

88,867,000

JPMC

3/18/2020

(217,755)

USD

7,136,232

INR

513,946,500

CITI

**

3/18/2020

(23,821)

USD

7,136,223

INR

513,946,500

JPMC

**

3/18/2020

(23,830)

USD

185,460,107

JPY

20,148,278,112

CITI

3/18/2020

(769,340)

USD

185,459,875

JPY

20,148,278,108

JPMC

3/18/2020

(769,572)

USD

280,464,218

KRW

331,951,762,580

CITI

**

3/18/2020

(7,294,475)

USD

280,463,867

KRW

331,951,762,580

JPMC

**

3/18/2020

(7,294,825)

USD

86,495,663

MXN

1,697,180,000

CITI

3/18/2020

(2,267,809)

USD

86,495,555

MXN

1,697,180,000

JPMC

3/18/2020

(2,267,917)

USD

163,659,940

NOK

1,499,380,000

CITI

3/18/2020

(7,164,314)

USD

163,659,735

NOK

1,499,379,996

JPMC

3/18/2020

(7,164,519)

USD

371,080,998

NZD

577,828,032

CITI

3/18/2020

(18,336,048)

USD

371,080,533

NZD

577,828,030

JPMC

3/18/2020

(18,336,512)

USD

1,251,246

PHP

63,800,000

CITI

**

3/18/2020

(4,141)

USD

1,251,244

PHP

63,800,000

JPMC

**

3/18/2020

(4,143)

USD

84,981,636

PLN

328,046,000

CITI

3/18/2020

(1,501,245)

USD

84,981,530

PLN

328,046,000

JPMC

3/18/2020

(1,501,351)

USD

32,402,703

SEK

306,791,376

CITI

3/18/2020

(470,869)

USD

32,402,662

SEK

306,791,375

JPMC

3/18/2020

(470,909)

24

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

25,868,774

SGD

35,232,998

CITI

3/18/2020

$

(346,840)

USD

25,868,745

SGD

35,233,002

JPMC

3/18/2020

(346,873)

USD

26,658,428

TWD

805,271,005

CITI

**

3/18/2020

(418,412)

USD

26,658,394

TWD

805,270,995

JPMC

**

3/18/2020

(418,445)

USD

17,460,382

ZAR

260,729,500

CITI

3/18/2020

(971,375)

USD

17,460,360

ZAR

260,729,500

JPMC

3/18/2020

(971,397)

Total

unrealized

depreciation

(166,869,424)

Net

unrealized

depreciation

$

(4,186,609)

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

83,679,000

$

83,679,000

CITI

Cash

(24,840,000)

–

(24,840,000)

Investment

Companies

57,911,874

–

57,911,874

GSCO

Cash

–

(1,875,785)

(1,875,785)

U.S.

Treasury

Bills

–

7,998,136

7,998,136

GSIN

Cash

(1,050,000)

–

(1,050,000)

U.S.

Treasury

Bills

2,983,323

–

2,983,323

JPMC

Investment

Companies

46,645,891

–

46,645,891

JPMS

Cash

–

15,695,656

15,695,656

MLIN

Cash

(370,000)

–

(370,000)

MSCL

Cash

–

360,372

360,372

U.S.

Treasury

Bills

–

1,269,482

1,269,482

MSCS

Cash

(4,410,000)

–

(4,410,000)

U.S.

Treasury

Bills

10,109,061

–

10,109,061

25

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

1,515,375

$

–

$

1,515,375

GSCO

Cash

–

(9,604,360)

(9,604,360)

U.S.

Treasury

Bills

–

22,130,803

22,130,803

GSIN

U.S.

Treasury

Bills

10,540,793

–

10,540,793

JPPC

Cash

–

3,650,360

3,650,360

MACQ

Cash

(190,000)

–

(190,000)

MLIN

Cash

550,599

–

550,599

MSCL

Cash

–

(27,299,782)

(27,299,782)

U.S.

Treasury

Bills

–

53,674,222

53,674,222

SOCG

Cash

2,124,089

–

2,124,089

26

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

94.2%

INVESTMENT

COMPANIES

-

17.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

1.43%(1)(a)(b)

7,263,115

$

7,263,115

Limited

Purpose

Cash

Investment

Fund,

1.61%(1)(a)

43,272,495

43,272,495

TOTAL

INVESTMENT

COMPANIES

(Cost

$50,531,279)

50,535,610

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

76.6%

U.S.

Treasury

Bills

2.10%,

1/9/2020(c)

$

27,119,000

27,111,585

2.03%,

1/16/2020(c)

15,090,000

15,081,799

2.03%,

1/23/2020(c)

47,722,000

47,681,077

2.06%,

1/30/2020(c)

21,140,000

21,116,074

1.97%,

2/6/2020(c)

44,258,000

44,193,887

1.91%,

2/13/2020(c)

9,094,000

9,078,218

1.86%,

2/20/2020(c)

2,015,000

2,010,845

1.86%,

2/27/2020(c)(d)

9,587,000

9,564,481

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

76.6%

(continued)

1.88%,

3/26/2020(c)(d)

$

1,243,000

$

1,238,627

1.81%,

4/2/2020(c)(e)

2,767,000

2,756,334

1.70%,

4/9/2020(c)(f)

7,762,000

7,729,772

1.55%,

5/7/2020(c)

163,000

162,131

1.56%,

5/14/2020(c)(d)

2,332,000

2,318,838

1.55%,

5/21/2020(c)(f)

6,256,000

6,218,868

1.59%,

5/28/2020(c)(f)

3,060,000

3,040,817

1.58%,

6/4/2020(c)(f)

3,684,000

3,659,786

1.58%,

6/25/2020(c)

15,284,000

15,169,879

1.57%,

7/2/2020(c)

1,462,000

1,450,525

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$219,499,832)

219,583,543

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$270,031,111)

270,119,153

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

94.2%

(Cost

$270,031,111)

270,119,153

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

5.8%(g)

16,494,681

NET

ASSETS

-

100.0%

$286,613,834

(a)

Represents

7-day

effective

yield

as

of

December

31,

2019.

(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)

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

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

2019

:

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)

Coffee

‘C’

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

2,140,050

$

241,091

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

601,013

4,978

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

7,115,213

98,589

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

448,825

20,175

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

690,500

19,330

27

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/30/2020

HKD

7,287,150

$

9,699

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/30/2020

HKD

28,588,050

42,128

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/12/2020

BRL

19,711,840

100,023

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/12/2020

KRW

3,837,600,000

219,985

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/12/2020

KRW

27,601,200,000

1,406,412

Lean

Hogs

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/14/2020

USD

(28,570)

1,002

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/07/2020

USD

2,619,240

18,201

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

2,436,525

11,805

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

2,925,120

67

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

813,618

67,961

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/20/2020

CHF

4,629,680

19,964

2,281,410

Coffee

‘C’

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/12/2020

USD

(2,140,050)

(337,606)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/21/2020

USD

(7,115,213)

(73,742)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(601,013)

(5,696)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/07/2020

USD

(863,125)

(43,405)

28

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

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

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/07/2020

USD

(448,825)

$

(23,025)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/21/2020

USD

(6,592,950)

(314,903)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/21/2020

USD

(5,850,240)

(60,099)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/21/2020

USD

(62,586)

(5,832)

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/15/2020

TWD

40,779,600

(350)

(864,658)

$

1,416,752

Futures

contracts

outstanding

as

of

December

31,

2019:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

9

1/2020

EUR

$

1,220,784

$

(4,678)

Brent

Crude

Oil

342

1/2020

USD

22,572,000

507,029

CAC

40

10

Euro

Index

67

1/2020

EUR

4,486,688

285

Hang

Seng

Index

45

1/2020

HKD

8,162,866

41,279

HSCEI

64

1/2020

HKD

4,603,930

23,012

IBEX

35

Index

35

1/2020

EUR

3,740,763

(28,772)

LME

Aluminum

Base

Metal

1

1/2020

USD

44,598

1,461

LME

Aluminum

Base

Metal

1

1/2020

USD

44,631

1,079

LME

Aluminum

Base

Metal

1

1/2020

USD

44,715

1,618

LME

Aluminum

Base

Metal

2

1/2020

USD

89,761

2,485

LME

Aluminum

Base

Metal

3

1/2020

USD

134,366

3,596

LME

Aluminum

Base

Metal

3

1/2020

USD

134,194

5,347

LME

Aluminum

Base

Metal

4

1/2020

USD

178,458

3,961

LME

Aluminum

Base

Metal

4

1/2020

USD

179,475

6,263

LME

Aluminum

Base

Metal

5

1/2020

USD

224,938

10,425

LME

Aluminum

Base

Metal

5

1/2020

USD

222,656

8,361

LME

Aluminum

Base

Metal

6

1/2020

USD

267,888

6,995

LME

Aluminum

Base

Metal

6

1/2020

USD

268,800

10,332

LME

Aluminum

Base

Metal

6

1/2020

USD

268,388

11,123

LME

Aluminum

Base

Metal

6

1/2020

USD

269,420

6,513

LME

Aluminum

Base

Metal

8

1/2020

USD

359,134

8,316

LME

Aluminum

Base

Metal

8

1/2020

USD

357,942

12,231

LME

Aluminum

Base

Metal

10

1/2020

USD

448,115

18,086

29

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

19

1/2020

USD

$

851,637

$

32,146

LME

Copper

Base

Metal

1

1/2020

USD

153,725

11,957

LME

Copper

Base

Metal

1

1/2020

USD

154,021

6,109

LME

Copper

Base

Metal

1

1/2020

USD

154,032

7,770

LME

Copper

Base

Metal

1

1/2020

USD

153,963

9,371

LME

Copper

Base

Metal

1

1/2020

USD

153,957

6,681

LME

Copper

Base

Metal

1

1/2020

USD

153,844

11,308

LME

Copper

Base

Metal

1

1/2020

USD

153,946

8,593

LME

Copper

Base

Metal

1

1/2020

USD

153,935

8,407

LME

Copper

Base

Metal

2

1/2020

USD

308,021

12,239

LME

Copper

Base

Metal

2

1/2020

USD

307,775

19,318

LME

Copper

Base

Metal

2

1/2020

USD

307,999

12,430

LME

Copper

Base

Metal

3

1/2020

USD

464,700

40,184

LME

Copper

Base

Metal

6

1/2020

USD

923,288

59,609

LME

Nickel

Base

Metal

1

1/2020

USD

83,891

(16,644)

LME

Nickel

Base

Metal

1

1/2020

USD

83,859

(15,060)

LME

Nickel

Base

Metal

1

1/2020

USD

83,846

(13,120)

LME

Nickel

Base

Metal

1

1/2020

USD

83,765

(22,183)

LME

Nickel

Base

Metal

1

1/2020

USD

83,814

(16,621)

LME

Nickel

Base

Metal

1

1/2020

USD

83,897

(16,398)

LME

Nickel

Base

Metal

1

1/2020

USD

83,799

(19,464)

LME

Nickel

Base

Metal

2

1/2020

USD

167,731

(34,189)

LME

Nickel

Base

Metal

2

1/2020

USD

167,820

(32,824)

