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:  September 30

Date of reporting period:  October 1, 2019 to March 31, 2020

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.

Semi-Annual

Report

March

31,

2020

(Unaudited)

AQR

Large

Cap

Multi-Style

Fund

AQR

Small

Cap

Multi-Style

Fund

AQR

International

Multi-Style

Fund

AQR

Emerging

Multi-Style

Fund

AQR

TM

Large

Cap

Multi-Style

Fund

AQR

TM

Small

Cap

Multi-Style

Fund

AQR

TM

International

Multi-Style

Fund

AQR

TM

Emerging

Multi-Style

Fund

AQR

Large

Cap

Momentum

Style

Fund

AQR

Small

Cap

Momentum

Style

Fund

AQR

International

Momentum

Style

Fund

AQR

TM

Large

Cap

Momentum

Style

Fund

AQR

TM

Small

Cap

Momentum

Style

Fund

AQR

TM

International

Momentum

Style

Fund

AQR

Large

Cap

Defensive

Style

Fund

AQR

International

Defensive

Style

Fund

AQR

Emerging

Defensive

Style

Fund

AQR

Global

Equity

Fund

AQR

International

Equity

Fund

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

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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.

Table

of

Contents

Schedule

of

Investments

AQR

Large

Cap

Multi-Style

Fund

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

2

AQR

Small

Cap

Multi-Style

Fund

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

7

AQR

International

Multi-Style

Fund

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

13

AQR

Emerging

Multi-Style

Fund

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

17

AQR

TM

Large

Cap

Multi-Style

Fund

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

22

AQR

TM

Small

Cap

Multi-Style

Fund

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

27

AQR

TM

International

Multi-Style

Fund

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

33

AQR

TM

Emerging

Multi-Style

Fund

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

37

AQR

Large

Cap

Momentum

Style

Fund

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

42

AQR

Small

Cap

Momentum

Style

Fund

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

49

AQR

International

Momentum

Style

Fund

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

59

AQR

TM

Large

Cap

Momentum

Style

Fund

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

65

AQR

TM

Small

Cap

Momentum

Style

Fund

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

71

AQR

TM

International

Momentum

Style

Fund

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

80

AQR

Large

Cap

Defensive

Style

Fund

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

86

AQR

International

Defensive

Style

Fund

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

93

AQR

Emerging

Defensive

Style

Fund

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

98

AQR

Global

Equity

Fund

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

103

AQR

International

Equity

Fund

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

112

Financial

Statements

and

Notes

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

120

Fund

Expense

Examples

(unaudited)

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

198

2

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

98.5%

Aerospace

&

Defense

-

1.3%

Curtiss-Wright

Corp.

5,650

$

522,116

Huntington

Ingalls

Industries,

Inc.

27,433

4,998,567

Lockheed

Martin

Corp.

906

307,089

Northrop

Grumman

Corp.

7,791

2,357,167

Raytheon

Co.

15,048

1,973,545

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

75,650

1,810,305

11,968,789

Airlines

-

0.3%

JetBlue

Airways

Corp.*

286,278

2,562,188

United

Airlines

Holdings,

Inc.*

23,408

738,523

3,300,711

Automobiles

-

0.3%

General

Motors

Co.

69,899

1,452,501

Tesla,

Inc.*

3,119

1,634,356

3,086,857

Banks

-

3.1%

Citigroup,

Inc.

77,107

3,247,747

Citizens

Financial

Group,

Inc.

99,097

1,864,015

Fifth

Third

Bancorp

41,306

613,394

First

Citizens

BancShares

,

Inc.,

Class

A

7,184

2,391,338

JPMorgan

Chase

&

Co.

159,551

14,364,376

Popular,

Inc.

158,886

5,561,010

Wells

Fargo

&

Co.

63,636

1,826,353

29,868,233

Beverages

-

1.5%

Coca-Cola

Co.

(The)

21,459

949,561

Monster

Beverage

Corp.*

24,681

1,388,553

PepsiCo,

Inc.

99,783

11,983,938

14,322,052

Biotechnology

-

3.7%

AbbVie,

Inc.

52,181

3,975,671

Alexion

Pharmaceuticals,

Inc.*

51,761

4,647,620

Amgen,

Inc.

27,122

5,498,443

Biogen,

Inc.*

47,814

15,127,393

Exelixis

,

Inc.*

358,354

6,170,856

35,419,983

Building

Products

-

0.1%

Owens

Corning

18,591

721,517

Capital

Markets

-

1.6%

Ameriprise

Financial,

Inc.

91,004

9,326,090

Evercore

,

Inc.,

Class

A

22,854

1,052,655

Goldman

Sachs

Group,

Inc.

(The)

1,727

266,977

LPL

Financial

Holdings,

Inc.

23,309

1,268,709

Morgan

Stanley

87,246

2,966,364

14,880,795

INVESTMENTS

SHARES

VALUE

Chemicals

-

0.4%

DuPont

de

Nemours,

Inc.

32,826

$

1,119,367

LyondellBasell

Industries

NV,

Class

A

61,329

3,043,758

NewMarket

Corp.

16

6,126

4,169,251

Commercial

Services

&

Supplies

-

1.3%

Cintas

Corp.

4,797

830,936

Copart

,

Inc.*

21,047

1,442,141

KAR

Auction

Services,

Inc.

43,832

525,984

Waste

Management,

Inc.

104,807

9,700,936

12,499,997

Consumer

Finance

-

0.4%

Capital

One

Financial

Corp.

9,156

461,646

OneMain

Holdings,

Inc.

14,028

268,215

Synchrony

Financial

172,526

2,775,943

3,505,804

Distributors

-

0.1%

LKQ

Corp.*

30,523

626,027

Diversified

Consumer

Services

-

0.2%

Graham

Holdings

Co.,

Class

B

4,685

1,598,381

Diversified

Financial

Services

-

1.9%

Berkshire

Hathaway,

Inc.,

Class

B*

79,319

14,501,893

Equitable

Holdings,

Inc.

265,143

3,831,316

18,333,209

Diversified

Telecommunication

Services

-

0.1%

AT&T,

Inc.

26,024

758,599

Verizon

Communications,

Inc.

9,642

518,065

1,276,664

Electric

Utilities

-

2.2%

American

Electric

Power

Co.,

Inc.

11,160

892,577

Duke

Energy

Corp.

6,554

530,087

Exelon

Corp.

294,053

10,824,091

Pinnacle

West

Capital

Corp.

111,783

8,472,034

20,718,789

Electrical

Equipment

-

0.1%

Acuity

Brands,

Inc.

6,975

597,479

Electronic

Equipment,

Instruments

&

Components

-

1.6%

Arrow

Electronics,

Inc.*

14,852

770,373

Avnet,

Inc.

31,739

796,649

CDW

Corp.

17,982

1,677,181

Jabil,

Inc.

238,690

5,867,000

SYNNEX

Corp.

77,549

5,668,832

14,780,035

3

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Entertainment

-

1.1%

Electronic

Arts,

Inc.*

47,747

$

4,782,817

Walt

Disney

Co.

(The)

56,414

5,449,592

10,232,409

Food

&

Staples

Retailing

-

1.9%

Casey's

General

Stores,

Inc.

2,293

303,799

Costco

Wholesale

Corp.

13,321

3,798,217

Kroger

Co.

(The)

129,815

3,910,028

Walmart,

Inc.

90,926

10,331,012

18,343,056

Food

Products

-

2.6%

Flowers

Foods,

Inc.

17,814

365,543

General

Mills,

Inc.

64,908

3,425,195

Ingredion,

Inc.

5,161

389,656

JM

Smucker

Co.

(The)

28,546

3,168,606

Pilgrim's

Pride

Corp.*

264,853

4,799,136

Tyson

Foods,

Inc.,

Class

A

213,523

12,356,576

24,504,712

Health

Care

Equipment

&

Supplies

-

2.3%

ABIOMED,

Inc.*

17,545

2,546,832

Align

Technology,

Inc.*

5,129

892,190

Baxter

International,

Inc.

34,166

2,773,938

Danaher

Corp.

47,334

6,551,499

Edwards

Lifesciences

Corp.*

3,726

702,798

Medtronic

plc

88,396

7,971,551

21,438,808

Health

Care

Providers

&

Services

-

3.0%

AmerisourceBergen

Corp.

22,417

1,983,904

Anthem,

Inc.

30,203

6,857,289

CVS

Health

Corp.

58,684

3,481,722

DaVita,

Inc.*

6,702

509,754

Humana,

Inc.

32,397

10,173,306

McKesson

Corp.

2,814

380,622

Molina

Healthcare,

Inc.*

29,008

4,052,708

Universal

Health

Services,

Inc.,

Class

B

12,065

1,195,400

28,634,705

Hotels,

Restaurants

&

Leisure

-

0.5%

Aramark

53,791

1,074,206

Carnival

Corp.

41,783

550,282

Darden

Restaurants,

Inc.

19,606

1,067,743

Norwegian

Cruise

Line

Holdings

Ltd.*

150,322

1,647,529

4,339,760

Household

Durables

-

1.3%

Lennar

Corp.,

Class

A

44,904

1,715,333

INVESTMENTS

SHARES

VALUE

Household

Durables

-

1.3%

(continued)

NVR,

Inc.*

1,755

$

4,508,788

PulteGroup,

Inc.

158,422

3,535,979

Whirlpool

Corp.(a)

34,885

2,993,133

12,753,233

Household

Products

-

3.9%

Clorox

Co.

(The)

57,636

9,985,437

Kimberly-Clark

Corp.

63,620

8,135,089

Procter

&

Gamble

Co.

(The)

171,755

18,893,050

37,013,576

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Energy

Corp.

45,975

733,761

Industrial

Conglomerates

-

0.2%

Carlisle

Cos.,

Inc.

17,094

2,141,536

Insurance

-

6.6%

Allstate

Corp.

(The)

137,762

12,636,908

American

Financial

Group,

Inc.

28,059

1,966,375

American

International

Group,

Inc.

7,771

188,447

Arch

Capital

Group

Ltd.*

122,722

3,492,668

Assurant,

Inc.

23,344

2,429,877

Assured

Guaranty

Ltd.

133,303

3,437,884

Athene

Holding

Ltd.,

Class

A*

157,754

3,915,454

Brighthouse

Financial,

Inc.*

78,106

1,887,822

CNA

Financial

Corp.

8,943

277,591

Everest

Re

Group

Ltd.

49,295

9,485,344

Fidelity

National

Financial,

Inc.

34,226

851,543

First

American

Financial

Corp.

130,096

5,517,371

Hartford

Financial

Services

Group,

Inc.

(The)

52,320

1,843,757

MetLife,

Inc.

77,719

2,375,870

Old

Republic

International

Corp.

80,007

1,220,107

Progressive

Corp.

(The)

18,793

1,387,675

Reinsurance

Group

of

America,

Inc.

29,802

2,507,540

Travelers

Cos.,

Inc.

(The)

69,841

6,938,703

62,360,936

Interactive

Media

&

Services

-

7.0%

Alphabet,

Inc.,

Class

A*

22,576

26,232,183

Alphabet,

Inc.,

Class

C*

12,767

14,845,595

Facebook,

Inc.,

Class

A*

151,291

25,235,339

66,313,117

Internet

&

Direct

Marketing

Retail

-

1.9%

Amazon.com,

Inc.*

9,343

18,216,234

IT

Services

-

4.7%

Accenture

plc,

Class

A

16,917

2,761,869

Akamai

Technologies,

Inc.*

108,186

9,897,937

Amdocs

Ltd.

26,270

1,444,062

Booz

Allen

Hamilton

Holding

Corp.

54,881

3,767,032

CACI

International,

Inc.,

Class

A*

19,257

4,066,116

Cognizant

Technology

Solutions

Corp.,

Class

A

70,491

3,275,717

DXC

Technology

Co.

13,629

177,858

4

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

4.7%

(continued)

International

Business

Machines

Corp.

65,474

$

7,263,031

Leidos

Holdings,

Inc.

28,042

2,570,049

VeriSign,

Inc.*

23,064

4,153,596

Visa,

Inc.,

Class

A

33,746

5,437,156

44,814,423

Life

Sciences

Tools

&

Services

-

1.2%

Charles

River

Laboratories

International,

Inc.*

51,468

6,495,776

PRA

Health

Sciences,

Inc.*

7,115

590,830

Thermo

Fisher

Scientific,

Inc.

16,533

4,688,759

11,775,365

Machinery

-

1.2%

AGCO

Corp.

21,604

1,020,789

Cummins,

Inc.

19,425

2,628,591

Oshkosh

Corp.

123,785

7,963,089

11,612,469

Media

-

1.3%

AMC

Networks,

Inc.,

Class

A*(a)

137,124

3,333,484

Comcast

Corp.,

Class

A

204,767

7,039,890

Discovery,

Inc.,

Class

A*(a)

93,542

1,818,457

Omnicom

Group,

Inc.

6,337

347,901

12,539,732

Multiline

Retail

-

1.8%

Dollar

General

Corp.

22,985

3,470,965

Macy's,

Inc.(a)

167,105

820,485

Nordstrom,

Inc.(a)

34,037

522,128

Target

Corp.

126,872

11,795,290

16,608,868

Multi-Utilities

-

0.9%

Ameren

Corp.

7,880

573,900

Consolidated

Edison,

Inc.

61,300

4,781,400

Public

Service

Enterprise

Group,

Inc.

62,100

2,788,911

8,144,211

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Pioneer

Natural

Resources

Co.

10,426

731,384

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

9,763

1,555,636

Nu

Skin

Enterprises,

Inc.,

Class

A

10,808

236,155

1,791,791

Pharmaceuticals

-

6.1%

Allergan

plc

17,701

3,134,847

Bristol-Myers

Squibb

Co.

112,687

6,281,173

Eli

Lilly

&

Co.

4,214

584,566

Horizon

Therapeutics

plc*

77,673

2,300,674

Jazz

Pharmaceuticals

plc*

50,128

4,999,767

INVESTMENTS

SHARES

VALUE

Pharmaceuticals

-

6.1%

(continued)

Johnson

&

Johnson

122,504

$

16,063,950

Merck

&

Co.,

Inc.

182,581

14,047,782

Mylan

NV*

219,823

3,277,561

Pfizer,

Inc.

225,241

7,351,866

58,042,186

Professional

Services

-

0.7%

ManpowerGroup

,

Inc.

81,384

4,312,538

Robert

Half

International,

Inc.

70,168

2,648,842

6,961,380

Road

&

Rail

-

0.2%

AMERCO

1,585

460,522

Uber

Technologies,

Inc.*

40,135

1,120,569

1,581,091

Semiconductors

&

Semiconductor

Equipment

-

6.5%

Applied

Materials,

Inc.

104,833

4,803,448

Intel

Corp.

367,682

19,898,950

Lam

Research

Corp.

30,428

7,302,720

Micron

Technology,

Inc.*

222,367

9,352,756

Qorvo

,

Inc.*

56,474

4,553,499

QUALCOMM,

Inc.

17,268

1,168,180

Skyworks

Solutions,

Inc.

68,111

6,087,761

Teradyne,

Inc.

46,845

2,537,594

Texas

Instruments,

Inc.

56,794

5,675,424

61,380,332

Software

-

9.8%

Adobe,

Inc.*

13,221

4,207,451

ANSYS,

Inc.*

3,850

895,009

Cadence

Design

Systems,

Inc.*

54,502

3,599,312

Cerence

,

Inc.*

22,903

352,706

Intuit,

Inc.

10,213

2,348,990

Manhattan

Associates,

Inc.*

26,829

1,336,621

Microsoft

Corp.

387,750

61,152,053

NortonLifeLock

,

Inc.

188,986

3,535,928

Oracle

Corp.

223,198

10,787,159

SS&C

Technologies

Holdings,

Inc.

11,151

488,637

Trade

Desk,

Inc.

(The),

Class

A*

2,682

517,626

VMware,

Inc.,

Class

A*

32,357

3,918,433

93,139,925

Specialty

Retail

-

3.9%

AutoNation,

Inc.*

97,501

2,735,878

Best

Buy

Co.,

Inc.

79,262

4,517,934

Burlington

Stores,

Inc.*

6,937

1,099,237

Foot

Locker,

Inc.

251,202

5,539,004

Gap,

Inc.

(The)

75,113

528,796

Home

Depot,

Inc.

(The)

15,845

2,958,420

Ross

Stores,

Inc.

91,067

7,920,097

TJX

Cos.,

Inc.

(The)

171,761

8,211,893

Williams-Sonoma,

Inc.

87,083

3,702,769

37,214,028

5

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Technology

Hardware,

Storage

&

Peripherals

-

5.0%

Apple,

Inc.

162,498

$

41,321,616

Hewlett

Packard

Enterprise

Co.

175,735

1,706,387

HP,

Inc.

73,935

1,283,512

Xerox

Holdings

Corp.

182,977

3,465,584

47,777,099

Textiles,

Apparel

&

Luxury

Goods

-

0.9%

Carter's,

Inc.

21,080

1,385,589

Lululemon

Athletica,

Inc.*

13,031

2,470,026

PVH

Corp.

10,989

413,626

Skechers

U.S.A.,

Inc.,

Class

A*

172,434

4,093,583

8,362,824

Thrifts

&

Mortgage

Finance

-

0.3%

MGIC

Investment

Corp.

467,639

2,969,508

Tobacco

-

0.9%

Altria

Group,

Inc.

93,481

3,614,910

Philip

Morris

International,

Inc.

65,615

4,787,271

8,402,181

Trading

Companies

&

Distributors

-

0.1%

Air

Lease

Corp.

44,479

984,765

Transportation

Infrastructure

-

0.0%(b)

Macquarie

Infrastructure

Corp.

14,016

353,904

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.*

12,754

1,070,061

TOTAL

COMMON

STOCKS

(Cost

$903,654,643)

934,957,943

SHORT-TERM

INVESTMENTS

-

1.3%

INVESTMENT

COMPANIES

-

1.3%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)

(Cost

$12,164,234)

12,165,451

12,181,266

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(c)(d)

396,004

396,004

Limited

Purpose

Cash

Investment

Fund

0.85%(c)(d)

1,208,012

1,209,582

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,604,016)

1,605,586

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.0%

(Cost

$917,422,893)

948,744,795

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

0.0%(b)(e)

(159,405)

NET

ASSETS

-

100.0%

$948,585,390

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

91,431,983

9.6

%

Consumer

Discretionary

102,806,212

10.8

Consumer

Staples

104,377,369

11.0

Energy

731,384

0.1

Financials

131,918,486

13.9

Health

Care

155,311,046

16.4

Industrials

52,723,637

5.6

Information

Technology

261,891,814

27.6

Materials

4,169,251

0.4

Utilities

29,596,761

3.1

Short-Term

Investments

12,181,266

1.3

Securities

Lending

Collateral

1,605,586

0.2

Total

Investments

In

Securities

At

Value

948,744,795

100.0

Liabilities

in

Excess

of

Other

Assets(e)

(159,405)

0.0(b)

Net

Assets

$

948,585,390

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$1,559,447.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

6

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

36

6/2020

USD

$

4,625,460

$

(202,437)

$

(202,437)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

1,892,310

$

1,892,310

7

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

94.5%

Aerospace

&

Defense

-

2.1%

AAR

Corp.

15,272

$

271,231

Aerojet

Rocketdyne

Holdings,

Inc.*

7,701

322,133

Astronics

Corp.*

60,947

559,493

Mercury

Systems,

Inc.*

8,276

590,410

Moog,

Inc.,

Class

A

2,348

118,644

Vectrus

,

Inc.*

76,712

3,176,644

5,038,555

Air

Freight

&

Logistics

-

0.3%

Hub

Group,

Inc.,

Class

A*

15,385

699,556

Airlines

-

0.1%

Allegiant

Travel

Co.

2,163

176,933

Auto

Components

-

0.2%

LCI

Industries(a)

8,003

534,840

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

8,506

236,552

Banks

-

6.1%

1st

Source

Corp.

6,388

207,163

BancFirst

Corp.

6,436

214,769

Bancorp,

Inc.

(The)*

92,429

561,044

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

10,871

185,133

Cathay

General

Bancorp

40,693

933,904

CenterState

Bank

Corp.

17,998

310,106

Columbia

Banking

System,

Inc.

22,810

611,308

Customers

Bancorp,

Inc.*

20,341

222,327

Dime

Community

Bancshares,

Inc.

5,000

68,550

First

Bancorp/PR

100,435

534,314

First

Interstate

BancSystem

,

Inc.,

Class

A

24,588

709,118

First

Merchants

Corp.

8,567

226,940

Fulton

Financial

Corp.

27,451

315,412

Great

Southern

Bancorp,

Inc.

16,303

658,641

Great

Western

Bancorp,

Inc.

46,859

959,672

Hancock

Whitney

Corp.

6,984

136,328

Heartland

Financial

USA,

Inc.

24,058

726,552

Hilltop

Holdings,

Inc.

67,906

1,026,739

Home

BancShares

,

Inc.

48,795

585,052

Hope

Bancorp,

Inc.

15,684

128,923

IBERIABANK

Corp.

7,251

262,196

International

Bancshares

Corp.

53,711

1,443,752

Midland

States

Bancorp,

Inc.

6,609

115,591

MidWestOne

Financial

Group,

Inc.

8,182

171,331

NBT

Bancorp,

Inc.

16,165

523,584

OFG

Bancorp

108,266

1,210,414

Old

National

Bancorp

17,437

229,994

Pacific

Premier

Bancorp,

Inc.

9,911

186,723

Preferred

Bank

6,179

208,974

ServisFirst

Bancshares,

Inc.

4,842

141,968

South

State

Corp.

8,429

495,035

Stock

Yards

Bancorp,

Inc.

6,968

201,584

INVESTMENTS

SHARES

VALUE

Banks

-

6.1%

(continued)

United

Community

Banks,

Inc.

19,510

$

357,228

14,870,369

Beverages

-

0.4%

Boston

Beer

Co.,

Inc.

(The),

Class

A*

1,245

457,612

Coca-Cola

Consolidated,

Inc.

2,661

554,899

1,012,511

Biotechnology

-

8.6%

ACADIA

Pharmaceuticals,

Inc.*

16,373

691,759

Adverum

Biotechnologies,

Inc.*

14,678

143,404

Affimed

NV

(Germany)*

71,308

112,667

Amicus

Therapeutics,

Inc.*

61,340

566,782

Anika

Therapeutics,

Inc.*(a)

34,737

1,004,247

Arena

Pharmaceuticals,

Inc.*

7,409

311,178

Arrowhead

Pharmaceuticals,

Inc.*(a)

58,760

1,690,525

BioSpecifics

Technologies

Corp.*

29,993

1,696,704

Catalyst

Pharmaceuticals,

Inc.*(a)

378,452

1,457,040

ChemoCentryx

,

Inc.*

6,322

254,018

Constellation

Pharmaceuticals,

Inc.*

4,792

150,613

Eagle

Pharmaceuticals,

Inc.*

40,740

1,874,040

Emergent

BioSolutions

,

Inc.*(a)

20,796

1,203,257

Enanta

Pharmaceuticals,

Inc.*

7,983

410,566

Epizyme

,

Inc.*

33,071

512,931

Forty

Seven,

Inc.*

3,734

356,298

Global

Blood

Therapeutics,

Inc.*

7,533

384,861

Halozyme

Therapeutics,

Inc.*(a)

20,783

373,886

Insmed

,

Inc.*(a)

15,152

242,887

Intercept

Pharmaceuticals,

Inc.*

6,817

429,198

Ironwood

Pharmaceuticals,

Inc.*(a)

12,338

124,490

Jounce

Therapeutics,

Inc.*

109,140

518,415

Lexicon

Pharmaceuticals,

Inc.*(a)

118,563

231,198

Ligand

Pharmaceuticals,

Inc.*(a)

11,640

846,461

Momenta

Pharmaceuticals,

Inc.*

8,401

228,507

Myriad

Genetics,

Inc.*

34,620

495,412

Natera

,

Inc.*

22,501

671,880

PDL

BioPharma

,

Inc.*

264,116

744,807

Principia

Biopharma,

Inc.*

8,854

525,750

PTC

Therapeutics,

Inc.*

6,425

286,619

Ra

Pharmaceuticals,

Inc.*

5,263

252,677

Veracyte

,

Inc.*

49,682

1,207,769

Vericel

Corp.*

38,390

352,036

Voyager

Therapeutics,

Inc.*

8,634

79,001

Xencor

,

Inc.*

17,985

537,392

20,969,275

Building

Products

-

3.0%

American

Woodmark

Corp.*

7,433

338,722

Builders

FirstSource

,

Inc.*

219,706

2,687,004

Griffon

Corp.

16,551

209,370

Patrick

Industries,

Inc.

36,313

1,022,574

8

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Building

Products

-

3.0%

(continued)

Universal

Forest

Products,

Inc.

81,237

$

3,021,204

7,278,874

Capital

Markets

-

1.9%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

71,505

1,536,642

Cohen

&

Steers,

Inc.

14,247

647,526

Stifel

Financial

Corp.

32,188

1,328,721

Virtus

Investment

Partners,

Inc.

3,570

271,713

Waddell

&

Reed

Financial,

Inc.,

Class

A

66,043

751,569

4,536,171

Chemicals

-

0.7%

Koppers

Holdings,

Inc.*

34,119

422,052

Stepan

Co.

13,740

1,215,440

Tredegar

Corp.

3,873

60,535

1,698,027

Commercial

Services

&

Supplies

-

2.7%

ABM

Industries,

Inc.

30,308

738,303

ACCO

Brands

Corp.

112,549

568,373

Advanced

Disposal

Services,

Inc.*

9,373

307,434

Ennis,

Inc.

52,305

982,288

Herman

Miller,

Inc.

54,265

1,204,683

Kimball

International,

Inc.,

Class

B

60,793

724,045

Knoll,

Inc.

9,976

102,952

McGrath

RentCorp

2,041

106,908

Steelcase,

Inc.,

Class

A

140,866

1,390,347

UniFirst

Corp.

3,702

559,335

6,684,668

Communications

Equipment

-

1.0%

Acacia

Communications,

Inc.*

5,650

379,567

Comtech

Telecommunications

Corp.

34,464

458,027

Digi

International,

Inc.*

13,383

127,674

Lumentum

Holdings,

Inc.*

19,865

1,464,050

2,429,318

Construction

&

Engineering

-

2.7%

Arcosa

,

Inc.

33,737

1,340,708

EMCOR

Group,

Inc.

19,579

1,200,584

Great

Lakes

Dredge

&

Dock

Corp.*

250,966

2,083,018

MasTec

,

Inc.*(a)

18,859

617,255

MYR

Group,

Inc.*

42,988

1,125,856

Sterling

Construction

Co.,

Inc.*

12,761

121,230

6,488,651

Construction

Materials

-

0.2%

Summit

Materials,

Inc.,

Class

A*

30,932

463,980

US

Concrete,

Inc.*(a)

5,720

103,761

567,741

INVESTMENTS

SHARES

VALUE

Distributors

-

0.1%

Core-Mark

Holding

Co.,

Inc.

6,192

$

176,905

Diversified

Consumer

Services

-

0.8%

American

Public

Education,

Inc.*

49,600

1,186,928

Collectors

Universe,

Inc.

32,695

512,331

Perdoceo

Education

Corp.*(a)

17,579

189,677

Select

Interior

Concepts,

Inc.,

Class

A*

42,831

88,660

1,977,596

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.*

10,309

345,248

FGL

Holdings

23,371

229,036

574,284

Diversified

Telecommunication

Services

-

0.4%

Cogent

Communications

Holdings,

Inc.

10,090

827,077

Frontier

Communications

Corp.*(a)

101,962

38,746

865,823

Electric

Utilities

-

0.8%

El

Paso

Electric

Co.

5,444

369,974

Genie

Energy

Ltd.,

Class

B

14,932

107,212

Portland

General

Electric

Co.

28,067

1,345,532

1,822,718

Electrical

Equipment

-

1.7%

Atkore

International

Group,

Inc.*

132,285

2,787,245

Encore

Wire

Corp.

22,209

932,556

Generac

Holdings,

Inc.*

4,424

412,184

Powell

Industries,

Inc.

3,895

99,985

4,231,970

Electronic

Equipment,

Instruments

&

Components

-

4.7%

Anixter

International,

Inc.*

4,331

380,565

Benchmark

Electronics,

Inc.

18,988

379,570

Coda

Octopus

Group,

Inc.*(a)

32,583

182,791

ePlus

,

Inc.*

9,151

573,036

Fabrinet

(Thailand)*

13,059

712,499

Fitbit,

Inc.,

Class

A*

36,420

242,557

Insight

Enterprises,

Inc.*(a)

52,016

2,191,434

KEMET

Corp.

15,994

386,415

Methode

Electronics,

Inc.

44,190

1,167,942

PC

Connection,

Inc.

36,907

1,520,938

Sanmina

Corp.*

105,572

2,880,004

Tech

Data

Corp.*

5,637

737,601

Vishay

Intertechnology

,

Inc.

9,044

130,324

11,485,676

Energy

Equipment

&

Services

-

0.0%(b)

ProPetro

Holding

Corp.*

32,447

81,118

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.7%

Braemar

Hotels

&

Resorts,

Inc.

64,679

109,954

CoreCivic

,

Inc.

17,642

197,061

9

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.7%

(continued)

DiamondRock

Hospitality

Co.

31,162

$

158,303

EastGroup

Properties,

Inc.

4,452

465,145

First

Industrial

Realty

Trust,

Inc.

52,249

1,736,234

GEO

Group,

Inc.

(The)

15,393

187,179

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

15,728

321,009

Lexington

Realty

Trust

124,181

1,233,117

Mack-Cali

Realty

Corp.

12,875

196,086

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

51,281

905,622

PS

Business

Parks,

Inc.

826

111,940

Sunstone

Hotel

Investors,

Inc.

9,176

79,923

Universal

Health

Realty

Income

Trust

6,622

667,564

Xenia

Hotels

&

Resorts,

Inc.

16,406

168,982

6,538,119

Food

&

Staples

Retailing

-

0.8%

Ingles

Markets,

Inc.,

Class

A

46,545

1,683,067

United

Natural

Foods,

Inc.*

11,572

106,231

Weis

Markets,

Inc.

3,619

150,768

1,940,066

Food

Products

-

1.7%

Darling

Ingredients,

Inc.*

4,529

86,821

Fresh

Del

Monte

Produce,

Inc.

36,071

995,920

John

B

Sanfilippo

&

Son,

Inc.

34,088

3,047,467

4,130,208

Health

Care

Equipment

&

Supplies

-

3.2%

Conformis

,

Inc.*(a)

61,113

38,501

Globus

Medical,

Inc.,

Class

A*

19,533

830,738

Haemonetics

Corp.*

5,401

538,264

Integer

Holdings

Corp.*

9,625

605,028

IntriCon

Corp.*

5,382

63,346

Invacare

Corp.

101,419

753,543

Lantheus

Holdings,

Inc.*(a)

67,555

862,002

LeMaitre

Vascular,

Inc.

6,732

167,761

Neogen

Corp.*

2,837

190,051

Novocure

Ltd.*

8,064

543,030

Quidel

Corp.*

16,344

1,598,607

Wright

Medical

Group

NV*

35,274

1,010,600

Zynex

,

Inc.*(a)

46,102

510,349

7,711,820

Health

Care

Providers

&

Services

-

5.0%

Amedisys

,

Inc.*

15,503

2,845,421

AMN

Healthcare

Services,

Inc.*

10,388

600,530

CorVel

Corp.*

23,805

1,297,611

Ensign

Group,

Inc.

(The)

12,647

475,654

Joint

Corp.

(The)*

42,693

463,219

LHC

Group,

Inc.*

2,175

304,935

Magellan

Health,

Inc.*

21,413

1,030,179

National

Research

Corp.

17,291

786,395

Owens

&

Minor,

Inc.

101,818

931,635

INVESTMENTS

SHARES

VALUE

Health

Care

Providers

&

Services

-

5.0%

(continued)

Patterson

Cos.,

Inc.

50,731

$

775,677

Select

Medical

Holdings

Corp.*

43,668

655,020

Tenet

Healthcare

Corp.*

37,806

544,406

Triple-S

Management

Corp.,

Class

B*(a)

99,425

1,401,892

12,112,574

Health

Care

Technology

-

1.8%

Inovalon

Holdings,

Inc.,

Class

A*

4,321

71,988

NextGen

Healthcare,

Inc.*

23,779

248,253

Omnicell

,

Inc.*

23,585

1,546,704

Simulations

Plus,

Inc.

5,461

190,698

Teladoc

Health,

Inc.*

14,479

2,244,390

4,302,033

Hotels,

Restaurants

&

Leisure

-

0.3%

Biglari

Holdings,

Inc.,

Class

B*

3,614

185,760

Everi

Holdings,

Inc.*

145,784

481,087

666,847

Household

Durables

-

2.4%

Hooker

Furniture

Corp.

6,636

103,588

Installed

Building

Products,

Inc.*

1,821

72,603

KB

Home

7,678

138,972

La-Z-Boy,

Inc.

30,329

623,261

M/I

Homes,

Inc.*

46,619

770,612

MDC

Holdings,

Inc.

28,993

672,638

Meritage

Homes

Corp.*

36,402

1,329,037

Taylor

Morrison

Home

Corp.*

46,614

512,754

TopBuild

Corp.*

14,680

1,051,675

Universal

Electronics,

Inc.*

12,081

463,548

5,738,688

Household

Products

-

0.2%

WD-40

Co.

2,726

547,517

Independent

Power

and

Renewable

Electricity

Producers

-

0.2%

Clearway

Energy,

Inc.,

Class

C

11,394

214,207

Ormat

Technologies,

Inc.

5,415

366,379

580,586

Insurance

-

4.2%

eHealth,

Inc.*

13,071

1,840,658

Employers

Holdings,

Inc.

74,088

3,001,305

Genworth

Financial,

Inc.,

Class

A*

69,098

229,405

Hallmark

Financial

Services,

Inc.*

58,316

235,597

Heritage

Insurance

Holdings,

Inc.

30,039

321,718

Kinsale

Capital

Group,

Inc.

7,474

781,257

National

General

Holdings

Corp.

64,179

1,062,163

National

Western

Life

Group,

Inc.,

Class

A

4,442

764,024

Selective

Insurance

Group,

Inc.

10,776

535,567

Stewart

Information

Services

Corp.

5,720

152,552

Universal

Insurance

Holdings,

Inc.

78,750

1,411,200

10,335,446

10

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Internet

&

Direct

Marketing

Retail

-

0.3%

1-800-Flowers.com,

Inc.,

Class

A*

48,353

$

639,710

PetMed

Express,

Inc.

5,660

162,895

802,605

IT

Services

-

2.9%

Cardtronics

plc,

Class

A*(a)

18,887

395,116

CSG

Systems

International,

Inc.

6,565

274,745

EVERTEC,

Inc.(a)

8,366

190,159

Hackett

Group,

Inc.

(The)

15,882

202,019

KBR,

Inc.

80,175

1,658,019

MAXIMUS,

Inc.

14,214

827,255

NIC,

Inc.

8,554

196,742

Paysign

,

Inc.*(a)

39,103

201,772

Perficient

,

Inc.*

12,894

349,298

Perspecta

,

Inc.

39,892

727,630

Sykes

Enterprises,

Inc.*

59,198

1,605,450

TTEC

Holdings,

Inc.

7,701

282,781

Unisys

Corp.*

8,049

99,405

7,010,391

Leisure

Products

-

1.2%

Acushnet

Holdings

Corp.

31,445

808,765

Johnson

Outdoors,

Inc.,

Class

A

18,547

1,162,897

Malibu

Boats,

Inc.,

Class

A*

19,941

574,101

MasterCraft

Boat

Holdings,

Inc.*

15,852

115,720

YETI

Holdings,

Inc.*(a)

13,823

269,825

2,931,308

Life

Sciences

Tools

&

Services

-

3.1%

Medpace

Holdings,

Inc.*

38,574

2,830,560

NeoGenomics

,

Inc.*

41,983

1,159,151

Repligen

Corp.*

19,087

1,842,659

Syneos

Health,

Inc.*

42,283

1,666,796

7,499,166

Machinery

-

1.5%

Columbus

McKinnon

Corp.

19,705

492,625

Commercial

Vehicle

Group,

Inc.*

193,465

292,132

Federal

Signal

Corp.

2,937

80,122

Meritor,

Inc.*

73,744

977,108

Miller

Industries,

Inc.

12,079

341,594

Mueller

Industries,

Inc.

48,240

1,154,866

Wabash

National

Corp.

58,615

423,200

3,761,647

Marine

-

0.1%

Costamare

,

Inc.

(Monaco)

32,793

148,224

Media

-

0.1%

Cumulus

Media,

Inc.,

Class

A*

46,509

252,079

Entravision

Communications

Corp.,

Class

A

9,396

19,074

271,153

INVESTMENTS

SHARES

VALUE

Metals

&

Mining

-

1.7%

Commercial

Metals

Co.

117,320

$

1,852,483

Ryerson

Holding

Corp.*

57,962

308,358

Schnitzer

Steel

Industries,

Inc.,

Class

A

34,503

449,919

Warrior

Met

Coal,

Inc.(a)

150,906

1,602,621

4,213,381

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.5%

Apollo

Commercial

Real

Estate

Finance,

Inc.

37,071

275,067

Blackstone

Mortgage

Trust,

Inc.,

Class

A

21,249

395,656

Invesco

Mortgage

Capital,

Inc.

35,664

121,614

PennyMac

Mortgage

Investment

Trust

24,184

256,834

Redwood

Trust,

Inc.

27,164

137,450

1,186,621

Multi-Utilities

-

0.0%(b)

NorthWestern

Corp.

1,330

79,574

Oil,

Gas

&

Consumable

Fuels

-

0.5%

Teekay

Tankers

Ltd.,

Class

A*

46,265

1,028,934

World

Fuel

Services

Corp.

5,891

148,335

1,177,269

Paper

&

Forest

Products

-

1.0%

Boise

Cascade

Co.

76,264

1,813,558

Schweitzer-Mauduit

International,

Inc.

5,853

162,830

Verso

Corp.,

Class

A*

47,775

538,902

2,515,290

Personal

Products

-

0.0%(b)

Lifevantage

Corp.*

6,998

72,079

Pharmaceuticals

-

0.8%

Assertio

Therapeutics,

Inc.*

103,823

67,485

Corcept

Therapeutics,

Inc.*(a)

86,538

1,028,937

Innoviva

,

Inc.*(a)

22,124

260,178

Lannett

Co.,

Inc.*(a)

87,773

610,022

1,966,622

Professional

Services

-

3.4%

Barrett

Business

Services,

Inc.

22,300

883,972

FTI

Consulting,

Inc.*

11,304

1,353,880

Heidrick

&

Struggles

International,

Inc.

33,037

743,332

ICF

International,

Inc.

2,383

163,712

Kelly

Services,

Inc.,

Class

A

129,333

1,641,236

Kforce

,

Inc.

94,368

2,412,990

Resources

Connection,

Inc.

6,313

69,254

TrueBlue

,

Inc.*

72,096

919,945

8,188,321

11

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Road

&

Rail

-

0.5%

ArcBest

Corp.

64,028

$

1,121,770

Avis

Budget

Group,

Inc.*

9,341

129,840

1,251,610

Semiconductors

&

Semiconductor

Equipment

-

5.6%

Amkor

Technology,

Inc.*

240,663

1,874,765

Cirrus

Logic,

Inc.*

31,557

2,071,086

Diodes,

Inc.*

31,494

1,279,759

Enphase

Energy,

Inc.*

13,647

440,662

FormFactor

,

Inc.*

60,523

1,215,907

Ichor

Holdings

Ltd.*

26,980

516,937

Lattice

Semiconductor

Corp.*

55,780

994,000

Onto

Innovation,

Inc.*

13,137

389,775

Photronics

,

Inc.*

123,181

1,263,837

Power

Integrations,

Inc.

12,137

1,072,061

SMART

Global

Holdings,

Inc.*

30,471

740,445

Synaptics

,

Inc.*

15,157

877,135

Ultra

Clean

Holdings,

Inc.*

52,046

718,235

Xperi

Corp.

8,228

114,451

13,569,055

Software

-

1.9%

Appfolio

,

Inc.,

Class

A*

2,253

249,970

Digital

Turbine,

Inc.*

243,731

1,050,481

Ebix

,

Inc.(a)

6,675

101,326

Intelligent

Systems

Corp.*(a)

29,230

993,528

J2

Global,

Inc.

11,927

892,736

Mitek

Systems,

Inc.*

5,648

44,506

Progress

Software

Corp.

27,590

882,880

SecureWorks

Corp.,

Class

A*(a)

12,159

139,950

SPS

Commerce,

Inc.*

2,663

123,856

Telenav

,

Inc.*

14,371

62,083

4,541,316

Specialty

Retail

-

2.0%

Asbury

Automotive

Group,

Inc.*

7,691

424,774

Ascena

Retail

Group,

Inc.*(a)

52,391

72,824

Cato

Corp.

(The),

Class

A

33,820

360,859

Citi

Trends,

Inc.

27,047

240,718

Group

1

Automotive,

Inc.

17,171

759,989

Hibbett

Sports,

Inc.*(a)

55,006

601,491

Lithia

Motors,

Inc.,

Class

A

6,718

549,465

Shoe

Carnival,

Inc.(a)

28,765

597,449

Sleep

Number

Corp.*

3,820

73,191

Sonic

Automotive,

Inc.,

Class

A(a)

51,189

679,790

Zumiez

,

Inc.*

24,066

416,823

4,777,373

Technology

Hardware,

Storage

&

Peripherals

-

0.3%

Avid

Technology,

Inc.*

116,925

786,905

Textiles,

Apparel

&

Luxury

Goods

-

0.0%(b)

Oxford

Industries,

Inc.

2,475

89,744

INVESTMENTS

SHARES

VALUE

Thrifts

&

Mortgage

Finance

-

3.3%

Essent

Group

Ltd.

52,391

$

1,379,979

Flagstar

Bancorp,

Inc.

38,572

764,883

HomeStreet

,

Inc.

4,290

95,367

Meta

Financial

Group,

Inc.

9,939

215,875

PennyMac

Financial

Services,

Inc.

44,282

979,075

Radian

Group,

Inc.

187,555

2,428,837

Walker

&

Dunlop,

Inc.

55,734

2,244,408

8,108,424

Tobacco

-

0.4%

Turning

Point

Brands,

Inc.

39,198

827,470

Vector

Group

Ltd.

17,971

169,287

996,757

Trading

Companies

&

Distributors

-

1.6%

BMC

Stock

Holdings,

Inc.*

79,073

1,401,964

CAI

International,

Inc.*

27,069

382,756

GMS,

Inc.*

104,228

1,639,506

H&E

Equipment

Services,

Inc.

8,433

123,796

Veritiv

Corp.*

28,503

224,034

3,772,056

Water

Utilities

-

0.3%

American

States

Water

Co.

6,978

570,382

Consolidated

Water

Co.

Ltd.

11,477

188,223

758,605

Wireless

Telecommunication

Services

-

0.2%

Shenandoah

Telecommunications

Co.

8,023

395,133

TOTAL

COMMON

STOCKS

(Cost

$264,704,165)

229,912,664

PREFERRED

STOCKS

-

0.0%(b)

Diversified

Telecommunication

Services

-

0.0%(b)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039(c)

(Cost

$24,899)

2,727

62,775

SHORT-TERM

INVESTMENTS

-

5.1%

INVESTMENT

COMPANIES

-

5.1%

Limited

Purpose

Cash

Investment

Fund,

0.85%(d)

(Cost

$12,338,350)

12,339,502

12,355,544

12

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

2.9%

Investment

Companies

-

2.9%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(d)(e)

1,742,162

$

1,742,162

Limited

Purpose

Cash

Investment

Fund

0.85%(d)(e)

5,314,470

5,321,379

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$7,056,632)

7,063,541

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

102.5%

(Cost

$284,124,046)

249,394,524

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(2.5)%(f)

(6,097,764)

NET

ASSETS

-

100.0%

$243,296,760

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,594,884

0.6

%

Consumer

Discretionary

17,932,458

7.4

Consumer

Staples

8,699,138

3.6

Energy

1,258,386

0.5

Financials

39,611,316

16.3

Health

Care

54,561,490

22.4

Industrials

47,721,066

19.6

Information

Technology

39,822,660

16.4

Materials

8,994,440

3.7

Real

Estate

6,538,119

2.7

Utilities

3,241,482

1.3

Short-Term

Investments

12,355,544

5.1

Securities

Lending

Collateral

7,063,541

2.9

Total

Investments

In

Securities

At

Value

249,394,524

102.5

Liabilities

in

Excess

of

Other

Assets(f)

(6,097,764)

(2.5)

Net

Assets

$

243,296,760

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$6,800,154.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

March

31,

2020.

The

maturity

date

reflects

the

next

call

date.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

192

6/2020

USD

$

11,016,960

$

1,485,528

$

1,485,528

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

(51,197)

$

(51,197)

13

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

93.6%

Australia

-

5.5%

Aurizon

Holdings

Ltd.

45,360

$

117,554

BHP

Group

Ltd.

43,604

791,034

BHP

Group

plc

86,318

1,339,626

BlueScope

Steel

Ltd.

306,309

1,603,687

CSL

Ltd.

8,642

1,566,550

Dexus

,

REIT

104,929

581,474

Flight

Centre

Travel

Group

Ltd.(3)

(a)

29,103

142,691

Fortescue

Metals

Group

Ltd.

393,505

2,411,487

Goodman

Group,

REIT

41,832

306,615

GPT

Group

(The),

REIT

196,673

436,940

Rio

Tinto

Ltd.

5,989

308,550

Rio

Tinto

plc

19,982

916,020

Scentre

Group,

REIT

235,569

225,634

Telstra

Corp.

Ltd.

135,206

253,802

Treasury

Wine

Estates

Ltd.

9,235

57,336

WiseTech

Global

Ltd.

7,088

73,687

11,132,687

—

Belgium

-

1.8%

Ageas

32,724

1,363,675

Galapagos

NV*

8,702

1,708,877

Proximus

SADP

24,171

555,076

3,627,628

—

Canada

-

6.8%

Air

Canada(1)*

25,654

287,110

Bank

of

Montreal(1)

2,424

122,397

Bank

of

Nova

Scotia

(The)(1)

4,734

193,323

Canadian

Imperial

Bank

of

Commerce(1)

14,509

845,405

CCL

Industries,

Inc.,

Class

B(1)

7,415

225,459

CGI,

Inc.(1)*

41,630

2,253,812

CI

Financial

Corp.(1)

61,239

607,908

Fairfax

Financial

Holdings

Ltd.(1)

1,063

325,879

Great-West

Lifeco

,

Inc.(1)

3,723

64,312

Husky

Energy,

Inc.(1)

23,789

59,840

Hydro

One

Ltd.(1)(b)

26,998

486,129

iA

Financial

Corp.,

Inc.(1)

22,028

692,474

Imperial

Oil

Ltd.(1)

7,206

81,466

Intact

Financial

Corp.(1)

797

68,883

Magna

International,

Inc.(1)

39,389

1,256,989

Manulife

Financial

Corp.(1)

56,032

703,535

National

Bank

of

Canada(1)

2,789

107,791

Open

Text

Corp.(1)

18,830

658,441

Power

Corp.

of

Canada(1)

5,259

84,604

Royal

Bank

of

Canada(1)

22,462

1,391,326

Toronto-Dominion

Bank

(The)(1)

75,095

3,192,591

WSP

Global,

Inc.(1)

1,221

69,340

13,779,014

—

China

-

0.5%

BOC

Hong

Kong

Holdings

Ltd.

146,000

400,773

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,170,200

678,998

1,079,771

—

INVESTMENTS

SHARES

VALUE

Denmark

-

2.8%

Coloplast

A/S,

Class

B

2,242

$

325,149

Demant

A/S*(c)

12,316

268,161

DSV

Panalpina

A/S

3,360

305,522

Genmab

A/S*

1,661

333,643

Novo

Nordisk

A/S,

Class

B

63,735

3,806,005

Pandora

A/S

21,336

685,550

5,724,030

—

Finland

-

1.8%

Fortum

OYJ

58,797

855,323

Kone

OYJ,

Class

B

4,733

265,052

Neste

OYJ

24,001

797,975

Nokia

OYJ

82,749

254,855

Orion

OYJ,

Class

B

34,644

1,409,882

3,583,087

—

France

-

8.2%

AXA

SA

34,080

577,041

Carrefour

SA

18,487

293,098

Cie

de

Saint-Gobain

31,746

761,759

CNP

Assurances

64,361

623,180

Electricite

de

France

SA

238,739

1,866,823

Eutelsat

Communications

SA

34,152

355,016

Ingenico

Group

SA

755

78,920

L'Oreal

SA

4,920

1,273,350

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,740

1,004,899

Natixis

SA(c)

565,754

1,801,496

Orange

SA

135,986

1,646,445

Peugeot

SA

151,308

1,969,922

Publicis

Groupe

SA

2,076

59,330

Sanofi

32,154

2,783,730

TOTAL

SA

40,794

1,537,070

16,632,079

—

Germany

-

6.5%

adidas

AG

1,173

260,438

Allianz

SE

(Registered)

12,881

2,193,604

Bayer

AG

(Registered)

48,163

2,759,669

Deutsche

Boerse

AG

3,492

479,745

Deutsche

Post

AG

(Registered)

15,376

412,209

Deutsche

Telekom

AG

(Registered)

41,043

530,088

Deutsche

Wohnen

SE

10,225

387,514

Fresenius

SE

&

Co.

KGaA

9,490

353,338

Infineon

Technologies

AG

79,691

1,150,400

KION

Group

AG

2,975

128,038

SAP

SE

22,858

2,552,050

Siemens

Healthineers

AG(b)

6,125

236,771

TUI

AG

83,597

365,909

Volkswagen

AG

(Preference)

3,121

359,529

Vonovia

SE

11,443

569,215

Zalando

SE*(b)

11,210

422,506

13,161,023

—

Hong

Kong

-

3.3%

ASM

Pacific

Technology

Ltd.

17,300

160,411

CK

Asset

Holdings

Ltd.

90,500

491,025

CLP

Holdings

Ltd.

126,500

1,158,741

Henderson

Land

Development

Co.

Ltd.

64,110

242,649

14

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Hong

Kong

-

3.3%

(continued)

Hong

Kong

Exchanges

&

Clearing

Ltd.

19,000

$

569,227

Kerry

Properties

Ltd.

83,500

218,352

Link,

REIT

26,000

219,140

New

World

Development

Co.

Ltd.

280,000

298,557

PCCW

Ltd.

269,000

147,510

Power

Assets

Holdings

Ltd.

70,000

415,257

Sun

Hung

Kai

Properties

Ltd.

5,500

71,907

Techtronic

Industries

Co.

Ltd.

24,000

152,398

WH

Group

Ltd.(b)

2,124,500

1,960,934

Yue

Yuen

Industrial

Holdings

Ltd.

450,500

688,409

6,794,517

—

Italy

-

2.7%

Assicurazioni

Generali

SpA

72,347

979,925

Enel

SpA

315,745

2,177,960

Leonardo

SpA

184,839

1,222,002

Poste

Italiane

SpA

(b)

114,822

966,439

Telecom

Italia

SpA

*

495,335

200,499

5,546,825

—

Japan

-

21.8%

Acom

Co.

Ltd.

10,000

40,609

Advantest

Corp.

9,200

366,436

AEON

Financial

Service

Co.

Ltd.

2,700

28,847

Amada

Holdings

Co.

Ltd.

86,100

674,845

Aozora

Bank

Ltd.

11,900

227,102

Bandai

Namco

Holdings,

Inc.

36,600

1,775,219

Central

Japan

Railway

Co.

3,300

528,895

Credit

Saison

Co.

Ltd.

16,800

194,910

Daiwa

House

Industry

Co.

Ltd.

15,100

373,081

Fujitsu

Ltd.

27,200

2,449,869

Fukuoka

Financial

Group,

Inc.

63,000

831,063

Hitachi

High-Tech

Corp.

1,000

73,872

Hitachi

Ltd.

70,900

2,036,702

Hoya

Corp.

28,500

2,423,399

ITOCHU

Corp.

91,900

1,901,835

Japan

Tobacco,

Inc.

27,100

501,260

Kamigumi

Co.

Ltd.

21,100

356,159

KDDI

Corp.

44,600

1,317,421

Konami

Holdings

Corp.

20,500

628,789

Kyocera

Corp.

17,700

1,044,491

M3,

Inc.

6,700

197,631

Mitsubishi

Electric

Corp.

65,800

803,827

Mitsubishi

Estate

Co.

Ltd.

17,800

262,891

Mitsubishi

UFJ

Financial

Group,

Inc.

27,200

101,770

Mitsui

Fudosan

Co.

Ltd.

13,800

238,943

MS&AD

Insurance

Group

Holdings,

Inc.

43,200

1,205,329

Nexon

Co.

Ltd.

100,100

1,635,718

Nippon

Express

Co.

Ltd.

31,700

1,546,290

Nippon

Telegraph

&

Telephone

Corp.

105,300

2,518,419

Nomura

Real

Estate

Holdings,

Inc.

8,000

129,446

NTT

DOCOMO,

Inc.

23,600

738,045

Obayashi

Corp.

11,300

95,887

Otsuka

Corp.

2,100

89,524

Resona

Holdings,

Inc.

703,600

2,109,609

Rohm

Co.

Ltd.

9,000

488,540

INVESTMENTS

SHARES

VALUE

Japan

-

21.8%

(continued)

Sekisui

House

Ltd.

77,900

$

1,284,730

Shimizu

Corp.

37,000

287,928

Shinsei

Bank

Ltd.

129,100

1,709,903

Sony

Corp.

2,100

124,391

Square

Enix

Holdings

Co.

Ltd.

9,000

402,081

SUMCO

Corp.

72,300

918,705

Sumitomo

Heavy

Industries

Ltd.

59,800

1,069,911

Sumitomo

Mitsui

Financial

Group,

Inc.

70,400

1,710,255

Sumitomo

Mitsui

Trust

Holdings,

Inc.

2,500

71,825

Teijin

Ltd.

22,500

380,587

Tokyo

Electric

Power

Co.

Holdings,

Inc.*

325,600

1,132,678

Tokyo

Electron

Ltd.

7,600

1,416,439

Toppan

Printing

Co.

Ltd.

41,800

638,204

Tosoh

Corp.

52,500

593,308

Toyo

Seikan

Group

Holdings

Ltd.

4,200

47,910

West

Japan

Railway

Co.

6,300

430,888

Yamaha

Corp.

32,800

1,271,179

Z

Holdings

Corp.

322,000

1,026,587

44,454,182

—

Macau

-

0.5%

SJM

Holdings

Ltd.

1,205,000

1,005,493

Netherlands

-

5.8%

ASML

Holding

NV

8,587

2,263,661

ING

Groep

NV

70,771

362,637

Koninklijke

Ahold

Delhaize

NV

111,867

2,606,118

Koninklijke

Philips

NV

34,418

1,413,113

Randstad

NV*

18,487

652,442

Royal

Dutch

Shell

plc,

Class

A

94,707

1,645,409

Royal

Dutch

Shell

plc,

Class

B

64,849

1,087,781

Wolters

Kluwer

NV

24,702

1,748,509

11,779,670

—

Russia

-

0.2%

Evraz

plc

130,512

373,411

Singapore

-

0.4%

CapitaLand

Commercial

Trust,

REIT

146,000

156,667

ComfortDelGro

Corp.

Ltd.

77,500

82,525

SATS

Ltd.

97,700

217,175

Venture

Corp.

Ltd.

45,100

429,626

885,993

—

South

Africa

-

0.1%

Anglo

American

plc

13,646

239,127

Spain

-

2.0%

Banco

Bilbao

Vizcaya

Argentaria

SA

76,662

237,388

Enagas

SA

17,196

339,229

Endesa

SA

42,686

903,254

Grifols

SA

7,841

262,339

Iberdrola

SA

136,157

1,331,754

Mapfre

SA

164,310

278,735

Naturgy

Energy

Group

SA

8,647

151,701

Red

Electrica

Corp.

SA

13,833

248,572

15

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Spain

-

2.0%

(continued)

Repsol

SA

24,286

$

216,662

3,969,634

—

Sweden

-

3.1%

Assa

Abloy

AB,

Class

B

3,523

65,770

Essity

AB,

Class

B

71,960

2,204,393

Hennes

&

Mauritz

AB,

Class

B

160,860

2,058,492

ICA

Gruppen

AB

19,849

829,001

Investor

AB,

Class

B

8,330

375,797

Skanska

AB,

Class

B*

33,164

499,090

Telefonaktiebolaget

LM

Ericsson,

Class

B*

46,204

374,020

6,406,563

—

Switzerland

-

9.7%

Lonza

Group

AG

(Registered)*

1,319

542,536

Nestle

SA

(Registered)

47,792

4,892,362

Novartis

AG

(Registered)

57,602

4,752,098

Roche

Holding

AG

18,255

5,873,400

Sonova

Holding

AG

(Registered)

9,741

1,736,961

STMicroelectronics

NV

18,694

401,858

Swiss

Life

Holding

AG

(Registered)

2,362

792,796

Zurich

Insurance

Group

AG

1,822

640,081

19,632,092

—

United

Kingdom

-

9.3%

3i

Group

plc

23,824

230,846

Admiral

Group

plc

10,749

296,029

AstraZeneca

plc

13,556

1,207,824

Auto

Trader

Group

plc(b)

13,636

73,686

Aviva

plc

590,377

1,941,014

BAE

Systems

plc

141,647

910,085

Barclays

plc

257,151

292,235

Barratt

Developments

plc

84,344

455,906

BP

plc

50,013

205,100

British

American

Tobacco

plc

38,753

1,320,131

BT

Group

plc

404,220

587,965

CK

Hutchison

Holdings

Ltd.

75,000

499,887

Compass

Group

plc

8,067

125,685

Direct

Line

Insurance

Group

plc

177,762

648,957

Experian

plc

2,856

79,372

Fiat

Chrysler

Automobiles

NV

16,766

119,688

GlaxoSmithKline

plc

71,821

1,347,661

GVC

Holdings

plc

16,051

111,181

HSBC

Holdings

plc

209,829

1,177,932

Imperial

Brands

plc

14,676

270,851

Kingfisher

plc

29,755

52,265

Legal

&

General

Group

plc

281,850

665,927

Lloyds

Banking

Group

plc

2,007,876

784,984

London

Stock

Exchange

Group

plc

5,501

492,096

Marks

&

Spencer

Group

plc

54,314

65,841

Meggitt

plc

45,125

162,209

Micro

Focus

International

plc

108,677

536,276

National

Grid

plc

5,762

67,325

Next

plc

10,168

510,117

Ocado

Group

plc*

42,486

637,302

Persimmon

plc

30,711

725,967

RELX

plc

5,553

118,515

Sage

Group

plc

(The)

8,747

63,604

Taylor

Wimpey

plc

581,588

836,882

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

9.3%

(continued)

Unilever

NV

1,106

$

54,361

Unilever

plc

18,067

911,122

Vodafone

Group

plc

150,440

208,125

Wm

Morrison

Supermarkets

plc

87,155

190,404

18,985,357

—

United

States

-

0.8%

Bausch

Health

Cos.,

Inc.(1)*

68,676

1,064,325

Carnival

plc

47,582

567,931

1,632,256

—

TOTAL

COMMON

STOCKS

(Cost

$211,290,074)

190,424,439

SHORT-TERM

INVESTMENTS

-

4.6%

INVESTMENT

COMPANIES

-

4.6%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

(Cost

$9,287,544)

9,287,999

9,300,074

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(d)(e)

(Cost

$316,614)

316,614

316,614

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.4%

(Cost

$220,894,232)

200,041,127

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.6%(f)

3,355,515

NET

ASSETS

-

100.0%

$203,396,642

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

12,884,604

6.3

%

Consumer

Discretionary

18,885,108

9.3

Consumer

Staples

17,364,719

8.5

Energy

5,631,304

2.8

Financials

35,804,210

17.6

Health

Care

36,373,062

17.9

Industrials

17,770,229

8.7

Information

Technology

20,136,199

9.9

Materials

9,230,208

4.5

Real

Estate

5,210,051

2.6

Utilities

11,134,745

5.5

Short-Term

Investments

9,300,074

4.6

Securities

Lending

Collateral

316,614

0.2

Total

Investments

In

Securities

At

Value

200,041,127

98.4

Other

Assets

in

Excess

of

Liabilities(f)

3,355,515

1.6

Net

Assets

$

203,396,642

100.0%

16

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$142,691,

which

represents

approximately

0.07%

of

net

assets

of

the

fund.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$4,146,465,

which

represents

approximately

2.04%

of

net

assets

of

the

fund.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$300,018.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$1

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

138

6/2020

USD

$

10,759,170

$

963,769

$

963,769

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

377,118

$

377,118

17

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

96.5%

Brazil

-

4.7%

Ambev

SA,

ADR(1)*

261,863

$

602,285

Banco

do

Brasil

SA(1)*

86,400

463,751

BRF

SA(1)*

135,300

392,925

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo(1)*

171,200

1,288,588

Embraer

SA,

ADR(1)*

9,597

71,018

Hapvida

Participacoes

e

Investimentos

SA(1)(a)

55,800

455,326

Itausa

-

Investimentos

Itau

SA

(Preference)(1)

39,695

66,997

Notre

Dame

Intermedica

Participacoes

SA(1)

172,600

1,493,447

Petrobras

Distribuidora

SA(1)*

378,600

1,130,095

Sul

America

SA(1)*

23,097

150,243

Telefonica

Brasil

SA

(Preference)(1)

8,500

80,892

TIM

Participacoes

SA,

ADR(1)*

109,662

1,333,490

WEG

SA(1)

36,200

233,874

7,762,931

—

Chile

-

1.3%

Banco

de

Chile,

ADR(1)

10,839

174,616

Banco

de

Credito

e

Inversiones

SA(1)*

3,404

115,336

Banco

Santander

Chile,

ADR(1)

12,945

195,858

Cencosud

SA(1)

585,437

608,837

Cia

Cervecerias

Unidas

SA,

ADR(1)

8,171

109,328

Enel

Americas

SA,

ADR(1)

111,772

677,338

Enel

Chile

SA,

ADR(1)

45,844

152,202

Latam

Airlines

Group

SA,

ADR(1)

34,888

92,453

2,125,968

—

China

-

39.0%

58.com,

Inc.,

ADR(1)*

4,817

234,684

Agricultural

Bank

of

China

Ltd.,

Class

A*

1,060,471

502,182

Alibaba

Group

Holding

Ltd.,

ADR(1)*

59,366

11,545,501

A-Living

Services

Co.

Ltd.,

Class

H(a)

282,250

1,353,618

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

35,588

272,495

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

283,500

1,947,537

Autohome

,

Inc.,

ADR(1)*

2,981

211,711

BAIC

Motor

Corp.

Ltd.,

Class

H(a)

380,500

149,673

Baidu,

Inc.,

ADR(1)*

9,888

996,612

Bank

of

China

Ltd.,

Class

A*

1,038,900

507,763

Bank

of

China

Ltd.,

Class

H

2,095,000

797,491

Bank

of

Communications

Co.

Ltd.*

302,824

219,570

Bank

of

Communications

Co.

Ltd.,

Class

H

180,000

109,631

Bank

of

Ningbo

Co.

Ltd.,

Class

A

36,564

118,089

Bank

of

Shanghai

Co.

Ltd.,

Class

A

54,300

62,687

BOE

Technology

Group

Co.

Ltd.,

Class

A

327,200

168,504

BYD

Co.

Ltd.,

Class

A

23,619

197,878

BYD

Electronic

International

Co.

Ltd.

472,500

776,931

INVESTMENTS

SHARES

VALUE

China

-

39.0%

(continued)

China

CITIC

Bank

Corp.

Ltd.,

Class

H

584,000

$

287,190

China

Construction

Bank

Corp.,

Class

H

2,033,000

1,652,518

China

Everbright

Bank

Co.

Ltd.,

Class

A

179,100

90,744

China

Everbright

Bank

Co.

Ltd.,

Class

H

242,000

92,055

China

Everbright

International

Ltd.

711,000

404,284

China

Evergrande

Group

432,000

708,102

China

Hongqiao

Group

Ltd.

461,000

194,828

China

International

Travel

Service

Corp.

Ltd.,

Class

A

14,000

131,104

China

Lesso

Group

Holdings

Ltd.

124,000

160,530

China

Literature

Ltd.*(a)

16,800

65,971

China

Medical

System

Holdings

Ltd.

521,000

557,346

China

Merchants

Bank

Co.

Ltd.,

Class

A

61,800

278,859

China

Merchants

Securities

Co.

Ltd.,

Class

A

66,200

158,664

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

106,267

85,169

China

Mobile

Ltd.

177,175

1,327,799

China

National

Building

Material

Co.

Ltd.,

Class

H

896,000

962,581

China

Overseas

Land

&

Investment

Ltd.

380,000

1,165,054

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

21,900

86,226

China

Petroleum

&

Chemical

Corp.,

Class

A

155,300

96,484

China

Resources

Land

Ltd.

290,000

1,183,633

China

United

Network

Communications

Ltd.,

Class

A

130,700

95,180

China

Vanke

Co.

Ltd.,

Class

H

214,000

696,968

China

Yangtze

Power

Co.

Ltd.,

Class

A

48,600

118,171

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

483,000

196,734

CITIC

Securities

Co.

Ltd.,

Class

A

68,900

213,629

CNOOC

Ltd.,

ADR(1)

6,835

707,217

Country

Garden

Holdings

Co.

Ltd.

1,201,000

1,435,816

Country

Garden

Services

Holdings

Co.

Ltd.

435,000

1,750,350

CSPC

Pharmaceutical

Group

Ltd.

226,000

444,562

Daqin

Railway

Co.

Ltd.,

Class

A

82,500

78,720

Far

East

Horizon

Ltd.

125,000

100,050

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

10,600

186,073

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

21,700

158,016

Greentown

Service

Group

Co.

Ltd.

(b)

346,000

416,219

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

63,990

145,590

Haier

Electronics

Group

Co.

Ltd.

604,000

1,594,477

Haier

Smart

Home

Co.

Ltd.,

Class

A

57,300

115,231

Haitong

Securities

Co.

Ltd.,

Class

A

82,600

148,469

18

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

China

-

39.0%

(continued)

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

61,800

$

239,911

Hansoh

Pharmaceutical

Group

Co.

Ltd.*(a)

78,000

260,635

Hua

Hong

Semiconductor

Ltd.(a)

283,000

508,848

Huatai

Securities

Co.

Ltd.,

Class

A

60,500

145,906

Huazhu

Group

Ltd.,

ADR(1)

7,502

215,532

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

117,000

84,615

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

693,000

472,750

Industrial

Bank

Co.

Ltd.,

Class

A*

63,643

141,750

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

31,500

131,608

Innovent

Biologics,

Inc.*(a)

13,500

56,331

JD.com,

Inc.,

ADR(1)*

26,784

1,084,752

Jiangsu

Hengrui

Medicine

Co.

Ltd.*

26,738

343,165

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

7,664

89,910

Jiangxi

Copper

Co.

Ltd.,

Class

H

145,000

133,055

Kweichow

Moutai

Co.

Ltd.,

Class

A

3,700

574,919

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

47,950

254,223

Luzhou

Laojiao

Co.

Ltd.,

Class

A

13,400

137,805

Momo

,

Inc.,

ADR(1)

6,789

147,253

NetEase

,

Inc.,

ADR(1)

2,868

920,513

New

China

Life

Insurance

Co.

Ltd.,

Class

A

16,700

92,752

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR(1)*

5,557

601,490

PetroChina

Co.

Ltd.,

Class

A

90,400

58,594

Pinduoduo

,

Inc.,

ADR(1)*

7,744

279,016

Ping

An

Bank

Co.

Ltd.,

Class

A

85,620

153,142

Ping

An

Healthcare

and

Technology

Co.

Ltd.*(a)

99,800

918,944

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

34,800

336,735

SAIC

Motor

Corp.

Ltd.,

Class

A

55,300

158,521

Semiconductor

Manufacturing

International

Corp.*

712,000

1,118,298

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

468,000

587,507

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

85,907

122,269

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

163,075

100,573

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

410,000

101,103

Sinotruk

Hong

Kong

Ltd.

663,000

1,089,060

Suning.com

Co.

Ltd.,

Class

A

75,300

95,090

TAL

Education

Group,

ADR(1)*

13,200

703,032

Tencent

Holdings

Ltd.

173,100

8,555,920

Trip.com

Group

Ltd.,

ADR(1)*

20,700

485,415

Tsingtao

Brewery

Co.

Ltd.,

Class

H

34,000

171,861

Vipshop

Holdings

Ltd.,

ADR(1)*

24,408

380,277

Weichai

Power

Co.

Ltd.,

Class

H

414,000

659,457

Wuliangye

Yibin

Co.

Ltd.,

Class

A

15,905

255,808

Yonghui

Superstores

Co.

Ltd.,

Class

A

89,546

128,413

Yum

China

Holdings,

Inc.(1)

12,915

550,566

INVESTMENTS

SHARES

VALUE

China

-

39.0%

(continued)

Zhongsheng

Group

Holdings

Ltd.

492,000

$

1,707,328

ZTE

Corp.,

Class

H*

130,000

396,792

ZTO

Express

Cayman,

Inc.,

ADR(1)*

13,959

369,634

64,584,248

—

Hong

Kong

-

0.1%

Kingboard

Laminates

Holdings

Ltd.

115,000

105,225

Hungary

-

0.1%

MOL

Hungarian

Oil

&

Gas

plc

38,304

224,762

India

-

7.1%

Ambuja

Cements

Ltd.*

109,058

224,200

Aurobindo

Pharma

Ltd.

37,909

204,564

Axis

Bank

Ltd.,

GDR(b)

5,839

144,757

Cipla

Ltd.

60,595

336,660

Coal

India

Ltd.

36,466

67,009

Colgate-Palmolive

India

Ltd.

13,138

216,763

Divi's

Laboratories

Ltd.

19,773

515,866

Dr

Reddy's

Laboratories

Ltd.,

ADR(1)

21,087

850,439

GAIL

India

Ltd.

587,237

589,529

HCL

Technologies

Ltd.

13,111

75,629

Hindalco

Industries

Ltd.

391,693

493,456

Hindustan

Unilever

Ltd.

44,360

1,345,305

Infosys

Ltd.,

ADR(1)

100,322

823,644

InterGlobe

Aviation

Ltd.(a)

64,253

909,562

Larsen

&

Toubro

Ltd.,

GDR(b)

4,874

52,916

Nestle

India

Ltd.

1,291

279,134

NTPC

Ltd.

187,463

208,506

Oil

&

Natural

Gas

Corp.

Ltd.

97,333

87,146

Reliance

Industries

Ltd.,

GDR(a)

57,110

1,749,135

Sun

Pharmaceutical

Industries

Ltd.

112,322

518,799

Tata

Consultancy

Services

Ltd.

12,088

290,802

Tech

Mahindra

Ltd.

10,699

79,696

Wipro

Ltd.,

ADR(1)

245,450

760,895

Zee

Entertainment

Enterprises

Ltd.

547,027

890,231

11,714,643

—

Indonesia

-

2.3%

Adaro

Energy

Tbk

.

PT

8,004,100

478,265

Bank

Central

Asia

Tbk

.

PT

421,500

710,193

Bank

Rakyat

Indonesia

Persero

Tbk

.

PT

3,535,100

648,356

Bukit

Asam

Tbk

.

PT

1,736,700

229,549

Charoen

Pokphand

Indonesia

Tbk

.

PT

171,700

51,666

Indah

Kiat

Pulp

&

Paper

Corp.

Tbk

.

PT

304,000

74,231

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

223,500

139,404

Indofood

Sukses

Makmur

Tbk

.

PT

2,132,900

825,137

Telekomunikasi

Indonesia

Persero

Tbk

.

PT

1,758,500

341,530

United

Tractors

Tbk

.

PT

236,500

243,547

3,741,878

—

19

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Malaysia

-

2.5%

DiGi.Com

Bhd.

61,300

$

61,760

Genting

Bhd.

256,200

221,598

Genting

Malaysia

Bhd.

555,400

257,603

Hartalega

Holdings

Bhd.

231,300

367,480

Hong

Leong

Bank

Bhd.

108,800

336,569

Malayan

Banking

Bhd.

834,100

1,439,073

MISC

Bhd.

201,900

346,387

Petronas

Gas

Bhd.

6,500

23,075

Public

Bank

Bhd.

31,000

114,042

RHB

Bank

Bhd.

199,500

217,077

Sime

Darby

Bhd.

1,099,300

432,810

Telekom

Malaysia

Bhd.

104,400

90,911

Tenaga

Nasional

Bhd.

103,700

288,610

4,196,995

—

Mexico

-

0.9%

Alfa

SAB

de

CV,

Class

A(1)

1,330,893

359,056

America

Movil

SAB

de

CV,

Class

L,

ADR(1)

40,124

472,661

El

Puerto

de

Liverpool

SAB

de

CV,

Class

C1(1)(c)

32,796

71,571

Grupo

Bimbo

SAB

de

CV,

Series

A(1)

60,000

87,208

Grupo

Financiero

Inbursa

SAB

de

CV,

Class

O(1)

83,500

59,979

Grupo

Televisa

SAB,

ADR(1)

46,586

270,199

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A(1)

154,300

233,637

1,554,311

—

Philippines

-

0.3%

Ayala

Land,

Inc.

183,900

108,520

BDO

Unibank

,

Inc.

68,970

139,422

International

Container

Terminal

Services,

Inc.

85,870

125,570

JG

Summit

Holdings,

Inc.

61,720

63,333

SM

Investments

Corp.

5,785

92,543

529,388

—

Poland

-

1.7%

Bank

Polska

Kasa

Opieki

SA

6,216

83,311

CD

Projekt

SA

25,773

1,775,023

Cyfrowy

Polsat

SA

17,791

101,932

Grupa

Lotos

SA

12,565

156,817

PGE

Polska

Grupa

Energetyczna

SA*

191,869

175,878

Polski

Koncern

Naftowy

ORLEN

SA

26,734

357,750

Powszechna

Kasa

Oszczednosci

Bank

Polski

SA

18,440

100,092

2,750,803

—

Romania

-

0.0%(d)

NEPI

Rockcastle

plc

16,269

68,221

Russia

-

3.0%

Gazprom

PJSC,

ADR

204,794

928,687

LUKOIL

PJSC,

ADR

14,706

866,650

MMC

Norilsk

Nickel

PJSC,

ADR(1)

23,567

571,735

MMC

Norilsk

Nickel

PJSC,

ADR

19,646

486,638

Novatek

PJSC,

GDR(b)

3,867

438,491

Novolipetsk

Steel

PJSC,

GDR(b)

16,454

255,777

INVESTMENTS

SHARES

VALUE

Russia

-

3.0%

(continued)

PhosAgro

PJSC,

GDR(b)

6,831

$

69,777

Rosneft

Oil

Co.

PJSC,

GDR(b)

68,272

274,806

Severstal

PJSC,

GDR(b)

33,745

369,717

Surgutneftegas

PJSC,

ADR

52,979

219,504

Tatneft

PJSC,

ADR

10,259

428,051

4,909,833

—

Saudi

Arabia

-

3.0%

Al

Rajhi

Bank

113,443

1,624,376

Alinma

Bank*

25,221

138,085

Arab

National

Bank

48,864

235,550

Bank

AlBilad

15,547

83,747

Bank

Al-

Jazira

47,877

143,625

Banque

Saudi

Fransi

23,323

160,089

Etihad

Etisalat

Co.*

45,821

263,313

Jarir

Marketing

Co.

1,921

64,905

National

Commercial

Bank

49,223

453,719

Riyad

Bank

68,128

270,707

Samba

Financial

Group

50,670

269,940

Saudi

Arabian

Fertilizer

Co.

3,641

59,728

Saudi

Arabian

Oil

Co.(a)

40,395

324,171

Saudi

Basic

Industries

Corp.

31,840

589,272

Saudi

British

Bank

(The)

14,119

75,401

Saudi

Industrial

Investment

Group

28,838

120,793

4,877,421

—

South

Africa

-

3.4%

Absa

Group

Ltd.

12,191

50,718

Anglo

American

Platinum

Ltd.

7,570

316,218

Aspen

Pharmacare

Holdings

Ltd.*

51,189

267,749

Clicks

Group

Ltd.

14,238

205,219

Foschini

Group

Ltd.

(The)

101,062

377,399

Growthpoint

Properties

Ltd.,

REIT

79,588

57,270

Investec

Ltd.

205,530

389,272

Kumba

Iron

Ore

Ltd.

78,878

1,229,926

Life

Healthcare

Group

Holdings

Ltd.

44,679

46,114

Momentum

Metropolitan

Holdings

59,318

51,705

MTN

Group

Ltd.

248,601

666,588

MultiChoice

Group*

62,784

298,363

Naspers

Ltd.,

Class

N

1,530

217,435

Ninety

One

Ltd.*

75,199

144,423

Pick

n

Pay

Stores

Ltd.

39,128

132,574

Remgro

Ltd.

28,077

191,961

RMB

Holdings

Ltd.

23,443

64,101

SPAR

Group

Ltd.

(The)

5,277

53,624

Standard

Bank

Group

Ltd.

10,893

62,342

Telkom

SA

SOC

Ltd.

619,517

705,154

Truworths

International

Ltd.

11,854

16,556

5,544,711

—

South

Korea

-

10.0%

BGF

retail

Co.

Ltd.

2,641

286,068

BNK

Financial

Group,

Inc.

21,278

77,218

Daelim

Industrial

Co.

Ltd.

19,899

1,193,165

DB

Insurance

Co.

Ltd.

2,551

72,284

Doosan

Bobcat,

Inc.

23,638

346,576

Hana

Financial

Group,

Inc.

5,046

94,934

Hanwha

Corp.

38,218

473,755

Hyundai

Department

Store

Co.

Ltd.

6,390

307,268

Hyundai

Glovis

Co.

Ltd.

1,673

123,806

20

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

South

Korea

-

10.0%

(continued)

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

33,441

$

618,343

Hyundai

Mobis

Co.

Ltd.

6,024

833,287

Industrial

Bank

of

Korea

14,036

85,762

Kia

Motors

Corp.

49,668

1,045,458

Korea

Investment

Holdings

Co.

Ltd.

14,745

594,471

Korea

Zinc

Co.

Ltd.

1,698

494,148

Kumho

Petrochemical

Co.

Ltd.

7,738

408,499

LG

Electronics,

Inc.

29,106

1,144,388

LG

Innotek

Co.

Ltd.

1,868

171,904

Meritz

Securities

Co.

Ltd.

33,683

77,733

Posco

International

Corp.

27,368

253,442

S-1

Corp.

5,924

390,940

Samsung

Electronics

Co.

Ltd.

186,290

7,243,237

Shinhan

Financial

Group

Co.

Ltd.

3,430

80,242

Shinsegae

,

Inc.

835

148,068

16,564,996

—

Taiwan

-

12.8%

Accton

Technology

Corp.

69,000

369,191

Asia

Cement

Corp.

123,000

159,697

Asustek

Computer,

Inc.

8,000

54,167

Catcher

Technology

Co.

Ltd.

86,000

550,130

China

Life

Insurance

Co.

Ltd.

1,201,981

664,815

CTBC

Financial

Holding

Co.

Ltd.

1,389,559

818,227

E.Sun

Financial

Holding

Co.

Ltd.

1,180,770

942,556

Eva

Airways

Corp.

1,486,996

433,900

First

Financial

Holding

Co.

Ltd.

1,912,084

1,235,591

Hon

Hai

Precision

Industry

Co.

Ltd.

60,000

138,136

MediaTek

,

Inc.

7,000

75,133

Mega

Financial

Holding

Co.

Ltd.

137,000

128,643

Nanya

Technology

Corp.

38,000

66,879

Novatek

Microelectronics

Corp.

76,000

428,503

Pegatron

Corp.

63,000

120,221

Pou

Chen

Corp.

700,000

591,654

Powertech

Technology,

Inc.

124,000

351,168

Shin

Kong

Financial

Holding

Co.

Ltd.

1,793,680

449,869

SinoPac

Financial

Holdings

Co.

Ltd.

923,000

336,346

Taishin

Financial

Holding

Co.

Ltd.

145,053

55,840

Taiwan

Business

Bank

3,960,142

1,260,348

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

295,713

178,580

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR(1)

164,223

7,848,218

Uni

-President

Enterprises

Corp.

266,000

575,735

United

Microelectronics

Corp.

4,210,000

1,887,603

Zhen

Ding

Technology

Holding

Ltd.

468,000

1,430,248

21,151,398

—

Thailand

-

3.0%

Advanced

Info

Service

PCL,

NVDR

294,900

1,788,014

Bangkok

Bank

PCL,

NVDR

261,500

798,388

Charoen

Pokphand

Foods

PCL,

NVDR

1,029,600

758,294

Krung

Thai

Bank

PCL,

NVDR

2,825,600

974,312

Osotspa

PCL,

NVDR

62,600

67,972

PTT

Exploration

&

Production

PCL,

NVDR

100,100

203,732

Ratch

Group

PCL,

NVDR

115,500

200,058

INVESTMENTS

SHARES

VALUE

Thailand

-

3.0%

(continued)

Thai

Union

Group

PCL,

NVDR

560,000

$

232,508

5,023,278

—

Turkey

-

0.4%

BIM

Birlesik

Magazalar

A/S

10,450

79,245

KOC

Holding

A/S

102,398

207,053

Turkiye

Garanti

Bankasi

A/S*

44,047

54,021

Turkiye

Is

Bankasi

A/S,

Class

C*

339,742

242,434

582,753

—

United

States

-

0.9%

JBS

SA(1)

384,400

1,504,724

TOTAL

COMMON

STOCKS

(Cost

$161,524,362)

159,518,487

SECURITIES

LENDING

COLLATERAL

-

0.0%(d)

Investment

Companies

-

0.0%(d)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(e)(f)

15,863

15,863

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(e)(f)

48,390

48,453

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$64,253)

64,316

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.5%

(Cost

$161,588,615)

159,582,803

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.5%(g)

5,718,396

NET

ASSETS

-

100.0%

$165,301,199

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

21,695,704

13.1

%

Consumer

Discretionary

26,580,183

16.1

Consumer

Staples

10,463,988

6.3

Energy

8,140,368

4.9

Financials

26,914,191

16.3

Health

Care

8,224,933

5.0

Industrials

12,484,031

7.6

Information

Technology

26,334,135

15.9

Materials

9,535,413

5.8

Real

Estate

5,423,585

3.3

Utilities

3,721,956

2.2

Securities

Lending

Collateral

64,316

0.0(d)

Total

Investments

In

Securities

At

Value

159,582,803

96.5

Other

Assets

in

Excess

of

Liabilities(g)

5,718,396

3.5

Net

Assets

$

165,301,199

100.0%

21

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$6,752,214,

which

represents

approximately

4.08%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$2,022,460

or

1.22%

of

net

assets.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$51,165.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

100

6/2020

USD

$

4,214,500

$

81,029

$

81,029

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

921,045

$

921,045

22

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

97.6%

Aerospace

&

Defense

-

1.0%

Huntington

Ingalls

Industries,

Inc.

4,182

$

762,002

Northrop

Grumman

Corp.

939

284,095

Raytheon

Co.

3,101

406,696

Teledyne

Technologies,

Inc.*

2,603

773,794

2,226,587

Airlines

-

0.1%

JetBlue

Airways

Corp.*

27,017

241,802

Automobiles

-

0.2%

General

Motors

Co.

16,827

349,665

Tesla,

Inc.*

212

111,088

460,753

Banks

-

3.4%

Citizens

Financial

Group,

Inc.

14,425

271,334

Fifth

Third

Bancorp

13,001

193,065

First

Citizens

BancShares,

Inc.,

Class

A

460

153,120

JPMorgan

Chase

&

Co.

43,114

3,881,553

PNC

Financial

Services

Group,

Inc.

(The)

727

69,589

Popular,

Inc.

67,239

2,353,365

US

Bancorp

11,588

399,207

Wells

Fargo

&

Co.

15,252

437,732

7,758,965

Beverages

-

1.9%

Monster

Beverage

Corp.*

5,113

287,657

PepsiCo,

Inc.

33,245

3,992,725

4,280,382

Biotechnology

-

3.7%

AbbVie,

Inc.

18,951

1,443,877

Alexion

Pharmaceuticals,

Inc.*

16,508

1,482,253

Amgen,

Inc.

1,612

326,801

Biogen,

Inc.*

10,151

3,211,573

Exelixis,

Inc.*

109,359

1,883,162

Gilead

Sciences,

Inc.

1,922

143,689

8,491,355

Building

Products

-

0.2%

Owens

Corning

9,006

349,523

Trane

Technologies

plc

1,767

145,936

495,459

Capital

Markets

-

1.8%

Ameriprise

Financial,

Inc.

21,170

2,169,502

Goldman

Sachs

Group,

Inc.

(The)

599

92,599

LPL

Financial

Holdings,

Inc.

6,248

340,079

Morgan

Stanley

28,511

969,374

MSCI,

Inc.

908

262,376

S&P

Global,

Inc.

807

197,755

4,031,685

INVESTMENTS

SHARES

VALUE

Chemicals

-

0.6%

Celanese

Corp.

2,302

$

168,944

DuPont

de

Nemours,

Inc.

7,917

269,970

LyondellBasell

Industries

NV,

Class

A

19,778

981,582

1,420,496

Commercial

Services

&

Supplies

-

1.1%

Cintas

Corp.

1,315

227,784

Copart,

Inc.*

5,905

404,611

Republic

Services,

Inc.

1,912

143,515

Waste

Management,

Inc.

18,416

1,704,585

2,480,495

Communications

Equipment

-

0.0%(a)

Cisco

Systems,

Inc.

1,704

66,984

Consumer

Finance

-

0.3%

Capital

One

Financial

Corp.

2,959

149,193

Synchrony

Financial

33,691

542,088

691,281

Distributors

-

0.0%(a)

LKQ

Corp.*

2,069

42,435

Diversified

Consumer

Services

-

0.2%

Graham

Holdings

Co.,

Class

B

879

299,888

H&R

Block,

Inc.

6,294

88,620

388,508

Diversified

Financial

Services

-

1.5%

Berkshire

Hathaway,

Inc.,

Class

B*

18,707

3,420,201

Diversified

Telecommunication

Services

-

0.4%

AT&T,

Inc.

6,533

190,437

Verizon

Communications,

Inc.

15,124

812,612

1,003,049

Electric

Utilities

-

4.0%

Duke

Energy

Corp.

30,378

2,456,973

Entergy

Corp.

2,673

251,182

Evergy,

Inc.

10,285

566,189

Exelon

Corp.

86,008

3,165,954

NextEra

Energy,

Inc.

6,931

1,667,737

Pinnacle

West

Capital

Corp.

13,182

999,064

9,107,099

Electrical

Equipment

-

0.0%(a)

Eaton

Corp.

plc

1,268

98,511

Electronic

Equipment,

Instruments

&

Components

-

1.7%

Avnet,

Inc.

17,098

429,160

CDW

Corp.

9,165

854,819

Jabil,

Inc.

51,772

1,272,556

SYNNEX

Corp.

16,667

1,218,358

3,774,893

23

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Entertainment

-

0.8%

Electronic

Arts,

Inc.*

10,460

$

1,047,778

Walt

Disney

Co.

(The)

7,900

763,140

1,810,918

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.1%

American

Tower

Corp.

1,403

305,503

Food

&

Staples

Retailing

-

2.2%

Costco

Wholesale

Corp.

4,785

1,364,347

Kroger

Co.

(The)

41,732

1,256,968

Walmart,

Inc.

21,471

2,439,535

5,060,850

Food

Products

-

2.5%

General

Mills,

Inc.

18,984

1,001,786

Ingredion,

Inc.

4,252

321,026

JM

Smucker

Co.

(The)

1,902

211,122

Pilgrim's

Pride

Corp.*

53,727

973,533

Tyson

Foods,

Inc.,

Class

A

54,940

3,179,378

5,686,845

Health

Care

Equipment

&

Supplies

-

2.2%

Abbott

Laboratories

6,000

473,460

Align

Technology,

Inc.*

1,500

260,925

Baxter

International,

Inc.

15,913

1,291,977

Danaher

Corp.

9,429

1,305,068

Edwards

Lifesciences

Corp.*

949

179,000

Medtronic

plc

16,000

1,442,880

4,953,310

Health

Care

Providers

&

Services

-

3.6%

AmerisourceBergen

Corp.

4,674

413,649

Anthem,

Inc.

7,414

1,683,275

CVS

Health

Corp.

18,618

1,104,606

DaVita,

Inc.*

1,528

116,220

Humana,

Inc.

7,975

2,504,309

McKesson

Corp.

1,420

192,069

Molina

Healthcare,

Inc.*

2,721

380,151

UnitedHealth

Group,

Inc.

5,781

1,441,666

Universal

Health

Services,

Inc.,

Class

B

3,875

383,935

8,219,880

Hotels,

Restaurants

&

Leisure

-

0.6%

Darden

Restaurants,

Inc.

14,922

812,652

McDonald's

Corp.

1,933

319,621

Starbucks

Corp.

4,013

263,815

1,396,088

Household

Durables

-

1.1%

Lennar

Corp.,

Class

A

13,624

520,437

NVR,

Inc.*

257

660,261

PulteGroup,

Inc.

52,740

1,177,157

INVESTMENTS

SHARES

VALUE

Household

Durables

-

1.1%

(continued)

Whirlpool

Corp.

812

$

69,669

2,427,524

Household

Products

-

4.4%

Clorox

Co.

(The)

13,097

2,269,055

Colgate-Palmolive

Co.

6,609

438,573

Kimberly-Clark

Corp.

16,285

2,082,363

Procter

&

Gamble

Co.

(The)

47,174

5,189,140

9,979,131

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Energy

Corp.

7,299

116,492

Industrial

Conglomerates

-

0.2%

Carlisle

Cos.,

Inc.

3,837

480,699

Insurance

-

6.2%

Aflac,

Inc.

5,292

181,198

Allstate

Corp.

(The)

34,563

3,170,464

American

Financial

Group,

Inc.

2,020

141,562

Arch

Capital

Group

Ltd.*

30,424

865,867

Assurant,

Inc.

9,056

942,639

Assured

Guaranty

Ltd.

57,253

1,476,555

Athene

Holding

Ltd.,

Class

A*

33,702

836,484

Chubb

Ltd.

5,879

656,625

Everest

Re

Group

Ltd.

9,920

1,908,806

Fidelity

National

Financial,

Inc.

8,554

212,823

First

American

Financial

Corp.

23,826

1,010,461

Hanover

Insurance

Group,

Inc.

(The)

1,071

97,011

Hartford

Financial

Services

Group,

Inc.

(The)

2,898

102,126

MetLife,

Inc.

20,280

619,960

Old

Republic

International

Corp.

35,144

535,946

Progressive

Corp.

(The)

1,969

145,391

Reinsurance

Group

of

America,

Inc.

2,858

240,472

Travelers

Cos.,

Inc.

(The)

11,394

1,131,994

14,276,384

Interactive

Media

&

Services

-

6.7%

Alphabet,

Inc.,

Class

A*

5,357

6,224,566

Alphabet,

Inc.,

Class

C*

2,919

3,394,242

Facebook,

Inc.,

Class

A*

34,008

5,672,535

15,291,343

Internet

&

Direct

Marketing

Retail

-

2.3%

Amazon.com,

Inc.*

2,753

5,367,579

IT

Services

-

5.2%

Accenture

plc,

Class

A

7,680

1,253,837

Akamai

Technologies,

Inc.*

24,253

2,218,907

Amdocs

Ltd.

8,610

473,292

Booz

Allen

Hamilton

Holding

Corp.

13,714

941,329

CACI

International,

Inc.,

Class

A*

5,521

1,165,759

Cognizant

Technology

Solutions

Corp.,

Class

A

3,956

183,835

DXC

Technology

Co.

10,730

140,026

24

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

5.2%

(continued)

EPAM

Systems,

Inc.*

1,540

$

285,916

Euronet

Worldwide,

Inc.*

875

75,005

International

Business

Machines

Corp.

16,543

1,835,115

Leidos

Holdings,

Inc.

7,527

689,850

Mastercard,

Inc.,

Class

A

527

127,302

VeriSign,

Inc.*

3,517

633,377

Visa,

Inc.,

Class

A

11,800

1,901,216

11,924,766

Life

Sciences

Tools

&

Services

-

1.4%

Charles

River

Laboratories

International,

Inc.*

9,480

1,196,471

PRA

Health

Sciences,

Inc.*

2,265

188,086

Thermo

Fisher

Scientific,

Inc.

