UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

                            Greenwich, CT 06830

                        

(Address of principal executive offices) (Zip code)

H.J. Willcox, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

                        Greenwich, CT 06830                            

(Name and Address of Agent for Service)

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

Date of fiscal year end:  December 31

Date of reporting period:  January 1, 2020 to June 30, 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.

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

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

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Semi-Annual

Report

June

30,

2020

(Unaudited)

AQR

Alternative

Risk

Premia

Fund

AQR

Diversified

Arbitrage

Fund

AQR

Diversifying

Strategies

Fund

AQR

Equity

Market

Neutral

Fund

AQR

Global

Macro

Fund

AQR

Long-Short

Equity

Fund

AQR

Multi-Asset

Fund

AQR

Multi-Strategy

Alternative

Fund

AQR

Risk-Balanced

Commodities

Strategy

Fund

AQR

Risk

Parity

II

HV

Fund

AQR

Risk

Parity

II

MV

Fund

AQR

Style

Premia

Alternative

Fund

AQR

Style

Premia

Alternative

LV

Fund

AQR

Volatility

Risk

Premium

Fund

Table

of

Contents

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

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

2

AQR

Diversified

Arbitrage

Fund

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

26

AQR

Diversifying

Strategies

Fund

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

52

AQR

Equity

Market

Neutral

Fund

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

53

AQR

Global

Macro

Fund

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

73

AQR

Long-Short

Equity

Fund

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

86

AQR

Multi-Asset

Fund

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

114

AQR

Multi-Strategy

Alternative

Fund

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

130

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

168

AQR

Risk

Parity

II

HV

Fund

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

177

AQR

Risk

Parity

II

MV

Fund

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

182

AQR

Style

Premia

Alternative

Fund

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

187

AQR

Style

Premia

Alternative

LV

Fund

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

215

AQR

Volatility

Risk

Premium

Fund

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

241

Financial

Statements

and

Notes

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

250

Fund

Expense

Examples

(Unaudited)

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

342

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

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

346

Liquidity

Risk

Management

Program

(Unaudited)

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

351

2

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

176.5%

COMMON

STOCKS

-

96.6%

Australia

-

2.4%

AGL

Energy

Ltd.

(2)(a)

56,354

666,677

Ansell

Ltd.

(2)(a)

4,465

113,500

Aurizon

Holdings

Ltd.

(2)(a)

23,877

81,250

Beach

Energy

Ltd.

(2)(a)

344,100

367,610

BlueScope

Steel

Ltd.

(2)(a)

82,319

678,132

Coca-Cola

Amatil

Ltd.

(2)(a)

39,863

240,113

Flight

Centre

Travel

Group

Ltd.

(2)

(a)

20,551

160,650

Fortescue

Metals

Group

Ltd.

(2)(a)

126,982

1,234,479

Harvey

Norman

Holdings

Ltd.

(2)(a)

108,527

266,790

Iluka

Resources

Ltd.

(2)(a)

32,521

194,282

JB

Hi-Fi

Ltd.

(2)(a)

2,393

71,597

Lendlease

Group

(2)

9,389

81,151

Sonic

Healthcare

Ltd.

(2)(a)

1,696

35,814

Star

Entertainment

Grp

Ltd.

(The)

(2)(a)

8,102

16,098

Telstra

Corp.

Ltd.

(2)(a)

173,333

376,242

Treasury

Wine

Estates

Ltd.

(2)(a)

22,109

160,862

4,745,247

—

Austria

-

0.0%

(b)

ams

AG

(2)*(a)

3,889

57,979

Belgium

-

0.5%

Ageas

SA/NV

(2)(a)

9,971

353,370

Galapagos

NV

(2)*(a)

902

178,035

Proximus

SADP

(2)(a)

25,787

525,464

1,056,869

—

Canada

-

4.9%

Alamos

Gold,

Inc.,

Class

A

(a)

10,560

98,475

Alimentation

Couche-Tard,

Inc.,

Class

B

(a)

14,743

462,293

ARC

Resources

Ltd.

(a)

11,014

36,995

Atco

Ltd.,

Class

I

(a)

9,457

280,520

Bank

of

Nova

Scotia

(The)

(a)

3,760

155,596

BCE,

Inc.

(a)

3,686

153,728

Canadian

Imperial

Bank

of

Commerce

(a)

5,542

370,419

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

3,811

330,234

Canadian

Utilities

Ltd.,

Class

A

(a)

5,389

134,169

Cenovus

Energy,

Inc.

(a)

8,477

39,650

CGI,

Inc.

*(a)

7,128

449,070

CI

Financial

Corp.

(a)

22,506

286,298

Cogeco

Communications,

Inc.

(a)

3,360

242,075

Emera,

Inc.

(a)

5,128

201,781

Empire

Co.

Ltd.,

Class

A

(a)

22,872

547,708

Equinox

Gold

Corp.

*(a)

9,012

100,768

Fortis,

Inc.

(a)

3,169

120,518

Hydro

One

Ltd.

(a)(c)

40,012

752,435

iA

Financial

Corp.,

Inc.

(a)

2,591

86,761

IGM

Financial,

Inc.

(a)

4,666

113,385

Imperial

Oil

Ltd.

(a)

9,029

145,251

Intact

Financial

Corp.

(a)

1,261

120,016

Keyera

Corp.

(a)

2,465

37,531

Kinross

Gold

Corp.

*(a)

61,562

444,393

Linamar

Corp.

(a)

8,179

221,103

INVESTMENTS

SHARES

VALUE

($)

Canada

-

4.9%

(continued)

Loblaw

Cos.

Ltd.

(a)

4,544

221,276

Magna

International,

Inc.

(a)

15,101

672,515

Manulife

Financial

Corp.

(a)

2,809

38,216

Metro,

Inc.

(a)

1,675

69,093

National

Bank

of

Canada

(a)

10,444

473,273

Northland

Power,

Inc.

(a)

12,489

312,593

Onex

Corp.

(a)

4,154

187,658

Quebecor,

Inc.,

Class

B

(a)

15,242

327,496

Ritchie

Bros

Auctioneers,

Inc.

(a)

1,683

68,518

Rogers

Communications,

Inc.,

Class

B

(a)

2,149

86,349

Seven

Generations

Energy

Ltd.,

Class

A

*

55,141

123,068

SSR

Mining,

Inc.

*(a)

3,220

68,617

Stantec,

Inc.

(a)

6,391

197,294

Teck

Resources

Ltd.,

Class

B

(a)

13,165

137,895

TFI

International,

Inc.

(a)

932

33,083

Thomson

Reuters

Corp.

(a)

1,934

131,403

TMX

Group

Ltd.

(a)

1,854

183,311

Tourmaline

Oil

Corp.

(a)

28,159

246,205

Vermilion

Energy,

Inc.

17,093

76,047

Yamana

Gold,

Inc.

(a)

27,172

147,709

9,732,791

—

China

-

0.2%

Wilmar

International

Ltd.

(2)

52,400

154,987

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

309,000

208,017

363,004

—

Denmark

-

1.6%

Carlsberg

A/S,

Class

B

(2)(a)

6,253

829,199

Coloplast

A/S,

Class

B

(2)(a)

1,371

213,695

Genmab

A/S

(2)*(a)

88

29,673

GN

Store

Nord

A/S

(2)(a)

445

23,821

Novo

Nordisk

A/S,

Class

B

(2)(a)

8,625

561,899

Orsted

A/S

(2)(a)(c)

5,117

591,468

Pandora

A/S

(2)(a)

9,039

493,660

ROCKWOOL

International

A/S,

Class

B

(2)(a)

652

177,445

Vestas

Wind

Systems

A/S

(2)(a)

2,049

209,823

3,130,683

—

Finland

-

0.7%

Fortum

OYJ

(2)(a)

21,095

402,453

Kesko

OYJ,

Class

B

(2)(a)

24,979

427,575

Neste

OYJ

(2)(a)

9,399

369,156

Orion

OYJ,

Class

B

(2)(a)

2,957

143,398

1,342,582

—

France

-

2.5%

Atos

SE

(2)*(a)

362

31,035

AXA

SA

(2)(a)

30,109

633,582

BNP

Paribas

SA

(2)*(a)

10,228

408,650

Bouygues

SA

(2)*(a)

571

19,559

Cie

de

Saint-Gobain

(2)*(a)

1,840

66,389

Electricite

de

France

SA

(2)(a)

47,310

439,845

Engie

SA

(2)*(a)

75,053

930,803

Eutelsat

Communications

SA

(2)(a)

29,932

276,881

Orange

SA

(2)(a)

33,869

405,004

3

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

2.5%

(continued)

Peugeot

SA

(2)*(a)

64,725

1,061,433

Publicis

Groupe

SA

(2)(a)

6,795

220,736

Rubis

SCA

(2)(a)

1,263

60,891

Sanofi

(2)(a)

287

29,270

Societe

BIC

SA

(2)(a)

770

39,208

Societe

Generale

SA

(2)*(a)

10,371

173,400

Suez

SA

(2)(a)(d)

21,224

249,459

5,046,145

—

Germany

-

2.5%

Aurubis

AG

(2)(a)

2,868

177,297

Bayer

AG

(Registered)

(2)(a)

5,298

392,707

Beiersdorf

AG

(2)(a)

1,308

148,738

Deutsche

Post

AG

(Registered)

(2)

(a)

10,092

370,577

Freenet

AG

(2)(a)

20,968

336,723

Hannover

Rueck

SE

(2)(a)

4,534

783,586

HeidelbergCement

AG

(2)(a)

1,170

62,632

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

9,231

861,195

HOCHTIEF

AG

(2)(a)

1,728

153,756

Merck

KGaA

(2)(a)

1,106

128,791

METRO

AG

(2)(a)

12,046

114,319

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

(2)(a)

610

158,841

ProSiebenSat.1

Media

SE

(2)*(a)

43,294

517,372

Siemens

Healthineers

AG

(2)(a)(c)

2,223

106,855

Software

AG

(2)(a)

818

33,039

TUI

AG

(2)(a)

27,865

132,047

Volkswagen

AG

(Preference)

(2)(a)

3,344

508,288

4,986,763

—

Italy

-

2.3%

A2A

SpA

(2)(a)

259,681

369,120

Assicurazioni

Generali

SpA

(2)(a)

49,005

744,399

Banco

BPM

SpA

(2)(a)

12,095

18,116

BPER

Banca

(2)*(a)

8,208

20,519

DiaSorin

SpA

(2)(a)

421

80,851

Enel

SpA

(2)(a)

152,782

1,321,328

Hera

SpA

(2)*(a)

123,099

462,206

Italgas

SpA

(2)(a)

31,366

182,539

Mediaset

SpA

(2)*(a)

16,400

29,198

Poste

Italiane

SpA

(2)(a)(c)

87,504

764,369

Snam

SpA

(2)(a)

17,811

86,831

Telecom

Italia

SpA

(2)(a)

206,645

81,488

Terna

Rete

Elettrica

Nazionale

SpA

(2)(a)

38,446

265,183

Unipol

Gruppo

SpA

(2)*(a)

66,402

259,399

4,685,546

—

Ivory

Coast

-

0.0%

(b)

Endeavour

Mining

Corp.

*

3,117

75,422

Japan

-

18.8%

AGC,

Inc.

(2)(a)

18,700

536,120

Alfresa

Holdings

Corp.

(2)(a)

2,600

54,500

Amada

Co.

Ltd.

(2)(a)

17,900

146,563

Asahi

Kasei

Corp.

(2)(a)

2,900

23,739

Astellas

Pharma,

Inc.

(2)(a)

14,400

240,474

Bandai

Namco

Holdings,

Inc.

(2)(a)

7,200

378,994

INVESTMENTS

SHARES

VALUE

($)

Japan

-

18.8%

(continued)

Bridgestone

Corp.

(2)(a)

13,000

419,581

Brother

Industries

Ltd.

(2)(a)

9,100

164,411

Central

Japan

Railway

Co.

(2)(a)

3,100

479,441

Chiba

Bank

Ltd.

(The)

(2)(a)

26,200

123,867

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

68,900

864,140

Chugoku

Electric

Power

Co.,

Inc.

(The)

(2)(a)

9,900

131,987

Concordia

Financial

Group

Ltd.

(2)

(a)

21,900

70,410

Daicel

Corp.

(2)(a)

2,600

20,151

Dai-ichi

Life

Holdings,

Inc.

(2)(a)

1,800

21,546

DeNA

Co.

Ltd.

(2)(a)

9,900

123,604

ENEOS

Holdings,

Inc.

(2)(a)

290,500

1,035,507

Fujitsu

Ltd.

(2)(a)

5,400

632,250

Fukuoka

Financial

Group,

Inc.

(2)

(a)

29,100

460,098

GungHo

Online

Entertainment,

Inc.

(2)(a)

18,690

334,164

Haseko

Corp.

(2)(a)

45,100

569,445

Hino

Motors

Ltd.

(2)(a)

11,900

80,737

Hitachi

Ltd.

(2)(a)

18,300

581,662

Honda

Motor

Co.

Ltd.

(2)(a)

20,000

511,873

Idemitsu

Kosan

Co.

Ltd.

(2)(a)

26,300

561,296

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

5,500

84,526

Inpex

Corp.

(2)(a)

40,800

254,766

Isuzu

Motors

Ltd.

(2)(a)

23,600

214,461

ITOCHU

Corp.

(2)(a)

59,100

1,278,796

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

13,500

96,345

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

6,400

84,329

Japan

Tobacco,

Inc.

(2)(a)

1,300

24,145

JTEKT

Corp.

(2)(a)

5,100

39,822

Justsystems

Corp.

(2)(a)

1,400

99,554

Kajima

Corp.

(2)(a)

62,100

742,521

Kakaku.com,

Inc.

(2)(a)

1,500

38,211

Kaken

Pharmaceutical

Co.

Ltd.

(2)

(a)

2,900

148,512

Kamigumi

Co.

Ltd.

(2)(a)

14,200

279,264

Kaneka

Corp.

(2)(a)

1,100

28,629

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)(a)

5,000

48,450

KDDI

Corp.

(2)(a)

43,600

1,300,901

Kinden

Corp.

(2)(a)

7,400

122,299

Komatsu

Ltd.

(2)(a)

1,300

26,625

Konami

Holdings

Corp.

(2)(a)

7,700

256,940

Kyocera

Corp.

(2)(a)

2,600

141,920

Kyushu

Railway

Co.

(2)(a)

11,200

291,018

Mabuchi

Motor

Co.

Ltd.

(2)(a)

9,900

315,925

Marubeni

Corp.

(2)(a)

136,500

620,038

Maruichi

Steel

Tube

Ltd.

(2)(a)

1,600

39,881

Mazda

Motor

Corp.

(2)(a)

5,000

30,209

Mebuki

Financial

Group,

Inc.

(2)(a)

31,500

73,378

Medipal

Holdings

Corp.

(2)(a)

12,000

231,607

Mitsubishi

Chemical

Holdings

Corp.

(2)(a)

55,000

320,742

Mitsubishi

Corp.

(2)(a)

2,300

48,603

Mitsubishi

Electric

Corp.

(2)(a)

12,800

167,184

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

3,100

47,149

4

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

18.8%

(continued)

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

4,400

103,884

Mitsubishi

Logistics

Corp.

(2)(a)

700

18,066

Mitsubishi

Materials

Corp.

(2)(a)

8,500

179,482

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)(a)

93,000

366,004

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.

(2)(a)

7,600

36,266

Mitsui

&

Co.

Ltd.

(2)(a)

52,400

776,391

Mitsui

Chemicals,

Inc.

(2)(a)

13,800

288,642

Mizuho

Financial

Group,

Inc.

(2)

126,600

155,724

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

19,100

525,989

Nexon

Co.

Ltd.

(2)(a)

40,500

913,535

NGK

Insulators

Ltd.

(2)(a)

3,900

54,037

Nikon

Corp.

(2)(a)

7,300

61,308

Nippon

Electric

Glass

Co.

Ltd.

(2)

(a)

1,600

25,133

Nippon

Express

Co.

Ltd.

(2)(a)

3,900

202,229

Nippon

Steel

Corp.

(2)(a)

31,400

296,713

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

56,000

1,304,770

Nomura

Research

Institute

Ltd.

(2)

(a)

900

24,581

NS

Solutions

Corp.

(2)(a)

2,800

76,596

NSK

Ltd.

(2)(a)

4,000

29,851

Obayashi

Corp.

(2)(a)

94,200

885,618

Oji

Holdings

Corp.

(2)(a)

35,100

163,754

ORIX

Corp.

(2)(a)

27,200

337,749

Osaka

Gas

Co.

Ltd.

(2)(a)

22,800

450,687

Otsuka

Holdings

Co.

Ltd.

(2)(a)

1,200

52,298

Panasonic

Corp.

(2)(a)

8,200

71,906

Resona

Holdings,

Inc.

(2)(a)

293,900

1,005,694

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

1,400

44,471

Sankyo

Co.

Ltd.

(2)(a)

9,800

237,213

Sankyu,

Inc.

(2)(a)

4,700

177,146

Sawai

Pharmaceutical

Co.

Ltd.

(2)

(a)

3,300

169,614

Sega

Sammy

Holdings,

Inc.

(2)(a)

3,200

38,359

Seino

Holdings

Co.

Ltd.

(2)(a)

2,200

28,678

Sekisui

Chemical

Co.

Ltd.

(2)(a)

3,400

48,714

Sekisui

House

Ltd.

(2)(a)

35,000

668,226

SG

Holdings

Co.

Ltd.

(2)(a)

2,500

81,584

Shikoku

Electric

Power

Co.,

Inc.

(2)(a)

9,500

69,903

Shimizu

Corp.

(2)(a)

81,800

673,876

Shinsei

Bank

Ltd.

(2)(a)

49,000

592,665

Shionogi

&

Co.

Ltd.

(2)(a)

1,300

81,553

Shizuoka

Bank

Ltd.

(The)

(2)(a)

16,500

106,145

Showa

Denko

KK

(2)(a)

27,600

622,972

Softbank

Corp.

(2)(a)

21,200

270,220

Sojitz

Corp.

(2)(a)

203,800

445,442

Sompo

Holdings,

Inc.

(2)(a)

2,400

82,621

Subaru

Corp.

(2)(a)

12,300

257,558

Sumitomo

Chemical

Co.

Ltd.

(2)(a)

27,100

81,538

Sumitomo

Corp.

(2)(a)

65,800

756,794

Sumitomo

Dainippon

Pharma

Co.

Ltd.

(2)(a)

19,100

264,680

INVESTMENTS

SHARES

VALUE

($)

Japan

-

18.8%

(continued)

Sumitomo

Electric

Industries

Ltd.

(2)(a)

5,200

59,986

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

13,000

284,324

Sumitomo

Metal

Mining

Co.

Ltd.

(2)(a)

9,300

261,979

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)(a)

31,200

880,520

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

18,700

526,973

Sumitomo

Rubber

Industries

Ltd.

(2)(a)

8,700

86,169

Suzuken

Co.

Ltd.

(2)(a)

2,100

78,455

Taiheiyo

Cement

Corp.

(2)(a)

13,500

313,661

Taisei

Corp.

(2)(a)

4,000

145,784

Takashimaya

Co.

Ltd.

(2)(a)

14,400

120,578

Teijin

Ltd.

(2)(a)

31,200

496,755

TIS,

Inc.

(2)(a)

1,300

27,524

Toho

Gas

Co.

Ltd.

(2)(a)

800

39,986

Tohoku

Electric

Power

Co.,

Inc.

(2)

(a)

14,500

137,744

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

325,300

1,000,684

Tokyo

Electron

Ltd.

(2)(a)

300

74,023

Tokyo

Gas

Co.

Ltd.

(2)(a)

43,200

1,034,407

Toppan

Printing

Co.

Ltd.

(2)(a)

28,600

478,161

Tosoh

Corp.

(2)(a)

39,300

539,861

Toyo

Seikan

Group

Holdings

Ltd.

(2)(a)

8,600

96,984

Toyoda

Gosei

Co.

Ltd.

(2)(a)

2,500

52,234

Toyota

Boshoku

Corp.

(2)(a)

5,600

75,516

Toyota

Tsusho

Corp.

(2)(a)

6,500

165,759

West

Japan

Railway

Co.

(2)(a)

4,000

224,356

Yamada

Denki

Co.

Ltd.

(2)(a)

8,700

43,156

Yamaha

Motor

Co.

Ltd.

(2)(a)

4,000

63,000

Yokohama

Rubber

Co.

Ltd.

(The)

(2)(a)

5,300

74,942

37,653,710

—

Kyrgyzstan

-

0.1%

Centerra

Gold,

Inc.

10,118

112,911

Luxembourg

-

0.0%

(b)

Aperam

SA

(2)

1,845

51,723

Eurofins

Scientific

SE

(2)*

28

17,661

69,384

—

Netherlands

-

1.5%

ASM

International

NV

(2)(a)

2,265

348,689

ASR

Nederland

NV

(2)(a)

9,957

306,351

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

49,313

1,343,980

NN

Group

NV

(2)(a)

11,470

385,481

Randstad

NV

(2)*(a)

11,067

494,861

Signify

NV

(2)*(a)(c)

5,213

134,026

3,013,388

—

Norway

-

0.4%

Leroy

Seafood

Group

ASA

(2)(a)

18,671

112,682

Mowi

ASA

(2)(a)

21,385

407,634

Orkla

ASA

(2)(a)

3,419

30,017

5

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Norway

-

0.4%

(continued)

Salmar

ASA

(2)*(a)

4,402

210,880

Yara

International

ASA

(2)(a)

661

23,044

784,257

—

Singapore

-

0.2%

ComfortDelGro

Corp.

Ltd.

(2)

106,300

111,712

SATS

Ltd.

(2)

32,500

67,367

Venture

Corp.

Ltd.

(2)

17,900

209,192

388,271

—

South

Africa

-

0.0%

(b)

Investec

plc

(2)

26,178

52,528

Spain

-

1.7%

Acciona

SA

(2)(a)

946

93,063

Enagas

SA

(2)(a)

33,271

813,927

Endesa

SA

(2)(a)

47,702

1,183,307

Iberdrola

SA

(2)(a)

68,451

799,144

Mapfre

SA

(2)(a)

12,358

22,068

Naturgy

Energy

Group

SA

(2)(a)

3,594

67,096

Red

Electrica

Corp.

SA

(2)(a)

19,315

361,375

3,339,980

—

Sweden

-

1.1%

Axfood

AB

(2)(a)

10,928

238,908

Electrolux

AB,

Series

B

(2)(a)

1,063

17,885

Essity

AB,

Class

B

(2)*(a)

18,442

597,916

Getinge

AB,

Class

B

(2)(a)

12,383

230,749

Hennes

&

Mauritz

AB,

Class

B

(2)

(a)

1,922

28,054

ICA

Gruppen

AB

(2)(a)

11,698

556,059

Skanska

AB,

Class

B

(2)*(a)

1,590

32,460

SKF

AB,

Class

B

(2)(a)

2,929

54,753

SSAB

AB,

Class

A

(2)*(a)

27,359

75,769

Swedish

Orphan

Biovitrum

AB

(2)*(a)

3,727

86,417

Volvo

AB,

Class

B

(2)*(a)

24,414

384,152

2,303,122

—

Switzerland

-

2.2%

Adecco

Group

AG

(Registered)

(2)

(a)

4,723

222,621

DKSH

Holding

AG

(2)(a)

526

33,889

Flughafen

Zurich

AG

(Registered)

(2)*(a)

973

127,081

Geberit

AG

(Registered)

(2)(a)

57

28,599

Helvetia

Holding

AG

(Registered)

(2)(a)

2,479

232,208

Lonza

Group

AG

(Registered)

(2)(a)

300

158,909

Novartis

AG

(Registered)

(2)(a)

2,019

175,897

Roche

Holding

AG

(2)(a)

3,716

1,287,407

Sonova

Holding

AG

(Registered)

(2)*(a)

1,052

210,584

Sulzer

AG

(Registered)

(2)(a)

1,131

90,705

Swiss

Life

Holding

AG

(Registered)

(2)(a)

1,845

686,375

Swisscom

AG

(Registered)

(2)(a)

1,704

893,580

Zurich

Insurance

Group

AG

(2)(a)

539

190,984

4,338,839

—

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

2.4%

Aggreko

plc

(2)(a)

36,898

202,919

ASOS

plc

(2)*(a)

2,512

106,766

Babcock

International

Group

plc

(2)(a)

48,705

186,664

Barratt

Developments

plc

(2)(a)

37,650

231,402

Bellway

plc

(2)(a)

7,261

228,694

Berkeley

Group

Holdings

plc

(2)(a)

6,267

322,752

Britvic

plc

(2)(a)

6,626

63,099

BT

Group

plc

(2)

136,937

193,663

Dialog

Semiconductor

plc

(2)*(a)

10,458

478,021

GVC

Holdings

plc

(2)

5,193

47,599

Hays

plc

(2)

77,123

114,203

Howden

Joinery

Group

plc

(2)(a)

24,718

169,224

Inchcape

plc

(2)(a)

6,297

38,268

Janus

Henderson

Group

plc

(a)

2,020

42,743

John

Wood

Group

plc

(2)(a)

41,087

98,518

Kingfisher

plc

(2)(a)

16,608

45,692

M&G

plc

(2)(a)

112,019

232,601

Marks

&

Spencer

Group

plc

(2)

40,504

49,669

Meggitt

plc

(2)(a)

7,783

28,348

Micro

Focus

International

plc

(2)(a)

33,115

176,670

Moneysupermarket.com

Group

plc

(2)(a)

78,228

313,804

National

Grid

plc

(2)(a)

53,170

648,695

Persimmon

plc

(2)(a)

5,078

143,715

Royal

Mail

plc

(2)(a)

159,245

358,909

Tate

&

Lyle

plc

(2)(a)

3,861

31,918

Taylor

Wimpey

plc

(2)

106,268

187,564

4,742,120

—

United

States

-

50.6%

Aaron's,

Inc.

(a)

5,800

263,320

AbbVie,

Inc.

(a)

8,905

874,293

ABIOMED,

Inc.

*(d)

184

44,447

Accenture

plc,

Class

A

(d)

253

54,324

Activision

Blizzard,

Inc.

(a)

1,534

116,431

Acuity

Brands,

Inc.

(a)(d)

5,828

557,973

Adobe,

Inc.

*(a)

303

131,899

ADT,

Inc.

(a)(d)

4,059

32,391

Adtalem

Global

Education,

Inc.

*(d)

901

28,066

Advance

Auto

Parts,

Inc.

(d)

262

37,322

Agilent

Technologies,

Inc.

(d)

1,026

90,668

Air

Lease

Corp.

(d)

4,582

134,207

Akamai

Technologies,

Inc.

*(d)

4,574

489,830

Alexion

Pharmaceuticals,

Inc.

*(a)

6,831

766,711

Alkermes

plc

*(a)

7,345

142,530

Alliance

Data

Systems

Corp.

(a)

7,068

318,908

Allison

Transmission

Holdings,

Inc.

(a)

687

25,268

Alphabet,

Inc.,

Class

A

*(a)

800

1,134,440

AMC

Networks,

Inc.,

Class

A

*(a)

10,257

239,911

Amdocs

Ltd.

(a)

6,392

389,145

American

Eagle

Outfitters,

Inc.

(a)

34,951

380,966

Ameriprise

Financial,

Inc.

(a)

3,844

576,754

AmerisourceBergen

Corp.

(a)(d)

5,282

532,267

Amgen,

Inc.

(d)

1,372

323,600

ANSYS,

Inc.

*(d)

1,213

353,868

Antero

Resources

Corp.

*(d)

31,135

79,083

Anthem,

Inc.

(d)

1,436

377,639

Applied

Materials,

Inc.

(a)

4,571

276,317

6

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Aramark

(a)

794

17,921

Arrow

Electronics,

Inc.

*(a)

8,053

553,161

Arrowhead

Pharmaceuticals,

Inc.

*(d)

858

37,057

Aspen

Technology,

Inc.

*(d)

1,968

203,904

Assured

Guaranty

Ltd.

(a)

14,029

342,448

Athene

Holding

Ltd.,

Class

A

*(d)

14,345

447,421

AutoNation,

Inc.

*(d)

11,674

438,709

AutoZone,

Inc.

*(d)

349

393,714

Avnet,

Inc.

(a)

6,807

189,813

Bausch

Health

Cos.,

Inc.

*(a)

7,796

142,643

Baxter

International,

Inc.

(d)

1,837

158,166

Bed

Bath

&

Beyond,

Inc.

(d)

23,099

244,849

Best

Buy

Co.,

Inc.

(a)(d)

5,968

520,827

Biogen,

Inc.

*(a)(d)

2,892

773,755

Bio-Rad

Laboratories,

Inc.,

Class

A

*(d)

2,053

926,909

Bio-Techne

Corp.

(d)

1,489

393,200

Booking

Holdings,

Inc.

*(d)

471

749,992

Booz

Allen

Hamilton

Holding

Corp.

(a)

4,703

365,846

BorgWarner,

Inc.

(a)(d)

3,067

108,265

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(d)

1,794

962,750

Boyd

Gaming

Corp.

(a)

3,844

80,340

Brighthouse

Financial,

Inc.

*(a)

15,009

417,550

Brinker

International,

Inc.

(a)

16,177

388,248

Bristol-Myers

Squibb

Co.

(a)

7,077

416,128

BRP,

Inc.

(a)

6,574

280,373

Bruker

Corp.

(a)

1,430

58,172

Brunswick

Corp.

(d)

7,447

476,682

CACI

International,

Inc.,

Class

A

*(a)

2,628

569,961

Cadence

Design

Systems,

Inc.

*(a)

8,447

810,574

Capri

Holdings

Ltd.

*(a)(d)

21,804

340,797

Carlisle

Cos.,

Inc.

(a)

1,009

120,747

Carnival

Corp.

(d)

25,026

410,927

Carpenter

Technology

Corp.

(a)

1,250

30,350

Carter's,

Inc.

(d)

2,717

219,262

Casey's

General

Stores,

Inc.

(a)(d)

1,404

209,926

CDW

Corp.

(a)

4,055

471,110

Centennial

Resource

Development,

Inc.,

Class

A

*(d)

82,054

73,028

CH

Robinson

Worldwide,

Inc.

(d)

1,064

84,120

ChampionX

Corp.

*(a)

6,470

63,147

Charles

River

Laboratories

International,

Inc.

*(a)

7,262

1,266,131

Chemed

Corp.

(a)(d)

243

109,610

Church

&

Dwight

Co.,

Inc.

(a)(d)

3,354

259,264

Churchill

Downs,

Inc.

(a)(d)

872

116,107

Ciena

Corp.

*(a)

10,533

570,467

Cimarex

Energy

Co.

(a)

6,723

184,815

Cinemark

Holdings,

Inc.

(d)

23,279

268,872

Cirrus

Logic,

Inc.

*(a)

11,066

683,657

Citrix

Systems,

Inc.

(a)

1,445

213,730

Clorox

Co.

(The)

(d)

4,669

1,024,239

CNX

Resources

Corp.

*(d)

10,071

87,114

Cognizant

Technology

Solutions

Corp.,

Class

A

(d)

385

21,876

Colgate-Palmolive

Co.

(d)

322

23,590

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Columbia

Sportswear

Co.

(d)

1,932

155,681

Commercial

Metals

Co.

(a)

25,897

528,299

Cooper

Cos.,

Inc.

(The)

(d)

1,261

357,670

Costco

Wholesale

Corp.

(d)

1,896

574,886

Cracker

Barrel

Old

Country

Store,

Inc.

(a)(d)

2,575

285,593

Crane

Co.

(a)

329

19,562

Cummins,

Inc.

(d)

3,620

627,201

Curtiss-Wright

Corp.

(a)

5,089

454,346

CVS

Health

Corp.

(a)

4,285

278,396

Dana,

Inc.

(a)

22,996

280,321

Danaher

Corp.

(d)

2,953

522,179

Darden

Restaurants,

Inc.

(a)

2,510

190,183

DaVita,

Inc.

*(a)(d)

1,713

135,567

Deckers

Outdoor

Corp.

*(a)

3,467

680,884

Deluxe

Corp.

(a)

3,808

89,640

Devon

Energy

Corp.

(a)

20,980

237,913

Dick's

Sporting

Goods,

Inc.

(a)

10,299

424,937

Dillard's,

Inc.,

Class

A

6,765

174,469

Dollar

General

Corp.

(a)

2,022

385,211

Domtar

Corp.

(d)

5,362

113,192

Eaton

Corp.

plc

(a)(d)

4,821

421,741

eBay,

Inc.

(a)(d)

22,193

1,164,023

EchoStar

Corp.,

Class

A

*(a)(d)

892

24,940

Edwards

Lifesciences

Corp.

*(a)

6,625

457,854

Electronic

Arts,

Inc.

*(a)(d)

7,087

935,838

EMCOR

Group,

Inc.

(a)(d)

1,160

76,722

EPAM

Systems,

Inc.

*(d)

536

135,077

Equitable

Holdings,

Inc.

(a)(d)

15,994

308,524

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(d)

4,628

873,211

Evercore,

Inc.,

Class

A

(a)

296

17,440

Everest

Re

Group

Ltd.

(a)(d)

1,708

352,190

Exelixis,

Inc.

*(d)

23,719

563,089

Expeditors

International

of

Washington,

Inc.

(d)

3,378

256,863

F5

Networks,

Inc.

*(a)

2,206

307,693

Facebook,

Inc.,

Class

A

*(d)

5,660

1,285,217

Fair

Isaac

Corp.

*(a)

978

408,843

Federated

Hermes,

Inc.,

Class

B

(a)

10,143

240,389

Flowers

Foods,

Inc.

(a)(d)

1,638

36,626

Foot

Locker,

Inc.

(a)

8,429

245,790

Fortinet,

Inc.

*(a)(d)

4,714

647,091

Fortune

Brands

Home

&

Security,

Inc.

(d)

1,222

78,122

FTI

Consulting,

Inc.

*(a)(d)

1,000

114,550

Gap,

Inc.

(The)

(a)

19,397

244,790

General

Mills,

Inc.

(d)

4,074

251,162

General

Motors

Co.

(a)

4,201

106,285

Gilead

Sciences,

Inc.

(a)

8,798

676,918

Globus

Medical,

Inc.,

Class

A

*(a)

(d)

7,521

358,827

Goldman

Sachs

Group,

Inc.

(The)

(a)

1,448

286,154

GrafTech

International

Ltd.

(a)

8,127

64,853

Graham

Holdings

Co.,

Class

B

(a)

575

197,035

Graphic

Packaging

Holding

Co.

(a)

1,481

20,719

Hanesbrands,

Inc.

(d)

8,142

91,923

HCA

Healthcare,

Inc.

(d)

702

68,136

7

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Helen

of

Troy

Ltd.

*(d)

438

82,589

Helmerich

&

Payne,

Inc.

(d)

9,521

185,755

Henry

Schein,

Inc.

*(d)

1,919

112,050

Herman

Miller,

Inc.

(a)

16,825

397,238

Hexcel

Corp.

(d)

4,271

193,135

Hill-Rom

Holdings,

Inc.

(a)

3,174

348,442

HollyFrontier

Corp.

(d)

20,951

611,769

Horizon

Therapeutics

plc

*(a)

4,448

247,220

Hormel

Foods

Corp.

(d)

1,560

75,301

Howmet

Aerospace,

Inc.

(a)(d)

18,048

286,061

HP,

Inc.

(d)

13,497

235,253

Hubbell,

Inc.

(a)

395

49,517

Humana,

Inc.

(a)

868

336,567

Huntington

Ingalls

Industries,

Inc.

(a)(d)

3,241

565,522

Huntsman

Corp.

(d)

1,258

22,606

IAC/interactivecorp

*(a)(d)

1,699

549,457

Incyte

Corp.

*(a)

3,477

361,504

Ingredion,

Inc.

(a)

993

82,419

Intel

Corp.

(a)

11,737

702,225

Intuit,

Inc.

(d)

1,612

477,458

IQVIA

Holdings,

Inc.

*(a)

3,832

543,684

ITT,

Inc.

(a)

3,169

186,147

J

M

Smucker

Co.

(The)

(d)

1,829

193,526

J2

Global,

Inc.

*(d)

7,406

468,133

Jabil,

Inc.

(a)

18,889

605,959

Jack

in

the

Box,

Inc.

(a)(d)

928

68,756

Jacobs

Engineering

Group,

Inc.

(d)

519

44,011

Jazz

Pharmaceuticals

plc

*(a)(d)

7,259

800,958

JetBlue

Airways

Corp.

*(a)(d)

12,093

131,814

Johnson

Controls

International

plc

(d)

682

23,283

Juniper

Networks,

Inc.

(a)

1,537

35,136

KB

Home

(d)

13,445

412,493

KBR,

Inc.

(a)

1,727

38,944

Keysight

Technologies,

Inc.

*(d)

3,124

314,837

Kimberly-Clark

Corp.

(a)

5,906

834,813

KLA

Corp.

(a)

513

99,768

Kroger

Co.

(The)

(d)

20,748

702,320

Laboratory

Corp.

of

America

Holdings

*(a)

1,755

291,523

Lam

Research

Corp.

(d)

2,208

714,200

Lear

Corp.

(a)(d)

1,080

117,742

Lennar

Corp.,

Class

A

(d)

1,852

114,120

Ligand

Pharmaceuticals,

Inc.

*(d)

1,229

137,464

LKQ

Corp.

*(d)

1,278

33,484

LogMeIn,

Inc.

(a)

2,392

202,770

LPL

Financial

Holdings,

Inc.

(a)

1,018

79,811

Lululemon

Athletica,

Inc.

*(d)

886

276,441

LyondellBasell

Industries

NV,

Class

A

(a)(d)

2,217

145,701

Manhattan

Associates,

Inc.

*(a)

4,215

397,053

ManpowerGroup,

Inc.

(a)

13,282

913,138

Marathon

Oil

Corp.

(d)

88,211

539,851

Marathon

Petroleum

Corp.

(a)(d)

4,988

186,451

Marriott

Vacations

Worldwide

Corp.

(d)

2,163

177,820

Masimo

Corp.

*(d)

1,979

451,192

MasTec,

Inc.

*(d)

7,676

344,422

Matador

Resources

Co.

*(d)

61,497

522,725

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Match

Group,

Inc.

*(d)

6,933

742,178

MAXIMUS,

Inc.

(a)(d)

4,015

282,857

McKesson

Corp.

(a)

4,274

655,717

Medtronic

plc

(d)

3,121

286,196

Merck

&

Co.,

Inc.

(a)

9,971

771,057

Micron

Technology,

Inc.

*(a)(d)

14,430

743,434

Microsoft

Corp.

(a)

553

112,541

MKS

Instruments,

Inc.

(d)

3,237

366,558

Molina

Healthcare,

Inc.

*(a)

775

137,935

Molson

Coors

Beverage

Co.,

Class

B

(d)

6,859

235,675

MSA

Safety,

Inc.

(d)

980

112,151

MSCI,

Inc.

(a)

232

77,446

Murphy

Oil

Corp.

(a)(d)

24,904

343,675

Murphy

USA,

Inc.

*(a)

4,709

530,186

Mylan

NV

*(a)(d)

34,308

551,673

NCR

Corp.

*(d)

4,243

73,489

NewMarket

Corp.

(d)

139

55,667

Newmont

Corp.

(a)

7,556

466,507

NorthWestern

Corp.

(d)

1,068

58,227

NortonLifeLock,

Inc.

(a)

20,081

398,206

Nu

Skin

Enterprises,

Inc.,

Class

A

(a)(d)

21,440

819,651

Nuance

Communications,

Inc.

*(d)

4,749

120,173

NuVasive,

Inc.

*(d)

5,076

282,530

nVent

Electric

plc

(a)

2,820

52,819

Occidental

Petroleum

Corp.

(d)

2,227

40,754

ON

Semiconductor

Corp.

*(a)

12,323

244,242

OneMain

Holdings,

Inc.

(a)

6,241

153,154

Oracle

Corp.

(d)

2,485

137,346

Oshkosh

Corp.

(d)

3,829

274,233

Ovintiv,

Inc.

(a)

27,686

263,278

Owens

Corning

(d)

3,202

178,544

PACCAR,

Inc.

(d)

534

39,970

Packaging

Corp.

of

America

(d)

2,770

276,446

Parsley

Energy,

Inc.,

Class

A

(a)(d)

25,862

276,206

Patterson-UTI

Energy,

Inc.

(d)

53,613

186,037

Paycom

Software,

Inc.

*(d)

352

109,025

PBF

Energy,

Inc.,

Class

A

(a)

54,951

562,698

Penske

Automotive

Group,

Inc.

(d)

3,865

149,614

Perrigo

Co.

plc

(d)

1,175

64,942

Perspecta,

Inc.

(a)

1,300

30,199

Philip

Morris

International,

Inc.

(d)

1,292

90,518

Phillips

66

(a)

1,987

142,865

Pilgrim's

Pride

Corp.

*(a)

22,589

381,528

Polaris,

Inc.

(a)(d)

2,418

223,786

PolyOne

Corp.

(a)

1,847

48,447

Popular,

Inc.

2,014

74,860

PRA

Health

Sciences,

Inc.

*(a)

4,768

463,879

Prestige

Consumer

Healthcare,

Inc.

*(a)

621

23,325

Procter

&

Gamble

Co.

(The)

(a)

6,634

793,227

Prudential

Financial,

Inc.

(a)

280

17,052

PulteGroup,

Inc.

(d)

22,310

759,209

PVH

Corp.

(a)(d)

4,698

225,739

Qorvo,

Inc.

*(a)

2,879

318,216

QUALCOMM,

Inc.

(a)

292

26,633

Quanta

Services,

Inc.

(a)

12,918

506,773

Quest

Diagnostics,

Inc.

(d)

778

88,661

Qurate

Retail,

Inc.,

Series

A

*(a)

60,885

578,408

8

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Ralph

Lauren

Corp.

(d)

3,448

250,049

Regal

Beloit

Corp.

(a)

7,454

650,883

Regeneron

Pharmaceuticals,

Inc.

*(d)

1,741

1,085,775

Reliance

Steel

&

Aluminum

Co.

(a)

1,209

114,770

RH

*(d)

909

226,250

Robert

Half

International,

Inc.

(d)

12,804

676,435

Royal

Caribbean

Cruises

Ltd.

(a)(d)

1,764

88,729

Sally

Beauty

Holdings,

Inc.

*(a)(d)

31,934

400,133

Sanderson

Farms,

Inc.

(a)

216

25,032

Santander

Consumer

USA

Holdings,

Inc.

(d)

6,680

122,979

Schneider

National,

Inc.,

Class

B

(d)

2,142

52,843

Science

Applications

International

Corp.

(a)

910

70,689

Seagate

Technology

plc

(d)

7,094

343,421

Silgan

Holdings,

Inc.

(a)(d)

7,928

256,788

Skechers

USA,

Inc.,

Class

A

*(a)

15,657

491,317

Skyworks

Solutions,

Inc.

(a)

6,917

884,408

Snap-on,

Inc.

(d)

2,295

317,880

SolarEdge

Technologies,

Inc.

*(d)

1,174

162,928

Sonoco

Products

Co.

(d)

626

32,734

Spectrum

Brands

Holdings,

Inc.

(a)

4,726

216,923

Sprouts

Farmers

Market,

Inc.

*(a)

25,694

657,509

SS&C

Technologies

Holdings,

Inc.

(a)

611

34,509

State

Street

Corp.

(d)

3,213

204,186

Steel

Dynamics,

Inc.

(a)

20,170

526,235

STERIS

plc

(a)(d)

2,205

338,335

Stifel

Financial

Corp.

(a)

2,571

121,943

Stryker

Corp.

(a)(d)

1,918

345,604

Synaptics,

Inc.

*(a)

1,679

100,941

Synchrony

Financial

(a)

12,354

273,765

Syneos

Health,

Inc.

*(a)(d)

855

49,804

SYNNEX

Corp.

(a)

6,902

826,653

Synopsys,

Inc.

*(a)

1,976

385,320

Target

Corp.

(a)(d)

10,649

1,277,136

TE

Connectivity

Ltd.

(a)

1,409

114,904

TEGNA,

Inc.

(a)

31,178

347,323

Teledyne

Technologies,

Inc.

*(a)

2,397

745,347

Telephone

and

Data

Systems,

Inc.

(a)

3,100

61,628

Teradyne,

Inc.

(d)

3,267

276,094

Terex

Corp.

(a)(d)

1,363

25,584

Textron,

Inc.

(a)

505

16,620

Thermo

Fisher

Scientific,

Inc.

(d)

572

207,258

Timken

Co.

(The)

(a)

606

27,567

Tractor

Supply

Co.

(d)

584

76,965

TRI

Pointe

Group,

Inc.

*(a)

26,282

386,083

TripAdvisor,

Inc.

(a)(d)

11,202

212,950

Twitter,

Inc.

*(d)

5,911

176,089

Tyson

Foods,

Inc.,

Class

A

(a)

5,328

318,135

United

Therapeutics

Corp.

*(a)(d)

7,064

854,744

Universal

Health

Services,

Inc.,

Class

B

(d)

3,694

343,136

Unum

Group

(a)

13,451

223,152

Urban

Outfitters,

Inc.

*(a)(d)

7,472

113,724

US

Foods

Holding

Corp.

*(a)(d)

21,795

429,797

Valero

Energy

Corp.

(a)

2,654

156,108

INVESTMENTS

SHARES

VALUE

($)

United

States

-

50.6%

(continued)

Varian

Medical

Systems,

Inc.

*(d)

1,292

158,296

VeriSign,

Inc.

*(a)

1,674

346,233

Vertex

Pharmaceuticals,

Inc.

*(a)(d)

1,672

485,398

Vishay

Intertechnology,

Inc.

(a)

22,332

341,010

Vistra

Energy

Corp.

(a)

7,938

147,806

VMware,

Inc.,

Class

A

*(d)

1,265

195,898

Voya

Financial,

Inc.

(a)(d)

373

17,400

Walgreens

Boots

Alliance,

Inc.

(d)

2,713

115,004

Walt

Disney

Co.

(The)

(d)

762

84,971

Werner

Enterprises,

Inc.

(a)

2,812

122,406

WESCO

International,

Inc.

*(a)

11,428

401,237

West

Pharmaceutical

Services,

Inc.

(a)

2,203

500,456

Westrock

Co.

(a)

11,688

330,303

Whirlpool

Corp.

(d)

2,804

363,202

Williams-Sonoma,

Inc.

(a)(d)

7,328

600,969

Woodward,

Inc.

(d)

2,296

178,055

World

Fuel

Services

Corp.

(a)

7,214

185,833

WPX

Energy,

Inc.

*(a)(d)

69,766

445,107

Xerox

Holdings

Corp.

(a)

24,559

375,507

Xilinx,

Inc.

(a)

291

28,631

Yelp,

Inc.

*(a)

8,128

188,001

Zebra

Technologies

Corp.,

Class

A

*(a)(d)

1,885

482,466

Zimmer

Biomet

Holdings,

Inc.

(a)

3,572

426,354

Zoetis,

Inc.

(a)

1,438

197,064

101,472,268

—

TOTAL

COMMON

STOCKS

(Cost

$177,399,080)

193,493,809

SHORT-TERM

INVESTMENTS

-

79.9%

INVESTMENT

COMPANIES

-

34.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(e)(f)

2,583,852

2,583,852

Limited

Purpose

Cash

Investment

Fund,

0.34%

(e)

66,551,657

66,564,967

TOTAL

INVESTMENT

COMPANIES

(Cost

$69,120,766)

69,148,819

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

45.4%

U.S.

Treasury

Bills

1.55%,

7/30/2020

(2)(g)

$

16,738,000

16,736,247

1.53%,

8/6/2020

(2)(g)

15,143,000

15,141,183

1.52%,

8/13/2020

(2)(g)

11,625,000

11,623,125

1.52%,

8/20/2020

(2)(g)

6,352,000

6,350,853

1.45%,

8/27/2020

(2)(g)

26,148,000

26,142,204

0.10%,

10/1/2020

(2)(g)

15,039,000

15,033,043

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$90,903,537)

91,026,655

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$160,024,303)

160,175,474

TOTAL

LONG

POSITIONS

(Cost

$337,423,383)

353,669,283

9

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT

POSITIONS

-

(88.7)%

COMMON

STOCKS

-

(88.7)%

Argentina

-

0.0%

(b)

MercadoLibre,

Inc.

*

(50)

(49,289)

Australia

-

(2.6)%

Afterpay

Ltd.

(2)*

(6,044)

(261,026)

AMP

Ltd.

(2)*

(2,089)

(2,703)

APA

Group

(2)

(83,536)

(645,928)

Atlas

Arteria

Ltd.

(2)

(32,772)

(151,341)

BHP

Group

plc

(2)

(2,117)

(43,320)

Challenger

Ltd.

(2)

(88,491)

(274,036)

CIMIC

Group

Ltd.

(2)

(3,311)

(55,640)

Commonwealth

Bank

of

Australia

(2)

(1,248)

(60,271)

Glencore

plc

(2)*

(200,891)

(427,939)

Insurance

Australia

Group

Ltd.

(2)

(125,743)

(504,653)

Medibank

Pvt

Ltd.

(2)

(168,181)

(348,682)

National

Australia

Bank

Ltd.

(2)

(5,963)

(75,565)

Newcrest

Mining

Ltd.

(2)

(9,480)

(210,210)

Northern

Star

Resources

Ltd.

(2)

(21,651)

(204,191)

Oil

Search

Ltd.

(2)

(44,041)

(97,602)

QBE

Insurance

Group

Ltd.

(2)

(94,126)

(580,863)

Ramsay

Health

Care

Ltd.

(2)

(1,058)

(48,861)

Rio

Tinto

plc

(2)

(1,827)

(102,817)

SEEK

Ltd.

(2)

(28,391)

(434,350)

Suncorp

Group

Ltd.

(2)

(4,465)

(28,692)

Sydney

Airport

(2)

(30,796)

(121,539)

Transurban

Group

(2)

(32,302)

(316,777)

Viva

Energy

Group

Ltd.

(2)(c)

(38,495)

(49,082)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2)

(5,225)

(70,970)

WiseTech

Global

Ltd.

(2)

(11,814)

(159,819)

Worley

Ltd.

(2)

(2,864)

(17,524)

(5,294,401)

—

Belgium

-

(0.5)%

Anheuser-Busch

InBev

SA/NV

(2)

(7,767)

(382,886)

Telenet

Group

Holding

NV

(2)

(5,134)

(211,537)

Umicore

SA

(2)

(10,576)

(499,230)

(1,093,653)

—

Canada

-

(4.3)%

Agnico

Eagle

Mines

Ltd.

(2,768)

(177,241)

Air

Canada

*

(18,667)

(233,063)

Algonquin

Power

&

Utilities

Corp.

(4,417)

(57,100)

AltaGas

Ltd.

(5,524)

(63,679)

Barrick

Gold

Corp.

(21,397)

(575,745)

BlackBerry

Ltd.

*

(42,516)

(207,319)

Cameco

Corp.

(24,475)

(250,952)

Canada

Goose

Holdings,

Inc.

*

(19,787)

(459,404)

Canadian

National

Railway

Co.

(2,279)

(201,628)

Canadian

Natural

Resources

Ltd.

(5,615)

(97,402)

Canadian

Pacific

Railway

Ltd.

(382)

(97,166)

CCL

Industries,

Inc.,

Class

B

(8,926)

(288,504)

Constellation

Software,

Inc.

(81)

(91,459)

Dollarama,

Inc.

(2,166)

(72,051)

Element

Fleet

Management

Corp.

(4,183)

(31,212)

Enbridge,

Inc.

(21,884)

(665,417)

Fairfax

Financial

Holdings

Ltd.

(488)

(150,767)

Finning

International,

Inc.

(8,123)

(110,752)

INVESTMENTS

SHARES

VALUE

($)

Canada

-

(4.3)%

(continued)

Franco-Nevada

Corp.

(2,467)

(344,628)

Gildan

Activewear,

Inc.

(16,983)

(263,076)

Husky

Energy,

Inc.

(42,295)

(138,948)

Inter

Pipeline

Ltd.

(36,659)

(341,315)

Lightspeed

POS,

Inc.

*

(2,755)

(65,811)

Methanex

Corp.

(8,388)

(151,374)

Nutrien

Ltd.

(7,034)

(226,004)

Pan

American

Silver

Corp.

(7,259)

(220,454)

Parkland

Corp.

(1,744)

(43,305)

Pembina

Pipeline

Corp.

(11,763)

(294,075)

PrairieSky

Royalty

Ltd.

(28,306)

(178,893)

Restaurant

Brands

International,

Inc.

(13,814)

(751,853)

SNC-Lavalin

Group,

Inc.

(29,977)

(505,873)

Suncor

Energy,

Inc.

(11,967)

(201,771)

TC

Energy

Corp.

(12,445)

(531,681)

West

Fraser

Timber

Co.

Ltd.

(14,399)

(506,129)

WSP

Global,

Inc.

(618)

(37,901)

(8,633,952)

—

Chile

-

(0.1)%

Lundin

Mining

Corp.

(54,896)

(294,375)

China

-

(0.2)%

Prosus

NV

(2)*

(4,227)

(394,115)

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)

(6,240)

(164,270)

Denmark

-

(1.1)%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

(563)

(659,840)

Chr

Hansen

Holding

A/S

(2)

(8,032)

(828,465)

DSV

Panalpina

A/S

(2)

(3,921)

(481,636)

FLSmidth

&

Co.

A/S

(2)*

(4,295)

(124,928)

Novozymes

A/S,

Class

B

(2)

(2,452)

(142,157)

(2,237,026)

—

Finland

-

(0.3)%

Nokia

OYJ

(2)

(34,100)

(149,012)

Nokian

Renkaat

OYJ

(2)

(11,126)

(244,566)

Nordea

Bank

Abp

(2)

(8,293)

(57,515)

Stora

Enso

OYJ,

Class

R

(2)

(4,724)

(56,543)

Wartsila

OYJ

Abp

(2)

(4,871)

(40,405)

(548,041)

—

France

-

(2.5)%

Accor

SA

(2)*

(1,336)

(36,462)

Air

Liquide

SA

(2)

(1,154)

(166,853)

Airbus

SE

(2)*

(4,768)

(341,645)

Bollore

SA

(2)

(22,927)

(72,343)

Cie

Plastic

Omnium

SA

(2)

(1,195)

(24,481)

Dassault

Systemes

SE

(2)

(285)

(49,474)

Edenred

(2)

(11,664)

(511,563)

Getlink

SE

(2)*

(4,549)

(65,782)

Hermes

International

(2)

(85)

(71,367)

Iliad

SA

(2)

(2,200)

(429,462)

Imerys

SA

(2)

(6,978)

(239,598)

Ipsen

SA

(2)

(646)

(54,801)

JCDecaux

SA

(2)*

(4,826)

(90,151)

Kering

SA

(2)

(665)

(363,568)

Orpea

(2)

(3,052)

(352,516)

10

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

France

-

(2.5)%

(continued)

Remy

Cointreau

SA

(2)

(2,199)

(300,001)

Safran

SA

(2)*

(229)

(23,035)

SEB

SA

(2)

(2,032)

(337,067)

Ubisoft

Entertainment

SA

(2)*

(5,608)

(464,402)

Valeo

SA

(2)

(15,470)

(408,027)

Worldline

SA

(2)*(c)

(7,068)

(616,256)

(5,018,854)

—

Germany

-

(2.0)%

Commerzbank

AG

(2)*

(116,432)

(518,921)

Continental

AG

(2)

(1,954)

(192,100)

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(1,166)

(48,688)

Daimler

AG

(Registered)

(2)

(2,348)

(95,526)

Deutsche

Bank

AG

(Registered)

(2)*

(108,983)

(1,039,710)

Duerr

AG

(2)

(886)

(23,127)

FUCHS

PETROLUB

SE

(Preference)

(2)

(593)

(23,835)

GEA

Group

AG

(2)

(5,467)

(173,513)

LANXESS

AG

(2)

(1,121)

(59,280)

MTU

Aero

Engines

AG

(2)

(1,980)

(344,719)

Nemetschek

SE

(2)

(782)

(53,733)

RWE

AG

(2)

(8,232)

(288,178)

Sartorius

AG

(Preference)

(2)

(825)

(272,290)

Symrise

AG

(2)

(496)

(57,956)

Telefonica

Deutschland

Holding

AG

(2)

(94,278)

(278,044)

United

Internet

AG

(Registered)

(2)

(13,447)

(571,323)

(4,040,943)

—

Ghana

-

(0.1)%

Kosmos

Energy

Ltd.

(84,474)

(140,227)

Italy

-

(1.6)%

Atlantia

SpA

(2)*

(10,173)

(164,552)

Autogrill

SpA

(2)*

(2,811)

(14,842)

Davide

Campari-Milano

SpA

(2)

(76,623)

(647,997)

Ferrari

NV

(2)

(4,936)

(845,514)

FinecoBank

Banca

Fineco

SpA

(2)*

(62,716)

(848,802)

Freni

Brembo

SpA

(2)*

(31,192)

(289,708)

Pirelli

&

C

SpA

(2)*(c)

(73,393)

(312,239)

(3,123,654)

—

Japan

-

(19.1)%

Acom

Co.

Ltd.

(2)

(23,500)

(89,930)

Advantest

Corp.

(2)

(6,300)

(359,544)

Aeon

Co.

Ltd.

(2)

(43,500)

(1,012,007)

Aisin

Seiki

Co.

Ltd.

(2)

(900)

(26,381)

Asahi

Intecc

Co.

Ltd.

(2)

(26,700)

(762,027)

Asics

Corp.

(2)

(37,400)

(427,594)

Bank

of

Kyoto

Ltd.

(The)

(2)

(1,000)

(35,530)

Benesse

Holdings,

Inc.

(2)

(1,100)

(29,502)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(2)

(18,400)

(333,712)

Cosmos

Pharmaceutical

Corp.

(2)

(600)

(92,061)

Credit

Saison

Co.

Ltd.

(2)

(18,600)

(213,717)

CyberAgent,

Inc.

(2)

(27,400)

(1,346,809)

Daifuku

Co.

Ltd.

(2)

(5,300)

(464,450)

Daiichi

Sankyo

Co.

Ltd.

(2)

(2,900)

(237,196)

Daikin

Industries

Ltd.

(2)

(6,000)

(970,800)

Dentsu

Group,

Inc.

(2)

(5,900)

(139,958)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(19.1)%

(continued)

Disco

Corp.

(2)

(700)

(170,722)

Eisai

Co.

Ltd.

(2)

(5,300)

(421,079)

FamilyMart

Co.

Ltd.

(2)

(45,500)

(781,139)

Fancl

Corp.

(2)

(5,800)

(172,825)

FANUC

Corp.

(2)

(5,000)

(896,350)

Fast

Retailing

Co.

Ltd.

(2)

(1,400)

(804,681)

Fuji

Electric

Co.

Ltd.

(2)

(1,800)

(49,543)

GMO

internet,

Inc.

(2)

(700)

(19,446)

GMO

Payment

Gateway,

Inc.

(2)

(1,100)

(115,053)

Hamamatsu

Photonics

KK

(2)

(2,300)

(100,153)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(700)

(37,839)

Hitachi

Metals

Ltd.

(2)

(16,100)

(192,972)

Hoshizaki

Corp.

(2)

(300)

(25,713)

Hoya

Corp.

(2)

(2,000)

(191,518)

IHI

Corp.

(2)

(14,000)

(203,122)

Isetan

Mitsukoshi

Holdings

Ltd.

(2)

(22,300)

(128,337)

Izumi

Co.

Ltd.

(2)

(4,100)

(129,969)

J

Front

Retailing

Co.

Ltd.

(2)

(5,900)

(39,472)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(9,900)

(422,453)

JGC

Holdings

Corp.

(2)

(10,900)

(114,940)

Kansai

Paint

Co.

Ltd.

(2)

(6,600)

(139,470)

Kao

Corp.

(2)

(700)

(55,550)

Keikyu

Corp.

(2)

(5,800)

(88,752)

Keio

Corp.

(2)

(2,200)

(125,906)

Keyence

Corp.

(2)

(600)

(251,437)

Kikkoman

Corp.

(2)

(14,300)

(690,656)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(3,400)

(152,556)

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

(1,900)

(167,056)

Kobe

Bussan

Co.

Ltd.

(2)

(10,000)

(567,856)

Koito

Manufacturing

Co.

Ltd.

(2)

(2,900)

(117,333)

Kose

Corp.

(2)

(6,700)

(811,015)

Kusuri

no

Aoki

Holdings

Co.

Ltd.

(2)

(300)

(23,584)

Kyushu

Electric

Power

Co.,

Inc.

(2)

(11,000)

(92,193)

Lasertec

Corp.

(2)

(2,800)

(264,686)

LINE

Corp.

(2)*

(5,700)

(286,877)

LIXIL

Group

Corp.

(2)

(10,900)

(153,083)

Makita

Corp.

(2)

(6,100)

(221,823)

Marui

Group

Co.

Ltd.

(2)

(4,500)

(81,402)

Mercari,

Inc.

(2)*

(16,900)

(524,765)

MINEBEA

MITSUMI,

Inc.

(2)

(8,400)

(153,112)

MISUMI

Group,

Inc.

(2)

(17,800)

(446,929)

Mitsubishi

Motors

Corp.

(2)

(15,700)

(38,911)

MonotaRO

Co.

Ltd.

(2)

(30,100)

(1,209,370)

Nabtesco

Corp.

(2)

(5,800)

(179,494)

Nidec

Corp.

(2)

(20,200)

(1,360,849)

Nifco,

Inc.

(2)

(1,600)

(34,229)

Nihon

M&A

Center,

Inc.

(2)

(3,900)

(177,364)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(5,300)

(386,565)

Nippon

Yusen

KK

(2)

(4,700)

(66,520)

Nisshin

Seifun

Group,

Inc.

(2)

(1,500)

(22,397)

Nissin

Foods

Holdings

Co.

Ltd.

(2)

(300)

(26,580)

Obic

Co.

Ltd.

(2)

(900)

(158,615)

Ono

Pharmaceutical

Co.

Ltd.

(2)

(4,800)

(140,095)

Pan

Pacific

International

Holdings

Corp.

(2)

(13,000)

(286,217)

Park24

Co.

Ltd.

(2)

(28,300)

(485,205)

PeptiDream,

Inc.

(2)*

(12,200)

(562,121)

11

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(19.1)%

(continued)

Persol

Holdings

Co.

Ltd.

(2)

(38,700)

(533,552)

Pigeon

Corp.

(2)

(20,900)

(808,936)

Pola

Orbis

Holdings,

Inc.

(2)

(11,800)

(206,011)

Rakuten,

Inc.

(2)

(129,200)

(1,141,224)

Recruit

Holdings

Co.

Ltd.

(2)

(6,000)

(206,341)

Renesas

Electronics

Corp.

(2)*

(83,800)

(430,766)

Rohm

Co.

Ltd.

(2)

(2,600)

(172,878)

Ryohin

Keikaku

Co.

Ltd.

(2)

(63,800)

(907,462)

SCREEN

Holdings

Co.

Ltd.

(2)

(8,100)

(380,548)

Seiko

Epson

Corp.

(2)

(2,800)

(32,076)

Sharp

Corp.

(2)

(29,300)

(314,229)

Shimadzu

Corp.

(2)

(15,600)

(416,476)

Shiseido

Co.

Ltd.

(2)

(20,000)

(1,274,412)

SMC

Corp.

(2)

(400)

(205,568)

SoftBank

Group

Corp.

(2)

(20,200)

(1,018,639)

Sony

Corp.

(2)

(2,100)

(144,963)

Sony

Financial

Holdings,

Inc.

(2)

(5,400)

(130,383)

SUMCO

Corp.

(2)

(6,100)

(93,782)

Sundrug

Co.

Ltd.

(2)

(1,000)

(33,096)

Suzuki

Motor

Corp.

(2)

(3,500)

(119,511)

Sysmex

Corp.

(2)

(6,500)

(498,951)

T&D

Holdings,

Inc.

(2)

(20,400)

(175,220)

Taiyo

Nippon

Sanso

Corp.

(2)

(4,400)

(73,581)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(21,300)

(765,266)

Terumo

Corp.

(2)

(9,300)

(353,984)

THK

Co.

Ltd.

(2)

(7,300)

(181,753)

Toshiba

Corp.

(2)

(24,100)

(773,123)

TOTO

Ltd.

(2)

(10,500)

(403,709)

Tsuruha

Holdings,

Inc.

(2)

(200)

(27,623)

Unicharm

Corp.

(2)

(24,700)

(1,013,009)

USS

Co.

Ltd.

(2)

(2,300)

(36,870)

Yakult

Honsha

Co.

Ltd.

(2)

(11,800)

(694,241)

Yamato

Holdings

Co.

Ltd.

(2)

(45,200)

(981,175)

Yaskawa

Electric

Corp.

(2)

(32,900)

(1,143,705)

Yokogawa

Electric

Corp.

(2)

(9,100)

(142,585)

Z

Holdings

Corp.

(2)

(51,600)

(253,239)

(38,198,004)

—

Luxembourg

-

(0.2)%

ArcelorMittal

SA

(2)*

(22,534)

(238,677)

Tenaris

SA

(2)

(32,313)

(209,990)

(448,667)

—

Netherlands

-

(0.7)%

ABN

AMRO

Bank

NV,

CVA

(2)(c)

(4,751)

(40,885)

Adyen

NV

(2)*(c)

(453)

(660,020)

Altice

Europe

NV

(2)*

(5,904)

(22,834)

Boskalis

Westminster

(2)*

(12,606)

(248,928)

OCI

NV

(2)*

(22,424)

(235,552)

Royal

Dutch

Shell

plc,

Class

A

(2)

(5,519)

(88,366)

SBM

Offshore

NV

(2)

(12,842)

(189,234)

(1,485,819)

—

Norway

-

(0.4)%

Equinor

ASA

(2)

(19,961)

(287,552)

Norsk

Hydro

ASA

(2)*

(157,204)

(438,581)

(726,133)

—

Panama

-

(0.1)%

Copa

Holdings

SA,

Class

A

(2,871)

(145,158)

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

(0.4)%

City

Developments

Ltd.

(2)

(9,700)

(59,277)

DBS

Group

Holdings

Ltd.

(2)

(1,500)

(22,570)

Singapore

Technologies

Engineering

Ltd.

(2)

(12,900)

(30,789)

Singapore

Telecommunications

Ltd.

(2)

(358,800)

(638,269)

(750,905)

—

South

Africa

-

0.0%

(b)

Anglo

American

plc

(2)

(1,074)

(24,759)

Spain

-

(1.5)%

Aena

SME

SA

(2)*(c)

(391)

(52,293)

Amadeus

IT

Group

SA

(2)

(2,472)

(129,785)

Banco

Santander

SA

(2)

(16,919)

(41,392)

Bankia

SA

(2)

(73,451)

(78,528)

Cellnex

Telecom

SA

(2)(c)

(23,520)

(1,436,549)

Ferrovial

SA

(2)

(44,689)

(1,194,537)

Industria

de

Diseno

Textil

SA

(2)

(2,386)

(63,309)

Melia

Hotels

International

SA

(2)

(4,136)

(17,654)

(3,014,047)

—

Sweden

-

(0.8)%

Alfa

Laval

AB

(2)*

(1,407)

(31,039)

Atlas

Copco

AB,

Class

A

(2)

(9,458)

(402,773)

Autoliv,

Inc.

(2,734)

(176,370)

Hexpol

AB

(2)*

(21,605)

(161,214)

Holmen

AB,

Class

B

(2)*

(625)

(20,074)

Nibe

Industrier

AB,

Class

B

(2)*

(4,320)

(95,817)

Saab

AB,

Class

B

(2)*

(4,956)

(124,566)

Svenska

Cellulosa

AB

SCA,

Class

B

(2)*

(24,355)

(291,314)

Svenska

Handelsbanken

AB,

Class

A

(2)*

(24,692)

(234,459)

Swedish

Match

AB

(2)

(2,170)

(153,106)

(1,690,732)

—

Switzerland

-

(2.2)%

ABB

Ltd.

(Registered)

(2)

(11,989)

(271,946)

Cie

Financiere

Richemont

SA

(Registered)

(2)

(5,159)

(332,757)

Clariant

AG

(Registered)

(2)*

(13,890)

(273,367)

Credit

Suisse

Group

AG

(Registered)

(2)

(26,497)

(275,698)

Dufry

AG

(Registered)

(2)*

(4,107)

(123,019)

Givaudan

SA

(Registered)

(2)

(10)

(37,380)

Idorsia

Ltd.

(2)*

(14,539)

(467,304)

Julius

Baer

Group

Ltd.

(2)*

(4,758)

(199,825)

LafargeHolcim

Ltd.

(Registered)

(2)*

(6,996)

(308,216)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(5,204)

(42,690)

Partners

Group

Holding

AG

(2)

(125)

(113,837)

Sika

AG

(Registered)

(2)

(3,477)

(670,269)

STMicroelectronics

NV

(2)

(1,909)

(52,036)

Straumann

Holding

AG

(Registered)

(2)

(35)

(30,257)

Temenos

AG

(Registered)

(2)

(6,857)

(1,065,741)

UBS

Group

AG

(Registered)

(2)

(9,257)

(106,910)

12

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

(2.2)%

(continued)

Vifor

Pharma

AG

(2)

(152)

(22,996)

(4,394,248)

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(h)

(31,163)

—

United

Kingdom

-

(2.7)%

Ashtead

Group

plc

(2)

(4,720)

(159,220)

Beazley

plc

(2)

(7,203)

(36,517)

BP

plc

(2)

(80,828)

(309,656)

British

American

Tobacco

plc

(2)

(8,013)

(307,321)

Bunzl

plc

(2)

(2,119)

(56,838)

Burberry

Group

plc

(2)

(1,580)

(31,221)

Capita

plc

(2)*

(141,223)

(77,253)

CNH

Industrial

NV

(2)*

(104,204)

(732,097)

ConvaTec

Group

plc

(2)(c)

(48,484)

(117,093)

Croda

International

plc

(2)

(482)

(31,306)

easyJet

plc

(2)

(24,069)

(203,198)

Hargreaves

Lansdown

plc

(2)

(10,087)

(203,416)

Hiscox

Ltd.

(2)

(30,779)

(300,426)

HSBC

Holdings

plc

(2)

(5,569)

(25,882)

Legal

&

General

Group

plc

(2)

(12,859)

(35,057)

Liberty

Global

plc,

Class

C

*

(25,742)

(553,710)

Mondi

plc

(2)

(12,300)

(230,071)

Ocado

Group

plc

(2)*

(2,633)

(66,168)

Prudential

plc

(2)

(63,442)

(955,947)

Quilter

plc

(2)(c)

(12,873)

(22,154)

Reckitt

Benckiser

Group

plc

(2)

(938)

(86,295)

Rolls-Royce

Holdings

plc

(2)*

(23,849)

(84,202)

RSA

Insurance

Group

plc

(2)

(5,631)

(28,518)

Signature

Aviation

plc

(2)

(7,324)

(20,938)

Standard

Chartered

plc

(2)

(11,452)

(62,079)

Standard

Life

Aberdeen

plc

(2)

(32,999)

(109,349)

Subsea

7

SA

(2)*

(7,625)

(48,624)

Virgin

Money

UK

plc

(2)*

(111,748)

(126,987)

Vodafone

Group

plc

(2)

(188,382)

(299,482)

Weir

Group

plc

(The)

(2)

(11,505)

(151,190)

(5,472,215)

—

United

States

-

(44.9)%

2U,

Inc.