LME

Nickel

Base

Metal

2

1/2020

USD

167,400

(45,087)

LME

Zinc

Base

Metal

1

1/2020

USD

57,006

(3,499)

LME

Zinc

Base

Metal

1

1/2020

USD

56,988

(4,907)

LME

Zinc

Base

Metal

1

1/2020

USD

57,016

(708)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(9,545)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(12,152)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(851)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(13,196)

LME

Zinc

Base

Metal

2

1/2020

USD

113,975

(9,871)

LME

Zinc

Base

Metal

3

1/2020

USD

171,075

(11,351)

LME

Zinc

Base

Metal

3

1/2020

USD

173,419

(1,898)

LME

Zinc

Base

Metal

3

1/2020

USD

171,088

(10,065)

LME

Zinc

Base

Metal

3

1/2020

USD

171,113

(8,539)

LME

Zinc

Base

Metal

4

1/2020

USD

227,950

(21,604)

LME

Zinc

Base

Metal

4

1/2020

USD

227,950

(21,821)

LME

Zinc

Base

Metal

4

1/2020

USD

227,950

(16,773)

LME

Zinc

Base

Metal

5

1/2020

USD

284,938

(32,391)

MSCI

Singapore

Index

67

1/2020

SGD

1,850,664

(3,385)

MSCI

Taiwan

Index

16

1/2020

USD

735,360

(4,994)

NY

Harbor

ULSD

14

1/2020

USD

1,189,406

39,173

OMXS30

Index

109

1/2020

SEK

2,057,784

(23,599)

RBOB

Gasoline

58

1/2020

USD

4,118,058

107,858

SGX

FTSE

China

A50

Index

70

1/2020

USD

1,008,700

17,770

SGX

NIFTY

50

Index

232

1/2020

USD

5,681,680

(32,706)

WTI

Crude

Oil

203

1/2020

USD

12,395,180

141,799

100

oz

Gold

230

2/2020

USD

35,031,300

1,031,414

Live

Cattle

28

2/2020

USD

1,410,360

6,877

LME

Aluminum

Base

Metal

1

2/2020

USD

45,025

1,547

LME

Aluminum

Base

Metal

1

2/2020

USD

45,025

1,522

LME

Aluminum

Base

Metal

1

2/2020

USD

45,025

1,529

LME

Aluminum

Base

Metal

1

2/2020

USD

45,077

1,017

LME

Aluminum

Base

Metal

1

2/2020

USD

45,020

1,446

LME

Aluminum

Base

Metal

1

2/2020

USD

45,060

1,607

30

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

2/2020

USD

$

90,171

$

2,105

LME

Aluminum

Base

Metal

2

2/2020

USD

90,137

2,931

LME

Aluminum

Base

Metal

4

2/2020

USD

179,969

3,237

LME

Aluminum

Base

Metal

4

2/2020

USD

179,991

4,997

LME

Aluminum

Base

Metal

10

2/2020

USD

449,868

6,651

LME

Aluminum

Base

Metal

10

2/2020

USD

449,540

(2,423)

LME

Aluminum

Base

Metal

10

2/2020

USD

449,485

(3,966)

LME

Aluminum

Base

Metal

11

2/2020

USD

494,373

712

LME

Aluminum

Base

Metal

16

2/2020

USD

719,352

(6,565)

LME

Copper

Base

Metal

1

2/2020

USD

154,163

7,033

LME

Copper

Base

Metal

1

2/2020

USD

154,171

8,192

LME

Copper

Base

Metal

1

2/2020

USD

154,161

7,058

LME

Copper

Base

Metal

1

2/2020

USD

154,096

5,845

LME

Copper

Base

Metal

1

2/2020

USD

154,085

5,771

LME

Copper

Base

Metal

1

2/2020

USD

154,075

7,158

LME

Copper

Base

Metal

1

2/2020

USD

154,182

8,231

LME

Copper

Base

Metal

2

2/2020

USD

308,214

10,503

LME

Nickel

Base

Metal

1

2/2020

USD

83,995

(4,910)

LME

Nickel

Base

Metal

1

2/2020

USD

83,943

(13,320)

LME

Nickel

Base

Metal

1

2/2020

USD

84,044

726

LME

Nickel

Base

Metal

1

2/2020

USD

83,972

(8,911)

LME

Nickel

Base

Metal

1

2/2020

USD

84,000

(3,152)

LME

Nickel

Base

Metal

1

2/2020

USD

84,000

(2,313)

LME

Nickel

Base

Metal

1

2/2020

USD

84,039

(2,514)

LME

Nickel

Base

Metal

1

2/2020

USD

84,028

(3,137)

LME

Nickel

Base

Metal

2

2/2020

USD

167,953

(14,243)

LME

Nickel

Base

Metal

2

2/2020

USD

168,011

(4,102)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(5,078)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(6,415)

LME

Zinc

Base

Metal

1

2/2020

USD

56,988

(6,425)

LME

Zinc

Base

Metal

1

2/2020

USD

56,913

160

LME

Zinc

Base

Metal

1

2/2020

USD

56,911

(429)

LME

Zinc

Base

Metal

1

2/2020

USD

56,973

(3,330)

LME

Zinc

Base

Metal

1

2/2020

USD

56,919

(1,713)

LME

Zinc

Base

Metal

1

2/2020

USD

56,944

(1,622)

LME

Zinc

Base

Metal

1

2/2020

USD

56,914

(739)

LME

Zinc

Base

Metal

1

2/2020

USD

56,958

(2,170)

LME

Zinc

Base

Metal

2

2/2020

USD

113,819

(224)

LME

Zinc

Base

Metal

2

2/2020

USD

113,975

(10,556)

LME

Zinc

Base

Metal

2

2/2020

USD

113,975

(10,381)

LME

Zinc

Base

Metal

3

2/2020

USD

170,752

(1,620)

Low

Sulphur

Gasoil

83

2/2020

USD

5,094,125

125,104

Sugar

No.

11

204

2/2020

USD

3,066,202

38,413

Australia

3

Year

Bond

239

3/2020

AUD

19,289,891

(123,014)

Cocoa

26

3/2020

USD

660,400

(8,746)

Cocoa

37

3/2020

GBP

891,496

(17,412)

Coffee

'C'

45

3/2020

USD

2,188,688

31,658

Copper

10

3/2020

USD

699,250

4,813

Corn

18

3/2020

USD

348,975

(761)

DAX

Index

16

3/2020

EUR

5,943,440

(21,307)

DJIA

CBOT

E-Mini

Index

41

3/2020

USD

5,844,140

49,949

EURO

STOXX

50

Index

166

3/2020

EUR

6,943,480

(17,754)

FTSE

100

Index

255

3/2020

GBP

25,329,597

130,663

FTSE/JSE

Top

40

Index

102

3/2020

ZAR

3,740,340

(35,415)

FTSE/MIB

Index

28

3/2020

EUR

3,676,260

(22,333)

KC

HRW

Wheat

22

3/2020

USD

534,600

50,723

31

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

KOSPI

200

Index

20

3/2020

KRW

$

1,276,320

$

58,122

LME

Aluminum

Base

Metal

1

3/2020

USD

45,181

1,278

LME

Aluminum

Base

Metal

1

3/2020

USD

45,129

898

LME

Aluminum

Base

Metal

1

3/2020

USD

45,112

890

LME

Aluminum

Base

Metal

1

3/2020

USD

45,172

969

LME

Aluminum

Base

Metal

2

3/2020

USD

90,379

2,698

LME

Aluminum

Base

Metal

2

3/2020

USD

90,414

1,672

LME

Aluminum

Base

Metal

3

3/2020

USD

135,439

4,855

LME

Aluminum

Base

Metal

3

3/2020

USD

135,413

3,816

LME

Aluminum

Base

Metal

3

3/2020

USD

135,744

(906)

LME

Aluminum

Base

Metal

3

3/2020

USD

135,361

1,172

LME

Aluminum

Base

Metal

4

3/2020

USD

180,965

4,148

LME

Aluminum

Base

Metal

4

3/2020

USD

181,000

(1,112)

LME

Aluminum

Base

Metal

4

3/2020

USD

180,933

543

LME

Aluminum

Base

Metal

5

3/2020

USD

226,178

(695)

LME

Aluminum

Base

Metal

7

3/2020

USD

316,589

1,536

LME

Aluminum

Base

Metal

7

3/2020

USD

316,575

3,472

LME

Aluminum

Base

Metal

47

3/2020

USD

2,126,750

19,164

LME

Copper

Base

Metal

1

3/2020

USD

154,277

8,024

LME

Copper

Base

Metal

1

3/2020

USD

154,330

2,087

LME

Copper

Base

Metal

1

3/2020

USD

154,370

25

LME

Copper

Base

Metal

1

3/2020

USD

154,348

1,078

LME

Copper

Base

Metal

3

3/2020

USD

463,125

2,947

LME

Nickel

Base

Metal

1

3/2020

USD

84,067

1,999

LME

Nickel

Base

Metal

1

3/2020

USD

84,122

(1,123)

LME

Nickel

Base

Metal

1

3/2020

USD

84,126

(1,017)

LME

Nickel

Base

Metal

3

3/2020

USD

252,450

5,271

LME

Zinc

Base

Metal

1

3/2020

USD

56,814

(679)

LME

Zinc

Base

Metal

1

3/2020

USD

56,800

(342)

LME

Zinc

Base

Metal

1

3/2020

USD

56,812

(107)

LME

Zinc

Base

Metal

1

3/2020

USD

56,900

1,259

LME

Zinc

Base

Metal

1

3/2020

USD

56,908

292

LME

Zinc

Base

Metal

1

3/2020

USD

56,889

1,149

LME

Zinc

Base

Metal

2

3/2020

USD

113,638

(2,748)

LME

Zinc

Base

Metal

2

3/2020

USD

113,792

836

LME

Zinc

Base

Metal

2

3/2020

USD

113,785

2,529

LME

Zinc

Base

Metal

2

3/2020

USD

113,772

2,266

LME

Zinc

Base

Metal

2

3/2020

USD

113,633

(3,264)

LME

Zinc

Base

Metal

2

3/2020

USD

113,765

2,009

LME

Zinc

Base

Metal

2

3/2020

USD

113,813

2,807

LME

Zinc

Base

Metal

3

3/2020

USD

170,708

3,638

LME

Zinc

Base

Metal

12

3/2020

USD

682,425

(8,571)

MSCI

EAFE

E-Mini

Index

18

3/2020

USD

1,832,850

488

MSCI

Emerging

Markets

E-Mini

Index

121

3/2020

USD

6,777,210

95,166

NASDAQ

100

E-Mini

Index

36

3/2020

USD

6,301,620

105,589

Nikkei

225

Index

42

3/2020

JPY

9,137,914

120,656

Palladium

6

3/2020

USD

1,145,580

92,174

Russell

2000

E-Mini

Index

234

3/2020

USD

19,546,020

224,763

S&P

500

E-Mini

Index

52

3/2020

USD

8,400,860

144,332

S&P

Midcap

400

E-Mini

Index

29

3/2020

USD

5,987,920

54,810

S&P/TSX

60

Index

266

3/2020

CAD

41,476,786

(45,949)

Silver

28

3/2020

USD

2,508,940

69,172

Soybean

Oil

43

3/2020

USD

897,066

51,205

SPI

200

Index

121

3/2020

AUD

14,016,807

(383,520)

TOPIX

Index

164

3/2020

JPY

25,976,163

105,038

U.S.