6,662

1,889,343

3,273,900

Machinery

-

0.8%

Cummins,

Inc.

4,612

624,096

Oshkosh

Corp.

13,691

880,742

Timken

Co.

(The)

7,382

238,734

1,743,572

Media

-

0.8%

Comcast

Corp.,

Class

A

45,860

1,576,667

Omnicom

Group,

Inc.

2,745

150,700

1,727,367

Multiline

Retail

-

1.4%

Dollar

General

Corp.

3,307

499,390

Target

Corp.

29,496

2,742,243

3,241,633

Multi-Utilities

-

0.9%

Ameren

Corp.

16,399

1,194,339

DTE

Energy

Co.

1,863

176,929

Public

Service

Enterprise

Group,

Inc.

15,277

686,090

2,057,358

Oil,

Gas

&

Consumable

Fuels

-

0.0%(a)

Pioneer

Natural

Resources

Co.

794

55,699

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

2,294

365,526

Nu

Skin

Enterprises,

Inc.,

Class

A

1,653

36,118

401,644

Pharmaceuticals

-

5.8%

Allergan

plc

3,648

646,061

Bristol-Myers

Squibb

Co.

29,840

1,663,282

Eli

Lilly

&

Co.

931

129,148

Horizon

Therapeutics

plc*

30,936

916,324

Jazz

Pharmaceuticals

plc*

13,703

1,366,737

Johnson

&

Johnson

24,955

3,272,349

INVESTMENTS

SHARES

VALUE

Pharmaceuticals

-

5.8%

(continued)

Merck

&

Co.,

Inc.

38,414

$

2,955,573

Mylan

NV*

72,869

1,086,477

Pfizer,

Inc.

39,565

1,291,402

13,327,353

Professional

Services

-

0.8%

ManpowerGroup,

Inc.

23,694

1,255,545

Robert

Half

International,

Inc.

13,865

523,404

1,778,949

Road

&

Rail

-

0.2%

AMERCO

593

172,296

Uber

Technologies,

Inc.*

10,526

293,886

466,182

Semiconductors

&

Semiconductor

Equipment

-

6.1%

Applied

Materials,

Inc.

31,625

1,449,058

Intel

Corp.

83,696

4,529,628

Lam

Research

Corp.

9,206

2,209,440

Micron

Technology,

Inc.*

27,740

1,166,744

Qorvo,

Inc.*

13,143

1,059,720

QUALCOMM,

Inc.

6,103

412,868

Skyworks

Solutions,

Inc.

13,624

1,217,713

Teradyne,

Inc.

12,294

665,966

Texas

Instruments,

Inc.

11,496

1,148,795

13,859,932

Software

-

9.5%

Adobe,

Inc.*

5,281

1,680,625

Cadence

Design

Systems,

Inc.*

20,392

1,346,688

Cerence,

Inc.*

12,857

197,998

Fortinet,

Inc.*

5,849

591,743

Intuit,

Inc.

2,223

511,290

Manhattan

Associates,

Inc.*

4,944

246,310

Microsoft

Corp.

88,585

13,970,740

NortonLifeLock,

Inc.

58,920

1,102,393

Oracle

Corp.

38,463

1,858,917

SS&C

Technologies

Holdings,

Inc.

5,225

228,960

Trade

Desk,

Inc.

(The),

Class

A*

446

86,078

21,821,742

Specialty

Retail

-

3.3%

AutoNation,

Inc.*

21,224

595,545

AutoZone,

Inc.*

155

131,130

Best

Buy

Co.,

Inc.

17,892

1,019,844

Burlington

Stores,

Inc.*

802

127,085

Foot

Locker,

Inc.

14,219

313,529

Home

Depot,

Inc.

(The)

4,165

777,647

Ross

Stores,

Inc.

22,045

1,917,254

TJX

Cos.,

Inc.

(The)

38,599

1,845,418

Williams-Sonoma,

Inc.

21,665

921,196

7,648,648

25

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Technology

Hardware,

Storage

&

Peripherals

-

4.7%

Apple,

Inc.

39,192

$

9,966,134

HP,

Inc.

16,240

281,926

Xerox

Holdings

Corp.

30,366

575,132

10,823,192

Textiles,

Apparel

&

Luxury

Goods

-

0.3%

Lululemon

Athletica,

Inc.*

3,796

719,532

Thrifts

&

Mortgage

Finance

-

0.0%(a)

MGIC

Investment

Corp.

3,714

23,584

Tobacco

-

0.8%

Altria

Group,

Inc.

18,086

699,386

Philip

Morris

International,

Inc.

17,038

1,243,092

1,942,478

Trading

Companies

&

Distributors

-

0.2%

Air

Lease

Corp.

15,553

344,343

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.*

3,345

280,646

TOTAL

COMMON

STOCKS

(Cost

$207,151,628)

223,316,006

SHORT-TERM

INVESTMENTS

-

3.2%

INVESTMENT

COMPANIES

-

3.2%

Limited

Purpose

Cash

Investment

Fund,

0.85%(b)

(Cost

$7,268,736)

7,268,763

7,278,212

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.8%

(Cost

$214,420,364)

230,594,218

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.8)%(c)

(1,810,037)

NET

ASSETS

-

100.0%

$228,784,181

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

20,113,323

8.8

%

Consumer

Discretionary

21,692,701

9.5

Consumer

Staples

27,351,330

12.0

Energy

55,699

0.0

(a)

Financials

30,202,099

13.2

Health

Care

38,265,797

16.7

Industrials

10,356,599

4.5

Information

Technology

62,271,509

27.2

Materials

1,420,496

0.6

Real

Estate

305,503

0.1

Utilities

11,280,950

5.0

Short-Term

Investments

7,278,212

3.2

Total

Investments

In

Securities

At

Value

230,594,218

100.8

Liabilities

in

Excess

of

Other

Assets(c)

(1,810,037)

(0.8)

Net

Assets

$

228,784,181

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(c)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

47

6/2020

USD

$

6,038,795

$

47,990

$

47,990

26

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

474,487

$

474,487

27

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

91.7%

Aerospace

&

Defense

-

1.9%

AAR

Corp.

1,212

$

21,525

Aerojet

Rocketdyne

Holdings,

Inc.*

392

16,397

Astronics

Corp.*

1,381

12,678

Mercury

Systems,

Inc.*

400

28,536

Moog,

Inc.,

Class

A

996

50,328

Vectrus

,

Inc.*

4,455

184,481

313,945

Airlines

-

0.1%

Allegiant

Travel

Co.

100

8,180

Auto

Components

-

1.0%

Cooper

Tire

&

Rubber

Co.

441

7,189

Dana,

Inc.

10,225

79,857

LCI

Industries

1,234

82,468

169,514

Automobiles

-

0.0%(a)

Winnebago

Industries,

Inc.

192

5,340

Banks

-

5.6%

Ameris

Bancorp

560

13,306

BancFirst

Corp.

657

21,924

Bancorp,

Inc.

(The)*

6,796

41,252

BancorpSouth

Bank

439

8,306

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

1,221

20,794

Cathay

General

Bancorp

3,034

69,630

CenterState

Bank

Corp.

1,358

23,398

City

Holding

Co.

216

14,370

Customers

Bancorp,

Inc.*(b)

632

6,908

Enterprise

Financial

Services

Corp.

446

12,448

First

Bancorp/PR

5,892

31,345

First

Financial

Bancorp

483

7,202

First

Interstate

BancSystem

,

Inc.,

Class

A

1,069

30,830

First

Merchants

Corp.

935

24,768

First

Midwest

Bancorp,

Inc.

601

7,954

Fulton

Financial

Corp.

4,415

50,728

Great

Southern

Bancorp,

Inc.

953

38,501

Great

Western

Bancorp,

Inc.

2,297

47,043

Hancock

Whitney

Corp.

2,497

48,741

Heartland

Financial

USA,

Inc.

503

15,191

Hilltop

Holdings,

Inc.

4,191

63,368

Home

BancShares

,

Inc.

696

8,345

Hope

Bancorp,

Inc.

3,014

24,775

IBERIABANK

Corp.

856

30,953

International

Bancshares

Corp.

3,095

83,194

NBT

Bancorp,

Inc.

785

25,426

OFG

Bancorp

1,811

20,247

Old

National

Bancorp

1,547

20,405

Preferred

Bank

505

17,079

Simmons

First

National

Corp.,

Class

A

1,216

22,374

South

State

Corp.

324

19,028

INVESTMENTS

SHARES

VALUE

Banks

-

5.6%

(continued)

Trustmark

Corp.

1,383

$

32,224

United

Bankshares

,

Inc.

887

20,472

United

Community

Banks,

Inc.

1,141

20,892

Valley

National

Bancorp

1,035

7,566

950,987

Beverages

-

0.2%

Boston

Beer

Co.,

Inc.

(The),

Class

A*

94

34,551

Biotechnology

-

8.1%

ACADIA

Pharmaceuticals,

Inc.*

1,418

59,910

Adverum

Biotechnologies,

Inc.*

1,034

10,102

Affimed

NV

(Germany)*

8,155

12,885

AMAG

Pharmaceuticals,

Inc.*(b)

1,122

6,934

Amicus

Therapeutics,

Inc.*

1,954

18,055

Anika

Therapeutics,

Inc.*

1,725

49,870

Arena

Pharmaceuticals,

Inc.*

730

30,660

Arrowhead

Pharmaceuticals,

Inc.*(b)

4,116

118,417

BioSpecifics

Technologies

Corp.*

1,418

80,216

Catalyst

Pharmaceuticals,

Inc.*

21,170

81,504

ChemoCentryx

,

Inc.*

457

18,362

Constellation

Pharmaceuticals,

Inc.*

357

11,221

Eagle

Pharmaceuticals,

Inc.*

2,201

101,246

Emergent

BioSolutions

,

Inc.*

2,100

121,506

Enanta

Pharmaceuticals,

Inc.*

516

26,538

Epizyme

,

Inc.*

2,268

35,177

FibroGen

,

Inc.*(b)

593

20,607

Forty

Seven,

Inc.*

245

23,378

Global

Blood

Therapeutics,

Inc.*

681

34,792

Halozyme

Therapeutics,

Inc.*

1,617

29,090

Insmed

,

Inc.*

1,004

16,094

Intercept

Pharmaceuticals,

Inc.*

320

20,147

Ironwood

Pharmaceuticals,

Inc.*(b)

1,382

13,944

Jounce

Therapeutics,

Inc.*

12,297

58,411

Lexicon

Pharmaceuticals,

Inc.*(b)

9,834

19,176

Ligand

Pharmaceuticals,

Inc.*(b)

565

41,087

Momenta

Pharmaceuticals,

Inc.*

658

17,898

Myriad

Genetics,

Inc.*

2,199

31,468

Natera

,

Inc.*

1,235

36,877

PDL

BioPharma

,

Inc.*

9,724

27,422

Principia

Biopharma,

Inc.*

706

41,922

PTC

Therapeutics,

Inc.*

255

11,376

Ra

Pharmaceuticals,

Inc.*

393

18,868

Veracyte

,

Inc.*(b)

3,519

85,547

Vericel

Corp.*

2,790

25,584

Xencor

,

Inc.*

638

19,063

1,375,354

Building

Products

-

2.4%

American

Woodmark

Corp.*

344

15,676

Builders

FirstSource

,

Inc.*

14,367

175,708

Griffon

Corp.

1,495

18,912

Patrick

Industries,

Inc.

2,129

59,953

28

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Building

Products

-

2.4%

(continued)

Universal

Forest

Products,

Inc.

3,791

$

140,987

411,236

Capital

Markets

-

2.1%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

4,171

89,635

Cowen,

Inc.,

Class

A

555

5,361

Federated

Hermes,

Inc.,

Class

B

337

6,420

Oppenheimer

Holdings,

Inc.,

Class

A

4,012

79,277

Stifel

Financial

Corp.

1,502

62,003

Virtus

Investment

Partners,

Inc.

373

28,389

Waddell

&

Reed

Financial,

Inc.,

Class

A

7,453

84,815

355,900

Chemicals

-

0.1%

Koppers

Holdings,

Inc.*

1,522

18,827

Commercial

Services

&

Supplies

-

3.0%

ABM

Industries,

Inc.

3,184

77,562

ACCO

Brands

Corp.

3,579

18,074

Advanced

Disposal

Services,

Inc.*

863

28,306

Brady

Corp.,

Class

A

1,049

47,341

Ennis,

Inc.

4,365

81,975

Herman

Miller,

Inc.

3,090

68,598

HNI

Corp.

931

23,452

Kimball

International,

Inc.,

Class

B

2,747

32,717

Knoll,

Inc.

1,855

19,144

Steelcase,

Inc.,

Class

A

8,484

83,737

Tetra

Tech,

Inc.

213

15,042

UniFirst

Corp.

111

16,771

512,719

Communications

Equipment

-

0.8%

Acacia

Communications,

Inc.*

447

30,029

Comtech

Telecommunications

Corp.

3,306

43,937

Digi

International,

Inc.*

472

4,503

Lumentum

Holdings,

Inc.*(b)

661

48,716

NetScout

Systems,

Inc.*

527

12,474

139,659

Construction

&

Engineering

-

2.9%

Arcosa

,

Inc.

1,712

68,035

EMCOR

Group,

Inc.

2,018

123,744

Great

Lakes

Dredge

&

Dock

Corp.*

17,970

149,151

MasTec

,

Inc.*(b)

2,326

76,130

MYR

Group,

Inc.*

1,885

49,368

Sterling

Construction

Co.,

Inc.*

1,075

10,213

Tutor

Perini

Corp.*

1,727

11,605

488,246

INVESTMENTS

SHARES

VALUE

Construction

Materials

-

0.1%

Summit

Materials,

Inc.,

Class

A*

1,368

$

20,520

US

Concrete,

Inc.*

110

1,995

22,515

Distributors

-

0.0%(a)

Core-Mark

Holding

Co.,

Inc.

182

5,200

Diversified

Consumer

Services

-

0.6%

American

Public

Education,

Inc.*

2,796

66,908

Collectors

Universe,

Inc.

1,767

27,689

Select

Interior

Concepts,

Inc.,

Class

A*

2,053

4,250

98,847

Diversified

Financial

Services

-

0.3%

Cannae

Holdings,

Inc.*

761

25,486

FGL

Holdings

1,643

16,101

41,587

Electric

Utilities

-

0.8%

El

Paso

Electric

Co.

648

44,038

Portland

General

Electric

Co.

1,820

87,251

131,289

Electrical

Equipment

-

2.5%

Atkore

International

Group,

Inc.*

6,716

141,506

Encore

Wire

Corp.

1,691

71,005

EnerSys

337

16,688

Generac

Holdings,

Inc.*

1,899

176,930

Powell

Industries,

Inc.

326

8,369

414,498

Electronic

Equipment,

Instruments

&

Components

-

4.6%

Anixter

International,

Inc.*

389

34,181

Belden,

Inc.

349

12,592

Benchmark

Electronics,

Inc.

2,445

48,876

Fabrinet

(Thailand)*

1,546

84,350

Fitbit,

Inc.,

Class

A*

2,500

16,650

Insight

Enterprises,

Inc.*

3,012

126,896

KEMET

Corp.

719

17,371

Methode

Electronics,

Inc.

2,260

59,732

PC

Connection,

Inc.

2,774

114,316

Sanmina

Corp.*

6,016

164,116

Tech

Data

Corp.*

456

59,668

Vishay

Intertechnology

,

Inc.

3,166

45,622

784,370

Energy

Equipment

&

Services

-

0.1%

ProPetro

Holding

Corp.*

9,143

22,857

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.5%

CoreCivic

,

Inc.

1,834

20,486

DiamondRock

Hospitality

Co.

4,346

22,078

EastGroup

Properties,

Inc.

272

28,419

First

Industrial

Realty

Trust,

Inc.

2,028

67,390

GEO

Group,

Inc.

(The)

1,491

18,131

29

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.5%

(continued)

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

701

$

14,307

Lexington

Realty

Trust

5,578

55,389

LTC

Properties,

Inc.

246

7,601

Mack-Cali

Realty

Corp.

1,073

16,342

National

Health

Investors,

Inc.

350

17,332

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

1,705

30,110

PS

Business

Parks,

Inc.

107

14,501

Sabra

Health

Care

REIT,

Inc.

777

8,485

Sunstone

Hotel

Investors,

Inc.

4,193

36,521

Universal

Health

Realty

Income

Trust

348

35,082

Xenia

Hotels

&

Resorts,

Inc.

2,619

26,976

419,150

Food

&

Staples

Retailing

-

0.5%

Ingles

Markets,

Inc.,

Class

A

2,118

76,587

Food

Products

-

0.9%

Fresh

Del

Monte

Produce,

Inc.

1,933

53,370

John

B

Sanfilippo

&

Son,

Inc.

1,126

100,665

154,035

Gas

Utilities

-

0.2%

ONE

Gas,

Inc.

402

33,615

Health

Care

Equipment

&

Supplies

-

3.2%

Globus

Medical,

Inc.,

Class

A*

2,573

109,430

Haemonetics

Corp.*

821

81,821

Integer

Holdings

Corp.*

930

58,460

Invacare

Corp.

4,823

35,835

Lantheus

Holdings,

Inc.*

2,548

32,512

Novocure

Ltd.*

403

27,138

NuVasive

,

Inc.*

225

11,398

Quidel

Corp.*

861

84,214

Tandem

Diabetes

Care,

Inc.*

340

21,879

Wright

Medical

Group

NV*

1,586

45,439

Zynex

,

Inc.*

2,313

25,605

533,731

Health

Care

Providers

&

Services

-

5.2%

Addus

HomeCare

Corp.*

86

5,813

Amedisys

,

Inc.*

1,341

246,127

AMN

Healthcare

Services,

Inc.*

1,707

98,682

CorVel

Corp.*

1,323

72,117

Ensign

Group,

Inc.

(The)

2,375

89,324

Joint

Corp.

(The)*

2,147

23,295

LHC

Group,

Inc.*

119

16,684

Magellan

Health,

Inc.*

732

35,216

National

Research

Corp.

770

35,019

Owens

&

Minor,

Inc.

8,100

74,115

Patterson

Cos.,

Inc.

4,554

69,631

Select

Medical

Holdings

Corp.*

1,362

20,430

Tenet

Healthcare

Corp.*

2,368

34,099

INVESTMENTS

SHARES

VALUE

Health

Care

Providers

&

Services

-

5.2%

(continued)

Triple-S

Management

Corp.,

Class

B*

4,396

$

61,984

882,536

Health

Care

Technology

-

0.8%

NextGen

Healthcare,

Inc.*

719

7,506

Omnicell

,

Inc.*

757

49,644

Teladoc

Health,

Inc.*

498

77,195

134,345

Hotels,

Restaurants

&

Leisure

-

0.4%

Biglari

Holdings,

Inc.,

Class

B*

202

10,383

Brinker

International,

Inc.

1,203

14,448

Cracker

Barrel

Old

Country

Store,

Inc.

195

16,228

Eldorado

Resorts,

Inc.*

159

2,289

Everi

Holdings,

Inc.*

4,719

15,573

58,921

Household

Durables

-

2.0%

Installed

Building

Products,

Inc.*

697

27,789

KB

Home

570

10,317

La-Z-Boy,

Inc.

329

6,761

M/I

Homes,

Inc.*

2,406

39,771

MDC

Holdings,

Inc.

1,539

35,705

Meritage

Homes

Corp.*

2,936

107,193

Taylor

Morrison

Home

Corp.*

3,564

39,204

TopBuild

Corp.*

433

31,020

TRI

Pointe

Group,

Inc.*

2,231

19,566

Universal

Electronics,

Inc.*

545

20,912

338,238

Household

Products

-

0.2%

WD-40

Co.

128

25,709

Independent

Power

and

Renewable

Electricity

Producers

-

0.2%

Ormat

Technologies,

Inc.

496

33,559

Insurance

-

3.7%

eHealth,

Inc.*

1,042

146,734

Employers

Holdings,

Inc.

3,538

143,324

Genworth

Financial,

Inc.,

Class

A*

7,815

25,946

Hallmark

Financial

Services,

Inc.*

8,526

34,445

Heritage

Insurance

Holdings,

Inc.

1,556

16,665

Kinsale

Capital

Group,

Inc.

593

61,986

National

General

Holdings

Corp.

3,807

63,006

National

Western

Life

Group,

Inc.,

Class

A

88

15,136

Selective

Insurance

Group,

Inc.

1,308

65,008

Stewart

Information

Services

Corp.

895

23,870

Universal

Insurance

Holdings,

Inc.

1,296

23,224

619,344

Internet

&

Direct

Marketing

Retail

-

0.1%

1-800-Flowers.com,

Inc.,

Class

A*

1,136

15,029

30

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

2.4%

Cardtronics

plc,

Class

A*

2,695

$

56,379

EVERTEC,

Inc.

1,377

31,299

Hackett

Group,

Inc.

(The)

970

12,339

KBR,

Inc.

3,684

76,185

MAXIMUS,

Inc.

991

57,676

Paysign

,

Inc.*

1,834

9,464

Perspecta

,

Inc.

2,308

42,098

Science

Applications

International

Corp.

110

8,209

Sykes

Enterprises,

Inc.*

2,897

78,567

TTEC

Holdings,

Inc.

308

11,310

Unisys

Corp.*

1,569

19,377

402,903

Leisure

Products

-

1.4%

Acushnet

Holdings

Corp.

2,335

60,056

Johnson

Outdoors,

Inc.,

Class

A

1,369

85,836

Malibu

Boats,

Inc.,

Class

A*

1,214

34,951

MasterCraft

Boat

Holdings,

Inc.*

1,656

12,089

YETI

Holdings,

Inc.*

2,300

44,896

237,828

Life

Sciences

Tools

&

Services

-

3.1%

Medpace

Holdings,

Inc.*

3,027

222,121

NeoGenomics

,

Inc.*

2,236

61,736

Repligen

Corp.*

1,497

144,521

Syneos

Health,

Inc.*

2,581

101,743

530,121

Machinery

-

1.5%

Columbus

McKinnon

Corp.

438

10,950

Commercial

Vehicle

Group,

Inc.*

17,507

26,436

Kennametal,

Inc.

558

10,390

Meritor,

Inc.*

8,899

117,912

Miller

Industries,

Inc.

384

10,859

Mueller

Industries,

Inc.

2,028

48,550

Rexnord

Corp.

422

9,567

Wabash

National

Corp.

2,501

18,057

252,721

Media

-

0.4%

Cumulus

Media,

Inc.,

Class

A*

5,426

29,409

TEGNA,

Inc.

3,950

42,897

72,306

Metals

&

Mining

-

2.0%

Commercial

Metals

Co.

5,305

83,766

Ryerson

Holding

Corp.*

24,261

129,069

Schnitzer

Steel

Industries,

Inc.,

Class

A

2,603

33,943

Warrior

Met

Coal,

Inc.

5,899

62,647

Worthington

Industries,

Inc.

778

20,422

329,847

INVESTMENTS

SHARES

VALUE

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.4%

Apollo

Commercial

Real

Estate

Finance,

Inc.

2,545

$

18,884

Blackstone

Mortgage

Trust,

Inc.,

Class

A

1,590

29,606

Invesco

Mortgage

Capital,

Inc.

1,636

5,579

PennyMac

Mortgage

Investment

Trust

1,075

11,416

Redwood

Trust,

Inc.

1,030

5,212

70,697

Oil,

Gas

&

Consumable

Fuels

-

0.4%

Teekay

Tankers

Ltd.,

Class

A*

1,693

37,652

World

Fuel

Services

Corp.

1,432

36,058

73,710

Paper

&

Forest

Products

-

0.9%

Boise

Cascade

Co.

4,783

113,740

Schweitzer-Mauduit

International,

Inc.

309

8,596

Verso

Corp.,

Class

A*

2,939

33,152

155,488

Personal

Products

-

0.2%

Inter

Parfums

,

Inc.

101

4,681

Lifevantage

Corp.*

517

5,325

USANA

Health

Sciences,

Inc.*

493

28,476

38,482

Pharmaceuticals

-

0.6%

Corcept

Therapeutics,

Inc.*(b)

4,014

47,727

Lannett

Co.,

Inc.*

4,818

33,485

Supernus

Pharmaceuticals,

Inc.*

691

12,431

93,643

Professional

Services

-

4.1%

Barrett

Business

Services,

Inc.

802

31,791

CBIZ,

Inc.*

595

12,447

FTI

Consulting,

Inc.*

1,816

217,502

Heidrick

&

Struggles

International,

Inc.

1,759

39,578

ICF

International,

Inc.

253

17,381

Kelly

Services,

Inc.,

Class

A

8,053

102,193

Kforce

,

Inc.

7,701

196,915

Resources

Connection,

Inc.

653

7,163

TrueBlue

,

Inc.*

4,705

60,036

685,006

Real

Estate

Management

&

Development

-

0.0%(a)

Newmark

Group,

Inc.,

Class

A

985

4,186

Road

&

Rail

-

0.3%

ArcBest

Corp.

2,748

48,145

Avis

Budget

Group,

Inc.*

408

5,671

53,816

31

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Semiconductors

&

Semiconductor

Equipment

-

5.3%

Amkor

Technology,

Inc.*

13,988

$

108,967

Cabot

Microelectronics

Corp.

698

79,670

Cirrus

Logic,

Inc.*

1,939

127,257

Diodes,

Inc.*

2,437

99,027

Enphase

Energy,

Inc.*(b)

874

28,221

FormFactor

,

Inc.*

4,004

80,440

Ichor

Holdings

Ltd.*

2,462

47,172

Lattice

Semiconductor

Corp.*

4,185

74,577

Onto

Innovation,

Inc.*(b)

552

16,378

Photronics

,

Inc.*

10,641

109,177

Power

Integrations,

Inc.

467

41,250

SMART

Global

Holdings,

Inc.*

1,948

47,336

Ultra

Clean

Holdings,

Inc.*

1,239

17,098

Xperi

Corp.

677

9,417

885,987

Software

-

3.0%

ACI

Worldwide,

Inc.*

1,433

34,607

Appfolio

,

Inc.,

Class

A*

195

21,635

Digital

Turbine,

Inc.*

11,567

49,854

Intelligent

Systems

Corp.*

1,458

49,558

J2

Global,

Inc.

2,180

163,173

Mitek

Systems,

Inc.*

385

3,034

Progress

Software

Corp.

842

26,944

Qualys

,

Inc.*

786

68,374

SPS

Commerce,

Inc.*

1,234

57,393

Verint

Systems,

Inc.*

850

36,550

511,122

Specialty

Retail

-

1.8%

Aaron's,

Inc.

209

4,761

Asbury

Automotive

Group,

Inc.*(b)

328

18,116

Cato

Corp.

(The),

Class

A

1,188

12,676

Citi

Trends,

Inc.

460

4,094

Genesco,

Inc.*

1,757

23,438

GNC

Holdings,

Inc.,

Class

A*(b)

14,210

6,652

Group

1

Automotive,

Inc.

877

38,816

Hibbett

Sports,

Inc.*

2,802

30,640

Lithia

Motors,

Inc.,

Class

A

260

21,265

Office

Depot,

Inc.

6,186

10,145

Shoe

Carnival,

Inc.(b)

2,183

45,341

Sleep

Number

Corp.*

581

11,132

Sonic

Automotive,

Inc.,

Class

A(b)

2,162

28,711

Zumiez

,

Inc.*

2,441

42,278

298,065

Technology

Hardware,

Storage

&

Peripherals

-

0.0%(a)

Avid

Technology,

Inc.*

1,064

7,161

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Deckers

Outdoor

Corp.*

364

48,776

Oxford

Industries,

Inc.

460

16,680

Rocky

Brands,

Inc.

3,461

66,970

INVESTMENTS

SHARES

VALUE

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

(continued)

Steven

Madden

Ltd.

3,273

$

76,032

208,458

Thrifts

&

Mortgage

Finance

-

3.8%

Axos

Financial,

Inc.*(b)

457

8,286

Essent

Group

Ltd.

4,045

106,545

Flagstar

Bancorp,

Inc.

3,854

76,425

HomeStreet

,

Inc.

849

18,873

Meta

Financial

Group,

Inc.

835

18,136

PennyMac

Financial

Services,

Inc.

3,962

87,600

Radian

Group,

Inc.

13,899

179,992

Walker

&

Dunlop,

Inc.

2,726

109,776

Washington

Federal,

Inc.

1,196

31,048

636,681

Tobacco

-

0.3%

Turning

Point

Brands,

Inc.

2,045

43,170

Trading

Companies

&

Distributors

-

1.4%

BMC

Stock

Holdings,

Inc.*

5,661

100,369

CAI

International,

Inc.*

1,398

19,768

GMS,

Inc.*

5,312

83,558

H&E

Equipment

Services,

Inc.

1,207

17,719

Veritiv

Corp.*

2,220

17,449

238,863

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

336

16,548

TOTAL

COMMON

STOCKS

(Cost

$18,151,152)

15,477,229

PREFERRED

STOCKS

-

0.0%(a)

Diversified

Telecommunication

Services

-

0.0%(a)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039(c)

(Cost

$903)

105

2,417

SHORT-TERM

INVESTMENTS

-

2.3%

INVESTMENT

COMPANIES

-

2.3%

Limited

Purpose

Cash

Investment

Fund,

0.85%(d)

(Cost

$388,338)

388,356

388,861

32

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

3.3%

Investment

Companies

-

3.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(d)(e)

138,925

$

138,925

Limited

Purpose

Cash

Investment

Fund

0.85%(d)(e)

423,791

424,342

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$562,716)

563,267

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.3%

(Cost

$19,103,109)

16,431,774

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.7%(f)

458,267

NET

ASSETS

-

100.0%

$16,890,041

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

91,271

0.6

%

Consumer

Discretionary

1,435,440

8.5

Consumer

Staples

372,533

2.2

Energy

96,568

0.6

Financials

2,675,196

15.8

Health

Care

3,549,731

21.0

Industrials

3,379,230

20.0

Information

Technology

2,731,200

16.2

Materials

526,678

3.1

Real

Estate

423,336

2.5

Utilities

198,463

1.2

Short-Term

Investments

388,861

2.3

Securities

Lending

Collateral

563,267

3.3

Total

Investments

In

Securities

At

Value

16,431,774

97.3

Other

Assets

in

Excess

of

Liabilities(f)

458,267

2.7

Net

Assets

$

16,890,041

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$537,483.

(c)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

March

31,

2020.

The

maturity

date

reflects

the

next

call

date.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

5

6/2020

USD

$

286,900

$

29,198

$

29,198

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

7,857

$

7,857

33

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

94.7%

Australia

-

6.8%

Aurizon

Holdings

Ltd.

230,170

$

596,502

BHP

Group

Ltd.

31,889

578,508

BHP

Group

plc

71,871

1,115,414

BlueScope

Steel

Ltd.

225,073

1,178,375

Coca-Cola

Amatil

Ltd.

52,519

283,459

Crown

Resorts

Ltd.

12,699

58,933

CSL

Ltd.

12,212

2,213,690

Dexus

,

REIT

33,527

185,793

Flight

Centre

Travel

Group

Ltd.(3)

(a)

9,002

44,136

Fortescue

Metals

Group

Ltd.

301,636

1,848,494

Goodman

Group,

REIT

30,886

226,384

GPT

Group

(The),

REIT

35,606

79,104

REA

Group

Ltd.

7,131

334,044

Rio

Tinto

Ltd.

3,006

154,868

Rio

Tinto

plc

24,340

1,115,801

Scentre

Group,

REIT

118,649

113,645

Telstra

Corp.

Ltd.

101,142

189,859

Treasury

Wine

Estates

Ltd.

60,411

375,066

Vicinity

Centres

,

REIT

73,435

45,936

WiseTech

Global

Ltd.

93,076

967,615

11,705,626

—

Belgium

-

1.4%

Ageas

14,450

602,161

Galapagos

NV*

8,222

1,614,616

Groupe

Bruxelles

Lambert

SA

1,467

115,425

Proximus

SADP

5,910

135,720

2,467,922

—

Canada

-

7.2%

Air

Canada(1)*

26,244

293,713

Atco

Ltd.,

Class

I(1)

2,114

58,539

Bank

of

Montreal(1)

11,188

564,925

Bank

of

Nova

Scotia

(The)(1)

15,059

614,965

Canadian

Apartment

Properties,

REIT(1)

3,482

105,378

Canadian

Imperial

Bank

of

Commerce(1)

9,268

540,024

CCL

Industries,

Inc.,

Class

B(1)

2,455

74,646

Cenovus

Energy,

Inc.(1)

137,819

278,125

CGI,

Inc.(1)*

31,949

1,729,692

CI

Financial

Corp.(1)

38,296

380,157

Fairfax

Financial

Holdings

Ltd.(1)

3,782

1,159,432

Great-West

Lifeco

,

Inc.(1)

2,283

39,437

Hydro

One

Ltd.(1)(b)

6,571

118,318

iA

Financial

Corp.,

Inc.(1)

17,182

540,135

Imperial

Oil

Ltd.(1)

6,182

69,890

Magna

International,

Inc.(1)

45,672

1,457,493

Manulife

Financial

Corp.(1)

43,582

547,214

National

Bank

of

Canada(1)

2,075

80,196

Open

Text

Corp.(1)

25,971

908,145

Royal

Bank

of

Canada(1)

23,274

1,441,622

Thomson

Reuters

Corp.(1)

4,879

332,409

Toronto-Dominion

Bank

(The)(1)

27,150

1,154,256

12,488,711

—

INVESTMENTS

SHARES

VALUE

China

-

0.4%

BOC

Hong

Kong

Holdings

Ltd.

119,500

$

328,030

Yangzijiang

Shipbuilding

Holdings

Ltd.

572,200

332,014

660,044

—

Denmark

-

2.7%

Coloplast

A/S,

Class

B

3,982

577,495

DSV

Panalpina

A/S

2,578

234,415

Genmab

A/S*

2,539

510,006

Novo

Nordisk

A/S,

Class

B

47,741

2,850,906

Pandora

A/S

15,698

504,394

4,677,216

—

Finland

-

1.9%

Fortum

OYJ

23,273

338,553

Kone

OYJ,

Class

B

2,317

129,754

Neste

OYJ

53,454

1,777,216

Nokia

OYJ

42,143

129,795

Orion

OYJ,

Class

B

24,312

989,408

3,364,726

—

France

-

8.5%

AXA

SA

14,456

244,768

BNP

Paribas

SA

4,655

135,904

Cie

de

Saint-Gobain

27,401

657,499

CNP

Assurances

68,834

666,491

Electricite

de

France

SA

266,345

2,082,690

Engie

SA

28,418

291,013

Eutelsat

Communications

SA

48,311

502,201

Gecina

SA,

REIT

483

63,558

L'Oreal

SA

7,631

1,974,986

LVMH

Moet

Hennessy

Louis

Vuitton

SE

468

171,640

Natixis

SA

585,103

1,863,108

Orange

SA

43,163

522,594

Peugeot

SA

118,789

1,546,548

Publicis

Groupe

SA

5,984

171,016

Sanofi

20,518

1,776,344

Societe

Generale

SA

3,527

57,780

TOTAL

SA

43,166

1,626,444

Unibail

-

Rodamco

-Westfield,

REIT

4,856

278,377

14,632,961

—

Germany

-

6.7%

Allianz

SE

(Registered)

6,784

1,155,299

Bayer

AG

(Registered)

44,067

2,524,972

Beiersdorf

AG

3,554

357,855

Deutsche

Boerse

AG

2,105

289,194

Deutsche

Post

AG

(Registered)

12,317

330,202

Deutsche

Telekom

AG

(Registered)

34,111

440,559

Deutsche

Wohnen

SE

4,001

151,633

Fresenius

SE

&

Co.

KGaA

2,780

103,507

Hannover

Rueck

SE

1,252

176,790

Infineon

Technologies

AG

57,307

827,270

KION

Group

AG

3,037

130,706

SAP

SE

12,715

1,419,604

Siemens

Healthineers

AG(b)

6,357

245,740

TUI

AG(c)

83,827

366,916

Volkswagen

AG

(Preference)

10,986

1,265,550

Vonovia

SE

3,353

166,790

34

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Germany

-

6.7%

(continued)

Zalando

SE*(b)

44,916

$

1,692,888

11,645,475

—

Hong

Kong

-

3.6%

CK

Asset

Holdings

Ltd.

92,500

501,876

CLP

Holdings

Ltd.

83,500

764,861

Henderson

Land

Development

Co.

Ltd.

66,730

252,565

Hong

Kong

Exchanges

&

Clearing

Ltd.

13,300

398,459

Kerry

Properties

Ltd.

87,500

228,812

Link,

REIT

13,000

109,570

New

World

Development

Co.

Ltd.

200,000

213,255

PCCW

Ltd.

30,000

16,451

Power

Assets

Holdings

Ltd.

88,500

525,003

Sun

Hung

Kai

Properties

Ltd.

19,500

254,944

Techtronic

Industries

Co.

Ltd.

82,000

520,692

WH

Group

Ltd.(b)

1,615,000

1,490,660

Yue

Yuen

Industrial

Holdings

Ltd.

591,500

903,872

6,181,020

—

Italy

-

2.8%

Assicurazioni

Generali

SpA

19,889

269,392

Enel

SpA

278,189

1,918,906

Leonardo

SpA

208,462

1,378,177

Poste

Italiane

SpA

(b)

124,983

1,051,962

Telecom

Italia

SpA

*

596,063

241,271

4,859,708

—

Japan

-

22.3%

Acom

Co.

Ltd.

16,500

67,006

Advantest

Corp.

15,700

625,330

AEON

Financial

Service

Co.

Ltd.

800

8,547

Amada

Holdings

Co.

Ltd.

55,800

437,356

Aozora

Bank

Ltd.

9,800

187,025

Bandai

Namco

Holdings,

Inc.

18,200

882,759

Brother

Industries

Ltd.

5,000

75,732

Central

Japan

Railway

Co.

1,800

288,488

Chubu

Electric

Power

Co.,

Inc.

5,000

70,566

Credit

Saison

Co.

Ltd.

2,900

33,645

Dai-ichi

Life

Holdings,

Inc.

35,000

415,630

Daiwa

House

Industry

Co.

Ltd.

4,400

108,712

Fujitsu

Ltd.

22,900

2,062,573

Fukuoka

Financial

Group,

Inc.

44,200

583,063

Hino

Motors

Ltd.

33,400

178,128

Hitachi

High-Tech

Corp.

1,500

110,808

Hitachi

Ltd.

64,600

1,855,726

Hoya

Corp.

18,400

1,564,580

ITOCHU

Corp.

92,700

1,918,391

Japan

Real

Estate

Investment

Corp.,

REIT

15

88,174

Japan

Tobacco,

Inc.

7,900

146,124

Kamigumi

Co.

Ltd.

12,800

216,058

KDDI

Corp.

30,900

912,743

Konami

Holdings

Corp.

11,600

355,803

Kyocera

Corp.

19,800

1,168,414

Marubeni

Corp.

31,600

156,833

Mitsubishi

Electric

Corp.

77,400

945,535

Mitsubishi

Estate

Co.

Ltd.

9,000

132,922

INVESTMENTS

SHARES

VALUE

Japan

-

22.3%

(continued)

Mitsubishi

UFJ

Financial

Group,

Inc.

101,900

$

381,264

Mitsui

Chemicals,

Inc.

4,200

79,053

Mitsui

Fudosan

Co.

Ltd.

7,000

121,203

MS&AD

Insurance

Group

Holdings,

Inc.

75,100

2,095,375

Nexon

Co.

Ltd.

41,000

669,975

Nippon

Express

Co.

Ltd.

11,700

570,713

Nippon

Telegraph

&

Telephone

Corp.

93,200

2,229,030

Nomura

Holdings,

Inc.

29,700

125,337

Nomura

Real

Estate

Holdings,

Inc.

2,700

43,688

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

65

82,675

Nomura

Research

Institute

Ltd.

9,000

190,105

NTT

DOCOMO,

Inc.

16,700

522,261

Obayashi

Corp.

43,700

370,818

Olympus

Corp.

49,900

719,324

Otsuka

Corp.

1,800

76,735

Resona

Holdings,

Inc.

673,400

2,019,060

Rohm

Co.

Ltd.

8,800

477,683

Sankyo

Co.

Ltd.

4,200

121,803

Sekisui

House

Ltd.

76,900

1,268,238

Shimizu

Corp.

32,100

249,797

Shinsei

Bank

Ltd.

96,000

1,271,500

Sompo

Holdings,

Inc.

5,500

169,532

Sony

Corp.

4,400

260,628

Square

Enix

Holdings

Co.

Ltd.

7,100

317,197

SUMCO

Corp.

76,100

966,991

Sumitomo

Dainippon

Pharma

Co.

Ltd.

20,400

264,820

Sumitomo

Heavy

Industries

Ltd.

33,400

597,576

Sumitomo

Mitsui

Financial

Group,

Inc.

35,000

850,269

Sumitomo

Mitsui

Trust

Holdings,

Inc.

23,000

660,794

Sundrug

Co.

Ltd.

2,200

70,497

TDK

Corp.

2,900

222,979

Teijin

Ltd.

28,300

478,694

Tokyo

Electric

Power

Co.

Holdings,

Inc.*

89,500

311,347

Tokyo

Electron

Ltd.

8,700

1,621,450

Toppan

Printing

Co.

Ltd.

27,300

416,817

Tosoh

Corp.

35,100

396,669

Toyo

Seikan

Group

Holdings

Ltd.

5,000

57,036

Yamaha

Corp.

19,400

751,856

Z

Holdings

Corp.

243,600

776,635

38,474,095

—

Macau

-

0.2%

SJM

Holdings

Ltd.

390,000

325,429

Netherlands

-

5.4%

ASML

Holding

NV

5,738

1,512,622

ING

Groep

NV

38,548

197,524

Koninklijke

Ahold

Delhaize

NV

95,336

2,221,003

Koninklijke

Philips

NV

21,628

887,989

NN

Group

NV

14,791

401,957

Randstad

NV*

13,117

462,924

Royal

Dutch

Shell

plc,

Class

A

65,917

1,145,221

35

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Netherlands

-

5.4%

(continued)

Royal

Dutch

Shell

plc,

Class

B

41,664

$

698,874

Wolters

Kluwer

NV

25,735

1,821,629

9,349,743

—

Russia

-

0.2%

Evraz

plc

118,862

340,079

Singapore

-

0.9%

Ascendas

,

REIT

40,900

80,983

CapitaLand

Commercial

Trust,

REIT

70,800

75,973

ComfortDelGro

Corp.

Ltd.

211,300

224,999

SATS

Ltd.

30,100

66,909

Venture

Corp.

Ltd.

112,100

1,067,873

Wilmar

International

Ltd.

22,800

51,560

1,568,297

—

South

Africa

-

0.4%

Anglo

American

plc

42,500

744,753

Spain

-

2.0%

ACS

Actividades

de

Construccion

y

Servicios

SA

3,964

78,723

Banco

Bilbao

Vizcaya

Argentaria

SA

22,478

69,604

Banco

de

Sabadell

SA

112,989

57,140

Enagas

SA

18,029

355,662

Endesa

SA

57,329

1,213,105

Grifols

SA

6,493

217,239

Iberdrola

SA

59,144

578,488

Mapfre

SA

82,605

140,131

Naturgy

Energy

Group

SA

20,087

352,403

Red

Electrica

Corp.

SA

9,567

171,914

Repsol

SA

20,727

184,911

3,419,320

—

Sweden

-

3.1%

Essity

AB,

Class

B

44,813

1,372,783

Hennes

&

Mauritz

AB,

Class

B

168,913

2,161,544

ICA

Gruppen

AB

25,987

1,085,357

Investor

AB,

Class

B

2,740

123,611

Skanska

AB,

Class

B*

23,967

360,683

Swedish

Match

AB

1,210

68,510

Telefonaktiebolaget

LM

Ericsson,

Class

B*

21,784

176,341

Volvo

AB,

Class

B

4,352

51,728

5,400,557

—

Switzerland

-

8.6%

Coca-Cola

HBC

AG

6,248

133,996

Credit

Suisse

Group

AG

(Registered)*

9,409

75,943

Lonza

Group

AG

(Registered)*

814

334,818

Nestle

SA

(Registered)

31,085

3,182,103

Novartis

AG

(Registered)

49,999

4,124,859

Roche

Holding

AG

14,478

4,658,182

Sonova

Holding

AG

(Registered)

5,873

1,047,241

Swisscom

AG

(Registered)

539

288,624

UBS

Group

AG

(Registered)*

5,062

46,399

INVESTMENTS

SHARES

VALUE

Switzerland

-

8.6%

(continued)

Zurich

Insurance

Group

AG

2,633

$

924,990

14,817,155

—

United

Kingdom

-

9.3%

3i

Group

plc

6,980

67,634

Admiral

Group

plc

8,308

228,803

AstraZeneca

plc

10,116

901,324

Auto

Trader

Group

plc(b)

51,444

277,993

Aviva

plc

521,315

1,713,957

BAE

Systems

plc

101,694

653,386

Barclays

plc

328,245

373,028

Barratt

Developments

plc

66,145

357,535

BP

plc

32,558

133,519

British

American

Tobacco

plc

31,716

1,080,414

BT

Group

plc

282,667

411,158

CK

Hutchison

Holdings

Ltd.

102,000

679,846

Compass

Group

plc

32,586

507,694

Diageo

plc

5,686

180,300

Direct

Line

Insurance

Group

plc

82,290

300,416

Fiat

Chrysler

Automobiles

NV

12,865

91,840

GlaxoSmithKline

plc

39,386

739,045

GVC

Holdings

plc

58,298

403,814

HSBC

Holdings

plc

170,577

957,580

Imperial

Brands

plc

10,124

186,842

Legal

&

General

Group

plc

199,791

472,046

Lloyds

Banking

Group

plc

492,834

192,675

London

Stock

Exchange

Group

plc

3,501

313,185

Marks

&

Spencer

Group

plc

40,400

48,974

Meggitt

plc

25,926

93,195

Micro

Focus

International

plc

118,037

582,464

National

Grid

plc

14,006

163,650

Next

plc

19,269

966,703

Ocado

Group

plc*

8,887

133,307

Persimmon

plc

19,342

457,219

RELX

plc

3,860

82,382

Smith

&

Nephew

plc

36,040

634,899

Taylor

Wimpey

plc

365,616

526,107

Unilever

NV

881

43,302

Unilever

plc

12,180

614,240

Vodafone

Group

plc

104,687

144,829

Wm

Morrison

Supermarkets

plc

194,013

423,851

16,139,156

—

United

States

-

0.3%

Carnival

plc

42,343

505,399

TOTAL

COMMON

STOCKS

(Cost

$175,174,614)

163,767,392

SHORT-TERM

INVESTMENTS

-

4.2%

INVESTMENT

COMPANIES

-

4.2%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

(Cost

$7,250,220)

7,250,518

7,259,943

36

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(d)(e)

68,733

$

68,733

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(d)(e)

209,670

209,943

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$278,403)

278,676

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.1%

(Cost

$182,703,237)

171,306,011

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.9%(f)

1,559,301

NET

ASSETS

-

100.0%

$172,865,312

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

9,459,961

5.5

%

Consumer

Discretionary

17,783,219

10.3

Consumer

Staples

15,342,908

8.9

Energy

5,914,200

3.4

Financials

29,941,795

17.3

Health

Care

29,501,003

17.1

Industrials

15,858,998

9.2

Information

Technology

18,775,949

10.8

Materials

8,162,390

4.7

Real

Estate

3,711,952

2.1

Utilities

9,315,017

5.4

Short-Term

Investments

7,259,943

4.2

Securities

Lending

Collateral

278,676

0.2

Total

Investments

In

Securities

At

Value

171,306,011

99.1

Other

Assets

in

Excess

of

Liabilities(f)

1,559,301

0.9

Net

Assets

$

172,865,312

100.0%

*

Non-income

producing

security.

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$44,136,

which

represents

approximately

0.03%

of

net

assets

of

the

fund.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$4,877,561,

which

represents

approximately

2.82%

of

net

assets

of

the

fund.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$262,813.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

118

6/2020

USD

$

9,199,870

$

396,627

$

396,627

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

839,265

$

839,265

37

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

94.5%

Brazil

-

4.0%

Banco

do

Brasil

SA(1)*

176,300

$

946,288

BRF

SA(1)*

213,300

619,445

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo(1)*

262,300

1,974,279

Embraer

SA,

ADR(1)*

10,244

75,806

Hapvida

Participacoes

e

Investimentos

SA(1)(a)

61,600

502,654

Itausa

-

Investimentos

Itau

SA

(Preference)(1)

387,700

654,362

Notre

Dame

Intermedica

Participacoes

SA(1)

275,000

2,379,476

Petrobras

Distribuidora

SA(1)*

679,300

2,027,663

Porto

Seguro

SA(1)

9,000

77,805

Sul

America

SA(1)*

62,785

408,409

Telefonica

Brasil

SA

(Preference)(1)

17,300

164,640

TIM

Participacoes

SA,

ADR(1)*

159,595

1,940,675

11,771,502

—

Chile

-

1.3%

Banco

de

Chile,

ADR(1)

5,510

88,766

Banco

de

Credito

e

Inversiones

SA(1)*

4,027

136,445

Banco

Santander

Chile,

ADR(1)

15,659

236,921

Cencosud

SA(1)

1,122,279

1,167,136

Cia

Cervecerias

Unidas

SA,

ADR(1)

29,532

395,138

Enel

Americas

SA,

ADR(1)

182,449

1,105,641

Enel

Chile

SA,

ADR(1)

56,293

186,893

Latam

Airlines

Group

SA,

ADR(1)

137,285

363,805

3,680,745

—

China

-

37.4%

58.com,

Inc.,

ADR(1)*

5,066

246,816

Agricultural

Bank

of

China

Ltd.,

Class

A

269,800

127,763

Agricultural

Bank

of

China

Ltd.,

Class

A*

630,700

298,665

Alibaba

Group

Holding

Ltd.,

ADR(1)*

95,963

18,662,883

A-Living

Services

Co.

Ltd.,

Class

H(a)

503,750

2,415,890

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

48,323

370,006

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

429,000

2,947,067

Autohome

,

Inc.,

ADR(1)*

3,195

226,909

BAIC

Motor

Corp.

Ltd.,

Class

H(a)

1,077,500

423,843

Baidu,

Inc.,

ADR(1)*

16,725

1,685,713

Bank

of

Beijing

Co.

Ltd.,

Class

A

203,478

137,990

Bank

of

China

Ltd.,

Class

A*

803,600

392,760

Bank

of

China

Ltd.,

Class

H

2,626,000

999,623

Bank

of

Communications

Co.

Ltd.*

216,500

156,979

Bank

of

Communications

Co.

Ltd.,

Class

H

231,000

140,693

Bank

of

Ningbo

Co.

Ltd.,

Class

A

54,000

174,401

Bank

of

Shanghai

Co.

Ltd.,

Class

A

131,211

151,478

Baoshan

Iron

&

Steel

Co.

Ltd.*

141,001

96,237

Baoshan

Iron

&

Steel

Co.

Ltd.,

Class

A

185,021

126,281

INVESTMENTS

SHARES

VALUE

China

-

37.4%

(continued)

BOE

Technology

Group

Co.

Ltd.,

Class

A

463,800

$

238,851

BYD

Co.

Ltd.,

Class

A

31,300

262,229

BYD

Electronic

International

Co.

Ltd.

1,010,000

1,660,741

China

CITIC

Bank

Corp.

Ltd.,

Class

H

739,000

363,413

China

Construction

Bank

Corp.,

Class

H

4,070,000

3,308,288

China

Everbright

Bank

Co.

Ltd.,

Class

A

322,100

163,197

China

Everbright

Bank

Co.

Ltd.,

Class

H

374,000

142,267

China

Everbright

International

Ltd.

1,124,000

639,121

China

Evergrande

Group

786,000

1,288,353

China

Hongqiao

Group

Ltd.

802,000

338,942

China

International

Travel

Service

Corp.

Ltd.,

Class

A

38,492

360,462

China

Lesso

Group

Holdings

Ltd.

250,000

323,649

China

Medical

System

Holdings

Ltd.

858,000

917,856

China

Merchants

Bank

Co.

Ltd.,

Class

A

93,558

422,160

China

Merchants

Securities

Co.

Ltd.,

Class

A

81,600

195,573

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

199,255

159,695

China

Minsheng

Banking

Corp.

Ltd.,

Class

H

233,000

172,337

China

Mobile

Ltd.

354,000

2,652,976

China

National

Building

Material

Co.

Ltd.,

Class

H

2,076,000

2,230,267

China

Overseas

Land

&

Investment

Ltd.

400,000

1,226,373

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

37,500

147,648

China

Petroleum

&

Chemical

Corp.,

Class

A

219,600

136,433

China

Railway

Construction

Corp.

Ltd.,

Class

A

115,000

157,358

China

Resources

Land

Ltd.

302,000

1,232,611

China

Shipbuilding

Industry

Co.

Ltd.,

Class

A

140,400

82,536

China

State

Construction

Engineering

Corp.

Ltd.,

Class

A

293,300

215,650

China

Traditional

Chinese

Medicine

Holdings

Co.

Ltd.

184,000

83,006

China

United

Network

Communications

Ltd.,

Class

A

202,100

147,177

China

Vanke

Co.

Ltd.,

Class

H

373,700

1,217,088

China

Yangtze

Power

Co.

Ltd.,

Class

A

66,950

162,789

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

284,000

115,678

CITIC

Ltd.

642,000

665,363

CITIC

Securities

Co.

Ltd.,

Class

A

99,100

307,265

CNOOC

Ltd.,

ADR(1)

11,283

1,167,452

Country

Garden

Holdings

Co.

Ltd.

1,935,000

2,313,326

Country

Garden

Services

Holdings

Co.

Ltd.

784,000

3,154,653

38

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

China

-

37.4%

(continued)

CSPC

Pharmaceutical

Group

Ltd.

584,000

$

1,148,780

Daqin

Railway

Co.

Ltd.,

Class

A

122,100

116,505

Far

East

Horizon

Ltd.

594,000

475,439

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

16,800

294,907

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

28,730

209,208

Greentown

Service

Group

Co.

Ltd.

(b)

546,000

656,807

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

94,200

214,324

Haier

Electronics

Group

Co.

Ltd.

866,000

2,286,121

Haier

Smart

Home

Co.

Ltd.,

Class

A

67,300

135,341

Haitong

Securities

Co.

Ltd.,

Class

A

117,600

211,379

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

87,175

338,418

Hansoh

Pharmaceutical

Group

Co.

Ltd.*(a)

186,000

621,514

Hua

Hong

Semiconductor

Ltd.(a)

513,000

922,400

Huatai

Securities

Co.

Ltd.,

Class

A

88,600

213,674

Huaxia

Bank

Co.

Ltd.,

Class

A

165,100

149,864

Huazhu

Group

Ltd.,

ADR(1)

8,063

231,650

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

80,800

58,435

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A*

120,900

87,436

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

2,045,000

1,395,056

Industrial

Bank

Co.

Ltd.,

Class

A

26,000

57,909

Industrial

Bank

Co.

Ltd.,

Class

A*

96,390

214,686

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

47,300

197,620

JD.com,

Inc.,

ADR(1)*

46,823

1,896,332

Jiangsu

Hengrui

Medicine

Co.

Ltd.*

61,041

783,422

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

11,900

139,604

Jiangxi

Copper

Co.

Ltd.,

Class

H

363,000

333,096

Kweichow

Moutai

Co.

Ltd.,

Class

A

5,500

854,609

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

77,700

411,953

Luye

Pharma

Group

Ltd.(a)

249,000

119,981

Luzhou

Laojiao

Co.

Ltd.,

Class

A

17,500

179,970

Momo

,

Inc.,

ADR(1)

7,296

158,250

NARI

Technology

Co.

Ltd.,

Class

A

29,400

80,688

NetEase

,

Inc.,

ADR(1)

4,286

1,375,635

New

China

Life

Insurance

Co.

Ltd.,

Class

A

21,800

121,077

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR(1)*

8,807

953,270

PetroChina

Co.

Ltd.,

Class

A

225,000

145,836

PICC

Property

&

Casualty

Co.

Ltd.,

Class

H

132,000

126,401

Pinduoduo

,

Inc.,

ADR(1)*

11,590

417,588

Ping

An

Bank

Co.

Ltd.,

Class

A

121,485

217,291

Ping

An

Healthcare

and

Technology

Co.

Ltd.*(a)

91,900

846,202

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

51,900

502,200

SAIC

Motor

Corp.

Ltd.,

Class

A

83,200

238,498

INVESTMENTS

SHARES

VALUE

China

-

37.4%

(continued)

Sany

Heavy

Industry

Co.

Ltd.,

Class

A

98,400

$

236,249

Semiconductor

Manufacturing

International

Corp.*

1,170,500

1,838,438

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

836,000

1,049,479

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

140,963

200,629

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

204,000

125,813

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

438,000

108,008

Sinotruk

Hong

Kong

Ltd.

925,500

1,520,248

Suning.com

Co.

Ltd.,

Class

A

107,400

135,626

TAL

Education

Group,

ADR(1)*

17,856

951,011

Tencent

Holdings

Ltd.

318,400

15,737,752

Trip.com

Group

Ltd.,

ADR(1)*

22,693

532,151

Tsingtao

Brewery

Co.

Ltd.,

Class

H

54,000

272,955

Vipshop

Holdings

Ltd.,

ADR(1)*

27,558

429,354

Weichai

Power

Co.

Ltd.,

Class

H

811,000

1,291,836

Wuliangye

Yibin

Co.

Ltd.,

Class

A

22,800

366,703

WuXi

AppTec

Co.

Ltd.,

Class

H(a)

9,200

111,834

Yonghui

Superstores

Co.

Ltd.,

Class

A

135,227

193,922

Yum

China

Holdings,

Inc.(1)

20,707

882,739

Zhongsheng

Group

Holdings

Ltd.

752,500

2,611,309

ZTE

Corp.,

Class

H*

697,800

2,129,855

ZTO

Express

Cayman,

Inc.,

ADR(1)*

20,269

536,723

109,556,790

—

Hong

Kong

-

0.1%

Kingboard

Laminates

Holdings

Ltd.

299,000

273,585

Hungary

-

0.1%

MOL

Hungarian

Oil

&

Gas

plc

59,392

348,503

India

-

6.6%

Ambuja

Cements

Ltd.*

205,822

423,126

Aurobindo

Pharma

Ltd.

32,944

177,772

Axis

Bank

Ltd.,

GDR(b)

12,578

311,826

Bharat

Petroleum

Corp.

Ltd.

74,615

312,266

Cipla

Ltd.

27,961

155,349

Colgate-Palmolive

India

Ltd.

9,190

151,625

Divi's

Laboratories

Ltd.

28,568

745,323

Dr

Reddy's

Laboratories

Ltd.,

ADR(1)

22,890

923,154

GAIL

India

Ltd.

750,721

753,651

HCL

Technologies

Ltd.

36,540

210,776

Hindalco

Industries

Ltd.

1,065,678

1,342,544

Hindustan

Unilever

Ltd.

76,021

2,305,489

Infosys

Ltd.,

ADR(1)

351,808

2,888,343

InterGlobe

Aviation

Ltd.(a)

118,436

1,676,575

Larsen

&

Toubro

Ltd.,

GDR(b)

9,010

97,819

Nestle

India

Ltd.

716

154,810

NTPC

Ltd.

396,880

441,429

Oil

&

Natural

Gas

Corp.

Ltd.

180,590

161,690

Reliance

Industries

Ltd.,

GDR(a)

54,551

1,670,760

State

Bank

of

India,

GDR*(b)

2,889

73,195

Sun

Pharmaceutical

Industries

Ltd.

29,841

137,831

Tata

Consultancy

Services

Ltd.

61,310

1,474,938

39

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

India

-

6.6%

(continued)

Tech

Mahindra

Ltd.

50,888

$

379,062

Wipro

Ltd.,

ADR(1)

321,967

998,098

Zee

Entertainment

Enterprises

Ltd.

840,620

1,368,024

19,335,475

—

Indonesia

-

2.2%

Adaro

Energy

Tbk

.

PT

15,836,800

946,288

Bank

Central

Asia

Tbk

.

PT

895,400

1,508,677

Bank

Mandiri

Persero

Tbk

.

PT

348,200

98,997

Bank

Rakyat

Indonesia

Persero

Tbk

.

PT

6,987,300

1,281,507

Bukit

Asam

Tbk

.

PT

1,663,500

219,874

Charoen

Pokphand

Indonesia

Tbk

.

PT

57,700

17,362

Indah

Kiat

Pulp

&

Paper

Corp.

Tbk

.

PT

365,400

89,223

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

343,800

214,439

Indofood

Sukses

Makmur

Tbk

.

PT

2,209,600

854,810

Telekomunikasi

Indonesia

Persero

Tbk

.

PT

3,895,400

756,552

United

Tractors

Tbk

.

PT

536,000

551,971

6,539,700

—

Malaysia

-

2.6%

Genting

Bhd.

576,900

498,984

Genting

Malaysia

Bhd.

999,700

463,676

Hartalega

Holdings

Bhd.

399,600

634,867

Hong

Leong

Bank

Bhd.

95,000

293,879

Malayan

Banking

Bhd.

1,612,500

2,782,046

MISC

Bhd.

289,200

496,163

Petronas

Gas

Bhd.

100

355

Public

Bank

Bhd.

338,600

1,245,635

RHB

Bank

Bhd.

594,700

647,095

Sime

Darby

Bhd.

780,900

307,452

Telekom

Malaysia

Bhd.

178,400

155,350

Tenaga

Nasional

Bhd.

73,700

205,116

7,730,618

—

Mexico

-

1.0%

Alfa

SAB

de

CV,

Class

A(1)

302,500

81,610

America

Movil

SAB

de

CV,

Class

L,

ADR(1)

73,131

861,483

Arca

Continental

SAB

de

CV(1)

33,300

134,211

Grupo

Bimbo

SAB

de

CV,

Series

A(1)

89,200

129,650

Grupo

Financiero

Banorte

SAB

de

CV,

Class

O(1)

39,300

107,683

Grupo

Televisa

SAB,

ADR(1)

127,466

739,303

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A(1)

140,700

213,044

Wal-Mart

de

Mexico

SAB

de

CV(1)

246,100

578,357

2,845,341

—

Philippines

-

0.3%

BDO

Unibank

,

Inc.

63,810

128,991

International

Container

Terminal

Services,

Inc.

104,200

152,374

JG

Summit

Holdings,

Inc.

91,990

94,394

INVESTMENTS

SHARES

VALUE

Philippines

-

0.3%

(continued)

SM

Investments

Corp.

22,495

$

359,855

735,614

—

Poland

-

1.6%

CD

Projekt

SA

39,384

2,712,433

Cyfrowy

Polsat

SA

82,668

473,639

Grupa

Lotos

SA

15,750

196,567

PGE

Polska

Grupa

Energetyczna

SA*

245,874

225,382

Polski

Koncern

Naftowy

ORLEN

SA

85,093

1,138,701

4,746,722

—

Qatar

-

0.4%

Industries

Qatar

QSC

29,520

53,749

Qatar

Islamic

Bank

SAQ

27,416

107,405

Qatar

National

Bank

QPSC

241,970

1,105,742

1,266,896

—

Russia

-

2.5%

Gazprom

PJSC,

ADR

327,090

1,483,268

LUKOIL

PJSC,

ADR

24,117

1,421,256

MMC

Norilsk

Nickel

PJSC,

ADR(1)

34,197

829,619

MMC

Norilsk

Nickel

PJSC,

ADR

19,737

488,892

Novatek

PJSC,

GDR(b)

5,992

679,451

Novolipetsk

Steel

PJSC,

GDR(b)

21,079

327,673

PhosAgro

PJSC,

GDR(b)

8,257

84,344

Polyus

PJSC,

GDR(b)

2,242

152,149

Rosneft

Oil

Co.

PJSC,

GDR(b)

78,075

314,264

Severstal

PJSC,

GDR(b)

47,266

517,855

Surgutneftegas

PJSC,

ADR

101,167

419,157

Tatneft

PJSC,

ADR

17,879

745,992

7,463,920

—

Saudi

Arabia

-

3.3%

Advanced

Petrochemical

Co.

8,644

101,782

Al

Rajhi

Bank

212,576

3,043,852

Alinma

Bank*

100,769

551,709

Almarai

Co.

JSC

13,044

162,438

Arab

National

Bank

82,369

397,061

Bank

AlBilad

29,266

157,647

Bank

Al-

Jazira

185,775

557,301

Banque

Saudi

Fransi

35,239

241,880

Etihad

Etisalat

Co.*

93,455

537,044

Jarir

Marketing

Co.

6,399

216,202

National

Commercial

Bank

82,771

762,951

Riyad

Bank

141,090

560,622

Samba

Financial

Group

108,244

576,661

Saudi

Arabian

Fertilizer

Co.

8,494

139,339

Saudi

Arabian

Oil

Co.(a)

37,521

301,107

Saudi

Basic

Industries

Corp.

47,654

881,947

Saudi

British

Bank

(The)

53,432

285,349

Saudi

Industrial

Investment

Group

43,595

182,605

9,657,497

—

South

Africa

-

3.0%

Absa

Group

Ltd.

28,939

120,394

Anglo

American

Platinum

Ltd.

19,985

834,825

Aspen

Pharmacare

Holdings

Ltd.*

67,212

351,559

Capitec

Bank

Holdings

Ltd.

1,863

91,641

Clicks

Group

Ltd.

43,220

622,952

40

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

South

Africa

-

3.0%

(continued)

Exxaro

Resources

Ltd.

77,048

$

422,350

Foschini

Group

Ltd.

(The)

137,848

514,770

Investec

Ltd.

248,800

471,225

Kumba

Iron

Ore

Ltd.

95,972

1,496,468

Life

Healthcare

Group

Holdings

Ltd.

150,607

155,445

Momentum

Metropolitan

Holdings

199,992

174,324

Mr

Price

Group

Ltd.

15,070

95,631

MTN

Group

Ltd.

255,250

684,416

MultiChoice

Group*

104,866

498,345

Ninety

One

Ltd.*

88,940

170,814

Pick

n

Pay

Stores

Ltd.

68,637

232,557

Remgro

Ltd.

32,110

219,534

RMB

Holdings

Ltd.

112,143

306,638

SPAR

Group

Ltd.

(The)

21,749

221,010

Standard

Bank

Group

Ltd.

73,056

418,108

Telkom

SA

SOC

Ltd.

648,761

738,440

8,841,446

—

South

Korea

-

11.0%

BGF

retail

Co.

Ltd.

3,945

427,314

BNK

Financial

Group,

Inc.

75,063

272,405

Cheil

Worldwide,

Inc.

6,430

83,325

Daelim

Industrial

Co.

Ltd.

23,913

1,433,848

DB

Insurance

Co.

Ltd.

6,917

195,996

Doosan

Bobcat,

Inc.

17,542

257,198

Hana

Financial

Group,

Inc.

24,309

457,340

Hanwha

Corp.

32,994

408,998

Hyundai

Department

Store

Co.

Ltd.

13,196

634,541

Hyundai

Glovis

Co.

Ltd.

4,858

359,502

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

45,360

838,732

Hyundai

Mobis

Co.

Ltd.

10,214

1,412,881

Industrial

Bank

of

Korea

13,833

84,521

KB

Financial

Group,

Inc.

8,031

225,864

Kia

Motors

Corp.

80,083

1,685,661

Korea

Investment

Holdings

Co.

Ltd.

31,949

1,288,080

Korea

Zinc

Co.

Ltd.

3,506

1,020,308

Kumho

Petrochemical

Co.

Ltd.

2,902

153,200

LG

Corp.

2,896

140,282

LG

Electronics,

Inc.

69,921

2,749,149

LG

Innotek

Co.

Ltd.

3,653

336,170

LG

Uplus

Corp.

12,221

107,365

Meritz

Securities

Co.

Ltd.

135,390

312,449

Pearl

Abyss

Corp.*

1,228

179,140

Posco

International

Corp.

42,693

395,359

S-1

Corp.

9,321

615,117

Samsung

Electronics

Co.

Ltd.

330,132

12,836,035

Samsung

Securities

Co.

Ltd.

5,567

133,373

Shinsegae

,

Inc.

1,396

247,548

SK

Hynix,

Inc.

28,212

1,907,246

SK

Telecom

Co.

Ltd.

3,826

556,476

Woori

Financial

Group,

Inc.

100,864

627,532

32,382,955

—

Taiwan

-

12.6%

Accton

Technology

Corp.

109,000

583,214

Asia

Cement

Corp.

513,000

666,055

Asustek

Computer,

Inc.

39,000

264,066

Catcher

Technology

Co.

Ltd.

165,000

1,055,482

Cathay

Financial

Holding

Co.

Ltd.

232,000

270,012

INVESTMENTS

SHARES

VALUE

Taiwan

-

12.6%

(continued)

China

Life

Insurance

Co.

Ltd.

1,982,995

$

1,096,793

CTBC

Financial

Holding

Co.

Ltd.

1,322,480

778,729

E.Sun

Financial

Holding

Co.

Ltd.

1,090,740

870,689

Eva

Airways

Corp.

1,720,630

502,073

Feng

TAY

Enterprise

Co.

Ltd.

60,200

257,836

First

Financial

Holding

Co.

Ltd.

1,510,094

975,825

Fubon

Financial

Holding

Co.

Ltd.

289,000

357,212

Hua

Nan

Financial

Holdings

Co.

Ltd.

297,527

177,000

Mega

Financial

Holding

Co.

Ltd.

1,027,000

964,353

Nanya

Technology

Corp.

193,000

339,677

Novatek

Microelectronics

Corp.

42,000

236,805

Pegatron

Corp.

121,000

230,900

Pou

Chen

Corp.

902,000

762,388

Powertech

Technology,

Inc.

247,000

699,505

Realtek

Semiconductor

Corp.*

135,000

969,151

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

158,943

205,762

Shin

Kong

Financial

Holding

Co.

Ltd.

1,466,018

367,689

SinoPac

Financial

Holdings

Co.

Ltd.

539,000

196,414

Taishin

Financial

Holding

Co.

Ltd.

1,423,037

547,818

Taiwan

Business

Bank

4,059,838

1,292,077

Taiwan

Cement

Corp.

833,614

1,082,626

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

395,153

238,632

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR(1)

287,233

13,726,864

Uni

-President

Enterprises

Corp.

542,000

1,173,114

United

Microelectronics

Corp.

6,749,000

3,025,992

Yuanta

Financial

Holding

Co.

Ltd.

1,563,000

797,997

Zhen

Ding

Technology

Holding

Ltd.

714,000

2,182,045

36,894,795

—

Thailand

-

3.0%

Advanced

Info

Service

PCL,

NVDR

468,100

2,838,146

Bangkok

Bank

PCL,

NVDR

357,500

1,091,487

Bangkok

Dusit

Medical

Services

PCL,

NVDR

223,300

127,861

Charoen

Pokphand

Foods

PCL,

NVDR

1,610,700

1,186,270

Home

Product

Center

PCL,

NVDR

378,800

126,817

Kasikornbank

PCL,

NVDR

38,700

107,634

Krung

Thai

Bank

PCL,

NVDR

4,072,600

1,404,296

Osotspa

PCL,

NVDR

75,300

81,762

PTT

Exploration

&

Production

PCL,

NVDR

86,100

175,238

Ratch

Group

PCL,

NVDR

221,600

383,835

Siam

Cement

PCL

(The),

NVDR

31,000

304,166

Siam

Commercial

Bank

PCL

(The),

NVDR

118,700

249,664

Thai

Union

Group

PCL,

NVDR

1,430,796

594,056

8,671,232

—

Turkey

-

0.3%

KOC

Holding

A/S

201,542

407,527

Turkiye

Is

Bankasi

A/S,

Class

C*

715,250

510,389

917,916

—

41

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

Arab

Emirates

-

0.3%

Abu

Dhabi

Commercial

Bank

PJSC

96,468

$

120,399

Emirates

Telecommunications

Group

Co.

PJSC

57,006

215,390

First

Abu

Dhabi

Bank

PJSC

163,896

422,583

758,372

—

United

States

-

0.9%

JBS

SA(1)

705,200

2,760,487

TOTAL

COMMON

STOCKS

(Cost

$279,625,084)

277,180,111

SHORT-TERM

INVESTMENTS

-

5.7%

INVESTMENT

COMPANIES

-

5.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(c)

(Cost

$16,837,668)

16,838,604

16,860,494

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.2%

(Cost

$296,462,752)

294,040,605

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.2)%(d)

(702,657)

NET

ASSETS

-

100.0%

$293,337,948

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

37,841,413

12.9

%

Consumer

Discretionary

43,313,363

14.8

Consumer

Staples

16,897,767

5.8

Energy

12,958,424

4.4

Financials

51,278,617

17.5

Health

Care

11,973,364

4.1

Industrials

20,372,784

6.9

Information

Technology

52,158,608

17.8

Materials

17,668,650

6.0

Real

Estate

7,277,751

2.5

Utilities

5,439,370

1.8

Short-Term

Investments

16,860,494

5.7

Total

Investments

In

Securities

At

Value

294,040,605

100.2

Liabilities

in

Excess

of

Other

Assets(d)

(702,657)

(0.2)

Net

Assets

$

293,337,948

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$9,612,760,

which

represents

approximately

3.28%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$3,215,383

or

1.10%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

330

6/2020

USD

$

13,907,850

$

459,855

$

459,855

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,630,253

$

1,630,253

42

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

98.1%

Aerospace

&

Defense

-

2.5%

Arconic

,

Inc.

43,650

$

701,019

HEICO

Corp.

14,823

1,105,944

Huntington

Ingalls

Industries,

Inc.

2,498

455,161

L3Harris

Technologies,

Inc.

16,775

3,021,513

Lockheed

Martin

Corp.

17,356

5,882,816

Northrop

Grumman

Corp.

7,693

2,327,517

Teledyne

Technologies,

Inc.*

3,130

930,455

TransDigm

Group,

Inc.

5,052

1,617,600

United

Technologies

Corp.

18,163

1,713,316

17,755,341

Air

Freight

&

Logistics

-

0.1%

Expeditors

International

of

Washington,

Inc.

7,296

486,789

Airlines

-

0.0%(a)

United

Airlines

Holdings,

Inc.*

10,658

336,260

Auto

Components

-

0.1%

Aptiv

plc

4,744

233,595

Gentex

Corp.

26,000

576,160

809,755

Automobiles

-

0.3%

Tesla,

Inc.*

4,026

2,109,624

Banks

-

2.6%

Bank

of

America

Corp.

38,262

812,302

Bank

of

Hawaii

Corp.

4,749

262,335

Citigroup,

Inc.

54,746

2,305,901

Commerce

Bancshares,

Inc.

15,240

767,334

JPMorgan

Chase

&

Co.

143,966

12,961,259

PNC

Financial

Services

Group,

Inc.

(The)

11,050

1,057,706

US

Bancorp

6,017

207,286

18,374,123

Beverages

-

2.1%

Brown-Forman

Corp.,

Class

B

15,992

887,716

Coca-Cola

Co.

(The)

128,839

5,701,126

Monster

Beverage

Corp.*

7,083

398,489

PepsiCo,

Inc.

66,756

8,017,396

15,004,727

Biotechnology

-

1.5%

AbbVie,

Inc.

13,437

1,023,765

Alnylam

Pharmaceuticals,

Inc.*

6,437

700,667

Amgen,

Inc.

16,549

3,354,979

Biogen,

Inc.*

931

294,550

Exact

Sciences

Corp.*

7,327

424,966

Incyte

Corp.*

5,468

400,422

Ionis

Pharmaceuticals,

Inc.*

5,905

279,188

Neurocrine

Biosciences,

Inc.*

3,607

312,186

Sarepta

Therapeutics,

Inc.*

3,306

323,393

Seattle

Genetics,

Inc.*

12,439

1,435,212

INVESTMENTS

SHARES

VALUE

Biotechnology

-

1.5%

(continued)

Vertex

Pharmaceuticals,

Inc.*

7,061

$

1,680,165

10,229,493

Building

Products

-

0.7%

Allegion

plc

5,355

492,767

Armstrong

World

Industries,

Inc.

3,000

238,260

Fortune

Brands

Home

&

Security,

Inc.

7,338

317,368

Johnson

Controls

International

plc

27,374

738,003

Lennox

International,

Inc.

2,424

440,659

Masco

Corp.

16,147

558,202

Owens

Corning

7,017

272,330

Trane

Technologies

plc

18,684

1,543,112

4,600,701

Capital

Markets

-

2.8%

Ameriprise

Financial,

Inc.

3,221

330,088

BlackRock,

Inc.

1,111

488,807

CME

Group,

Inc.

2,914

503,860

FactSet

Research

Systems,

Inc.

2,228

580,795

Interactive

Brokers

Group,

Inc.,

Class

A

5,521

238,342

Intercontinental

Exchange,

Inc.

23,384

1,888,258

LPL

Financial

Holdings,

Inc.

16,360

890,475

MarketAxess

Holdings,

Inc.

6,548

2,177,668

Moody's

Corp.

9,727

2,057,260

Morgan

Stanley

20,758

705,772

Morningstar,

Inc.

7,785

905,006

MSCI,

Inc.

11,704

3,381,988

Nasdaq,

Inc.

14,311

1,358,829

S&P

Global,

Inc.

13,933

3,414,282

T.

Rowe

Price

Group,

Inc.

3,438

335,721

Virtu

Financial,

Inc.,

Class

A

14,200

295,644

19,552,795

Chemicals

-

1.9%

Air

Products

&

Chemicals,

Inc.

16,508

3,295,162

Celanese

Corp.

7,248

531,931

CF

Industries

Holdings,

Inc.

8,286

225,379

Ecolab,

Inc.

6,808

1,060,891

FMC

Corp.

7,791

636,447

Linde

plc

(United

Kingdom)

30,504

5,277,192

NewMarket

Corp.

1,083

414,648

Scotts

Miracle-

Gro

Co.

(The)

2,756

282,214

Sherwin-Williams

Co.

(The)

4,251

1,953,419

13,677,283

Commercial

Services

&

Supplies

-

1.1%

Cintas

Corp.

15,131

2,620,992

Copart

,

Inc.*

22,545

1,544,783

Republic

Services,

Inc.

19,166

1,438,600

Rollins,

Inc.(b)

17,132

619,151

Waste

Management,

Inc.

20,045

1,855,365

8,078,891

43

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Communications

Equipment

-

0.5%

Ciena

Corp.*

7,110

$

283,049

Cisco

Systems,

Inc.

6,101

239,830

Motorola

Solutions,

Inc.

13,687

1,819,276

Ubiquiti,

Inc.(b)

7,461

1,056,329

3,398,484

Construction

&

Engineering

-

0.2%

Jacobs

Engineering

Group,

Inc.

11,132

882,434

Quanta

Services,

Inc.

9,010

285,887

1,168,321

Construction

Materials

-

0.4%

Martin

Marietta

Materials,

Inc.

5,829

1,103,022

Vulcan

Materials

Co.

12,823

1,385,781

2,488,803

Consumer

Finance

-

0.3%

American

Express

Co.

8,106

693,955

Credit

Acceptance

Corp.*(b)

996

254,667

LendingTree,

Inc.*(b)

1,083

198,611

OneMain

Holdings,

Inc.

15,488

296,131

Santander

Consumer

USA

Holdings,

Inc.

27,419

381,398

SLM

Corp.

35,013

251,744

Synchrony

Financial

23,723

381,703

2,458,209

Containers

&

Packaging

-

0.6%

Avery

Dennison

Corp.

10,046

1,023,386

Ball

Corp.

35,437

2,291,356

Crown

Holdings,

Inc.*

10,062

583,999

Packaging

Corp.

of

America

5,028

436,581

4,335,322

Diversified

Consumer

Services

-

0.1%

Graham

Holdings

Co.,

Class

B

737

251,442

Service

Corp.

International

11,226

439,049

ServiceMaster

Global

Holdings,

Inc.*

9,354

252,558

943,049

Diversified

Financial

Services

-

0.0%(a)

Equitable

Holdings,

Inc.

18,199

262,976

Diversified

Telecommunication

Services

-

1.4%

AT&T,

Inc.

343,676

10,018,155

Electric

Utilities

-

2.8%

Alliant

Energy

Corp.

5,218

251,977

American

Electric

Power

Co.,

Inc.

14,197

1,135,476

Entergy

Corp.

17,534

1,647,670

Eversource

Energy

23,290

1,821,511

FirstEnergy

Corp.

22,137

887,030

NextEra

Energy,

Inc.

30,246

7,277,792

NRG

Energy,

Inc.

12,491

340,505

OGE

Energy

Corp.

20,309

624,096

INVESTMENTS

SHARES

VALUE

Electric

Utilities

-

2.8%

(continued)

Southern

Co.

(The)

67,561

$

3,657,752

Xcel

Energy,

Inc.

27,920

1,683,576

19,327,385

Electrical

Equipment

-

0.2%

AMETEK,

Inc.

7,316

526,898

Eaton

Corp.

plc

7,517

583,996

1,110,894

Electronic

Equipment,

Instruments

&

Components

-

1.0%

Amphenol

Corp.,

Class

A

7,131

519,707

Arrow

Electronics,

Inc.*

6,077

315,214

CDW

Corp.

25,023

2,333,895

Dolby

Laboratories,

Inc.,

Class

A

9,601

520,470

FLIR

Systems,

Inc.

9,790

312,203

Jabil,

Inc.

10,745

264,112

Keysight

Technologies,

Inc.*

17,742

1,484,651

Zebra

Technologies

Corp.,

Class

A*

6,156

1,130,242

6,880,494

Entertainment

-

1.2%

Activision

Blizzard,

Inc.*

17,769

1,056,900

Live

Nation

Entertainment,

Inc.*

8,972

407,867

Roku,

Inc.*

14,843

1,298,466

Take-Two

Interactive

Software,

Inc.*

2,747

325,822

Walt

Disney

Co.

(The)

46,593

4,500,884

Zynga,

Inc.,

Class

A*

102,499

702,118

8,292,057

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.8%

Alexandria

Real

Estate

Equities,

Inc.

5,690

779,871

American

Campus

Communities,

Inc.

9,696

269,064

American

Homes

4

Rent,

Class

A

20,868

484,138

American

Tower

Corp.

25,989

5,659,105

Americold

Realty

Trust

9,010

306,700

Apartment

Investment

&

Management

Co.,

Class

A

12,593

442,644

Camden

Property

Trust

5,220

413,633

CoreSite

Realty

Corp.

4,925

570,808

Crown

Castle

International

Corp.

7,872

1,136,717

CubeSmart

17,258

462,342

CyrusOne

,

Inc.

15,572

961,571

Duke

Realty

Corp.

14,674

475,144

Equinix

,

Inc.

3,640

2,273,435

Equity

LifeStyle

Properties,

Inc.

43,288

2,488,194

Equity

Residential

23,295

1,437,534

Extra

Space

Storage,

Inc.

6,733

644,752

Healthpeak

Properties,

Inc.

41,289

984,743

Iron

Mountain,

Inc.

13,553

322,561

Kimco

Realty

Corp.

24,735

239,187

Lamar

Advertising

Co.,

Class

A

10,493

538,081

Life

Storage,

Inc.

7,121

673,291

Medical

Properties

Trust,

Inc.

44,470

768,886

44

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.8%

(continued)

Mid-America

Apartment

Communities,

Inc.

6,421

$

661,556

National

Retail

Properties,

Inc.

13,848

445,767

Omega

Healthcare

Investors,

Inc.

26,779

710,715

Prologis,

Inc.

32,281

2,594,424

Realty

Income

Corp.

6,977

347,873

SBA

Communications

Corp.

8,928

2,410,292

Spirit

Realty

Capital,

Inc.

12,829

335,478

STORE

Capital

Corp.

38,997

706,626

Sun

Communities,

Inc.

12,779

1,595,458

UDR,

Inc.

14,930

545,542

Welltower

,

Inc.

8,176

374,297

WP

Carey,

Inc.

8,635

501,521

33,561,950

Food

&

Staples

Retailing

-

3.0%

Casey's

General

Stores,

Inc.

4,019

532,477

Costco

Wholesale

Corp.

24,785

7,066,947

Kroger

Co.

(The)

12,504

376,621

Sysco

Corp.

13,754

627,595

Walmart,

Inc.

107,781

12,246,077

20,849,717

Food

Products

-

1.6%

Campbell

Soup

Co.

19,885

917,892

Conagra

Brands,

Inc.

30,349

890,440

General

Mills,

Inc.

19,920

1,051,178

Hershey

Co.

(The)

15,126

2,004,195

Kellogg

Co.

3,042

182,490

Lamb

Weston

Holdings,

Inc.

6,587

376,118

Mondelez

International,

Inc.,

Class

A

76,154

3,813,792

Pilgrim's

Pride

Corp.*

15,327

277,725

Post

Holdings,

Inc.*

5,197

431,195

Tyson

Foods,

Inc.,

Class

A

26,211

1,516,830

11,461,855

Gas

Utilities

-

0.1%

Atmos

Energy

Corp.

5,458

541,597

Health

Care

Equipment

&

Supplies

-

3.8%

Abbott

Laboratories

5,205

410,726

Baxter

International,

Inc.

8,753

710,656

Boston

Scientific

Corp.*

16,476

537,612

Cooper

Cos.,

Inc.

(The)

1,471

405,510

Danaher

Corp.

43,470

6,016,683

Dentsply

Sirona,

Inc.

8,767

340,423

DexCom

,

Inc.*

6,893

1,856,078

Edwards

Lifesciences

Corp.*

14,493

2,733,670

Hologic

,

Inc.*

8,007

281,046

IDEXX

Laboratories,

Inc.*

4,363

1,056,893

Insulet

Corp.*

8,253

1,367,357

Masimo

Corp.*

4,014

710,960

Medtronic

plc

48,660

4,388,159

Penumbra,

Inc.*

3,374

544,327

ResMed

,

Inc.

10,915

1,607,670

INVESTMENTS

SHARES

VALUE

Health

Care

Equipment

&

Supplies

-

3.8%

(continued)

Stryker

Corp.

7,726

$

1,286,302

Teleflex,

Inc.

5,357

1,568,851

West

Pharmaceutical

Services,

Inc.

1,371

208,735

Zimmer

Biomet

Holdings,

Inc.

3,394

343,065

26,374,723

Health

Care

Providers

&

Services

-

0.9%

Anthem,

Inc.

987

224,089

Chemed

Corp.

1,649

714,347

CVS

Health

Corp.

7,230

428,956

DaVita,

Inc.*

6,022

458,033

Humana,

Inc.

2,798

878,628

Molina

Healthcare,

Inc.*

2,619

365,901

Premier,

Inc.,

Class

A*

6,727

220,107

Quest

Diagnostics,

Inc.

2,710

217,613

UnitedHealth

Group,

Inc.

10,964

2,734,202

Universal

Health

Services,

Inc.,

Class

B

3,522

348,960

6,590,836

Health

Care

Technology

-

0.3%

Veeva

Systems,

Inc.,

Class

A*

13,239

2,070,182

Hotels,

Restaurants

&

Leisure

-

1.4%

Aramark

14,075

281,078

Chipotle

Mexican

Grill,

Inc.*

2,465

1,613,096

Domino's

Pizza,

Inc.

1,236

400,550

Dunkin'

Brands

Group,

Inc.(b)

5,817

308,883

Hilton

Worldwide

Holdings,

Inc.

14,572

994,393

Hyatt

Hotels

Corp.,

Class

A(b)

6,571

314,751

Planet

Fitness,

Inc.,

Class

A*

9,059

441,173

Starbucks

Corp.

65,097

4,279,477

Vail

Resorts,

Inc.

3,751

554,060

Yum!

Brands,

Inc.

6,047

414,401

9,601,862

Household

Durables

-

0.9%

DR

Horton,

Inc.

28,751

977,534

Garmin

Ltd.

20,885

1,565,540

Lennar

Corp.,

Class

A

19,877

759,301

NVR,

Inc.*

641

1,646,800

PulteGroup,

Inc.

37,285

832,201

Tempur

Sealy

International,

Inc.*

9,495

415,026

6,196,402

Household

Products

-

2.3%

Church

&

Dwight

Co.,

Inc.

3,863

247,927

Energizer

Holdings,

Inc.(b)

9,507

287,587

Kimberly-Clark

Corp.

10,267

1,312,841

Procter

&

Gamble

Co.

(The)

132,060

14,526,600

16,374,955

45

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

AES

Corp.

43,974

$

598,047

Vistra

Energy

Corp.

19,116

305,091

903,138

Industrial

Conglomerates

-

1.0%

Carlisle

Cos.,

Inc.

1,822

228,260

General

Electric

Co.

400,223

3,177,771

Honeywell

International,

Inc.

21,842

2,922,241

Roper

Technologies,

Inc.

2,612

814,448

7,142,720

Insurance

-

3.1%

Aflac,

Inc.

19,367

663,126

Allstate

Corp.

(The)

8,850

811,810

American

Financial

Group,

Inc.

11,412

799,753

American

International

Group,

Inc.

19,624

475,882

Aon

plc

14,447

2,384,333

Arch

Capital

Group

Ltd.*

27,319

777,499

Arthur

J

Gallagher

&

Co.

7,306

595,512

Assurant,

Inc.

6,148

639,945

Assured

Guaranty

Ltd.

12,466

321,498

Axis

Capital

Holdings

Ltd.

7,392

285,701

Chubb

Ltd.

11,578

1,293,147

Cincinnati

Financial

Corp.

21,685

1,636,133

Erie

Indemnity

Co.,

Class

A

5,745

851,639

Fidelity

National

Financial,

Inc.

22,711

565,050

Globe

Life,

Inc.

8,659

623,188

Hanover

Insurance

Group,

Inc.

(The)

11,713

1,060,964

Hartford

Financial

Services

Group,

Inc.

(The)

11,296

398,071

Markel

Corp.*

611

566,941

Marsh

&

McLennan

Cos.,

Inc.

23,563

2,037,257

MetLife,

Inc.

12,527

382,950

Progressive

Corp.

(The)

23,283

1,719,217

RenaissanceRe

Holdings

Ltd.

5,603

836,640

Travelers

Cos.,

Inc.

(The)

7,052

700,616

WR

Berkley

Corp.

20,989

1,094,996

21,521,868

Interactive

Media

&

Services

-

2.4%

Facebook,

Inc.,

Class

A*

85,962

14,338,462

IAC/InterActiveCorp*

1,525

273,326

Match

Group,

Inc.*(b)

28,189

1,861,601

Zillow

Group,

Inc.,

Class

C*(b)

7,621

274,508

16,747,897

Internet

&

Direct

Marketing

Retail

-

0.1%

eBay,

Inc.

6,812

204,769

Expedia

Group,

Inc.

3,949

222,210

426,979

INVESTMENTS

SHARES

VALUE

IT

Services

-

8.7%

Accenture

plc,

Class

A

18,822

$

3,072,880

Akamai

Technologies,

Inc.*

9,606

878,853

Amdocs

Ltd.

12,968

712,851

Automatic

Data

Processing,

Inc.

6,315

863,134

Black

Knight,

Inc.*

6,963

404,272

Booz

Allen

Hamilton

Holding

Corp.

14,749

1,012,371

Broadridge

Financial

Solutions,

Inc.

8,136

771,537

CACI

International,

Inc.,

Class

A*

1,048

221,285

CoreLogic

,

Inc.

13,521

412,931

EPAM

Systems,

Inc.*

5,901

1,095,580

Euronet

Worldwide,

Inc.*

4,786

410,256

Fidelity

National

Information

Services,

Inc.

30,117

3,663,432

Fiserv,

Inc.*

38,095

3,618,644

FleetCor

Technologies,

Inc.*

5,093

950,048

Gartner,

Inc.*

2,268

225,825

Genpact

Ltd.

30,485

890,162

Global

Payments,

Inc.

20,924

3,017,869

Jack

Henry

&

Associates,

Inc.

5,574

865,308

Leidos

Holdings,

Inc.

9,242

847,029

Mastercard

,

Inc.,

Class

A

56,184

13,571,807

MongoDB,

Inc.*(b)

12,414

1,695,008

Okta

,

Inc.*

12,809

1,566,028

Paychex,

Inc.

12,948

814,688

PayPal

Holdings,

Inc.*

10,414

997,036

Sabre

Corp.