*

(4,148)

(157,458)

A

O

Smith

Corp.

(4,147)

(195,407)

Acadia

Healthcare

Co.,

Inc.

*

(11,854)

(297,772)

Adient

plc

*

(24,679)

(405,229)

Advanced

Micro

Devices,

Inc.

*

(531)

(27,936)

AECOM

*

(2,832)

(106,427)

AES

Corp.

(The)

(30,818)

(446,553)

Aflac,

Inc.

(3,023)

(108,919)

Agios

Pharmaceuticals,

Inc.

*

(15,449)

(826,213)

Albemarle

Corp.

(6,048)

(466,966)

Alcoa

Corp.

*

(43,486)

(488,783)

Alleghany

Corp.

(375)

(183,428)

Allegheny

Technologies,

Inc.

*

(18,039)

(183,817)

ALLETE,

Inc.

(684)

(37,353)

Alliant

Energy

Corp.

(3,780)

(180,835)

Alnylam

Pharmaceuticals,

Inc.

*

(1,243)

(184,101)

Alteryx,

Inc.,

Class

A

*

(468)

(76,883)

Altice

USA,

Inc.,

Class

A

*

(32,410)

(730,521)

Altria

Group,

Inc.

(1,373)

(53,890)

Amcor

plc

(16,090)

(164,279)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

Amedisys,

Inc.

*

(272)

(54,003)

AMERCO

(66)

(19,945)

Ameren

Corp.

(3,683)

(259,136)

American

Airlines

Group,

Inc.

(1,631)

(21,317)

American

Electric

Power

Co.,

Inc.

(14,271)

(1,136,541)

American

Express

Co.

(8,917)

(848,897)

American

International

Group,

Inc.

(3,520)

(109,754)

AMETEK,

Inc.

(619)

(55,320)

Amphenol

Corp.,

Class

A

(320)

(30,659)

Anaplan,

Inc.

*

(5,983)

(271,090)

Aon

plc,

Class

A

(813)

(156,584)

Apache

Corp.

(37,286)

(503,361)

Apple,

Inc.

(178)

(64,934)

Aptiv

plc

(4,510)

(351,419)

Arch

Capital

Group

Ltd.

*

(553)

(15,843)

Arista

Networks,

Inc.

*

(1,157)

(243,005)

Armstrong

World

Industries,

Inc.

(4,147)

(323,300)

Atlassian

Corp.

plc,

Class

A

*

(1,588)

(286,269)

Avangrid,

Inc.

(1,048)

(43,995)

Avanos

Medical,

Inc.

*

(6,280)

(184,569)

Axalta

Coating

Systems

Ltd.

*

(976)

(22,009)

Axis

Capital

Holdings

Ltd.

(5,884)

(238,655)

Axon

Enterprise,

Inc.

*

(1,457)

(142,975)

Baker

Hughes

Co.

(27,813)

(428,042)

Ball

Corp.

(17,015)

(1,182,371)

BancorpSouth

Bank

(1,131)

(25,719)

Bank

OZK

(7,363)

(172,810)

Berry

Global

Group,

Inc.

*

(5,181)

(229,622)

BGC

Partners,

Inc.,

Class

A

(56,403)

(154,544)

BJ's

Wholesale

Club

Holdings,

Inc.

*

(622)

(23,182)

Black

Hills

Corp.

(1,186)

(67,199)

Bluebird

Bio,

Inc.

*

(10,476)

(639,455)

Boeing

Co.

(The)

(5,991)

(1,098,149)

Bright

Horizons

Family

Solutions,

Inc.

*

(3,448)

(404,106)

Brink's

Co.

(The)

(2,745)

(124,925)

Brown

&

Brown,

Inc.

(528)

(21,521)

Bunge

Ltd.

(697)

(28,668)

Burlington

Stores,

Inc.

*

(416)

(81,923)

Cabot

Oil

&

Gas

Corp.

(7,710)

(132,458)

CarMax,

Inc.

*

(1,422)

(127,340)

Carvana

Co.

*

(3,451)

(414,810)

Catalent,

Inc.

*

(235)

(17,226)

CenterPoint

Energy,

Inc.

(54,525)

(1,017,981)

CenturyLink,

Inc.

(8,912)

(89,387)

Ceridian

HCM

Holding,

Inc.

*

(4,008)

(317,714)

Charles

Schwab

Corp.

(The)

(5,707)

(192,554)

Charter

Communications,

Inc.,

Class

A

*

(1,906)

(972,135)

Chemours

Co.

(The)

(7,709)

(118,333)

Cheniere

Energy,

Inc.

*

(18,131)

(876,089)

Chevron

Corp.

(3,644)

(325,154)

Chipotle

Mexican

Grill,

Inc.

*

(25)

(26,309)

Cincinnati

Financial

Corp.

(2,703)

(173,073)

CIT

Group,

Inc.

(7,594)

(157,424)

Citigroup,

Inc.

(6,149)

(314,214)

CME

Group,

Inc.

(1,038)

(168,717)

CMS

Energy

Corp.

(8,264)

(482,783)

CNO

Financial

Group,

Inc.

(8,019)

(124,856)

13

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

Cognex

Corp.

(2,822)

(168,530)

Coherent,

Inc.

*

(1,443)

(189,004)

Comerica,

Inc.

(436)

(16,612)

Commerce

Bancshares,

Inc.

(2,267)

(134,818)

CommScope

Holding

Co.,

Inc.

*

(33,785)

(281,429)

CommVault

Systems,

Inc.

*

(2,350)

(90,945)

Compass

Minerals

International,

Inc.

(3,122)

(152,198)

Concho

Resources,

Inc.

(5,785)

(297,928)

ConocoPhillips

(12,630)

(530,713)

Core

Laboratories

NV

(4,725)

(96,012)

Corning,

Inc.

(1,398)

(36,208)

Coupa

Software,

Inc.

*

(664)

(183,955)

Covetrus,

Inc.

*

(49,373)

(883,282)

Cree,

Inc.

*

(6,855)

(405,747)

CSX

Corp.

(8,417)

(587,002)

Cullen/Frost

Bankers,

Inc.

(1,874)

(140,007)

Dell

Technologies,

Inc.,

Class

C

*

(786)

(43,183)

Delta

Air

Lines,

Inc.

(8,697)

(243,951)

DexCom,

Inc.

*

(418)

(169,457)

Dollar

Tree,

Inc.

*

(1,432)

(132,718)

Dominion

Energy,

Inc.

(2,326)

(188,825)

Dow,

Inc.

(1,935)

(78,871)

Duke

Energy

Corp.

(623)

(49,771)

Dycom

Industries,

Inc.

*

(6,858)

(280,424)

Eagle

Materials,

Inc.

(360)

(25,279)

Edgewell

Personal

Care

Co.

*

(5,154)

(160,599)

Edison

International

(12,904)

(700,816)

Elanco

Animal

Health,

Inc.

*

(1,052)

(22,565)

Elastic

NV

*

(1,578)

(145,507)

Element

Solutions,

Inc.

*

(34,838)

(377,992)

Encompass

Health

Corp.

(261)

(16,164)

Energizer

Holdings,

Inc.

(939)

(44,593)

Entergy

Corp.

(825)

(77,393)

EOG

Resources,

Inc.

(2,827)

(143,216)

EQT

Corp.

(64,996)

(773,452)

Equifax,

Inc.

(1,071)

(184,083)

Equitrans

Midstream

Corp.

(53,831)

(447,336)

Erie

Indemnity

Co.,

Class

A

(1,570)

(301,283)

Evergy,

Inc.

(433)

(25,673)

Eversource

Energy

(1,484)

(123,573)

Exact

Sciences

Corp.

*

(1,852)

(161,013)

Expedia

Group,

Inc.

(1,080)

(88,776)

Exxon

Mobil

Corp.

(10,283)

(459,856)

FedEx

Corp.

(6,061)

(849,872)

FireEye,

Inc.

*

(33,978)

(413,682)

First

Financial

Bankshares,

Inc.

(4,065)

(117,438)

First

Horizon

National

Corp.

(7,083)

(70,547)

First

Republic

Bank

(2,633)

(279,072)

FirstEnergy

Corp.

(9,325)

(361,624)

Five

Below,

Inc.

*

(2,490)

(266,206)

Flex

Ltd.

*

(1,972)

(20,213)

FLIR

Systems,

Inc.

(787)

(31,929)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(6,233)

(359,332)

Fluor

Corp.

(53,023)

(640,518)

FNB

Corp.

(3,869)

(29,018)

Ford

Motor

Co.

(44,709)

(271,831)

Fortive

Corp.

(705)

(47,700)

Freeport-McMoRan,

Inc.

(32,122)

(371,652)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

frontdoor,

Inc.

*

(1,732)

(76,780)

Garmin

Ltd.

(356)

(34,710)

GCI

Liberty,

Inc.,

Class

A

*

(4,275)

(304,038)

General

Electric

Co.

(127,388)

(870,059)

Globe

Life,

Inc.

(2,575)

(191,142)

Goodyear

Tire

&

Rubber

Co.

(The)

(8,008)

(71,632)

Grand

Canyon

Education,

Inc.

*

(556)

(50,335)

Green

Dot

Corp.,

Class

A

*

(11,813)

(579,782)

Grubhub,

Inc.

*

(4,119)

(289,566)

Guardant

Health,

Inc.

*

(6,558)

(532,051)

Hain

Celestial

Group,

Inc.

(The)

*

(18,998)

(598,627)

Halliburton

Co.

(21,374)

(277,435)

Hancock

Whitney

Corp.

(840)

(17,808)

Hanover

Insurance

Group,

Inc.

(The)

(543)

(55,022)

Harley-Davidson,

Inc.

(7,980)

(189,685)

Hawaiian

Electric

Industries,

Inc.

(769)

(27,730)

Healthcare

Services

Group,

Inc.

(19,760)

(483,330)

HealthEquity,

Inc.

*

(14,854)

(871,483)

Hess

Corp.

(14,528)

(752,696)

Hilton

Worldwide

Holdings,

Inc.

(463)

(34,007)

Home

BancShares,

Inc.

(9,193)

(141,388)

Howard

Hughes

Corp.

(The)

*

(2,323)

(120,680)

HubSpot,

Inc.

*

(316)

(70,895)

IAA,

Inc.

*

(14,464)

(557,876)

IDACORP,

Inc.

(722)

(63,081)

IHS

Markit

Ltd.

(448)

(33,824)

II-VI,

Inc.

*

(11,962)

(564,846)

Illumina,

Inc.

*

(1,154)

(427,384)

Ingersoll

Rand,

Inc.

*

(1,008)

(28,345)

Insperity,

Inc.

(12,387)

(801,811)

Insulet

Corp.

*

(1,870)

(363,266)

InterDigital,

Inc.

(7,933)

(449,246)

International

Game

Technology

plc

(45,749)

(407,166)

IPG

Photonics

Corp.

*

(1,176)

(188,619)

James

Hardie

Industries

plc,

CHESS

(2)

(9,613)

(185,229)

Kansas

City

Southern

(3,796)

(566,705)

Kennametal,

Inc.

(1,243)

(35,687)

Kinder

Morgan,

Inc.

(17,174)

(260,530)

Kirby

Corp.

*

(3,218)

(172,356)

Kraft

Heinz

Co.

(The)

(27,762)

(885,329)

L

Brands,

Inc.

(1,025)

(15,344)

L3Harris

Technologies,

Inc.

(155)

(26,299)

Lancaster

Colony

Corp.

(135)

(20,924)

LendingTree,

Inc.

*

(3,000)

(868,589)

Lennox

International,

Inc.

(987)

(229,961)

Liberty

Broadband

Corp.,

Class

C

*

(2,330)

(288,827)

Lincoln

National

Corp.

(863)

(31,750)

Lions

Gate

Entertainment

Corp.,

Class

A

*

(24,448)

(181,160)

LivaNova

plc

*

(384)

(18,482)

Live

Nation

Entertainment,

Inc.

*

(4,450)

(197,269)

LiveRamp

Holdings,

Inc.

*

(13,934)

(591,777)

Louisiana-Pacific

Corp.

(5,310)

(136,202)

Macquarie

Infrastructure

Corp.

(5,899)

(181,040)

Madison

Square

Garden

Sports

Corp.,

Class

A

*

(1,165)

(171,127)

Markel

Corp.

*

(332)

(306,492)

MarketAxess

Holdings,

Inc.

(89)

(44,582)

14

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

Marsh

&

McLennan

Cos.,

Inc.

(1,529)

(164,169)

Martin

Marietta

Materials,

Inc.

(1,008)

(208,223)

Marvell

Technology

Group

Ltd.

(5,120)

(179,507)

Mastercard,

Inc.,

Class

A

(1,459)

(431,426)

Mattel,

Inc.

*

(40,348)

(390,165)

McCormick

&

Co.,

Inc.

(Non-Voting)

(572)

(102,623)

MEDNAX,

Inc.

*

(5,696)

(97,402)

Mercury

General

Corp.

(2,522)

(102,772)

MGM

Resorts

International

(4,383)

(73,634)

MongoDB,

Inc.

*

(1,423)

(322,082)

Moody's

Corp.

(178)

(48,902)

Mosaic

Co.

(The)

(20,002)

(250,225)

Motorola

Solutions,

Inc.

(132)

(18,497)

National

Fuel

Gas

Co.

(22,251)

(932,983)

National

Oilwell

Varco,

Inc.

(27,023)

(331,032)

Nektar

Therapeutics

*

(50,906)

(1,178,982)

NetApp,

Inc.

(2,758)

(122,372)

Netflix,

Inc.

*

(1,690)

(769,018)

New

Jersey

Resources

Corp.

(1,803)

(58,868)

New

York

Times

Co.

(The),

Class

A

(2,473)

(103,940)

Newell

Brands,

Inc.

(51,726)

(821,409)

News

Corp.,

Class

A

(30,784)

(365,098)

Nexstar

Media

Group,

Inc.,

Class

A

(384)

(32,137)

NextEra

Energy,

Inc.

(1,421)

(341,282)

Nielsen

Holdings

plc

(53,432)

(794,000)

NIKE,

Inc.,

Class

B

(635)

(62,262)

NiSource,

Inc.

(31,434)

(714,809)

Noble

Energy,

Inc.

(46,197)

(413,925)

Nordstrom,

Inc.

(4,400)

(68,156)

Norfolk

Southern

Corp.

(2,312)

(405,918)

NOW,

Inc.

*

(10,712)

(92,445)

NRG

Energy,

Inc.

(14,158)

(460,984)

Nutanix,

Inc.,

Class

A

*

(10,581)

(250,823)

NVIDIA

Corp.

(84)

(31,912)

OGE

Energy

Corp.

(558)

(16,941)

O-I

Glass,

Inc.

(30,718)

(275,848)

Okta,

Inc.

*

(1,075)

(215,247)

Olin

Corp.

(34,316)

(394,291)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(13,033)

(1,272,671)

ONE

Gas,

Inc.

(353)

(27,199)

ONEOK,

Inc.

(2,381)

(79,097)

O'Reilly

Automotive,

Inc.

*

(298)

(125,658)

PacWest

Bancorp

(10,115)

(199,367)

Papa

John's

International,

Inc.

(346)

(27,476)

Penn

National

Gaming,

Inc.

*

(2,470)

(75,434)

Penumbra,

Inc.

*

(1,506)

(269,303)

Pinnacle

West

Capital

Corp.

(575)

(42,142)

Planet

Fitness,

Inc.,

Class

A

*

(965)

(58,450)

Pluralsight,

Inc.,

Class

A

*

(16,953)

(306,002)

PNM

Resources,

Inc.

(4,673)

(179,630)

Post

Holdings,

Inc.

*

(509)

(44,599)

PPL

Corp.

(1,786)

(46,150)

Primerica,

Inc.

(1,136)

(132,458)

Progressive

Corp.

(The)

(923)

(73,942)

Pure

Storage,

Inc.,

Class

A

*

(56,696)

(982,541)

Range

Resources

Corp.

(49,659)

(279,580)

Regions

Financial

Corp.

(11,108)

(123,521)

RenaissanceRe

Holdings

Ltd.

(1,215)

(207,801)

Repligen

Corp.

*

(1,037)

(128,184)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

Republic

Services,

Inc.

(917)

(75,240)

Resideo

Technologies,

Inc.

*

(29,830)

(349,608)

RingCentral,

Inc.,

Class

A

*

(441)

(125,689)

RLI

Corp.

(2,026)

(166,335)

Roku,

Inc.

*

(5,322)

(620,173)

Rollins,

Inc.

(4,046)

(171,510)

Roper

Technologies,

Inc.

(615)

(238,780)

Ross

Stores,

Inc.

(1,649)

(140,561)

Royal

Gold,

Inc.

(1,794)

(223,030)

Ryder

System,

Inc.

(3,768)

(141,338)

Sage

Therapeutics,

Inc.

*

(15,168)

(630,685)

Schlumberger

Ltd.

(37,662)

(692,604)

Scientific

Games

Corp.

*

(12,816)

(198,135)

Sealed

Air

Corp.

(8,733)

(286,879)

Selective

Insurance

Group,

Inc.

(665)

(35,072)

Sempra

Energy

(504)

(59,084)

Sensata

Technologies

Holding

plc

*

(3,624)

(134,922)

Service

Corp.

International

(2,809)

(109,242)

ServiceMaster

Global

Holdings,

Inc.

*

(23,736)

(847,137)

Sinclair

Broadcast

Group,

Inc.,

Class

A

(854)

(15,765)

Sirius

XM

Holdings,

Inc.

(32,709)

(192,002)

Six

Flags

Entertainment

Corp.

(6,175)

(118,622)

Smartsheet,

Inc.,

Class

A

*

(3,361)

(171,142)

Snap,

Inc.,

Class

A

*

(22,034)

(517,579)

Southern

Co.

(The)

(12,406)

(643,251)

Southwest

Airlines

Co.

(20,169)

(689,376)

Southwest

Gas

Holdings,

Inc.

(3,611)

(249,340)

Spire,

Inc.

(458)

(30,095)

Splunk,

Inc.

*

(1,244)

(247,183)

Spotify

Technology

SA

*

(1,893)

(488,754)

Square,

Inc.,

Class

A

*

(2,846)

(298,659)

Stericycle,

Inc.

*

(4,916)

(275,198)

Sterling

Bancorp

(7,557)

(88,568)

SVB

Financial

Group

*

(124)

(26,726)

Switch,

Inc.,

Class

A

(17,405)

(310,157)

Synovus

Financial

Corp.

(847)

(17,389)

Targa

Resources

Corp.

(32,912)

(660,544)

Tempur

Sealy

International,

Inc.

*

(2,420)

(174,119)

Tenet

Healthcare

Corp.

*

(10,837)

(196,258)

Teradata

Corp.

*

(5,601)

(116,501)

Tesla,

Inc.

*

(845)

(912,438)

Thor

Industries,

Inc.

(2,064)

(219,878)

TJX

Cos.,

Inc.

(The)

(2,835)

(143,338)

Trade

Desk,

Inc.

(The),

Class

A

*

(53)

(21,545)

Transocean

Ltd.

*

(158,269)

(289,632)

TreeHouse

Foods,

Inc.

*

(2,809)

(123,034)

Trex

Co.,

Inc.

*

(4,537)

(590,128)

Trinity

Industries,

Inc.

(9,804)

(208,727)

Twilio,

Inc.,

Class

A

*

(1,244)

(272,958)

Ubiquiti,

Inc.

(2,116)

(369,369)

UGI

Corp.

(9,483)

(301,559)

Umpqua

Holdings

Corp.

(7,369)

(78,406)

Under

Armour,

Inc.,

Class

A

*

(49,525)

(482,374)

Union

Pacific

Corp.

(3,511)

(593,605)

United

Airlines

Holdings,

Inc.

*

(7,139)

(247,081)

United

Bankshares,

Inc.

(889)

(24,590)

Univar

Solutions,

Inc.

*

(31,301)

(527,735)

Universal

Display

Corp.

(1,060)

(158,597)

15

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(44.9)%

(continued)

Valley

National

Bancorp

(8,329)

(65,133)

Valvoline,

Inc.

(5,458)

(105,503)

Verisk

Analytics,

Inc.

(494)

(84,079)

VF

Corp.

(1,927)

(117,431)

Virtu

Financial,

Inc.,

Class

A

(15,377)

(362,897)

Visteon

Corp.

*

(7,384)

(505,804)

Vulcan

Materials

Co.

(4,242)

(491,436)

W

R

Berkley

Corp.

(3,363)

(192,666)

Walmart,

Inc.

(1,866)

(223,509)

Waste

Connections,

Inc.

(311)

(29,169)

Waste

Management,

Inc.

(940)

(99,555)

Watsco,

Inc.

(150)

(26,655)

Wayfair,

Inc.,

Class

A

*

(1,052)

(207,886)

WEC

Energy

Group,

Inc.

(3,594)

(315,014)

Western

Digital

Corp.

(7,776)

(343,310)

Westinghouse

Air

Brake

Technologies

Corp.

(3,113)

(179,215)

Williams

Cos.,

Inc.

(The)

(17,874)

(339,963)

Workday,

Inc.,

Class

A

*

(219)

(41,032)

World

Wrestling

Entertainment,

Inc.,

Class

A

(7,411)

(322,008)

Wynn

Resorts

Ltd.

(5,345)

(398,149)

Xcel

Energy,

Inc.

(3,709)

(231,813)

XPO

Logistics,

Inc.

*

(9,792)

(756,432)

Zendesk,

Inc.

*

(4,332)

(383,512)

Zillow

Group,

Inc.,

Class

C

*

(2,103)

(121,154)

Zscaler,

Inc.

*

(495)

(54,203)

(89,831,830)

—

Zambia

-

(0.3)%

First

Quantum

Minerals

Ltd.

(72,291)

(576,155)

TOTAL

COMMON

STOCKS

(Proceeds$(218,472,904))

(177,791,472)

TOTAL

SHORT

POSITIONS

(Proceeds

$(218,472,904))

(177,791,472)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.8%

(Cost

$118,950,479)

175,877,811

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.2%

(i)

24,503,271

NET

ASSETS

-

100.0%

200,381,082

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

308,621

0.2

%

Consumer

Discretionary

5,034,352

2.5

Consumer

Staples

5,085,151

2.5

Energy

(4,877,428)

(2.4)

Financials

1,594,265

0.8

Health

Care

14,823,434

7.4

Industrials

(10,401,794)

(5.2)

Information

Technology

5,662,651

2.8

Materials

(6,120,471)

(3.0)

Real

Estate

(98,806)

0.0

(b)

Utilities

4,692,362

2.3

Short-Term

Investments

160,175,474

79.9

Total

Investments

In

Securities

At

Value

175,877,811

87.8

Other

Assets

in

Excess

of

Liabilities

(i)

24,503,271

12.2

Net

Assets

$

200,381,082

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$145,410,674.

In

addition,

$4,118,537

of

cash

collateral

was

pledged.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$(957,418),

which

represents

approximately

(0.48)%

of

net

assets

of

the

fund.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$44,961,103.

(e)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

16

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Written

Call

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

6

EUR

(194,044)

EUR

2,975.00

7/17/2020

$

(18,652)

EURO

STOXX

50

Index

JPMS

7

EUR

(226,385)

EUR

3,075.00

8/21/2020

(18,537)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,200.00

7/17/2020

(2,213)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,200.00

8/21/2020

(3,366)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

5,950.00

8/21/2020

(9,120)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

6,000.00

7/17/2020

(3,184)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

6,025.00

7/17/2020

(8,866)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,840.00

7/17/2020

(74,046)

S&P

500

Index

JPMS

7

USD

(2,170,203)

USD

2,900.00

7/17/2020

(136,289)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,980.00

8/21/2020

(57,045)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,985.00

7/17/2020

(14,105)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

3,045.00

8/21/2020

(41,562)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

3,050.00

7/17/2020

(9,100)

U.S.

Treasury

10

Year

Note

JPMS

14

USD

(1,400,000)

USD

138.00

7/24/2020

(18,593)

U.S.

Treasury

10

Year

Note

JPMS

28

USD

(2,800,000)

USD

138.50

7/24/2020

(26,250)

U.S.

Treasury

10

Year

Note

JPMS

28

USD

(2,800,000)

USD

139.00

7/24/2020

(16,625)

(457,553)

Written

Put

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

EURO

STOXX

50

Index

JPMS

18

EUR

(582,133)

EUR

2,675.00

8/21/2020

$

(4,894)

EURO

STOXX

50

Index

JPMS

17

EUR

(549,792)

EUR

2,775.00

8/21/2020

(6,341)

EURO

STOXX

50

Index

JPMS

12

EUR

(388,088)

EUR

2,850.00

7/17/2020

(1,254)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,850.00

8/21/2020

(944)

EURO

STOXX

50

Index

JPMS

18

EUR

(582,133)

EUR

2,875.00

8/21/2020

(9,181)

EURO

STOXX

50

Index

JPMS

6

EUR

(194,044)

EUR

2,900.00

7/17/2020

(836)

EURO

STOXX

50

Index

JPMS

17

EUR

(549,792)

EUR

2,925.00

7/17/2020

(2,731)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,925.00

8/21/2020

(1,191)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,975.00

7/17/2020

(425)

EURO

STOXX

50

Index

JPMS

17

EUR

(549,792)

EUR

2,975.00

8/21/2020

(11,823)

EURO

STOXX

50

Index

JPMS

13

EUR

(420,429)

EUR

3,000.00

7/17/2020

(3,184)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,025.00

7/17/2020

(562)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,025.00

8/21/2020

(1,622)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,075.00

7/17/2020

(742)

EURO

STOXX

50

Index

JPMS

3

EUR

(97,022)

EUR

3,100.00

8/21/2020

(3,064)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

3,150.00

7/17/2020

(1,124)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,225.00

8/21/2020

(1,729)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,400.00

8/21/2020

(2,323)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

5,575.00

7/17/2020

(496)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

5,575.00

8/21/2020

(2,094)

FTSE

100

Index

JPMS

4

GBP

(246,790)

GBP

5,650.00

7/17/2020

(1,239)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,675.00

8/21/2020

(1,245)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

5,725.00

7/17/2020

(768)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,775.00

7/17/2020

(1,357)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

5,775.00

8/21/2020

(2,974)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,825.00

8/21/2020

(4,870)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,850.00

7/17/2020

(570)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,850.00

8/21/2020

(1,698)

17

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,875.00

7/17/2020

$

(613)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,900.00

7/17/2020

(2,007)

FTSE

100

Index

JPMS

3

GBP

(185,092)

GBP

5,975.00

8/21/2020

(6,357)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

6,000.00

7/17/2020

(1,834)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

6,100.00

7/17/2020

(2,540)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

6,100.00

8/21/2020

(5,279)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

6,125.00

8/21/2020

(2,763)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

6,150.00

8/21/2020

(2,887)

FTSE

100

Index

JPMS

2

GBP

(123,395)

GBP

6,225.00

7/17/2020

(3,804)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,000.00

8/14/2020

(2,269)

Nikkei

225

Index

JPMS

2

JPY

(44,576,280)

JPY

20,250.00

8/14/2020

(5,094)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,500.00

7/10/2020

(472)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,500.00

8/14/2020

(2,871)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,750.00

7/10/2020

(611)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,750.00

8/14/2020

(3,195)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,000.00

7/10/2020

(806)

Nikkei

225

Index

JPMS

2

JPY

(44,576,280)

JPY

21,125.00

7/10/2020

(1,778)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,125.00

8/14/2020

(3,843)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,250.00

8/14/2020

(4,121)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,625.00

8/14/2020

(4,955)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,750.00

8/14/2020

(5,279)

Nikkei

225

Index

JPMS

2

JPY

(44,576,280)

JPY

21,875.00

7/10/2020

(4,260)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,590.00

8/21/2020

(6,435)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,650.00

8/21/2020

(5,020)

S&P

500

Index

JPMS

4

USD

(1,240,116)

USD

2,680.00

8/21/2020

(15,000)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,715.00

8/21/2020

(6,780)

S&P

500

Index

JPMS

5

USD

(1,550,145)

USD

2,740.00

8/21/2020

(18,325)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,770.00

7/17/2020

(943)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,780.00

8/21/2020

(12,795)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,795.00

8/21/2020

(8,990)

S&P

500

Index

JPMS

5

USD

(1,550,145)

USD

2,820.00

7/17/2020

(5,290)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,820.00

8/21/2020

(10,272)

S&P

500

Index

JPMS

5

USD

(1,550,145)

USD

2,825.00

7/17/2020

(18,885)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,830.00

7/17/2020

(1,170)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,835.00

7/17/2020

(2,480)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,840.00

7/17/2020

(1,203)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,840.00

8/21/2020

(10,276)

S&P

500

Index

JPMS

10

USD

(3,100,290)

USD

2,875.00

8/21/2020

(64,950)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,880.00

7/17/2020

(4,845)

S&P

500

Index

JPMS

4

USD

(1,240,116)

USD

2,890.00

7/17/2020

(6,900)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,895.00

7/17/2020

(1,810)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,900.00

8/21/2020

(12,880)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,910.00

7/17/2020

(2,243)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,910.00

8/21/2020

(6,590)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,930.00

8/21/2020

(7,320)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,940.00

7/17/2020

(7,335)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,945.00

7/17/2020

(5,384)

S&P

500

Index

JPMS

4

USD

(1,240,116)

USD

2,950.00

8/21/2020

(30,384)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,955.00

7/17/2020

(3,322)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,960.00

8/21/2020

(24,027)

S&P

500

Index

JPMS

3

USD

(930,087)

USD

2,965.00

7/17/2020

(8,880)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,980.00

7/17/2020

(3,408)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,980.00

8/21/2020

(8,535)

S&P

500

Index

JPMS

2

USD

(620,058)

USD

2,990.00

8/21/2020

(17,106)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,995.00

7/17/2020

(3,640)

U.S.

Treasury

10

Year

Note

JPMS

14

USD

(1,400,000)

USD

138.00

7/24/2020

(2,188)

(484,530)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($1,250,898))

$

(942,083)

18

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Written

Call

Option

Contracts

(Futures

Style)

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

September

Futures

JPMS

8

EUR

(800,000)

EUR

175.00

7/24/2020

$

(4,509)

$

(4,509)

Written

Put

Option

Contracts

(Futures

Style)

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

September

Futures

JPMS

16

EUR

(1,600,000)

EUR

173.50

7/24/2020

$

11,370

Euro-Bund

September

Futures

JPMS

16

EUR

(1,600,000)

EUR

174.50

7/24/2020

15,697

Euro-Bund

September

Futures

JPMS

8

EUR

(800,000)

EUR

175.00

7/24/2020

9,200

$

36,267

Total

Written

Option

Contracts

(Futures

Style)

$

31,758

Total

return

swap

contracts

outstanding

as

of

June

30,

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

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

BANA

09/16/2020

EUR

(1,142,673)

$

62,331

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

78,631

30

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.62%)

Monthly

BANA

09/16/2020

EUR

(541,856)

12,683

19

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

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

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.62%)

Monthly

BANA

09/16/2020

EUR

(629,885)

$

26,316

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.62%)

Monthly

BANA

09/16/2020

EUR

(698,408)

28,241

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.62%)

Monthly

BANA

09/16/2020

EUR

(3,262,291)

122,021

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

292,095

471

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

308,799

2,706

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

353,241

16,604

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

360,604

322

20

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

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

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

575,806

$

11,092

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

681,928

14,738

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

747,184

12,002

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

1,138,767

23,467

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

1,204,323

22,052

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

295,666

1,351

21

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

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

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

BANA

09/16/2020

SEK

(7,075,191)

$

29,241

385,668

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

CHF

3,903,120

(7,028)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

79,022

(23)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

3,648,384

(12,912)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

4,535,092

(5,231)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

4,625,383

(6,759)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

HKD

11,069,379

(34,387)

22

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

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

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.62%)

Monthly

BANA

09/16/2020

EUR

(504,237)

$

(6,071)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

171

(14)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

172

(15)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

87,072

(5,578)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

EUR

3,452,880

(267,483)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

CHF

3,112

(17)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

CHF

3,115

(19)

23

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

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

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

09/18/2020

CHF

687,005

$

(6,017)

(351,554)

$

34,114

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

59

7/2020

EUR

$

7,418,122

$

4,147

Hang

Seng

Index

92

7/2020

HKD

14,390,839

(192,139)

IBEX

35

Index

149

7/2020

EUR

12,069,313

(259,739)

Australia

10

Year

Bond

155

9/2020

AUD

15,915,222

152,221

Australia

3

Year

Bond

556

9/2020

AUD

44,915,323

2,026

Canada

10

Year

Bond

261

9/2020

CAD

29,572,054

374,971

EURO

STOXX

50

Index

70

9/2020

EUR

2,534,728

13,290

Euro-Bobl

54

9/2020

EUR

8,189,102

12,693

Euro-BTP

51

9/2020

EUR

8,244,108

141,641

Euro-Buxl

1

9/2020

EUR

247,125

(353)

Euro-OAT

31

9/2020

EUR

5,838,998

40,341

Japan

10

Year

Bond

98

9/2020

JPY

137,912,480

(17,402)

Long

Gilt

118

9/2020

GBP

20,124,868

58,967

NASDAQ

100

E-Mini

Index

1

9/2020

USD

202,945

5,555

S&P/TSX

60

Index

6

9/2020

CAD

820,713

10,386

TOPIX

Index

137

9/2020

JPY

19,774,439

(633,502)

U.S.

Treasury

10

Year

Note

195

9/2020

USD

27,138,516

135,656

U.S.

Treasury

2

Year

Note

219

9/2020

USD

48,361,359

32,174

U.S.

Treasury

5

Year

Note

236

9/2020

USD

29,675,156

130,933

U.S.

Treasury

Long

Bond

8

9/2020

USD

1,428,500

39,322

U.S.

Treasury

Ultra

Bond

3

9/2020

USD

654,469

35,351

86,539

Short

Contracts

CAC

40

10

Euro

Index

(222)

7/2020

EUR

(12,255,104)

8,657

OMXS30

Index

(197)

7/2020

SEK

(3,522,689)

(56,139)

DAX

Index

(20)

9/2020

EUR

(6,923,850)

(27,607)

DJIA

CBOT

E-Mini

Index

(1)

9/2020

USD

(128,445)

(994)

Euro-Bund

(567)

9/2020

EUR

(112,447,566)

(1,632,034)

Euro-Schatz

(72)

9/2020

EUR

(9,071,229)

(7,197)

FTSE

100

Index

(82)

9/2020

GBP

(6,246,241)

49,735

FTSE/MIB

Index

(76)

9/2020

EUR

(8,235,053)

68,775

Nikkei

225

Index

(2)

9/2020

JPY

(412,503)

1,758

Russell

2000

E-Mini

Index

(2)

9/2020

USD

(143,760)

(1,241)

S&P

500

E-Mini

Index

(119)

9/2020

USD

(18,386,690)

(359,966)

24

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

SPI

200

Index

(20)

9/2020

AUD

$

(2,033,035)

$

(16,678)

(1,972,931)

$

(1,886,392)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

7,626,872

USD

5,209,847

CITI

9/16/2020

$

54,836

AUD

7,626,878

USD

5,209,857

JPMC

9/16/2020

54,830

CAD

289,872

USD

212,787

CITI

9/16/2020

764

CAD

289,878

USD

212,792

JPMC

9/16/2020

764

CHF

1,960,000

USD

2,058,617

CITI

9/16/2020

14,873

CHF

1,960,000

USD

2,058,620

JPMC

9/16/2020

14,870

EUR

2,990,500

USD

3,348,456

CITI

9/16/2020

17,144

EUR

2,990,500

USD

3,348,461

JPMC

9/16/2020

17,140

GBP

1,592,874

USD

1,956,869

CITI

9/16/2020

17,757

GBP

1,592,874

USD

1,956,871

JPMC

9/16/2020

17,755

JPY

396,060,996

USD

3,649,010

CITI

9/16/2020

22,900

JPY

396,061,000

USD

3,649,014

JPMC

9/16/2020

22,896

NOK

21,590,750

USD

2,233,431

CITI

9/16/2020

10,354

NOK

21,590,750

USD

2,233,434

JPMC

9/16/2020

10,351

NZD

3,428,500

USD

2,139,806

CITI

9/16/2020

72,445

NZD

3,428,500

USD

2,139,809

JPMC

9/16/2020

72,443

SEK

19,454,000

USD

2,038,286

CITI

9/16/2020

51,440

SEK

19,454,000

USD

2,038,289

JPMC

9/16/2020

51,437

USD

1,789,427

AUD

2,571,624

CITI

9/16/2020

14,284

USD

1,789,427

AUD

2,571,626

JPMC

9/16/2020

14,283

USD

6,961,225

CAD

9,364,871

CITI

9/16/2020

62,041

USD

6,961,223

CAD

9,364,880

JPMC

9/16/2020

62,032

USD

13,588,283

EUR

12,000,254

CITI

9/16/2020

82,829

USD

13,588,259

EUR

12,000,248

JPMC

9/16/2020

82,812

USD

7,616,732

GBP

6,051,370

CITI

9/16/2020

115,079

USD

7,616,738

GBP

6,051,382

JPMC

9/16/2020

115,068

USD

3,345,825

JPY

360,143,000

CITI

9/16/2020

6,915

USD

3,345,821

JPY

360,143,000

JPMC

9/16/2020

6,908

USD

10,177,060

NOK

95,189,500

CITI

9/16/2020

284,646

USD

10,177,047

NOK

95,189,500

JPMC

9/16/2020

284,634

USD

2,960,165

NZD

4,576,000

CITI

9/16/2020

7,485

USD

2,960,161

NZD

4,576,000

JPMC

9/16/2020

7,482

USD

681,909

SEK

6,310,500

CITI

9/16/2020

4,040

USD

681,908

SEK

6,310,500

JPMC

9/16/2020

4,041

USD

87,789

SGD

122,250

CITI

9/16/2020

47

USD

87,789

SGD

122,250

JPMC

9/16/2020

47

Total

unrealized

appreciation

1,679,672

AUD

15,547,624

USD

10,795,632

CITI

9/16/2020

(63,408)

AUD

15,547,626

USD

10,795,647

JPMC

9/16/2020

(63,422)

CAD

11,097,113

USD

8,250,234

CITI

9/16/2020

(74,890)

CAD

11,097,137

USD

8,250,263

JPMC

9/16/2020

(74,902)

CHF

387,000

USD

410,962

CITI

9/16/2020

(1,553)

CHF

387,000

USD

410,963

JPMC

9/16/2020

(1,555)

EUR

4,494,000

USD

5,094,192

CITI

9/16/2020

(36,507)

25

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

4,494,000

USD

5,094,198

JPMC

9/16/2020

$

(36,513)

GBP

9,782,626

USD

12,385,212

CITI

9/16/2020

(258,061)

GBP

9,782,626

USD

12,385,485

JPMC

9/16/2020

(258,335)

JPY

2,239,523,996

USD

20,909,748

CITI

9/16/2020

(146,960)

JPY

2,239,524,000

USD

20,909,774

JPMC

9/16/2020

(146,985)

NOK

14,061,750

USD

1,497,839

CITI

9/16/2020

(36,495)

NOK

14,061,750

USD

1,497,841

JPMC

9/16/2020

(36,496)

NZD

2,570,000

USD

1,679,191

CITI

9/16/2020

(20,889)

NZD

2,570,000

USD

1,679,193

JPMC

9/16/2020

(20,891)

SEK

60,914,500

USD

6,618,431

CITI

9/16/2020

(75,067)

SEK

60,914,500

USD

6,618,440

JPMC

9/16/2020

(75,074)

SGD

84,500

USD

60,660

CITI

9/16/2020

(12)

SGD

84,500

USD

60,660

JPMC

9/16/2020

(12)

USD

4,162,706

AUD

6,092,372

CITI

9/16/2020

(42,739)

USD

4,162,705

AUD

6,092,378

JPMC

9/16/2020

(42,746)

USD

3,436,527

CAD

4,711,120

CITI

9/16/2020

(34,199)

USD

3,436,529

CAD

4,711,129

JPMC

9/16/2020

(34,203)

USD

3,203,754

CHF

3,076,500

CITI

9/16/2020

(50,887)

USD

3,203,750

CHF

3,076,500

JPMC

9/16/2020

(50,891)

USD

719,841

DKK

4,863,500

CITI

9/16/2020

(14,685)

USD

719,840

DKK

4,863,500

JPMC

9/16/2020

(14,686)

USD

6,660,232

EUR

5,940,750

CITI

9/16/2020

(25,671)

USD

6,660,221

EUR

5,940,748

JPMC

9/16/2020

(25,679)

USD

1,139,260

GBP

926,120

CITI

9/16/2020

(8,816)

USD

1,139,268

GBP

926,128

JPMC

9/16/2020

(8,816)

USD

6,299,123

JPY

685,877,496

CITI

9/16/2020

(59,698)

USD

6,299,116

JPY

685,877,504

JPMC

9/16/2020

(59,703)

USD

824,970

NOK

8,116,000

CITI

9/16/2020

(18,473)

USD

824,969

NOK

8,116,000

JPMC

9/16/2020

(18,474)

USD

5,008,229

NZD

7,949,500

CITI

9/16/2020

(121,211)

USD

5,008,223

NZD

7,949,500

JPMC

9/16/2020

(121,218)

USD

960,835

SEK

9,019,500

CITI

9/16/2020

(8,028)

USD

960,834

SEK

9,019,500

JPMC

9/16/2020

(8,031)

USD

100,271

SGD

142,250

CITI

9/16/2020

(1,825)

USD

100,271

SGD

142,250

JPMC

9/16/2020

(1,826)

Total

unrealized

depreciation

(2,200,532)

Net

unrealized

depreciation

$

(520,860)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

9,207,661

$

9,207,661

CITI

Investment

Companies

737,464

–

737,464

GSCO

Cash

–

847,428

847,428

JPMC

Investment

Companies

1,846,388

–

1,846,388

JPMS

Cash

–

7,971,401

7,971,401

MLIN

Cash

2,299,996

–

2,299,996

26

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

119.6%

COMMON

STOCKS

-

24.8%

Airlines

-

0.0%

(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)

*(b)

15,782

107,002

Auto

Components

-

0.0%

(a)

Keihin

Corp.

(Japan)

(2)

33

772

Showa

Corp.

(Japan)

(2)

52

1,075

1,847

Automobiles

-

0.5%

Tesla,

Inc.

*(b)

2,278

2,459,807

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

17,287

101,993

PNBK

Holdings

LLC,

Class

A

(3)*(c)(d)

2,090,900

259,878

PNBK

Holdings

LLC,

Class

B

(3)*(c)(d)

3,218

–

361,871

Biotechnology

-

0.5%

ADC

Therapeutics

SA

(Switzerland)

*

500

23,405

Akouos

,

Inc.

*

2,000

45,000

Apellis

Pharmaceuticals,

Inc.

*(b)

617

20,151

Applied

Molecular

Transport,

Inc.

*

10,000

251,400

Bridgebio

Pharma,

Inc.

*(b)

421

13,729

Burning

Rock

Biotech

Ltd.,

ADR

(China)

*

1,000

27,010

Fusion

Pharmaceuticals,

Inc.

(Canada)

*

2,000

34,940

Generation

Bio

Co.

*

1,000

21,000

Genetron

Holdings

Ltd.,

ADR

(China)

*

5,000

60,350

Legend

Biotech

Corp.,

ADR

*

2,000

85,120

Ligand

Pharmaceuticals,

Inc.

*(b)

101

11,297

ORIC

Pharmaceuticals,

Inc.

*

1,000

33,730

Precigen

,

Inc.

*(b)

17,632

87,984

Repare

Therapeutics,

Inc.

(Canada)

*

500

15,510

Verastem

,

Inc.

*(b)

1,190,777

2,048,136

2,778,762

Building

Products

-

0.1%

AZEK

Co.,

Inc.

(The)

*

10,000

318,600

Capital

Markets

-

12.6%

Acamar

Partners

Acquisition

Corp.,

Class

A

*

300,000

3,075,000

B.

Riley

Principal

Merger

Corp.

II,

Class

A

*

373,535

4,008,031

Churchill

Capital

Corp.

III,

Class

A

*

90,000

971,100

Collective

Growth

Corp.

*

310,300

2,950,953

Crescent

Acquisition

Corp.,

Class

A

*

150,000

1,569,000

DFP

Healthcare

Acquisitions

Corp.,

Class

A

(2)*

7,500

75,000

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

12.6%

(continued)

Flying

Eagle

Acquisition

Corp.,

Class

A

*

6,000

65,880

Foley

Trasimene

Acquisition

Corp.

*

400,000

4,268,000

Fortress

Value

Acquisition

Corp.

*

333,300

3,432,990

Fusion

Acquisition

Corp.

*

410,000

4,165,600

GigCapital2,

Inc.

*

3,000

30,420

GigCapital3,

Inc.

*

360,000

3,614,400

Gores

Holdings

IV,

Inc.,

Class

A

*

50,000

505,000

Greenrose

Acquisition

Corp.

*

90,000

900,000

Greenvision

Acquisition

Corp.

(China)

(2)*

19,500

194,025

GS

Acquisition

Holdings

Corp.

II

*

82,000

861,820

GX

Acquisition

Corp.,

Class

A

*

50,800

518,160

Healthcare

Merger

Corp.,

Class

A

*

25,000

250,500

Hudson

Executive

Investment

Corp.

*

451,000

4,600,200

InterPrivate

Acquisition

Corp.

*

137,500

1,397,000

Juniper

Industrial

Holdings,

Inc.,

Class

A

*

150,000

1,495,500

Kensington

Capital

Acquisition

Corp.

*

410,000

4,108,200

LGL

Systems

Acquisition

Corp.,

Class

A

*

28,750

285,059

Lion

Group

Holding

Ltd.

(Hong

Kong)

*

8,000

24,400

Live

Oak

Acquisition

Corp.

*

379,500

3,802,590

Longevity

Acquisition

Corp.

(China)

*

125,000

25,000

Longview

Acquisition

Corp.

*

375,000

3,787,500

Monocle

Acquisition

Corp.

*

86,119

886,164

New

Providence

Acquisition

Corp.,

Class

A

*

50,000

504,000

Novus

Capital

Corp.

*

225,000

2,207,250

Penson

Worldwide,

Inc.

(3)*(c)

(212,307)

–

Pivotal

Investment

Corp.

II,

Class

A

*

49,998

507,480

Replay

Acquisition

Corp.

*

80,000

816,000

RMG

Acquisition

Corp.,

Class

A

*

349,998

3,580,480

ROTH

CH

ACQUISITION

I

CO.

(2)*

84,000

814,800

South

Mountain

Merger

Corp.,

Class

A

*

150,000

1,528,500

Tuscan

Holdings

Corp.

*

170,000

1,739,100

Tuscan

Holdings

Corp.

II

(2)*

40,000

398,000

63,963,102

Commercial

Services

&

Supplies

-

1.2%

Advanced

Disposal

Services,

Inc.

*(b)

204,289

6,163,399

Diversified

Financial

Services

-

0.0%

(a)

Rescap

Liquidating

Trust

(2)*

125,811

125,811

Voya

Financial,

Inc.

(b)

433

20,200

146,011

Electric

Utilities

-

0.6%

El

Paso

Electric

Co.

42,213

2,828,271

27

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Entertainment

-

0.5%

Bilibili

,

Inc.,

ADR

(China)

*(b)

44,525

2,062,398

iQIYI

,

Inc.,

ADR

(China)

*(b)

1,450

33,625

Live

Nation

Entertainment,

Inc.

*

10,957

485,724

Warner

Music

Group

Corp.,

Class

A

*

1,000

29,500

2,611,247

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Northview

Apartment

REIT

(Canada)

2,808

71,937

Food

&

Staples

Retailing

-

0.2%

Albertsons

Cos.,

Inc.,

Class

A

*

75,000

1,182,750

Health

Care

Equipment

&

Supplies

-

0.1%

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(c)

4,931

–

Inari

Medical,

Inc.

*

5,000

242,200

Integra

LifeSciences

Holdings

Corp.

*(b)

3,591

168,741

410,941

Hotels,

Restaurants

&

Leisure

-

0.3%

NetEnt

AB

(Sweden)

(2)*

229,217

1,765,078

Panera

Bread

Co.,

Class

A

(3)*(c)

(d)

10,533

–

1,765,078

Insurance

-

0.6%

Selectquote

,

Inc.

*

7,000

177,310

Sony

Financial

Holdings,

Inc.

(Japan)

(2)

120,342

2,905,648

3,082,958

Interactive

Media

&

Services

-

0.4%

LINE

Corp.

(Japan)

(2)*

66

3,322

ZoomInfo

Technologies,

Inc.,

Class

A

*

35,000

1,786,050

1,789,372

Internet

&

Direct

Marketing

Retail

-

1.7%

Booking

Holdings,

Inc.

*(b)

1,873

2,982,453

Dada

Nexus

Ltd.,

ADR

(China)

*

5,000

111,500

Grubhub

,

Inc.

*

46,774

3,288,212

Pinduoduo

,

Inc.,

ADR

(China)

*(b)

2

172

Wayfair,

Inc.,

Class

A

*(b)

10,903

2,154,542

8,536,879

IT

Services

-

0.2%

Euronet

Worldwide,

Inc.

*(b)

391

37,466

KBR,

Inc.

(b)

152

3,427

Kingsoft

Cloud

Holdings

Ltd.,

ADR

(China)

*

5,000

157,600

Net

1

UEPS

Technologies,

Inc.

(South

Africa)

*

14,495

44,065

Sabre

Corp.

(b)

7,819

63,021

Shift4

Payments,

Inc.,

Class

A

*

5,000

177,500

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

0.2%

(continued)

Wix.com

Ltd.

(Israel)

*(b)

1,259

322,581

805,660

Life

Sciences

Tools

&

Services

-

1.5%

Illumina,

Inc.

*(b)

2,580

955,503

QIAGEN

NV

*

152,616

6,533,491

7,488,994

Media

-

0.0%

(a)

Sirius

XM

Holdings,

Inc.

(b)

221

1,297

Metals

&

Mining

-

0.4%

Alacer

Gold

Corp.

*

267,330

1,837,204

SEMAFO,

Inc.

(Canada)

*

18,329

62,510

1,899,714

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

1.5%

Blackstone

Mortgage

Trust,

Inc.,

Class

A

(b)

4,055

97,685

Chimera

Investment

Corp.

(b)

807,692

7,761,920

7,859,605

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Quicksilver

Resources,

Inc.

(3)*(c)

(d)

14,730

72,677

Pharmaceuticals

-

0.1%

Jazz

Pharmaceuticals

plc

*(b)

438

48,329

Pliant

Therapeutics,

Inc.

*

5,000

162,300

Royalty

Pharma

plc,

Class

A

*

5,000

242,750

Vaxcyte

,

Inc.

*

2,000

63,220

516,599

Road

&

Rail

-

0.0%

(a)

Lyft,

Inc.,

Class

A

*(b)

3,484

115,007

Semiconductors

&

Semiconductor

Equipment

-

0.0%

(a)

Impinj

,

Inc.

*(b)

222

6,098

Software

-

0.7%

Agora,

Inc.,

ADR

(China)

*

500

22,085

Atlassian

Corp.

plc,

Class

A

*(b)

208

37,496

Cloudflare

,

Inc.,

Class

A

*(b)

483

17,364

LivePerson

,

Inc.

*(b)

11,971

495,958

Palo

Alto

Networks,

Inc.

*

516

118,510

RIB

Software

SE

(Germany)

(2)

92,202

3,003,741

Splunk

,

Inc.

*(b)

2

397

3,695,551

Specialty

Retail

-

0.9%

Burlington

Stores,

Inc.

*(b)

8,793

1,731,606

Dick's

Sporting

Goods,

Inc.

(b)

61,000

2,516,860

Vroom,

Inc.

*

5,000

260,700

4,509,166

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(a)

Western

Digital

Corp.

(b)

1,044

46,093

28

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

0.0%

(a)

AM

Castle

&

Co.

(2)*(b)

48,034

21,615

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited

(3)*(c)(d)

1

279,657

TOTAL

COMMON

STOCKS

(Cost

$120,861,429)

125,897,567

PREFERRED

STOCKS

-

0.6%

Banks

-

0.1%

FB

Corp.,

Class

C

(3)*(c)(d)

786

561,253

Health

Care

Equipment

&

Supplies

-

0.2%

Boston

Scientific

Corp.,

Series

A,

5.50%,

6/1/2023

(2)(b)

12,200

1,277,218

Multi-Utilities

-

0.3%

Dominion

Energy,

Inc.,

Series

A,

7.25%,

6/1/2022

(2)(b)

13,425

1,365,457

TOTAL

PREFERRED

STOCKS

(Cost

$2,562,500)

3,203,928

CONVERTIBLE

PREFERRED

STOCKS

-

4.9%

Auto

Components

-

0.5%

Aptiv

plc

Series

A,

$100

par,

5.50%,

6/15/2023

(2)*

22,775

2,340,814

Commercial

Services

&

Supplies

-

0.9%

GFL

Environmental,

Inc.

(Canada)

$50

par,

6.00%,

3/15/2023

(2)(b)

97,400

4,837,858

Diversified

Financial

Services

-

0.5%

2020

Mandatory

Exchangeable

Trust

$1,000

par,

6.50%,

5/16/2023

(2)*(b)(e)

2,350

2,596,280

Electric

Utilities

-

0.8%

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022

(2)

(b)

50,000

2,435,000

PG&E

Corp.

$100

par,

5.50%,

8/16/2023

(2)*

18,725

1,797,600

4,232,600

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.3%

QTS

Realty

Trust,

Inc.

Series

B,

$100

par,

6.50%

(2)

(b)(f)

9,525

1,361,412

Health

Care

Technology

-

0.1%

Change

Healthcare,

Inc.

$50

par,

6.00%,

6/30/2022

(2)(b)

14,475

622,633

Machinery

-

0.2%

Colfax

Corp.

$100

par,

5.75%,

1/15/2022

(2)(b)

2,075

252,441

Fortive

Corp.

Series

A,

$1,000

par,

5.00%,

7/1/2021

(2)(b)

875

756,000

1,008,441

INVESTMENTS

SHARES

VALUE

($)

Multi-Utilities

-

0.8%

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021

(2)(b)

39,775

1,419,043

DTE

Energy

Co.

$50

par,

6.25%,

11/1/2022

(2)(b)

43,400

1,841,348

Sempra

Energy

Series

A,

$100

par,

6.00%,

1/15/2021

(2)(b)

7,925

774,730

4,035,121

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

NCR

Corp.

Series

A,

$1,000

par,

5.50%

(2)(b)(f)(g)

937

818,751

Wireless

Telecommunication

Services

-

0.6%

2020

Cash

Mandatory

Exchangeable

Trust

$1,000

par,

5.25%,

6/1/2023

(2)*(b)(e)

2,925

2,983,646

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$25,412,943)

24,837,556

CLOSED

END

FUNDS

-

4.6%

Aberdeen

Emerging

Markets

Equity

Income

Fund,

Inc.

(b)

9,596

58,056

Aberdeen

Global

Dynamic

Dividend

Fund

793

7,081

Aberdeen

Global

Premier

Properties

Fund

8,732

40,691

Aberdeen

Income

Credit

Strategies

Fund

16,077

143,889

Aberdeen

Total

Dynamic

Dividend

Fund

39,226

302,040

Adams

Diversified

Equity

Fund,

Inc.

3,411

50,858

Advent

Convertible

and

Income

Fund

387

5,062

AllianceBernstein

Global

High

Income

Fund,

Inc.

14,734

148,813

AllianzGI

Dividend

Interest

&

Premium

Strategy

Fund

32,004

357,805

AllianzGI

Equity

&

Convertible

Income

Fund

(b)

13,858

311,528

Apollo

Senior

Floating

Rate

Fund,

Inc.

(b)

16,174

201,043

Apollo

Tactical

Income

Fund,

Inc.

(b)

13,369

166,043

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

20,732

247,333

Barings

Global

Short

Duration

High

Yield

Fund

16,928

212,785

BlackRock

California

Municipal

Income

Trust

19,007

250,322

BlackRock

Debt

Strategies

Fund,

Inc.

8,909

83,121

BlackRock

Energy

and

Resources

Trust

7,439

53,784

BlackRock

Enhanced

Capital

and

Income

Fund,

Inc.

13,527

195,736

BlackRock

Enhanced

Equity

Dividend

Trust

60,732

445,773

29

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.6%

(continued)

BlackRock

Enhanced

Global

Dividend

Trust

25,559

240,766

BlackRock

Enhanced

International

Dividend

Trust

3,374

17,342

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

36,027

402,782

BlackRock

Floating

Rate

Income

Trust

25,282

277,596

BlackRock

Limited

Duration

Income

Trust

7,431

103,514

BlackRock

Multi-Sector

Income

Trust

13,413

193,281

BlackRock

Municipal

Income

Investment

Trust

4,192

53,364

BlackRock

MuniHoldings

Fund,

Inc.

2,073

30,929

BlackRock

MuniHoldings

Investment

Quality

Fund

400

5,172

BlackRock

MuniHoldings

Quality

Fund,

Inc.

7,753

94,121

BlackRock

MuniVest

Fund

II,

Inc.

5,990

81,224

BlackRock

MuniVest

Fund,

Inc.

20,127

169,067

BlackRock

MuniYield

California

Fund,

Inc.

527

7,341

BlackRock

MuniYield

Fund,

Inc.

16,012

217,603

BlackRock

MuniYield

Investment

Fund

1,615

21,722

BlackRock

MuniYield

Pennsylvania

Quality

Fund

13,923

188,935

BlackRock

New

York

Municipal

Income

Trust

2,535

34,248

BlackRock

Resources

&

Commodities

Strategy

Trust

50,079

306,984

Blackstone/GSO

Long-Short

Credit

Income

Fund

13,962

168,242

Blackstone/GSO

Senior

Floating

Rate

Term

Fund

20,121

258,756

Blackstone/GSO

Strategic

Credit

Fund

34,789

397,290

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

10,979

79,488

Boulder

Growth

&

Income

Fund,

Inc.

6,811

64,160

Brookfield

Real

Assets

Income

Fund,

Inc.

28,287

471,261

CBRE

Clarion

Global

Real

Estate

Income

Fund

51,006

304,506

Central

Securities

Corp.

3,637

104,927

Clough

Global

Equity

Fund

8,927

95,073

Clough

Global

Opportunities

Fund

37,509

326,703

Cohen

&

Steers

Quality

Income

Realty

Fund,

Inc.

40,632

444,108

Cohen

&

Steers

REIT

and

Preferred

and

Income

Fund,

Inc.

15,499

296,341

Delaware

Enhanced

Global

Dividend

&

Income

Fund

900

7,272

Delaware

Investments

Minnesota

Municipal

Income

Fund

II,

Inc.

10,065

127,322

Dividend

and

Income

Fund

1,043

10,618

DTF

Tax-Free

Income,

Inc.

11,020

156,704

DWS

Municipal

Income

Trust

22,940

247,752

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.6%

(continued)

DWS

Strategic

Municipal

Income

Trust

3,906

41,013

Eaton

Vance

Floating-Rate

Income

Trust

34,838

397,153

Eaton

Vance

Ltd.

Duration

Income

Fund

3,645

41,079

Eaton

Vance

Municipal

Income

Trust

10,594

132,319

Eaton

Vance

National

Municipal

Opportunities

Trust

4,115

80,860

Eaton

Vance

New

York

Municipal

Bond

Fund

1,461

17,094

Eaton

Vance

Senior

Floating-Rate

Trust

29,763

336,917

Eaton

Vance

Senior

Income

Trust

3,660

19,508

Eaton

Vance

Short

Duration

Diversified

Income

Fund

350

3,972

Eaton

Vance

Tax

Managed

Global

Buy

Write

Opportunities

Fund

54,524

471,633

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

12,002

171,389

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

52,690

388,852

Federated

Hermes

Premier

Municipal

Income

Fund

13,518

178,438

First

Eagle

Senior

Loan

Fund

1,086

13,390

First

Trust

Dynamic

Europe

Equity

Income

Fund

12,731

131,639

First

Trust

Energy

Income

and

Growth

Fund

15,847

171,465

First

Trust

Senior

Floating

Rate

2022

Target

Term

Fund

15,788

130,409

First

Trust

Senior

Floating

Rate

Income

Fund

II

11,913

129,733

Franklin

Ltd.

Duration

Income

Trust

10,200

86,292

Gabelli

Dividend

&

Income

Trust

(The)

35,725

628,760

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

4,674

46,927

GDL

Fund

(The)

5,940

48,886

General

American

Investors

Co.,

Inc.

4,828

153,611

Guggenheim

Enhanced

Equity

Income

Fund

3,127

16,980

Highland

Global

Allocation

Fund

8,167

52,595

Insight

Select

Income

Fund

174

3,419

Invesco

Advantage

Municipal

Income

Trust

II

13,134

137,382

Invesco

California

Value

Municipal

Income

Trust

25,218

294,546

Invesco

Dynamic

Credit

Opportunities

Fund

37,608

334,711

Invesco

Municipal

Trust

1,343

15,794

Invesco

Pennsylvania

Value

Municipal

Income

Trust

4,332

51,421

Invesco

Quality

Municipal

Income

Trust

12,168

145,043

Invesco

Trust

for

Investment

Grade

Municipals

6,058

72,938

30

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.6%

(continued)

Invesco

Trust

for

Investment

Grade

New

York

Municipals

9,253

112,702

Invesco

Value

Municipal

Income

Trust

13,341

192,777

Ivy

High

Income

Opportunities

Fund

7,087

79,658

KKR

Income

Opportunities

Fund

18,777

231,333

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

11,279

158,921

LMP

Capital

and

Income

Fund,

Inc.

7,348

73,553

Macquarie

Global

Infrastructure

Total

Return

Fund,

Inc.

8,299

146,145

Madison

Covered

Call

&

Equity

Strategy

Fund

10,642

60,021

MFS

Municipal

Income

Trust

18,976

118,410

Miller/Howard

High

Dividend

Fund

5,718

34,880

New

America

High

Income

Fund,

Inc.

(The)

3,087

24,048

New

Germany

Fund,

Inc.

(The)

3,321

50,413

Nuveen

AMT-Free

Municipal

Value

Fund

3,842

60,127

Nuveen

Arizona

Quality

Municipal

Income

Fund

4,223

57,433

Nuveen

Credit

Strategies

Income

Fund

27,513

160,676

Nuveen

Diversified

Dividend

and

Income

Fund

10,658

82,386

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

10,803

147,029

Nuveen

Enhanced

Municipal

Value

Fund

5,861

85,453

Nuveen

Floating

Rate

Income

Opportunity

Fund

39,602

310,876

Nuveen

Georgia

Quality

Municipal

Income

Fund

4,810

58,682

Nuveen

Michigan

Quality

Municipal

Income

Fund

9,439

129,126

Nuveen

Municipal

Credit

Income

Fund

9,553

141,002

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

9,756

129,274

Nuveen

New

York

Municipal

Value

Fund,

Inc.

276

2,677

Nuveen

Ohio

Quality

Municipal

Income

Fund

3,237

48,587

Nuveen

Real

Asset

Income

and

Growth

Fund

20,527

239,755

Nuveen

Real

Estate

Income

Fund

22,247

166,185

Nuveen

S&P

500

Buy-Write

Income

Fund

28,124

309,364

Nuveen

S&P

500

Dynamic

Overwrite

Fund

299

3,839

Nuveen

Select

Maturities

Municipal

Fund

222

2,272

Nuveen

Select

Tax-Free

Income3

Portfolio

117

1,895

Nuveen

Short

Duration

Credit

Opportunities

Fund

9,617

113,384

Nuveen

Tax-Advantaged

Dividend

Growth

Fund

3,153

40,264

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

4.6%

(continued)

Nuveen

Tax-Advantaged

Total

Return

Strategy

Fund

1,368

11,026

Nuveen

Virginia

Quality

Municipal

Income

Fund

18,543

264,794

PGIM

Global

High

Yield

Fund,

Inc.

311

3,956

PIMCO

New

York

Municipal

Income

Fund

II

2,211

22,906

Pioneer

Floating

Rate

Trust

416

3,956

Pioneer

High

Income

Trust

10,507

78,172

Pioneer

Municipal

High

Income

Advantage

Trust

19,521

205,166

Pioneer

Municipal

High

Income

Trust

15,320

172,963

Principal

Real

Estate

Income

Fund

987

11,864

RiverNorth

Opportunistic

Municipal

Income

Fund,

Inc.

540

11,453

RMR

Real

Estate

Income

Fund

2,817

32,846

Royce

Micro-Cap

Trust,

Inc.

39,461

284,119

Royce

Value

Trust,

Inc.

43,697

547,960

Source

Capital,

Inc.

3,652

120,820

Sprott

Focus

Trust,

Inc.

3,667

21,635

Swiss

Helvetia

Fund,

Inc.

(The)

5,513

43,222

Tekla

Healthcare

Investors

27,252

581,285

Tekla

Life

Sciences

Investors

24,293

436,302

Templeton

Emerging

Markets

Fund

7,029

96,157

Templeton

Global

Income

Fund

72,441

389,008

Tri-Continental

Corp.

15,553

384,315

Voya

Emerging

Markets

High

Income

Dividend

Equity

Fund

8,003

49,699

Voya

Global

Advantage

and

Premium

Opportunity

Fund

14,534

119,033

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

60,929

294,287

Voya

Infrastructure

Industrials

and

Materials

Fund

33,677

303,767

Wells

Fargo

Income

Opportunities

Fund

35,027

245,890

Wells

Fargo

Multi-Sector

Income

Fund

17,072

187,963

Western

Asset

High

Income

Fund

II,

Inc.

4,173

25,873

Western

Asset

Intermediate

Muni

Fund,

Inc.

22,160

189,690

Western

Asset

Managed

Municipals

Fund,

Inc.

15,472

185,819

Western

Asset

Municipal

High

Income

Fund,

Inc.

3,807

27,106

Western

Asset

Municipal

Partners

Fund,

Inc.

1,994

28,215

Western

Asset

Premier

Bond

Fund

2,202

28,912

TOTAL

CLOSED

END

FUNDS

(Cost

$20,168,456)

23,217,771

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

1.4%

Banks

-

0.0%

(a)

Washington

Mutual,

Inc.

Escrow

0.00%,

9/29/2017

(3)(c)(h)

$

5,000,000

62,500

31

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Diversified

Financial

Services

-

0.6%

Refinitiv

US

Holdings,

Inc.

8.25%,

11/15/2026

(2)(e)

$

2,900,000

3,140,613

Energy

Equipment

&

Services

-

0.2%

CSI

Compressco

LP

7.50%,

4/1/2025

(2)(e)

348,000

295,800

10.00%,

4/1/2026

(2)(e)(g)

1,084,000

680,918

976,718

Food

Products

-

0.1%

Viterra

,

Inc.

(Australia)

5.95%,

8/1/2020

(2)(e)

778,000

781,280

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2021

(3)(c)(h)

2,375,000

344,375

Interactive

Media

&

Services

-

0.2%

Weibo

Corp.

(China)

3.38%,

7/8/2030

(2)

1,000,000

993,370

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

(3)(c)(d)

(h)

2,833,436

144,373

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2020

(3)(c)(g)

3,620,029

362,003

506,376

Semiconductors

&

Semiconductor

Equipment

-

0.1%

SunEdison,

Inc.

2.00%,

10/1/2018

(3)(c)(h)

16,350,000

327,000

2.75%,

1/1/2021

(3)(c)(h)

4,400,000

88,000

415,000

TOTAL

CORPORATE

BONDS

(Cost

$41,315,239)

7,220,232

CONVERTIBLE

BONDS

-

44.1%

Airlines

-

2.2%

Air

Canada

(Canada)

4.00%,

7/1/2025

(2)(b)(e)

1,025,000

1,083,937

American

Airlines

Group,

Inc.

6.50%,

7/1/2025

(2)(b)

3,500,000

3,290,539

Copa

Holdings

SA

(Panama)

4.50%,

4/15/2025

(2)(b)(e)

5,500,000

6,251,837

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024

(2)(b)(e)

1,025,000

492,641

11,118,954

Auto

Components

-

0.1%

Veoneer

,

Inc.

(Sweden)

4.00%,

6/1/2024

(2)(b)

475,000

388,787

Biotechnology

-

4.3%

BioMarin

Pharmaceutical,

Inc.

1.25%,

5/15/2027

(2)(b)(e)

1,525,000

1,774,752

Coherus

Biosciences,

Inc.

1.50%,

4/15/2026

(2)(b)(e)

950,000

1,056,496

Gossamer

Bio,

Inc.

5.00%,

6/1/2027

(2)(b)

2,225,000

2,227,481

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

2,075,000

10,329,607

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Biotechnology

-

4.3%

(continued)

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024

(2)(b)(e)

$

1,400,000

1,443,351

1.50%,

6/15/2026

(2)(b)(e)

1,400,000

1,446,738

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(b)

2,550,000

994,500

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026

(2)(b)(e)

2,050,000

2,423,057

21,695,982

Capital

Markets

-

2.2%

Hercules

Capital,

Inc.

4.38%,

2/1/2022

(2)(b)

1,225,000

1,193,467

New

Mountain

Finance

Corp.

5.75%,

8/15/2023

(2)(b)

3,325,000

3,117,188

Prospect

Capital

Corp.

6.38%,

3/1/2025

(2)(b)

3,000,000

2,938,964

WisdomTree

Investments,

Inc.

4.25%,

6/15/2023

(2)(b)(e)

4,400,000

4,184,840

11,434,459

Chemicals

-

0.7%

Livent

Corp.

4.13%,

7/15/2025

(2)(b)(e)

3,675,000

3,618,756

Communications

Equipment

-

1.1%

Harmonic,

Inc.

2.00%,

9/1/2024

(2)(b)(e)

375,000

333,281

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)(e)

1,475,000

1,441,895

Inseego

Corp.

3.25%,

5/1/2025

(2)(b)

3,700,000

3,878,288

5,653,464

Consumer

Finance

-

0.2%

EZCORP,

Inc.

2.88%,

7/1/2024

(2)(b)

475,000

447,850

2.38%,

5/1/2025

(2)(b)

1,025,000

792,552

1,240,402

Diversified

Financial

Services

-

0.2%

Element

Fleet

Management

Corp.

(Canada)

4.25%,

6/30/2024

(2)(b)

CAD

1,100,000

881,069

Diversified

Telecommunication

Services

-

0.3%

Liberty

Latin

America

Ltd.

(Chile)

2.00%,

7/15/2024

(2)(b)(e)

$

1,450,000

1,148,219

Vonage

Holdings

Corp.

1.75%,

6/1/2024

(2)(b)

425,000

396,414

1,544,633

Electrical

Equipment

-

0.6%

Plug

Power,

Inc.