Treasury

2

Year

Note

42

3/2020

USD

9,051,000

(508)

32

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

U.S.

Treasury

5

Year

Note

24

3/2020

USD

$

2,846,625

$

(1,299)

U.S.

Treasury

Long

Bond

10

3/2020

USD

1,559,063

(24,445)

U.S.

Treasury

Ultra

Bond

5

3/2020

USD

908,281

(17,614)

Wheat

138

3/2020

USD

3,855,375

197,551

Platinum

21

4/2020

USD

1,026,690

34,982

3

Month

Sterling

34

6/2020

GBP

5,589,017

(2,268)

3

Month

Sterling

35

9/2020

GBP

5,754,559

(2,263)

ASX

90

Day

Bank

Accepted

Bill

11

9/2020

AUD

7,703,863

(2,637)

3

Month

Sterling

43

12/2020

GBP

7,069,531

(154)

3

Month

Sterling

31

3/2021

GBP

5,096,895

(468)

3

Month

Sterling

28

6/2021

GBP

4,602,720

(121)

3

Month

Sterling

23

9/2021

GBP

3,780,044

(232)

3

Month

Sterling

19

12/2021

GBP

3,121,701

(296)

2,863,253

Short

Contracts

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,631)

(1,202)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,715)

(1,761)

LME

Aluminum

Base

Metal

(1)

1/2020

USD

(44,598)

(1,651)

LME

Aluminum

Base

Metal

(2)

1/2020

USD

(89,761)

(2,716)

LME

Aluminum

Base

Metal

(3)

1/2020

USD

(134,194)

(5,671)

LME

Aluminum

Base

Metal

(3)

1/2020

USD

(134,366)

(4,099)

LME

Aluminum

Base

Metal

(4)

1/2020

USD

(179,475)

(6,024)

LME

Aluminum

Base

Metal

(4)

1/2020

USD

(178,458)

(4,445)

LME

Aluminum

Base

Metal

(5)

1/2020

USD

(222,656)

(8,436)

LME

Aluminum

Base

Metal

(5)

1/2020

USD

(224,938)

(9,512)

LME

Aluminum

Base

Metal

(6)

1/2020

USD

(267,888)

(6,617)

LME

Aluminum

Base

Metal

(6)

1/2020

USD

(268,800)

(10,461)

LME

Aluminum

Base

Metal

(6)

1/2020

USD

(269,420)

(7,225)

LME

Aluminum

Base

Metal

(6)

1/2020

USD

(268,388)

(10,771)

LME

Aluminum

Base

Metal

(8)

1/2020

USD

(359,134)

(7,358)

LME

Aluminum

Base

Metal

(8)

1/2020

USD

(357,942)

(12,055)

LME

Aluminum

Base

Metal

(10)

1/2020

USD

(448,115)

(17,424)

LME

Aluminum

Base

Metal

(19)

1/2020

USD

(851,637)

(32,979)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,021)

(6,324)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,725)

(11,953)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,963)

(9,228)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,844)

(11,465)

LME

Copper

Base

Metal

(1)

1/2020

USD

(154,032)

(7,810)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,957)

(6,809)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,935)

(8,147)

LME

Copper

Base

Metal

(1)

1/2020

USD

(153,946)

(8,495)

LME

Copper

Base

Metal

(2)

1/2020

USD

(308,021)

(11,764)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,775)

(19,854)

LME

Copper

Base

Metal

(2)

1/2020

USD

(307,999)

(12,955)

LME

Copper

Base

Metal

(3)

1/2020

USD

(464,700)

(39,808)

LME

Copper

Base

Metal

(6)

1/2020

USD

(923,288)

(57,781)

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,814)

16,845

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,891)

16,666

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,799)

19,830

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,765)

21,883

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,897)

16,486

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,846)

13,291

LME

Nickel

Base

Metal

(1)

1/2020

USD

(83,859)

14,568

LME

Nickel

Base

Metal

(2)

1/2020

USD

(167,731)

34,223

LME

Nickel

Base

Metal

(2)

1/2020

USD

(167,400)

44,654

LME

Nickel

Base

Metal

(2)

1/2020

USD

(167,820)

32,632

33

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

1/2020

USD

$

(56,988)

$

5,135

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,006)

3,391

LME

Zinc

Base

Metal

(1)

1/2020

USD

(57,016)

719

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

13,594

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

12,669

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

932

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

10,019

LME

Zinc

Base

Metal

(2)

1/2020

USD

(113,975)

9,519

LME

Zinc

Base

Metal

(3)

1/2020

USD

(173,419)

2,410

LME

Zinc

Base

Metal

(3)

1/2020

USD

(171,113)

7,955

LME

Zinc

Base

Metal

(3)

1/2020

USD

(171,088)

8,922

LME

Zinc

Base

Metal

(3)

1/2020

USD

(171,075)

10,680

LME

Zinc

Base

Metal

(4)

1/2020

USD

(227,950)

20,864

LME

Zinc

Base

Metal

(4)

1/2020

USD

(227,950)

22,063

LME

Zinc

Base

Metal

(4)

1/2020

USD

(227,950)

15,713

LME

Zinc

Base

Metal

(5)

1/2020

USD

(284,938)

32,048

Natural

Gas

(650)

1/2020

USD

(14,228,500)

503,622

Lean

Hogs

(18)

2/2020

USD

(514,260)

5,345

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,060)

(1,608)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,077)

(1,092)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,025)

(1,536)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,025)

(1,661)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,025)

(1,453)

LME

Aluminum

Base

Metal

(1)

2/2020

USD

(45,020)

(1,479)

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(90,171)

(2,077)

LME

Aluminum

Base

Metal

(2)

2/2020

USD

(90,137)

(2,952)

LME

Aluminum

Base

Metal

(4)

2/2020

USD

(179,991)

(4,019)

LME

Aluminum

Base

Metal

(4)

2/2020

USD

(179,969)

(3,281)

LME

Aluminum

Base

Metal

(10)

2/2020

USD

(449,540)

2,931

LME

Aluminum

Base

Metal

(10)

2/2020

USD

(449,485)

3,986

LME

Aluminum

Base

Metal

(10)

2/2020

USD

(449,868)

(7,647)

LME

Aluminum

Base

Metal

(11)

2/2020

USD

(494,373)

(3,737)

LME

Aluminum

Base

Metal

(16)

2/2020

USD

(719,352)

5,701

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,075)

(7,377)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,182)

(8,660)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,096)

(5,880)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,085)

(6,107)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,161)

(7,751)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,171)

(8,349)

LME

Copper

Base

Metal

(1)

2/2020

USD

(154,163)

(6,972)

LME

Copper

Base

Metal

(2)

2/2020

USD

(308,214)

(10,238)

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,000)

2,191

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,943)

12,534

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,028)

3,254

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,044)

(733)

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,972)

8,975

LME

Nickel

Base

Metal

(1)

2/2020

USD

(83,995)

4,546

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,000)

3,347

LME

Nickel

Base

Metal

(1)

2/2020

USD

(84,039)

2,478

LME

Nickel

Base

Metal

(2)

2/2020

USD

(168,011)

4,175

LME

Nickel

Base

Metal

(2)

2/2020

USD

(167,953)

14,013

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

6,660

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,944)

1,581

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,958)

1,911

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,919)

1,428

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,914)

591

34

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

2/2020

USD

$

(56,988)

$

6,260

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,913)

168

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,988)

4,945

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,973)

3,179

LME

Zinc

Base

Metal

(1)

2/2020

USD

(56,911)

485

LME

Zinc

Base

Metal

(2)

2/2020

USD

(113,819)

246

LME

Zinc

Base

Metal

(2)

2/2020

USD

(113,975)

10,357

LME

Zinc

Base

Metal

(2)

2/2020

USD

(113,975)

10,230

LME

Zinc

Base

Metal

(3)

2/2020

USD

(170,752)

1,335

Australia

10

Year

Bond

(2)

3/2020

AUD

(200,642)

(226)

Canada

10

Year

Bond

(5)

3/2020

CAD

(529,360)

8,553

Euro-Bobl

(36)

3/2020

EUR

(5,396,140)

25,067

Euro-BTP

(148)

3/2020

EUR

(23,650,012)

20,554

Euro-Bund

(15)

3/2020

EUR

(2,868,579)

43,340

Euro-Buxl

(1)

3/2020

EUR

(222,523)

3,301

Euro-OAT

(14)

3/2020

EUR

(2,556,108)

37,031

Euro-Schatz

(444)

3/2020

EUR

(55,732,584)

38,398

Japan

10

Year

Bond

(2)

3/2020

JPY

(2,801,160)

(3,826)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,172)

(1,080)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,129)

(1,100)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,181)

(1,307)

LME

Aluminum

Base

Metal

(1)

3/2020

USD

(45,112)

(1,252)

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,379)

(2,544)

LME

Aluminum

Base

Metal

(2)

3/2020

USD

(90,414)

(1,819)

LME

Aluminum

Base

Metal

(3)

3/2020

USD

(135,361)

(970)

LME

Aluminum

Base

Metal

(3)

3/2020

USD

(135,413)

(4,146)

LME

Aluminum

Base

Metal

(3)

3/2020

USD

(135,439)

(4,642)

LME

Aluminum

Base

Metal

(3)

3/2020

USD

(135,744)

522

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(180,965)

(4,177)

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(180,933)

(343)

LME

Aluminum

Base

Metal

(4)

3/2020

USD

(181,000)

1,913

LME

Aluminum

Base

Metal

(5)

3/2020

USD

(226,178)

527

LME

Aluminum

Base

Metal

(7)

3/2020

USD

(316,575)

(5,026)

LME

Aluminum

Base

Metal

(7)

3/2020

USD

(316,589)

(2,616)

LME

Aluminum

Base

Metal

(84)

3/2020

USD

(3,801,000)

(109,040)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,277)

(7,816)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,370)

127

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,330)

(1,970)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,348)

(1,163)

LME

Copper

Base

Metal

(1)

3/2020

USD

(154,375)

(8,165)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,122)

908

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,067)

(3,051)

LME

Nickel

Base

Metal

(1)

3/2020

USD

(84,126)

2,174

LME

Nickel

Base

Metal

(3)

3/2020

USD

(252,450)

60

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,900)

(1,090)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,889)

(1,292)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,908)

(612)

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,812)

23

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,814)

871

LME

Zinc

Base

Metal

(1)

3/2020

USD

(56,800)

422

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,633)

2,512

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,638)

2,632

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,792)

(1,390)

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,772)

(2,376)

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,813)

(3,049)

LME

Zinc

Base

Metal

(2)

3/2020

USD

(113,765)

(1,873)

35

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(2)

3/2020

USD

$

(113,785)

$

(2,260)

LME

Zinc

Base

Metal

(3)

3/2020

USD

(170,708)

(2,486)

LME

Zinc

Base

Metal

(21)

3/2020

USD

(1,194,244)

(17,237)

Long

Gilt

(4)

3/2020

GBP

(696,104)

(836)

U.S.