6,543

38,800

Switch,

Inc.,

Class

A

15,211

219,495

Twilio

,

Inc.,

Class

A*

2,894

258,984

VeriSign,

Inc.*

3,157

568,544

Visa,

Inc.,

Class

A

103,170

16,622,750

Western

Union

Co.

(The)

17,403

315,516

WEX,

Inc.*

3,405

355,993

60,958,916

Leisure

Products

-

0.1%

Hasbro,

Inc.

6,091

435,811

Life

Sciences

Tools

&

Services

-

1.7%

Agilent

Technologies,

Inc.

4,263

305,316

Bio-Rad

Laboratories,

Inc.,

Class

A*

4,869

1,706,877

Bio-

Techne

Corp.

2,644

501,355

Bruker

Corp.

19,991

716,877

Charles

River

Laboratories

International,

Inc.*

5,176

653,263

IQVIA

Holdings,

Inc.*

4,015

433,058

Mettler

-Toledo

International,

Inc.*

719

496,477

PerkinElmer,

Inc.

7,350

553,308

PRA

Health

Sciences,

Inc.*

4,114

341,626

Thermo

Fisher

Scientific,

Inc.

21,865

6,200,914

Waters

Corp.*

1,181

215,001

12,124,072

Machinery

-

1.0%

Crane

Co.

5,907

290,506

Cummins,

Inc.

2,965

401,224

46

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Machinery

-

1.0%

(continued)

Deere

&

Co.

2,145

$

296,353

Dover

Corp.

6,449

541,329

Illinois

Tool

Works,

Inc.

7,995

1,136,250

Ingersoll

Rand,

Inc.*

30,526

757,045

Nordson

Corp.

5,174

698,852

Oshkosh

Corp.(b)

4,995

321,328

PACCAR,

Inc.

7,323

447,655

Toro

Co.

(The)

15,902

1,035,061

Woodward,

Inc.(b)

4,194

249,292

Xylem,

Inc.

8,340

543,184

6,718,079

Media

-

1.7%

Altice

USA,

Inc.,

Class

A*

36,506

813,719

Cable

One,

Inc.

1,136

1,867,595

Charter

Communications,

Inc.,

Class

A*

15,029

6,557,303

Comcast

Corp.,

Class

A

29,383

1,010,188

Liberty

Broadband

Corp.,

Class

C*

6,124

678,049

Nexstar

Media

Group,

Inc.,

Class

A

4,507

260,189

Sirius

XM

Holdings,

Inc.(b)

96,070

474,586

11,661,629

Metals

&

Mining

-

0.4%

Newmont

Corp.

29,707

1,345,133

Reliance

Steel

&

Aluminum

Co.

6,974

610,853

Royal

Gold,

Inc.

7,028

616,426

2,572,412

Multiline

Retail

-

1.0%

Dollar

General

Corp.

20,871

3,151,730

Dollar

Tree,

Inc.*

3,575

262,655

Ollie's

Bargain

Outlet

Holdings,

Inc.*

5,702

264,231

Target

Corp.

34,438

3,201,701

6,880,317

Multi-Utilities

-

0.6%

CMS

Energy

Corp.

6,335

372,181

Dominion

Energy,

Inc.

5,647

407,657

MDU

Resources

Group,

Inc.

15,343

329,875

NiSource,

Inc.

16,210

404,764

Sempra

Energy

7,766

877,480

WEC

Energy

Group,

Inc.

22,177

1,954,459

4,346,416

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Hess

Corp.

10,085

335,830

Kinder

Morgan,

Inc.

39,503

549,882

885,712

Personal

Products

-

0.5%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

23,823

3,795,957

INVESTMENTS

SHARES

VALUE

Pharmaceuticals

-

1.8%

Bristol-Myers

Squibb

Co.

104,728

$

5,837,539

Horizon

Therapeutics

plc*

16,978

502,888

Merck

&

Co.,

Inc.

23,968

1,844,098

Zoetis,

Inc.

35,232

4,146,454

12,330,979

Professional

Services

-

0.8%

CoStar

Group,

Inc.*

3,998

2,347,665

IHS

Markit

Ltd.

10,077

604,620

TransUnion

21,521

1,424,260

Verisk

Analytics,

Inc.

11,041

1,538,895

5,915,440

Real

Estate

Management

&

Development

-

0.1%

CBRE

Group,

Inc.,

Class

A*

11,886

448,221

Road

&

Rail

-

0.5%

AMERCO

1,765

512,821

CSX

Corp.

5,887

337,325

JB

Hunt

Transport

Services,

Inc.

2,973

274,200

Kansas

City

Southern

2,019

256,777

Norfolk

Southern

Corp.

2,703

394,638

Old

Dominion

Freight

Line,

Inc.

9,815

1,288,251

Union

Pacific

Corp.

3,328

469,381

3,533,393

Semiconductors

&

Semiconductor

Equipment

-

5.2%

Advanced

Micro

Devices,

Inc.*

72,226

3,284,839

Analog

Devices,

Inc.

5,579

500,157

Applied

Materials,

Inc.

63,171

2,894,495

Broadcom,

Inc.

2,629

623,336

Entegris

,

Inc.

9,800

438,746

Intel

Corp.

36,292

1,964,123

KLA

Corp.

13,400

1,926,116

Lam

Research

Corp.

13,261

3,182,640

Marvell

Technology

Group

Ltd.

46,864

1,060,532

Maxim

Integrated

Products,

Inc.

9,734

473,170

Microchip

Technology,

Inc.

5,833

395,477

Micron

Technology,

Inc.*

62,122

2,612,851

Monolithic

Power

Systems,

Inc.

3,941

659,960

NVIDIA

Corp.

31,275

8,244,090

Qorvo

,

Inc.*

6,677

538,367

QUALCOMM,

Inc.

57,443

3,886,019

Skyworks

Solutions,

Inc.

5,697

509,198

Teradyne,

Inc.

20,819

1,127,765

Texas

Instruments,

Inc.

15,618

1,560,707

Universal

Display

Corp.

6,050

797,269

36,679,857

Software

-

12.8%

Adobe,

Inc.*

19,697

6,268,373

Alteryx,

Inc.,

Class

A*(b)

15,583

1,483,034

ANSYS,

Inc.*

5,600

1,301,832

Aspen

Technology,

Inc.*

3,695

351,284

Atlassian

Corp.

plc,

Class

A*

9,311

1,278,028

47

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Software

-

12.8%

(continued)

Autodesk,

Inc.*

3,289

$

513,413

Avalara,

Inc.*

15,051

1,122,805

Cadence

Design

Systems,

Inc.*

27,356

1,806,590

CDK

Global,

Inc.

9,038

296,898

Ceridian

HCM

Holding,

Inc.*

7,631

382,084

Coupa

Software,

Inc.*

12,936

1,807,547

DocuSign,

Inc.*

15,637

1,444,859

Fair

Isaac

Corp.*

2,575

792,302

Fortinet,

Inc.*

10,774

1,090,006

Guidewire

Software,

Inc.*

3,915

310,499

Intuit,

Inc.

8,753

2,013,190

Microsoft

Corp.

325,842

51,388,542

NortonLifeLock

,

Inc.

25,570

478,415

Nuance

Communications,

Inc.*

26,590

446,180

Oracle

Corp.

10,845

524,139

Paycom

Software,

Inc.*

8,450

1,706,984

Paylocity

Holding

Corp.*

6,023

531,951

PTC,

Inc.*

4,875

298,399

RealPage

,

Inc.*

6,574

347,962

RingCentral,

Inc.,

Class

A*

13,264

2,810,774

ServiceNow

,

Inc.*

14,145

4,053,674

Smartsheet

,

Inc.,

Class

A*

21,985

912,597

Splunk

,

Inc.*

2,413

304,593

SS&C

Technologies

Holdings,

Inc.

10,271

450,075

Synopsys,

Inc.*

12,192

1,570,208

Trade

Desk,

Inc.

(The),

Class

A*

5,173

998,389

Tyler

Technologies,

Inc.*

823

244,069

Zendesk

,

Inc.*

6,406

410,048

Zscaler

,

Inc.*

3,963

241,188

89,980,931

Specialty

Retail

-

2.0%

Advance

Auto

Parts,

Inc.

2,515

234,700

AutoZone,

Inc.*

1,837

1,554,102

Best

Buy

Co.,

Inc.

9,385

534,945

Burlington

Stores,

Inc.*

6,149

974,371

CarMax,

Inc.*

7,332

394,682

Carvana

Co.*(b)

23,302

1,283,707

Dick's

Sporting

Goods,

Inc.

12,079

256,799

Five

Below,

Inc.*

3,930

276,593

Floor

&

Decor

Holdings,

Inc.,

Class

A*

13,979

448,586

Home

Depot,

Inc.

(The)

23,200

4,331,672

O'Reilly

Automotive,

Inc.*

1,030

310,081

Ross

Stores,

Inc.

6,844

595,223

TJX

Cos.,

Inc.

(The)

37,493

1,792,540

Tractor

Supply

Co.

4,465

377,516

Ulta

Beauty,

Inc.*

1,530

268,821

Williams-Sonoma,

Inc.

8,598

365,587

13,999,925

Technology

Hardware,

Storage

&

Peripherals

-

7.2%

Apple,

Inc.

192,795

49,025,841

Dell

Technologies,

Inc.,

Class

C*

6,955

275,070

Western

Digital

Corp.

12,354

514,174

INVESTMENTS

SHARES

VALUE

Technology

Hardware,

Storage

&

Peripherals

-

7.2%

(continued)

Xerox

Holdings

Corp.

19,697

$

373,061

50,188,146

Textiles,

Apparel

&

Luxury

Goods

-

0.6%

Columbia

Sportswear

Co.(b)

4,328

301,965

Lululemon

Athletica,

Inc.*

12,601

2,388,519

NIKE,

Inc.,

Class

B

12,026

995,031

Skechers

U.S.A.,

Inc.,

Class

A*

19,369

459,820

4,145,335

Thrifts

&

Mortgage

Finance

-

0.1%

TFS

Financial

Corp.

41,075

627,215

Trading

Companies

&

Distributors

-

0.3%

Fastenal

Co.

31,130

972,812

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

4,795

263,581

United

Rentals,

Inc.*

2,680

275,772

Watsco

,

Inc.

3,619

571,911

WW

Grainger,

Inc.

1,054

261,919

2,345,995

Water

Utilities

-

0.4%

American

Water

Works

Co.,

Inc.

15,464

1,848,876

Essential

Utilities,

Inc.

15,473

629,751

2,478,627

Wireless

Telecommunication

Services

-

0.3%

Telephone

&

Data

Systems,

Inc.

13,444

225,321

T-Mobile

US,

Inc.*

18,184

1,525,638

United

States

Cellular

Corp.*

15,170

444,329

2,195,288

TOTAL

COMMON

STOCKS

(Cost

$612,187,932)

687,315,285

SHORT-TERM

INVESTMENTS

-

1.7%

INVESTMENT

COMPANIES

-

1.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)

(Cost

$11,754,291)

11,755,274

11,770,556

48

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

1.2%

Investment

Companies

-

1.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(c)(d)

2,029,298

$

2,029,298

Limited

Purpose

Cash

Investment

Fund

0.85%(c)(d)

6,190,378

6,198,426

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$8,219,676)

8,227,724

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

101.0%

(Cost

$632,161,899)

707,313,565

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(1.0)%(e)

(6,680,783)

NET

ASSETS

-

100.0%

$700,632,782

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

48,915,027

7.0

%

Consumer

Discretionary

45,549,060

6.5

Consumer

Staples

67,487,211

9.6

Energy

885,712

0.1

Financials

62,797,185

9.0

Health

Care

69,720,285

10.0

Industrials

59,192,823

8.4

Information

Technology

248,086,828

35.4

Materials

23,073,820

3.3

Real

Estate

34,010,171

4.9

Utilities

27,597,163

3.9

Short-Term

Investments

11,770,556

1.7

Securities

Lending

Collateral

8,227,724

1.2

Total

Investments

In

Securities

At

Value

707,313,565

101.0

Liabilities

in

Excess

of

Other

Assets(e)

(6,680,783)

(1.0)

Net

Assets

$

700,632,782

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$8,034,053.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

48

6/2020

USD

$

6,167,280

$

471,639

$

471,639

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

132,578

$

132,578

49

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

94.9%

Aerospace

&

Defense

-

1.8%

Aerojet

Rocketdyne

Holdings,

Inc.*

18,628

$

779,209

Axon

Enterprise,

Inc.*

11,789

834,308

Ducommun,

Inc.*

6,758

167,936

Kratos

Defense

&

Security

Solutions,

Inc.*

13,074

180,944

Maxar

Technologies,

Inc.

19,507

208,335

Mercury

Systems,

Inc.*

13,223

943,329

Moog,

Inc.,

Class

A

1,519

76,755

Park

Aerospace

Corp.

6,608

83,261

Triumph

Group,

Inc.

16,086

108,741

Vectrus

,

Inc.*

4,424

183,198

3,566,016

Air

Freight

&

Logistics

-

0.2%

Echo

Global

Logistics,

Inc.*

2,940

50,215

Forward

Air

Corp.

2,309

116,951

Hub

Group,

Inc.,

Class

A*

1,475

67,069

Radiant

Logistics,

Inc.*

29,160

112,849

347,084

Airlines

-

0.2%

Allegiant

Travel

Co.

3,828

313,130

SkyWest,

Inc.

6,435

168,533

481,663

Auto

Components

-

0.4%

Gentherm

,

Inc.*

2,745

86,193

LCI

Industries

5,360

358,209

Standard

Motor

Products,

Inc.

2,573

106,960

Stoneridge,

Inc.*

5,122

85,793

Visteon

Corp.*

1,851

88,811

725,966

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

9,686

269,368

Banks

-

2.3%

1st

Source

Corp.

2,393

77,605

Atlantic

Union

Bankshares

Corp.

3,959

86,702

BancFirst

Corp.

5,016

167,384

Bancorp,

Inc.

(The)*

13,272

80,561

Bryn

Mawr

Bank

Corp.

2,789

79,152

Camden

National

Corp.

3,937

123,819

Central

Pacific

Financial

Corp.

3,821

60,754

Community

Bank

System,

Inc.

4,256

250,253

Dime

Community

Bancshares,

Inc.

3,489

47,834

Enterprise

Financial

Services

Corp.

2,473

69,021

First

Bancorp/NC

3,745

86,435

First

Bancorp/PR

27,625

146,965

First

Financial

Bankshares

,

Inc.

16,341

438,592

German

American

Bancorp,

Inc.

3,585

98,408

Glacier

Bancorp,

Inc.

2,787

94,772

Great

Southern

Bancorp,

Inc.

3,025

122,210

Hilltop

Holdings,

Inc.

14,870

224,834

INVESTMENTS

SHARES

VALUE

Banks

-

2.3%

(continued)

Independent

Bank

Corp.

1,364

$

87,801

Independent

Bank

Corp./MI

8,381

107,863

Lakeland

Bancorp,

Inc.

12,306

133,028

Lakeland

Financial

Corp.

3,172

116,571

OFG

Bancorp

12,442

139,102

QCR

Holdings,

Inc.

3,458

93,608

South

State

Corp.

3,193

187,525

Southside

Bancshares,

Inc.

2,622

79,683

Stock

Yards

Bancorp,

Inc.

4,504

130,301

Tompkins

Financial

Corp.

1,707

122,563

Towne

Bank

4,916

88,930

TriState

Capital

Holdings,

Inc.*

4,567

44,163

Trustmark

Corp.

3,944

91,895

United

Bankshares

,

Inc.

12,491

288,292

United

Community

Banks,

Inc.

6,335

115,994

Valley

National

Bancorp

8,863

64,789

Washington

Trust

Bancorp,

Inc.

2,583

94,434

Westamerica

Bancorp

3,131

184,040

4,425,883

Beverages

-

0.8%

Boston

Beer

Co.,

Inc.

(The),

Class

A*(a)

2,818

1,035,784

Celsius

Holdings,

Inc.*(a)

19,016

80,057

Coca-Cola

Consolidated,

Inc.

2,024

422,065

1,537,906

Biotechnology

-

9.0%

ACADIA

Pharmaceuticals,

Inc.*

34,535

1,459,104

Acceleron

Pharma,

Inc.*

5,459

490,600

Adverum

Biotechnologies,

Inc.*

28,558

279,012

Affimed

NV

(Germany)*

35,562

56,188

Agenus,

Inc.*(a)

49,451

121,155

Aimmune

Therapeutics,

Inc.*(a)

4,452

64,198

Allakos

,

Inc.*(a)

10,797

480,358

Anavex

Life

Sciences

Corp.*(a)

20,559

64,761

Anika

Therapeutics,

Inc.*

4,265

123,301

Apellis

Pharmaceuticals,

Inc.*

18,459

494,517

Ardelyx

,

Inc.*

38,453

218,605

Arena

Pharmaceuticals,

Inc.*

2,246

94,332

Arrowhead

Pharmaceuticals,

Inc.*

18,849

542,286

Avid

Bioservices

,

Inc.*

25,915

132,426

Avrobio

,

Inc.*

3,407

53,013

Biohaven

Pharmaceutical

Holding

Co.

Ltd.*

8,769

298,409

BioSpecifics

Technologies

Corp.*

1,801

101,883

Bioxcel

Therapeutics,

Inc.*

9,300

207,855

Blueprint

Medicines

Corp.*

4,101

239,826

Catalyst

Pharmaceuticals,

Inc.*

49,236

189,559

CEL-SCI

Corp.*(a)

19,694

227,269

ChemoCentryx

,

Inc.*

12,983

521,657

Coherus

Biosciences,

Inc.*

21,850

354,407

Constellation

Pharmaceuticals,

Inc.*

11,900

374,017

CTI

BioPharma

Corp.*

14,661

13,488

50

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Biotechnology

-

9.0%

(continued)

Cue

Biopharma,

Inc.*

12,608

$

178,907

Cytokinetics,

Inc.*(a)

20,216

238,347

Deciphera

Pharmaceuticals,

Inc.*

14,103

580,620

Dicerna

Pharmaceuticals,

Inc.*

16,264

298,770

Eidos

Therapeutics,

Inc.*(a)

11,558

566,226

Epizyme

,

Inc.*

27,651

428,867

Fate

Therapeutics,

Inc.*

7,557

167,841

Flexion

Therapeutics,

Inc.*(a)

12,789

100,649

G1

Therapeutics,

Inc.*

7,049

77,680

Global

Blood

Therapeutics,

Inc.*

13,574

693,496

Immunomedics

,

Inc.*

14,727

198,520

Invitae

Corp.*(a)

4,952

67,694

Iovance

Biotherapeutics

,

Inc.*

36,434

1,090,652

Jounce

Therapeutics,

Inc.*

21,060

100,035

Kadmon

Holdings,

Inc.*

49,839

208,825

Karyopharm

Therapeutics,

Inc.*(a)

23,142

444,558

Kindred

Biosciences,

Inc.*

12,254

49,016

Krystal

Biotech,

Inc.*(a)

6,267

270,985

Magenta

Therapeutics,

Inc.*

11,153

70,041

MeiraGTx

Holdings

plc*

11,054

148,566

Mersana

Therapeutics,

Inc.*

16,293

94,988

Mirati

Therapeutics,

Inc.*

7,149

549,544

Momenta

Pharmaceuticals,

Inc.*

29,121

792,091

Natera

,

Inc.*

19,190

573,013

NeuBase

Therapeutics,

Inc.*

380

2,706

PDL

BioPharma

,

Inc.*

34,242

96,562

Pfenex

,

Inc.*

21,139

186,446

Protagonist

Therapeutics,

Inc.*

8,309

58,661

PTC

Therapeutics,

Inc.*

12,400

553,164

Radius

Health,

Inc.*

5,486

71,318

Sorrento

Therapeutics,

Inc.*

28,692

52,793

Syndax

Pharmaceuticals,

Inc.*

9,773

107,210

TG

Therapeutics,

Inc.*(a)

38,499

378,830

Veracyte

,

Inc.*

12,984

315,641

Vericel

Corp.*

6,205

56,900

Voyager

Therapeutics,

Inc.*

9,609

87,922

XBiotech

,

Inc.*

19,397

205,996

ZIOPHARM

Oncology,

Inc.*(a)

55,437

135,821

17,502,127

Building

Products

-

2.6%

AAON,

Inc.(a)

14,747

712,575

Advanced

Drainage

Systems,

Inc.

17,784

523,561

American

Woodmark

Corp.*

4,452

202,878

Builders

FirstSource

,

Inc.*

34,619

423,390

CSW

Industrials,

Inc.

4,351

282,162

Gibraltar

Industries,

Inc.*

6,592

282,929

Griffon

Corp.

13,625

172,356

JELD-WEN

Holding,

Inc.*

14,311

139,246

Masonite

International

Corp.*

2,959

140,405

Patrick

Industries,

Inc.

3,634

102,334

Simpson

Manufacturing

Co.,

Inc.

7,030

435,719

Trex

Co.,

Inc.*

12,059

966,408

INVESTMENTS

SHARES

VALUE

Building

Products

-

2.6%

(continued)

Universal

Forest

Products,

Inc.

16,036

$

596,379

4,980,342

Capital

Markets

-

1.8%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

10,401

223,517

B.

Riley

Financial,

Inc.

9,128

168,138

Cohen

&

Steers,

Inc.

14,116

641,572

Diamond

Hill

Investment

Group,

Inc.

930

83,923

Federated

Hermes,

Inc.,

Class

B

27,291

519,894

Hamilton

Lane,

Inc.,

Class

A

15,821

875,060

Houlihan

Lokey

,

Inc.

2,802

146,040

Oppenheimer

Holdings,

Inc.,

Class

A

5,134

101,448

Stifel

Financial

Corp.

13,336

550,510

Virtus

Investment

Partners,

Inc.

1,172

89,201

3,399,303

Chemicals

-

0.6%

Advanced

Emissions

Solutions,

Inc.

10,560

69,379

American

Vanguard

Corp.

8,397

121,420

Balchem

Corp.

1,412

139,393

Chase

Corp.

998

82,125

Hawkins,

Inc.

1,913

68,103

Innospec

,

Inc.

4,485

311,663

Koppers

Holdings,

Inc.*

6,112

75,605

Stepan

Co.

4,145

366,667

1,234,355

Commercial

Services

&

Supplies

-

2.8%

ABM

Industries,

Inc.

9,373

228,326

Brady

Corp.,

Class

A

14,076

635,250

BrightView

Holdings,

Inc.*

7,528

83,260

Brink's

Co.

(The)

8,579

446,537

Casella

Waste

Systems,

Inc.,

Class

A*

13,364

521,998

CECO

Environmental

Corp.*

123

574

Cimpress

plc

(Ireland)*(a)

1,531

81,449

Covanta

Holding

Corp.

7,912

67,648

Ennis,

Inc.

8,343

156,682

Heritage-Crystal

Clean,

Inc.*

3,931

63,839

Herman

Miller,

Inc.

13,153

291,997

HNI

Corp.

3,390

85,394

Kimball

International,

Inc.,

Class

B

9,927

118,231

Knoll,

Inc.

5,823

60,093

McGrath

RentCorp

6,667

349,217

MSA

Safety,

Inc.

6,109

618,231

SP

Plus

Corp.*

4,630

96,072

Steelcase,

Inc.,

Class

A

9,485

93,617

Team,

Inc.*

6,828

44,382

Tetra

Tech,

Inc.

12,850

907,467

UniFirst

Corp.

2,603

393,287

5,343,551

51

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Communications

Equipment

-

1.4%

ADTRAN,

Inc.

10,034

$

77,061

Calix,

Inc.*

10,825

76,641

Comtech

Telecommunications

Corp.

3,485

46,316

Digi

International,

Inc.*

7,467

71,235

Harmonic,

Inc.*

46,168

265,928

Infinera

Corp.*(a)

42,080

223,024

Inseego

Corp.*(a)

22,363

139,322

Lumentum

Holdings,

Inc.*

15,873

1,169,840

Viavi

Solutions,

Inc.*

59,626

668,407

2,737,774

Construction

&

Engineering

-

1.3%

Aegion

Corp.*

6,788

121,709

Ameresco

,

Inc.,

Class

A*(a)

10,910

185,797

Construction

Partners,

Inc.,

Class

A*

13,798

233,048

EMCOR

Group,

Inc.

10,858

665,812

Great

Lakes

Dredge

&

Dock

Corp.*

37,447

310,810

MasTec

,

Inc.*(a)

15,895

520,243

MYR

Group,

Inc.*

3,964

103,817

Northwest

Pipe

Co.*

3,871

86,130

Primoris

Services

Corp.

5,764

91,648

WillScot

Corp.*

18,966

192,126

2,511,140

Construction

Materials

-

0.3%

Forterra

,

Inc.*(a)

28,340

169,473

Summit

Materials,

Inc.,

Class

A*

29,065

435,975

605,448

Consumer

Finance

-

0.4%

Encore

Capital

Group,

Inc.*

6,877

160,784

FirstCash

,

Inc.

1,182

84,797

Nelnet,

Inc.,

Class

A

5,463

248,075

PRA

Group,

Inc.*

6,264

173,638

Regional

Management

Corp.*

7,164

97,860

World

Acceptance

Corp.*

1,224

66,843

831,997

Diversified

Consumer

Services

-

0.8%

Carriage

Services,

Inc.

4,901

79,151

Chegg

,

Inc.*

4,960

177,469

Collectors

Universe,

Inc.

6,586

103,203

Laureate

Education,

Inc.,

Class

A*

23,862

250,790

Perdoceo

Education

Corp.*(a)

24,098

260,017

Strategic

Education,

Inc.

3,675

513,618

WW

International,

Inc.*

5,534

93,580

1,477,828

INVESTMENTS

SHARES

VALUE

Diversified

Financial

Services

-

0.4%

Banco

Latinoamericano

de

Comercio

Exterior

SA,

Class

E

(Panama)

6,545

$

67,479

Cannae

Holdings,

Inc.*

20,179

675,795

743,274

Diversified

Telecommunication

Services

-

1.0%

Anterix

,

Inc.*

2,025

92,482

Bandwidth,

Inc.,

Class

A*

1,640

110,356

Cogent

Communications

Holdings,

Inc.

14,355

1,176,679

Iridium

Communications,

Inc.*(a)

23,577

526,474

Ooma

,

Inc.*

9,728

116,055

2,022,046

Electric

Utilities

-

1.1%

Genie

Energy

Ltd.,

Class

B

12,554

90,138

MGE

Energy,

Inc.

6,367

416,848

Otter

Tail

Corp.

5,161

229,458

PNM

Resources,

Inc.

11,727

445,626

Portland

General

Electric

Co.

20,876

1,000,795

2,182,865

Electrical

Equipment

-

1.4%

Allied

Motion

Technologies,

Inc.

3,486

82,618

American

Superconductor

Corp.*

13,769

75,454

Atkore

International

Group,

Inc.*

13,668

287,985

Encore

Wire

Corp.

1,626

68,276

Generac

Holdings,

Inc.*

16,198

1,509,168

Plug

Power,

Inc.*(a)

101,769

360,262

Powell

Industries,

Inc.

2,728

70,028

Sunrun

,

Inc.*

8,063

81,436

Vicor

Corp.*

2,452

109,212

Vivint

Solar,

Inc.*(a)

38,091

166,458

2,810,897

Electronic

Equipment,

Instruments

&

Components

-

1.5%

Badger

Meter,

Inc.

3,121

167,286

Benchmark

Electronics,

Inc.

5,163

103,208

CTS

Corp.

5,196

129,328

Insight

Enterprises,

Inc.*

7,397

311,636

Itron

,

Inc.*

8,012

447,310

Knowles

Corp.*

20,060

268,403

Methode

Electronics,

Inc.

3,410

90,126

Napco

Security

Technologies,

Inc.*(a)

7,570

114,837

Novanta

,

Inc.*

2,762

220,628

OSI

Systems,

Inc.*

4,534

312,483

PAR

Technology

Corp.*(a)

4,695

60,378

PC

Connection,

Inc.

4,953

204,113

Plexus

Corp.*

1,691

92,261

Rogers

Corp.*

581

54,858

Sanmina

Corp.*

9,722

265,216

52

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Electronic

Equipment,

Instruments

&

Components

-

1.5%

(continued)

Vishay

Precision

Group,

Inc.*

3,033

$

60,903

2,902,974

Energy

Equipment

&

Services

-

0.2%

DMC

Global,

Inc.

2,712

62,403

Dril

-Quip,

Inc.*

4,538

138,409

SEACOR

Holdings,

Inc.*

3,735

100,696

301,508

Entertainment

-

0.1%

Liberty

Media

Corp.-Liberty

Braves,

Class

C*

5,138

97,930

Equity

Real

Estate

Investment

Trusts

(REITs)

-

7.9%

Acadia

Realty

Trust

7,127

88,304

Agree

Realty

Corp.

8,733

540,573

Alexander's,

Inc.

451

124,453

American

Assets

Trust,

Inc.

15,220

380,500

Armada

Hoffler

Properties,

Inc.

7,165

76,666

CareTrust

REIT,

Inc.

10,192

150,740

Community

Healthcare

Trust,

Inc.

8,076

309,149

Easterly

Government

Properties,

Inc.

11,071

272,789

EastGroup

Properties,

Inc.

11,036

1,153,041

Essential

Properties

Realty

Trust,

Inc.

28,625

373,843

First

Industrial

Realty

Trust,

Inc.

29,745

988,426

Getty

Realty

Corp.

8,012

190,205

Global

Net

Lease,

Inc.

13,759

183,958

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

19,381

395,566

Healthcare

Realty

Trust,

Inc.

9,104

254,275

Independence

Realty

Trust,

Inc.

24,185

216,214

Industrial

Logistics

Properties

Trust

4,199

73,651

Innovative

Industrial

Properties,

Inc.

4,415

335,231

Investors

Real

Estate

Trust

3,628

199,540

iStar

,

Inc.

13,208

140,137

Jernigan

Capital,

Inc.

4,987

54,658

Lexington

Realty

Trust

56,826

564,282

LTC

Properties,

Inc.

5,407

167,076

Monmouth

Real

Estate

Investment

Corp.

9,260

111,583

National

Health

Investors,

Inc.

4,191

207,538

National

Storage

Affiliates

Trust

16,655

492,988

NexPoint

Residential

Trust,

Inc.

10,615

267,604

Physicians

Realty

Trust

14,009

195,285

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

21,461

379,001

PotlatchDeltic

Corp.

8,127

255,107

PS

Business

Parks,

Inc.

6,125

830,060

QTS

Realty

Trust,

Inc.,

Class

A

12,631

732,724

Rexford

Industrial

Realty,

Inc.

27,949

1,146,189

Ryman

Hospitality

Properties,

Inc.

4,312

154,585

Sabra

Health

Care

REIT,

Inc.

17,436

190,401

Safehold

,

Inc.

16,320

1,031,914

INVESTMENTS

SHARES

VALUE

Equity

Real

Estate

Investment

Trusts

(REITs)

-

7.9%

(continued)

Seritage

Growth

Properties,

Class

A*(a)

1,913

$

17,427

STAG

Industrial,

Inc.

25,706

578,899

Terreno

Realty

Corp.

17,943

928,550

UMH

Properties,

Inc.

9,125

99,098

Universal

Health

Realty

Income

Trust

3,825

385,598

15,237,828

Food

&

Staples

Retailing

-

0.5%

BJ's

Wholesale

Club

Holdings,

Inc.*

1,833

46,686

Ingles

Markets,

Inc.,

Class

A

4,252

153,752

Performance

Food

Group

Co.*

22,218

549,229

Rite

Aid

Corp.*

2,614

39,210

Weis

Markets,

Inc.

2,160

89,986

878,863

Food

Products

-

1.5%

Darling

Ingredients,

Inc.*

17,006

326,005

Freshpet

,

Inc.*

10,685

682,451

Hostess

Brands,

Inc.*

15,381

163,961

J&J

Snack

Foods

Corp.(a)

2,513

304,073

John

B

Sanfilippo

&

Son,

Inc.

2,196

196,322

Sanderson

Farms,

Inc.

4,124

508,572

Simply

Good

Foods

Co.

(The)*

25,527

491,650

Tootsie

Roll

Industries,

Inc.

8,455

304,052

2,977,086

Gas

Utilities

-

0.1%

Chesapeake

Utilities

Corp.

1,415

121,279

Northwest

Natural

Holding

Co.

1,485

91,699

212,978

Health

Care

Equipment

&

Supplies

-

3.4%

Alphatec

Holdings,

Inc.*

35,006

120,771

Antares

Pharma,

Inc.*

29,464

69,535

Apyx

Medical

Corp.*

20,033

71,918

AtriCure

,

Inc.*

2,196

73,764

Atrion

Corp.

134

87,100

BioLife

Solutions,

Inc.*(a)

6,199

58,890

Cardiovascular

Systems,

Inc.*

8,298

292,173

Cerus

Corp.*

18,386

85,495

Conformis

,

Inc.*(a)

95,525

60,181

CONMED

Corp.

6,044

346,140

CryoLife

,

Inc.*

4,468

75,598

CryoPort

,

Inc.*(a)

17,967

306,697

Cutera

,

Inc.*

4,240

55,374

Globus

Medical,

Inc.,

Class

A*

14,504

616,855

Haemonetics

Corp.*

3,449

343,727

Integer

Holdings

Corp.*

1,157

72,729

Invacare

Corp.

11,306

84,004

iRadimed

Corp.*

3,907

83,414

Lantheus

Holdings,

Inc.*

6,279

80,120

Mesa

Laboratories,

Inc.

306

69,183

Nevro

Corp.*

8,306

830,434

53

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Health

Care

Equipment

&

Supplies

-

3.4%

(continued)

Novocure

Ltd.*

20,286

$

1,366,059

NuVasive

,

Inc.*

7,921

401,278

OrthoPediatrics

Corp.*

2,648

104,967

Quidel

Corp.*

606

59,273

Tandem

Diabetes

Care,

Inc.*

9,348

601,544

Zynex

,

Inc.*(a)

24,840

274,979

6,692,202

Health

Care

Providers

&

Services

-

2.4%

Addus

HomeCare

Corp.*

3,970

268,372

Amedisys

,

Inc.*

3,185

584,575

AMN

Healthcare

Services,

Inc.*

7,155

413,631

Catasys

,

Inc.*(a)

11,374

173,226

CorVel

Corp.*

4,566

248,893

Ensign

Group,

Inc.

(The)

5,272

198,280

Joint

Corp.

(The)*

11,027

119,643

LHC

Group,

Inc.*

6,967

976,773

Magellan

Health,

Inc.*

1,678

80,729

MedCath

Corp.(3)*(b)

10,300

–

National

HealthCare

Corp.

1,781

127,751

National

Research

Corp.

5,727

260,464

Patterson

Cos.,

Inc.

4,926

75,318

Providence

Service

Corp.

(The)*

1,978

108,553

R1

RCM,

Inc.*

36,752

334,076

RadNet

,

Inc.*

12,077

126,929

Select

Medical

Holdings

Corp.*

17,364

260,460

Tenet

Healthcare

Corp.*

14,931

215,006

Triple-S

Management

Corp.,

Class

B*

6,010

84,741

US

Physical

Therapy,

Inc.

1,019

70,311

4,727,731

Health

Care

Technology

-

2.8%

HealthStream

,

Inc.*

3,591

86,004

Inovalon

Holdings,

Inc.,

Class

A*(a)

39,590

659,569

Inspire

Medical

Systems,

Inc.*

7,668

462,227

Omnicell

,

Inc.*

5,254

344,557

Simulations

Plus,

Inc.

4,644

162,169

Teladoc

Health,

Inc.*(a)

24,148

3,743,182

5,457,708

Hotels,

Restaurants

&

Leisure

-

1.6%

Bloomin

'

Brands,

Inc.

11,819

84,388

Boyd

Gaming

Corp.

9,341

134,697

Churchill

Downs,

Inc.

8,660

891,547

Denny's

Corp.*

15,927

122,319

El

Pollo

Loco

Holdings,

Inc.*(a)

8,082

68,293

Everi

Holdings,

Inc.*

21,564

71,161

Lindblad

Expeditions

Holdings,

Inc.*

20,224

84,334

Marriott

Vacations

Worldwide

Corp.

8,505

472,708

Monarch

Casino

&

Resort,

Inc.*

5,502

154,441

Papa

John's

International,

Inc.

6,398

341,461

RCI

Hospitality

Holdings,

Inc.

6,192

61,734

SeaWorld

Entertainment,

Inc.*(a)

8,025

88,436

Shake

Shack,

Inc.,

Class

A*(a)

3,960

149,450

INVESTMENTS

SHARES

VALUE

Hotels,

Restaurants

&

Leisure

-

1.6%

(continued)

Wingstop

,

Inc.

5,455

$

434,764

3,159,733

Household

Durables

-

2.3%

Cavco

Industries,

Inc.*

883

127,982

Helen

of

Troy

Ltd.*

4,221

607,951

Installed

Building

Products,

Inc.*

8,595

342,683

KB

Home

21,479

388,770

La-Z-Boy,

Inc.

5,858

120,382

LGI

Homes,

Inc.*(a)

4,945

223,267

M/I

Homes,

Inc.*

10,318

170,556

MDC

Holdings,

Inc.

20,273

470,334

Meritage

Homes

Corp.*

16,130

588,906

Purple

Innovation,

Inc.*

20,322

115,429

Sonos

,

Inc.*

10,640

90,227

Taylor

Morrison

Home

Corp.*

29,663

326,293

TopBuild

Corp.*

9,255

663,028

TRI

Pointe

Group,

Inc.*

14,403

126,314

Universal

Electronics,

Inc.*

4,653

178,536

4,540,658

Independent

Power

and

Renewable

Electricity

Producers

-

1.2%

Clearway

Energy,

Inc.,

Class

C

39,034

733,839

Ormat

Technologies,

Inc.

10,242

692,974

TerraForm

Power,

Inc.,

Class

A

58,485

922,308

2,349,121

Industrial

Conglomerates

-

0.0%(c)

Raven

Industries,

Inc.

3,662

77,744

Insurance

-

2.3%

Ambac

Financial

Group,

Inc.*(a)

8,636

106,568

AMERISAFE,

Inc.

3,113

200,695

eHealth,

Inc.*

7,766

1,093,608

FBL

Financial

Group,

Inc.,

Class

A

4,873

227,423

Goosehead

Insurance,

Inc.,

Class

A*(a)

11,155

497,848

HCI

Group,

Inc.

1,716

69,069

Heritage

Insurance

Holdings,

Inc.

8,281

88,690

Kinsale

Capital

Group,

Inc.

5,905

617,250

MBIA,

Inc.*

11,303

80,703

National

General

Holdings

Corp.

5,168

85,530

National

Western

Life

Group,

Inc.,

Class

A

374

64,328

RLI

Corp.

10,087

886,950

Safety

Insurance

Group,

Inc.

1,026

86,625

Selective

Insurance

Group,

Inc.

2,931

145,671

State

Auto

Financial

Corp.

3,981

110,632

Trupanion

,

Inc.*(a)

2,366

61,587

United

Insurance

Holdings

Corp.(a)

8,651

79,935

4,503,112

54

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Interactive

Media

&

Services

-

0.2%

DHI

Group,

Inc.*

21,854

$

47,204

EverQuote

,

Inc.,

Class

A*(a)

11,479

301,324

348,528

Internet

&

Direct

Marketing

Retail

-

0.2%

1-800-Flowers.com,

Inc.,

Class

A*

6,984

92,398

Quotient

Technology,

Inc.*

10,253

66,644

Rubicon

Project,

Inc.

(The)*

38,381

213,015

Stitch

Fix,

Inc.,

Class

A*(a)

5,008

63,602

435,659

IT

Services

-

3.0%

Brightcove

,

Inc.*

14,222

99,127

Cardtronics

plc,

Class

A*

9,289

194,326

CSG

Systems

International,

Inc.

8,453

353,758

EVERTEC,

Inc.

10,569

240,233

Evo

Payments,

Inc.,

Class

A*

6,578

100,644

ExlService

Holdings,

Inc.*

2,824

146,933

Hackett

Group,

Inc.

(The)

9,277

118,004

I3

Verticals,

Inc.,

Class

A*

3,692

70,480

KBR,

Inc.

37,096

767,145

Limelight

Networks,

Inc.*

34,373

195,926

LiveRamp

Holdings,

Inc.*

2,050

67,486

ManTech

International

Corp.,

Class

A

7,994

580,924

MAXIMUS,

Inc.

2,724

158,537

NIC,

Inc.

14,089

324,047

Paysign

,

Inc.*

24,739

127,653

Perficient

,

Inc.*

10,198

276,264

Perspecta

,

Inc.

34,435

628,095

Science

Applications

International

Corp.

11,091

827,721

TTEC

Holdings,

Inc.

12,078

443,504

Tucows

,

Inc.,

Class

A*(a)

1,663

80,256

5,801,063

Leisure

Products

-

0.2%

Acushnet

Holdings

Corp.

8,857

227,802

Clarus

Corp.

7,761

76,058

303,860

Life

Sciences

Tools

&

Services

-

2.1%

Medpace

Holdings,

Inc.*

9,041

663,429

NanoString

Technologies,

Inc.*

14,862

357,431

NeoGenomics

,

Inc.*

30,297

836,500

Quanterix

Corp.*(a)

3,818

70,137

Repligen

Corp.*

13,161

1,270,563

Syneos

Health,

Inc.*

20,918

824,587

4,022,647

Machinery

-

3.2%

Alamo

Group,

Inc.

2,710

240,594

Albany

International

Corp.,

Class

A

5,570

263,628

Barnes

Group,

Inc.

1,979

82,782

INVESTMENTS

SHARES

VALUE

Machinery

-

3.2%

(continued)

Columbus

McKinnon

Corp.

3,124

$

78,100

Douglas

Dynamics,

Inc.

3,701

131,423

Energy

Recovery,

Inc.*(a)

13,179

98,052

ESCO

Technologies,

Inc.

7,019

532,812

Evoqua

Water

Technologies

Corp.*

33,273

372,990

Federal

Signal

Corp.

17,304

472,053

Franklin

Electric

Co.,

Inc.

7,977

375,956

Helios

Technologies,

Inc.

1,133

42,963

John

Bean

Technologies

Corp.

5,300

393,631

Kadant

,

Inc.

1,365

101,897

Luxfer

Holdings

plc

(United

Kingdom)

6,702

94,766

Meritor,

Inc.*

10,586

140,265

Mueller

Industries,

Inc.

9,950

238,203

Omega

Flex,

Inc.

1,548

130,651

RBC

Bearings,

Inc.*

2,383

268,779

REV

Group,

Inc.

10,944

45,636

Rexnord

Corp.

18,862

427,602

Spartan

Motors,

Inc.

11,262

145,392

SPX

Corp.*

9,549

311,679

SPX

FLOW,

Inc.*

7,094

201,611

Tennant

Co.(a)

2,718

157,508

TriMas

Corp.*

7,895

182,375

Watts

Water

Technologies,

Inc.,

Class

A

7,221

611,258

6,142,606

Marine

-

0.2%

Costamare

,

Inc.

(Monaco)

32,670

147,669

Genco

Shipping

&

Trading

Ltd.

13,539

86,920

Matson,

Inc.

4,899

150,007

384,596

Media

-

0.6%

Cardlytics,

Inc.*

8,504

297,300

EW

Scripps

Co.

(The),

Class

A

6,991

52,712

Gray

Television,

Inc.*

9,269

99,549

National

CineMedia

,

Inc.

26,287

85,696

TechTarget

,

Inc.*

8,135

167,662

TEGNA,

Inc.

50,284

546,084

1,249,003

Metals

&

Mining

-

0.8%

Carpenter

Technology

Corp.

7,163

139,678

Coeur

Mining,

Inc.*

27,118

87,049

Commercial

Metals

Co.

13,849

218,676

Compass

Minerals

International,

Inc.

3,787

145,686

Haynes

International,

Inc.

4,061

83,697

Materion

Corp.

5,109

178,866

Novagold

Resources,

Inc.

(Canada)*

105,874

781,350

1,635,002

55

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Multi-Utilities

-

0.8%

Avista

Corp.

9,814

$

416,997

Black

Hills

Corp.

7,748

496,104

NorthWestern

Corp.

5,815

347,912

Unitil

Corp.

4,831

252,758

1,513,771

Oil,

Gas

&

Consumable

Fuels

-

1.3%

Clean

Energy

Fuels

Corp.*

53,673

95,538

CVR

Energy,

Inc.

8,714

144,042

DHT

Holdings,

Inc.

49,677

381,023

Dorian

LPG

Ltd.*

19,760

172,110

International

Seaways,

Inc.

4,922

117,587

Nordic

American

Tankers

Ltd.

66,837

302,772

Par

Pacific

Holdings,

Inc.*

10,035

71,248

REX

American

Resources

Corp.*

1,920

89,299

Scorpio

Tankers,

Inc.

(Monaco)(a)

12,101

231,371

Teekay

Tankers

Ltd.,

Class

A*

16,168

359,576

World

Fuel

Services

Corp.

21,653

545,222

2,509,788

Paper

&

Forest

Products

-

0.5%

Boise

Cascade

Co.

10,075

239,583

Louisiana-Pacific

Corp.

19,789

339,975

PH

Glatfelter

Co.

9,467

115,687

Schweitzer-Mauduit

International,

Inc.

7,358

204,700

899,945

Personal

Products

-

0.2%

elf

Beauty,

Inc.*

13,742

135,222

Inter

Parfums

,

Inc.

4,032

186,883

Lifevantage

Corp.*

7,744

79,763

401,868

Pharmaceuticals

-

2.1%

Amphastar

Pharmaceuticals,

Inc.*

9,193

136,424

ANI

Pharmaceuticals,

Inc.*

2,508

102,176

Axsome

Therapeutics,

Inc.*

7,898

464,639

BioDelivery

Sciences

International,

Inc.*

57,243

216,951

Cara

Therapeutics,

Inc.*

6,169

81,493

Chiasma,

Inc.*

34,939

127,527

Collegium

Pharmaceutical,

Inc.*

8,109

132,420

Intra-Cellular

Therapies,

Inc.*

9,358

143,832

Lannett

Co.,

Inc.*(a)

12,529

87,077

MyoKardia

,

Inc.*

7,196

337,348

Odonate

Therapeutics,

Inc.*

8,093

223,448

Omeros

Corp.*(a)

6,753

90,288

Pacira

BioSciences

,

Inc.*

2,180

73,095

Prestige

Consumer

Healthcare,

Inc.*

7,835

287,388

Reata

Pharmaceuticals,

Inc.,

Class

A*

6,899

995,802

Recro

Pharma,

Inc.*

17,538

143,285

Tricida

,

Inc.*

11,515

253,330

INVESTMENTS

SHARES

VALUE

Pharmaceuticals

-

2.1%

(continued)

Zynerba

Pharmaceuticals,

Inc.*(a)

20,926

$

80,147

3,976,670

Professional

Services

-

2.1%

Barrett

Business

Services,

Inc.

2,335

92,559

CBIZ,

Inc.*

11,492

240,413

CRA

International,

Inc.

2,110

70,495

Exponent,

Inc.

12,803

920,664

Franklin

Covey

Co.*

3,607

56,053

FTI

Consulting,

Inc.*

11,250

1,347,413

Heidrick

&

Struggles

International,

Inc.

3,534

79,515

Huron

Consulting

Group,

Inc.*

6,817

309,219

ICF

International,

Inc.

4,061

278,991

Kforce

,

Inc.

7,379

188,681

TriNet

Group,

Inc.*

9,202

346,547

Willdan

Group,

Inc.*

3,674

78,513

4,009,063

Real

Estate

Management

&

Development

-

0.6%

Forestar

Group,

Inc.*

6,170

63,860

Kennedy-Wilson

Holdings,

Inc.

30,331

407,042

Marcus

&

Millichap,

Inc.*

5,824

157,830

Newmark

Group,

Inc.,

Class

A

25,919

110,156

Redfin

Corp.*(a)

12,676

195,464

St

Joe

Co.

(The)*

7,762

130,246

1,064,598

Road

&

Rail

-

0.7%

ArcBest

Corp.

3,759

65,858

Avis

Budget

Group,

Inc.*

7,808

108,531

Heartland

Express,

Inc.

9,171

170,306

Marten

Transport

Ltd.

6,117

125,521

Saia,

Inc.*

5,874

431,974

Universal

Logistics

Holdings,

Inc.

8,019

105,049

Werner

Enterprises,

Inc.

9,621

348,857

1,356,096

Semiconductors

&

Semiconductor

Equipment

-

5.4%

Advanced

Energy

Industries,

Inc.*

6,811

330,265

Alpha

&

Omega

Semiconductor

Ltd.*

12,820

82,176

Ambarella

,

Inc.*

9,666

469,381

Amkor

Technology,

Inc.*

59,439

463,030

Brooks

Automation,

Inc.

14,601

445,331

Cabot

Microelectronics

Corp.

5,768

658,360

Cirrus

Logic,

Inc.*

14,423

946,581

Diodes,

Inc.*

13,092

531,993

Enphase

Energy,

Inc.*(a)

27,903

900,988

FormFactor

,

Inc.*

24,621

494,636

Ichor

Holdings

Ltd.*

5,523

105,821

Impinj

,

Inc.*(a)

10,810

180,635

Inphi

Corp.*

12,428

983,925

Lattice

Semiconductor

Corp.*

40,259

717,415

56

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Semiconductors

&

Semiconductor

Equipment

-

5.4%

(continued)

MACOM

Technology

Solutions

Holdings,

Inc.*

18,192

$

344,375

NeoPhotonics

Corp.*

12,452

90,277

NVE

Corp.

1,674

87,098

PDF

Solutions,

Inc.*

17,437

204,362

Photronics

,

Inc.*

22,755

233,466

Power

Integrations,

Inc.

6,604

583,331

Rambus,

Inc.*

10,581

117,449

Silicon

Laboratories,

Inc.*

6,346

542,012

SunPower

Corp.*(a)

45,413

230,244

Synaptics

,

Inc.*

7,939

459,430

Ultra

Clean

Holdings,

Inc.*

12,554

173,245

Veeco

Instruments,

Inc.*

17,613

168,556

10,544,382

Software

-

5.3%

ACI

Worldwide,

Inc.*

17,771

429,170

Agilysys

,

Inc.*

10,820

180,694

Appfolio

,

Inc.,

Class

A*

8,646

959,274

Appian

Corp.*(a)

14,015

563,824

Blackbaud

,

Inc.

1,260

69,993

Blackline,

Inc.*

11,595

610,013

Digimarc

Corp.*(a)

6,240

81,432

Digital

Turbine,

Inc.*

55,471

239,080

eGain

Corp.*

14,197

104,064

Envestnet

,

Inc.*

5,637

303,158

Everbridge

,

Inc.*

11,201

1,191,338

Five9,

Inc.*

13,766

1,052,548

Intelligent

Systems

Corp.*

7,074

240,445

J2

Global,

Inc.

7,959

595,731

LivePerson

,

Inc.*(a)

10,420

237,055

MobileIron

,

Inc.*

21,696

82,445

Model

N,

Inc.*

12,433

276,137

OneSpan

,

Inc.*

6,082

110,388

Progress

Software

Corp.

4,540

145,280

PROS

Holdings,

Inc.*

11,580

359,327

Q2

Holdings,

Inc.*

10,819

638,970

QAD,

Inc.,

Class

A

2,183

87,167

Rapid7,

Inc.*

9,871

427,710

SecureWorks

Corp.,

Class

A*

5,527

63,616

SharpSpring

,

Inc.*(a)

7,511

45,517

SPS

Commerce,

Inc.*

11,174

519,703

Synchronoss

Technologies,

Inc.*(a)

18,043

55,031

Telenav

,

Inc.*

20,491

88,521

Upland

Software,

Inc.*

7,093

190,234

Varonis

Systems,

Inc.*

3,358

213,804

Verint

Systems,

Inc.*

1,905

81,915

Workiva

,

Inc.*

3,247

104,976

10,348,560

Specialty

Retail

-

1.7%

America's

Car-Mart,

Inc.*

3,300

185,955

Asbury

Automotive

Group,

Inc.*

4,622

255,273

Boot

Barn

Holdings,

Inc.*

10,790

139,515

Buckle,

Inc.

(The)(a)

11,341

155,485

INVESTMENTS

SHARES

VALUE

Specialty

Retail

-

1.7%

(continued)

Group

1

Automotive,

Inc.

5,512

$

243,961

Haverty

Furniture

Cos.,

Inc.

5,451

64,813

Hibbett

Sports,

Inc.*

8,433

92,215

Lithia

Motors,

Inc.,

Class

A

6,234

509,879

Murphy

USA,

Inc.*

5,201

438,756

Rent-A-Center,

Inc.

19,037

269,183

RH*(a)

3,537

355,362

Sleep

Number

Corp.*

6,263

119,999

Sonic

Automotive,

Inc.,

Class

A

14,301

189,917

Sportsman's

Warehouse

Holdings,

Inc.*

19,363

119,276

Zumiez

,

Inc.*

8,680

150,338

3,289,927

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

Avid

Technology,

Inc.*

27,132

182,599

Diebold

Nixdorf,

Inc.*

19,527

68,735

Immersion

Corp.*

12,745

68,313

319,647

Textiles,

Apparel

&

Luxury

Goods

-

0.7%

Crocs,

Inc.*

11,991

203,727

Deckers

Outdoor

Corp.*

5,037

674,958

Rocky

Brands,

Inc.

6,329

122,466

Steven

Madden

Ltd.

13,634

316,718

1,317,869

Thrifts

&

Mortgage

Finance

-

2.0%

Capitol

Federal

Financial,

Inc.

27,781

322,537

Essent

Group

Ltd.

22,821

601,105

Federal

Agricultural

Mortgage

Corp.,

Class

C

1,861

103,528

First

Defiance

Financial

Corp.

6,000

88,440

Flagstar

Bancorp,

Inc.

5,697

112,972

Meridian

Bancorp,

Inc.

9,061

101,664

Meta

Financial

Group,

Inc.

9,017

195,849

NMI

Holdings,

Inc.,

Class

A*

19,284

223,887

Northfield

Bancorp,

Inc.

9,328

104,380

Northwest

Bancshares,

Inc.

6,034

69,813

PennyMac

Financial

Services,

Inc.

22,437

496,082

Radian

Group,

Inc.

51,689

669,373

Walker

&

Dunlop,

Inc.

4,786

192,732

Washington

Federal,

Inc.

11,163

289,792

Waterstone

Financial,

Inc.

21,385

310,938

3,883,092

Tobacco

-

0.2%

Turning

Point

Brands,

Inc.

9,284

195,985

Vector

Group

Ltd.

26,863

253,050

449,035

Trading

Companies

&

Distributors

-

1.3%

Applied

Industrial

Technologies,

Inc.

2,135

97,612

BMC

Stock

Holdings,

Inc.*

18,700

331,551

DXP

Enterprises,

Inc.*

4,397

53,907

57

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Trading

Companies

&

Distributors

-

1.3%

(continued)

Foundation

Building

Materials,

Inc.*

17,621

$

181,320

GATX

Corp.

2,835

177,358

GMS,

Inc.*

12,755

200,636

H&E

Equipment

Services,

Inc.

6,695

98,283

Herc

Holdings,

Inc.*

6,666

136,386

Kaman

Corp.

1,976

76,017

Lawson

Products,

Inc.*

4,656

124,408

Rush

Enterprises,

Inc.,

Class

A

3,415

109,007

SiteOne

Landscape

Supply,

Inc.*

8,079

594,776

Systemax,

Inc.

4,200

74,466

Triton

International

Ltd.

10,151

262,606

2,518,333

Water

Utilities

-

0.8%

American

States

Water

Co.

9,225

754,051

California

Water

Service

Group

5,002

251,701

Middlesex

Water

Co.

3,287

197,614

SJW

Group

4,701

271,577

York

Water

Co.

(The)

1,262

54,847

1,529,790

Wireless

Telecommunication

Services

-

0.0%(c)

Gogo

,

Inc.*(a)

30,089

63,789

TOTAL

COMMON

STOCKS

(Cost

$197,152,425)

184,173,196

SHORT-TERM

INVESTMENTS

-

4.7%

INVESTMENT

COMPANIES

-

4.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%(d)

(Cost

$9,093,981)

9,094,546

9,106,369

SECURITIES

LENDING

COLLATERAL

-

6.7%

Investment

Companies

-

6.7%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(d)(e)

3,190,788

3,190,788

Limited

Purpose

Cash

Investment

Fund

0.85%(d)(e)

9,733,505

9,746,158

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$12,924,293)

12,936,946

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

106.3%

(Cost

$219,170,699)

206,216,511

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(6.3)%(f)

(12,157,577)

NET

ASSETS

-

100.0%

$194,058,934

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

3,781,297

1.9

%

Consumer

Discretionary

15,520,867

8.0

Consumer

Staples

6,244,758

3.2

Energy

2,811,296

1.4

Financials

17,786,660

9.2

Health

Care

42,379,085

21.8

Industrials

34,529,131

17.8

Information

Technology

32,654,400

16.8

Materials

4,374,751

2.3

Real

Estate

16,302,426

8.5

Utilities

7,788,525

4.0

Short-Term

Investments

9,106,369

4.7

Securities

Lending

Collateral

12,936,946

6.7

Total

Investments

In

Securities

At

Value

206,216,511

106.3

Liabilities

in

Excess

of

Other

Assets(f)

(12,157,577)

(6.3)

Net

Assets

$

194,058,934

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$12,532,657.

(b)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$33,686

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(3)

Level

3

security

(See

Note

4).

58

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

159

6/2020

USD

$

9,123,420

$

764,587

$

764,587

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

424,271

$

424,271

59

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

97.5%

Australia

-

5.1%

Aristocrat

Leisure

Ltd.

22,916

$

296,937

ASX

Ltd.

10,855

509,541

Aurizon

Holdings

Ltd.

118,500

307,101

AusNet

Services

141,964

149,064

Brambles

Ltd.

64,461

416,659

CIMIC

Group

Ltd.

8,747

123,886

Coca-Cola

Amatil

Ltd.

36,317

196,013

Cochlear

Ltd.

2,874

327,554

Coles

Group

Ltd.

52,157

485,740

Commonwealth

Bank

of

Australia

13,313

502,300

Crown

Resorts

Ltd.

23,014

106,802

CSL

Ltd.

23,858

4,324,780

Dexus

,

REIT

49,418

273,855

Fortescue

Metals

Group

Ltd.

216,411

1,326,217

Goodman

Group,

REIT

164,784

1,207,812

GPT

Group

(The),

REIT

57,070

126,790

Insurance

Australia

Group

Ltd.

67,168

253,428

Macquarie

Group

Ltd.

9,666

514,791

Magellan

Financial

Group

Ltd.

18,152

481,422

Medibank

Pvt

Ltd.

92,539

152,181

Mirvac

Group,

REIT

276,150

350,847

National

Australia

Bank

Ltd.

49,529

508,062

Newcrest

Mining

Ltd.

27,791

381,646

Orica

Ltd.

17,801

166,639

QBE

Insurance

Group

Ltd.

57,498

299,507

Ramsay

Health

Care

Ltd.

6,612

232,493

REA

Group

Ltd.

6,482

303,643

Rio

Tinto

plc

2,394

109,746

Santos

Ltd.

128,134

263,156

SEEK

Ltd.

9,990

91,291

Sonic

Healthcare

Ltd.

20,566

309,103

Suncorp

Group

Ltd.

19,638

109,055

Telstra

Corp.

Ltd.

367,500

689,852

Treasury

Wine

Estates

Ltd.

25,931

160,994

Wesfarmers

Ltd.

54,261

1,149,802

Woolworths

Group

Ltd.

42,524

924,743

18,133,452

—

Austria

-

0.1%

ANDRITZ

AG

6,457

202,296

Verbund

AG

7,588

273,671

475,967

—

Belgium

-

0.6%

Ageas

18,084

753,597

Galapagos

NV*

3,871

760,177

Groupe

Bruxelles

Lambert

SA

2,194

172,626

UCB

SA

5,380

460,325

Umicore

SA

3,869

133,447

2,280,172

—

Canada

-

8.6%

Agnico

Eagle

Mines

Ltd.(1)

18,424

735,494

Air

Canada(1)*

27,807

311,206

Algonquin

Power

&

Utilities

Corp.(1)

15,505

208,783

Alimentation

Couche-Tard,

Inc.,

Class

B(1)

30,571

720,123

Atco

Ltd.,

Class

I(1)

5,940

164,486

INVESTMENTS

SHARES

VALUE

Canada

-

8.6%

(continued)

Barrick

Gold

Corp.(1)

92,177

$

1,693,809

BCE,

Inc.(1)

14,237

584,028

Brookfield

Asset

Management,

Inc.,

Class

A(1)

57,768

2,560,624

CAE,

Inc.(1)

27,978

353,676

Canadian

Natural

Resources

Ltd.

(1)

300

4,104

Canadian

Pacific

Railway

Ltd.(1)

4,906

1,082,611

Canadian

Utilities

Ltd.,

Class

A(1)

10,497

250,920

CCL

Industries,

Inc.,

Class

B(1)

4,081

124,086

CGI,

Inc.(1)*

9,965

539,496

Constellation

Software,

Inc.(1)

1,480

1,345,093

Dollarama,

Inc.(1)

15,285

424,022

Emera,

Inc.(1)(a)

19,576

772,023

Empire

Co.

Ltd.,

Class

A(1)

18,071

353,510

Enbridge,

Inc.(1)

56,281

1,638,880

Fortis,

Inc.(1)

14,514

559,706

Franco-Nevada

Corp.(1)

12,106

1,209,568

Gildan

Activewear

,

Inc.(1)

2,639

33,641

H&R,

REIT(1)

6,132

38,911

Hydro

One

Ltd.(1)(b)

25,856

465,566

iA

Financial

Corp.,

Inc.(1)

6,988

219,675

Intact

Financial

Corp.(1)

11,818

1,021,405

International

Petroleum

Corp.*(a)

14,226

16,688

Kinross

Gold

Corp.(1)*

81,194

325,976

Manulife

Financial

Corp.(1)

76,901

965,566

Metro,

Inc.(1)

11,804

477,344

National

Bank

of

Canada(1)

11,414

441,134

Onex

Corp.(1)

2,666

97,581

Open

Text

Corp.(1)

6,303

220,401

Power

Corp.

of

Canada(1)

23,777

382,514

Restaurant

Brands

International,

Inc.(1)

7,599

306,217

RioCan

,

REIT(1)

8,394

96,209

Shopify,

Inc.,

Class

A(1)*

7,067

2,960,878

SmartCentres

,

REIT(1)

7,922

106,054

Sun

Life

Financial,

Inc.(1)

20,983

674,981

TC

Energy

Corp.(1)

44,204

1,964,727

Thomson

Reuters

Corp.(1)

34,857

2,374,824

Wheaton

Precious

Metals

Corp.(1)

29,558

813,459

WSP

Global,

Inc.(1)

10,798

613,214

30,253,213

—

Denmark

-

3.8%

Carlsberg

A/S,

Class

B

5,906

664,896

Chr

Hansen

Holding

A/S

2,854

210,604

Coloplast

A/S,

Class

B

9,455

1,371,225

Demant

A/S*

5,727

124,696

DSV

Panalpina

A/S

13,398

1,218,268

Genmab

A/S*

4,040

811,509

Novo

Nordisk

A/S,

Class

B

87,155

5,204,557

Novozymes

A/S,

Class

B

3,754

168,392

Orsted

A/S(b)

21,514

2,106,170

Tryg

A/S

24,164

588,147

Vestas

Wind

Systems

A/S

12,683

1,031,961

13,500,425

—

60

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Finland

-

1.4%

Elisa

OYJ

11,401

$

703,709

Fortum

OYJ

16,670

242,499

Kone

OYJ,

Class

B

30,114

1,686,407

Neste

OYJ

22,018

732,045

Orion

OYJ,

Class

B

9,201

374,447

UPM-

Kymmene

OYJ

39,779

1,084,651

4,823,758

—

France

-

9.0%

Accor

SA(a)

3,636

97,685

Air

Liquide

SA

9,615

1,227,331

Airbus

SE

33,184

2,139,767

AXA

SA

23,258

393,803

BNP

Paribas

SA

4,372

127,642

Bouygues

SA

5,122

148,647

Capgemini

SE

2,544

212,583

Cie

Generale

des

Etablissements

Michelin

SCA

4,645

406,832

CNP

Assurances

7,620

73,781

Credit

Agricole

SA

24,445

172,970

Danone

SA

2,756

176,379

Dassault

Systemes

SE

13,270

1,937,302

Edenred

14,443

599,377

Electricite

de

France

SA

55,523

434,163

EssilorLuxottica

SA

12,880

1,363,667

Faurecia

SE

4,781

139,995

Hermes

International

2,446

1,664,286

Ipsen

SA

4,868

249,533

Kering

SA

2,546

1,327,518

Legrand

SA

2,988

190,581

L'Oreal

SA

5,953

1,540,701

LVMH

Moet

Hennessy

Louis

Vuitton

SE

13,129

4,815,081

Orange

SA

52,517

635,848

Pernod

Ricard

SA

4,863

690,236

Peugeot

SA

7,875

102,527

Safran

SA*

17,156

1,519,973

Sanofi

27,530

2,383,409

Sartorius

Stedim

Biotech

1,282

255,828

Schneider

Electric

SE

14,518

1,227,104

SCOR

SE

9,686

213,104

SEB

SA

1,036

128,315

Sodexo

SA(a)

3,300

221,612

Teleperformance

1,125

233,006

Thales

SA

7,548

625,094

TOTAL

SA

20,318

765,558

Ubisoft

Entertainment

SA*

3,711

271,241

Valeo

SA

9,332

151,885

Veolia

Environnement

SA

28,559

603,191

Vinci

SA

20,644

1,686,808

Vivendi

SA

30,525

645,402

31,799,765

—

Germany

-

6.4%

adidas

AG

7,756

1,722,044

Allianz

SE

(Registered)

10,644

1,812,647

Aroundtown

SA

28,804

144,177

Carl

Zeiss

Meditec

AG

6,836

650,928

Delivery

Hero

SE*(b)

16,120

1,185,210

Deutsche

Boerse

AG

9,343

1,283,580

INVESTMENTS

SHARES

VALUE

Germany

-

6.4%

(continued)

Deutsche

Post

AG

(Registered)

38,472

$

1,031,381

Fraport

AG

Frankfurt

Airport

Services

Worldwide

3,366

135,499

GEA

Group

AG

6,902

142,580

Hannover

Rueck

SE

7,005

989,147

KION

Group

AG

3,488

150,116

LANXESS

AG

482

19,186

Merck

KGaA

4,971

501,883

METRO

AG

13,707

116,745

MTU

Aero

Engines

AG

4,854

701,873

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

9,765

1,963,453

Puma

SE

13,797

810,644

RWE

AG

38,686

1,011,701

SAP

SE

50,627

5,652,402

Symrise

AG

8,607

796,224

Volkswagen

AG

3,500

459,192

Vonovia

SE

15,825

787,191

Zalando

SE*(b)

13,494

508,590

22,576,393

—

Hong

Kong

-

0.7%

AIA

Group

Ltd.

19,800

177,302

ASM

Pacific

Technology

Ltd.

17,700

164,120

CLP

Holdings

Ltd.

14,000

128,240

Hang

Lung

Properties

Ltd.

73,000

147,207

Henderson

Land

Development

Co.

Ltd.

29,700

112,411

Hong

Kong

&

China

Gas

Co.

Ltd.

90,495

148,179

MTR

Corp.

Ltd.

25,500

131,163

NWS

Holdings

Ltd.

90,000

91,718

PCCW

Ltd.

187,000

102,544

Power

Assets

Holdings

Ltd.

27,500

163,137

Sino

Land

Co.

Ltd.

102,000

128,373

Swire

Pacific

Ltd.,

Class

A

14,000

89,120

Techtronic

Industries

Co.

Ltd.

100,500

638,166

WH

Group

Ltd.(b)

174,000

160,604

Wheelock

&

Co.

Ltd.

14,000

94,863

2,477,147

—

Italy

-

3.2%

Assicurazioni

Generali

SpA

46,708

632,650

Atlantia

SpA

20,402

253,443

Davide

Campari-Milano

SpA

53,844

386,135

Enel

SpA

461,535

3,183,599

Ferrari

NV

10,929

1,683,448

Intesa

Sanpaolo

SpA

737,096

1,192,667

Leonardo

SpA

46,473

307,241

Mediobanca

Banca

di

Credito

Finanziario

SpA

61,121

333,304

Moncler

SpA

10,999

399,689

Poste

Italiane

SpA

(b)

62,715

527,862

Prysmian

SpA

9,142

145,147

Recordati

SpA

9,093

383,112

Snam

SpA

85,811

392,182

Terna

Rete

Elettrica

Nazionale

SpA

154,257

969,639

UniCredit

SpA

77,815

602,023

11,392,141

—

61

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

25.3%

Advantest

Corp.

26,000

$

1,035,579

Aeon

Mall

Co.

Ltd.

10,300

130,000

Alfresa

Holdings

Corp.

10,300

191,699

Amada

Holdings

Co.

Ltd.

19,900

155,975

ANA

Holdings,

Inc.

7,500

182,728

Asahi

Intecc

Co.

Ltd.

26,200

647,980

Astellas

Pharma,

Inc.

42,000

647,109

Bandai

Namco

Holdings,

Inc.

18,000

873,058

Benesse

Holdings,

Inc.

7,700

195,951

Casio

Computer

Co.

Ltd.

18,100

253,242

Central

Japan

Railway

Co.

700

112,190

Chugai

Pharmaceutical

Co.

Ltd.

23,000

2,661,003

Chugoku

Electric

Power

Co.,

Inc.

(The)

12,300

171,612

Daifuku

Co.

Ltd.

7,500

470,012

Daiichi

Sankyo

Co.

Ltd.

40,800

2,802,007

Daikin

Industries

Ltd.

12,200

1,472,712

Daiwa

House

REIT

Investment

Corp.,

REIT

75

183,819

Disco

Corp.

3,400

661,480

Fast

Retailing

Co.

Ltd.

3,500

1,428,148

FUJIFILM

Holdings

Corp.

12,100

596,283

Fujitsu

Ltd.

14,700

1,324,010

GMO

Payment

Gateway,

Inc.(a)

6,000

420,512

Hakuhodo

DY

Holdings,

Inc.

12,900

130,160

Hamamatsu

Photonics

KK

9,300

377,902

Hikari

Tsushin,

Inc.

4,100

686,065

Hirose

Electric

Co.

Ltd.

1,100

113,402

Hitachi

Ltd.

51,600

1,482,283

Hitachi

Metals

Ltd.

14,700

154,301

Hoshizaki

Corp.

1,400

104,722

Hoya

Corp.

24,500

2,083,272

Hulic

Co.

Ltd.

19,900

201,389

ITOCHU

Corp.

74,500

1,541,749

Itochu

Techno-Solutions

Corp.

18,300

521,191

Japan

Airport

Terminal

Co.

Ltd.

4,900

188,316

Japan

Prime

Realty

Investment

Corp.,

REIT

123

371,618

Japan

Real

Estate

Investment

Corp.,

REIT

154

905,256

Japan

Retail

Fund

Investment

Corp.,

REIT

157

178,473

Kakaku.com,

Inc.

18,700

342,013

Kamigumi

Co.

Ltd.

9,000

151,916

Kansai

Paint

Co.

Ltd.

11,800

223,822

KDDI

Corp.

89,400

2,640,750

Keihan

Holdings

Co.

Ltd.

10,300

456,879

Keio

Corp.

5,700

336,490

Keisei

Electric

Railway

Co.

Ltd.

12,000

346,777

Keyence

Corp.

9,660

3,105,812

Kikkoman

Corp.

3,200

135,678

Kintetsu

Group

Holdings

Co.

Ltd.

6,100

282,321

Kobayashi

Pharmaceutical

Co.

Ltd.

2,900

268,311

Konami

Holdings

Corp.

4,800

147,229

Kurita

Water

Industries

Ltd.

6,600

151,420

Kyocera

Corp.

15,500

914,667

Kyowa

Kirin

Co.

Ltd.

7,700

172,091

Kyushu

Railway

Co.

6,500

186,715

LINE

Corp.*

8,200

395,898

Lion

Corp.

9,500

202,600

INVESTMENTS

SHARES

VALUE

Japan

-

25.3%

(continued)

LIXIL

Group

Corp.

12,700

$

156,479

M3,

Inc.

47,200

1,392,265

Marui

Group

Co.

Ltd.

11,000

184,016

McDonald's

Holdings

Co.

Japan

Ltd.

6,700

302,182

Medipal

Holdings

Corp.

8,800

164,436

MINEBEA

MITSUMI,

Inc.

15,100

223,034

Mitsubishi

Estate

Co.

Ltd.

25,600

378,090

Mitsubishi

Heavy

Industries

Ltd.

13,400

337,706

Mitsui

&

Co.

Ltd.

8,600

119,400

Mitsui

Fudosan

Co.

Ltd.

7,700

133,323

MonotaRO

Co.

Ltd.

5,500

145,318

Murata

Manufacturing

Co.

Ltd.

29,400

1,461,614

Nabtesco

Corp.

6,900

157,836

Nidec

Corp.

3,600

185,524

Nintendo

Co.

Ltd.

6,000

2,331,922

Nippon

Building

Fund,

Inc.,

REIT

153

1,029,224

Nippon

Express

Co.

Ltd.

3,900

190,238

Nippon

Paint

Holdings

Co.

Ltd.

17,800

926,530

Nippon

Prologis

REIT,

Inc.,

REIT

142

357,285

Nippon

Telegraph

&

Telephone

Corp.

153,100

3,661,635

Nissan

Chemical

Corp.

8,300

300,604

Nisshin

Seifun

Group,

Inc.

12,400

206,860

Nissin

Foods

Holdings

Co.

Ltd.

3,400

282,155

Nitori

Holdings

Co.

Ltd.

1,100

148,655

Nomura

Holdings,

Inc.

144,600

610,227

Nomura

Real

Estate

Holdings,

Inc.

8,600

139,155

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

277

352,322

Nomura

Research

Institute

Ltd.

47,000

992,769

NTT

DOCOMO,

Inc.

98,100

3,067,892

Obic

Co.

Ltd.

9,300

1,211,695

Odakyu

Electric

Railway

Co.

Ltd.

9,000

197,651

Olympus

Corp.

95,600

1,378,103

Omron

Corp.

13,400

692,816

Oracle

Corp.

Japan

4,100

357,614

Oriental

Land

Co.

Ltd.

11,200

1,429,759

ORIX

Corp.

7,600

90,673

Otsuka

Corp.

2,900

123,629

Pan

Pacific

International

Holdings

Corp.

26,200

496,158

Park24

Co.

Ltd.

8,600

126,778

PeptiDream

,

Inc.*

7,900

274,992

Rakuten

,

Inc.

46,900

353,582

Recruit

Holdings

Co.

Ltd.

74,600

1,927,013

Renesas

Electronics

Corp.*

72,900

259,310

Sankyo

Co.

Ltd.

5,100

147,903

Santen

Pharmaceutical

Co.

Ltd.

12,000

205,941

Secom

Co.

Ltd.

5,100

421,812

Sega

Sammy

Holdings,

Inc.

13,200

160,146

Sekisui

Chemical

Co.

Ltd.

14,500

191,024

Sekisui

House

Ltd.

34,800

573,923

SG

Holdings

Co.

Ltd.

14,500

345,368

Sharp

Corp.*(a)

18,900

196,192

Shimadzu

Corp.

14,000

365,375

Shimano,

Inc.

1,700

242,443

Shimizu

Corp.

21,800

169,644

Shin-Etsu

Chemical

Co.

Ltd.

21,800

2,142,661

Shionogi

&

Co.

Ltd.

3,300

162,556

62

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

25.3%

(continued)

Shiseido

Co.

Ltd.

7,000

$

411,407

SMC

Corp.

3,500

1,467,353

SoftBank

Group

Corp.

8,100

286,759

Sony

Corp.

58,500

3,465,165

Sony

Financial

Holdings,

Inc.

12,900

216,613

Square

Enix

Holdings

Co.

Ltd.

4,000

178,703

Stanley

Electric

Co.

Ltd.

5,600

109,921

Subaru

Corp.

9,300

177,770

SUMCO

Corp.

8,700

110,550

Sumitomo

Realty

&

Development

Co.

Ltd.

6,400

156,274

Suzuken

Co.

Ltd.

5,800

210,725

Sysmex

Corp.

6,400

463,199

Taiyo

Nippon

Sanso

Corp.

28,700

424,676

TDK

Corp.

8,200

630,491

Terumo

Corp.

27,000

925,057

Tobu

Railway

Co.

Ltd.

7,400

258,164

Toho

Co.

Ltd.

9,400

287,422

Toho

Gas

Co.

Ltd.

10,900

491,381

Tokio

Marine

Holdings,

Inc.

2,500

114,386

Tokyo

Electron

Ltd.

10,700

1,994,197

Tokyu

Corp.

11,600

182,287

Toyo

Seikan

Group

Holdings

Ltd.

9,200

104,947

Toyoda

Gosei

Co.

Ltd.

7,500

127,641

Toyota

Motor

Corp.

62,600

3,772,585

Trend

Micro,

Inc.

3,100

153,085

Unicharm

Corp.

4,000

149,735

United

Urban

Investment

Corp.,

REIT

235

235,109

USS

Co.

Ltd.

10,400

142,610

Welcia

Holdings

Co.

Ltd.

5,400

379,168

West

Japan

Railway

Co.

6,900

471,925

Yamaha

Corp.

7,600

294,541

Yaskawa

Electric

Corp.

6,600

179,458

Z

Holdings

Corp.

250,900

799,909

89,675,267

—

Luxembourg

-

0.1%

Eurofins

Scientific

SE

745

363,560

Netherlands

-

3.9%

Adyen

NV*(b)

885

752,157

Akzo

Nobel

NV

9,486

623,882

Altice

Europe

NV*

76,081

293,633

ASML

Holding

NV

25,193

6,641,250

Just

Eat

Takeaway*(b)

5,276

398,986

Koninklijke

DSM

NV

14,167

1,593,630

Koninklijke

Philips

NV

37,885

1,555,459

Randstad

NV*

4,730

166,931

Wolters

Kluwer

NV

25,073

1,774,770

13,800,698

—

Norway

-

0.2%

Gjensidige

Forsikring

ASA

12,009

204,504

Mowi

ASA

8,558

129,392

Orkla

ASA

13,740

117,720

Schibsted

ASA,

Class

B

11,928

215,776

667,392

—

INVESTMENTS

SHARES

VALUE

Portugal

-

0.1%

Jeronimo

Martins

SGPS

SA

9,819

$

177,224

Singapore

-

0.5%

Ascendas

,

REIT

181,000

358,382

CapitaLand

Ltd.

50,400

100,998

CapitaLand

Mall

Trust,

REIT

108,400

135,919

ComfortDelGro

Corp.

Ltd.

125,500

133,637

Jardine

Cycle

&

Carriage

Ltd.

6,800

93,495

Singapore

Airlines

Ltd.

25,600

103,914

Singapore

Technologies

Engineering

Ltd.

74,000

161,899

United

Overseas

Bank

Ltd.

7,300

100,156

UOL

Group

Ltd.

27,100

124,333

Venture

Corp.

Ltd.

16,500

157,180

Wilmar

International

Ltd.

75,800

171,415

1,641,328

—

South

Africa

-

0.1%

Anglo

American

plc

12,246

214,594

Spain

-

1.8%

Aena

SME

SA(b)

2,052

222,631

Amadeus

IT

Group

SA

5,525

260,056

Cellnex

Telecom

SA(b)

22,973

1,042,112

Endesa

SA

19,574

414,194

Ferrovial

SA

43,348

1,028,940

Grifols

SA

14,030

469,407

Iberdrola

SA

291,632

2,852,456

6,289,796

—

Sweden

-

3.5%

Alfa

Laval

AB

15,089

258,339

Assa

Abloy

AB,

Class

B

48,365

902,912

Atlas

Copco

AB,

Class

A

73,772

2,453,234

Boliden

AB

5,949

106,724

Electrolux

AB,

Series

B

9,980

123,290

Electrolux

Professional

AB,

Class

B*

11,232

32,359

Epiroc

AB,

Class

A

41,672

411,781

Essity

AB,

Class

B

15,710

481,254

Hennes

&

Mauritz

AB,

Class

B

82,649

1,057,642

Hexagon

AB,

Class

B

4,882

206,436

ICA

Gruppen

AB

10,660

445,219

Industrivarden

AB,

Class

C

9,805

187,741

Investor

AB,

Class

B

25,163

1,135,195

L

E

Lundbergforetagen

AB,

Class

B

6,752

273,710

Sandvik

AB

53,998

759,573

Securitas

AB,

Class

B

12,926

138,857

Skandinaviska

Enskilda

Banken

AB,

Class

A

49,768

333,299

Skanska

AB,

Class

B*

24,666

371,203

SKF

AB,

Class

B

32,512

443,046

Swedish

Match

AB

10,259

580,861

Tele2

AB,

Class

B

44,473

592,515

Volvo

AB,

Class

B

94,436

1,122,460

12,417,650

—

Switzerland

-

14.8%

ABB

Ltd.

(Registered)

30,804

535,406

Adecco

Group

AG

(Registered)

6,438

253,700

Alcon,

Inc.*

3,558

182,279

63

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Switzerland

-

14.8%

(continued)

Baloise

Holding

AG

(Registered)

3,867

$

504,148

Barry

Callebaut

AG

(Registered)

284

568,440

Chocoladefabriken

Lindt

&

Spruengli

AG

89

747,019

Coca-Cola

HBC

AG

15,239

326,820

EMS-

Chemie

Holding

AG

(Registered)

754

470,250

Geberit

AG

(Registered)

2,660

1,165,558

Givaudan

SA

(Registered)

447

1,375,409

Julius

Baer

Group

Ltd.*

5,602

187,653

Kuehne

+

Nagel

International

AG

(Registered)

2,686

365,889

LafargeHolcim

Ltd.

(Registered)*

10,635

388,109

Lonza

Group

AG

(Registered)*

2,704

1,112,220

Nestle

SA

(Registered)

121,523

12,440,041

Novartis

AG

(Registered)

103,301

8,522,212

Partners

Group

Holding

AG

1,792

1,226,921

Roche

Holding

AG

36,449

11,727,174

SGS

SA

(Registered)

122

281,390

Sika

AG

(Registered)

9,247

1,518,476

Sonova

Holding

AG

(Registered)

3,927

700,241

STMicroelectronics

NV

36,968

794,687

Straumann

Holding

AG

(Registered)

1,105

807,871

Swiss

Life

Holding

AG

(Registered)

3,645

1,223,430

Swiss

Prime

Site

AG

(Registered)

3,193

310,776

Swiss

Re

AG

9,034

695,608

Temenos

AG

(Registered)*

3,131

408,125

Vifor

Pharma

AG

4,773

652,984

Zurich

Insurance

Group

AG

8,168

2,869,472

52,362,308

—

United

Arab

Emirates

-

0.0%(c)

NMC

Health

plc

13,256

19,221

United

Kingdom

-

8.1%

3i

Group

plc

56,789

550,264

Admiral

Group

plc

13,052

359,454

Ashtead

Group

plc

29,553

638,757

AstraZeneca

plc

67,388

6,004,194

Auto

Trader

Group

plc(b)

68,687

371,170

Aviva

plc

36,331

119,447

BAE

Systems

plc

68,337

439,067

Barratt

Developments

plc

64,340

347,778

Berkeley

Group

Holdings

plc

5,281

235,710

British

American

Tobacco

plc

26,244

894,009

BT

Group

plc

75,609

109,978

Bunzl

plc

10,364

207,452

Burberry

Group

plc

8,832

143,562

Compass

Group

plc

59,592

928,450

Croda

International

plc

4,518

238,359

DCC

plc

1,961

122,467

Diageo

plc

57,465

1,822,188

Direct

Line

Insurance

Group

plc

116,965

427,005

easyJet

plc

16,101

111,573

Experian

plc

32,046

890,601

GlaxoSmithKline

plc

132,888

2,493,533

Hargreaves

Lansdown

plc

23,127

392,948

HSBC

Holdings

plc

112,182

629,764

InterContinental

Hotels

Group

plc

4,113

174,980

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

8.1%

(continued)

Intertek

Group

plc

14,454

$

844,476

ITV

plc

141,143

115,827

JD

Sports

Fashion

plc

40,506

226,864

Legal

&

General

Group

plc

133,260

314,853

London

Stock

Exchange

Group

plc

5,684

508,467

Melrose

Industries

plc

100,247

111,398

Mondi

plc

10,030

169,263

National

Grid

plc

111,896

1,307,424

Next

plc

3,026

151,811

Persimmon

plc

15,236

360,159

Prudential

plc

29,533

370,044

Reckitt

Benckiser

Group

plc

4,680

356,502

RELX

plc

26,060

556,184

Rolls-Royce

Holdings

plc*

26,282

111,080

Sage

Group

plc

(The)

48,044

349,354

Smith

&

Nephew

plc

45,553

802,485

St

James's

Place

plc

14,155

132,178

Taylor

Wimpey

plc

151,984

218,699

Tesco

plc

375,661

1,060,877

Unilever

plc

22,505

1,134,931

United

Utilities

Group

plc

35,450

396,824

Vodafone

Group

plc

114,341

158,184

Whitbread

plc

7,536

279,296

28,689,890

—

United

States

-

0.2%

Bausch

Health

Cos.,

Inc.(1)*

7,425

115,071

Ferguson

plc

7,344

454,097

569,168

—

TOTAL

COMMON

STOCKS

(Cost

$343,266,934)

344,600,529

SHORT-TERM

INVESTMENTS

-

1.4%

INVESTMENT

COMPANIES

-

1.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(d)

15

15

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

5,050,696

5,057,262

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$5,050,259)

5,057,277

64

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(d)(e)

96,548

$

96,548

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(d)(e)

294,520

294,903

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$391,068)

391,451

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.0%

(Cost

$348,708,261)

350,049,257

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.0%(f)

3,410,702

NET

ASSETS

-

100.0%

$353,459,959

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

21,105,753

6.0

%

Consumer

Discretionary

40,199,042

11.4

Consumer

Staples

30,543,992

8.6

Energy

5,385,158

1.5

Financials

35,482,237

10.0

Health

Care

68,635,905

19.4

Industrials

52,292,194

14.8

Information

Technology

42,107,162

11.9

Materials

21,502,709

6.1

Real

Estate

9,485,567

2.7

Utilities

17,860,810

5.1

Short-Term

Investments

5,057,277

1.4

Securities

Lending

Collateral

391,451

0.1

Total

Investments

In

Securities

At

Value

350,049,257

99.0

Other

Assets

in

Excess

of

Liabilities(f)

3,410,702

1.0

Net

Assets

$

353,459,959

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$1,423,636.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$7,741,058,

which

represents

approximately

2.19%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$1,080,020

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

79

6/2020

USD

$

6,159,235

$

787,822

$

787,822

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

(13,172)

$

(13,172)

65

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

98.1%

Aerospace

&

Defense

-

2.9%

Arconic

,

Inc.

10,676

$

171,457

BWX

Technologies,

Inc.

1,737

84,609

General

Dynamics

Corp.

5,269

697,141

HEICO

Corp.

1,570

117,138

Huntington

Ingalls

Industries,

Inc.

1,500

273,315

L3Harris

Technologies,

Inc.

1,066

192,008

Lockheed

Martin

Corp.

6,149

2,084,204

Northrop

Grumman

Corp.

5,628

1,702,751

Teledyne

Technologies,

Inc.*

513

152,500

TransDigm

Group,

Inc.

850

272,161

5,747,284

Air

Freight

&

Logistics

-

0.0%(a)

XPO

Logistics,

Inc.*

1,289

62,839

Airlines

-

0.3%

Delta

Air

Lines,

Inc.

7,213

205,787

Southwest

Airlines

Co.

9,927

353,500

United

Airlines

Holdings,

Inc.*

2,545

80,295

639,582

Auto

Components

-

0.1%

Gentex

Corp.

12,779

283,183

Automobiles

-

0.3%

Tesla,

Inc.*

1,220

639,280

Banks

-

2.5%

Bank

of

America

Corp.

46,082

978,321

Bank

OZK

3,758

62,759

Citigroup,

Inc.

7,306

307,729

Fifth

Third

Bancorp

4,544

67,478

First

Citizens

BancShares

,

Inc.,

Class

A

367

122,163

First

Republic

Bank

4,040

332,411

Huntington

Bancshares,

Inc.

10,400

85,384

JPMorgan

Chase

&

Co.

29,350

2,642,380

KeyCorp

14,460

149,950

Pinnacle

Financial

Partners,

Inc.

1,809

67,910

PNC

Financial

Services

Group,

Inc.

(The)

743

71,120

SVB

Financial

Group*

700

105,756

Western

Alliance

Bancorp

3,532

108,115

5,101,476

Beverages

-

1.9%

Coca-Cola

Co.

(The)

27,606

1,221,565

Constellation

Brands,

Inc.,

Class

A

4,147

594,514

Monster

Beverage

Corp.*

4,800

270,048

PepsiCo,

Inc.

14,326

1,720,553

3,806,680

Biotechnology

-

1.1%

AbbVie,

Inc.

1,177

89,676

Alnylam

Pharmaceuticals,

Inc.*

1,125

122,456

Amgen,

Inc.

3,490

707,528

INVESTMENTS

SHARES

VALUE

Biotechnology

-

1.1%

(continued)

Exact

Sciences

Corp.*

3,222

$

186,876

Incyte

Corp.*

2,919

213,758

Neurocrine

Biosciences,

Inc.*

810

70,106

Regeneron

Pharmaceuticals,

Inc.*

239

116,701

Seattle

Genetics,

Inc.*

2,492

287,527

Vertex

Pharmaceuticals,

Inc.*

2,160

513,972

2,308,600

Building

Products

-

0.6%

AO

Smith

Corp.(b)

4,045

152,942

Armstrong

World

Industries,

Inc.

5,036

399,959

Fortune

Brands

Home

&

Security,

Inc.

1,893

81,872

Lennox

International,

Inc.

462

83,987

Masco

Corp.

3,043

105,197

Owens

Corning

2,263

87,827

Trane

Technologies

plc

3,592

296,663

1,208,447

Capital

Markets

-

2.1%

BlackRock,

Inc.

365

160,589

Cboe

Global

Markets,

Inc.

1,552

138,516

CME

Group,

Inc.

4,535

784,147

Interactive

Brokers

Group,

Inc.,

Class

A

1,511

65,230

Intercontinental

Exchange,

Inc.

4,335

350,051

LPL

Financial

Holdings,

Inc.

9,563

520,514

MarketAxess

Holdings,

Inc.

437

145,333

Moody's

Corp.

2,295

485,392

Morgan

Stanley

4,270

145,180

Morningstar,

Inc.

824

95,790

MSCI,

Inc.

1,404

405,700

Northern

Trust

Corp.

2,636

198,913

S&P

Global,

Inc.

3,044

745,932

4,241,287

Chemicals

-

1.0%

Air

Products

&

Chemicals,

Inc.

1,700

339,337

Ecolab,

Inc.

2,796

435,701

Linde

plc

(United

Kingdom)

1,465

253,445

PPG

Industries,

Inc.

2,626

219,533

Scotts

Miracle-

Gro

Co.

(The)

3,000

307,200

Sherwin-Williams

Co.

(The)

961

441,599

1,996,815

Commercial

Services

&

Supplies

-

0.7%

Cintas

Corp.

848

146,891

Copart

,

Inc.*

2,139

146,564

Republic

Services,

Inc.

6,393

479,859

Waste

Management,

Inc.

5,772

534,256

1,307,570

Communications

Equipment

-

1.2%

Arista

Networks,

Inc.*

2,552

516,908

Cisco

Systems,

Inc.

33,377

1,312,050

66

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Communications

Equipment

-

1.2%

(continued)

F5

Networks,

Inc.*

1,094

$

116,653

Motorola

Solutions,

Inc.

762

101,285

Ubiquiti,

Inc.

2,306

326,483

2,373,379

Construction

&

Engineering

-

0.1%

Jacobs

Engineering

Group,

Inc.

3,480

275,860

Construction

Materials

-

0.2%

Martin

Marietta

Materials,

Inc.

944

178,633

Vulcan

Materials

Co.

2,911

314,592

493,225

Consumer

Finance

-

0.4%

American

Express

Co.

3,959

338,930

Credit

Acceptance

Corp.*(b)

746

190,745

Navient

Corp.