3.75%,

6/1/2025

(2)(b)(e)

1,825,000

3,083,245

Electronic

Equipment,

Instruments

&

Components

-

0.3%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025

(2)(b)(e)

1,375,000

1,294,410

32

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Energy

Equipment

&

Services

-

0.4%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023

(2)(b)

$

1,125,000

929,379

SEACOR

Holdings,

Inc.

2.50%,

12/15/2027

(2)(b)

1,150,000

993,429

1,922,808

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.3%

CorEnergy

Infrastructure

Trust,

Inc.

5.88%,

8/15/2025

(2)(b)(e)

2,300,000

1,592,750

Food

&

Staples

Retailing

-

0.2%

Chefs'

Warehouse,

Inc.

(The)

1.88%,

12/1/2024

(2)(b)(e)

1,325,000

950,409

Health

Care

Equipment

&

Supplies

-

4.2%

Cantel

Medical

Corp.

3.25%,

5/15/2025

(2)(b)(e)

3,675,000

4,591,227

China

Medical

Technologies,

Inc.

(China)

4.00%,

8/15/2013

(3)(c)(h)

250,000

–

6.25%,

12/15/2016

(3)(c)(e)

(h)

2,625,000

–

CryoLife

,

Inc.

4.25%,

7/1/2025

(2)(b)(e)

2,950,000

3,077,145

CryoPort

,

Inc.

3.00%,

6/1/2025

(2)(b)(e)

1,475,000

2,043,797

Envista

Holdings

Corp.

2.38%,

6/1/2025

(2)(b)(e)

1,325,000

1,612,786

Glaukos

Corp.

2.75%,

6/15/2027

(2)(b)(e)

1,475,000

1,413,570

LivaNova

USA,

Inc.

3.00%,

12/15/2025

(2)(b)(e)

2,925,000

3,042,526

NuVasive

,

Inc.

1.00%,

6/1/2023

(2)(b)(e)

875,000

846,760

Senseonics

Holdings,

Inc.

5.25%,

1/15/2025

(2)(b)(e)

675,000

338,506

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)(e)

2,225,000

2,155,469

Wright

Medical

Group,

Inc.

1.63%,

6/15/2023

(2)

2,316,000

2,399,664

21,521,450

Health

Care

Providers

&

Services

-

2.3%

1Life

Healthcare,

Inc.

3.00%,

6/15/2025

(2)(b)(e)

2,950,000

3,152,279

Anthem,

Inc.

2.75%,

10/15/2042

(2)(b)

1,279,000

4,678,549

PetIQ

,

Inc.

4.00%,

6/1/2026

(2)(b)(e)

2,975,000

3,980,922

11,811,750

Health

Care

Technology

-

1.2%

Health

Catalyst,

Inc.

2.50%,

4/15/2025

(2)(b)(e)

1,250,000

1,444,230

Livongo

Health,

Inc.

0.88%,

6/1/2025

(2)(b)(e)

2,250,000

2,676,767

Teladoc

Health,

Inc.

1.25%,

6/1/2027

(2)(b)(e)

1,975,000

2,182,101

6,303,098

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

1.2%

Bloomin

'

Brands,

Inc.

5.00%,

5/1/2025

(2)(b)(e)

$

975,000

1,112,765

Caesars

Entertainment

Corp.

5.00%,

10/1/2024

(2)

318,000

534,465

NCL

Corp.

Ltd.

6.00%,

5/15/2024

(2)(b)(e)

3,300,000

4,393,548

6,040,778

Insurance

-

0.2%

HCI

Group,

Inc.

4.25%,

3/1/2037

(2)(b)

1,175,000

1,161,453

Interactive

Media

&

Services

-

1.4%

Eventbrite,

Inc.

5.00%,

12/1/2025

(2)(b)(e)

1,850,000

1,639,335

JOYY,

Inc.

(China)

1.38%,

6/15/2026

(2)(b)

250,000

275,292

Snap,

Inc.

0.25%,

5/1/2025

(2)(b)(e)

1,900,000

2,422,295

Zillow

Group,

Inc.

2.75%,

5/15/2025

(2)(b)

2,600,000

3,023,046

7,359,968

Internet

&

Direct

Marketing

Retail

-

0.8%

IAC

FinanceCo

3,

Inc.

2.00%,

1/15/2030

(2)(b)(e)

775,000

1,004,412

RealReal

,

Inc.

(The)

3.00%,

6/15/2025

(2)(b)(e)

1,475,000

1,457,483

Wayfair,

Inc.

1.13%,

11/1/2024

(2)(b)

1,050,000

1,872,181

4,334,076

IT

Services

-

0.7%

Okta

,

Inc.

0.38%,

6/15/2026

(2)(b)(e)

3,425,000

3,697,215

Life

Sciences

Tools

&

Services

-

0.8%

Luminex

Corp.

3.00%,

5/15/2025

(2)(b)(e)

2,950,000

3,040,500

NanoString

Technologies,

Inc.

2.63%,

3/1/2025

(2)(b)(e)

950,000

879,344

3,919,844

Machinery

-

0.3%

Chart

Industries,

Inc.

1.00%,

11/15/2024

(2)(b)(e)

1,225,000

1,288,342

Media

-

0.5%

Liberty

Media

Corp.

2.25%,

9/30/2046

(2)(b)

5,000,000

2,375,333

Metals

&

Mining

-

0.8%

Allegheny

Technologies,

Inc.

3.50%,

6/15/2025

(2)(b)(e)

3,675,000

3,538,831

Endeavour

Mining

Corp.

(Ivory

Coast)

3.00%,

2/15/2023

(2)(b)(e)

350,000

406,437

3,945,268

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

Granite

Point

Mortgage

Trust,

Inc.

6.38%,

10/1/2023

(2)(b)

1,900,000

1,330,000

MFA

Financial,

Inc.

6.25%,

6/15/2024

(2)(b)

1,450,000

1,268,750

33

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

(continued)

PennyMac

Corp.

5.50%,

11/1/2024

(2)(b)(e)

$

825,000

778,107

3,376,857

Oil,

Gas

&

Consumable

Fuels

-

0.9%

CNX

Resources

Corp.

2.25%,

5/1/2026

(2)(b)(e)

1,000,000

917,665

EQT

Corp.

1.75%,

5/1/2026

(2)(b)(e)

800,000

827,470

Green

Plains,

Inc.

4.13%,

9/1/2022

(2)(b)

500,000

395,328

SFL

Corp.

Ltd.

(Norway)

5.75%,

10/15/2021

(2)(b)

2,600,000

2,459,632

4,600,095

Pharmaceuticals

-

1.3%

Aphria

,

Inc.

(Canada)

5.25%,

6/1/2024

(2)(b)(e)

1,150,000

840,075

GSK

Finance

No.

3

plc

(United

Kingdom)

0.00%,

6/22/2023

(2)(b)(e)

1,175,000

1,272,902

Jazz

Investments

I

Ltd.

2.00%,

6/15/2026

(2)(b)(e)

2,750,000

2,771,714

Tilray

,

Inc.

(Canada)

5.00%,

10/1/2023

(2)(b)

400,000

181,000

Xeris

Pharmaceuticals,

Inc.

5.00%,

7/15/2025

(2)(b)

1,475,000

1,453,318

6,519,009

Professional

Services

-

0.2%

FTI

Consulting,

Inc.

2.00%,

8/15/2023

(2)(b)

1,000,000

1,263,839

Real

Estate

Management

&

Development

-

0.2%

Colliers

International

Group,

Inc.

(Canada)

4.00%,

6/1/2025

(2)(b)(e)

750,000

912,656

Road

&

Rail

-

0.6%

Lyft,

Inc.

1.50%,

5/15/2025

(2)(b)(e)

2,675,000

2,954,942

Semiconductors

&

Semiconductor

Equipment

-

6.9%

Cree,

Inc.

1.75%,

5/1/2026

(2)(b)(e)

3,625,000

5,102,188

Novellus

Systems,

Inc.

2.63%,

5/15/2041

(2)(b)

2,400,000

24,393,263

Silicon

Laboratories,

Inc.

0.63%,

6/15/2025

(2)(b)(e)

400,000

429,467

SMART

Global

Holdings,

Inc.

2.25%,

2/15/2026

(2)(b)(e)

1,025,000

916,660

SunEdison,

Inc.

0.25%,

1/15/2020

(3)(c)(h)

575,000

11,500

Veeco

Instruments,

Inc.

3.75%,

6/1/2027

(2)(b)(e)

3,675,000

4,235,437

35,088,515

Software

-

4.8%

Alteryx,

Inc.

0.50%,

8/1/2024

(2)(b)(e)

450,000

507,538

Blackline,

Inc.

0.13%,

8/1/2024

(2)(b)(e)

650,000

827,277

Coupa

Software,

Inc.

0.38%,

6/15/2026

(2)(b)(e)

1,600,000

1,847,617

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Software

-

4.8%

(continued)

Datadog

,

Inc.

0.13%,

6/15/2025

(2)(b)(e)

$

1,625,000

1,918,399

FireEye,

Inc.

0.88%,

6/1/2024

(2)(b)

525,000

474,882

Five9,

Inc.

0.50%,

6/1/2025

(2)(b)(e)

1,425,000

1,525,641

i3

Verticals

LLC

1.00%,

2/15/2025

(2)(b)(e)

1,775,000

1,677,967

Model

N,

Inc.

2.63%,

6/1/2025

(2)(b)(e)

2,975,000

3,662,815

PagerDuty

,

Inc.

1.25%,

7/1/2025

(2)(b)(e)

2,200,000

2,172,500

Rapid7,

Inc.

2.25%,

5/1/2025

(2)(b)(e)

800,000

862,180

RealPage

,

Inc.

1.50%,

5/15/2025

(2)(b)

600,000

645,133

Splunk

,

Inc.

1.13%,

6/15/2027

(2)(b)(e)

3,650,000

3,888,545

Zendesk

,

Inc.

0.63%,

6/15/2025

(2)(b)(e)

1,950,000

2,080,111

Zscaler

,

Inc.

0.13%,

7/1/2025

(2)(b)(e)

2,350,000

2,400,314

24,490,919

Specialty

Retail

-

0.7%

American

Eagle

Outfitters,

Inc.

3.75%,

4/15/2025

(2)(b)(e)

1,825,000

2,595,448

National

Vision

Holdings,

Inc.

2.50%,

5/15/2025

(2)(b)(e)

775,000

926,562

3,522,010

Trading

Companies

&

Distributors

-

0.0%

(a)

AM

Castle

&

Co.

3.00%,

8/31/2024

(3)(c)(g)

53,265

46

Wireless

Telecommunication

Services

-

0.3%

Gogo

,

Inc.

6.00%,

5/22/2022

(2)(b)

1,975,000

1,374,316

TOTAL

CONVERTIBLE

BONDS

(Cost

$189,606,296)

224,281,907

NO.

OF

RIGHTS

RIGHTS

-

0.1%

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(c)(d)

146,272

71,964

Tobira

Therapeutics,

Inc.,

CVR

(3)*(c)(d)

11,880

129,369

201,333

Capital

Markets

-

0.1%

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

200,000

56,000

GigCapital2,

Inc.,

expiring

2/28/2026

*

153,000

41,295

Greenvision

Acquisition

Corp.,

expiring

1/6/2021

*

170,000

47,600

HL

Acquisitions

Corp.,

expiring

6/1/2026

*

54,000

50,760

34

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

($)

Capital

Markets

-

0.1%

(continued)

KBL

Merger

Corp.

IV

*

1,000,000

250,000

445,655

TOTAL

RIGHTS

(Cost

$–)

646,988

NO.

OF

WARRANTS

WARRANTS

-

3.2%

Aerospace

&

Defense

-

0.0%

(a)

PAE,

Inc.,

expiring

2/10/2025

*

66,666

160,665

Tempus

Applied

Solutions

Holdings,

Inc.,

expiring

7/31/2020

(2)*

614,551

17,822

178,487

Biotechnology

-

0.1%

DermTech

,

Inc.,

expiring

8/29/2024

*

446,823

245,753

Xynomic

Pharmaceuticals

Holdings,

Inc.,

expiring

5/15/2024

*

75,000

1,800

247,553

Capital

Markets

-

2.4%

Acamar

Partners

Acquisition

Corp.,

expiring

2/26/2026

*

150,000

190,500

Acasta

Enterprises,

Inc.,

expiring

1/3/2022

(Canada)

(3)*(c)

579,085

2,133

AMCI

Acquisition

Corp.,

expiring

10/1/2025

*

460,000

253,000

Amplitude

Healthcare

Acquisition

Corp.,

expiring

12/1/2026

*

46,875

46,875

Apex

Technology

Acquisition

Corp.,

expiring

9/30/2026

*

40,000

68,000

B.

Riley

Principal

Merger

Corp.

II,

expiring

5/6/2026

*

187,500

328,125

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

100,000

45,000

CF

Finance

Acquisition

Corp.,

expiring

4/30/2025

*

300,000

405,000

CHP

Merger

Corp.,

expiring

11/22/2024

*

125,000

122,500

Churchill

Capital

Corp.

II,

expiring

7/24/2024

*

23,333

67,432

Churchill

Capital

Corp.

III,

expiring

3/1/2027

*

22,500

67,500

CIIG

Merger

Corp.,

expiring

12/31/2026

*

62,500

59,375

Conyers

Park

II

Acquisition

Corp.,

expiring

12/31/2026

*

3,750

7,875

Crescent

Acquisition

Corp.,

expiring

3/7/2024

*

200,000

300,000

DFP

Healthcare

Acquisitions

Corp.,

expiring

4/1/2022

*

1,875

2,756

DiamondPeak

Holdings

Corp.,

expiring

4/12/2024

*

153,333

269,866

Experience

Investment

Corp.,

expiring

9/1/2026

*

66,666

66,666

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Far

Point

Acquisition

Corp.,

expiring

6/1/2025

*

33,333

16,667

FinServ

Acquisition

Corp.,

expiring

12/31/2026

*

100,000

112,000

FinTech

Acquisition

Corp.

III,

expiring

12/1/2023

*

230,000

529,000

Flying

Eagle

Acquisition

Corp.,

expiring

2/26/2027

*

1,500

4,500

Forum

Merger

II

Corp.,

expiring

9/30/2025

*

96,315

452,681

GigCapital2,

Inc.,

expiring

7/1/2024

*

153,000

75,728

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023

*

122,980

264,407

Gores

Holdings

IV,

Inc.,

expiring

1/24/2025

*

12,500

22,500

Gores

Metropoulos,

Inc.,

expiring

3/25/2024

*

33,333

64,999

Graf

Industrial

Corp.,

expiring

12/31/2025

*

198,000

451,440

Greenvision

Acquisition

Corp.,

expiring

10/28/2024

*

170,000

47,600

GX

Acquisition

Corp.,

expiring

5/24/2026

*

200,000

228,000

Haymaker

Acquisition

Corp.

II,

expiring

10/31/2026

*

133,333

209,333

Healthcare

Merger

Corp.,

expiring

12/17/2021

*

87,500

100,625

Hennessy

Capital

Acquisition

Corp.

IV,

expiring

9/25/2025

*

300,000

330,000

HL

Acquisitions

Corp.,

expiring

7/18/2023

*

54,000

122,040

Hunter

Maritime

Acquisition

Corp.,

expiring

3/21/2024

*

470,000

11,327

Insurance

Acquisition

Corp.,

expiring

3/31/2024

*

110,000

420,200

Juniper

Industrial

Holdings,

Inc.,

expiring

11/13/2026

*

150,000

130,500

KBL

Merger

Corp.

IV,

expiring

1/15/2024

*

500,000

155,000

Landcadia

Holdings

II,

Inc.,

expiring

5/9/2026

*

116,666

629,996

Legacy

Acquisition

Corp.,

expiring

11/30/2022

*

250,000

122,500

Leisure

Acquisition

Corp.,

expiring

12/28/2022

*

125,000

117,500

Leo

Holdings

Corp.,

expiring

4/5/2023

(United

Kingdom)

*

125,000

156,250

LF

Capital

Acquisition

Corp.,

expiring

6/27/2023

*

240,000

216,000

LGL

Systems

Acquisition

Corp.,

expiring

11/12/2026

*

14,375

13,081

Lion

Group

Holding

Ltd.,

expiring

4/30/2026

(Hong

Kong)

*

80,000

13,200

Longevity

Acquisition

Corp.,

expiring

7/31/2025

(China)

*

125,000

25,000

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

*

128,200

107,688

35

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

2.4%

(continued)

Merida

Merger

Corp.

I,

expiring

11/7/2026

*

75,000

37,500

Monocle

Acquisition

Corp.,

expiring

6/12/2024

*

336,119

218,477

New

Providence

Acquisition

Corp.,

expiring

9/1/2024

*

100,000

150,000

Novus

Capital

Corp.,

expiring

6/30/2027

*

225,000

162,000

Open

Lending

Corp.,

expiring

6/9/2025

*

46,666

186,664

Opes

Acquisition

Corp.,

expiring

1/15/2023

*

250,000

1,025,000

Osprey

Technology

Acquisition

Corp.,

expiring

10/30/2024

*

75,000

78,750

Pivotal

Investment

Corp.

II,

expiring

6/1/2025

*

66,666

52,666

PROMECAP

Acquisition

Co.

SAB

de

CV,

expiring

3/23/2023

(Mexico)

(3)*(c)

400,000

15,663

PropTech

Acquisition

Corp.,

expiring

10/1/2026

*

81,250

56,875

Replay

Acquisition

Corp.,

expiring

4/8/2024

*

115,000

103,500

RMG

Acquisition

Corp.,

expiring

2/21/2026

*

166,666

163,333

ROTH

CH

ACQUISITION

I

CO.,

expiring

1/28/2025

(2)*

63,000

31,500

Schultze

Special

Purpose

Acquisition

Corp.,

expiring

12/31/2023

*

288,000

371,520

Software

Acquisition

Group,

Inc.,

expiring

10/1/2026

*

54,560

61,653

South

Mountain

Merger

Corp.,

expiring

6/20/2024

*

150,000

168,000

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023

*

48,333

86,995

Stable

Road

Acquisition

Corp.,

expiring

5/15/2026

*

62,500

38,125

Switchback

Energy

Acquisition

Corp.,

expiring

12/31/2024

*

113,333

89,522

Tenzing

Acquisition

Corp.,

expiring

8/23/2025

*

250,000

117,500

Tortoise

Acquisition

Corp.,

expiring

3/4/2024

*

100,223

1,082,408

Trine

Acquisition

Corp.,

expiring

3/5/2024

*

230,000

356,500

Tuscan

Holdings

Corp.,

expiring

4/1/2026

*

320,000

187,200

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025

*

95,000

51,300

12,345,016

Commercial

Services

&

Supplies

-

0.0%

(a)

Estre

Ambiental

,

Inc.,

expiring

12/22/2022

(Brazil)

*

661,870

662

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Construction

&

Engineering

-

0.0%

(a)

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

*

343,006

51,108

Limbach

Holdings,

Inc.,

expiring

7/20/2021

*

168,252

10,095

Peck

Co.

Holdings,

Inc.

(The),

expiring

6/20/2024

(2)*

122,916

12,292

73,495

Consumer

Finance

-

0.0%

(a)

Roan

Holdings

Group

Co.

Ltd.,

expiring

7/6/2021

(China)

(3)*(c)

142,386

71

Diversified

Consumer

Services

-

0.0%

(a)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)

*

99,990

99,990

Electrical

Equipment

-

0.1%

Vertiv

Co.,

expiring

2/10/2025

*

100,000

399,000

Energy

Equipment

&

Services

-

0.0%

(a)

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

*

259,500

132,345

Entertainment

-

0.0%

(a)

Akazoo

SA,

expiring

12/31/2024

(United

Kingdom)

(3)*(c)

147,836

10,349

Kew

Media

Group,

Inc.,

expiring

7/25/2021

(Canada)

(3)*(c)

50,000

184

10,533

Food

Products

-

0.1%

Bioceres

Crop

Solutions

Corp.,

expiring

3/14/2024

(Argentina)

*

249,978

52,495

Whole

Earth

Brands,

Inc.,

expiring

6/25/2025

*

180,000

205,200

257,695

Health

Care

Providers

&

Services

-

0.0%

(a)

New

Frontier

Health

Corp.,

expiring

7/25/2023

(Hong

Kong)

*

32,837

44,658

Hotels,

Restaurants

&

Leisure

-

0.1%

Accel

Entertainment,

Inc.,

expiring

11/20/2024

*

66,666

155,999

Allied

Esports

Entertainment,

Inc.,

expiring

8/9/2024

*

210,000

31,500

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

*

175,587

52,676

Simplicity

Esports

and

Gaming

Co.,

expiring

11/20/2023

*

101,605

23,369

Target

Hospitality

Corp.,

expiring

3/15/2024

*

53,333

5,333

268,877

36

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Insurance

-

0.0%

(a)

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

*

117,500

39,950

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

*

154,500

30,727

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

(2)*

276,625

58,091

128,768

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

LXRandCo

,

Inc.,

expiring

6/9/2022

(Canada)

(3)*(c)

1,274,000

4,692

Reebonz

Holding

Ltd.,

expiring

12/19/2023

(Singapore)

(3)*(c)

75,000

300

4,992

IT

Services

-

0.2%

American

Virtual

Cloud

Technologies,

Inc.,

expiring

8/8/2022

*

250,000

57,500

Exela

Technologies,

Inc.,

expiring

7/12/2022

*

880,354

14,086

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

*

90,000

144,000

Repay

Holdings

Corp.,

expiring

7/11/2024

*

162,624

531,781

Verra

Mobility

Corp.,

expiring

10/17/2023

*

66,666

189,331

936,698

Media

-

0.0%

(a)

Glory

Star

New

Media

Group

Holdings

Ltd.,

expiring

2/20/2025

(Hong

Kong)

*

370,000

14,171

Metals

&

Mining

-

0.1%

Hycroft

Mining

Holding

Corp.,

expiring

2/12/2025

*

158,844

198,555

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

131,393

41,770

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Alta

Mesa

Resources,

Inc.,

expiring

2/9/2023

(3)*(c)

308,333

154

Altus

Midstream

Co.,

expiring

11/12/2023

*

125,000

3,750

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

191,000

93,590

Falcon

Minerals

Corp.,

expiring

8/23/2023

*

222,879

20,059

NextDecade

Corp.,

expiring

7/24/2022

*

547,770

11,448

Rosehill

Resources,

Inc.,

expiring

4/27/2022

*

244,800

15,031

144,032

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Pharmaceuticals

-

0.0%

(a)

AYR

Strategies,

Inc.,

expiring

5/24/2024

(Canada)

*

100,000

163,524

Professional

Services

-

0.0%

(a)

Akerna

Corp.,

expiring

8/1/2024

*

7,500

7,425

Atlas

Technical

Consultants,

Inc.,

expiring

2/14/2025

*

321,747

125,481

132,906

Road

&

Rail

-

0.0%

(a)

Daseke

,

Inc.,

expiring

2/27/2022

*

378,003

20,072

Software

-

0.1%

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024

*

314,900

103,917

Kaleyra

,

Inc.,

expiring

3/6/2025

*

281,250

182,812

KLDiscovery

,

Inc.,

expiring

12/1/2025

(3)*(c)

247,565

49,513

Phunware

,

Inc.,

expiring

12/26/2023

*

58,632

13,779

Rimini

Street,

Inc.,

expiring

5/26/2022

*

286,090

57,218

407,239

Specialty

Retail

-

0.0%

(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

(3)*(c)

125,000

375

Technology

Hardware,

Storage

&

Peripherals

-

0.0%

(a)

Borqs

Technologies,

Inc.,

expiring

8/18/2022

(China)

(2)*

373,500

7,470

Trading

Companies

&

Distributors

-

0.0%

(a)

Alta

Equipment

Group,

Inc.,

expiring

4/8/2024

*

85,000

89,020

Nesco

Holdings,

Inc.,

expiring

1/1/2025

*

83,328

14,999

104,019

Wireless

Telecommunication

Services

-

0.0%

(a)

Trilogy

International

Partners,

Inc.,

expiring

2/7/2022

(Canada)

(2)*

445,000

4,917

TOTAL

WARRANTS

(Cost

$509,016)

16,367,890

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.1%

Health

Care

Equipment

&

Supplies

-

0.1%

DEMC

Ltd.,

Class

A

(3)*(c)(d)

12,969

–

DEMC

Ltd.,

Class

A-2

(3)*(c)(d)

368,190,309

67,464

DEMC

Ltd.,

Class

A-3

(3)*(c)(d)

198,686,844,152

194,713

DEMC

Ltd.,

Class

B

(3)*(c)(d)

10,488

–

DEMC

Ltd.,

Class

B-2

(3)*(c)(d)

513,897,326

514

DEMC

Ltd.,

Class

B-3

(3)*(c)(d)

489,352,292,604

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$699,872)

262,691

37

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

35.8%

INVESTMENT

COMPANIES

-

17.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(

i

)(j)

1,286,727

1,286,727

Limited

Purpose

Cash

Investment

Fund,

0.34%

(

i

)

84,921,321

84,938,306

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(

i

)

1,679

1,679

TOTAL

INVESTMENT

COMPANIES

(Cost

$86,206,615)

86,226,712

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

18.8%

U.S.

Treasury

Bills

1.54%,

7/16/2020

(2)(k)

$

3,218,000

3,217,829

1.53%,

7/23/2020

(2)(k)

4,325,000

4,324,676

1.53%,

8/6/2020

(2)(k)

790,000

789,905

1.52%,

8/13/2020

(2)(k)

6,810,000

6,808,902

0.08%,

9/24/2020

(2)(b)(k)

545,000

544,813

0.10%,

10/1/2020

(2)(k)

17,818,000

17,810,942

0.15%,

10/22/2020

(2)(b)(k)

638,000

637,680

0.15%,

10/29/2020

(2)(b)(k)

5,910,000

5,906,897

0.16%,

11/27/2020

(2)(k)(l)

6,962,000

6,957,246

0.17%,

12/3/2020

(2)(k)

2,160,000

2,158,559

0.19%,

12/10/2020

(2)(k)

18,862,000

18,848,419

0.19%,

12/17/2020

(2)(k)

5,043,000

5,039,419

0.18%,

12/24/2020

(2)(k)

22,643,000

22,624,735

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$95,650,900)

95,670,022

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$181,857,515)

181,896,734

TOTAL

LONG

POSITIONS

(Cost

$582,993,266)

607,833,264

SHARES

SHORT

POSITIONS

-

(37.7)%

COMMON

STOCKS

-

(35.2)%

Aerospace

&

Defense

-

(0.1)%

PAE,

Inc.

*

(37,332)

(356,894)

Airlines

-

(1.4)%

Air

Canada

(Canada)

*

(50,777)

(633,965)

American

Airlines

Group,

Inc.

(157,716)

(2,061,348)

Copa

Holdings

SA,

Class

A

(Panama)

(85,700)

(4,332,992)

(7,028,305)

Auto

Components

-

(0.4)%

Aptiv

plc

(23,402)

(1,823,484)

Veoneer

,

Inc.

(Sweden)

*

(9,794)

(104,698)

(1,928,182)

Automobiles

-

(0.5)%

Tesla,

Inc.

*

(2,278)

(2,459,807)

Biotechnology

-

(3.6)%

Apellis

Pharmaceuticals,

Inc.

*

(617)

(20,151)

BioMarin

Pharmaceutical,

Inc.

*

(7,654)

(944,044)

Bridgebio

Pharma,

Inc.

*

(421)

(13,729)

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

(3.6)%

(continued)

Coherus

Biosciences,

Inc.

*

(36,008)

(643,103)

Gossamer

Bio,

Inc.

*

(114,463)

(1,488,019)

Inovio

Pharmaceuticals,

Inc.

*

(385,544)

(10,390,411)

Ironwood

Pharmaceuticals,

Inc.

*

(137,987)

(1,424,026)

Ligand

Pharmaceuticals,

Inc.

*

(101)

(11,297)

PTC

Therapeutics,

Inc.

*

(30,660)

(1,555,688)

Verastem

,

Inc.

*

(1,190,777)

(2,048,137)

(18,538,605)

Capital

Markets

-

(0.2)%

Hercules

Capital,

Inc.

(2,986)

(31,263)

New

Mountain

Finance

Corp.

(4,381)

(40,700)

WisdomTree

Investments,

Inc.

(242,309)

(840,812)

(912,775)

Chemicals

-

(0.1)%

Livent

Corp.

*

(65,893)

(405,901)

Commercial

Services

&

Supplies

-

(0.7)%

GFL

Environmental,

Inc.

(Canada)

(195,082)

(3,661,689)

Communications

Equipment

-

(0.6)%

Harmonic,

Inc.

*

(23,605)

(112,124)

Infinera

Corp.

*

(146,402)

(866,700)

Inseego

Corp.

*

(175,000)

(2,030,000)

(3,008,824)

Construction

&

Engineering

-

0.0%

(a)

Limbach

Holdings,

Inc.

*

(10,000)

(36,800)

Consumer

Finance

-

0.0%

(a)

EZCORP,

Inc.,

Class

A

*

(41,665)

(262,489)

Containers

&

Packaging

-

0.0%

(a)

Ranpak

Holdings

Corp.

*

(5,110)

(38,018)

Diversified

Consumer

Services

-

0.0%

(a)

OneSpaWorld

Holdings

Ltd.

(Bahamas)

(29,997)

(143,086)

Diversified

Financial

Services

-

(0.1)%

Element

Fleet

Management

Corp.

(Canada)

(47,469)

(354,199)

Voya

Financial,

Inc.

(433)

(20,200)

(374,399)

Diversified

Telecommunication

Services

-

(0.2)%

AT&T,

Inc.

(19,814)

(598,977)

Liberty

Latin

America

Ltd.,

Class

C

(Chile)

*

(18,913)

(178,539)

Vonage

Holdings

Corp.

*

(11,442)

(115,106)

(892,622)

Electric

Utilities

-

(0.3)%

NextEra

Energy,

Inc.

(7,418)

(1,781,581)

Electrical

Equipment

-

(0.7)%

Plug

Power,

Inc.

*

(322,608)

(2,648,612)

Vertiv

Holdings

Co.,

Class

A

*

(70,572)

(956,956)

(3,605,568)

38

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

(0.1)%

Insight

Enterprises,

Inc.

*

(10,702)

(526,538)

Energy

Equipment

&

Services

-

(0.1)%

Helix

Energy

Solutions

Group,

Inc.

*

(29,704)

(103,073)

National

Energy

Services

Reunited

Corp.

*

(93,598)

(643,954)

SEACOR

Holdings,

Inc.

*

(1,095)

(31,011)

(778,038)

Entertainment

-

(0.4)%

Bilibili

,

Inc.,

ADR

(China)

*

(44,525)

(2,062,398)

iQIYI

,

Inc.,

ADR

(China)

*

(1,450)

(33,625)

(2,096,023)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

(0.2)%

QTS

Realty

Trust,

Inc.,

Class

A

(15,653)

(1,003,201)

Food

&

Staples

Retailing

-

0.0%

(a)

Chefs'

Warehouse,

Inc.

(The)

*

(5,096)

(69,204)

Health

Care

Equipment

&

Supplies

-

(2.3)%

Boston

Scientific

Corp.

*

(26,893)

(944,213)

Cantel

Medical

Corp.

(70,828)

(3,132,722)

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(c)

(40,234)

–

CryoLife

,

Inc.

*

(43,437)

(832,687)

CryoPort

,

Inc.

*

(50,589)

(1,530,317)

Envista

Holdings

Corp.

*

(48,550)

(1,023,920)

Glaukos

Corp.

*

(19,458)

(747,576)

Integra

LifeSciences

Holdings

Corp.

*

(3,591)

(168,741)

LivaNova

plc

*

(34,055)

(1,639,067)

NuVasive

,

Inc.

*

(4,365)

(242,956)

Senseonics

Holdings,

Inc.

*

(169,994)

(66,298)

Varex

Imaging

Corp.

*

(75,904)

(1,149,946)

(11,478,443)

Health

Care

Providers

&

Services

-

(1.8)%

1Life

Healthcare,

Inc.

*

(37,843)

(1,374,458)

AdaptHealth

Corp.

*

(25,784)

(415,122)

Anthem,

Inc.

(17,121)

(4,502,481)

New

Frontier

Health

Corp.,

Class

A

(Hong

Kong)

*

(14,748)

(122,113)

PetIQ

,

Inc.

*

(81,273)

(2,831,551)

(9,245,725)

Health

Care

Technology

-

(0.8)%

Change

Healthcare,

Inc.

*

(44,816)

(501,939)

Health

Catalyst,

Inc.

*

(30,229)

(881,780)

Livongo

Health,

Inc.

*

(22,926)

(1,723,806)

Teladoc

Health,

Inc.

*

(5,785)

(1,104,009)

(4,211,534)

Hotels,

Restaurants

&

Leisure

-

(1.2)%

Accel

Entertainment,

Inc.

*

(13,334)

(128,406)

Bloomin

'

Brands,

Inc.

(62,334)

(664,481)

Evolution

Gaming

Group

AB

(Sweden)

(2)(e)

(29,936)

(1,778,068)

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

(1.2)%

(continued)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(201,600)

(3,312,288)

Target

Hospitality

Corp.

*

(10,667)

(18,027)

(5,901,270)

Household

Durables

-

(0.3)%

Purple

Innovation,

Inc.

*

(75,000)

(1,350,000)

Insurance

-

(0.1)%

HCI

Group,

Inc.

(6,546)

(302,294)

Interactive

Media

&

Services

-

(1.0)%

Eventbrite,

Inc.,

Class

A

*

(110,154)

(944,020)

IAC/

interactivecorp

*

(2,141)

(692,399)

JOYY,

Inc.,

ADR

(China)

*

(1,851)

(163,906)

Snap,

Inc.,

Class

A

*

(66,602)

(1,564,481)

Zillow

Group,

Inc.,

Class

C

*

(27,470)

(1,582,547)

(4,947,353)

Internet

&

Direct

Marketing

Retail

-

(1.9)%

Chewy,

Inc.,

Class

A

*

(48,809)

(2,181,274)

Just

Eat

Takeaway.com

NV

(Netherlands)

(2)*(e)

(31,385)

(3,280,518)

Pinduoduo

,

Inc.,

ADR

(China)

*

(2)

(172)

RealReal

,

Inc.

(The)

*

(55,786)

(713,503)

Wayfair,

Inc.,

Class

A

*

(18,796)

(3,714,278)

(9,889,745)

IT

Services

-

(1.2)%

Euronet

Worldwide,

Inc.

*

(391)

(37,466)

I3

Verticals,

Inc.,

Class

A

*

(30,617)

(926,164)

KBR,

Inc.

(152)

(3,428)

Okta

,

Inc.

*

(10,071)

(2,016,516)

Repay

Holdings

Corp.

*

(72,371)

(1,782,498)

Sabre

Corp.

(7,819)

(63,021)

Verra

Mobility

Corp.

*

(69,827)

(717,821)

Wix.com

Ltd.

(Israel)

*

(1,259)

(322,581)

(5,869,495)

Life

Sciences

Tools

&

Services

-

(0.4)%

Illumina,

Inc.

*

(1,405)

(520,342)

Luminex

Corp.

(38,493)

(1,252,177)

NanoString

Technologies,

Inc.

*

(12,916)

(379,085)

(2,151,604)

Machinery

-

(0.3)%

Chart

Industries,

Inc.

*

(13,768)

(667,610)

Colfax

Corp.

*

(7,927)

(221,163)

Fortive

Corp.

(8,707)

(589,116)

(1,477,889)

Media

-

0.0%

(a)

Sirius

XM

Holdings,

Inc.

(221)

(1,297)

Metals

&

Mining

-

(0.7)%

Allegheny

Technologies,

Inc.

*

(144,760)

(1,475,105)

Endeavour

Mining

Corp.

(Ivory

Coast)

*

(11,541)

(279,259)

39

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

(0.7)%

(continued)

SSR

Mining,

Inc.

(Canada)

*

(86,782)

(1,849,295)

(3,603,659)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

(1.6)%

Blackstone

Mortgage

Trust,

Inc.,

Class

A

(4,055)

(97,685)

Chimera

Investment

Corp.

(807,692)

(7,761,920)

PennyMac

Mortgage

Investment

Trust

(2,944)

(51,608)

(7,911,213)

Multi-Utilities

-

(0.8)%

CenterPoint

Energy,

Inc.

(64,590)

(1,205,895)

Dominion

Energy,

Inc.

(12,441)

(1,009,960)

DTE

Energy

Co.

(13,091)

(1,407,283)

Sempra

Energy

(3,703)

(434,103)

(4,057,241)

Oil,

Gas

&

Consumable

Fuels

-

(0.3)%

CNX

Resources

Corp.

*

(57,091)

(493,837)

EQT

Corp.

(38,788)

(461,577)

Falcon

Minerals

Corp.

(75,000)

(240,000)

Green

Plains,

Inc.

*

(3,750)

(38,306)

SFL

Corp.

Ltd.

(Norway)

(11,912)

(110,663)

(1,344,383)

Pharmaceuticals

-

(0.3)%

Jazz

Pharmaceuticals

plc

*

(11,028)

(1,216,829)

Theravance

Biopharma,

Inc.

*

(19,808)

(415,770)

(1,632,599)

Professional

Services

-

(0.2)%

FTI

Consulting,

Inc.

*

(7,102)

(813,534)

Real

Estate

Management

&

Development

-

(0.1)%

Colliers

International

Group,

Inc.

(Canada)

(9,057)

(519,057)

Road

&

Rail

-

(0.3)%

Lyft,

Inc.,

Class

A

*

(53,655)

(1,771,152)

Semiconductors

&

Semiconductor

Equipment

-

(6.2)%

Cree,

Inc.

*

(62,406)

(3,693,811)

Impinj

,

Inc.

*

(222)

(6,098)

Lam

Research

Corp.

(75,649)

(24,469,425)

Silicon

Laboratories,

Inc.

*

(2,180)

(218,589)

SMART

Global

Holdings,

Inc.

*

(16,154)

(439,066)

Veeco

Instruments,

Inc.

*

(205,061)

(2,766,273)

(31,593,262)

Software

-

(2.2)%

Alteryx,

Inc.,

Class

A

*

(1,545)

(253,813)

Atlassian

Corp.

plc,

Class

A

*

(208)

(37,496)

Blackline,

Inc.

*

(6,686)

(554,336)

Cloudflare

,

Inc.,

Class

A

*

(483)

(17,364)

Coupa

Software,

Inc.

*

(3,994)

(1,106,498)

Datadog

,

Inc.,

Class

A

*

(12,764)

(1,109,830)

INVESTMENTS

SHARES

VALUE

($)

Software

-

(2.2)%

(continued)

FireEye,

Inc.

*

(9,540)

(116,149)

Five9,

Inc.

*

(6,895)

(763,070)

Kaleyra

,

Inc.

(Italy)

*

(12,500)

(50,500)

LivePerson

,

Inc.

*

(11,971)

(495,959)

Model

N,

Inc.

*

(70,518)

(2,451,206)

PagerDuty

,

Inc.

*

(34,582)

(989,737)

Palo

Alto

Networks,

Inc.

*

(516)

(118,510)

Rapid7,

Inc.

*

(8,915)

(454,843)

RealPage

,

Inc.

*

(5,183)

(336,947)

Rimini

Street,

Inc.

*

(25,156)

(129,553)

Splunk

,

Inc.

*

(1,717)

(341,168)

Zendesk

,

Inc.

*

(11,295)

(999,946)

Zscaler

,

Inc.

*

(9,039)

(989,770)

(11,316,695)

Specialty

Retail

-

(1.3)%

American

Eagle

Outfitters,

Inc.

(176,657)

(1,925,561)

Burlington

Stores,

Inc.

*

(8,793)

(1,731,606)

Dick's

Sporting

Goods,

Inc.

(61,000)

(2,516,860)

National

Vision

Holdings,

Inc.

*

(19,640)

(599,413)

(6,773,440)

Technology

Hardware,

Storage

&

Peripherals

-

(0.1)%

NCR

Corp.

*

(16,241)

(281,294)

Western

Digital

Corp.

(1,044)

(46,093)

(327,387)

Trading

Companies

&

Distributors

-

0.0%

(a)

Alta

Equipment

Group,

Inc.

*

(9,640)

(74,903)

Wireless

Telecommunication

Services

-

(0.1)%

Gogo

,

Inc.

*

(148,125)

(468,075)

TOTAL

COMMON

STOCKS

(Proceeds

$(139,630,105))

(178,941,798)

MASTER

LIMITED

PARTNERSHIPS

-

(0.2)%

Independent

Power

and

Renewable

Electricity

Producers

-

(0.2)%

Brookfield

Renewable

Partners

LP

(Canada)

(Proceeds

$(1,191,237))

(27,727)

(1,327,530)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(2.1)%

Entertainment

-

(0.4)%

Live

Nation

Entertainment,

Inc.

2.50%,

3/15/2023

(2)

$

(1,775,000)

(1,800,516)

Internet

&

Direct

Marketing

Retail

-

(1.5)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)(e)

(6,200,000)

(7,658,965)

Life

Sciences

Tools

&

Services

-

(0.2)%

Illumina,

Inc.

0.00%,

8/15/2023

(2)

(1,175,000)

(1,276,003)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(10,130,720))

(10,735,484)

40

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

(0.2)%

U.S.

Treasury

Bonds

2.00%,

2/15/2050

(2)

$

(5,000)

(5,726)

U.S.

Treasury

Notes

0.63%,

5/15/2030

(2)

(880,000)

(877,559)

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Proceeds

$(883,282))

(883,285)

TOTAL

SHORT

POSITIONS

(Proceeds

$(151,835,344))

(191,888,097)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

81.9%

(Cost

$431,157,922)

415,945,167

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

18.1%

(m)

92,406,579

NET

ASSETS

-

100.0%

508,351,746

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

11,136,574

2.2

%

Consumer

Discretionary

(1,831,018)

(0.4)

Consumer

Staples

3,102,931

0.6

Energy

6,232,630

1.2

Financials

126,284,312

24.8

Health

Care

37,251,524

7.4

Industrials

14,363,198

2.8

Information

Technology

24,720,882

4.9

Materials

5,614,716

1.1

Real

Estate

2,416,497

0.5

U.S.

Treasury

Obligations

(883,285)

(0.2)

Utilities

5,639,472

1.2

Short-Term

Investments

181,896,734

35.8

Total

Investments

In

Securities

At

Value

415,945,167

81.9

Other

Assets

in

Excess

of

Liabilities

(m)

92,406,579

18.1

Net

Assets

$

508,351,746

100.0%

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$285,422,110.

In

addition,

$21,181,160

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$3,060,720,

which

represents

approximately

0.60%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$137,672,389,

which

represents

approximately

27.08%

of

net

assets

of

the

fund.

(f)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

June

30,

2020.

The

maturity

date

reflects

the

next

call

date.

(g)

Payment

in-kind

security.

(h)

Defaulted

security.

(i)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(k)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(l)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(m)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

41

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

June

30,

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

North

America

High

Yield

Index

Series

34.V6

5.00

%

Quarterly

6/20/2025

5.17

%

USD

22,450,000

$

1,136,028

$

(1,006,668)

$

129,360

1,136,028

(1,006,668)

129,360

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

%

Quarterly

6/20/2025

0.76

%

USD

50,000

$

616

$

(1,201)

$

(585)

616

(1,201)

(585)

$

1,136,644

$

(1,007,869)

$

128,775

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(204)

9/2020

USD

$

(31,520,040)

$

(208,687)

U.S.

Treasury

10

Year

Note

(59)

9/2020

USD

(8,211,141)

(27,824)

U.S.

Treasury

5

Year

Note

(334)

9/2020

USD

(41,997,890)

(106,648)

$

(343,159)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

2,061,667

USD

1,500,920

CITI

9/16/2020

$

17,928

CAD

458,877

USD

334,156

JPMC

9/16/2020

3,903

JPY

158,574,645

USD

1,460,988

CITI

9/16/2020

9,169

JPY

158,574,645

USD

1,460,990

JPMC

9/16/2020

9,167

USD

1,460,971

CAD

1,968,240

CITI

9/16/2020

10,951

USD

1,384,995

CAD

1,865,560

JPMC

9/16/2020

10,619

USD

2,436,455

EUR

2,156,470

CITI

9/16/2020

9,497

USD

2,436,454

EUR

2,156,472

JPMC

9/16/2020

9,494

USD

4,397,980

JPY

471,645,626

CITI

9/16/2020

25,319

USD

1,476,790

JPY

158,756,435

JPMC

9/16/2020

4,948

Total

unrealized

appreciation

110,995

CAD

1,494,112

USD

1,108,607

CITI

9/16/2020

(7,880)

CAD

764,795

USD

567,901

JPMC

9/16/2020

(4,469)

JPY

158,574,641

USD

1,473,949

CITI

9/16/2020

(3,792)

JPY

158,574,639

USD

1,473,951

JPMC

9/16/2020

(3,794)

USD

814,826

CAD

1,119,324

CITI

9/16/2020

(9,790)

USD

814,829

CAD

1,119,329

JPMC

9/16/2020

(9,790)

USD

2,413,480

EUR

2,156,470

CITI

9/16/2020

(13,477)

USD

2,413,477

EUR

2,156,470

JPMC

9/16/2020

(13,480)

USD

1,463,040

JPY

158,756,433

CITI

9/16/2020

(8,802)

42

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,463,038

JPY

158,756,436

JPMC

9/16/2020

$

(8,804)

Total

unrealized

depreciation

(84,078)

Net

unrealized

appreciation

$

26,917

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

or

CORRA

plus

or

minus

a

specified

spread

(-0.08%

to

0.03%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

04/09/2025

$4,062,180

$(833,728)

$461

$(833,267)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/11/2025

$393

$(9)

$102,873

$102,864

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56

months

maturity

01/13/2025

$470,180

$(252,391)

$319,178

$66,787

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-61

months

maturity

ranging

from

04/19/2021

-

01/22/2025

$2,944,762

$(56,273)

$(9,819)

$(66,092)

43

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

1.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

ranging

from

02/25/2022

-

05/25/2022

$1,693,604

$42,779

$(32,269)

$10,510

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(0.00%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1

month

maturity

07/10/2020

$1,378,183

$(66,524)

$76

$(66,448)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-3.85%

to

0.85%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-65

months

maturity

ranging

from

09/25/2020

-

07/11/2024

$6,634,983

$93,018

$68,874

$161,892

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Ireland

Flutter

Entertainment

plc

4,726

619,574

46,692

28.8

PRINCIPAL

Convertible

Bonds

United

States

Innoviva

,

Inc.,

2.50%,

8/15/2025

1,000,000

1,061,284

(852)

(0.5)

Invacare

Corp.,

4.50%,

6/1/2022

2,550,000

2,164,156

(36,835)

(22.8)

Paratek

Pharmaceuticals,

Inc.,

4.75%,

5/1/2024

1,950,000

1,588,483

74,813

46.2

44

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Brazil

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(37,494)

(254,209)

13,498

8.3

United

States

Innoviva

,

Inc.

(35,334)

(493,969)

19,787

12.2

Invacare

Corp.

(32,421)

(206,522)

(7,912)

(4.9)

Paratek

Pharmaceuticals,

Inc.

(47,277)

(246,786)

(16,173)

(10.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.03%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/25/2025

$10,327,541

$(37,729)

$2,620

$(35,109)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

Palo

Alto

Networks,

Inc.,

0.38%,

6/1/2025

7,475,000

7,443,115

(33,208)

94.6

SHARES

Short

Positions

Common

Stocks

United

States

Palo

Alto

Networks,

Inc.

(12,559)

(2,884,426)

(4,521)

12.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

04/11/2025

$9,075,874

$119,034

$(6,062)

$112,972

45

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Keihin

Corp.

96,400

2,256,925

(12,427)

(11.0)

LINE

Corp.

90,600

4,559,833

138,878

122.9

Showa

Corp.

109,300

2,259,116

(7,417)

(6.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.30%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

08/12/2020

-

06/30/2025

$122,451,250

$(5,664,179)

$996,881

$(4,667,298)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

58.com,

Inc.,

ADR

41,657

2,246,979

(23,318)

0.5

Bitauto

Holdings

Ltd.,

ADR

46,860

742,731

7,997

(0.2)

United

States

Acacia

Communications,

Inc.

95,675

6,428,403

(9,728)

0.2

Caesars

Entertainment

Corp.

522,491

6,337,816

1,429,419

(30.6)

Cincinnati

Bell,

Inc.

249,861

3,710,436

270,155

(5.8)

CoreLogic

,

Inc.

500

33,610

1,110

(0.0)

Delphi

Technologies

plc

383,911

5,455,375

120,214

(2.6)

E*TRADE

Financial

Corp.

131,099

6,519,553

1,473,917

(31.6)

Fitbit,

Inc.

689,999

4,457,394

(245,605)

5.3

ForeScout

Technologies,

Inc.

203,897

4,322,616

(2,348,065)

50.3

Franklin

Financial

Network,

Inc.

14,700

378,525

(184,667)

4.0

Genworth

Financial,

Inc.

843,592

1,948,698

(1,403,274)

30.1

IBERIABANK

Corp.

135,772

6,183,057

(1,211,082)

25.9

Legg

Mason,

Inc.

130,404

6,487,599

8,228

(0.2)

LogMeIn,

Inc.

76,127

6,453,286

8,643

(0.2)

Mobile

Mini,

Inc.

43,587

1,285,816

(102,422)

2.2

Portola

Pharmaceuticals,

Inc.

253,594

4,562,156

42,306

(0.9)

South

State

Corp.

8

381

(223)

0.0

Taubman

Centers,

Inc.

176,175

6,652,368

(2,517,934)

53.9

TerraForm

Power,

Inc.

72,775

1,341,971

164,471

(3.5)

Tiffany

&

Co.

53,276

6,496,475

(145,365)

3.1

WESCO

International,

Inc.

1

35

4

(0.0)

Willis

Towers

Watson

plc

28,800

5,672,160

299,602

(6.4)

46

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Wright

Medical

Group

NV

216,518

6,434,915

(36,916)

0.8

Xperi

Holding

Corp.

10

148

1

(0.0)

Preferred

Stocks

United

States

WESCO

International,

Inc.,

10.63%,

6/22/2025

10

265

45

(0.0)

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(1)

(98)

(21)

0.0

Aon

plc

(31,104)

(5,990,630)

(307,360)

6.6

BorgWarner,

Inc.

(165,350)

(5,836,855)

(660,665)

14.2

Eldorado

Resorts,

Inc.

(50,945)

(2,040,857)

(503,060)

10.8

FB

Financial

Corp.

(14,185)

(351,362)

186,977

(4.0)

Fidelity

National

Financial,

Inc.

(1)

(31)

–

(0.0)

First

Horizon

National

Corp.

(622,379)

(6,198,895)

1,257,037

(26.9)

Morgan

Stanley

(136,710)

(6,603,093)

(1,334,799)

28.6

WillScot

Corp.

(103,878)

(1,276,661)

100,199

(2.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56

months

maturity

01/13/2025

$14,562,419

$895,145

$503,732

$1,398,877

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Longevity

Acquisition

Corp.

125,000

1,343,750

25,000

1.8

United

States

Allegiance

Telecom,

Inc.

(a)

150,000

2

(149)

(0.0)

Far

Point

Acquisition

Corp.

50,000

512,000

(1,000)

(0.1)

Graf

Industrial

Corp.

27,801

386,434

98,138

7.0

LF

Capital

Acquisition

Corp.

140,000

1,498,000

29,400

2.1

Megalith

Financial

Acquisition

Corp.

128,300

1,404,320

12,265

0.9

Pure

Acquisition

Corp.

50,000

539,000

3,000

0.2

Spartan

Energy

Acquisition

Corp.

150,000

1,608,000

61,500

4.4

Tenzing

Acquisition

Corp.

150,000

1,612,500

(39,000)

(2.8)

47

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

NO.

OF

WARRANTS

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Warrants

Hong

Kong

New

Frontier

Health

Corp.,

expiring

7/25/2023

50,000

68,000

(500)

(0.0)

United

Kingdom

Leo

Holdings

Corp.,

expiring

4/5/2023

125,000

156,250

38,750

2.8

United

States

AdaptHealth

Corp.,

expiring

11/8/2024

33,334

162,003

(17,667)

(1.3)

Akazoo

SA,

expiring

12/31/2024

(a)

425,000

29,750

–

–

Akerna

Corp.,

expiring

8/1/2024

22,500

22,275

(8,775)

(0.6)

Altus

Midstream

Co.,

expiring

11/12/2023

125,000

3,750

2,738

0.2

American

Virtual

Cloud

Technologies,

Inc.,

expiring

8/8/2022

250,000

57,500

(7,500)

(0.5)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

250,000

79,475

2,350

0.2

Estre

Ambiental

,

Inc.,

expiring

12/22/2022

661,870

662

(1,853)

(0.1)

Exela

Technologies,

Inc.,

expiring

7/12/2022

930,354

14,886

(12,932)

(0.9)

Falcon

Minerals

Corp.,

expiring

8/23/2023

250,000

22,500

(17,500)

(1.3)

Far

Point

Acquisition

Corp.,

expiring

6/1/2025

33,333

16,666

(15,000)

(1.1)

Forum

Merger

II

Corp.,

expiring

9/30/2025

180,000

846,000

18,000

1.3

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023

122,980

264,407

179,551

12.8

Graf

Industrial

Corp.,

expiring

12/31/2025

198,000

451,440

332,640

23.8

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

90,000

144,000

(8,100)

(0.6)

Hycroft

Mining

Holding

Corp.,

expiring

2/12/2025

250,000

312,500

22,500

1.6

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

343,006

51,108

37,388

2.7

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

636,986

191,096

(31,849)

(2.3)

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

117,500

39,950

(7,050)

(0.5)

KBL

Merger

Corp.

IV,

expiring

1/15/2024

500,000

155,000

80,000

5.7

Legacy

Acquisition

Corp.,

expiring

11/30/2022

250,000

122,500

(10,000)

(0.7)

Leisure

Acquisition

Corp.,

expiring

12/28/2022

125,000

117,500

55,000

3.9

Limbach

Holdings,

Inc.,

expiring

7/20/2021

168,252

10,095

5,468

0.4

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

128,200

107,688

17,948

1.3

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

409,500

208,845

24,570

1.8

Nesco

Holdings,

Inc.,

expiring

1/1/2025

83,334

15,000

(833)

(0.1)

NextDecade

Corp.,

expiring

7/24/2022

547,771

11,448

(4,985)

(0.4)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

99,990

99,990

(64,994)

(4.6)

Purple

Innovation,

Inc.,

expiring

2/2/2023

200,000

730,000

148,000

10.6

Ranpak

Holdings

Corp.,

expiring

6/3/2024

110,000

170,500

5,500

0.4

Repay

Holdings

Corp.,

expiring

7/11/2024

162,000

529,740

(63,180)

(4.5)

Rimini

Street,

Inc.,

expiring

5/26/2022

471,690

94,338

23,585

1.7

Rosehill

Resources,

Inc.,

expiring

4/27/2022

244,800

15,031

2,791

0.2

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

286,625

60,191

(18,631)

(1.3)

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023

48,333

86,995

51,228

3.7

Verra

Mobility

Corp.,

expiring

10/17/2023

66,667

189,334

(50,667)

(3.6)

(a)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

48

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-2.47%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

03/17/2023

-

06/20/2025

$316,112,056

$3,512,190

$(2,307,371)

$1,204,819

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

France

AXA

SA,

7.25%,

5/15/2021

8,400,000

7,748,034

848,881

70.5

Germany

Deutsche

Bank

AG,

1.00%,

5/1/2023

3,375,000

3,374,926

(33,743)

(2.8)

United

States

Air

Transport

Services

Group,

Inc.,

1.13%,

10/15/2024

3,000,000

2,832,072

(59,841)

(5.0)

Akamai

Technologies,

Inc.,

0.38%,

9/1/2027

5,475,000

5,962,538

118,861

9.9

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

5,500,000

5,297,886

949,197

78.8

Bandwidth,

Inc.,

0.25%,

3/1/2026

4,700,000

7,007,940

2,099,814

174.3

Booking

Holdings,

Inc.,

0.90%,

9/15/2021

3,500,000

3,727,934

207,583

17.2

Carnival

Corp.,

5.75%,

4/1/2023

8,850,000

14,367,718

2,572,744

213.5

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,525,000

4,150,715

(911,901)

(75.7)

Cytokinetics,

Inc.,

4.00%,

11/15/2026

2,425,000

5,772,383

1,867,189

155.0

DISH

Network

Corp.,

3.38%,

8/15/2026

2,575,000

2,398,141

8,997

0.7

Granite

Construction,

Inc.,

2.75%,

11/1/2024

3,800,000

3,069,195

103,056

8.6

Infinera

Corp.,

2.13%,

9/1/2024

3,325,000

2,851,899

(84,079)

(7.0)

Lannett

Co.,

Inc.,

4.50%,

10/1/2026

4,400,000

3,023,764

(156,336)

(13.0)

Liberty

Interactive

LLC,

1.75%,

9/30/2046

4,000,000

6,042,544

169,856

14.1

Liberty

Media

Corp.,

2.25%,

12/1/2048

2,600,000

2,654,517

(407,875)

(33.9)

Liberty

Media

Corp.,

2.75%,

12/1/2049

2,775,000

2,600,716

150,313

12.5

Lumentum

Holdings,

Inc.,

0.25%,

3/15/2024

2,875,000

4,192,423

808,352

67.1

Lumentum

Holdings,

Inc.,

0.50%,

12/15/2026

3,175,000

3,342,383

70,326

5.8

Microchip

Technology,

Inc.,

1.63%,

2/15/2025

1,525,000

3,411,169

1,207,243

100.2

NRG

Energy,

Inc.,

2.75%,

6/1/2048

3,950,000

4,002,444

(121,816)

(10.1)

NuVasive

,

Inc.,

0.38%,

3/15/2025

5,000,000

4,383,925

(73,546)

(6.1)

Omeros

Corp.,

6.25%,

11/15/2023

2,250,000

2,349,097

57,924

4.8

OPKO

Health,

Inc.,

4.50%,

2/15/2025

5,075,000

5,375,927

1,475,790

122.5

Rapid7,

Inc.,

1.25%,

8/1/2023

4,675,000

6,306,799

494,743

41.1

Sarepta

Therapeutics,

Inc.,

1.50%,

11/15/2024

1,375,000

3,158,260

1,120,530

93.0

Snap,

Inc.,

0.75%,

8/1/2026

2,000,000

2,507,484

677,302

56.2

Square,

Inc.,

0.13%,

3/1/2025

6,850,000

7,762,646

1,669,062

138.5

Tesla,

Inc.,

2.00%,

5/15/2024

6,825,000

23,964,076

8,562,790

710.7

Wayfair,

Inc.,

1.00%,

8/15/2026

4,975,000

7,263,838

2,889,017

239.8

49

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Convertible

Preferred

Stock

United

States

Colfax

Corp.,

5.75%,

1/15/2022

40,000

4,880,400

376,400

31.2

NextEra

Energy,

Inc.,

5.28%,

3/1/2023

146,500

6,218,925

(139,175)

(11.6)

NextEra

Energy,

Inc.,

4.87%,

9/1/2022

56,425

2,738,870

(91,973)

(7.6)

Short

Positions

Common

Stocks

United

States

Akamai

Technologies,

Inc.

(28,746)

(3,078,409)

(167,067)

(13.9)

Atlas

Air

Worldwide

Holdings,

Inc.

(54,025)

(2,324,696)

(447,785)

(37.2)

Bandwidth,

Inc.

(43,888)

(5,573,776)

(1,889,829)

(156.9)

Carnival

Corp.

(752,250)

(12,351,945)

(2,550,772)

(211.7)

Charter

Communications,

Inc.

(9,909)

(5,053,986)

(152,191)

(12.6)

Colfax

Corp.

(152,812)

(4,263,455)

(365,453)

(30.3)

Cytokinetics,

Inc.

(216,054)

(5,092,393)

(1,755,950)

(145.7)

Equitable

Holdings,

Inc.

(321,097)

(6,193,961)

(913,719)

(75.8)

Lumentum

Holdings,

Inc.

(61,758)

(5,028,954)

(345,974)

(28.7)

Microchip

Technology,

Inc.

(31,338)

(3,300,205)

(911,291)

(75.6)

NextEra

Energy,

Inc.

(27,722)

(6,657,993)

11,332

0.9

OPKO

Health,

Inc.

(925,130)

(3,154,693)

(1,021,709)

(84.8)

Rapid7,

Inc.

(85,435)

(4,358,894)

(461,067)

(38.3)

Sarepta

Therapeutics,

Inc.

(16,856)

(2,702,691)

(1,020,538)

(84.7)

Square,

Inc.

(35,098)

(3,683,184)

(1,092,106)

(90.6)

Tesla,

Inc.

(20,927)

(22,597,184)

(7,980,767)

(662.4)

Wayfair,

Inc.

(28,815)

(5,694,132)

(1,884,747)

(156.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

10/30/2024

-

03/24/2025

$44,182,027

$2,600,915

$1,707,237

$4,308,152

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Greenvision

Acquisition

Corp.

150,000

1,492,500

7,500

0.2

United

States

Acamar

Partners

Acquisition

Corp.

150,000

1,537,500

96,000

2.2

AMCI

Acquisition

Corp.

100,000

1,022,000

22,000

0.5

Amplitude

Healthcare

Acquisition

Corp.

93,750

937,500

41,934

1.0

50

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Apex

Technology

Acquisition

Corp.

80,000

820,000

72,000

1.7

CF

Finance

Acquisition

Corp.

100,000

1,085,000

75,000

1.7

CHP

Merger

Corp.

148,700

1,481,052

83,272

1.9

Churchill

Capital

Corp.

II

50,000

565,000

81,385

1.9

CIIG

Merger

Corp.

89,500

886,050

32,605

0.8

Conyers

Park

II

Acquisition

Corp.

15,000

165,750

9,600

0.2

Crescent

Acquisition

Corp.

150,000

1,569,000

129,000

3.0

DiamondPeak

Holdings

Corp.

100,000

1,030,000

70,000

1.6

Experience

Investment

Corp.

50,000

498,500

13,500

0.3

FinServ

Acquisition

Corp.

50,000

497,500

31,000

0.7

FinTech

Acquisition

Corp.

III

50,000

558,000

68,000

1.6

GigCapital2,

Inc.

150,000

1,521,000

72,000

1.7

Gores

Metropoulos,

Inc.

99,999

1,068,989

92,999

2.2

Graf

Industrial

Corp.

25,559

355,270

96,332

2.2

GX

Acquisition

Corp.

150,000

1,530,000

115,500

2.7

Haymaker

Acquisition

Corp.

II

50,000

517,500

38,685

0.9

Healthcare

Merger

Corp.

150,000

1,503,000

108,000

2.5

Hennessy

Capital

Acquisition

Corp.

IV

50,000

537,500

39,500

0.9

Juniper

Industrial

Holdings,

Inc.

150,000

1,495,500

85,500

2.0

Legacy

Acquisition

Corp.

100,000

960,000

(34,000)

(0.8)

Megalith

Financial

Acquisition

Corp.

6,400

70,052

5,348

0.1

Merida

Merger

Corp.

I

100,000

979,000

34,000

0.8

Monocle

Acquisition

Corp.

150,000

1,543,500

58,500

1.4

New

Providence

Acquisition

Corp.

150,000

1,512,000

87,000

2.0

Osprey

Technology

Acquisition

Corp.

150,000

1,506,750

140,250

3.3

Pivotal

Investment

Corp.

II

150,000

1,522,500

60,000

1.4

PropTech

Acquisition

Corp.

100,000

1,010,000

83,000

1.9

Replay

Acquisition

Corp.

150,000

1,530,000

105,000

2.4

RMG

Acquisition

Corp.

150,000

1,534,500

91,500

2.1

Software

Acquisition

Group,

Inc.

102,516

1,028,235

38,956

0.9

South

Mountain

Merger

Corp.

150,000

1,528,500

103,500

2.4

Spartan

Energy

Acquisition

Corp.

89,998

964,779

65,699

1.5

Stable

Road

Acquisition

Corp.

125,000

1,243,750

35,000

0.8

Switchback

Energy

Acquisition

Corp.

50,000

502,350

16,350

0.4

Trine

Acquisition

Corp.

100,000

1,045,000

90,000

2.1

Tuscan

Holdings

Corp.

150,000

1,534,500

87,000

2.0

Tuscan

Holdings

Corp.

II

150,000

1,492,500

52,500

1.2

51

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(190,026)

$

–

$

(190,026)

Investment

Companies

274,162

–

274,162

BARC

Cash

–

3,247,423

3,247,423

CITG

Cash

–

1,661,311

1,661,311

Investment

Companies

–

226,632

226,632

CITI

Cash

(10,175)

–

(10,175)

DTBK

Cash

850,000

–

850,000

GSIN

Cash

57,120,545

–

57,120,545

JPMC

Investment

Companies

785,934

–

785,934

JPMS

Cash

–

374,338

374,338

MSIP

U.S.

Treasury

Bills

9,993

–

9,993

52

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

(a)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

June

30,

2020.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

97.5%

ALTERNATIVE

FUNDS

-

65.0%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

112,334

1,070,546

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

128,855

1,045,013

AQR

Global

Macro

Fund,

Class

R6

(a)

115,235

1,064,771

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

140,083

1,077,234

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

155,946

1,027,682

TOTAL

ALTERNATIVE

FUNDS

(Cost

$5,280,697)

5,285,246

ASSET

ALLOCATION

FUNDS

-

32.5%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$2,620,277)

295,555

2,642,259

TOTAL

INVESTMENT

COMPANIES

(Cost

$7,900,974)

7,927,505

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.2%

INVESTMENT

COMPANIES

-

1.2%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(b)

(Cost

$99,392)

99,391

99,411

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.7%

(Cost

$8,000,366)

8,026,916

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.3%

105,294

NET

ASSETS

-

100.0%

8,132,210

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

1,045,013

12.9

%

Event

Driven

1,070,546

13.2

Global

Flex

Allocation

2,642,259

32.5

Global

Macro

1,064,771

13.1

Managed

Futures

1,077,234

13.2

Multialternative

1,027,682

12.6

Short-Term

Investments

99,411

1.2

Total

Investments

In

Securities

At

Value

8,026,916

98.7

Other

Assets

in

Excess

of

Liabilities

105,294

1.3

Net

Assets

$

8,132,210

100.0%

Affiliate

Value

At

6/8/2020

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

97.5%

ALTERNATIVE

FUNDS

-

65.0%

AQR

Diversified

Arbitrage

Fund

$

–

$

1,061,901

$

(5,750)

$

10

$

14,385

$

1,070,546

112,334

$

–

$

–

AQR

Equity

Market

Neutral

Fund

–

1,061,901

(5,750)

(101)

(11,037)

1,045,013

128,855

–

–

AQR

Global

Macro

Fund

–

1,061,901

(5,750)

51

8,569

1,064,771

115,235

–

–

AQR

Managed

Futures

Strategy

HV

Fund

–

1,061,902

(5,750)

101

20,981

1,077,234

140,083

–

–

AQR

Style

Premia

Alternative

Fund

–

1,061,901

(5,750)

(120)

(28,349)

1,027,682

155,946

–

–

(59)

4,549

5,285,246

–

–

ASSET

ALLOCATION

FUNDS

-

32.5%

AQR

Multi-Asset

Fund

–

2,634,488

(14,266)

55

21,982

2,642,259

295,555

–

–

TOTAL

$(4)

$26,531

$7,927,505

$–

$–

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

5).

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found 

within

the

annual/semi-

annual

reports

for

the

AQR

Funds

as

well

as

on

Form

N-CSR

which

is

filed

with

the

Securities

and

Exchange

Commission.

53

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

102.9%

COMMON

STOCKS

-

7.5%

Belgium

-

1.3%

Ageas

SA/NV

(a)

18,431

653,190

bpost

SA

(a)

2,102

14,208

Proximus

SADP

(a)

4,141

84,382

Solvay

SA

(a)

3,151

252,792

UCB

SA

(a)

9,339

1,083,757

2,088,329

—

Italy

-

3.6%

A2A

SpA

(a)

607,601

863,666

Assicurazioni

Generali

SpA

(a)

21,302

323,583

Banca

Generali

SpA

12,839

386,052

Banco

BPM

SpA

174,903

261,972

BPER

Banca

*(a)

123,061

307,641

Buzzi

Unicem

SpA

(a)

9,118

197,019

DiaSorin

SpA

1,570

301,512

Enel

SpA

(a)

48,800

422,044

Ferrari

NV

919

157,420

Hera

SpA

*(a)

177,912

668,015

Italgas

SpA

(a)

110,020

640,277

Leonardo

SpA

(a)

3,713

24,752

Poste

Italiane

SpA

(a)(b)

43,369

378,839

Terna

Rete

Elettrica

Nazionale

SpA

(a)

38,054

262,480

Unipol

Gruppo

SpA

*(a)

92,133

359,916

5,555,188

—

Spain

-

2.6%

Acerinox

SA

(a)

20,307

165,101

Banco

Bilbao

Vizcaya

Argentaria

SA

(a)

27,754

95,556

Enagas

SA

(a)

26,710

653,422

Endesa

SA

(a)

52,874

1,311,605

Iberdrola

SA

(a)

12,793

149,354

Mapfre

SA

(a)

111,931

199,874

Naturgy

Energy

Group

SA

(a)

43,437

810,922

Red

Electrica

Corp.

SA

(a)

42,993

804,380

4,190,214

—

TOTAL

COMMON

STOCKS

(Cost

$11,309,807)

11,833,731

SHORT-TERM

INVESTMENTS

-

95.4%

INVESTMENT

COMPANIES

-

42.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(c)(d)

5,601,084

5,601,084

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(c)(e)

61,862,333

61,874,705

TOTAL

INVESTMENT

COMPANIES

(Cost

$67,447,516)

67,475,789

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.9%

U.S.

Treasury

Bills

0.40%,

9/10/2020

(f)

$

9,381,000

9,378,502

0.30%,

9/17/2020

(f)

27,261,000

27,252,435

0.08%,

9/24/2020

(f)

1,762,000

1,761,397

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

52.9%

(continued)

0.15%,

10/8/2020

(f)(g)

$

19,154,000

19,145,836

0.14%,

10/15/2020

(f)(g)

10,000,000

9,995,363

0.15%,

10/22/2020

(f)(g)

11,483,000

11,477,233

0.15%,

10/29/2020

(f)(g)

2,712,000

2,710,576

0.15%,

11/19/2020

(f)(g)

2,392,000

2,390,478

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$84,099,638)

84,111,820

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$151,547,154)

151,587,609

TOTAL

LONG

POSITIONS

(Cost

$162,856,961)

163,421,340

SHARES

SHORT

POSITIONS

-

(7.7)%

COMMON

STOCKS

-

(7.7)%

Belgium

-

(1.6)%

Anheuser-Busch

InBev

SA/NV

(20,987)

(1,034,585)

Umicore

SA

(31,969)

(1,509,068)

(2,543,653)

—

Italy

-

(2.8)%

Amplifon

SpA

*

(19,700)

(526,286)

Atlantia

SpA

*

(19,664)

(318,072)

Davide

Campari-Milano

SpA

(35,709)

(301,990)

Eni

SpA

(33,185)

(318,112)

FinecoBank

Banca

Fineco

SpA

*

(40,265)

(544,949)

Freni

Brembo

SpA

*

(45,085)

(418,744)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(34,632)

(250,088)

Pirelli

&

C

SpA

*(b)

(177,195)

(753,847)

Saipem

SpA

(109,787)

(275,468)

Salvatore

Ferragamo

SpA

*

(22,309)

(302,521)

Telecom

Italia

SpA

(932,595)

(367,756)

UniCredit

SpA

*

(6,296)

(58,107)

(4,435,940)

—

Luxembourg

-

(0.3)%

Tenaris

SA

(76,051)

(494,227)

Spain

-

(2.7)%

Aena

SME

SA

*(b)

(213)

(28,487)

Amadeus

IT

Group

SA

(4,938)

(259,256)

Banco

Santander

SA

(200,066)

(489,454)

Cellnex

Telecom

SA

(b)

(25,601)

(1,563,651)

Ferrovial

SA

(40,588)

(1,084,917)

Grifols

SA

(21,098)

(641,549)

Melia

Hotels

International

SA

(26,227)

(111,944)

Repsol

SA

(8,691)

(76,794)

(4,256,052)

—

54

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$10,454,611.