Treasury

10

Year

Note

(2)

3/2020

USD

(256,844)

99

3

Month

Canadian

Bankers

Acceptance

(6)

6/2020

CAD

(1,132,263)

159

3

Month

Euro

Euribor

(261)

6/2020

EUR

(73,472,711)

13,804

3

Month

Eurodollar

(24)

6/2020

USD

(5,898,600)

(576)

3

Month

Euroswiss

(10)

6/2020

CHF

(2,601,519)

764

ASX

90

Day

Bank

Accepted

Bill

(3)

6/2020

AUD

(2,100,847)

(29)

3

Month

Canadian

Bankers

Acceptance

(6)

9/2020

CAD

(1,132,436)

278

3

Month

Euro

Euribor

(282)

9/2020

EUR

(79,376,400)

24,683

3

Month

Eurodollar

(20)

9/2020

USD

(4,918,250)

1,864

3

Month

Euroswiss

(6)

9/2020

CHF

(1,560,911)

547

3

Month

Euro

Euribor

(180)

12/2020

EUR

(50,660,739)

15,902

3

Month

Eurodollar

(16)

12/2020

USD

(3,935,200)

1,341

3

Month

Euroswiss

(3)

12/2020

CHF

(780,301)

270

3

Month

Euro

Euribor

(70)

3/2021

EUR

(19,698,454)

6,249

3

Month

Eurodollar

(12)

3/2021

USD

(2,953,200)

990

3

Month

Euro

Euribor

(34)

6/2021

EUR

(9,565,914)

8,293

3

Month

Eurodollar

(7)

6/2021

USD

(1,722,700)

(289)

3

Month

Euro

Euribor

(30)

9/2021

EUR

(8,438,409)

5,752

3

Month

Eurodollar

(8)

9/2021

USD

(1,968,700)

(314)

3

Month

Euro

Euribor

(17)

12/2021

EUR

(4,780,335)

3,035

3

Month

Eurodollar

(6)

12/2021

USD

(1,475,925)

(275)

647,478

$

3,510,731

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2019:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

67,000,996

USD

46,200,599

CITI

3/18/2020

$

904,951

AUD

67,001,004

USD

46,200,662

JPMC

3/18/2020

904,894

BRL

24,485,500

USD

5,983,664

CITI

**

3/18/2020

84,354

BRL

24,485,500

USD

5,983,672

JPMC

**

3/18/2020

84,347

CAD

58,875,503

USD

44,458,046

CITI

3/18/2020

893,423

CAD

58,875,497

USD

44,458,097

JPMC

3/18/2020

893,367

CHF

32,432,493

USD

33,039,430

CITI

3/18/2020

651,897

CHF

32,432,507

USD

33,039,485

JPMC

3/18/2020

651,856

CLP

380,149,000

USD

475,634

CITI

**

3/18/2020

30,356

CLP

380,149,000

USD

475,634

JPMC

**

3/18/2020

30,355

COP

2,283,624,004

USD

676,452

CITI

**

3/18/2020

15,760

COP

2,283,623,996

USD

676,453

JPMC

**

3/18/2020

15,759

EUR

25,108,999

USD

28,020,740

CITI

3/18/2020

277,101

EUR

25,109,001

USD

28,020,777

JPMC

3/18/2020

277,066

GBP

25,655,508

USD

33,516,452

CITI

3/18/2020

537,322

GBP

25,655,490

USD

33,516,470

JPMC

3/18/2020

537,279

HUF

3,307,678,927

USD

11,177,435

CITI

3/18/2020

75,064

HUF

3,307,678,927

USD

11,177,048

JPMC

3/18/2020

75,450

IDR

101,727,526,148

USD

7,144,237

CITI

**

3/18/2020

164,275

IDR

101,727,526,164

USD

7,144,246

JPMC

**

3/18/2020

164,266

36

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

10,817,880

USD

3,135,425

CITI

3/18/2020

$

9,997

ILS

10,817,872

USD

3,135,427

JPMC

3/18/2020

9,992

INR

107,258,012

USD

1,482,106

CITI

**

3/18/2020

12,161

INR

107,258,020

USD

1,482,108

JPMC

**

3/18/2020

12,159

JPY

54,595,500

USD

501,793

CITI

3/18/2020

2,830

JPY

54,595,500

USD

501,793

JPMC

3/18/2020

2,830

KRW

28,247,446,000

USD

24,312,322

CITI

**

3/18/2020

174,513

KRW

28,247,446,000

USD

24,312,352

JPMC

**

3/18/2020

174,484

MXN

203,036,004

USD

10,309,860

CITI

3/18/2020

309,038

MXN

203,036,004

USD

10,309,873

JPMC

3/18/2020

309,025

NOK

133,768,000

USD

14,915,006

CITI

3/18/2020

325,172

NOK

133,768,000

USD

14,917,040

JPMC

3/18/2020

323,138

NZD

100,748,002

USD

65,471,417

CITI

3/18/2020

2,425,928

NZD

100,747,998

USD

65,471,496

JPMC

3/18/2020

2,425,847

PHP

145,434,000

USD

2,848,742

CITI

**

3/18/2020

12,950

PHP

145,434,000

USD

2,848,745

JPMC

**

3/18/2020

12,947

PLN

55,964,007

USD

14,499,992

CITI

3/18/2020

253,818

PLN

55,963,994

USD

14,500,007

JPMC

3/18/2020

253,800

SEK

99,234,500

USD

10,474,825

CITI

3/18/2020

158,435

SEK

99,234,500

USD

10,474,838

JPMC

3/18/2020

158,422

SGD

7,311,000

USD

5,379,549

CITI

3/18/2020

60,305

SGD

7,311,000

USD

5,379,556

JPMC

3/18/2020

60,298

TWD

115,363,500

USD

3,818,399

CITI

**

3/18/2020

60,641

TWD

115,363,500

USD

3,818,404

JPMC

**

3/18/2020

60,637

USD

1,294,525

GBP

967,500

CITI

3/18/2020

10,316

USD

1,294,523

GBP

967,500

JPMC

3/18/2020

10,314

USD

236,507

INR

16,932,000

CITI

**

3/18/2020

619

USD

236,507

INR

16,932,000

JPMC

**

3/18/2020

618

USD

5,368,467

JPY

579,137,536

CITI

3/18/2020

15,530

USD

5,368,461

JPY

579,137,536

JPMC

3/18/2020

15,524

USD

435,807

MXN

8,309,000

CITI

3/18/2020

1,242

USD

435,807

MXN

8,309,000

JPMC

3/18/2020

1,241

USD

751,770

PHP

38,174,000

CITI

**

3/18/2020

624

USD

751,769

PHP

38,174,000

JPMC

**

3/18/2020

623

USD

507,876

SEK

4,720,000

CITI

3/18/2020

2,114

USD

507,875

SEK

4,720,000

JPMC

3/18/2020

2,114

ZAR

46,990,004

USD

3,202,061

CITI

3/18/2020

119,805

ZAR

46,989,996

USD

3,202,064

JPMC

3/18/2020

119,801

Total

unrealized

appreciation

15,178,994

CLP

176,119,000

USD

235,025

CITI

**

3/18/2020

(607)

CLP

176,119,000

USD

235,026

JPMC

**

3/18/2020

(607)

COP

25,546,000

USD

7,771

CITI

**

3/18/2020

(27)

COP

25,546,000

USD

7,771

JPMC

**

3/18/2020

(27)

HUF

427,449,573

USD

1,458,004

CITI

3/18/2020

(3,850)

HUF

427,449,573

USD

1,458,006

JPMC

3/18/2020

(3,851)

ILS

3,987,124

USD

1,160,336

CITI

3/18/2020

(1,035)

ILS

3,987,124

USD

1,160,337

JPMC

3/18/2020

(1,035)

INR

20,876,500

USD

292,498

CITI

**

3/18/2020

(1,657)

INR

20,876,500

USD

292,498

JPMC

**

3/18/2020

(1,656)

JPY

216,323,000

USD

2,004,745

CITI

3/18/2020

(5,283)

JPY

216,323,000

USD

2,004,748

JPMC

3/18/2020

(5,286)

NZD

1,408,000

USD

949,548

CITI

3/18/2020

(651)

NZD

1,408,000

USD

949,549

JPMC

3/18/2020

(653)

SEK

3,742,500

USD

402,387

CITI

3/18/2020

(1,367)

SEK

3,742,500

USD

402,387

JPMC

3/18/2020

(1,368)

USD

57,422,028

AUD

84,079,996

CITI

3/18/2020

(1,691,040)

USD

57,421,962

AUD

84,080,004

JPMC

3/18/2020

(1,691,112)

USD

6,425,570

BRL

27,271,000

CITI

**

3/18/2020

(332,754)

37

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

6,425,562

BRL

27,271,000

JPMC

**

3/18/2020

$

(332,762)

USD

22,948,180

CAD

30,223,500

CITI

3/18/2020

(332,812)

USD

22,948,152

CAD

30,223,500

JPMC

3/18/2020

(332,840)

USD

13,452,632

CHF

13,244,000

CITI

3/18/2020

(305,420)

USD

13,452,615

CHF

13,244,000

JPMC

3/18/2020

(305,437)

USD

1,493,645

CLP

1,171,994,040

CITI

**

3/18/2020

(66,311)

USD

1,493,643

CLP

1,171,994,024

JPMC

**

3/18/2020

(66,313)

USD

633,674

COP

2,229,445,008

CITI

**

3/18/2020

(42,115)

USD

633,673

COP

2,229,445,000

JPMC

**

3/18/2020

(42,116)

USD

47,459,054

EUR

42,641,999

CITI

3/18/2020

(598,477)

USD

47,459,001

EUR

42,642,004

JPMC

3/18/2020

(598,537)

USD

21,324,934

GBP

16,290,500

CITI

3/18/2020

(298,220)

USD

21,324,908

GBP

16,290,500

JPMC

3/18/2020

(298,246)

USD

13,557,452

HUF

4,077,902,520

CITI

3/18/2020

(315,295)

USD

13,557,435

HUF

4,077,902,512

JPMC

3/18/2020

(315,312)

USD

3,625,093

IDR

51,584,712,000

CITI

**

3/18/2020

(80,960)

USD

3,625,088

IDR

51,584,712,000

JPMC

**

3/18/2020

(80,964)

USD

2,346,252

ILS

8,144,000

CITI

3/18/2020

(21,709)

USD

2,346,249

ILS

8,144,000

JPMC

3/18/2020

(21,712)

USD

663,309

INR

47,780,000

CITI

**

3/18/2020

(2,339)

USD

663,308

INR

47,780,000

JPMC

**

3/18/2020

(2,339)

USD

18,475,768

JPY

2,007,257,040

CITI

3/18/2020

(77,200)

USD

18,475,745

JPY

2,007,257,036

JPMC

3/18/2020

(77,224)

USD

26,228,025

KRW

31,044,110,620

CITI

**

3/18/2020

(683,153)

USD

26,227,992

KRW

31,044,110,627

JPMC

**

3/18/2020

(683,185)