10,107

76,611

Santander

Consumer

USA

Holdings,

Inc.

18,692

260,005

866,291

Containers

&

Packaging

-

0.2%

Ball

Corp.

3,413

220,685

Crown

Holdings,

Inc.*

1,708

99,132

319,817

Distributors

-

0.1%

LKQ

Corp.*

5,377

110,282

Pool

Corp.

759

149,349

259,631

Diversified

Consumer

Services

-

0.1%

Bright

Horizons

Family

Solutions,

Inc.*

1,180

120,360

Diversified

Financial

Services

-

0.0%(a)

Berkshire

Hathaway,

Inc.,

Class

B*

365

66,733

Diversified

Telecommunication

Services

-

1.2%

AT&T,

Inc.

80,228

2,338,646

Electric

Utilities

-

3.5%

Alliant

Energy

Corp.

13,865

669,541

American

Electric

Power

Co.,

Inc.

8,036

642,719

Entergy

Corp.

6,202

582,802

Eversource

Energy

9,302

727,509

FirstEnergy

Corp.

21,735

870,922

Hawaiian

Electric

Industries,

Inc.(b)

4,645

199,967

NextEra

Energy,

Inc.

9,730

2,341,233

Southern

Co.

(The)

9,499

514,276

Xcel

Energy,

Inc.

9,910

597,573

7,146,542

Electrical

Equipment

-

0.1%

Eaton

Corp.

plc

2,334

181,328

Electronic

Equipment,

Instruments

&

Components

-

0.4%

Cognex

Corp.

2,862

120,834

Corning,

Inc.

11,812

242,618

INVESTMENTS

SHARES

VALUE

Electronic

Equipment,

Instruments

&

Components

-

0.4%

(continued)

Dolby

Laboratories,

Inc.,

Class

A

1,816

$

98,445

Jabil,

Inc.

3,242

79,688

Keysight

Technologies,

Inc.*

1,638

137,068

SYNNEX

Corp.

1,195

87,355

Zebra

Technologies

Corp.,

Class

A*

696

127,786

893,794

Entertainment

-

1.6%

Activision

Blizzard,

Inc.*

10,763

640,183

Electronic

Arts,

Inc.*

6,096

610,636

Madison

Square

Garden

Co.

(The),

Class

A*

316

66,806

Netflix,

Inc.*

2,524

947,762

Roku,

Inc.*

4,952

433,201

Take-Two

Interactive

Software,

Inc.*

733

86,941

Walt

Disney

Co.

(The)

4,986

481,648

3,267,177

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.5%

American

Tower

Corp.

8,424

1,834,326

AvalonBay

Communities,

Inc.

2,379

350,117

Camden

Property

Trust

763

60,460

Crown

Castle

International

Corp.

4,065

586,986

CyrusOne

,

Inc.

1,564

96,577

Digital

Realty

Trust,

Inc.

4,081

566,892

Duke

Realty

Corp.

3,458

111,970

Equinix

,

Inc.

459

286,678

Equity

LifeStyle

Properties,

Inc.

18,448

1,060,391

Equity

Residential

3,063

189,018

Essex

Property

Trust,

Inc.

1,860

409,646

Extra

Space

Storage,

Inc.

4,813

460,893

Healthpeak

Properties,

Inc.

9,762

232,824

Life

Storage,

Inc.

1,153

109,016

Medical

Properties

Trust,

Inc.

9,440

163,218

Mid-America

Apartment

Communities,

Inc.

4,260

438,908

Omega

Healthcare

Investors,

Inc.

3,525

93,553

Realty

Income

Corp.

6,726

335,358

SBA

Communications

Corp.

296

79,911

Spirit

Realty

Capital,

Inc.

11,886

310,819

STORE

Capital

Corp.

8,339

151,103

Sun

Communities,

Inc.

7,293

910,531

UDR,

Inc.

2,100

76,734

WP

Carey,

Inc.

2,264

131,493

9,047,422

Food

&

Staples

Retailing

-

3.2%

Casey's

General

Stores,

Inc.

5,641

747,376

Costco

Wholesale

Corp.

6,281

1,790,902

Sysco

Corp.

2,572

117,360

Walmart,

Inc.

33,845

3,845,469

6,501,107

67

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Food

Products

-

1.0%

Campbell

Soup

Co.

4,343

$

200,473

Conagra

Brands,

Inc.

8,173

239,796

General

Mills,

Inc.

2,972

156,833

Hershey

Co.

(The)

4,860

643,950

Mondelez

International,

Inc.,

Class

A

8,827

442,056

Post

Holdings,

Inc.*

1,066

88,446

Tyson

Foods,

Inc.,

Class

A

5,543

320,773

2,092,327

Gas

Utilities

-

0.1%

Atmos

Energy

Corp.

1,177

116,794

Health

Care

Equipment

&

Supplies

-

4.3%

Abbott

Laboratories

10,679

842,680

Align

Technology,

Inc.*

2,008

349,292

Baxter

International,

Inc.

4,579

371,769

Becton

Dickinson

and

Co.

1,281

294,335

Boston

Scientific

Corp.*

20,239

660,399

Danaher

Corp.

5,248

726,376

Dentsply

Sirona,

Inc.

3,440

133,575

DexCom

,

Inc.*

2,521

678,830

Edwards

Lifesciences

Corp.*

3,270

616,787

IDEXX

Laboratories,

Inc.*

2,339

566,599

Insulet

Corp.*

2,487

412,046

Intuitive

Surgical,

Inc.*

2,336

1,156,811

Masimo

Corp.*

1,142

202,271

Medtronic

plc

7,205

649,747

ResMed

,

Inc.

1,105

162,755

STERIS

plc

836

117,015

Stryker

Corp.

2,501

416,391

Teleflex,

Inc.

1,073

314,239

8,671,917

Health

Care

Providers

&

Services

-

2.5%

AmerisourceBergen

Corp.

1,061

93,899

Anthem,

Inc.

4,358

989,440

Centene

Corp.*

4,641

275,722

Chemed

Corp.

1,112

481,718

CVS

Health

Corp.

997

59,152

HCA

Healthcare,

Inc.

2,023

181,767

UnitedHealth

Group,

Inc.

11,735

2,926,474

5,008,172

Health

Care

Technology

-

0.3%

Veeva

Systems,

Inc.,

Class

A*

3,215

502,730

Hotels,

Restaurants

&

Leisure

-

1.3%

Chipotle

Mexican

Grill,

Inc.*

653

427,323

Domino's

Pizza,

Inc.

406

131,572

Hilton

Worldwide

Holdings,

Inc.

1,302

88,849

Marriott

International,

Inc.,

Class

A

1,483

110,943

McDonald's

Corp.

3,466

573,103

Starbucks

Corp.

17,686

1,162,678

INVESTMENTS

SHARES

VALUE

Hotels,

Restaurants

&

Leisure

-

1.3%

(continued)

Yum!

Brands,

Inc.

2,650

$

181,605

2,676,073

Household

Durables

-

0.7%

DR

Horton,

Inc.

9,785

332,690

Garmin

Ltd.

3,240

242,870

Lennar

Corp.,

Class

A

5,787

221,063

NVR,

Inc.*

115

295,448

PulteGroup,

Inc.

15,206

339,398

1,431,469

Household

Products

-

1.9%

Church

&

Dwight

Co.,

Inc.

1,169

75,026

Procter

&

Gamble

Co.

(The)

33,244

3,656,840

3,731,866

Industrial

Conglomerates

-

1.1%

3M

Co.

3,200

436,832

Carlisle

Cos.,

Inc.

1,426

178,649

General

Electric

Co.

99,746

791,983

Honeywell

International,

Inc.

5,345

715,108

Roper

Technologies,

Inc.

290

90,425

2,212,997

Insurance

-

1.6%

Alleghany

Corp.

148

81,748

American

Financial

Group,

Inc.

1,717

120,327

Aon

plc

3,090

509,974

Arch

Capital

Group

Ltd.*

8,904

253,408

Brown

&

Brown,

Inc.

3,148

114,020

Chubb

Ltd.

4,582

511,763

Cincinnati

Financial

Corp.

667

50,325

Everest

Re

Group

Ltd.

999

192,227

Hartford

Financial

Services

Group,

Inc.

(The)

3,282

115,658

Markel

Corp.*

231

214,343

Progressive

Corp.

(The)

7,933

585,773

RenaissanceRe

Holdings

Ltd.

513

76,601

Travelers

Cos.,

Inc.

(The)

3,459

343,652

3,169,819

Interactive

Media

&

Services

-

3.1%

Alphabet,

Inc.,

Class

A*

1,509

1,753,382

Facebook,

Inc.,

Class

A*

22,352

3,728,314

IAC/InterActiveCorp*

1,557

279,061

Match

Group,

Inc.*(b)

7,349

485,328

6,246,085

Internet

&

Direct

Marketing

Retail

-

1.2%

Amazon.com,

Inc.*

1,028

2,004,312

Booking

Holdings,

Inc.*

191

256,956

eBay,

Inc.

5,946

178,737

2,440,005

68

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

7.9%

Accenture

plc,

Class

A

7,038

$

1,149,024

Akamai

Technologies,

Inc.*

1,027

93,960

Automatic

Data

Processing,

Inc.

4,254

581,437

Booz

Allen

Hamilton

Holding

Corp.

4,479

307,439

CACI

International,

Inc.,

Class

A*

494

104,308

Cognizant

Technology

Solutions

Corp.,

Class

A

4,878

226,681

EPAM

Systems,

Inc.*

1,173

217,779

Fidelity

National

Information

Services,

Inc.

3,848

468,071

Fiserv,

Inc.*

7,112

675,569

FleetCor

Technologies,

Inc.*

1,395

260,223

Genpact

Ltd.

2,911

85,001

Global

Payments,

Inc.

3,991

575,622

GoDaddy

,

Inc.,

Class

A*

1,956

111,707

Jack

Henry

&

Associates,

Inc.

1,350

209,574

Leidos

Holdings,

Inc.

822

75,336

Mastercard

,

Inc.,

Class

A

12,975

3,134,241

MongoDB,

Inc.*

963

131,488

Okta

,

Inc.*

7,267

888,463

PayPal

Holdings,

Inc.*

11,695

1,119,679

Square,

Inc.,

Class

A*

12,932

677,378

Twilio

,

Inc.,

Class

A*(b)

4,400

393,756

VeriSign,

Inc.*

939

169,105

Visa,

Inc.,

Class

A

25,958

4,182,353

Western

Union

Co.

(The)

5,645

102,344

15,940,538

Leisure

Products

-

0.0%(a)

Brunswick

Corp.

1,969

69,643

Life

Sciences

Tools

&

Services

-

1.1%

Bruker

Corp.

1,537

55,117

Illumina,

Inc.*

1,522

415,689

IQVIA

Holdings,

Inc.*

2,083

224,672

Thermo

Fisher

Scientific,

Inc.

5,346

1,516,125

2,211,603

Machinery

-

1.5%

Caterpillar,

Inc.

4,750

551,190

Colfax

Corp.*

3,550

70,290

Deere

&

Co.

2,753

380,354

Dover

Corp.

2,076

174,259

Fortive

Corp.

2,886

159,278

Illinois

Tool

Works,

Inc.

3,505

498,131

Ingersoll

Rand,

Inc.*

8,065

200,012

ITT,

Inc.

1,677

76,069

Middleby

Corp.

(The)*

1,800

102,384

Nordson

Corp.

909

122,779

Parker-Hannifin

Corp.

1,500

194,595

Timken

Co.

(The)

2,338

75,611

Xylem,

Inc.

6,645

432,789

3,037,741

INVESTMENTS

SHARES

VALUE

Media

-

2.1%

Altice

USA,

Inc.,

Class

A*

4,637

$

103,359

Cable

One,

Inc.

884

1,453,305

Charter

Communications,

Inc.,

Class

A*

3,818

1,665,831

Comcast

Corp.,

Class

A

27,438

943,318

Liberty

Broadband

Corp.,

Class

C*

872

96,548

4,262,361

Metals

&

Mining

-

0.2%

Newmont

Corp.

6,993

316,643

Reliance

Steel

&

Aluminum

Co.

703

61,576

Royal

Gold,

Inc.

1,081

94,814

473,033

Multiline

Retail

-

0.8%

Dollar

General

Corp.

3,921

592,110

Dollar

Tree,

Inc.*

2,274

167,071

Target

Corp.

8,414

782,250

1,541,431

Multi-Utilities

-

1.2%

Ameren

Corp.

4,264

310,547

CMS

Energy

Corp.

10,782

633,442

Consolidated

Edison,

Inc.

1,980

154,440

DTE

Energy

Co.

3,287

312,166

Sempra

Energy

1,637

184,965

WEC

Energy

Group,

Inc.

8,243

726,456

2,322,016

Oil,

Gas

&

Consumable

Fuels

-

0.0%(a)

Valero

Energy

Corp.

2,092

94,893

Personal

Products

-

0.5%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

6,322

1,007,347

Pharmaceuticals

-

2.1%

Bristol-Myers

Squibb

Co.

22,646

1,262,288

Eli

Lilly

&

Co.

7,307

1,013,627

Horizon

Therapeutics

plc*

10,745

318,267

Johnson

&

Johnson

4,675

613,033

Zoetis,

Inc.

9,446

1,111,699

4,318,914

Professional

Services

-

0.5%

CoStar

Group,

Inc.*

838

492,082

Equifax,

Inc.

651

77,762

TransUnion

3,347

221,505

Verisk

Analytics,

Inc.

906

126,278

917,627

Road

&

Rail

-

0.8%

CSX

Corp.

10,461

599,415

Norfolk

Southern

Corp.

2,500

365,000

Old

Dominion

Freight

Line,

Inc.

2,934

385,117

69

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Road

&

Rail

-

0.8%

(continued)

Union

Pacific

Corp.

2,312

$

326,085

1,675,617

Semiconductors

&

Semiconductor

Equipment

-

5.2%

Advanced

Micro

Devices,

Inc.*

24,438

1,111,440

Analog

Devices,

Inc.

949

85,078

Applied

Materials,

Inc.

15,811

724,460

Broadcom,

Inc.

2,634

624,521

Entegris

,

Inc.

9,379

419,898

Intel

Corp.

4,269

231,038

KLA

Corp.

3,897

560,155

Lam

Research

Corp.

3,477

834,480

Marvell

Technology

Group

Ltd.

4,900

110,887

Microchip

Technology,

Inc.

2,756

186,857

Micron

Technology,

Inc.*

14,403

605,790

NVIDIA

Corp.

7,373

1,943,523

Qorvo

,

Inc.*

1,206

97,240

QUALCOMM,

Inc.

9,738

658,776

Skyworks

Solutions,

Inc.

3,805

340,091

Teradyne,

Inc.

4,922

266,625

Texas

Instruments,

Inc.

12,751

1,274,207

Universal

Display

Corp.

675

88,951

Xilinx,

Inc.

2,784

216,985

10,381,002

Software

-

14.1%

Adobe,

Inc.*

10,510

3,344,703

Alteryx,

Inc.,

Class

A*

3,266

310,825

ANSYS,

Inc.*

2,671

620,927

Atlassian

Corp.

plc,

Class

A*

8,049

1,104,806

Autodesk,

Inc.*

2,283

356,376

Avalara,

Inc.*

3,182

237,377

Coupa

Software,

Inc.*

3,192

446,018

DocuSign,

Inc.*

2,279

210,580

Fair

Isaac

Corp.*

332

102,153

Fortinet,

Inc.*

1,306

132,128

Guidewire

Software,

Inc.*

2,220

176,068

Intuit,

Inc.

4,182

961,860

Microsoft

Corp.

93,954

14,817,485

Palo

Alto

Networks,

Inc.*

1,095

179,536

Paycom

Software,

Inc.*

2,422

489,268

Paylocity

Holding

Corp.*

1,109

97,947

RingCentral,

Inc.,

Class

A*

4,984

1,056,160

salesforce.com,

Inc.*

6,637

955,595

ServiceNow

,

Inc.*

4,455

1,276,714

Smartsheet

,

Inc.,

Class

A*

1,825

75,756

Splunk

,

Inc.*

1,580

199,443

SS&C

Technologies

Holdings,

Inc.

2,522

110,514

Trade

Desk,

Inc.

(The),

Class

A*

532

102,676

VMware,

Inc.,

Class

A*

2,626

318,009

Zendesk

,

Inc.*

7,803

499,470

Zscaler

,

Inc.*(b)

2,599

158,175

28,340,569

INVESTMENTS

SHARES

VALUE

Specialty

Retail

-

2.3%

AutoZone,

Inc.*

172

$

145,512

Best

Buy

Co.,

Inc.

2,009

114,513

Burlington

Stores,

Inc.*

2,806

444,639

CarMax,

Inc.*

1,221

65,726

Floor

&

Decor

Holdings,

Inc.,

Class

A*

5,124

164,429

Home

Depot,

Inc.

(The)

6,163

1,150,694

Lowe's

Cos.,

Inc.

5,244

451,246

O'Reilly

Automotive,

Inc.*

1,664

500,947

Ross

Stores,

Inc.

9,970

867,091

TJX

Cos.,

Inc.

(The)

6,890

329,411

Ulta

Beauty,

Inc.*

1,847

324,518

4,558,726

Technology

Hardware,

Storage

&

Peripherals

-

7.0%

Apple,

Inc.

55,481

14,108,264

NetApp,

Inc.

1,738

72,457

14,180,721

Textiles,

Apparel

&

Luxury

Goods

-

0.6%

Lululemon

Athletica,

Inc.*

1,508

285,841

NIKE,

Inc.,

Class

B

8,122

672,014

VF

Corp.

4,055

219,295

1,177,150

Trading

Companies

&

Distributors

-

0.0%(a)

HD

Supply

Holdings,

Inc.*

2,092

59,476

Water

Utilities

-

0.4%

American

Water

Works

Co.,

Inc.

6,713

802,606

Wireless

Telecommunication

Services

-

0.4%

T-Mobile

US,

Inc.*

8,471

710,717

TOTAL

COMMON

STOCKS

(Cost

$148,010,145)

197,878,340

SHORT-TERM

INVESTMENTS

-

2.1%

INVESTMENT

COMPANIES

-

2.1%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)

(Cost

$4,113,100)

4,113,833

4,119,181

70

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

0.7%

Investment

Companies

-

0.7%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(c)(d)

335,009

$

335,009

Limited

Purpose

Cash

Investment

Fund

0.85%(c)(d)

1,021,945

1,023,273

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,356,954)

1,358,282

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.9%

(Cost

$153,480,199)

203,355,803

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.9)%(e)

(1,732,616)

NET

ASSETS

-

100.0%

$201,623,187

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

16,824,987

8.3

%

Consumer

Discretionary

15,196,951

7.5

Consumer

Staples

17,139,327

8.5

Energy

94,893

0.0

(a)

Financials

13,445,607

6.7

Health

Care

23,021,936

11.4

Industrials

17,326,366

8.6

Information

Technology

72,110,003

35.8

Materials

3,282,890

1.6

Real

Estate

9,047,422

4.5

Utilities

10,387,958

5.2

Short-Term

Investments

4,119,181

2.1

Securities

Lending

Collateral

1,358,282

0.7

Total

Investments

In

Securities

At

Value

203,355,803

100.9

Liabilities

in

Excess

of

Other

Assets(e)

(1,732,616)

(0.9)

Net

Assets

$

201,623,187

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$1,327,296.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

20

6/2020

USD

$

2,569,700

$

11,127

$

11,127

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

495,682

$

495,682

71

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

96.0%

Aerospace

&

Defense

-

1.9%

AAR

Corp.

932

$

16,552

Aerojet

Rocketdyne

Holdings,

Inc.*

3,695

154,562

AeroVironment,

Inc.*

414

25,238

Axon

Enterprise,

Inc.*

1,679

118,823

Cubic

Corp.

579

23,919

Ducommun,

Inc.*

1,446

35,933

Kratos

Defense

&

Security

Solutions,

Inc.*

4,858

67,235

Maxar

Technologies,

Inc.

3,803

40,616

Mercury

Systems,

Inc.*

2,286

163,083

Moog,

Inc.,

Class

A

817

41,283

Triumph

Group,

Inc.

3,370

22,781

Vectrus,

Inc.*

1,101

45,592

755,617

Air

Freight

&

Logistics

-

0.1%

Air

Transport

Services

Group,

Inc.*

995

18,189

Forward

Air

Corp.

274

13,878

32,067

Airlines

-

0.2%

Allegiant

Travel

Co.

643

52,598

SkyWest,

Inc.

1,381

36,168

88,766

Auto

Components

-

0.6%

Cooper

Tire

&

Rubber

Co.

1,986

32,372

Fox

Factory

Holding

Corp.*

1,191

50,022

Gentherm,

Inc.*

1,871

58,749

LCI

Industries(a)

562

37,559

Standard

Motor

Products,

Inc.

1,077

44,771

223,473

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

1,387

38,572

Banks

-

2.7%

Allegiance

Bancshares,

Inc.

1,709

41,204

Banner

Corp.

366

12,093

Carter

Bank

&

Trust

2,383

21,876

Central

Pacific

Financial

Corp.

835

13,277

City

Holding

Co.

492

32,733

Community

Bank

System,

Inc.

439

25,813

Enterprise

Financial

Services

Corp.

616

17,193

First

Bancorp/PR

9,926

52,806

First

Financial

Bankshares,

Inc.

2,155

57,840

First

Interstate

BancSystem,

Inc.,

Class

A

1,291

37,232

Glacier

Bancorp,

Inc.

700

23,804

Great

Southern

Bancorp,

Inc.

460

18,584

Great

Western

Bancorp,

Inc.

996

20,398

Independent

Bank

Corp.

530

34,116

Independent

Bank

Corp./MI

4,596

59,151

Lakeland

Financial

Corp.

1,783

65,525

INVESTMENTS

SHARES

VALUE

Banks

-

2.7%

(continued)

National

Bank

Holdings

Corp.,

Class

A

947

$

22,633

OFG

Bancorp

4,104

45,883

Old

Second

Bancorp,

Inc.

3,326

22,983

Peoples

Bancorp,

Inc.

732

16,214

Preferred

Bank

592

20,021

QCR

Holdings,

Inc.

517

13,995

Republic

Bancorp,

Inc.,

Class

A

560

18,497

S&T

Bancorp,

Inc.

617

16,856

Seacoast

Banking

Corp.

of

Florida*(a)

1,369

25,066

ServisFirst

Bancshares,

Inc.

4,062

119,098

Southside

Bancshares,

Inc.

813

24,707

TriCo

Bancshares

718

21,411

TriState

Capital

Holdings,

Inc.*

1,369

13,238

Triumph

Bancorp,

Inc.*

1,588

41,288

Trustmark

Corp.

538

12,535

United

Bankshares,

Inc.

812

18,741

United

Community

Banks,

Inc.

800

14,648

Veritex

Holdings,

Inc.

1,029

14,375

Westamerica

Bancorp

610

35,856

1,051,690

Beverages

-

0.9%

Boston

Beer

Co.,

Inc.

(The),

Class

A*

671

246,633

Coca-Cola

Consolidated,

Inc.

459

95,715

342,348

Biotechnology

-

10.1%

ACADIA

Pharmaceuticals,

Inc.*

7,837

331,113

Acceleron

Pharma,

Inc.*

1,171

105,238

Adverum

Biotechnologies,

Inc.*(a)

7,460

72,884

Agenus,

Inc.*

6,496

15,915

Allakos,

Inc.*(a)

2,084

92,717

Anika

Therapeutics,

Inc.*

485

14,021

Apellis

Pharmaceuticals,

Inc.*

3,898

104,427

Ardelyx,

Inc.*

6,150

34,963

Arena

Pharmaceuticals,

Inc.*

711

29,862

Arrowhead

Pharmaceuticals,

Inc.*(a)

5,833

167,815

Athersys,

Inc.*

13,981

41,943

Avid

Bioservices,

Inc.*

1,371

7,006

Biohaven

Pharmaceutical

Holding

Co.

Ltd.*

1,207

41,074

BioSpecifics

Technologies

Corp.*

538

30,435

Bioxcel

Therapeutics,

Inc.*

1,953

43,650

Blueprint

Medicines

Corp.*

234

13,684

CareDx,

Inc.*(a)

936

20,433

Catalyst

Pharmaceuticals,

Inc.*

13,909

53,550

CEL-SCI

Corp.*(a)

6,587

76,014

ChemoCentryx,

Inc.*

3,517

141,313

Coherus

Biosciences,

Inc.*

3,853

62,496

Constellation

Pharmaceuticals,

Inc.*

2,313

72,698

CTI

BioPharma

Corp.*

704

648

72

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Biotechnology

-

10.1%

(continued)

Cue

Biopharma,

Inc.*

2,182

$

30,963

Cytokinetics,

Inc.*(a)

1,443

17,013

Deciphera

Pharmaceuticals,

Inc.*

2,565

105,601

Denali

Therapeutics,

Inc.*(a)

1,367

23,936

Dicerna

Pharmaceuticals,

Inc.*

4,223

77,576

Eidos

Therapeutics,

Inc.*(a)

2,661

130,362

Emergent

BioSolutions,

Inc.*

288

16,664

Enanta

Pharmaceuticals,

Inc.*

279

14,349

Epizyme,

Inc.*

5,490

85,150

Esperion

Therapeutics,

Inc.*(a)

624

19,675

Fate

Therapeutics,

Inc.*

4,305

95,614

Global

Blood

Therapeutics,

Inc.*

2,735

139,731

Halozyme

Therapeutics,

Inc.*

1,032

18,566

Homology

Medicines,

Inc.*

1,527

23,730

Immunomedics,

Inc.*(a)

960

12,941

Invitae

Corp.*(a)

3,112

42,541

Iovance

Biotherapeutics,

Inc.*

7,423

222,207

Kadmon

Holdings,

Inc.*

5,900

24,721

Karyopharm

Therapeutics,

Inc.*(a)

4,620

88,750

Krystal

Biotech,

Inc.*(a)

1,548

66,935

Kura

Oncology,

Inc.*

1,831

18,218

MeiraGTx

Holdings

plc*

1,258

16,908

Mirati

Therapeutics,

Inc.*

2,073

159,351

Momenta

Pharmaceuticals,

Inc.*

6,369

173,237

Natera,

Inc.*

5,013

149,688

PDL

BioPharma,

Inc.*

10,892

30,715

Pfenex,

Inc.*

4,213

37,159

Protagonist

Therapeutics,

Inc.*

2,461

17,375

PTC

Therapeutics,

Inc.*

2,436

108,670

Radius

Health,

Inc.*

1,393

18,109

REGENXBIO,

Inc.*

443

14,344

Retrophin,

Inc.*

1,727

25,197

Scholar

Rock

Holding

Corp.*

2,042

24,729

TG

Therapeutics,

Inc.*(a)

6,296

61,953

Veracyte,

Inc.*

3,934

95,636

Vericel

Corp.*

4,138

37,945

Voyager

Therapeutics,

Inc.*

1,882

17,220

XBiotech,

Inc.*

4,513

47,928

Xencor,

Inc.*

1,235

36,902

ZIOPHARM

Oncology,

Inc.*(a)

7,436

18,218

3,940,426

Building

Products

-

2.1%

AAON,

Inc.

2,440

117,901

Advanced

Drainage

Systems,

Inc.

2,580

75,955

American

Woodmark

Corp.*

727

33,129

Builders

FirstSource,

Inc.*

7,061

86,356

CSW

Industrials,

Inc.

564

36,575

Gibraltar

Industries,

Inc.*

1,568

67,299

Griffon

Corp.

2,393

30,272

JELD-WEN

Holding,

Inc.*

2,104

20,472

Masonite

International

Corp.*

309

14,662

PGT

Innovations,

Inc.*

1,534

12,870

Simpson

Manufacturing

Co.,

Inc.

1,148

71,153

Trex

Co.,

Inc.*

1,886

151,144

INVESTMENTS

SHARES

VALUE

Building

Products

-

2.1%

(continued)

Universal

Forest

Products,

Inc.

2,865

$

106,549

824,337

Capital

Markets

-

1.8%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

883

18,976

Blucora,

Inc.*

1,280

15,424

Cohen

&

Steers,

Inc.

1,764

80,174

Federated

Hermes,

Inc.,

Class

B

5,014

95,517

Hamilton

Lane,

Inc.,

Class

A

3,174

175,554

Houlihan

Lokey,

Inc.

2,591

135,043

Oppenheimer

Holdings,

Inc.,

Class

A

1,046

20,669

Piper

Sandler

Cos.

500

25,285

PJT

Partners,

Inc.,

Class

A

1,345

58,359

Stifel

Financial

Corp.

1,278

52,756

Virtus

Investment

Partners,

Inc.

230

17,505

695,262

Chemicals

-

0.7%

Advanced

Emissions

Solutions,

Inc.

2,111

13,869

Amyris,

Inc.*(a)

4,849

12,413

Balchem

Corp.

436

43,042

Chase

Corp.

298

24,522

Hawkins,

Inc.

436

15,522

Innospec,

Inc.(a)

790

54,897

Koppers

Holdings,

Inc.*

1,068

13,211

Minerals

Technologies,

Inc.

500

18,130

Sensient

Technologies

Corp.

523

22,756

Stepan

Co.

710

62,807

281,169

Commercial

Services

&

Supplies

-

2.6%

ABM

Industries,

Inc.

3,311

80,656

Brady

Corp.,

Class

A

2,355

106,281

Brink's

Co.

(The)

1,062

55,277

Casella

Waste

Systems,

Inc.,

Class

A*

2,339

91,361

Cimpress

plc

(Ireland)*(a)

277

14,736

Covanta

Holding

Corp.

3,559

30,430

Ennis,

Inc.

1,346

25,278

Heritage-Crystal

Clean,

Inc.*

1,063

17,263

Herman

Miller,

Inc.

2,087

46,331

HNI

Corp.

664

16,726

Kimball

International,

Inc.,

Class

B

1,371

16,329

Knoll,

Inc.

1,549

15,986

McGrath

RentCorp

1,981

103,765

MSA

Safety,

Inc.

1,049

106,159

SP

Plus

Corp.*

660

13,695

Steelcase,

Inc.,

Class

A

5,022

49,567

Tetra

Tech,

Inc.

2,293

161,932

UniFirst

Corp.

167

25,232

Viad

Corp.

1,148

24,372

1,001,376

73

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Communications

Equipment

-

1.3%

ADTRAN,

Inc.

2,026

$

15,560

Comtech

Telecommunications

Corp.

1,871

24,865

Harmonic,

Inc.*

7,195

41,443

Infinera

Corp.*(a)

6,078

32,213

Inseego

Corp.*

7,473

46,557

InterDigital,

Inc.

582

25,975

Lumentum

Holdings,

Inc.*

2,730

201,201

Viavi

Solutions,

Inc.*

11,171

125,227

513,041

Construction

&

Engineering

-

1.1%

Ameresco,

Inc.,

Class

A*

2,545

43,341

Argan,

Inc.

593

20,500

Comfort

Systems

USA,

Inc.

1,122

41,009

Construction

Partners,

Inc.,

Class

A*

991

16,738

EMCOR

Group,

Inc.

1,110

68,065

Great

Lakes

Dredge

&

Dock

Corp.*

8,784

72,907

MasTec,

Inc.*(a)

2,312

75,672

NV5

Global,

Inc.*

857

35,386

Sterling

Construction

Co.,

Inc.*

3,746

35,587

WillScot

Corp.*

1,871

18,953

428,158

Construction

Materials

-

0.3%

Forterra,

Inc.*

4,733

28,303

Summit

Materials,

Inc.,

Class

A*

6,337

95,055

123,358

Consumer

Finance

-

0.2%

Encore

Capital

Group,

Inc.*

864

20,200

Enova

International,

Inc.*

1,107

16,041

EZCORP,

Inc.,

Class

A*

3,335

13,907

FirstCash,

Inc.

215

15,424

Nelnet,

Inc.,

Class

A

400

18,164

83,736

Containers

&

Packaging

-

0.1%

UFP

Technologies,

Inc.*

667

25,406

Diversified

Consumer

Services

-

1.1%

Chegg,

Inc.*

3,602

128,879

Collectors

Universe,

Inc.

815

12,771

Laureate

Education,

Inc.,

Class

A*

6,111

64,227

Perdoceo

Education

Corp.*(a)

9,718

104,857

Regis

Corp.*(a)

3,337

19,722

Strategic

Education,

Inc.

800

111,808

442,264

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.*

2,596

86,940

Diversified

Telecommunication

Services

-

0.8%

Anterix,

Inc.*

581

26,534

Bandwidth,

Inc.,

Class

A*

313

21,062

INVESTMENTS

SHARES

VALUE

Diversified

Telecommunication

Services

-

0.8%

(continued)

Cogent

Communications

Holdings,

Inc.

1,836

$

150,497

Iridium

Communications,

Inc.*

4,969

110,958

Vonage

Holdings

Corp.*

2,700

19,521

328,572

Electric

Utilities

-

0.9%

Genie

Energy

Ltd.,

Class

B

3,602

25,862

MGE

Energy,

Inc.

1,465

95,914

Otter

Tail

Corp.

1,220

54,241

PNM

Resources,

Inc.

2,312

87,856

Portland

General

Electric

Co.

2,144

102,783

366,656

Electrical

Equipment

-

1.4%

Atkore

International

Group,

Inc.*

2,357

49,662

AZZ,

Inc.

516

14,510

Encore

Wire

Corp.

563

23,640

Generac

Holdings,

Inc.*

2,841

264,696

Plug

Power,

Inc.*(a)

21,430

75,862

Sunrun,

Inc.*(a)

4,994

50,439

Thermon

Group

Holdings,

Inc.*

1,079

16,261

Vivint

Solar,

Inc.*(a)

8,085

35,332

530,402

Electronic

Equipment,

Instruments

&

Components

-

2.1%

Badger

Meter,

Inc.

1,667

89,351

ePlus,

Inc.*

949

59,426

Fabrinet

(Thailand)*

1,195

65,199

Insight

Enterprises,

Inc.*

1,746

73,559

Itron,

Inc.*

548

30,595

Knowles

Corp.*

4,301

57,547

Methode

Electronics,

Inc.

887

23,443

Napco

Security

Technologies,

Inc.*

1,505

22,831

Novanta,

Inc.*

1,886

150,654

OSI

Systems,

Inc.*

1,073

73,951

PAR

Technology

Corp.*(a)

1,602

20,602

PC

Connection,

Inc.

468

19,286

Plexus

Corp.*

600

32,736

Rogers

Corp.*

159

15,013

Sanmina

Corp.*

1,706

46,540

TTM

Technologies,

Inc.*

2,264

23,410

Vishay

Intertechnology,

Inc.

1,024

14,756

Vishay

Precision

Group,

Inc.*

778

15,622

834,521

Energy

Equipment

&

Services

-

0.3%

Cactus,

Inc.,

Class

A

1,172

13,595

DMC

Global,

Inc.

2,204

50,714

Helix

Energy

Solutions

Group,

Inc.*

9,815

16,097

Matrix

Service

Co.*

4,167

39,461

119,867

74

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Entertainment

-

0.1%

Glu

Mobile,

Inc.*

2,437

$

15,329

Liberty

Media

Corp.-Liberty

Braves,

Class

C*

1,059

20,184

35,513

Equity

Real

Estate

Investment

Trusts

(REITs)

-

7.5%

Acadia

Realty

Trust

976

12,093

Agree

Realty

Corp.

2,030

125,657

Alexander

&

Baldwin,

Inc.

1,199

13,453

Alexander's,

Inc.

73

20,144

American

Assets

Trust,

Inc.

3,855

96,375

Armada

Hoffler

Properties,

Inc.

2,371

25,370

Bluerock

Residential

Growth

REIT,

Inc.

2,296

12,789

CareTrust

REIT,

Inc.

3,135

46,367

EastGroup

Properties,

Inc.

1,989

207,811

Essential

Properties

Realty

Trust,

Inc.

4,009

52,357

First

Industrial

Realty

Trust,

Inc.

3,813

126,706

Four

Corners

Property

Trust,

Inc.

1,074

20,094

Getty

Realty

Corp.

1,662

39,456

Gladstone

Commercial

Corp.

2,751

39,504

Global

Net

Lease,

Inc.

3,770

50,405

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

1,906

38,901

Healthcare

Realty

Trust,

Inc.

1,859

51,922

Independence

Realty

Trust,

Inc.

5,020

44,879

Industrial

Logistics

Properties

Trust

1,293

22,679

Innovative

Industrial

Properties,

Inc.

1,433

108,808

Investors

Real

Estate

Trust

655

36,025

Lexington

Realty

Trust

6,850

68,020

LTC

Properties,

Inc.

1,546

47,771

Monmouth

Real

Estate

Investment

Corp.

2,025

24,401

National

Health

Investors,

Inc.

1,623

80,371

National

Storage

Affiliates

Trust

4,108

121,597

NexPoint

Residential

Trust,

Inc.

2,833

71,420

One

Liberty

Properties,

Inc.

932

12,983

Physicians

Realty

Trust

3,560

49,626

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

2,404

42,455

PS

Business

Parks,

Inc.

1,883

255,184

QTS

Realty

Trust,

Inc.,

Class

A

1,585

91,946

Rexford

Industrial

Realty,

Inc.

5,763

236,341

Ryman

Hospitality

Properties,

Inc.

1,495

53,596

Sabra

Health

Care

REIT,

Inc.

5,304

57,920

Safehold,

Inc.

2,018

127,598

Saul

Centers,

Inc.

490

16,042

STAG

Industrial,

Inc.

4,096

92,242

Terreno

Realty

Corp.

3,861

199,807

UMH

Properties,

Inc.

1,668

18,114

Universal

Health

Realty

Income

Trust

733

73,894

2,933,123

INVESTMENTS

SHARES

VALUE

Food

&

Staples

Retailing

-

0.3%

Chefs'

Warehouse,

Inc.

(The)*

2,306

$

23,221

Ingles

Markets,

Inc.,

Class

A

529

19,129

Performance

Food

Group

Co.*

3,473

85,853

128,203

Food

Products

-

2.0%

Calavo

Growers,

Inc.

308

17,768

Darling

Ingredients,

Inc.*

3,728

71,466

Freshpet,

Inc.*

2,802

178,964

J&J

Snack

Foods

Corp.

711

86,031

John

B

Sanfilippo

&

Son,

Inc.

879

78,583

Lancaster

Colony

Corp.

523

75,647

Sanderson

Farms,

Inc.

897

110,618

Simply

Good

Foods

Co.

(The)*

4,697

90,464

Tootsie

Roll

Industries,

Inc.

1,384

49,780

759,321

Gas

Utilities

-

0.4%

Chesapeake

Utilities

Corp.

446

38,227

Northwest

Natural

Holding

Co.

255

15,746

ONE

Gas,

Inc.

1,373

114,810

168,783

Health

Care

Equipment

&

Supplies

-

4.5%

Alphatec

Holdings,

Inc.*

6,627

22,863

Antares

Pharma,

Inc.*

16,954

40,011

Apyx

Medical

Corp.*

4,000

14,360

AtriCure,

Inc.*

1,351

45,380

Cardiovascular

Systems,

Inc.*

1,509

53,132

CONMED

Corp.

729

41,750

CryoPort,

Inc.*(a)

6,759

115,376

Glaukos

Corp.*(a)

375

11,573

Globus

Medical,

Inc.,

Class

A*

1,247

53,035

Haemonetics

Corp.*

1,156

115,207

Heska

Corp.*

669

36,996

Integer

Holdings

Corp.*

969

60,911

Invacare

Corp.

3,554

26,406

Lantheus

Holdings,

Inc.*

1,479

18,872

LeMaitre

Vascular,

Inc.

1,341

33,418

Mesa

Laboratories,

Inc.

397

89,758

Natus

Medical,

Inc.*

787

18,203

Neogen

Corp.*

398

26,662

Nevro

Corp.*

1,590

158,968

Novocure

Ltd.*

5,006

337,104

NuVasive,

Inc.*

768

38,907

OrthoPediatrics

Corp.*

618

24,498

Quidel

Corp.*

999

97,712

STAAR

Surgical

Co.*

885

28,550

Tactile

Systems

Technology,

Inc.*(a)

824

33,092

Tandem

Diabetes

Care,

Inc.*

2,509

161,454

Zynex,

Inc.*

3,073

34,018

1,738,216

75

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Health

Care

Providers

&

Services

-

2.5%

Addus

HomeCare

Corp.*

1,402

94,775

Amedisys,

Inc.*(a)

941

172,711

BioTelemetry,

Inc.*

876

33,735

Catasys,

Inc.*(a)

1,248

19,007

CorVel

Corp.*

774

42,191

Ensign

Group,

Inc.

(The)

2,388

89,813

Hanger,

Inc.*

1,594

24,835

Joint

Corp.

(The)*

1,379

14,962

LHC

Group,

Inc.*

1,203

168,661

National

HealthCare

Corp.

476

34,143

National

Research

Corp.

400

18,192

Providence

Service

Corp.

(The)*

400

21,952

R1

RCM,

Inc.*

10,227

92,963

RadNet,

Inc.*

2,195

23,069

Select

Medical

Holdings

Corp.*

2,988

44,820

Tenet

Healthcare

Corp.*

1,713

24,667

Triple-S

Management

Corp.,

Class

B*

2,560

36,096

US

Physical

Therapy,

Inc.

353

24,357

980,949

Health

Care

Technology

-

1.9%

Inovalon

Holdings,

Inc.,

Class

A*

6,258

104,258

Inspire

Medical

Systems,

Inc.*

1,262

76,074

Omnicell,

Inc.*

1,073

70,367

Teladoc

Health,

Inc.*

2,957

458,365

Vocera

Communications,

Inc.*

809

17,183

726,247

Hotels,

Restaurants

&

Leisure

-

1.3%

Churchill

Downs,

Inc.

1,156

119,010

Denny's

Corp.*

2,000

15,360

Dine

Brands

Global,

Inc.

690

19,789

Everi

Holdings,

Inc.*

4,690

15,477

Lindblad

Expeditions

Holdings,

Inc.*

4,004

16,697

Marriott

Vacations

Worldwide

Corp.

843

46,854

Papa

John's

International,

Inc.

386

20,601

Scientific

Games

Corp.*(a)

2,343

22,727

SeaWorld

Entertainment,

Inc.*(a)

3,526

38,857

Shake

Shack,

Inc.,

Class

A*

1,089

41,099

Wingstop,

Inc.

1,785

142,264

498,735

Household

Durables

-

2.6%

Beazer

Homes

USA,

Inc.*

3,484

22,437

Cavco

Industries,

Inc.*

132

19,132

GoPro,

Inc.,

Class

A*

4,659

12,206

Helen

of

Troy

Ltd.*

1,321

190,264

Installed

Building

Products,

Inc.*

1,433

57,134

KB

Home

4,467

80,853

La-Z-Boy,

Inc.

1,058

21,742

LGI

Homes,

Inc.*

951

42,938

M/I

Homes,

Inc.*

2,504

41,391

MDC

Holdings,

Inc.

5,684

131,869

INVESTMENTS

SHARES

VALUE

Household

Durables

-

2.6%

(continued)

Meritage

Homes

Corp.*

4,432

$

161,812

Purple

Innovation,

Inc.*

2,584

14,677

Taylor

Morrison

Home

Corp.*

6,687

73,557

TopBuild

Corp.*

1,676

120,069

TRI

Pointe

Group,

Inc.*

2,759

24,196

1,014,277

Household

Products

-

0.3%

Central

Garden

&

Pet

Co.,

Class

A*

1,540

39,378

WD-40

Co.

366

73,511

112,889

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Clearway

Energy,

Inc.,

Class

C

1,476

27,749

Ormat

Technologies,

Inc.

598

40,460

TerraForm

Power,

Inc.,

Class

A

9,070

143,034

211,243

Insurance

-

2.8%

AMERISAFE,

Inc.

1,251

80,652

Argo

Group

International

Holdings

Ltd.

2,000

74,120

eHealth,

Inc.*

1,673

235,592

Enstar

Group

Ltd.*

571

90,817

Goosehead

Insurance,

Inc.,

Class

A*(a)

2,138

95,419

James

River

Group

Holdings

Ltd.

2,244

81,323

Kinsale

Capital

Group,

Inc.

577

60,314

MBIA,

Inc.*

2,965

21,170

National

General

Holdings

Corp.

2,294

37,966

RLI

Corp.

2,088

183,598

Selective

Insurance

Group,

Inc.

606

30,118

Trupanion,

Inc.*

796

20,720

United

Fire

Group,

Inc.

1,284

41,871

United

Insurance

Holdings

Corp.

1,698

15,689

Universal

Insurance

Holdings,

Inc.

1,100

19,712

1,089,081

Interactive

Media

&

Services

-

0.2%

EverQuote,

Inc.,

Class

A*

2,061

54,101

QuinStreet,

Inc.*

2,174

17,501

71,602

Internet

&

Direct

Marketing

Retail

-

0.2%

1-800-Flowers.com,

Inc.,

Class

A*

3,404

45,035

Rubicon

Project,

Inc.

(The)*

7,766

43,101

88,136

IT

Services

-

2.6%

Cardtronics

plc,

Class

A*

2,455

51,358

CSG

Systems

International,

Inc.

1,655

69,262

EVERTEC,

Inc.

4,430

100,694

Evo

Payments,

Inc.,

Class

A*

2,519

38,541

ExlService

Holdings,

Inc.*

374

19,459

I3

Verticals,

Inc.,

Class

A*

852

16,265

76

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

2.6%

(continued)

KBR,

Inc.

6,698

$

138,515

LiveRamp

Holdings,

Inc.*

641

21,102

ManTech

International

Corp.,

Class

A

1,140

82,844

MAXIMUS,

Inc.

934

54,359

NIC,

Inc.

2,063

47,449

Paysign,

Inc.*(a)

4,297

22,172

Perficient,

Inc.*

2,002

54,234

Perspecta,

Inc.

4,037

73,635

Science

Applications

International

Corp.

988

73,734

TTEC

Holdings,

Inc.

1,579

57,981

Tucows,

Inc.,

Class

A*

1,347

65,006

Virtusa

Corp.*

1,416

40,214

1,026,824

Leisure

Products

-

0.1%

Acushnet

Holdings

Corp.

1,201

30,890

Clarus

Corp.

2,070

20,286

51,176

Life

Sciences

Tools

&

Services

-

2.1%

Codexis,

Inc.*

2,966

33,101

Medpace

Holdings,

Inc.*

2,108

154,685

NanoString

Technologies,

Inc.*(a)

3,109

74,771

NeoGenomics,

Inc.*

5,942

164,059

Quanterix

Corp.*(a)

1,720

31,596

Repligen

Corp.*

2,550

246,177

Syneos

Health,

Inc.*

3,248

128,036

832,425

Machinery

-

2.9%

Alamo

Group,

Inc.

289

25,657

Albany

International

Corp.,

Class

A

1,354

64,085

Chart

Industries,

Inc.*

935

27,096

Columbus

McKinnon

Corp.

620

15,500

Douglas

Dynamics,

Inc.

715

25,390

ESCO

Technologies,

Inc.

1,106

83,957

Evoqua

Water

Technologies

Corp.*

6,237

69,917

Federal

Signal

Corp.

2,750

75,020

Franklin

Electric

Co.,

Inc.

777

36,620

John

Bean

Technologies

Corp.

670

49,761

Kadant,

Inc.

620

46,283

Luxfer

Holdings

plc

(United

Kingdom)

1,438

20,333

Meritor,

Inc.*

2,425

32,131

Miller

Industries,

Inc.

867

24,519

Mueller

Industries,

Inc.

1,733

41,488

Mueller

Water

Products,

Inc.,

Class

A(a)

2,882

23,085

Proto

Labs,

Inc.*

165

12,561

RBC

Bearings,

Inc.*

562

63,388

Rexnord

Corp.

1,801

40,829

Spartan

Motors,

Inc.

4,035

52,092

SPX

Corp.*

2,755

89,923

INVESTMENTS

SHARES

VALUE

Machinery

-

2.9%

(continued)

SPX

FLOW,

Inc.*

1,387

$

39,419

Standex

International

Corp.

358

17,549

Tennant

Co.(a)

272

15,762

TriMas

Corp.*

882

20,374

Watts

Water

Technologies,

Inc.,

Class

A

1,153

97,601

1,110,340

Marine

-

0.2%

Costamare,

Inc.

(Monaco)

7,439

33,624

Matson,

Inc.(a)

1,316

40,296

73,920

Media

-

0.7%

Cardlytics,

Inc.*

1,984

69,361

EW

Scripps

Co.

(The),

Class

A

1,802

13,587

Fluent,

Inc.*

8,530

9,980

Gray

Television,

Inc.*

3,702

39,760

TechTarget,

Inc.*

1,420

29,266

TEGNA,

Inc.(a)

9,657

104,875

266,829

Metals

&

Mining

-

0.8%

Carpenter

Technology

Corp.

845

16,477

Coeur

Mining,

Inc.*

4,149

13,318

Commercial

Metals

Co.

2,024

31,959

Compass

Minerals

International,

Inc.

899

34,585

Kaiser

Aluminum

Corp.

258

17,874

Materion

Corp.

771

26,993

Novagold

Resources,

Inc.

(Canada)*

17,660

130,331

Worthington

Industries,

Inc.

749

19,661

291,198

Multi-Utilities

-

0.7%

Black

Hills

Corp.

2,360

151,111

NorthWestern

Corp.

1,382

82,685

Unitil

Corp.

960

50,227

284,023

Oil,

Gas

&

Consumable

Fuels

-

1.4%

CVR

Energy,

Inc.

4,600

76,038

DHT

Holdings,

Inc.(a)

8,215

63,009

Dorian

LPG

Ltd.*

2,410

20,991

Energy

Fuels,

Inc.*(a)

13,254

15,640

Magnolia

Oil

&

Gas

Corp.,

Class

A*

3,044

12,176

Nordic

American

Tankers

Ltd.

8,294

37,572

Par

Pacific

Holdings,

Inc.*

1,797

12,759

REX

American

Resources

Corp.*

300

13,953

Scorpio

Tankers,

Inc.

(Monaco)

4,501

86,059

Teekay

Tankers

Ltd.,

Class

A*

4,039

89,827

World

Fuel

Services

Corp.

4,606

115,979

544,003

77

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Paper

&

Forest

Products

-

0.3%

Boise

Cascade

Co.

1,122

$

26,681

Louisiana-Pacific

Corp.

2,637

45,304

PH

Glatfelter

Co.

1,708

20,872

Schweitzer-Mauduit

International,

Inc.

950

26,429

Verso

Corp.,

Class

A*

1,275

14,382

133,668

Personal

Products

-

0.2%

Inter

Parfums,

Inc.

1,230

57,011

Lifevantage

Corp.*

1,804

18,581

Revlon,

Inc.,

Class

A*(a)

1,108

12,110

87,702

Pharmaceuticals

-

2.0%

Amphastar

Pharmaceuticals,

Inc.*

1,947

28,894

ANI

Pharmaceuticals,

Inc.*

633

25,788

Axsome

Therapeutics,

Inc.*

2,669

157,017

BioDelivery

Sciences

International,

Inc.*

10,694

40,530

Cara

Therapeutics,

Inc.*

1,783

23,554

Chiasma,

Inc.*

5,756

21,009

Intra-Cellular

Therapies,

Inc.*

1,228

18,874

Lannett

Co.,

Inc.*

5,182

36,015

MyoKardia,

Inc.*

541

25,362

Odonate

Therapeutics,

Inc.*

816

22,530

Pacira

BioSciences,

Inc.*

1,072

35,944

Reata

Pharmaceuticals,

Inc.,

Class

A*

1,681

242,636

Recro

Pharma,

Inc.*

3,330

27,206

Tricida,

Inc.*

1,261

27,742

Zogenix,

Inc.*(a)

792

19,586

Zynerba

Pharmaceuticals,

Inc.*(a)

6,297

24,118

776,805

Professional

Services

-

2.0%

ASGN,

Inc.*

784

27,691

Exponent,

Inc.

1,968

141,519

Forrester

Research,

Inc.*

656

19,175

Franklin

Covey

Co.*

808

12,556

FTI

Consulting,

Inc.*

1,963

235,109

Huron

Consulting

Group,

Inc.*

1,381

62,642

ICF

International,

Inc.

770

52,899

Kelly

Services,

Inc.,

Class

A

1,064

13,502

Kforce,

Inc.

1,548

39,582

Korn

Ferry

1,116

27,141

TriNet

Group,

Inc.*

2,957

111,361

Willdan

Group,

Inc.*

2,362

50,476

793,653

Real

Estate

Management

&

Development

-

0.3%

Kennedy-Wilson

Holdings,

Inc.

4,690

62,940

Marcus

&

Millichap,

Inc.*

662

17,940

INVESTMENTS

SHARES

VALUE

Real

Estate

Management

&

Development

-

0.3%

(continued)

Newmark

Group,

Inc.,

Class

A

4,283

$

18,203

99,083

Road

&

Rail

-

0.5%

ArcBest

Corp.

1,360

23,827

Avis

Budget

Group,

Inc.*

1,329

18,473

Heartland

Express,

Inc.

1,079

20,037

Hertz

Global

Holdings,

Inc.*

3,183

19,671

Marten

Transport

Ltd.

1,333

27,353

Saia,

Inc.*

905

66,554

Universal

Logistics

Holdings,

Inc.

2,681

35,121

211,036

Semiconductors

&

Semiconductor

Equipment

-

5.6%

Advanced

Energy

Industries,

Inc.*

802

38,889

Ambarella,

Inc.*

2,137

103,773

Amkor

Technology,

Inc.*

10,043

78,235

Brooks

Automation,

Inc.

2,292

69,906

Cabot

Microelectronics

Corp.

1,337

152,605

Cirrus

Logic,

Inc.*

3,079

202,075

Diodes,

Inc.*

2,487

101,059

DSP

Group,

Inc.*

1,520

20,368

Enphase

Energy,

Inc.*(a)

6,917

223,350

FormFactor,

Inc.*

4,616

92,735

Ichor

Holdings

Ltd.*

846

16,209

Impinj,

Inc.*

1,697

28,357

Inphi

Corp.*

3,447

272,899

Lattice

Semiconductor

Corp.*

11,022

196,412

MACOM

Technology

Solutions

Holdings,

Inc.*

3,163

59,876

MaxLinear,

Inc.*

1,838

21,450

PDF

Solutions,

Inc.*

2,796

32,769

Photronics,

Inc.*

4,200

43,092

Power

Integrations,

Inc.

864

76,317

Rambus,

Inc.*

3,205

35,576

Semtech

Corp.*

544

20,400

Silicon

Laboratories,

Inc.*

940

80,285

SunPower

Corp.*(a)

11,256

57,068

Synaptics,

Inc.*

1,305

75,520

Ultra

Clean

Holdings,

Inc.*

2,496

34,445

Veeco

Instruments,

Inc.*

3,007

28,777

2,162,447

Software

-

6.5%

8x8,

Inc.*

1,915

26,542

ACI

Worldwide,

Inc.*

4,543

109,713

Agilysys,

Inc.*

1,107

18,487

Alarm.com

Holdings,

Inc.*

775

30,155

Appfolio,

Inc.,

Class

A*

3,056

339,063

Appian

Corp.*(a)

2,382

95,828

Blackline,

Inc.*

1,619

85,176

Bottomline

Technologies

DE,

Inc.*

890

32,618

Cornerstone

OnDemand,

Inc.*

1,139

36,163

Digimarc

Corp.*

1,169

15,255

Digital

Turbine,

Inc.*

11,964

51,565

78

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Software

-

6.5%

(continued)

Envestnet,

Inc.*

1,586

$

85,295

Everbridge,

Inc.*

2,169

230,695

Five9,

Inc.*

3,563

272,427

Intelligent

Systems

Corp.*

1,127

38,307

J2

Global,

Inc.

562

42,066

LivePerson,

Inc.*(a)

4,362

99,236

MicroStrategy,

Inc.,

Class

A*

200

23,620

MobileIron,

Inc.*

5,450

20,710

Model

N,

Inc.*

924

20,522

Progress

Software

Corp.

930

29,760

PROS

Holdings,

Inc.*

2,416

74,968

Q2

Holdings,

Inc.*

1,945

114,872

Qualys,

Inc.*

641

55,761

Rapid7,

Inc.*

3,423

148,319

Rosetta

Stone,

Inc.*

1,597

22,390

SharpSpring,

Inc.*(a)

2,334

14,144

SPS

Commerce,

Inc.*

2,092

97,299

Synchronoss

Technologies,

Inc.*

3,728

11,370

Telenav,

Inc.*

5,497

23,747

Upland

Software,

Inc.*

2,748

73,701

Varonis

Systems,

Inc.*

621

39,539

Verint

Systems,

Inc.*

1,585

68,155

VirnetX

Holding

Corp.*

80

438

Workiva,

Inc.*

1,196

38,667

Yext,

Inc.*

1,138

11,596

Zix

Corp.*

3,091

13,322

2,511,491

Specialty

Retail

-

1.6%

Aaron's,

Inc.

2,131

48,544

America's

Car-Mart,

Inc.*

413

23,273

Asbury

Automotive

Group,

Inc.*

643

35,513

Boot

Barn

Holdings,

Inc.*

2,761

35,700

Buckle,

Inc.

(The)(a)

1,148

15,739

Group

1

Automotive,

Inc.

913

40,409

Hibbett

Sports,

Inc.*

1,254

13,713

Lithia

Motors,

Inc.,

Class

A

1,236

101,092

Murphy

USA,

Inc.*

967

81,576

Rent-A-Center,

Inc.

5,199

73,514

RH*(a)

584

58,674

Shoe

Carnival,

Inc.

643

13,355

Sleep

Number

Corp.*

1,193

22,858

Sonic

Automotive,

Inc.,

Class

A

2,021

26,839

Zumiez,

Inc.*

1,446

25,045

615,844

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

Avid

Technology,

Inc.*

4,022

27,068

Diebold

Nixdorf,

Inc.*

7,994

28,139

Stratasys

Ltd.*

1,117

17,816

73,023

Textiles,

Apparel

&

Luxury

Goods

-

0.8%

Crocs,

Inc.*

4,768

81,008

Deckers

Outdoor

Corp.*

1,335

178,890

INVESTMENTS

SHARES

VALUE

Textiles,

Apparel

&

Luxury

Goods

-

0.8%

(continued)

Rocky

Brands,

Inc.

1,617

$

31,289

Steven

Madden

Ltd.

856

19,885

311,072

Thrifts

&

Mortgage

Finance

-

1.6%

Axos

Financial,

Inc.*

775

14,051

Capitol

Federal

Financial,

Inc.

5,049

58,619

Essent

Group

Ltd.

3,115

82,049

Federal

Agricultural

Mortgage

Corp.,

Class

C

480

26,702

First

Defiance

Financial

Corp.

1,450

21,373

HomeStreet,

Inc.

997

22,163

Kearny

Financial

Corp.

1,887

16,209

Meta

Financial

Group,

Inc.

1,602

34,795

NMI

Holdings,

Inc.,

Class

A*

3,054

35,457

Northwest

Bancshares,

Inc.

5,901

68,275

PennyMac

Financial

Services,

Inc.

3,026

66,905

Radian

Group,

Inc.

8,604

111,422

Walker

&

Dunlop,

Inc.

365

14,699

Waterstone

Financial,

Inc.

2,000

29,080

601,799

Tobacco

-

0.0%(b)

Turning

Point

Brands,

Inc.

470

9,922

Trading

Companies

&

Distributors

-

1.1%

BMC

Stock

Holdings,

Inc.*(a)

2,515

44,591

CAI

International,

Inc.*

1,309

18,509

DXP

Enterprises,

Inc.*

1,558

19,101

Foundation

Building

Materials,

Inc.*

3,338

34,348

GATX

Corp.

641

40,101

GMS,

Inc.*

2,406

37,846

H&E

Equipment

Services,

Inc.

1,676

24,604

Herc

Holdings,

Inc.*

1,009

20,644

Lawson

Products,

Inc.*

643

17,181

NOW,

Inc.*

4,672

24,108

Rush

Enterprises,

Inc.,

Class

A

649

20,716

SiteOne

Landscape

Supply,

Inc.*

1,045

76,933

Triton

International

Ltd.

1,310

33,890

412,572

Water

Utilities

-

1.0%

American

States

Water

Co.

2,499

204,268

Cadiz,

Inc.*

2,241

26,153

California

Water

Service

Group

716

36,029

Middlesex

Water

Co.

1,269

76,292

SJW

Group

509

29,405

372,147

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

794

39,105

TOTAL

COMMON

STOCKS

(Cost

$37,978,022)

37,406,449

79

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

0.7%

INVESTMENT

COMPANIES

-

0.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)

(Cost

$252,532)

252,536

$

252,864

SECURITIES

LENDING

COLLATERAL

-

6.8%

Investment

Companies

-

6.8%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(c)(d)

653,940

653,940

Limited

Purpose

Cash

Investment

Fund

0.85%(c)(d)

1,994,845

1,997,438

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$2,648,784)

2,651,378

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.5%

(Cost

$40,879,338)

40,310,691

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.5)%(e)

(1,352,668)

NET

ASSETS

-

100.0%

$38,958,023

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

741,620

1.9

%

Consumer

Discretionary

3,283,549

8.4

Consumer

Staples

1,440,384

3.7

Energy

663,870

1.7

Financials

3,608,508

9.2

Health

Care

8,995,068

23.1

Industrials

6,262,244

16.1

Information

Technology

7,121,348

18.3

Materials

854,799

2.2

Real

Estate

3,032,206

7.8

Utilities

1,402,853

3.6

Short-Term

Investments

252,864

0.7

Securities

Lending

Collateral

2,651,378

6.8

Total

Investments

In

Securities

At

Value

40,310,691

103.5

Liabilities

in

Excess

of

Other

Assets(e)

(1,352,668)

(3.5)

Net

Assets

$

38,958,023

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$2,541,016.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

30

6/2020

USD

$

1,721,400

$

5,674

$

5,674

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

9,260

$

9,260

80

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

95.3%

Australia

-

6.5%

AGL

Energy

Ltd.

10,943

$

114,522

Aristocrat

Leisure

Ltd.

15,788

204,575

ASX

Ltd.

900

42,247

Australia

&

New

Zealand

Banking

Group

Ltd.

3,847

40,345

BHP

Group

plc

11,650

180,804

Brambles

Ltd.

6,432

41,575

CIMIC

Group

Ltd.

2,383

33,751

Cochlear

Ltd.

985

112,262

Coles

Group

Ltd.

14,170

131,966

Commonwealth

Bank

of

Australia

10,107

381,338

Computershare

Ltd.

9,146

54,751

CSL

Ltd.

7,771

1,408,663

Dexus

,

REIT

21,643

119,937

Fortescue

Metals

Group

Ltd.

23,391

143,345

Goodman

Group,

REIT

52,739

386,559

GPT

Group

(The),

REIT

20,457

45,448

Insurance

Australia

Group

Ltd.

27,300

103,004

Macquarie

Group

Ltd.

3,696

196,841

Magellan

Financial

Group

Ltd.

1,295

34,346

Mirvac

Group,

REIT

27,018

34,326

National

Australia

Bank

Ltd.

9,923

101,789

Newcrest

Mining

Ltd.

9,465

129,980

QBE

Insurance

Group

Ltd.

6,506

33,890

Ramsay

Health

Care

Ltd.

1,987

69,867

REA

Group

Ltd.

1,574

73,732

Rio

Tinto

plc

9,663

442,975

Santos

Ltd.

32,033

65,788

Sonic

Healthcare

Ltd.

2,086

31,352

Telstra

Corp.

Ltd.

95,481

179,232

Treasury

Wine

Estates

Ltd.

17,956

111,481

Wesfarmers

Ltd.

14,974

317,302

Woolworths

Group

Ltd.

7,112

154,660

5,522,653

—

Austria

-

0.2%

ANDRITZ

AG

2,003

62,754

OMV

AG

3,270

89,489

152,243

—

Belgium

-

1.1%

Ageas

9,048

377,049

Colruyt

SA

1,984

107,548

UCB

SA

4,327

370,228

Umicore

SA

2,789

96,196

951,021

—

Canada

-

3.8%

Agnico

Eagle

Mines

Ltd.(1)

3,916

156,328

Air

Canada(1)*

1,999

22,372

Barrick

Gold

Corp.(1)

5,903

108,471

Brookfield

Asset

Management,

Inc.,

Class

A(1)

590

26,152

CAE,

Inc.(1)

5,614

70,968

Canadian

Utilities

Ltd.,

Class

A(1)

1,088

26,007

Constellation

Software,

Inc.(1)

206

187,222

Cronos

Group,

Inc.(1)*(a)

6,386

36,257

Dollarama,

Inc.(1)

1,538

42,666

INVESTMENTS

SHARES

VALUE

Canada

-

3.8%

(continued)

Emera,

Inc.(1)

4,576

$

180,465

Empire

Co.

Ltd.,

Class

A(1)

4,461

87,267

Fortis,

Inc.(1)

3,674

141,681

Franco-Nevada

Corp.(1)

3,286

328,321

Hydro

One

Ltd.(1)(b)

2,125

38,263

iA

Financial

Corp.,

Inc.(1)

1,651

51,901

Intact

Financial

Corp.(1)

2,254

194,809

International

Petroleum

Corp.*(a)

3,493

4,097

Metro,

Inc.(1)

3,184

128,758

Shopify,

Inc.,

Class

A(1)*

1,829

766,302

SmartCentres

,

REIT(1)

2,582

34,566

Thomson

Reuters

Corp.(1)

6,971

474,938

Wheaton

Precious

Metals

Corp.(1)

1,268

34,896

WSP

Global,

Inc.(1)

2,550

144,813

3,287,520

—

Chile

-

0.0%(c)

Antofagasta

plc

3,557

33,971

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

24,500

67,253

Denmark

-

4.3%

Carlsberg

A/S,

Class

B

874

98,395

Chr

Hansen

Holding

A/S

1,773

130,835

Coloplast

A/S,

Class

B

2,912

422,317

Demant

A/S*

4,023

87,594

DSV

Panalpina

A/S

3,495

317,797

Genmab

A/S*

688

138,198

Novo

Nordisk

A/S,

Class

B

19,083

1,139,561

Novozymes

A/S,

Class

B

780

34,988

Orsted

A/S(b)

8,546

836,633

Tryg

A/S

11,965

291,226

Vestas

Wind

Systems

A/S

2,318

188,606

3,686,150

—

Finland

-

1.7%

Elisa

OYJ

1,881

116,102

Fortum

OYJ

19,280

280,468

Kone

OYJ,

Class

B

6,973

390,494

Neste

OYJ

6,391

212,485

Nokian

Renkaat

OYJ

1,449

34,599

Sampo

OYJ,

Class

A

3,563

102,788

UPM-

Kymmene

OYJ

9,592

261,544

Wartsila

OYJ

Abp

4,467

32,620

1,431,100

—

France

-

4.9%

Airbus

SE

10,257

661,391

AXA

SA

6,712

113,647

BNP

Paribas

SA

8,449

246,671

Capgemini

SE

1,863

155,677

Credit

Agricole

SA

26,078

184,525

Dassault

Systemes

SE

2,145

313,151

Electricite

de

France

SA

7,138

55,816

EssilorLuxottica

SA

892

94,440

Hermes

International

304

206,845

Iliad

SA

513

69,119

Kering

SA

176

91,769

L'Oreal

SA

548

141,828

81

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

France

-

4.9%

(continued)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,345

$

860,031

Orange

SA

18,570

224,836

Peugeot

SA

2,366

30,804

Safran

SA*

2,841

251,705

Sanofi

811

70,212

TOTAL

SA

10,152

382,515

4,154,982

—

Germany

-

7.1%

adidas

AG

2,675

593,923

Aroundtown

SA

5,752

28,791

Beiersdorf

AG

1,858

187,084

Brenntag

AG

1,127

40,946

Carl

Zeiss

Meditec

AG

1,384

131,785

Delivery

Hero

SE*(b)

3,955

290,788

Deutsche

Boerse

AG

2,889

396,903

Deutsche

Post

AG

(Registered)

5,342

143,212

Deutsche

Wohnen

SE

3,880

147,047

E.ON

SE

13,802

141,577

Fraport

AG

Frankfurt

Airport

Services

Worldwide

833

33,532

Hannover

Rueck

SE

3,192

450,729

KION

Group

AG

902

38,820

Merck

KGaA

2,205

222,621

MTU

Aero

Engines

AG

1,252

181,035

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

1,563

314,273

Puma

SE

4,461

262,107

RWE

AG

8,885

232,357

SAP

SE

12,326

1,376,173

Symrise

AG

1,711

158,283

Volkswagen

AG

514

67,436

Vonovia

SE

9,526

473,857

Wirecard

AG

657

74,024

Zalando

SE*(b)

1,634

61,586

6,048,889

—

Hong

Kong

-

2.6%

AIA

Group

Ltd.

55,600

497,878

CK

Asset

Holdings

Ltd.

10,500

56,970

CLP

Holdings

Ltd.

24,000

219,840

Hang

Seng

Bank

Ltd.

4,300

73,260

Henderson

Land

Development

Co.

Ltd.

24,157

91,431

Hong

Kong

&

China

Gas

Co.

Ltd.

117,700

192,726

Hong

Kong

Exchanges

&

Clearing

Ltd.

4,700

140,809

Link,

REIT

18,700

157,613

MTR

Corp.

Ltd.

19,500

100,301

New

World

Development

Co.

Ltd.

51,000

54,380

PCCW

Ltd.

75,000

41,127

Power

Assets

Holdings

Ltd.

7,000

41,526

Sino

Land

Co.

Ltd.

28,000

35,240

Sun

Hung

Kai

Properties

Ltd.

9,500

124,203

Swire

Pacific

Ltd.,

Class

A

5,000

31,829

Swire

Properties

Ltd.

14,400

40,230

Techtronic

Industries

Co.

Ltd.

20,500

130,173

WH

Group

Ltd.(b)

47,000

43,381

INVESTMENTS

SHARES

VALUE

Hong

Kong

-

2.6%

(continued)

Wharf

Real

Estate

Investment

Co.

Ltd.

13,000

$

53,026

Wheelock

&

Co.

Ltd.

9,000

60,983

2,186,926

—

Italy

-

2.7%

Assicurazioni

Generali

SpA

6,913

93,635

Enel

SpA

102,597

707,698

Eni

SpA

12,703

126,236

Ferrari

NV

4,499

693,003

Intesa

Sanpaolo

SpA

55,823

90,325

Leonardo

SpA

5,584

36,917

Moncler

SpA

4,756

172,827

Poste

Italiane

SpA

(b)

5,728

48,212

Recordati

SpA

1,120

47,189

Terna

Rete

Elettrica

Nazionale

SpA

23,336

146,687

UniCredit

SpA

15,090

116,745

2,279,474

—

Japan

-

24.4%

Advantest

Corp.

8,600

342,538

Aeon

Co.

Ltd.

2,400

53,170

Alfresa

Holdings

Corp.

3,100

57,696

ANA

Holdings,

Inc.

6,300

153,492

Asahi

Group

Holdings

Ltd.

3,400

110,307

Asahi

Intecc

Co.

Ltd.

2,300

56,884

Astellas

Pharma,

Inc.

8,700

134,044

Bandai

Namco

Holdings,

Inc.

2,500

121,258

Bank

of

Kyoto

Ltd.

(The)

1,000

31,692

Benesse

Holdings,

Inc.

2,100

53,441

Bridgestone

Corp.

2,100

64,282

Canon,

Inc.

3,500

76,058

Casio

Computer

Co.

Ltd.

3,200

44,772

Chugai

Pharmaceutical

Co.

Ltd.

7,100

821,440

Chugoku

Electric

Power

Co.,

Inc.

(The)

5,800

80,923

CyberAgent

,

Inc.

1,500

58,134

Daicel

Corp.

5,700

41,468

Daifuku

Co.

Ltd.

1,100

68,935

Daiichi

Sankyo

Co.

Ltd.

11,100

762,311

Daikin

Industries

Ltd.

2,100

253,500

Daito

Trust

Construction

Co.

Ltd.

700

65,004

Daiwa

House

Industry

Co.

Ltd.

2,900

71,651

Disco

Corp.

1,000

194,553

FamilyMart

Co.

Ltd.

2,000

35,912

Fast

Retailing

Co.

Ltd.

900

367,238

FUJIFILM

Holdings

Corp.

2,000

98,559

Fujitsu

Ltd.

3,000

270,206

GMO

Payment

Gateway,

Inc.

1,100

77,094

Hikari

Tsushin,

Inc.

500

83,667

Hitachi

Ltd.

7,300

209,703

Hoya

Corp.

7,100

603,724

Iida

Group

Holdings

Co.

Ltd.

2,400

33,171

ITOCHU

Corp.

11,400

235,919

Itochu

Techno-Solutions

Corp.

1,200

34,176

Japan

Airlines

Co.

Ltd.

1,400

25,728

Japan

Prime

Realty

Investment

Corp.,

REIT

28

84,596

Japan

Real

Estate

Investment

Corp.,

REIT

41

241,010

82

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

24.4%

(continued)

Japan

Retail

Fund

Investment

Corp.,

REIT

46

$

52,291

Kakaku.com,

Inc.

3,100

56,697

Kansai

Paint

Co.

Ltd.

2,200

41,729

Kao

Corp.

2,400

195,524

KDDI

Corp.

14,400

425,356

Keihan

Holdings

Co.

Ltd.

2,600

115,329

Keio

Corp.

1,000

59,033

Keisei

Electric

Railway

Co.

Ltd.

2,700

78,025

Keyence

Corp.

1,800

578,723

Kikkoman

Corp.

3,800

161,118

Kirin

Holdings

Co.

Ltd.

5,500

108,626

Kobayashi

Pharmaceutical

Co.

Ltd.

800

74,017

Konami

Holdings

Corp.

2,600

79,749

Kose

Corp.

600

74,245

Kyocera

Corp.

1,300

76,714

Kyowa

Kirin

Co.

Ltd.

2,300

51,404

LINE

Corp.*

900

43,452

Lion

Corp.

4,900

104,499

M3,

Inc.

11,600

342,167

Marui

Group

Co.

Ltd.

7,000

117,101

McDonald's

Holdings

Co.

Japan

Ltd.

3,000

135,305

MEIJI

Holdings

Co.

Ltd.

1,100

77,953

Mitsubishi

Corp.

4,100

86,724

Mitsui

&

Co.

Ltd.

5,500

76,360

MonotaRO

Co.

Ltd.

2,400

63,411

Murata

Manufacturing

Co.

Ltd.

5,200

258,517

Nexon

Co.

Ltd.

3,700

60,461

Nintendo

Co.

Ltd.

1,400

544,115

Nippon

Building

Fund,

Inc.,

REIT

52

349,802

Nippon

Express

Co.

Ltd.

1,000

48,779

Nippon

Paint

Holdings

Co.

Ltd.

3,500

182,183

Nippon

Prologis

REIT,

Inc.,

REIT

20

50,322

Nippon

Telegraph

&

Telephone

Corp.

26,200

626,615

Nissan

Chemical

Corp.

1,200

43,461

Nisshin

Seifun

Group,

Inc.

5,000

83,411

Nissin

Foods

Holdings

Co.

Ltd.

900

74,688

Nitori

Holdings

Co.

Ltd.

1,500

202,711

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

36

45,789

Nomura

Research

Institute

Ltd.

10,350

218,620

NTT

Data

Corp.

12,500

119,657

NTT

DOCOMO,

Inc.

20,700

647,353

Obayashi

Corp.

5,200

44,125

Obic

Co.

Ltd.

2,600

338,753

Olympus

Corp.

20,100

289,748

Omron

Corp.

1,400

72,384

Oracle

Corp.

Japan

1,300

113,390

Oriental

Land

Co.

Ltd.

4,100

523,394

Otsuka

Corp.

1,000

42,631

Pan

Pacific

International

Holdings

Corp.

5,200

98,474

Park24

Co.

Ltd.

2,900

42,751

PeptiDream

,

Inc.*

1,200

41,771

Rakuten

,

Inc.

5,800

43,727

Recruit

Holdings

Co.

Ltd.

16,700

431,382

Renesas

Electronics

Corp.*

13,300

47,309

Santen

Pharmaceutical

Co.

Ltd.

3,800

65,215

INVESTMENTS

SHARES

VALUE

Japan

-

24.4%

(continued)

Secom

Co.

Ltd.

900

$

74,437

SG

Holdings

Co.

Ltd.

2,300

54,782

Sharp

Corp.*

4,300

44,636

Shimadzu

Corp.

4,600

120,052

Shimano,

Inc.

1,100

156,875

Shimizu

Corp.

6,600

51,360

Shin-Etsu

Chemical

Co.

Ltd.

4,100

402,978

Shionogi

&

Co.

Ltd.

3,900

192,112

Shiseido

Co.

Ltd.

3,800

223,335

SMC

Corp.

700

293,471

SoftBank

Group

Corp.

1,700

60,184

Sohgo

Security

Services

Co.

Ltd.

2,000

97,078

Sony

Corp.

7,200

426,482

Sony

Financial

Holdings,

Inc.

2,900

48,696

Stanley

Electric

Co.

Ltd.

1,500

29,443

Sumitomo

Dainippon

Pharma

Co.

Ltd.

3,700

48,031

Sumitomo

Realty

&

Development

Co.

Ltd.

3,000

73,254

Suzuken

Co.

Ltd.

1,100

39,965

Suzuki

Motor

Corp.

1,500

35,717

Sysmex

Corp.

500

36,187

Taisei

Corp.

1,900

57,946

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

500

30,690

Taiyo

Nippon

Sanso

Corp.

2,700

39,952

TDK

Corp.

1,900

146,089

Terumo

Corp.

12,200

417,989

Toho

Gas

Co.

Ltd.

2,200

99,178

Tokio

Marine

Holdings,

Inc.

5,100

233,348

Tokyo

Electron

Ltd.

2,800

521,846

Toyota

Motor

Corp.

12,800

771,391

Trend

Micro,

Inc.

3,300

162,961

Unicharm

Corp.

3,900

145,992

United

Urban

Investment

Corp.,

REIT

49

49,023

USS

Co.

Ltd.

4,900

67,191

West

Japan

Railway

Co.

1,000

68,395

Yakult

Honsha

Co.

Ltd.

1,500

88,365

Yamaha

Corp.

5,500

213,155

Yokogawa

Electric

Corp.

2,900

34,692

Z

Holdings

Corp.

50,800

161,958

20,964,582

—

Macau

-

0.1%

Sands

China

Ltd.

12,800

46,568

SJM

Holdings

Ltd.

47,000

39,218

85,786

—

Netherlands

-

5.5%

Adyen

NV*(b)

210

178,478

Akzo

Nobel

NV

2,058

135,352

ASML

Holding

NV

5,760

1,518,423

Koninklijke

Ahold

Delhaize

NV

8,731

203,402

Koninklijke

DSM

NV

3,420

384,712

Koninklijke

Philips

NV

15,379

631,421

NN

Group

NV

2,832

76,962

Randstad

NV*

1,036

36,562

Royal

Dutch

Shell

plc,

Class

A

26,493

460,281

Royal

Dutch

Shell

plc,

Class

B

21,527

361,095

83

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Netherlands

-

5.5%

(continued)

Wolters

Kluwer

NV

10,278

$

727,519

4,714,207

—

Norway

-

0.2%

Mowi

ASA

8,559

129,407

Singapore

-

0.3%

Ascendas

,

REIT

24,300

48,114

CapitaLand

Mall

Trust,

REIT

29,500

36,989

DBS

Group

Holdings

Ltd.

2,300

30,011

Singapore

Telecommunications

Ltd.

13,600

24,245

United

Overseas

Bank

Ltd.

3,400

46,648

UOL

Group

Ltd.

9,700

44,503

230,510

—

South

Africa

-

0.4%

Anglo

American

plc

18,126

317,633

Spain

-

2.5%

Aena

SME

SA(b)

481

52,186

Amadeus

IT

Group

SA

8,150

383,611

Cellnex

Telecom

SA(b)

3,126

141,803

Endesa

SA

9,654

204,282

Ferrovial

SA

8,734

207,317

Grifols

SA

3,042

101,777

Iberdrola

SA

91,101

891,061

Naturgy

Energy

Group

SA

5,792

101,614

Red

Electrica

Corp.

SA

2,524

45,355

2,129,006

—

Sweden

-

3.2%

Assa

Abloy

AB,

Class

B

13,823

258,058

Atlas

Copco

AB,

Class

A

19,568

650,719

Epiroc

AB,

Class

A

5,919

58,488

Essity

AB,

Class

B

3,342

102,377

Hennes

&

Mauritz

AB,

Class

B

18,550

237,380

Hexagon

AB,

Class

B

4,029

170,367

ICA

Gruppen

AB

1,355

56,592

Investor

AB,

Class

B

2,787

125,732

Sandvik

AB

14,508

204,080

Skanska

AB,

Class

B*

2,417

36,374

SKF

AB,

Class

B

3,177

43,294

Swedish

Match

AB

6,005

340,001

Tele2

AB,

Class

B

8,627

114,938

Telefonaktiebolaget

LM

Ericsson,

Class

B*

15,050

121,829

Telia

Co.

AB

17,137

61,340

Volvo

AB,

Class

B

14,139

168,055

2,749,624

—

Switzerland

-

15.7%

ABB

Ltd.

(Registered)

9,777

169,934

Alcon,

Inc.*

5,547

284,177

Baloise

Holding

AG

(Registered)

623

81,222

Barry

Callebaut

AG

(Registered)

80

160,124

Chocoladefabriken

Lindt

&

Spruengli

AG

18

151,083

Cie

Financiere

Richemont

SA

(Registered)

551

29,453

Coca-Cola

HBC

AG

2,201

47,203

INVESTMENTS

SHARES

VALUE

Switzerland

-

15.7%

(continued)

EMS-

Chemie

Holding

AG

(Registered)

421

$

262,566

Geberit

AG

(Registered)

787

344,847

Givaudan

SA

(Registered)

140

430,777

Kuehne

+

Nagel

International

AG

(Registered)

329

44,817

Lonza

Group

AG

(Registered)*

1,635

672,515

Nestle

SA

(Registered)

31,929

3,268,502

Novartis

AG

(Registered)

23,334

1,925,028

Partners

Group

Holding

AG

1,085

742,862

Roche

Holding

AG

9,438

3,036,601

Schindler

Holding

AG

229

50,100

SGS

SA

(Registered)

15

34,597

Sika

AG

(Registered)

2,589

425,147

Sonova

Holding

AG

(Registered)

898

160,126

STMicroelectronics

NV

10,182

218,878

Straumann

Holding

AG

(Registered)

464

339,233

Swiss

Life

Holding

AG

(Registered)

292

98,009

Swiss

Re

AG

1,392

107,182

Temenos

AG

(Registered)*

235

30,632

Vifor

Pharma

AG

561

76,749

Zurich

Insurance

Group

AG

856

300,718

13,493,082

—

United

Kingdom

-

8.0%

3i

Group

plc

5,219

50,570

Admiral

Group

plc

1,746

48,085

Ashtead

Group

plc

4,765

102,991

Associated

British

Foods

plc

1,417

31,740

AstraZeneca

plc

13,590

1,210,855

Auto

Trader

Group

plc(b)

29,518

159,509

BAE

Systems

plc

37,113

238,452

Barratt

Developments

plc

7,602

41,091

BP

plc

75,956

311,491

British

American

Tobacco

plc

18,876

643,016

Bunzl

plc

6,811

136,333

CK

Hutchison

Holdings

Ltd.

7,000

46,656

CNH

Industrial

NV

5,768

32,850

Compass

Group

plc

27,316

425,586

Diageo

plc

1,887

59,836

Direct

Line

Insurance

Group

plc

42,210

154,096

Experian

plc

5,258

146,127

GlaxoSmithKline

plc

17,591

330,080

HSBC

Holdings

plc

119,863

672,884

Intertek

Group

plc

3,758

219,561

Legal

&

General

Group

plc

45,149

106,674

M&G

plc*

20,491

28,503

Persimmon

plc

12,600

297,847

Prudential

plc

20,491

256,749

Reckitt

Benckiser

Group

plc

5,607

427,117

Sage

Group

plc

(The)

32,325

235,053

Smith

&

Nephew

plc

3,009

53,008

Taylor

Wimpey

plc

76,759

110,453

Vodafone

Group

plc

172,430

238,547

Whitbread

plc

1,309

48,514

6,864,274

—

84

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

0.0%(c)

Bausch

Health

Cos.,

Inc.(1)*

1,769

$

27,416

TOTAL

COMMON

STOCKS

(Cost

$79,254,663)

81,507,709

SHORT-TERM

INVESTMENTS

-

1.6%

INVESTMENT

COMPANIES

-

1.6%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

(Cost

$1,331,071)

1,331,071

1,332,802

SECURITIES

LENDING

COLLATERAL

-

0.0%(c)

Investment

Companies

-

0.0%(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(d)(e)

1,817

1,817

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(d)(e)

5,542

5,549

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$7,359)

7,366

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.9%

(Cost

$80,593,093)

82,847,877

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.1%(f)

2,689,128

NET

ASSETS

-

100.0%

$85,537,005

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,208,606

4.9

%

Consumer

Discretionary

8,934,244

10.4

Consumer

Staples

8,423,931

9.9

Energy

2,013,479

2.4

Financials

8,053,231

9.4

Health

Care

17,128,468

20.0

Industrials

9,889,600

11.6

Information

Technology

9,939,794

11.6

Materials

4,948,894

5.8

Real

Estate

3,188,785

3.7

Utilities

4,778,677

5.6

Short-Term

Investments

1,332,802

1.6

Securities

Lending

Collateral

7,366

0.0(c)

Total

Investments

In

Securities

At

Value

82,847,877

96.9

Other

Assets

in

Excess

of

Liabilities(f)

2,689,128

3.1

Net

Assets

$

85,537,005

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$34,769.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$1,850,839,

which

represents

approximately

2.16%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$32,695

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

39

6/2020

USD

$

3,040,635

$

7,781

$

7,781

85

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

373,310

$

373,310

86

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

99.0%

Aerospace

&

Defense

-

0.6%

Curtiss-Wright

Corp.

19,992

$

1,847,461

General

Dynamics

Corp.

15,365

2,032,943

Huntington

Ingalls

Industries,

Inc.

10,080

1,836,677

Lockheed

Martin

Corp.

20,121

6,820,013

Northrop

Grumman

Corp.

13,118

3,968,851

Teledyne

Technologies,

Inc.*

18,754

5,575,001

United

Technologies

Corp.

53,346

5,032,128

27,113,074

Air

Freight

&

Logistics

-

0.2%

CH

Robinson

Worldwide,

Inc.

34,920

2,311,704

Expeditors

International

of

Washington,

Inc.

71,959

4,801,105

7,112,809

Airlines

-

0.2%

Southwest

Airlines

Co.

258,809

9,216,189

Banks

-

4.0%

Bank

of

America

Corp.

517,845

10,993,849

Bank

of

Hawaii

Corp.

32,752

1,809,221

Commerce

Bancshares,

Inc.

47,444

2,388,805

Cullen/Frost

Bankers,

Inc.(a)

52,073

2,905,153

East

West

Bancorp,

Inc.

393,720

10,134,353

First

Citizens

BancShares

,

Inc.,

Class

A

4,244

1,412,700

First

Hawaiian,

Inc.

94,612

1,563,936

JPMorgan

Chase

&

Co.

640,700

57,682,221

M&T

Bank

Corp.

87,667

9,067,398

People's

United

Financial,

Inc.(a)

166,184

1,836,333

PNC

Financial

Services

Group,

Inc.

(The)

206,490

19,765,223

Popular,

Inc.

60,655

2,122,925

Prosperity

Bancshares,

Inc.

45,838

2,211,684

SVB

Financial

Group*

209,891

31,710,332

Truist

Financial

Corp.

98,243

3,029,814

US

Bancorp

621,018

21,394,070

Wells

Fargo

&

Co.

309,769

8,890,370

Western

Alliance

Bancorp

116,498

3,566,004

192,484,391

Beverages

-

3.5%

Brown-Forman

Corp.,

Class

B(a)

111,860

6,209,349

Coca-Cola

Co.

(The)

1,268,460

56,129,355

Constellation

Brands,

Inc.,

Class

A

18,000

2,580,480

Monster

Beverage

Corp.*

526,090

29,597,823

PepsiCo,

Inc.

610,152

73,279,255

167,796,262

Biotechnology

-

1.3%

AbbVie,

Inc.

79,242

6,037,448

Amgen,

Inc.

41,330

8,378,831

Biogen,

Inc.*

136,005

43,029,262

INVESTMENTS

SHARES

VALUE

Biotechnology

-

1.3%

(continued)

Vertex

Pharmaceuticals,

Inc.*

11,076

$

2,635,534

60,081,075

Capital

Markets

-

3.8%

Ameriprise

Financial,

Inc.

80,505

8,250,152

BlackRock,

Inc.

90,932

40,007,352

CME

Group,

Inc.

201,830

34,898,425

FactSet

Research

Systems,

Inc.

7,520

1,960,314

Intercontinental

Exchange,

Inc.

287,999

23,255,919

MSCI,

Inc.

6,578

1,900,779

Nasdaq,

Inc.

20,719

1,967,269

Northern

Trust

Corp.(a)

178,482

13,468,252

S&P

Global,

Inc.

104,478

25,602,334

SEI

Investments

Co.

71,226

3,300,613

State

Street

Corp.

198,690

10,584,216

T.

Rowe

Price

Group,

Inc.

190,058

18,559,164

183,754,789

Chemicals

-

3.3%

Air

Products

&

Chemicals,

Inc.

114,815

22,918,222

Eastman

Chemical

Co.

55,035

2,563,530

Ecolab,

Inc.

367,287

57,234,333

Linde

plc

(United

Kingdom)

203,600

35,222,800

LyondellBasell

Industries

NV,

Class

A

35,298

1,751,840

NewMarket

Corp.

6,481

2,481,381

PPG

Industries,

Inc.

129,561

10,831,300

Sherwin-Williams

Co.

(The)

56,210

25,829,619

158,833,025

Commercial

Services

&

Supplies

-

1.2%

Cintas

Corp.

77,776

13,472,359

Copart

,

Inc.*

38,099

2,610,543

Republic

Services,

Inc.

153,863

11,548,957

Rollins,

Inc.

120,451

4,353,099

Waste

Management,

Inc.

252,734

23,393,059

55,378,017

Communications

Equipment

-

0.7%

Cisco

Systems,

Inc.

810,588

31,864,214

Ubiquiti,

Inc.(a)

13,074

1,851,017

33,715,231

Consumer

Finance

-

1.1%

American

Express

Co.

344,237

29,470,129

Capital

One

Financial

Corp.

77,549

3,910,021

Credit

Acceptance

Corp.*(a)

56,588

14,468,986

Discover

Financial

Services

196,737

7,017,609

54,866,745

Containers

&

Packaging

-

0.1%

AptarGroup,

Inc.

20,164

2,007,124

Avery

Dennison

Corp.

15,124

1,540,682

3,547,806

87

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Distributors

-

0.1%

Pool

Corp.

21,125

$

4,156,766

Diversified

Consumer

Services

-

0.1%

Bright

Horizons

Family

Solutions,

Inc.*

18,637

1,900,974

H&R

Block,

Inc.

82,352

1,159,516

3,060,490

Diversified

Financial

Services

-

0.0%(b)

Voya

Financial,

Inc.

35,946

1,457,610

Diversified

Telecommunication

Services

-

1.3%

AT&T,

Inc.

695,594

20,276,565

Verizon

Communications,

Inc.

770,997

41,425,669

61,702,234

Electric

Utilities

-

5.9%

Alliant

Energy

Corp.

134,337

6,487,134

American

Electric

Power

Co.,

Inc.

323,717

25,890,886

Avangrid

,

Inc.

36,658

1,604,887

Duke

Energy

Corp.

452,102

36,566,010

Edison

International

35,518

1,946,031

Entergy

Corp.

60,927

5,725,310

Evergy

,

Inc.

157,248

8,656,502

Eversource

Energy

174,252

13,628,249

Exelon

Corp.

541,618

19,936,959

FirstEnergy

Corp.

35,730

1,431,701

Hawaiian

Electric

Industries,

Inc.

36,982

1,592,075

IDACORP,

Inc.

17,553

1,540,978

NextEra

Energy,

Inc.

304,476

73,263,015

OGE

Energy

Corp.

161,643

4,967,289

Pinnacle

West

Capital

Corp.

157,557

11,941,245

PPL

Corp.

901,795

22,256,301

Southern

Co.

(The)

473,072

25,612,118

Xcel

Energy,

Inc.