In

addition,

$2,976,892

of

cash

collateral

was

pledged.

(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

June

30,

2020

amounted

to

$(1,967,146),

which

represents

approximately

(1.24)%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(e)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(0.3)%

CNH

Industrial

NV

*

(64,023)

(449,801)

TOTAL

COMMON

STOCKS

(Proceeds$(12,995,066))

(12,179,673)

TOTAL

SHORT

POSITIONS

(Proceeds

$(12,995,066))

(12,179,673)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.2%

(Cost

$149,861,895)

151,241,667

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.8%

(h)

7,562,860

NET

ASSETS

-

100.0%

158,804,527

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(1,847,026)

(1.2)

%

Consumer

Discretionary

(1,429,637)

(0.9)

Consumer

Staples

(1,336,574)

(0.8)

Energy

(1,164,600)

(0.7)

Financials

1,624,025

1.0

Health

Care

217,435

0.1

Industrials

(1,842,317)

(1.1)

Information

Technology

(259,256)

(0.2)

Materials

(894,157)

(0.6)

Utilities

6,586,165

4.2

Short-Term

Investments

151,587,609

95.4

Total

Investments

In

Securities

At

Value

151,241,667

95.2

Other

Assets

in

Excess

of

Liabilities

(h)

7,562,860

4.8

Net

Assets

$

158,804,527

100.0%

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

39.0%

INVESTMENT

COMPANIES

-

39.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)^(a)

(Cost

$61,846,432)

$81,189,187

$181,769,765

$(201,087,132)

$(303)

$3,188

$61,874,705

61,862,333

$372,306

$–

^    No

longer

affiliated

as

of

June

30,

2020.

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

55

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

64,255

USD

46,791

CITI

9/16/2020

$

547

CAD

64,257

USD

46,792

JPMC

9/16/2020

547

DKK

1,217,000

USD

179,920

CITI

9/16/2020

3,881

DKK

1,217,000

USD

179,921

JPMC

9/16/2020

3,881

NOK

1,534,500

USD

155,585

CITI

9/16/2020

3,886

NOK

1,534,500

USD

155,585

JPMC

9/16/2020

3,886

USD

199,812

EUR

176,750

CITI

9/16/2020

892

USD

199,813

EUR

176,751

JPMC

9/16/2020

892

USD

137,518

SGD

191,500

CITI

9/16/2020

73

USD

137,518

SGD

191,500

JPMC

9/16/2020

73

Total

unrealized

appreciation

18,558

CAD

107,095

USD

79,524

CITI

9/16/2020

(627)

CAD

107,099

USD

79,527

JPMC

9/16/2020

(627)

EUR

676,999

USD

768,892

CITI

9/16/2020

(6,976)

EUR

677,001

USD

768,895

JPMC

9/16/2020

(6,978)

NOK

1,534,500

USD

161,722

CITI

9/16/2020

(2,252)

NOK

1,534,500

USD

161,723

JPMC

9/16/2020

(2,252)

USD

195,059

CHF

187,500

CITI

9/16/2020

(3,298)

USD

195,059

CHF

187,500

JPMC

9/16/2020

(3,298)

USD

182,705

EUR

163,249

CITI

9/16/2020

(1,020)

USD

182,706

EUR

163,250

JPMC

9/16/2020

(1,021)

USD

25,745

HKD

200,000

CITI

9/16/2020

(48)

USD

25,745

HKD

200,000

JPMC

9/16/2020

(48)

USD

315,798

NOK

3,070,500

CITI

9/16/2020

(3,299)

USD

315,798

NOK

3,070,500

JPMC

9/16/2020

(3,299)

USD

136,727

SEK

1,311,000

CITI

9/16/2020

(4,099)

USD

136,727

SEK

1,311,000

JPMC

9/16/2020

(4,098)

USD

134,913

SGD

191,500

CITI

9/16/2020

(2,531)

USD

134,913

SGD

191,500

JPMC

9/16/2020

(2,531)

Total

unrealized

depreciation

(48,302)

Net

unrealized

depreciation

$

(29,744)

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

04/22/2025

$450,977

$5,042

$(41)

$5,001

56

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.50%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

07/25/2022

$402,605

$(51,582)

$(299)

$(51,881)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.80%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/23/2025

-

06/12/2025

$20,263,521

$(399,943)

$(1,409)

$(401,352)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

49,065

731,488

(108,906)

27.1

Switzerland

Adecco

Group

AG

(Registered)

26,581

1,252,911

(14,901)

3.7

Bucher

Industries

AG

(Registered)

128

36,973

(97)

0.0

Credit

Suisse

Group

AG

(Registered)

76,427

795,213

5,012

(1.2)

DKSH

Holding

AG

300

19,328

676

(0.2)

dormakaba

Holding

AG

777

424,325

(32,860)

8.2

Flughafen

Zurich

AG

(Registered)

1,744

227,779

(8,182)

2.0

Geberit

AG

(Registered)

1,522

763,642

1,526

(0.4)

Helvetia

Holding

AG

(Registered)

5,451

510,595

(24,979)

6.2

Kuehne

+

Nagel

International

AG

(Registered)

272

45,307

3,393

(0.8)

LafargeHolcim

Ltd.

(Registered)

14,509

639,209

(2,433)

0.6

Logitech

International

SA

(Registered)

8,523

558,507

25,407

(6.3)

Nestle

SA

(Registered)

3,751

415,876

(11,377)

2.8

Novartis

AG

(Registered)

16,270

1,417,460

(44,023)

11.0

OC

Oerlikon

Corp.

AG

(Registered)

5,294

43,428

150

(0.0)

Roche

Holding

AG

6,064

2,100,870

(72,403)

18.0

SGS

SA

(Registered)

26

63,691

788

(0.2)

Sonova

Holding

AG

(Registered)

4,647

930,215

(73,204)

18.2

UBS

Group

AG

(Registered)

9,806

113,250

3,757

(0.9)

57

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(40,303)

(914,190)

(44,193)

11.0

Alcon,

Inc.

(6,631)

(381,012)

26,267

(6.5)

Chocoladefabriken

Lindt

&

Spruengli

AG

(6)

(49,556)

(729)

0.2

Clariant

AG

(Registered)

(33,371)

(656,771)

(10,208)

2.5

Dufry

AG

(Registered)

(10,691)

(320,233)

66,097

(16.5)

EMS-

Chemie

Holding

AG

(Registered)

(89)

(69,144)

(2,771)

0.7

Idorsia

Ltd.

(13,442)

(432,045)

(6,764)

1.7

Julius

Baer

Group

Ltd.

(6,479)

(272,102)

7,164

(1.8)

Lonza

Group

AG

(Registered)

(1,121)

(593,791)

(8,142)

2.0

Partners

Group

Holding

AG

(70)

(63,748)

(2,493)

0.6

Sika

AG

(Registered)

(3,888)

(749,499)

1,803

(0.4)

Straumann

Holding

AG

(Registered)

(952)

(822,991)

(30,586)

7.6

Swiss

Re

AG

(13,106)

(1,016,168)

14,857

(3.7)

Temenos

AG

(Registered)

(13,960)

(2,169,718)

(74,490)

18.6

Vifor

Pharma

AG

(4,379)

(662,486)

16,901

(4.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/24/2025

-

06/12/2025

$12,744,766

$(181,952)

$(802)

$(182,754)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

181

212,133

(11,633)

6.4

Carlsberg

A/S

15,275

2,025,590

(39,104)

21.4

Coloplast

A/S

2,628

409,621

(9,874)

5.4

Demant

A/S

608

16,113

(1,389)

0.8

FLSmidth

&

Co.

A/S

18,432

536,130

7,901

(4.3)

Genmab

A/S

717

241,767

15,652

(8.6)

GN

Store

Nord

A/S

15,717

841,337

(24,816)

13.6

H

Lundbeck

A/S

11,578

437,468

(13,742)

7.5

Novo

Nordisk

A/S

21,979

1,431,882

(42,555)

23.3

Pandora

A/S

16,894

922,657

(21,764)

11.9

ROCKWOOL

International

A/S

1,906

518,726

(510)

0.3

58

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Chr

Hansen

Holding

A/S

(15,435)

(1,592,050)

(34,707)

19.0

DSV

Panalpina

A/S

(13,535)

(1,662,571)

(94,952)

52.0

ISS

A/S

(38,896)

(617,610)

118,700

(65.0)

Novozymes

A/S

(11,536)

(668,810)

(11,648)

6.4

Orsted

A/S

(4,968)

(574,245)

(16,051)

8.8

Tryg

A/S

(1,241)

(36,056)

(1,460)

0.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/23/2025

-

06/11/2025

$21,471,712

$321,404

$4,130

$325,534

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Galapagos

NV

1,626

320,936

(13,801)

(4.2)

Finland

Fortum

OYJ

38,021

725,370

(18,897)

(5.8)

Kesko

OYJ

35,044

599,861

10,605

3.3

Kone

OYJ

8,702

600,172

8,643

2.7

Nokia

OYJ

14,429

63,053

(619)

(0.2)

Orion

OYJ

10,865

526,892

(6,439)

(2.0)

Stora

Enso

OYJ

1,925

23,041

(1,333)

(0.4)

UPM-

Kymmene

OYJ

21,638

626,738

(20,173)

(6.2)

Luxembourg

Aperam

SA

1,430

40,089

(1,648)

(0.5)

Netherlands

Aalberts

NV

3,942

129,261

3,745

1.2

Aegon

NV

102,340

302,514

(3,481)

(1.1)

ASM

International

NV

5,408

832,544

91,014

28.0

ASR

Nederland

NV

41,947

1,290,599

14,712

4.5

Koninklijke

Ahold

Delhaize

NV

66,606

1,815,285

34,536

10.6

Koninklijke

Philips

NV

4,682

218,733

(2,191)

(0.7)

NN

Group

NV

20,065

674,340

(9,209)

(2.8)

Randstad

NV

20,551

918,939

10,574

3.2

Signify

NV

35,811

920,700

40,583

12.5

Wolters

Kluwer

NV

4,822

376,908

7,656

2.4

59

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Prosus

NV

(3,389)

(315,982)

(12,490)

(3.8)

Finland

Elisa

OYJ

(336)

(20,446)

(438)

(0.1)

Huhtamaki

OYJ

(7,669)

(303,392)

3,527

1.1

Neste

OYJ

(5,474)

(214,997)

(1,154)

(0.4)

Nokian

Renkaat

OYJ

(35,937)

(789,946)

25,349

7.8

Sampo

OYJ

(14,726)

(507,602)

229

0.1

Wartsila

OYJ

Abp

(2,524)

(20,937)

158

0.0

Luxembourg

ArcelorMittal

SA

(20,557)

(217,737)

12,294

3.8

Netherlands

Adyen

NV

(520)

(757,639)

(9,855)

(3.0)

Akzo

Nobel

NV

(4,133)

(371,311)

(10,825)

(3.3)

Altice

Europe

NV

(101,244)

(391,564)

30,482

9.4

ASML

Holding

NV

(662)

(242,168)

(2,776)

(0.9)

Boskalis

Westminster

(15,001)

(296,222)

(6,203)

(1.9)

Heineken

NV

(15,926)

(1,468,502)

41,847

12.9

Just

Eat

Takeaway.com

NV

(4,267)

(446,008)

(26,637)

(8.2)

Koninklijke

DSM

NV

(6,334)

(879,273)

(23,547)

(7.2)

Koninklijke

KPN

NV

(45,458)

(120,914)

(3,643)

(1.1)

Koninklijke

Vopak

NV

(12,176)

(644,504)

22,588

6.9

OCI

NV

(37,172)

(390,471)

62,285

19.1

SBM

Offshore

NV

(72,685)

(1,071,052)

32,120

9.9

United

Kingdom

Unilever

NV

(18,663)

(995,070)

43,816

13.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/24/2025

-

06/12/2025

$3,864,985

$64,106

$(344)

$63,762

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

Leroy

Seafood

Group

ASA

64,916

391,777

7,454

11.7

Orkla

ASA

57,897

508,312

2,876

4.5

Salmar

ASA

11,406

546,409

18,347

28.8

Yara

International

ASA

25,065

873,824

(43,815)

(68.7)

60

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Norway

Equinor

ASA

(37,648)

(542,345)

17,937

28.1

Mowi

ASA

(2,893)

(55,145)

446

0.7

Norsk

Hydro

ASA

(79,235)

(221,057)

1,486

2.3

Schibsted

ASA

(3,920)

(102,658)

5,890

9.2

United

Kingdom

Subsea

7

SA

(97,768)

(623,458)

53,485

83.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/24/2025

-

06/12/2025

$11,033,240

$59,080

$7,445

$66,525

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

3,083

68,012

2,188

3.3

Assa

Abloy

AB

5,988

122,559

(4,902)

(7.4)

Axfood

AB

18,505

404,557

283

0.4

Electrolux

AB

16,876

283,937

(6,415)

(9.6)

Essity

AB

35,415

1,148,204

6,632

10.0

Getinge

AB

58,456

1,089,291

(48,133)

(72.4)

Hennes

&

Mauritz

AB

29,581

431,773

(32,735)

(49.2)

Sandvik

AB

16,041

301,984

29,825

44.8

Securitas

AB

21,272

287,645

6,524

9.8

Skanska

AB

27,240

556,112

9,266

13.9

SKF

AB

2,667

49,856

607

0.9

Swedbank

AB

5,662

72,705

(1,146)

(1.7)

Swedish

Match

AB

543

38,312

744

1.1

Swedish

Orphan

Biovitrum

AB

24,088

558,520

15,868

23.9

Telefonaktiebolaget

LM

Ericsson

80,851

749,453

(2,332)

(3.5)

Trelleborg

AB

15,791

231,682

8,127

12.2

Volvo

AB

7,704

121,222

(755)

(1.1)

61

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(9,439)

(248,485)

1,238

1.9

Sweden

AAK

AB

(6,447)

(111,276)

4,344

6.5

Atlas

Copco

AB

(20,493)

(872,704)

2,552

3.8

BillerudKorsnas

AB

(20,653)

(296,430)

8,926

13.4

Elekta

AB

(34,622)

(322,517)

7,273

10.9

Hexagon

AB

(3,420)

(200,841)

(2,391)

(3.6)

Nibe

Industrier

AB

(5,957)

(132,125)

938

1.4

Saab

AB

(27,388)

(688,379)

8,109

12.2

SSAB

AB

(93,193)

(258,090)

4,334

6.5

Svenska

Cellulosa

AB

SCA

(51,552)

(616,623)

25,211

37.9

Svenska

Handelsbanken

AB

(50,377)

(478,346)

18,887

28.4

Tele2

AB

(18,216)

(242,489)

(2,148)

(3.2)

Telia

Co.

AB

(13,127)

(49,111)

(1,839)

(2.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.75%

to

0.30%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

05/25/2021

-

07/26/2021

$23,120,079

$7,237

$372,286

$379,523

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Atco

Ltd.

19,201

569,552

20,173

5.3

Bank

of

Nova

Scotia

(The)

4,926

203,847

623

0.2

Canadian

Imperial

Bank

of

Commerce

3,684

246,233

(6,161)

(1.6)

Canadian

Utilities

Ltd.

13,127

326,821

10,230

2.7

Cenovus

Energy,

Inc.

74,452

348,240

525

0.1

CGI,

Inc.

3,878

244,317

(2,770)

(0.7)

CI

Financial

Corp.

37,001

470,689

3,020

0.8

Cogeco

Communications,

Inc.

3,547

255,548

(2,282)

(0.6)

Empire

Co.

Ltd.

32,076

768,113

(5,352)

(1.4)

Finning

International,

Inc.

22,594

308,055

(4,772)

(1.3)

George

Weston

Ltd.

4,119

301,734

2,195

0.6

iA

Financial

Corp.,

Inc.

14,676

491,434

(6,878)

(1.8)

Kinross

Gold

Corp.

55,342

399,493

27,173

7.2

Linamar

Corp.

14,863

401,791

(20,442)

(5.4)

Loblaw

Cos.

Ltd.

4,886

237,930

(1,890)

(0.5)

62

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Magna

International,

Inc.

10,974

488,721

6,923

1.8

Manulife

Financial

Corp.

20,374

277,186

(870)

(0.2)

Onex

Corp.

6,555

296,124

2,822

0.7

Open

Text

Corp.

5,164

219,287

(4,809)

(1.3)

TFI

International,

Inc.

8,795

312,191

14,359

3.8

Thomson

Reuters

Corp.

3,674

249,624

1,706

0.4

Tourmaline

Oil

Corp.

24,432

213,618

(3,634)

(1.0)

Yamana

Gold,

Inc.

43,773

237,953

10,597

2.8

United

States

BRP,

Inc.

8,876

378,551

31,193

8.2

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(5,508)

(242,253)

(8,710)

(2.3)

Canada

Agnico

Eagle

Mines

Ltd.

(2,934)

(187,870)

(6,034)

(1.6)

Algonquin

Power

&

Utilities

Corp.

(19,431)

(251,189)

3,695

1.0

AltaGas

Ltd.

(22,710)

(261,794)

(1,357)

(0.4)

Brookfield

Asset

Management,

Inc.

(14,068)

(462,992)

11,832

3.1

Cameco

Corp.

(44,369)

(454,933)

(11,377)

(3.0)

Canada

Goose

Holdings,

Inc.

(13,624)

(316,314)

(1,104)

(0.3)

Dollarama,

Inc.

(13,925)

(463,209)

2,656

0.7

Element

Fleet

Management

Corp.

(66,864)

(498,919)

(7,440)

(2.0)

Emera,

Inc.

(8,257)

(324,903)

(663)

(0.2)

Enbridge,

Inc.

(11,615)

(353,173)

866

0.2

Franco-Nevada

Corp.

(2,442)

(341,135)

(5,766)

(1.5)

Innergex

Renewable

Energy,

Inc.

(13,999)

(196,951)

1,206

0.3

Intact

Financial

Corp.

(3,484)

(331,591)

3,015

0.8

Inter

Pipeline

Ltd.

(22,103)

(205,791)

(2,591)

(0.7)

Metro,

Inc.

(5,366)

(221,344)

1,072

0.3

Pembina

Pipeline

Corp.

(7,752)

(193,800)

(2,568)

(0.7)

Premium

Brands

Holdings

Corp.

(4,036)

(257,453)

3,660

1.0

Restaurant

Brands

International,

Inc.

(10,122)

(550,909)

(3,744)

(1.0)

Rogers

Communications,

Inc.

(4,973)

(199,821)

2,894

0.8

Royal

Bank

of

Canada

(4,534)

(307,621)

3,521

0.9

Saputo,

Inc.

(16,615)

(396,161)

5,354

1.4

SNC-Lavalin

Group,

Inc.

(31,930)

(538,831)

(20,949)

(5.5)

TC

Energy

Corp.

(12,132)

(518,309)

4,932

1.3

TMX

Group

Ltd.

(3,117)

(308,187)

(9,763)

(2.6)

WSP

Global,

Inc.

(3,368)

(206,555)

(1,343)

(0.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.35%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

04/18/2022

-

06/09/2022

$3,515,342

$(36,749)

$(95,154)

$(131,903)

63

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

43,800

129,550

1,320

(1.0)

Yangzijiang

Shipbuilding

Holdings

Ltd.

961,100

647,007

(4,711)

3.6

Singapore

ComfortDelGro

Corp.

Ltd.

378,100

397,349

(17,458)

13.2

Genting

Singapore

Ltd.

863,700

475,184

7,257

(5.5)

Singapore

Press

Holdings

Ltd.

75,400

69,086

(2,333)

1.8

Singapore

Telecommunications

Ltd.

30,100

53,545

(20)

0.0

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(97,400)

(205,772)

(5,882)

4.5

City

Developments

Ltd.

(50,800)

(310,443)

(4,971)

3.8

DBS

Group

Holdings

Ltd.

(20,500)

(308,460)

(4,108)

3.1

Jardine

Cycle

&

Carriage

Ltd.

(10,800)

(157,610)

641

(0.5)

Oversea-Chinese

Banking

Corp.

Ltd.

(22,000)

(143,391)

(2,261)

1.7

Singapore

Technologies

Engineering

Ltd.

(159,000)

(379,493)

(2,985)

2.3

United

Overseas

Bank

Ltd.

(12,400)

(181,187)

(828)

0.6

Venture

Corp.

Ltd.

(4,900)

(57,265)

(410)

0.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-1.35%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-73

months

maturity

10/14/2020

$16,998,590

$(243,613)

$432,835

$189,222

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

48,747

576,685

(6,807)

(3.6)

Ansell

Ltd.

6,602

167,823

5,367

2.8

Aurizon

Holdings

Ltd.

395,448

1,345,661

38,463

20.3

Australia

&

New

Zealand

Banking

Group

Ltd.

15,709

203,827

(3,810)

(2.0)

Bank

of

Queensland

Ltd.

55,718

239,417

(4,281)

(2.3)

64

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Beach

Energy

Ltd.

156,167

166,837

(8,192)

(4.3)

Bendigo

&

Adelaide

Bank

Ltd.

40,233

196,485

(1,757)

(0.9)

BlueScope

Steel

Ltd.

82,378

678,618

(31,054)

(16.4)

Boral

Ltd.

65,617

174,450

3,779

2.0

CIMIC

Group

Ltd.

33,631

565,156

(31,042)

(16.4)

Flight

Centre

Travel

Group

Ltd.

47,161

368,663

(77,876)

(41.2)

Fortescue

Metals

Group

Ltd.

91,081

885,460

(32,889)

(17.4)

Harvey

Norman

Holdings

Ltd.

118,579

291,501

(7,787)

(4.1)

Incitec

Pivot

Ltd.

107,238

139,797

(8,881)

(4.7)

JB

Hi-Fi

Ltd.

8,371

250,456

8,950

4.7

Qantas

Airways

Ltd.

100,822

267,168

(46,943)

(24.8)

South32

Ltd.

133,436

188,909

220

0.1

Star

Entertainment

Grp

Ltd.

(The)

62,354

123,893

(15,835)

(8.4)

Telstra

Corp.

Ltd.

113,877

247,185

(6,615)

(3.5)

Woolworths

Group

Ltd.

8,278

213,380

2,318

1.2

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(416,916)

(475,197)

723

0.4

APA

Group

(35,705)

(276,083)

6,780

3.6

Atlas

Arteria

Ltd.

(48,210)

(222,634)

4,597

2.4

AusNet

Services

(145,820)

(168,477)

4,607

2.4

Cochlear

Ltd.

(2,336)

(306,691)

8,793

4.6

Commonwealth

Bank

of

Australia

(6,710)

(324,055)

(1,850)

(1.0)

CSL

Ltd.

(777)

(154,537)

(561)

(0.3)

Domino's

Pizza

Enterprises

Ltd.

(3,766)

(180,538)

(13,645)

(7.2)

Iluka

Resources

Ltd.

(29,465)

(176,025)

(1,641)

(0.9)

Insurance

Australia

Group

Ltd.

(56,093)

(225,121)

7,875

4.2

Magellan

Financial

Group

Ltd.

(6,866)

(280,377)

(7,946)

(4.2)

Medibank

Pvt

Ltd.

(153,384)

(318,004)

595

0.3

Newcrest

Mining

Ltd.

(10,135)

(224,734)

(12,496)

(6.6)

NEXTDC

Ltd.

(21,939)

(150,902)

(6,879)

(3.6)

Oil

Search

Ltd.

(180,549)

(400,126)

27,078

14.3

Orora

Ltd.

(73,020)

(129,104)

42,855

22.6

Qube

Holdings

Ltd.

(78,164)

(158,566)

(8,147)

(4.3)

Ramsay

Health

Care

Ltd.

(7,790)

(359,761)

239

0.1

REA

Group

Ltd.

(2,460)

(185,370)

(2,315)

(1.2)

Saracen

Mineral

Holdings

Ltd.

(89,946)

(342,572)

(55,659)

(29.4)

SEEK

Ltd.

(46,968)

(718,558)

(36,440)

(19.3)

Seven

Group

Holdings

Ltd.

(35,277)

(424,305)

3,615

1.9

Sonic

Healthcare

Ltd.

(16,937)

(357,655)

(17,612)

(9.3)

Spark

Infrastructure

Group

(129,985)

(194,139)

(3,025)

(1.6)

Sydney

Airport

(61,125)

(241,235)

22,277

11.8

Transurban

Group

(46,042)

(451,521)

17,350

9.2

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(10,570)

(143,571)

542

0.3

Wesfarmers

Ltd.

(4,779)

(148,590)

(6,395)

(3.4)

WiseTech

Global

Ltd.

(23,287)

(315,026)

43,760

23.1

United

States

James

Hardie

Industries

plc

(21,153)

(407,589)

(10,020)

(5.3)

65

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-85

months

maturity

10/13/2021

$49,586,423

$(299,854)

$71,904

$(227,950)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Bouygues

SA

16,285

557,835

37,333

(16.4)

Carrefour

SA

29,982

464,963

(15,816)

6.9

Cie

de

Saint-Gobain

12,914

465,950

5,882

(2.6)

Eutelsat

Communications

SA

50,302

465,310

(75,546)

33.1

Orange

SA

65,434

782,458

2,082

(0.9)

Peugeot

SA

66,555

1,091,445

71,709

(31.5)

Sanofi

8,927

910,417

(29,541)

13.0

Germany

Aurubis

AG

14,555

899,774

24,750

(10.9)

BASF

SE

7,907

444,131

(26,657)

11.7

Bayer

AG

(Registered)

17,348

1,285,896

(59,099)

25.9

Brenntag

AG

10,135

537,359

5,027

(2.2)

Covestro

AG

12,676

482,807

13,556

(5.9)

Deutsche

Post

AG

(Registered)

15,319

562,512

25,974

(11.4)

Evonik

Industries

AG

24,578

626,002

(13,100)

5.7

Fresenius

Medical

Care

AG

&

Co.

KGaA

16,057

1,381,382

(4,657)

2.0

HeidelbergCement

AG

25,898

1,386,366

(57,511)

25.2

HOCHTIEF

AG

11,371

1,011,785

621

(0.3)

HUGO

BOSS

AG

34,412

1,042,885

(76,436)

33.5

ProSiebenSat.1

Media

SE

57,515

687,316

27,732

(12.2)

Rheinmetall

AG

11,571

1,005,489

23,465

(10.3)

Software

AG

15,646

631,946

17,418

(7.6)

United

Kingdom

Dialog

Semiconductor

plc

18,512

846,159

54,257

(23.8)

Short

Positions

Common

Stocks

France

Edenred

(12,090)

(530,245)

8,549

(3.8)

Kering

SA

(848)

(463,618)

19,521

(8.6)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(1,243)

(548,779)

(19,347)

8.5

Orpea

(6,462)

(746,383)

16,162

(7.1)

Remy

Cointreau

SA

(5,109)

(697,000)

(20,117)

8.8

Renault

SA

(36,072)

(923,214)

(34,019)

14.9

SEB

SA

(3,655)

(606,290)

(51,051)

22.4

66

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

adidas

AG

(3,862)

(1,018,223)

29,024

(12.7)

Allianz

SE

(Registered)

(2,415)

(493,487)

2,393

(1.0)

Beiersdorf

AG

(6,130)

(697,068)

(6,605)

2.9

Carl

Zeiss

Meditec

AG

(5,429)

(528,634)

29,176

(12.8)

CTS

Eventim

AG

&

Co.

KGaA

(14,241)

(594,648)

37,718

(16.5)

Daimler

AG

(Registered)

(28,085)

(1,142,607)

25,058

(11.0)

Delivery

Hero

SE

(5,114)

(525,552)

(9,050)

4.0

Deutsche

Bank

AG

(Registered)

(68,789)

(656,254)

(4,342)

1.9

E.ON

SE

(51,632)

(582,805)

(7,992)

3.5

FUCHS

PETROLUB

SE

(Preference)

(11,755)

(472,478)

1,160

(0.5)

Hannover

Rueck

SE

(4,364)

(754,205)

12,036

(5.3)

Merck

KGaA

(4,132)

(481,163)

(3,491)

1.5

MTU

Aero

Engines

AG

(3,044)

(529,962)

22,983

(10.1)

Puma

SE

(9,555)

(740,847)

264

(0.1)

Rational

AG

(812)

(455,035)

(2,345)

1.0

Sartorius

AG

(Preference)

(3,891)

(1,284,217)

19,250

(8.4)

Siemens

AG

(Registered)

(4,388)

(517,509)

(12,768)

5.6

Symrise

AG

(7,983)

(932,787)

(62,696)

27.5

United

Internet

AG

(Registered)

(18,490)

(785,586)

(35,551)

15.6

Zalando

SE

(12,808)

(908,607)

(42,205)

18.5

Luxembourg

Eurofins

Scientific

SE

(718)

(452,868)

15,358

(6.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-1.59%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

17-85

months

maturity

10/13/2021

$68,437,349

$(319,061)

$(94,238)

$(413,299)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

238,805

846,106

(32,414)

7.8

South

Africa

Anglo

American

plc

41,479

956,224

24,341

(5.9)

Investec

plc

257,878

517,453

(13,702)

3.3

Switzerland

Coca-Cola

HBC

AG

24,324

608,905

(29,071)

7.0

United

Kingdom

Avast

plc

80,034

523,091

24,893

(6.0)

Aviva

plc

751,775

2,548,048

(44,377)

10.7

BAE

Systems

plc

109,317

653,657

(32,673)

7.9

Barclays

plc

613,888

866,072

(42,079)

10.2

67

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Bellway

plc

28,844

908,477

(47,516)

11.5

BT

Group

plc

1,286,116

1,818,890

(64,549)

15.6

Centrica

plc

1,409,783

669,859

(79,183)

19.2

Inchcape

plc

91,394

555,420

(9,461)

2.3

Kingfisher

plc

440,568

1,212,085

33,708

(8.2)

M&G

plc

598,762

1,243,297

63,202

(15.3)

Marks

&

Spencer

Group

plc

705,901

865,624

(111,843)

27.1

Meggitt

plc

150,297

547,435

(47,092)

11.4

Micro

Focus

International

plc

94,596

504,674

(40,569)

9.8

Royal

Bank

of

Scotland

Group

plc

435,200

653,342

(8,788)

2.1

Royal

Mail

plc

499,451

1,125,671

22,065

(5.3)

Sage

Group

plc

(The)

84,158

698,590

(9,781)

2.4

Tate

&

Lyle

plc

133,508

1,103,674

(78,498)

19.0

Taylor

Wimpey

plc

324,717

573,128

(37,812)

9.1

WPP

plc

64,179

500,360

(9,803)

2.4

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(29,184)

(827,628)

6,919

(1.7)

AstraZeneca

plc

(8,845)

(920,538)

20,968

(5.1)

Beazley

plc

(152,895)

(775,125)

25,732

(6.2)

BP

plc

(156,764)

(600,570)

14,791

(3.6)

Burberry

Group

plc

(52,631)

(1,039,994)

2,682

(0.6)

Croda

International

plc

(27,564)

(1,790,305)

(30,397)

7.4

Diageo

plc

(23,446)

(779,283)

45,620

(11.0)

DS

Smith

plc

(231,157)

(938,375)

20,619

(5.0)

Experian

plc

(20,774)

(729,144)

(2,739)

0.7

Halma

plc

(35,272)

(1,004,906)

(17,102)

4.1

Hargreaves

Lansdown

plc

(60,151)

(1,213,012)

38,145

(9.2)

Hiscox

Ltd.

(116,650)

(1,138,590)

52,386

(12.7)

HSBC

Holdings

plc

(353,532)

(1,643,071)

30,582

(7.4)

InterContinental

Hotels

Group

plc

(19,761)

(872,352)

87,579

(21.2)

Intertek

Group

plc

(12,072)

(813,062)

(11,983)

2.9

Johnson

Matthey

plc

(23,186)

(603,854)

12,167

(2.9)

Lloyds

Banking

Group

plc

(1,669,348)

(643,968)

29,750

(7.2)

Ocado

Group

plc

(76,680)

(1,926,996)

(26,456)

6.4

Prudential

plc

(43,037)

(648,484)

(20,141)

4.9

Reckitt

Benckiser

Group

plc

(9,297)

(855,309)

(31,758)

7.7

Rentokil

Initial

plc

(127,805)

(808,133)

(15,006)

3.6

Rolls-Royce

Holdings

plc

(256,305)

(904,914)

150,154

(36.3)

Severn

Trent

plc

(49,328)

(1,509,624)

3,551

(0.9)

Spirax-Sarco

Engineering

plc

(11,749)

(1,446,418)

10,968

(2.7)

St

James's

Place

plc

(136,548)

(1,605,594)

(22,850)

5.5

Tesco

plc

(387,129)

(1,088,864)

138

(0.0)

Weir

Group

plc

(The)

(47,515)

(624,407)

(7,769)

1.9

68

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-4.00%

to

0.45%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-73

months

maturity

10/15/2020

$9,094,070

$(130,837)

$19,876

$(110,961)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

18,000

57,634

1,547

(1.4)

Minth

Group

Ltd.

8,000

22,964

1,856

(1.7)

Hong

Kong

ASM

Pacific

Technology

Ltd.

3,500

36,988

545

(0.5)

CK

Asset

Holdings

Ltd.

69,500

416,777

(10,957)

9.9

CLP

Holdings

Ltd.

39,000

383,028

(3,927)

3.5

Henderson

Land

Development

Co.

Ltd.

72,050

274,777

(6,432)

5.8

Hysan

Development

Co.

Ltd.

135,000

435,812

(1,386)

1.2

Kerry

Properties

Ltd.

157,000

407,828

(20,603)

18.6

Melco

International

Development

Ltd.

45,000

87,736

(5,858)

5.3

New

World

Development

Co.

Ltd.

44,250

210,103

(1,141)

1.0

NWS

Holdings

Ltd.

84,000

73,067

(5,508)

5.0

Sun

Hung

Kai

Properties

Ltd.

19,500

249,117

(3,234)

2.9

WH

Group

Ltd.

782,000

675,800

(18,369)

16.6

Yue

Yuen

Industrial

Holdings

Ltd.

214,500

326,956

(9,580)

8.6

United

Kingdom

CK

Hutchison

Holdings

Ltd.

90,500

586,041

(25,234)

22.7

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(92,000)

(269,324)

1,910

(1.7)

Hong

Kong

AIA

Group

Ltd.

(74,200)

(694,334)

(5,994)

5.4

Hang

Lung

Properties

Ltd.

(74,000)

(175,919)

(2,913)

2.6

Hang

Seng

Bank

Ltd.

(34,200)

(576,006)

12,196

(11.0)

Hong

Kong

&

China

Gas

Co.

Ltd.

(323,400)

(502,618)

9,781

(8.8)

MTR

Corp.

Ltd.

(163,949)

(852,658)

(13,946)

12.6

Swire

Properties

Ltd.

(73,600)

(187,913)

(2,358)

2.1

Techtronic

Industries

Co.

Ltd.

(46,000)

(455,150)

(3,785)

3.4

Wharf

Real

Estate

Investment

Co.

Ltd.

(136,000)

(652,883)

(22,936)

20.7

Wheelock

&

Co.

Ltd.

(12,000)

(100,267)

(4,273)

3.9

Macau

Galaxy

Entertainment

Group

Ltd.

(22,000)

(150,914)

(1,040)

0.9

Sands

China

Ltd.

(18,800)

(74,058)

2,957

(2.7)

SJM

Holdings

Ltd.

(42,000)

(47,088)

1,467

(1.3)

69

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Macau

(continued)

Wynn

Macau

Ltd.

(63,600)

(110,310)

6,378

(5.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

plus

or

minus

a

specified

spread

(-1.50%

to

0.45%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-73

months

maturity

10/15/2020

$143,478,403

$(11,517)

$171,355

$159,838

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Alfresa

Holdings

Corp.

43,000

901,338

(3,584)

(2.2)

Calbee

,

Inc.

29,300

809,842

(2,997)

(1.9)

Electric

Power

Development

Co.

Ltd.

39,900

756,363

(3,470)

(2.2)

Fujitsu

Ltd.

11,000

1,287,917

43,222

27.0

Koito

Manufacturing

Co.

Ltd.

22,700

918,433

(19,479)

(12.2)

Medipal

Holdings

Corp.

44,800

864,668

(16,937)

(10.6)

Nintendo

Co.

Ltd.

1,800

804,724

(7,990)

(5.0)

Nippon

Express

Co.

Ltd.

20,500

1,062,997

(29,066)

(18.2)

Obayashi

Corp.

164,500

1,546,541

(1,669)

(1.0)

ORIX

Corp.

87,500

1,086,510

(68,003)

(42.5)

Otsuka

Corp.

20,600

1,088,003

33,338

20.9

Pola

Orbis

Holdings,

Inc.

54,600

953,237

(75,644)

(47.3)

SCSK

Corp.

19,500

954,033

394

0.2

Sekisui

House

Ltd.

56,100

1,071,070

(6,366)

(4.0)

Shimamura

Co.

Ltd.

13,100

887,290

(18,750)

(11.7)

Shimizu

Corp.

135,200

1,113,790

14,417

9.0

Sugi

Holdings

Co.

Ltd.

15,700

1,064,683

34,003

21.3

Sundrug

Co.

Ltd.

29,900

989,563

3,674

2.3

Suzuken

Co.

Ltd.

20,500

765,874

654

0.4

Taiheiyo

Cement

Corp.

35,000

813,195

(8,452)

(5.3)

Teijin

Ltd.

58,200

926,639

(23,928)

(15.0)

Tosoh

Corp.

71,800

986,310

(16,886)

(10.6)

70

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(34,700)

(807,279)

(21,841)

(13.7)

Asahi

Intecc

Co.

Ltd.

(40,100)

(1,144,468)

1,243

0.8

Chiba

Bank

Ltd.

(The)

(163,600)

(773,460)

20,536

12.8

CyberAgent

,

Inc.

(21,700)

(1,066,635)

(27,939)

(17.5)

Daiichi

Sankyo

Co.

Ltd.

(11,300)

(924,245)

15,673

9.8

Fast

Retailing

Co.

Ltd.

(1,400)

(804,681)

10,520

6.6

Japan

Airport

Terminal

Co.

Ltd.

(21,300)

(908,914)

22,132

13.8

Kansai

Paint

Co.

Ltd.

(41,900)

(885,420)

(28,384)

(17.8)

Keio

Corp.

(23,200)

(1,327,739)

8,442

5.3

Keyence

Corp.

(2,600)

(1,089,560)

(19,058)

(11.9)

Kikkoman

Corp.

(39,200)

(1,893,267)

12,744

8.0

Kintetsu

Group

Holdings

Co.

Ltd.

(23,300)

(1,045,459)

40,063

25.1

M3,

Inc.

(23,600)

(1,002,555)

(42,342)

(26.5)

NGK

Spark

Plug

Co.

Ltd.

(53,000)

(761,764)

56,585

35.4

Nidec

Corp.

(18,800)

(1,266,533)

(81,934)

(51.3)

Nippon

Paint

Holdings

Co.

Ltd.

(26,100)

(1,903,652)

20,649

12.9

Nissan

Chemical

Corp.

(19,500)

(1,003,252)

(2,577)

(1.6)

Odakyu

Electric

Railway

Co.

Ltd.

(65,500)

(1,608,534)

(35,658)

(22.3)

Oriental

Land

Co.

Ltd.

(8,000)

(1,057,169)

66,026

41.3

Rakuten

,

Inc.

(121,200)

(1,070,560)

(1,083)

(0.7)

Seven

Bank

Ltd.

(306,900)

(841,162)

38

0.0

Shiseido

Co.

Ltd.

(24,300)

(1,548,411)

21,295

13.3

Sony

Financial

Holdings,

Inc.

(36,000)

(869,217)

(4,328)

(2.7)

Suzuki

Motor

Corp.

(30,900)

(1,055,115)

18,322

11.5

Tokio

Marine

Holdings,

Inc.

(20,100)

(879,838)

19,180

12.0

Toyota

Motor

Corp.

(22,100)

(1,389,738)

31,779

19.9

Yamaha

Corp.

(22,100)

(1,042,348)

57,370

35.9

Yaskawa

Electric

Corp.

(28,000)

(973,366)

10,962

6.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-11.13%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-61

months

maturity

10/15/2020

$280,475,732

$997,561

$55,290

$1,052,851

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

71

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Activision

Blizzard,

Inc.

11,238

852,964

4,158

0.4

Adobe,

Inc.

2,184

950,717

47,655

4.5

Alexion

Pharmaceuticals,

Inc.

7,049

791,180

(23,121)

(2.2)

Allstate

Corp.

(The)

8,563

830,525

(8,220)

(0.8)

Alphabet,

Inc.

645

914,642

(22,246)

(2.1)

Amazon.com,

Inc.

676

1,864,962

79,660

7.6

Arrow

Electronics,

Inc.

14,708

1,010,293

30,298

2.9

Avnet,

Inc.

31,048

865,773

19,383

1.8

Bank

of

New

York

Mellon

Corp.

(The)

23,365

903,057

(1,869)

(0.2)

Best

Buy

Co.,

Inc.

12,254

1,069,407

49,384

4.7

Biogen,

Inc.

3,001

802,918

(41,744)

(4.0)

Bio-Rad

Laboratories,

Inc.

1,687

761,664

(6,748)

(0.6)

Deckers

Outdoor

Corp.

6,743

1,324,258

(12,572)

(1.2)

eBay,

Inc.

15,906

834,270

63,942

6.1

Electronic

Arts,

Inc.

6,432

849,346

25,342

2.4

Facebook,

Inc.

7,337

1,666,013

(62,071)

(5.9)

Hologic

,

Inc.

15,759

898,263

68,709

6.5

HP,

Inc.

50,002

871,535

30,431

2.9

Intel

Corp.

18,733

1,120,795

(12,364)

(1.2)

International

Paper

Co.

31,358

1,104,115

1,826

0.2

Johnson

Controls

International

plc

26,400

901,296

(29,304)

(2.8)

Microsoft

Corp.

7,988

1,625,638

74,049

7.0

NorthWestern

Corp.

14,117

769,659

(19,481)

(1.9)

Qurate

Retail,

Inc.

84,899

806,540

6,361

0.6

Regal

Beloit

Corp.

10,561

922,187

32,422

3.1

Schneider

National,

Inc.

32,634

805,081

26,434

2.5

Short

Positions

Common

Stocks

United

States

Amcor

plc

(89,496)

(913,754)

5,370

0.5

Boeing

Co.

(The)

(5,123)

(939,046)

47,337

4.5

CenterPoint

Energy,

Inc.

(44,588)

(832,458)

(9,363)

(0.9)

Charter

Communications,

Inc.

(2,086)

(1,063,943)

50,460

4.8

Commerce

Bancshares,

Inc.

(20,311)

(1,207,895)

35,138

3.3

Cree,

Inc.

(13,731)

(812,738)

23,617

2.2

Dominion

Energy,

Inc.

(9,625)

(781,358)

28,586

2.7

Equifax,

Inc.

(4,701)

(808,008)

(6,628)

(0.6)

Erie

Indemnity

Co.

(4,113)

(789,285)

(35,906)

(3.4)

Eversource

Energy

(11,544)

(961,269)

20,317

1.9

First

Financial

Bankshares

,

Inc.

(32,101)

(927,398)

60,992

5.8

First

Republic

Bank

(8,278)

(877,385)

35,927

3.4

Five

Below,

Inc.

(8,200)

(876,662)

43,844

4.2

GCI

Liberty,

Inc.

(12,531)

(891,205)

(32,330)

(3.1)

Hess

Corp.

(15,763)

(816,681)

(22,068)

(2.1)

II-VI,

Inc.

(23,349)

(1,102,540)

24,392

2.3

Ingersoll

Rand,

Inc.

(38,281)

(1,076,461)

54,742

5.2

McCormick

&

Co.,

Inc.

(Non-Voting)

(5,873)

(1,053,675)

(30,951)

(2.9)

New

York

Times

Co.

(The)

(19,462)

(817,988)

14,596

1.4

PNM

Resources,

Inc.

(28,233)

(1,085,277)

4,800

0.5

Splunk

,

Inc.

(3,922)

(779,301)

(58,392)

(5.5)

Trex

Co.,

Inc.

(6,213)

(808,125)

(59,893)

(5.7)

Visa,

Inc.

(4,693)

(906,547)

1,830

0.2

Xcel

Energy,

Inc.

(14,635)

(914,688)

20,343

1.9

72

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

Jun

e

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Cash

$

(91,077)

$

–

$

(91,077)

Investment

Companies

54,083

–

54,083

JPMC

Investment

Companies

5,547,001

–

5,547,001

MLIN

Cash

119,984

–

119,984

MSIP

U.S.

Treasury

Bills

34,287,383

–

34,287,383

73

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

89.5%

INVESTMENT

COMPANIES

-

44.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(a)(b)

605,836

605,836

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)

10,710,775

10,712,917

TOTAL

INVESTMENT

COMPANIES

(Cost

$11,315,263)

11,318,753

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

44.8%

U.S.

Treasury

Bills

0.29%,

10/15/2020

(c)

$

780,000

779,638

0.15%,

10/22/2020

(c)(d)

1,560,000

1,559,217

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

44.8%

(continued)

0.15%,

10/29/2020

(c)

$

2,411,000

2,409,734

0.13%,

11/5/2020

(c)

2,620,000

2,618,521

0.16%,

11/12/2020

(c)

2,017,000

2,015,818

0.15%,

11/19/2020

(c)

906,000

905,423

0.17%,

12/3/2020

(c)

759,000

758,494

0.18%,

12/24/2020

(c)

279,000

278,775

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$11,325,727)

11,325,620

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$22,640,990)

22,644,373

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

89.5%

(Cost

$22,640,990)

22,644,373

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

10.5%

(e)

2,650,476

NET

ASSETS

-

100.0%

25,294,849

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

June

30,

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

BA

Quarterly

1.75%

Semi-Annually

9/14/2022

CAD

6,100,000

$

88,701

$

17,646

$

106,347

Pay

3

Month

BA

Quarterly

0.75%

Semi-Annually

9/14/2022

CAD

5,500,000

8,353

6,628

14,981

Pay

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

31,300,000

289,464

13,707

303,171

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

9/08/2022

AUD

4,500,000

(2,259)

21,034

18,775

Pay

3

Month

BBR

Quarterly

0.50%

Semi-Annually

9/14/2022

NZD

700,000

(810)

3,461

2,651

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

1,500,000

4,951

898

5,849

Pay

3

Month

BBR

Quarterly

1.00%

Semi-Annually

9/11/2030

NZD

800,000

(7,828)

20,126

12,298

Pay

3

Month

BBR

Quarterly

1.00%

Semi-Annually

12/11/2030

NZD

500,000

5,139

1,685

6,824

Pay

3

Month

LIBOR

Quarterly

0.50%

Semi-Annually

9/16/2022

USD

1,400,000

3,325

4,902

8,227

Pay

3

Month

LIBOR

Quarterly

1.50%

Semi-Annually

9/16/2022

USD

2,800,000

55,880

16,566

72,446

Pay

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

3,400,000

33,590

3,643

37,233

Pay

3

Month

STIBOR

Quarterly

0.50%

Annually

9/18/2030

SEK

7,300,000

10,121

5,306

15,427

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2030

EUR

2,500,000

75,116

42,831

117,947

Pay

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

23,300,000

114,744

221,115

335,859

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

9/21/2022

CHF

600,000

1,060

641

1,701

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

1,172,200,000

9,982

(3,878)

6,104

74

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

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

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

38,400,000

$

236,579

$

91,840

$

328,419

Pay

6

Month

NIBOR

Semi-Annually

1.50%

Annually

9/21/2022

NOK

44,700,000

24,899

70,339

95,238

Pay

6

Month

NIBOR

Semi-Annually

1.00%

Annually

12/18/2030

NOK

2,100,000

3,653

(2,361)

1,292

Receive

3

Month

BBR

Quarterly

0.00%

Semi-Annually

12/14/2022

NZD

22,200,000

57,704

(2,847)

54,857

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

41,800,000

148,770

(61,848)

86,922

Receive

6

Month

LIBOR

Semi-Annually

1.00%

Annually

9/21/2022

CHF

100,000

871

(72)

799

Receive

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/21/2022

NOK

10,300,000

(2,751)

2,755

4

1,159,254

474,117

1,633,371

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

6,700,000

(118,630)

38,045

(80,585)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

63,700,000

(2,476)

(1,303)

(3,779)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

64,900,000

(1,651)

(2,665)

(4,316)

Receive

3

Month

BA

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

1,200,000

(70,301)

(12,614)

(82,915)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

3,400,000

(101,549)

(4,619)

(106,168)

Receive

3

Month

BBR

Quarterly

1.00%

Semi-Annually

9/14/2022

NZD

7,900,000

(44,795)

(35,856)

(80,651)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

700,000

(19,737)

(2,645)

(22,382)

Receive

3

Month

STIBOR

Quarterly

0.00%

Annually

9/21/2022

SEK

80,100,000

1,061

(4,454)

(3,393)

Receive

3

Month

STIBOR

Quarterly

0.00%

Annually

12/21/2022

SEK

22,500,000

2,675

(3,584)

(909)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

9/12/2030

AUD

200,000

(755)

(604)

(1,359)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

300,000

(895)

(424)

(1,319)

Receive

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

9/16/2022

EUR

25,600,000

(40,666)

(44,989)

(85,655)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

4,664,200,000

(36,779)

8,948

(27,831)

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CHF

11,100,000

(22,373)

(7,724)

(30,097)

Receive

6

Month

LIBOR

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

2,300,000

(139,358)

(39,015)

(178,373)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

9/18/2030

CHF

100,000

(841)

(2,347)

(3,188)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

5,700,000

(213,056)

(47,659)

(260,715)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

12/18/2030

CHF

200,000

(3,615)

(2,323)

(5,938)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

9/21/2022

NOK

8,000,000

(10,156)

1,479

(8,677)

(823,897)

(164,353)

(988,250)

$

335,357

$

309,764

$

645,121

75

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

(a)

Floating

rate

indices

at

June

30,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.10%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.56%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.30%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

0.06%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.16%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.31)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.37%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.48%

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

BIST

30

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/31/2020

TRY

834,210

$

716

Corn

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

102,450

2,988

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/12/2020

BRL

476,710

1,075

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

USD

(123,300)

1,399

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(207,130)

1,714

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

(88,770)

736

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

11/20/2020

USD

(29,590)

321

Soybean

Oil

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

11/20/2020

USD

(69,144)

96

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

TWD

11,470,000

4,736

Tel

Aviv

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2020

ILS

(134,240)

1,564

Wheat

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

(73,763)

2,536

WIG20

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

09/18/2020

PLN

(385,880)

1,283

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.88%)

Monthly

GSIN

09/16/2020

CAD

(26,164)

376

76

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

JPMC

09/16/2020

USD

(142,728)

$

8,892

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

GSIN

09/16/2020

EUR

(86,960)

2,946

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

94

–

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

156,991

4,115

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

270

6

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

104,591

–

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

109,833

98

77

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Monthly

GSIN

09/16/2020

EUR

(120,884)

$

55

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

(-0.25%)

Monthly

GSIN

09/16/2020

CHF

(46,841)

407

36,059

Corn

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

(102,450)

(2,145)

DTOP

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

09/17/2020

ZAR

(309,870)

(607)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

482,400

(735)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/10/2020

KRW

702,000,000

(17,408)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

10/23/2020

USD

(44,113)

(295)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

10/23/2020

USD

(44,113)

(275)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

09/18/2020

CHF

200,160

(1,333)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

AUD

11,970

(122)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

09/18/2020

EUR

291

(11)

78

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

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

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(0.02%)

Monthly

GSIN

09/16/2020

ZAR

(5,162,081)

$

(1,127)

(24,058)

$

12,001

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

8

7/2020

EUR

$

1,005,847

$

(4,667)

HSCEI

1

7/2020

HKD

62,241

(666)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,738

2,035

LME

Aluminum

Base

Metal

1

7/2020

USD

39,924

2,746

LME

Aluminum

Base

Metal

1

7/2020

USD

39,952

2,132

LME

Aluminum

Base

Metal

1

7/2020

USD

40,056

2,878

LME

Aluminum

Base

Metal

1

7/2020

USD

40,048

2,631

LME

Aluminum

Base

Metal

2

7/2020

USD

79,525

6,169

LME

Aluminum

Base

Metal

2

7/2020

USD

80,088

5,574

LME

Aluminum

Base

Metal

5

7/2020

USD

200,171

11,952

LME

Aluminum

Base

Metal

6

7/2020

USD

239,063

12,095

LME

Copper

Base

Metal

1

7/2020

USD

150,212

21,549

LME

Copper

Base

Metal

1

7/2020

USD

150,173

24,520

LME

Copper

Base

Metal

1

7/2020

USD

150,203

21,232

LME

Copper

Base

Metal

1

7/2020

USD

150,201

21,026

LME

Lead

Base

Metal

1

7/2020

USD

44,170

3,311

LME

Nickel

Base

Metal

1

7/2020

USD

76,551

7,494

LME

Zinc

Base

Metal

1

7/2020

USD

50,964

3,249

LME

Zinc

Base

Metal

1

7/2020

USD

50,958

2,956

LME

Zinc

Base

Metal

1

7/2020

USD

50,960

2,032

LME

Zinc

Base

Metal

2

7/2020

USD

101,934

6,368

LME

Zinc

Base

Metal

2

7/2020

USD

101,913

5,958

LME

Zinc

Base

Metal

3

7/2020

USD

152,843

6,586

MSCI

Taiwan

Index

23

7/2020

USD

995,210

(1,567)

100

oz

Gold

10

8/2020

USD

1,800,500

17,931

LME

Aluminum

Base

Metal

1

8/2020

USD

40,153

3,050

LME

Aluminum

Base

Metal

1

8/2020

USD

40,199

3,283

LME

Aluminum

Base

Metal

1

8/2020

USD

40,091

3,124

LME

Aluminum

Base

Metal

1

8/2020

USD

40,200

2,902

LME

Aluminum

Base

Metal

1

8/2020

USD

40,108

3,015

LME

Aluminum

Base

Metal

1

8/2020

USD

40,115

2,974

LME

Aluminum

Base

Metal

1

8/2020

USD

40,146

2,842

LME

Aluminum

Base

Metal

2

8/2020

USD

80,322

6,558

LME

Aluminum

Base

Metal

2

8/2020

USD

80,388

4,876

LME

Aluminum

Base

Metal

2

8/2020

USD

80,337

6,730

LME

Aluminum

Base

Metal

4

8/2020

USD

160,925

8,287

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,623

79

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

8/2020

USD

$

150,319

$

14,856

LME

Copper

Base

Metal

2

8/2020

USD

300,744

33,563

LME

Nickel

Base

Metal

1

8/2020

USD

76,692

(321)

LME

Nickel

Base

Metal

1

8/2020

USD

76,686

4,464

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

611

LME

Zinc

Base

Metal

1

8/2020

USD

51,034

696

LME

Zinc

Base

Metal

1

8/2020

USD

51,030

2,489

LME

Zinc

Base

Metal

1

8/2020

USD

51,026

3,289

LME

Zinc

Base

Metal

1

8/2020

USD

51,022

3,648

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

2,147

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

1,550

LME

Zinc

Base

Metal

1

8/2020

USD

51,076

2,673

LME

Zinc

Base

Metal

2

8/2020

USD

102,100

1,135

Australia

10

Year

Bond

6

9/2020

AUD

616,073

1,821

Canada

10

Year

Bond

18

9/2020

CAD

2,039,452

20,541

Copper

2

9/2020

USD

136,425

2,465

Corn

3

9/2020

USD

51,225

2,636

DAX

Index

1

9/2020

EUR

346,192

(4,674)

EURO

STOXX

50

Index

31

9/2020

EUR

1,122,523

1,639

FTSE/MIB

Index

21

9/2020

EUR

2,275,475

(23,851)

KOSPI

200

Index

9

9/2020

KRW

525,253

(13,586)

LME

Aluminum

Base

Metal

1

9/2020

USD

40,444

816

LME

Aluminum

Base

Metal

1

9/2020

USD

40,437

503

LME

Aluminum

Base

Metal

1

9/2020

USD

40,394

382

LME

Aluminum

Base

Metal

1

9/2020

USD

40,430

758

LME

Aluminum

Base

Metal

1

9/2020

USD

40,325

295

LME

Aluminum

Base

Metal

2

9/2020

USD

80,671

866

LME

Aluminum

Base

Metal

2

9/2020

USD

80,903

2,466

LME

Aluminum

Base

Metal

8

9/2020

USD

323,200

12,933

LME

Copper

Base

Metal

1

9/2020

USD

150,371

2,817

LME

Copper

Base

Metal

1

9/2020

USD

150,369

2,992

LME

Copper

Base

Metal

1

9/2020

USD

150,376

3,593

LME

Copper

Base

Metal

1

9/2020

USD

150,402

14,885

LME

Copper

Base

Metal

1

9/2020

USD

150,374

1,158

LME

Copper

Base

Metal

1

9/2020

USD

150,381

3,638

LME

Copper

Base

Metal

1

9/2020

USD

150,410

12,944

LME

Copper

Base

Metal

2

9/2020

USD

300,925

16,918

LME

Copper

Base

Metal

2

9/2020

USD

300,850

20,594

LME

Copper

Base

Metal

9

9/2020

USD

1,354,275

62,148

LME

Nickel

Base

Metal

1

9/2020

USD

76,806

(951)

LME

Zinc

Base

Metal

1

9/2020

USD

51,127

594

LME

Zinc

Base

Metal

1

9/2020

USD

51,110

801

LME

Zinc

Base

Metal

1

9/2020

USD

51,125

641

LME

Zinc

Base

Metal

1

9/2020

USD

51,188

(596)

LME

Zinc

Base

Metal

1

9/2020

USD

51,156

1,991

LME

Zinc

Base

Metal

2

9/2020

USD

102,300

2,138

LME

Zinc

Base

Metal

3

9/2020

USD

153,418

2,309

Long

Gilt

37

9/2020

GBP

6,310,339

30,817

MEX

BOLSA

Index

1

9/2020

MXN

16,593

(140)

S&P

500

E-Mini

Index

17

9/2020

USD

2,626,670

884

S&P/TSX

60

Index

1

9/2020

CAD

136,786

2,376

Silver

1

9/2020

USD

93,185

3,602

SPI

200

Index

4

9/2020

AUD

406,607

2,140

U.S.

Treasury

10

Year

Note

19

9/2020

USD

2,644,266

(839)

WTI

Crude

Oil

3

5/2021

USD

120,870

20,273

80

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

WTI

Crude

Oil

3

11/2021

USD

$

122,490

$

17,003

554,328

Short

Contracts

Brent

Crude

Oil

(3)

7/2020

USD

(123,810)

(7,031)

CAC

40

10

Euro

Index

(43)

7/2020

EUR

(2,373,736)

5,976

FTSE

Bursa

Malaysia

KLCI

Index

(1)

7/2020

MYR

(17,445)

(204)

Hang

Seng

Index

(1)

7/2020

HKD

(156,422)

177

IBEX

35

Index

(13)

7/2020

EUR

(1,053,027)

24,048

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,056)

(2,939)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,952)

(2,248)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,924)

(2,807)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,738)

(2,274)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,048)

(2,525)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,525)

(6,426)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(80,088)

(5,526)

LME

Aluminum

Base

Metal

(5)

7/2020

USD

(200,171)

(12,053)

LME

Aluminum

Base

Metal

(6)

7/2020

USD

(239,063)

(12,598)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,212)

(21,772)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,203)

(21,398)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,201)

(21,054)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,173)

(24,811)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,170)

(3,428)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,551)

(7,404)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,960)

(2,179)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,958)

(2,933)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,964)

(3,580)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,934)

(6,839)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,913)

(5,920)

LME

Zinc

Base

Metal

(3)

7/2020

USD

(152,843)

(6,780)

MSCI

Singapore

Index

(23)

7/2020

SGD

(488,271)

4,824

Natural

Gas

(17)

7/2020

USD

(297,670)

12,278

OMXS30

Index

(24)

7/2020

SEK

(429,160)

(965)

SGX

NIFTY

50

Index

(17)

7/2020

USD

(349,350)

2,136

WTI

Crude

Oil

(3)

7/2020

USD

(117,810)

(14,566)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,115)

(2,916)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,091)

(3,257)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,200)

(2,997)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,199)

(3,161)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,153)

(3,104)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,146)

(2,867)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,108)

(3,135)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,388)

(5,091)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,337)

(6,786)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,322)

(6,408)

LME

Aluminum

Base

Metal

(4)

8/2020

USD

(160,925)

(8,422)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(20,188)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,319)

(14,528)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,744)

(33,964)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,686)

(4,211)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,692)

(135)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(1,528)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,022)

(3,528)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,026)

(3,278)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(2,395)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,034)

(912)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(840)

81

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

8/2020

USD

$

(51,076)

$

(2,807)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,030)

(2,532)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,100)

(1,561)

Euro-Bund

(77)

9/2020

EUR

(15,270,658)

(138,969)

FTSE

100

Index

(21)

9/2020

GBP

(1,599,647)

14,675

FTSE/JSE

Top

40

Index

(4)

9/2020

ZAR

(115,930)

873

Japan

10

Year

Bond

(1)

9/2020

JPY

(1,407,270)

1,476

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,430)

(643)

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,394)

(354)

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,437)

(508)

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,444)

(804)

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,325)

(509)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,671)

(1,027)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,903)

(2,574)

LME

Aluminum

Base

Metal

(36)

9/2020

USD

(1,454,400)

(62,857)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,374)

(1,452)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,402)

(15,030)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,369)

(3,125)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,371)

(3,549)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,376)

(3,754)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,381)

(3,759)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,410)

(13,363)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,925)

(18,330)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,850)

(19,264)

LME

Copper

Base

Metal

(7)

9/2020

USD

(1,053,325)

(87,607)

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,338)

(3,022)

LME

Nickel

Base

Metal

(6)

9/2020

USD

(460,836)

(8,424)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,127)

(1,067)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,110)

(1,037)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,188)

421

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,125)

(538)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,156)

(1,838)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,418)

(2,799)

LME

Zinc

Base

Metal

(14)

9/2020

USD

(716,100)

(15,475)

SET50

Index

(6)

9/2020

THB

(34,034)

(157)

Wheat

(6)

9/2020

USD

(147,525)

7,402

Soybean

(15)

11/2020

USD

(661,688)

(4,579)

Soybean

Meal

(5)

12/2020

USD

(147,950)

1,113

(681,826)

$

(127,498)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,358,750

USD

913,286

CITI

9/16/2020

$

24,632

AUD

1,358,750

USD

913,287

JPMC

9/16/2020

24,632

BRL

7,000

USD

1,282

CITI

**

9/16/2020

1

BRL

6,998

USD

1,282

JPMC

**

9/16/2020

1

CAD

186,000

USD

136,319

CITI

9/16/2020

708

CAD

186,000

USD

136,319

JPMC

9/16/2020

708

CHF

2,750,500

USD

2,859,741

CITI

9/16/2020

50,023

82

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

2,750,500

USD

2,859,744

JPMC

9/16/2020

$

50,019

CNY

372,500

USD

52,390

CITI

**

9/16/2020

70

CNY

372,500

USD

52,390

JPMC

**

9/16/2020

69

COP

55,000,000

USD

14,498

CITI

**

9/16/2020

43

COP

55,000,000

USD

14,498

JPMC

**

9/16/2020

43

EUR

2,746,029

USD

3,071,506

CITI

9/16/2020

18,959

EUR

2,746,031

USD

3,071,512

JPMC

9/16/2020

18,955

HUF

277,250

USD

872

CITI

9/16/2020

7

HUF

277,250

USD

872

JPMC

9/16/2020

7

ILS

25,000

USD

7,145

CITI

9/16/2020

87

ILS

25,000

USD

7,145

JPMC

9/16/2020

87

INR

2,486,000

USD

32,552

CITI

**

9/16/2020

83

INR

2,486,000

USD

32,552

JPMC

**

9/16/2020

83

JPY

142,894,752

USD

1,316,525

CITI

9/16/2020

8,262

JPY

142,894,748

USD

1,316,527

JPMC

9/16/2020

8,261

KRW

602,958,500

USD

490,802

CITI

**

9/16/2020

12,091

KRW

602,958,500

USD

490,803

JPMC

**

9/16/2020

12,090

NZD

2,995,500

USD

1,858,878

CITI

9/16/2020

73,979

NZD

2,995,500

USD

1,858,880

JPMC

9/16/2020

73,977

PHP

4,700,000

USD

92,661

CITI

**

9/16/2020

1,429

PHP

4,700,000

USD

92,661

JPMC

**

9/16/2020

1,429

PLN

60,504

USD

15,048

CITI

9/16/2020

249

PLN

60,496

USD

15,046

JPMC

9/16/2020

249

SGD

228,886

USD

162,048

CITI

9/16/2020

2,230

SGD

228,887

USD

162,049

JPMC

9/16/2020

2,229

THB

2,223,000

USD

69,846

CITI

9/16/2020

2,068

THB

2,223,000

USD

69,846

JPMC

9/16/2020

2,068

TWD

13,050,000

USD

442,071

CITI

**

9/16/2020

6,479

TWD

13,050,000

USD

442,071

JPMC

**

9/16/2020

6,478

USD

65,081

AUD

93,500

CITI

9/16/2020

539

USD

65,080

AUD

93,500

JPMC

9/16/2020

539

USD

620,307

BRL

3,298,751

CITI

**

9/16/2020

15,717

USD

620,306

BRL

3,298,750

JPMC

**

9/16/2020

15,716

USD

1,576,370

CAD

2,123,336

CITI

9/16/2020

12,088

USD

1,576,363

CAD

2,123,330

JPMC

9/16/2020

12,087

USD

291,988

CHF

275,500

CITI

9/16/2020

536

USD

291,988

CHF

275,500

JPMC

9/16/2020

535

USD

394,282

CLP

319,500,000

CITI

**

9/16/2020

4,857

USD

394,282

CLP

319,500,000

JPMC

**

9/16/2020

4,856

USD

72,002

COP

270,000,000

CITI

**

9/16/2020

616

USD

72,002

COP

270,000,000

JPMC

**

9/16/2020

616

USD

6,415

CZK

150,000

CITI

9/16/2020

89

USD

6,415

CZK

150,000

JPMC

9/16/2020

89

USD

2,416,873

EUR

2,137,765

CITI

9/16/2020

10,967

USD

2,416,871

EUR

2,137,766

JPMC

9/16/2020

10,964

USD

2,104,162

GBP

1,676,128

CITI

9/16/2020

26,330

USD

2,104,153

GBP

1,676,123

JPMC

9/16/2020

26,328

USD

108,884

HUF

33,558,000

CITI

9/16/2020

2,459

USD

108,884

HUF

33,558,000

JPMC

9/16/2020

2,459

USD

8,690

IDR

125,000,000

CITI

**

9/16/2020

210

USD

8,690

IDR

125,000,000

JPMC

**

9/16/2020

210

USD

73,237

INR

5,571,000

CITI

**

9/16/2020

102

USD

73,237

INR

5,570,999

JPMC

**

9/16/2020

103

USD

516,294

JPY

55,089,500

CITI

9/16/2020

5,555

USD

516,293

JPY

55,089,500

JPMC

9/16/2020

5,555

USD

14,852

KRW

17,788,000

CITI

**

9/16/2020

16

USD

14,852

KRW

17,788,000

JPMC

**

9/16/2020

16

USD

192,182

NOK

1,829,501

CITI

9/16/2020

2,054

83

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

192,182

NOK

1,829,500

JPMC

9/16/2020

$

2,054

USD

334,884

PLN

1,314,500

CITI

9/16/2020

2,549

USD

334,884

PLN

1,314,500

JPMC

9/16/2020

2,548

USD

57,870

SEK

538,000

CITI

9/16/2020

79

USD

57,870

SEK

538,000

JPMC

9/16/2020

79

USD

249,726

SGD

347,272

CITI

9/16/2020

480

USD

249,727

SGD

347,274

JPMC

9/16/2020

480

USD

164,087

ZAR

2,840,500

CITI

9/16/2020

1,698

USD

164,087

ZAR

2,840,500

JPMC

9/16/2020

1,698

ZAR

1,135,750

USD

64,224

CITI

9/16/2020

705

ZAR

1,135,750

USD

64,224

JPMC

9/16/2020

705

MXN

3,922,500

USD

168,063

CITI

9/17/2020

837

MXN

3,922,500

USD

168,063

JPMC

9/17/2020

837

USD

997,058

MXN

22,395,532

CITI

9/17/2020

32,725

USD

997,056

MXN

22,395,529

JPMC

9/17/2020

32,724

Total

unrealized

appreciation

645,191

AUD

219,750

USD

153,240

CITI

9/16/2020

(1,550)

AUD

219,750

USD

153,240

JPMC

9/16/2020

(1,551)

BRL

1,428,000

USD

280,731

CITI

**

9/16/2020

(19,009)

BRL

1,428,002

USD

280,732

JPMC

**

9/16/2020

(19,010)

CAD

490,000

USD

362,512

CITI

9/16/2020

(1,524)

CAD

490,000

USD

362,513

JPMC

9/16/2020

(1,525)

CLP

167,000,000

USD

212,364

CITI

**

9/16/2020

(8,815)

CLP

167,000,000

USD

212,364

JPMC

**

9/16/2020

(8,815)

CNY

2,226,346

USD

313,971

CITI

**

9/16/2020

(433)

CNY

2,226,353

USD

313,972

JPMC

**

9/16/2020

(433)

COP

934,857,410

USD

248,507

CITI

**

9/16/2020

(1,338)

COP

934,857,410

USD

248,507

JPMC

**

9/16/2020

(1,338)

EUR

305,000

USD

344,194

CITI

9/16/2020

(937)

EUR

305,000

USD

344,194

JPMC

9/16/2020

(938)

HUF

277,250

USD

883

CITI

9/16/2020

(4)

HUF

277,250

USD

883

JPMC

9/16/2020

(4)

IDR

75,000,000

USD

5,122

CITI

**

9/16/2020

(35)

IDR

75,000,000

USD

5,122

JPMC

**

9/16/2020

(35)

ILS

90,000

USD

26,308

CITI

9/16/2020

(272)

ILS

90,000

USD

26,308

JPMC

9/16/2020

(272)

INR

3,664,001

USD

48,116

CITI

**

9/16/2020

(16)

INR

3,663,999

USD

48,116

JPMC

**

9/16/2020

(17)

JPY

340,815,752

USD

3,176,380

CITI

9/16/2020

(16,653)

JPY

340,815,748

USD

3,176,384

JPMC

9/16/2020

(16,657)

KRW

159,777,000

USD

133,850

CITI

**

9/16/2020

(590)

KRW

159,777,000

USD

133,850

JPMC

**

9/16/2020

(590)

NOK

5,992,000

USD

634,038

CITI

9/16/2020

(11,329)

NOK

5,992,000

USD

634,039

JPMC

9/16/2020

(11,330)

NZD

205,500

USD

133,479

CITI

9/16/2020

(880)

NZD

205,500

USD

133,479

JPMC

9/16/2020

(880)

PLN

7,504

USD

1,914

CITI

9/16/2020

(17)

PLN

7,496

USD

1,912

JPMC

9/16/2020

(17)

RUB

12,700,000

USD

181,081

CITI

**

9/16/2020

(4,201)

RUB

12,700,000

USD

181,081

JPMC

**

9/16/2020

(4,201)

SGD

268,886

USD

193,137

CITI

9/16/2020

(151)

SGD

268,887

USD

193,138

JPMC

9/16/2020

(151)

THB

4,500

USD

146

CITI

9/16/2020

–

THB

4,500

USD

146

JPMC

9/16/2020

–

TWD

1,800,000

USD

61,904

CITI

**

9/16/2020

(35)

TWD

1,800,000

USD

61,904

JPMC

**

9/16/2020

(35)

USD

385,983

AUD

567,500

CITI

9/16/2020

(5,751)

USD

385,982

AUD

567,500

JPMC

9/16/2020

(5,752)

84

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

162,110

BRL

887,750

CITI

**

9/16/2020

$

(596)

USD

162,110

BRL

887,749

JPMC

**

9/16/2020

(596)

USD

1,330,116

CAD

1,829,500

CITI

9/16/2020

(17,692)

USD

1,330,113

CAD

1,829,498

JPMC

9/16/2020

(17,695)

USD

1,970,164

CHF

1,881,500

CITI

9/16/2020

(20,282)

USD

1,970,161

CHF

1,881,500

JPMC

9/16/2020

(20,284)

USD

337,427

CNY

2,432,346

CITI

**

9/16/2020

(5,123)

USD

337,427

CNY

2,432,353

JPMC

**

9/16/2020

(5,123)

USD

240,384

COP

909,857,410

CITI

**

9/16/2020

(175)

USD

240,384

COP

909,857,410

JPMC

**

9/16/2020

(175)

USD

107,648

CZK

2,600,000

CITI

9/16/2020

(2,007)

USD

107,648

CZK

2,600,000

JPMC

9/16/2020

(2,007)

USD

2,464,733

EUR

2,198,764

CITI

9/16/2020

(9,824)

USD

2,464,731

EUR

2,198,765

JPMC

9/16/2020

(9,827)

USD

489,940

GBP

398,375

CITI

9/16/2020

(3,911)

USD

489,938

GBP

398,374

JPMC

9/16/2020

(3,912)

USD

88,473

HUF

28,062,000

CITI

9/16/2020

(520)

USD

88,473

HUF

28,062,000

JPMC

9/16/2020

(521)

USD

61,636

IDR

930,000,000

CITI

**

9/16/2020

(1,449)

USD

61,636

IDR

930,000,000

JPMC

**

9/16/2020

(1,449)

USD

174,553

ILS

610,000

CITI

9/16/2020

(1,914)

USD

174,552

ILS

610,000

JPMC

9/16/2020

(1,914)

USD

66,733

INR

5,096,000

CITI

**

9/16/2020

(165)

USD

66,731

INR

5,096,001

JPMC

**

9/16/2020

(168)

USD

676,834

JPY

73,088,500

CITI

9/16/2020

(775)

USD

676,833

JPY

73,088,500

JPMC

9/16/2020

(776)

USD

304,182

KRW

370,821,000

CITI

**

9/16/2020

(5,098)

USD

304,182

KRW

370,821,000

JPMC

**

9/16/2020

(5,098)

USD

329,838

NOK

3,200,499

CITI

9/16/2020

(2,768)

USD

329,838

NOK

3,200,500

JPMC

9/16/2020

(2,769)

USD

28,564

NZD

45,500

CITI

9/16/2020

(795)

USD

28,564

NZD

45,500

JPMC

9/16/2020

(795)

USD

8,798

PHP

450,000

CITI

**

9/16/2020

(210)

USD

8,798

PHP

450,000

JPMC

**

9/16/2020

(210)

USD

118,328

PLN

471,504

CITI

9/16/2020

(878)

USD

118,326

PLN

471,496

JPMC

9/16/2020

(878)

USD

395,424

SEK

3,791,500

CITI

9/16/2020

(11,854)

USD

395,423

SEK

3,791,500

JPMC

9/16/2020

(11,855)

USD

65,615

SGD

93,000

CITI

9/16/2020

(1,134)

USD

65,615

SGD

93,000

JPMC

9/16/2020

(1,134)

USD

4,756

THB

148,000

CITI

9/16/2020

(32)

USD

4,756

THB

148,000

JPMC

9/16/2020

(32)

USD

46,227

ZAR

813,500

CITI

9/16/2020

(280)

USD

46,227

ZAR

813,500

JPMC

9/16/2020

(280)

ZAR

77,750

USD

4,553

CITI

9/16/2020

(107)

ZAR

77,750

USD

4,553

JPMC

9/16/2020

(107)

MXN

16,414,032

USD

728,089

CITI

9/17/2020

(21,314)

MXN

16,414,029

USD

728,090

JPMC

9/17/2020

(21,315)

USD

18,600

MXN

435,500

CITI

9/17/2020

(153)

USD

18,600

MXN

435,500

JPMC

9/17/2020

(153)

Total

unrealized

depreciation

(365,220)

Net

unrealized

appreciation

$

279,971

**

Non-deliverable

forward.