USD

8,019,963

MXN

157,362,001

CITI

3/18/2020

(210,159)

USD

8,019,953

MXN

157,361,999

JPMC

3/18/2020

(210,168)

USD

15,172,715

NOK

139,005,500

CITI

3/18/2020

(664,171)

USD

15,172,697

NOK

139,005,500

JPMC

3/18/2020

(664,190)

USD

34,750,355

NZD

54,103,002

CITI

3/18/2020

(1,711,412)

USD

34,750,309

NZD

54,102,998

JPMC

3/18/2020

(1,711,456)

USD

79,748

PHP

4,066,000

CITI

**

3/18/2020

(258)

USD

79,748

PHP

4,066,000

JPMC

**

3/18/2020

(258)

USD

7,824,022

PLN

30,202,003

CITI

3/18/2020

(138,142)

USD

7,824,011

PLN

30,201,997

JPMC

3/18/2020

(138,152)

USD

3,084,386

SEK

29,194,000

CITI

3/18/2020

(43,834)

USD

3,084,382

SEK

29,194,000

JPMC

3/18/2020

(43,838)

USD

2,413,296

SGD

3,286,500

CITI

3/18/2020

(32,072)

USD

2,413,293

SGD

3,286,500

JPMC

3/18/2020

(32,075)

USD

2,469,818

TWD

74,607,000

CITI

**

3/18/2020

(38,805)

USD

2,469,815

TWD

74,607,000

JPMC

**

3/18/2020

(38,808)

USD

1,627,372

ZAR

24,296,000

CITI

3/18/2020

(90,186)

USD

1,627,370

ZAR

24,296,000

JPMC

3/18/2020

(90,188)

Total

unrealized

depreciation

(15,583,036)

Net

unrealized

depreciation

$

(404,042)

**

Non-deliverable

forward.

38

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2019

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

8,065,104

$

8,065,104

CITI

Investment

Companies

2,625,010

–

2,625,010

GSCO

Cash

–

549,013

549,013

GSIN

Cash

(560,000)

–

(560,000)

U.S.

Treasury

Bills

1,284,716

–

1,284,716

JPMC

Investment

Companies

4,500,121

–

4,500,121

JPMS

Cash

–

1,524,656

1,524,656

MLIN

Cash

(1,240,000)

–

(1,240,000)

MSCL

Cash

–

159,676

159,676

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2019

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

137,984

$

–

$

137,984

GSCO

Cash

–

1,229,107

1,229,107

GSIN

U.S.

Treasury

Bills

1,019,332

–

1,019,332

JPPC

Cash

–

341,679

341,679

MSCL

Cash

–

(2,566,670)

(2,566,670)

U.S.

Treasury

Bills

–

5,142,348

5,142,348

SOCG

Cash

259,713

–

259,713

39

Consolidated

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

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

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

SOCG

-

Societe

Generale

Consolidated

Statements

of

Assets

and

Liabilities

40

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

.............................................

$

4,011,705,377

$

270,031,111

Investments

in

securities

of

affiliated

issuers,

at

cost

...............................................

615,836,668

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

............................................

$

4,013,472,716

$

270,119,153

Investments

in

securities

of

affiliated

issuers,

at

value

..............................................

615,883,359

—

Cash

...................................................................................

—

727

Cash

denominated

in

foreign

currencies

‡

........................................................

3,995,914

356,982

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

................................

162,682,815

15,178,994

Unrealized

appreciation

on

OTC

swaps

.........................................................

24,204,737

2,281,410

Due

from

broker

..........................................................................

4,588,315

533,669

Deposits

with

brokers

for

futures

contracts

.......................................................

114,659,474

13,998,504

Variation

margin

on

futures

contracts

...........................................................

571,465

51,133

Receivables:

Securities

sold

.........................................................................

1,261,484,632

105,352,728

Dividends

.............................................................................

1,066,916

76,129

Capital

shares

sold

......................................................................

6,016,726

5,779,145

Prepaid

expenses

.........................................................................

107,594

37,714

Total

Assets

6,208,734,663

413,766,288

LIABILITIES:

Due

to

custodian

..........................................................................

5,705

—

Due

to

broker

............................................................................

31,060,005

1,808,793

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

................................

166,869,424

15,583,036

Unrealized

depreciation

on

OTC

swaps

.........................................................

9,403,071

864,658

Deposits

from

brokers

for

futures

contracts

......................................................

161,621

—

Variation

margin

on

futures

contracts

...........................................................

13,016,763

1,236,341

Payables:

–

–

Securities

purchased

.....................................................................

1,562,596,438

106,834,377

Accrued

investment

advisory

fees

...........................................................

3,982,790

329,587

Accrued

distribution

fees—Class

N

..........................................................

317,750

7,014

Capital

shares

redeemed

.................................................................

17,784,255

326,391

Other

accrued

expenses

and

liabilities

..........................................................

1,111,587

162,257

Total

Liabilities

1,806,309,409

127,152,454

Net

Assets

$

4,402,425,254

$

286,613,834

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

............................

$

5,317,852,984

$

372,126,258

Total

distributable

earnings

(loss)

.............................................................

(915,427,730)

(85,512,424)

Net

Assets

$

4,402,425,254

$

286,613,834

NET

ASSETS:

Class

I

.................................................................................

$

2,315,082,883

$

159,509,945

Class

N

.................................................................................

1,506,754,981

31,794,323

Class

R6

................................................................................

580,587,390

95,309,566

SHARES

OUTSTANDING:

–

–

Class

I

.................................................................................

278,773,489

20,878,442

Class

N

.................................................................................

184,612,537

4,203,751

Class

R6

................................................................................

69,815,972

12,444,742

NET

ASSET

VALUE:

–

–

Class

I

.................................................................................

$

8.30

$

7.64

Class

N

.................................................................................

$

8.16

$

7.56

Class

R6

................................................................................

$

8.32

$

7.66

‡

Cash

denominated

in

foreign

currencies

at

cost

..................................................

$

3,963,863

$

353,869

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Operations

41

AQR

Funds

|

Annual

Report

|

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MANAGED

FUTURES

STRATEGY

FUND**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

..................................................................

$

6,618,147

$

1,514,313

Affiliated

issuers

.....................................................................

12,990,537

—

Interest

income:

—

—

Unaffiliated

issuers

...................................................................

103,212,749

6,222,894

Interfund

lending

income

.................................................................

7,443

—

Total

Income

122,828,876

7,737,207

EXPENSES:

Investment

advisory

fees

.................................................................

58,500,766

5,218,139

Custody

fees

..........................................................................

333,007

75,134

Administration

&

accounting

fees

...........................................................

2,300,020

159,333

Legal

fees

............................................................................

259,366

18,733

Audit

&

tax

fees

........................................................................

122,075

104,657

Shareholder

reporting

fees

...............................................................

688,605

52,912

Transfer

agent

fees

.....................................................................

4,091,613

247,331

Trustee

fees

..........................................................................

289,570

24,077

Distribution

fees—Class

N

................................................................

4,041,080

124,026

Interest

expense

.......................................................................

160,748

7,913

Registration

fees

.......................................................................

196,372

114,432

Pricing

fee

...........................................................................

259

93

Other

expenses

.......................................................................

303,740

20,931

Total

Expenses

71,287,221

6,167,711

Less

fee

waivers

and/or

reimbursements

.....................................................

—

(220,825)

Net

Expenses

71,287,221

5,946,886

Net

Investment

Income

(Loss)

51,541,655

1,790,321

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

.....................................

11,065

13,465

Transactions

in

investment

securities

of

affiliated

issuers

......................................

45,413

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

.................................

(12,424,983)

(1,035,603)

Settlement

of

forward

foreign

currency

contracts

.............................................

(187,914,326)

(18,613,081)

Expiration

or

closing

of

futures

contracts

...................................................

319,692,516

31,226,620

Expiration

or

closing

of

swap

contracts

....................................................

(52,802,759)

(5,176,650)

Net

realized

gain

(loss)

66,606,926

6,414,751

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

................................................

3,076,259

99,854

Investment

securities

of

affiliated

issuers

..................................................

(18,848)

—

Foreign

currency

and

foreign

currency

transactions

...........................................

(613,242)

(60,156)

Forward

foreign

currency

exchange

contracts

...............................................

70,823,386

7,559,547

Futures

contracts

....................................................................

(64,133,647)

(7,153,012)

Swap

contracts

......................................................................

8,917,466

781,275

Net

change

in

unrealized

appreciation

(depreciation)

18,051,374

1,227,508

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

84,658,300

7,642,259

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

136,199,955

$

9,432,580

________________

†

Net

of

foreign

taxes

withheld

of

...........................................................

$

82,097

$

—

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Changes

in

Net

Assets

(Continued)

42

AQR

Funds

|

Annual

Report

|

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

OPERATIONS:

Net

investment

income

(loss)

........................

$

51,541,655

$

51,227,733

$

1,790,321

$

87,395

Net

realized

gain

(loss)

.............................

66,606,926

(840,523,198)

6,414,751

(92,615,582)

Net

change

in

unrealized

appreciation

(depreciation)

.......

18,051,374

(114,196,271)

1,227,508

(10,779,667)

Net

 increase

(decrease)

in

net

assets

resulting

from

operations

136,199,955

(903,491,736)

9,432,580

(103,307,854)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

(72,188,260)

—

(6,093,026)

—

Class

N

.........................................

(42,867,947)

—

(1,212,857)

—

Class

R6

........................................

(18,402,528)

—

(3,954,833)

—

Total

distributions

(133,458,735)

—

(11,260,716)

—

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

899,174,831

2,614,472,764

76,270,170

179,261,874

Reinvestment

of

distributions

.........................

53,794,011

—

5,467,617

—

Cost

of

shares

redeemed

...........................

(2,913,997,154)

(3,801,315,537)

(165,956,260)

(348,055,614)

Net

increase

(decrease)

from

capital

transactions

(1,961,028,312)

(1,186,842,773)

(84,218,473)

(168,793,740)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

238,387,422

678,584,221

31,851,697

59,101,705

Reinvestment

of

distributions

.........................

42,833,600

—

1,211,674

—

Cost

of

shares

redeemed

...........................

(571,721,426)

(1,931,685,708)

(61,787,054)

(87,274,290)

Net

increase

(decrease)

from

capital

transactions

(290,500,404)

(1,253,101,487)

(28,723,683)

(28,172,585)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

188,451,274

444,551,835

45,535,658

101,293,925

Reinvestment

of

distributions

.........................

16,837,107

—

3,954,052

—

Cost

of

shares

redeemed

...........................

(592,377,421)

(1,186,157,737)

(133,309,091)

(138,016,109)

Net

increase

(decrease)

from

capital

transactions

(387,089,040)

(741,605,902)

(83,819,381)

(36,722,184)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(2,638,617,756)

(3,181,550,162)

(196,761,537)

(233,688,509)

Total

increase

(decrease)

in

net

assets

(2,635,876,536)

(4,085,041,898)

(198,589,673)

(336,996,363)

NET

ASSETS:

Beginning

of

period

................................

7,038,301,790

11,123,343,688

485,203,507

822,199,870

End

of

period

...................................