318,018

19,176,485

282,223,175

Electrical

Equipment

-

0.4%

Eaton

Corp.

plc

18,407

1,430,040

Emerson

Electric

Co.

124,580

5,936,237

Hubbell,

Inc.

16,554

1,899,406

Rockwell

Automation,

Inc.

59,943

9,045,998

18,311,681

Electronic

Equipment,

Instruments

&

Components

-

0.5%

Amphenol

Corp.,

Class

A

72,890

5,312,223

Cognex

Corp.

229,392

9,684,930

Dolby

Laboratories,

Inc.,

Class

A

26,488

1,435,915

FLIR

Systems,

Inc.

42,716

1,362,213

Keysight

Technologies,

Inc.*

18,650

1,560,632

Littelfuse

,

Inc.

17,477

2,331,782

National

Instruments

Corp.

44,104

1,458,960

23,146,655

INVESTMENTS

SHARES

VALUE

Entertainment

-

0.2%

Spotify

Technology

SA*

11,489

$

1,395,224

Walt

Disney

Co.

(The)

62,822

6,068,605

7,463,829

Equity

Real

Estate

Investment

Trusts

(REITs)

-

2.4%

American

Tower

Corp.

150,620

32,797,505

AvalonBay

Communities,

Inc.

75,768

11,150,777

Boston

Properties,

Inc.

13,808

1,273,512

Camden

Property

Trust

58,907

4,667,791

Equinix

,

Inc.

12,722

7,945,780

Equity

Residential

75,057

4,631,767

Essex

Property

Trust,

Inc.

39,429

8,683,843

Federal

Realty

Investment

Trust

58,263

4,347,002

Lamar

Advertising

Co.,

Class

A

86,210

4,420,849

Public

Storage

124,708

24,768,256

Simon

Property

Group,

Inc.

199,683

10,954,609

115,641,691

Food

&

Staples

Retailing

-

4.0%

Casey's

General

Stores,

Inc.

69,578

9,218,389

Costco

Wholesale

Corp.

234,472

66,855,001

Kroger

Co.

(The)

49,799

1,499,946

Sysco

Corp.

630,307

28,760,909

Walmart,

Inc.

748,666

85,063,431

191,397,676

Food

Products

-

3.7%

Archer-Daniels-Midland

Co.

49,290

1,734,022

Campbell

Soup

Co.

196,117

9,052,761

Flowers

Foods,

Inc.

228,888

4,696,782

General

Mills,

Inc.

225,450

11,896,996

Hershey

Co.

(The)

161,757

21,432,802

Hormel

Foods

Corp.

701,176

32,702,849

Ingredion,

Inc.

149,138

11,259,919

JM

Smucker

Co.

(The)

103,223

11,457,753

Kellogg

Co.

121,883

7,311,761

Lamb

Weston

Holdings,

Inc.

200,108

11,426,167

McCormick

&

Co.,

Inc.

(Non-Voting)

112,509

15,887,396

Mondelez

International,

Inc.,

Class

A

672,635

33,685,561

Pilgrim's

Pride

Corp.*

123,145

2,231,387

Post

Holdings,

Inc.*

17,880

1,483,504

176,259,660

Gas

Utilities

-

0.4%

Atmos

Energy

Corp.(a)

170,754

16,943,920

UGI

Corp.

79,711

2,125,892

19,069,812

Health

Care

Equipment

&

Supplies

-

3.7%

Abbott

Laboratories

163,950

12,937,295

Align

Technology,

Inc.*

29,932

5,206,671

Baxter

International,

Inc.

19,782

1,606,101

Becton

Dickinson

and

Co.

37,706

8,663,708

88

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Health

Care

Equipment

&

Supplies

-

3.7%

(continued)

Cooper

Cos.,

Inc.

(The)

33,784

$

9,313,235

Danaher

Corp.

181,447

25,114,079

Edwards

Lifesciences

Corp.*

127,869

24,118,651

IDEXX

Laboratories,

Inc.*

17,114

4,145,695

Intuitive

Surgical,

Inc.*

79,607

39,422,182

Masimo

Corp.*

40,742

7,216,223

Medtronic

plc

112,448

10,140,561

ResMed

,

Inc.

43,011

6,335,090

Stryker

Corp.

70,579

11,750,698

Varian

Medical

Systems,

Inc.*

46,830

4,807,568

West

Pharmaceutical

Services,

Inc.

34,960

5,322,660

176,100,417

Health

Care

Providers

&

Services

-

1.5%

Anthem,

Inc.

10,042

2,279,936

Chemed

Corp.

10,766

4,663,831

Encompass

Health

Corp.

25,577

1,637,695

Guardant

Health,

Inc.*

20,353

1,416,569

Henry

Schein,

Inc.*(a)

285,618

14,429,421

Humana,

Inc.

52,578

16,510,544

Premier,

Inc.,

Class

A*

90,938

2,975,491

UnitedHealth

Group,

Inc.

116,052

28,941,048

72,854,535

Hotels,

Restaurants

&

Leisure

-

2.5%

Choice

Hotels

International,

Inc.

31,382

1,922,148

Darden

Restaurants,

Inc.

152,833

8,323,285

Domino's

Pizza,

Inc.

7,702

2,495,987

Dunkin'

Brands

Group,

Inc.

49,511

2,629,034

McDonald's

Corp.

290,411

48,019,459

Starbucks

Corp.

669,783

44,031,534

Wyndham

Destinations,

Inc.

133,993

2,907,648

Yum!

Brands,

Inc.

152,915

10,479,265

120,808,360

Household

Durables

-

0.1%

Garmin

Ltd.

75,680

5,672,973

Household

Products

-

3.0%

Church

&

Dwight

Co.,

Inc.

132,027

8,473,493

Clorox

Co.

(The)

135,547

23,483,518

Colgate-Palmolive

Co.

355,709

23,604,849

Kimberly-Clark

Corp.

82,880

10,597,865

Procter

&

Gamble

Co.

(The)(a)

693,940

76,333,400

142,493,125

Industrial

Conglomerates

-

1.4%

3M

Co.

243,853

33,288,373

Honeywell

International,

Inc.

239,160

31,997,216

Roper

Technologies,

Inc.

7,700

2,400,937

67,686,526

Insurance

-

6.6%

Aflac,

Inc.

268,984

9,210,012

Alleghany

Corp.

16,156

8,923,767

INVESTMENTS

SHARES

VALUE

Insurance

-

6.6%

(continued)

Allstate

Corp.

(The)

330,859

$

30,349,696

American

Financial

Group,

Inc.

75,159

5,267,143

Aon

plc

143,187

23,631,583

Arch

Capital

Group

Ltd.*

136,526

3,885,530

Arthur

J

Gallagher

&

Co.

96,160

7,838,002

Assurant,

Inc.

58,831

6,123,719

Assured

Guaranty

Ltd.

94,144

2,427,974

Athene

Holding

Ltd.,

Class

A*

66,059

1,639,584

Axis

Capital

Holdings

Ltd.

105,683

4,084,648

Brown

&

Brown,

Inc.

75,396

2,730,843

Chubb

Ltd.

396,417

44,275,815

Cincinnati

Financial

Corp.

58,110

4,384,400

CNA

Financial

Corp.

39,515

1,226,546

Erie

Indemnity

Co.,

Class

A

36,718

5,443,076

Everest

Re

Group

Ltd.

98,020

18,861,008

Fidelity

National

Financial,

Inc.

186,213

4,632,979

First

American

Financial

Corp.

54,220

2,299,470

Globe

Life,

Inc.

37,452

2,695,420

Hanover

Insurance

Group,

Inc.

(The)

36,851

3,337,964

Hartford

Financial

Services

Group,

Inc.

(The)

96,899

3,414,721

Lincoln

National

Corp.

62,350

1,641,052

Loews

Corp.

58,417

2,034,664

Markel

Corp.*

7,882

7,313,629

Marsh

&

McLennan

Cos.,

Inc.

218,003

18,848,539

Mercury

General

Corp.

44,402

1,808,049

Old

Republic

International

Corp.

126,961

1,936,155

Progressive

Corp.

(The)

403,005

29,757,889

Prudential

Financial,

Inc.

29,509

1,538,599

Reinsurance

Group

of

America,

Inc.

30,379

2,556,089

RenaissanceRe

Holdings

Ltd.

54,650

8,160,338

Travelers

Cos.,

Inc.

(The)

262,544

26,083,746

White

Mountains

Insurance

Group

Ltd.

1,957

1,780,870

Willis

Towers

Watson

plc

56,416

9,582,258

WR

Berkley

Corp.

92,964

4,849,932

314,575,709

Interactive

Media

&

Services

-

2.5%

Alphabet,

Inc.,

Class

A*

61,334

71,267,041

Facebook,

Inc.,

Class

A*(a)

304,307

50,758,408

122,025,449

Internet

&

Direct

Marketing

Retail

-

2.0%

Amazon.com,

Inc.*

31,255

60,938,499

Booking

Holdings,

Inc.*

26,270

35,341,556

96,280,055

IT

Services

-

6.8%

Accenture

plc,

Class

A

333,799

54,496,025

Akamai

Technologies,

Inc.*(a)

171,868

15,724,203

Amdocs

Ltd.

67,589

3,715,367

Automatic

Data

Processing,

Inc.

188,326

25,740,398

Broadridge

Financial

Solutions,

Inc.

21,332

2,022,914

89

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

IT

Services

-

6.8%

(continued)

Cognizant

Technology

Solutions

Corp.,

Class

A

95,575

$

4,441,370

EPAM

Systems,

Inc.*

31,704

5,886,165

Fiserv,

Inc.*

54,002

5,129,650

Genpact

Ltd.

97,293

2,840,956

Global

Payments,

Inc.

12,177

1,756,289

International

Business

Machines

Corp.

60,464

6,707,271

Jack

Henry

&

Associates,

Inc.

42,360

6,575,966

Mastercard

,

Inc.,

Class

A

284,163

68,642,414

Paychex,

Inc.

182,425

11,478,181

PayPal

Holdings,

Inc.*

232,443

22,254,093

VeriSign,

Inc.*

94,527

17,023,367

Visa,

Inc.,

Class

A

437,730

70,527,058

324,961,687

Life

Sciences

Tools

&

Services

-

1.7%

Agilent

Technologies,

Inc.

138,944

9,951,169

Bio-

Techne

Corp.

15,181

2,878,621

Charles

River

Laboratories

International,

Inc.*

15,818

1,996,390

Illumina,

Inc.*

70,976

19,384,965

Mettler

-Toledo

International,

Inc.*

24,856

17,163,317

Thermo

Fisher

Scientific,

Inc.

97,578

27,673,121

Waters

Corp.*

18,651

3,395,414

82,442,997

Machinery

-

2.2%

Caterpillar,

Inc.

177,137

20,554,978

Cummins,

Inc.

80,173

10,849,010

Donaldson

Co.,

Inc.

48,042

1,855,862

Dover

Corp.

41,412

3,476,123

Fortive

Corp.

27,067

1,493,828

IDEX

Corp.

29,273

4,042,894

Illinois

Tool

Works,

Inc.

362,775

51,557,583

Lincoln

Electric

Holdings,

Inc.

27,050

1,866,450

Parker-Hannifin

Corp.

16,550

2,147,032

Stanley

Black

&

Decker,

Inc.

64,585

6,458,500

Toro

Co.

(The)

31,020

2,019,092

106,321,352

Media

-

0.3%

Cable

One,

Inc.

1,135

1,865,951

Comcast

Corp.,

Class

A

76,265

2,621,991

John

Wiley

&

Sons,

Inc.,

Class

A

44,876

1,682,401

Omnicom

Group,

Inc.

154,641

8,489,791

14,660,134

Metals

&

Mining

-

0.6%

Newmont

Corp.

570,909

25,850,760

Royal

Gold,

Inc.

29,903

2,622,792

28,473,552

INVESTMENTS

SHARES

VALUE

Multiline

Retail

-

0.4%

Dollar

General

Corp.

36,221

$

5,469,733

Target

Corp.

162,912

15,145,929

20,615,662

Multi-Utilities

-

4.7%

Ameren

Corp.

376,983

27,455,672

CMS

Energy

Corp.

224,295

13,177,331

Consolidated

Edison,

Inc.

383,336

29,900,208

Dominion

Energy,

Inc.

672,035

48,514,207

DTE

Energy

Co.

153,520

14,579,795

MDU

Resources

Group,

Inc.

109,166

2,347,069

Public

Service

Enterprise

Group,

Inc.

616,886

27,704,350

Sempra

Energy

256,367

28,966,907

WEC

Energy

Group,

Inc.

378,803

33,383,908

226,029,447

Oil,

Gas

&

Consumable

Fuels

-

0.2%

Antero

Resources

Corp.*(a)

1,929,471

1,375,520

ONEOK,

Inc.

294,816

6,429,937

Valero

Energy

Corp.

42,372

1,921,994

9,727,451

Personal

Products

-

0.7%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

212,213

33,814,019

Pharmaceuticals

-

4.6%

Bristol-Myers

Squibb

Co.

338,481

18,866,931

Eli

Lilly

&

Co.

354,535

49,181,095

Jazz

Pharmaceuticals

plc*

16,320

1,627,757

Johnson

&

Johnson

596,487

78,217,340

Merck

&

Co.,

Inc.

348,851

26,840,596

Pfizer,

Inc.

548,616

17,906,826

Zoetis,

Inc.

218,092

25,667,248

218,307,793

Professional

Services

-

0.6%

CoStar

Group,

Inc.*

22,785

13,379,580

Robert

Half

International,

Inc.

112,127

4,232,794

Verisk

Analytics,

Inc.

75,313

10,497,126

28,109,500

Real

Estate

Management

&

Development

-

0.2%

CBRE

Group,

Inc.,

Class

A*

140,936

5,314,697

Jones

Lang

LaSalle,

Inc.

32,383

3,270,035

8,584,732

Road

&

Rail

-

0.4%

Landstar

System,

Inc.

41,886

4,015,192

Old

Dominion

Freight

Line,

Inc.

64,328

8,443,628

Union

Pacific

Corp.

36,731

5,180,540

17,639,360

90

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Semiconductors

&

Semiconductor

Equipment

-

2.2%

Analog

Devices,

Inc.

25,044

$

2,245,195

Broadcom,

Inc.

32,808

7,778,777

Intel

Corp.

269,110

14,564,233

Lam

Research

Corp.

19,572

4,697,280

Maxim

Integrated

Products,

Inc.

43,630

2,120,854

Monolithic

Power

Systems,

Inc.

15,625

2,616,563

NVIDIA

Corp.

69,559

18,335,752

Skyworks

Solutions,

Inc.

165,027

14,750,113

Texas

Instruments,

Inc.

324,575

32,434,780

Xilinx,

Inc.

74,195

5,782,758

105,326,305

Software

-

3.9%

Adobe,

Inc.*

88,961

28,310,949

ANSYS,

Inc.*

46,957

10,916,094

Cadence

Design

Systems,

Inc.*

142,727

9,425,691

Intuit,

Inc.

224,689

51,678,470

Manhattan

Associates,

Inc.*

33,515

1,669,717

Microsoft

Corp.

490,556

77,365,587

Oracle

Corp.

61,492

2,971,908

Pegasystems

,

Inc.

21,345

1,520,404

salesforce.com,

Inc.*

19,828

2,854,835

Synopsys,

Inc.*

16,359

2,106,876

188,820,531

Specialty

Retail

-

3.5%

AutoZone,

Inc.*

4,108

3,475,368

Best

Buy

Co.,

Inc.

200,446

11,425,422

Burlington

Stores,

Inc.*

13,341

2,114,015

Home

Depot,

Inc.

(The)

321,146

59,961,170

Lowe's

Cos.,

Inc.

211,466

18,196,649

O'Reilly

Automotive,

Inc.*

31,994

9,631,794

Ross

Stores,

Inc.

368,494

32,047,923

TJX

Cos.,

Inc.

(The)

487,944

23,328,603

Ulta

Beauty,

Inc.*

14,971

2,630,405

Williams-Sonoma,

Inc.

150,153

6,384,505

169,195,854

Technology

Hardware,

Storage

&

Peripherals

-

0.8%

Apple,

Inc.

154,403

39,263,139

Textiles,

Apparel

&

Luxury

Goods

-

1.1%

Lululemon

Athletica,

Inc.*

90,544

17,162,615

NIKE,

Inc.,

Class

B

428,411

35,446,726

VF

Corp.

45,432

2,456,963

55,066,304

Thrifts

&

Mortgage

Finance

-

0.0%(b)

TFS

Financial

Corp.

59,175

903,602

Tobacco

-

0.5%

Altria

Group,

Inc.

161,488

6,244,741

Philip

Morris

International,

Inc.

251,350

18,338,496

24,583,237

INVESTMENTS

SHARES

VALUE

Trading

Companies

&

Distributors

-

0.1%

Fastenal

Co.

80,827

$

2,525,844

WW

Grainger,

Inc.

17,520

4,353,720

6,879,564

Transportation

Infrastructure

-

0.0%(b)

Macquarie

Infrastructure

Corp.

76,292

1,926,373

Water

Utilities

-

0.5%

American

Water

Works

Co.,

Inc.

160,112

19,142,991

Essential

Utilities,

Inc.

174,421

7,098,934

26,241,925

Wireless

Telecommunication

Services

-

0.7%

T-Mobile

US,

Inc.*

403,564

33,859,020

TOTAL

COMMON

STOCKS

(Cost

$4,825,864,919)

4,748,041,381

SHORT-TERM

INVESTMENTS

-

1.0%

INVESTMENT

COMPANIES

-

1.0%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)(d)

(Cost

$46,311,891)

46,317,995

46,378,208

SECURITIES

LENDING

COLLATERAL

-

0.6%

Investment

Companies

-

0.6%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(c)(e)

7,308,315

7,308,315

Limited

Purpose

Cash

Investment

Fund

0.85%(c)(d)(e)

22,294,034

22,323,016

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$29,602,349)

29,631,331

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.6%

(Cost

$4,901,779,159)

4,824,050,920

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.6)%(f)

(28,437,011)

NET

ASSETS

-

100.0%

$4,795,613,909

91

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$27,964,432.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$62,304

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

239,710,666

5.0

%

Consumer

Discretionary

474,856,464

9.9

Consumer

Staples

736,343,980

15.4

Energy

9,727,451

0.2

Financials

748,042,846

15.6

Health

Care

609,786,817

12.7

Industrials

345,694,444

7.2

Information

Technology

715,233,548

14.9

Materials

190,854,383

4.0

Real

Estate

124,226,423

2.6

Utilities

553,564,359

11.5

Short-Term

Investments

46,378,208

1.0

Securities

Lending

Collateral

29,631,331

0.6

Total

Investments

In

Securities

At

Value

4,824,050,920

100.6

Liabilities

in

Excess

of

Other

Assets(f)

(28,437,011)

(0.6)

Net

Assets

$

4,795,613,909

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

AFFILIATE

VALUE

AT

9/30/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

1.0%

INVESTMENT

COMPANIES

-

1.0%

Limited

Purpose

Cash

Investment

Fund,

0.85%^(a)

(Cost

$46,311,891)

$183,525,144

$1,447,438,855

$(1,584,857,650)

$222,556

$49,303

$46,378,208

46,317,995

1,949,957

SECURITIES

LENDING

COLLATERAL

-

0.5%

Limited

Purpose

Cash

Investment

Fund,

0.85%^(a)(b)

(Cost

$22,294,034)

$39,755,381

$149,556,577

$(167,029,952)

$16,003

$25,007

$22,323,016

22,294,034

$–

TOTAL

$238,559

$74,310

$68,701,224

$1,949,957

^    No

longer

affiliated

as

of

March

31,

2020.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(b)

Securities

Lending

income

from

affiliated

issuers

amounted

to

$82,304

for

period

ended

March

31,

2020.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

92

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

22

6/2020

USD

$

2,826,670

$

(123,712)

$

(123,712)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

368,354

$

368,354

93

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

98.8%

Australia

-

7.3%

AGL

Energy

Ltd.

155,937

$

1,631,934

Alumina

Ltd.

152,611

136,769

Aristocrat

Leisure

Ltd.

26,039

337,404

AusNet

Services

94,515

99,242

Australia

&

New

Zealand

Banking

Group

Ltd.

34,236

359,047

BHP

Group

plc

11,661

180,975

BlueScope

Steel

Ltd.

16,889

88,423

Brambles

Ltd.

36,891

238,454

CIMIC

Group

Ltd.

14,462

204,829

Coca-Cola

Amatil

Ltd.

71,312

384,890

Cochlear

Ltd.

9,887

1,126,835

Commonwealth

Bank

of

Australia

5,788

218,381

Crown

Resorts

Ltd.

47,782

221,744

CSL

Ltd.

4,291

777,837

Flight

Centre

Travel

Group

Ltd.(3)

(a)

11,343

55,614

Fortescue

Metals

Group

Ltd.

57,682

353,488

Harvey

Norman

Holdings

Ltd.

104,505

191,888

Incitec

Pivot

Ltd.

71,893

89,178

Insurance

Australia

Group

Ltd.

22,963

86,641

National

Australia

Bank

Ltd.

7,397

75,878

Oil

Search

Ltd.

64,468

93,495

REA

Group

Ltd.

4,942

231,503

Sonic

Healthcare

Ltd.

30,852

463,700

Tabcorp

Holdings

Ltd.

60,089

92,994

Telstra

Corp.

Ltd.

1,140,159

2,140,248

Treasury

Wine

Estates

Ltd.

9,226

57,280

Washington

H

Soul

Pattinson

&

Co.

Ltd.

30,720

317,442

Wesfarmers

Ltd.

37,776

800,481

Westpac

Banking

Corp.

22,429

230,364

Woolworths

Group

Ltd.

110,904

2,411,760

13,698,718

—

Austria

-

0.3%

Erste

Group

Bank

AG

34,962

640,074

Belgium

-

1.5%

Ageas

9,834

409,803

Colruyt

SA

26,857

1,455,862

Groupe

Bruxelles

Lambert

SA

1,075

84,582

KBC

Group

NV

9,780

443,769

Proximus

SADP

10,068

231,207

UCB

SA

1,827

156,322

2,781,545

—

Canada

-

12.5%

Agnico

Eagle

Mines

Ltd.(1)

9,319

372,018

Alimentation

Couche-Tard,

Inc.,

Class

B(1)

32,746

771,356

Atco

Ltd.,

Class

I(1)

2,617

72,468

Bank

of

Montreal(1)

11,490

580,174

Bank

of

Nova

Scotia

(The)(1)

17,764

725,430

BCE,

Inc.(1)

52,885

2,169,439

Canadian

Imperial

Bank

of

Commerce(1)

10,966

638,963

Canadian

National

Railway

Co.(1)

10,880

850,655

INVESTMENTS

SHARES

VALUE

Canada

-

12.5%

(continued)

Canadian

Natural

Resources

Ltd.

(1)

97,459

$

1,333,110

Canadian

Pacific

Railway

Ltd.(1)

3,409

752,267

Canadian

Tire

Corp.

Ltd.,

Class

A(1)

1,447

87,336

Canadian

Utilities

Ltd.,

Class

A(1)

25,614

612,275

CI

Financial

Corp.(1)

42,079

417,710

Emera,

Inc.(1)

2,988

117,838

Empire

Co.

Ltd.,

Class

A(1)

32,490

635,579

Fortis,

Inc.(1)

5,296

204,231

Franco-Nevada

Corp.(1)

15,384

1,537,088

George

Weston

Ltd.(1)

1,315

94,030

Hydro

One

Ltd.(1)(b)

110,474

1,989,207

Imperial

Oil

Ltd.(1)

73,503

830,976

Intact

Financial

Corp.(1)

13,650

1,179,741

Loblaw

Cos.

Ltd.(1)

11,624

599,248

Magna

International,

Inc.(1)

18,002

574,483

Manulife

Financial

Corp.(1)

36,788

461,909

Rogers

Communications,

Inc.,

Class

B(1)

13,888

579,678

Royal

Bank

of

Canada(1)

17,262

1,069,231

Saputo,

Inc.(1)

22,661

544,907

Shaw

Communications,

Inc.,

Class

B(1)

30,997

502,851

Sun

Life

Financial,

Inc.(1)

9,175

295,141

Suncor

Energy,

Inc.(1)

110,145

1,757,874

Thomson

Reuters

Corp.(1)

2,445

166,579

Toronto-Dominion

Bank

(The)(1)

18,136

771,035

Wheaton

Precious

Metals

Corp.(1)

10,511

289,271

23,584,098

—

China

-

0.2%

BOC

Hong

Kong

Holdings

Ltd.

70,500

193,524

Yangzijiang

Shipbuilding

Holdings

Ltd.

225,600

130,902

324,426

—

Colombia

-

0.1%

Millicom

International

Cellular

SA,

SDR

4,924

136,806

Denmark

-

3.1%

Carlsberg

A/S,

Class

B

1,027

115,619

Coloplast

A/S,

Class

B

12,676

1,838,355

DSV

Panalpina

A/S

2,231

202,863

ISS

A/S

7,831

107,132

Novo

Nordisk

A/S,

Class

B

33,152

1,979,709

Novozymes

A/S,

Class

B

12,697

569,547

Orsted

A/S(b)

8,613

843,192

Pandora

A/S

2,282

73,323

5,729,740

—

Finland

-

2.4%

Elisa

OYJ

11,953

737,781

Fortum

OYJ

24,078

350,264

Kone

OYJ,

Class

B

15,644

876,075

Neste

OYJ

38,923

1,294,095

Nokia

OYJ

142,303

438,273

Orion

OYJ,

Class

B

10,857

441,840

94

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Finland

-

2.4%

(continued)

Sampo

OYJ,

Class

A

11,313

$

326,367

4,464,695

—

France

-

5.9%

Aeroports

de

Paris

1,214

117,280

Air

Liquide

SA

6,292

803,158

AXA

SA

20,508

347,240

Bouygues

SA

7,303

211,942

Danone

SA

7,784

498,162

Dassault

Aviation

SA

108

88,688

Dassault

Systemes

SE

4,259

621,776

Electricite

de

France

SA

56,109

438,745

Engie

SA

93,434

956,807

Eutelsat

Communications

SA

10,457

108,702

Hermes

International

2,019

1,373,750

L'Oreal

SA

8,806

2,279,090

Natixis

SA

41,748

132,936

Pernod

Ricard

SA

898

127,459

Peugeot

SA

14,621

190,355

Sanofi

3,828

331,409

SCOR

SE

4,154

91,393

Sodexo

SA(c)

2,939

197,369

Suez

49,436

502,240

TOTAL

SA

30,641

1,154,517

Worldline

SA*(b)

8,937

527,473

11,100,491

—

Germany

-

4.1%

adidas

AG

934

207,374

Allianz

SE

(Registered)

5,427

924,205

BASF

SE

6,107

285,453

Beiersdorf

AG

7,238

728,800

Carl

Zeiss

Meditec

AG

1,025

97,601

Commerzbank

AG

229,549

817,159

Evonik

Industries

AG

5,046

105,377

FUCHS

PETROLUB

SE

(Preference)

8,133

290,110

Hannover

Rueck

SE

3,423

483,347

HeidelbergCement

AG

1,816

77,585

Henkel

AG

&

Co.

KGaA

(Preference)

9,982

798,377

Infineon

Technologies

AG

7,807

112,700

KION

Group

AG

1,936

83,321

METRO

AG

15,401

131,173

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

350

70,375

SAP

SE

6,643

741,677

Siemens

Healthineers

AG(b)

13,458

520,240

Telefonica

Deutschland

Holding

AG

384,247

943,367

Volkswagen

AG

(Preference)

1,849

212,999

7,631,240

—

Hong

Kong

-

3.5%

CLP

Holdings

Ltd.

152,000

1,392,321

Hang

Seng

Bank

Ltd.

16,800

286,226

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.(d)

1,121,000

1,076,239

Hong

Kong

&

China

Gas

Co.

Ltd.

774,416

1,268,052

MTR

Corp.

Ltd.

151,000

776,690

INVESTMENTS

SHARES

VALUE

Hong

Kong

-

3.5%

(continued)

Power

Assets

Holdings

Ltd.

295,000

$

1,750,011

6,549,539

—

Italy

-

0.5%

Assicurazioni

Generali

SpA

20,165

273,131

Enel

SpA

89,661

618,468

891,599

—

Japan

-

30.8%

ABC-Mart,

Inc.

18,100

905,875

Amada

Holdings

Co.

Ltd.

18,500

145,002

Asahi

Group

Holdings

Ltd.

7,500

243,324

Asahi

Kasei

Corp.

18,500

129,626

Astellas

Pharma,

Inc.

96,300

1,483,729

Bandai

Namco

Holdings,

Inc.

16,400

795,453

Bridgestone

Corp.

24,700

756,082

Calbee

,

Inc.

70,600

1,905,273

Canon,

Inc.

27,600

599,774

Casio

Computer

Co.

Ltd.

13,600

190,281

Central

Japan

Railway

Co.

1,000

160,271

Chiba

Bank

Ltd.

(The)

14,500

63,121

Chugai

Pharmaceutical

Co.

Ltd.

8,400

971,845

Chugoku

Electric

Power

Co.,

Inc.

(The)

12,500

174,403

Daicel

Corp.

21,500

156,414

East

Japan

Railway

Co.

10,000

756,704

Eisai

Co.

Ltd.

11,200

819,251

Fast

Retailing

Co.

Ltd.

1,900

775,280

FUJIFILM

Holdings

Corp.

21,100

1,039,799

Fujitsu

Ltd.

900

81,062

Hakuhodo

DY

Holdings,

Inc.

17,300

174,556

Hamamatsu

Photonics

KK

10,000

406,346

Hisamitsu

Pharmaceutical

Co.,

Inc.

7,800

361,953

Hoshizaki

Corp.

4,300

321,648

Hoya

Corp.

19,700

1,675,120

ITOCHU

Corp.

51,900

1,074,051

J

Front

Retailing

Co.

Ltd.

22,100

182,399

Japan

Airlines

Co.

Ltd.

32,900

604,618

Japan

Post

Bank

Co.

Ltd.

75,700

699,098

Japan

Post

Holdings

Co.

Ltd.

36,000

281,614

Japan

Tobacco,

Inc.

39,600

732,469

JGC

Holdings

Corp.

21,000

167,622

JTEKT

Corp.

9,100

61,461

Kakaku.com,

Inc.

7,800

142,658

Kamigumi

Co.

Ltd.

27,500

464,188

Kansai

Paint

Co.

Ltd.

6,100

115,704

Kao

Corp.

13,600

1,107,968

KDDI

Corp.

85,400

2,522,595

Kikkoman

Corp.

2,600

110,239

Kirin

Holdings

Co.

Ltd.

25,900

511,532

Kose

Corp.

1,900

235,109

Kyocera

Corp.

3,400

200,637

Kyushu

Railway

Co.

30,800

884,744

Lawson,

Inc.

6,200

340,317

Makita

Corp.

2,100

64,058

Maruichi

Steel

Tube

Ltd.

2,900

69,455

McDonald's

Holdings

Co.

Japan

Ltd.

17,000

766,731

Medipal

Holdings

Corp.

34,500

644,664

MEIJI

Holdings

Co.

Ltd.

3,700

262,205

95

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

30.8%

(continued)

Mitsubishi

Corp.

20,900

$

442,082

Mitsubishi

Electric

Corp.

6,400

78,184

Mitsubishi

UFJ

Financial

Group,

Inc.

52,500

196,432

Mitsui

&

Co.

Ltd.

29,900

415,123

Mizuho

Financial

Group,

Inc.

1,297,400

1,488,480

Murata

Manufacturing

Co.

Ltd.

1,500

74,572

Nexon

Co.

Ltd.

60,400

986,987

NH

Foods

Ltd.

2,200

76,561

Nippon

Telegraph

&

Telephone

Corp.

62,000

1,482,830

Nisshin

Seifun

Group,

Inc.

18,800

313,627

Nissin

Foods

Holdings

Co.

Ltd.

8,100

672,194

Nitori

Holdings

Co.

Ltd.

1,200

162,169

Nitto

Denko

Corp.

11,400

506,377

Nomura

Research

Institute

Ltd.

18,361

387,835

Omron

Corp.

13,300

687,646

Ono

Pharmaceutical

Co.

Ltd.

3,300

75,835

Oracle

Corp.

Japan

7,700

671,617

Osaka

Gas

Co.

Ltd.

79,800

1,498,454

Otsuka

Corp.

12,400

528,619

Otsuka

Holdings

Co.

Ltd.

5,000

195,092

Pola

Orbis

Holdings,

Inc.

5,500

101,114

Recruit

Holdings

Co.

Ltd.

24,600

635,449

Renesas

Electronics

Corp.*

117,200

416,889

Rinnai

Corp.

12,700

895,230

Ryohin

Keikaku

Co.

Ltd.

8,500

94,525

Sankyo

Co.

Ltd.

25,800

748,216

Secom

Co.

Ltd.

9,800

810,541

Sekisui

Chemical

Co.

Ltd.

21,600

284,560

Sekisui

House

Ltd.

5,900

97,303

Seven

&

i

Holdings

Co.

Ltd.

50,800

1,677,664

Seven

Bank

Ltd.

27,700

71,489

Shimamura

Co.

Ltd.

1,700

102,737

Shimano,

Inc.

3,100

442,101

Shionogi

&

Co.

Ltd.

17,300

852,189

Softbank

Corp.

157,400

2,005,069

Stanley

Electric

Co.

Ltd.

11,700

229,656

Sumitomo

Dainippon

Pharma

Co.

Ltd.

11,700

151,882

Sumitomo

Mitsui

Financial

Group,

Inc.

4,300

104,462

Sundrug

Co.

Ltd.

34,300

1,099,117

Suntory

Beverage

&

Food

Ltd.

39,500

1,492,662

Suzuken

Co.

Ltd.

1,900

69,031

Suzuki

Motor

Corp.

5,200

123,818

Sysmex

Corp.

10,800

781,649

T&D

Holdings,

Inc.

48,100

389,929

Toho

Gas

Co.

Ltd.

25,600

1,154,068

Tohoku

Electric

Power

Co.,

Inc.

6,200

59,600

Tokio

Marine

Holdings,

Inc.

6,700

306,556

Tokyo

Gas

Co.

Ltd.

35,300

831,783

Toyo

Suisan

Kaisha

Ltd.

38,900

1,880,136

Toyota

Motor

Corp.

4,000

241,060

USS

Co.

Ltd.

26,300

360,638

West

Japan

Railway

Co.

10,400

711,308

Yamada

Denki

Co.

Ltd.*

79,000

314,659

Yamaha

Corp.

4,500

174,400

57,990,534

—

INVESTMENTS

SHARES

VALUE

Macau

-

0.6%

Galaxy

Entertainment

Group

Ltd.

93,000

$

489,814

Sands

China

Ltd.

170,800

621,387

1,111,201

—

Netherlands

-

1.3%

Adyen

NV*(b)

145

123,235

Akzo

Nobel

NV

3,888

255,709

ASML

Holding

NV

2,406

634,257

Koninklijke

Ahold

Delhaize

NV

43,960

1,024,117

Randstad

NV*

3,285

115,934

Royal

Dutch

Shell

plc,

Class

A

19,109

331,994

2,485,246

—

Norway

-

1.5%

Equinor

ASA

25,341

315,904

Gjensidige

Forsikring

ASA

32,786

558,320

Mowi

ASA

30,849

466,420

Orkla

ASA

66,777

572,126

Telenor

ASA

58,817

859,653

Yara

International

ASA

2,554

80,755

2,853,178

—

Portugal

-

0.4%

Galp

Energia

SGPS

SA

65,276

746,509

Singapore

-

3.6%

ComfortDelGro

Corp.

Ltd.

736,800

784,569

DBS

Group

Holdings

Ltd.

68,100

888,579

Genting

Singapore

Ltd.

1,159,200

561,934

Oversea-Chinese

Banking

Corp.

Ltd.

134,400

814,320

SATS

Ltd.

161,400

358,773

Singapore

Airlines

Ltd.

137,600

558,535

Singapore

Telecommunications

Ltd.

677,900

1,208,509

United

Overseas

Bank

Ltd.

58,200

798,507

Wilmar

International

Ltd.

306,900

694,026

6,667,752

—

Spain

-

1.6%

Endesa

SA

13,559

286,914

Iberdrola

SA

77,077

753,891

Industria

de

Diseno

Textil

SA

28,514

738,902

Mapfre

SA

123,347

209,246

Red

Electrica

Corp.

SA

57,865

1,039,805

3,028,758

—

Sweden

-

3.2%

Atlas

Copco

AB,

Class

A

8,913

296,395

Essity

AB,

Class

B

44,961

1,377,317

Hennes

&

Mauritz

AB,

Class

B

43,388

555,227

ICA

Gruppen

AB

8,467

353,628

Investor

AB,

Class

B

6,133

276,682

L

E

Lundbergforetagen

AB,

Class

B

8,324

337,436

Securitas

AB,

Class

B

34,057

365,856

Skandinaviska

Enskilda

Banken

AB,

Class

A

19,770

132,401

Skanska

AB,

Class

B*

36,027

542,176

Swedish

Match

AB

11,013

623,552

Tele2

AB,

Class

B

24,152

321,778

Telia

Co.

AB

139,404

498,980

96

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Sweden

-

3.2%

(continued)

Volvo

AB,

Class

B

30,488

$

362,378

6,043,806

—

Switzerland

-

6.6%

Alcon,

Inc.*

2,254

115,474

Chocoladefabriken

Lindt

&

Spruengli

AG

37

310,559

Coca-Cola

HBC

AG

17,070

366,088

Credit

Suisse

Group

AG

(Registered)*

41,285

333,226

Dufry

AG

(Registered)

40,312

1,237,184

EMS-

Chemie

Holding

AG

(Registered)

562

350,504

Geberit

AG

(Registered)

423

185,350

Kuehne

+

Nagel

International

AG

(Registered)

4,362

594,194

LafargeHolcim

Ltd.

(Registered)*

1,838

67,075

Nestle

SA

(Registered)

19,930

2,040,190

Novartis

AG

(Registered)

11,270

929,762

Partners

Group

Holding

AG

264

180,752

Roche

Holding

AG

6,777

2,180,447

Schindler

Holding

AG

1,698

371,484

SGS

SA

(Registered)

496

1,144,011

Sika

AG

(Registered)

1,440

236,466

Sonova

Holding

AG

(Registered)

1,598

284,946

Swatch

Group

AG

(The)

438

86,023

Swiss

Life

Holding

AG

(Registered)

1,324

444,395

Swisscom

AG

(Registered)

762

408,036

UBS

Group

AG

(Registered)*

25,595

234,607

Zurich

Insurance

Group

AG

638

224,134

12,324,907

—

United

Kingdom

-

7.7%

Admiral

Group

plc

20,048

552,125

Associated

British

Foods

plc

27,947

626,004

AstraZeneca

plc

8,795

783,625

Aviva

plc

111,130

365,368

Barclays

plc

489,615

556,414

Barratt

Developments

plc

73,837

399,112

Berkeley

Group

Holdings

plc

4,493

200,539

BP

plc

57,637

236,366

British

American

Tobacco

plc

8,440

287,511

BT

Group

plc

63,247

91,997

Burberry

Group

plc

5,445

88,507

Compass

Group

plc

24,101

375,496

Diageo

plc

44,430

1,408,853

Direct

Line

Insurance

Group

plc

371,840

1,357,478

GlaxoSmithKline

plc

18,799

352,748

HSBC

Holdings

plc

83,972

471,400

Imperial

Brands

plc

5,246

96,817

ITV

plc

529,693

434,684

JD

Sports

Fashion

plc

14,898

83,440

Kingfisher

plc

103,321

181,484

Legal

&

General

Group

plc

199,597

471,588

Marks

&

Spencer

Group

plc

98,848

119,827

Mondi

plc

26,110

440,623

National

Grid

plc

75,317

880,025

Next

plc

6,479

325,044

Persimmon

plc

24,614

581,842

Reckitt

Benckiser

Group

plc

4,928

375,393

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

7.7%

(continued)

Sage

Group

plc

(The)

17,119

$

124,482

Smith

&

Nephew

plc

28,604

503,903

SSE

plc

19,116

307,176

Taylor

Wimpey

plc

667,509

960,519

Vodafone

Group

plc

45,700

63,223

Whitbread

plc

9,889

366,501

14,470,114

—

United

States

-

0.1%

Ferguson

plc

3,329

205,840

TOTAL

COMMON

STOCKS

(Cost

$193,708,875)

185,460,816

SHORT-TERM

INVESTMENTS

-

5.3%

INVESTMENT

COMPANIES

-

5.3%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(e)

(Cost

$9,897,148)

9,897,148

9,910,015

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(e)(f)

44,960

44,960

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(e)(f)

137,150

137,329

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$182,110)

182,289

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

104.2%

(Cost

$203,788,133)

195,553,120

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(4.2)%(g)

(7,931,185)

NET

ASSETS

-

100.0%

$187,621,935

97

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

18,983,139

10.1

%

Consumer

Discretionary

21,294,531

11.3

Consumer

Staples

35,017,706

18.7

Energy

8,412,283

4.5

Financials

25,441,930

13.6

Health

Care

20,966,990

11.2

Industrials

18,428,766

9.8

Information

Technology

8,418,667

4.5

Materials

7,587,149

4.0

Utilities

20,909,655

11.1

Short-Term

Investments

9,910,015

5.3

Securities

Lending

Collateral

182,289

0.1

Total

Investments

In

Securities

At

Value

195,553,120

104.2

Liabilities

in

Excess

of

Other

Assets(g)

(7,931,185)

(4.2)

Net

Assets

$

187,621,935

100.0%

*

Non-income

producing

security.

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$55,614,

which

represents

approximately

0.03%

of

net

assets

of

the

fund.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$4,003,347,

which

represents

approximately

2.13%

of

net

assets

of

the

fund.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$173,366.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$1,076,239

or

0.57%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

5

6/2020

USD

$

389,825

$

(171)

$

(171)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,126,509

$

1,126,509

98

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

94.9%

Brazil

-

3.6%

Ambev

SA,

ADR(1)*

110,066

$

253,152

B2W

Cia

Digital(1)*

13,200

121,938

BB

Seguridade

Participacoes

SA(1)

28,800

137,734

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo,

ADR(1)*

26,689

196,965

Engie

Brasil

Energia

SA(1)

45,575

341,367

Equatorial

Energia

SA(1)

37,300

126,341

Hapvida

Participacoes

e

Investimentos

SA(1)(a)

3,200

26,112

Hypera

SA(1)*

7,700

42,367

IRB

Brasil

Resseguros

S/A(1)*

14,700

27,385

Lojas

Renner

SA(1)

10,250

66,202

Porto

Seguro

SA(1)

2,300

19,883

Rumo

SA(1)*

27,800

105,131

Sul

America

SA(1)*

14,000

91,068

Telefonica

Brasil

SA,

ADR(1)

27,613

263,152

TIM

Participacoes

SA,

ADR(1)*

30,791

374,418

Vale

SA,

ADR(1)*

9,895

82,030

WEG

SA(1)

10,654

68,831

2,344,076

—

Chile

-

1.5%

Aguas

Andinas

SA,

Class

A(1)

1,000,935

294,702

Banco

de

Chile(1)

1,543,060

124,577

Cia

Cervecerias

Unidas

SA,

ADR(1)

23,753

317,815

Enel

Chile

SA,

ADR(1)

55,174

183,178

SACI

Falabella

(1)

16,990

37,438

957,710

—

China

-

26.0%

Agricultural

Bank

of

China

Ltd.,

Class

H

627,000

250,339

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

4,500

30,913

ANTA

Sports

Products

Ltd.

28,000

203,188

Bank

of

Beijing

Co.

Ltd.,

Class

A

823,017

558,133

Bank

of

China

Ltd.,

Class

H

635,000

241,722

Bank

of

Communications

Co.

Ltd.,

Class

H

291,000

177,237

Beijing

Capital

International

Airport

Co.

Ltd.,

Class

H

172,000

109,161

China

Conch

Venture

Holdings

Ltd.

6,000

26,610

China

Construction

Bank

Corp.,

Class

H

693,000

563,303

China

Education

Group

Holdings

Ltd.(b)

73,000

101,025

China

Everbright

Bank

Co.

Ltd.,

Class

H

133,000

50,592

China

Gas

Holdings

Ltd.

42,200

145,925

China

Longyuan

Power

Group

Corp.

Ltd.,

Class

H

403,000

219,960

China

Medical

System

Holdings

Ltd.

28,000

29,953

China

Mobile

Ltd.

118,000

884,325

China

Resources

Beer

Holdings

Co.

Ltd.

26,000

117,859

China

Resources

Gas

Group

Ltd.

152,000

762,775

China

Resources

Pharmaceutical

Group

Ltd.(a)

75,500

45,080

INVESTMENTS

SHARES

VALUE

China

-

26.0%

(continued)

China

Resources

Power

Holdings

Co.

Ltd.

168,000

$

184,252

China

Shenhua

Energy

Co.

Ltd.,

Class

H

142,500

269,249

China

Telecom

Corp.

Ltd.,

Class

H

1,666,000

504,773

China

Tower

Corp.

Ltd.,

Class

H(a)

1,244,000

276,418

China

Unicom

Hong

Kong

Ltd.

490,000

285,793

China

Yangtze

Power

Co.

Ltd.,

Class

A

101,229

246,138

Contemporary

Amperex

Technology

Co.

Ltd.,

Class

A

8,800

148,374

CSPC

Pharmaceutical

Group

Ltd.

244,000

479,970

Dali

Foods

Group

Co.

Ltd.(a)

746,000

517,371

ENN

Energy

Holdings

Ltd.

47,300

458,207

Guangdong

Investment

Ltd.

500,000

959,524

Haier

Electronics

Group

Co.

Ltd.

81,000

213,829

Hengan

International

Group

Co.

Ltd.

6,000

44,815

Hua

Hong

Semiconductor

Ltd.(a)

56,000

100,691

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

791,000

539,604

Industrial

Bank

Co.

Ltd.,

Class

A

39,400

87,754

Jiangsu

Expressway

Co.

Ltd.,

Class

H

168,000

186,726

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A*

13,100

168,130

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

15,100

177,145

Kingdee

International

Software

Group

Co.

Ltd.

284,000

373,558

Kunlun

Energy

Co.

Ltd.

170,000

98,245

Kweichow

Moutai

Co.

Ltd.,

Class

A

5,749

893,299

Li

Ning

Co.

Ltd.

49,500

142,406

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

5,400

28,630

People's

Insurance

Co.

Group

of

China

Ltd.

(The),

Class

H

618,000

202,430

PICC

Property

&

Casualty

Co.

Ltd.,

Class

H

34,000

32,558

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

H

6,000

58,598

Postal

Savings

Bank

of

China

Co.

Ltd.,

Class

H(a)

335,000

203,961

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

448,000

562,400

Shanghai

Fosun

Pharmaceutical

Group

Co.

Ltd.,

Class

H

51,500

166,990

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

14,700

20,922

Shenzhen

Expressway

Co.

Ltd.,

Class

H

76,000

76,837

Shenzhen

International

Holdings

Ltd.

57,000

103,375

Shenzhen

Mindray

Bio-Medical

Electronics

Co.

Ltd.,

Class

A

4,300

156,416

Shenzhou

International

Group

Holdings

Ltd.

15,700

164,694

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

188,000

46,359

Sinopharm

Group

Co.

Ltd.,

Class

H

12,000

26,588

99

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

China

-

26.0%

(continued)

Sun

Art

Retail

Group

Ltd.

479,500

$

705,408

Tencent

Holdings

Ltd.

17,500

864,983

Tingyi

Cayman

Islands

Holding

Corp.

196,000

318,663

Uni

-President

China

Holdings

Ltd.

216,000

208,763

Want

Want

China

Holdings

Ltd.

231,000

166,578

Wuliangye

Yibin

Co.

Ltd.,

Class

A

15,800

254,119

Yihai

International

Holding

Ltd.*

10,000

75,325

Zhongsheng

Group

Holdings

Ltd.

105,500

366,104

Zhuzhou

CRRC

Times

Electric

Co.

Ltd.,

Class

H

10,700

31,697

16,716,769

—

Hong

Kong

-

0.0%(c)

China

Huishan

Dairy

Holdings

Co.

Ltd.(3)*(d)

700,000

1

SSY

Group

Ltd.

30,000

23,245

23,246

—

India

-

11.2%

Adani

Ports

&

Special

Economic

Zone

Ltd.

39,151

130,111

Asian

Paints

Ltd.

28,004

616,863

Axis

Bank

Ltd.,

GDR(b)

1,830

45,368

Berger

Paints

India

Ltd.

6,658

43,675

Britannia

Industries

Ltd.

4,577

161,876

Coal

India

Ltd.

85,329

156,799

Colgate-Palmolive

India

Ltd.

10,399

171,572

Dabur

India

Ltd.

32,513

193,113

Dr

Reddy's

Laboratories

Ltd.

6,021

245,131

HDFC

Asset

Management

Co.

Ltd.

(a)

12,067

335,844

Hindustan

Unilever

Ltd.

32,490

985,323

Infosys

Ltd.,

ADR(1)

60,686

498,232

InterGlobe

Aviation

Ltd.(a)

6,493

91,915

ITC

Ltd.

274,860

619,799

Larsen

&

Toubro

Ltd.,

GDR(b)

9,880

107,264

Nestle

India

Ltd.

4,384

947,886

Oil

&

Natural

Gas

Corp.

Ltd.

73,184

65,525

Page

Industries

Ltd.

366

81,866

Pidilite

Industries

Ltd.

4,927

88,281

Reliance

Industries

Ltd.,

GDR(a)

7,079

216,812

Shree

Cement

Ltd.

612

140,951

State

Bank

of

India,

GDR*(b)

4,085

103,497

Tata

Consultancy

Services

Ltd.

15,648

376,445

United

Spirits

Ltd.*

49,968

320,217

Wipro

Ltd.,

ADR(1)

148,128

459,197

7,203,562

—

Indonesia

-

1.8%

Bank

Central

Asia

Tbk

.

PT

328,700

553,833

Hanjaya

Mandala

Sampoerna

Tbk

.

PT

1,362,800

118,129

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

130,300

81,272

Telekomunikasi

Indonesia

Persero

Tbk

.

PT

770,100

149,566

Unilever

Indonesia

Tbk

.

PT

638,000

282,130

1,184,930

—

INVESTMENTS

SHARES

VALUE

Malaysia

-

5.2%

DiGi.Com

Bhd.

97,400

$

98,131

Hartalega

Holdings

Bhd.

96,800

153,792

Hong

Leong

Bank

Bhd.

118,600

366,885

IHH

Healthcare

Bhd.

46,000

54,639

Kuala

Lumpur

Kepong

Bhd.

15,100

73,224

Malayan

Banking

Bhd.

345,900

596,781

MISC

Bhd.

27,300

46,837

Nestle

Malaysia

Bhd.

13,200

417,499

Petronas

Chemicals

Group

Bhd.

338,500

394,810

Petronas

Gas

Bhd.

42,000

149,103

PPB

Group

Bhd.

122,200

463,333

Public

Bank

Bhd.

48,800

179,524

Sime

Darby

Plantation

Bhd.

118,100

135,038

Tenaga

Nasional

Bhd.

68,800

191,479

Westports

Holdings

Bhd.

64,700

50,855

3,371,930

—

Mexico

-

3.5%

Arca

Continental

SAB

de

CV(1)

55,400

223,281

Coca-Cola

Femsa

SAB

de

CV,

ADR(1)

2,018

81,184

Fomento

Economico

Mexicano

SAB

de

CV,

ADR(1)

2,000

121,020

Gruma

SAB

de

CV,

Class

B(1)

30,485

233,458

Grupo

Aeroportuario

del

Sureste

SAB

de

CV,

ADR(1)

1,447

136,221

Grupo

Bimbo

SAB

de

CV,

Series

A(1)

58,900

85,610

Infraestructura

Energetica

Nova

SAB

de

CV(1)

28,200

86,386

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A(1)

89,700

135,821

Promotora

y

Operadora

de

Infraestructura

SAB

de

CV(1)*

71,940

482,754

Wal-Mart

de

Mexico

SAB

de

CV(1)

276,900

650,740

2,236,475

—

Philippines

-

0.4%

Bank

of

the

Philippine

Islands

167,390

203,638

BDO

Unibank

,

Inc.

12,190

24,642

228,280

—

Poland

-

1.3%

CD

Projekt

SA

943

64,946

Cyfrowy

Polsat

SA

3,209

18,386

LPP

SA

255

320,725

Polski

Koncern

Naftowy

ORLEN

SA

4,765

63,764

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

185,887

153,523

Powszechny

Zaklad

Ubezpieczen

SA

29,773

223,655

844,999

—

Russia

-

0.8%

Novolipetsk

Steel

PJSC,

GDR(b)

3,235

50,288

Polyus

PJSC,

GDR(b)

3,077

208,815

Severstal

PJSC,

GDR(b)

20,051

219,682

Tatneft

PJSC,

ADR

1,154

48,150

526,935

—

100

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Saudi

Arabia

-

2.7%

Advanced

Petrochemical

Co.

15,688

$

184,725

Al

Rajhi

Bank

60,928

872,421

Bupa

Arabia

for

Cooperative

Insurance

Co.

2,697

65,428

Jarir

Marketing

Co.

3,832

129,471

National

Commercial

Bank

2,408

22,196

Samba

Financial

Group

3,308

17,623

Saudi

Telecom

Co.

18,766

434,937

1,726,801

—

South

Africa

-

4.8%

Absa

Group

Ltd.

4,072

16,941

Bidvest

Group

Ltd.

(The)

12,172

99,234

Capitec

Bank

Holdings

Ltd.

5,805

285,548

Clicks

Group

Ltd.

12,623

181,942

FirstRand

Ltd.

91,875

206,180

Kumba

Iron

Ore

Ltd.

8,287

129,217

Mr

Price

Group

Ltd.

53,298

338,219

Naspers

Ltd.,

Class

N

212

30,128

Pick

n

Pay

Stores

Ltd.

160,867

545,053

RMB

Holdings

Ltd.

172,464

471,576

Sanlam

Ltd.

6,534

18,606

Shoprite

Holdings

Ltd.

15,478

108,174

SPAR

Group

Ltd.

(The)

13,398

136,149

Standard

Bank

Group

Ltd.

16,939

96,944

Tiger

Brands

Ltd.

29,841

309,100

Vodacom

Group

Ltd.

22,115

144,680

3,117,691

—

South

Korea

-

11.1%

Amorepacific

Corp.

5,213

714,896

BGF

retail

Co.

Ltd.

2,336

253,031

Celltrion

,

Inc.*

1,072

199,394

Coway

Co.

Ltd.

2,396

113,340

DB

Insurance

Co.

Ltd.

3,942

111,698

GS

Holdings

Corp.

3,410

102,800

Hanon

Systems

8,057

58,509

Hyundai

Glovis

Co.

Ltd.

1,869

138,310

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

6,412

118,562

Hyundai

Mobis

Co.

Ltd.

866

119,792

Kangwon

Land,

Inc.

20,174

325,101

Kia

Motors

Corp.

3,746

78,849

KT&G

Corp.

13,673

837,160

LG

Household

&

Health

Care

Ltd.

304

278,460

Medy-Tox

,

Inc.

772

122,817

NAVER

Corp.

1,206

167,676

NCSoft

Corp.

658

351,178

Netmarble

Corp.*(a)

2,647

201,649

Pearl

Abyss

Corp.*

377

54,997

S-1

Corp.

8,036

530,317

Samsung

Electronics

Co.

Ltd.

23,402

909,904

Samsung

Fire

&

Marine

Insurance

Co.

Ltd.

1,608

203,368

Samsung

SDS

Co.

Ltd.

2,090

255,468

SK

Hynix,

Inc.

8,280

559,762

SK

Telecom

Co.

Ltd.

1,382

201,006

Yuhan

Corp.

627

117,320

7,125,364

—

INVESTMENTS

SHARES

VALUE

Taiwan

-

15.8%

Advantech

Co.

Ltd.

33,998

$

280,132

Asustek

Computer,

Inc.

19,000

128,647

Chang

Hwa

Commercial

Bank

Ltd.

858,212

541,810

China

Life

Insurance

Co.

Ltd.

230,000

127,213

Chunghwa

Telecom

Co.

Ltd.

242,600

860,086

CTBC

Financial

Holding

Co.

Ltd.

315,000

185,484

Delta

Electronics,

Inc.

7,000

27,705

E.Sun

Financial

Holding

Co.

Ltd.

513,961

410,272

Eclat

Textile

Co.

Ltd.

20,000

158,327

Eva

Airways

Corp.

306,000

89,290

Far

EasTone

Telecommunications

Co.

Ltd.

354,000

739,229

Feng

TAY

Enterprise

Co.

Ltd.

20,944

89,703

First

Financial

Holding

Co.

Ltd.

1,404,197

907,394

Formosa

Petrochemical

Corp.

128,000

341,741

Formosa

Plastics

Corp.

10,000

24,736

Fubon

Financial

Holding

Co.

Ltd.

162,000

200,236

Hua

Nan

Financial

Holdings

Co.

Ltd.

1,072,582

638,083

Mega

Financial

Holding

Co.

Ltd.

748,000

702,372

Nien

Made

Enterprise

Co.

Ltd.

13,000

77,233

Novatek

Microelectronics

Corp.

15,000

84,573

President

Chain

Store

Corp.

98,000

916,182

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

17,299

22,395

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

616,481

372,291

Taiwan

Mobile

Co.

Ltd.

265,000

874,978

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR(1)

17,891

855,011

Uni

-President

Enterprises

Corp.

257,172

556,628

10,211,751

—

Thailand

-

4.8%

Advanced

Info

Service

PCL,

NVDR

30,600

185,531

Airports

of

Thailand

PCL,

NVDR

485,800

747,724

B

Grimm

Power

PCL,

NVDR

35,800

43,151

Bangkok

Bank

PCL,

NVDR

30,000

91,593

Bangkok

Dusit

Medical

Services

PCL,

NVDR

1,006,800

576,490

BTS

Group

Holdings

PCL,

NVDR

349,700

96,465

Bumrungrad

Hospital

PCL,

NVDR

14,600

50,543

CP

ALL

PCL,

NVDR

12,500

23,107

Electricity

Generating

PCL,

NVDR

32,400

226,984

Home

Product

Center

PCL,

NVDR

1,734,600

580,720

Krung

Thai

Bank

PCL,

NVDR

700,600

241,578

Ratch

Group

PCL,

NVDR

11,100

19,226

Siam

Cement

PCL

(The),

NVDR

3,700

36,304

Siam

Commercial

Bank

PCL

(The),

NVDR

76,200

160,273

3,079,689

—

101

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Turkey

-

0.4%

Eregli

Demir

ve

Celik

Fabrikalari

TAS

68,874

$

78,042

Turk

Hava

Yollari

AO*

109,107

149,639

Turkcell

Iletisim

Hizmetleri

A/S

16,988

31,553

259,234

—

TOTAL

COMMON

STOCKS

(Cost

$67,595,134)

61,159,442

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%(c)

India

-

0.0%(c)

Britannia

Industries

Ltd.

8.00%,

8/28/2022

(Cost

$65)

INR

4,670

64

SHARES

SHORT-TERM

INVESTMENTS

-

4.1%

INVESTMENT

COMPANIES

-

4.1%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(e)

(Cost

$2,650,724)

2,650,724

2,654,170

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.0%

(Cost

$70,245,923)

63,813,676

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.0%(f)

630,915

NET

ASSETS

-

100.0%

$64,444,591

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

8,032,390

12.5

%

Consumer

Discretionary

3,918,805

6.1

Consumer

Staples

15,411,787

23.9

Energy

1,418,364

2.2

Financials

13,129,554

20.4

Health

Care

3,247,375

5.0

Industrials

3,753,678

5.8

Information

Technology

4,937,956

7.7

Materials

2,375,689

3.7

Utilities

4,933,908

7.6

Short-Term

Investments

2,654,170

4.1

Total

Investments

In

Securities

At

Value

63,813,676

99.0

Other

Assets

in

Excess

of

Liabilities(f)

630,915

1.0

Net

Assets

$

64,444,591

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$2,015,853,

which

represents

approximately

3.13%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$835,939

or

1.30%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$1,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

63

6/2020

USD

$

2,655,135

$

36,851

$

36,851

102

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

368,651

$

368,651

103

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

86.8%

Australia

-

1.5%

ASX

Ltd.

891

$

41,824

Aurizon

Holdings

Ltd.

25,191

65,284

BHP

Group

Ltd.

14,837

269,163

BHP

Group

plc

33,174

514,849

BlueScope

Steel

Ltd.

57,529

301,194

CIMIC

Group

Ltd.

7,876

111,550

Dexus

,

REIT

14,068

77,959

Fortescue

Metals

Group

Ltd.

187,607

1,149,697

Goodman

Group,

REIT

25,367

185,932

GPT

Group

(The),

REIT

42,925

95,365

Lendlease

Group

2,927

18,352

Mirvac

Group,

REIT

95,677

121,557

Newcrest

Mining

Ltd.

5,164

70,916

Rio

Tinto

plc

10,235

469,196

Scentre

Group,

REIT

90,560

86,741

South32

Ltd.

58,798

64,908

Stockland,

REIT

49,658

76,360

Vicinity

Centres

,

REIT

97,628

61,070

3,781,917

—

Belgium

-

0.5%

Ageas

23,342

972,708

Galapagos

NV*

814

159,851

1,132,559

—

Canada

-

2.1%

Air

Canada(1)*

35,164

393,543

Alimentation

Couche-Tard,

Inc.,

Class

B(1)

9,298

219,021

Barrick

Gold

Corp.(1)

20,614

378,795

CGI,

Inc.(1)*

7,998

433,005

Constellation

Software,

Inc.(1)

1,086

987,007

Cronos

Group,

Inc.(1)*(a)

13,577

77,084

Great-West

Lifeco

,

Inc.(1)

1,345

23,234

Kinross

Gold

Corp.(1)*

97,967

393,316

Magna

International,

Inc.(1)

3,215

102,598

Manulife

Financial

Corp.(1)

31,536

395,965

Onex

Corp.(1)

2,833

103,693

Open

Text

Corp.(1)

10,411

364,048

Power

Corp.

of

Canada(1)

7,139

114,849

RioCan

,

REIT(1)

6,747

77,332

Shopify,

Inc.,

Class

A(1)*

1,135

475,534

Teck

Resources

Ltd.,

Class

B(1)

83,744

634,938

5,173,962

—

Chile

-

0.0%(b)

Antofagasta

plc

9,912

94,664

China

-

0.3%

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,311,800

761,160

Denmark

-

1.3%

Danske

Bank

A/S

5,712

63,571

H

Lundbeck

A/S

11,423

335,406

Novo

Nordisk

A/S,

Class

B

21,830

1,303,602

Pandora

A/S

45,949

1,476,394

3,178,973

—

INVESTMENTS

SHARES

VALUE

Finland

-

0.4%

Fortum

OYJ

15,938

$

231,851

Kone

OYJ,

Class

B

7,387

413,678

Nokia

OYJ

35,430

109,119

Orion

OYJ,

Class

B

5,811

236,486

991,134

—

France

-

2.5%

AXA

SA

29,203

494,464

BNP

Paribas

SA

9,012

263,107

Bouygues

SA

2,393

69,448

Capgemini

SE

1,616

135,037

Cie

de

Saint-Gobain

24,523

588,440

CNP

Assurances

11,691

113,199

Electricite

de

France

SA

106,468

832,528

Engie

SA

97,390

997,318

Klepierre

SA,

REIT

4,718

89,933

Natixis

SA

30,604

97,450

Orange

SA

12,014

145,459

Peugeot

SA

88,376

1,150,593

Publicis

Groupe

SA

3,716

106,199

Sanofi

4,518

391,145

Schneider

Electric

SE

5,617

474,765

Societe

Generale

SA

5,908

96,786

Unibail

-

Rodamco

-Westfield,

REIT

2,005

114,940

6,160,811

—

Germany

-

1.9%

adidas

AG

1,258

279,310

Allianz

SE

(Registered)

3,109

529,455

Bayer

AG

(Registered)

37,732

2,161,987

Commerzbank

AG

19,998

71,190

Covestro

AG(c)

4,104

124,549

E.ON

SE

13,974

143,341

Fresenius

Medical

Care

AG

&

Co.

KGaA

1,513

98,763

Fresenius

SE

&

Co.

KGaA

1,365

50,823

HOCHTIEF

AG

3,356

220,354

KION

Group

AG

4,332

186,440

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

1,436

288,737

Porsche

Automobil

Holding

SE

(Preference)

865

36,157

RWE

AG

3,808

99,585

Siemens

AG

(Registered)

906

75,864

Volkswagen

AG

(Preference)

2,388

275,090

4,641,645

—

Hong

Kong

-

1.7%

CK

Asset

Holdings

Ltd.

240,000

1,302,164

CK

Infrastructure

Holdings

Ltd.

2,749

14,553

CLP

Holdings

Ltd.

8,500

77,860

Henderson

Land

Development

Co.

Ltd.

77,000

291,436

HKT

Trust

&

HKT

Ltd.

47,000

63,922

Hong

Kong

Exchanges

&

Clearing

Ltd.

5,269

157,856

Kerry

Properties

Ltd.

124,000

324,260

Link,

REIT

18,329

154,486

New

World

Development

Co.

Ltd.

388,000

413,715

104

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Hong

Kong

-

1.7%

(continued)

PCCW

Ltd.

19,406

$

10,642

Power

Assets

Holdings

Ltd.

12,500

74,153

Sun

Hung

Kai

Properties

Ltd.

13,500

176,500

WH

Group

Ltd.(c)

1,190,000

1,098,381

Wheelock

&

Co.

Ltd.

10,000

67,759

4,227,687

—

Italy

-

1.3%

Assicurazioni

Generali

SpA

51,317

695,078

Enel

SpA

91,764

632,974

Intesa

Sanpaolo

SpA

851,267

1,377,403

Leonardo

SpA

18,376

121,487

Mediobanca

Banca

di

Credito

Finanziario

SpA

17,671

96,363

Poste

Italiane

SpA

(c)

34,381

289,379

3,212,684

—

Japan

-

6.7%

Aeon

Mall

Co.

Ltd.

700

8,835

Alfresa

Holdings

Corp.

4,700

87,474

Astellas

Pharma,

Inc.

124,500

1,918,215

Dai-ichi

Life

Holdings,

Inc.

42,900

509,443

Daito

Trust

Construction

Co.

Ltd.

486

45,132

Daiwa

House

Industry

Co.

Ltd.

2,451

60,558

FUJIFILM

Holdings

Corp.

2,900

142,911

Fujitsu

Ltd.

7,411

667,499

Hitachi

High-Tech

Corp.

558

41,221

Hitachi

Ltd.

23,200

666,453

Hoya

Corp.

1,900

161,560

Hulic

Co.

Ltd.

1,500

15,180

ITOCHU

Corp.

9,000

186,252

Japan

Airlines

Co.

Ltd.

38,000

698,343

Japan

Real

Estate

Investment

Corp.,

REIT

30

176,349

Japan

Retail

Fund

Investment

Corp.,

REIT

64

72,753

Kajima

Corp.

20,200

206,475

Kamigumi

Co.

Ltd.

11,600

195,803

Marubeni

Corp.

106,400

528,070

Mazda

Motor

Corp.

18,200

96,112

Mitsubishi

Corp.

11,000

232,675

Mitsubishi

Estate

Co.

Ltd.

5,764

85,129

Mitsubishi

UFJ

Financial

Group,

Inc.

26,700

99,900

Mitsui

Fudosan

Co.

Ltd.

4,598

79,613

MS&AD

Insurance

Group

Holdings,

Inc.

12,300

343,184

Nikon

Corp.

40,000

367,131

Nintendo

Co.

Ltd.

2,300

893,902

Nippon

Building

Fund,

Inc.,

REIT

21

141,266

Nippon

Express

Co.

Ltd.

3,300

160,970

Nippon

Telegraph

&

Telephone

Corp.

33,092

791,449

Nomura

Holdings,

Inc.

31,900

134,621

Nomura

Real

Estate

Holdings,

Inc.

1,000

16,181

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

117

148,815

Nomura

Research

Institute

Ltd.

5,000

105,614

NTT

DOCOMO,

Inc.

5,300

165,747

ORIX

Corp.

5,100

60,846

INVESTMENTS

SHARES

VALUE

Japan

-

6.7%

(continued)

Otsuka

Corp.

2,500

$

106,576

Resona

Holdings,

Inc.

229,600

688,411

Shinsei

Bank

Ltd.

45,000

596,016

Shionogi

&

Co.

Ltd.

11,200

551,706

Sompo

Holdings,

Inc.

3,800

117,131

Sony

Corp.

21,900

1,297,214

Sumitomo

Corp.

45,000

513,191

Sumitomo

Dainippon

Pharma

Co.

Ltd.

8,300

107,746

Sumitomo

Heavy

Industries

Ltd.

17,400

311,312

Sumitomo

Mitsui

Financial

Group,

Inc.

15,800

383,836

Sumitomo

Mitsui

Trust

Holdings,

Inc.

2,500

71,825

Sumitomo

Realty

&

Development

Co.

Ltd.

2,624

64,072

Suzuken

Co.

Ltd.

3,900

141,695

Taiheiyo

Cement

Corp.

12,000

204,400

Tokyo

Electron

Ltd.

3,400

633,670

Tokyu

Fudosan

Holdings

Corp.

2,900

13,929

Toshiba

Corp.

10,400

227,951

16,342,362

—

Macau

-

0.0%(b)

Wynn

Macau

Ltd.

61,200

91,782

Malta

-

0.0%(b)

BGP

Holdings

plc(3)*(d)(e)

96,388

119

Netherlands

-

2.0%

ASML

Holding

NV

298

78,557

ING

Groep

NV

19,668

100,781

Koninklijke

Ahold

Delhaize

NV

121,529

2,831,209

Koninklijke

Philips

NV

26,216

1,076,360

NN

Group

NV

11,780

320,130

Royal

Dutch

Shell

plc,

Class

B

22,741

381,459

4,788,496

—

Russia

-

0.1%

Evraz

plc

114,976

328,961

Singapore

-

0.2%

ComfortDelGro

Corp.

Ltd.

330,400

351,821

Singapore

Exchange

Ltd.

4,067

26,193

378,014

—

South

Africa

-

0.1%

Anglo

American

plc

15,918

278,941

Spain

-

1.5%

ACS

Actividades

de

Construccion

y

Servicios

SA

6,370

126,504

Banco

Bilbao

Vizcaya

Argentaria

SA

169,211

523,971

Banco

de

Sabadell

SA

194,047

98,133

Enagas

SA

29,742

586,727

Endesa

SA

40,767

862,646

Iberdrola

SA

136,116

1,331,352

Naturgy

Energy

Group

SA

5,611

98,438

Red

Electrica

Corp.

SA

9,526

171,178

3,798,949

—

105

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Sweden

-

0.8%

Hennes

&

Mauritz

AB,

Class

B

21,728

$

278,049

Investor

AB,

Class

B

2,204

99,431

Kinnevik

AB,

Class

B(a)

1,380

22,507

Skanska

AB,

Class

B*

7,160

107,752

Swedish

Match

AB

1,753

99,254

Telefonaktiebolaget

LM

Ericsson,

Class

B*

121,587

984,242

Volvo

AB,

Class

B

24,257

288,317

1,879,552

—

Switzerland

-

3.6%

Adecco

Group

AG

(Registered)

10,839

427,129

Geberit

AG

(Registered)

271

118,747

Glencore

plc*

67,528

102,207

Nestle

SA

(Registered)

12,769

1,307,134

Novartis

AG

(Registered)

20,570

1,697,001

Roche

Holding

AG

11,765

3,785,294

Sonova

Holding

AG

(Registered)

4,132

736,795

STMicroelectronics

NV

4,822

103,657

Swiss

Life

Holding

AG

(Registered)

306

102,708

Zurich

Insurance

Group

AG

965

339,011

8,719,683

—

United

Kingdom

-

2.9%

3i

Group

plc

9,545

92,487

Aviva

plc

246,123

809,192

BAE

Systems

plc

89,326

573,921

Barclays

plc

381,890

433,992

Barratt

Developments

plc

107,499

581,066

Berkeley

Group

Holdings

plc

12,553

560,285

BT

Group

plc

534,729

777,799

Burberry

Group

plc

8,158

132,606

Centrica

plc

811,776

382,502

CK

Hutchison

Holdings

Ltd.

65,000

433,235

Direct

Line

Insurance

Group

plc

73,889

269,747

Fiat

Chrysler

Automobiles

NV

7,049

50,321

GlaxoSmithKline

plc

6,378

119,678

JD

Sports

Fashion

plc

24,115

135,062

Meggitt

plc

31,050

111,615

Micro

Focus

International

plc

21,275

104,983

Persimmon

plc

36,711

867,800

Sage

Group

plc

(The)

9,070

65,953

Smith

&

Nephew

plc

8,614

151,749

Taylor

Wimpey

plc

308,826

444,388

7,098,381

—

United

States

-

55.4%

AbbVie,

Inc.(1)

816

62,171

Accenture

plc,

Class

A(1)

676

110,364

Adobe,

Inc.(1)*

5,484

1,745,228

Akamai

Technologies,

Inc.(1)*

7,908

723,503

Alexion

Pharmaceuticals,

Inc.(1)*

20,483

1,839,169

Alleghany

Corp.(1)

193

106,604

Allergan

plc(1)

2,326

411,935

Allstate

Corp.

(The)(1)

31,254

2,866,929

Ally

Financial,

Inc.(1)

29,331

423,246

Alphabet,

Inc.,

Class

A(1)*

1,725

2,004,364

Alphabet,

Inc.,

Class

C(1)*

2,006

2,332,597

Altria

Group,

Inc.(1)

1,664

64,347

Amazon.com,

Inc.(1)*

1,653

3,222,886

INVESTMENTS

SHARES

VALUE

United

States

-

55.4%

(continued)

American

Electric

Power

Co.,

Inc.

(1)

9,790

$

783,004

American

Financial

Group,

Inc.(1)

4,068

285,085

American

Tower

Corp.,

REIT(1)

4,396

957,229

AmerisourceBergen

Corp.(1)

1,742

154,167

Amgen,

Inc.(1)

2,504

507,636

Anthem,

Inc.(1)

3,691

838,005

Apple,

Inc.(1)

28,779

7,318,211

Applied

Materials,

Inc.(1)

41,827

1,916,513

Arch

Capital

Group

Ltd.(1)*

15,301

435,466

Arrow

Electronics,

Inc.(1)*

26,966

1,398,726

AvalonBay

Communities,

Inc.,

REIT(1)

811

119,355

Berkshire

Hathaway,

Inc.,

Class

B(1)*

9,167

1,676,003

Best

Buy

Co.,

Inc.(1)

13,737

783,009

Biogen,

Inc.(1)*

6,845

2,165,621

Booking

Holdings,

Inc.(1)*

136

182,964

Booz

Allen

Hamilton

Holding

Corp.

(1)

2,468

169,404

Boston

Properties,

Inc.,

REIT(1)

869

80,148

Bristol-Myers

Squibb

Co.(1)

9,640

537,334

Broadcom,

Inc.(1)

1,678

397,854

Cadence

Design

Systems,

Inc.(1)*

17,671

1,166,993

Cardinal

Health,

Inc.(1)

1,815

87,011

Church

&

Dwight

Co.,

Inc.(1)

2,823

181,180

Cisco

Systems,

Inc.(1)

46,430

1,825,163

Citizens

Financial

Group,

Inc.(1)

27,048

508,773

Cognizant

Technology

Solutions

Corp.,

Class

A(1)

5,092

236,625

Colgate-Palmolive

Co.(1)

21,397

1,419,905

Comcast

Corp.,

Class

A(1)

20,472

703,827

Comerica,

Inc.(1)

13,350

391,689

Consolidated

Edison,

Inc.(1)

2,819

219,882

Costco

Wholesale

Corp.(1)

557

158,817

Crown

Castle

International

Corp.,

REIT(1)

1,970

284,468

Cummins,

Inc.(1)

529

71,584

Delta

Air

Lines,

Inc.(1)

19,048

543,439

Digital

Realty

Trust,

Inc.,

REIT(1)

475

65,982

Discover

Financial

Services(1)

19,239

686,255

Dollar

General

Corp.(1)

1,152

173,964

DuPont

de

Nemours,

Inc.(1)

4,864

165,862

Eaton

Corp.

plc(1)

8,594

667,668

eBay,

Inc.(1)

18,101

544,116

Edwards

Lifesciences

Corp.(1)*

3,150

594,153

Electronic

Arts,

Inc.(1)*

13,325

1,334,765

Eli

Lilly

&

Co.(1)

3,006

416,992

Equinix

,

Inc.,

REIT(1)

222

138,655

Equity

Residential,

REIT(1)

2,048

126,382

Essex

Property

Trust,

Inc.,

REIT(1)

720

158,573

Everest

Re

Group

Ltd.(1)

8,821

1,697,337

Exelon

Corp.(1)

43,146

1,588,204

Facebook,

Inc.,

Class

A(1)*

25,541

4,260,238

Fidelity

National

Financial,

Inc.(1)

20,444

508,647

Fifth

Third

Bancorp(1)

52,848

784,793

Flex

Ltd.(1)*

23,609

197,725

Fortinet,

Inc.(1)*

5,807

587,494

Garmin

Ltd.(1)

5,093

381,771

Gilead

Sciences,

Inc.(1)

26,489

1,980,318

106

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

55.4%

(continued)

Hartford

Financial

Services

Group,

Inc.

(The)(1)

2,511

$

88,488

HCA

Healthcare,

Inc.(1)

9,639

866,064

HD

Supply

Holdings,

Inc.(1)*

7,920

225,166

Hershey

Co.

(The)(1)

1,671

221,408

Hologic

,

Inc.(1)*

14,762

518,146

Home

Depot,

Inc.

(The)(1)

11,716

2,187,494

Honeywell

International,

Inc.(1)

1,739

232,661

HP,

Inc.(1)

9,462

164,260

Humana,

Inc.(1)

6,375

2,001,878

Incyte

Corp.(1)*

17,342

1,269,955

Ingredion,

Inc.(1)

2,842

214,571

Intel

Corp.(1)

53,894

2,916,743

International

Business

Machines

Corp.(1)

8,829

979,401

Intuit,

Inc.(1)

4,628

1,064,440

IQVIA

Holdings,

Inc.(1)*

1,028

110,880

Jazz

Pharmaceuticals

plc(1)*

12,426

1,239,369

Johnson

&

Johnson(1)

25,107

3,292,280

Johnson

Controls

International

plc(1)

3,648

98,350

Kimberly-Clark

Corp.(1)

4,511

576,822

Kroger

Co.

(The)(1)

6,056

182,407

Lam

Research

Corp.(1)

5,100

1,224,000

ManpowerGroup

,

Inc.(1)

14,251

755,160

Mastercard

,

Inc.,

Class

A(1)

9,805

2,368,496

Medtronic

plc(1)

1,319

118,947

Merck

&

Co.,

Inc.(1)

33,179

2,552,792

Micron

Technology,

Inc.(1)*

35,351

1,486,863

Microsoft

Corp.(1)

50,304

7,933,443

Mondelez

International,

Inc.,

Class

A(1)

3,440

172,275

Moody's

Corp.(1)

1,092

230,958

Mylan

NV(1)*

55,688

830,308

Northrop

Grumman

Corp.(1)

3,753

1,135,470

NortonLifeLock

,

Inc.(1)

47,066

880,605

NVIDIA

Corp.(1)

1,686

444,430

Oracle

Corp.(1)

37,808

1,827,261

PayPal

Holdings,

Inc.(1)*

1,348

129,058

PepsiCo,

Inc.(1)

15,806

1,898,301

Pfizer,

Inc.(1)

59,876

1,954,353

Philip

Morris

International,

Inc.(1)

7,173

523,342

Pinnacle

West

Capital

Corp.(1)

14,678

1,112,446

PNC

Financial

Services

Group,

Inc.

(The)(1)

6,104

584,275

Procter

&

Gamble

Co.

(The)(1)

27,747

3,052,169

Prologis,

Inc.,

REIT(1)

2,980

239,503

Public

Service

Enterprise

Group,

Inc.(1)

8,425

378,367

Public

Storage,

REIT(1)

2,484

493,347

PulteGroup,

Inc.(1)

4,351

97,114

Qorvo

,

Inc.(1)*

17,177

1,384,982

QUALCOMM,

Inc.(1)

25,043

1,694,159

Raytheon

Co.(1)

1,979

259,546

Regeneron

Pharmaceuticals,

Inc.

(1)*

866

422,859

Reinsurance

Group

of

America,

Inc.(1)

852

71,687

RenaissanceRe

Holdings

Ltd.(1)

771

115,126

Robert

Half

International,

Inc.(1)

9,774

368,969

INVESTMENTS

SHARES

VALUE

United

States

-

55.4%

(continued)

S&P

Global,

Inc.(1)

1,101

$

269,800

Seagate

Technology

plc(1)

7,748

378,102

Simon

Property

Group,

Inc.,

REIT(1)

1,723

94,524

Skyworks

Solutions,

Inc.(1)

16,007

1,430,706

SS&C

Technologies

Holdings,

Inc.

(1)

1,805

79,095

Starbucks

Corp.(1)

19,398

1,275,225

Steel

Dynamics,

Inc.(1)

19,270

434,346

Synchrony

Financial(1)

94,242

1,516,354

Synopsys,

Inc.(1)*

5,110

658,117

Target

Corp.(1)

10,437

970,328

TE

Connectivity

Ltd.(1)

2,928

184,405

Texas

Instruments,

Inc.(1)

6,695

669,031

Travelers

Cos.,

Inc.

(The)(1)

3,465

344,248

Tyson

Foods,

Inc.,

Class

A(1)

41,033

2,374,580

United

Airlines

Holdings,

Inc.(1)*

15,252

481,201

UnitedHealth

Group,

Inc.(1)

5,286

1,318,223

Universal

Health

Services,

Inc.,

Class

B(1)

16,817

1,666,228

Ventas,

Inc.,

REIT(1)

4,832

129,498

VeriSign,

Inc.(1)*

3,775

679,840

Verizon

Communications,

Inc.(1)

6,859

368,534

Vertex

Pharmaceuticals,

Inc.(1)*

2,844

676,730

ViacomCBS

,

Inc.(1)

17,849

250,064

Walgreens

Boots

Alliance,

Inc.(1)

4,603

210,587

Walmart,

Inc.(1)

9,643

1,095,638

Welltower

,

Inc.,

REIT(1)

3,001

137,386

WR

Berkley

Corp.(1)

3,486

181,865

Xerox

Holdings

Corp.(1)

52,361

991,717

Zoetis,

Inc.(1)

1,636

192,541

135,728,634

—

TOTAL

COMMON

STOCKS

(Cost

$227,334,300)

212,791,070

SHORT-TERM

INVESTMENTS

-

11.1%

INVESTMENT

COMPANIES

-

11.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(f)(g)

3,119,452

3,119,452

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(f)

23,951,532

23,982,669

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$27,069,631)

27,102,121

107

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

0.0%(b)

Investment

Companies

-

0.0%(b)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(f)(h)

25,341

$

25,341

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(f)(h)

77,304

77,405

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$102,646)

102,746

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.9%

(Cost

$254,506,577)

239,995,937

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.1%(

i

)

5,137,215

NET

ASSETS

-

100.0%

$245,133,152

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

14,209,511

5.8

%

Consumer

Discretionary

18,040,828

7.4

Consumer

Staples

17,901,348

7.3

Energy

381,459

0.2

Financials

26,303,554

10.7

Health

Care

43,976,487

17.9

Industrials

14,121,307

5.8

Information

Technology

53,568,045

21.9

Materials

5,980,902

2.4

Real

Estate

7,688,720

3.1

Utilities

10,618,909

4.3

Short-Term

Investments

27,102,121

11.1

Securities

Lending

Collateral

102,746

0.0(b)

Total

Investments

In

Securities

At

Value

239,995,937

97.9

Other

Assets

in

Excess

of

Liabilities(

i

)

5,137,215

2.1

Net

Assets

$

245,133,152

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$97,626.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$1,512,309,

which

represents

approximately

0.62%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$119,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Restricted

Security.

(f)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

108

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

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)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.58%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CAD

582,170

$

57,685

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.58%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CAD

1,289,388

62,134

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

157,041

9,016

128,835

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/19/2020

CHF

(3,190,250)

(260,038)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-2.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

661,324

(133,737)

MSCI

Japan

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

JPMC

06/19/2020

JPY

378,429,545

(167,121)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

56,450

(11,534)

109

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

93,168

$

(676)

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/17/2020

CHF

(480,126)

(42,917)

(616,023)

$

(487,188)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

9

4/2020

EUR

$

958,226

$

37,850

Hang

Seng

Index

2

4/2020

HKD

305,956

1,788

IBEX

35

Index

58

4/2020

EUR

4,326,553

291,635

OMXS30

Index

44

4/2020

SEK

658,273

22,034

DAX

Index

14

6/2020

EUR

3,824,444

281,353

FTSE

100

Index

29

6/2020

GBP

2,029,958

22,314

FTSE/MIB

Index

42

6/2020

EUR

3,919,751

412,368

S&P

500

E-Mini

Index

21

6/2020

USD

2,698,185

73,206

S&P/TSX

60

Index

33

6/2020

CAD

3,818,461

140,496

SPI

200

Index

64

6/2020

AUD

5,028,073

226,964

1,510,008

Short

Contracts

MSCI

Singapore

Index

(9)

4/2020

SGD

(178,183)

2,685

2,685

$

1,512,693

110

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,498,500

USD

901,904

CITG

6/17/2020

$

20,011

AUD

1,498,500

USD

901,905

JPMC

6/17/2020

20,010

CAD

1,500

USD

1,038

CITG

6/17/2020

28

CAD

1,500

USD

1,038

JPMC

6/17/2020

28

CHF

1,526,000

USD

1,565,803

CITG

6/17/2020

25,472

CHF

1,526,000

USD

1,565,805

JPMC

6/17/2020

25,469

DKK

1,876,500

USD

274,533

CITG

6/17/2020

3,467

DKK

1,876,500

USD

274,533

JPMC

6/17/2020

3,467

EUR

3,070,000

USD

3,361,694

CITG

6/17/2020

34,171

EUR

3,070,000

USD

3,361,699

JPMC

6/17/2020

34,167

GBP

2,409,500

USD

2,912,784

CITG

6/17/2020

84,080

GBP

2,409,500

USD

2,912,788

JPMC

6/17/2020

84,076

HKD

3,281,000

USD

422,342

CITG

6/17/2020

737

HKD

3,281,000

USD

422,342

JPMC

6/17/2020

737

ILS

67,500

USD

18,709

CITG

6/17/2020

423

ILS

67,500

USD

18,709

JPMC

6/17/2020

423

JPY

664,202,000

USD

6,071,408

CITG

6/17/2020

126,071

JPY

664,202,000

USD

6,071,415

JPMC

6/17/2020

126,063

NOK

49,689,500

USD

4,641,510

CITG

6/17/2020

139,354

NOK

49,689,500

USD

4,641,515

JPMC

6/17/2020

139,349

NZD

926,500

USD

541,053

CITG

6/17/2020

11,452

NZD

926,500

USD

541,054

JPMC

6/17/2020

11,451

SEK

13,208,000

USD

1,294,402

CITG

6/17/2020

43,007

SEK

13,208,000

USD

1,294,404

JPMC

6/17/2020

43,006

SGD

43,000

USD

29,862

CITG

6/17/2020

427

SGD

43,000

USD

29,862

JPMC

6/17/2020

427

USD

2,640,142

AUD

4,080,000

CITG

6/17/2020

130,023

USD

2,640,138

AUD

4,080,000

JPMC

6/17/2020

130,019

USD

2,164,351

CAD

3,000,000

CITG

6/17/2020

31,048

USD

2,164,348

CAD

3,000,000

JPMC

6/17/2020

31,046

USD

3,722,781

CHF

3,508,875

CITG

6/17/2020

63,815

USD

3,722,779

CHF

3,508,878

JPMC

6/17/2020

63,810

USD

2,901,347

EUR

2,583,380

CITG

6/17/2020

43,753

USD

2,901,334

EUR

2,583,372

JPMC

6/17/2020

43,746

USD

9,781,881

GBP

7,592,493

CITG

6/17/2020

338,565

USD

9,781,890

GBP

7,592,510

JPMC

6/17/2020

338,554

USD

18,641

ILS

64,000

CITG

6/17/2020

502

USD

18,641

ILS

64,000

JPMC

6/17/2020

502

USD

987,582

JPY

104,769,000

CITG

6/17/2020

10,012

USD

987,581

JPY

104,769,000

JPMC

6/17/2020

10,011

USD

9,572,486

NOK

89,156,496

CITG

6/17/2020

994,314

USD

9,572,475

NOK

89,156,503

JPMC

6/17/2020

994,303

USD

3,527,743

SEK

33,991,001

CITG

6/17/2020

85,898

USD

3,527,739

SEK

33,991,000

JPMC

6/17/2020

85,894

USD

123,232

SGD

171,500

CITG

6/17/2020

2,430

USD

123,232

SGD

171,500

JPMC

6/17/2020

2,430

Total

unrealized

appreciation

4,378,048

AUD

10,508,502

USD

6,967,838

CITG

6/17/2020

(502,741)

AUD

10,508,498

USD

6,967,844

JPMC

6/17/2020

(502,750)

CAD

4,296,502

USD

3,220,952

CITG

6/17/2020

(165,707)

CAD

4,296,496

USD

3,220,951

JPMC

6/17/2020

(165,711)

CHF

6,472,500

USD

6,831,443

CITG

6/17/2020

(82,082)

CHF

6,472,500

USD

6,831,451

JPMC

6/17/2020

(82,089)

DKK

2,936,000

USD

442,172

CITG

6/17/2020

(7,209)

DKK

2,936,000

USD

442,173

JPMC

6/17/2020

(7,209)

111

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

9,947,500

USD

11,214,651

CITG

6/17/2020

$

(211,270)

EUR

9,947,500

USD

11,214,665

JPMC

6/17/2020

(211,284)

GBP

3,560,998

USD

4,568,007

CITG

6/17/2020

(138,945)

GBP

3,561,002

USD

4,568,018

JPMC

6/17/2020

(138,951)

ILS

1,115,003

USD

325,194

CITG

6/17/2020

(9,168)

ILS

1,114,996

USD

325,193

JPMC

6/17/2020

(9,169)

JPY

342,421,000

USD

3,315,289

CITG

6/17/2020

(120,257)

JPY

342,421,000

USD

3,315,293

JPMC

6/17/2020

(120,261)

NOK

30,218,000

USD

3,014,432

CITG

6/17/2020

(107,014)

NOK

30,218,000

USD

3,014,435

JPMC

6/17/2020

(107,018)

NZD

10,103,001

USD

6,400,695

CITG

6/17/2020

(375,917)

NZD

10,103,000

USD

6,400,702

JPMC

6/17/2020

(375,925)

SEK

39,294,501

USD

4,133,241

CITG

6/17/2020

(154,375)

SEK

39,294,499

USD

4,133,246

JPMC

6/17/2020

(154,382)

SGD

85,000

USD

61,261

CITG

6/17/2020

(1,388)

SGD

85,000

USD

61,261

JPMC

6/17/2020

(1,388)

USD

1,340,387

AUD

2,253,500

CITG

6/17/2020

(46,024)

USD

1,340,385

AUD

2,253,500

JPMC

6/17/2020

(46,025)

USD

4,569,880

CAD

6,526,003

CITG

6/17/2020

(70,764)

USD

4,569,870

CAD

6,525,997

JPMC

6/17/2020

(70,771)

USD

6,031,032

CHF

5,854,121

CITG

6/17/2020

(73,501)

USD

6,031,029

CHF

5,854,126

JPMC

6/17/2020

(73,508)

USD

1,397,375

DKK

9,591,000

CITG

6/17/2020

(23,513)

USD

1,397,373

DKK

9,591,000

JPMC

6/17/2020

(23,515)

USD

13,336,471

EUR

12,219,630

CITG

6/17/2020

(180,216)

USD

13,336,442

EUR

12,219,618

JPMC

6/17/2020

(180,229)

USD

1,572,660

GBP

1,277,000

CITG

6/17/2020

(15,634)

USD

1,572,658

GBP

1,277,000

JPMC

6/17/2020

(15,636)

USD

1,281,583

HKD

9,956,500

CITG

6/17/2020

(2,292)

USD

1,281,581

HKD

9,956,500

JPMC

6/17/2020

(2,294)

USD

79,744

ILS

293,000

CITG

6/17/2020

(3,302)

USD

79,744

ILS

293,000

JPMC

6/17/2020

(3,302)

USD

2,198,019

JPY

241,404,000

CITG

6/17/2020

(54,452)

USD

2,198,016

JPY

241,404,000

JPMC

6/17/2020

(54,455)

USD

378,122

NOK

4,015,500

CITG

6/17/2020

(8,228)

USD

378,121

NOK

4,015,500

JPMC

6/17/2020

(8,229)

USD

80,644

NZD

135,500

CITG

6/17/2020

(159)

USD

80,644

NZD

135,500

JPMC

6/17/2020

(160)

USD

245

SEK

2,500

CITG

6/17/2020

(8)

USD

245

SEK

2,500

JPMC

6/17/2020

(8)

USD

57,459

SGD

82,500

CITG

6/17/2020

(653)

USD

57,459

SGD

82,500

JPMC

6/17/2020

(653)

Total

unrealized

depreciation

(4,709,741)

Net

unrealized

depreciation

$

(331,693)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

2,045,288

$

2,045,288

CITI

Investment

Companies

784,792

–

784,792

JPMC

Investment

Companies

2,334,660

–

2,334,660

112

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

87.7%

Australia

-

6.9%

ASX

Ltd.