85

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,403,634

$

1,403,634

CITI

Cash

(110,013)

–

(110,013)

Investment

Companies

234,150

–

234,150

CRSU

Cash

–

(136,977)

(136,977)

GSCO

Cash

–

602,411

602,411

GSIN

U.S.

Treasury

Bills

209,895

–

209,895

JPMC

Investment

Companies

371,572

–

371,572

JPMS

Cash

–

12,148

12,148

MSCL

Cash

–

130,942

130,942

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

30,618

$

30,618

JPPC

Cash

–

299,840

299,840

MSCL

Cash

–

122,665

122,665

86

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(d)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(e)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

0.0%

(a)

United

States

-

0.0%

(a)

News

Corp.,

Class

A

(1)

(Cost

$221,006)

15,795

187,329

SHORT-TERM

INVESTMENTS

-

86.2%

INVESTMENT

COMPANIES

-

32.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(b)(c)

33,863,745

33,863,745

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(b)(d)

133,622,593

133,649,317

TOTAL

INVESTMENT

COMPANIES

(Cost

$167,462,617)

167,513,062

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

53.6%

U.S.

Treasury

Bills

0.10%,

10/1/2020

(e)(f)

$

7,615,000

7,611,984

0.16%,

10/8/2020

(e)(f)

6,105,000

6,102,398

0.29%,

10/15/2020

(e)(f)

8,123,000

8,119,233

0.17%,

11/5/2020

(e)

52,556,000

52,526,334

0.15%,

11/12/2020

(e)

30,000,000

29,982,413

0.15%,

11/19/2020

(e)

30,000,000

29,980,906

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

53.6%

(continued)

0.16%,

11/27/2020

(e)(g)

$

30,000,000

29,979,512

0.17%,

12/3/2020

(e)(f)

51,000,000

50,965,965

0.19%,

12/10/2020

(e)(f)

52,556,000

52,518,160

0.18%,

12/24/2020

(e)(f)

6,921,000

6,915,417

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$274,692,197)

274,702,322

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$442,154,814)

442,215,384

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

86.2%

(Cost

$442,375,820)

442,402,713

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

13.8%

(h)

70,988,977

NET

ASSETS

-

100.0%

513,391,690

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

187,329

0.0

%

(a)

Short-Term

Investments

442,215,384

86.2

Total

Investments

In

Securities

At

Value

442,402,713

86.2

Other

Assets

in

Excess

of

Liabilities

(h)

70,988,977

13.8

Net

Assets

$

513,391,690

100.0%

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

26.0%

INVESTMENT

COMPANIES

-

26.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)^(a)

(Cost

$133,598,872)

$262,591,498

$1,561,369,566

$(1,690,399,583)

$98,242

$(10,406)

$133,649,317

133,622,593

$984,701

$–

^    No

longer

affiliated

as

of

June

30,

2020.

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

87

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

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

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

271

$

5

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

274,444

245

250

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

07/30/2020

HKD

3,637,050

(7,289)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

CHF

8,807,040

(14,353)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

AUD

1,167,087

(11,939)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.65%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

CAD

427,629

(7,976)

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

236

(12)

88

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

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

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

93,623

$

(5,127)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

HKD

237,067

(67)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

97

(4)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

426,200

(15,973)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

JPY

2,296,231,614

(660,187)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

3,387,452

(20,381)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SOR

plus

or

minus

a

specified

spread

(0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

SGD

5,269

(210)

89

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

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

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

171

$

(14)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.24%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

EUR

553,020

(42,841)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

SEK

42,302

(142)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

SEK

340,973

(1,413)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

CHF

321,643

(2,817)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.07%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

CHF

373,759

(2,269)

90

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

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

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

GBP

10,732

$

(618)

(793,632)

$

(793,382)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

7

7/2020

EUR

$

880,116

$

(3,593)

CAC

40

10

Euro

Index

161

7/2020

EUR

8,887,711

(12,023)

Hang

Seng

Index

14

7/2020

HKD

2,189,910

(29,168)

IBEX

35

Index

25

7/2020

EUR

2,025,053

(48,359)

MSCI

Singapore

Index

51

7/2020

SGD

1,082,689

(10,047)

OMXS30

Index

167

7/2020

SEK

2,986,239

91,479

DAX

Index

22

9/2020

EUR

7,616,235

34,126

FTSE

100

Index

156

9/2020

GBP

11,883,093

(104,385)

FTSE/MIB

Index

13

9/2020

EUR

1,408,627

(14,863)

S&P

500

E-Mini

Index

1,131

9/2020

USD

174,750,810

3,756,955

S&P/TSX

60

Index

63

9/2020

CAD

8,617,487

149,677

SPI

200

Index

52

9/2020

AUD

5,285,890

48,936

TOPIX

Index

2

9/2020

JPY

288,678

(7,222)

$

3,851,513

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

3,255,750

USD

2,159,821

CITI

9/16/2020

$

87,563

AUD

3,255,750

USD

2,159,824

JPMC

9/16/2020

87,558

CAD

2,369,700

USD

1,725,621

CITI

9/16/2020

20,158

CAD

2,369,700

USD

1,725,623

JPMC

9/16/2020

20,156

CHF

4,618,000

USD

4,805,306

CITI

9/16/2020

80,092

CHF

4,618,000

USD

4,805,312

JPMC

9/16/2020

80,087

DKK

7,165,221

USD

1,059,301

CITI

9/16/2020

22,849

DKK

7,165,222

USD

1,059,303

JPMC

9/16/2020

22,848

EUR

6,431,218

USD

7,196,209

CITI

9/16/2020

41,683

EUR

6,431,220

USD

7,196,221

JPMC

9/16/2020

41,672

GBP

1,325,374

USD

1,629,306

CITI

9/16/2020

13,709

GBP

1,325,374

USD

1,629,308

JPMC

9/16/2020

13,707

HKD

13,014,500

USD

1,675,181

CITI

9/16/2020

3,212

HKD

13,014,500

USD

1,675,183

JPMC

9/16/2020

3,210

ILS

1,009,000

USD

288,369

CITI

9/16/2020

3,523

ILS

1,009,000

USD

288,369

JPMC

9/16/2020

3,523

91

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

643,472,001

USD

5,927,515

CITI

9/16/2020

$

38,160

JPY

643,472,000

USD

5,927,523

JPMC

9/16/2020

38,153

NOK

1,232,000

USD

124,914

CITI

9/16/2020

3,120

NOK

1,232,000

USD

124,914

JPMC

9/16/2020

3,119

NZD

234,499

USD

145,001

CITI

9/16/2020

6,310

NZD

234,500

USD

145,001

JPMC

9/16/2020

6,310

SEK

11,847,000

USD

1,236,688

CITI

9/16/2020

35,903

SEK

11,847,001

USD

1,236,689

JPMC

9/16/2020

35,902

SGD

407,750

USD

287,613

CITI

9/16/2020

5,040

SGD

407,750

USD

287,613

JPMC

9/16/2020

5,040

USD

377,063

CAD

510,500

CITI

9/16/2020

973

USD

377,062

CAD

510,500

JPMC

9/16/2020

972

USD

519,238

GBP

413,500

CITI

9/16/2020

6,638

USD

519,238

GBP

413,500

JPMC

9/16/2020

6,637

USD

552,602

JPY

59,395,000

CITI

9/16/2020

1,946

USD

552,601

JPY

59,395,000

JPMC

9/16/2020

1,946

USD

616,217

NOK

5,865,871

CITI

9/16/2020

6,616

USD

616,216

NOK

5,865,872

JPMC

9/16/2020

6,616

USD

277,421

SGD

386,321

CITI

9/16/2020

148

USD

277,421

SGD

386,322

JPMC

9/16/2020

148

Total

unrealized

appreciation

755,247

AUD

1,257,750

USD

873,215

CITI

9/16/2020

(5,015)

AUD

1,257,750

USD

873,216

JPMC

9/16/2020

(5,016)

CAD

4,135,010

USD

3,070,883

CITI

9/16/2020

(24,583)

CAD

4,135,000

USD

3,070,880

JPMC

9/16/2020

(24,588)

EUR

7,111,721

USD

8,035,097

CITI

9/16/2020

(31,349)

EUR

7,111,721

USD

8,035,107

JPMC

9/16/2020

(31,359)

GBP

4,077,126

USD

5,125,932

CITI

9/16/2020

(71,675)

GBP

4,077,127

USD

5,127,033

JPMC

9/16/2020

(72,773)

JPY

620,062,500

USD

5,763,471

CITI

9/16/2020

(14,827)

JPY

620,062,500

USD

5,763,478

JPMC

9/16/2020

(14,834)

NOK

1,268,000

USD

133,717

CITI

9/16/2020

(1,942)

NOK

1,268,000

USD

133,717

JPMC

9/16/2020

(1,942)

SEK

1,191,500

USD

130,258

CITI

9/16/2020

(2,269)

SEK

1,191,500

USD

130,258

JPMC

9/16/2020

(2,269)

SGD

378,750

USD

272,033

CITI

9/16/2020

(194)

SGD

378,750

USD

272,033

JPMC

9/16/2020

(194)

USD

185,975

AUD

274,000

CITI

9/16/2020

(3,162)

USD

185,974

AUD

274,000

JPMC

9/16/2020

(3,163)

USD

1,038,564

CHF

995,708

CITI

9/16/2020

(14,799)

USD

1,038,564

CHF

995,710

JPMC

9/16/2020

(14,801)

USD

88,458

DKK

588,500

CITI

9/16/2020

(423)

USD

88,457

DKK

588,500

JPMC

9/16/2020

(423)

USD

618,716

EUR

552,000

CITI

9/16/2020

(2,522)

USD

618,715

EUR

552,000

JPMC

9/16/2020

(2,523)

USD

277,392

HKD

2,153,500

CITI

9/16/2020

(330)

USD

277,392

HKD

2,153,500

JPMC

9/16/2020

(331)

USD

18,561

ILS

64,500

CITI

9/16/2020

(98)

USD

18,561

ILS

64,500

JPMC

9/16/2020

(98)

USD

572,346

NOK

5,647,371

CITI

9/16/2020

(14,548)

USD

572,345

NOK

5,647,371

JPMC

9/16/2020

(14,550)

USD

15,057

NZD

24,000

CITI

9/16/2020

(429)

USD

15,057

NZD

24,000

JPMC

9/16/2020

(429)

USD

81,190

SEK

762,620

CITI

9/16/2020

(729)

USD

81,190

SEK

762,619

JPMC

9/16/2020

(730)

USD

331,179

SGD

469,321

CITI

9/16/2020

(5,665)

92

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

331,179

SGD

469,321

JPMC

9/16/2020

$

(5,665)

Total

unrealized

depreciation

(390,247)

Net

unrealized

appreciation

$

365,000

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.70%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

6

months

maturity

12/22/2020

$1,362,118

$22,680

$199

$22,879

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-3.18%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

08/25/2021

$99,899,262

$331,029

$(614,274)

$(283,245)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Cabot

Corp.

55,117

2,042,085

36,377

(12.8)

Commercial

Metals

Co.

79,437

1,620,515

17,476

(6.2)

Deckers

Outdoor

Corp.

22,428

4,404,635

72,496

(25.6)

Domtar

Corp.

56,962

1,202,468

5,696

(2.0)

DR

Horton,

Inc.

18,600

1,031,370

24,924

(8.8)

Eastman

Chemical

Co.

17,043

1,186,875

32,723

(11.6)

Graphic

Packaging

Holding

Co.

67,152

939,456

35,591

(12.6)

Huntsman

Corp.

52,256

939,040

7,316

(2.6)

International

Paper

Co.

112,887

3,974,751

160,611

(56.7)

KB

Home

35,998

1,104,419

46,797

(16.5)

Kroger

Co.

(The)

58,149

1,968,344

62,219

(22.0)

93

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Minerals

Technologies,

Inc.

17,484

820,524

50,704

(17.9)

Polaris,

Inc.

12,735

1,178,624

(5,731)

2.0

PolyOne

Corp.

57,315

1,503,372

75,656

(26.7)

PulteGroup,

Inc.

45,477

1,547,582

65,942

(23.3)

Reliance

Steel

&

Aluminum

Co.

16,560

1,572,041

33,782

(11.9)

Silgan

Holdings,

Inc.

27,231

882,012

30,499

(10.8)

Steel

Dynamics,

Inc.

63,482

1,656,245

(38,724)

13.7

Tapestry,

Inc.

74,954

995,389

50,969

(18.0)

Valvoline,

Inc.

52,225

1,009,509

24,024

(8.5)

Walgreens

Boots

Alliance,

Inc.

43,167

1,829,849

15,019

(5.3)

Westrock

Co.

47,680

1,347,437

78,672

(27.8)

Whirlpool

Corp.

8,706

1,127,688

45,532

(16.1)

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(9,520)

(2,019,287)

(28,274)

10.0

United

States

Air

Products

and

Chemicals,

Inc.

(3,882)

(937,348)

(16,149)

5.7

Albemarle

Corp.

(26,027)

(2,009,545)

(84,848)

30.0

Amcor

plc

(308,473)

(3,149,509)

(61,695)

21.8

AptarGroup,

Inc.

(10,219)

(1,144,324)

(44,759)

15.8

Ball

Corp.

(28,902)

(2,008,400)

(8,382)

3.0

Berry

Global

Group,

Inc.

(36,633)

(1,623,575)

(97,445)

34.4

BJ's

Wholesale

Club

Holdings,

Inc.

(29,391)

(1,095,403)

(38,502)

13.6

Casey's

General

Stores,

Inc.

(12,205)

(1,824,892)

(35,395)

12.5

Columbia

Sportswear

Co.

(23,876)

(1,923,928)

(69,957)

24.7

Compass

Minerals

International,

Inc.

(27,034)

(1,317,908)

(20,816)

7.3

Ecolab,

Inc.

(6,471)

(1,287,405)

(18,895)

6.7

Freeport-McMoRan,

Inc.

(100,415)

(1,161,802)

(49,203)

17.4

GCI

Liberty,

Inc.

(39,772)

(2,828,585)

(177,782)

62.8

Helen

of

Troy

Ltd.

(6,224)

(1,173,597)

(28,303)

10.0

International

Flavors

&

Fragrances,

Inc.

(21,691)

(2,656,280)

(1,301)

0.5

NIKE,

Inc.

(8,434)

(826,954)

28,254

(10.0)

Olin

Corp.

(107,549)

(1,235,738)

(5,377)

1.9

Ralph

Lauren

Corp.

(12,104)

(877,782)

(26,629)

9.4

RPM

International,

Inc.

(12,885)

(967,148)

(12,174)

4.3

Sherwin-Williams

Co.

(The)

(1,527)

(882,377)

(7,085)

2.5

T-Mobile

US,

Inc.

(25,585)

(2,664,678)

154,532

(54.6)

Toll

Brothers,

Inc.

(28,097)

(915,681)

(58,161)

20.5

Under

Armour,

Inc.

(92,778)

(903,658)

(12,989)

4.6

United

States

Steel

Corp.

(115,890)

(836,726)

41,720

(14.7)

VF

Corp.

(36,053)

(2,197,070)

(39,755)

14.0

Westlake

Chemical

Corp.

(19,650)

(1,054,222)

4,520

(1.6)

94

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.13%

to

0.03%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-61

months

maturity

ranging

from

12/31/2020

-

01/21/2025

$76,230,411

$(1,081,349)

$(243,195)

$(1,324,544)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

319,018

3,774,036

(44,550)

3.4

Ansell

Ltd.

25,483

647,777

20,714

(1.6)

Aurizon

Holdings

Ltd.

1,600,511

5,446,341

155,671

(11.8)

Australia

&

New

Zealand

Banking

Group

Ltd.

70,188

910,700

(17,024)

1.3

Bank

of

Queensland

Ltd.

207,850

893,121

(15,968)

1.2

Beach

Energy

Ltd.

708,495

756,902

(37,167)

2.8

Bendigo

&

Adelaide

Bank

Ltd.

270,124

1,319,197

(11,797)

0.9

BlueScope

Steel

Ltd.

317,095

2,612,181

(119,534)

9.0

Boral

Ltd.

263,372

700,202

15,167

(1.1)

CIMIC

Group

Ltd.

146,887

2,468,379

(135,581)

10.2

Coca-Cola

Amatil

Ltd.

96,265

579,849

(41,229)

3.1

Flight

Centre

Travel

Group

Ltd.

184,834

1,444,869

(305,211)

23.0

Fortescue

Metals

Group

Ltd.

322,660

3,136,796

(116,512)

8.8

Harvey

Norman

Holdings

Ltd.

476,111

1,170,415

(31,265)

2.4

Incitec

Pivot

Ltd.

423,961

552,683

(35,112)

2.7

JB

Hi-Fi

Ltd.

38,407

1,149,117

41,061

(3.1)

Lendlease

Group

75,934

656,316

(31,968)

2.4

Qantas

Airways

Ltd.

514,701

1,363,903

(239,648)

18.1

South32

Ltd.

429,212

607,646

707

(0.1)

Telstra

Corp.

Ltd.

1,048,659

2,276,250

(60,916)

4.6

Westpac

Banking

Corp.

44,631

559,378

479

(0.0)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,761,140)

(2,007,330)

3,056

(0.2)

APA

Group

(307,347)

(2,376,506)

58,363

(4.4)

Atlas

Arteria

Ltd.

(178,903)

(826,176)

17,058

(1.3)

AusNet

Services

(803,548)

(928,399)

22,044

(1.7)

Cochlear

Ltd.

(9,438)

(1,239,106)

35,527

(2.7)

Commonwealth

Bank

of

Australia

(26,496)

(1,279,607)

(7,304)

0.6

CSL

Ltd.

(4,626)

(920,060)

(3,338)

0.3

Domino's

Pizza

Enterprises

Ltd.

(15,973)

(765,729)

(57,875)

4.4

Insurance

Australia

Group

Ltd.

(224,494)

(900,975)

31,518

(2.4)

Macquarie

Group

Ltd.

(10,508)

(872,081)

5,159

(0.4)

Magellan

Financial

Group

Ltd.

(20,038)

(818,263)

(23,191)

1.8

Medibank

Pvt

Ltd.

(314,767)

(652,592)

1,221

(0.1)

95

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Newcrest

Mining

Ltd.

(25,071)

(555,926)

(30,910)

2.3

NEXTDC

Ltd.

(95,461)

(656,603)

(29,934)

2.3

Oil

Search

Ltd.

(604,839)

(1,340,421)

90,710

(6.8)

Ramsay

Health

Care

Ltd.

(62,780)

(2,899,329)

1,930

(0.1)

REA

Group

Ltd.

(15,333)

(1,155,395)

(14,429)

1.1

Saracen

Mineral

Holdings

Ltd.

(385,675)

(1,468,898)

(238,658)

18.0

SEEK

Ltd.

(214,479)

(3,281,288)

(166,403)

12.6

Seven

Group

Holdings

Ltd.

(82,570)

(993,136)

8,461

(0.6)

Sonic

Healthcare

Ltd.

(26,115)

(551,466)

(27,155)

2.1

Spark

Infrastructure

Group

(401,426)

(599,550)

(9,342)

0.7

Sydney

Airport

(302,771)

(1,194,913)

110,346

(8.3)

Transurban

Group

(253,893)

(2,489,858)

95,675

(7.2)

Wesfarmers

Ltd.

(23,962)

(745,031)

(32,064)

2.4

WiseTech

Global

Ltd.

(44,732)

(605,133)

84,059

(6.3)

Woolworths

Group

Ltd.

(30,941)

(797,559)

(8,664)

0.7

Worley

Ltd.

(90,671)

(554,800)

21,285

(1.6)

United

States

James

Hardie

Industries

plc

(143,649)

(2,767,917)

(68,048)

5.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

GBP/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.25%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$238,219,858

$(1,275,269)

$(295,696)

$(1,570,965)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Glencore

plc

836,615

1,782,161

(1,464)

0.1

Russia

Evraz

plc

938,898

3,326,594

(127,440)

8.1

South

Africa

Anglo

American

plc

146,404

3,375,082

85,915

(5.5)

Investec

plc

905,395

1,816,749

(48,107)

3.1

Switzerland

Coca-Cola

HBC

AG

98,817

2,473,696

(118,103)

7.5

United

Kingdom

Associated

British

Foods

plc

79,599

1,882,054

(59,034)

3.8

Aviva

plc

2,594,667

8,794,302

(153,163)

9.7

BAE

Systems

plc

378,815

2,265,110

(113,221)

7.2

Barclays

plc

2,091,798

2,951,105

(143,383)

9.1

Barratt

Developments

plc

320,994

1,972,873

(66,727)

4.2

96

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Bellway

plc

104,033

3,276,648

(171,378)

10.9

BT

Group

plc

4,372,224

6,183,420

(219,437)

14.0

Centrica

plc

4,932,400

2,343,631

(277,038)

17.6

Hays

plc

1,204,813

1,784,078

(61,575)

3.9

Inchcape

plc

312,755

1,900,676

(32,377)

2.1

Kingfisher

plc

1,309,753

3,603,376

100,209

(6.4)

M&G

plc

2,180,781

4,528,273

230,190

(14.7)

Marks

&

Spencer

Group

plc

2,372,878

2,909,784

(375,959)

23.9

Meggitt

plc

554,884

2,021,086

(173,859)

11.1

Royal

Bank

of

Scotland

Group

plc

1,499,247

2,250,737

(30,273)

1.9

Royal

Mail

plc

1,793,196

4,041,534

79,220

(5.0)

Tate

&

Lyle

plc

459,829

3,801,280

(270,364)

17.2

Taylor

Wimpey

plc

1,295,399

2,286,391

(150,844)

9.6

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(86,038)

(2,439,948)

20,399

(1.3)

AstraZeneca

plc

(34,852)

(3,627,201)

82,619

(5.3)

Beazley

plc

(538,600)

(2,730,516)

90,646

(5.8)

BP

plc

(553,273)

(2,119,613)

52,201

(3.3)

Burberry

Group

plc

(164,115)

(3,242,929)

8,363

(0.5)

Croda

International

plc

(88,616)

(5,755,684)

(97,722)

6.2

Diageo

plc

(98,756)

(3,282,388)

192,153

(12.2)

DS

Smith

plc

(701,697)

(2,848,517)

62,592

(4.0)

Experian

plc

(71,705)

(2,516,763)

(9,453)

0.6

Halma

plc

(117,967)

(3,360,904)

(57,198)

3.6

Hargreaves

Lansdown

plc

(245,718)

(4,955,176)

155,822

(9.9)

Hiscox

Ltd.

(396,289)

(3,868,072)

177,967

(11.3)

HSBC

Holdings

plc

(1,224,410)

(5,690,555)

105,917

(6.7)

InterContinental

Hotels

Group

plc

(60,209)

(2,657,935)

266,840

(17.0)

Intertek

Group

plc

(36,907)

(2,485,725)

(36,636)

2.3

Johnson

Matthey

plc

(73,124)

(1,904,436)

38,371

(2.4)

Lloyds

Banking

Group

plc

(5,941,523)

(2,292,004)

105,515

(6.7)

Ocado

Group

plc

(269,111)

(6,762,856)

(92,848)

5.9

Prudential

plc

(167,793)

(2,528,316)

(78,528)

5.0

Reckitt

Benckiser

Group

plc

(48,680)

(4,478,484)

(166,286)

10.6

Rentokil

Initial

plc

(430,645)

(2,723,041)

(50,562)

3.2

Rolls-Royce

Holdings

plc

(833,921)

(2,944,253)

488,546

(31.1)

Severn

Trent

plc

(189,955)

(5,813,343)

13,675

(0.9)

Spirax-Sarco

Engineering

plc

(37,654)

(4,635,581)

35,152

(2.2)

St

James's

Place

plc

(447,687)

(5,264,110)

(74,917)

4.8

Tesco

plc

(1,318,840)

(3,709,454)

469

(0.0)

Weir

Group

plc

(The)

(170,029)

(2,234,396)

(27,800)

1.8

97

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HKD/

USD

1

Month

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.15%

to

0.03%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$34,477,831

$(464,524)

$(10,931)

$(475,455)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

73,000

233,738

6,276

(1.3)

Minth

Group

Ltd.

78,000

223,899

18,094

(3.8)

Hong

Kong

ASM

Pacific

Technology

Ltd.

13,100

138,441

2,040

(0.4)

CK

Asset

Holdings

Ltd.

277,500

1,664,110

(43,748)

9.2

CLP

Holdings

Ltd.

150,500

1,478,097

(15,154)

3.2

Henderson

Land

Development

Co.

Ltd.

282,960

1,079,125

(25,261)

5.3

HKT

Trust

&

HKT

Ltd.

54,000

79,243

652

(0.1)

Hysan

Development

Co.

Ltd.

475,000

1,533,412

(4,875)

1.0

Kerry

Properties

Ltd.

554,000

1,439,088

(72,701)

15.3

Melco

International

Development

Ltd.

376,000

733,087

(48,944)

10.3

New

World

Development

Co.

Ltd.

208,250

988,788

(5,372)

1.1

NWS

Holdings

Ltd.

277,000

240,948

(18,165)

3.8

Sino

Land

Co.

Ltd.

194,000

245,449

649

(0.1)

Sun

Hung

Kai

Properties

Ltd.

82,500

1,053,957

(13,684)

2.9

WH

Group

Ltd.

2,969,500

2,566,225

(69,754)

14.7

Yue

Yuen

Industrial

Holdings

Ltd.

647,000

986,203

(28,895)

6.1

United

Kingdom

CK

Hutchison

Holdings

Ltd.

298,500

1,932,963

(83,229)

17.5

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(359,500)

(1,052,412)

7,464

(1.6)

Hong

Kong

AIA

Group

Ltd.

(287,000)

(2,685,633)

(23,186)

4.9

Hang

Lung

Properties

Ltd.

(273,000)

(648,997)

(10,746)

2.3

Hang

Seng

Bank

Ltd.

(133,000)

(2,240,022)

47,431

(10.0)

Hong

Kong

&

China

Gas

Co.

Ltd.

(1,278,165)

(1,986,484)

38,659

(8.1)

MTR

Corp.

Ltd.

(626,365)

(3,257,567)

(20,885)

4.4

Swire

Properties

Ltd.

(372,800)

(951,821)

(11,945)

2.5

Techtronic

Industries

Co.

Ltd.

(161,500)

(1,597,971)

(13,290)

2.8

Wharf

Real

Estate

Investment

Co.

Ltd.

(454,000)

(2,179,476)

(76,567)

16.1

Wheelock

&

Co.

Ltd.

(29,000)

(242,312)

(10,327)

2.2

98

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Macau

Galaxy

Entertainment

Group

Ltd.

(108,000)

(740,853)

(5,107)

1.1

Wynn

Macau

Ltd.

(160,000)

(277,510)

16,046

(3.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

JPY/USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.28%

to

0.02%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$563,420,037

$735,616

$671,935

$1,407,551

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Alfresa

Holdings

Corp.

160,500

3,364,298

(13,377)

(1.0)

Fujitsu

Ltd.

42,800

5,011,167

168,172

11.9

Koito

Manufacturing

Co.

Ltd.

85,400

3,455,250

(73,282)

(5.2)

Lion

Corp.

126,200

3,035,316

93,797

6.7

Medipal

Holdings

Corp.

151,900

2,931,764

(57,427)

(4.1)

Mitsubishi

Gas

Chemical

Co.,

Inc.

202,900

3,085,996

(66,658)

(4.7)

Nintendo

Co.

Ltd.

6,600

2,950,654

(29,297)

(2.1)

Nippon

Express

Co.

Ltd.

81,400

4,220,874

(115,415)

(8.2)

Obayashi

Corp.

604,300

5,681,304

(6,130)

(0.4)

ORIX

Corp.

344,700

4,280,228

(267,894)

(19.0)

Otsuka

Corp.

80,800

4,267,506

130,762

9.3

Pola

Orbis

Holdings,

Inc.

194,100

3,388,706

(268,912)

(19.1)

SCSK

Corp.

73,200

3,581,293

1,479

0.1

Sekisui

House

Ltd.

221,400

4,227,005

(25,124)

(1.8)

Shimamura

Co.

Ltd.

45,200

3,061,490

(64,694)

(4.6)

Shimizu

Corp.

479,900

3,953,459

51,173

3.6

Sundrug

Co.

Ltd.

105,500

3,491,600

12,964

0.9

Taiheiyo

Cement

Corp.

172,500

4,007,891

(41,655)

(3.0)

Taisei

Corp.

87,800

3,199,968

28,671

2.0

Teijin

Ltd.

217,800

3,467,733

(89,545)

(6.4)

Tosoh

Corp.

281,100

3,861,445

(66,110)

(4.7)

99

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(134,700)

(3,133,731)

(84,783)

(6.0)

Asahi

Intecc

Co.

Ltd.

(153,700)

(4,386,652)

4,764

0.3

CyberAgent,

Inc.

(80,500)

(3,956,870)

(103,645)

(7.4)

Daiichi

Sankyo

Co.

Ltd.

(45,200)

(3,696,981)

62,694

4.5

Daiwa

Securities

Group,

Inc.

(807,200)

(3,390,969)

28,568

2.0

Japan

Airport

Terminal

Co.

Ltd.

(76,600)

(3,268,675)

79,593

5.7

Kansai

Paint

Co.

Ltd.

(165,300)

(3,493,078)

(111,976)

(8.0)

Keio

Corp.

(81,600)

(4,669,979)

29,694

2.1

Keyence

Corp.

(11,100)

(4,651,583)

(81,362)

(5.8)

Kikkoman

Corp.

(137,700)

(6,650,585)

44,768

3.2

Kintetsu

Group

Holdings

Co.

Ltd.

(89,400)

(4,011,332)

153,718

10.9

M3,

Inc.

(87,500)

(3,717,099)

(156,990)

(11.2)

Nidec

Corp.

(66,200)

(4,459,814)

(288,514)

(20.5)

Nippon

Paint

Holdings

Co.

Ltd.

(92,500)

(6,746,658)

73,181

5.2

Nissan

Chemical

Corp.

(69,000)

(3,549,969)

(9,119)

(0.6)

Odakyu

Electric

Railway

Co.

Ltd.

(236,300)

(5,803,003)

(128,640)

(9.1)

Oriental

Land

Co.

Ltd.

(25,300)

(3,343,297)

208,806

14.8

Rakuten,

Inc.

(426,500)

(3,767,276)

(3,810)

(0.3)

Seven

Bank

Ltd.

(1,057,200)

(2,897,609)

132

0.0

Shimano,

Inc.

(17,500)

(3,365,054)

63,709

4.5

Shiseido

Co.

Ltd.

(87,400)

(5,569,183)

76,594

5.4

Sony

Financial

Holdings,

Inc.

(170,400)

(4,114,294)

(20,485)

(1.5)

Suzuki

Motor

Corp.

(115,900)

(3,957,534)

68,723

4.9

Terumo

Corp.

(77,900)

(2,965,090)

(16,031)

(1.1)

Toyota

Industries

Corp.

(64,000)

(3,401,771)

30,257

2.1

Toyota

Motor

Corp.

(87,600)

(5,508,646)

125,966

8.9

Unicharm

Corp.

(92,600)

(3,797,759)

(199,343)

(14.2)

Yamaha

Corp.

(82,200)

(3,876,968)

213,384

15.2

Yaskawa

Electric

Corp.

(102,700)

(3,570,166)

40,208

2.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.55%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-61

months

maturity

ranging

from

07/16/2020

-

06/11/2025

$76,710,491

$(145,929)

$(12,360)

$(158,289)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

100

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Air

Liquide

SA

3,996

577,769

11,144

(7.0)

Alstom

SA

25,002

1,165,117

(33,465)

21.1

Amundi

SA

6,556

515,390

374

(0.2)

Arkema

SA

12,783

1,228,753

5,569

(3.5)

Atos

SE

21,175

1,815,400

118,794

(75.0)

Bouygues

SA

54,587

1,869,850

66,024

(41.7)

Capgemini

SE

7,308

843,354

46,331

(29.3)

Carrefour

SA

119,981

1,860,672

(88,042)

55.6

Cie

de

Saint-Gobain

49,440

1,783,843

6,387

(4.0)

Cie

Generale

des

Etablissements

Michelin

SCA

5,137

535,445

(27,674)

17.5

CNP

Assurances

97,135

1,126,614

(184,675)

116.7

Danone

SA

22,823

1,584,217

(58,053)

36.7

Dassault

Aviation

SA

603

553,251

(78,917)

49.9

Electricite

de

France

SA

61,779

574,364

(22,663)

14.3

Engie

SA

41,634

516,342

(38,910)

24.6

Eutelsat

Communications

SA

191,608

1,772,438

(421,257)

266.1

Natixis

SA

203,138

535,784

(28,963)

18.3

Orange

SA

266,611

3,188,126

(118,998)

75.2

Peugeot

SA

244,229

4,005,145

(43,862)

27.7

Publicis

Groupe

SA

37,069

1,204,187

(111,085)

70.2

Rexel

SA

86,179

987,710

11,346

(7.2)

Sanofi

31,431

3,205,481

10,754

(6.8)

Sartorius

Stedim

Biotech

2,368

600,377

37,347

(23.6)

Schneider

Electric

SE

4,561

507,351

19,636

(12.4)

Societe

BIC

SA

18,130

923,161

(18,243)

11.5

Sodexo

SA

20,522

1,391,555

(197,972)

125.1

Sopra

Steria

Group

5,219

645,642

(4,267)

2.7

Luxembourg

SES

SA

109,159

745,872

(160,921)

101.7

Switzerland

STMicroelectronics

NV

52,909

1,442,209

12,393

(7.8)

Short

Positions

Common

Stocks

France

Accor

SA

(38,817)

(1,059,379)

164,434

(103.9)

Aeroports

de

Paris

(3,216)

(332,022)

69,556

(43.9)

Air

France-KLM

(420,069)

(1,907,988)

710,141

(448.6)

Airbus

SE

(21,292)

(1,525,653)

285,996

(180.7)

Bollore

SA

(267,745)

(844,835)

61,643

(38.9)

Cie

Plastic

Omnium

SA

(34,983)

(716,677)

66,391

(41.9)

Edenred

(42,000)

(1,842,043)

125,546

(79.3)

Faurecia

SE

(36,693)

(1,441,617)

59,181

(37.4)

Iliad

SA

(21,295)

(4,156,999)

(264,557)

167.1

Ingenico

Group

SA

(31,158)

(5,006,292)

(546,467)

345.2

JCDecaux

SA

(46,081)

(860,809)

205,886

(130.1)

Kering

SA

(2,595)

(1,418,737)

112,966

(71.4)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(733)

(323,616)

2,013

(1.3)

Orpea

(22,380)

(2,584,966)

50,126

(31.7)

Remy

Cointreau

SA

(21,588)

(2,945,164)

(138,226)

87.3

Renault

SA

(121,766)

(3,116,434)

374,775

(236.8)

SEB

SA

(10,291)

(1,707,067)

(259,115)

163.7

TOTAL

SA

(14,688)

(566,346)

56,166

(35.5)

Valeo

SA

(60,160)

(1,586,742)

26,376

(16.7)

101

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Worldline

SA

(14,017)

(1,222,135)

(157,948)

99.8

Luxembourg

Eurofins

Scientific

SE

(4,743)

(2,991,576)

152,984

(96.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.99%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/13/2025

-

07/02/2025

$566,304,680

$2,163,639

$819,049

$2,982,688

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Activision

Blizzard,

Inc.

36,511

2,771,185

142,393

4.8

Adobe,

Inc.

7,382

3,213,458

280,838

9.4

Allstate

Corp.

(The)

27,557

2,672,753

(171,094)

(5.7)

Alphabet,

Inc.

1,690

2,396,504

(57,511)

(1.9)

Amazon.com,

Inc.

2,574

7,101,203

406,589

13.6

Bank

of

New

York

Mellon

Corp.

(The)

86,857

3,357,023

(240,594)

(8.1)

Best

Buy

Co.,

Inc.

41,705

3,639,595

235,633

7.9

Brinker

International,

Inc.

100,999

2,423,976

(554,884)

(18.6)

eBay,

Inc.

54,397

2,853,123

148,723

5.0

Electronic

Arts,

Inc.

21,857

2,886,217

239,990

8.0

Facebook,

Inc.

24,406

5,541,870

(283,110)

(9.5)

Intel

Corp.

59,352

3,551,030

(190,520)

(6.4)

Kimberly-Clark

Corp.

16,203

2,290,294

44,882

1.5

Microsoft

Corp.

32,685

6,651,724

449,318

15.1

NorthWestern

Corp.

44,456

2,423,741

(342,311)

(11.5)

Qorvo,

Inc.

23,261

2,571,038

(116,305)

(3.9)

Qurate

Retail,

Inc.

284,303

2,700,878

76,009

2.5

Schneider

National,

Inc.

89,015

2,196,000

125,511

4.2

Wells

Fargo

&

Co.

84,528

2,163,917

(587,274)

(19.7)

Short

Positions

Common

Stocks

United

States

Alliant

Energy

Corp.

(47,662)

(2,280,150)

139,650

4.7

Black

Hills

Corp.

(46,584)

(2,639,449)

224,535

7.5

CarMax,

Inc.

(27,413)

(2,454,834)

146,605

4.9

CenterPoint

Energy,

Inc.

(158,618)

(2,961,398)

(6,345)

(0.2)

Charter

Communications,

Inc.

(6,287)

(3,206,621)

135,359

4.5

Commerce

Bancshares,

Inc.

(64,768)

(3,851,753)

580,321

19.5

102

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cree,

Inc.

(47,579)

(2,816,201)

118,947

4.0

Cullen/Frost

Bankers,

Inc.

(30,791)

(2,300,396)

335,622

11.3

Energizer

Holdings,

Inc.

(44,975)

(2,135,863)

29,683

1.0

Equifax,

Inc.

(15,777)

(2,711,751)

49,698

1.7

Erie

Indemnity

Co.

(13,079)

(2,509,860)

(71,673)

(2.4)

Eversource

Energy

(38,338)

(3,192,405)

76,676

2.6

First

Financial

Bankshares,

Inc.

(98,168)

(2,836,074)

381,873

12.8

First

Republic

Bank

(25,685)

(2,722,353)

247,860

8.3

Five

Below,

Inc.

(26,357)

(2,817,827)

(77,123)

(2.6)

LendingTree,

Inc.

(7,649)

(2,214,615)

43,752

1.5

McCormick

&

Co.,

Inc.

(Non-Voting)

(20,054)

(3,597,888)

(166,649)

(5.6)

New

York

Community

Bancorp,

Inc.

(235,460)

(2,401,692)

318,246

10.7

New

York

Times

Co.

(The)

(64,740)

(2,721,022)

(91,158)

(3.1)

PNM

Resources,

Inc.

(99,856)

(3,838,465)

345,502

11.6

RH

(10,259)

(2,553,465)

31,905

1.1

Southwest

Gas

Holdings,

Inc.

(31,791)

(2,195,169)

173,579

5.8

Splunk,

Inc.

(12,978)

(2,578,729)

(191,685)

(6.4)

Stericycle,

Inc.

(45,724)

(2,559,630)

330,127

11.1

SVB

Financial

Group

(10,170)

(2,191,940)

190,993

6.4

Taubman

Centers,

Inc.

(64,178)

(2,423,361)

480,693

16.1

Truist

Financial

Corp.

(66,902)

(2,512,170)

477,011

16.0

United

Bankshares,

Inc.

(109,956)

(3,041,383)

466,213

15.6

VICI

Properties,

Inc.

(123,493)

(2,493,324)

223,522

7.5

Visa,

Inc.

(14,498)

(2,800,579)

85,683

2.9

Xcel

Energy,

Inc.

(48,441)

(3,027,562)

187,467

6.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.58%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-62

months

maturity

ranging

from

01/21/2025

-

06/11/2025

$73,037,830

$98,307

$(43,906)

$54,401

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Atco

Ltd.

44,393

1,316,814

99,465

182.8

Bank

of

Montreal

15,504

825,220

(44,063)

(81.0)

Bank

of

Nova

Scotia

(The)

17,424

721,037

(28,540)

(52.5)

Canadian

Imperial

Bank

of

Commerce

15,750

1,052,707

(37,870)

(69.6)

Canadian

Utilities

Ltd.

31,130

775,040

46,491

85.5

Cenovus

Energy,

Inc.

243,387

1,138,412

17,949

33.0

103

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

CGI,

Inc.

10,630

669,699

(12,480)

(22.9)

CI

Financial

Corp.

88,770

1,129,241

24,858

45.7

Empire

Co.

Ltd.

103,285

2,473,332

98,818

181.6

Finning

International,

Inc.

82,348

1,122,762

(50,104)

(92.1)

George

Weston

Ltd.

10,149

743,458

13,371

24.6

iA

Financial

Corp.,

Inc.

26,022

871,361

(39,393)

(72.4)

Kinross

Gold

Corp.

180,709

1,304,470

166,186

305.5

Linamar

Corp.

50,568

1,367,005

(89,028)

(163.7)

Magna

International,

Inc.

41,156

1,832,861

3,137

5.8

Manulife

Financial

Corp.

93,530

1,272,465

(9,514)

(17.5)

Onex

Corp.

20,700

935,129

4,001

7.4

Open

Text

Corp.

19,819

841,607

(966)

(1.8)

TFI

International,

Inc.

22,529

799,700

49,204

90.4

Thomson

Reuters

Corp.

11,756

798,743

(3,510)

(6.5)

Tourmaline

Oil

Corp.

76,124

665,580

17,724

32.6

Yamana

Gold,

Inc.

156,978

853,342

84,316

155.0

United

States

BRP,

Inc.

39,031

1,664,625

61,073

112.3

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(35,698)

(1,570,070)

(160,224)

(294.5)

Canada

Algonquin

Power

&

Utilities

Corp.

(66,711)

(862,388)

61,246

112.6

AltaGas

Ltd.

(68,137)

(785,463)

10,346

19.0

BCE,

Inc.

(16,471)

(686,939)

8,898

16.4

Brookfield

Asset

Management,

Inc.

(43,348)

(1,426,627)

73,526

135.2

Cameco

Corp.

(139,578)

(1,431,147)

(14,931)

(27.4)

Canada

Goose

Holdings,

Inc.

(50,787)

(1,179,144)

38,187

70.2

Element

Fleet

Management

Corp.

(265,108)

(1,978,156)

(35,004)

(64.3)

Emera,

Inc.

(32,733)

(1,288,006)

20,183

37.1

Enbridge,

Inc.

(39,467)

(1,200,057)

43,615

80.2

Franco-Nevada

Corp.

(7,956)

(1,111,414)

(76,764)

(141.1)

Innergex

Renewable

Energy,

Inc.

(46,510)

(654,347)

(2,064)

(3.8)

Intact

Financial

Corp.

(12,360)

(1,176,367)

22,681

41.7

Inter

Pipeline

Ltd.

(74,343)

(692,174)

(10,382)

(19.1)

Metro,

Inc.

(18,246)

(752,634)

8,590

15.8

PrairieSky

Royalty

Ltd.

(106,656)

(674,063)

28,968

53.2

Premium

Brands

Holdings

Corp.

(14,040)

(895,598)

19,292

35.5

Restaurant

Brands

International,

Inc.

(32,157)

(1,750,207)

57,148

105.0

Rogers

Communications,

Inc.

(18,311)

(735,758)

35,077

64.5

Royal

Bank

of

Canada

(15,250)

(1,034,677)

1,784

3.3

Saputo,

Inc.

(38,447)

(916,713)

793

1.5

Shopify,

Inc.

(767)

(728,678)

(101,457)

(186.5)

SNC-Lavalin

Group,

Inc.

(103,275)

(1,742,804)

(18,745)

(34.5)

TC

Energy

Corp.

(40,019)

(1,709,710)

51,942

95.5

TMX

Group

Ltd.

(9,865)

(975,382)

(19,900)

(36.6)

West

Fraser

Timber

Co.

Ltd.

(25,727)

(904,311)

(88,266)

(162.3)

WSP

Global,

Inc.

(10,499)

(643,891)

11,518

21.2

104

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-62

months

maturity

ranging

from

01/21/2025

-

06/11/2025

$40,859,794

$240,193

$47,272

$287,465

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Italy

A2A

SpA

2,172,452

3,088,003

(108,355)

(37.7)

Assicurazioni

Generali

SpA

99,441

1,510,536

(9,423)

(3.3)

Banca

Generali

SpA

42,636

1,282,008

14,622

5.1

Banco

BPM

SpA

643,095

963,238

(31,484)

(11.0)

BPER

Banca

664,226

1,660,503

(131,931)

(45.9)

Buzzi

Unicem

SpA

24,239

523,749

(17,120)

(6.0)

DiaSorin

SpA

7,470

1,434,581

5,681

2.0

Enel

SpA

69,411

600,297

15,081

5.2

Ferrari

NV

5,917

1,013,555

10,433

3.6

Hera

SpA

627,016

2,354,289

(111,308)

(38.7)

Italgas

SpA

430,611

2,506,000

(39,084)

(13.6)

Leonardo

SpA

26,634

177,551

(19,388)

(6.7)

Poste

Italiane

SpA

171,393

1,497,159

(129,393)

(45.0)

Prysmian

SpA

3,745

86,878

3,206

1.1

Snam

SpA

93,701

456,807

(17,390)

(6.0)

Terna

Rete

Elettrica

Nazionale

SpA

30,672

211,562

(5,329)

(1.9)

Unipol

Gruppo

SpA

333,368

1,302,298

11,703

4.1

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(38,766)

(1,035,635)

26,964

9.4

Atlantia

SpA

(50,851)

(822,532)

15,792

5.5

Autogrill

SpA

(20,063)

(105,931)

9,816

3.4

Davide

Campari-Milano

SpA

(77,432)

(654,839)

5,430

1.9

Eni

SpA

(281,460)

(2,698,080)

115,123

40.0

FinecoBank

Banca

Fineco

SpA

(288,795)

(3,908,572)

119,102

41.4

Freni

Brembo

SpA

(179,774)

(1,669,719)

(9,829)

(3.4)

Mediobanca

Banca

di

Credito

Finanziario

SpA

(74,935)

(541,128)

52,266

18.2

Pirelli

&

C

SpA

(636,672)

(2,708,621)

152,048

52.9

Saipem

SpA

(358,302)

(899,020)

61,073

21.2

Salvatore

Ferragamo

SpA

(79,373)

(1,076,338)

77,840

27.1

Telecom

Italia

SpA

(1,274,019)

(502,392)

33,022

11.5

UniCredit

SpA

(74,869)

(690,982)

15,336

5.3

Luxembourg

Tenaris

SA

(256,040)

(1,663,907)

134,470

46.8

105

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

CNH

Industrial

NV

(172,666)

(1,213,084)

(8,781)

(3.1)

NO.

OF

RIGHTS

Rights

Italy

Campari

International

Srl

(a)

(77,432)

–

–

0.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/21/2025

-

05/23/2025

$8,645,866

$(87,097)

$7,479

$(79,618)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

98,100

290,157

15,684

(19.7)

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,567,600

1,728,493

(86,180)

108.2

Singapore

ComfortDelGro

Corp.

Ltd.

870,800

915,132

(115,844)

145.5

Genting

Singapore

Ltd.

1,841,300

1,013,033

(4,372)

5.5

Singapore

Press

Holdings

Ltd.

166,000

152,098

(9,885)

12.4

Singapore

Telecommunications

Ltd.

69,400

123,456

(5,019)

6.3

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(276,800)

(584,780)

15,026

(18.9)

City

Developments

Ltd.

(66,300)

(405,164)

5,860

(7.4)

DBS

Group

Holdings

Ltd.

(66,300)

(997,605)

28,527

(35.8)

Jardine

Cycle

&

Carriage

Ltd.

(17,900)

(261,224)

12,874

(16.2)

Oversea-Chinese

Banking

Corp.

Ltd.

(73,600)

(479,709)

4,033

(5.1)

Singapore

Technologies

Engineering

Ltd.

(442,900)

(1,057,090)

39,299

(49.4)

United

Overseas

Bank

Ltd.

(35,500)

(518,721)

16,973

(21.3)

Venture

Corp.

Ltd.

(10,200)

(119,204)

(4,073)

5.1

106

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.96%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-62

months

maturity

ranging

from

01/22/2025

-

07/02/2025

$298,922,800

$1,060,414

$138,153

$1,198,567

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AbbVie,

Inc.

21,037

2,065,413

51,330

4.3

Alexion

Pharmaceuticals,

Inc.

24,702

2,772,552

(81,023)

(6.8)

AmerisourceBergen

Corp.

18,066

1,820,511

11,201

0.9

Apple,

Inc.

6,790

2,476,992

89,696

7.5

Arrow

Electronics,

Inc.

51,415

3,531,696

105,915

8.8

Avnet,

Inc.

108,552

3,026,973

67,673

5.6

Baxter

International,

Inc.

28,879

2,486,482

28,879

2.4

Biogen,

Inc.

10,067

2,693,426

(140,032)

(11.7)

Bio-Rad

Laboratories,

Inc.

5,694

2,570,784

(22,776)

(1.9)

Cardinal

Health,

Inc.

42,905

2,239,212

(63,070)

(5.3)

Cisco

Systems,

Inc.

40,905

1,907,809

19,225

1.6

Crane

Co.

37,268

2,215,955

122,612

10.2

Gilead

Sciences,

Inc.

30,850

2,373,599

98,103

8.2

Hologic,

Inc.

54,647

3,114,879

237,459

19.8

Howmet

Aerospace,

Inc.

117,344

1,859,902

123,211

10.3

HP,

Inc.

178,008

3,102,679

108,585

9.1

Humana,

Inc.

5,613

2,176,441

43,501

3.6

Jabil,

Inc.

57,530

1,845,562

(44,873)

(3.7)

Johnson

Controls

International

plc

106,294

3,628,877

(117,986)

(9.8)

Lockheed

Martin

Corp.

4,869

1,776,795

(83,698)

(7.0)

NewMarket

Corp.

5,825

2,332,796

(71,881)

(6.0)

PRA

Health

Sciences,

Inc.

18,144

1,765,230

23,406

2.0

QIAGEN

NV

78,521

3,361,484

26,697

2.2

Raytheon

Technologies

Corp.

29,027

1,788,644

(153,263)

(12.8)

Regal

Beloit

Corp.

32,837

2,867,327

100,810

8.4

Regeneron

Pharmaceuticals,

Inc.

2,971

1,852,864

61,054

5.1

SYNNEX

Corp.

14,857

1,779,423

276,339

23.1

Timken

Co.

(The)

47,114

2,143,216

42,403

3.5

Vishay

Intertechnology,

Inc.

138,761

2,118,880

(36,078)

(3.0)

WESCO

International,

Inc.

50,434

1,770,738

(210,815)

(17.6)

World

Fuel

Services

Corp.

87,504

2,254,103

35,002

2.9

107

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Boeing

Co.

(The)

(18,641)

(3,416,895)

172,243

14.4

Catalent,

Inc.

(31,752)

(2,327,422)

(64,457)

(5.4)

Cognex

Corp.

(34,877)

(2,082,854)

(110,415)

(9.2)

Covetrus,

Inc.

(120,624)

(2,157,963)

19,300

1.6

Deere

&

Co.

(12,478)

(1,960,918)

(20,464)

(1.7)

Dycom

Industries,

Inc.

(53,018)

(2,167,906)

(14,845)

(1.2)

Exact

Sciences

Corp.

(20,222)

(1,758,101)

5,258

0.4

HealthEquity,

Inc.

(40,169)

(2,356,715)

101,226

8.4

HEICO

Corp.

(21,006)

(2,093,248)

243,669

20.3

Hess

Corp.

(57,641)

(2,986,380)

(80,697)

(6.7)

II-VI,

Inc.

(89,245)

(4,214,149)

89,307

7.5

Ingersoll

Rand,

Inc.

(125,365)

(3,525,263)

179,271

15.0

Insulet

Corp.

(10,626)

(2,064,207)

(3,364)

(0.3)

Ligand

Pharmaceuticals,

Inc.

(22,960)

(2,568,076)

(15,154)

(1.3)

Nektar

Therapeutics

(90,806)

(2,103,067)

(131,669)

(11.0)

Penumbra,

Inc.

(14,115)

(2,524,044)

(104,733)

(8.7)

Repligen

Corp.

(14,204)

(1,755,756)

(92,184)

(7.7)

Trex

Co.,

Inc.

(20,744)

(2,698,172)

(199,973)

(16.7)

ViaSat,

Inc.

(51,687)

(1,983,230)

152,477

12.7

(a)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-40

months

maturity

05/12/2021

$60,860,572

$(1,272,696)

$(6,825)

$(1,279,521)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

170,781

2,546,098

(379,071)

29.6

Switzerland

Adecco

Group

AG

(Registered)

98,078

4,622,965

(54,982)

4.3

Bucher

Industries

AG

(Registered)

543

156,846

(412)

0.0

Credit

Suisse

Group

AG

(Registered)

212,377

2,209,755

13,926

(1.1)

dormakaba

Holding

AG

1,857

1,014,121

(78,533)

6.1

Flughafen

Zurich

AG

(Registered)

4,376

571,537

(20,530)

1.6

Geberit

AG

(Registered)

2,944

1,477,111

2,952

(0.2)

108

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Helvetia

Holding

AG

(Registered)

13,323

1,247,964

(61,053)

4.8

LafargeHolcim

Ltd.

(Registered)

24,743

1,090,079

(4,149)

0.3

Logitech

International

SA

(Registered)

22,774

1,492,367

67,888

(5.3)

Nestle

SA

(Registered)

5,804

643,493

(17,605)

1.4

Novartis

AG

(Registered)

49,436

4,306,917

(133,763)

10.5

OC

Oerlikon

Corp.

AG

(Registered)

19,847

162,809

560

(0.0)

Roche

Holding

AG

18,753

6,496,968

(223,906)

17.5

Schindler

Holding

AG

432

102,237

(49)

0.0

Sonova

Holding

AG

(Registered)

16,683

3,339,524

(262,806)

20.5

Sunrise

Communications

Group

AG

1,949

173,357

10,001

(0.8)

UBS

Group

AG

(Registered)

5,283

61,014

2,024

(0.2)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(144,125)

(3,269,178)

(158,037)

12.4

Alcon,

Inc.

(24,103)

(1,384,940)

95,478

(7.5)

Chocoladefabriken

Lindt

&

Spruengli

AG

(36)

(297,336)

(4,374)

0.3

Clariant

AG

(Registered)

(38,167)

(751,160)

(11,675)

0.9

Dufry

AG

(Registered)

(40,964)

(1,227,016)

253,260

(19.8)

EMS-Chemie

Holding

AG

(Registered)

(597)

(463,811)

(18,585)

1.5

Idorsia

Ltd.

(52,273)

(1,680,129)

(26,303)

2.1

Julius

Baer

Group

Ltd.

(9,887)

(415,230)

10,933

(0.9)

Lonza

Group

AG

(Registered)

(2,185)

(1,157,390)

(15,871)

1.2

Partners

Group

Holding

AG

(28)

(25,499)

(997)

0.1

Sika

AG

(Registered)

(12,039)

(2,320,788)

5,584

(0.4)

Straumann

Holding

AG

(Registered)

(3,008)

(2,600,376)

(96,641)

7.6

Swiss

Re

AG

(42,591)

(3,302,274)

48,280

(3.8)

Temenos

AG

(Registered)

(50,476)

(7,845,178)

(269,337)

21.0

Vifor

Pharma

AG

(14,572)

(2,204,554)

56,242

(4.4)

Zurich

Insurance

Group

AG

(566)

(200,551)

(1,145)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-37

months

maturity

02/12/2021

$40,036,376

$(678,705)

$(3,450)

$(682,155)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

109

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

823

964,562

(52,893)

7.8

Carlsberg

A/S

49,162

6,519,282

(125,854)

18.4

Coloplast

A/S

4,888

761,883

(18,366)

2.7

FLSmidth

&

Co.

A/S

48,638

1,414,730

20,850

(3.1)

Genmab

A/S

2,005

676,072

43,770

(6.4)

GN

Store

Nord

A/S

58,151

3,112,847

(91,816)

13.5

H

Lundbeck

A/S

29,127

1,100,547

(34,572)

5.1

Novo

Nordisk

A/S

63,714

4,150,823

(123,361)

18.1

Pandora

A/S

59,029

3,223,839

(76,045)

11.1

ROCKWOOL

International

A/S

6,922

1,883,852

(1,853)

0.3

Short

Positions

Common

Stocks

Denmark

Chr

Hansen

Holding

A/S

(46,353)

(4,781,102)

(104,229)

15.3

DSV

Panalpina

A/S

(46,209)

(5,676,081)

(324,171)

47.5

ISS

A/S

(97,306)

(1,545,073)

296,952

(43.5)

Novozymes

A/S

(34,175)

(1,981,327)

(34,506)

5.1

Orsted

A/S

(16,479)

(1,904,788)

(53,241)

7.8

Vestas

Wind

Systems

A/S

(3,316)

(339,568)

630

(0.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-37

months

maturity

12/16/2020

$218,886,807

$308,890

$613,412

$922,302

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

70,885

2,512,147

(115,485)

(12.5)

UCB

SA

43,442

5,041,291

(147,920)

(16.0)

Finland

Fortum

OYJ

111,389

2,125,094

(55,363)

(6.0)

Kone

OYJ

31,789

2,192,469

31,574

3.4

UPM-Kymmene

OYJ

86,411

2,502,869

(80,560)

(8.7)

110

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Aurubis

AG

49,299

3,047,610

83,830

9.1

Bayer

AG

(Registered)

57,179

4,238,311

(194,789)

(21.1)

Deutsche

Post

AG

(Registered)

48,596

1,784,440

82,396

8.9

Fresenius

Medical

Care

AG

&

Co.

KGaA

50,075

4,307,946

(14,523)

(1.6)

HeidelbergCement

AG

74,930

4,011,135

(166,396)

(18.0)

HOCHTIEF

AG

40,428

3,597,259

2,207

0.2

HUGO

BOSS

AG

118,361

3,587,030

(262,902)

(28.5)

ProSiebenSat.1

Media

SE

182,913

2,185,848

88,195

9.6

Rheinmetall

AG

38,717

3,364,403

78,516

8.5

Software

AG

54,126

2,186,164

60,256

6.5

Netherlands

ASM

International

NV

20,396

3,139,896

343,252

37.2

ASR

Nederland

NV

131,945

4,059,601

46,276

5.0

Koninklijke

Ahold

Delhaize

NV

222,255

6,057,353

115,242

12.5

NN

Group

NV

66,876

2,247,554

(30,692)

(3.3)

Randstad

NV

45,024

2,013,250

23,166

2.5

Signify

NV

124,973

3,213,054

141,627

15.4

Spain

Enagas

SA

105,065

2,570,263

33,333

3.6

Endesa

SA

214,272

5,315,285

7,144

0.8

Naturgy

Energy

Group

SA

137,342

2,564,028

(55,948)

(6.1)

Red

Electrica

Corp.

SA

218,540

4,088,784

(137,858)

(14.9)

United

Kingdom

Dialog

Semiconductor

plc

65,196

2,980,022

191,082

20.7

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(68,732)

(3,388,243)

174,324

18.9

Umicore

SA

(133,069)

(6,281,403)

230,795

25.0

Finland

Nokian

Renkaat

OYJ

(122,204)

(2,686,216)

86,200

9.3

Sampo

OYJ

(62,134)

(2,141,747)

967

0.1

Germany

adidas

AG

(14,563)

(3,839,562)

109,444

11.9

Beiersdorf

AG

(16,754)

(1,905,169)

(18,052)

(2.0)

Daimler

AG

(Registered)

(89,866)

(3,656,097)

80,180

8.7

Deutsche

Bank

AG

(Registered)

(231,255)

(2,206,196)

(14,596)

(1.6)

E.ON

SE

(171,887)

(1,940,205)

(26,605)

(2.9)

Hannover

Rueck

SE

(14,495)

(2,505,086)

39,979

4.3

Puma

SE

(32,407)

(2,512,676)

894

0.1

Sartorius

AG

(Preference)

(13,807)

(4,556,975)

68,308

7.4

Symrise

AG

(25,075)

(2,929,931)

(196,931)

(21.4)

United

Internet

AG

(Registered)

(73,882)

(3,139,029)

(142,056)

(15.4)

Zalando

SE

(38,626)

(2,740,150)

(127,280)

(13.8)

Netherlands

Adyen

NV

(1,484)

(2,162,185)

(28,126)

(3.0)

Heineken

NV

(41,808)

(3,855,025)

109,853

11.9

Koninklijke

DSM

NV

(16,234)

(2,253,571)

(60,351)

(6.5)

Koninklijke

Vopak

NV

(37,590)

(1,989,727)

69,734

7.6

SBM

Offshore

NV

(260,332)

(3,836,130)

115,043

12.5

Spain

Cellnex

Telecom

SA

(104,708)

(6,395,330)

(268,388)

(29.1)

Ferrovial

SA

(152,085)

(4,065,231)

238,928

25.9

Grifols

SA

(65,646)

(1,996,167)

74,703

8.1

United

Kingdom

Unilever

NV

(44,128)

(2,352,807)

103,602

11.2

111

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-37

months

maturity

02/12/2021

$12,083,522

$209,020

$(1,044)

$207,976

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

Leroy

Seafood

Group

ASA

236,584

1,427,818

27,165

13.1

Orkla

ASA

181,620

1,594,550

9,023

4.3

Salmar

ASA

41,996

2,011,836

67,552

32.5

Yara

International

ASA

68,521

2,388,801

(119,780)

(57.6)

Short

Positions

Common

Stocks

Norway

Equinor

ASA

(112,432)

(1,619,658)

53,567

25.8

Mowi

ASA

(11,269)

(214,806)

1,738

0.8

Norsk

Hydro

ASA

(293,548)

(818,965)

5,508

2.6

Schibsted

ASA

(10,664)

(279,271)

16,022

7.7

United

Kingdom

Subsea

7

SA

(270,949)

(1,727,817)

148,225

71.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-37

months

maturity

02/12/2021

$36,111,983

$274,921

$19,819

$294,740

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

112

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

13,143

289,937

9,329

3.2

Assa

Abloy

AB

8,764

179,377

(7,175)

(2.4)

Axfood

AB

8,624

188,538

132

0.0

Electrolux

AB

72,667

1,222,615

(27,622)

(9.4)

Electrolux

Professional

AB

36,293

132,942

4,704

1.6

Essity

AB

134,505

4,360,841

25,190

8.5

Getinge

AB

162,296

3,024,284

(133,635)

(45.3)

Hennes

&

Mauritz

AB

88,471

1,291,349

(97,904)

(33.2)

Sandvik

AB

63,242

1,190,579

117,586

39.9

Securitas

AB

30,856

417,242

9,463

3.2

Skanska

AB

37,708

769,819

12,827

4.4

SKF

AB

16,003

299,153

3,641

1.2

Swedbank

AB

15,367

197,326

(3,109)

(1.1)

Swedish

Match

AB

16,507

1,164,662

22,606

7.7

Swedish

Orphan

Biovitrum

AB

89,403

2,072,957

58,896

20.0

Telefonaktiebolaget

LM

Ericsson

271,654

2,518,112

(7,837)

(2.7)

Trelleborg

AB

47,916

703,012

24,661

8.4

Volvo

AB

70,324

1,106,541

(6,895)

(2.3)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(61,891)

(1,629,302)

8,115

2.8

Sweden

AAK

AB

(19,613)

(338,522)

13,215

4.5

Atlas

Copco

AB

(50,638)

(2,156,442)

6,306

2.1

BillerudKorsnas

AB

(94,095)

(1,350,534)

40,669

13.8

Elekta

AB

(96,158)

(895,748)

20,199

6.9

Hexagon

AB

(6,874)

(403,680)

(4,806)

(1.6)

Hexpol

AB

(50,208)

(374,647)

18,281

6.2

Nibe

Industrier

AB

(8,325)

(184,647)

1,311

0.4

Saab

AB

(118,555)

(2,979,800)

35,104

11.9

SSAB

AB

(234,056)

(648,199)

10,884

3.7

Svenska

Cellulosa

AB

SCA

(167,023)

(1,997,791)

81,681

27.7

Svenska

Handelsbanken

AB

(134,568)

(1,277,767)

50,450

17.1

Tele2

AB

(43,551)

(579,744)

(5,136)

(1.7)

Telia

Co.

AB

(44,337)

(165,874)

(6,210)

(2.1)

113

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

390,000

$

–

$

390,000

BARC

Cash

–

4,973,673

4,973,673

U.S.

Treasury

Bills

–

15,189,934

15,189,934

CITI

Cash

(90,172)

–

(90,172)

Investment

Companies

1,847,745

–

1,847,745

DTBK

Cash

54,166,762

–

54,166,762

GSIN

Cash

(3,460,070)

–

(3,460,070)

U.S.

Treasury

Bills

31,974,399

–

31,974,399

JPMC

Investment

Companies

31,625,999

–

31,625,999

MSIP

U.S.

Treasury

Bills

22,544,245

–

22,544,245

114

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

110.0%

COMMON

STOCKS

-

27.8%

Australia

-

0.6%

AMP

Ltd.

(2)*

2,386

3,087

Aurizon

Holdings

Ltd.