$

4,402,425,254

$

7,038,301,790

$

286,613,834

$

485,203,507

$

—

$

—

$

—

$

—

Consolidated

Statements

of

Changes

in

Net

Assets

43

AQR

Funds

|

Annual

Report

|

December

31,

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

505,883,440

645,147,269

31,271,904

50,683,732

Shares

sold

.....................................

107,142,281

294,436,420

9,810,467

21,493,989

Shares

issued

on

reinvestment

of

distributions

...........

6,512,592

—

721,322

—

Shares

redeemed

.................................

(340,764,824)

(433,700,249)

(20,925,251)

(40,905,817)

Shares

outstanding,

end

of

period

278,773,489

505,883,440

20,878,442

31,271,904

CLASS

N

Shares

outstanding,

beginning

of

period

................

219,062,904

365,313,253

7,661,123

10,760,367

Shares

sold

.....................................

28,511,192

76,718,388

4,195,977

7,085,031

Shares

issued

on

reinvestment

of

distributions

...........

5,281,578

—

161,557

—

Shares

redeemed

.................................

(68,243,137)

(222,968,737)

(7,814,906)

(10,184,275)

Shares

outstanding,

end

of

period

184,612,537

219,062,904

4,203,751

7,661,123

CLASS

R6

Shares

outstanding,

beginning

of

period

................

115,388,592

199,171,371

23,133,614

28,585,910

Shares

sold

.....................................

22,138,454

49,367,498

5,804,880

11,373,363

Shares

issued

on

reinvestment

of

distributions

...........

2,035,926

—

520,955

—

Shares

redeemed

.................................

(69,747,000)

(133,150,277)

(17,014,707)

(16,825,659)

Shares

outstanding,

end

of

period

69,815,972

115,388,592

12,444,742

23,133,614

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

44

Consolidated

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.41

0.09

0.06

0.15

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.23

0.06

(0.88)

(0.82)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.03)

(0.06)

(0.09)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.18

(0.08)

(0.78)

(0.86)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.63

(0.12)

0.34

0.22

(0.46)

(0.21)

(0.67)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.27

0.06

0.07

0.13

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.03

(0.86)

(0.83)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

(0.06)

(0.05)

(0.11)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.09

(0.11)

(0.77)

(0.88)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.54

(0.15)

0.34

0.19

(0.43)

(0.21)

(0.64)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.42

0.09

0.08

0.17

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.24

0.06

(0.88)

(0.82)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.02)

(0.06)

(0.08)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.18

(0.07)

(0.79)

(0.86)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.62

(0.11)

0.34

0.23

(0.46)

(0.21)

(0.67)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

0.10

0.14

(0.32)

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.14

0.00

5

(1.32)

(1.32)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.29

(0.08)

(0.07)

(0.15)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.70

(0.13)

(1.28)

(1.41)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.23

(0.18)

0.46

0.28

(0.51)

(0.30)

(0.81)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.73

0.02

0.10

0.12

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.02)

(1.31)

(1.33)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

(0.10)

(0.07)

(0.17)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.66

(0.16)

(1.27)

(1.43)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.21

(0.21)

0.46

0.25

(0.50)

(0.30)

(0.80)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.84

0.05

0.10

0.15

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.15

0.01

(1.32)

(1.31)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.30

(0.07)

(0.08)

(0.15)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.70

(0.13)

(1.27)

(1.40)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.23

(0.17)

0.46

0.29

(0.52)

(0.30)

(0.82)

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Fund

invests.

5

Amount

is

less

than

$.005

per

share.

45

Consolidated

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2019

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2019

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

$

8.30

1.80%

$

2,315,083

1.21%

1.21%

1.20%

1.00%

0%

$

8.41

(8.88)%

$

4,254,642

1.16%

1.16%

1.16%

0.62%

0%

$

9.23

(0.97)%

$

5,956,726

1.19%

1.19%

1.19%

(0.38)%

0%

$

9.32

(8.43)%

$

7,654,491

1.20%

1.20%

1.20%

(0.81)%

0%

$

10.18

2.00%

$

7,778,072

1.21%

1.21%

1.21%

(1.11)%

0%

$

8.16

1.56%

$

1,506,755

1.49%

1.49%

1.48%

0.71%

0%

$

8.27

(9.12)%

$

1,811,668

1.45%

1.45%

1.45%

0.30%

0%

$

9.10

(1.19)%

$

3,325,717

1.46%

1.46%

1.46%

(0.63)%

0%

$

9.21

(8.71)%

$

3,334,207

1.48%

1.48%

1.47%

(1.08)%

0%

$

10.09

1.75%

$

1,588,011

1.47%

1.47%

1.47%

(1.38)%

0%

$

8.32

2.03%

$

580,587

1.14%

1.14%

1.13%

1.07%

0%

$

8.42

(8.87)%

$

971,992

1.11%

1.11%

1.11%

0.66%

0%

$

9.24

(0.86)%

$

1,840,901

1.11%

1.11%

1.11%

(0.27)%

0%

$

9.32

(8.43)%

$

1,169,464

1.13%

1.13%

1.13%

(0.73)%

0%

$

10.18

2.16%

$

240,185

1.13%

1.13%

1.13%

(1.01)%

0%

$

7.64

1.81%

$

159,510

1.70%

1.64%

1.64%

0.50%

0%

$

7.82

(14.44)%

$

244,569

1.65%

1.64%

1.64%

0.00%

0%

$

9.14

(1.61)%

$

463,124

1.64%

1.64%

1.64%

(0.85)%

0%

$

9.29

(13.17)%

$

411,599

1.66%

1.64%

1.64%

(1.29)%

0%

$

10.70

2.48%

$

258,691

1.65%

1.61%

1.61%

(1.52)%

0%

$

7.56

1.55%

$

31,794

1.96%

1.90%

1.90%

0.26%

0%

$

7.73

(14.68)%

$

59,231

1.91%

1.90%

1.90%

(0.24)%

0%

$

9.06

(1.84)%

$

97,440

1.90%

1.90%

1.90%

(1.13)%

0%

$

9.23

(13.40)%

$

116,422

1.91%

1.90%

1.90%

(1.55)%

0%

$

10.66

2.19%

$

137,115

1.92%

1.89%

1.89%

(1.78)%

0%

$

7.66

1.93%

$

95,310

1.61%

1.55%

1.55%

0.59%

0%

$

7.84

(14.32)%

$

181,404

1.56%

1.55%

1.55%

0.12%

0%

$

9.15

(1.61)%

$

261,636

1.55%

1.55%

1.55%

(0.75)%

0%

$

9.30

(13.07)%

$

203,463

1.57%

1.55%

1.55%

(1.20)%

0%

$

10.70

2.54%

$

133,722

1.59%

1.55%

1.55%

(1.45)%

0%

46

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

 As

of

December

31,

2019,

the

Trust

consists

of

thirty-

five

active

series,

two

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

is

to

seek

positive

absolute

returns.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets

and

the

Financial

Highlights

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

and

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

the

Consolidated

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2019

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2019

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd

...........................................

$

1,019,591,685

16.0%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd

........................................

65,662,816

15.4%

47

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statements

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Funds’

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statements

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-date

dividend

notification.

Upon

notification

from

issuers,

some

of

the

dividend

income

received

from

a

real

estate

investment

trust

may

be

redesignated

as

a

reduction

of

cost

of

the

related

investment

and/or

realized

gain.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Funds

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon

their

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which

they

invest.

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

each

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly

no

provision

for

Federal

income

tax

is

necessary.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

more-likely-than-not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

December

31,

2019,

the

Funds

had

no

examinations

in

progress.

For

Federal

tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFCs

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

48

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company.

Additionally,

the

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

Those

Funds

investing

in

the

LPCI

Fund

indirectly

bear

their

share

of

the

advisory

and

operating

expenses

borne

by

the

LPCI

Fund.

The

LPCI

Fund

may

be

considered

an

affiliated

person

of

some

of

the

Funds

in

the

Trust.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated

person

is

included

in

the

Schedules

of

Investments,

if

applicable.

Futures

Contracts:

The

Funds

invest

in

futures

contracts

as

part

of

their

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Funds,

the

Funds

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Funds,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

The

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Swap

Contracts:

The

Funds

engage

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedules

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Total

Return

Swap

Contracts:

The

Funds

invest

in

total

return

swaps

to

obtain

exposure

to

the

underlying

referenced

instruments,

obtain

leverage

or

attain

the

returns

from

ownership

without

actually

owning

the

underlying

position.

Total

return

swaps

are

two-party

contracts

that

generally

obligate

one

party

to

pay

the

positive

return

and

the

other

party

to

pay

the

negative

return

on

a

specified

reference

security,

security

index

or

index

component

during

the

period

of

the

swap.

Total

return

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

net

change

in

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Total

return

swaps

normally

do

not

involve

the

delivery

of

securities

or

other

underlying

assets.

If

the

counterparty

to

a

total

return

swap

contract

defaults,

a

Fund’s

risk

of

loss

consists

of

the

net

amount

of

payments

the

Fund

is

contractually

entitled

to

receive,

if

any.

The

use

of

long

total

return

swap

contracts

subject

the

Funds

to

risk

of

loss

in

excess

of

the

amounts

shown

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

total

return

swaps

subject

the

Funds

to

potential

unlimited

loss.

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

from

the

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

49

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Master

Agreements:

The

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions,

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

the

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Funds

are

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

are

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedules

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statements

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statements

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

the

Funds

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

a

Fund

for

OTC

derivatives

pursuant

to

a

Master

Agreement

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statements

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

a

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund’s

Schedule

of

Investments.

Segregation

of

a

fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

Due

to

brokers

in

the

Statements

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

For

financial

reporting

purposes,

the

Funds

do

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statements

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

50

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

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.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

securities

sold

short,

rights,

exchange

options,

warrants,

Exchange-Traded

Funds

(“ETFs”)

and

closed-end

investment

companies,

are

valued

at

the

last

quoted

sales

prices

or

official

closing

prices

taken

from

the

primary

market,

or

composite

in

which

each

security

trades

and

are

therefore

classified

Level

1.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are

also

classified

as

Level

1.

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

51

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

52

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

During

the

period

ended

December

31,

2019,

there

were

no

transfers

to

or

from

Level

3

for

either

of

the

Funds.

There

were

no

Level

3

securities

held

at

period

end. 

Federal

Income

Tax

Matters

At

December

31,

2019,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

differences

in

the

tax

treatment

of

mark

to

market

gain/loss

on

regulated

futures

contracts

and

forward

foreign

currency

contracts. 

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

734,604,413

$

3,894,751,662

$

–

$

4,629,356,075

Futures

Contracts*

...............................

58,724,013

–

–

58,724,013

Forward

Foreign

Currency

Exchange

Contracts*

........

–

162,682,815

–

162,682,815

Total

Return

Swaps

Contracts*

......................

–

24,204,737

–

24,204,737

Total

Assets

$

793,328,426

$

4,081,639,214

$

–

$

4,874,967,640

LIABILITIES

Futures

Contracts*

...............................

$

(21,276,919)

$

–

$

–

$

(21,276,919)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(166,869,424)

–

(166,869,424)

Total

Return

Swaps

Contracts*

......................