5,022

$

235,736

Aurizon

Holdings

Ltd.

354,034

917,505

BHP

Group

Ltd.

42,507

771,133

BHP

Group

plc

56,742

880,617

BlueScope

Steel

Ltd.

161,752

846,856

CIMIC

Group

Ltd.

33,802

478,747

Coles

Group

Ltd.

38,566

359,167

CSL

Ltd.

3,064

555,416

Dexus

,

REIT

23,093

127,972

Fortescue

Metals

Group

Ltd.

293,163

1,796,570

Goodman

Group,

REIT

47,543

348,474

GPT

Group

(The),

REIT

55,477

123,251

Lendlease

Group

11,993

75,194

Mirvac

Group,

REIT

104,753

133,088

Newcrest

Mining

Ltd.

87,878

1,206,804

Rio

Tinto

Ltd.

4,666

240,390

Rio

Tinto

plc

25,787

1,182,135

Scentre

Group,

REIT

104,047

99,659

South32

Ltd.

136,402

150,575

Stockland,

REIT

62,453

96,035

Treasury

Wine

Estates

Ltd.

58,117

360,823

Vicinity

Centres

,

REIT

94,695

59,235

11,045,382

—

Belgium

-

1.0%

Ageas

16,331

680,545

Groupe

Bruxelles

Lambert

SA

1,290

101,499

KBC

Group

NV

4,115

186,719

UCB

SA

6,940

593,802

1,562,565

—

Chile

-

0.1%

Antofagasta

plc

15,875

151,613

China

-

0.7%

Prosus

NV*

6,908

481,129

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,219,800

707,778

1,188,907

—

Denmark

-

2.8%

Carlsberg

A/S,

Class

B

791

89,051

Danske

Bank

A/S

8,372

93,175

H

Lundbeck

A/S

11,841

347,680

Novo

Nordisk

A/S,

Class

B

47,684

2,847,502

Pandora

A/S

32,138

1,032,630

4,410,038

—

Finland

-

1.7%

Fortum

OYJ

66,050

960,832

Kone

OYJ,

Class

B

3,150

176,402

Nokia

OYJ

228,934

705,085

Orion

OYJ,

Class

B

21,725

884,127

2,726,446

—

France

-

7.9%

Atos

SE

17,634

1,174,870

BNP

Paribas

SA

17,929

523,441

Bouygues

SA

11,583

336,152

INVESTMENTS

SHARES

VALUE

France

-

7.9%

(continued)

Capgemini

SE

8,305

$

693,985

Carrefour

SA

7,158

113,485

Cie

de

Saint-Gobain

29,160

699,707

CNP

Assurances

13,171

127,529

Credit

Agricole

SA

15,971

113,009

Dassault

Aviation

SA

51

41,881

Electricite

de

France

SA

82,040

641,513

Engie

SA

135,286

1,385,392

Iliad

SA

734

98,895

Ingenico

Group

SA

807

84,355

Ipsen

SA

3,468

177,769

Klepierre

SA,

REIT

5,535

105,506

Natixis

SA

117,795

375,088

Orange

SA

87,533

1,059,802

Peugeot

SA

121,379

1,580,268

Publicis

Groupe

SA

9,375

267,927

Sanofi

16,680

1,444,071

Schneider

Electric

SE

10,687

903,296

Societe

Generale

SA

11,494

188,296

Thales

SA

3,642

301,615

Unibail

-

Rodamco

-Westfield,

REIT

3,742

214,516

12,652,368

—

Germany

-

6.1%

adidas

AG

845

187,613

Bayer

AG

(Registered)

41,148

2,357,718

Covestro

AG(a)

2,176

66,038

Deutsche

Boerse

AG

3,287

451,582

Deutsche

Wohnen

SE

4,982

188,811

Fresenius

Medical

Care

AG

&

Co.

KGaA

21,863

1,427,128

Fresenius

SE

&

Co.

KGaA

6,125

228,050

Infineon

Technologies

AG

43,431

626,960

KION

Group

AG

11,931

513,486

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

549

110,388

Porsche

Automobil

Holding

SE

(Preference)

1,931

80,717

RWE

AG

13,925

364,161

SAP

SE

12,548

1,400,959

Siemens

AG

(Registered)

15,858

1,327,872

Telefonica

Deutschland

Holding

AG

33,630

82,565

Vonovia

SE

7,064

351,388

Zalando

SE*(a)

1,146

43,193

9,808,629

—

Hong

Kong

-

4.0%

CK

Asset

Holdings

Ltd.

295,000

1,600,578

CK

Infrastructure

Holdings

Ltd.

17,827

94,374

CLP

Holdings

Ltd.

46,000

421,360

Henderson

Land

Development

Co.

Ltd.

23,380

88,491

HKT

Trust

&

HKT

Ltd.

80,000

108,804

Hong

Kong

Exchanges

&

Clearing

Ltd.

14,854

445,016

Kerry

Properties

Ltd.

384,500

1,005,466

Link,

REIT

50,382

424,644

PCCW

Ltd.

64,000

35,095

Power

Assets

Holdings

Ltd.

8,500

50,424

113

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Hong

Kong

-

4.0%

(continued)

Sun

Hung

Kai

Properties

Ltd.

20,500

$

268,018

WH

Group

Ltd.(a)

1,496,000

1,380,821

Wheelock

&

Co.

Ltd.

30,000

203,278

Yue

Yuen

Industrial

Holdings

Ltd.

147,500

225,395

6,351,764

—

Italy

-

2.1%

Assicurazioni

Generali

SpA

50,683

686,491

Enel

SpA

72,678

501,322

Intesa

Sanpaolo

SpA

679,380

1,099,278

Leonardo

SpA

78,973

522,104

Poste

Italiane

SpA

(a)

45,911

386,426

Recordati

SpA

975

41,079

Snam

SpA

20,829

95,195

3,331,895

—

Japan

-

21.8%

Alfresa

Holdings

Corp.

18,800

349,897

Aozora

Bank

Ltd.

13,900

265,270

Astellas

Pharma,

Inc.

140,100

2,158,571

Brother

Industries

Ltd.

43,400

657,357

Daito

Trust

Construction

Co.

Ltd.

787

73,084

Daiwa

House

Industry

Co.

Ltd.

8,395

207,418

FUJIFILM

Holdings

Corp.

12,200

601,211

Fujitsu

Ltd.

19,500

1,756,340

Hitachi

High-Tech

Corp.

3,700

273,327

Hitachi

Ltd.

58,600

1,683,368

Hoya

Corp.

5,700

484,680

Hulic

Co.

Ltd.

8,000

80,961

ITOCHU

Corp.

17,000

351,809

Japan

Airlines

Co.

Ltd.

61,200

1,124,700

Japan

Real

Estate

Investment

Corp.,

REIT

26

152,835

Japan

Retail

Fund

Investment

Corp.,

REIT

73

82,984

Kamigumi

Co.

Ltd.

11,700

197,491

Kobayashi

Pharmaceutical

Co.

Ltd.

500

46,260

Koito

Manufacturing

Co.

Ltd.

15,500

521,098

Konica

Minolta,

Inc.

15,900

64,059

Lion

Corp.

3,500

74,642

Marubeni

Corp.

158,700

787,638

Mazda

Motor

Corp.

98,800

521,748

Mebuki

Financial

Group,

Inc.

34,800

70,586

Medipal

Holdings

Corp.

3,600

67,269

MEIJI

Holdings

Co.

Ltd.

4,900

347,244

Mitsubishi

Corp.

26,000

549,958

Mitsubishi

Estate

Co.

Ltd.

22,820

337,032

Mitsui

Fudosan

Co.

Ltd.

18,105

313,483

MS&AD

Insurance

Group

Holdings,

Inc.

21,100

588,714

Nikon

Corp.

99,100

909,566

Nintendo

Co.

Ltd.

4,700

1,826,672

Nippon

Building

Fund,

Inc.,

REIT

35

235,443

Nippon

Express

Co.

Ltd.

4,600

224,383

Nitto

Denko

Corp.

1,200

53,303

Nomura

Real

Estate

Holdings,

Inc.

3,900

63,105

NTT

DOCOMO,

Inc.

19,200

600,444

Obayashi

Corp.

27,600

234,201

ORIX

Corp.

39,700

473,647

Otsuka

Corp.

3,100

132,155

INVESTMENTS

SHARES

VALUE

Japan

-

21.8%

(continued)

Pola

Orbis

Holdings,

Inc.

6,700

$

123,176

Resona

Holdings,

Inc.

413,200

1,238,901

Rohm

Co.

Ltd.

15,500

841,374

Sekisui

House

Ltd.

19,400

319,946

SG

Holdings

Co.

Ltd.

6,700

159,584

Shimamura

Co.

Ltd.

2,900

175,258

Shimizu

Corp.

31,100

242,015

Shinsei

Bank

Ltd.

84,500

1,119,185

Shionogi

&

Co.

Ltd.

38,700

1,906,342

Sony

Corp.

32,200

1,907,321

SUMCO

Corp.

76,800

975,886

Sumitomo

Corp.

86,300

984,187

Sumitomo

Dainippon

Pharma

Co.

Ltd.

9,700

125,919

Sumitomo

Heavy

Industries

Ltd.

37,200

665,563

Sumitomo

Mitsui

Financial

Group,

Inc.

5,536

134,488

Sumitomo

Mitsui

Trust

Holdings,

Inc.

7,500

215,476

Sumitomo

Realty

&

Development

Co.

Ltd.

5,661

138,229

Suzuken

Co.

Ltd.

5,400

196,192

Sysmex

Corp.

4,700

340,162

Taiheiyo

Cement

Corp.

2,800

47,693

Taisei

Corp.

13,500

411,724

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

1,400

85,931

Teijin

Ltd.

9,000

152,235

Tokyo

Electron

Ltd.

11,700

2,180,571

Tokyo

Gas

Co.

Ltd.

5,700

134,311

Tokyu

Fudosan

Holdings

Corp.

12,883

61,878

Toshiba

Corp.

14,500

317,816

Toyota

Motor

Corp.

900

54,238

34,799,554

—

Malta

-

0.0%(b)

BGP

Holdings

plc(3)*(c)(d)

143,427

177

Netherlands

-

4.8%

ASML

Holding

NV

6,032

1,590,125

ING

Groep

NV

56,425

289,127

Koninklijke

Ahold

Delhaize

NV

84,588

1,970,610

Koninklijke

Philips

NV

54,627

2,242,842

Randstad

NV*

1,760

62,114

Royal

Dutch

Shell

plc,

Class

B

47,958

804,450

Wolters

Kluwer

NV

9,387

664,451

7,623,719

—

Russia

-

0.3%

Evraz

plc

149,503

427,747

Singapore

-

0.4%

Ascendas

,

REIT

81,637

161,642

CapitaLand

Commercial

Trust,

REIT

92,500

99,258

CapitaLand

Mall

Trust,

REIT

38,494

48,266

Singapore

Exchange

Ltd.

25,572

164,695

Venture

Corp.

Ltd.

20,800

198,144

672,005

—

114

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

South

Africa

-

0.4%

Anglo

American

plc

34,041

$

596,521

Spain

-

3.1%

Banco

Bilbao

Vizcaya

Argentaria

SA

151,386

468,775

Enagas

SA

41,807

824,735

Endesa

SA

84,348

1,784,837

Iberdrola

SA

79,797

780,496

Mapfre

SA

143,273

243,048

Naturgy

Energy

Group

SA

14,523

254,789

Red

Electrica

Corp.

SA

34,048

611,826

4,968,506

—

Sweden

-

2.7%

Atlas

Copco

AB,

Class

B

6,481

188,528

Essity

AB,

Class

B

6,985

213,976

Hennes

&

Mauritz

AB,

Class

B

41,835

535,354

Investor

AB,

Class

B

5,840

263,464

Sandvik

AB

9,605

135,111

SKF

AB,

Class

B

3,515

47,899

Swedish

Match

AB

21,924

1,241,329

Telefonaktiebolaget

LM

Ericsson,

Class

B*

201,012

1,627,184

4,252,845

—

Switzerland

-

11.2%

Adecco

Group

AG

(Registered)

35,522

1,399,803

Coca-Cola

HBC

AG

26,699

572,594

Glencore

plc*

187,113

283,205

Nestle

SA

(Registered)

48,107

4,924,607

Novartis

AG

(Registered)

37,367

3,082,734

Roche

Holding

AG

14,284

4,595,763

Sonova

Holding

AG

(Registered)

7,896

1,407,971

STMicroelectronics

NV

41,345

888,777

UBS

Group

AG

(Registered)*

78,775

722,061

17,877,515

—

United

Arab

Emirates

-

0.0%(b)

NMC

Health

plc

5,443

7,892

United

Kingdom

-

9.7%

3i

Group

plc

24,852

240,807

Aviva

plc

394,725

1,297,759

BAE

Systems

plc

145,250

933,234

Barclays

plc

543,114

617,212

Barratt

Developments

plc

159,406

861,640

Berkeley

Group

Holdings

plc

20,348

908,204

British

American

Tobacco

plc

28,213

961,083

BT

Group

plc

1,162,593

1,691,069

Centrica

plc

1,001,358

471,832

CK

Hutchison

Holdings

Ltd.

33,500

223,283

Direct

Line

Insurance

Group

plc

103,667

378,458

Fiat

Chrysler

Automobiles

NV

21,792

155,568

G4S

plc

59,693

67,895

GlaxoSmithKline

plc

24,501

459,741

JD

Sports

Fashion

plc

16,751

93,818

Kingfisher

plc

142,386

250,102

London

Stock

Exchange

Group

plc

5,349

478,499

Marks

&

Spencer

Group

plc

239,031

289,762

Meggitt

plc

15,145

54,441

Melrose

Industries

plc

51,721

57,474

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

9.7%

(continued)

Micro

Focus

International

plc

28,935

$

142,782

Next

plc

4,435

222,499

Persimmon

plc

55,763

1,318,163

RELX

plc

34,060

726,923

Sage

Group

plc

(The)

35,755

259,994

Smith

&

Nephew

plc

2,834

49,925

Taylor

Wimpey

plc

586,643

844,156

Unilever

plc

26,565

1,339,678

Wm

Morrison

Supermarkets

plc

62,999

137,631

15,533,632

—

TOTAL

COMMON

STOCKS

(Cost

$161,365,265)

139,989,720

SHORT-TERM

INVESTMENTS

-

7.9%

INVESTMENT

COMPANIES

-

7.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(e)(f)

2,250,887

2,250,887

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(e)

10,383,496

10,396,995

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$12,634,383)

12,647,882

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.6%

(Cost

$173,999,648)

152,637,602

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.4%(g)

6,971,888

NET

ASSETS

-

100.0%

$159,609,490

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

5,771,273

3.6

%

Consumer

Discretionary

13,519,385

8.5

Consumer

Staples

14,256,179

8.9

Energy

804,450

0.5

Financials

15,074,568

9.5

Health

Care

28,466,175

17.8

Industrials

17,738,769

11.1

Information

Technology

18,558,867

11.6

Materials

8,853,433

5.6

Real

Estate

7,569,224

4.7

Utilities

9,377,397

5.9

Short-Term

Investments

12,647,882

7.9

Total

Investments

In

Securities

At

Value

152,637,602

95.6

Other

Assets

in

Excess

of

Liabilities(g)

6,971,888

4.4

Net

Assets

$

159,609,490

100.0%

115

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$1,876,478,

which

represents

approximately

1.18%

of

net

assets

of

the

fund.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$177,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

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

4).

(3)

Level

3

security

(See

Note

4).

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

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)

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

(-3.60%)

Monthly

JPMC

06/17/2020

SEK

(20,277,044)

$

190,567

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/17/2020

CHF

(2,836,700)

127,309

317,876

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-2.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

1,278,119

(258,470)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

SGD

9,481

(145)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

SGD

23,355

(115)

116

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

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

SIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

SGD

940,667

$

(114,150)

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.80%)

Monthly

JPMC

06/17/2020

CHF

(102,322)

(9,146)

(382,026)

$

(64,150)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

10

4/2020

EUR

$

1,064,696

$

17,420

IBEX

35

Index

65

4/2020

EUR

4,848,723

344,899

DAX

Index

18

6/2020

EUR

4,917,142

641,371

FTSE/MIB

Index

52

6/2020

EUR

4,853,025

559,963

TOPIX

Index

70

6/2020

JPY

9,133,690

699,423

2,263,076

Short

Contracts

Hang

Seng

Index

(5)

4/2020

HKD

(764,890)

(6,753)

OMXS30

Index

(97)

4/2020

SEK

(1,451,193)

(155,095)

FTSE

100

Index

(14)

6/2020

GBP

(979,980)

(30,406)

SPI

200

Index

(3)

6/2020

AUD

(235,691)

6,210

(186,044)

$

2,077,032

117

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,883,500

USD

1,139,635

CITG

6/17/2020

$

19,142

AUD

1,883,500

USD

1,139,636

JPMC

6/17/2020

19,141

CHF

3,150,000

USD

3,243,360

CITG

6/17/2020

41,381

CHF

3,150,000

USD

3,243,364

JPMC

6/17/2020

41,377

DKK

1,076,500

USD

157,334

CITG

6/17/2020

2,148

DKK

1,076,500

USD

157,334

JPMC

6/17/2020

2,148

EUR

2,070,500

USD

2,257,561

CITG

6/17/2020

32,714

EUR

2,070,500

USD

2,257,564

JPMC

6/17/2020

32,710

GBP

2,498,500

USD

3,002,261

CITG

6/17/2020

105,299

GBP

2,498,500

USD

3,002,264

JPMC

6/17/2020

105,294

HKD

5,908,000

USD

760,338

CITG

6/17/2020

1,490

HKD

5,908,000

USD

760,339

JPMC

6/17/2020

1,489

ILS

121,000

USD

33,656

CITG

6/17/2020

639

ILS

121,000

USD

33,656

JPMC

6/17/2020

639

JPY

1,321,317,900

USD

12,002,231

CITG

6/17/2020

326,608

JPY

1,321,317,900

USD

12,002,246

JPMC

6/17/2020

326,592

NZD

1,000,000

USD

581,643

CITG

6/17/2020

14,693

NZD

1,000,000

USD

581,643

JPMC

6/17/2020

14,693

SEK

21,147,504

USD

2,061,654

CITG

6/17/2020

79,690

SEK

21,147,496

USD

2,061,655

JPMC

6/17/2020

79,686

SGD

119,000

USD

82,262

CITG

6/17/2020

1,561

SGD

119,000

USD

82,262

JPMC

6/17/2020

1,561

USD

5,228,634

AUD

7,963,001

CITG

6/17/2020

329,595

USD

5,228,627

AUD

7,962,999

JPMC

6/17/2020

329,588

USD

3,843,094

CHF

3,622,275

CITG

6/17/2020

65,875

USD

3,843,089

CHF

3,622,275

JPMC

6/17/2020

65,871

USD

202,090

DKK

1,351,000

CITG

6/17/2020

1,942

USD

202,090

DKK

1,351,000

JPMC

6/17/2020

1,942

USD

5,836,641

EUR

5,213,420

CITG

6/17/2020

69,842

USD

5,836,629

EUR

5,213,416

JPMC

6/17/2020

69,833

USD

9,353,193

GBP

7,246,340

CITG

6/17/2020

340,413

USD

9,353,207

GBP

7,246,360

JPMC

6/17/2020

340,403

USD

107,814

ILS

370,000

CITG

6/17/2020

2,945

USD

107,814

ILS

370,000

JPMC

6/17/2020

2,945

USD

2,658,530

JPY

283,172,000

CITG

6/17/2020

16,333

USD

2,658,526

JPY

283,172,000

JPMC

6/17/2020

16,330

USD

5,516,324

NZD

8,850,000

CITG

6/17/2020

238,756

USD

5,516,317

NZD

8,850,000

JPMC

6/17/2020

238,749

USD

3,210,105

SEK

30,929,004

CITG

6/17/2020

78,311

USD

3,210,100

SEK

30,928,996

JPMC

6/17/2020

78,306

USD

242,945

SGD

338,000

CITG

6/17/2020

4,862

USD

242,944

SGD

338,000

JPMC

6/17/2020

4,861

Total

unrealized

appreciation

3,548,397

AUD

10,986,051

USD

7,232,208

CITG

6/17/2020

(473,311)

AUD

10,986,049

USD

7,232,215

JPMC

6/17/2020

(473,319)

CHF

5,324,000

USD

5,608,167

CITG

6/17/2020

(56,432)

CHF

5,324,000

USD

5,608,174

JPMC

6/17/2020

(56,439)

DKK

2,501,000

USD

377,339

CITG

6/17/2020

(6,821)

DKK

2,501,000

USD

377,339

JPMC

6/17/2020

(6,821)

EUR

16,712,507

USD

18,757,868

CITG

6/17/2020

(271,405)

EUR

16,712,493

USD

18,757,876

JPMC

6/17/2020

(271,429)

GBP

3,891,495

USD

5,024,637

CITG

6/17/2020

(184,513)

GBP

3,891,505

USD

5,024,656

JPMC

6/17/2020

(184,520)

ILS

2,429,504

USD

708,573

CITG

6/17/2020

(19,976)

ILS

2,429,496

USD

708,572

JPMC

6/17/2020

(19,976)

118

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

160,804,000

USD

1,510,070

CITG

6/17/2020

$

(9,654)

JPY

160,804,000

USD

1,510,072

JPMC

6/17/2020

(9,655)

NZD

17,386,000

USD

11,025,117

CITG

6/17/2020

(657,234)

NZD

17,386,000

USD

11,025,131

JPMC

6/17/2020

(657,247)

SEK

18,353,500

USD

1,910,860

CITG

6/17/2020

(52,429)

SEK

18,353,500

USD

1,910,863

JPMC

6/17/2020

(52,431)

SGD

868,148

USD

623,341

CITG

6/17/2020

(11,828)

SGD

868,152

USD

623,345

JPMC

6/17/2020

(11,829)

USD

1,964,987

AUD

3,244,000

CITG

6/17/2020

(30,804)

USD

1,964,985

AUD

3,244,000

JPMC

6/17/2020

(30,806)

USD

6,219,603

CHF

6,037,125

CITG

6/17/2020

(75,760)

USD

6,219,595

CHF

6,037,125

JPMC

6/17/2020

(75,768)

USD

763,005

DKK

5,238,500

CITG

6/17/2020

(13,069)

USD

763,004

DKK

5,238,500

JPMC

6/17/2020

(13,070)

USD

15,215,418

EUR

13,956,387

CITG

6/17/2020

(222,376)

USD

15,215,388

EUR

13,956,377

JPMC

6/17/2020

(222,393)

USD

2,059,054

GBP

1,705,000

CITG

6/17/2020

(61,574)

USD

2,059,052

GBP

1,705,000

JPMC

6/17/2020

(61,577)

USD

1,018,920

HKD

7,916,000

CITG

6/17/2020

(1,836)

USD

1,018,919

HKD

7,916,000

JPMC

6/17/2020

(1,837)

USD

135,880

ILS

510,500

CITG

6/17/2020

(8,812)

USD

135,880

ILS

510,500

JPMC

6/17/2020

(8,812)

USD

4,620,880

JPY

509,143,000

CITG

6/17/2020

(129,788)

USD

4,620,874

JPY

509,143,000

JPMC

6/17/2020

(129,794)

USD

178,575

SGD

257,500

CITG

6/17/2020

(2,805)

USD

178,575

SGD

257,500

JPMC

6/17/2020

(2,804)

Total

unrealized

depreciation

(4,580,954)

Net

unrealized

depreciation

$

(1,032,557)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,749,479

$

1,749,479

CITG

Investment

Companies

530,519

–

530,519

JPMC

Investment

Companies

1,720,368

–

1,720,368

119

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

Abbreviations

ADR

-

American

Depositary

Receipt

GDR

-

Global

Depositary

Receipt

NVDR

-

Non-Voting

Depositary

Receipt

OYJ

-

Public

Traded

Company

PJSC

-

Public

Joint

Stock

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

ILS

-

Israeli

Shekel

JPY

-

Japanese

Yen

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

USD

-

United

States

Dollar

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

Canadian

Bankers’

Acceptance

Rate

("BA"):

1.23%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.42%

London

Interbank

Offered

Rate

(“LIBOR”):

0.99%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

0.99%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

0.16%

Statements

of

Assets

and

Liabilities

120

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

917,422,893

$

284,124,046

$

220,894,232

$

161,588,615

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

948,744,795

$

249,394,524

$

200,041,127

$

159,582,803

Cash

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

—

128,630

32,687

—

Cash

denominated

in

foreign

currencies

‡

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

—

—

349,040

1,746,809

Due

from

broker

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

—

—

—

38,310

Deposits

with

brokers

for

futures

contracts

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

781,105

1,499,547

1,421,364

566,863

Variation

margin

on

futures

contracts

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

908,768

—

—

435,211

Receivables:

Securities

sold

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

—

734,696

—

22,249,758

Foreign

tax

reclaims

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

—

—

1,243,006

2,334

Dividends

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

1,034,931

264,644

1,004,896

550,736

Capital

shares

sold

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

1,921,657

291,900

216,353

343,472

Prepaid

expenses

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

85,804

51,630

41,316

21,918

Total

Assets

953,477,060

252,365,571

204,349,789

185,538,214

LIABILITIES:

Due

to

custodian

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

—

—

—

349,813

Due

to

broker

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

306,697

—

—

—

Variation

margin

on

futures

contracts

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

—

65,216

80,477

—

Payables:

–

–

–

–

Securities

purchased

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

—

137,322

—

13,051,467

Collateral

received

on

securities

loaned

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

1,605,586

7,063,541

316,614

64,316

Interfund

lending

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

—

—

—

6,480,000

Accrued

investment

advisory

fees

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

247,256

118,433

60,681

69,731

Accrued

distribution

fees—Class

N

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

1,988

923

723

669

Capital

shares

redeemed

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

2,486,014

1,631,980

428,581

130,206

Other

accrued

expenses

and

liabilities

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

244,129

51,396

66,071

90,813

Total

Liabilities

4,891,670

9,068,811

953,147

20,237,015

Net

Assets

$

948,585,390

$

243,296,760

$

203,396,642

$

165,301,199

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

860,567,357

$

336,631,503

$

247,185,392

$

206,384,800

Total

distributable

earnings

(loss)

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

88,018,033

(93,334,743)

(43,788,750)

(41,083,601)

Net

Assets

$

948,585,390

$

243,296,760

$

203,396,642

$

165,301,199

NET

ASSETS:

Class

I

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

$

197,376,476

$

29,956,602

$

33,111,903

$

36,463,711

Class

N

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

9,062,780

4,331,546

3,446,333

2,768,313

Class

R6

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

742,146,134

209,008,612

166,838,406

126,069,175

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

14,763,844

3,289,099

3,779,235

4,775,946

Class

N

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

673,779

476,363

393,954

362,188

Class

R6

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

55,567,599

22,928,931

19,076,960

16,493,112

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

13.37

$

9.11

$

8.76

$

7.63

Class

N

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

$

13.45

$

9.09

$

8.75

$

7.64

Class

R6

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

$

13.36

$

9.12

$

8.75

$

7.64

*

Includes

market

value

of

securities

out

on

loan

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

$

1,559,447

$

6,800,154

$

300,018

$

51,165

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

—

$

347,866

$

1,754,712

Statements

of

Assets

and

Liabilities

121

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

214,420,364

$

19,103,109

$

182,703,237

$

296,462,752

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

230,594,218

$

16,431,774

$

171,306,011

$

294,040,605

Cash

denominated

in

foreign

currencies

‡

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

—

—

451,202

3,319,358

Due

from

broker

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

—

15,550

155,853

166,680

Deposits

with

brokers

for

futures

contracts

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

619,974

23,438

1,085,521

1,830,002

Variation

margin

on

futures

contracts

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

—

13,617

150,371

260,106

Receivables:

Securities

sold

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

—

—

—

13,384,533

Foreign

tax

reclaims

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

—

—

619,669

4,265

Dividends

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

279,601

16,108

896,956

950,353

Capital

shares

sold

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

304,226

1,077,701

355,146

77,870

Due

from

Investment

Adviser

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

—

3,955

—

—

Prepaid

expenses

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

44,784

33,355

39,399

44,109

Total

Assets

231,842,803

17,615,498

175,060,128

314,077,881

LIABILITIES:

Due

to

custodian

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

—

330

1,780

—

Variation

margin

on

futures

contracts

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

97,497

—

—

—

Payables:

–

–

–

–

Securities

purchased

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

—

—

—

20,103,780

Collateral

received

on

securities

loaned

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

—

563,267

278,676

—

Accrued

investment

advisory

fees

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

54,465

—

49,131

125,455

Accrued

distribution

fees—Class

N

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

244

556

183

106

Capital

shares

redeemed

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

2,834,160

133,070

1,804,477

382,999

Other

accrued

expenses

and

liabilities

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

72,256

28,234

60,569

127,593

Total

Liabilities

3,058,622

725,457

2,194,816

20,739,933

Net

Assets

$

228,784,181

$

16,890,041

$

172,865,312

$

293,337,948

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

220,919,546

$

20,843,090

$

194,337,050

$

318,571,676

Total

distributable

earnings

(loss)

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

7,864,635

(3,953,049)

(21,471,738)

(25,233,728)

Net

Assets

$

228,784,181

$

16,890,041

$

172,865,312

$

293,337,948

NET

ASSETS:

Class

I

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

$

68,577,438

$

12,756,792

$

23,013,191

$

29,892,367

Class

N

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

1,118,296

2,476,784

821,134

450,981

Class

R6

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

159,088,447

1,656,465

149,030,987

262,994,600

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

6,314,126

1,616,809

2,717,470

3,765,793

Class

N

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

102,833

314,050

97,068

56,562

Class

R6

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

14,634,836

209,598

17,572,149

33,106,875

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

10.86

$

7.89

$

8.47

$

7.94

Class

N

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

$

10.87

$

7.89

$

8.46

$

7.97

Class

R6

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

$

10.87

$

7.90

$

8.48

$

7.94

*

Includes

market

value

of

securities

out

on

loan

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

$

—

$

537,483

$

262,813

$

—

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

—

$

440,857

$

3,342,538

Statements

of

Assets

and

Liabilities

122

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

632,161,899

$

219,170,699

$

348,708,261

$

153,480,199

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

707,313,565

$

206,216,511

$

350,049,257

$

203,355,803

Cash

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

1,938

—

21,753

277

Cash

denominated

in

foreign

currencies

‡

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

382

—

571,682

—

Due

from

broker

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

619,168

—

524,439

—

Deposits

with

brokers

for

futures

contracts

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

14,435

1,242,110

292,096

330,823

Variation

margin

on

futures

contracts

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

589,782

—

482,554

175,986

Receivables:

Securities

sold

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

—

—

115,123

—

Foreign

tax

reclaims

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

—

—

1,174,521

—

Dividends

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

541,193

204,330

1,192,027

146,367

Capital

shares

sold

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

1,062,526

218,772

289,878

181,342

Prepaid

expenses

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

59,455

30,912

37,373

40,005

Total

Assets

710,202,444

207,912,635

354,750,703

204,230,603

LIABILITIES:

Due

to

broker

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

—

—

—

67,712

Variation

margin

on

futures

contracts

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

—

53,252

—

—

Payables:

–

–

–

–

Collateral

received

on

securities

loaned

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

8,227,724

12,936,946

391,451

1,358,282

Accrued

investment

advisory

fees

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

144,285

64,284

104,528

34,369

Accrued

distribution

fees—Class

N

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

10,470

840

6,448

1,078

Capital

shares

redeemed

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

947,575

717,774

661,554

1,074,774

Other

accrued

expenses

and

liabilities

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

239,608

80,605

126,763

71,201

Total

Liabilities

9,569,662

13,853,701

1,290,744

2,607,416

Net

Assets

$

700,632,782

$

194,058,934

$

353,459,959

$

201,623,187

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

584,746,842

$

207,606,708

$

383,839,612

$

152,126,417

Total

distributable

earnings

(loss)

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

115,885,940

(13,547,774)

(30,379,653)

49,496,770

Net

Assets

$

700,632,782

$

194,058,934

$

353,459,959

$

201,623,187

NET

ASSETS:

Class

I

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

$

510,324,252

$

143,308,859

$

220,531,536

$

106,849,718

Class

N

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

46,673,463

4,364,277

30,233,045

4,877,910

Class

R6

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

143,635,067

46,385,798

102,695,378

89,895,559

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

28,727,338

10,099,452

17,284,906

5,176,335

Class

N

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

2,624,806

307,377

2,372,905

237,121

Class

R6

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

8,113,546

3,280,711

8,064,427

4,361,932

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

17.76

$

14.19

$

12.76

$

20.64

Class

N

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

$

17.78

$

14.20

$

12.74

$

20.57

Class

R6

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

$

17.70

$

14.14

$

12.73

$

20.61

*

Includes

market

value

of

securities

out

on

loan

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

$

8,034,053

$

12,532,657

$

1,423,636

$

1,327,296

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

421

$

—

$

563,341

$

—

Statements

of

Assets

and

Liabilities

123

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

40,879,338

$

80,593,093

$

4,901,779,159

$

203,788,133

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

40,310,691

$

82,847,877

$

4,824,050,920

$

195,553,120

Cash

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

—

28,004

6,471

16,711

Cash

denominated

in

foreign

currencies

‡

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

—

155,806

—

663,679

Due

from

broker

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

4,757

—

—

—

Deposits

with

brokers

for

futures

contracts

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

229,698

403,427

289,958

90,075

Variation

margin

on

futures

contracts

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

—

—

—

1,036,263

Receivables:

Securities

sold

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

1,551,371

7,528,603

—

—

Foreign

tax

reclaims

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

—

363,037

—

436,368

Dividends

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

43,475

277,742

6,462,279

887,196

Capital

shares

sold

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

14,671

996,299

10,702,561

492,030

Prepaid

expenses

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

30,992

33,740

347,922

56,890

Total

Assets

42,185,655

92,634,535

4,841,860,111

199,232,332

LIABILITIES:

Due

to

broker

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

—

—

—

37,786

Variation

margin

on

futures

contracts

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

214,764

22,336

45,316

—

Payables:

–

–

–

–

Securities

purchased

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

—

3,767,926

—

—

Collateral

received

on

securities

loaned

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

2,651,378

7,366

29,631,331

182,289

Interfund

lending

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

—

2,310,000

—

1,500,000

Accrued

investment

advisory

fees

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

5,745

17,987

1,008,042

50,705

Accrued

distribution

fees—Class

N

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

503

506

68,612

1,762

Capital

shares

redeemed

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

316,273

918,622

14,119,643

9,746,754

Other

accrued

expenses

and

liabilities

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

38,969

52,787

1,373,258

91,101

Total

Liabilities

3,227,632

7,097,530

46,246,202

11,610,397

Net

Assets

$

38,958,023

$

85,537,005

$

4,795,613,909

$

187,621,935

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

40,726,685

$

104,137,436

$

4,890,532,695

$

201,031,901

Total

distributable

earnings

(loss)

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

(1,768,662)

(18,600,431)

(94,918,786)

(13,409,966)

Net

Assets

$

38,958,023

$

85,537,005

$

4,795,613,909

$

187,621,935

NET

ASSETS:

Class

I

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

$

36,521,402

$

39,388,193

$

3,143,206,329

$

107,098,611

Class

N

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

2,274,799

2,204,085

301,937,566

8,714,390

Class

R6

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

161,822

43,944,727

1,350,470,014

71,808,934

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

2,503,968

3,492,824

162,134,016

9,644,401

Class

N

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

157,087

196,387

15,600,873

758,272

Class

R6

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

11,104

3,909,123

69,741,396

6,471,578

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

14.59

$

11.28

$

19.39

$

11.10

Class

N

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

$

14.48

$

11.22

$

19.35

$

11.49

Class

R6

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

$

14.57

$

11.24

$

19.36

$

11.10

*

Includes

market

value

of

securities

out

on

loan

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

$

2,541,016

$

34,769

$

27,964,432

$

173,366

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

152,922

$

—

$

649,447

Statements

of

Assets

and

Liabilities

124

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

70,245,923

$

254,506,577

$

173,999,648

Investments

in

securities

of

unaffiliated

issuers,

at

value*

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

$

63,813,676

$

239,995,937

$

152,637,602

Cash

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

—

3,455

2,946

Cash

denominated

in

foreign

currencies

‡

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

225,776

623,603

1,155,992

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

—

4,378,048

3,548,397

Unrealized

appreciation

on

OTC

swaps

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

—

128,835

317,876

Due

from

broker

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

—

103,173

215,220

Deposits

with

brokers

for

futures

contracts

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

381,819

3,541,884

3,442,190

Variation

margin

on

futures

contracts

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

23,683

16,097

384,321

Receivables:

Securities

sold

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

—

16,070,167

20,223,858

Foreign

tax

reclaims

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

2,621

606,160

2,128,451

Dividends

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

265,049

538,954

737,213

Capital

shares

sold

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

35,328

872,392

160,560

Prepaid

expenses

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

21,904

72,738

35,634

Total

Assets

64,769,856

266,951,443

184,990,260

LIABILITIES:

Due

to

broker

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

—

78,237

79,994

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

—

4,709,741

4,580,954

Unrealized

depreciation

on

OTC

swaps

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

—

616,023

382,026

Payables:

–

–

–

Securities

purchased

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

—

16,058,974

20,143,055

Collateral

received

on

securities

loaned

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

—

102,746

—

Accrued

investment

advisory

fees

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

15,141

124,245

80,678

Accrued

distribution

fees—Class

N

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

1,108

858

1,309

Capital

shares

redeemed

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

241,920

69,249

59,668

Other

accrued

expenses

and

liabilities

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

67,096

58,218

53,086

Total

Liabilities

325,265

21,818,291

25,380,770

Net

Assets

$

64,444,591

$

245,133,152

$

159,609,490

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

..........

$

88,313,947

$

287,059,063

$

211,382,994

Total

distributable

earnings

(loss)

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

(23,869,356)

(41,925,911)

(51,773,504)

Net

Assets

$

64,444,591

$

245,133,152

$

159,609,490

NET

ASSETS:

Class

I

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

$

60,110,937

$

16,786,134

$

120,308,278

Class

N

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

4,237,134

2,995,226

5,929,401

Class

R6

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

96,520

225,351,792

33,371,811

SHARES

OUTSTANDING:

–

–

–

Class

I

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

8,265,882

2,501,211

16,172,120

Class

N

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

567,842

451,572

776,280

Class

R6

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

13,316

33,429,973

4,188,392

NET

ASSET

VALUE:

–

–

–

Class

I

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

$

7.27

$

6.71

$

7.44

Class

N

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

$

7.46

$

6.63

$

7.64

Class

R6

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

$

7.25

$

6.74

$

7.97

*

Includes

market

value

of

securities

out

on

loan

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

$

—

$

97,626

$

—

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

225,795

$

606,164

$

1,153,774

Statements

of

Operations

125

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

11,253,251

$

3,026,766

$

2,917,034

$

1,901,018

Securities

lending

income,

net

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

46,614

253,984

12,527

610

Total

Income

11,299,865

3,280,750

2,929,561

1,901,628

EXPENSES:

Investment

advisory

fees

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

1,985,380

1,303,818

584,483

681,537

Custody

fees

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

21,907

16,676

28,944

76,675

Administration

&

accounting

fees

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

150,293

58,024

29,186

25,900

Legal

fees

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

23,391

9,275

4,532

3,759

Audit

&

tax

fees

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

24,484

24,222

26,648

33,439

Shareholder

reporting

fees

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

60,680

42,091

13,933

12,697

Transfer

agent

fees

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

187,148

36,025

36,029

36,367

Trustee

fees

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

37,645

15,313

7,780

6,796

Distribution

fees—Class

N

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

35,351

8,308

5,345

5,238

Interest

expense

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

22,629

9,302

4,376

3,754

Interfund

lending

expense

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

5,869

1,489

1,079

100

Registration

fees

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

45,618

31,932

30,300

29,274

Pricing

fee

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

—

—

—

2,611

Other

expenses

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

13,566

5,536

2,581

2,220

Total

Expenses

2,613,961

1,562,011

775,216

920,367

Less

fee

waivers

and/or

reimbursements

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

(63,950)

(84,721)

(89,976)

(147,273)

Net

Expenses

2,550,011

1,477,290

685,240

773,094

Net

Investment

Income

(Loss)

8,749,854

1,803,460

2,244,321

1,128,534

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

(net

of

deferred

capital

gain

country

tax

accruals

of

$–,

$–,

$–

and

$47,870

)

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

75,699,192

(32,811,234)

1,285,372

(3,734,776)

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

(15,431)

(172,796)

Expiration

or

closing

of

futures

contracts

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

(8,305,241)

(15,529,779)

(2,398,678)

(2,109,259)

Net

realized

gain

(loss)

67,393,951

(48,341,013)

(1,128,737)

(6,016,831)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(252,403,275)

(87,573,102)

(43,731,771)

(31,216,301)

Foreign

currency

and

foreign

currency

transactions

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

—

—

28,242

(11,954)

Futures

contracts

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

(100,079)

1,662,758

1,009,698

248,626

Net

change

in

unrealized

appreciation

(depreciation)

(252,503,354)

(85,910,344)

(42,693,831)

(30,979,629)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(185,109,403)

(134,251,357)

(43,822,568)

(36,996,460)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(176,359,549)

$

(132,447,897)

$

(41,578,247)

$

(35,867,926)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

8,629

$

4,807

$

295,544

$

189,755

Statements

of

Operations

126

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

2,745,286

$

139,571

$

2,404,474

$

3,081,312

Securities

lending

income,

net

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

6,342

7,717

9,568

618

Total

Income

2,751,628

147,288

2,414,042

3,081,930

EXPENSES:

Investment

advisory

fees

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

477,879

59,863

436,506

1,071,215

Custody

fees

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

9,537

8,764

22,566

97,225

Administration

&

accounting

fees

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

36,652

2,753

22,169

40,890

Legal

fees

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

4,964

818

3,052

5,584

Audit

&

tax

fees

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

23,136

23,889

26,310

35,288

Shareholder

reporting

fees

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

14,607

1,344

9,461

16,119

Transfer

agent

fees

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

57,876

19,681

25,563

29,846

Trustee

fees

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

9,331

1,170

5,833

10,355

Distribution

fees—Class

N

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

1,626

4,408

1,464

845

Interest

expense

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

5,125

397

3,114

5,777

Interfund

lending

expense

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

594

—

—

—

Registration

fees

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

31,787

26,922

30,382

30,132

Pricing

fee

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

—

—

—

3,975

Other

expenses

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

2,647

230

1,656

3,062

Total

Expenses

675,761

150,239

588,076

1,350,313

Less

fee

waivers

and/or

reimbursements

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

(63,518)

(68,797)

(82,766)

(164,005)

Net

Expenses

612,243

81,442

505,310

1,186,308

Net

Investment

Income

(Loss)

2,139,385

65,846

1,908,732

1,895,622

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(6,336,266)

(518,630)

(2,697,554)

(6,957,429)

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

(84,210)

(233,574)

Expiration

or

closing

of

futures

contracts

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

(2,795,480)

(220,777)

(2,537,846)

(2,813,588)

Net

realized

gain

(loss)

(9,131,746)

(739,407)

(5,319,610)

(10,004,591)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(41,383,000)

(5,101,562)

(30,012,371)

(49,867,501)

Foreign

currency

and

foreign

currency

transactions

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

—

—

19,542

(45,350)

Futures

contracts

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

119,809

46,814

415,377

676,363

Net

change

in

unrealized

appreciation

(depreciation)

(41,263,191)

(5,054,748)

(29,577,452)

(49,236,488)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(50,394,937)

(5,794,155)

(34,897,062)

(59,241,079)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(48,255,552)

$

(5,728,309)

$

(32,988,330)

$

(57,345,457)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

4,512

$

237

$

243,750

$

307,227

Statements

of

Operations

127

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

6,779,137

$

1,319,746

$

4,057,254

$

1,674,010

Securities

lending

income,

net

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

60,770

212,426

13,668

11,070

Total

Income

6,839,907

1,532,172

4,070,922

1,685,080

EXPENSES:

Investment

advisory

fees

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

1,146,555

578,035

874,422

302,235

Custody

fees

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

20,376

15,645

42,405

9,277

Administration

&

accounting

fees

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

105,960

29,347

50,254

27,937

Legal

fees

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

15,045

4,260

6,944

3,640

Audit

&

tax

fees

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

24,198

24,585

27,035

22,933

Shareholder

reporting

fees

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

42,628

13,066

21,937

10,545

Transfer

agent

fees

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

371,971

110,507

163,945

75,811

Trustee

fees

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

25,918

7,663

12,568

7,088

Distribution

fees—Class

N

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

78,362

5,745

45,854

7,466

Interest

expense

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

14,845

4,264

7,004

3,776

Interfund

lending

expense

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

1,390

—

—

—

Registration

fees

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

46,731

33,456

33,790

29,241

Pricing

fee

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

—

—

3,238

—

Other

expenses

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

8,385

2,436

3,764

1,951

Total

Expenses

1,902,364

829,009

1,293,160

501,900

Less

fee

waivers

and/or

reimbursements

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

(74,700)

(76,795)

(104,039)

(62,254)

Net

Expenses

1,827,664

752,214

1,189,121

439,646

Net

Investment

Income

(Loss)

5,012,243

779,958

2,881,801

1,245,434

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

47,792,675

1,593,232

(3,132,847)

1,310,208

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

(27,840)

—

Expiration

or

closing

of

futures

contracts

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

(5,065,598)

(3,228,974)

(2,375,913)

(2,080,776)

Net

realized

gain

(loss)

42,727,077

(1,635,742)

(5,536,600)

(770,568)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(156,025,831)

(47,918,327)

(50,640,544)

(29,250,515)

Foreign

currency

and

foreign

currency

transactions

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

4

—

31,712

—

Futures

contracts

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

636,377

905,683

826,114

58,911

Net

change

in

unrealized

appreciation

(depreciation)

(155,389,450)

(47,012,644)

(49,782,718)

(29,191,604)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(112,662,373)

(48,648,386)

(55,319,318)

(29,962,172)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(107,650,130)

$

(47,868,428)

$

(52,437,517)

$

(28,716,738)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

947

$

365,823

$

—

Statements

of

Operations

128

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

276,918

$

1,056,075

$

51,886,624

$

2,508,433

Affiliated

issuers

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

—

—

1,949,957

—

Securities

lending

income,

net

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

43,677

4,302

94,319

2,275

Total

Income

320,595

1,060,377

53,930,900

2,510,708

EXPENSES:

Investment

advisory

fees

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

124,262

223,455

6,844,049

479,701

Custody

fees

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

11,024

17,362

73,349

26,992

Administration

&

accounting

fees

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

6,381

12,914

670,461

27,602

Legal

fees

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

871

1,764

70,105

3,848

Audit

&

tax

fees

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

23,141

26,404

29,386

26,521

Shareholder

reporting

fees

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

2,890

5,168

258,254

11,479

Transfer

agent

fees

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

36,477

36,364

2,036,981

98,606

Trustee

fees

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

2,039

3,581

147,919

7,107

Distribution

fees—Class

N

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

3,725

3,862

473,880

10,193

Interest

expense

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

897

1,817

76,051

3,850

Interfund

lending

expense

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

—

693

—

449

Registration

fees

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

29,185

27,412

254,299

33,316

Pricing

fee

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

—

2,039

—

2,056

Other

expenses

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

540

988

36,910

2,008

Total

Expenses

241,432

363,823

10,971,644

733,728

Less

fee

waivers

and/or

reimbursements

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

(71,385)

(79,087)

(212,203)

(91,167)

Net

Expenses

170,047

284,736

10,759,441

642,561

Net

Investment

Income

(Loss)

150,548

775,641

43,171,459

1,868,147

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(566,245)

(1,687,468)

(15,791,831)

(3,529,558)

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

238,559

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

(50,123)

—

(67,341)

Expiration

or

closing

of

futures

contracts

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

(681,192)

(1,453,836)

(20,293,486)

(426,014)

Net

realized

gain

(loss)

(1,247,437)

(3,191,427)

(35,846,758)

(4,022,913)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(9,150,726)

(12,214,548)

(847,965,061)

(27,580,465)

Investment

securities

of

affiliated

issuers

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

—

—

(20,989)

—

Foreign

currency

and

foreign

currency

transactions

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

—

12,417

—

23,973

Futures

contracts

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

46,124

21,856

740,877

15,026

Net

change

in

unrealized

appreciation

(depreciation)

(9,104,602)

(12,180,275)

(847,245,173)

(27,541,466)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(10,352,039)

(15,371,702)

(883,091,931)

(31,564,379)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(10,201,491)

$

(14,596,061)

$

(839,920,472)

$

(29,696,232)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

157

$

99,127

$

3,639

$

252,339

Statements

of

Operations

129

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

661,836

$

2,957,457

$

2,187,615

Securities

lending

income,

net

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

35

4,146

413

Total

Income

661,871

2,961,603

2,188,028

EXPENSES:

Investment

advisory

fees

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

223,635

919,528

735,844

Custody

fees

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

31,260

26,633

41,015

Administration

&

accounting

fees

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

9,337

35,006

22,699

Legal

fees

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

1,346

4,912

4,508

Audit

&

tax

fees

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

30,267

29,252

29,626

Shareholder

reporting

fees

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

4,432

13,117

11,829

Transfer

agent

fees

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

49,702

79,169

105,755

Trustee

fees

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

2,757

8,945

6,892

Distribution

fees—Class

N

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

8,301

6,357

9,778

Interest

expense

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

1,326

7,187

6,588

Recoupment

of

waiver

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

—

2,116

—

Registration

fees

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

28,565

33,307

31,777

Pricing

fee

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

5,670

—

2,609

Other

expenses

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

735

2,538

2,779

Total

Expenses

397,333

1,168,067

1,011,699

Less

fee

waivers

and/or

reimbursements

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

(103,315)

(13,280)

(54,904)

Net

Expenses

294,018

1,154,787

956,795

Net

Investment

Income

(Loss)

367,853

1,806,816

1,231,233

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

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

(4,407,958)

(3,127,000)

3,065,836

Settlement

of

foreign

currency

and

foreign

currency

transactions

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

(27,305)

248,482

88,413

Settlement

of

forward

foreign

currency

contracts

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

—

463,049

38,147

Expiration

or

closing

of

futures

contracts

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

(516,063)

(9,686,718)

(8,611,855)

Expiration

or

closing

of

swap

contracts

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

—

2,407,143

2,116,657

Net

realized

gain

(loss)

(4,951,326)

(9,695,044)

(3,302,802)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffi

liated

issuers

(net

of

decrease

in

deferred

capital

gain

country

tax

accruals

of

$72,776,

$–

and

$–)

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

(10,023,883)

(42,360,511)

(35,272,888)

Foreign

currency

and

foreign

currency

transactions

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

(7,412)

(26,149)

104,194

Forward

foreign

currency

exchange

contracts

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

—

(1,130,880)

(1,668,127)

Futures

contracts

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

89,700

994,311

1,646,206

Swap

contracts

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

—

(633,393)

(24,026)

Net

change

in

unrealized

appreciation

(depreciation)

(9,941,595)

(43,156,622)

(35,214,641)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(14,892,921)

(52,851,666)

(38,517,443)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(14,525,068)

$

(51,044,850)

$

(37,286,210)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

66,835

$

98,444

$

152,951

Statements

of

Changes

in

Net

Assets

(Continued)

130

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

8,749,854

$

20,818,035

$

1,803,460

$

6,245,231

Net

realized

gain

(loss)

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

67,393,951

43,691,326

(

48,341,013

)

(

7,722,603

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

252,503,354

)

(

156,075,377

)

(

85,910,344

)

(

85,630,346

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

176,359,549

)

(

91,566,016

)

(

132,447,897

)

(

87,107,718

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

16,769,547

)

(

29,255,991

)

(

421,558

)

(

5,107,307

)

Class

N

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

(

476,407

)

(

4,037,015

)

(

38,224

)

(

713,157

)

Class

R6

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

(

54,431,358

)

(

70,459,300

)

(

5,527,052

)

(

64,613,496

)

Total

distributions

(

71,677,312

)

(

103,752,306

)

(

5,986,834

)

(

70,433,960

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

78,106,690

76,666,928

14,687,204

24,301,994

Reinvestment

of

distributions

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

15,867,380

27,844,268

421,047

5,096,676

Cost

of

shares

redeemed

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

(

205,228,392

)

(

198,249,995

)

(

17,025,062

)

(

36,310,691

)

Net

increase

(decrease)

from

capital

transactions

(

111,254,322

)

(

93,738,799

)

(

1,916,811

)

(

6,912,021

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

2,197,914

11,088,415

923,339

4,653,780

Reinvestment

of

distributions

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

475,237

4,032,863

37,767

711,291

Cost

of

shares

redeemed

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

(

51,045,092

)

(

21,694,110

)

(

3,776,576

)

(

3,140,219

)

Net

increase

(decrease)

from

capital

transactions

(

48,371,941

)

(

6,572,832

)

(

2,815,470

)

2,224,852

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

82,799,363

220,595,627

32,777,426

86,312,953

Reinvestment

of

distributions

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

54,151,298

70,083,771

5,486,249

59,445,615

Cost

of

shares

redeemed

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

(

227,754,683

)

(

492,971,510

)

(

203,956,496

)

(

176,803,604

)

Net

increase

(decrease)

from

capital

transactions

(

90,804,022

)

(

202,292,112

)

(

165,692,821

)

(

31,045,036

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

250,430,285

)

(

302,603,743

)

(

170,425,102

)

(

35,732,205

)

Total

increase

(decrease)

in

net

assets

(

498,467,146

)

(

497,922,065

)

(

308,859,833

)

(

193,273,883

)

NET

ASSETS:

Beginning

of

period

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

1,447,052,536

1,944,974,601

552,156,593

745,430,476

End

of

period

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

$

948,585,390

$

1,447,052,536

$

243,296,760

$

552,156,593

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

131

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

21,495,275

26,927,588

3,421,056

3,884,358

Shares

sold

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

4,616,718

4,765,437

1,302,768

2,002,640

Shares

issued

on

reinvestment

of

distributions

...........

920,916

1,916,330

31,421

457,922

Shares

redeemed

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

(

12,269,065

)

(

12,114,080

)

(

1,466,146

)

(

2,923,864

)

Shares

outstanding,

end

of

period

14,763,844

21,495,275

3,289,099

3,421,056

CLASS

N

Shares

outstanding,

beginning

of

period

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

3,426,131

3,794,725

675,817

492,827

Shares

sold

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

135,107

692,786

90,940

368,035

Shares

issued

on

reinvestment

of

distributions

...........

27,391

278,320

2,823

64,023

Shares

redeemed

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

(

2,914,850

)

(

1,339,700

)

(

293,217

)

(

249,068

)

Shares

outstanding,

end

of

period

673,779

3,426,131

476,363

675,817

CLASS

R6

Shares

outstanding,

beginning

of

period

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

61,063,089

72,590,387

40,608,465

42,484,766

Shares

sold

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

5,256,198

13,687,568

2,886,477

6,863,675

Shares

issued

on

reinvestment

of

distributions

...........

3,146,502

4,826,706

409,116

5,336,231

Shares

redeemed

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

(

13,898,190

)

(

30,041,572

)

(

20,975,127

)

(

14,076,207

)

Shares

outstanding,

end

of

period

55,567,599

61,063,089

22,928,931

40,608,465

Statements

of

Changes

in

Net

Assets

(Continued)

132

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

2,244,321

$

7,925,612

$

1,128,534

$

5,802,670

Net

realized

gain

(loss)

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

(

1,128,737

)

(

6,211,325

)

(

6,016,831

)

(

5,088,799

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

42,693,831

)

(

18,488,404

)

(

30,979,629

)

(

15,294,958

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

41,578,247

)

(

16,774,117

)

(

35,867,926

)

(

14,581,087

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

1,291,631

)

(

2,139,990

)

(

1,151,867

)

(

884,434

)

Class

N

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

(

120,637

)

(

193,368

)

(

93,126

)

(

94,743

)

Class

R6

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

(

6,615,889

)

(

8,221,394

)

(

4,746,167

)

(

5,027,138

)

Total

distributions

(

8,028,157

)

(

10,554,752

)

(

5,991,160

)

(

6,006,315

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

9,475,720

26,409,442

10,360,886

29,208,136

Reinvestment

of

distributions

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

1,289,616

2,135,307

1,151,867

884,434

Cost

of

shares

redeemed

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

(

19,890,271

)

(

56,350,552

)

(

14,082,810

)

(

15,070,134

)

Net

increase

(decrease)

from

capital

transactions

(

9,124,935

)

(

27,805,803

)

(

2,570,057

)

15,022,436

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

838,724

1,117,601

5,222,312

1,055,493

Reinvestment

of

distributions

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

119,425

192,003

93,126

94,743

Cost

of

shares

redeemed

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

(

912,202

)

(

3,432,493

)

(

5,721,760

)

(

2,235,536

)

Net

increase

(decrease)

from

capital

transactions

45,947

(

2,122,889

)

(

406,322

)

(

1,085,300

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

24,895,968

48,846,761

22,011,249

33,831,342

Reinvestment

of

distributions

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

6,524,144

8,108,462

4,694,020

4,976,491

Cost

of

shares

redeemed

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

(

41,678,582

)

(

146,764,111

)

(

44,355,445

)

(

112,987,983

)

Net

increase

(decrease)

from

capital

transactions

(

10,258,470

)

(

89,808,888

)

(

17,650,176

)

(

74,180,150

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

19,337,458

)

(

119,737,580

)

(

20,626,555

)

(

60,243,014

)

Total

increase

(decrease)

in

net

assets

(

68,943,862

)

(

147,066,449

)

(

62,485,641

)

(

80,830,416

)

NET

ASSETS:

Beginning

of

period

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

272,340,504

419,406,953

227,786,840

308,617,256

End

of

period

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

$

203,396,642

$

272,340,504

$

165,301,199

$

227,786,840

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

133

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

4,539,084

7,029,983

5,019,914

3,431,269

Shares

sold

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

928,992

2,518,735

1,117,590

3,074,691

Shares

issued

on

reinvestment

of

distributions

...........

111,655

216,782

113,150

98,270

Shares

redeemed

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

(

1,800,496

)

(

5,226,416

)

(

1,474,708

)

(

1,584,316

)

Shares

outstanding,

end

of

period

3,779,235

4,539,084

4,775,946

5,019,914

CLASS

N

Shares

outstanding,

beginning

of

period

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

386,367

587,720

410,943

522,910

Shares

sold

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

93,127

104,665

548,258

111,531

Shares

issued

on

reinvestment

of

distributions

...........

10,349

19,493

9,130

10,515

Shares

redeemed

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

(

95,889

)

(

325,511

)

(

606,143

)

(

234,013

)

Shares

outstanding,

end

of

period

393,954

386,367

362,188

410,943

CLASS

R6

Shares

outstanding,

beginning

of

period

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

19,726,567

28,081,392

18,593,520

26,340,267

Shares

sold

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

2,693,215

4,601,367

2,537,828

3,536,675

Shares

issued

on

reinvestment

of

distributions

...........

565,841

824,031

460,650

552,943

Shares

redeemed

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

(

3,908,663

)

(

13,780,223

)

(

5,098,886

)

(

11,836,365

)

Shares

outstanding,

end

of

period

19,076,960

19,726,567

16,493,112

18,593,520

Statements

of

Changes

in

Net

Assets

(Continued)

134

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

2,139,385

$

3,845,663

$

65,846

$

230,446

Net

realized

gain

(loss)

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

(

9,131,746

)

2,072,355

(

739,407

)

(

605,661

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

41,263,191

)

(

13,090,957

)

(

5,054,748

)

(

4,568,178

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

48,255,552

)

(

7,172,939

)

(

5,728,309

)

(

4,943,393

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

1,710,786

)

(

1,097,266

)

(

161,538

)

(

888,512

)

Class

N

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

(

20,709

)

(

9,211

)

(

21,938

)

(

156,965

)

Class

R6

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

(

4,245,345

)

(

2,768,055

)

(

22,110

)

(

102,358

)

Total

distributions

(

5,976,840

)

(

3,874,532

)

(

205,586

)

(

1,147,835

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

10,607,108

34,012,624

4,400,646

9,706,331

Reinvestment

of

distributions

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

1,708,822

1,092,204

161,538

888,512

Cost

of

shares

redeemed

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

(

21,120,774

)

(

26,498,029

)

(

5,264,818

)

(

13,799,453

)

Net

increase

(decrease)

from

capital

transactions

(

8,804,844

)

8,606,799

(

702,634

)

(

3,204,610

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

225,068

331,491

495,530

3,251,071

Reinvestment

of

distributions

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

20,709

9,211

21,938

156,965

Cost

of

shares

redeemed

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

(

188,450

)

(

1,222,576

)

(

766,938

)

(

5,282,013

)

Net

increase

(decrease)

from

capital

transactions

57,327

(

881,874

)

(

249,470

)

(

1,873,977

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

35,770,387

62,099,679

11,500

2,200,000

Reinvestment

of

distributions

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

4,140,296

2,759,941

22,110

102,358

Cost

of

shares

redeemed

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

(

62,012,592

)

(

48,750,879

)

(

10,509

)

(

2,214,265

)

Net

increase

(decrease)

from

capital

transactions

(

22,101,909

)

16,108,741

23,101

88,093

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

30,849,426

)

23,833,666

(

929,003

)

(

4,990,494

)

Total

increase

(decrease)

in

net

assets

(

85,081,818

)

12,786,195

(

6,862,898

)

(

11,081,722

)

NET

ASSETS:

Beginning

of

period

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

313,865,999

301,079,804

23,752,939

34,834,661

End

of

period

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

$

228,784,181

$

313,865,999

$

16,890,041

$

23,752,939

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

135

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

7,096,418

6,377,943

1,675,394

1,995,387

Shares

sold

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

880,309

2,818,483

503,396

915,815

Shares

issued

on

reinvestment

of

distributions

...........

123,292

96,741

13,854

91,411

Shares

redeemed

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

(

1,785,893

)

(

2,196,749

)

(

575,835

)

(

1,327,219

)

Shares

outstanding,

end

of

period

6,314,126

7,096,418

1,616,809

1,675,394

CLASS

N

Shares

outstanding,

beginning

of

period

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

98,233

167,713

334,038

506,568

Shares

sold

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

17,730

26,412

59,265

298,773

Shares

issued

on

reinvestment

of

distributions

...........

1,491

814

1,881

16,149

Shares

redeemed

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

(

14,621

)

(

96,706

)

(

81,134

)

(

487,452

)

Shares

outstanding,

end

of

period

102,833

98,233

314,050

334,038

CLASS

R6

Shares

outstanding,

beginning

of

period

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

16,736,861

15,366,286

207,703

198,460

Shares

sold

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

2,995,028

5,071,394

991

196,779

Shares

issued

on

reinvestment

of

distributions

...........

298,507

244,459

1,895

10,520

Shares

redeemed

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

(

5,395,560

)

(

3,945,278

)

(

991

)

(

198,056

)

Shares

outstanding,

end

of

period

14,634,836

16,736,861

209,598

207,703

Statements

of

Changes

in

Net

Assets

(Continued)

136

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

INTERNATIONAL

MULTI-

STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

1,908,732

$

5,240,146

$

1,895,622

$

7,866,173

Net

realized

gain

(loss)

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

(

5,319,610

)

86,746

(

10,004,591

)

(

1,075,275

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

29,577,452

)

(

9,583,819

)

(

49,236,488

)

(

24,957,330

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

32,988,330

)

(

4,256,927

)

(

57,345,457

)

(

18,166,432

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

823,802

)

(

560,998

)

(

849,596

)

(

468,070

)

Class

N

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

(

29,987

)

(

26,702

)

(

14,694

)

(

19,782

)

Class

R6

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

(

4,635,160

)

(

3,512,605

)

(

8,051,401

)

(

6,711,111

)

Total

distributions

(

5,488,949

)

(

4,100,305

)

(

8,915,691

)

(

7,198,963

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

8,197,205

16,496,548

9,362,810

31,578,334

Reinvestment

of

distributions

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

823,802

560,998

847,261

457,476

Cost

of

shares

redeemed

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

(

8,962,235

)

(

15,106,987

)

(

9,995,475

)

(

10,833,640

)

Net

increase

(decrease)

from

capital

transactions

58,772

1,950,559

214,596

21,202,170

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

125,824

196,357

75,465

173,890

Reinvestment

of

distributions

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

29,987

26,702

14,694

19,782

Cost

of

shares

redeemed

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

(

343,886

)

(

478,074

)

(

207,163

)

(

1,078,564

)

Net

increase

(decrease)

from

capital

transactions

(

188,075

)

(

255,015

)

(

117,004

)

(

884,892

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

63,642,951

41,431,180

34,658,011

29,626,938

Reinvestment

of

distributions

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

4,532,340

3,506,710

7,997,480

6,706,777

Cost

of

shares

redeemed

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

(

46,865,671

)

(

39,785,578

)

(

25,748,255

)

(

20,702,236

)

Net

increase

(decrease)

from

capital

transactions

21,309,620

5,152,312

16,907,236

15,631,479

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

21,180,317

6,847,856

17,004,828

35,948,757

Total

increase

(decrease)

in

net

assets

(

17,296,962

)

(

1,509,376

)

(

49,256,320

)

10,583,362

NET

ASSETS:

Beginning

of

period

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

190,162,274

191,671,650

342,594,268

332,010,906

End

of

period

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

$

172,865,312

$

190,162,274

$

293,337,948

$

342,594,268

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

137

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

INTERNATIONAL

MULTI-

STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

2,768,517

2,596,584

3,766,704

1,632,300

Shares

sold

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

843,715

1,632,264

970,301

3,206,157

Shares

issued

on

reinvestment

of

distributions

...........

74,687

60,064

80,845

49,085

Shares

redeemed

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

(

969,449

)

(

1,520,395

)

(

1,052,057

)

(

1,120,838

)

Shares

outstanding,

end

of

period

2,717,470

2,768,517

3,765,793

3,766,704

CLASS

N

Shares

outstanding,

beginning

of

period

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

115,900

140,413

69,305

158,387

Shares

sold

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

13,218

19,240

8,332

17,624

Shares

issued

on

reinvestment

of

distributions

...........

2,721

2,862

1,395

2,113

Shares

redeemed

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

(

34,771

)

(

46,615

)

(

22,470

)

(

108,819

)

Shares

outstanding,

end

of

period

97,068

115,900

56,562

69,305

CLASS

R6

Shares

outstanding,

beginning

of

period

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

15,125,392

14,573,362

31,270,615

29,565,703

Shares

sold

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

7,401,674

4,108,613

3,953,804

3,060,090

Shares

issued

on

reinvestment

of

distributions

...........

410,538

375,049

763,118

718,840

Shares

redeemed

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

(

5,365,455

)

(

3,931,632

)

(

2,880,662

)

(

2,074,018

)

Shares

outstanding,

end

of

period

17,572,149

15,125,392

33,106,875

31,270,615

Statements

of

Changes

in

Net

Assets

(Continued)

138

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

5,012,243

$

11,227,552

$

779,958

$

1,329,537

Net

realized

gain

(loss)

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

42,727,077

86,793,250

(

1,635,742

)

14,350,993

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

155,389,450

)

(

104,295,454

)

(

47,012,644

)

(

57,892,067

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

107,650,130

)

(

6,274,652

)

(

47,868,428

)

(

42,211,537

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

63,057,396

)

(

72,200,119

)

(

8,734,431

)

(

53,206,130

)

Class

N

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

(

5,693,899

)

(

5,900,343

)

(

195,066

)

(

445,612

)

Class

R6

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

(

19,940,890

)

(

9,607,587

)

(

2,547,311

)

(

3,791,401

)

Total

distributions

(

88,692,185

)

(

87,708,049

)

(

11,476,808

)

(

57,443,143

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

56,631,417

208,971,708

14,359,983

53,263,679

Reinvestment

of

distributions

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

62,672,243

71,979,907

8,728,270

53,171,180

Cost

of

shares

redeemed

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

(

145,683,194

)

(

509,906,777

)

(

36,563,664

)

(

159,487,211

)

Net

increase

(decrease)

from

capital

transactions

(

26,379,534

)

(

228,955,162

)

(

13,475,411

)

(

53,052,352

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

5,694,736

16,267,408

1,368,183

2,912,333

Reinvestment

of

distributions

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

5,693,193

5,899,882

195,066

445,611

Cost

of

shares

redeemed

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

(

19,785,919

)

(

26,220,425

)

(

566,572

)

(

1,032,215

)

Net

increase

(decrease)

from

capital

transactions

(

8,397,990

)

(

4,053,135

)

996,677

2,325,729

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

17,685,712

123,089,068

11,601,622

42,869,795

Reinvestment

of

distributions

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

19,918,037

9,584,078

2,547,311

3,789,230

Cost

of

shares

redeemed

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

(

53,819,809

)

(

23,523,121

)

(

8,632,931

)

(

6,572,867

)

Net

increase

(decrease)

from

capital

transactions

(

16,216,060

)

109,150,025

5,516,002

40,086,158

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

50,993,584

)

(

123,858,272

)

(

6,962,732

)

(

10,640,465

)

Total

increase

(decrease)

in

net

assets

(

247,335,899

)

(

217,840,973

)

(

66,307,968

)

(

110,295,145

)

NET

ASSETS:

Beginning

of

period

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

947,968,681

1,165,809,654

260,366,902

370,662,047

End

of

period

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

$

700,632,782

$

947,968,681

$

194,058,934

$

260,366,902

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

139

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

30,048,212

39,475,038

10,802,837

12,775,107

Shares

sold

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

2,667,702

9,718,404

871,925

2,827,525

Shares

issued

on

reinvestment

of

distributions

...........

2,901,493

3,924,750

448,754

3,319,050

Shares

redeemed

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

(

6,890,069

)

(

23,069,980

)

(

2,024,064

)

(

8,118,845

)

Shares

outstanding,

end

of

period

28,727,338

30,048,212

10,099,452

10,802,837

CLASS

N

Shares

outstanding,

beginning

of

period

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

2,998,876

3,100,311

235,513

104,431

Shares

sold

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

282,001

762,646

92,813

154,904

Shares

issued

on

reinvestment

of

distributions

...........

263,208

321,169

10,019

27,764

Shares

redeemed

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

(

919,279

)

(

1,185,250

)

(

30,968

)

(

51,586

)

Shares

outstanding,

end

of

period

2,624,806

2,998,876

307,377

235,513

CLASS

R6

Shares

outstanding,

beginning

of

period

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

8,974,959

4,088,262

2,924,829

780,973

Shares

sold

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

832,512

5,498,392

721,863

2,268,772

Shares

issued

on

reinvestment

of

distributions

...........

925,559

524,293

131,508

237,420

Shares

redeemed

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

(

2,619,484

)

(

1,135,988

)

(

497,489

)

(

362,336

)

Shares

outstanding,

end

of

period

8,113,546

8,974,959

3,280,711

2,924,829

Statements

of

Changes

in

Net

Assets

(Continued)

140

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

2,881,801

$

8,887,698

$

1,245,434

$

2,627,584

Net

realized

gain

(loss)

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

(

5,536,600

)

(

16,063,904

)

(

770,568

)

3,817,562

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

49,782,718

)

(

8,100,306

)

(

29,191,604

)

(

5,952,489

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

52,437,517

)

(

15,276,512

)

(

28,716,738

)

492,657

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

6,385,255

)

(

5,928,748

)

(

2,749,561

)

(

931,706

)

Class

N

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

(

809,276

)

(

566,839

)

(

112,923

)

(

63,962

)

Class

R6

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

(

3,320,455

)

(

1,236,921

)

(

2,551,722

)

(

922,374

)

Total

distributions

(

10,514,986

)

(

7,732,508

)

(

5,414,206

)

(

1,918,042

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

29,386,279

80,801,406

22,729,082

30,205,232

Reinvestment

of

distributions

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

6,308,931

5,922,874

2,746,119

926,582

Cost

of

shares

redeemed

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

(

45,519,092

)

(

146,355,156

)

(

21,247,867

)

(

22,859,210

)

Net

increase

(decrease)

from

capital

transactions

(

9,823,882

)

(

59,630,876

)

4,227,334

8,272,604

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

3,729,985

9,323,125

637,213

3,335,552

Reinvestment

of

distributions

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

809,238

566,839

112,923

63,962

Cost

of

shares

redeemed

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

(

5,889,895

)

(

11,286,951

)

(

1,004,094

)

(

10,394,463

)

Net

increase

(decrease)

from

capital

transactions

(

1,350,672

)

(

1,396,987

)

(

253,958

)

(

6,994,949

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

15,477,631

78,971,586

8,584,334

17,591,041

Reinvestment

of

distributions

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

3,320,455

1,236,921

2,542,713

922,374

Cost

of

shares

redeemed

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

(

27,202,911

)

(

13,252,960

)

(

10,068,619

)

(

16,054,920

)

Net

increase

(decrease)

from

capital

transactions

(

8,404,825

)

66,955,547

1,058,428

2,458,495

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

19,579,379

)

5,927,684

5,031,804

3,736,150

Total

increase

(decrease)

in

net

assets

(

82,531,882

)

(

17,081,336

)

(

29,099,140

)

2,310,765

NET

ASSETS:

Beginning

of

period

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

435,991,841

453,073,177

230,722,327

228,411,562

End

of

period

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

$

353,459,959

$

435,991,841

$

201,623,187

$

230,722,327

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

141

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

18,029,990

22,041,901

5,057,125

4,686,066

Shares

sold

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

2,008,286

5,646,060

988,964

1,373,586

Shares

issued

on

reinvestment

of

distributions

...........

405,719

454,557

111,179

47,444

Shares

redeemed

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

(

3,159,089

)

(

10,112,528

)

(

980,933

)

(

1,049,971

)

Shares

outstanding,

end

of

period

17,284,906

18,029,990

5,176,335

5,057,125

CLASS

N

Shares

outstanding,

beginning

of

period

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

2,455,631

2,564,776

247,576

566,003

Shares

sold

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

265,790

645,947

29,641

154,337

Shares

issued

on

reinvestment

of

distributions

...........

52,075

43,536

4,585

3,285

Shares

redeemed

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

(

400,591

)

(

798,628

)

(

44,681

)

(

476,049

)

Shares

outstanding,

end

of

period

2,372,905

2,455,631

237,121

247,576

CLASS

R6

Shares

outstanding,

beginning

of

period

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

8,642,014

4,048,617

4,372,234

4,240,403

Shares

sold

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

1,121,244

5,433,386

352,511

815,846

Shares

issued

on

reinvestment

of

distributions

...........

213,947

95,148

103,153

47,301

Shares

redeemed

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

(

1,912,778

)

(

935,137

)

(

465,966

)

(

731,316

)

Shares

outstanding,

end

of

period

8,064,427

8,642,014

4,361,932

4,372,234

Statements

of

Changes

in

Net

Assets

(Continued)

142

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

150,548

$

265,974

$

775,641

$

2,434,188

Net

realized

gain

(loss)

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

(

1,247,437

)

646,773

(

3,191,427

)

(

5,090,250

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

9,104,602

)

(

8,501,718

)

(

12,180,275

)

(

2,629,517

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

10,201,491

)

(

7,588,971

)

(

14,596,061

)

(

5,285,579

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

954,074

)

(

4,001,037

)

(

1,213,023

)

(

927,157

)

Class

N

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

(

47,678

)

(

262,280

)

(

64,892

)

(

146,595

)

Class

R6

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

(

6,024

)

(

16,756

)

(

1,470,353

)

(

1,201,377

)

Total

distributions

(

1,007,776

)

(

4,280,073

)

(

2,748,268

)

(

2,275,129

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

6,264,049

12,666,621

12,368,347

19,505,173

Reinvestment

of

distributions

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

953,913

4,001,037

1,212,789

927,157

Cost

of

shares

redeemed

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

(

10,871,226

)

(

17,878,395

)

(

17,680,412

)

(

23,861,121

)

Net

increase

(decrease)

from

capital

transactions

(

3,653,264

)

(

1,210,737

)

(

4,099,276

)

(

3,428,791

)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

418,719

2,289,484

275,676

2,262,242

Reinvestment

of

distributions

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

47,678

262,280

64,892

146,595

Cost

of

shares

redeemed

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

(

537,191

)

(

4,373,452

)

(

912,180

)

(

6,530,671

)

Net

increase

(decrease)

from

capital

transactions

(

70,794

)

(

1,821,688

)

(

571,612

)

(

4,121,834

)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

11,500

104,981

5,837,794

21,970,735

Reinvestment

of

distributions

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

6,024

16,756

1,467,379

1,201,377

Cost

of

shares

redeemed

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

(

90,119

)

(

4,754

)

(

10,415,489

)

(

26,517,708

)

Net

increase

(decrease)

from

capital

transactions

(

72,595

)

116,983

(

3,110,316

)

(

3,345,596

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

3,796,653

)

(

2,915,442

)

(

7,781,204

)

(

10,896,221

)

Total

increase

(decrease)

in

net

assets

(

15,005,920

)

(

14,784,486

)

(

25,125,533

)

(

18,456,929

)

NET

ASSETS:

Beginning

of

period

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

53,963,943

68,748,429

110,662,538

129,119,467

End

of

period

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

$

38,958,023

$

53,963,943

$

85,537,005

$

110,662,538

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

143

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

2,769,248

2,783,889

3,896,248

4,221,232

Shares

sold

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

381,429

743,368

989,513

1,564,618

Shares

issued

on

reinvestment

of

distributions

...........

48,275

256,971

88,203

81,116

Shares

redeemed

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

(

694,984

)

(

1,014,980

)

(

1,481,140

)

(

1,970,718

)

Shares

outstanding,

end

of

period

2,503,968

2,769,248

3,492,824

3,896,248

CLASS

N

Shares

outstanding,

beginning

of

period

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

159,765

255,490

243,411

567,899

Shares

sold

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

28,091

129,115

22,946

184,515

Shares

issued

on

reinvestment

of

distributions

...........

2,429

16,954

4,740

12,893

Shares

redeemed

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

(

33,198

)

(

241,794

)

(

74,710

)

(

521,896

)

Shares

outstanding,

end

of

period

157,087

159,765

196,387

243,411

CLASS

R6

Shares

outstanding,

beginning

of

period

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

16,516

10,115

4,257,531

4,539,868

Shares

sold

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

584

5,598

442,554

1,803,368

Shares

issued

on

reinvestment

of

distributions

...........

305

1,078

107,108

105,476

Shares

redeemed

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

(

6,301

)

(

275

)

(

898,070

)

(

2,191,181

)

Shares

outstanding,

end

of

period

11,104

16,516

3,909,123

4,257,531

Statements

of

Changes

in

Net

Assets

(Continued)

144

AQR

Funds

|

Semi-Annual

Reportt

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

43,171,459

$

50,462,928

$

1,868,147

$

5,870,225

Net

realized

gain

(loss)

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

(

35,846,758

)

(

1,896,669

)

(

4,022,913

)

(

1,663,902

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

847,245,173

)

325,387,650

(

27,541,466

)

(

2,215,514

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

839,920,472

)

373,953,909

(

29,696,232

)

1,990,809

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

42,653,314

)

(

26,688,622

)

(

4,509,399

)

(

3,814,503

)

Class

N

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

(

3,352,374

)

(

3,849,447

)

(

163,390

)

(

45,275

)

Class

R6

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

(

17,886,160

)

(

5,023,387

)

(

1,379,852

)

(

854,388

)

Total

distributions

(

63,891,848

)

(

35,561,456

)

(

6,052,641

)

(

4,714,166

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

1,216,845,218

1,972,562,955

19,266,869

83,305,651

Reinvestment

of

distributions

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

41,906,995

26,229,527

4,503,368

3,814,503

Cost

of

shares

redeemed

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

(

773,987,022

)

(

475,596,047

)

(

101,094,575

)

(

56,301,703

)

Net

increase

(decrease)

from

capital

transactions

484,765,191

1,523,196,435

(

77,324,338

)

30,818,451

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

80,623,046

235,713,923

6,419,916

5,348,176

Reinvestment

of

distributions

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

3,349,208

3,846,554

163,390

45,275

Cost

of

shares

redeemed

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

(

113,778,374

)

(

188,127,052

)

(

3,683,257

)

(

2,630,209

)

Net

increase

(decrease)

from

capital

transactions

(

29,806,120

)

51,433,425

2,900,049

2,763,242

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

500,514,943

1,093,165,453

80,114,469

14,332,783

Reinvestment

of

distributions

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

17,775,808

4,786,377

1,379,852

854,388

Cost

of

shares

redeemed

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

(

202,286,153

)

(

203,426,938

)

(

24,641,182

)

(

12,042,134

)

Net

increase

(decrease)

from

capital

transactions

316,004,598

894,524,892

56,853,139

3,145,037

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

770,963,669

2,469,154,752

(

17,571,150

)

36,726,730

Total

increase

(decrease)

in

net

assets

(

132,848,651

)

2,807,547,205

(

53,320,023

)

34,003,373

NET

ASSETS:

Beginning

of

period

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

4,928,462,560

2,120,915,355

240,941,958

206,938,585

End

of

period

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

$

4,795,613,909

$

4,928,462,560

$

187,621,935

$

240,941,958

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

145

AQR

Funds

|

Semi-Annual

Reportt

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

142,901,883

70,944,959

15,447,857

12,996,510

Shares

sold

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

53,786,621

93,334,532

1,619,452

6,646,937

Shares

issued

on

reinvestment

of

distributions

...........

1,765,248

1,404,150

332,597

325,470

Shares

redeemed

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

(

36,319,736

)

(

22,781,758

)

(

7,755,505

)

(

4,521,060

)

Shares

outstanding,

end

of

period

162,134,016

142,901,883

9,644,401

15,447,857

CLASS

N

Shares

outstanding,

beginning

of

period

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

17,129,740

14,651,012

533,988

311,098

Shares

sold

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

3,518,383

11,304,205

479,331

420,572

Shares

issued

on

reinvestment

of

distributions

...........

141,198

206,139

11,654

3,729

Shares

redeemed

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

(

5,188,448

)

(

9,031,616

)

(

266,701

)

(

201,411

)

Shares

outstanding,

end

of

period

15,600,873

17,129,740

758,272

533,988

CLASS

R6

Shares

outstanding,

beginning

of

period

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

55,947,519

14,618,977

2,406,271

2,148,850

Shares

sold

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

22,209,247

50,596,500

6,174,060

1,138,497

Shares

issued

on

reinvestment

of

distributions

...........

749,718

256,642

101,985

72,962

Shares

redeemed

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

(

9,165,088

)

(

9,524,600

)

(

2,210,738

)

(

954,038

)

Shares

outstanding,

end

of

period

69,741,396

55,947,519

6,471,578

2,406,271

Statements

of

Changes

in

Net

Assets

(Continued)

146

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

367,853

$

1,785,913

$

1,806,816

$

5,579,905

Net

realized

gain

(loss)

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

(

4,951,326

)

(

1,062,812

)

(

9,695,044

)

(

12,207,143

)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(

9,941,595

)

(

4,343,649

)

(

43,156,622

)

(

15,892,533

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

14,525,068

)

(

3,620,548

)

(

51,044,850

)

(

22,519,771

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

1,676,149

)

(

1,307,483

)

(

2,836,271

)

(

3,432,665

)

Class

N

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

(

123,087

)

(

170,906

)

(

69,554

)

(

125,954

)

Class

R6

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

(

4,505

)

(

3,638

)

(

1,706,786

)

(

6,749,720

)

Total

distributions

(

1,803,741

)

(

1,482,027

)

(

4,612,611

)

(

10,308,339

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

10,284,204

19,466,019

6,374,487

125,296,360

Reinvestment

of

distributions

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

1,676,149

1,307,483

2,834,532

3,432,610

Cost

of

shares

redeemed

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

(

12,264,349

)

(

17,450,795

)

(

190,932,663

)

(

126,870,718

)

Net

increase

(decrease)

from

capital

transactions

(

303,996

)

3,322,707

(

181,723,644

)

1,858,252

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

662,229

4,021,685

1,458,306

4,112,047

Reinvestment

of

distributions

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

123,087

170,906

69,554

125,954

Cost

of

shares

redeemed

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

(

1,899,161

)

(

6,819,403

)

(

2,038,022

)

(

1,572,315

)

Net

increase

(decrease)

from

capital

transactions

(

1,113,845

)

(

2,626,812

)

(

510,162

)

2,665,686

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

11,500

—

188,405,094

5,606,419

Reinvestment

of

distributions

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

4,505

3,638

1,706,786

6,749,720

Cost

of

shares

redeemed

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

(

87,868

)

—

(

5,940,452

)

(

59,698,432

)

Net

increase

(decrease)

from

capital

transactions

(

71,863

)

3,638

184,171,428

(

47,342,293

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

1,489,704

)

699,533

1,937,622

(

42,818,355

)

Total

increase

(decrease)

in

net

assets

(

17,818,513

)

(

4,403,042

)

(

53,719,839

)

(

75,646,465

)

NET

ASSETS:

Beginning

of

period

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

82,263,104

86,666,146

298,852,991

374,499,456

End

of

period

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

$

64,444,591

$

82,263,104

$

245,133,152

$

298,852,991

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

147

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

8,295,543

7,937,988

22,854,497

21,833,772

Shares

sold

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

1,257,397

2,113,972

745,163

16,079,422

Shares

issued

on

reinvestment

of

distributions

...........

177,935

147,738

321,740

467,022

Shares

redeemed

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

(

1,464,993

)

(

1,904,155

)

(

21,420,189

)

(

15,525,719

)

Shares

outstanding,

end

of

period

8,265,882

8,295,543

2,501,211

22,854,497

CLASS

N

Shares

outstanding,

beginning

of

period

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

723,242

1,011,849

562,804

234,167

Shares

sold

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

73,321

430,692

183,272

509,744

Shares

issued

on

reinvestment

of

distributions

...........

12,729

18,843

7,958

17,254

Shares

redeemed

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

(

241,450

)

(

738,142

)

(

302,462

)

(

198,361

)

Shares

outstanding,

end

of

period

567,842

723,242

451,572

562,804

CLASS

R6

Shares

outstanding,

beginning

of

period

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

20,983

20,571

12,930,642

18,868,677

Shares

sold

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

1,234

—

21,086,636

662,076

Shares

issued

on

reinvestment

of

distributions

...........