(2)

40,500

137,816

BHP

Group

Ltd.

(2)

2,222

55,323

BHP

Group

plc

(2)

755

15,450

BlueScope

Steel

Ltd.

(2)

20,764

171,051

Challenger

Ltd.

(2)

4,748

14,703

CIMIC

Group

Ltd.

(2)

331

5,562

Flight

Centre

Travel

Group

Ltd.

(2)

1,813

14,172

Fortescue

Metals

Group

Ltd.

(2)

31,834

309,481

Newcrest

Mining

Ltd.

(2)

423

9,380

Northern

Star

Resources

Ltd.

(2)

633

5,970

Qantas

Airways

Ltd.

(2)

7,677

20,343

Santos

Ltd.

(2)

6,257

23,255

South32

Ltd.

(2)

19,482

27,581

Treasury

Wine

Estates

Ltd.

(2)

1,830

13,315

826,489

—

Austria

-

0.1%

ams

AG

(2)*

6,983

104,106

Belgium

-

0.0%

(a)

Ageas

SA/NV

(2)

466

16,515

Canada

-

0.8%

Agnico

Eagle

Mines

Ltd.

232

14,855

Barrick

Gold

Corp.

772

20,773

Canadian

Natural

Resources

Ltd.

3,098

53,740

Cenovus

Energy,

Inc.

63,349

296,308

Keyera

Corp.

666

10,140

Kinross

Gold

Corp.

*

36,717

265,047

Magna

International,

Inc.

(b)

111

4,943

Manulife

Financial

Corp.

1,399

19,033

Nutrien

Ltd.

162

5,205

Onex

Corp.

5,151

232,698

Shopify,

Inc.,

Class

A

*

116

110,204

Teck

Resources

Ltd.,

Class

B

8,606

90,142

Yamana

Gold,

Inc.

1,458

7,926

1,131,014

—

China

-

0.1%

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

228,300

153,690

Denmark

-

0.4%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

35

41,020

FLSmidth

&

Co.

A/S

(2)*

208

6,050

Genmab

A/S

(2)*

188

63,392

Novo

Nordisk

A/S,

Class

B

(2)

1,684

109,709

Pandora

A/S

(2)(b)

4,657

254,340

ROCKWOOL

International

A/S,

Class

B

(2)

36

9,798

484,309

—

Finland

-

0.2%

Fortum

OYJ

(2)

1,349

25,736

Huhtamaki

OYJ

(2)*

143

5,657

Nokia

OYJ

(2)

3,331

14,556

Orion

OYJ,

Class

B

(2)

4,107

199,167

INVESTMENTS

SHARES

VALUE

($)

Finland

-

0.2%

(continued)

UPM-Kymmene

OYJ

(2)

562

16,278

261,394

—

France

-

0.7%

Atos

SE

(2)*(c)

2,629

225,392

BNP

Paribas

SA

(2)*

836

33,402

Cie

de

Saint-Gobain

(2)*

292

10,536

Electricite

de

France

SA

(2)

16,594

154,276

Engie

SA

(2)*(b)

790

9,798

Eutelsat

Communications

SA

(2)

597

5,522

Natixis

SA

(2)*

6,495

17,131

Orange

SA

(2)

1,612

19,276

Peugeot

SA

(2)*(b)

20,906

342,839

Publicis

Groupe

SA

(2)

189

6,140

Sanofi

(2)

230

23,456

Societe

BIC

SA

(2)

880

44,809

Sopra

Steria

Group

(2)

49

6,062

898,639

—

Germany

-

1.0%

Aurubis

AG

(2)

2,481

153,373

Bayer

AG

(Registered)

(2)(b)

5,802

430,065

Covestro

AG

(2)(d)

583

22,205

Deutsche

Post

AG

(Registered)

(2)

245

8,996

Fresenius

Medical

Care

AG

&

Co.

KGaA

(2)

1,023

88,009

HeidelbergCement

AG

(2)

3,316

177,511

HelloFresh

SE

(2)*

1,044

55,849

HOCHTIEF

AG

(2)

519

46,180

HUGO

BOSS

AG

(2)

1,756

53,217

Infineon

Technologies

AG

(2)

1,568

36,742

ProSiebenSat.1

Media

SE

(2)*

12,869

153,787

Rheinmetall

AG

(2)

1,183

102,800

Software

AG

(2)

554

22,376

Volkswagen

AG

(Preference)

(2)

418

63,536

1,414,646

—

Ghana

-

0.0%

(a)

Kosmos

Energy

Ltd.

11,617

19,284

Hong

Kong

-

0.4%

CK

Asset

Holdings

Ltd.

(2)

11,500

68,963

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

1,400

59,628

Kerry

Properties

Ltd.

(2)

61,000

158,456

WH

Group

Ltd.

(2)(d)

185,500

160,308

Yue

Yuen

Industrial

Holdings

Ltd.

(2)

39,500

60,209

507,564

—

Ireland

-

0.0%

(a)

Flutter

Entertainment

plc

(2)

40

5,244

Italy

-

0.3%

A2A

SpA

(2)

87,513

124,394

Banca

Generali

SpA

(2)

406

12,208

Banco

BPM

SpA

(2)

48,881

73,215

Enel

SpA

(2)

526

4,549

Hera

SpA

(2)*

3,242

12,173

Poste

Italiane

SpA

(2)(d)

4,804

41,964

115

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

0.3%

(continued)

Unipol

Gruppo

SpA

(2)*

28,316

110,616

379,119

—

Japan

-

1.6%

Alfresa

Holdings

Corp.

(2)

800

16,769

Alps

Alpine

Co.

Ltd.

(2)

800

10,311

Azbil

Corp.

(2)

400

12,226

Benesse

Holdings,

Inc.

(2)

900

24,138

Brother

Industries

Ltd.

(2)

1,100

19,874

Calbee,

Inc.

(2)

1,400

38,696

Capcom

Co.

Ltd.

(2)

800

29,283

Electric

Power

Development

Co.

Ltd.

(2)

600

11,374

ENEOS

Holdings,

Inc.

(2)

13,300

47,409

Fujitsu

Ltd.

(2)

400

46,833

GungHo

Online

Entertainment,

Inc.

(2)

3,030

54,174

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

100

5,406

Hitachi

Ltd.

(2)

1,200

38,142

Hoya

Corp.

(2)

800

76,607

Inpex

Corp.

(2)

3,200

19,982

Japan

Post

Insurance

Co.

Ltd.

(2)

1,500

19,765

JGC

Holdings

Corp.

(2)

2,800

29,526

Kamigumi

Co.

Ltd.

(2)

5,300

104,232

Kinden

Corp.

(2)

600

9,916

Koito

Manufacturing

Co.

Ltd.

(2)

1,500

60,689

Konami

Holdings

Corp.

(2)

1,400

46,716

K's

Holdings

Corp.

(2)

800

10,928

Mabuchi

Motor

Co.

Ltd.

(2)

300

9,573

Marubeni

Corp.

(2)

13,100

59,505

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

5,300

80,610

Mitsubishi

UFJ

Financial

Group,

Inc.

(2)

2,300

9,052

Nifco,

Inc.

(2)

300

6,418

Nikon

Corp.

(2)

5,100

42,831

Nintendo

Co.

Ltd.

(2)

400

178,828

Nippon

Express

Co.

Ltd.

(2)

200

10,371

Nitto

Denko

Corp.

(2)

1,000

56,690

Nomura

Research

Institute

Ltd.

(2)

900

24,581

NS

Solutions

Corp.

(2)

1,000

27,356

NTT

DOCOMO,

Inc.

(2)

900

23,893

Obayashi

Corp.

(2)

5,600

52,648

ORIX

Corp.

(2)

1,300

16,142

Panasonic

Corp.

(2)

2,400

21,046

Resona

Holdings,

Inc.

(2)

31,700

108,474

Ricoh

Co.

Ltd.

(2)

2,500

17,939

Rohto

Pharmaceutical

Co.

Ltd.

(2)

2,000

63,531

Sankyo

Co.

Ltd.

(2)

1,000

24,205

Sankyu,

Inc.

(2)

300

11,307

Shimamura

Co.

Ltd.

(2)

100

6,773

Shimizu

Corp.

(2)

4,400

36,248

Shinsei

Bank

Ltd.

(2)

8,400

101,600

Shionogi

&

Co.

Ltd.

(2)

200

12,547

Showa

Denko

KK

(2)

600

13,543

Sojitz

Corp.

(2)

2,200

4,809

Sony

Corp.

(2)

800

55,224

SUMCO

Corp.

(2)

1,100

16,912

INVESTMENTS

SHARES

VALUE

($)

Japan

-

1.6%

(continued)

Sumitomo

Mitsui

Financial

Group,

Inc.

(2)

900

25,400

Suzuken

Co.

Ltd.

(2)

500

18,680

Taiheiyo

Cement

Corp.

(2)

3,400

78,996

Taisei

Corp.

(2)

200

7,289

Teijin

Ltd.

(2)

2,100

33,435

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*

22,400

68,907

Toshiba

Corp.

(2)

800

25,664

Tosoh

Corp.

(2)

1,500

20,605

Toyo

Seikan

Group

Holdings

Ltd.

(2)

1,100

12,405

Toyota

Boshoku

Corp.

(2)

1,900

25,622

2,142,655

—

Netherlands

-

0.6%

ASM

International

NV

(2)

1,094

168,418

ASML

Holding

NV

(2)

63

23,046

ASR

Nederland

NV

(2)

2,265

69,688

ING

Groep

NV

(2)

5,135

35,796

Koninklijke

Ahold

Delhaize

NV

(2)

(b)

11,381

310,179

Randstad

NV

(2)*

1,623

72,572

Royal

Dutch

Shell

plc,

Class

A

(2)

369

5,908

Royal

Dutch

Shell

plc,

Class

B

(2)

2,989

45,314

Signify

NV

(2)*(d)

2,213

56,896

787,817

—

Norway

-

0.1%

Leroy

Seafood

Group

ASA

(2)

1,700

10,260

Orkla

ASA

(2)

635

5,575

Yara

International

ASA

(2)

4,213

146,875

162,710

—

Russia

-

0.0%

(a)

Evraz

plc

(2)(c)

18,880

66,893

Singapore

-

0.0%

(a)

Genting

Singapore

Ltd.

(2)

47,600

26,188

Venture

Corp.

Ltd.

(2)

1,200

14,024

40,212

—

Spain

-

0.0%

(a)

Bankia

SA

(2)

17,424

18,628

Enagas

SA

(2)

242

5,920

Repsol

SA

(2)

2,355

20,809

45,357

—

Sweden

-

0.3%

Evolution

Gaming

Group

AB

(2)(d)

840

49,892

Getinge

AB,

Class

B

(2)

13,810

257,341

Hennes

&

Mauritz

AB,

Class

B

(2)

2,681

39,133

Swedish

Orphan

Biovitrum

AB

(2)*

634

14,700

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)(c)

1,955

18,122

Trelleborg

AB,

Class

B

(2)*

419

6,147

385,335

—

116

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

0.6%

Adecco

Group

AG

(Registered)

(2)

1,480

69,761

BKW

AG

(2)

70

6,285

Coca-Cola

HBC

AG

(2)

377

9,437

Credit

Suisse

Group

AG

(Registered)

(2)

4,709

48,997

Helvetia

Holding

AG

(Registered)

(2)

59

5,527

LafargeHolcim

Ltd.

(Registered)

(2)*

361

15,904

Logitech

International

SA

(Registered)

(2)

499

32,699

Nestle

SA

(Registered)

(2)

164

18,183

Novartis

AG

(Registered)

(2)

2,335

203,427

Roche

Holding

AG

(2)(b)

1,123

389,062

Sonova

Holding

AG

(Registered)

(2)*

141

28,225

UBS

Group

AG

(Registered)

(2)

1,094

12,635

840,142

—

United

Kingdom

-

1.4%

Aggreko

plc

(2)

18,053

99,282

Aviva

plc

(2)

22,782

77,217

Balfour

Beatty

plc

(2)

4,955

15,952

Barclays

plc

(2)

7,014

9,895

Bellway

plc

(2)

5,379

169,418

Berkeley

Group

Holdings

plc

(2)

1,338

68,907

boohoo

Group

plc

(2)*

6,114

31,309

BT

Group

plc

(2)

117,688

166,440

Centrica

plc

(2)

8,852

4,206

CK

Hutchison

Holdings

Ltd.

(2)

13,000

84,183

Dialog

Semiconductor

plc

(2)*

3,713

169,716

Dunelm

Group

plc

(2)

2,365

34,842

Fiat

Chrysler

Automobiles

NV

(2)*

837

8,469

Inchcape

plc

(2)

8,903

54,105

JD

Sports

Fashion

plc

(2)

6,763

52,053

Kingfisher

plc

(2)

32,286

88,825

M&G

plc

(2)

28,817

59,837

Man

Group

plc

(2)

5,116

8,283

Marks

&

Spencer

Group

plc

(2)

30,223

37,061

Micro

Focus

International

plc

(2)

3,411

18,198

Moneysupermarket.com

Group

plc

(2)

46,456

186,354

National

Grid

plc

(2)

459

5,600

Persimmon

plc

(2)

639

18,085

Royal

Mail

plc

(2)

85,830

193,445

Tate

&

Lyle

plc

(2)

22,690

187,572

Taylor

Wimpey

plc

(2)

22,712

40,087

1,889,341

—

United

States

-

18.6%

3M

Co.

718

112,001

Abbott

Laboratories

249

22,766

AbbVie,

Inc.

(b)

2,402

235,828

Activision

Blizzard,

Inc.

(b)

2,373

180,111

Acuity

Brands,

Inc.

253

24,222

Adobe,

Inc.

*(b)

620

269,892

Advanced

Micro

Devices,

Inc.

*

190

9,996

AGCO

Corp.

425

23,571

Akamai

Technologies,

Inc.

*

383

41,015

Alexion

Pharmaceuticals,

Inc.

*(b)

1,534

172,176

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

Alkermes

plc

*

3,398

65,938

Alliance

Data

Systems

Corp.

1,265

57,077

Allison

Transmission

Holdings,

Inc.

1,524

56,053

Allstate

Corp.

(The)

(b)

1,857

180,110

Ally

Financial,

Inc.

581

11,521

Alphabet,

Inc.,

Class

A

*(b)

241

341,749

Alphabet,

Inc.,

Class

C

*(b)

212

299,684

Amazon.com,

Inc.

*(b)

355

979,380

AMC

Networks,

Inc.,

Class

A

*

2,474

57,867

Amdocs

Ltd.

2,290

139,415

American

Tower

Corp.,

REIT

324

83,767

Ameriprise

Financial,

Inc.

492

73,820

AmerisourceBergen

Corp.

855

86,158

Amgen,

Inc.

487

114,864

Analog

Devices,

Inc.

626

76,773

Anthem,

Inc.

305

80,209

Apple,

Inc.

(b)

3,306

1,206,028

Applied

Materials,

Inc.

(b)

3,150

190,418

Arrow

Electronics,

Inc.

*(b)

2,552

175,297

Associated

Banc-Corp.

2,395

32,764

Assured

Guaranty

Ltd.

910

22,213

Autodesk,

Inc.

*

516

123,422

AutoNation,

Inc.

*

1,062

39,910

AutoZone,

Inc.

*

23

25,947

Avnet,

Inc.

(b)

6,325

176,373

Bank

of

New

York

Mellon

Corp.

(The)

(b)

4,283

165,538

Bausch

Health

Cos.,

Inc.

*

3,572

65,357

Baxter

International,

Inc.

1,163

100,134

Becton

Dickinson

and

Co.

204

48,811

Bed

Bath

&

Beyond,

Inc.

700

7,420

Berkshire

Hathaway,

Inc.,

Class

B

*(b)

966

172,441

Best

Buy

Co.,

Inc.

(b)

2,325

202,903

Biogen,

Inc.

*(b)

765

204,676

Bio-Rad

Laboratories,

Inc.,

Class

A

*

139

62,757

Booking

Holdings,

Inc.

*

34

54,140

Boston

Scientific

Corp.

*

2,401

84,299

Boyd

Gaming

Corp.

365

7,629

Brinker

International,

Inc.

2,486

59,664

Bristol-Myers

Squibb

Co.

641

37,691

Broadcom,

Inc.

429

135,397

Bunge

Ltd.

156

6,416

Cabot

Corp.

2,794

103,518

Cabot

Oil

&

Gas

Corp.

1,113

19,121

CACI

International,

Inc.,

Class

A

*(b)

482

104,536

Cadence

Design

Systems,

Inc.

*

472

45,293

Cardinal

Health,

Inc.

2,368

123,586

Caterpillar,

Inc.

56

7,084

CDK

Global,

Inc.

1,179

48,834

CDW

Corp.

50

5,809

Celanese

Corp.

406

35,054

Centene

Corp.

*

62

3,940

Charles

River

Laboratories

International,

Inc.

*

90

15,692

Chevron

Corp.

341

30,427

Ciena

Corp.

*

343

18,577

Cigna

Corp.

126

23,644

117

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

Cimarex

Energy

Co.

293

8,055

Cinemark

Holdings,

Inc.

3,709

42,839

Cirrus

Logic,

Inc.

*

1,470

90,817

Cisco

Systems,

Inc.

(b)

6,247

291,359

Citigroup,

Inc.

784

40,062

Citizens

Financial

Group,

Inc.

1,618

40,838

CNO

Financial

Group,

Inc.

626

9,747

CNX

Resources

Corp.

*

583

5,043

Coca-Cola

Co.

(The)

621

27,746

Cognizant

Technology

Solutions

Corp.,

Class

A

2,819

160,176

Colgate-Palmolive

Co.

1,469

107,619

Comcast

Corp.,

Class

A

177

6,899

Comerica,

Inc.

470

17,907

CommVault

Systems,

Inc.

*

651

25,194

ConocoPhillips

1,600

67,232

Crane

Co.

261

15,519

Crown

Castle

International

Corp.,

REIT

311

52,046

Cummins,

Inc.

776

134,450

Curtiss-Wright

Corp.

883

78,834

CVS

Health

Corp.

1,522

98,884

Dana,

Inc.

909

11,081

Darden

Restaurants,

Inc.

558

42,280

Deckers

Outdoor

Corp.

*

412

80,913

Dell

Technologies,

Inc.,

Class

C

*

474

26,042

Delphi

Technologies

plc

*

737

10,473

Deluxe

Corp.

1,900

44,726

Dentsply

Sirona,

Inc.

255

11,235

Devon

Energy

Corp.

1,782

20,208

Digital

Realty

Trust,

Inc.,

REIT

191

27,143

Discover

Financial

Services

377

18,884

Dollar

General

Corp.

31

5,906

Domino's

Pizza,

Inc.

80

29,555

Dropbox,

Inc.,

Class

A

*

2,950

64,222

Dunkin'

Brands

Group,

Inc.

146

9,524

DuPont

de

Nemours,

Inc.

454

24,121

DXC

Technology

Co.

327

5,396

Eastman

Chemical

Co.

1,396

97,217

Eaton

Corp.

plc

820

71,734

eBay,

Inc.

2,157

113,135

Edwards

Lifesciences

Corp.

*(b)

1,476

102,006

Electronic

Arts,

Inc.

*(b)

1,503

198,471

Eli

Lilly

and

Co.

164

26,926

Emerson

Electric

Co.

754

46,771

EOG

Resources,

Inc.

1,185

60,032

Equinix,

Inc.,

REIT

61

42,840

Evercore,

Inc.,

Class

A

1,294

76,242

Exelixis,

Inc.

*

2,613

62,033

Exelon

Corp.

2,136

77,515

Extended

Stay

America,

Inc.

1,100

12,309

Exxon

Mobil

Corp.

607

27,145

Facebook,

Inc.,

Class

A

*(b)

2,665

605,141

Fair

Isaac

Corp.

*

14

5,853

Federated

Hermes,

Inc.,

Class

B

1,139

26,994

Fidelity

National

Financial,

Inc.

747

22,903

First

American

Financial

Corp.

179

8,596

First

Citizens

BancShares,

Inc.,

Class

A

92

37,262

First

Solar,

Inc.

*

242

11,979

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

Flex

Ltd.

*

5,588

57,277

Flowserve

Corp.

750

21,390

Foot

Locker,

Inc.

1,034

30,151

Fortinet,

Inc.

*

384

52,712

Fulton

Financial

Corp.

542

5,707

Gap,

Inc.

(The)

3,210

40,510

General

Dynamics

Corp.

418

62,474

General

Electric

Co.

4,386

29,956

General

Motors

Co.

1,915

48,450

Gilead

Sciences,

Inc.

(b)

2,359

181,501

Goldman

Sachs

Group,

Inc.

(The)

564

111,458

H&R

Block,

Inc.

1,396

19,935

Hanesbrands,

Inc.

2,192

24,748

HCA

Healthcare,

Inc.

120

11,647

HD

Supply

Holdings,

Inc.

*

1,878

65,073

Healthcare

Services

Group,

Inc.

680

16,633

Herman

Miller,

Inc.

(b)

5,465

129,029

Hershey

Co.

(The)

297

38,497

Hexcel

Corp.

850

38,437

Hill-Rom

Holdings,

Inc.

218

23,932

HollyFrontier

Corp.

2,503

73,088

Hologic,

Inc.

*(b)

2,972

169,404

Home

Depot,

Inc.

(The)

(b)

1,080

270,551

Honeywell

International,

Inc.

476

68,825

Horizon

Therapeutics

plc

*

482

26,790

Howmet

Aerospace,

Inc.

4,559

72,260

HP,

Inc.

(b)

10,198

177,751

Humana,

Inc.

(b)

341

132,223

Huntington

Ingalls

Industries,

Inc.

402

70,145

ICU

Medical,

Inc.

*

87

16,035

IDACORP,

Inc.

199

17,387

Incyte

Corp.

*

175

18,195

Ingredion,

Inc.

1,242

103,086

Intel

Corp.

(b)

8,348

499,460

International

Business

Machines

Corp.

(b)

1,776

214,488

International

Game

Technology

plc

6,156

54,788

International

Paper

Co.

3,682

129,643

Intuit,

Inc.

426

126,177

IQVIA

Holdings,

Inc.

*

654

92,790

ITT,

Inc.

1,289

75,716

J

M

Smucker

Co.

(The)

295

31,214

Jabil,

Inc.

2,525

81,002

Jack

in

the

Box,

Inc.

504

37,341

Jazz

Pharmaceuticals

plc

*

938

103,499

Johnson

&

Johnson

(b)

1,814

255,103

Johnson

Controls

International

plc

(b)

4,367

149,089

KB

Home

1,548

47,493

Kimberly-Clark

Corp.

(b)

1,368

193,367

Kinder

Morgan,

Inc.

4,111

62,364

Kohl's

Corp.

1,518

31,529

Kroger

Co.

(The)

381

12,897

L

Brands,

Inc.

1,879

28,129

Lam

Research

Corp.

459

148,468

Lions

Gate

Entertainment

Corp.,

Class

A

*

1,383

10,248

Lockheed

Martin

Corp.

194

70,794

Lowe's

Cos.,

Inc.

1,034

139,714

118

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

LyondellBasell

Industries

NV,

Class

A

894

58,754

Manhattan

Associates,

Inc.

*

181

17,050

ManpowerGroup,

Inc.

1,147

78,856

Marathon

Oil

Corp.

2,416

14,786

Mastercard,

Inc.,

Class

A

281

83,092

Maxim

Integrated

Products,

Inc.

788

47,761

McDonald's

Corp.

419

77,293

McKesson

Corp.

892

136,851

MEDNAX,

Inc.

*

2,392

40,903

Medtronic

plc

1,589

145,711

Merck

&

Co.,

Inc.

(b)

4,506

348,448

Mercury

General

Corp.

643

26,202

MetLife,

Inc.

1,953

71,324

MGIC

Investment

Corp.

4,870

39,885

Micron

Technology,

Inc.

*

2,857

147,193

Microsoft

Corp.

(b)

5,715

1,163,059

Molson

Coors

Beverage

Co.,

Class

B

584

20,066

Monster

Beverage

Corp.

*

1,091

75,628

Moody's

Corp.

196

53,847

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(b)

2,470

179,841

Murphy

USA,

Inc.

*

257

28,936

Mylan

NV

*

7,992

128,511

National

Instruments

Corp.

842

32,594

Navient

Corp.

1,987

13,969

NetApp,

Inc.

980

43,483

Netflix,

Inc.

*

147

66,891

NewMarket

Corp.

89

35,643

Newmont

Corp.

309

19,078

NIKE,

Inc.,

Class

B

348

34,121

Northrop

Grumman

Corp.

111

34,126

NortonLifeLock,

Inc.

4,429

87,827

NOW,

Inc.

*

5,508

47,534

nVent

Electric

plc

3,729

69,844

NVIDIA

Corp.

213

80,921

Omnicom

Group,

Inc.

559

30,521

Oracle

Corp.

(b)

5,169

285,691

Oshkosh

Corp.

138

9,884

Papa

John's

International,

Inc.

73

5,797

PepsiCo,

Inc.

327

43,249

Pfizer,

Inc.

(b)

6,209

203,034

Philip

Morris

International,

Inc.

109

7,637

Pilgrim's

Pride

Corp.

*

1,370

23,139

PolyOne

Corp.

3,613

94,769

Popular,

Inc.

2,696

100,210

PRA

Health

Sciences,

Inc.

*

907

88,242

Procter

&

Gamble

Co.

(The)

(b)

1,409

168,474

Prologis,

Inc.,

REIT

514

47,972

Public

Service

Enterprise

Group,

Inc.

792

38,935

Public

Storage,

REIT

111

21,300

PulteGroup,

Inc.

450

15,314

PVH

Corp.

437

20,998

Qorvo,

Inc.

*

1,184

130,868

QUALCOMM,

Inc.

1,025

93,490

Qurate

Retail,

Inc.,

Series

A

*

11,413

108,424

Ralph

Lauren

Corp.

449

32,561

Raytheon

Technologies

Corp.

1,172

72,219

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

Regal

Beloit

Corp.

563

49,161

Regeneron

Pharmaceuticals,

Inc.

*

164

102,279

Robert

Half

International,

Inc.

1,706

90,128

S&P

Global,

Inc.

179

58,977

Sally

Beauty

Holdings,

Inc.

*

4,548

56,986

Schneider

National,

Inc.,

Class

B

3,026

74,651

Science

Applications

International

Corp.

150

11,652

Seagate

Technology

plc

1,697

82,152

Sensient

Technologies

Corp.

785

40,946

Simon

Property

Group,

Inc.,

REIT

376

25,711

Skechers

USA,

Inc.,

Class

A

*

676

21,213

Skyworks

Solutions,

Inc.

767

98,069

SLM

Corp.

2,768

19,459

Sprouts

Farmers

Market,

Inc.

*

1,052

26,921

SS&C

Technologies

Holdings,

Inc.

1,609

90,876

Starbucks

Corp.

598

44,007

State

Street

Corp.

1,286

81,725

Steel

Dynamics,

Inc.

3,779

98,594

Stifel

Financial

Corp.

1,410

66,876

Synaptics,

Inc.

*

773

46,473

Synchrony

Financial

3,489

77,316

SYNNEX

Corp.

(b)

1,031

123,483

Take-Two

Interactive

Software,

Inc.

*

374

52,199

Tapestry,

Inc.

3,194

42,416

Target

Corp.

1,000

119,930

Tenet

Healthcare

Corp.

*

1,327

24,032

Terex

Corp.

2,599

48,783

Tesla,

Inc.

*

104

112,300

Texas

Instruments,

Inc.

680

86,340

Textron,

Inc.

1,518

49,957

Tiffany

&

Co.

195

23,778

Timken

Co.

(The)

1,737

79,016

TripAdvisor,

Inc.

1,436

27,298

Twitter,

Inc.

*

113

3,366

Tyson

Foods,

Inc.,

Class

A

(b)

1,993

119,002

Ulta

Beauty,

Inc.

*

57

11,595

United

Therapeutics

Corp.

*

824

99,704

UnitedHealth

Group,

Inc.

508

149,835

Universal

Health

Services,

Inc.,

Class

B

1,405

130,510

Unum

Group

438

7,266

VeriSign,

Inc.

*

274

56,671

Vertex

Pharmaceuticals,

Inc.

*

464

134,704

ViacomCBS,

Inc.

1,732

40,390

Vishay

Intertechnology,

Inc.

6,194

94,582

Walgreens

Boots

Alliance,

Inc.

2,756

116,827

Walmart,

Inc.

(b)

1,833

219,557

Wells

Fargo

&

Co.

(b)

7,082

181,299

WESCO

International,

Inc.

*

1,949

68,429

Westrock

Co.

1,233

34,845

Williams

Cos.,

Inc.

(The)

441

8,388

Wintrust

Financial

Corp.

186

8,113

Workday,

Inc.,

Class

A

*

223

41,781

World

Fuel

Services

Corp.

4,593

118,316

WW

International,

Inc.

*

1,134

28,781

Wyndham

Destinations,

Inc.

1,601

45,116

Xerox

Holdings

Corp.

3,081

47,108

Xilinx,

Inc.

243

23,909

119

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

18.6%

(continued)

Yelp,

Inc.

*

1,670

38,627

Yum!

Brands,

Inc.

718

62,401

Zynga,

Inc.,

Class

A

*

1,487

14,186

25,247,140

—

TOTAL

COMMON

STOCKS

(Cost

$32,021,972)

37,809,615

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

2.4%

Federal

Republic

of

Germany

0.50%,

4/15/2030

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

EUR

1,375,231

1,807,610

French

Republic

1.85%,

7/25/2027

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

448,288

607,606

0.10%,

3/1/2029

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

201,808

247,670

0.70%,

7/25/2030

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

420,520

553,253

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$3,198,526)

3,216,139

U.S.

TREASURY

OBLIGATIONS

-

12.2%

U.S.

Treasury

Inflation

Linked

Notes

0.50%,

1/15/2028

(2)

$

2,610,000

2,973,862

0.75%,

7/15/2028

(2)

2,650,000

3,051,568

0.88%,

1/15/2029

(2)(e)

2,720,000

3,146,470

0.25%,

7/15/2029

(2)

3,200,000

3,508,800

0.13%,

1/15/2030

(2)(e)

3,600,000

3,875,554

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$15,994,097)

16,556,254

SHARES

SHORT-TERM

INVESTMENTS

-

67.6%

INVESTMENT

COMPANIES

-

18.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(h)(i)

2,284,489

2,284,489

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

0.18%

(h)(i)

3

3

Limited

Purpose

Cash

Investment

Fund,

0.34%

(h)

23,210,674

23,215,317

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(h)

25,361

25,361

TOTAL

INVESTMENT

COMPANIES

(Cost

$25,518,338)

25,525,170

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

48.8%

U.S.

Treasury

Bills

1.57%,

7/2/2020

(2)(j)

$

832,000

831,998

1.55%,

7/30/2020

(2)(j)(k)

1,675,000

1,674,825

1.53%,

8/6/2020

(2)(j)(k)

2,280,000

2,279,726

1.52%,

8/13/2020

(2)(j)(k)

737,000

736,881

1.45%,

8/27/2020

(2)(j)(k)

1,142,000

1,141,747

0.08%,

9/17/2020

(2)(j)(k)

9,357,000

9,354,060

0.08%,

9/24/2020

(2)(j)

9,677,000

9,673,687

0.16%,

10/1/2020

(2)(j)

9,000,000

8,996,435

0.16%,

10/8/2020

(2)(j)(k)

10,504,000

10,499,523

0.29%,

10/15/2020

(2)(j)(k)

1,204,000

1,203,442

0.15%,

10/29/2020

(2)(j)(k)

11,565,000

11,558,927

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

48.8%

(continued)

0.13%,

11/5/2020

(2)(j)

$

417,000

416,765

0.16%,

11/12/2020

(2)(j)(k)

703,000

702,588

0.19%,

12/17/2020

(2)(j)

7,277,000

7,271,833

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$66,335,059)

66,342,437

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$91,853,397)

91,867,607

TOTAL

LONG

POSITIONS

(Cost

$143,067,992)

149,449,615

SHARES

SHORT

POSITIONS

-

(6.4)%

COMMON

STOCKS

-

(6.4)%

Australia

-

(0.3)%

Alumina

Ltd.

(2)

(51,199)

(58,356)

Oil

Search

Ltd.

(2)

(15,597)

(34,565)

SEEK

Ltd.

(2)

(9,094)

(139,128)

Seven

Group

Holdings

Ltd.

(2)

(3,908)

(47,005)

Sydney

Airport

(2)

(14,972)

(59,088)

Transurban

Group

(2)

(2,262)

(22,183)

(360,325)

—

Canada

-

(0.2)%

Bombardier,

Inc.,

Class

B

*

(40,296)

(12,466)

Brookfield

Asset

Management,

Inc.,

Class

A

(166)

(5,463)

Gildan

Activewear,

Inc.

(1,659)

(25,699)

Inter

Pipeline

Ltd.

(3,288)

(30,613)

Parkland

Corp.

(326)

(8,095)

PrairieSky

Royalty

Ltd.

(14,166)

(89,529)

Restaurant

Brands

International,

Inc.

(192)

(10,450)

West

Fraser

Timber

Co.

Ltd.

(1,949)

(68,508)

(250,823)

—

Colombia

-

0.0%

(a)

Millicom

International

Cellular

SA,

SDR

(2)

(2,137)

(56,257)

Denmark

-

0.0%

(a)

Ambu

A/S,

Class

B

(2)

(592)

(18,715)

ISS

A/S

(2)*

(377)

(5,986)

(24,701)

—

Finland

-

(0.1)%

Nokian

Renkaat

OYJ

(2)

(3,226)

(70,912)

France

-

(0.1)%

Airbus

SE

(2)*

(1,116)

(79,966)

Renault

SA

(2)*

(1,902)

(48,679)

(128,645)

—

Germany

-

(0.4)%

Continental

AG

(2)

(498)

(48,959)

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(642)

(26,807)

Daimler

AG

(Registered)

(2)

(2,691)

(109,480)

Delivery

Hero

SE

(2)*(d)

(280)

(28,775)

Deutsche

Bank

AG

(Registered)

(2)*

(18,614)

(177,580)

Evotec

SE

(2)*

(825)

(22,518)

120

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Germany

-

(0.4)%

(continued)

MTU

Aero

Engines

AG

(2)

(376)

(65,462)

thyssenkrupp

AG

(2)*

(629)

(4,487)

(484,068)

—

Italy

-

0.0%

(a)

Atlantia

SpA

(2)*

(832)

(13,458)

Japan

-

0.0%

(a)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(800)

(34,138)

M3,

Inc.

(2)

(200)

(8,496)

Suzuki

Motor

Corp.

(2)

(500)

(17,073)

(59,707)

—

Netherlands

-

(0.1)%

Just

Eat

Takeaway.com

NV

(2)*(d)

(440)

(45,991)

OCI

NV

(2)*

(5,737)

(60,264)

SBM

Offshore

NV

(2)

(3,469)

(51,118)

(157,373)

—

Spain

-

0.0%

(a)

Cellnex

Telecom

SA

(2)(d)

(397)

(24,248)

Switzerland

-

(0.1)%

Dufry

AG

(Registered)

(2)*

(2,086)

(62,483)

Temenos

AG

(Registered)

(2)

(592)

(92,011)

(154,494)

—

United

Kingdom

-

(0.5)%

ASOS

plc

(2)*

(288)

(12,241)

Burberry

Group

plc

(2)

(972)

(19,207)

easyJet

plc

(2)

(3,269)

(27,598)

John

Wood

Group

plc

(2)

(4,783)

(11,469)

Johnson

Matthey

plc

(2)

(218)

(5,678)

Lloyds

Banking

Group

plc

(2)

(85,885)

(33,131)

Melrose

Industries

plc

(2)

(25,658)

(36,165)

Ocado

Group

plc

(2)*

(16,524)

(415,253)

Rolls-Royce

Holdings

plc

(2)*

(9,117)

(32,189)

Signature

Aviation

plc

(2)

(3,876)

(11,081)

St

James's

Place

plc

(2)

(1,036)

(12,182)

Travis

Perkins

plc

(2)

(617)

(8,602)

Virgin

Money

UK

plc

(2)*

(8,652)

(9,832)

Weir

Group

plc

(The)

(2)

(1,259)

(16,545)

(651,173)

—

United

States

-

(4.5)%

2U,

Inc.

*

(548)

(20,802)

Acadia

Healthcare

Co.,

Inc.

*

(202)

(5,074)

Adient

plc

*

(956)

(15,698)

Agios

Pharmaceuticals,

Inc.

*

(1,197)

(64,016)

Air

Lease

Corp.

(584)

(17,105)

Albemarle

Corp.

(1,071)

(82,692)

Alnylam

Pharmaceuticals,

Inc.

*

(389)

(57,615)

Amcor

plc

(10,298)

(105,143)

Apache

Corp.

(6,375)

(86,063)

Aptiv

plc

(418)

(32,571)

Atmos

Energy

Corp.

(526)

(52,379)

Avanos

Medical,

Inc.

*

(887)

(26,069)

Axon

Enterprise,

Inc.

*

(232)

(22,766)

Baker

Hughes

Co.

(1,403)

(21,592)

Ball

Corp.

(598)

(41,555)

Belden,

Inc.

(530)

(17,252)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(4.5)%

(continued)

Berry

Global

Group,

Inc.

*

(682)

(30,226)

BGC

Partners,

Inc.,

Class

A

(2,998)

(8,215)

BJ's

Wholesale

Club

Holdings,

Inc.

*

(266)

(9,914)

Bluebird

Bio,

Inc.

*

(96)

(5,860)

Boeing

Co.

(The)

(655)

(120,061)

BOK

Financial

Corp.

(207)

(11,683)

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

(21)

(11,270)

Bright

Horizons

Family

Solutions,

Inc.

*

(82)

(9,610)

Cabot

Microelectronics

Corp.

(440)

(61,398)

Cantel

Medical

Corp.

(156)

(6,900)

CarMax,

Inc.

*

(200)

(17,910)

Carvana

Co.

*

(687)

(82,577)

Catalent,

Inc.

*

(201)

(14,733)

Centennial

Resource

Development,

Inc.,

Class

A

*

(28,672)

(25,518)

CenterPoint

Energy,

Inc.

(6,099)

(113,868)

Charles

Schwab

Corp.

(The)

(639)

(21,560)

Chemours

Co.

(The)

(1,715)

(26,325)

Cheniere

Energy,

Inc.

*

(1,203)

(58,129)

Churchill

Downs,

Inc.

(142)

(18,907)

Cincinnati

Financial

Corp.

(708)

(45,333)

CIT

Group,

Inc.

(1,992)

(41,294)

Coherent,

Inc.

*

(123)

(16,111)

Colfax

Corp.

*

(2,774)

(77,395)

Commerce

Bancshares,

Inc.

(657)

(39,072)

Coty,

Inc.,

Class

A

(2,539)

(11,349)

Covetrus,

Inc.

*

(5,468)

(97,823)

Cree,

Inc.

*

(1,684)

(99,676)

DexCom,

Inc.

*

(102)

(41,351)

Dycom

Industries,

Inc.

*

(1,207)

(49,354)

EchoStar

Corp.,

Class

A

*

(1,021)

(28,547)

Energizer

Holdings,

Inc.

(2,572)

(122,143)

Equitrans

Midstream

Corp.

(4,431)

(36,822)

Eversource

Energy

(182)

(15,155)

Exact

Sciences

Corp.

*

(715)

(62,162)

Expedia

Group,

Inc.

(155)

(12,741)

First

Horizon

National

Corp.

(726)

(7,231)

Five

Below,

Inc.

*

(1,028)

(109,903)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(850)

(49,003)

FMC

Corp.

(230)

(22,913)

Fortive

Corp.

(48)

(3,248)

Freeport-McMoRan,

Inc.

(9,670)

(111,882)

Guardant

Health,

Inc.

*

(690)

(55,980)

HealthEquity,

Inc.

*

(2,201)

(129,132)

HEICO

Corp.

(69)

(6,876)

Hess

Corp.

(3,179)

(164,703)

IAA,

Inc.

*

(519)

(20,018)

II-VI,

Inc.

*

(4,988)

(235,532)

Ingersoll

Rand,

Inc.

*

(4,690)

(131,882)

Ingevity

Corp.

*

(226)

(11,881)

International

Flavors

&

Fragrances,

Inc.

(663)

(81,191)

Ionis

Pharmaceuticals,

Inc.

*

(99)

(5,837)

Kirby

Corp.

*

(117)

(6,267)

Knight-Swift

Transportation

Holdings,

Inc.

(1,274)

(53,139)

121

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(4.5)%

(continued)

Lamb

Weston

Holdings,

Inc.

(1,056)

(67,510)

LendingTree,

Inc.

*

(492)

(142,448)

Ligand

Pharmaceuticals,

Inc.

*

(490)

(54,807)

Littelfuse,

Inc.

(40)

(6,825)

Live

Nation

Entertainment,

Inc.

*

(1,071)

(47,477)

Macquarie

Infrastructure

Corp.

(298)

(9,146)

Marvell

Technology

Group

Ltd.

(755)

(26,470)

Mattel,

Inc.

*

(3,877)

(37,491)

Mercury

Systems,

Inc.

*

(261)

(20,530)

Middleby

Corp.

(The)

*

(47)

(3,710)

MKS

Instruments,

Inc.

(199)

(22,535)

Moderna,

Inc.

*

(662)

(42,507)

MongoDB,

Inc.

*

(199)

(45,042)

Murphy

Oil

Corp.

(2,662)

(36,736)

National

Fuel

Gas

Co.

(516)

(21,636)

National

Oilwell

Varco,

Inc.

(4,916)

(60,221)

Nektar

Therapeutics

*

(4,120)

(95,419)

New

York

Times

Co.

(The),

Class

A

(1,033)

(43,417)

Nexstar

Media

Group,

Inc.,

Class

A

(571)

(47,787)

Noble

Energy,

Inc.

(5,926)

(53,097)

Nordstrom,

Inc.

(937)

(14,514)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(2,138)

(35,127)

Occidental

Petroleum

Corp.

(3,250)

(59,475)

Olin

Corp.

(7,541)

(86,646)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(1,047)

(102,240)

Patterson-UTI

Energy,

Inc.

(1,440)

(4,997)

Penn

National

Gaming,

Inc.

*

(2,065)

(63,065)

Penumbra,

Inc.

*

(392)

(70,097)

Planet

Fitness,

Inc.,

Class

A

*

(789)

(47,790)

Pluralsight,

Inc.,

Class

A

*

(2,994)

(54,042)

PNM

Resources,

Inc.

(1,653)

(63,541)

Pure

Storage,

Inc.,

Class

A

*

(1,581)

(27,399)

Range

Resources

Corp.

(8,066)

(45,412)

Repligen

Corp.

*

(318)

(39,308)

RingCentral,

Inc.,

Class

A

*

(25)

(7,125)

Royal

Caribbean

Cruises

Ltd.

(1,018)

(51,205)

Sage

Therapeutics,

Inc.

*

(941)

(39,127)

Schlumberger

Ltd.

(1,856)

(34,132)

Sensata

Technologies

Holding

plc

*

(127)

(4,728)

ServiceMaster

Global

Holdings,

Inc.

*

(186)

(6,638)

Sinclair

Broadcast

Group,

Inc.,

Class

A

(3,648)

(67,342)

Six

Flags

Entertainment

Corp.

(271)

(5,206)

Splunk,

Inc.

*

(100)

(19,870)

Square,

Inc.,

Class

A

*

(78)

(8,185)

Stericycle,

Inc.

*

(1,252)

(70,087)

Sterling

Bancorp

(1,910)

(22,385)

SVB

Financial

Group

*

(60)

(12,932)

Targa

Resources

Corp.

(356)

(7,145)

Texas

Capital

Bancshares,

Inc.

*

(509)

(15,713)

TransDigm

Group,

Inc.

(109)

(48,183)

Transocean

Ltd.

*

(18,727)

(34,270)

Trex

Co.,

Inc.

*

(259)

(33,688)

Trimble,

Inc.

*

(914)

(39,476)

Trinity

Industries,

Inc.

(2,013)

(42,857)

Twilio,

Inc.,

Class

A

*

(409)

(89,743)

Under

Armour,

Inc.,

Class

A

*

(5,730)

(55,810)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(4.5)%

(continued)

United

Airlines

Holdings,

Inc.

*

(1,765)

(61,087)

United

States

Steel

Corp.

(12,346)

(89,138)

Univar

Solutions,

Inc.

*

(1,046)

(17,636)

ViaSat,

Inc.

*

(464)

(17,804)

Visteon

Corp.

*

(1,092)

(74,802)

W

R

Grace

&

Co.

(720)

(36,583)

Woodward,

Inc.

(557)

(43,195)

Wynn

Resorts

Ltd.

(145)

(10,801)

Xcel

Energy,

Inc.

(1,196)

(74,750)

Zillow

Group,

Inc.,

Class

C

*

(155)

(8,930)

(6,075,039)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(18,064)

(143,969)

TOTAL

COMMON

STOCKS

(Proceeds$(8,865,143))

(8,655,192)

TOTAL

SHORT

POSITIONS

(Proceeds

$(8,865,143))

(8,655,192)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.6%

(Cost

$134,202,849)

140,794,423

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.6)%

(l)

(4,936,748)

NET

ASSETS

-

100.0%

135,857,675

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,239,158

1.6

%

Consumer

Discretionary

3,625,614

2.7

Consumer

Staples

1,936,209

1.4

Energy

102,652

0.1

Financials

2,536,558

1.9

Foreign

Government

Securities

3,216,139

2.4

Health

Care

5,586,511

4.1

Industrials

2,649,253

1.9

Information

Technology

8,120,639

6.0

Materials

1,603,908

1.2

Real

Estate

528,197

0.4

U.S.

Treasury

Obligations

16,556,254

12.2

Utilities

225,724

0.1

Short-Term

Investments

91,867,607

67.6

Total

Investments

In

Securities

At

Value

140,794,423

103.6

Liabilities

in

Excess

of

Other

Assets

(l

)

(4,936,748)

(3.6)

Net

Assets

$

135,857,675

100.0%

122

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$9,455,581.

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$84,406.

(d)

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

June

30,

2020

amounted

to

$232,251,

which

represents

approximately

0.17%

of

net

assets

of

the

fund.

(e)

On

6/30/2020,

securities

valued

at

$10,238,163

were

pledged

as

collateral

for

reverse

repurchase

agreements

outstanding.

(f)

Inflation

protected

security.

(g)

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

June

30,

2020,

the

value

of

these

securities

amounted

to

$3,216,139

or

2.37%

of

net

assets.

(h)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

Reverse

repurchase

agreements

at

June

30,

2020:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BANA

6/10/2020

0.18%

7/9/2020

USD

$

113,750

BANA

6/26/2020

0.20%

7/9/2020

USD

115,000

BANA

6/30/2020

0.20%

7/9/2020

USD

115,250

BANA

6/24/2020

0.22%

7/9/2020

USD

114,750

BANA

6/17/2020

0.23%

7/9/2020

USD

113,750

BANA

6/19/2020

0.23%

7/9/2020

USD

114,250

BANA

6/8/2020

0.24%

7/9/2020

USD

2,052,050

BANA

6/15/2020

0.24%

7/9/2020

USD

341,250

CITI

6/8/2020

0.18%

7/9/2020

USD

1,964,125

CITI

6/8/2020

0.18%

7/9/2020

USD

310,125

CITI

6/9/2020

0.18%

7/9/2020

USD

207,500

CITI

6/10/2020

0.18%

7/9/2020

USD

104,250

CITI

6/15/2020

0.18%

7/9/2020

USD

417,000

CITI

6/17/2020

0.20%

7/9/2020

USD

104,250

CITI

6/18/2020

0.20%

7/9/2020

USD

104,625

CITI

6/23/2020

0.20%

7/9/2020

USD

105,375

CITI

6/24/2020

0.20%

7/9/2020

USD

105,375

CITI

6/26/2020

0.20%

7/9/2020

USD

105,750

CITI

6/30/2020

0.20%

7/9/2020

USD

211,500

MPFS

6/22/2020

(0.45)%

7/15/2020

EUR

412,448

MPFS

6/22/2020

(0.45)%

7/15/2020

EUR

305,285

MPFS

6/22/2020

(0.45)%

7/15/2020

EUR

122,475

MPFS

6/23/2020

(0.44)%

7/15/2020

EUR

122,850

MPFS

6/23/2020

(0.44)%

7/15/2020

EUR

153,199

MPFS

6/25/2020

(0.44)%

7/15/2020

EUR

152,515

MPFS

6/25/2020

(0.44)%

7/15/2020

EUR

137,724

MPFS

6/15/2020

(0.43)%

7/15/2020

EUR

549,813

MPFS

6/12/2020

(0.40)%

7/15/2020

EUR

1,225,758

$

10,001,992

123

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

June

30,

2020

was

$9,885,046

at

a

net

weighted

average

interest

rate

of

0.159%.

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

Live

Cattle

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

(38,510)

$

309

Live

Cattle

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

231,060

7,898

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

11/20/2020

USD

51,858

318

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

259,290

3,947

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

CHF

1,100,880

1,386

13,858

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

07/30/2020

HKD

2,424,700

(3,073)

Live

Cattle

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

10/02/2020

USD

39,890

(304)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(295,900)

(238)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

11/20/2020

USD

(29,590)

(420)

Wheat

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

98,350

(5,486)

(9,521)

$

4,337

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

9

7/2020

EUR

$

1,131,578

$

(5,387)

Hang

Seng

Index

8

7/2020

HKD

1,251,377

(14,743)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,738

2,035

124

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

7/2020

USD

$

80,088

$

5,574

LME

Aluminum

Base

Metal

3

7/2020

USD

119,606

8,552

LME

Aluminum

Base

Metal

4

7/2020

USD

159,050

13,038

LME

Aluminum

Base

Metal

4

7/2020

USD

159,329

10,017

LME

Aluminum

Base

Metal

8

7/2020

USD

319,750

20,806

LME

Aluminum

Base

Metal

11

7/2020

USD

438,281

22,174

LME

Copper

Base

Metal

1

7/2020

USD

150,113

28,874

LME

Copper

Base

Metal

1

7/2020

USD

150,156

27,756

LME

Copper

Base

Metal

1

7/2020

USD

150,239

20,431

LME

Copper

Base

Metal

1

7/2020

USD

150,256

19,160

LME

Copper

Base

Metal

6

7/2020

USD

901,238

136,346

LME

Nickel

Base

Metal

1

7/2020

USD

76,572

5,685

LME

Zinc

Base

Metal

1

7/2020

USD

50,958

2,900

LME

Zinc

Base

Metal

3

7/2020

USD

152,786

11,693

LME

Zinc

Base

Metal

3

7/2020

USD

152,869

8,813

RBOB

Gasoline

5

7/2020

USD

252,315

27,554

100

oz

Gold

15

8/2020

USD

2,700,750

114,236

Brent

Crude

Oil

24

8/2020

USD

993,360

3,028

Feeder

Cattle

1

8/2020

USD

66,425

8,197

Live

Cattle

4

8/2020

USD

154,040

5,691

LME

Copper

Base

Metal

1

8/2020

USD

150,310

22,864

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,310

LME

Zinc

Base

Metal

1

8/2020

USD

51,022

3,581

NY

Harbor

ULSD

5

8/2020

USD

252,756

4,472

RBOB

Gasoline

4

8/2020

USD

199,483

1,552

WTI

Crude

Oil

11

8/2020

USD

432,740

12,111

Australia

10

Year

Bond

99

9/2020

AUD

10,165,207

99,481

Canada

10

Year

Bond

106

9/2020

CAD

12,010,106

32,423

Cocoa

19

9/2020

USD

415,340

(30,795)

Coffee

'C'

7

9/2020

USD

265,125

2,744

EURO

STOXX

50

Index

43

9/2020

EUR

1,557,047

8,708

Euro-Bobl

88

9/2020

EUR

13,345,203

51,562

Euro-Bund

71

9/2020

EUR

14,080,736

76,386

Feeder

Cattle

1

9/2020

USD

66,688

(325)

FTSE/MIB

Index

21

9/2020

EUR

2,275,475

(4,110)

Japan

10

Year

Bond

27

9/2020

JPY

37,996,295

(22,605)

KC

HRW

Wheat

4

9/2020

USD

87,950

(5,539)

LME

Copper

Base

Metal

1

9/2020

USD

150,371

2,828

LME

Copper

Base

Metal

1

9/2020

USD

150,381

3,628

LME

Copper

Base

Metal

1

9/2020

USD

150,479

5,458

LME

Copper

Base

Metal

1

9/2020

USD

150,369

1,358

LME

Copper

Base

Metal

1

9/2020

USD

150,463

8,459

LME

Copper

Base

Metal

2

9/2020

USD

300,936

15,101

LME

Copper

Base

Metal

3

9/2020

USD

451,500

24,167

LME

Copper

Base

Metal

30

9/2020

USD

4,514,250

516,071

LME

Lead

Base

Metal

3

9/2020

USD

133,013

5,017

LME

Nickel

Base

Metal

1

9/2020

USD

76,808

(1,075)

LME

Nickel

Base

Metal

2

9/2020

USD

153,604

2,058

LME

Nickel

Base

Metal

4

9/2020

USD

307,224

7,233

LME

Zinc

Base

Metal

9

9/2020

USD

460,350

27,012

Long

Gilt

88

9/2020

GBP

15,008,376

39,519

S&P

500

E-Mini

Index

22

9/2020

USD

3,399,220

25,041

Silver

17

9/2020

USD

1,584,145

26,195

Sugar

No.

11

68

9/2020

USD

910,874

30,238

TOPIX

Index

17

9/2020

JPY

2,453,762

(63,421)

U.S.

Treasury

10

Year

Note

568

9/2020

USD

79,049,624

218,419

125

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

U.S.

Treasury

5

Year

Note

504

9/2020

USD

$

63,374,063

$

154,123

Live

Cattle

1

10/2020

USD

39,890

(331)

Soybean

18

11/2020

USD

794,025

9,194

100

oz

Gold

3

12/2020

USD

546,120

3,395

Cotton

No.

2

6

12/2020

USD

182,640

3,127

Soybean

Oil

37

12/2020

USD

639,582

(1,233)

1,815,831

Short

Contracts

CAC

40

10

Euro

Index

(47)

7/2020

EUR

(2,594,549)

5,034

IBEX

35

Index

(2)

7/2020

EUR

(162,004)

4,073

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,738)

(2,204)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(80,088)

(5,510)

LME

Aluminum

Base

Metal

(3)

7/2020

USD

(119,606)

(9,354)

LME

Aluminum

Base

Metal

(4)

7/2020

USD

(159,329)

(9,552)

LME

Aluminum

Base

Metal

(4)

7/2020

USD

(159,050)

(12,803)

LME

Aluminum

Base

Metal

(8)

7/2020

USD

(319,750)

(22,358)

LME

Aluminum

Base

Metal

(11)

7/2020

USD

(438,281)

(23,096)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,239)

(19,779)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,113)

(28,532)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,156)

(27,584)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,256)

(19,572)

LME

Copper

Base

Metal

(6)

7/2020

USD

(901,238)

(137,753)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,572)

(5,715)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,958)

(3,086)

LME

Zinc

Base

Metal

(3)

7/2020

USD

(152,869)

(9,328)

LME

Zinc

Base

Metal

(3)

7/2020

USD

(152,786)

(11,382)

OMXS30

Index

(1)

7/2020

SEK

(17,882)

(57)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(19,396)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,310)

(23,413)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,022)

(3,521)

Natural

Gas

(12)

8/2020

USD

(214,680)

(9,446)

Corn

(47)

9/2020

USD

(802,525)

(39,156)

FTSE

100

Index

(20)

9/2020

GBP

(1,523,473)

12,236

LME

Aluminum

Base

Metal

(25)

9/2020

USD

(1,010,000)

(63,940)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,371)

(3,549)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,369)

(359)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,381)

(3,759)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,479)

(5,256)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,463)

(9,165)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,936)

(15,265)

LME

Copper

Base

Metal

(3)

9/2020

USD

(451,500)

(25,209)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,808)

889

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,604)

(2,518)

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,418)

(18,926)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,150)

(3,603)

Low

Sulphur

Gasoil

(2)

9/2020

USD

(71,800)

(3,859)

S&P/TSX

60

Index

(1)

9/2020

CAD

(136,786)

(2,381)

SPI

200

Index

(12)

9/2020

AUD

(1,219,821)

(11,658)

Soybean

Meal

(17)

12/2020

USD

(503,030)

(453)

(590,265)

$

1,225,566

126

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

3,712,500

USD

2,488,166

CITI

9/16/2020

$

74,501

AUD

3,712,500

USD

2,488,169

JPMC

9/16/2020

74,497

BRL

564,000

USD

103,297

CITI

**

9/16/2020

72

BRL

564,000

USD

103,297

JPMC

**

9/16/2020

72

CAD

300,000

USD

220,563

CITI

9/16/2020

449

CAD

300,000

USD

220,564

JPMC

9/16/2020

449

CHF

767,500

USD

798,534

CITI

9/16/2020

13,407

CHF

767,500

USD

798,535

JPMC

9/16/2020

13,406

CNY

7,690,499

USD

1,072,899

CITI

**

9/16/2020

10,160

CNY

7,690,501

USD

1,072,901

JPMC

**

9/16/2020

10,159

CZK

4,617,000

USD

190,989

CITI

9/16/2020

3,733

CZK

4,617,000

USD

190,989

JPMC

9/16/2020

3,733

EUR

585,500

USD

655,015

CITI

9/16/2020

3,925

EUR

585,498

USD

655,014

JPMC

9/16/2020

3,923

GBP

100,000

USD

122,966

CITI

9/16/2020

1,000

GBP

100,000

USD

122,967

JPMC

9/16/2020

1,000

HKD

31,000

USD

3,995

CITI

9/16/2020

3

HKD

31,000

USD

3,995

JPMC

9/16/2020

3

HUF

9,521,000

USD

29,958

CITI

9/16/2020

236

HUF

9,521,000

USD

29,958

JPMC

9/16/2020

236

INR

78,731,752

USD

1,028,240

CITI

**

9/16/2020

5,323

INR

78,731,748

USD

1,028,241

JPMC

**

9/16/2020

5,322

JPY

235,777,000

USD

2,171,427

CITI

9/16/2020

14,478

JPY

235,777,002

USD

2,171,430

JPMC

9/16/2020

14,475

KRW

2,510,709,000

USD

2,055,597

CITI

**

9/16/2020

38,440

KRW

2,510,708,999

USD

2,055,598

JPMC

**

9/16/2020

38,439

NOK

3,400,000

USD

350,844

CITI

9/16/2020

2,496

NOK

3,400,000

USD

350,844

JPMC

9/16/2020

2,496

NZD

3,100,000

USD

1,921,521

CITI

9/16/2020

78,765

NZD

3,100,000

USD

1,921,523

JPMC

9/16/2020

78,762

PLN

2,635,492

USD

663,141

CITI

9/16/2020

3,169

PLN

2,635,508

USD

663,146

JPMC

9/16/2020

3,169

SEK

3,850,000

USD

412,407

CITI

9/16/2020

1,156

SEK

3,850,000

USD

412,407

JPMC

9/16/2020

1,155

USD

445,522

AUD

640,624

CITI

9/16/2020

3,312

USD

445,523

AUD

640,626

JPMC

9/16/2020

3,310

USD

48,251

BRL

248,500

CITI

**

9/16/2020

2,706

USD

48,251

BRL

248,500

JPMC

**

9/16/2020

2,706

USD

2,747,122

CAD

3,700,314

CITI

9/16/2020

21,067

USD

2,747,119

CAD

3,700,314

JPMC

9/16/2020

21,064

USD

583,640

CHF

550,000

CITI

9/16/2020

1,793

USD

583,639

CHF

550,000

JPMC

9/16/2020

1,793

USD

4,623

CZK

108,500

CITI

9/16/2020

47

USD

4,623

CZK

108,500

JPMC

9/16/2020

47

USD

57,601

DKK

380,000

CITI

9/16/2020

210

USD

57,601

DKK

380,000

JPMC

9/16/2020

210

USD

6,386,742

EUR

5,651,620

CITI

9/16/2020

26,236

USD

6,370,899

EUR

5,637,621

JPMC

9/16/2020

26,148

USD

3,616,852

GBP

2,886,488

CITI

9/16/2020

38,584

USD

3,616,831

GBP

2,886,475

JPMC

9/16/2020

38,578

USD

30,970

HUF

9,434,000

CITI

9/16/2020

1,052

USD

30,970

HUF

9,434,000

JPMC

9/16/2020

1,052

USD

1,939,883

JPY

207,843,752

CITI

9/16/2020

12,947

USD

1,939,880

JPY

207,843,748

JPMC

9/16/2020

12,947

USD

1,262,293

NOK

12,014,750

CITI

9/16/2020

13,680

127

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,262,291

NOK

12,014,750

JPMC

9/16/2020

$

13,678

USD

65,237

NZD

100,000

CITI

9/16/2020

712

USD

65,237

NZD

100,000

JPMC

9/16/2020

712

USD

330,603

PLN

1,299,496

CITI

9/16/2020

2,061

USD

330,604

PLN

1,299,504

JPMC

9/16/2020

2,061

USD

139,670

SGD

194,500

CITI

9/16/2020

72

USD

139,670

SGD

194,500

JPMC

9/16/2020

72

USD

46,335

ZAR

799,500

CITI

9/16/2020

628

USD

46,335

ZAR

799,500

JPMC

9/16/2020

628

ZAR

9,832,251

USD

558,912

CITI

9/16/2020

3,188

ZAR

9,832,250

USD

558,913

JPMC

9/16/2020

3,187

USD

434,096

MXN

9,712,000

CITI

9/17/2020

15,905

USD

434,095

MXN

9,712,000

JPMC

9/17/2020

15,904

Total

unrealized

appreciation

790,906

AUD

1,269,000

USD

882,084

CITI

9/16/2020

(6,118)

AUD

1,269,000

USD

882,085

JPMC

9/16/2020

(6,119)

BRL

2,488,500

USD

473,760

CITI

**

9/16/2020

(17,671)

BRL

2,488,500

USD

473,761

JPMC

**

9/16/2020

(17,672)

CAD

1,073,500

USD

799,764

CITI

9/16/2020

(8,907)

CAD

1,073,500

USD

799,765

JPMC

9/16/2020

(8,908)

CLP

258,376,000

USD

317,983

CITI

**

9/16/2020

(3,059)

CLP

258,376,000

USD

317,983

JPMC

**

9/16/2020

(3,059)

CNY

151,500

USD

21,370

CITI

**

9/16/2020

(34)

CNY

151,500

USD

21,370

JPMC

**

9/16/2020

(34)

CZK

235,500

USD

10,002

CITI

9/16/2020

(70)

CZK

235,500

USD

10,002

JPMC

9/16/2020

(70)

DKK

3,500

USD

529

CITI

9/16/2020

(1)

DKK

3,500

USD

529

JPMC

9/16/2020

(1)

EUR

845,500

USD

956,878

CITI

9/16/2020

(5,327)

EUR

845,502

USD

956,881

JPMC

9/16/2020

(5,327)

GBP

883,500

USD

1,112,083

CITI

9/16/2020

(16,842)

GBP

883,500

USD

1,112,085

JPMC

9/16/2020

(16,844)

HUF

30,475,500

USD

98,051

CITI

9/16/2020

(1,403)

HUF

30,475,500

USD

98,051

JPMC

9/16/2020

(1,403)

INR

57,468,752

USD

755,701

CITI

**

9/16/2020

(1,271)

INR

57,468,748

USD

755,701

JPMC

**

9/16/2020

(1,271)

JPY

516,125,000

USD

4,811,179

CITI

9/16/2020

(26,146)

JPY

516,124,998

USD

4,811,185

JPMC

9/16/2020

(26,152)

KRW

394,970,500

USD

331,236

CITI

**

9/16/2020

(1,814)

KRW

394,970,500

USD

331,236

JPMC

**

9/16/2020

(1,815)

NOK

4,375,000

USD

459,411

CITI

9/16/2020

(4,746)

NOK

4,375,000

USD

459,411

JPMC

9/16/2020

(4,747)

PLN

350,000

USD

89,064

CITI

9/16/2020

(575)

PLN

350,000

USD

89,064

JPMC

9/16/2020

(576)

RUB

29,417,000

USD

417,004

CITI

**

9/16/2020

(7,296)

RUB

29,417,000

USD

417,005

JPMC

**

9/16/2020

(7,296)

SEK

2,489,500

USD

269,416

CITI

9/16/2020

(1,997)

SEK

2,489,500

USD

269,416

JPMC

9/16/2020

(1,997)

USD

988,325

AUD

1,465,872

CITI

9/16/2020

(23,539)

USD

988,328

AUD

1,465,878

JPMC

9/16/2020

(23,539)

USD

20,377

BRL

112,500

CITI

**

9/16/2020

(242)

USD

20,377

BRL

112,500

JPMC

**

9/16/2020

(242)

USD

1,647,414

CAD

2,262,686

CITI

9/16/2020

(19,527)

USD

1,647,412

CAD

2,262,686

JPMC

9/16/2020

(19,530)

USD

1,090,021

CHF

1,037,000

CITI

9/16/2020

(7,025)

USD

1,090,019

CHF

1,037,000

JPMC

9/16/2020

(7,027)

USD

7,781

CLP

6,395,500

CITI

**

9/16/2020

(14)

USD

7,781

CLP

6,395,500

JPMC

**

9/16/2020

(14)

128

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

16,526

CZK

394,500

CITI

9/16/2020

$

(112)

USD

16,526

CZK

394,500

JPMC

9/16/2020

(112)

USD

123,758

DKK

836,500

CITI

9/16/2020

(2,577)

USD

123,758

DKK

836,500

JPMC

9/16/2020

(2,577)

USD

3,742,866

EUR

3,344,118

CITI

9/16/2020

(20,707)

USD

3,740,609

EUR

3,342,115

JPMC

9/16/2020

(20,710)

USD

1,240,739

GBP

1,009,326

CITI

9/16/2020

(10,486)

USD

1,240,732

GBP

1,009,322

JPMC

9/16/2020

(10,486)

USD

455,923

HKD

3,541,500

CITI

9/16/2020

(801)

USD

455,922

HKD

3,541,500

JPMC

9/16/2020

(801)

USD

1,650,100

JPY

179,077,752

CITI

9/16/2020

(10,142)

USD

1,650,098

JPY

179,077,748

JPMC

9/16/2020

(10,146)

USD

100,129

KRW

121,089,500

CITI

**

9/16/2020

(865)

USD

100,129

KRW

121,089,500

JPMC

**

9/16/2020

(865)

USD

1,047,602

NOK

10,336,750

CITI

9/16/2020

(26,629)

USD

1,047,600

NOK

10,336,750

JPMC

9/16/2020

(26,630)

USD

474,711

NZD

750,000

CITI

9/16/2020

(9,230)

USD

474,710

NZD

750,000

JPMC

9/16/2020

(9,231)

USD

194,600

PLN

777,996

CITI

9/16/2020

(2,095)

USD

194,602

PLN

778,004

JPMC

9/16/2020

(2,096)

USD

816,943

SEK

7,775,000

CITI

9/16/2020

(18,239)

USD

816,942

SEK

7,775,000

JPMC

9/16/2020

(18,240)

USD

117,653

SGD

167,000

CITI

9/16/2020

(2,207)

USD

117,653

SGD

167,000

JPMC

9/16/2020

(2,207)

USD

41,116

ZAR

729,000

CITI

9/16/2020

(560)

USD

41,116

ZAR

729,000

JPMC

9/16/2020

(560)

ZAR

10,875,251

USD

630,016

CITI

9/16/2020

(8,289)

ZAR

10,875,250

USD

630,017

JPMC

9/16/2020

(8,289)

MXN

41,915,002

USD

1,872,827

CITI

9/17/2020

(68,001)

MXN

41,914,998

USD

1,872,829

JPMC

9/17/2020

(68,003)

USD

50,443

MXN

1,181,000

CITI

9/17/2020

(410)

USD

50,443

MXN

1,181,000

JPMC

9/17/2020

(410)

Total

unrealized

depreciation

(669,980)

Net

unrealized

appreciation

$

120,926

**

Non-deliverable

forward.

129

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

U.S.

Treasury

Inflation

Linked

Notes

$

3,146,470

$

–

$

3,146,470

BARC

Cash

–

1,803,617

1,803,617

CITI

Cash

(139,004)

–

(139,004)

Investment

Companies

366,662

–

366,662

U.S.

Treasury

Inflation

Linked

Notes

3,875,554

–

3,875,554

GSCO

Cash

–

(155,750)

(155,750)

U.S.

Treasury

Bills

–

1,094,098

1,094,098

JPMC

Investment

Companies

1,858,095

–

1,858,095

JPMS

Cash

–

407,699

407,699

MPFS

Foreign

Government

Securities

3,216,139

–

3,216,139

MSCL

Cash

–

(270,332)

(270,332)

U.S.

Treasury

Bills

–

1,036,637

1,036,637

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

59,732

$

–

$

59,732

GSCO

Cash

–

134,584

134,584

JPPC

Cash

–

3,505

3,505

MSCL

Cash

–

652,542

652,542

SOCG

Cash

8,377

–

8,377

130

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

113.7%

COMMON

STOCKS

-

14.9%

Brazil

-

0.3%

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

*(a)

18,098

122,704

China

-

0.1%

Trip.com

Group

Ltd.,

ADR

*

1,067

27,657

United

States

-

14.5%

Clovis

Oncology,

Inc.

*(a)

4,996

33,723

Illumina,

Inc.

*(a)

16

5,926

Intercept

Pharmaceuticals,

Inc.

*(a)

9

431

Panera

Bread

Co.,

Class

A

(3)*(b)

(c)

38,740

–

Precigen

,

Inc.

*(a)

9,854

49,171

RH

*(a)

4

996

Sirius

XM

Holdings,

Inc.

(a)

289

1,696

Tesla,

Inc.

*(a)

3,757

4,056,846

Wayfair,

Inc.,

Class

A

*(a)

8,396

1,659,134

5,807,923

—

TOTAL

COMMON

STOCKS

(Cost

$2,496,176)

5,958,284

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.5%

United

States

-

0.5%

SunEdison,

Inc.

2.00%,

10/1/2018

(3)(a)(b)(d)

$

5,950,000

119,000

2.75%,

1/1/2021

(3)(a)(b)(d)

4,925,000

98,500

TOTAL

CORPORATE

BONDS

(Cost

$15,555,747)

217,500

CONVERTIBLE

BONDS

-

20.0%

Brazil

-

1.4%

GOL

Equity

Finance

SA

3.75%,

7/15/2024

(2)(a)(e)

1,175,000

564,734

United

States

-

18.6%

Cree,

Inc.

1.75%,

5/1/2026

(2)(a)(e)

100,000

140,750

NuVasive

,

Inc.

1.00%,

6/1/2023

(2)(a)(e)

1,000,000

967,726

Palo

Alto

Networks,

Inc.

0.38%,

6/1/2025

(2)(a)(e)

1,000,000

995,496

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(a)

1,425,000

555,750

Splunk

,

Inc.

1.13%,

6/15/2027

(2)(a)(e)

1,000,000

1,065,355

SunEdison,

Inc.