–

(9,403,071)

–

(9,403,071)

Total

Liabilities

$

(21,276,919)

$

(176,272,495)

$

–

$

(197,549,414)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

50,535,610

$

219,583,543

$

–

$

270,119,153

Futures

Contracts*

...............................

5,548,636

–

–

5,548,636

Forward

Foreign

Currency

Exchange

Contracts*

........

–

15,178,994

–

15,178,994

Total

Return

Swaps

Contracts*

......................

–

2,281,410

–

2,281,410

Total

Assets

$

56,084,246

$

237,043,947

$

–

$

293,128,193

LIABILITIES

Futures

Contracts*

...............................

$

(2,037,905)

$

–

$

–

$

(2,037,905)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(15,583,036)

–

(15,583,036)

Total

Return

Swaps

Contracts*

......................

–

(864,658)

–

(864,658)

Total

Liabilities

$

(2,037,905)

$

(16,447,694)

$

–

$

(18,485,599)

*

Derivative

instruments,

including

futures,

total

return

swap,

and

forward

foreign

currency

exchange

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Only

current

day’s

variation

swaps

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Managed

Futures

Strategy

Fund

........................

$

4,638,941,167

$

240,419,262

$

(201,942,203

)

$

38,477,059

AQR

Managed

Futures

Strategy

HV

Fund

.....................

271,037,525

22,486,714

(18,881,645

)

3,605,069

53

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

As

of

December

31,

2019,

the

components

of

net

assets

(excluding

paid-in

capital)

on

a

tax

basis

were

as

follows:

The

differences

between

book

basis

and

tax

basis

components

of

net

assets

are

primarily

attributable

to

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

contracts,

loss

deferrals

from

tax

straddles,

certain

late

year

loss

deferrals,

and

capital

loss

carryforwards. 

As

of

December

31,

2019,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

income

from

investments

in

the

Cayman

subsidiary.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications.

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends December

31,

2019

and

December

31,

2018 were

as

follows:

During

the

year

ended

December

31,

2019,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

As

of

December

31,

2019,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations:

Investment

Transactions

During

the year

ended

December

31,

2019,

there

was

no

cost

of

purchases

or

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments).

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Managed

Futures

Strategy

Fund

....................

$

183,012

$

(923,131,445)

$

26,795,549

$

(21,500,307)

$

2,225,461

$

(915,427,730)

AQR

Managed

Futures

Strategy

HV

Fund

.................

17,118

(86,074,631)

2,490,260

(2,103,222)

158,051

(85,512,424)

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Managed

Futures

Strategy

Fund

...............................................

$

227,769,302

$

(227,769,302)

AQR

Managed

Futures

Strategy

HV

Fund

............................................

23,474,540

(23,474,540)

DECEMBER

31,

2019

DECEMBER

31,

2018

FUND

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

AQR

Managed

Futures

Strategy

Fund

.........

$

133,458,735

$

—

$

—

$

—

$

—

$

—

AQR

Managed

Futures

Strategy

HV

Fund

......

11,260,716

—

—

—

—

—

FUND

SHORT-TERM

LONG-TERM

AQR

Managed

Futures

Strategy

Fund

.......................................................

$

71,310,999

$

10,182,683

AQR

Managed

Futures

Strategy

HV

Fund

....................................................

5,667,921

–

FUND

SHORT-TERM

LONG

TERM

AQR

Managed

Futures

Strategy

Fund

...............................................

$

397,460,674

$

525,670,771

AQR

Managed

Futures

Strategy

HV

Fund

............................................

38,881,764

47,192,867

54

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts,

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

December

31,

2019.

ASSETS

LIABILITIES

FUND

UNREALIZED

APPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

UNREALIZED

APPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

UNREALIZED

DEPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

UNREALIZED

DEPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Equity

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

.......

$

12,121,808

$

18,941,726

$

–

$

6,561,744

$

20,908

$

–

AQR

Managed

Futures

Strategy

HV

Fund

....

1,171,922

1,798,211

–

624,412

350

–

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

.......

–

–

162,682,815

–

–

166,869,424

AQR

Managed

Futures

Strategy

HV

Fund

....

–

–

15,178,994

–

–

15,583,036

Interest

Rate

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

.......

2,785,341

–

–

1,673,869

–

–

AQR

Managed

Futures

Strategy

HV

Fund

....

260,274

–

–

181,690

–

–

Commodity

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

.......

43,816,864

5,263,011

–

13,041,306

9,382,163

–

AQR

Managed

Futures

Strategy

HV

Fund

....

4,116,440

483,199

–

1,231,803

864,308

–

Net

Fair

Value

of

Derivative

Contracts:

AQR

Managed

Futures

Strategy

Fund

.......

37,447,094

14,801,666

–

–

–

4,186,609

AQR

Managed

Futures

Strategy

HV

Fund

....

3,510,731

1,416,752

–

–

–

404,042

*

Includes

cumulative

appreciation/(depreciation)

on

futures

contracts,

if

any,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

55

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the year

ended

December

31,

2019:

REALIZED

GAIN

(LOSS)

ON

DERIVATIVES

RECOGNIZED

AS

A

RESULT

FROM

OPERATIONS

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

ON

DERIVATIVES

RECOGNIZED

AS

A  RESULT

FROM

OPERATIONS

FUND

FUTURES

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

FUTURES

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Equity

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

............

$

5,957,587

$

(28,861,860)

$

–

$

(46,631,850)

$

19,774,353

$

–

AQR

Managed

Futures

Strategy

HV

Fund

.........

(683,861)

(3,014,109)

–

(4,966,135)

1,846,292

–

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

............

–

–

(187,914,326)

–

–

70,823,386

AQR

Managed

Futures

Strategy

HV

Fund

.........

–

–

(18,613,081)

–

–

7,559,547

Interest

Rate

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

............

521,065,546

–

–

(21,011,493)

–

–

AQR

Managed

Futures

Strategy

HV

Fund

.........

52,041,525

–

–

(2,243,139)

–

–

Commodity

Risk

Exposure:

AQR

Managed

Futures

Strategy

Fund

............

(207,330,617)

(23,940,899)

–

3,509,696

(10,856,887)

–

AQR

Managed

Futures

Strategy

HV

Fund

.........

(20,131,044)

(2,162,541)

–

56,262

(1,065,017)

–

56

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

The

following

tables

present

the

Funds’

gross

OTC

derivative

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

December

31,

2019:

AQR

Managed

Futures

Strategy

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

11,808,788

and

total

additional

collateral

pledged

was

$

113,463,540.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

81,352,417

$

(81,352,417)

$

–

CITI

...........

Total

Return

Swap

Contracts

13,825,642

(20,908)

13,804,734

Total

CITI

95,178,059

(81,373,325)

13,804,734

$

–

$

(13,804,734)

$

–

GSIN

..........

Total

Return

Swap

Contracts

348,217

–

348,217

–

(348,217)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

81,330,398

(81,330,398)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

429,606

–

429,606

–

(370,000)

59,606

MSCS

..........

Total

Return

Swap

Contracts

4,338,261

–

4,338,261

–

(4,338,261)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

181,624,541

(162,703,723)

18,920,818

–

(18,861,212)

59,606

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

83,432,593

$

(81,352,417)

$

2,080,176

CITI

...........

Total

Return

Swap

Contracts

20,908

(20,908)

–

Total

CITI

83,453,501

(81,373,325)

2,080,176

$

–

$

(2,080,176)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

83,436,831

(81,330,398)

2,106,433

–

(2,106,433)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

166,890,332

(162,703,723)

4,186,609

–

(4,186,609)

–

57

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

9,909,117.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

3,868,373

$

(3,868,373)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

413,519

(413,519)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

744,830

(84,603)

660,227

–

(190,000)

470,227

MLIN

..........

Total

Return

Swap

Contracts

42,360

–

42,360

–

–

42,360

SOCG

.........

Total

Return

Swap

Contracts

193,929

(193,929)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

5,263,011

(4,560,424)

702,587

–

(190,000)

512,587

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

4,910,267

$

(3,868,373)

$

1,041,894

$

–

$

(1,041,894)

$

–

GSIN

..........

Total

Return

Swap

Contracts

3,695,663

(413,519)

3,282,144

(3,282,144)

–

–

MACQ

.........

Total

Return

Swap

Contracts

84,603

(84,603)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

691,630

(193,929)

497,701

–

(497,701)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

9,382,163

(4,560,424)

4,821,739

(3,282,144)

(1,539,595)

–

58

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Managed

Futures

Strategy

HV

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$

198,214

and

total

additional

collateral

pledged

was

$

8,005,805.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

7,590,541

$

(7,590,541)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

362,136

(350)

361,786

–

(361,786)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

7,588,453

(7,588,453)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

1,436,075

–

1,436,075

(1,240,000)

196,075

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

16,977,205

(15,179,344)

1,797,861

–

(1,601,786)

196,075

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

7,791,321

$

(7,590,541)

$

200,780

$

–

$

(200,780)

$

–

GSIN

..........

Total

Return

Swap

Contracts

350

(350)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

7,791,715

(7,588,453)

203,262

–

(203,262)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

15,583,386

(15,179,344)

404,042

–

(404,042)

–

59

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$

973,791.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

359,010

$

(359,010)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

37,960

(37,960)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

67,961

(5,832)

62,129

–

–

62,129

SOCG

.........

Total

Return

Swap

Contracts

18,268

(18,268)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

483,199

(421,070)

62,129

–

–

62,129

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

454,753

$

(359,010)

$

95,743

$

–

$

(95,743)

$

–

GSIN

..........

Total

Return

Swap

Contracts

343,624

(37,960)

305,664

(305,664)

–

–

MACQ

.........

Total

Return

Swap

Contracts

5,832

(5,832)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

60,099

(18,268)

41,831

–

(41,831)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

864,308

(421,070)

443,238

(305,664)

(137,574)

–

60

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

For

the year

ended

December

31,

2019,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended,

entered

into

by

the

Trust,

on

behalf

of

the

Funds (the

“Investment

Management

Agreement”).

Under

the

Investment

Management

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the Advisory Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

2020

for

Class

I,

N,

and

R6

shares.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

all

Fund

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

22,642,499,918

$

2,219,724,149

Average

Notional

Balance

-

Short

2,611,139,665

259,602,770

Ending

Notional

Balance

-

Long

4,467,836,635

428,040,609

Ending

Notional

Balance

-

Short

4,368,208,933

415,980,731

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

8,336,908,254

818,981,424

Average

Settlement

Value

-

Sold

10,191,721,396

1,002,678,002

Ending

Value

-

Purchased

8,037,485,723

755,111,069

Ending

Value

-

Sold

6,845,978,342

640,184,096

Total

Return

Swaps:

Average

Notional

Balance

-

Long

450,035,366

42,540,822

Average

Notional

Balance

-

Short

637,684,168

60,932,400

Ending

Notional

Balance

-

Long

669,886,207

62,623,874

Ending

Notional

Balance

-

Short

255,065,917

23,702,571

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

FUND

RATIO

AQR

Managed

Futures

Strategy

Fund

......................................................................

1.05%

AQR

Managed

Futures

Strategy

HV

Fund

...................................................................