480

412

192,206

910,893

Shares

redeemed

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

(

9,381

)

—

(

779,511

)

(

7,511,004

)

Shares

outstanding,

end

of

period

13,316

20,983

33,429,973

12,930,642

Statements

of

Changes

in

Net

Assets

(Continued)

148

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

1,231,233

$

8,649,829

Net

realized

gain

(loss)

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

(

3,302,802

)

(

18,818,985

)

Net

change

in

unrealized

appreciation

(depreciation)

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

(

35,214,641

)

(

19,540,564

)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(

37,286,210

)

(

29,709,720

)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(

5,428,873

)

(

9,369,303

)

Class

N

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

(

222,825

)

(

212,664

)

Class

R6

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

(

1,327,220

)

(

1,034,678

)

Total

distributions

(

6,978,918

)

(

10,616,645

)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

Proceeds

from

shares

sold

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

17,239,886

67,537,610

Reinvestment

of

distributions

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

4,720,831

8,627,660

Cost

of

shares

redeemed

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

(

59,682,378

)

(

241,429,553

)

Net

increase

(decrease)

from

capital

transactions

(

37,721,661

)

(

165,264,283

)

CLASS

N

—

—

Proceeds

from

shares

sold

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

71,542

178,831

Reinvestment

of

distributions

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

41,475

117,652

Cost

of

shares

redeemed

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

(

489,442

)

(

4,341,967

)

Net

increase

(decrease)

from

capital

transactions

(

376,425

)

(

4,045,484

)

CLASS

R6

—

—

Proceeds

from

shares

sold

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

7,090,833

6,728,314

Reinvestment

of

distributions

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

1,327,220

1,034,678

Cost

of

shares

redeemed

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

(

5,329,585

)

(

8,583,463

)

Net

increase

(decrease)

from

capital

transactions

3,088,468

(

820,471

)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(

35,009,618

)

(

170,130,238

)

Total

increase

(decrease)

in

net

assets

(

79,274,746

)

(

210,456,603

)

NET

ASSETS:

Beginning

of

period

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

238,884,236

449,340,839

End

of

period

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

$

159,609,490

$

238,884,236

$

—

$

—

Statements

of

Changes

in

Net

Assets

149

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

20,115,445

37,314,673

Shares

sold

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

2,016,652

7,067,114

Shares

issued

on

reinvestment

of

distributions

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

470,202

972,679

Shares

redeemed

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

(

6,430,179

)

(

25,239,021

)

Shares

outstanding,

end

of

period

16,172,120

20,115,445

CLASS

N

Shares

outstanding,

beginning

of

period

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

815,866

1,219,218

Shares

sold

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

8,675

18,036

Shares

issued

on

reinvestment

of

distributions

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

4,019

12,915

Shares

redeemed

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

(

52,280

)

(

434,303

)

Shares

outstanding,

end

of

period

776,280

815,866

CLASS

R6

Shares

outstanding,

beginning

of

period

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

3,921,532

3,993,723

Shares

sold

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

677,684

659,427

Shares

issued

on

reinvestment

of

distributions

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

123,462

109,143

Shares

redeemed

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

(

534,286

)

(

840,761

)

Shares

outstanding,

end

of

period

4,188,392

3,921,532

150

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

LARGE

CAP

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

16.84

0.11

(2.66)

(2.55)

(0.21)

(0.71)

(0.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.21

7

(1.06)

(0.85)

(0.27)

(0.87)

(1.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.23

2.13

2.36

(0.22)

(0.18)

(0.40)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.22

2.84

3.06

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.19

0.68

0.87

(0.12)

(0.00)

8

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.36

0.16

(0.15)

0.01

(0.06)

(0.06)

(0.12)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

16.76

0.09

(2.69)

(2.60)

—

(0.71)

(0.71)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.74

0.17

7

(1.06)

(0.89)

(0.22)

(0.87)

(1.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.79

0.18

2.13

2.31

(0.18)

(0.18)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.94

0.18

2.82

3.00

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.16

0.68

0.84

(0.09)

(0.00)

8

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.33

0.13

(0.16)

(0.03)

(0.05)

(0.06)

(0.11)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

16.83

0.11

(2.64)

(2.53)

(0.23)

(0.71)

(0.94)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.23

7

(1.07)

(0.84)

(0.29)

(0.87)

(1.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.25

2.13

2.38

(0.24)

(0.18)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.24

2.84

3.08

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.21

0.68

0.89

(0.14)

(0.00)

8

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.36

0.18

(0.17)

0.01

(0.06)

(0.06)

(0.12)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

12.33

0.04

(3.13)

(3.09)

(0.12)

(0.01)

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.88

0.11

7

(2.14)

(2.03)

(0.08)

(1.44)

(1.52)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.09

0.10

1.27

1.37

(0.12)

(1.46)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.96

0.12

9

2.39

2.51

(0.14)

(0.24)

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.30

0.13

1.56

1.69

(0.03)

(0.00)

8

(0.03)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.34

0.12

10

0.02

11

0.14

(0.03)

(0.15)

(0.18)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

12.29

0.02

(3.13)

(3.11)

(0.08)

(0.01)

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.08

7

(2.12)

(2.04)

(0.05)

(1.44)

(1.49)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.01

0.06

1.28

1.34

(0.07)

(1.46)

(1.53)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.90

0.08

9

2.37

2.45

(0.10)

(0.24)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.25

0.10

1.55

1.65

(0.00)

8

(0.00)

8

—

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.30

0.09

10

0.01

11

0.10

(0.00)

8

(0.15)

(0.15)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

12.35

0.04

(3.13)

(3.09)

(0.13)

(0.01)

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.91

0.13

7

(2.15)

(2.02)

(0.10)

(1.44)

(1.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.11

0.11

1.29

1.40

(0.14)

(1.46)

(1.60)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.98

0.13

9

2.39

2.52

(0.15)

(0.24)

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.31

0.16

1.55

1.71

(0.04)

(0.00)

8

(0.04)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.35

0.15

10

0.00

8,11

0.15

(0.04)

(0.15)

(0.19)

151

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

13.37

(16.35)%

$

197,376

0.46%

0.45%

0.45%

1.25%

24%

$

16.84

(3.55)%

$

361,920

0.44%

0.44%

0.44%

1.29%

7

55%

$

18.83

14.11%

$

507,109

0.44%

0.44%

0.44%

1.28%

64%

$

16.87

22.01%

$

457,339

0.45%

0.44%

0.44%

1.46%

61%

$

14.00

6.61%

$

627,269

0.46%

0.45%

0.45%

1.43%

80%

$

13.25

0.03%

$

490,709

0.54%

0.49%

0.49%

1.17%

59%

$

13.45

(16.45)%

$

9,063

0.71%

0.70%

0.70%

1.11%

24%

$

16.76

(3.84)%

$

57,421

0.70%

0.70%

0.70%

1.02%

7

55%

$

18.74

13.83%

$

71,104

0.70%

0.70%

0.70%

1.02%

64%

$

16.79

21.69%

$

62,679

0.71%

0.70%

0.70%

1.19%

61%

$

13.94

6.40%

$

64,718

0.71%

0.70%

0.70%

1.18%

80%

$

13.19

(0.25)%

$

59,733

0.79%

0.74%

0.74%

0.93%

59%

$

13.36

(16.27)%

$

742,146

0.36%

0.35%

0.35%

1.35%

24%

$

16.83

(3.50)%

$

1,027,712

0.35%

0.35%

0.35%

1.38%

7

55%

$

18.83

14.20%

$

1,366,762

0.35%

0.35%

0.35%

1.37%

64%

$

16.87

22.18%

$

1,246,028

0.36%

0.35%

0.35%

1.54%

61%

$

14.00

6.71%

$

792,665

0.37%

0.35%

0.35%

1.52%

80%

$

13.25

0.07%

$

563,785

0.42%

0.36%

0.36%

1.28%

59%

$

9.11

(25.40)%

$

29,957

0.69%

0.65%

0.65%

0.62%

26%

$

12.33

(11.74)%

$

42,197

0.66%

0.64%

0.64%

0.92%

7

70%

$

15.88

9.18%

$

61,690

0.66%

0.65%

0.64%

0.63%

64%

$

16.09

18.12%

$

55,115

0.69%

0.65%

0.65%

0.79%

9

61%

$

13.96

13.74%

$

45,483

0.75%

0.65%

0.65%

1.00%

96%

$

12.30

1.02%

$

26,634

1.17%

0.68%

0.68%

0.88%

10

228%

$

9.09

(25.57)%

$

4,331

0.94%

0.90%

0.90%

0.35%

26%

$

12.29

(11.94)%

$

8,304

0.92%

0.90%

0.90%

0.66%

7

70%

$

15.82

8.94%

$

7,795

0.92%

0.90%

0.90%

0.38%

64%

$

16.01

17.79%

$

8,624

0.94%

0.90%

0.90%

0.53%

9

61%

$

13.90

13.51%

$

9,733

0.99%

0.90%

0.90%

0.76%

96%

$

12.25

0.72%

$

5,681

1.40%

0.93%

0.93%

0.65%

10

228%

$

9.12

(25.37)%

$

209,009

0.59%

0.55%

0.55%

0.70%

26%

$

12.35

(11.66)%

$

501,656

0.57%

0.55%

0.55%

1.02%

7

70%

$

15.91

9.34%

$

675,945

0.57%

0.55%

0.55%

0.73%

64%

$

16.11

18.17%

$

733,984

0.59%

0.55%

0.55%

0.89%

9

61%

$

13.98

13.90%

$

687,986

0.62%

0.55%

0.55%

1.23%

96%

$

12.31

1.06%

$

9,494

0.96%

0.55%

0.55%

1.17%

10

228%

152

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

11.06

0.09

(2.05)

(1.96)

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.76

0.28

(0.60)

(0.32)

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.95

0.28

(0.18)

0.10

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.23

0.24

1.74

1.98

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.21

0.26

(0.09)

0.17

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

11.47

0.27

10

(1.26)

(0.99)

(0.19)

(0.08)

(0.27)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

11.03

0.08

(2.05)

(1.97)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.73

0.24

(0.59)

(0.35)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.92

0.24

(0.17)

0.07

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.20

0.21

1.75

1.96

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.23

(0.10)

0.13

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

11.44

0.24

10

(1.25)

(1.01)

(0.15)

(0.08)

(0.23)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

11.05

0.10

(2.05)

(1.95)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.75

0.28

(0.59)

(0.31)

(0.39)

—

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.94

0.29

(0.18)

0.11

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.22

0.26

1.73

1.99

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.25

(0.07)

0.18

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

11.47

0.30

10

(1.28)

(0.98)

(0.21)

(0.08)

(0.29)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.47

0.04

(1.63)

(1.59)

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.17

0.24

7

(0.72)

(0.48)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.71

0.15

(0.51)

(0.36)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.95

0.18

1.75

1.93

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.19

0.15

0.81

0.96

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

9.96

0.27

(1.97)

(1.70)

(0.07)

—

(0.07)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.47

0.03

(1.64)

(1.61)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.16

0.19

7

(0.69)

(0.50)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.68

0.16

(0.53)

(0.37)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.93

0.14

1.76

1.90

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.17

0.13

0.81

0.94

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

9.95

0.29

(2.01)

(1.72)

(0.06)

—

(0.06)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.48

0.05

(1.63)

(1.58)

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.19

0.22

7

(0.70)

(0.48)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.72

0.22

(0.56)

(0.34)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.97

0.19

1.74

1.93

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.20

0.16

0.81

0.97

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

9.96

0.45

(2.14)

(1.69)

(0.07)

—

(0.07)

153

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.76

(18.47)%

$

33,112

0.67%

0.60%

0.60%

1.59%

28%

$

11.06

(2.37)%

$

50,189

0.67%

0.60%

0.60%

2.56%

57%

$

11.76

0.81%

$

82,661

0.64%

0.60%

0.60%

2.36%

61%

$

11.95

19.91%

$

76,307

0.65%

0.60%

12

0.60%

12

2.26%

13

55%

$

10.23

1.62%

$

68,288

0.68%

0.59%

0.59%

2.62%

106%

$

10.21

(8.78)%

$

40,047

0.82%

0.64%

0.64%

2.45%

10

236%

$

8.75

(18.53)%

$

3,446

0.92%

0.85%

0.85%

1.43%

28%

$

11.03

(2.62)%

$

4,261

0.92%

0.85%

0.85%

2.25%

57%

$

11.73

0.51%

$

6,892

0.89%

0.85%

0.85%

2.04%

61%

$

11.92

19.69%

$

8,836

0.91%

0.85%

12

0.85%

12

1.95%

13

55%

$

10.20

1.28%

$

8,491

0.93%

0.85%

0.85%

2.32%

106%

$

10.20

(8.92)%

$

4,142

1.06%

0.88%

0.88%

2.19%

10

236%

$

8.75

(18.38)%

$

166,839

0.57%

0.50%

0.50%

1.77%

28%

$

11.05

(2.27)%

$

217,891

0.57%

0.50%

0.50%

2.54%

57%

$

11.75

0.90%

$

329,854

0.54%

0.50%

0.50%

2.44%

61%

$

11.94

20.04%

$

385,126

0.56%

0.50%

12

0.50%

12

2.41%

13

55%

$

10.22

1.71%

$

301,294

0.59%

0.50%

0.50%

2.52%

106%

$

10.20

(8.68)%

$

241,780

0.66%

0.51%

0.51%

2.70%

10

236%

$

7.63

(17.44)%

$

36,464

0.88%

0.75%

0.75%

0.92%

32%

$

9.47

(4.57)%

$

47,542

0.86%

0.74%

0.74%

2.53%

7

66%

$

10.17

(3.48)%

$

34,903

0.87%

0.75%

0.75%

1.33%

60%

$

10.71

22.17%

$

97,264

0.89%

0.75%

0.75%

1.93%

53%

$

8.95

11.97%

$

73,793

0.95%

0.75%

0.75%

1.85%

94%

$

8.19

(17.14)%

$

48,992

1.39%

0.79%

0.79%

2.79%

317%

$

7.64

(17.55)%

$

2,768

1.13%

1.00%

1.00%

0.67%

32%

$

9.47

(4.81)%

$

3,890

1.12%

1.00%

1.00%

1.99%

7

66%

$

10.16

(3.58)%

$

5,311

1.12%

1.00%

1.00%

1.42%

60%

$

10.68

21.82%

$

6,726

1.14%

1.00%

1.00%

1.54%

53%

$

8.93

11.72%

$

7,600

1.20%

1.00%

1.00%

1.64%

94%

$

8.17

(17.34)%

$

4,494

1.61%

1.04%

1.04%

2.98%

317%

$

7.64

(17.35)%

$

126,069

0.78%

0.65%

0.65%

1.02%

32%

$

9.48

(4.54)%

$

176,355

0.77%

0.65%

0.65%

2.31%

7

66%

$

10.19

(3.29)%

$

268,403

0.77%

0.65%

0.65%

2.02%

60%

$

10.72

22.13%

$

222,511

0.79%

0.65%

0.65%

2.01%

53%

$

8.97

12.13%

$

184,112

0.85%

0.65%

0.65%

1.96%

94%

$

8.20

(17.06)%

$

135,503

0.89%

0.65%

0.65%

4.66%

317%

154

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.10

0.09

(2.09)

(2.00)

(0.15)

(0.09)

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.73

0.16

7

(0.62)

(0.46)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.09

0.17

1.62

1.79

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.00

0.16

2.05

2.21

(0.12)

(0.00)

8

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.42

0.15

0.49

0.64

(0.05)

(0.01)

(0.06)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.08

(0.66)

(0.58)

—

—

—

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.11

0.07

(2.10)

(2.03)

(0.12)

(0.09)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.68

0.13

7

(0.60)

(0.47)

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.05

0.14

1.61

1.75

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.97

0.13

2.05

2.18

(0.10)

(0.00)

8

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.40

0.13

0.48

0.61

(0.03)

(0.01)

(0.04)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.06

(0.66)

(0.60)

—

—

—

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.12

0.09

(2.09)

(2.00)

(0.16)

(0.09)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.75

0.17

7

(0.62)

(0.45)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.10

0.18

1.63

1.81

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.01

0.17

2.05

2.22

(0.13)

(0.00)

8

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.42

0.16

0.49

0.65

(0.05)

(0.01)

(0.06)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.08

(0.66)

(0.58)

—

—

—

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.71

0.03

(2.75)

(2.72)

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.91

0.10

7

(1.80)

(1.70)

(0.08)

(0.42)

(0.50)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.03

0.07

1.14

1.21

(0.07)

(0.26)

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.31

0.09

1.74

1.83

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.21

0.12

16

1.04

1.16

(0.06)

—

(0.06)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.05

(0.84)

(0.79)

—

—

—

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.70

0.02

(2.76)

(2.74)

(0.07)

—

(0.07)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.86

0.07

7

(1.78)

(1.71)

(0.03)

(0.42)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.98

0.04

1.14

1.18

(0.04)

(0.26)

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.28

0.05

1.74

1.79

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.20

0.10

16

1.03

1.13

(0.05)

—

(0.05)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.04

(0.84)

(0.80)

—

—

—

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.74

0.04

(2.77)

(2.73)

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.94

0.11

7

(1.80)

(1.69)

(0.09)

(0.42)

(0.51)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.06

0.08

1.14

1.22

(0.08)

(0.26)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.32

0.10

1.76

1.86

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.22

0.12

16

1.04

1.16

(0.06)

—

(0.06)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.06

(0.84)

(0.78)

—

—

—

155

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.86

(15.66)%

$

68,577

0.49%

0.45%

0.45%

1.28%

29%

$

13.10

(3.17)%

$

92,990

0.50%

0.45%

0.45%

1.23%

7

59%

$

13.73

14.86%

$

87,556

0.48%

0.45%

0.45%

1.31%

69%

$

12.09

22.33%

$

64,006

0.53%

0.45%

0.45%

1.44%

77%

$

10.00

6.82%

$

39,964

0.59%

14

0.43%

0.43%

1.57%

173%

$

9.42

(5.80)%

$

2,087

1.66%

14

0.46%

0.46%

1.20%

207%

$

10.87

(15.82)%

$

1,118

0.74%

0.70%

0.70%

1.03%

29%

$

13.11

(3.34)%

$

1,288

0.72%

0.67%

0.67%

1.00%

7

59%

$

13.68

14.57%

$

2,295

0.74%

0.70%

0.70%

1.05%

69%

$

12.05

22.04%

$

2,210

0.78%

0.70%

0.70%

1.20%

77%

$

9.97

6.48%

$

2,165

0.84%

14

0.69%

0.69%

1.34%

173%

$

9.40

(6.00)%

$

135

2.48%

14

0.70%

0.70%

0.99%

207%

$

10.87

(15.63)%

$

159,089

0.39%

0.35%

0.35%

1.38%

29%

$

13.12

(3.06)%

$

219,588

0.40%

0.35%

0.35%

1.33%

7

59%

$

13.75

15.03%

$

211,229

0.39%

0.35%

0.35%

1.41%

69%

$

12.10

22.37%

$

161,560

0.43%

0.35%

0.35%

1.54%

77%

$

10.01

6.95%

$

98,092

0.53%

14

0.35%

0.35%

1.63%

173%

$

9.42

(5.80)%

$

26,703

1.41%

14

0.36%

0.36%

1.33%

207%

$

7.89

(25.73)%

$

12,757

1.23%

0.65%

0.65%

0.58%

28%

$

10.71

(12.76)%

$

17,950

1.28%

0.65%

0.65%

0.94%

7

86%

$

12.91

10.23%

$

25,755

1.06%

0.65%

0.65%

0.56%

80%

$

12.03

17.79%

$

21,257

1.23%

0.65%

0.65%

0.79%

92%

$

10.31

12.64%

$

13,792

1.90%

14

0.64%

0.64%

1.27%

16

179%

$

9.21

(7.90)%

$

1,702

5.66%

14

0.65%

0.65%

0.77%

98%

$

7.89

(25.83)%

$

2,477

1.48%

0.90%

0.90%

0.33%

28%

$

10.70

(12.92)%

$

3,573

1.51%

0.90%

0.90%

0.69%

7

86%

$

12.86

10.00%

$

6,512

1.31%

0.90%

0.90%

0.30%

80%

$

11.98

17.44%

$

5,478

1.47%

0.90%

0.90%

0.48%

92%

$

10.28

12.34%

$

2,970

2.03%

14

0.88%

0.88%

1.05%

16

179%

$

9.20

(8.00)%

$

128

6.53%

14

0.92%

0.92%

0.59%

98%

$

7.90

(25.77)%

$

1,656

1.13%

0.55%

0.55%

0.68%

28%

$

10.74

(12.60)%

$

2,230

1.19%

0.55%

0.55%

1.04%

7

86%

$

12.94

10.30%

$

2,568

0.96%

0.55%

0.55%

0.66%

80%

$

12.06

18.04%

$

2,327

1.13%

0.55%

0.55%

0.90%

92%

$

10.32

12.63%

$

1,973

2.29%

14

0.55%

0.55%

1.26%

16

179%

$

9.22

(7.80)%

$

1,660

6.28%

14

0.57%

0.57%

0.96%

98%

156

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.54

0.10

(1.87)

(1.77)

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.05

0.28

(0.56)

(0.28)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.16

0.25

(0.09)

0.16

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.44

0.23

1.68

1.91

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.40

0.24

(0.08)

11

0.16

(0.12)

—

(0.12)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.18

(0.78)

(0.60)

—

—

—

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.52

0.08

(1.87)

(1.79)

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.01

0.25

(0.55)

(0.30)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.22

(0.09)

0.13

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.42

0.20

1.68

1.88

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.39

0.22

(0.08)

11

0.14

(0.11)

—

(0.11)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.15

(0.76)

(0.61)

—

—

—

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.56

0.11

(1.88)

(1.77)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.08

0.29

(0.57)

(0.28)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.18

0.26

(0.08)

0.18

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.45

0.24

1.69

1.93

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.41

0.25

(0.09)

11

0.16

(0.12)

—

(0.12)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.18

(0.77)

(0.59)

—

—

—

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.75

0.05

(1.62)

(1.57)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.58

0.25

7

(0.86)

(0.61)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.23

17

(0.59)

(0.36)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.27

0.18

1.88

2.06

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.31

0.17

0.82

0.99

(0.03)

—

(0.03)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.21

(1.90)

(1.69)

—

—

—

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.77

0.03

(1.62)

(1.59)

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.57

0.16

7

(0.79)

(0.63)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.19

17

(0.59)

(0.40)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.15

1.89

2.04

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.30

0.17

0.81

0.98

—

—

—

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.19

(1.89)

(1.70)

—

—

—

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.76

0.05

(1.62)

(1.57)

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.59

0.23

7

(0.83)

(0.60)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.13

0.24

17

(0.59)

(0.35)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.19

1.88

2.07

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.32

0.18

0.82

1.00

(0.04)

—

(0.04)

FOR

THE

PERIOD

2/11/15

15

-9/30/15

$

10.00

0.22

(1.90)

(1.68)

—

—

—

157

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.47

(17.46)%

$

23,013

0.69%

0.60%

0.60%

1.81%

35%

$

10.54

(2.30)%

$

29,185

0.71%

0.60%

0.60%

2.75%

66%

$

11.05

1.39%

$

28,704

0.68%

0.60%

0.60%

2.26%

54%

$

11.16

20.71%

$

25,736

0.71%

0.60%

0.60%

2.31%

52%

$

9.44

1.68%

$

20,094

0.81%

14

0.59%

0.58%

2.58%

135%

$

9.40

(6.00)%

$

3,213

1.42%

14

0.61%

0.61%

2.85%

172%

$

8.46

(17.62)%

$

821

0.94%

0.85%

0.85%

1.47%

35%

$

10.52

(2.51)%

$

1,219

0.96%

0.85%

0.85%

2.47%

66%

$

11.01

1.17%

$

1,546

0.94%

0.85%

0.85%

1.99%

54%

$

11.12

20.39%

$

2,078

0.97%

0.85%

0.85%

2.03%

52%

$

9.42

1.43%

$

1,592

1.07%

14

0.82%

0.82%

2.41%

135%

$

9.39

(6.10)%

$

143

2.65%

14

0.81%

0.81%

2.28%

172%

$

8.48

(17.44)%

$

149,031

0.59%

0.50%

0.50%

2.00%

35%

$

10.56

(2.27)%

$

159,758

0.61%

0.50%

0.50%

2.86%

66%

$

11.08

1.56%

$

161,422

0.59%

0.50%

0.50%

2.34%

54%

$

11.18

20.89%

$

151,455

0.62%

0.50%

0.50%

2.42%

52%

$

9.45

1.71%

$

116,641

0.72%

14

0.50%

0.50%

2.73%

135%

$

9.41

(5.90)%

$

41,373

1.22%

14

0.51%

0.51%

2.81%

172%

$

7.94

(16.66)%

$

29,892

0.85%

0.75%

0.75%

0.97%

33%

$

9.75

(5.68)%

$

36,722

0.84%

0.75%

0.75%

2.51%

7

62%

$

10.58

(3.35)%

$

17,266

0.85%

0.74%

0.74%

2.01%

17

54%

$

11.12

22.99%

$

17,013

0.86%

0.74%

0.74%

1.89%

51%

$

9.27

12.02%

$

12,711

0.94%

14

0.72%

0.72%

2.00%

181%

$

8.31

(16.90)%

$

2,986

2.66%

14

0.77%

0.77%

3.46%

173%

$

7.97

(16.81)%

$

451

1.10%

1.00%

1.00%

0.70%

33%

$

9.77

(5.92)%

$

677

1.09%

1.00%

1.00%

1.64%

7

62%

$

10.57

(3.70)%

$

1,675

1.11%

1.00%

1.00%

1.63%

17

54%

$

11.12

22.64%

$

2,301

1.12%

1.00%

1.00%

1.58%

51%

$

9.28

11.81%

$

2,163

1.20%

14

0.95%

0.95%

2.01%

181%

$

8.30

(17.00)%

$

881

3.06%

14

1.03%

1.03%

3.08%

173%

$

7.94

(16.68)%

$

262,995

0.75%

0.65%

0.65%

1.08%

33%

$

9.76

(5.59)%

$

305,195

0.74%

0.65%

0.65%

2.32%

7

62%

$

10.59

(3.27)%

$

313,070

0.76%

0.65%

0.65%

2.07%

17

54%

$

11.13

23.05%

$

333,540

0.77%

0.65%

0.65%

1.94%

51%

$

9.28

12.05%

$

272,799

0.87%

14

0.65%

0.65%

2.09%

181%

$

8.32

(16.80)%

$

15,381

2.46%

14

0.67%

0.67%

3.66%

173%

158

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.57

0.12

(2.71)

(2.59)

(0.25)

(1.97)

(2.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.99

0.26

7

(0.44)

(0.18)

(0.22)

(2.02)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

22.00

0.19

4.77

4.96

(0.21)

(1.76)

(1.97)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.44

0.24

2.88

3.12

(0.32)

(1.24)

(1.56)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.96

0.27

1.87

2.14

(0.21)

(1.45)

(1.66)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.89

0.23

(0.10)

0.13

(0.14)

(1.92)

(2.06)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.56

0.09

(2.72)

(2.63)

(0.18)

(1.97)

(2.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.96

0.21

7

(0.43)

(0.22)

(0.16)

(2.02)

(2.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.98

0.13

4.77

4.90

(0.16)

(1.76)

(1.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.42

0.19

2.87

3.06

(0.26)

(1.24)

(1.50)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.92

0.21

1.88

2.09

(0.14)

(1.45)

(1.59)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.85

0.17

(0.10)

0.07

(0.08)

(1.92)

(2.00)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.51

0.13

(2.70)

(2.57)

(0.27)

(1.97)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.94

0.29

7

(0.45)

(0.16)

(0.25)

(2.02)

(2.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.96

0.22

4.75

4.97

(0.23)

(1.76)

(1.99)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.41

0.26

2.87

3.13

(0.34)

(1.24)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.94

0.29

1.86

2.15

(0.23)

(1.45)

(1.68)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.89

0.23

(0.08)

0.15

(0.18)

(1.92)

(2.10)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.66

0.06

(3.69)

(3.63)

(0.10)

(0.74)

(0.84)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.09

7

(3.83)

(3.74)

(0.04)

(4.70)

(4.74)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.83

0.05

17

4.58

4.63

(0.06)

(2.26)

(2.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.80

0.10

9

4.10

4.20

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.10

0.15

1.79

1.94

(0.16)

(0.08)

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.09

0.15

10

0.26

11

0.41

(0.04)

(2.36)

(2.40)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.66

0.03

(3.68)

(3.65)

(0.07)

(0.74)

(0.81)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.05

7

(3.83)

(3.78)

(0.00)

8

(4.70)

(4.70)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.82

(0.00)

8,17

4.58

4.58

—

(2.26)

(2.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.68

0.05

9

4.09

4.14

—

—

—

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

18.99

0.09

1.78

1.87

(0.10)

(0.08)

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.00

0.09

10

0.26

11

0.35

—

(2.36)

(2.36)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.61

0.06

(3.66)

(3.60)

(0.13)

(0.74)

(0.87)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.10

0.13

7

(3.85)

(3.72)

(0.07)

(4.70)

(4.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.79

0.08

17

4.58

4.66

(0.09)

(2.26)

(2.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.77

0.12

9

4.09

4.21

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.09

0.13

1.81

1.94

(0.18)

(0.08)

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

21.10

0.13

10

0.29

11

0.42

(0.07)

(2.36)

(2.43)

159

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

17.76

(13.25)%

$

510,324

0.42%

0.40%

0.40%

1.09%

37%

$

22.57

1.38%

$

678,252

0.41%

0.40%

0.40%

1.21%

7

61%

$

24.99

23.94%

$

986,458

0.40%

0.39%

0.39%

0.84%

66%

$

22.00

16.37%

$

869,688

0.41%

0.40%

0.40%

1.19%

88%

$

20.44

11.12%

$

820,914

0.42%

0.40%

0.40%

1.34%

77%

$

19.96

0.18%

$

874,115

0.50%

0.45%

0.45%

1.06%

90%

$

17.78

(13.36)%

$

46,674

0.67%

0.65%

0.65%

0.84%

37%

$

22.56

1.14%

$

67,654

0.66%

0.65%

0.65%

0.97%

7

61%

$

24.96

23.61%

$

77,381

0.65%

0.65%

0.65%

0.58%

66%

$

21.98

16.07%

$

59,044

0.66%

0.65%

0.65%

0.94%

88%

$

20.42

10.89%

$

57,644

0.66%

0.65%

0.65%

1.08%

77%

$

19.92

(0.10)%

$

68,535

0.77%

0.70%

0.70%

0.81%

90%

$

17.70

(13.19)%

$

143,635

0.32%

0.30%

0.30%

1.19%

37%

$

22.51

1.48%

$

202,063

0.31%

0.30%

0.30%

1.33%

7

61%

$

24.94

24.06%

$

101,971

0.30%

0.30%

0.30%

0.93%

66%

$

21.96

16.47%

$

65,920

0.31%

0.30%

0.30%

1.28%

88%

$

20.41

11.23%

$

59,108

0.32%

0.30%

0.30%

1.45%

77%

$

19.94

0.28%

$

62,973

0.36%

0.31%

0.31%

1.09%

90%

$

14.19

(20.64)%

$

143,309

0.66%

0.60%

0.60%

0.59%

33%

$

18.66

(10.90)%

$

201,555

0.66%

0.60%

0.60%

0.46%

7

79%

$

27.14

20.11%

$

346,665

0.63%

0.60%

0.60%

0.21%

17

73%

$

24.83

20.30%

$

359,470

0.64%

0.60%

0.60%

0.46%

9

86%

$

20.80

10.24%

$

317,154

0.65%

0.60%

0.60%

0.77%

85%

$

19.10

1.17%

$

316,232

0.68%

0.63%

0.62%

0.69%

10

86%

$

14.20

(20.72)%

$

4,364

0.91%

0.85%

0.85%

0.36%

33%

$

18.66

(11.09)%

$

4,395

0.91%

0.85%

0.85%

0.28%

7

79%

$

27.14

19.84%

$

2,835

0.85%

0.83%

0.83%

(0.02)%

17

73%

$

24.82

20.02%

$

1,720

0.86%

0.82%

0.82%

0.24%

9

86%

$

20.68

9.96%

$

1,574

0.91%

0.84%

0.84%

0.47%

85%

$

18.99

0.89%

$

8,195

0.94%

0.88%

0.87%

0.43%

10

86%

$

14.14

(20.60)%

$

46,386

0.56%

0.50%

0.50%

0.70%

33%

$

18.61

(10.80)%

$

54,417

0.56%

0.50%

0.50%

0.67%

7

79%

$

27.10

20.26%

$

21,162

0.53%

0.50%

0.50%

0.31%

17

73%

$

24.79

20.39%

$

11,914

0.54%

0.50%

0.50%

0.54%

9

86%

$

20.77

10.30%

$

8,490

0.56%

0.50%

0.50%

0.69%

85%

$

19.09

1.25%

$

77,416

0.59%

0.50%

0.50%

0.62%

10

86%

160

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

14.98

0.10

(1.95)

(1.85)

(0.37)

—

(0.37)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.31

(0.87)

(0.56)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.50

0.29

0.37

0.66

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.86

0.31

1.65

1.96

(0.32)

—

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.24

0.25

0.59

0.84

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.95

0.28

(1.51)

(1.23)

(0.31)

(0.17)

(0.48)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

14.94

0.08

(1.95)

(1.87)

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.77

0.27

(0.86)

(0.59)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.46

0.26

0.36

0.62

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.82

0.28

1.65

1.93

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.21

0.60

0.81

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.89

0.25

(1.51)

(1.26)

(0.27)

(0.17)

(0.44)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

14.96

0.11

(1.96)

(1.85)

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.80

0.33

(0.87)

(0.54)

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.49

0.32

0.35

0.67

(0.36)

—

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.85

0.33

1.65

1.98

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.23

0.27

0.59

0.86

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.94

0.33

(1.53)

(1.20)

(0.34)

(0.17)

(0.51)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

23.86

0.12

(2.80)

(2.68)

(0.26)

(0.28)

(0.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.08

0.27

(0.29)

(0.02)

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.43

0.18

4.63

4.81

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.97

0.20

2.51

2.71

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.54

0.23

16

1.35

1.58

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

15.90

0.18

(0.19)

(0.01)

(0.08)

(0.27)

(0.35)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

23.73

0.09

(2.79)

(2.70)

(0.18)

(0.28)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

23.94

0.20

(0.28)

(0.08)

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.36

0.12

4.61

4.73

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.92

0.15

2.51

2.66

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.50

0.20

16

1.36

1.56

(0.14)

—

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

15.86

0.15

(0.20)

(0.05)

(0.04)

(0.27)

(0.31)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

23.83

0.13

(2.79)

(2.66)

(0.28)

(0.28)

(0.56)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.06

0.29

(0.30)

(0.01)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.41

0.20

4.63

4.83

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.95

0.22

2.51

2.73

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.54

0.24

16

1.36

1.60

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

15.90

0.19

(0.19)

0.00

8

(0.09)

(0.27)

(0.36)

161

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

12.76

(12.82)%

$

220,532

0.60%

0.55%

0.55%

1.32%

31%

$

14.98

(3.26)%

$

270,031

0.61%

0.55%

0.55%

2.12%

70%

$

15.82

4.31%

$

348,643

0.60%

0.55%

0.55%

1.84%

65%

$

15.50

14.67%

$

326,526

0.63%

0.55%

12

0.55%

12

2.26%

13

84%

$

13.86

6.40%

$

272,002

0.63%

0.55%

0.55%

1.89%

85%

$

13.24

(8.40)%

$

257,299

0.68%

0.60%

0.60%

1.95%

112%

$

12.74

(12.91)%

$

30,233

0.85%

0.80%

0.80%

1.05%

31%

$

14.94

(3.51)%

$

36,694

0.86%

0.80%

0.80%

1.86%

70%

$

15.77

4.02%

$

40,452

0.85%

0.80%

0.80%

1.61%

65%

$

15.46

14.38%

$

34,030

0.88%

0.80%

12

0.80%

12

1.99%

13

84%

$

13.82

6.16%

$

30,502

0.87%

0.80%

0.79%

1.59%

85%

$

13.19

(8.62)%

$

35,343

0.94%

0.85%

0.85%

1.71%

112%

$

12.73

(12.81)%

$

102,695

0.50%

0.45%

0.45%

1.40%

31%

$

14.96

(3.15)%

$

129,267

0.51%

0.45%

0.45%

2.25%

70%

$

15.80

4.34%

$

63,978

0.50%

0.45%

0.45%

1.99%

65%

$

15.49

14.80%

$

45,913

0.53%

0.45%

12

0.45%

12

2.35%

13

84%

$

13.85

6.53%

$

35,382

0.53%

0.45%

0.45%

1.98%

85%

$

13.23

(8.24)%

$

31,058

0.55%

0.46%

0.46%

2.31%

112%

$

20.64

(11.61)%

$

106,850

0.46%

0.40%

0.40%

0.99%

33%

$

23.86

0.08%

$

120,655

0.46%

0.40%

0.40%

1.18%

60%

$

24.08

24.87%

$

112,851

0.45%

0.40%

0.40%

0.82%

50%

$

19.43

16.16%

$

87,151

0.48%

0.40%

0.40%

1.14%

57%

$

16.97

10.22%

$

67,397

0.49%

0.40%

0.40%

1.39%

16

49%

$

15.54

(0.16)%

$

56,141

0.65%

0.48%

0.48%

1.08%

62%

$

20.57

(11.70)%

$

4,878

0.71%

0.65%

0.65%

0.74%

33%

$

23.73

(0.21)%

$

5,875

0.71%

0.65%

0.65%

0.92%

60%

$

23.94

24.53%

$

13,548

0.70%

0.65%

0.65%

0.57%

50%

$

19.36

15.89%

$

8,524

0.70%

0.65%

0.65%

0.78%

57%

$

16.92

10.11%

$

161

0.65%

0.56%

0.56%

1.22%

16

49%

$

15.50

(0.39)%

$

147

0.75%

0.64%

0.64%

0.89%

62%

$

20.61

(11.54)%

$

89,895

0.36%

0.30%

0.30%

1.09%

33%

$

23.83

0.15%

$

104,192

0.36%

0.30%

0.30%

1.28%

60%

$

24.06

25.00%

$

102,013

0.35%

0.30%

0.30%

0.92%

50%

$

19.41

16.30%

$

84,514

0.38%

0.30%

0.30%

1.25%

57%

$

16.95

10.32%

$

80,190

0.39%

0.30%

0.30%

1.48%

16

49%

$

15.54

(0.09)%

$

70,197

0.43%

0.31%

0.31%

1.15%

62%

162

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.33

0.05

(3.45)

(3.40)

(0.11)

(0.23)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.56

0.09

7

(2.69)

(2.60)

(0.04)

(1.59)

(1.63)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.06

0.04

3.52

3.56

(0.05)

(0.01)

(0.06)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.86

0.08

3.24

3.32

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.51

0.12

1.33

1.45

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.72

0.11

10

0.23

11

0.34

(0.01)

(0.54)

(0.55)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.18

0.03

(3.43)

(3.40)

(0.07)

(0.23)

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.39

0.04

7

(2.66)

(2.62)

—

(1.59)

(1.59)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.96

(0.01)

3.49

3.48

(0.04)

(0.01)

(0.05)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.79

0.03

3.23

3.26

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.44

0.10

1.33

1.43

(0.08)

—

(0.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.67

0.07

10

0.24

11

0.31

—

(0.54)

(0.54)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

18.32

0.06

(3.45)

(3.39)

(0.13)

(0.23)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.56

0.12

7

(2.71)

(2.59)

(0.06)

(1.59)

(1.65)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.06

0.07

3.51

3.58

(0.07)

(0.01)

(0.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.86

0.10

3.23

3.33

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.50

0.14

1.34

1.48

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.72

0.12

10

0.24

11

0.36

(0.04)

(0.54)

(0.58)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

I

6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.20

0.09

(1.68)

(1.59)

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.86

0.28

(0.68)

(0.40)

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.70

0.27

0.13

0.40

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.27

0.27

1.45

1.72

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.70

0.23

0.49

0.72

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.09

0.20

(1.28)

(1.08)

(0.25)

(0.06)

(0.31)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.10

0.07

(1.68)

(1.61)

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.77

0.23

(0.66)

(0.43)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.63

0.24

0.13

0.37

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.22

0.27

1.41

1.68

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.68

0.19

0.51

0.70

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.06

0.21

(1.30)

(1.09)

(0.23)

(0.06)

(0.29)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.16

0.10

(1.68)

(1.58)

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.83

0.29

(0.68)

(0.39)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.67

0.27

0.14

0.41

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.24

0.28

1.45

1.73

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.70

0.23

0.50

0.73

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

13.09

0.31

(1.37)

(1.06)

(0.27)

(0.06)

(0.33)

163

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

14.59

(19.01)%

$

36,521

0.86%

0.60%

0.60%

0.56%

20%

$

18.33

(10.23)%

$

50,757

0.91%

0.60%

0.60%

0.50%

7

66%

$

22.56

18.75%

$

62,800

0.81%

0.60%

0.60%

0.22%

67%

$

19.06

21.02%

$

47,847

0.92%

0.60%

0.60%

0.47%

69%

$

15.86

10.07%

$

33,229

1.10%

0.60%

0.60%

0.83%

92%

$

14.51

2.13%

$

19,992

1.34%

0.64%

0.64%

0.68%

10

111%

$

14.48

(19.13)%

$

2,275

1.11%

0.85%

0.85%

0.31%

20%

$

18.18

(10.44)%

$

2,905

1.14%

0.83%

0.83%

0.24%

7

66%

$

22.39

18.43%

$

5,720

1.06%

0.85%

0.85%

(0.04)%

67%

$

18.96

20.73%

$

3,230

1.12%

0.84%

0.84%

0.15%

69%

$

15.79

9.95%

$

154

1.26%

0.76%

0.76%

0.65%

92%

$

14.44

1.90%

$

127

1.49%

0.86%

0.86%

0.45%

10

111%

$

14.57

(19.00)%

$

162

0.76%

0.50%

0.50%

0.64%

20%

$

18.32

(10.14)%

$

302

0.81%

0.50%

0.50%

0.64%

7

66%

$

22.56

18.85%

$

228

0.71%

0.50%

0.50%

0.32%

67%

$

19.06

21.11%

$

200

0.83%

0.50%

0.50%

0.58%

69%

$

15.86

10.24%

$

166

1.00%

0.50%

0.50%

0.92%

92%

$

14.50

2.23%

$

97

1.24%

0.54%

0.54%

0.77%

10

111%

$

11.28

(12.50)%

$

39,388

0.70%

0.55%

0.55%

1.34%

19%

$

13.20

(2.58)%

$

51,427

0.74%

0.55%

0.55%

2.18%

49%

$

13.86

2.93%

$

58,512

0.70%

0.55%

0.55%

1.90%

34%

$

13.70

14.49%

$

44,119

0.74%

0.55%

12

0.55%

12

2.22%

13

62%

$

12.27

6.18%

$

33,887

0.76%

0.55%

0.55%

1.90%

87%

$

11.70

(8.36)%

$

23,699

0.94%

0.65%

0.65%

1.57%

147%

$

11.22

(12.65)%

$

2,204

0.95%

0.80%

0.80%

1.04%

19%

$

13.10

(2.89)%

$

3,189

0.99%

0.80%

0.80%

1.86%

49%

$

13.77

2.75%

$

7,817

0.95%

0.80%

0.80%

1.75%

34%

$

13.63

14.23%

$

4,800

0.95%

0.80%

12

0.80%

12

2.08%

13

62%

$

12.22

6.01%

$

160

0.93%

0.72%

0.72%

1.61%

87%

$

11.68

(8.51)%

$

103

1.03%

0.79%

0.78%

1.69%

147%

$

11.24

(12.46)%

$

43,945

0.60%

0.45%

0.45%

1.45%

19%

$

13.16

(2.54)%

$

56,047

0.64%

0.45%

0.45%

2.32%

49%

$

13.83

3.03%

$

62,790

0.60%

0.45%

0.45%

1.95%

34%

$

13.67

14.66%

$

56,847

0.65%

0.45%

12

0.45%

12

2.27%

13

62%

$

12.24

6.25%

$

55,739

0.66%

0.45%

0.45%

1.97%

87%

$

11.70

(8.25)%

$

48,003

0.70%

0.46%

0.46%

2.40%

147%

164

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.83

0.18

(3.35)

(3.17)

(0.26)

(0.01)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.18

0.34

1.62

1.96

(0.23)

(0.08)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.23

0.30

3.10

3.40

(0.27)

(0.18)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.71

0.29

2.55

2.84

(0.23)

(0.09)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.27

1.70

1.97

(0.14)

(0.76)

(0.90)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.07

0.24

1.04

1.28

(0.29)

(0.42)

(0.71)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.76

0.15

(3.35)

(3.20)

(0.20)

(0.01)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.11

0.28

1.62

1.90

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.18

0.25

3.09

3.34

(0.23)

(0.18)

(0.41)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.68

0.25

2.54

2.79

(0.20)

(0.09)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.23

1.70

1.93

(0.13)

(0.76)

(0.89)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.04

0.20

1.05

1.25

(0.23)

(0.42)

(0.65)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

22.81

0.19

(3.35)

(3.16)

(0.28)

(0.01)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.15

0.35

1.63

1.98

(0.24)

(0.08)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.21

0.32

3.09

3.41

(0.29)

(0.18)

(0.47)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.69

0.30

2.55

2.85

(0.24)

(0.09)

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.62

0.29

1.69

1.98

(0.15)

(0.76)

(0.91)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

14.07

0.26

1.03

1.29

(0.32)

(0.42)

(0.74)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.09

0.09

(1.74)

(1.65)

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.34

(0.35)

(0.01)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.27

0.32

17

0.10

0.42

(0.29)

(0.02)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.10

0.30

9

1.04

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.95

0.29

1.09

1.38

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.37

0.28

(1.10)

(0.82)

(0.32)

(0.28)

(0.60)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.52

0.10

(1.82)

(1.72)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.71

0.33

(0.36)

(0.03)

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.58

0.26

17

0.14

0.40

(0.25)

(0.02)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.40

0.28

9

1.06

1.34

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.20

0.30

1.09

1.39

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.35

0.23

(1.10)

(0.87)

—

(0.28)

(0.28)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

13.09

0.13

(1.77)

(1.64)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.33

(0.33)

0.00

8

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.26

0.34

17

0.10

0.44

(0.30)

(0.02)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.09

0.31

9

1.03

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.94

0.36

1.03

1.39

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

12.37

0.29

(1.10)

(0.81)

(0.34)

(0.28)

(0.62)

165

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

19.39

(14.11)%

$

3,143,206

0.41%

0.40%

0.40%

1.57%

9%

$

22.83

9.59%

$

3,262,596

0.39%

0.38%

0.38%

1.60%

20%

$

21.18

18.92%

$

1,502,430

0.39%

0.39%

0.39%

1.52%

18%

$

18.23

18.32%

$

793,828

0.41%

0.40%

0.40%

1.69%

16%

$

15.71

14.00%

$

519,984

0.42%

0.39%

0.39%

1.79%

8%

$

14.64

9.13%

$

158,468

0.55%

0.45%

0.45%

1.65%

24%

$

19.35

(14.25)%

$

301,938

0.66%

0.65%

0.65%

1.30%

9%

$

22.76

9.30%

$

389,897

0.66%

0.65%

0.65%

1.33%

20%

$

21.11

18.58%

$

309,274

0.65%

0.64%

0.64%

1.27%

18%

$

18.18

17.99%

$

239,074

0.67%

0.65%

0.65%

1.46%

16%

$

15.68

13.70%

$

226,020

0.68%

0.65%

0.65%

1.53%

8%

$

14.64

8.97%

$

30,629

0.81%

0.70%

0.70%

1.38%

24%

$

19.36

(14.12)%

$

1,350,470

0.31%

0.30%

0.30%

1.67%

9%

$

22.81

9.72%

$

1,275,970

0.31%

0.30%

0.30%

1.61%

20%

$

21.15

18.99%

$

309,211

0.30%

0.30%

0.30%

1.61%

18%

$

18.21

18.43%

$

197,705

0.32%

0.30%

0.30%

1.79%

16%

$

15.69

14.13%

$

127,311

0.33%

0.30%

0.30%

1.87%

8%

$

14.62

9.23%

$

109

0.45%

0.35%

0.34%

1.76%

24%

$

11.10

(13.08)%

$

107,099

0.63%

0.55%

0.55%

1.40%

11%

$

13.09

0.18%

$

202,228

0.64%

0.55%

0.55%

2.64%

24%

$

13.38

3.15%

$

173,932

0.63%

0.55%

0.55%

2.41%

17

21%

$

13.27

11.29%

$

145,091

0.67%

0.55%

12

0.55%

12

2.43%

9,13

3%

$

12.10

12.84%

$

96,844

0.83%

0.54%

0.54%

2.51%

83%

$

10.95

(6.89)%

$

34,191

1.11%

0.60%

0.60%

2.40%

47%

$

11.49

(13.14)%

$

8,714

0.88%

0.80%

0.80%

1.50%

11%

$

13.52

(0.10)%

$

7,221

0.89%

0.80%

0.80%

2.51%

24%

$

13.71

2.90%

$

4,266

0.88%

0.80%

0.80%

1.84%

17

21%

$

13.58

11.01%

$

30,102

0.92%

0.80%

12

0.80%

12

2.21%

9,13

3%

$

12.40

12.59%

$

21,135

1.08%

0.79%

0.78%

2.51%

83%

$

11.20

(7.15)%

$

141

1.43%

0.86%

0.86%

1.94%

47%

$

11.10

(12.98)%

$

71,809

0.53%

0.45%

0.45%

1.99%

11%

$

13.09

0.26%

$

31,493

0.54%

0.45%

0.45%

2.58%

24%

$

13.38

3.32%

$

28,741

0.53%

0.45%

0.45%

2.54%

17

21%

$

13.26

11.38%

$

19,716

0.57%

0.45%

12

0.45%

12

2.57%

9,13

3%

$

12.09

12.95%

$

14,668

0.67%

0.45%

0.45%

3.06%

83%

$

10.94

(6.78)%

$

89

1.01%

0.50%

0.50%

2.45%

47%

166

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.08

0.04

(1.64)

(1.60)

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.64

0.20

(0.59)

(0.39)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.44

0.19

0.17

0.36

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.80

0.17

0.61

0.78

(0.14)

—

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.21

0.16

0.69

0.85

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

10.46

0.19

(2.26)

(2.07)

(0.18)

—

(0.18)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.29

0.03

(1.69)

(1.66)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.86

0.18

(0.60)

(0.42)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.67

0.19

0.14

0.33

(0.14)

—

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.00

0.20

0.59

0.79

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.34

0.15

0.70

0.85

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

10.45

0.12

(2.23)

(2.11)

—

—

—

AQR

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.06

0.04

(1.64)

(1.60)

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.61

0.21

(0.58)

(0.37)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.42

0.19

0.17

0.36

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.77

0.18

0.62

0.80

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.21

0.17

0.67

0.84

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

10.46

0.21

(2.27)

(2.06)

(0.19)

—

(0.19)

AQR

GLOBAL

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

8.20

0.03

(1.40)

(1.37)

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.11

0.15

(0.72)

(0.57)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.89

0.13

0.54

0.67

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.12

0.11

1.43

1.54

(0.18)

(0.59)

(0.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.80

0.10

0.76

0.86

(0.12)

(0.42)

(0.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

8.91

0.12

10

(0.23)

(0.11)

(0.15)

(0.85)

(1.00)

AQR

GLOBAL

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

8.12

0.04

(1.42)

(1.38)

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.06

0.13

(0.73)

(0.60)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.84

0.09

0.55

0.64

(0.05)

(0.37)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.07

0.09

1.43

1.52

(0.16)

(0.59)

(0.75)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.73

0.10

0.72

0.82

(0.06)

(0.42)

(0.48)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

8.85

0.10

10

(0.23)

(0.13)

(0.14)

(0.85)

(0.99)

AQR

GLOBAL

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

8.27

0.06

(1.46)

(1.40)

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.19

0.14

(0.70)

(0.56)

(0.15)

(0.21)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.96

0.13

0.55

0.68

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.18

0.12

1.45

1.57

(0.20)

(0.59)

(0.79)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.85

0.12

0.75

0.87

(0.12)

(0.42)

(0.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

8.96

0.14

10

(0.24)

(0.10)

(0.16)

(0.85)

(1.01)

167

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.27

(18.19)%

$

60,111

0.96%

0.70%

0.70%

0.93%

13%

$

9.08

(4.02)%

$

75,352

0.97%

0.70%

0.70%

2.18%

30%

$

9.64

3.77%

$

76,491

0.97%

0.70%

0.70%

1.94%

16%

$

9.44

9.17%

$

62,261

1.07%

0.70%

0.70%

1.99%

17%

$

8.80

10.73%

$

49,612

1.15%

0.68%

0.68%

1.90%

23%

$

8.21

(20.07)%

$

27,221

1.12%

0.76%

0.76%

1.92%

117%

$

7.46

(18.28)%

$

4,237

1.21%

0.95%

0.95%

0.66%

13%

$

9.29

(4.21)%

$

6,721

1.22%

0.95%

0.95%

1.92%

30%

$

9.86

3.39%

$

9,977

1.22%

0.95%

0.95%

1.95%

16%

$

9.67

9.04%

$

4,922

1.28%

0.93%

0.93%

2.21%

17%

$

9.00

10.42%

$

207

1.38%

0.91%

0.91%

1.79%

23%

$

8.34

(20.19)%

$

54

1.40%

1.03%

1.03%

1.22%

117%

$

7.25

(18.15)%

$

97

0.86%

0.60%

0.60%

0.92%

13%

$

9.06

(3.83)%

$

190

0.87%

0.60%

0.60%

2.27%

30%

$

9.61

3.76%

$

198

0.87%

0.60%

0.60%

1.94%

16%

$

9.42

9.40%

$

208

0.97%

0.60%

0.60%

2.02%

17%

$

8.77

10.67%

$

190

1.05%

0.60%

0.60%

2.06%

23%

$

8.21

(19.96)%

$

75

1.08%

0.66%

0.65%

2.16%

117%

$

6.71

(17.27)%

$

16,786

0.81%

0.80%

0.80%

0.70%

45%

$

8.20

(5.78)%

$

187,408

0.81%

0.80%

0.80%

1.82%

122%

$

9.11

7.65%

$

198,954

0.82%

0.80%

0.80%

1.42%

87%

$

8.89

20.70%

$

41,551

0.89%

0.82%

0.82%

1.37%

88%

$

8.12

11.33%

$

33,013

0.96%

0.89%

0.89%

1.36%

78%

$

7.80

(1.64)%

$

34,186

0.90%

0.90%

0.90%

1.49%

10

73%

$

6.63

(17.32)%

$

2,995

1.06%

1.05%

1.05%

0.86%

45%

$

8.12

(6.17)%

$

4,573

1.06%

1.05%

1.05%

1.59%

122%

$

9.06

7.36%

$

2,120

1.07%

1.05%

1.05%

1.02%

87%

$

8.84

20.57%

$

2,254

1.14%

1.07%

1.07%

1.09%

88%

$

8.07

10.93%

$

1,712

1.20%

1.13%

1.12%

1.28%

78%

$

7.73

(1.86)%

$

765

1.17%

1.17%

1.17%

1.18%

10

73%

$

6.74

(17.29)%

$

225,352

0.71%

0.70%

0.70%

1.57%

45%

$

8.27

(5.67)%

$

106,872

0.72%

0.70%

0.70%

1.72%

122%

$

9.19

7.74%

$

173,425

0.72%

0.70%

0.70%

1.39%

87%

$

8.96

20.98%

$

146,167

0.77%

0.70%

0.70%

1.48%

88%

$

8.18

11.33%

$

106,573

0.77%

0.70%

0.70%

1.59%

78%

$

7.85

(1.47)%

$

85,017

0.71%

0.70%

0.70%

1.69%

10

73%

168

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

INTERNATIONAL

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.50

0.05

(1.81)

(1.76)

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.49

0.23

(0.97)

(0.74)

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.66

0.22

17

(0.32)

(0.10)

(0.25)

(0.82)

(1.07)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.17

0.20

1.73

1.93

(0.30)

(0.14)

(0.44)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.61

0.21

0.67

0.88

(0.20)

(0.12)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

10.99

0.21

(0.71)

(0.50)

(0.33)

(0.55)

(0.88)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

9.75

0.04

(1.87)

(1.83)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.74

0.22

(0.99)

(0.77)

(0.14)

(0.08)

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.88

0.21

17

(0.33)

(0.12)

(0.20)

(0.82)

(1.02)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.35

0.18

1.77

1.95

(0.28)

(0.14)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.77

0.19

0.68

0.87

(0.17)

(0.12)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

11.15

0.17

(0.70)

(0.53)

(0.30)

(0.55)

(0.85)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.16

0.07

(1.95)

(1.88)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.20

0.26

(1.04)

(0.78)

(0.18)

(0.08)

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.39

0.24

17

(0.35)

(0.11)

(0.26)

(0.82)

(1.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.77

0.27

1.81

2.08

(0.32)

(0.14)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.16

0.16

0.77

0.93

(0.20)

(0.12)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2015

$

11.56

0.18

(0.68)

(0.50)

(0.35)

(0.55)

(0.90)

169

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.44

(19.49)%

$

120,308

0.91%

0.86%

0.85%

1.05%

42%

$

9.50

(6.86)%

$

191,080

0.88%

0.84%

0.84%

2.43%

91%

$

10.49

(1.24)%

$

391,509

0.88%

0.86%

0.86%

1.97%

17

87%

$

11.66

19.96%

$

346,078

0.98%

0.91%

12

0.91%

12

1.89%

13

83%

$

10.17

9.34%

$

370,530

0.97%

0.95%

0.95%

2.14%

62%

$

9.61

(4.79)%

$

320,807

0.92%

0.92%

0.92%

1.98%

84%

$

7.64

(19.61)%

$

5,929

1.15%

1.11%

1.10%

0.89%

42%

$

9.75

(7.03)%

$

7,951

1.05%

1.01%

1.01%

2.20%

91%

$

10.74

(1.41)%

$

13,090

1.10%

1.09%

1.09%

1.85%

17

87%

$

11.88

19.68%

$

14,873

1.24%

1.16%

12

1.16%

12

1.71%

13

83%

$

10.35

9.04%

$

37,297

1.20%

1.18%

1.18%

1.89%

62%

$

9.77

(4.99)%

$

36,174

1.21%

1.21%

1.21%

1.61%

84%

$

7.97

(19.40)%

$

33,372

0.81%

0.76%

0.75%

1.28%

42%

$

10.16

(6.80)%

$

39,853

0.80%

0.76%

0.76%

2.56%

91%

$

11.20

(1.23)%

$

44,742

0.79%

0.77%

0.77%

2.04%

17

87%

$

12.39

20.20%

$

44,105

0.85%

0.81%

12

0.81%

12

2.39%

13

83%

$

10.77

9.40%

$

14,387

0.77%

0.77%

0.77%

1.57%

62%

$

10.16

(4.59)%

$

32,648

0.75%

0.75%

0.75%

1.61%

84%

170

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Large

Cap

Multi-Style

Fund

–

Class

I

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

$0.19

1.18%

AQR

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.15

0.90

AQR

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.21

1.27

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.09

0.77

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.51

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.87

AQR

Emerging

Multi-Style

Fund

–

Class

I

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

0.21

2.22

AQR

Emerging

Multi-Style

Fund

–

Class

N

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

0.16

1.69

AQR

Emerging

Multi-Style

Fund

–

Class

R6

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

0.19

2.01

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

I

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

0.14

1.09

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.11

0.86

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.15

1.19

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.07

0.69

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.04

0.44

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.08

0.79

AQR

TM

Emerging

Multi-Style

Fund

–

Class

I

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

0.23

2.28

AQR

TM

Emerging

Multi-Style

Fund

–

Class

N

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

0.14

1.41

AQR

TM

Emerging

Multi-Style

Fund

–

Class

R6

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

0.21

2.09

AQR

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.23

1.09

AQR

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.18

0.85

AQR

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.26

1.21

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.07

0.34

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.16

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.11

0.55

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.06

0.35

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.01

0.09

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.09

0.49

*

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

Effective

April

1,

2015

Class

L

shares

were

renamed

Class

I

Shares.

7

For

the

period

ended

September

30,

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:

8

Amount

is

less

than

$.005

per

share.

171

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.10

0.63%

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.37

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.73

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.08

0.35

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.13

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.10

0.43

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.24

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.26

2.02

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.29

2.38

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.10

0.76%

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.07

0.53

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.13

1.05

AQR

International

Multi-Style

Fund

–

Class

I

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

0.25

2.28

AQR

International

Multi-Style

Fund

–

Class

N

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

0.22

2.02

AQR

International

Multi-Style

Fund

–

Class

R6

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

0.28

2.53

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.13

0.58

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.07

0.32

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.11

0.51

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.09

0.57

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.05

0.34

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.10

0.66

AQR

Global

Equity

Fund

–

Class

I

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

0.10

1.26

AQR

Global

Equity

Fund

–

Class

N

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

0.08

0.95

AQR

Global

Equity

Fund

–

Class

R6

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

0.12

1.46

9

For

the

period

ended

September

30,

2017

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

10

For

the

period

ended

September

30,

2015

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

11

The

amount

shown

for

a

share

outstanding

throughout

the

period

is

not

indicative

of

the

aggregate

net

realized

and

unrealized

gain

(loss)

for

that

period

because

of

the

timing

of

sales

and

repurchases

of

the

Fund

shares

in

relation

to

fluctuating

market

value

of

the

investments

in

the

Fund.

12

Excludes

impact

of

IRS

closing

agreement

tax

expense.

13

Includes

impact

of

IRS

closing

agreement

reimbursement.

14

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

15

Commencement

of

operations.

172

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.11

1.14%

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.09

0.92

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

1.13

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.21

1.27

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.18

1.10

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.22

1.36

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

TM

Emerging

Multi-Style

Fund

–

Class

I

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

$0.22

1.90%

AQR

TM

Emerging

Multi-Style

Fund

–

Class

N

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

0.18

1.52

AQR

TM

Emerging

Multi-Style

Fund

–

Class

R6

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

0.23

1.96

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.03

0.12

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

(0.02)

(0.11)

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.06

0.22

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.14

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.22

1.57

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.30

2.27

AQR

International

Equity

Fund

–

Class

I

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

0.21

1.86

AQR

International

Equity

Fund

–

Class

N

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

0.20

1.74

AQR

International

Equity

Fund

–

Class

R6

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

0.23

1.93

16

For

the

period

ended

September

30,

2016

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

17

For

the

period

ended

September

30,

2018

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

173

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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

March

31,

2020,

the

Trust

consists

of

thirty-five

active

series, nineteen

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund,

AQR

TM

International

Momentum

Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Emerging

Defensive

Style

Fund,

AQR

Global

Equity

Fund

and AQR

International

Equity

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

for

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund

is

to

seek

long-term

capital

appreciation.

The

investment

objective

for

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund

and

AQR

Emerging

Defensive

Style

Fund

is

to

seek

total

return.

The

investment

objective

for

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund

and

AQR

TM

International

Momentum

Style

Fund

is

to

seek

long-term

after-tax

capital

appreciation.

Each

Fund

offers

Class

I,

Class

N

and

Class

R6

shares.

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

4.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

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.

174

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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. 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.

The

funds

may

file

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

previously

withheld.

As

a

result

of

rulings

from

European

courts,

the

funds

filed

for

additional

reclaims

related

to

prior

years.

Income

recognized,

if

any,

for

EU

reclaims

is

reflected

as

dividend

income

in

the

Statements

of

Operations.

These

reclaims

are

recorded

when

the

amount

is

known

and

there

are

no

significant

uncertainties

on

collectability.

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.

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

March

31,

2020,

the

Funds

had

no

examinations

in

progress.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

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.

175

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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.

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. 

Securities

Lending:

Certain

Funds

may

lend

securities

to

qualified

borrowers

approved

by

the

Adviser

in

order

to

generate

additional

income.

Securities

loaned

are

collateralized

by

cash

or

securities

issued

by

the

U.S.

Treasury

valued

at

102%

to

105%

of

the

market

value

of

the

securities

on

loan.

The

Funds

may

invest

cash

collateral

in

money

market

funds

as

indicated

on

the

Schedule

of

Investments.

The

Funds

bear

the

risk

of

loss

associated

with

the

collateral

investments

and

are

not

entitled

to

additional

collateral

from

the

borrower

to

cover

any

such

losses.

176

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Daily

market

fluctuations

could

cause

the

value

of

loaned

securities

to

be

more

or

less

than

the

value

of

the

collateral

received.

When

this

occurs,

the

collateral

is

adjusted

and

settled

on

the

next

business

day.

Securities

lending

also

involves

counterparty

risks,

including

the

risk

that

the

loaned

securities

may

not

be

returned

in

a

timely

manner

or

at

all.

In

the

event

of

a

default

by

a

borrower

with

respect

to

any

loan,

the

lending

agent

will

exercise

any

and

all

remedies

provided

under

the

applicable

borrower

agreement

to

make

the

Funds

whole.

If,

despite

such

efforts

by

the

lending

agent

to

exercise

these

remedies,

the

Funds

sustain

losses

as

a

result

of

a

borrower’s

default,

the

lending

agent

indemnifies

the

Funds

by

purchasing

replacement

securities

at

its

expense,

or

paying

the

Funds

an

amount

equal

to

the

market

value

of

the

replacement

securities,

subject

to

certain

limitations

which

are

set

forth

in

the

Securities

Lending

Agency

Agreement

between

the

Funds

and

the

lending

agent.

Securities

lending

income,

net

on

the

Statements

of

Operations

represents

fees

charged

to

borrowers

plus

income

earned

on

invested

cash

collateral,

less

expenses

associated

with

the

loan.

Certain

of

the

securities

on

loan

may

have

been

sold

prior

to

the

close

of

the

reporting

period

and

are

included

in

Receivables

for

Securities

Sold

on

the

Statements

of

Assets

and

Liabilities.

Security

loans

can

be

terminated

at

the

discretion

of

either

the

lending

agent

or

the

Fund

and

the

related

securities

must

be

returned

within

the

earlier

of

the

standard

trade

settlement

period

for

such

securities

or

within

three

business

days.

At

period

end,

Funds

with

investments

securities

on

loan

disclose

the

balance

of

such

securities

on

loan

in

the

footnotes

to

the

Schedule

of

Investments. The

fair

value

of

the

Funds'

investment

securities

on

loan

and

a

related

liability

for

collateral

received

on

securities

loaned

are

both

presented

gross

on

the

Statements

of

Assets

and

Liabilities.

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

certain

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Funds

are

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

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).

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.

177

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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.

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

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.

178

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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. 

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. 

179

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

934,957,943

$

–

$

–

$

934,957,943

Securities

Lending

Collateral

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

1,605,586

–

–

1,605,586

Short-Term

Investments

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

12,181,266

–

–

12,181,266

Total

Assets

$

948,744,795

$

–

$

–

$

948,744,795

LIABILITIES

Futures

Contracts*

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

$

(202,437)

$

–

$

–

$

(202,437)

Total

Liabilities

$

(202,437)

$

–

$

–

$

(202,437)

AQR

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

229,912,664

$

–

$

–

$

229,912,664

Preferred

Stocks

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

62,775

–

–

62,775

Securities

Lending

Collateral

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

7,063,541

–

–

7,063,541

Short-Term

Investments

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

12,355,544

–

–

12,355,544

Futures

Contracts*

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

1,485,528

–

–

1,485,528

Total

Assets

$

250,880,052

$

–

$

–

$

250,880,052

AQR

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

14,843,339

$

175,438,409

$

142,691

$

190,424,439

Securities

Lending

Collateral

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

316,614

–

–

316,614

Short-Term

Investments

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

9,300,074

–

–

9,300,074

Futures

Contracts*

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

963,769

–

–

963,769

Total

Assets

$

25,423,796

$

175,438,409

$

142,691

$

201,004,896

AQR

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

43,236,070

$

116,282,417

$

–

$

159,518,487

Securities

Lending

Collateral

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

64,316

–

–

64,316

Futures

Contracts*

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

81,029

–

–

81,029

Total

Assets

$

43,381,415

$

116,282,417

$

–

$

159,663,832

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

223,316,006

$

–

$

–

$

223,316,006

Short-Term

Investments

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

7,278,212

–

–

7,278,212

Futures

Contracts*

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

47,990

–

–

47,990

Total

Assets

$

230,642,208

$

–

$

–

$

230,642,208

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

15,477,229

$

–

$

–

$

15,477,229

Preferred

Stocks

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

2,417

–

–

2,417

Securities

Lending

Collateral

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

563,267

–

–

563,267

Short-Term

Investments

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

388,861

–

–

388,861

Futures

Contracts*

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

29,198

–

–

29,198

Total

Assets

$

16,460,972

$

–

$

–

$

16,460,972

180

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

12,488,711

$

151,234,545

$

44,136

$

163,767,392

Securities

Lending

Collateral

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

278,676

–

–

278,676

Short-Term

Investments

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

7,259,943

–

–

7,259,943

Futures

Contracts*

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

396,627

–

–

396,627

Total

Assets

$

20,423,957

$

151,234,545

$

44,136

$

171,702,638

AQR

TM

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

70,778,629

$

206,401,482

$

–

$

277,180,111

Short-Term

Investments

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

16,860,494

–

–

16,860,494

Futures

Contracts*

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

459,855

–

–

459,855

Total

Assets

$

88,098,978

$

206,401,482

$

–

$

294,500,460

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

687,315,285

$

–

$

–

$

687,315,285

Securities

Lending

Collateral

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

8,227,724

–

–

8,227,724

Short-Term

Investments

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

11,770,556

–

–

11,770,556

Futures

Contracts*

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

471,639

–

–

471,639

Total

Assets

$

707,785,204

$

–

$

–

$

707,785,204

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

184,173,196

$

–

$

–

(a)

$

184,173,196

Securities

Lending

Collateral

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

12,936,946

–

–

12,936,946

Short-Term

Investments

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

9,106,369

–

–

9,106,369

Futures

Contracts*

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

764,587

–

–

764,587

Total

Assets

$

206,981,098

$

–

$

–

(a)

$

206,981,098

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

30,351,596

$

314,248,933

$

–

$

344,600,529

Securities

Lending

Collateral

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

391,451

–

–

391,451

Short-Term

Investments

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

5,057,277

–

–

5,057,277

Futures

Contracts*

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

787,822

–

–

787,822

Total

Assets

$

36,588,146

$

314,248,933

$

–

$

350,837,079

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

197,878,340

$

–

$

–

$

197,878,340

Securities

Lending

Collateral

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

1,358,282

–

–

1,358,282

Short-Term

Investments

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

4,119,181

–

–

4,119,181

Futures

Contracts*

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

11,127

–

–

11,127

Total

Assets

$

203,366,930

$

–

$

–

$

203,366,930

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

37,406,449

$

–

$

–

$

37,406,449

Securities

Lending

Collateral

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

2,651,378

–

–

2,651,378

Short-Term

Investments

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

252,864

–

–

252,864

Futures

Contracts*

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

5,674

–

–

5,674

Total

Assets

$

40,316,365

$

–

$

–

$

40,316,365

181

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

3,310,839

$

78,196,870

$

–

$

81,507,709

Securities

Lending

Collateral

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

7,366

–

–

7,366

Short-Term

Investments

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

1,332,802

–

–

1,332,802

Futures

Contracts*

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

7,781

–

–

7,781

Total

Assets

$

4,658,788

$

78,196,870

$

–

$

82,855,658

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

4,748,041,381

$

–

$

–

$

4,748,041,381

Securities

Lending

Collateral

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

29,631,331

–

–

29,631,331

Short-Term

Investments

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

46,378,208

–

–

46,378,208

Total

Assets

$

4,824,050,920

$

–

$

–

$

4,824,050,920

LIABILITIES

Futures

Contracts*

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

$

(123,712)

$

–

$

–

$

(123,712)

Total

Liabilities

$

(123,712)

$

–

$

–

$

(123,712)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

23,584,098

$

161,821,104

$

55,614

$

185,460,816

Securities

Lending

Collateral

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

182,289

–

–

182,289

Short-Term

Investments

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

9,910,015

–

–

9,910,015

Total

Assets

$

33,676,402

$

161,821,104

$

55,614

$

195,553,120

LIABILITIES

Futures

Contracts*

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

$

(171)

$

–

$

–

$

(171)

Total

Liabilities

$

(171)

$

–

$

–

$

(171)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

7,350,701

$

53,808,740

$

1

$

61,159,442

Corporate

Bonds

†

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

–

64

–

64

Short-Term

Investments

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

2,654,170

–

–

2,654,170

Futures

Contracts*

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

36,851

–

–

36,851

Total

Assets

$

10,041,722

$

53,808,804

$

1

$

63,850,527

AQR

GLOBAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

140,902,596

$

71,888,355

$

119

$

212,791,070

Securities

Lending

Collateral

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

102,746

–

–

102,746

Short-Term

Investments

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

27,102,121

–

–

27,102,121

Futures

Contracts*

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

1,512,693

–

–

1,512,693

Forward

Foreign

Currency

Exchange

Contracts*

........

–

4,378,048

–

4,378,048

Total

Return

Swaps

Contracts*

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

–

128,835

–

128,835

Total

Assets

$

169,620,156

$

76,395,238

$

119

$

246,015,513

LIABILITIES

Forward

Foreign

Currency

Exchange

Contracts*

........

$

–

$

(4,709,741)

$

–

$

(4,709,741)

Total

Return

Swaps

Contracts*

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

–

(616,023)

–

(616,023)

Total

Liabilities

$

–

$

(5,325,764)

$

–

$

(5,325,764)

AQR

INTERNATIONAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

139,989,543

$

177

$

139,989,720

Short-Term

Investments

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

12,647,882

–

–

12,647,882

Futures

Contracts*

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

2,269,286

–

–

2,269,286

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,548,397

–

3,548,397

Total

Return

Swaps

Contracts*

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

–

317,876

–

317,876

Total

Assets

$

14,917,168

$

143,855,816

$

177

$

158,773,161

182

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price. 

The

following

table

includes

a

rollforward

of

the

balances

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

period

for

AQR

International

Multi-Style

Fund

that

held

Level

3

securities

that

were

considered

quantitatively

significant:

At

March

31,

2020,

the

value

of

Level

3

securities

that

are

valued

by

pricing

vendors

or

brokers

for

the

AQR

International

Multi-Style

Fund

was

$142,691.

The

inputs

for

these

securities

are

not

readily

available

or

cannot

be

reasonably

estimated

and

are

generally

those

inputs

described

in

Note

4.

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.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

that

are

considered

quantitatively

insignificant

in

the

aggregate

for

the

AQR

TM

International

Multi-Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Emerging

Defensive

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund. 

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

INTERNATIONAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

LIABILITIES

Futures

Contracts*

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

$

(192,254)

$

–

$

–

$

(192,254)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(4,580,954)

–

(4,580,954)

Total

Return

Swaps

Contracts*

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

–

(382,026)

–

(382,026)

Total

Liabilities

$

(192,254)

$

(4,962,980)

$

–

$

(5,155,234)

*

Derivative

instruments,

including

futures,

forward

foreign

currency

exchange

and

total

return

swap

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

AQR

INTERNATIONAL

MULTI-STYLE

FUND

COMMON

STOCKS

Balance

as

of

September

30,

2019

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

$

–

Accrued

discounts/(premiums)

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

–

Realized

gain/(loss)

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

–

Change

in

unrealized

appreciation/(depreciation)

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

(792,078)

Purchases

1

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

–

Sales

2

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

–

Transfers

into

Level

3

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

934,769

Transfers

out

of

Level

3

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

–

Balance

as

of

March

31,

2020

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

$

142,691

Change

in

Unrealized

appreciation/(depreciation)

for

the

securities

still

held

at

March

31,

2020

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

$

(792,078)

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.

183

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Federal

Income

Tax

Matters

At

March

31,

2020,

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.

The

Funds’

tax

basis

capital

gains

and

losses

are

determined

only

at

the

end

of

the

year. 

As

of

September

30,

2019,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards,

with

no

expiration,

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Large

Cap

Multi-Style

Fund

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

$

918,218,331

$

177,572,802

$

(147,248,775)

$

30,324,027

AQR

Small

Cap

Multi-Style

Fund

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

286,851,689

22,814,182

(58,785,819)

(35,971,637)

AQR

International

Multi-Style

Fund

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

221,152,497

17,899,513

(38,047,114)

(20,147,601)

AQR

Emerging

Multi-Style

Fund

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

162,538,396

29,315,899

(32,190,463)

(2,874,564)

AQR

TM

Large

Cap

Multi-Style

Fund

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

214,445,414

39,208,578

(23,011,784)

16,196,794

AQR

TM

Small

Cap

Multi-Style

Fund

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

19,103,188

1,683,459

(4,325,675)

(2,642,216)

AQR

TM

International

Multi-Style

F

und

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

182,705,321

14,764,093

(25,766,776)

(11,002,683)

AQR

TM

Emerging

Multi-Style

Fund

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

296,492,995

48,014,767

(50,007,302)

(1,992,535)

AQR

Large

Cap

Momentum

Style

Fund

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

632,166,981

135,253,926

(59,635,703)

75,618,223

AQR

Small

Cap

Momentum

Style

Fund

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

219,280,880

26,930,657

(39,230,439)

(12,299,782)

AQR

International

Momentum

Style

Fund

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

348,743,583

38,848,557

(36,755,061)

2,093,496

AQR

TM

Large

Cap

Momentum

Style

Fund

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

153,480,199

58,763,078

(8,876,347)

49,886,731

AQR

TM

Small

Cap

Momentum

Style

Fund

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

40,879,356

6,907,713

(7,470,704)

(562,991)

AQR

TM

International

Momentum

Style

Fund

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

80,593,101

11,696,148

(9,433,591)

2,262,557

AQR

Large

Cap

Defensive

Style

Fund

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

4,901,953,744

403,065,967

(481,092,503)

(78,026,536)

AQR

International

Defensive

Style

Fund

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

203,971,374

20,694,852

(29,113,277)

(8,418,425)

AQR

Emerging

Defensive

Style

Fund

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

70,293,295

6,468,103

(12,910,871)

(6,442,768)

AQR

Global

Equity

Fund

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

256,859,715

29,791,135

(45,961,101)

(16,169,966)

AQR

International

Equity

Fund

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

175,665,075

16,420,766

(38,467,914)

(22,047,148)

FUND

SHORT-TERM

LONG

TERM

AQR

International

Multi-Style

Fund

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

$

17,084,330

$

101,330

AQR

Emerging

Multi-Style

Fund

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

29,482,558

—

AQR

TM

Small

Cap

Multi-Style

Fund

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

610,359

—

AQR

TM

International

Multi-Style

Fund

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

6,030,672

—

AQR

TM

Emerging

Multi-Style

Fund

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

12,426,896

—

AQR

International

Momentum

Style

Fund

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

12,875,747

—

AQR

TM

International

Momentum

Style

Fund

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

13,550,897

—

AQR

Large

Cap

Defensive

Style

Fund

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

2,909,208

—

AQR

International

Defensive

Style

Fund

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

126,821

579,938

AQR

Emerging

Defensive

Style

Fund

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

5,552,414

6,241,297

AQR

Global

Equity

Fund

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

7,287,642

—

184

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Investment

Transactions

During

the period

ended

March

31,

2020,

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:

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

PURCHASES

SALES

AQR

Large

Cap

Multi-Style

Fund

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

$

300,387,815

$

606,835,746

AQR

Small

Cap

Multi-Style

Fund

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

127,804,002

318,655,564

AQR

International

Multi-Style

Fund

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

67,970,899

99,903,732

AQR

Emerging

Multi-Style

Fund

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

67,471,465

93,920,417

AQR

TM

Large

Cap

Multi-Style

Fund

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

84,824,466

117,930,258

AQR

TM

Small

Cap

Multi-Style

Fund

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

6,212,953

8,061,184

AQR

TM

International

Multi-Style

Fund

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

76,287,842

63,879,665

AQR

TM

Emerging

Multi-Style

Fund

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

113,829,064

110,609,896

AQR

Large

Cap

Momentum

Style

Fund

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

325,677,882

452,317,820

AQR

Small

Cap

Momentum

Style

Fund

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

79,854,794

103,079,310

AQR

International

Momentum

Style

Fund

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

129,209,880

152,879,163

AQR

TM

Large

Cap

Momentum

Style

Fund

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

79,631,771

75,612,374

AQR

TM

Small

Cap

Momentum

Style

Fund

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

10,383,391

15,315,748

AQR

TM

International

Momentum

Style

Fund

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

19,520,109

28,819,409

AQR

Large

Cap

Defensive

Style

Fund

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

1,357,708,622

463,319,569

AQR

International

Defensive

Style

Fund

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

25,673,817

41,435,616

AQR

Emerging

Defensive

Style

Fund

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

10,189,354

14,155,854

AQR

Global

Equity

Fund

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

120,741,654

127,796,832

AQR

International

Equity

Fund

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

82,001,934

124,234,625

185

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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

March

31,

2020.

ASSETS

LIABILITIES

FUND

UNREALIZED

APPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

UNREALIZED

APPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

UNREALIZED

DEPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

UNREALIZED

DEPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Equity

Risk

Exposure:

AQR

Large

Cap

Multi-Style

Fund

..........

$

–

$

–

$

–

$

202,437

$

–

$

–

AQR

Small

Cap

Multi-Style

Fund

...........

1,485,528

–

–

–

–

–

AQR

International

Multi-Style

Fund

.........

963,769

–

–

–

–

–

AQR

Emerging

Multi-Style

Fund

...........

81,029

–

–

–

–

–

AQR

TM

Large

Cap

Multi-Style

Fund

........

47,990

–

–

–

–

–

AQR

TM

Small

Cap

Multi-Style

Fund

........

29,198

–

–

–

–

–

AQR

TM

International

Multi-Style

Fund

......

396,627

–

–

–

–

–

AQR

TM

Emerging

Multi-Style

Fund

........

459,855

–

–

–

–

–

AQR

Large

Cap

Momentum

Style

Fund

......

471,639

–

–

–

–

–

AQR

Small

Cap

Momentum

Style

Fund

......

764,587

–

–

–

–

–

AQR

International

Momentum

Style

Fund

....

787,822

–

–

–

–

–

AQR

TM

Large

Cap

Momentum

Style

Fund

...

11,127

–

–

–

–

–

AQR

TM

Small

Cap

Momentum

Style

Fund

...

5,674

–

–

–

–

–

AQR

TM

International

Momentum

Style

Fund

.

7,781

–

–

–

–

–

AQR

Large

Cap

Defensive

Style

Fund

.......

–

–

–

123,712

–

–

AQR

International

Defensive

Style

Fund

.....

–

–

–

171

–

–

AQR

Emerging

Defensive

Style

Fund

.......

36,851

–

–

–

–

–

AQR

Global

Equity

Fund

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

1,512,693

128,835

–

–

616,023

–

AQR

International

Equity

Fund

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

2,269,286

317,876

–

192,254

382,026

–

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Global

Equity

Fund

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

–

–

4,378,048

–

–

4,709,741

AQR

International

Equity

Fund

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

–

–

3,548,397

–

–

4,580,954

Net

Fair

Value

of

Derivative

Contracts:

AQR

Large

Cap

Multi-Style

Fund

..........

–

–

–

202,437

–

–

AQR

Small

Cap

Multi-Style

Fund

...........

1,485,528

–

–

–

–

–

AQR

International

Multi-Style

Fund

.........

963,769

–

–

–

–

–

AQR

Emerging

Multi-Style

Fund

...........

81,029

–

–

–

–

–

AQR

TM

Large

Cap

Multi-Style

Fund

........

47,990

–

–

–

–

–

AQR

TM

Small

Cap

Multi-Style

Fund

........

29,198

–

–

–

–

–

AQR

TM

International

Multi-Style

Fund

......

396,627

–

–

–

–

–

AQR

TM

Emerging

Multi-Style

Fund

........

459,855

–

–

–

–

–

AQR

Large

Cap

Momentum

Style

Fund

......

471,639

–

–

–

–

–

AQR

Small

Cap

Momentum

Style

Fund

......

764,587

–

–

–

–

–

AQR

International

Momentum

Style

Fund

....

787,822

–

–

–

–

–

AQR

TM

Large

Cap

Momentum

Style

Fund

...

11,127

–

–

–

–

–

AQR

TM

Small

Cap

Momentum

Style

Fund

...

5,674

–

–

–

–

–

AQR

TM

International

Momentum

Style

Fund

.

7,781

–

–

–

–

–

AQR

Large

Cap

Defensive

Style

Fund

.......

–

–

–

123,712

–

–

AQR

International

Defensive

Style

Fund

.....

–

–

–

171

–

–

AQR

Emerging

Defensive

Style

Fund

.......

36,851

–

–

–

–

–

AQR

Global

Equity

Fund

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

1,512,693

–

–

–

487,188

331,693

AQR

International

Equity

Fund

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

2,077,032

–

–

–

64,150

1,032,557

*

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.

186

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the period

ended

March

31,

2020:

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

March

31,

2020:

AQR

Global

Equity

Fund

REALIZED

GAIN

(LOSS)

ON

DERIVATIVES

RECOGNIZED

AS

A

RESULT  

FROM

OPERATIONS

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

ON

DERIVATIVES

RECOGNIZED

AS

A  RESULT

FROM

OPERATIONS

FUND

FUTURES

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

FUTURES

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Equity

Risk

Exposure:

AQR

Large

Cap

Multi-Style

Fund

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

$

(8,305,241)

$

–

$

–

$

(100,079)

$

–

$

–

AQR

Small

Cap

Multi-Style

Fund

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

(15,529,779)

–

–

1,662,758

–

–

AQR

International

Multi-Style

Fund

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

(2,398,678)

–

–

1,009,698

–

–

AQR

Emerging

Multi-Style

Fund

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

(2,109,259)

–

–

248,626

–

–

AQR

TM

Large

Cap

Multi-Style

Fund

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

(2,795,480)

–

–

119,809

–

–

AQR

TM

Small

Cap

Multi-Style

Fund

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

(220,777)

–

–

46,814

–

–

AQR

TM

International

Multi-Style

Fund

...........

(2,537,846)

–

–

415,377

–

–

AQR

TM

Emerging

Multi-Style

Fund

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

(2,813,588)

–

–

676,363

–

–

AQR

Large

Cap

Momentum

Style

Fund

...........

(5,065,598)

–

–

636,377

–

–

AQR

Small

Cap

Momentum

Style

Fund

...........

(3,228,974)

–

–

905,683

–

–

AQR

International

Momentum

Style

Fund

.........

(2,375,913)

–

–

826,114

–

–

AQR

TM

Large

Cap

Momentum

Style

Fund

........

(2,080,776)

–

–

58,911

–

–

AQR

TM

Small

Cap

Momentum

Style

Fund

........

(681,192)

–

–

46,124

–

–

AQR

TM

International

Momentum

Style

Fund

......

(1,453,836)

–

–

21,856

–

–

AQR

Large

Cap

Defensive

Style

Fund

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

(20,293,486)

–

–

740,877

–

–

AQR

International

Defensive

Style

Fund

..........

(426,014)

–

–

15,026

–

–

AQR

Emerging

Defensive

Style

Fund

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

(516,063)

–

–

89,700

–

–

AQR

Global

Equity

Fund

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

(9,686,718)

2,407,143

–

994,311

(633,393)

–

AQR

International

Equity

Fund

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

(8,611,855)

2,116,657

–

1,646,206

(24,026)

–

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Global

Equity

Fund

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

–

–

463,049

–

–

(1,130,880)

AQR

International

Equity

Fund

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

–

–

38,147

–

–

(1,668,127)

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

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

2,189,060

$

(2,189,060)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,188,988

(2,188,988)

–

JPMC

..........

Total

Return

Swap

Contracts

128,835

(128,835)

–

Total

JPMC

2,317,823

(2,317,823)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,506,883

(4,506,883)

–

–

–

–

187

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

AQR

Global

Equity

Fund

(continued)

(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

$

2,466,330.

AQR

International

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)

(a)

NET

AMOUNT

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

2,354,819

$

(2,189,060)

$

165,759

$

–

$

–

$

165,759

CITI

...........

Total

Return

Swap

Contracts

260,038

–

260,038

–

(260,038)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,354,922

(2,188,988)

165,934

JPMC

..........

Total

Return

Swap

Contracts

355,985

(128,835)

227,150

Total

JPMC

2,710,907

(2,317,823)

393,084

–

(393,084)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,325,764

(4,506,883)

818,881

–

(653,122)

165,759

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

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

1,774,239

$

(1,774,239)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,774,158

(1,774,158)

–

JPMC

..........

Total

Return

Swap

Contracts

317,876

(317,876)

–

Total

JPMC

2,092,034

(2,092,034)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

3,866,273

(3,866,273)

–

–

–

–

188

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

AQR

International

Equity

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$1,154,180.

For

the period

ended

March

31,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

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

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

2,290,427

$

(1,774,239)

$

516,188

$

–

$

(516,188)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,290,527

(1,774,158)

516,369

JPMC

..........

Total

Return

Swap

Contracts

382,026

(317,876)

64,150

Total

JPMC

2,672,553

(2,092,034)

580,519

–

(580,519)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,962,980

(3,866,273)

1,096,707

–

(1,096,707)

–

*

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

16,758,853

$

5,452,763

$

9,290,860

$

6,597,382

$

8,202,360

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

4,625,460

11,016,960

10,759,170

4,214,500

6,038,795

Ending

Notional

Balance

-

Short

–

–

–

–

–

*

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

275,977

$

7,758,030

$

8,418,268

$

20,353,212

$

7,878,347

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

286,900

9,199,870

13,907,850

6,167,280

9,123,420

Ending

Notional

Balance

-

Short

–

–

–

–

–

189

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended

(the

“Investment

Management

Agreement”),

or

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended

(“Investment

Management

Agreement

II”),

each

entered

into

by

the

Trust,

on

behalf

of

the

Funds

(the

Investment

Management

Agreement

and

Investment

Management

Agreement

II

collectively

referred

to

herein

as

the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

*

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

7,124,133

$

5,857,927

$

1,681,403

$

3,996,360

$

116,499,027

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

6,159,235

2,569,700

1,721,400

3,040,635

2,826,670

Ending

Notional

Balance

-

Short

–

–

–

–

–

*

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

2,666,328

$

1,981,463

$

51,512,259

$

48,428,949

Average

Notional

Balance

-

Short

–

–

27,791,671

20,976,022

Ending

Notional

Balance

-

Long

389,825

2,655,135

27,567,880

24,817,276

Ending

Notional

Balance

-

Short

–

–

178,183

3,431,754

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

–

–

109,843,889

129,250,657

Average

Settlement

Value

-

Sold

–

–

101,765,810

108,569,055

Ending

Value

-

Purchased

–

–

145,064,518

156,200,321

Ending

Value

-

Sold

–

–

135,527,531

136,751,307

Total

Return

Swaps:

Average

Notional

Balance

-

Long

–

–

10,366,719

7,047,722

Average

Notional

Balance

-

Short

–

–

5,436,038

13,813,331

Ending

Notional

Balance

-

Long

–

–

5,916,938

2,094,552

Ending

Notional

Balance

-

Short

–

–

3,813,378

5,103,258

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

190

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Pursuant

to

the Investment

Management 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

January

28,

2021

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:

FUND

RATIO

AQR

Large

Cap

Multi-Style

Fund

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

0.30%

AQR

Small

Cap

Multi-Style

Fund

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

0.50

AQR

International

Multi-Style

Fund

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

0.45

AQR

Emerging

Multi-Style

Fund

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

0.60

AQR

TM

Large

Cap

Multi-Style

Fund

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

0.30

AQR

TM

Small

Cap

Multi-Style

Fund

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

0.50

AQR

TM

International

Multi-Style

Fund

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

0.45

AQR

TM

Emerging

Multi-Style

Fund

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

0.60

AQR

Large

Cap

Momentum

Style

Fund

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

0.25

AQR

Small

Cap

Momentum

Style

Fund

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

0.45

AQR

International

Momentum

Style

Fund

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

0.40

AQR

TM

Large

Cap

Momentum

Style

Fund

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

0.25

AQR

TM

Small

Cap

Momentum

Style

Fund

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

0.45

AQR

TM

International

Momentum

Style

Fund

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

0.40

AQR

Large

Cap

Defensive

Style

Fund

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

0.25

AQR

International

Defensive

Style

Fund

....................................................................

0.40

AQR

Emerging

Defensive

Style

Fund

......................................................................

0.55

AQR

Global

Equity

Fund

................................................................................

0.60

AQR

International

Equity

Fund

...........................................................................

0.65

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Large

Cap

Multi-Style

Fund

.....................................................

0.15

%

0.15

%

0.05

%

AQR

Small

Cap

Multi-Style

Fund

......................................................

0.15

0.15

0.05

AQR

International

Multi-Style

Fund

....................................................

0.15

0.15

0.05

AQR

Emerging

Multi-Style

Fund

......................................................

0.15

0.15

0.05

AQR

TM

Large

Cap

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

TM

Small

Cap

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

TM

International

Multi-Style

Fund

.................................................

0.15

0.15

0.05

AQR

TM

Emerging

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

Large

Cap

Momentum

Style

Fund

.................................................

0.15

0.15

0.05

AQR

Small

Cap

Momentum

Style

Fund

.................................................

0.15

0.15

0.05

AQR

International

Momentum

Style

Fund

...............................................

0.15

0.15

0.05

AQR

TM

Large

Cap

Momentum

Style

Fund

..............................................

0.15

0.15

0.05

AQR

TM

Small

Cap

Momentum

Style

Fund

..............................................

0.15

0.15

0.05

AQR

TM

International

Momentum

Style

Fund

............................................

0.15

0.15

0.05

AQR

Large

Cap

Defensive

Style

Fund

..................................................

0.15

0.15

0.05

AQR

International

Defensive

Style

Fund

................................................

0.15

0.15

0.05

AQR

Emerging

Defensive

Style

Fund

..................................................

0.15

0.15

0.05

AQR

Global

Equity

Fund

............................................................

0.20

0.20

0.10

AQR

International

Equity

Fund

.......................................................

0.20

0.20

0.10

191

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

For

the period

ended March

31,

2020,

the

Funds’

Adviser

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 period

ended

March

31,

2020,

the

amounts

reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at March

31,

2020

are

as

follows:

FUND

EXPENSE

REIMBURSEMENTS

TOTAL

AQR

Large

Cap

Multi-Style

Fund

.......................................................

$

63,950

$

63,950

AQR

Small

Cap

Multi-Style

Fund

........................................................

84,721

84,721

AQR

International

Multi-Style

Fund

......................................................

89,976

89,976

AQR

Emerging

Multi-Style

Fund

........................................................

147,273

147,273

AQR

TM

Large

Cap

Multi-Style

Fund

.....................................................

63,518

63,518

AQR

TM

Small

Cap

Multi-Style

Fund

.....................................................

68,797

68,797

AQR

TM

International

Multi-Style

Fund

...................................................

82,766

82,766

AQR

TM

Emerging

Multi-Style

Fund

.....................................................

164,005

164,005

AQR

Large

Cap

Momentum

Style

Fund

...................................................

74,700

74,700

AQR

Small

Cap

Momentum

Style

Fund

...................................................

76,795

76,795

AQR

International

Momentum

Style

Fund

.................................................

104,039

104,039

AQR

TM

Large

Cap

Momentum

Style

Fund

................................................

62,254

62,254

AQR

TM

Small

Cap

Momentum

Style

Fund

................................................

71,385

71,385

AQR

TM

International

Momentum

Style

Fund

..............................................

79,087

79,087

AQR

Large

Cap

Defensive

Style

Fund

....................................................

212,203

212,203

AQR

International

Defensive

Style

Fund

..................................................

91,167

91,167

AQR

Emerging

Defensive

Style

Fund

....................................................

103,315

103,315

AQR

Global

Equity

Fund

..............................................................

13,280

13,280

AQR

International

Equity

Fund

.........................................................

54,904

54,904

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31

,

MARCH

31,

2020

MARCH

31,

2020

20

20

20

21

20

22

20

23

AQR

LARGE

CAP

MULTI-STYLE

FUND

Class

I

................

$

15,397

$

49,869

$

18,118

$

–

$

16,354

$

15,397

Class

N

................

1,384

6,445

2,658

–

2,403

1,384

Class

R6

...............

47,169

138,870

51,243

–

40,458

47,169

Totals

$

63,950

$

195,184

$

72,019

$

–

$

59,215

$

63,950

AQR

SMALL

CAP

MULTI-STYLE

FUND

Class

I

................

$

7,512

$

37,332

$

10,647

$

9,186

$

9,987

$

7,512

Class

N

................

1,151

5,840

1,840

1,176

1,673

1,151

Class

R6

...............

76,058

440,255

138,796

104,259

121,142

76,058

Totals

$

84,721

$

483,427

$

151,283

$

114,621

$

132,802

$

84,721

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Class

I

................

$

15,983

$

114,437

$

18,386

$

31,932

$

48,136

$

15,983

Class

N

................

1,483

10,518

2,149

3,032

3,854

1,483

Class

R6

...............

72,510

495,628

93,428

152,629

177,061

72,510

Totals

$

89,976

$

620,583

$

113,963

$

187,593

$

229,051

$

89,976

AQR

EMERGING

MULTI-STYLE

FUND

Class

I

................