0.25%,

1/15/2020

(3)(b)(d)

8,325,000

166,500

Tesla,

Inc.

2.00%,

5/15/2024

(2)(a)

500,000

1,754,333

Wayfair,

Inc.

1.13%,

11/1/2024

(2)(a)

1,000,000

1,783,030

7,428,940

TOTAL

CONVERTIBLE

BONDS

(Cost

$17,871,562)

7,993,674

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

78.3%

INVESTMENT

COMPANIES

-

44.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(f)(g)

9,027,794

9,027,794

Limited

Purpose

Cash

Investment

Fund,

0.34%

(f)(h)

8,804,055

8,805,816

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(f)

47,682

47,682

TOTAL

INVESTMENT

COMPANIES

(Cost

$17,880,276)

17,881,292

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

33.7%

U.S.

Treasury

Bills

1.45%,

8/27/2020

(2)(

i

)(j)

$

1,714,000

1,713,620

(0.02)%,

9/17/2020

(2)(a)(

i

)

400,000

399,874

0.06%,

9/24/2020

(2)(a)(

i

)

400,000

399,863

0.14%,

10/8/2020

(2)(

i

)(k)

4,278,000

4,276,177

0.14%,

10/15/2020

(2)(

i

)

3,000,000

2,998,609

0.15%,

10/22/2020

(2)(

i

)

3,713,000

3,711,135

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$13,496,436)

13,499,278

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$31,376,712)

31,380,570

TOTAL

LONG

POSITIONS

(Cost

$67,300,197)

45,550,028

SHARES

SHORT

POSITIONS

-

(25.4)%

COMMON

STOCKS

-

(25.4)%

China

-

(0.1)%

Trip.com

Group

Ltd.,

ADR

*

(1,067)

(27,657)

United

States

-

(25.3)%

Clovis

Oncology,

Inc.

*

(4,996)

(33,723)

Cree,

Inc.

*

(1,721)

(101,866)

Illumina,

Inc.

*

(16)

(5,926)

Intercept

Pharmaceuticals,

Inc.

*

(9)

(431)

NuVasive

,

Inc.

*

(4,989)

(277,688)

Palo

Alto

Networks,

Inc.

*

(1,714)

(393,654)

RH

*

(4)

(996)

Sirius

XM

Holdings,

Inc.

(289)

(1,696)

Splunk

,

Inc.

*

(2,400)

(476,880)

Tesla,

Inc.

*

(5,290)

(5,712,194)

Wayfair,

Inc.,

Class

A

*

(15,913)

(3,144,568)

(10,149,622)

—

TOTAL

COMMON

STOCKS

(Proceeds$(6,868,693))

(10,177,279)

TOTAL

SHORT

POSITIONS

(Proceeds

$(6,868,693))

(10,177,279)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.3%

(Cost

$60,431,504)

35,372,749

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.7%

(l)

4,695,749

NET

ASSETS

-

100.0%

40,068,498

131

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$14,858,166.

(b)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$384,000,

which

represents

approximately

0.96%

of

net

assets

of

the

fund.

(c)

Restricted

Security.

(d)

Defaulted

security.

(e)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$3,734,061,

which

represents

approximately

9.32%

of

net

assets

of

the

fund.

(f)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(h)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(i)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(j)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

(m)

Represents

less

than

0.05%

of

net

assets.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

–

0.0

%

(m)

Consumer

Discretionary

396,580

1.0

Health

Care

1,294,960

3.3

Industrials

687,439

1.7

Information

Technology

1,613,200

4.0

Short-Term

Investments

31,380,570

78.3

Total

Investments

In

Securities

At

Value

35,372,749

88.3

Other

Assets

in

Excess

of

Liabilities

(l)

4,695,749

11.7

Net

Assets

$

40,068,498

100.0%

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

22.0%

INVESTMENT

COMPANIES

-

22.0%

Limited

Purpose

Cash

Investment

Fund,

0.34%

^(a)

(Cost

$8,804,800)

$61,268,016

$289,408,668

$(341,898,793)

$39,807

$(11,882)

$8,805,816

8,804,055

$204,445

$–

^    No

longer

affiliated

as

of

June

30,

2020.

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

132

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

June

30,

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

North

America

High

Yield

Index

Series

34.V6

5.00

%

Quarterly

6/20/2025

5.17

%

USD

896,000

$

28,952

$

(23,789)

$

5,163

28,952

(23,789)

5,163

iTraxx

Europe

Crossover

Index

Series

33.V1

5.00

%

Quarterly

6/20/2025

3.81

%

EUR

489,000

$

(25,677)

$

(3,379)

$

(29,056)

iTraxx

Europe

Index

Series

33.V1

1.00

Quarterly

6/20/2025

0.66

EUR

1,512,000

(17,992)

(10,710)

(28,702)

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

Quarterly

6/20/2025

0.76

USD

1,800,000

9,743

(30,781)

(21,038)

(33,926)

(44,870)

(78,796)

$

(4,974)

$

(68,659)

$

(73,633)

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

June

30,

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

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

11,000,000

$

101,810

$

4,633

$

106,443

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

4,300,000

15,464

1,302

16,766

Pay

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

3,300,000

33,173

2,958

36,131

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

15,800,000

120,138

15,098

135,236

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

12,100,000

–

160

160

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

24,800,000

61,516

(10,806)

50,710

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

59,700,000

–

25

25

332,101

13,370

345,471

Pay

3

Month

BBR

Quarterly

0.00%

Quarterly

12/08/2022

AUD

7,100,000

(21,365)

226

(21,139)

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

4,900,000

(70,535)

13,158

(57,377)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

2,200,000

(64,981)

(3,689)

(68,670)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

600,000

(14,038)

(4,838)

(18,876)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

2,400,000

(8,524)

(2,578)

(11,102)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

3,100,000

(129,003)

(13,769)

(142,772)

(308,446)

(11,490)

(319,936)

$

23,655

$

1,880

$

25,535

(a)

Floating

rate

indices

at

June

30,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.10%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.56%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.30%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.16%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.31)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.37%

133

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Written

Call

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,980.00

8/21/2020

$

(19,014)

U.S.

Treasury

10

Year

Note

MSCL

1

USD

(100,000)

USD

138.00

7/24/2020

(1,328)

U.S.

Treasury

10

Year

Note

MSCL

1

USD

(100,000)

USD

139.00

7/24/2020

(594)

(20,936)

Written

Put

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

DAX

Index

JPMS

1

EUR

(61,555)

EUR

10,200.00

8/21/2020

$

(627)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

10,700.00

8/21/2020

(916)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

11,250.00

7/17/2020

(436)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,675.00

8/21/2020

(544)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,775.00

8/21/2020

(746)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,875.00

8/21/2020

(1,020)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,925.00

7/17/2020

(321)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,975.00

7/17/2020

(425)

EURO

STOXX

50

Index

JPMS

1

EUR

(32,341)

EUR

2,975.00

8/21/2020

(695)

EURO

STOXX

50

Index

JPMS

1

EUR

(32,341)

EUR

3,000.00

7/17/2020

(245)

EURO

STOXX

50

Index

JPMS

1

EUR

(32,341)

EUR

3,025.00

7/17/2020

(281)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,525.00

8/21/2020

(960)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,650.00

7/17/2020

(310)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

5,825.00

8/21/2020

(1,623)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,125.00

8/14/2020

(2,362)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,750.00

7/10/2020

(611)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,680.00

8/21/2020

(3,750)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,740.00

8/21/2020

(3,665)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,830.00

8/21/2020

(5,008)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,870.00

7/17/2020

(1,450)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,910.00

7/17/2020

(2,243)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,910.00

8/21/2020

(6,590)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,925.00

7/17/2020

(2,406)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,950.00

7/17/2020

(2,800)

U.S.

Treasury

30

Year

Bond

MSCL

1

USD

(100,000)

USD

174.00

7/24/2020

(313)

U.S.

Treasury

30

Year

Bond

MSCL

1

USD

(100,000)

USD

176.00

7/24/2020

(688)

(41,035)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($96,223))

$

(61,971)

Written

Put

Option

Contracts

(Futures

Style)

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

September

Futures

GSCO

2

EUR

(200,000)

EUR

173.50

7/24/2020

$

1,421

Total

Written

Option

Contracts

(Futures

Style)

$

1,421

134

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

BIST

30

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

08/31/2020

TRY

686,205

$

260

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

08/12/2020

BRL

476,710

5

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

07/30/2020

USD

(205,500)

598

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

07/30/2020

USD

(61,650)

138

Soybean

November

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

10/23/2020

USD

44,113

199

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(147,950)

1,086

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

07/15/2020

TWD

4,588,000

2,048

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.40%)

Monthly

JPMC

09/16/2020

USD

(126,733)

7,895

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

09/16/2020

EUR

(172,077)

9,387

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

CITI

09/17/2020

MXN

(1,623,092)

2,706

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

CITI

09/16/2020

SGD

(126,464)

5,018

135

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Monthly

CITI

09/16/2020

GBP

(118,164)

$

6,920

36,260

DTOP

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

09/17/2020

ZAR

(103,290)

(255)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

1,447,200

(2,963)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/10/2020

KRW

210,600,000

(5,005)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/10/2020

KRW

491,400,000

(6,138)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

10/23/2020

USD

(264,675)

(1,603)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

11/20/2020

USD

(118,360)

(695)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

(59,180)

(990)

Soybean

Oil

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(17,286)

(239)

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

17,286

(207)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

CHF

300,240

(2,538)

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

09/18/2020

PLN

175,400

(836)

MSCI

Emerging

Markets

Korea

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

09/18/2020

USD

99,548

(2,953)

136

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Italy

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

CITI

09/18/2020

EUR

45,803

$

(1,722)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.00%)

Monthly

CITI

09/16/2020

ZAR

(7,805,171)

(1,943)

(28,087)

$

8,173

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

6

7/2020

EUR

$

754,385

$

(2,519)

Brent

Crude

Oil

2

7/2020

USD

82,540

(589)

Hang

Seng

Index

2

7/2020

HKD

312,844

(3,075)

HSCEI

2

7/2020

HKD

124,482

(475)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,775

2,604

LME

Aluminum

Base

Metal

1

7/2020

USD

39,763

3,196

LME

Aluminum

Base

Metal

1

7/2020

USD

40,034

2,344

LME

Nickel

Base

Metal

1

7/2020

USD

76,594

3,804

LME

Nickel

Base

Metal

1

7/2020

USD

76,615

2,926

MSCI

Taiwan

Index

4

7/2020

USD

173,080

(133)

OMXS30

Index

19

7/2020

SEK

339,752

7,728

SGX

FTSE

China

A50

Index

4

7/2020

USD

54,810

(14)

WTI

Crude

Oil

2

7/2020

USD

78,540

2,053

100

oz

Gold

5

8/2020

USD

900,250

23,301

LME

Aluminum

Base

Metal

1

8/2020

USD

40,091

3,120

LME

Aluminum

Base

Metal

1

8/2020

USD

40,238

1,810

LME

Copper

Base

Metal

1

8/2020

USD

150,328

19,462

LME

Copper

Base

Metal

1

8/2020

USD

150,319

21,817

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,623

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,241

LME

Nickel

Base

Metal

1

8/2020

USD

76,637

5,449

3

Month

Canadian

Bankers

Acceptance

1

9/2020

CAD

183,154

(58)

3

Month

Sterling

3

9/2020

GBP

464,035

793

ASX

90

Day

Bank

Accepted

Bill

1

9/2020

AUD

689,879

53

Australia

10

Year

Bond

21

9/2020

AUD

2,156,256

16,665

Australia

3

Year

Bond

69

9/2020

AUD

5,574,024

(396)

Canada

10

Year

Bond

18

9/2020

CAD

2,039,452

19,799

Copper

1

9/2020

USD

68,213

856

DAX

Index

1

9/2020

EUR

346,192

639

137

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Euro-

Bobl

6

9/2020

EUR

$

909,900

$

1,638

Euro-BTP

6

9/2020

EUR

969,895

14,153

Euro-OAT

3

9/2020

EUR

565,064

3,527

FTSE/JSE

Top

40

Index

5

9/2020

ZAR

144,913

6,422

FTSE/MIB

Index

16

9/2020

EUR

1,733,695

(15,029)

KOSPI

200

Index

7

9/2020

KRW

408,530

(1,140)

LME

Aluminum

Base

Metal

1

9/2020

USD

40,488

(17)

LME

Aluminum

Base

Metal

1

9/2020

USD

40,430

758

LME

Aluminum

Base

Metal

1

9/2020

USD

40,400

(53)

LME

Copper

Base

Metal

1

9/2020

USD

150,369

2,984

LME

Copper

Base

Metal

1

9/2020

USD

150,473

4,184

LME

Copper

Base

Metal

4

9/2020

USD

601,900

33,053

LME

Zinc

Base

Metal

1

9/2020

USD

51,110

(39)

LME

Zinc

Base

Metal

1

9/2020

USD

51,150

228

Long

Gilt

23

9/2020

GBP

3,922,644

16,997

Nikkei

225

Index

1

9/2020

JPY

206,251

(695)

Russell

2000

E-Mini

Index

35

9/2020

USD

2,515,800

88,568

Silver

5

9/2020

USD

465,925

15,198

TOPIX

Index

14

9/2020

JPY

2,020,746

(49,158)

U.S.

Treasury

10

Year

Note

41

9/2020

USD

5,706,047

7,859

U.S.

Treasury

2

Year

Note

39

9/2020

USD

8,612,297

5,814

U.S.

Treasury

5

Year

Note

10

9/2020

USD

1,257,422

2,322

U.S.

Treasury

Long

Bond

1

9/2020

USD

178,563

(377)

3

Month

Canadian

Bankers

Acceptance

5

12/2020

CAD

915,724

(63)

3

Month

Sterling

14

12/2020

GBP

2,165,389

2,199

ASX

90

Day

Bank

Accepted

Bill

3

12/2020

AUD

2,069,484

403

3

Month

Canadian

Bankers

Acceptance

5

3/2021

CAD

915,863

(88)

3

Month

Sterling

15

3/2021

GBP

2,321,338

2,630

ASX

90

Day

Bank

Accepted

Bill

3

3/2021

AUD

2,069,433

472

3

Month

Canadian

Bankers

Acceptance

4

6/2021

CAD

732,580

49

3

Month

Sterling

12

6/2021

GBP

1,857,349

1,445

ASX

90

Day

Bank

Accepted

Bill

1

6/2021

AUD

689,777

41

3

Month

Eurodollar

1

9/2021

USD

249,563

230

3

Month

Sterling

2

9/2021

GBP

309,605

450

3

Month

Eurodollar

1

12/2021

USD

249,500

788

3

Month

Sterling

2

12/2021

GBP

309,589

479

3

Month

Eurodollar

1

3/2022

USD

249,550

348

3

Month

Sterling

2

3/2022

GBP

309,636

469

3

Month

Eurodollar

1

6/2022

USD

249,500

134

3

Month

Sterling

2

6/2022

GBP

309,605

335

317,542

Short

Contracts

CAC

40

10

Euro

Index

(30)

7/2020

EUR

(1,656,095)

1,844

FTSE

Bursa

Malaysia

KLCI

Index

(3)

7/2020

MYR

(52,334)

(349)

IBEX

35

Index

(9)

7/2020

EUR

(729,019)

15,166

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,763)

(3,102)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,034)

(2,409)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,775)

(2,601)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,615)

(2,978)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,594)

(3,275)

MSCI

Singapore

Index

(3)

7/2020

SGD

(63,688)

757

Natural

Gas

(38)

7/2020

USD

(665,380)

11,667

SGX

NIFTY

50

Index

(1)

7/2020

USD

(20,550)

(51)

Live

Cattle

(2)

8/2020

USD

(77,020)

1,160

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,238)

(1,809)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,091)

(3,257)

138

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

8/2020

USD

$

(150,381)

$

(20,231)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,328)

(20,094)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,319)

(21,646)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(18,772)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,637)

(5,300)

Low

Sulphur

Gasoil

(1)

8/2020

USD

(35,525)

(295)

3

Month

Euro

Euribor

(2)

9/2020

EUR

(564,306)

(456)

Cocoa

(1)

9/2020

USD

(21,860)

1,030

Coffee

'C'

(4)

9/2020

USD

(151,500)

(4,750)

Corn

(50)

9/2020

USD

(853,750)

(19,726)

EURO

STOXX

50

Index

(4)

9/2020

EUR

(144,842)

(100)

Euro-Bund

(49)

9/2020

EUR

(9,717,692)

(81,322)

Euro-Schatz

(8)

9/2020

EUR

(1,007,914)

(756)

FTSE

100

Index

(3)

9/2020

GBP

(228,521)

1,491

Japan

10

Year

Bond

(5)

9/2020

JPY

(7,036,351)

6,059

KC

HRW

Wheat

(3)

9/2020

USD

(65,963)

1,403

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,488)

22

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,430)

(637)

LME

Aluminum

Base

Metal

(3)

9/2020

USD

(121,200)

(3,950)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,473)

(4,651)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,369)

(3,125)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,150)

147

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,110)

(200)

S&P

500

E-Mini

Index

(29)

9/2020

USD

(4,480,790)

(33,778)

S&P/TSX

60

Index

(1)

9/2020

CAD

(136,786)

(2,381)

SPI

200

Index

(16)

9/2020

AUD

(1,626,428)

(17,376)

Wheat

(8)

9/2020

USD

(196,700)

(785)

Soybean

(12)

11/2020

USD

(529,350)

(6,593)

3

Month

Euro

Euribor

(10)

12/2020

EUR

(2,821,670)

(2,332)

3

Month

Eurodollar

(3)

12/2020

USD

(747,825)

(116)

Soybean

Meal

(3)

12/2020

USD

(88,770)

436

Soybean

Oil

(1)

12/2020

USD

(17,286)

(324)

3

Month

Euro

Euribor

(10)

3/2021

EUR

(2,822,232)

(2,196)

3

Month

Eurodollar

(2)

3/2021

USD

(499,000)

(80)

3

Month

Euro

Euribor

(8)

6/2021

EUR

(2,258,123)

(1,580)

3

Month

Eurodollar

(2)

6/2021

USD

(499,100)

(47)

(252,248)

$

65,294

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,932,872

USD

1,298,469

CITI

9/16/2020

$

35,753

AUD

1,932,878

USD

1,298,474

JPMC

9/16/2020

35,752

BRL

26,000

USD

4,758

CITI

**

9/16/2020

7

BRL

26,000

USD

4,758

JPMC

**

9/16/2020

7

CAD

314,406

USD

229,441

CITI

9/16/2020

2,185

CAD

314,407

USD

229,442

JPMC

9/16/2020

2,185

CHF

204,000

USD

213,432

CITI

9/16/2020

2,380

CHF

204,000

USD

213,432

JPMC

9/16/2020

2,380

CNY

762,754

USD

106,747

CITI

**

9/16/2020

672

139

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CNY

762,754

USD

106,747

JPMC

**

9/16/2020

$

672

COP

4,293,000

USD

1,132

CITI

**

9/16/2020

3

COP

4,293,000

USD

1,132

JPMC

**

9/16/2020

3

CZK

200,000

USD

8,430

CITI

9/16/2020

5

CZK

200,000

USD

8,430

JPMC

9/16/2020

5

EUR

668,244

USD

748,080

CITI

9/16/2020

3,984

EUR

668,250

USD

748,088

JPMC

9/16/2020

3,982

GBP

99,124

USD

121,853

CITI

9/16/2020

1,027

GBP

99,124

USD

121,853

JPMC

9/16/2020

1,027

HUF

8,621,500

USD

27,232

CITI

9/16/2020

110

HUF

8,621,500

USD

27,232

JPMC

9/16/2020

110

IDR

16,813,500

USD

1,139

CITI

**

9/16/2020

2

IDR

16,813,500

USD

1,139

JPMC

**

9/16/2020

2

ILS

171,500

USD

49,235

CITI

9/16/2020

379

ILS

171,500

USD

49,235

JPMC

9/16/2020

379

INR

20,217,248

USD

264,281

CITI

**

9/16/2020

1,125

INR

20,217,252

USD

264,277

JPMC

**

9/16/2020

1,128

JPY

160,914,672

USD

1,482,800

CITI

9/16/2020

9,051

JPY

160,914,668

USD

1,482,802

JPMC

9/16/2020

9,049

KRW

998,313,000

USD

824,692

CITI

**

9/16/2020

7,942

KRW

998,313,000

USD

824,693

JPMC

**

9/16/2020

7,942

NOK

981,500

USD

100,422

CITI

9/16/2020

1,578

NOK

981,500

USD

100,423

JPMC

9/16/2020

1,578

NZD

1,265,500

USD

803,120

CITI

9/16/2020

13,449

NZD

1,265,500

USD

803,121

JPMC

9/16/2020

13,449

PHP

4,918,500

USD

97,428

CITI

**

9/16/2020

1,036

PHP

4,918,500

USD

97,428

JPMC

**

9/16/2020

1,036

PLN

1,544,000

USD

387,170

CITI

9/16/2020

3,188

PLN

1,544,000

USD

387,171

JPMC

9/16/2020

3,187

SEK

2,094,500

USD

223,567

CITI

9/16/2020

1,421

SEK

2,094,501

USD

223,568

JPMC

9/16/2020

1,421

SGD

781,000

USD

551,347

CITI

9/16/2020

9,197

SGD

781,000

USD

551,348

JPMC

9/16/2020

9,196

THB

1,955,500

USD

61,448

CITI

9/16/2020

1,813

THB

1,955,500

USD

61,448

JPMC

9/16/2020

1,813

TWD

21,636,004

USD

731,086

CITI

**

9/16/2020

12,578

TWD

21,635,996

USD

731,087

JPMC

**

9/16/2020

12,578

USD

397,062

AUD

570,999

CITI

9/16/2020

2,911

USD

397,064

AUD

571,002

JPMC

9/16/2020

2,911

USD

1,272,645

BRL

6,655,125

CITI

**

9/16/2020

52,903

USD

1,272,643

BRL

6,655,125

JPMC

**

9/16/2020

52,902

USD

1,721,921

CAD

2,321,351

CITI

9/16/2020

11,759

USD

1,721,915

CAD

2,321,346

JPMC

9/16/2020

11,757

USD

201,325

CHF

190,000

CITI

9/16/2020

323

USD

201,325

CHF

190,000

JPMC

9/16/2020

323

USD

515,961

CLP

416,888,500

CITI

**

9/16/2020

7,833

USD

515,961

CLP

416,888,500

JPMC

**

9/16/2020

7,833

USD

24,484

COP

91,208,212

CITI

**

9/16/2020

369

USD

24,484

COP

91,208,212

JPMC

**

9/16/2020

369

USD

61,252

CZK

1,450,000

CITI

9/16/2020

98

USD

61,252

CZK

1,450,000

JPMC

9/16/2020

98

USD

1,464,186

EUR

1,293,994

CITI

9/16/2020

7,885

USD

1,464,198

EUR

1,294,006

JPMC

9/16/2020

7,883

USD

1,963,359

GBP

1,564,256

CITI

9/16/2020

24,210

USD

1,963,344

GBP

1,564,246

JPMC

9/16/2020

24,208

USD

394,609

HUF

122,201,746

CITI

9/16/2020

7,066

USD

394,608

HUF

122,201,746

JPMC

9/16/2020

7,065

USD

46,694

IDR

674,761,392

CITI

**

9/16/2020

922

140

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

46,693

IDR

674,761,392

JPMC

**

9/16/2020

$

921

USD

75,206

ILS

258,500

CITI

9/16/2020

426

USD

75,206

ILS

258,500

JPMC

9/16/2020

426

USD

88,322

INR

6,716,500

CITI

**

9/16/2020

149

USD

88,322

INR

6,716,500

JPMC

**

9/16/2020

149

USD

541,478

JPY

58,229,500

CITI

9/16/2020

1,629

USD

541,478

JPY

58,229,500

JPMC

9/16/2020

1,629

USD

2,946

KRW

3,521,500

CITI

**

9/16/2020

9

USD

2,946

KRW

3,521,500

JPMC

**

9/16/2020

9

USD

609,155

NOK

5,756,751

CITI

9/16/2020

10,894

USD

609,155

NOK

5,756,750

JPMC

9/16/2020

10,894

USD

61,369

NZD

94,500

CITI

9/16/2020

392

USD

61,369

NZD

94,500

JPMC

9/16/2020

392

USD

741,116

PLN

2,910,500

CITI

9/16/2020

5,276

USD

741,116

PLN

2,910,502

JPMC

9/16/2020

5,275

USD

81,594

SEK

755,000

CITI

9/16/2020

491

USD

81,594

SEK

755,000

JPMC

9/16/2020

491

USD

56,748

SGD

79,000

CITI

9/16/2020

48

USD

56,748

SGD

79,000

JPMC

9/16/2020

48

USD

–

TWD

3

CITI

**

9/16/2020

–

USD

527,302

ZAR

9,037,499

CITI

9/16/2020

10,636

USD

527,301

ZAR

9,037,500

JPMC

9/16/2020

10,635

ZAR

3,872,500

USD

220,137

CITI

9/16/2020

1,250

ZAR

3,872,500

USD

220,137

JPMC

9/16/2020

1,250

USD

560,112

MXN

12,494,000

CITI

9/17/2020

22,131

USD

560,111

MXN

12,493,992

JPMC

9/17/2020

22,131

Total

unrealized

appreciation

556,975

AUD

956,624

USD

665,881

CITI

9/16/2020

(5,541)

AUD

956,626

USD

665,884

JPMC

9/16/2020

(5,542)

BRL

2,168,000

USD

418,809

CITI

**

9/16/2020

(21,463)

BRL

2,168,000

USD

418,810

JPMC

**

9/16/2020

(21,463)

CAD

2,294,345

USD

1,704,124

CITI

9/16/2020

(13,859)

CAD

2,294,345

USD

1,704,126

JPMC

9/16/2020

(13,859)

CHF

34,500

USD

36,606

CITI

9/16/2020

(108)

CHF

34,500

USD

36,606

JPMC

9/16/2020

(108)

CLP

239,786,040

USD

306,897

CITI

**

9/16/2020

(14,630)

CLP

239,786,040

USD

306,897

JPMC

**

9/16/2020

(14,631)

CNY

134,500

USD

18,991

CITI

**

9/16/2020

(49)

CNY

134,500

USD

18,991

JPMC

**

9/16/2020

(49)

COP

79,168,500

USD

21,539

CITI

**

9/16/2020

(607)

COP

79,168,500

USD

21,539

JPMC

**

9/16/2020

(607)

CZK

5,000,000

USD

212,329

CITI

9/16/2020

(1,455)

CZK

5,000,000

USD

212,329

JPMC

9/16/2020

(1,455)

EUR

743,245

USD

841,330

CITI

9/16/2020

(4,859)

EUR

743,256

USD

841,344

JPMC

9/16/2020

(4,861)

GBP

1,955,876

USD

2,474,634

CITI

9/16/2020

(50,011)

GBP

1,955,878

USD

2,474,716

JPMC

9/16/2020

(50,094)

HUF

63,370,500

USD

206,247

CITI

9/16/2020

(5,278)

HUF

63,370,500

USD

206,248

JPMC

9/16/2020

(5,279)

IDR

898,921,500

USD

62,642

CITI

**

9/16/2020

(1,663)

IDR

898,921,500

USD

62,642

JPMC

**

9/16/2020

(1,663)

ILS

581,500

USD

169,033

CITI

9/16/2020

(811)

ILS

581,500

USD

169,033

JPMC

9/16/2020

(811)

INR

19,851,752

USD

261,037

CITI

**

9/16/2020

(431)

INR

19,851,748

USD

261,037

JPMC

**

9/16/2020

(430)

JPY

367,449,166

USD

3,430,782

CITI

9/16/2020

(24,134)

JPY

367,449,168

USD

3,430,787

JPMC

9/16/2020

(24,139)

KRW

713,671,500

USD

597,422

CITI

**

9/16/2020

(2,190)

141

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

713,671,500

USD

597,422

JPMC

**

9/16/2020

$

(2,191)

NOK

7,715,501

USD

807,787

CITI

9/16/2020

(5,967)

NOK

7,715,499

USD

807,788

JPMC

9/16/2020

(5,968)

NZD

504,501

USD

329,628

CITI

9/16/2020

(4,097)

NZD

504,499

USD

329,627

JPMC

9/16/2020

(4,098)

PLN

1,318,500

USD

335,442

CITI

9/16/2020

(2,096)

PLN

1,318,500

USD

335,442

JPMC

9/16/2020

(2,096)

SEK

1,110,000

USD

120,597

CITI

9/16/2020

(1,361)

SEK

1,110,000

USD

120,597

JPMC

9/16/2020

(1,361)

SGD

785,500

USD

564,355

CITI

9/16/2020

(581)

SGD

785,500

USD

564,355

JPMC

9/16/2020

(581)

USD

859,415

AUD

1,274,497

CITI

9/16/2020

(20,344)

USD

859,418

AUD

1,274,502

JPMC

9/16/2020

(20,346)

USD

298,560

BRL

1,632,375

CITI

**

9/16/2020

(620)

USD

298,559

BRL

1,632,375

JPMC

**

9/16/2020

(621)

USD

1,566,693

CAD

2,146,405

CITI

9/16/2020

(14,581)

USD

1,566,689

CAD

2,146,401

JPMC

9/16/2020

(14,583)

USD

672,804

CHF

644,000

CITI

9/16/2020

(8,486)

USD

672,803

CHF

644,000

JPMC

9/16/2020

(8,487)

USD

46,849

CLP

38,498,000

CITI

**

9/16/2020

(74)

USD

46,849

CLP

38,498,000

JPMC

**

9/16/2020

(74)

USD

221,083

CNY

1,586,752

CITI

**

9/16/2020

(2,380)

USD

221,083

CNY

1,586,751

JPMC

**

9/16/2020

(2,381)

USD

6,440

COP

24,365,500

CITI

**

9/16/2020

(2)

USD

6,440

COP

24,365,500

JPMC

**

9/16/2020

(2)

USD

290,720

CZK

7,000,000

CITI

9/16/2020

(4,505)

USD

290,720

CZK

7,000,000

JPMC

9/16/2020

(4,505)

USD

151,615

EUR

135,000

CITI

9/16/2020

(318)

USD

151,615

EUR

135,000

JPMC

9/16/2020

(318)

USD

833,440

GBP

676,750

CITI

9/16/2020

(5,501)

USD

833,437

GBP

676,748

JPMC

9/16/2020

(5,503)

USD

167,472

HUF

53,199,746

CITI

9/16/2020

(1,243)

USD

167,472

HUF

53,199,746

JPMC

9/16/2020

(1,243)

USD

12,861

IDR

194,001,392

CITI

**

9/16/2020

(299)

USD

12,861

IDR

194,001,392

JPMC

**

9/16/2020

(299)

USD

188,953

ILS

658,501

CITI

9/16/2020

(1,545)

USD

188,953

ILS

658,500

JPMC

9/16/2020

(1,545)

USD

155,981

INR

11,962,000

CITI

**

9/16/2020

(1,051)

USD

155,980

INR

11,962,000

JPMC

**

9/16/2020

(1,052)

USD

2,930,490

JPY

318,904,502

CITI

9/16/2020

(26,098)

USD

2,930,486

JPY

318,904,498

JPMC

9/16/2020

(26,102)

USD

1,679,478

KRW

2,053,667,176

CITI

**

9/16/2020

(33,367)

USD

1,679,476

KRW

2,053,667,177

JPMC

**

9/16/2020

(33,369)

USD

270,573

NOK

2,667,750

CITI

9/16/2020

(6,668)

USD

270,573

NOK

2,667,750

JPMC

9/16/2020

(6,669)

USD

1,284,122

NZD

2,062,503

CITI

9/16/2020

(46,715)

USD

1,284,118

NZD

2,062,499

JPMC

9/16/2020

(46,716)

USD

24,404

PHP

1,225,500

CITI

**

9/16/2020

(129)

USD

24,404

PHP

1,225,500

JPMC

**

9/16/2020

(129)

USD

335,328

PLN

1,340,506

CITI

9/16/2020

(3,581)

USD

335,324

PLN

1,340,492

JPMC

9/16/2020

(3,582)

USD

120,336

SEK

1,145,000

CITI

9/16/2020

(2,657)

USD

120,336

SEK

1,144,999

JPMC

9/16/2020

(2,657)

USD

149,362

SGD

210,000

CITI

9/16/2020

(1,361)

USD

149,362

SGD

210,000

JPMC

9/16/2020

(1,361)

USD

3,622

THB

113,000

CITI

9/16/2020

(33)

USD

3,622

THB

113,000

JPMC

9/16/2020

(33)

USD

153,397

TWD

4,489,501

CITI

**

9/16/2020

(915)

142

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

153,397

TWD

4,489,496

JPMC

**

9/16/2020

$

(914)

USD

209,132

ZAR

3,682,999

CITI

9/16/2020

(1,421)

USD

209,132

ZAR

3,682,999

JPMC

9/16/2020

(1,421)

ZAR

6,657,500

USD

383,598

CITI

9/16/2020

(2,995)

ZAR

6,657,500

USD

383,598

JPMC

9/16/2020

(2,995)

MXN

33,384,000

USD

1,485,505

CITI

9/17/2020

(48,017)

MXN

33,384,000

USD

1,485,506

JPMC

9/17/2020

(48,019)

USD

14,588

MXN

341,000

CITI

9/17/2020

(96)

USD

14,588

MXN

341,000

JPMC

9/17/2020

(96)

Total

unrealized

depreciation

(792,501)

Net

unrealized

depreciation

$

(235,526)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-65

months

maturity

07/11/2024

$291,391

$15,472

$(111,521)

$(96,049)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.05%

to

0.05%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/13/2025

-

06/04/2025

$264,250

$(2,060)

$2,444

$384

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.04%

to

0.07%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/13/2025

-

06/24/2025

$234,843

$1,990

$(3,361)

$(1,371)

143

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

04/23/2025

$131

$(2)

$–

$(2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EUR/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.02%

to

0.02%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$691,618

$7,404

$(821)

$6,583

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Cie

de

Saint-Gobain

1,438

51,884

655

9.9

CNP

Assurances

867

10,056

(258)

(3.9)

Electricite

de

France

SA

8,512

79,137

269

4.1

Engie

SA

3,122

38,719

(741)

(11.3)

Peugeot

SA

2,887

47,344

3,110

47.2

Rexel

SA

2,376

27,232

968

14.7

Sartorius

Stedim

Biotech

126

31,946

660

10.0

Suez

SA

917

10,778

(307)

(4.7)

Ubisoft

Entertainment

SA

128

10,600

735

11.2

Luxembourg

Eurofins

Scientific

SE

133

83,888

(1,761)

(26.8)

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(300)

(30,972)

1,956

29.7

Airbus

SE

(376)

(26,942)

1,708

25.9

Dassault

Systemes

SE

(106)

(18,401)

(200)

(3.0)

Getlink

SE

(301)

(4,353)

20

0.3

Natixis

SA

(17,334)

(45,719)

(275)

(4.2)

Pernod

Ricard

SA

(49)

(7,716)

145

2.2

144

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Renault

SA

(3,978)

(101,811)

(2,191)

(33.3)

Societe

Generale

SA

(271)

(4,531)

20

0.3

Thales

SA

(95)

(7,689)

159

2.4

TOTAL

SA

(1,346)

(51,900)

2,732

41.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

GBP/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.25%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$10,801,017

$(19,519)

$(10,381)

$(29,900)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Africa

Investec

plc

48,300

96,918

(2,566)

8.6

Switzerland

Coca-Cola

HBC

AG

8,516

213,182

(10,178)

34.0

United

Kingdom

Avast

plc

24,345

159,116

7,572

(25.3)

Aviva

plc

68,845

233,342

(4,064)

13.6

BAE

Systems

plc

19,753

118,112

(5,904)

19.7

boohoo

Group

plc

21,221

108,671

599

(2.0)

British

American

Tobacco

plc

3,827

146,776

(1,879)

6.3

Britvic

plc

11,602

110,486

(6,052)

20.2

BT

Group

plc

208,175

294,412

(12,836)

42.9

Close

Brothers

Group

plc

16,220

222,061

1,600

(5.4)

ConvaTec

Group

plc

38,406

92,754

(8,108)

27.1

Direct

Line

Insurance

Group

plc

25,510

85,536

(2,877)

9.6

Dixons

Carphone

plc

370,441

411,705

(7,379)

24.7

Drax

Group

plc

62,658

199,969

17,326

(57.9)

Hays

plc

56,684

83,937

(2,897)

9.7

Inchcape

plc

17,184

104,431

(1,779)

5.9

M&G

plc

96,132

199,613

10,009

(33.5)

Man

Group

plc

50,685

82,058

(24)

0.1

Meggitt

plc

24,803

90,341

(7,756)

25.9

Mondi

plc

5,679

106,226

(685)

2.3

Moneysupermarket.com

Group

plc

30,235

121,285

(1,167)

3.9

Royal

Bank

of

Scotland

Group

plc

57,619

86,500

(1,163)

3.9

Royal

Mail

plc

59,731

134,623

2,639

(8.8)

Tate

&

Lyle

plc

18,280

151,116

(10,748)

35.9

145

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(4,345)

(123,220)

1,030

(3.4)

Ashtead

Group

plc

(3,231)

(108,991)

(1,787)

6.0

Beazley

plc

(24,790)

(125,677)

4,172

(14.0)

Burberry

Group

plc

(8,210)

(162,230)

(61)

0.2

Capita

plc

(183,937)

(100,618)

(4,465)

14.9

Croda

International

plc

(2,341)

(152,050)

(2,582)

8.6

Daily

Mail

&

General

Trust

plc

(17,394)

(148,595)

1,176

(3.9)

Diageo

plc

(6,278)

(208,664)

12,215

(40.9)

DS

Smith

plc

(33,647)

(136,589)

3,001

(10.0)

Experian

plc

(3,311)

(116,212)

(436)

1.5

GlaxoSmithKline

plc

(4,155)

(83,930)

1,786

(6.0)

Hargreaves

Lansdown

plc

(8,683)

(175,102)

5,506

(18.4)

Hiscox

Ltd.

(16,804)

(164,019)

7,546

(25.2)

HSBC

Holdings

plc

(19,193)

(89,201)

1,660

(5.6)

InterContinental

Hotels

Group

plc

(2,038)

(89,968)

9,032

(30.2)

Intertek

Group

plc

(1,654)

(111,399)

(1,642)

5.5

Johnson

Matthey

plc

(3,392)

(88,341)

1,780

(6.0)

Jupiter

Fund

Management

plc

(30,520)

(96,773)

(2,462)

8.2

National

Grid

plc

(17,004)

(207,456)

(7,046)

23.6

Ocado

Group

plc

(4,687)

(117,786)

(1,617)

5.4

Pearson

plc

(16,552)

(117,831)

1,856

(6.2)

Prudential

plc

(11,382)

(171,505)

(5,327)

17.8

Reckitt

Benckiser

Group

plc

(2,725)

(250,696)

(8,769)

29.3

Smiths

Group

plc

(7,154)

(125,066)

(10,515)

35.2

Spirax-Sarco

Engineering

plc

(833)

(102,551)

763

(2.6)

St

James's

Place

plc

(9,288)

(109,213)

(1,554)

5.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.01%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/06/2025

$3,789,017

$(259,267)

$1,082

$(258,185)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

United

States

Allscripts

Healthcare

Solutions,

Inc.,

0.88%,

1/1/2027

575,000

442,413

(56,566)

21.9

Granite

Construction,

Inc.,

2.75%,

11/1/2024

700,000

565,378

(98,692)

38.2

PennyMac

Corp.,

5.50%,

11/1/2024

225,000

214,262

(13,466)

5.2

146

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

SMART

Global

Holdings,

Inc.,

2.25%,

2/15/2026

250,000

225,760

(28,455)

11.0

SHARES

Convertible

Preferred

Stock

United

States

QTS

Realty

Trust,

Inc.,

6.50%

7,650

1,093,417

27,619

(10.7)

Short

Positions

Common

Stocks

United

States

Allscripts

Healthcare

Solutions,

Inc.

(20,727)

(140,322)

(2,714)

1.1

Granite

Construction,

Inc.

(9,343)

(178,825)

(11,990)

4.6

PennyMac

Mortgage

Investment

Trust

(902)

(15,812)

(561)

0.2

QTS

Realty

Trust,

Inc.

(12,572)

(805,739)

(61,466)

23.8

SMART

Global

Holdings,

Inc.

(3,940)

(107,089)

(12,976)

5.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

56

months

maturity

01/14/2025

$1,166,834

$(10,211)

$56

$(10,155)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Keihin

Corp.

24,936

583,804

(5,375)

52.9

Showa

Corp.

28,208

583,030

(4,836)

47.6

147

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-1.03%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/13/2025

-

06/25/2025

$6,905,194

$1,669

$39,591

$41,260

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

3SBio,

Inc.

39,000

49,639

(630)

(1.5)

Alibaba

Health

Information

Technology

Ltd.

16,000

47,051

4,783

11.6

Anhui

Conch

Cement

Co.

Ltd.

8,500

57,597

(2,070)

(5.0)

BAIC

Motor

Corp.

Ltd.

112,000

49,014

(2,141)

(5.2)

Beijing

Enterprises

Holdings

Ltd.

13,000

43,655

(3,897)

(9.4)

China

CITIC

Bank

Corp.

Ltd.

219,000

95,968

(2,681)

(6.5)

China

Medical

System

Holdings

Ltd.

63,000

74,504

(1,334)

(3.2)

China

Mobile

Ltd.

22,500

151,921

(9,081)

(22.0)

China

National

Building

Material

Co.

Ltd.

44,000

47,195

(2,990)

(7.2)

China

Resources

Cement

Holdings

Ltd.

36,000

44,400

181

0.4

China

Resources

Pharmaceutical

Group

Ltd.

99,000

57,347

(2,816)

(6.8)

CITIC

Ltd.

60,000

56,657

(6,513)

(15.8)

Far

East

Horizon

Ltd.

253,000

215,981

(9,256)

(22.4)

Haitian

International

Holdings

Ltd.

24,000

48,874

(1,477)

(3.6)

Kunlun

Energy

Co.

Ltd.

82,000

53,704

594

1.4

PICC

Property

&

Casualty

Co.

Ltd.

56,999

47,370

(7,304)

(17.7)

Sinopharm

Group

Co.

Ltd.

19,600

50,391

(1,398)

(3.4)

Tencent

Holdings

Ltd.

1,800

115,340

12,746

30.9

Hong

Kong

CLP

Holdings

Ltd.

8,500

83,481

(2,501)

(6.1)

HKT

Trust

&

HKT

Ltd.

71,000

104,190

(3,723)

(9.0)

Hysan

Development

Co.

Ltd.

21,000

67,793

(2,278)

(5.5)

Kerry

Properties

Ltd.

23,000

59,746

(3,166)

(7.7)

Melco

International

Development

Ltd.

23,000

44,843

(4,408)

(10.7)

WH

Group

Ltd.

182,000

157,283

(4,484)

(10.9)

Yue

Yuen

Industrial

Holdings

Ltd.

46,500

70,879

(5,437)

(13.2)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

49,000

317,304

(25,828)

(62.6)

148

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

China

Air

China

Ltd.

(114,000)

(68,537)

10,890

26.4

Budweiser

Brewing

Co.

APAC

Ltd.

(48,000)

(140,517)

6,762

16.4

China

Communications

Construction

Co.

Ltd.

(115,000)

(65,226)

6,611

16.0

China

Eastern

Airlines

Corp.

Ltd.

(266,000)

(95,772)

13,367

32.4

China

Gas

Holdings

Ltd.

(16,200)

(50,185)

9,071

22.0

China

International

Capital

Corp.

Ltd.

(28,800)

(56,982)

(3,994)

(9.7)

China

Mengniu

Dairy

Co.

Ltd.

(22,000)

(84,361)

2,860

6.9

China

Merchants

Bank

Co.

Ltd.

(16,000)

(74,146)

5,539

13.4

China

Southern

Airlines

Co.

Ltd.

(188,000)

(84,070)

16,110

39.0

China

Tower

Corp.

Ltd.

(280,000)

(49,758)

5,299

12.8

CITIC

Securities

Co.

Ltd.

(45,500)

(86,790)

2,144

5.2

Guangzhou

Automobile

Group

Co.

Ltd.

(66,000)

(48,086)

11,377

27.6

Hua

Hong

Semiconductor

Ltd.

(20,000)

(70,113)

(21,853)

(53.0)

Huatai

Securities

Co.

Ltd.

(45,800)

(73,316)

1,526

3.7

Ping

An

Insurance

Group

Co.

of

China

Ltd.

(9,500)

(94,705)

6,049

14.7

Postal

Savings

Bank

of

China

Co.

Ltd.

(91,000)

(52,436)

5,565

13.5

Xinjiang

Goldwind

Science

&

Technology

Co.

Ltd.

(51,600)

(44,399)

8,052

19.5

ZhongAn

Online

P&C

Insurance

Co.

Ltd.

(13,400)

(66,841)

(16,011)

(38.8)

Hong

Kong

AIA

Group

Ltd.

(11,600)

(108,548)

2,487

6.0

Alibaba

Pictures

Group

Ltd.

(330,000)

(44,179)

2,656

6.4

Hong

Kong

&

China

Gas

Co.

Ltd.

(242,150)

(376,342)

18,235

44.2

MTR

Corp.

Ltd.

(59,000)

(306,844)

14,629

35.5

Techtronic

Industries

Co.

Ltd.

(6,500)

(64,315)

(1,197)

(2.9)

Wharf

Real

Estate

Investment

Co.

Ltd.

(25,000)

(120,015)

(4,217)

(10.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.08%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

04/13/2023

-

06/25/2025

$19,374,939

$38,861

$18,714

$57,575

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Petrobras

Distribuidora

SA

79,600

315,437

(65,322)

(113.5)

149

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Taiwan

Hon

Hai

Precision

Industry

Co.

Ltd.

43,000

126,255

11,349

19.7

President

Chain

Store

Corp.

13,000

130,776

2,089

3.6

Uni

-President

Enterprises

Corp.

40,000

96,912

(2,447)

(4.3)

United

Microelectronics

Corp.

215,000

116,238

(5,533)

(9.6)

United

States

AbbVie,

Inc.

1,117

109,667

387

0.7

Alexion

Pharmaceuticals,

Inc.

1,339

150,289

(5,021)

(8.7)

Alkermes

plc

6,025

116,915

12,863

22.3

Biogen,

Inc.

646

172,837

(14,046)

(24.4)

Bio-Rad

Laboratories,

Inc.

543

245,159

(4,279)

(7.4)

Brighthouse

Financial,

Inc.

4,062

113,005

(35,096)

(61.0)

Cabot

Corp.

3,278

121,450

(16,652)

(28.9)

CNO

Financial

Group,

Inc.

9,332

145,299

(10,545)

(18.3)

ConocoPhillips

5,781

242,918

(38,212)

(66.4)

Element

Solutions,

Inc.

8,675

94,124

(6,506)

(11.3)

Graphic

Packaging

Holding

Co.

7,405

103,596

(7,849)

(13.6)

IQVIA

Holdings,

Inc.

679

96,337

(2,152)

(3.7)

Mylan

NV

6,366

102,365

(15,087)

(26.2)

Pfizer,

Inc.

7,041

230,241

(24,714)

(42.9)

PRA

Health

Sciences,

Inc.

1,139

110,813

(7,939)

(13.8)

Regeneron

Pharmaceuticals,

Inc.

146

91,053

2,199

3.8

Sprouts

Farmers

Market,

Inc.

4,225

108,118

3,000

5.2

United

Therapeutics

Corp.

1,112

134,552

(2,470)

(4.3)

Willis

Towers

Watson

plc

5,714

1,125,372

(23,199)

(40.3)

World

Fuel

Services

Corp.

3,984

102,628

(13,386)

(23.3)

Short

Positions

Common

Stocks

South

Korea

LG

Chem

Ltd.

(254)

(104,820)

(13,110)

(22.8)

Taiwan

Far

Eastern

New

Century

Corp.

(113,000)

(107,315)

555

1.0

Formosa

Petrochemical

Corp.

(42,000)

(127,121)

8,406

14.6

United

States

Amcor

plc

(20,452)

(208,815)

(204)

(0.4)

Athene

Holding

Ltd.

(4,181)

(130,405)

12,628

21.9

Berry

Global

Group,

Inc.

(2,618)

(116,030)

7,802

13.6

Boston

Beer

Co.,

Inc.

(The)

(227)

(121,820)

(515)

(0.9)

Brown

&

Brown,

Inc.

(2,373)

(96,723)

4,102

7.1

Brown-Forman

Corp.

(2,451)

(156,031)

13,432

23.3

ChampionX

Corp.

(10,492)

(102,402)

12,517

21.7

Cincinnati

Financial

Corp.

(2,571)

(164,621)

12,289

21.3

Equitrans

Midstream

Corp.

(12,178)

(101,199)

7,299

12.7

Erie

Indemnity

Co.

(1,062)

(203,798)

(5,820)

(10.1)

Exact

Sciences

Corp.

(1,180)

(102,589)

4,524

7.9

Halliburton

Co.

(7,380)

(95,792)

13,211

22.9

Hess

Corp.

(3,088)

(159,989)

15,882

27.6

International

Flavors

&

Fragrances,

Inc.

(802)

(98,213)

9,712

16.9

Lamb

Weston

Holdings,

Inc.

(1,890)

(120,828)

13,559

23.6

Lincoln

National

Corp.

(2,740)

(100,805)

28,551

49.6

Nektar

Therapeutics

(4,784)

(110,797)

(4,567)

(7.9)

Occidental

Petroleum

Corp.

(7,914)

(144,826)

36,404

63.2

Principal

Financial

Group,

Inc.

(3,039)

(126,240)

17,413

30.2

RLI

Corp.

(2,494)

(204,757)

4,457

7.7

Schlumberger

Ltd.

(5,642)

(103,756)

19,216

33.4

Vulcan

Materials

Co.

(793)

(91,869)

1,729

3.0

150

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.20%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/14/2025

-

06/24/2025

$732,398

$15,372

$(10,240)

$5,132

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Africa

Anglo

American

Platinum

Ltd.

134

9,752

739

14.4

Aspen

Pharmacare

Holdings

Ltd.

4,091

33,981

(233)

(4.5)

Kumba

Iron

Ore

Ltd.

602

16,098

(963)

(18.8)

Life

Healthcare

Group

Holdings

Ltd.

37,185

35,820

(4,878)

(95.1)

Momentum

Metropolitan

Holdings

64,180

65,313

(5,608)

(109.3)

Mr

Price

Group

Ltd.

3,484

28,810

(969)

(18.9)

Northam

Platinum

Ltd.

4,364

29,433

(322)

(6.3)

Old

Mutual

Ltd.

36,744

25,610

(1,171)

(22.8)

Pick

n

Pay

Stores

Ltd.

21,807

64,181

(4,784)

(93.2)

Sasol

Ltd.

1,728

13,269

(3,958)

(77.1)

Shoprite

Holdings

Ltd.

186

1,143

(35)

(0.7)

Standard

Bank

Group

Ltd.

2,581

15,580

(1,687)

(32.9)

Short

Positions

Common

Stocks

South

Africa

Bidvest

Group

Ltd.

(The)

(7,687)

(63,070)

10,100

196.8

Capitec

Bank

Holdings

Ltd.

(853)

(42,394)

3,828

74.6

Clicks

Group

Ltd.

(2,387)

(28,980)

2,267

44.2

Discovery

Ltd.

(9,558)

(57,739)

5,846

113.9

Exxaro

Resources

Ltd.

(3,034)

(22,901)

1,394

27.2

MTN

Group

Ltd.

(9,547)

(29,239)

2,642

51.5

MultiChoice

Group

(1,577)

(9,644)

(1,088)

(21.2)

Naspers

Ltd.

(4)

(735)

(70)

(1.4)

Nedbank

Group

Ltd.

(3,836)

(22,492)

4,430

86.3

PSG

Group

Ltd.

(3,784)

(34,595)

5,705

111.2

Sanlam

Ltd.

(16,791)

(57,118)

2,658

51.8

Sibanye

Stillwater

Ltd.

(3,287)

(7,137)

(37)

(0.7)

SPAR

Group

Ltd.

(The)

(1,755)

(17,364)

1,566

30.5

151

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-2.00%

to

0.70%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

04/04/2025

-

06/25/2025

$4,176,630

$(67,617)

$(13,788)

$(81,405)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

20,816

246,257

(2,826)

3.5

Ampol

Ltd.

1,786

36,392

949

(1.2)

Aristocrat

Leisure

Ltd.

2,078

37,210

(1,637)

2.0

Aurizon

Holdings

Ltd.

85,033

289,357

8,281

(10.2)

Beach

Energy

Ltd.

43,065

46,007

(2,259)

2.8

Brambles

Ltd.

4,687

35,539

41

(0.1)

carsales.com

Ltd.

4,805

59,480

445

(0.5)

CIMIC

Group

Ltd.

1,478

24,837

(311)

0.4

Coca-Cola

Amatil

Ltd.

8,227

49,555

(1,846)

2.3

Crown

Resorts

Ltd.

3,356

22,608

(829)

1.0

Flight

Centre

Travel

Group

Ltd.

7,911

61,841

(12,666)

15.6

Fortescue

Metals

Group

Ltd.

13,254

128,851

(4,786)

5.9

Incitec

Pivot

Ltd.

26,010

33,907

(1,572)

1.9

Lendlease

Group

13,319

115,119

(5,164)

6.3

Orica

Ltd.

5,887

68,081

(1,227)

1.5

Origin

Energy

Ltd.

17,010

69,218

(1,905)

2.3

Qantas

Airways

Ltd.

35,905

95,144

(15,837)

19.5

South32

Ltd.

20,043

28,375

(288)

0.4

Star

Entertainment

Grp

Ltd.

(The)

29,221

58,060

(5,354)

6.6

Suncorp

Group

Ltd.

3,801

24,425

(770)

0.9

Tabcorp

Holdings

Ltd.

10,755

25,367

(495)

0.6

Telstra

Corp.

Ltd.

19,648

42,649

(917)

1.1

Treasury

Wine

Estates

Ltd.

9,892

71,973

(3,499)

4.3

Wesfarmers

Ltd.

2,132

66,289

2,853

(3.5)

Worley

Ltd.

4,558

27,890

(1,208)

1.5

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(1,059)

(45,736)

(3,555)

4.4

Altium

Ltd.

(1,231)

(27,891)

(26)

0.0

Alumina

Ltd.

(62,125)

(70,809)

925

(1.1)

APA

Group

(7,155)

(55,325)

845

(1.0)

Atlas

Arteria

Ltd.

(26,932)

(124,372)

2,454

(3.0)

AusNet

Services

(47,255)

(54,597)

175

(0.2)

Cochlear

Ltd.

(357)

(46,870)

45

(0.1)

CSL

Ltd.

(780)

(155,133)

189

(0.2)

152

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Iluka

Resources

Ltd.

(3,989)

(23,830)

(437)

0.5

Macquarie

Group

Ltd.

(485)

(40,251)

257

(0.3)

Magellan

Financial

Group

Ltd.

(985)

(40,223)

(1,014)

1.2

Medibank

Pvt

Ltd.

(22,386)

(46,412)

600

(0.7)

Oil

Search

Ltd.

(28,888)

(64,020)

4,332

(5.3)

Ramsay

Health

Care

Ltd.

(2,630)

(121,460)

(388)

0.5

Saracen

Mineral

Holdings

Ltd.

(18,387)

(70,030)

(11,378)

14.0

SEEK

Ltd.

(19,821)

(303,239)

(15,378)

18.9

Seven

Group

Holdings

Ltd.

(5,453)

(65,588)

912

(1.1)

Sonic

Healthcare

Ltd.

(4,574)

(96,588)

(5,008)

6.2

Spark

Infrastructure

Group

(40,875)

(61,049)

(1,166)

1.4

Sydney

Airport

(8,222)

(32,449)

1,490

(1.8)

Transurban

Group

(12,707)

(124,614)

4,734

(5.8)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2,019)

(27,424)

(81)

0.1

WiseTech

Global

Ltd.

(6,313)

(85,402)

11,863

(14.6)

Woolworths

Group

Ltd.

(892)

(22,993)

(569)

0.7

United

States

James

Hardie

Industries

plc

(10,200)

(196,540)

(3,423)

4.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-2.91%

to

0.70%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

04/04/2025

-

06/25/2025

$4,443,385

$(1,403)

$(12,780)

$(14,183)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alamos

Gold,

Inc.

5,065

47,233

7,853

(55.4)

Atco

Ltd.

3,307

98,094

6,704

(47.3)

CI

Financial

Corp.

8,471

107,759

2,372

(16.7)

Empire

Co.

Ltd.

1,652

39,560

893

(6.3)

George

Weston

Ltd.

549

40,217

792

(5.6)

Gibson

Energy,

Inc.

2,465

38,366

(1,457)

10.3

Husky

Energy,

Inc.

11,990

39,390

(2,417)

17.0

Kinross

Gold

Corp.

16,167

116,703

12,180

(85.9)

Linamar

Corp.

2,803

75,774

(4,935)

34.8

Loblaw

Cos.

Ltd.

628

30,581

240

(1.7)

Magna

International,

Inc.

5,003

222,806

381

(2.7)

Parkland

Corp.

1,626

40,375

(1,302)

9.2

Rogers

Communications,

Inc.

753

30,256

(721)

5.1

Shaw

Communications,

Inc.

2,446

39,890

(905)

6.4

Stantec

,

Inc.

4,276

132,003

2,310

(16.3)

153

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Teck

Resources

Ltd.

7,055

73,897

(52)

0.4

TFI

International,

Inc.

2,138

75,891

4,528

(31.9)

Thomson

Reuters

Corp.

1,176

79,901

(351)

2.5

Tourmaline

Oil

Corp.

8,259

72,211

386

(2.7)

TransAlta

Corp.

8,254

48,943

(553)

3.9

Yamana

Gold,

Inc.

10,411

56,595

5,592

(39.4)

Kyrgyzstan

Centerra

Gold,

Inc.

3,593

40,096

1,464

(10.3)

United

States

BRP,

Inc.

1,512

64,485

2,366

(16.7)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(1,627)

(71,559)

(7,302)

51.5

Canada

Air

Canada

(5,393)

(67,333)

4,914

(34.6)

Algonquin

Power

&

Utilities

Corp.

(6,671)

(86,238)

3,340

(23.5)

BCE,

Inc.

(2,327)

(97,050)

1,275

(9.0)

Boyd

Group

Services,

Inc.

(245)

(36,467)

(371)

2.6

Brookfield

Asset

Management,

Inc.

(2,137)

(70,331)

2,587

(18.2)

Canadian

National

Railway

Co.

(1,661)

(146,952)

1,251

(8.8)

Canadian

Pacific

Railway

Ltd.

(292)

(74,273)

(63)

0.4

Emera,

Inc.

(2,507)

(98,648)

1,546

(10.9)

Enbridge,

Inc.

(1,334)

(40,562)

1,474

(10.4)

Fortis,

Inc.

(1,264)

(48,070)

107

(0.8)

Franco-Nevada

Corp.

(647)

(90,383)

(4,094)

28.9

Innergex

Renewable

Energy,

Inc.

(4,327)

(60,876)

(269)

1.9

Intact

Financial

Corp.

(359)

(34,168)

890

(6.3)

Inter

Pipeline

Ltd.

(6,146)

(57,223)

(858)

6.0

Northland

Power,

Inc.

(1,764)

(44,152)

(2,099)

14.8

Onex

Corp.

(681)

(30,764)

(179)

1.3

Pan

American

Silver

Corp.

(1,077)

(32,708)

(1,821)

12.8

PrairieSky

Royalty

Ltd.

(7,198)

(45,491)

1,955

(13.8)

Premium

Brands

Holdings

Corp.

(778)

(49,628)

1,179

(8.3)

Restaurant

Brands

International,

Inc.

(2,217)

(120,664)

2,640

(18.6)

Saputo,

Inc.

(2,344)

(55,889)

70

(0.5)

Shopify,

Inc.

(152)

(144,406)

(20,106)

141.8

SNC-Lavalin

Group,

Inc.

(6,490)

(109,521)

(1,178)

8.3

TransAlta

Renewables,

Inc.

(4,008)

(43,074)

(522)

3.7

West

Fraser

Timber

Co.

Ltd.

(3,491)

(122,710)

(11,977)

84.4

WSP

Global,

Inc.

(971)

(59,550)

767

(5.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/21/2025

-

06/25/2025

$3,015,022

$(79,421)

$(7,399)

$(86,820)

154

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

7,426

110,711

(15,510)

17.9

Switzerland

Adecco

Group

AG

(Registered)

3,102

146,215

(1,739)

2.0

Baloise

Holding

AG

(Registered)

295

44,442

73

(0.1)

BKW

AG

221

19,842

(102)

0.1

Bucher

Industries

AG

(Registered)

122

35,240

(194)

0.2

Credit

Suisse

Group

AG

(Registered)

8,037

83,624

527

(0.6)

dormakaba

Holding

AG

62

33,859

(2,247)

2.6

Dufry

AG

(Registered)

813

24,352

(5,026)

5.8

Flughafen

Zurich

AG

(Registered)

72

9,404

(338)

0.4

Georg

Fischer

AG

(Registered)

24

20,690

265

(0.3)

Helvetia

Holding

AG

(Registered)

1,088

101,913

(4,986)

5.7

Julius

Baer

Group

Ltd.

288

12,095

(498)

0.6

LafargeHolcim

Ltd.

(Registered)

2,950

129,965

(386)

0.4

Novartis

AG

(Registered)

329

28,663

(890)

1.0

OC

Oerlikon

Corp.

AG

(Registered)

1,872

15,356

(187)

0.2

Roche

Holding

AG

106

36,724

(1,266)

1.5

SGS

SA

(Registered)

12

29,396

364

(0.4)

SIG

Combibloc

Group

AG

2,215

36,042

167

(0.2)

Sonova

Holding

AG

(Registered)

485

97,085

(7,640)

8.8

Sulzer

AG

(Registered)

133

10,666

(269)

0.3

Sunrise

Communications

Group

AG

879

78,184

4,510

(5.2)

Swatch

Group

AG

(The)

179

35,927

(740)

0.9

Swiss

Life

Holding

AG

(Registered)

203

75,520

(715)

0.8

UBS

Group

AG

(Registered)

5,979

69,052

2,291

(2.6)

Vifor

Pharma

AG

102

15,431

(851)

1.0

Zurich

Insurance

Group

AG

93

32,953

6

(0.0)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(7,022)

(159,280)

(6,538)

7.5

Alcon,

Inc.

(229)

(13,158)

864

(1.0)

Banque

Cantonale

Vaudoise

(Registered)

(486)

(47,328)

(125)

0.1

Barry

Callebaut

AG

(Registered)

(22)

(41,994)

323

(0.4)

Chocoladefabriken

Lindt

&

Spruengli

AG

(10)

(82,593)

(1,411)

1.6

Cie

Financiere

Richemont

SA

(Registered)

(721)

(46,505)

(1,192)

1.4

Clariant

AG

(Registered)

(479)

(9,427)

(40)

0.0

EMS-

Chemie

Holding

AG

(Registered)

(45)

(34,961)

(1,109)

1.3

Geberit

AG

(Registered)

(31)

(15,554)

(124)

0.1

Givaudan

SA

(Registered)

(20)

(74,759)

(2,188)

2.5

Idorsia

Ltd.

(2,358)

(75,789)

(650)

0.7

Kuehne

+

Nagel

International

AG

(Registered)

(769)

(128,091)

(9,593)

11.0

Logitech

International

SA

(Registered)

(464)

(30,406)

(1,154)

1.3

Lonza

Group

AG

(Registered)

(131)

(69,390)

(1,264)

1.5

Nestle

SA

(Registered)

(465)

(51,555)

613

(0.7)

Partners

Group

Holding

AG

(36)

(32,785)

(1,093)

1.3

Schindler

Holding

AG

(40)

(9,466)

104

(0.1)

Sika

AG

(Registered)

(379)

(73,061)

176

(0.2)

Straumann

Holding

AG

(Registered)

(88)

(76,075)

(2,827)

3.3

Swiss

Re

AG

(540)

(41,869)

612

(0.7)

155

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Swisscom

AG

(Registered)

(26)

(13,634)

65

(0.1)

Tecan

Group

AG

(Registered)

(77)

(27,290)

(111)

0.1

Temenos

AG

(Registered)

(3,066)

(476,530)

(16,360)

18.8

VAT

Group

AG

(134)

(24,612)

(705)

0.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.7%

to

0.70%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/21/2025

-

06/25/2025

$1,900,956

$(15,415)

$197

$(15,218)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

6

7,032

(386)

2.5

Carlsberg

A/S

2,502

331,786

(6,405)

42.1

Danske

Bank

A/S

2,956

39,517

(787)

5.2

FLSmidth

&

Co.

A/S

5,684

165,330

2,437

(16.0)

GN

Store

Nord

A/S

1,528

81,794

(2,413)

15.9

Jyske

Bank

A/S

(Registered)

575

16,920

(1,118)

7.3

Novo

Nordisk

A/S

138

8,990

(267)

1.8

Pandora

A/S

1,779

97,159

(4,003)

26.3

ROCKWOOL

International

A/S

506

137,710

(135)

0.9

Royal

Unibrew

A/S

752

62,688

(2,124)

14.0

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(936)

(29,589)

2,255

(14.8)

Chr

Hansen

Holding

A/S

(1,407)

(145,126)

(3,164)

20.8

Coloplast

A/S

(168)

(26,186)

246

(1.6)

Demant

A/S

(1,490)

(39,487)

3,403

(22.4)

DSV

Panalpina

A/S

(1,578)

(193,834)

(10,097)

66.3

Genmab

A/S

(144)

(48,556)

(1,307)

8.6

H

Lundbeck

A/S

(3,898)

(147,284)

4,627

(30.4)

ISS

A/S

(2,116)

(33,599)

6,458

(42.4)

Novozymes

A/S

(1,626)

(94,269)

(1,642)

10.8

Orsted

A/S

(732)

(84,611)

1,115

(7.3)

SimCorp

A/S

(398)

(43,045)

(48)

0.3

Tryg

A/S

(2,019)

(58,661)

(2,075)

13.6

Vestas

Wind

Systems

A/S

(76)

(7,783)

15

(0.1)

156

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-4.6%

to

0.70%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

01/14/2021

-

06/25/2025

$9,810,223

$7,408

$10,609

$18,017

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Huhtamaki

OYJ

2,048

81,021

(942)

(5.2)

Kesko

OYJ

9,778

167,374

2,959

16.4

Nokia

OYJ

21,036

91,925

(366)

(2.0)

Orion

OYJ

2,907

140,973

(1,723)

(9.6)

UPM-

Kymmene

OYJ

3,185

92,253

(2,916)

(16.2)

Germany

Aurubis

AG

3,661

226,319

6,225

34.6

Bayer

AG

(Registered)

1,476

109,406

(5,028)

(27.9)

HeidelbergCement

AG

2,709

145,018

(6,303)

(35.0)

HelloFresh

SE

1,460

78,103

5,550

30.8

HOCHTIEF

AG

1,812

161,231

632

3.5

HUGO

BOSS

AG

3,925

118,950

(8,266)

(45.9)

LANXESS

AG

2,412

127,550

180

1.0

METRO

AG

17,069

161,988

(2,119)

(11.8)

ProSiebenSat.1

Media

SE

14,190

169,573

6,842

38.0

Rheinmetall

AG

1,892

164,410

3,837

21.3

Software

AG

3,275

132,278

3,646

20.2

Telefonica

Deutschland

Holding

AG

61,866

182,454

1,143

6.3

Netherlands

ABN

AMRO

Bank

NV

13,623

117,235

(5,877)

(32.6)

Altice

Europe

NV

26,401

102,107

(9,074)

(50.4)

ASR

Nederland

NV

11,240

345,825

3,942

21.9

Koninklijke

Ahold

Delhaize

NV

5,569

151,778

1,782

9.9

Koninklijke

KPN

NV

31,293

83,237

2,508

13.9

Randstad

NV

2,583

115,499

55

0.3

Wolters

Kluwer

NV

1,650

128,971

2,620

14.5

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(2,648)

(130,537)

6,570

36.5

China

Prosus

NV

(1,457)

(135,847)

(5,370)

(29.8)

157

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Finland

Elisa

OYJ

(2,115)

(128,701)

(2,555)

(14.2)

Neste

OYJ

(2,719)

(106,792)

(219)

(1.2)

Nokian

Renkaat

OYJ

(12,013)

(264,063)

8,474

47.0

Sampo

OYJ

(3,653)

(125,918)

57

0.3

Germany

adidas

AG

(364)

(95,969)

2,913

16.2

Beiersdorf

AG

(1,063)

(120,878)

(817)

(4.5)

CTS

Eventim

AG

&

Co.

KGaA

(3,433)

(143,348)

9,093

50.5

Daimler

AG

(Registered)

(2,934)

(119,366)

2,618

14.5

Duerr

AG

(3,122)

(81,494)

(1,474)

(8.2)

E.ON

SE

(17,193)

(194,069)

(2,661)

(14.8)

Evotec

SE

(5,018)

(136,963)

1,836

10.2

FUCHS

PETROLUB

SE

(Preference)

(2,996)

(120,421)

296

1.6

MTU

Aero

Engines

AG

(702)

(122,219)

5,300

29.4

Sartorius

AG

(Preference)

(496)

(163,704)

2,454

13.6

Scout24

AG

(1,162)

(89,901)

626

3.5

Siemens

AG

(Registered)

(1,587)

(187,166)

(4,215)

(23.4)

United

Internet

AG

(Registered)

(6,374)

(270,813)

(12,255)

(68.0)

Netherlands

Adyen

NV

(114)

(166,098)

(2,117)

(11.8)

ASML

Holding

NV

(306)

(111,939)

(402)

(2.2)

Boskalis

Westminster

(4,519)

(89,236)

(1,869)

(10.4)

Heineken

NV

(2,689)

(247,947)

7,209

40.0

Just

Eat

Takeaway.com

NV

(1,212)

(126,684)

(7,566)

(42.0)

OCI

NV

(11,370)

(119,436)

19,052

105.7

SBM

Offshore

NV

(12,302)

(181,276)

5,436

30.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-9.5%

to

0.70%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-64

months

maturity

ranging

from

01/21/2025

-

06/25/2025

$24,399,957

$(24,170)

$51,966

$27,796

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Alfresa

Holdings

Corp.

6,600

138,345

(550)

(2.0)

Brother

Industries

Ltd.

7,900

142,730

(7,335)

(26.4)

Dai

Nippon

Printing

Co.

Ltd.

7,400

170,129

(458)

(1.6)

JGC

Holdings

Corp.

15,300

161,337

(9,382)

(33.8)

Medipal

Holdings

Corp.

8,200

158,265

(3,100)

(11.2)

NHK

Spring

Co.

Ltd.

22,900

148,934

(10,447)

(37.6)

Nippon

Express

Co.

Ltd.

3,000

155,560

(4,254)

(15.3)

158

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Nomura

Holdings,

Inc.

30,700

137,953

2,567

9.2

Obayashi

Corp.