1.45

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Managed

Futures

Strategy

Fund

..................................................

0.20

%

0.20

%

0.10

%

AQR

Managed

Futures

Strategy

HV

Fund

...............................................

0.20

0.20

0.10

61

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Prior

to

May

1,

2019,

pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

agreed

to

waive

fees

and/or

reimburse

expenses

of

each

Fund

to

the

extent

that

the

total

annual

fund

operating

expense

ratios,

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

exceeded

the

following

ratios:

For

the year

ended December

31,

2019

the

Funds’

Adviser

waived

fees

and/or

reimbursed

expenses

for

each

of

the

Funds

as

follows:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

waiver/expense

reimbursement

to

the

Adviser.

A

repayment

shall

be

payable

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

waived

fees

or

reimbursed

the

applicable

Fund

for

its

operating

expenses

under

the

Expense

Limitation

Agreement.

Such

repayment

shall

be

made

only

out

of

the

class

of

the

Fund

for

which

the

applicable

fee

waiver

and/or

expense

reimbursement

was

made.

Repayments

with

respect

to

a

Fund

must

be

limited

to

amounts

that

do

not

cause

the

total

annual

operating

expenses

or

the

other

operating

expenses,

as

applicable,

attributable

to

a

share

class

of

the

Fund

during

a

year

in

which

such

repayment

is

made

to

exceed

either

of

(i)

the

applicable

limits

in

effect

at

the

time

of

the

waiver

and/or

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture.

For

the year

ended

December

31,

2019,

the

amounts

waived

and

reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at December

31,

2019

are

as

follows:

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

The

Funds

are

non-diversified.

Because

the

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Funds

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Funds’

performance.

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Managed

Futures

Strategy

Fund

..................................................

1.25

%

1.50

%

1.15

%

AQR

Managed

Futures

Strategy

HV

Fund

...............................................

1.65

1.90

1.55

FUND

INVESTMENT

ADVISORY

FEES

WAIVED

EXPENSE

REIMBURSEMENTS

TOTAL

AQR

Managed

Futures

Strategy

HV

Fund

.................................

$

49,018

$

171,807

$

220,825

FEES

WAIVED/

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31,

DECEMBER

31,

2019

DECEMBER

31,

2019

2020

2021

2022

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

...........

$

119,555

$

168,419

$

20,301

$

28,563

$

119,555

Class

N

...........

29,171

42,482

6,289

7,022

29,171

Class

R6

..........

72,099

106,034

10,916

23,019

72,099

Totals

$

220,825

$

316,935

$

37,506

$

58,604

$

220,825

62

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

Many

financial

instruments

may

be

tied

to

the

London

Interbank

Offered

Rate,

or

“LIBOR,”

to

determine

payment

obligations,

financing

terms,

hedging

strategies,

or

investment

value.

LIBOR

is

the

offered

rate

for

short-term

Eurodollar

deposits

between

major

international

banks.

On

July

27,

2017,

the

head

of

the

UK

Financial

Conduct

Authority

announced

a

desire

to

phase

out

the

use

of

LIBOR

by

the

end

of

2021.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates,

but

global

consensus

is

lacking

and

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR

remains

unclear.

There

also

remains

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

the

transition

away

from

LIBOR

may

lead

to

increased

volatility

and

illiquidity

in

markets

that

are

tied

to

LIBOR,

reduced

values

of

LIBOR-related

investments,

and

reduced

effectiveness

of

hedging

strategies,

adversely

affecting

the

Fund’s

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Fund. 

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility.

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

Currency

risk

arises

from

the

possibility

that

fluctuations

in

foreign

exchange

rates

will

affect

the

value

of

cash

balances

held

in

foreign

currencies

and

non-U.S.

denominated

financial

instruments.

The

liquidity

and

trading

value

of

foreign

currencies

could

be

affected

by

global

economic

factors,

such

as

inflation,

interest

rate

levels,

and

trade

balances

among

countries,

as

well

as

the

actions

of

sovereign

governments

and

central

banks.

Currency

rates

in

foreign

countries

may

fluctuate

significantly

over

short

periods

of

time

for

a

number

of

reasons. 

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries.

The

Funds

may

invest

in

illiquid

investments

and

may

experience

difficulty

in

selling

those

investments

in

a

timely

manner

at

the

price

that

it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

net

asset

value

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

net

asset

value

of

a

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Fund

invests.

The

Funds

may

have

investments

that

appreciate

or

decrease

significantly

in

value

over

short

periods

of

time.

This

may

cause

the

Funds’

net

asset

value

per

share

to

experience

significant

increases

or

declines

in

value

over

short

periods

of

time,

however,

all

investments

long-term

or

short-term

are

subject

to

risk

of

loss. 

In

addition

to

market

risk,

the

Funds

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Funds’

portfolios

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

The

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary. 

63

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Funds

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Funds’

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statements

of

Assets

and

Liabilities.

The

counterparties

to

the

Funds’

derivative

investments

may

include

affiliates

of

the

Funds’

clearing

brokers

and

other

major

financial

institutions.

While

the

Funds

use

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Funds

minimize

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund’s

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

The

Funds,

at

times,

utilize

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Funds’

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Funds.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

64

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

There

were

no

open

borrowings

as

of

December

31,

2019

by

any

of

the

Funds

in

the

Trust. 

Line

of

Credit

Effective

March

22,

2019

and

terminating

on

March

20,

2020,

the

Trust

renewed

a

$350,000,000

committed

syndicated

line

of

credit

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

Administrative

Agent.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.0%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

which

is

paid

monthly.

The

maximum

loan

amount

available

to

a

Fund

is

the

lesser

of

an

amount

which

will

not

exceed

the

borrowing

limits

set

forth

in

the

Fund’s

Prospectus

and/or

Registration

Statement

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

a

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Fund

may

be

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interest

expense

in

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of December

31,

2019 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2019. 

Principal

Ownership

As

of

December

31,

2019,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

Subsequent

Events 

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events.

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

....................................

$

5,303,636

22

$

7,443

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Managed

Futures

Strategy

Fund

........................................

6

79.74%

AQR

Managed

Futures

Strategy

HV

Fund

.....................................

4

87.54%

65

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2019

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

Opinions

on

the

Consolidated

Financial

Statements

We

have

audited

the

accompanying

consolidated

statements

of

assets

and

liabilities,

including

the

consolidated

schedules

of

investments,

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

and

their

subsidiaries

(two

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

"Funds")

as

of

December

31,

2019,

the

related

consolidated

statements

of

operations

for

the

year

ended

December

31,

2019,

the

consolidated

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2019,

including

the

related

notes,

and

the

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2019

(collectively

referred

to

as

the

“consolidated

financial

statements”).

In

our

opinion,

the

consolidated

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2019,

the

results

of

each

of

their

operations

for

the

year

then

ended,

the

changes

in

each

of

their

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2019

and

each

of

the

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2019

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

consolidated

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

consolidated

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

consolidated

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

consolidated

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

consolidated

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

consolidated

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

consolidated

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2019

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

February

21,

2020

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

66

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

As

a

shareholder

of

the

Trust,

you

incur

two

types

of

costs:

(1)

transaction

costs

and

(2)

ongoing

costs,

including

management

fees;

and

other

Fund

expenses.

This

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

Fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds

The

Example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

for

the

entire

period

as

indicated

below.

Actual

Expenses

The

table

below

provides

information

about

actual

account

values

and

actual

expenses.

You

may

use

the

information

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

under

the

heading

entitled

“Expenses

Paid

for

the

Period

Ending

12/31/2019”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

the

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

fund.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/19

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/19

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$995.50

1.21%

$6.09

Hypothetical

Return

$1,000.00

$1,019.11

1.21%

$6.16

Class

N

Actual

Return

$1,000.00

$994.00

1.49%

$7.49

Hypothetical

Return

$1,000.00

$1,017.69

1.49%

$7.58

Class

R6

Actual

Return

$1,000.00

$996.60

1.14%

$5.74

Hypothetical

Return

$1,000.00

$1,019.46

1.14%

$5.80

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$987.80

1.65%

$8.27

Hypothetical

Return

$1,000.00

$1,016.89

1.65%

$8.39

Class

N

Actual

Return

$1,000.00

$987.40

1.90%

$9.52

Hypothetical

Return

$1,000.00

$1,015.63

1.90%

$9.65

Class

R6

Actual

Return

$1,000.00

$989.00

1.55%

$7.77

Hypothetical

Return

$1,000.00

$1,017.39

1.55%

$7.88

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

67

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830.

The

Funds’

Statement

of

Additional

Information

includes

additional

information

about

the

Trustees

and

is

available

free

of

charge,

upon

request,

by

calling

(866)

290-2688,

or

by

writing

to

AQR

Funds,

P.O.

Box

2248,

Denver,

CO

80201-2248. 

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian

Posner,

M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

45

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-

2018);

BG

Medicine

(2012-2015)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2016);

Managing

Director,

Finance

Scholars

Group

(2010-2014)

(consulting)

45

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

45

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

45

None

Mark

A.

Zurack,

M.B.A.,

CFA

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

45

Exchange

Traded

Concepts

Trust

(since

2011);

Source

ETF

Trust

(2014-2015)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

45

None

William

Cashel,

M.B.A.,

1973

Trustee,

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2009)

45

None

Officers

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley

Asness,

J.D.,

M.B.A.,

1969

Vice

President,

since

2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since

2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Philip

Balzafiore,

J.D.,

LLM,

CPA

1977

Assistant

Treasurer,

since

2020

Managing

Director,

AQR

Capital

Management,

LLC

(since

2015)

N/A

N/A

68

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2019

December

31,

2019

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December

31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

and

Mr.

Cashel

are

interested

persons

of

the

Trust

because

of

their

positions

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Item 2. Code of Ethics.

a).          

As of the end of the period, December 31

, 2019

,

the Registrant

has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  This code of ethics is included as Exhibit 13 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2019 (“Reporting Period”).

d).           Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a).           The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP

for the fiscal years ended December 31, 2018 and December 31, 2019 were:

	2018	2019
Audit Fees (a)	$1,303,622	$1,312,778
Audit Related Fees (b)	$0	$0
Tax Fees (c)	$361,261	$318,825
All Other Fees (d)	$450	$675
Total:	$1,665,333	$1,632,278

(a)

Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements.  These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b)           Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP

that are reasonably

related to the performance of the audit of the Registrant’s annual financial statements that are not reported under “Audit Fees” above.  There were no audit related services provided by PricewaterhouseCoopers LLP for the years December 31, 2018 and December 31, 2019.

(c)           Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for tax compliance, tax advice and tax planning.  The tax services provided by PricewaterhouseCoopers LLP

relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d)           All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP

other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e)           Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.  

(f)            Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g)           Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2018 and December 31, 2019: $1,800 and $1,350, respectively.

(h)           Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act.  All of the Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940

.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)   The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)   There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(a)(2)      Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)      Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.

(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ William Cashel

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William Cashel,

Principal Executive Officer

February 28, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ William Cashel

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William Cashel,

Principal Executive Officer

February 28, 2020

By: /s/ Heather Bonner

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Heather Bonner,

Principal Financial Officer

February 28, 2020