$

30,871

$

210,449

$

60,768

$

69,909

$

48,901

$

30,871

Class

N

................

2,698

20,441

4,819

7,960

4,964

2,698

Class

R6

...............

113,704

812,761

146,892

323,494

228,671

113,704

Totals

$

147,273

$

1,043,651

$

212,479

$

401,363

$

282,536

$

147,273

192

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31,

MARCH

31,

2020

MARCH

31,

2020

2020

2021

2022

2023

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Class

I

................

$

18,832

$

105,492

$

19,182

$

25,615

$

41,863

$

18,832

Class

N

................

262

2,355

661

798

634

262

Class

R6

...............

44,424

255,731

48,250

62,657

100,400

44,424

Totals

$

63,518

$

363,578

$

68,093

$

89,070

$

142,897

$

63,518

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Class

I

................

$

52,115

$

322,574

$

52,104

$

98,415

$

119,940

$

52,115

Class

N

................

10,130

74,996

14,356

25,482

25,028

10,130

Class

R6

...............

6,552

36,872

5,857

10,046

14,417

6,552

Totals

$

68,797

$

434,442

$

72,317

$

133,943

$

159,385

$

68,797

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Class

I

................

$

12,969

$

79,682

$

12,647

$

23,942

$

30,124

$

12,969

Class

N

................

499

4,811

1,026

1,830

1,456

499

Class

R6

...............

69,298

452,208

75,038

137,643

170,229

69,298

Totals

$

82,766

$

536,701

$

88,711

$

163,415

$

201,809

$

82,766

AQR

TM

EMERGING

MULTI-STYLE

FUND

Class

I

................

$

17,596

$

72,191

$

8,664

$

20,043

$

25,888

$

17,596

Class

N

................

310

5,034

1,347

2,392

985

310

Class

R6

...............

146,099

962,438

173,578

363,261

279,500

146,099

Totals

$

164,005

$

1,039,663

$

183,589

$

385,696

$

306,373

$

164,005

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Class

I

................

$

53,561

$

155,871

$

20,411

$

6,875

$

75,024

$

53,561

Class

N

................

5,113

13,523

1,395

472

6,543

5,113

Class

R6

...............

16,026

29,347

1,563

525

11,233

16,026

Totals

$

74,700

$

198,741

$

23,369

$

7,872

$

92,800

$

74,700

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Class

I

................

$

58,643

$

357,551

$

62,872

$

91,579

$

144,457

$

58,643

Class

N

................

1,381

4,053

294

392

1,986

1,381

Class

R6

...............

16,771

34,633

1,965

3,485

12,412

16,771

Totals

$

76,795

$

396,237

$

65,131

$

95,456

$

158,855

$

76,795

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Class

I

................

$

64,262

$

483,001

$

87,499

$

157,165

$

174,075

$

64,262

Class

N

................

8,733

55,141

9,067

17,204

20,137

8,733

Class

R6

...............

31,044

107,485

11,882

24,162

40,397

31,044

Totals

$

104,039

$

645,627

$

108,448

$

198,531

$

234,609

$

104,039

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Class

I

................

$

32,512

$

180,836

$

27,776

$

50,023

$

70,525

$

32,512

Class

N

................

1,541

13,334

756

5,496

5,541

1,541

Class

R6

...............

28,201

166,572

28,089

46,782

63,500

28,201

Totals

$

62,254

$

360,742

$

56,621

$

102,301

$

139,566

$

62,254

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Class

I

................

$

67,136

$

402,950

$

62,304

$

118,457

$

155,053

$

67,136

Class

N

................

3,852

24,604

1,011

9,721

10,020

3,852

Class

R6

...............

397

1,821

273

448

703

397

Totals

$

71,385

$

429,375

$

63,588

$

128,626

$

165,776

$

71,385

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Class

I

................

$

36,194

$

237,845

$

33,042

$

77,493

$

91,116

$

36,194

Class

N

................

2,184

24,184

1,087

9,544

11,369

2,184

Class

R6

...............

40,709

283,005

43,756

92,981

105,559

40,709

Totals

$

79,087

$

545,034

$

77,885

$

180,018

$

208,044

$

79,087

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Class

I

................

$

140,767

$

450,127

$

63,494

$

19,257

$

226,609

$

140,767

Class

N

................

14,715

70,900

21,077

5,241

29,867

14,715

Class

R6

...............

56,721

159,380

15,951

5,065

81,643

56,721

Totals

$

212,203

$

680,407

$

100,522

$

29,563

$

338,119

$

212,203

193

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

During

the period

ended

March

31,

2020,

the

Funds

recouped

amounts

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

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.

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). 

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31,

MARCH

31,

2020

MARCH

31,

2020

2020

2021

2022

2023

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Class

I

................

$

63,868

$

422,506

$

62,327

$

121,661

$

174,650

$

63,868

Class

N

................

3,146

37,937

15,097

14,206

5,488

3,146

Class

R6

...............

24,153

80,839

9,348

18,492

28,846

24,153

Totals

$

91,167

$

541,282

$

86,772

$

154,359

$

208,984

$

91,167

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Class

I

................

$

94,697

$

586,780

$

104,992

$

188,174

$

198,917

$

94,697

Class

N

................

8,415

60,555

7,181

18,391

26,568

8,415

Class

R6

...............

203

1,637

353

559

522

203

Totals

$

103,315

$

648,972

$

112,526

$

207,124

$

226,007

$

103,315

AQR

GLOBAL

EQUITY

FUND

Class

I

................

$

5,585

$

61,010

$

8,903

$

26,377

$

20,145

$

5,585

Class

N

................

211

1,624

471

435

507

211

Class

R6

...............

7,484

94,918

31,588

35,106

20,740

7,484

Totals

$

13,280

$

157,552

$

40,962

$

61,918

$

41,392

$

13,280

AQR

INTERNATIONAL

EQUITY

FUND

Class

I

................

$

42,870

$

246,307

$

12,446

$

74,800

$

116,191

$

42,870

Class

N

................

1,657

9,084

858

2,747

3,822

1,657

Class

R6

...............

10,377

38,703

1,202

9,036

18,088

10,377

Totals

$

54,904

$

294,094

$

14,506

$

86,583

$

138,101

$

54,904

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Global

Equity

Fund

..................................................

$

805

$

35

$

1,276

194

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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.

Geopolitical

and

other

events,

including

war,

terrorism,

economic

uncertainty,

trade

disputes,

public

health

crises

and

related

geopolitical

events

have

led,

and

in

the

future

may

lead,

to

increased

market

volatility,

which

may

disrupt

the

U.S.

and

world

economies

and

markets

and

may

have

significant

adverse

direct

or

indirect

effects

on

the

Funds

and

their

investments.

Although

multiple

asset

classes

may

be

affected

by

a

market

disruption,

the

duration

and

effects

may

not

be

the

same

for

all

types

of

assets.

Such

events

include

the

recent

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

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

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

Fund

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

presents

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

Fund

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.

195

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interfund

lending

expense

in

the

Statements

of

Operations.

196

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

During

the

reporting

period,

average

borrowings

under

the

Interfund

Lending

Program

were

as

follows:

The

outstanding

balance

on

the

Interfund

Lending

for

the

AQR

Emerging

Multi-Style

Fund,

AQR

TM

International

Momentum

Style

Fund

and

AQR

International

Defensive

Style

Fund

was

repaid

on

or

before

April

3,

2020.

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

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 March

31,

2020

by

any

of

the

Funds

in

the

Trust.

The

Funds

had

the

following

borrowings

during

the

period:

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

OUTSTANDING

LOAN

AMOUNT

INTEREST

PAID

AQR

Large

Cap

Multi-Style

Fund

........................

$

18,608,000

5

$

–

$

5,869

AQR

Small

Cap

Multi-Style

Fund

.........................

2,943,750

8

–

1,489

AQR

International

Multi-Style

Fund

.......................

2,840,000

6

–

1,079

AQR

Emerging

Multi-Style

Fund

.........................

4,000,000

5

6,480,000

100

AQR

TM

Large

Cap

Multi-Style

Fund

......................

1,788,000

10

–

594

AQR

Large

Cap

Momentum

Style

Fund

....................

2,460,000

9

–

1,390

AQR

TM

International

Momentum

Style

Fund

...............

1,623,636

11

2,310,000

693

AQR

International

Defensive

Style

Fund

...................

1,012,857

7

1,500,000

449

FUND

AVERAGE

BORROWINGS

AVERAGE

INTEREST

RATE%

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

PAID

AQR

TM

International

Momentum

Style

Fund

.............................

$900,000

1.25

1

$31

197

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Principal

Ownership

As

of

March

31,

2020,

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

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Large

Cap

Multi-Style

Fund

...........................................

4

94.48%

AQR

Small

Cap

Multi-Style

Fund

............................................

2

92.41%

AQR

International

Multi-Style

Fund

..........................................

4

94.43%

AQR

Emerging

Multi-Style

Fund

............................................

4

93.10%

AQR

TM

Large

Cap

Multi-Style

Fund

.........................................

4

92.55%

AQR

TM

Small

Cap

Multi-Style

Fund*

........................................

4

92.30%

AQR

TM

International

Multi-Style

Fund

.......................................

4

94.12%

AQR

TM

Emerging

Multi-Style

Fund

.........................................

2

89.96%

AQR

Large

Cap

Momentum

Style

Fund

.......................................

3

88.19%

AQR

Small

Cap

Momentum

Style

Fund

.......................................

3

91.80%

AQR

International

Momentum

Style

Fund

.....................................

3

92.74%

AQR

TM

Large

Cap

Momentum

Style

Fund

....................................

3

94.16%

AQR

TM

Small

Cap

Momentum

Style

Fund

....................................

3

92.76%

AQR

TM

International

Momentum

Style

Fund

..................................

3

95.26%

AQR

Large

Cap

Defensive

Style

Fund

........................................

7

90.71%

AQR

International

Defensive

Style

Fund

......................................

3

93.64%

AQR

Emerging

Defensive

Style

Fund

........................................

3

95.25%

AQR

Global

Equity

Fund

..................................................

3

94.96%

AQR

International

Equity

Fund

.............................................

5

79.50%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

10.29%.

198

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

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

3/31/2020”

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

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

Large

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$836.50

0.45%

$2.07

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

Class

N

Actual

Return

$1,000.00

$835.50

0.70%

$3.21

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

Class

R6

Actual

Return

$1,000.00

$837.30

0.35%

$1.61

Hypothetical

Return

$1,000.00

$1,023.25

0.35%

$1.77

AQR

Small

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$746.00

0.65%

$2.84

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

N

Actual

Return

$1,000.00

$744.30

0.90%

$3.92

Hypothetical

Return

$1,000.00

$1,020.50

0.90%

$4.55

Class

R6

Actual

Return

$1,000.00

$746.30

0.55%

$2.40

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

AQR

International

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$815.30

0.60%

$2.72

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$814.70

0.85%

$3.86

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$816.20

0.50%

$2.27

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

199

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

Emerging

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$825.60

0.75%

$3.42

Hypothetical

Return

$1,000.00

$1,021.25

0.75%

$3.79

Class

N

Actual

Return

$1,000.00

$824.50

1.00%

$4.56

Hypothetical

Return

$1,000.00

$1,020.00

1.00%

$5.05

Class

R6

Actual

Return

$1,000.00

$826.50

0.65%

$2.97

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

AQR

TM

Large

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$843.40

0.45%

$2.07

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

Class

N

Actual

Return

$1,000.00

$841.80

0.70%

$3.22

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

Class

R6

Actual

Return

$1,000.00

$843.70

0.35%

$1.61

Hypothetical

Return

$1,000.00

$1,023.25

0.35%

$1.77

AQR

TM

Small

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$742.70

0.65%

$2.83

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

N

Actual

Return

$1,000.00

$741.70

0.90%

$3.92

Hypothetical

Return

$1,000.00

$1,020.50

0.90%

$4.55

Class

R6

Actual

Return

$1,000.00

$742.30

0.55%

$2.40

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

AQR

TM

International

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$825.40

0.60%

$2.74

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$823.80

0.85%

$3.88

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$825.60

0.50%

$2.28

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

AQR

TM

Emerging

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$833.40

0.75%

$3.44

Hypothetical

Return

$1,000.00

$1,021.25

0.75%

$3.79

Class

N

Actual

Return

$1,000.00

$831.90

1.00%

$4.58

Hypothetical

Return

$1,000.00

$1,020.00

1.00%

$5.05

Class

R6

Actual

Return

$1,000.00

$833.20

0.65%

$2.98

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

200

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

Large

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$867.50

0.40%

$1.87

Hypothetical

Return

$1,000.00

$1,023.00

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$866.40

0.65%

$3.03

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

R6

Actual

Return

$1,000.00

$868.10

0.30%

$1.40

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

Small

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$793.60

0.60%

$2.69

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$792.80

0.85%

$3.81

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$794.00

0.50%

$2.24

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

AQR

International

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$871.80

0.55%

$2.57

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$870.90

0.80%

$3.74

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$871.90

0.45%

$2.11

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

TM

Large

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$883.90

0.40%

$1.88

Hypothetical

Return

$1,000.00

$1,023.00

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$883.00

0.65%

$3.06

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

R6

Actual

Return

$1,000.00

$884.60

0.30%

$1.41

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

TM

Small

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$809.90

0.60%

$2.71

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$808.70

0.85%

$3.84

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$810.00

0.50%

$2.26

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

201

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

TM

International

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$875.00

0.55%

$2.58

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$873.50

0.80%

$3.75

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$875.40

0.45%

$2.11

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

Large

Cap

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$858.90

0.40%

$1.86

Hypothetical

Return

$1,000.00

$1,023.00

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$857.50

0.65%

$3.02

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

R6

Actual

Return

$1,000.00

$858.80

0.30%

$1.39

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

International

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$869.20

0.55%

$2.57

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$868.60

0.80%

$3.74

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$870.20

0.45%

$2.10

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

Emerging

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$818.10

0.70%

$3.18

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

Class

N

Actual

Return

$1,000.00

$817.20

0.95%

$4.32

Hypothetical

Return

$1,000.00

$1,020.25

0.95%

$4.80

Class

R6

Actual

Return

$1,000.00

$818.50

0.60%

$2.73

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

AQR

Global

Equity

Fund

Class

I

Actual

Return

$1,000.00

$827.30

0.80%

$3.65

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

N

Actual

Return

$1,000.00

$826.80

1.05%

$4.80

Hypothetical

Return

$1,000.00

$1,019.75

1.05%

$5.30

Class

R6

Actual

Return

$1,000.00

$827.10

0.70%

$3.20

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

202

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

183/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

International

Equity

Fund

Class

I

Actual

Return

$1,000.00

$805.10

0.86%

$3.88

Hypothetical

Return

$1,000.00

$1,020.70

0.86%

$4.34

Class

N

Actual

Return

$1,000.00

$803.90

1.11%

$5.01

Hypothetical

Return

$1,000.00

$1,019.45

1.11%

$5.60

Class

R6

Actual

Return

$1,000.00

$806.00

0.76%

$3.43

Hypothetical

Return

$1,000.00

$1,021.20

0.76%

$3.84

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

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Semi-Annual

Report

March

31,

2020

(Unaudited)

AQR

Core

Plus

Bond

Fund

Table

of

Contents

Schedule

of

Investments

.............................................................................

2

Financial

Statements

and

Notes

........................................................................

17

Fund

Expense

Examples

(Unaudited)

....................................................................

39

2

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

LONG

POSITIONS

-

156.9%

CORPORATE

BONDS

-

23.7%

Aerospace

&

Defense

-

0.6%

Hexcel

Corp.

3.95%,

2/15/2027

$

730,000

$

723,221

Automobiles

-

0.3%

General

Motors

Co.

5.20%,

4/1/2045

450,000

356,308

Banks

-

2.6%

Bangko

Sentral

ng

Pilipinas

Bond

(Philippines)

Series

A,

8.60%,

6/15/2027

60,000

81,825

Bank

of

Montreal

(Canada)

(USD

Swap

Semi

5

Year

+

1.43%),

3.80%,

12/15/2032(a)

200,000

194,261

Bank

of

Nova

Scotia

(The)

(Canada)

3.40%,

2/11/2024

300,000

315,095

Citizens

Financial

Group,

Inc.

4.30%,

12/3/2025

300,000

313,981

JPMorgan

Chase

&

Co.

2.95%,

10/1/2026

820,000

845,941

KeyCorp

2.55%,

10/1/2029

100,000

89,270

National

Bank

of

Canada

(Canada)

2.10%,

2/1/2023

430,000

421,525

SVB

Financial

Group

3.50%,

1/29/2025

390,000

392,812

Truist

Financial

Corp.

3.75%,

12/6/2023

270,000

285,523

Vnesheconombank

(Russia)

6.80%,

11/22/2025(b)

140,000

147,980

3,088,213

Biotechnology

-

0.1%

AbbVie,

Inc.

4.45%,

5/14/2046

100,000

106,133

Building

Products

-

0.7%

Fortune

Brands

Home

&

Security,

Inc.

3.25%,

9/15/2029

420,000

401,137

Owens

Corning

3.95%,

8/15/2029

410,000

387,040

788,177

Capital

Markets

-

1.0%

Ares

Capital

Corp.

3.50%,

2/10/2023

700,000

625,590

Goldman

Sachs

Group,

Inc.

(The)

6.75%,

10/1/2037

100,000

132,377

Northern

Trust

Corp.

3.15%,

5/3/2029

410,000

424,179

1,182,146

Chemicals

-

0.7%

Celanese

US

Holdings

LLC

3.50%,

5/8/2024

100,000

94,674

RPM

International,

Inc.

3.75%,

3/15/2027

800,000

786,273

880,947

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Commercial

Services

&

Supplies

-

0.1%

Waste

Connections,

Inc.

2.60%,

2/1/2030

$

180,000

$

170,580

Consumer

Finance

-

1.4%

American

Express

Co.

2.50%,

8/1/2022

810,000

815,252

Capital

One

Financial

Corp.

3.90%,

1/29/2024

530,000

531,010

Synchrony

Financial

3.95%,

12/1/2027

300,000

266,575

1,612,837

Diversified

Financial

Services

-

0.9%

GE

Capital

International

Funding

Co.

Unlimited

Co.

4.42%,

11/15/2035

400,000

426,832

Petronas

Capital

Ltd.

(Malaysia)

7.88%,

5/22/2022(b)

240,000

269,543

Voya

Financial,

Inc.

4.80%,

6/15/2046

330,000

348,101

1,044,476

Diversified

Telecommunication

Services

-

0.4%

AT&T,

Inc.

4.50%,

3/9/2048

100,000

108,292

Level

3

Financing,

Inc.

3.88%,

11/15/2029(b)

370,000

347,260

455,552

Electric

Utilities

-

1.4%

DPL,

Inc.

7.25%,

10/15/2021

596,000

587,060

Emera

US

Finance

LP

(Canada)

4.75%,

6/15/2046

100,000

92,074

FirstEnergy

Corp.

Series

B,

3.90%,

7/15/2027

810,000

822,821

NRG

Energy,

Inc.

3.75%,

6/15/2024(b)

200,000

196,202

1,698,157

Electronic

Equipment,

Instruments

&

Components

-

0.3%

Keysight

Technologies,

Inc.

4.60%,

4/6/2027

400,000

410,035

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.4%

American

Tower

Corp.

3.38%,

10/15/2026

110,000

108,982

Equinix

,

Inc.

5.38%,

5/15/2027

400,000

395,560

504,542

Food

&

Staples

Retailing

-

0.7%

Alimentation

Couche-Tard,

Inc.

(Canada)

2.70%,

7/26/2022(b)

788,000

778,984

Food

Products

-

0.2%

Smithfield

Foods,

Inc.

4.25%,

2/1/2027(b)

230,000

213,338

Gas

Utilities

-

0.2%

National

Fuel

Gas

Co.

4.75%,

9/1/2028

298,000

275,244

3

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Health

Care

Equipment

&

Supplies

-

0.6%

Edwards

Lifesciences

Corp.

4.30%,

6/15/2028

$

620,000

$

675,411

Health

Care

Providers

&

Services

-

1.6%

Anthem,

Inc.

4.63%,

5/15/2042

890,000

977,289

HCA,

Inc.

5.00%,

3/15/2024

360,000

372,740

Humana,

Inc.

4.95%,

10/1/2044

450,000

510,797

1,860,826

Hotels,

Restaurants

&

Leisure

-

0.6%

Darden

Restaurants,

Inc.

4.55%,

2/15/2048

140,000

108,919

Las

Vegas

Sands

Corp.

3.50%,

8/18/2026

430,000

393,311

McDonald's

Corp.

4.88%,

12/9/2045

100,000

116,781

Starbucks

Corp.

4.50%,

11/15/2048

100,000

112,809

731,820

Household

Durables

-

0.3%

DR

Horton,

Inc.

2.50%,

10/15/2024

420,000

392,330

Industrial

Conglomerates

-

0.8%

Carlisle

Cos.,

Inc.

2.75%,

3/1/2030

200,000

174,575

Roper

Technologies,

Inc.

3.80%,

12/15/2026

770,000

793,438

968,013

Insurance

-

0.3%

Aon

plc

4.75%,

5/15/2045

300,000

334,352

Leisure

Products

-

0.2%

Hasbro,

Inc.

3.90%,

11/19/2029

250,000

223,085

Media

-

0.4%

Charter

Communications

Operating

LLC

4.91%,

7/23/2025

400,000

424,637

Metals

&

Mining

-

0.3%

Barrick

North

America

Finance

LLC

(Canada)

5.75%,

5/1/2043

100,000

128,077

Kinross

Gold

Corp.

(Canada)

5.95%,

3/15/2024

130,000

131,300

Teck

Resources

Ltd.

(Canada)

6.25%,

7/15/2041

100,000

86,441

345,818

Multi-Utilities

-

0.4%

Sempra

Energy

3.40%,

2/1/2028

440,000

440,891

Oil,

Gas

&

Consumable

Fuels

-

1.5%

HollyFrontier

Corp.

5.88%,

4/1/2026

740,000

641,338

KazTransGas

JSC

(Kazakhstan)

4.38%,

9/26/2027(b)

200,000

179,292

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Oil,

Gas

&

Consumable

Fuels

-

1.5%

(continued)

ONEOK,

Inc.

4.95%,

7/13/2047

$

640,000

$

503,741

Petroleos

Mexicanos

(Mexico)

4.50%,

1/23/2026

20,000

14,569

6.50%,

3/13/2027

60,000

44,261

6.63%,

6/15/2035

170,000

116,518

6.63%,

6/15/2038

30,000

19,650

6.75%,

9/21/2047

270,000

175,878

6.35%,

2/12/2048

10,000

6,250

Western

Midstream

Operating

LP

5.30%,

3/1/2048

250,000

99,931

1,801,428

Professional

Services

-

1.2%

IHS

Markit

Ltd.

4.75%,

2/15/2025(b)

670,000

686,750

Verisk

Analytics,

Inc.

4.00%,

6/15/2025

730,000

779,202

1,465,952

Road

&

Rail

-

0.4%

Kansas

City

Southern

2.88%,

11/15/2029

450,000

431,674

Semiconductors

&

Semiconductor

Equipment

-

0.9%

Broadcom

Corp.

3.88%,

1/15/2027

430,000

410,808

Micron

Technology,

Inc.

5.33%,

2/6/2029

390,000

425,947

NVIDIA

Corp.

3.20%,

9/16/2026(c)

207,000

230,471

1,067,226

Software

-

0.6%

Citrix

Systems,

Inc.

4.50%,

12/1/2027

720,000

743,318

Specialty

Retail

-

0.6%

Best

Buy

Co.,

Inc.

4.45%,

10/1/2028

650,000

659,391

Technology

Hardware,

Storage

&

Peripherals

-

0.9%

Seagate

HDD

Cayman

4.75%,

1/1/2025

420,000

417,640

Xerox

Corp.

4.12%,

3/15/2023(d)

600,000

596,400

1,014,040

Water

Utilities

-

0.1%

American

Water

Capital

Corp.

3.75%,

9/1/2047

100,000

100,070

TOTAL

CORPORATE

BONDS

(Cost

$28,961,663)

27,969,172

MORTGAGE-BACKED

SECURITIES

-

62.2%

UMBS,

15

Year,

Single

Family

TBA,

3.50%,

4/25/2034

-

5/25/2035

1,300,000

1,366,981

TBA,

2.50%,

4/25/2035

-

5/25/2035

3,000,000

3,110,215

TBA,

3.00%,

4/25/2035

-

5/25/2035

3,050,000

3,188,499

4

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

MORTGAGE-BACKED

SECURITIES

-

62.2%

(continued)

UMBS,

30

Year,

Single

Family

TBA,

5.00%,

5/25/2047

$

1,300,000

$

1,401,092

TBA,

4.00%,

4/25/2049

-

5/25/2049

13,100,000

13,968,015

TBA,

4.50%,

4/25/2049

-

5/25/2050

8,100,000

8,713,512

TBA,

2.50%,

4/25/2050

-

5/25/2050

1,600,000

1,656,065

TBA,

3.00%,

4/25/2050

-

5/25/2050

17,700,000

18,550,402

TBA,

3.50%,

4/25/2050

-

5/25/2050

20,300,000

21,441,357

TOTAL

MORTGAGE-BACKED

SECURITIES

(Cost

$72,947,932)

73,396,138

FOREIGN

GOVERNMENT

SECURITIES

-

15.2%

Arab

Republic

of

Egypt

8.50%,

1/31/2047(e)

200,000

163,357

Buoni

Poliennali

del

Tesoro

5.75%,

2/1/2033

EUR

10,000

16,048

5.00%,

8/1/2034(e)

20,000

30,603

4.00%,

2/1/2037(e)

50,000

70,039

Commonwealth

of

Australia

2.75%,

11/21/2027(e)

AUD

3,120,000

2,226,559

2.25%,

5/21/2028(e)

2,230,000

1,543,778

2.75%,

11/21/2028(e)

960,000

692,424

Dominican

Republic

Government

Bond

6.88%,

1/29/2026(b)

$

100,000

99,500

7.45%,

4/30/2044(b)

100,000

97,000

Export-Import

Bank

of

India

4.00%,

1/14/2023(e)

200,000

199,846

Federal

Republic

of

Nigeria

7.88%,

2/16/2032(b)

200,000

140,000

Federative

Republic

of

Brazil

8.25%,

1/20/2034

20,000

25,300

7.13%,

1/20/2037

200,000

235,700

Hashemite

Kingdom

of

Jordan

5.75%,

1/31/2027(b)

200,000

176,250

Hungary

Government

Bond

5.75%,

11/22/2023

20,000

22,000

7.63%,

3/29/2041

20,000

30,800

Instituto

Costarricense

de

Electricidad

6.95%,

11/10/2021(b)

200,000

188,252

Japan

Government

Bond

0.10%,

6/20/2028

JPY

230,550,000

2,178,416

0.10%,

9/20/2028

127,150,000

1,200,052

0.10%,

12/20/2028

68,800,000

648,707

0.10%,

6/20/2029

287,200,000

2,701,590

2.10%,

3/20/2030

124,750,000

1,398,650

0.60%,

12/20/2036

4,500,000

43,877

2.50%,

3/20/2038

85,450,000

1,097,384

2.40%,

9/20/2038

4,250,000

54,250

2.30%,

3/20/2039

3,500,000

44,383

2.30%,

3/20/2040

13,700,000

176,207

Republic

of

Colombia

8.13%,

5/21/2024

$

130,000

149,954

7.38%,

9/18/2037

130,000

161,850

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

FOREIGN

GOVERNMENT

SECURITIES

-

15.2%

(continued)

Republic

of

Ecuador

7.88%,

1/23/2028(b)

$

200,000

$

54,844

Republic

of

El

Salvador

8.25%,

4/10/2032(b)

40,000

36,400

7.63%,

2/1/2041(b)

160,000

131,202

Republic

of

Honduras

6.25%,

1/19/2027(b)

150,000

130,501

Republic

of

Indonesia

2.95%,

1/11/2023

200,000

198,141

Republic

of

Kenya

7.00%,

5/22/2027(b)

200,000

184,000

Republic

of

Peru

8.75%,

11/21/2033

60,000

94,651

Republic

of

Philippines

9.50%,

2/2/2030

100,000

150,127

Republic

of

Poland

3.25%,

4/6/2026

20,000

21,510

Republic

of

South

Africa

4.67%,

1/17/2024

270,000

253,125

Romania

Government

Bond

6.75%,

2/7/2022(b)

180,000

188,530

4.38%,

8/22/2023(b)

30,000

30,945

Russian

Federation

5.25%,

6/23/2047(b)

200,000

242,000

Sultanate

of

Oman

Government

Bond

6.75%,

1/17/2048(e)

200,000

132,000

Ukraine

Government

Bond

7.75%,

9/1/2027(b)

150,000

136,921

United

Mexican

States

6.05%,

1/11/2040

30,000

35,545

4.75%,

3/8/2044

50,000

50,325

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$18,657,399)

17,883,543

U.S.

TREASURY

OBLIGATIONS

-

38.1%

U.S.

Treasury

Bonds

3.13%,

2/15/2043

500,000

684,844

2.88%,

5/15/2043

5,520,000

7,285,322

3.63%,

8/15/2043

330,000

487,188

3.75%,

11/15/2043

4,000,000

6,021,875

2.75%,

8/15/2047

2,450,000

3,246,059

U.S.

Treasury

Notes

1.63%,

6/30/2021

1,180,000

1,202,125

2.75%,

8/15/2021

2,850,000

2,950,863

1.63%,

11/15/2022

20,980,000

21,722,494

1.63%,

2/15/2026

10,000

10,650

2.25%,

11/15/2027

10,000

11,244

2.75%,

2/15/2028

1,110,000

1,294,017

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$41,055,776)

44,916,681

SHARES

SHORT-TERM

INVESTMENTS

-

17.7%

INVESTMENT

COMPANIES

-

17.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(f)

(Cost

$20,867,327)

20,867,759

20,894,887

5

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SECURITIES

LENDING

COLLATERAL

-

0.0%(g)

Investment

Companies

-

0.0%(g)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.21%(1)(f)(h)

15,480

$

15,480

Limited

Purpose

Cash

Investment

Fund

0.85%(1)(f)(h)

47,221

47,282

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$62,701)

62,762

TOTAL

INVESTMENTS

BEFORE

TBA

SALE

COMMITMENTS

(Cost

$182,552,798)

185,123,183

PRINCIPAL

AMOUNT

TBA

SALE

COMMITMENTS

-

(32.0)%

MORTGAGE-BACKED

SECURITIES

-

(32.0)%

UMBS,

15

Year,

Single

Family

TBA,

3.50%,

4/25/2034

-

5/25/2035

$

(1,300,000)

$

(1,366,980)

TBA,

2.50%,

4/25/2035

(1,500,000)

(1,555,635)

TBA,

3.00%,

4/25/2035

(1,200,000)

(1,255,452)

UMBS,

30

Year,

Single

Family

TBA,

4.00%,

4/25/2049

-

5/25/2049

(6,600,000)

(7,038,336)

TBA,

4.50%,

4/25/2049

-

5/25/2050

(5,350,000)

(5,756,080)

TBA,

2.50%,

4/25/2050

(800,000)

(828,750)

TBA,

3.00%,

4/25/2050

(8,800,000)

(9,225,219)

TBA,

3.50%,

4/25/2050

(10,150,000)

(10,726,739)

TOTAL

TBA

SALE

COMMITMENTS

(Proceeds

$(37,785,465))

(37,753,191)

TOTAL

INVESTMENTS

NET

OF

TBA

SALE

COMMITMENTS

-

124.9%

(Cost

$144,767,333)

147,369,992

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(24.9)%(

i

)

(29,389,130)

NET

ASSETS

-

100.0%

$117,980,862

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

880,190

0.8

%

Consumer

Discretionary

2,362,934

2.0

Consumer

Staples

992,322

0.8

Energy

1,801,428

1.5

Financials

7,262,022

6.3

Foreign

Government

Securities

17,883,543

15.2

Health

Care

2,642,370

2.2

Industrials

4,547,617

3.9

Information

Technology

3,234,619

2.8

Materials

1,226,766

1.0

Mortgage-Backed

Securities

35,642,947

30.2

Real

Estate

504,542

0.4

U.S.

Treasury

Obligations

44,916,681

38.1

Utilities

2,514,362

2.0

Short-Term

Investments

20,894,887

17.7

Securities

Lending

Collateral

62,762

0.0(g)

Total

Investments

In

Securities

At

Value

147,369,992

124.9

Liabilities

in

Excess

of

Other

Assets(

i

)

(29,389,130)

(24.9)

Net

Assets

$

117,980,862

100.0%

(a)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2020.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$4,655,694,

which

represents

approximately

3.95%

of

net

assets

of

the

fund.

(c)

The

security

or

a

portion

of

this

security

is

on

loan

at

March

31,

2020.

The

total

value

of

securities

on

loan

at

March

31,

2020

was

$61,298.

(d)

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

March

31,

2020.

(e)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$5,058,606

or

4.29%

of

net

assets.

(f)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(g)

Represents

less

than

0.05%

of

net

assets.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

6

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

Emerging

Market

Index

Series

33.V1

1.00

%

Quarterly

6/20/2025

3.44

%

USD

6,870,000

$

971,028

$

(193,105)

$

777,923

Republic

of

Chile,

3.88%,

8/5/2020

1.00

Quarterly

6/20/2025

1.25

USD

3,600,000

71,527

(27,506)

44,021

Republic

of

South

Africa,

5.50%,

3/9/2020

1.00

Quarterly

12/20/2024

4.01

USD

3,300,000

113,817

305,583

419,400

Republic

of

Turkey,

11.88%,

1/15/2030

1.00

Quarterly

12/20/2024

5.37

USD

900,000

104,177

54,879

159,056

1,260,549

139,851

1,400,400

Republic

of

Korea,  

2.75%,

1/19/2027

1.00

%

Quarterly

12/20/2024

0.35

%

USD

300,000

$

(9,158)

$

(132)

$

(9,290)

(9,158)

(132)

(9,290)

$

1,251,391

$

139,719

$

1,391,110

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

March

31,

2020

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

%

Quarterly

6/20/2025

1.14

%

USD

4,710,000

$

(89,852)

$

58,370

$

(31,482)

Penerbangan

Malaysia

Bhd.,

5.63%,

3/15/2016

1.00

Quarterly

6/20/2025

1.32

USD

100,000

(246)

30

(216)

Republic

of

Colombia,

10.38%,

1/28/2033

1.00

Quarterly

6/20/2025

2.54

USD

600,000

(36,193)

165

(36,028)

Republic

of

Indonesia,

5.88%,

3/13/2020

1.00

Quarterly

12/20/2024

1.92

USD

2,100,000

15,206

(101,232)

(86,026)

Russian

Federation,

12.75%,

6/24/2028

1.00

Quarterly

6/20/2025

1.92

USD

900,000

(69,361)

28,578

(40,783)

United

Mexican

States,

4.15%,

3/28/2027

1.00

Quarterly

6/20/2025

2.31

USD

3,400,000

(244,178)

27,619

(216,559)

$

(424,624)

$

13,530

$

(411,094)

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

March

31,

2020:

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

0.50%

Quarterly

6/09/2022

AUD

3,100,000

$

(7,360)

$

12,767

$

5,407

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

9/08/2022

AUD

4,200,000

644

6,363

7,007

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/14/2022

NZD

8,700,000

14,320

34,189

48,509

7

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

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%

Semi-Annually

9/11/2030

NZD

1,700,000

$

(21,445)

$

23,770

$

2,325

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.50%

Semi-Annually

9/11/2030

NZD

1,300,000

18,923

20,458

39,381

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/11/2030

NZD

900,000

(9,133)

10,364

1,231

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.50%

Semi-Annually

9/11/2030

NZD

2,100,000

30,568

33,047

63,615

Pay

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

2.00%

Semi-Annually

9/15/2025

CAD

7,500,000

235,611

32,442

268,053

Pay

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

4,400,000

190,059

66,306

256,365

Pay

3

Month

Johannesburg

Interbank

Agreed

Rate

Quarterly

7.00%

Quarterly

6/15/2022

ZAR

9,800,000

2,036

15,526

17,562

Pay

3

Month

Johannesburg

Interbank

Agreed

Rate

Quarterly

6.50%

Quarterly

9/21/2022

ZAR

16,600,000

9,424

8,869

18,293

Pay

3

Month

Johannesburg

Interbank

Agreed

Rate

Quarterly

6.00%

Quarterly

9/21/2022

ZAR

36,500,000

(895)

22,001

21,106

Pay

3

Month

Korean

Certificate

of

Deposit

Quarterly

1.00%

Quarterly

9/21/2022

KRW

5,883,400,000

6,857

(4,881)

1,976

Pay

3

Month

London

Interbank

Offered

Rate

Quarterly

1.50%

Semi-Annually

9/16/2025

USD

5,400,000

189,647

80,278

269,925

Pay

3

Month

London

Interbank

Offered

Rate

Quarterly

0.50%

Semi-Annually

9/16/2025

USD

1,900,000

1,946

1

1,947

Pay

3

Month

London

Interbank

Offered

Rate

Quarterly

1.75%

Semi-Annually

9/16/2030

USD

1,000,000

89,047

12,945

101,992

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

9/17/2025

SEK

11,900,000

–

13,078

13,078

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.50%

Annually

6/19/2030

SEK

700,000

(218)

917

699

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.50%

Annually

9/18/2030

SEK

63,500,000

92,179

(40,616)

51,563

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2022

EUR

20,000,000

14,422

18,724

33,146

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2022

EUR

12,200,000

14,140

5,512

19,652

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2030

EUR

3,900,000

76,392

30,449

106,841

8

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

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

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

6/15/2022

JPY

653,800,000

$

1,724

$

3,838

$

5,562

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

23,100,000

130,257

46,426

176,683

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

1,984,400,000

46,488

(26,546)

19,942

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/21/2022

CHF

2,700,000

4,734

2,329

7,063

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

2,898,800,000

19,511

9,621

29,132

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

9/16/2025

GBP

7,300,000

110,261

107,795

218,056

Pay

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/21/2022

NOK

11,900,000

(2,626)

20,871

18,245

Pay

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/17/2025

NOK

1,900,000

3,346

2,713

6,059

Pay

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/17/2025

NOK

75,600,000

(16,211)

77,245

61,034

Pay

6

Month

Singapore

Interbank

Offered

Rate

Semi-Annually

1.50%

Semi-Annually

6/15/2022

SGD

2,900,000

(321)

31,936

31,615

Pay

6

Month

Singapore

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

9/21/2022

SGD

3,600,000

44

10,702

10,746

Pay

6

Month

Singapore

Interbank

Offered

Rate

Semi-Annually

1.50%

Semi-Annually

9/21/2022

SGD

2,000,000

15,464

4,649

20,113

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

6/15/2022

SEK

4,800,000

1,648

(544)

1,104

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

9/21/2022

SEK

310,000,000

56,953

16,481

73,434

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.50%

Annually

9/18/2030

SEK

3,000,000

403

2,942

3,345

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.00%

Semi-Annually

9/11/2025

AUD

800,000

6,611

2,055

8,666

Receive

6

Month

Budapest

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

6/15/2022

HUF

439,600,000

3,027

649

3,676

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

CHF

600,000

2,757

2,175

4,932

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/18/2030

CHF

100,000

3,515

367

3,882

9

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/18/2030

CHF

500,000

$

1,074

$

16,508

$

17,582

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

582,000,000

30,073

(7,681)

22,392

1,365,896

727,040

2,092,936

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

9/08/2022

AUD

1,000,000

(1,581)

24

(1,557)

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Semi-Annually

9/14/2022

NZD

5,500,000

(6,407)

4,430

(1,977)

Pay

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.50%

Semi-Annually

9/12/2030

AUD

200,000

(5,950)

397

(5,553)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

CHF

2,500,000

(8,292)

(11,947)

(20,239)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/17/2025

CHF

500,000

(4,695)

3,743

(952)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

6/19/2030

JPY

131,600,000

(12,046)

7,747

(4,299)

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

399,700,000

8,199

(23,577)

(15,378)

Pay

6

Month

Warsaw

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/21/2022

PLN

4,900,000

(3,273)

(241)

(3,514)

Receive

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

Monthly

6.00%

Monthly

9/15/2022

MXN

21,100,000

(4,588)

(5)

(4,593)

Receive

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

Monthly

7.00%

Monthly

9/15/2022

MXN

17,400,000

(4,295)

(13,392)

(17,687)

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/14/2022

NZD

14,400,000

(35,322)

(44,970)

(80,292)

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/10/2025

NZD

11,500,000

(16,895)

(98,586)

(115,481)

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.75%

Semi-Annually

9/14/2022

CAD

9,400,000

(131,490)

(4,552)

(136,042)

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.75%

Semi-Annually

9/14/2022

CAD

21,800,000

(251,827)

(66,215)

(318,042)

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

1,900,000

(108,442)

(1,802)

(110,244)

Receive

3

Month

Hong

Kong

Interbank

Offered

Rate

Quarterly

1.00%

Quarterly

9/21/2022

HKD

30,800,000

(4,532)

(3,009)

(7,541)

10

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

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

1.50%

Semi-Annually

9/16/2022

USD

6,800,000

$

(147,810)

$

(12,282)

$

(160,092)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

0.50%

Semi-Annually

9/16/2022

USD

2,400,000

(7,734)

(9)

(7,743)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

1.50%

Semi-Annually

9/16/2022

USD

5,000,000

(104,832)

(12,882)

(117,714)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

0.75%

Semi-Annually

9/16/2030

USD

400,000

(2,036)

(1)

(2,037)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

1.75%

Semi-Annually

9/16/2030

USD

1,400,000

(142,620)

(169)

(142,789)

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

9/21/2022

SEK

14,700,000

(3,423)

55

(3,368)

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.50%

Semi-Annually

6/13/2030

AUD

600,000

(7,885)

(13,225)

(21,110)

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.00%

Semi-Annually

9/12/2030

AUD

400,000

383

(2,010)

(1,627)

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.50%

Semi-Annually

9/12/2030

AUD

500,000

(8,958)

(7,911)

(16,869)

Receive

6

Month

Budapest

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

HUF

851,000,000

2,372

(20,186)

(17,814)

Receive

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.00%

Annually

9/16/2025

EUR

15,800,000

(127,247)

(59,137)

(186,384)

Receive

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2030

EUR

2,400,000

(32,889)

(31,712)

(64,601)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

9,100,000

(58,717)

(10,886)

(69,603)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

6/18/2025

JPY

521,700,000

800

(12,773)

(11,973)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/17/2025

JPY

1,589,800,000

(74,098)

37,438

(36,660)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

1,900,000

(91,898)

(3,733)

(95,631)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

4,700,000

(290,350)

53,790

(236,560)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Annually

9/18/2030

CHF

500,000

(4,197)

(5,753)

(9,950)

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

NOK

89,100,000

(22,155)

(28,438)

(50,593)

11

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/21/2022

NOK

5,300,000

$

(4,197)

$

(3,929)

$

(8,126)

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/18/2030

NOK

19,800,000

(32,919)

(45,415)

(78,334)

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/18/2030

NOK

2,500,000

2,309

(12,200)

(9,891)

Receive

6

Month

Prague

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

CZK

6,700,000

384

(2,299)

(1,915)

Receive

6

Month

Prague

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/21/2022

CZK

1,300,000

(490)

(409)

(899)

(1,749,643)

(446,031)

(2,195,674)

$

(383,747)

$

281,009

$

(102,738)

(a)

Floating

rate

indices

at

March

31,

2020

were

as

follows:

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate:

6.71%

3

Month

Australian

Bank-Bill

Reference

Rate:

0.37%

3

Month

Canadian

Bankers’

Acceptance

Rate:

1.24%

3

Month

Hong

Kong

Interbank

Offered

Rate:

1.93%

3

Month

Johannesburg

Interbank

Agreed

Rate:

5.61%

3

Month

Korean

Certificate

of

Deposit:

1.10%

3

Month

London

Interbank

Offered

Rate:

1.45%

3

Month

Stockholm

Interbank

Offered

Rate:

0.31%

6

Month

Australian

Bank-Bill

Reference

Rate:

0.54%

6

Month

Budapest

Interbank

Offered

Rate:

0.46%

6

Month

Euro

Interbank

Offered

Rate:

(0.29)%

6

Month

London

Interbank

Offered

Rate:

1.18%

6

Month

Norwegian

Interbank

Offered

Rate:

1.00%

6

Month

Prague

Interbank

Offered

Rate:

1.06%

6

Month

Singapore

Interbank

Offered

Rate:

1.18%

6

Month

Warsaw

Interbank

Offered

Rate:

1.09%

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Japan

10

Year

Bond

2

6/2020

JPY

$

2,837,852

$

(39,657)

U.S.

Treasury

10

Year

Note

26

6/2020

USD

3,605,875

45,048

U.S.

Treasury

2

Year

Note

54

6/2020

USD

11,900,672

176,623

U.S.

Treasury

5

Year

Note

13

6/2020

USD

1,629,672

15,814

197,828

Short

Contracts

Canada

10

Year

Bond

(24)

6/2020

CAD

(2,509,316)

(120,924)

Euro-BTP

(3)

6/2020

EUR

(467,883)

2,635

Euro-Bund

(28)

6/2020

EUR

(5,327,316)

65,064

Euro-OAT

(13)

6/2020

EUR

(2,397,407)

49,592

Long

Gilt

(27)

6/2020

GBP

(4,567,363)

(71,222)

U.S.

Treasury

Ultra

Bond

(6)

6/2020

USD

(1,331,250)

9,926

(64,929)

$

132,899

12

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

180,000

USD

106,801

CITI

6/17/2020

$

3,939

AUD

180,000

USD

106,801

JPMC

6/17/2020

3,939

CHF

82,500

USD

85,626

CITI

6/17/2020

403

CHF

82,500

USD

85,626

JPMC

6/17/2020

403

CLP

90,000,000

USD

104,597

CITI

**

6/17/2020

768

CLP

90,000,000

USD

104,597

JPMC

**

6/17/2020

768

CZK

400,000

USD

15,743

CITI

6/17/2020

368

CZK

400,000

USD

15,743

JPMC

6/17/2020

368

EUR

622,000

USD

670,735

CITI

6/17/2020

17,287

EUR

237,000

USD

257,634

JPMC

6/17/2020

4,523

GBP

172,000

USD

209,600

CITI

6/17/2020

4,329

GBP

172,000

USD

209,600

JPMC

6/17/2020

4,328

ILS

1,020,000

USD

277,803

CITI

6/17/2020

11,297

ILS

1,020,000

USD

277,803

JPMC

6/17/2020

11,296

JPY

219,521,000

USD

1,989,622

CITI

6/17/2020

58,666

JPY

55,558,000

USD

508,813

JPMC

6/17/2020

9,583

KRW

662,189,045

USD

538,178

CITI

**

6/17/2020

6,543

KRW

662,189,038

USD

538,179

JPMC

**

6/17/2020

6,540

MXN

1,700,000

USD

69,392

CITI

6/17/2020

1,459

MXN

1,700,000

USD

69,392

JPMC

6/17/2020

1,459

NOK

5,178,000

USD

462,298

CITI

6/17/2020

35,902

NOK

5,178,000

USD

462,299

JPMC

6/17/2020

35,901

NZD

333,500

USD

191,585

CITI

6/17/2020

7,293

NZD

333,500

USD

191,586

JPMC

6/17/2020

7,292

PHP

1,500,000

USD

28,750

CITI

**

6/17/2020

295

PHP

1,500,000

USD

28,750

JPMC

**

6/17/2020

295

PLN

55,000

USD

13,034

CITI

6/17/2020

257

PLN

55,000

USD

13,034

JPMC

6/17/2020

257

RUB

1,000,000

USD

12,571

CITI

**

6/17/2020

83

RUB

1,000,000

USD

12,571

JPMC

**

6/17/2020

83

SEK

1,898,500

USD

184,659

CITI

6/17/2020

7,578

SEK

1,898,500

USD

184,659

JPMC

6/17/2020

7,578

SGD

230,000

USD

159,373

CITI

6/17/2020

2,636

SGD

230,000

USD

159,373

JPMC

6/17/2020

2,636

TWD

762,500

USD

25,261

CITI

**

6/17/2020

242

TWD

762,500

USD

25,261

JPMC

**

6/17/2020

242

USD

2,927,223

AUD

4,422,262

CITI

6/17/2020

206,536

USD

2,927,221

AUD

4,422,264

JPMC

6/17/2020

206,532

USD

1,171,622

BRL

5,377,993

CITI

**

6/17/2020

141,634

USD

1,171,623

BRL

5,378,007

JPMC

**

6/17/2020

141,633

USD

230,303

CAD

320,493

CITI

6/17/2020

2,401

USD

230,313

CAD

320,507

JPMC

6/17/2020

2,400

USD

370,411

CHF

349,128

CITI

6/17/2020

6,350

USD

370,408

CHF

349,125

JPMC

6/17/2020

6,349

USD

766,924

CLP

624,999,988

CITI

**

6/17/2020

35,226

USD

766,923

CLP

625,000,012

JPMC

**

6/17/2020

35,225

USD

114,037

COP

455,000,000

CITI

**

6/17/2020

2,649

USD

114,037

COP

455,000,000

JPMC

**

6/17/2020

2,649

USD

181,725

CZK

4,250,000

CITI

6/17/2020

10,546

USD

181,725

CZK

4,250,000

JPMC

6/17/2020

10,546

USD

953,227

EUR

848,770

CITI

6/17/2020

14,363

USD

953,239

EUR

848,782

JPMC

6/17/2020

14,363

USD

981,510

GBP

756,504

CITI

6/17/2020

40,593

USD

981,499

GBP

756,496

JPMC

6/17/2020

40,592

USD

101,315

HUF

32,406,000

CITI

6/17/2020

2,056

13

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

101,315

HUF

32,406,000

JPMC

6/17/2020

$

2,055

USD

102,979

IDR

1,550,000,000

CITI

**

6/17/2020

9,135

USD

102,979

IDR

1,550,000,000

JPMC

**

6/17/2020

9,135

USD

403,816

ILS

1,384,999

CITI

6/17/2020

11,264

USD

403,816

ILS

1,385,001

JPMC

6/17/2020

11,263

USD

243,999

INR

18,521,500

CITI

**

6/17/2020

3,203

USD

243,999

INR

18,521,500

JPMC

**

6/17/2020

3,203

USD

1,901,220

JPY

201,603,000

CITI

6/17/2020

20,121

USD

32,470

JPY

3,475,000

JPMC

6/17/2020

46

USD

1,195,596

KRW

1,436,121,159

CITI

**

6/17/2020

14,235

USD

1,195,595

KRW

1,436,121,174

JPMC

**

6/17/2020

14,234

USD

948,883

MXN

20,005,500

CITI

6/17/2020

115,114

USD

948,882

MXN

20,005,500

JPMC

6/17/2020

115,112

USD

890,633

NOK

8,294,004

CITI

6/17/2020

92,627

USD

890,631

NOK

8,293,996

JPMC

6/17/2020

92,626

USD

29,438

PHP

1,500,000

CITI

**

6/17/2020

394

USD

29,438

PHP

1,500,000

JPMC

**

6/17/2020

394

USD

165,314

PLN

651,500

CITI

6/17/2020

7,875

USD

165,313

PLN

651,500

JPMC

6/17/2020

7,875

USD

172,664

RUB

12,500,000

CITI

**

6/17/2020

14,482

USD

172,663

RUB

12,500,000

JPMC

**

6/17/2020

14,482

USD

281,413

SEK

2,711,500

CITI

6/17/2020

6,853

USD

281,413

SEK

2,711,500

JPMC

6/17/2020

6,853

USD

282,539

SGD

395,000

CITI

6/17/2020

4,306

USD

282,539

SGD

395,000

JPMC

6/17/2020

4,306

USD

296,501

ZAR

4,963,000

CITI

6/17/2020

21,818

USD

296,501

ZAR

4,963,000

JPMC

6/17/2020

21,817

Total

unrealized

appreciation

1,804,307

AUD

2,204,000

USD

1,393,819

CITI

6/17/2020

(37,862)

AUD

924,000

USD

606,148

JPMC

6/17/2020

(37,679)

BRL

2,763,000

USD

581,014

CITI

**

6/17/2020

(51,847)

BRL

2,763,000

USD

581,015

JPMC

**

6/17/2020

(51,848)

CAD

256,993

USD

192,659

CITI

6/17/2020

(9,911)

CAD

257,007

USD

192,670

JPMC

6/17/2020

(9,912)

CHF

681,000

USD

718,433

CITI

6/17/2020

(8,303)

CHF

681,000

USD

718,434

JPMC

6/17/2020

(8,304)

CLP

400,000,000

USD

483,353

CITI

**

6/17/2020

(15,067)

CLP

400,000,000

USD

483,354

JPMC

**

6/17/2020

(15,067)

COP

1,240,000,000

USD

352,258

CITI

**

6/17/2020

(48,694)

COP

1,240,000,000

USD

352,258

JPMC

**

6/17/2020

(48,694)

CZK

1,300,000

USD

55,123

CITI

6/17/2020

(2,763)

CZK

1,300,000

USD

55,123

JPMC

6/17/2020

(2,763)

EUR

3,358,492

USD

3,775,508

CITI

6/17/2020

(60,527)

EUR

1,459,508

USD

1,643,273

JPMC

6/17/2020

(28,845)

GBP

193,000

USD

250,866

CITI

6/17/2020

(10,819)

GBP

193,000

USD

250,867

JPMC

6/17/2020

(10,819)

HUF

37,796,000

USD

122,880

CITI

6/17/2020

(7,111)

HUF

37,796,000

USD

122,880

JPMC

6/17/2020

(7,111)

IDR

2,000,000,000

USD

139,031

CITI

**

6/17/2020

(17,943)

IDR

2,000,000,000

USD

139,031

JPMC

**

6/17/2020

(17,943)

ILS

10,000

USD

2,910

CITI

6/17/2020

(76)

ILS

10,000

USD

2,910

JPMC

6/17/2020

(76)

INR

40,736,507

USD

556,363

CITI

**

6/17/2020

(26,752)

INR

40,736,493

USD

556,363

JPMC

**

6/17/2020

(26,752)

JPY

30,545,500

USD

294,383

CITI

6/17/2020

(9,372)

JPY

30,545,500

USD

294,384

JPMC

6/17/2020

(9,373)

KRW

837,675,455

USD

699,604

CITI

**

6/17/2020

(10,530)

KRW

837,675,462

USD

699,605

JPMC

**

6/17/2020

(10,528)

14

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

**

Non-deliverable

forward.

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

MXN

30,687,999

USD

1,569,062

CITI

6/17/2020

$

(290,078)

MXN

30,688,001

USD

1,569,064

JPMC

6/17/2020

(290,080)

NOK

1,612,500

USD

161,595

CITI

6/17/2020

(6,449)

NOK

1,612,500

USD

161,595

JPMC

6/17/2020

(6,449)

NZD

964,500

USD

610,023

CITI

6/17/2020

(34,859)

NZD

964,500

USD

610,024

JPMC

6/17/2020

(34,859)

PHP

13,500,000

USD

264,150

CITI

**

6/17/2020

(2,754)

PHP

13,500,000

USD

264,147

JPMC

**

6/17/2020

(2,751)

PLN

2,049,004

USD

525,581

CITI

6/17/2020

(30,427)

PLN

2,048,996

USD

525,580

JPMC

6/17/2020

(30,428)

RUB

21,000,000

USD

315,418

CITI

**

6/17/2020

(49,672)

RUB

21,000,000

USD

315,418

JPMC

**

6/17/2020

(49,672)

SEK

3,433,500

USD

358,008

CITI

6/17/2020

(10,340)

SEK

3,433,500

USD

358,008

JPMC

6/17/2020

(10,340)

SGD

300,000

USD

214,904

CITI

6/17/2020

(3,588)

SGD

300,000

USD

214,905

JPMC

6/17/2020

(3,588)

TWD

6,487,500

USD

218,226

CITI

**

6/17/2020

(1,245)

TWD

6,487,500

USD

218,226

JPMC

**

6/17/2020

(1,245)

USD

285,740

AUD

464,500

CITI

6/17/2020

(32)

USD

285,740

AUD

464,500

JPMC

6/17/2020

(32)

USD

420,963

CAD

603,500

CITI

6/17/2020

(8,187)

USD

420,962

CAD

603,500

JPMC

6/17/2020

(8,187)

USD

599,464

CHF

581,876

CITI

6/17/2020

(7,303)

USD

599,458

CHF

581,871

JPMC

6/17/2020

(7,303)

USD

153,498

COP

635,000,000

CITI

**

6/17/2020

(1,956)

USD

153,498

COP

635,000,000

JPMC

**

6/17/2020

(1,956)

USD

68,373

CZK

1,750,000

CITI

6/17/2020

(2,112)

USD

68,373

CZK

1,750,000

JPMC

6/17/2020

(2,113)

USD

2,523,941

EUR

2,314,764

CITI

6/17/2020

(36,524)

USD

2,523,964

EUR

2,314,788

JPMC

6/17/2020

(36,528)

USD

146,882

GBP

119,000

CITI

6/17/2020

(1,127)

USD

146,882

GBP

119,000

JPMC

6/17/2020

(1,127)

USD

44,727

HUF

14,702,500

CITI

6/17/2020

(307)

USD

44,727

HUF

14,702,500

JPMC

6/17/2020

(307)

USD

17,259

IDR

300,000,000

CITI

**

6/17/2020

(904)

USD

17,259

IDR

300,000,000

JPMC

**

6/17/2020

(904)

USD

441,806

INR

34,364,508

CITI

**

6/17/2020

(4,963)

USD

441,805

INR

34,364,492

JPMC

**

6/17/2020

(4,964)

USD

4,851,186

JPY

538,073,948

CITI

6/17/2020

(169,428)

USD

4,851,180

JPY

538,073,949

JPMC

6/17/2020

(169,435)

USD

113,292

KRW

138,743,333

CITI

**

6/17/2020

(838)

USD

113,292

KRW

138,743,334

JPMC

**

6/17/2020

(838)

USD

200,340

MXN

4,982,492

CITI

6/17/2020

(7,316)

USD

200,340

MXN

4,982,508

JPMC

6/17/2020

(7,316)

USD

40,867

NOK

429,000

CITI

6/17/2020

(409)

USD

40,867

NOK

429,000

JPMC

6/17/2020

(409)

USD

67,347

PHP

3,500,000

CITI

**

6/17/2020

(423)

USD

67,347

PHP

3,500,000

JPMC

**

6/17/2020

(423)

USD

108,105

PLN

454,000

CITI

6/17/2020

(1,607)

USD

108,105

PLN

454,000

JPMC

6/17/2020

(1,607)

USD

12,200

RUB

1,000,000

CITI

**

6/17/2020

(455)

USD

12,200

RUB

1,000,000

JPMC

**

6/17/2020

(455)

ZAR

5,563,000

USD

351,242

CITI

6/17/2020

(43,351)

ZAR

5,563,000

USD

351,243

JPMC

6/17/2020

(43,351)

Total

unrealized

depreciation

(2,036,612)

Net

unrealized

depreciation

$

(232,305)

15

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

March

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITG

Cash

$

–

$

116,762

$

116,762

CITI

Cash

(60,431)

–

(60,431)

CRSU

Cash

–

254,417

254,417

JPMC

Cash

726,099

–

726,099

JPMS

Cash

–

2,402,862

2,402,862

MSCS

Cash

(550,000)

–

(550,000)

16

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

TBA

-

To

Be

Announced;

Security

is

subject

to

delayed

delivery.

UMBS

-

Uniform

Mortgage-Backed

Securities

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

EUR

-

Euro

GBP

-

British

Pound

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

RUB

-

Russian

Ruble

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:

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

Statement

of

Assets

and

Liabilities

17

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

.........................................................

$

182,552,798

Investments

in

securities

of

unaffiliated

issuers,

at

value*

........................................................

$

185,123,183

Cash

...............................................................................................

72,938

Cash

denominated

in

foreign

currencies

‡

....................................................................

165,803

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

............................................

1,804,307

Due

from

broker

......................................................................................

726,099

Deposits

with

brokers

for

centrally

cleared

swaps(unamortized

upfront

payments

$443,020)

.............................

3,250,012

Deposits

with

brokers

for

futures

contracts

...................................................................

434,620

Variation

margin

on

centrally

cleared

swaps

..................................................................

31,854

Variation

margin

on

futures

contracts

.......................................................................

81,816

Receivables:

Securities

sold

.....................................................................................

2,043,907

Securities

sold—delayed

delivery

securities

................................................................

37,785,465

Dividends

and

interest

................................................................................

723,286

Capital

shares

sold

..................................................................................

202,074

Prepaid

expenses

.....................................................................................

38,963

Total

Assets

232,484,327

LIABILITIES:

TBA

sale

commitments,

at

value

(proceeds  $37,785,465)

.......................................................

37,753,191

Due

to

broker

........................................................................................

610,430

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

............................................

2,036,612

Variation

margin

on

centrally

cleared

swaps

..................................................................

14,084

Payables:

–

Securities

purchased

.................................................................................

1,007,326

Securities

purchased—delayed

delivery

securities

...........................................................

72,947,932

Collateral

received

on

securities

loaned

...................................................................

62,762

Accrued

investment

advisory

fees

.......................................................................

16,266

Accrued

distribution

fees—Class

N

......................................................................

210

Capital

shares

redeemed

.............................................................................

2,055

Other

accrued

expenses

and

liabilities

......................................................................

52,597

Total

Liabilities

114,503,465

Net

Assets

$

117,980,862

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

........................................

$

112,670,224

Total

distributable

earnings

(loss)

.........................................................................

5,310,638

Net

Assets

$

117,980,862

NET

ASSETS:

Class

I

.............................................................................................

$

46,712,631

Class

N

.............................................................................................

947,076

Class

R6

............................................................................................

70,321,155

SHARES

OUTSTANDING:

–

Class

I

.............................................................................................

4,450,524

Class

N

.............................................................................................

90,269

Class

R6

............................................................................................

6,702,008

NET

ASSET

VALUE:

–

Class

I

.............................................................................................

$

10.50

Class

N

.............................................................................................

$

10.49

Class

R6

............................................................................................

$

10.49

*

Includes

market

value

of

securities

out

on

loan

..............................................................

$

61,298

‡

Cash

denominated

in

foreign

currencies,

at

cost

.............................................................

$

175,023

Statement

of

Operations

18

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

..................................................................................

$

116,130

Interest

income:

—

Unaffiliated

issuers

†

..................................................................................

1,121,595

Securities

lending

income,

net

............................................................................

74

Total

Income

1,237,799

EXPENSES:

Investment

advisory

fees

................................................................................

185,983

Custody

fees

.........................................................................................

10,444

Administration

&

accounting

fees

..........................................................................

13,473

Legal

fees

...........................................................................................

2,155

Audit

&

tax

fees

.......................................................................................

34,595

Shareholder

reporting

fees

..............................................................................

11,135

Transfer

agent

fees

....................................................................................

19,226

Trustee

fees

.........................................................................................

3,544

Distribution

fees—Class

N

...............................................................................

1,308

Interest

expense

......................................................................................

748

Registration

fees

......................................................................................

31,049

Pricing

fee

..........................................................................................

11,353

Other

expenses

......................................................................................

996

Total

Expenses

326,009

Less

fee

waivers

and/or

reimbursements

....................................................................

(97,904)

Net

Expenses

228,105

Net

Investment

Income

(Loss)

1,009,694

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

....................................................

955,821

Settlement

of

foreign

currency

and

foreign

currency

transactions

................................................

(17,854)

Settlement

of

forward

foreign

currency

contracts

............................................................

1,352,457

Expiration

or

closing

of

futures

contracts

..................................................................

(78,131)

TBA

sale

commitments

...............................................................................

608,949

Expiration

or

closing

of

swap

contracts

...................................................................

423,525

Net

realized

gain

(loss)

3,244,767

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

...............................................................

(795,752)

Foreign

currency

and

foreign

currency

transactions

..........................................................

(1,636)

Forward

foreign

currency

exchange

contracts

..............................................................

(617,128)

Futures

contracts

...................................................................................

119,622

TBA

sale

commitments

...............................................................................

32,485

Swap

contracts

.....................................................................................

427,087

Net

change

in

unrealized

appreciation

(depreciation)

(835,322)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

2,409,445

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

3,419,139

________________

†

Net

of

foreign

taxes

withheld

of

..........................................................................

$

403

Statement

of

Changes

in

Net

Assets

(Continued)

19

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

..........................................................

$

1,009,694

$

2,298,293

Net

realized

gain

(loss)

...............................................................

3,244,767

2,063,615

Net

change

in

unrealized

appreciation

(depreciation)

.........................................

(835,322)

4,976,189

Net increase

(decrease)

in

net

assets

resulting

from

operations

3,419,139

9,338,097

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

...........................................................................

(464,403)

(235,959)

Class

N

...........................................................................

(20,245)

(23,264)

Class

R6

..........................................................................

(2,030,402)

(3,576,976)

Total

distributions

(2,515,050)

(3,836,199)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

Proceeds

from

shares

sold

............................................................

37,769,450

18,462,706

Reinvestment

of

distributions

...........................................................

430,545

183,838

Cost

of

shares

redeemed

.............................................................

(9,681,427)

(5,192,864)

Net

increase

(decrease)

from

capital

transactions

28,518,568

13,453,680

CLASS

N

—

—

Proceeds

from

shares

sold

............................................................

124,214

1,024,659

Reinvestment

of

distributions

...........................................................

9,792

6,900

Cost

of

shares

redeemed

.............................................................

(255,366)

(574,516)

Net

increase

(decrease)

from

capital

transactions

(121,360)

457,043

CLASS

R6

—

—

Proceeds

from

shares

sold

............................................................

—

96,938,014

Reinvestment

of

distributions

...........................................................

222,915

189,377

Cost

of

shares

redeemed

.............................................................

(25,642,775)

(103,668,674)

Net

increase

(decrease)

from

capital

transactions

(25,419,860)

(6,541,283)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

2,977,348

7,369,440

Total

increase

(decrease)

in

net

assets

3,881,437

12,871,338

NET

ASSETS:

Beginning

of

period

..................................................................

114,099,425

101,228,087

End

of

period

.....................................................................

$

117,980,862

$

114,099,425

$

—

$

—

Statement

of

Changes

in

Net

Assets

20

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

FOR

THE

SIX

MONTHS

ENDED

MARCH

31,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

..................................................

1,696,267

375,031

Shares

sold

.......................................................................

3,644,931

1,822,243

Shares

issued

on

reinvestment

of

distributions

.............................................

41,499

18,261

Shares

redeemed

...................................................................

(932,173)

(519,268)

Shares

outstanding,

end

of

period

4,450,524

1,696,267

CLASS

N

Shares

outstanding,

beginning

of

period

..................................................

102,082

56,638

Shares

sold

.......................................................................

11,903

102,615

Shares

issued

on

reinvestment

of

distributions

.............................................

945

685

Shares

redeemed

...................................................................

(24,661)

(57,856)

Shares

outstanding,

end

of

period

90,269

102,082

CLASS

R6

Shares

outstanding,

beginning

of

period

..................................................

9,163,620

9,809,080

Shares

sold

.......................................................................

—

9,810,956

Shares

issued

on

reinvestment

of

distributions

.............................................

21,506

19,359

Shares

redeemed

...................................................................

(2,483,118)

(10,475,775)

Shares

outstanding,

end

of

period

6,702,008

9,163,620

22

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

PERIOD/

YEAR

ENDED

PORTFOLIO

TURNOVER

RATE

SIX

MONTHS

ENDED

MARCH

31,

2020

.......................................

117%

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

.................................

262%

FOR

THE

PERIOD

4/05/18-9/30/18

...........................................

110%

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

CORE

PLUS

BOND

FUND

CLASS

I

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.41

0.09

0.22

0.31

(0.11)

(0.11)

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.21

0.69

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

AQR

CORE

PLUS

BOND

FUND

CLASS

N

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.41

0.07

0.22

0.29

(0.10)

(0.11)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.19

0.68

0.87

(0.34)

—

(0.34)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.10

(0.11)

(0.01)

(0.11)

—

(0.11)

AQR

CORE

PLUS

BOND

FUND

CLASS

R6

SIX

MONTHS

ENDED

MARCH

31,

2020

$

10.41

0.09

0.22

0.31

(0.12)

(0.11)

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.22

0.68

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

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

The

following

table

represents

what

the

portfolio

turnover

rate

excluding

TBAs

would

have

been

for

each

period

or

year

ended:

7

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

8

Commencement

of

operations.

23

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

March

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

March

31,

2020

(Unaudited)

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

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5,6

$

10.50

3.04%

$

46,713

0.63%

0.47%

0.47%

1.64%

515%

$

10.41

9.31%

$

17,659

0.72%

7

0.43%

0.43%

2.04%

1004%

$

9.88

(0.02)%

$

3,707

0.60%

7

0.42%

0.42%

2.26%

439%

$

10.49

2.81%

$

947

0.88%

0.72%

0.72%

1.41%

515%

$

10.41

9.09%

$

1,062

0.95%

7

0.66%

0.66%

1.88%

1004%

$

9.88

(0.12)%

$

560

0.79%

7

0.62%

0.62%

2.04%

439%

$

10.49

2.99%

$

70,321

0.54%

0.37%

0.37%

1.77%

515%

$

10.41

9.38%

$

95,378

0.68%

7

0.37%

0.37%

2.21%

1004%

$

9.88

0.00%

$

96,961

0.54%

7

0.37%

0.37%

2.29%

439%

24

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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

March

31,

2020,

the

Trust

consists

of

thirty-five

active

series;

AQR

Core

Plus

Bond

Fund

(the

“Fund”)

is

presented

in

this

book.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

of

the

Funds.

The

investment

objective

of

the

Fund

is

to

seek

total

return.

The

Fund

offers

Class

I,

Class

N

and

Class

R6

shares. 

Significant

Accounting

Policies

Basis

of

Preparation:

The

Fund

is an

investment

company

and

applies

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

4. 

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Fund

is

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations. 

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Fund’s

prime

brokers

and

counterparties.

The

Fund

is

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Fund. 

Foreign

Currency

Translation:

The

books

and

records

of

the

Fund

are

maintained

in

U.S.

Dollars.

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

Fund’s

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Fund

does

not

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

Statement

of

Operations.

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statement

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Fund’s

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statement

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

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.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities,

is

recognized

on

an

accrual

basis. For

inflation-

linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Fund

is

charged

for

those

expenses

that

are

directly

attributable

to

the

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

The

Fund

records

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Fund

adjusts

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

25

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

Fund

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Fund

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon its

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which it

invests.

Federal

Income

Taxes:

The

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

The

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

the

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

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

Fund

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

Fund

is

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Fund

has

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Fund's

open

tax

years.

The

Fund

is

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

Fund

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination.

As

of

March

31,

2020,

the

Fund

had

no

examinations

in

progress.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

Distribution

from

net

investment

income

are

generally

declared

and

paid

monthly.

Net

realized

capital

gains,

if

any,

are

distributed

by

the

Fund

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Fund

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statement

of

Changes

in

Net

Assets

and

has

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Fund

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Fund.

However,

based

on

experience,

the

Fund

expects

the

risk

of

loss

to

be

remote. 

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Fund

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

Fund

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

the

Fund

in

the

Trust.

However,

the

Fund

does

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated

person

is

included

in

the

Schedule

of

Investments,

if

applicable.

Inflation-Indexed

Bonds:

The

Fund

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. 

Defaulted

Securities

and

Distressed

Investments:

The

Fund

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

Fund

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. 

26

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Futures

Contracts:

The

Fund

invests

in

futures

contracts

as

part

of

its

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Fund,

the

Fund

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Fund,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statement

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statement

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Fund

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statement

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Fund

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments. 

Forward

Foreign

Currency

Exchange

Contracts:

The

Fund

buys

and

sells

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Fund

records

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Fund

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Fund

is

unable

to

enter

into

a

closing

position.

Risks

may

exceed

the

amounts

recognized

on

the

Statement

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

Schedule

of

Investments. 

Swap

Contracts:

The

Fund

engages

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedule

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

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

Statement

of

Operations.

The

Fund’s

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Fund

invested

in

the

underlying

positions

directly.

Credit

Default

Swap

Contracts:

The

Fund

enters

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

contract,

the

protection

buyer

typically

makes

an

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

Statement

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

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

Statement

of

Assets

and

Liabilities.

The

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

contract.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Statement

of

Assets

and

Liabilities.

Credit

default

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments.

27

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Interest

Rate

Swaps:

The

Fund

enters

into

interest

rate

swaps

as

part

of

their

investment

strategy.

Interest

rate

swaps

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

agreements

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Fund

are

recorded

as

realized

gains

(losses)

on

derivatives

in

the

Statement

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

on

swap

contracts

in

the

Statement

of

Operations.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

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

Schedule

of

Investments.

Delayed

Delivery

Securities:

During

the

period,

the

Fund

transacted

in

securities

on

a

delayed

delivery

basis.

Payment

and

delivery

may

take

place

after

the

customary

settlement

period

for

that

security.

The

price

of

the

underlying

securities

and

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

securities

purchased

on

a

delayed

delivery

basis

are

identified

as

such

in

the

Fund's

Schedule

of

Investments.

The

Fund

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

With

respect

to

purchase

commitments,

the

Fund

identified

securities

as

segregated

in

their

records

with

a

value

at

least

equal

to

the

amount

of

the

commitment.

Losses

may

arise

due

to

changes

in

the

value

of

the

underlying

securities

or

if

the

counterparty

does

not

perform

under

the

contract

terms. 

To-Be-Announced

Commitments:

The

Fund

may

invest

in

To-Be-Announced

(“TBA”)

commitments.

TBA

commitments

are

forward

agreements

for

the

purchase

or

sale

of

mortgage-backed

securities

for

a

fixed

price,

with

payment

and

delivery

on

an

agreed

upon

future

settlement

date.

The

term

TBA

is

derived

from

the

fact

that

the

actual

mortgage-backed

securities

that

will

be

delivered

to

fulfill

a

TBA

commitment

are

not

designated

at

the

time

the

trade

is

made

and

settlement

of

the

securities

often

takes

place

after

the

customary

settlement

period

for

mortgage-backed

securities.

The

price

and

specified

terms,

including

issuer,

rate

and

mortgage

terms

of

the

underlying

securities,

as

well

as

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

actual

pool

of

mortgage-backed

securities

to

be

delivered

is

announced

48

hours

prior

to

the

established

trade

settlement

date.

Settlement

of

TBA

commitments

can

occur

in

two

ways:

i

)

taking

or

making

delivery

of

mortgage

pools/securities;

or

ii)

pairing-off

with

an

offsetting

trade

for

cash

settlement.

The

Fund

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

Investing

in

TBA

commitments,

which

are

accounted

for

as

purchases

and

sales

transactions,

involve

a

risk

of

loss

due

to

changes

in

the

value

of

the

security

prior

to

the

settlement

date

as

well

as

the

risk

that

the

counterparty

to

the

transaction

will

not

perform

its

obligations.

The

Fund

is

subject

to

this

risk

whether

or

not

the

Fund

takes

delivery

of

the

positions

on

the

settlement

date

for

a

transaction.

TBA

commitments

outstanding

at

period

end,

if

any,

are

disclosed

in

the

Fund’s

Schedule

of

Investments.

Securities

Lending:

The

Fund

may

lend

securities

to

qualified

borrowers

approved

by

the

Adviser

in

order

to

generate

additional

income.

Securities

loaned

are

collateralized

by

cash

or

securities

issued

by

the

U.S.

Treasury

valued

at

102%

to

105%

of

the

market

value

of

the

securities

on

loan.

The

Fund

may

invest

cash

collateral

in

money

market

funds

as

indicated

on

the

Schedule

of

Investments.

The

Fund

bears

the

risk

of

loss

associated

with

the

collateral

investments

and

is

not

entitled

to

additional

collateral

from

the

borrower

to

cover

any

such

losses.

Daily

market

fluctuations

could

cause

the

value

of

loaned

securities

to

be

more

or

less

than

the

value

of

the

collateral

received.

When

this

occurs,

the

collateral

is

adjusted

and

settled

on

the

next

business

day.

Securities

lending

also

involves

counterparty

risks,

including

the

risk

that

the

loaned

securities

may

not

be

returned

in

a

timely

manner

or

at

all.

In

the

event

of

a

default

by

a

borrower

with

respect

to

any

loan,

the

lending

agent

will

exercise

any

and

all

remedies

provided

under

the

applicable

borrower

agreement

to

make

the

Fund

whole.

If,

despite

such

efforts

by

the

lending

agent

to

exercise

these

remedies,

the

Fund

sustains

losses

as

a

result

of

a

borrower’s

default,

the

lending

agent

indemnifies

the

Fund

by

purchasing

replacement

securities

at

its

expense,

or

paying

the

Fund

an

amount

equal

to

the

market

value

of

the

replacement

securities,

subject

to

certain

limitations

which

are

set

forth

in

the

Securities

Lending

Agency

Agreement

between

the

Fund

and

the

lending

agent.

Securities

lending

income,

net

on

the

Statement

of

Operations

represents

fees

charged

to

borrowers

plus

income

earned

on

invested

cash

collateral,

less

expenses

associated

with

the

loan.

Certain

of

the

securities

on

loan

may

have

been

sold

prior

to

the

close

of

the

reporting

period

and

are

included

in

Receivables

for

Securities

Sold

on

the

Statement

of

Assets

and

Liabilities.

Security

loans

can

be

terminated

at

the

discretion

of

either

the

lending

agent

or

the

Fund

and

the

related

securities

must

be

returned

within

the

earlier

of

the

standard

trade

settlement

period

for

such

securities

or

within

three

business

days.

The

balance

of

securities

on

loan

at

period

end,

if

any,

is

disclosed

in

the

footnotes

to

the

Schedule

of

Investments.

The

fair

value

of

the

Fund’s

investment

securities

on

loan

and

a

related

liability

for

collateral

received

on

securities

loaned

are

both

presented

gross

on

the

Statement

of

Assets

and

Liabilities.

Master

Agreements:

The

Fund

is

party

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Fund

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Fund

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

28

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

the

Fund

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Fund

is

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

is

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedule

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statement

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statement

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

the

Fund

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

the

Fund

for

OTC

derivatives

pursuant

to

Master

Agreements

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statement

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

Master

Securities

Forward

Transaction

Agreements

(each,

an

“MSFTA”)

are

entered

into

in

order

to

govern

TBA

commitments.

A

MSFTA

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

default

and/or

termination

event.

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

the

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund

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

Statement

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.

The

collateral

requirements

for

TBA

commitments

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

the

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Typically,

the

Fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statement

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Fund’s

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

the

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

the

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Fund

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Fund’s

Board

of

Trustees

(the

“Board”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Fund’s

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

29

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Fund’s

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

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

Fund

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

Fund

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are classified

as

Level

1.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

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

Fund

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Fund

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Fund

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

30

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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

Fund

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

Quantitative

Information

The

following

table

represents

the

Fund’s

valuations

inputs

as

presented

on

the

Schedule

of

Investments:

During

the

period

ended

March

31,

2020,

there

were

no

transfers

to

or

from

Level

3.

There

were

no

Level

3

securities

held

at

period

end.

AQR

CORE

PLUS

BOND

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Corporate

Bonds

................................

$

–

$

27,969,172

$

–

$

27,969,172

Foreign

Government

Securities

.....................

–

17,883,543

–

17,883,543

Mortgage-Backed

Securities

.......................

–

73,396,138

–

73,396,138

U.S.

Treasury

Obligations

.........................

–

44,916,681

–

44,916,681

Securities

Lending

Collateral

.......................

62,762

–

–

62,762

Short-Term

Investments

...........................

20,894,887

–

–

20,894,887

Futures

Contracts*

...............................

364,702

–

–

364,702

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,804,307

–

1,804,307

Interest

Rate

Swap

Contracts*

......................

–

2,092,936

–

2,092,936

Credit

Default

Swap

Contracts*

.....................

–

1,400,400

–

1,400,400

Total

Assets

$

21,322,351

$

169,463,177

$

–

$

190,785,528

LIABILITIES

TBA

Sale

Commitments

(Sold

Short)

.................

$

–

$

(37,753,191)

$

–

$

(37,753,191)

Futures

Contracts*

...............................

(231,803)

–

–

(231,803)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,036,612)

–

(2,036,612)

Interest

Rate

Swap

Contracts*

......................

–

(2,195,674)

–

(2,195,674)

Credit

Default

Swap

Contracts*

.....................

–

(420,384)

–

(420,384)

Total

Liabilities

$

(231,803)

$

(42,405,861)

$

–

$

(42,637,664)

*

Derivative

instruments,

including

futures

and

forward

foreign

currency

exchange,

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Fund’s

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

contracts

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

31

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

Federal

Income

Tax

Matters

At

March

31,

2020,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

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.

The

Fund’s

tax

basis

capital

gains

and

losses

are

determined

only

at

the

end

of

the

year.

Investment

Transactions

During

the period

ended

March

31,

2020,

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 period

ended

March

31,

2020,

the

Fund

had

purchases

and

sales

of

long-term

U.S.

Government

obligations

as

follows:

Derivative

Instruments

and

Activities

The

Fund

uses

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Fund

derivative

contracts

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Fund

does

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statement

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Fund

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Core

Plus

Bond

Fund

................................

$

146,188,746

$

7,565,661

$

(5,606,543)

$

1,959,118

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Core

Plus

Bond

Fund

................................

$

428,697,789

$

391,214,987

$

314,238,939

$

277,606,481

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Core

Plus

Bond

Fund

................................

$

88,035,302

$

84,869,445

$

—

$

—

32

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Fund,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statement

of

Assets

and

Liabilities

at

March

31,

2020.

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statement

of

Operations

for

the period

ended

March

31,

2020:

ASSETS

LIABILITIES

FUND

UNREALIZED

APPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

APPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

UNREALIZED

DEPRECIATION

ON

FUTURES

CONTRACTS

*

SWAPS

AT

VALUE

**

UNREALIZED

DEPRECIATION

ON

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

...............

$

–

$

–

$

1,804,307

$

–

$

–

$

2,036,612

Interest

Rate

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

...............

364,702

2,092,936

–

231,803

2,195,674

–

Credit

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

...............

–

1,400,400

–

–

420,384

–

Net

Fair

Value

of

Derivative

Contracts:

AQR

Core

Plus

Bond

Fund

...............

132,899

877,278

–

–

–

232,305

*

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

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

FUTURES

CONTRACTS

SWAPS

CONTRACTS

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Foreign

Exchange

Rate

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

....................

$

–

$

–

$

1,352,457

$

–

$

–

$

(617,128)

Interest

Rate

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

....................

(78,131)

299,540

–

119,622

283,122

–

Credit

Risk

Exposure:

AQR

Core

Plus

Bond

Fund

....................

–

123,985

–

–

143,965

–

33

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

following

table

presents

the

Fund’s

gross

OTC

derivative

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Fund

as

of

March

31,

2020:

AQR

Core

Plus

Bond

Fund

(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

$

584,899.

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

$

943,126

$

(943,126)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

861,181

(861,181)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,804,307

(1,804,307)

–

–

–

–

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

$

1,034,231

$

(943,126)

$

91,105

$

–

$

–

$

91,105

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,002,381

(861,181)

141,200

–

(141,200)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,036,612

(1,804,307)

232,305

–

(141,200)

91,105

34

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

For

the

period ended

March

31,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Fund

were

as

follows:

Derivatives

Volume

Disclosure*

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

the

Fund,

pursuant

to

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended,

entered

into

by

the

Trust,

on

behalf

of

the

Fund

(the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

the

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

the

Fund,

and

manages

the

Fund

investments

in

accordance

with

the

Fund

stated

policies.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

the

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Fund’s

Board

to

serve

as

officers

of

the

Fund.

Pursuant

to

the

Advisory

Agreement,

the

Fund

currently

pays

the

Investment

Advisory

fee

at

an

annual

rate

of

0.32%

calculated

on

the

average

daily

net

assets.

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

the

Fund

at

least

through

January

28,

2021

for

Class

I,

N,

and

R6

shares.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

the

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:

For

the period

ended March

31,

2020,

the

Fund’s

Adviser

reimbursed

expenses

for

the

Fund

as

follows:

*

AQR

CORE

PLUS

BOND

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

16,372,952

Average

Notional

Balance

-

Short

17,923,552

Ending

Notional

Balance

-

Long

19,974,071

Ending

Notional

Balance

-

Short

16,600,535

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

25,558,769

Average

Settlement

Value

-

Sold

41,355,278

Ending

Value

-

Purchased

33,890,287

Ending

Value

-

Sold

47,749,823

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

14,010,000

Average

Notional

Balance

-

Sell

Protection

10,346,667

Ending

Notional

Balance

-

Buy

Protection

14,970,000

Ending

Notional

Balance

-

Sell

Protection

11,810,000

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

201,837,462

Average

Notional

Balance

-

Receives

Fixed

Rate

259,715,910

Ending

Notional

Balance

-

Pays

Fixed

Rate

176,257,650

Ending

Notional

Balance

-

Receives

Fixed

Rate

206,997,864

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Core

Plus

Bond

Fund

..........................................................

0.15

%

0.15

%

0.05

%

FUND

EXPENSE

REIMBURSEMENTS

TOTAL

AQR

Core

Plus

Bond

Fund

............................................................

$

97,904

$

97,904

35

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

Trust,

in

turn,

agreed

that

the

Fund

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

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

the

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 period

ended

March

31,

2020,

the

amounts

reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at March

31,

2020

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

Fund.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Fund.

Principal

Risks

and

Concentrations

The

Fund

is

non-diversified.

Because

the

Fund

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Fund

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Fund’s

performance.

The

investment

techniques

and

strategies

utilized

by

the

Fund,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Fund

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Fund.

In

the

normal

course

of

business

the

Fund

trades

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate

and

foreign

currency

risks. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Fund

may

lose

money

if

short-term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated. Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the portfolio

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Fund

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

MARCH

31

,

MARCH

31,

2020

MARCH

31,

2020

20

20

20

21

20

22

20

23

AQR

CORE

PLUS

BOND

FUND

Class

I

................

$

16,829

$

41,034

$

–

$

3,626

$

20,579

$

16,829

Class

N

................

849

3,359

–

602

1,908

849

Class

R6

...............

80,226

437,845

–

111,384

246,235

80,226

Totals

$

97,904

$

482,238

$

–

$

115,612

$

268,722

$

97,904

36

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

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. 

Mortgage-related

and

other

mortgage-backed

securities

are

subject

to

certain

risks,

including

“extension

risk”

(i.e.,

in

periods

of

rising

interest

rates,

issuers

may

pay

principal

later

than

expected)

and

“prepayment

risk”

(i.e.,

in

periods

of

declining

interest

rates,

issuers

may

pay

principal

more

quickly

than

expected,

causing

the

Fund

to

reinvest

proceeds

at

lower

prevailing

interest

rates).

Exposure

to

mortgage-backed

securities

offered

by

non-

governmental

issuers

are

subject

to

other

risks

as

well,

including

failures

of

private

insurers

to

meet

their

obligations

and

unexpectedly

high

rates

of

default

on

the

mortgages

backing

the

securities. 

Sovereign

debt

investments

are

subject

to

the

risk

that

a

governmental

entity

may

delay

or

refuse

to

pay

interest

or

repay

principal

on

its

sovereign

debt,

due,

for

example,

to

cash

flow

problems,

insufficient

foreign

currency

reserves,

political

considerations,

the

relative

size

of

the

governmental

entity’s

debt

position

in

relation

to

the

economy

or

the

failure

to

put

in

place

economic

reforms

required

by

the

International

Monetary

Fund

or

other

multilateral

agencies.

If

a

governmental

entity

defaults,

it

may

ask

for

more

time

in

which

to

pay

or

for

further

loans.

There

is

no

legal

process

for

collecting

sovereign

debt

that

a

government

does

not

pay

nor

are

there

bankruptcy

proceedings

through

which

all

or

part

of

the

sovereign

debt

that

a

governmental

entity

has

not

repaid

may

be

collected.

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investment

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.

Geopolitical

and

other

events,

including

war,

terrorism,

economic

uncertainty,

trade

disputes,

public

health

crises

and

related

geopolitical

events

have

led,

and

in

the

future

may

lead,

to

increased

market

volatility,

which

may

disrupt

the

U.S.

and

world

economies

and

markets

and

may

have

significant

adverse

direct

or

indirect

effects

on

the

Funds

and

their

investments.

Although

multiple

asset

classes

may

be

affected

by

a

market

disruption,

the

duration

and

effects

may

not

be

the

same

for

all

types

of

assets.

Such

events

include

the

recent

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

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

Fund

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

Fund

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

presents

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

Fund

while

using

a

value

strategy

may

suffer.

37

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

In

addition,

the

Fund

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Fund

portfolio

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

The

Fund

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

the

Fund

has

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Fund

net

asset

value

or

dividends.

The

Fund

minimizes

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Fund

when

deemed

necessary.

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Fund

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Fund’s

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statement

of

Assets

and

Liabilities.

The

counterparties

to

the

Fund’s

derivative

investments

may

include

affiliates

of

the

Fund’s

clearing

brokers

and

other

major

financial

institutions.

While

the

Fund

uses

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Fund

minimizes

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate. 

In

the

normal

course

of

business,

the

Fund

may

enter

into

agreements

with

the

certain

counterparties

for

derivative

transactions.

A

Fund’s

Master

Agreement

contains

provisions

that

require

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses. 

The

Fund,

at

times,

utilizes

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Fund

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Fund.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Fund.

In

addition,

a

decline

in

market

value

of

the

Fund

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Fund

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Fund’s

best

interest

to

do

so. 

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

Fund

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Fund

is

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Fund’s

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Fund.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Fund

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

38

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

March

2020

March

31,

2020

(Unaudited)

The

Fund

is

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

the

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program. Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interfund

lending

expense

in

the

Statements

of

Operations.

During

the

reporting

period,

the

Fund

did

not

utilize

the

Interfund

Lending

Program. 

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

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.

There

were

no

open

borrowings

as

of March

31,

2020 by

any

of

the

Funds

in

the

Trust.

The

Fund

did

not

have

any

borrowings

for

the period

ended

March

31,

2020. 

Principal

Ownership

As

of

March

31,

2020,

the

Fund

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

Fund's

performance.

New

Accounting

Pronouncements

and

Regulations 

In

March

2017,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2017-08

(“ASU

2017-08”),

“Receivables—

Nonrefundable

Fees

and

Other

Costs

(Subtopic

310-20):

Premium

Amortization

on

Purchased

Callable

Debt

Securities.”

ASU

2017-08

changed

the

amortization

period

for

certain

callable

debt

securities

held

at

a

premium.

Specifically,

it

required

the

premium

to

be

amortized

to

the

earliest

call

date.

The

Fund

has

adopted

and

applied

ASU

2017-08

on

a

modified

retrospective

basis

through

a

cumulative-effect

adjustment

as

of

the

beginning

of

the

period

of

adoption.

As

a

result

of

the

adoption

of

ASU

2017-08,

as

of

October

1,

2019,

the

amortized

cost

basis

of

investments

was

reduced

by

$1,919

and

unrealized

appreciation

of

investments

was

increased

by

$1,919.

The

adoption

of

ASU

2017-08

had

no

impact

on

beginning

net

assets,

the

current

period

results

from

operations,

or

any

prior

period

information

presented

in

the

financial

statements.

Subsequent

Events 

The

Fund

has

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

has

determined

that

there are

no

material

events.

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Core

Plus

Bond

Fund*

...............................................

6

92.07%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

48.16%.

39

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

March

2020

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

3/31/2020”

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

  3/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        3/31/20

AQR

Core

Plus

Bond

Fund

Class

I

Actual

Return

$1,000.00

$1,030.40

0.47%

$2.39

Hypothetical

Return

$1,000.00

$1,022.65

0.47%

$2.38

Class

N

Actual

Return

$1,000.00

$1,028.10

0.72%

$3.65

Hypothetical

Return

$1,000.00

$1,021.40

0.72%

$3.64

Class

R6

Actual

Return

$1,000.00

$1,029.90

0.37%

$1.88

Hypothetical

Return

$1,000.00

$1,023.15

0.37%

$1.87

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

183/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

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.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

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 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)      Not required for this filing.

(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.

                Section 302

(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.

                Section 906

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

-----------------------------------

William Cashel,

Principal Executive Officer

May 26, 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

----------------------------------

William Cashel,

Principal Executive Officer

May 26, 2020

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

May 26, 2020