23,625

222,110

(240)

(0.9)

Pola

Orbis

Holdings,

Inc.

7,500

130,939

(10,391)

(37.4)

Sekisui

House

Ltd.

7,100

135,554

(806)

(2.9)

Sumitomo

Dainippon

Pharma

Co.

Ltd.

11,300

156,591

1,189

4.3

Suntory

Beverage

&

Food

Ltd.

4,100

159,975

(4,100)

(14.8)

Suzuken

Co.

Ltd.

4,230

158,032

135

0.5

Taiheiyo

Cement

Corp.

10,400

241,635

(2,511)

(9.0)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

53,821

165,563

(10,981)

(39.5)

Tokyo

Gas

Co.

Ltd.

10,400

249,024

8,838

31.8

Toppan

Printing

Co.

Ltd.

10,000

167,189

(4,690)

(16.9)

Tosoh

Corp.

11,733

161,175

(2,759)

(9.9)

Toyo

Seikan

Group

Holdings

Ltd.

13,300

149,987

(10,514)

(37.8)

Toyota

Boshoku

Corp.

16,100

217,109

636

2.3

Toyota

Tsusho

Corp.

6,600

168,309

(7,085)

(25.5)

Short

Positions

Common

Stocks

Japan

Acom

Co.

Ltd.

(36,030)

(137,880)

5,979

21.5

Asahi

Intecc

Co.

Ltd.

(5,366)

(153,148)

166

0.6

COMSYS

Holdings

Corp.

(4,800)

(142,344)

(5,506)

(19.8)

CyberAgent

,

Inc.

(2,700)

(132,715)

(3,476)

(12.5)

Daikin

Industries

Ltd.

(800)

(129,440)

(7,265)

(26.1)

FamilyMart

Co.

Ltd.

(7,600)

(130,476)

8,116

29.2

FANUC

Corp.

(800)

(143,416)

4,085

14.7

Japan

Airport

Terminal

Co.

Ltd.

(3,800)

(162,154)

3,948

14.2

Japan

Tobacco,

Inc.

(8,300)

(154,154)

12,531

45.1

Kansai

Paint

Co.

Ltd.

(51,800)

(1,094,624)

(35,090)

(126.2)

Keio

Corp.

(2,400)

(137,352)

883

3.2

Kikkoman

Corp.

(4,584)

(221,396)

1,490

5.4

Kyowa

Kirin

Co.

Ltd.

(5,100)

(134,256)

1,367

4.9

MISUMI

Group,

Inc.

(5,200)

(130,564)

5,242

18.9

NGK

Spark

Plug

Co.

Ltd.

(17,800)

(255,838)

19,004

68.4

Nippon

Paint

Holdings

Co.

Ltd.

(7,000)

(510,558)

5,538

19.9

Odakyu

Electric

Railway

Co.

Ltd.

(11,000)

(270,136)

(5,988)

(21.5)

Oracle

Corp.

Japan

(1,100)

(130,474)

(7,673)

(27.6)

Oriental

Land

Co.

Ltd.

(1,300)

(171,790)

11,541

41.5

PeptiDream

,

Inc.

(3,200)

(147,442)

3,452

12.4

Pigeon

Corp.

(4,400)

(170,302)

(3,988)

(14.3)

Rakuten

,

Inc.

(15,600)

(137,795)

(115)

(0.4)

Recruit

Holdings

Co.

Ltd.

(3,800)

(130,683)

4,147

14.9

Shimano,

Inc.

(800)

(153,831)

2,912

10.5

Shiseido

Co.

Ltd.

(4,100)

(261,255)

3,646

13.1

SoftBank

Group

Corp.

(3,600)

(181,540)

(5,032)

(18.1)

Tsuruha

Holdings,

Inc.

(1,000)

(138,113)

9,034

32.5

Unicharm

Corp.

(4,200)

(172,253)

(9,041)

(32.5)

159

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/21/2025

-

06/25/2025

$866,733

$(21,460)

$1,006

$(20,454)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

DNB

ASA

616

8,222

(220)

1.1

Leroy

Seafood

Group

ASA

8,862

53,483

1,018

(5.0)

Norsk

Hydro

ASA

9,922

27,681

(778)

3.8

Orkla

ASA

6,102

53,573

303

(1.5)

Telenor

ASA

9,765

142,578

(7,031)

34.4

Yara

International

ASA

4,729

164,864

(9,237)

45.2

United

Kingdom

Subsea

7

SA

5,972

38,083

(3,855)

18.8

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(606)

(38,316)

(1,950)

9.5

France

Adevinta

ASA

(1,173)

(11,872)

172

(0.8)

Norway

Equinor

ASA

(3,435)

(49,483)

1,636

(8.0)

Gjensidige

Forsikring

ASA

(3,310)

(61,156)

888

(4.3)

Mowi

ASA

(5,995)

(114,275)

925

(4.5)

Salmar

ASA

(1,224)

(58,636)

(1,969)

9.6

TOMRA

Systems

ASA

(1,205)

(44,511)

(1,362)

6.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-1.4%

to

0.70%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-61

months

maturity

ranging

from

01/21/2025

-

06/25/2025

$2,291,089

$26,196

$(3,955)

$22,241

160

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Alfa

Laval

AB

415

9,155

84

0.4

Boliden

AB

2,705

62,043

1,251

5.6

Electrolux

AB

7,906

133,018

(3,005)

(13.5)

Electrolux

Professional

AB

3,682

13,487

477

2.1

Essity

AB

5,410

175,400

1,878

8.4

Getinge

AB

10,483

195,344

(8,632)

(38.8)

Hennes

&

Mauritz

AB

1,248

18,216

(1,381)

(6.2)

Holmen

AB

74

2,377

(79)

(0.4)

Husqvarna

AB

7,455

61,355

763

3.4

Sandvik

AB

5,016

94,430

8,915

40.1

Securitas

AB

5,616

75,941

3,124

14.0

Skanska

AB

6,021

122,920

1,147

5.2

SKF

AB

6,142

114,816

971

4.4

SSAB

AB

1,798

4,979

(84)

(0.4)

Telefonaktiebolaget

LM

Ericsson

5,312

49,240

(153)

(0.7)

Telia

Co.

AB

14,209

53,159

(143)

(0.6)

Trelleborg

AB

4,212

61,797

1,991

9.0

Volvo

AB

1,818

28,606

(178)

(0.8)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(425)

(11,188)

289

1.3

Finland

Nordea

Bank

Abp

(3,237)

(22,450)

954

4.3

Sweden

AAK

AB

(4,069)

(70,231)

2,262

10.2

Assa

Abloy

AB

(4,322)

(88,461)

3,297

14.8

Atlas

Copco

AB

(1,419)

(60,429)

177

0.8

Axfood

AB

(916)

(20,026)

218

1.0

BillerudKorsnas

AB

(532)

(7,636)

(180)

(0.8)

Elekta

AB

(4,208)

(39,199)

884

4.0

Embracer

Group

AB

(1,923)

(27,022)

(1,131)

(5.1)

Epiroc

AB

(1,479)

(18,532)

(347)

(1.6)

Evolution

Gaming

Group

AB

(894)

(53,100)

5,111

23.0

Hexagon

AB

(1,640)

(96,310)

(1,138)

(5.1)

Hexpol

AB

(1,857)

(13,857)

676

3.0

Indutrade

AB

(563)

(22,330)

718

3.2

Lifco

AB

(361)

(23,020)

(9)

(0.0)

Nibe

Industrier

AB

(7,695)

(170,674)

1,206

5.4

Saab

AB

(1,650)

(41,472)

489

2.2

Skandinaviska

Enskilda

Banken

AB

(1,971)

(17,109)

(173)

(0.8)

Svenska

Cellulosa

AB

SCA

(11,102)

(132,793)

5,075

22.8

Svenska

Handelsbanken

AB

(2,979)

(28,287)

1,117

5.0

Swedish

Match

AB

(217)

(15,311)

35

0.2

Swedish

Orphan

Biovitrum

AB

(4)

(93)

(3)

(0.0)

Tele2

AB

(2,650)

(35,276)

(277)

(1.2)

161

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-1.5%

to

0.80%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

58-61

months

maturity

ranging

from

04/04/2025

-

06/25/2025

$719,557

$(2,121)

$(1,570)

$(3,691)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

30,700

90,804

1,095

(29.7)

Yangzijiang

Shipbuilding

Holdings

Ltd.

85,000

57,221

(2,853)

77.3

Singapore

ComfortDelGro

Corp.

Ltd.

65,600

68,940

(7,485)

202.8

Genting

Singapore

Ltd.

86,600

47,645

(45)

1.2

SATS

Ltd.

1,000

2,073

(166)

4.5

Singapore

Press

Holdings

Ltd.

5,400

4,948

(290)

7.9

Venture

Corp.

Ltd.

4,600

53,759

1,346

(36.5)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(31,800)

(67,182)

(628)

17.0

City

Developments

Ltd.

(7,200)

(44,000)

385

(10.4)

DBS

Group

Holdings

Ltd.

(1,400)

(21,066)

78

(2.1)

Jardine

Cycle

&

Carriage

Ltd.

(2,500)

(36,484)

1,798

(48.7)

Oversea-Chinese

Banking

Corp.

Ltd.

(1,900)

(12,384)

(9)

0.2

Singapore

Technologies

Engineering

Ltd.

(16,700)

(39,859)

785

(21.3)

Singapore

Telecommunications

Ltd.

(76,700)

(136,441)

3,285

(89.0)

United

Overseas

Bank

Ltd.

(900)

(13,151)

144

(3.9)

UOL

Group

Ltd.

(4,800)

(23,600)

439

(11.9)

162

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-23.16%

to

1.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-63

months

maturity

ranging

from

01/22/2025

-

06/26/2025

$39,943,099

$152,436

$(398,705)

$(246,269)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Amazon.com,

Inc.

104

286,917

12,255

(5.0)

Deckers

Outdoor

Corp.

737

144,739

(1,474)

0.6

Electronic

Arts,

Inc.

1,130

149,216

3,887

(1.6)

First

Citizens

BancShares

,

Inc.

380

153,908

771

(0.3)

Herman

Miller,

Inc.

6,266

147,940

(5,075)

2.1

Hologic

,

Inc.

2,522

143,754

10,383

(4.2)

Howmet

Aerospace,

Inc.

9,524

150,955

10,000

(4.1)

HP,

Inc.

7,837

136,599

4,781

(1.9)

Jabil,

Inc.

4,843

155,363

(4,161)

1.7

Johnson

Controls

International

plc

6,976

238,161

(7,222)

2.9

Kimberly-Clark

Corp.

999

141,209

(699)

0.3

Macquarie

Infrastructure

Corp.

6,190

189,971

(4,519)

1.8

ManpowerGroup

,

Inc.

2,530

173,938

(4,731)

1.9

Masco

Corp.

3,252

163,283

5,951

(2.4)

Morgan

Stanley

3,628

175,232

1,959

(0.8)

NewMarket

Corp.

528

211,453

(6,516)

2.6

NorthWestern

Corp.

2,636

143,715

(3,315)

1.3

Qurate

Retail,

Inc.

13,518

128,421

2,125

(0.9)

Regal

Beloit

Corp.

2,486

217,078

7,632

(3.1)

SYNNEX

Corp.

1,170

140,131

21,762

(8.8)

Wintrust

Financial

Corp.

18,817

820,798

(53,440)

21.7

Short

Positions

Common

Stocks

United

States

Ameren

Corp.

(2,217)

(155,988)

3,364

(1.4)

American

Express

Co.

(1,577)

(150,130)

9,787

(4.0)

BWX

Technologies,

Inc.

(17,908)

(1,014,309)

64,648

(26.3)

CenterPoint

Energy,

Inc.

(11,338)

(211,680)

(2,591)

1.1

Charter

Communications,

Inc.

(275)

(140,261)

6,652

(2.7)

CMS

Energy

Corp.

(2,210)

(129,108)

1,547

(0.6)

Cognex

Corp.

(2,164)

(129,234)

(6,903)

2.8

Comcast

Corp.

(3,918)

(152,724)

940

(0.4)

ConocoPhillips

(7,814)

(328,344)

15,628

(6.3)

Credit

Acceptance

Corp.

(303)

(126,960)

4,643

(1.9)

163

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cullen/Frost

Bankers,

Inc.

(3,102)

(231,750)

11,446

(4.6)

Dominion

Energy,

Inc.

(3,353)

(272,197)

9,792

(4.0)

Duke

Energy

Corp.

(1,590)

(127,025)

10,049

(4.1)

Equifax,

Inc.

(1,070)

(183,912)

(1,509)

0.6

First

Republic

Bank

(3,374)

(357,610)

14,643

(5.9)

HealthEquity

,

Inc.

(2,451)

(143,800)

6,896

(2.8)

II-VI,

Inc.

(4,359)

(205,832)

4,446

(1.8)

LendingTree,

Inc.

(662)

(191,669)

(9,486)

3.9

MarketAxess

Holdings,

Inc.

(644)

(322,592)

5,197

(2.1)

Newell

Brands,

Inc.

(12,277)

(194,959)

(859)

0.3

Rollins,

Inc.

(4,325)

(183,337)

(130)

0.1

T-Mobile

US,

Inc.

(1,315)

(136,957)

3,259

(1.3)

TransDigm

Group,

Inc.

(296)

(130,847)

5,221

(2.1)

Trex

Co.,

Inc.

(1,324)

(172,213)

(12,763)

5.2

United

Parcel

Service,

Inc.

(2,128)

(236,591)

(6,372)

2.6

Visteon

Corp.

(1,884)

(129,054)

9,185

(3.7)

Watsco

,

Inc.

(753)

(133,808)

1,988

(0.8)

WisdomTree

Investments,

Inc.

(53,204)

(184,618)

7,981

(3.2)

Xcel

Energy,

Inc.

(2,489)

(155,562)

3,460

(1.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-4.25%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/21/2025

-

05/20/2025

$1,028,001

$(76,463)

$(3,506)

$(79,969)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Cineplex,

Inc.

39,746

235,384

(86,464)

108.1

SEMAFO,

Inc.

26,600

90,717

9,425

(11.8)

United

States

Alacer

Gold

Corp.

26,021

178,827

22,881

(28.6)

164

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Canada

Brookfield

Renewable

Partners

LP

(5,254)

(251,554)

8,640

(10.8)

SSR

Mining,

Inc.

(8,446)

(179,981)

(22,729)

28.4

Ivory

Coast

Endeavour

Mining

Corp.

(3,783)

(91,538)

(8,216)

10.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/24/2025

-

06/13/2025

$693,167

$(18,648)

$1,063

$(17,585)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Germany

RIB

Software

SE

11,716

381,682

(46)

0.3

Short

Positions

Common

Stocks

Netherlands

Just

Eat

Takeaway.com

NV

(2,980)

(311,485)

(18,602)

105.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.35%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/21/2025

-

05/26/2025

$935,007

$11,082

$(131)

$10,951

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

165

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

LINE

Corp.

14,500

729,775

10,036

91.6

Sony

Financial

Holdings,

Inc.

8,500

205,232

1,046

9.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

06/27/2025

$461,285

$1,213

$(6)

$1,207

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

NetEnt

AB

29,845

229,820

(1,375)

(113.9)

Short

Positions

Common

Stocks

Sweden

Evolution

Gaming

Group

AB

(3,897)

(231,465)

2,588

214.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-2.58%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

37-61

months

maturity

ranging

from

07/03/2023

-

06/30/2025

$14,869,198

$(93,408)

$26,293

$(67,115)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

166

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

58.com,

Inc.,

ADR

4,349

234,585

(1,305)

1.9

Bitauto

Holdings

Ltd.,

ADR

5,196

82,357

(206)

0.3

United

States

Acacia

Communications,

Inc.

12,481

838,598

(10,983)

16.4

Advanced

Disposal

Services,

Inc.

12,691

382,887

(20,559)

30.6

Caesars

Entertainment

Corp.

49,987

606,342

(9,498)

14.2

Cincinnati

Bell,

Inc.

27,860

413,721

(1,393)

2.1

CoreLogic

,

Inc.

106

7,125

236

(0.4)

Delphi

Technologies

plc

32,943

468,120

23,389

(34.8)

E*TRADE

Financial

Corp.

16,415

816,318

9,357

(13.9)

El

Paso

Electric

Co.

7,154

479,318

2,003

(3.0)

Fitbit,

Inc.

94,754

612,111

18,951

(28.2)

ForeScout

Technologies,

Inc.

16,798

356,118

(17,806)

26.5

Franklin

Financial

Network,

Inc.

8,100

208,575

2,592

(3.9)

Genworth

Financial,

Inc.

60,208

139,080

(27,696)

41.3

Grubhub

,

Inc.

4,442

312,273

25,941

(38.7)

IBERIABANK

Corp.

13,559

617,477

(21,288)

31.7

Legg

Mason,

Inc.

14,906

741,574

1,342

(2.0)

LogMeIn,

Inc.

5,898

499,973

(2,241)

3.3

Mobile

Mini,

Inc.

3,040

89,680

(20,338)

30.3

Portola

Pharmaceuticals,

Inc.

26,702

480,369

1,335

(2.0)

QIAGEN

NV

5,974

255,747

2,031

(3.0)

Taubman

Centers,

Inc.

10,874

410,602

3,915

(5.8)

TerraForm

Power,

Inc.

13,788

254,251

(3,171)

4.7

Tiffany

&

Co.

5,193

633,234

2,337

(3.5)

Willis

Towers

Watson

plc

3,516

692,476

(1,406)

2.1

Wright

Medical

Group

NV

26,623

791,236

(2,929)

4.4

Xperi

Holding

Corp.

11

162

14

(0.0)

Preferred

Stocks

United

States

WESCO

International,

Inc.,

10.63%,

6/22/2025

10

265

265

(0.4)

Short

Positions

Common

Stocks

United

States

Aon

plc

(3,797)

(731,302)

(2,544)

3.8

BorgWarner,

Inc.

(14,188)

(500,836)

(27,809)

41.4

Eldorado

Resorts,

Inc.

(4,494)

(180,030)

13,797

(20.6)

FB

Financial

Corp.

(7,817)

(193,627)

(2,658)

4.0

First

Horizon

National

Corp.

(62,154)

(619,054)

20,511

(30.6)

Morgan

Stanley

(17,100)

(825,930)

(9,234)

13.8

Precigen

,

Inc.

(60,899)

(303,886)

(57,854)

86.2

South

State

Corp.

(2)

(95)

8

(0.0)

WillScot

Corp.

(7,312)

(89,864)

19,486

(29.0)

167

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

122,538

$

–

$

122,538

BARC

Cash

–

1,153,103

1,153,103

CITG

Cash

–

314,003

314,003

CITI

Investment

Companies

361,117

–

361,117

DTBK

Cash

1,243,978

–

1,243,978

GSCO

Cash

–

395,515

395,515

GSIN

Cash

1,737,948

–

1,737,948

JPMC

Investment

Companies

8,441,957

–

8,441,957

JPMS

Cash

–

142,801

142,801

MSCL

Cash

–

97,227

97,227

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

102,182

$

–

$

102,182

GSCO

Cash

–

10,883

10,883

GSIN

U.S.

Treasury

Bills

74,983

–

74,983

JPPC

Cash

–

26,781

26,781

MSCL

Cash

–

3,647

3,647

U.S.

Treasury

Bills

–

410,873

410,873

168

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

93.2%

INVESTMENT

COMPANIES

-

45.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(a)(b)

364,622

364,622

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)

52,773,022

52,783,577

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(1)(a)

963

963

TOTAL

INVESTMENT

COMPANIES

(Cost

$53,128,905)

53,149,162

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

47.5%

U.S.

Treasury

Bills

1.57%,

7/2/2020

(c)

$

3,903,000

3,902,990

1.53%,

7/9/2020

(c)

250,000

249,994

1.54%,

7/16/2020

(c)

8,499,000

8,498,548

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

47.5%

(continued)

1.53%,

8/6/2020

(c)

$

11,500,000

11,498,620

1.52%,

8/13/2020

(c)

591,000

590,905

1.52%,

8/20/2020

(c)

3,656,000

3,655,340

1.45%,

8/27/2020

(c)

9,618,000

9,615,868

0.30%,

9/17/2020

(c)

6,258,000

6,256,034

0.08%,

9/24/2020

(b)(c)

2,491,000

2,490,147

0.10%,

10/1/2020

(c)

3,637,000

3,635,559

0.16%,

11/12/2020

(c)

369,000

368,784

0.17%,

12/31/2020

(c)

4,442,000

4,438,048

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$55,150,800)

55,200,837

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$108,279,705)

108,349,999

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

93.2%

(Cost

$108,279,705)

108,349,999

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

6.8%

(d)

7,905,609

NET

ASSETS

-

100.0%

116,255,608

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

Coffee

'C'

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/14/2020

USD

1,855,875

$

22,021

Corn

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

17,075

953

Corn

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

3,824,800

183,068

Cotton

No.

2

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/13/2020

USD

821,880

30,453

Lean

Hogs

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

07/15/2020

USD

(361,400)

69,421

Lean

Hogs

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

10/14/2020

USD

78,960

1,002

Live

Cattle

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

(423,610)

4,547

169

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

2,041,030

$

73,939

Soybean

November

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

10/23/2020

USD

485,238

15,482

Soybean

November

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

10/23/2020

USD

4,058,350

131,063

Soybean

Meal

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

207,130

2,560

Soybean

Meal

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

1,301,960

14,060

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

11/20/2020

USD

6,050,100

18,071

566,640

Cocoa

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/07/2020

USD

65,580

(4,577)

Cocoa

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/07/2020

USD

109,300

(8,840)

Corn

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

(17,075)

(803)

Lean

Hogs

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

07/15/2020

USD

361,400

(142,562)

Lean

Hogs

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/14/2020

USD

(78,440)

(190)

Lean

Hogs

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

08/14/2020

USD

392,200

(59,867)

Live

Cattle

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

10/02/2020

USD

398,900

(3,040)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

(3,639,570)

(35,062)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(207,130)

(343)

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

812,442

(5,122)

170

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

1,131,025

$

(63,931)

(324,337)

$

242,303

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

7/2020

USD

$

40,021

$

2,380

LME

Aluminum

Base

Metal

1

7/2020

USD

39,966

2,229

LME

Aluminum

Base

Metal

1

7/2020

USD

39,857

1,879

LME

Aluminum

Base

Metal

1

7/2020

USD

39,832

2,504

LME

Aluminum

Base

Metal

2

7/2020

USD

79,741

3,557

LME

Aluminum

Base

Metal

2

7/2020

USD

79,903

4,264

LME

Aluminum

Base

Metal

2

7/2020

USD

80,069

4,799

LME

Aluminum

Base

Metal

5

7/2020

USD

199,620

13,855

LME

Aluminum

Base

Metal

6

7/2020

USD

238,650

18,132

LME

Aluminum

Base

Metal

12

7/2020

USD

476,850

24,415

LME

Aluminum

Base

Metal

17

7/2020

USD

675,963

55,412

LME

Aluminum

Base

Metal

18

7/2020

USD

717,188

36,284

LME

Aluminum

Base

Metal

23

7/2020

USD

919,281

59,785

LME

Aluminum

Base

Metal

43

7/2020

USD

1,721,881

119,843

LME

Aluminum

Base

Metal

82

7/2020

USD

3,269,238

233,766

LME

Copper

Base

Metal

1

7/2020

USD

150,203

21,232

LME

Copper

Base

Metal

1

7/2020

USD

150,201

21,026

LME

Copper

Base

Metal

1

7/2020

USD

150,206

22,954

LME

Copper

Base

Metal

1

7/2020

USD

150,212

21,549

LME

Copper

Base

Metal

1

7/2020

USD

150,194

23,117

LME

Copper

Base

Metal

1

7/2020

USD

150,167

25,527

LME

Copper

Base

Metal

1

7/2020

USD

150,256

19,703

LME

Copper

Base

Metal

1

7/2020

USD

150,181

22,061

LME

Copper

Base

Metal

2

7/2020

USD

300,477

40,861

LME

Copper

Base

Metal

2

7/2020

USD

300,247

56,012

LME

Copper

Base

Metal

7

7/2020

USD

1,051,181

139,720

LME

Copper

Base

Metal

7

7/2020

USD

1,051,321

173,442

LME

Copper

Base

Metal

7

7/2020

USD

1,051,211

171,728

LME

Copper

Base

Metal

9

7/2020

USD

1,351,013

259,196

LME

Copper

Base

Metal

14

7/2020

USD

2,102,188

387,644

LME

Lead

Base

Metal

1

7/2020

USD

44,122

1,106

LME

Lead

Base

Metal

1

7/2020

USD

44,128

1,350

LME

Lead

Base

Metal

1

7/2020

USD

44,181

3,882

LME

Lead

Base

Metal

1

7/2020

USD

44,154

2,646

LME

Lead

Base

Metal

1

7/2020

USD

44,169

1,916

LME

Lead

Base

Metal

2

7/2020

USD

88,313

3,532

LME

Lead

Base

Metal

2

7/2020

USD

88,320

5,064

LME

Lead

Base

Metal

2

7/2020

USD

88,163

2,833

LME

Lead

Base

Metal

2

7/2020

USD

88,304

4,923

LME

Lead

Base

Metal

3

7/2020

USD

132,325

6,204

LME

Lead

Base

Metal

3

7/2020

USD

134,381

6,226

171

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

3

7/2020

USD

$

132,519

$

9,360

LME

Lead

Base

Metal

3

7/2020

USD

132,535

9,338

LME

Lead

Base

Metal

4

7/2020

USD

176,681

13,119

LME

Nickel

Base

Metal

1

7/2020

USD

76,572

4,634

LME

Nickel

Base

Metal

2

7/2020

USD

153,108

14,730

LME

Nickel

Base

Metal

3

7/2020

USD

229,716

16,947

LME

Zinc

Base

Metal

1

7/2020

USD

50,960

2,032

LME

Zinc

Base

Metal

1

7/2020

USD

50,964

3,249

LME

Zinc

Base

Metal

1

7/2020

USD

50,977

3,824

LME

Zinc

Base

Metal

1

7/2020

USD

50,972

3,657

LME

Zinc

Base

Metal

2

7/2020

USD

101,986

5,600

LME

Zinc

Base

Metal

2

7/2020

USD

101,917

5,411

LME

Zinc

Base

Metal

4

7/2020

USD

203,858

13,846

LME

Zinc

Base

Metal

4

7/2020

USD

203,825

12,513

LME

Zinc

Base

Metal

5

7/2020

USD

254,834

15,921

LME

Zinc

Base

Metal

8

7/2020

USD

407,430

31,636

LME

Zinc

Base

Metal

20

7/2020

USD

1,019,175

75,167

LME

Zinc

Base

Metal

23

7/2020

USD

1,171,131

93,147

LME

Zinc

Base

Metal

24

7/2020

USD

1,222,746

52,687

RBOB

Gasoline

20

7/2020

USD

1,009,260

110,215

100

oz

Gold

100

8/2020

USD

18,005,000

777,029

Brent

Crude

Oil

133

8/2020

USD

5,504,870

33,248

Feeder

Cattle

7

8/2020

USD

464,975

(4,041)

Lean

Hogs

10

8/2020

USD

196,100

(13,164)

LME

Aluminum

Base

Metal

1

8/2020

USD

40,200

2,902

LME

Aluminum

Base

Metal

2

8/2020

USD

80,398

6,917

LME

Aluminum

Base

Metal

2

8/2020

USD

80,322

6,466

LME

Aluminum

Base

Metal

2

8/2020

USD

80,200

6,294

LME

Aluminum

Base

Metal

4

8/2020

USD

160,365

12,495

LME

Aluminum

Base

Metal

5

8/2020

USD

201,156

10,359

LME

Aluminum

Base

Metal

5

8/2020

USD

201,188

9,378

LME

Aluminum

Base

Metal

5

8/2020

USD

200,538

15,077

LME

Aluminum

Base

Metal

6

8/2020

USD

240,873

17,051

LME

Aluminum

Base

Metal

9

8/2020

USD

361,037

26,348

LME

Aluminum

Base

Metal

9

8/2020

USD

361,514

29,971

LME

Aluminum

Base

Metal

19

8/2020

USD

763,681

49,207

LME

Copper

Base

Metal

1

8/2020

USD

150,381

18,878

LME

Copper

Base

Metal

2

8/2020

USD

300,744

33,563

LME

Copper

Base

Metal

2

8/2020

USD

300,673

37,732

LME

Copper

Base

Metal

2

8/2020

USD

300,745

37,050

LME

Copper

Base

Metal

6

8/2020

USD

902,288

121,895

LME

Copper

Base

Metal

7

8/2020

USD

1,052,231

127,793

LME

Lead

Base

Metal

1

8/2020

USD

44,192

3,595

LME

Lead

Base

Metal

1

8/2020

USD

44,229

3,246

LME

Lead

Base

Metal

1

8/2020

USD

44,200

2,981

LME

Lead

Base

Metal

2

8/2020

USD

88,438

4,150

LME

Lead

Base

Metal

2

8/2020

USD

88,508

6,087

LME

Lead

Base

Metal

3

8/2020

USD

132,654

12,300

LME

Lead

Base

Metal

6

8/2020

USD

265,553

20,604

LME

Lead

Base

Metal

7

8/2020

USD

309,566

24,616

LME

Nickel

Base

Metal

1

8/2020

USD

76,692

3,387

LME

Nickel

Base

Metal

1

8/2020

USD

76,662

2,619

LME

Nickel

Base

Metal

1

8/2020

USD

76,647

2,905

LME

Nickel

Base

Metal

2

8/2020

USD

153,344

7,931

LME

Nickel

Base

Metal

3

8/2020

USD

230,172

11,463

LME

Zinc

Base

Metal

1

8/2020

USD

51,030

2,602

172

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

8/2020

USD

$

51,050

$

611

LME

Zinc

Base

Metal

2

8/2020

USD

102,100

4,911

LME

Zinc

Base

Metal

2

8/2020

USD

102,043

7,162

LME

Zinc

Base

Metal

2

8/2020

USD

102,051

6,545

LME

Zinc

Base

Metal

3

8/2020

USD

153,150

2,778

LME

Zinc

Base

Metal

3

8/2020

USD

153,150

1,703

LME

Zinc

Base

Metal

3

8/2020

USD

153,101

2,089

LME

Zinc

Base

Metal

6

8/2020

USD

306,300

11,596

Natural

Gas

52

8/2020

USD

930,280

41,012

NY

Harbor

ULSD

62

8/2020

USD

3,134,174

50,592

RBOB

Gasoline

55

8/2020

USD

2,742,894

(38,025)

WTI

Crude

Oil

4

8/2020

USD

157,360

2,612

Cocoa

40

9/2020

USD

874,400

(68,553)

Coffee

'C'

98

9/2020

USD

3,711,750

48,866

Copper

1

9/2020

USD

68,213

1,592

Corn

126

9/2020

USD

2,151,450

77,404

Feeder

Cattle

50

9/2020

USD

3,334,375

(25,851)

LME

Aluminum

Base

Metal

2

9/2020

USD

80,713

275

LME

Aluminum

Base

Metal

2

9/2020

USD

80,961

855

LME

Aluminum

Base

Metal

4

9/2020

USD

161,100

7,988

LME

Aluminum

Base

Metal

5

9/2020

USD

202,221

4,082

LME

Aluminum

Base

Metal

10

9/2020

USD

403,458

(3,616)

LME

Aluminum

Base

Metal

12

9/2020

USD

485,244

6,037

LME

Aluminum

Base

Metal

12

9/2020

USD

483,900

3,544

LME

Aluminum

Base

Metal

19

9/2020

USD

768,165

14,403

LME

Aluminum

Base

Metal

20

9/2020

USD

805,565

27,577

LME

Aluminum

Base

Metal

47

9/2020

USD

1,901,221

42,388

LME

Aluminum

Base

Metal

53

9/2020

USD

2,140,869

20,249

LME

Aluminum

Base

Metal

119

9/2020

USD

4,807,600

239,906

LME

Copper

Base

Metal

1

9/2020

USD

150,468

7,550

LME

Copper

Base

Metal

1

9/2020

USD

150,479

5,458

LME

Copper

Base

Metal

2

9/2020

USD

300,850

23,216

LME

Copper

Base

Metal

2

9/2020

USD

300,820

25,888

LME

Copper

Base

Metal

2

9/2020

USD

300,763

7,276

LME

Copper

Base

Metal

2

9/2020

USD

300,750

(583)

LME

Copper

Base

Metal

3

9/2020

USD

451,420

12,561

LME

Copper

Base

Metal

3

9/2020

USD

451,114

8,450

LME

Copper

Base

Metal

4

9/2020

USD

601,495

11,035

LME

Copper

Base

Metal

4

9/2020

USD

601,505

14,374

LME

Copper

Base

Metal

5

9/2020

USD

751,869

5,790

LME

Copper

Base

Metal

5

9/2020

USD

752,313

42,295

LME

Copper

Base

Metal

10

9/2020

USD

1,504,175

123,235

LME

Copper

Base

Metal

24

9/2020

USD

3,608,850

57,237

LME

Copper

Base

Metal

41

9/2020

USD

6,166,913

260,840

LME

Copper

Base

Metal

242

9/2020

USD

36,414,949

3,625,383

LME

Lead

Base

Metal

1

9/2020

USD

44,316

625

LME

Lead

Base

Metal

1

9/2020

USD

44,335

(212)

LME

Lead

Base

Metal

1

9/2020

USD

44,334

868

LME

Lead

Base

Metal

2

9/2020

USD

88,673

767

LME

Lead

Base

Metal

2

9/2020

USD

88,681

(325)

LME

Lead

Base

Metal

2

9/2020

USD

88,650

(456)

LME

Lead

Base

Metal

3

9/2020

USD

133,016

1,607

LME

Lead

Base

Metal

3

9/2020

USD

132,851

7,367

LME

Lead

Base

Metal

3

9/2020

USD

132,881

4,746

LME

Lead

Base

Metal

3

9/2020

USD

132,866

3,917

LME

Lead

Base

Metal

4

9/2020

USD

177,233

3,121

173

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Lead

Base

Metal

4

9/2020

USD

$

177,277

$

3,290

LME

Lead

Base

Metal

58

9/2020

USD

2,571,575

130,113

LME

Nickel

Base

Metal

1

9/2020

USD

76,828

235

LME

Nickel

Base

Metal

1

9/2020

USD

76,747

394

LME

Nickel

Base

Metal

2

9/2020

USD

153,566

(1,756)

LME

Nickel

Base

Metal

2

9/2020

USD

153,549

(2,459)

LME

Nickel

Base

Metal

2

9/2020

USD

153,612

(2,028)

LME

Nickel

Base

Metal

3

9/2020

USD

230,255

(1,045)

LME

Nickel

Base

Metal

7

9/2020

USD

537,740

8,670

LME

Nickel

Base

Metal

18

9/2020

USD

1,382,508

24,064

LME

Zinc

Base

Metal

2

9/2020

USD

102,219

759

LME

Zinc

Base

Metal

2

9/2020

USD

102,308

(246)

LME

Zinc

Base

Metal

2

9/2020

USD

102,366

1,135

LME

Zinc

Base

Metal

3

9/2020

USD

153,469

5,972

LME

Zinc

Base

Metal

3

9/2020

USD

153,380

1,782

LME

Zinc

Base

Metal

4

9/2020

USD

204,540

2,973

LME

Zinc

Base

Metal

5

9/2020

USD

255,938

(2,982)

LME

Zinc

Base

Metal

5

9/2020

USD

255,696

3,944

LME

Zinc

Base

Metal

6

9/2020

USD

306,632

4,683

LME

Zinc

Base

Metal

7

9/2020

USD

358,145

(1,752)

LME

Zinc

Base

Metal

28

9/2020

USD

1,431,500

17,949

LME

Zinc

Base

Metal

96

9/2020

USD

4,910,400

225,852

Low

Sulphur

Gasoil

13

9/2020

USD

466,700

3,606

Silver

99

9/2020

USD

9,225,315

192,737

Sugar

No.

11

435

9/2020

USD

5,826,912

252,777

Wheat

145

9/2020

USD

3,565,188

(158,695)

Lean

Hogs

4

10/2020

USD

78,960

1,681

Soybean

153

11/2020

USD

6,749,213

160,510

100

oz

Gold

23

12/2020

USD

4,186,920

26,025

Cotton

No.

2

31

12/2020

USD

943,640

15,077

Soybean

Meal

19

12/2020

USD

562,210

1,896

Soybean

Oil

163

12/2020

USD

2,817,618

2,212

Platinum

32

4/2021

JPY

418,171

1,506

Platinum

11

6/2021

JPY

143,542

(253)

9,657,913

Short

Contracts

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,832)

(2,388)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,021)

(2,449)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,966)

(2,293)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,857)

(1,967)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(80,069)

(4,724)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,903)

(4,409)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,741)

(3,497)

LME

Aluminum

Base

Metal

(5)

7/2020

USD

(199,620)

(14,034)

LME

Aluminum

Base

Metal

(6)

7/2020

USD

(238,650)

(17,748)

LME

Aluminum

Base

Metal

(12)

7/2020

USD

(476,850)

(27,291)

LME

Aluminum

Base

Metal

(17)

7/2020

USD

(675,963)

(54,622)

LME

Aluminum

Base

Metal

(18)

7/2020

USD

(717,188)

(37,794)

LME

Aluminum

Base

Metal

(23)

7/2020

USD

(919,281)

(64,301)

LME

Aluminum

Base

Metal

(43)

7/2020

USD

(1,721,881)

(118,799)

LME

Aluminum

Base

Metal

(82)

7/2020

USD

(3,269,238)

(255,574)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,167)

(25,129)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,206)

(22,765)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,203)

(21,756)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,256)

(19,784)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,194)

(23,522)

174

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

7/2020

USD

$

(150,201)

$

(21,229)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,212)

(22,039)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,181)

(22,097)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,477)

(39,558)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,247)

(54,848)

LME

Copper

Base

Metal

(7)

7/2020

USD

(1,051,181)

(141,114)

LME

Copper

Base

Metal

(7)

7/2020

USD

(1,051,321)

(160,679)

LME

Copper

Base

Metal

(7)

7/2020

USD

(1,051,211)

(173,678)

LME

Copper

Base

Metal

(9)

7/2020

USD

(1,351,013)

(259,206)

LME

Copper

Base

Metal

(14)

7/2020

USD

(2,102,188)

(386,175)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,154)

(2,407)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,128)

(1,256)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,122)

(1,187)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,181)

(3,909)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,169)

(1,873)

LME

Lead

Base

Metal

(2)

7/2020

USD

(88,304)

(4,539)

LME

Lead

Base

Metal

(2)

7/2020

USD

(88,313)

(3,678)

LME

Lead

Base

Metal

(2)

7/2020

USD

(88,320)

(5,603)

LME

Lead

Base

Metal

(2)

7/2020

USD

(88,163)

(2,931)

LME

Lead

Base

Metal

(3)

7/2020

USD

(132,519)

(8,831)

LME

Lead

Base

Metal

(3)

7/2020

USD

(132,535)

(10,195)

LME

Lead

Base

Metal

(3)

7/2020

USD

(134,381)

(6,024)

LME

Lead

Base

Metal

(3)

7/2020

USD

(132,325)

(7,809)

LME

Lead

Base

Metal

(4)

7/2020

USD

(176,681)

(13,712)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,572)

(4,404)

LME

Nickel

Base

Metal

(2)

7/2020

USD

(153,108)

(14,154)

LME

Nickel

Base

Metal

(3)

7/2020

USD

(229,716)

(17,097)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,977)

(4,043)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,972)

(4,086)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,960)

(2,179)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,964)

(3,467)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,917)

(5,867)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,986)

(5,991)

LME

Zinc

Base

Metal

(4)

7/2020

USD

(203,825)

(11,840)

LME

Zinc

Base

Metal

(4)

7/2020

USD

(203,858)

(13,470)

LME

Zinc

Base

Metal

(5)

7/2020

USD

(254,834)

(17,349)

LME

Zinc

Base

Metal

(8)

7/2020

USD

(407,430)

(30,520)

LME

Zinc

Base

Metal

(20)

7/2020

USD

(1,019,175)

(74,609)

LME

Zinc

Base

Metal

(23)

7/2020

USD

(1,171,131)

(94,167)

LME

Zinc

Base

Metal

(24)

7/2020

USD

(1,222,746)

(54,244)

Live

Cattle

(4)

8/2020

USD

(154,040)

380

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,200)

(2,928)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,398)

(6,628)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,200)

(6,106)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,322)

(6,408)

LME

Aluminum

Base

Metal

(4)

8/2020

USD

(160,365)

(12,927)

LME

Aluminum

Base

Metal

(5)

8/2020

USD

(201,156)

(10,527)

LME

Aluminum

Base

Metal

(5)

8/2020

USD

(201,188)

(9,477)

LME

Aluminum

Base

Metal

(5)

8/2020

USD

(200,538)

(14,925)

LME

Aluminum

Base

Metal

(6)

8/2020

USD

(240,873)

(16,716)

LME

Aluminum

Base

Metal

(9)

8/2020

USD

(361,037)

(26,601)

LME

Aluminum

Base

Metal

(9)

8/2020

USD

(361,514)

(30,116)

LME

Aluminum

Base

Metal

(19)

8/2020

USD

(763,681)

(53,500)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(18,522)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,673)

(37,904)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,745)

(36,850)

175

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(2)

8/2020

USD

$

(300,744)

$

(33,963)

LME

Copper

Base

Metal

(6)

8/2020

USD

(902,288)

(123,213)

LME

Copper

Base

Metal

(7)

8/2020

USD

(1,052,231)

(130,877)

LME

Lead

Base

Metal

(1)

8/2020

USD

(44,229)

(3,656)

LME

Lead

Base

Metal

(1)

8/2020

USD

(44,200)

(3,090)

LME

Lead

Base

Metal

(1)

8/2020

USD

(44,192)

(3,819)

LME

Lead

Base

Metal

(2)

8/2020

USD

(88,508)

(6,213)

LME

Lead

Base

Metal

(2)

8/2020

USD

(88,438)

(4,543)

LME

Lead

Base

Metal

(3)

8/2020

USD

(132,654)

(12,563)

LME

Lead

Base

Metal

(6)

8/2020

USD

(265,553)

(21,193)

LME

Lead

Base

Metal

(7)

8/2020

USD

(309,566)

(26,524)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,692)

(3,438)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,647)

(2,757)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,662)

(3,098)

LME

Nickel

Base

Metal

(2)

8/2020

USD

(153,344)

(7,136)

LME

Nickel

Base

Metal

(3)

8/2020

USD

(230,172)

(10,576)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,030)

(2,595)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(740)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,100)

(4,981)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,043)

(7,055)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,051)

(6,556)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,150)

(3,459)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,150)

(2,184)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,101)

(2,398)

LME

Zinc

Base

Metal

(6)

8/2020

USD

(306,300)

(13,068)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,961)

(654)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,713)

107

LME

Aluminum

Base

Metal

(4)

9/2020

USD

(161,100)

(8,199)

LME

Aluminum

Base

Metal

(5)

9/2020

USD

(202,221)

(4,019)

LME

Aluminum

Base

Metal

(10)

9/2020

USD

(403,458)

5,512

LME

Aluminum

Base

Metal

(12)

9/2020

USD

(483,900)

(6,110)

LME

Aluminum

Base

Metal

(12)

9/2020

USD

(485,244)

(6,095)

LME

Aluminum

Base

Metal

(19)

9/2020

USD

(768,165)

(12,217)

LME

Aluminum

Base

Metal

(20)

9/2020

USD

(805,565)

(31,124)

LME

Aluminum

Base

Metal

(47)

9/2020

USD

(1,901,221)

(44,198)

LME

Aluminum

Base

Metal

(53)

9/2020

USD

(2,140,869)

(18,762)

LME

Aluminum

Base

Metal

(261)

9/2020

USD

(10,544,400)

(432,499)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,468)

(7,633)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,479)

(5,256)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,750)

94

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,850)

(23,097)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,820)

(26,725)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,763)

(7,518)

LME

Copper

Base

Metal

(3)

9/2020

USD

(451,114)

(10,648)

LME

Copper

Base

Metal

(3)

9/2020

USD

(451,420)

(13,954)

LME

Copper

Base

Metal

(4)

9/2020

USD

(601,495)

(11,505)

LME

Copper

Base

Metal

(4)

9/2020

USD

(601,505)

(15,017)

LME

Copper

Base

Metal

(5)

9/2020

USD

(752,313)

(45,825)

LME

Copper

Base

Metal

(5)

9/2020

USD

(751,869)

(7,259)

LME

Copper

Base

Metal

(10)

9/2020

USD

(1,504,175)

(122,455)

LME

Copper

Base

Metal

(15)

9/2020

USD

(2,257,125)

(322,720)

LME

Copper

Base

Metal

(24)

9/2020

USD

(3,608,850)

(50,115)

LME

Copper

Base

Metal

(41)

9/2020

USD

(6,166,913)

(260,983)

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,316)

(577)

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,335)

185

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,334)

(938)

176

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Lead

Base

Metal

(2)

9/2020

USD

$

(88,650)

$

407

LME

Lead

Base

Metal

(2)

9/2020

USD

(88,681)

520

LME

Lead

Base

Metal

(2)

9/2020

USD

(88,673)

(865)

LME

Lead

Base

Metal

(3)

9/2020

USD

(132,881)

(5,765)

LME

Lead

Base

Metal

(3)

9/2020

USD

(133,016)

(1,121)

LME

Lead

Base

Metal

(3)

9/2020

USD

(132,866)

(4,588)

LME

Lead

Base

Metal

(3)

9/2020

USD

(132,851)

(6,069)

LME

Lead

Base

Metal

(4)

9/2020

USD

(177,277)

(3,679)

LME

Lead

Base

Metal

(4)

9/2020

USD

(177,233)

(1,915)

LME

Lead

Base

Metal

(40)

9/2020

USD

(1,773,500)

(67,571)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,828)

(211)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,747)

(1,030)

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,566)

1,354

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,612)

1,962

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,549)

1,545

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,255)

1,397

LME

Nickel

Base

Metal

(7)

9/2020

USD

(537,740)

(10,619)

LME

Nickel

Base

Metal

(21)

9/2020

USD

(1,612,926)

(84,066)

LME

Zinc

Base

Metal

(2)

9/2020

USD

(102,308)

291

LME

Zinc

Base

Metal

(2)

9/2020

USD

(102,219)

(1,237)

LME

Zinc

Base

Metal

(2)

9/2020

USD

(102,366)

(363)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,469)

(5,513)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,380)

(3,201)

LME

Zinc

Base

Metal

(4)

9/2020

USD

(204,540)

(3,252)

LME

Zinc

Base

Metal

(5)

9/2020

USD

(255,938)

2,103

LME

Zinc

Base

Metal

(5)

9/2020

USD

(255,696)

(4,754)

LME

Zinc

Base

Metal

(6)

9/2020

USD

(306,632)

(6,574)

LME

Zinc

Base

Metal

(7)

9/2020

USD

(358,145)

655

LME

Zinc

Base

Metal

(28)

9/2020

USD

(1,431,500)

(15,050)

LME

Zinc

Base

Metal

(92)

9/2020

USD

(4,705,800)

(134,875)

(5,008,648)

$

4,649,265

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(50,020)

$

–

$

(50,020)

Investment

Companies

364,622

–

364,622

GSCO

Cash

–

908,231

908,231

GSIN

Cash

1,085,757

–

1,085,757

JPPC

Cash

–

7,405

7,405

MACQ

U.S.

Treasury

Bills

329,887

–

329,887

MSCL

Cash

–

4,557,078

4,557,078

SOCG

Cash

1,270,214

–

1,270,214

177

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

9.0%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(a)(b)

EUR

849,719

1,116,875

French

Republic

1.85%,

7/25/2027

(a)(b)

336,267

455,773

0.10%,

3/1/2029

(a)(b)

100,918

123,852

0.70%,

7/25/2030

(a)(b)

315,438

415,003

United

Kingdom

Gilt

Inflation

Linked

0.13%,

8/10/2028

(a)(b)

GBP

104,787

165,435

0.13%,

3/22/2029

(a)(b)

123,242

197,775

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$2,423,731)

2,474,713

U.S.

TREASURY

OBLIGATIONS

-

29.4%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024

(c)

$

400,000

418,638

0.13%,

4/15/2025

(c)

200,000

207,971

0.13%,

7/15/2026

665,000

755,236

0.38%,

1/15/2027

700,000

800,549

0.38%,

7/15/2027

690,000

785,964

0.50%,

1/15/2028

810,000

922,923

0.75%,

7/15/2028

820,000

944,259

0.88%,

1/15/2029

850,000

983,272

0.25%,

7/15/2029

(c)

1,000,000

1,096,500

0.13%,

1/15/2030

(c)

1,100,000

1,184,197

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$7,814,062)

8,099,509

SHORT-TERM

INVESTMENTS

-

67.0%

REPURCHASE

AGREEMENTS

-

2.5%

CITI,

0.10%,

dated

6/29/2020,

due

7/9/2020,

repurchase

price

$110,128,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2030

110,125

110,125

CITI,

0.10%,

dated

6/29/2020,

due

7/9/2020,

repurchase

price

$472,013,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.38%,

due

7/15/2025

472,000

472,000

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

REPURCHASE

AGREEMENTS

-

2.5%

(continued)

CITI,

0.10%,

dated

6/29/2020,

due

7/9/2020,

repurchase

price

$112,253,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

$

112,250

112,250

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$694,375)

694,375

SHARES

INVESTMENT

COMPANIES

-

29.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(d)(e)

213,562

213,562

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

7,947,462

7,949,051

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(1)(d)

2,978

2,978

TOTAL

INVESTMENT

COMPANIES

(Cost

$8,163,135)

8,165,591

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

34.8%

U.S.

Treasury

Bills

1.52%,

8/13/2020

(f)

$

225,000

224,964

1.45%,

8/27/2020

(f)

123,000

122,973

0.10%,

10/1/2020

(f)

480,000

479,810

0.16%,

10/8/2020

(f)

2,202,000

2,201,061

0.29%,

10/15/2020

(f)

1,114,000

1,113,483

0.14%,

10/22/2020

(f)

917,000

916,540

0.15%,

10/29/2020

(f)

213,000

212,888

0.15%,

11/12/2020

(f)

227,000

226,867

0.19%,

12/17/2020

(f)

860,000

859,389

0.18%,

12/24/2020

(f)

3,213,000

3,210,408

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$9,567,121)

9,568,383

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$18,424,631)

18,428,349

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.4%

(Cost

$28,662,424)

29,002,571

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.4)%

(g)

(1,477,166)

NET

ASSETS

-

100.0%

27,525,405

(a)

Inflation

protected

security.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$2,474,713

or

8.99%

of

net

assets.

(c)

On

6/30/2020,

securities

valued

at

$2,907,306

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

178

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Reverse

repurchase

agreements

at

June

30,

2020:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

CITI

6/8/2020

0.18%

7/9/2020

USD

$

102,000

CITI

6/8/2020

0.18%

7/9/2020

USD

723,625

CITI

6/8/2020

0.18%

7/9/2020

USD

103,375

CITI

6/8/2020

0.18%

7/9/2020

USD

737,625

CITI

6/8/2020

0.18%

7/9/2020

USD

307,875

CITI

6/8/2020

0.18%

7/9/2020

USD

448,500

CITI

6/9/2020

0.18%

7/9/2020

USD

105,750

CITI

6/10/2020

0.18%

7/9/2020

USD

104,250

CITI

6/22/2020

0.20%

7/9/2020

USD

210,250

CITI

6/22/2020

0.20%

7/9/2020

USD

103,375

CITI

6/22/2020

0.20%

7/9/2020

USD

102,750

CITI

6/22/2020

0.20%

7/9/2020

USD

214,250

CITI

6/26/2020

0.20%

7/9/2020

USD

107,625

CITI

6/26/2020

0.20%

7/9/2020

USD

105,750

$

3,477,000

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

June

30,

2020

was

$4,752,696

at

a

net

weighted

average

interest

rate

of

1.255%.

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/12/2020

BRL

476,710

$

1,858

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/15/2020

TWD

2,294,000

1,226

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

TWD

4,588,000

2,171

5,255

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

4,824,000

(10,071)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/10/2020

KRW

280,800,000

(7,036)

SGX

NIFTY

50

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/30/2020

USD

41,100

(437)

179

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

09/18/2020

CHF

100,080

$

(1,092)

(18,636)

$

(13,381)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

1

7/2020

EUR

$

125,731

$

(1,074)

Hang

Seng

Index

2

7/2020

HKD

312,844

(3,075)

HSCEI

6

7/2020

HKD

373,447

(4,878)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,969

2,635

LME

Aluminum

Base

Metal

1

7/2020

USD

40,044

2,786

LME

Aluminum

Base

Metal

1

7/2020

USD

39,763

3,260

LME

Aluminum

Base

Metal

1

7/2020

USD

39,869

2,851

LME

Copper

Base

Metal

1

7/2020

USD

150,256

19,160

LME

Copper

Base

Metal

2

7/2020

USD

300,413

45,449

LME

Lead

Base

Metal

1

7/2020

USD

44,169

1,916

LME

Zinc

Base

Metal

2

7/2020

USD

101,913

5,875

MSCI

Taiwan

Index

4

7/2020

USD

173,080

(44)

RBOB

Gasoline

2

7/2020

USD

100,926

10,483

100

oz

Gold

8

8/2020

USD

1,440,400

58,495

Brent

Crude

Oil

17

8/2020

USD

703,630

771

Lean

Hogs

1

8/2020

USD

19,610

(1,292)

Live

Cattle

3

8/2020

USD

115,530

2,841

NY

Harbor

ULSD

3

8/2020

USD

151,654

842

RBOB

Gasoline

2

8/2020

USD

99,742

(2,901)

WTI

Crude

Oil

8

8/2020

USD

314,720

8,187

Australia

10

Year

Bond

11

9/2020

AUD

1,129,467

10,350

Canada

10

Year

Bond

9

9/2020

CAD

1,019,726

2,515

Cocoa

4

9/2020

USD

87,440

(5,092)

EURO

STOXX

50

Index

8

9/2020

EUR

289,683

1,290

Euro-Bund

36

9/2020

EUR

7,139,527

31,499

FTSE

100

Index

1

9/2020

GBP

76,174

(669)

FTSE/MIB

Index

2

9/2020

EUR

216,712

(2,305)

Japan

10

Year

Bond

Mini

41

9/2020

JPY

5,767,150

(2,598)

KOSPI

200

Index

6

9/2020

KRW

350,168

(5,657)

LME

Aluminum

Base

Metal

1

9/2020

USD

40,400

2,304

LME

Copper

Base

Metal

1

9/2020

USD

150,374

1,158

LME

Copper

Base

Metal

1

9/2020

USD

150,468

7,550

LME

Copper

Base

Metal

1

9/2020

USD

150,376

3,588

LME

Copper

Base

Metal

9

9/2020

USD

1,354,275

147,043

LME

Lead

Base

Metal

1

9/2020

USD

44,338

2,191

LME

Nickel

Base

Metal

1

9/2020

USD

76,806

813

LME

Nickel

Base

Metal

1

9/2020

USD

76,815

582

LME

Zinc

Base

Metal

3

9/2020

USD

153,450

9,141

Long

Gilt

20

9/2020

GBP

3,410,995

11,604

Low

Sulphur

Gasoil

4

9/2020

USD

143,600

(274)

Russell

2000

E-Mini

Index

5

9/2020

USD

359,400

12,958

180

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P

500

E-Mini

Index

27

9/2020

USD

$

4,171,770

$

77,668

S&P

Midcap

400

E-Mini

Index

2

9/2020

USD

355,820

(2,609)

Silver

6

9/2020

USD

559,110

8,545

SPI

200

Index

1

9/2020

AUD

101,652

763

Sugar

No.

11

19

9/2020

USD

254,509

4,054

TOPIX

Index

4

9/2020

JPY

577,356

(16,822)

U.S.

Treasury

10

Year

Note

266

9/2020

USD

37,019,718

103,016

Soybean

2

11/2020

USD

88,225

407

100

oz

Gold

1

12/2020

USD

182,040

1,132

Cotton

No.

2

2

12/2020

USD

60,880

1,077

Soybean

Oil

9

12/2020

USD

155,574

102

557,611

Short

Contracts

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,044)

(2,755)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,869)

(3,118)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,763)

(3,201)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,969)

(2,795)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,256)

(19,572)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,413)

(45,917)

LME

Lead

Base

Metal

(1)

7/2020

USD

(44,169)

(1,873)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,913)

(6,218)

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,400)

(3,428)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,376)

(3,754)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,468)

(7,633)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,374)

(1,452)

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,338)

(1,990)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,815)

(816)

(104,522)

$

453,089

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

234,062

USD

261,904

CITI

9/16/2020

$

1,517

EUR

234,062

USD

261,904

JPMC

9/16/2020

1,516

GBP

73,058

USD

89,812

CITI

9/16/2020

757

GBP

73,058

USD

89,812

JPMC

9/16/2020

757

USD

1,395,094

EUR

1,233,688

CITI

9/16/2020

6,663

USD

668,509

EUR

591,688

JPMC

9/16/2020

2,605

USD

428,435

GBP

340,698

CITI

9/16/2020

6,085

USD

428,434

GBP

340,698

JPMC

9/16/2020

6,084

Total

unrealized

appreciation

25,984

EUR

234,064

USD

264,268

CITI

9/16/2020

(845)

EUR

234,062

USD

264,266

JPMC

9/16/2020

(845)

GBP

219,179

USD

275,440

CITI

9/16/2020

(3,733)

GBP

219,174

USD

275,619

JPMC

9/16/2020

(3,919)

USD

798,324

EUR

713,688

CITI

9/16/2020

(4,881)

USD

662,205

EUR

591,688

JPMC

9/16/2020

(3,699)

USD

139,608

GBP

113,564

CITI

9/16/2020

(1,174)

181

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

139,610

GBP

113,566

JPMC

9/16/2020

$

(1,174)

Total

unrealized

depreciation

(20,270)

Net

unrealized

appreciation

$

5,714

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

683,595

$

683,595

CITI

Cash

(50,001)

–

(50,001)

Investment

Companies

87,916

–

87,916

U.S.

Treasury

Inflation

Linked

Notes

2,907,306

–

2,907,306

GSCO

Cash

–

243,870

243,870

GSIN

Cash

100,319

–

100,319

JPMC

Investment

Companies

125,643

–

125,643

JPMS

Cash

–

15,553

15,553

MSCL

Cash

–

351,660

351,660

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

117,090

$

117,090

MSCL

Cash

–

244,137

244,137

182

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

5.9%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(a)(b)

EUR

1,760,893

2,314,527

French

Republic

1.85%,

7/25/2027

(a)(b)

672,534

911,546

0.10%,

3/1/2029

(a)(b)

302,754

371,557

0.70%,

7/25/2030

(a)(b)

630,876

830,006

United

Kingdom

Gilt

Inflation

Linked

0.13%,

3/22/2026

(a)(b)

GBP

113,305

165,677

1.25%,

11/22/2027

(a)(b)

158,312

262,842

0.13%,

8/10/2028

(a)(b)

104,787

165,434

0.13%,

3/22/2029

(a)(b)

147,890

237,330

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$5,188,084)

5,258,919

U.S.

TREASURY

OBLIGATIONS

-

20.2%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024

$

800,000

837,276

0.25%,

1/15/2025

400,000

455,520

0.13%,

4/15/2025

300,000

314,283

0.38%,

7/15/2025

(c)

800,000

923,668

0.13%,

7/15/2026

1,265,000

1,436,652

0.38%,

1/15/2027

1,400,000

1,601,098

0.38%,

7/15/2027

(c)

1,490,000

1,697,227

0.50%,

1/15/2028

(c)

1,600,000

1,823,057

0.75%,

7/15/2028

1,770,000

2,038,217

0.88%,

1/15/2029

(c)

1,695,000

1,960,760

0.25%,

7/15/2029

2,100,000

2,302,650

0.13%,

1/15/2030

2,300,000

2,476,048

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$17,171,250)

17,866,456

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

71.0%

INVESTMENT

COMPANIES

-

31.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(d)(e)

328,706

328,706

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(d)

27,469,220

27,474,714

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(1)(d)

8,255

8,255

TOTAL

INVESTMENT

COMPANIES

(Cost

$27,802,129)

27,811,675

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

39.6%

U.S.

Treasury

Bills

1.53%,

7/23/2020

(f)

$

516,000

515,961

1.55%,

7/30/2020

(f)

513,000

512,946

1.53%,

8/6/2020

(f)

249,000

248,970

1.52%,

8/13/2020

(f)

713,000

712,885

1.45%,

8/27/2020

(f)

234,000

233,948

0.08%,

9/24/2020

(f)(g)

4,050,000

4,048,614

0.10%,

10/1/2020

(f)

17,008,000

17,001,263

0.16%,

10/8/2020

(f)

8,018,000

8,014,582

0.29%,

10/15/2020

(f)

1,801,000

1,800,165

0.16%,

11/12/2020

(f)

402,000

401,764

0.15%,

11/19/2020

(f)

854,000

853,457

0.18%,

12/17/2020

(f)

651,000

650,538

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$34,994,212)

34,995,093

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$62,796,341)

62,806,768

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.1%

(Cost

$85,155,675)

85,932,143

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.9%

(h)

2,563,671

NET

ASSETS

-

100.0%

88,495,814

(a)

Inflation

protected

security.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

June

30,

2020,

the

value

of

these

securities

amounted

to

$5,258,919

or

5.94%

of

net

assets.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(d)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

183

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

Canada

10

Year

Bond

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

09/21/2020

CAD

769,100

$

1,153

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/12/2020

BRL

953,420

3,335

Live

Cattle

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

(77,020)

89

Live

Cattle

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

231,060

7,898

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

69,144

137

Sugar

No.

11

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/15/2020

USD

13,395

728

Sugar

No.

11

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

09/15/2020

USD

26,790

1,813

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

TWD

13,764,000

7,348

22,501

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

1,212,350

(1,320)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

8,200,800

(17,694)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/10/2020

KRW

772,200,000

(19,800)

Live

Cattle

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

10/02/2020

USD

39,890

(304)

SGX

NIFTY

50

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/30/2020

USD

61,650

(795)

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

11/20/2020

USD

34,572

(53)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

09/18/2020

CHF

200,160

(862)

Wheat

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

(73,763)

(1,173)

184

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

73,763

$

(4,017)

(46,018)

$

(23,517)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

3

7/2020

EUR

$

377,193

$

(1,259)

Hang

Seng

Index

5

7/2020

HKD

782,111

(9,254)

HSCEI

16

7/2020

HKD

995,858

(16,943)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,844

2,016

LME

Aluminum

Base

Metal

1

7/2020

USD

39,775

3,022

LME

Aluminum

Base

Metal

1

7/2020

USD

40,044

2,787

LME

Aluminum

Base

Metal

1

7/2020

USD

39,869

2,851

LME

Aluminum

Base

Metal

2

7/2020

USD

79,475

4,069

LME

Aluminum

Base

Metal

4

7/2020

USD

159,875

10,403

LME

Copper

Base

Metal

1

7/2020

USD

150,167

24,980

LME

Copper

Base

Metal

1

7/2020

USD

150,265

19,341

LME

Copper

Base

Metal

4

7/2020

USD

600,825

90,898

LME

Zinc

Base

Metal

1

7/2020

USD

50,956

2,938

LME

Zinc

Base

Metal

1

7/2020

USD

50,967

2,864

MSCI

Taiwan

Index

9

7/2020

USD

389,430

(71)

RBOB

Gasoline

4

7/2020

USD

201,852

22,312

100

oz

Gold

16

8/2020

USD

2,880,800

126,479

Brent

Crude

Oil

36

8/2020

USD

1,490,040

4,381

Lean

Hogs

1

8/2020

USD

19,610

(3,276)

Live

Cattle

2

8/2020

USD

77,020

158

NY

Harbor

ULSD

7

8/2020

USD

353,858

1,689

RBOB

Gasoline

5

8/2020

USD

249,354

24

WTI

Crude

Oil

16

8/2020

USD

629,440

24,978

Australia

10

Year

Bond

21

9/2020

AUD

2,156,256

23,239

Canada

10

Year

Bond

11

9/2020

CAD

1,246,332

2,976

Cocoa

8

9/2020

USD

174,880

(12,697)

EURO

STOXX

50

Index

19

9/2020

EUR

687,998

3,673

Euro-Bund

77

9/2020

EUR

15,270,656

76,050

Feeder

Cattle

1

9/2020

USD

66,688

(325)

FTSE

100

Index

4

9/2020

GBP

304,695

(2,677)

FTSE/JSE

Top

40

Index

2

9/2020

ZAR

57,965

(389)

FTSE/MIB

Index

5

9/2020

EUR

541,780

(5,643)

Japan

10

Year

Bond

Mini

92

9/2020

JPY

12,940,921

(5,857)

KOSPI

200

Index

10

9/2020

KRW

583,614

(12,834)

LME

Aluminum

Base

Metal

2

9/2020

USD

80,800

4,802

LME

Copper

Base

Metal

1

9/2020

USD

150,463

8,459

LME

Copper

Base

Metal

1

9/2020

USD

150,410

13,182

LME

Copper

Base

Metal

1

9/2020

USD

150,468

7,550

LME

Copper

Base

Metal

1

9/2020

USD

150,371

2,828

LME

Copper

Base

Metal

1

9/2020

USD

150,374

1,158

LME

Copper

Base

Metal

1

9/2020

USD

150,381

3,628

185

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

19

9/2020

USD

$

2,859,025

$

335,461

LME

Lead

Base

Metal

1

9/2020

USD

44,294

38

LME

Lead

Base

Metal

2

9/2020

USD

88,675

2,326

LME

Zinc

Base

Metal

5

9/2020

USD

255,750

15,754

Long

Gilt

45

9/2020

GBP

7,674,738

28,170

Low

Sulphur

Gasoil

9

9/2020

USD

323,100

5,217

Russell

2000

E-Mini

Index

11

9/2020

USD

790,680

26,669

S&P

500

E-Mini

Index

58

9/2020

USD

8,961,580

182,487

S&P

Midcap

400

E-Mini

Index

4

9/2020

USD

711,640

3,833

Silver

13

9/2020

USD

1,211,405

16,735

SPI

200

Index

2

9/2020

AUD

203,303

1,070

Sugar

No.

11

31

9/2020

USD

415,251

6,413

TOPIX

Index

7

9/2020

JPY

1,010,373

(33,689)

U.S.

Treasury

10

Year

Note

572

9/2020

USD

79,606,312

214,404

Soybean

3

11/2020

USD

132,338

835

100

oz

Gold

4

12/2020

USD

728,160

4,526

Cotton

No.

2

4

12/2020

USD

121,760

1,965

Soybean

Oil

21

12/2020

USD

363,006

(577)

1,234,147

Short

Contracts

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,044)

(2,755)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,869)

(3,118)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,775)

(3,007)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,844)

(2,100)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,475)

(4,408)

LME

Aluminum

Base

Metal

(4)

7/2020

USD

(159,875)

(11,179)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,265)

(18,431)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,167)

(25,532)

LME

Copper

Base

Metal

(4)

7/2020

USD

(600,825)

(91,834)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,956)

(3,109)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,967)

(3,470)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,800)

(5,268)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,463)

(9,165)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,381)

(3,759)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,410)

(13,363)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,374)

(1,452)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,468)

(7,633)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,371)

(3,549)

LME

Lead

Base

Metal

(1)

9/2020

USD

(44,294)

(147)

(213,279)

$

1,020,868

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

526,776

USD

589,436

CITI

9/16/2020

$

3,414

EUR

526,774

USD

589,434

JPMC

9/16/2020

3,413

GBP

175,136

USD

215,298

CITI

9/16/2020

1,812

GBP

175,136

USD

215,298

JPMC

9/16/2020

1,812

USD

2,906,114

EUR

2,567,478

CITI

9/16/2020

16,594

USD

1,486,271

EUR

1,315,478

JPMC

9/16/2020

5,792

186

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,106,138

GBP

878,592

CITI

9/16/2020

$

16,981

USD

938,861

GBP

746,598

JPMC

9/16/2020

13,332

Total

unrealized

appreciation

63,150

EUR

526,776

USD

594,752

CITI

9/16/2020

(1,902)

EUR

526,776

USD

594,752

JPMC

9/16/2020

(1,902)

GBP

525,408

USD

660,275

CITI

9/16/2020

(8,947)

GBP

525,410

USD

660,721

JPMC

9/16/2020

(9,391)

USD

1,745,053

EUR

1,560,477

CITI

9/16/2020

(11,154)

USD

1,472,256

EUR

1,315,478

JPMC

9/16/2020

(8,224)

USD

305,936

GBP

248,864

CITI

9/16/2020

(2,572)

USD

305,938

GBP

248,866

JPMC

9/16/2020

(2,572)

Total

unrealized

depreciation

(46,664)

Net

unrealized

appreciation

$

16,486

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,519,242

$

1,519,242

CITI

Investment

Companies

101,458

–

101,458

GSCO

Cash

–

(23,963)

(23,963)

U.S.

Treasury

Inflation

Linked

Notes

–

645,204

645,204

GSIN

Cash

92,505

–

92,505

JPMC

Investment

Companies

141,811

–

141,811

JPMS

Cash

–

33,054

33,054

MSCL

Cash

–

(272,046)

(272,046)

U.S.

Treasury

Inflation

Linked

Notes

–

1,079,575

1,079,575

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

85,438

$

–

$

85,438

GSCO

Cash

–

247,739

247,739

GSIN

U.S.

Treasury

Bills

114,961

–

114,961

MSCL

Cash

–

488,082

488,082

SOCG

Cash

42,403

–

42,403

187

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

86.1%

COMMON

STOCKS

-

4.6%

Italy

-

4.6%

A2A

SpA

(a)

3,658,800

5,200,752

Assicurazioni

Generali

SpA

(a)

238,013

3,615,483

BPER

Banca

*(a)

397,572

993,893

DiaSorin

SpA

(a)

1,880

361,046

Enel

SpA

(a)

1,098,972

9,504,401

Hera

SpA

*(a)

1,097,480

4,120,765

Intesa

Sanpaolo

SpA

*(a)

588,487

1,130,890

Italgas

SpA

(a)

687,867

4,003,137

Leonardo

SpA

(a)

155,226

1,034,790

Poste

Italiane

SpA

(a)(b)

997,319

8,711,824

Snam

SpA

(a)

183,044

892,368

Telecom

Italia

SpA

(a)

1,242,321

489,892

Terna

Rete

Elettrica

Nazionale

SpA

(a)

1,156,541

7,977,305

Unipol

Gruppo

SpA

*(a)

685,883

2,679,393

UnipolSai

Assicurazioni

SpA

(a)

701,617

1,680,861

TOTAL

COMMON

STOCKS

(Cost

$45,589,406)

52,396,800

SHORT-TERM

INVESTMENTS

-

81.5%

INVESTMENT

COMPANIES

-

41.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(c)(d)

86,361,543

86,361,543

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(c)(e)

387,630,344

387,707,870

TOTAL

INVESTMENT

COMPANIES

(Cost

$473,925,474)

474,069,413

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

39.8%

U.S.

Treasury

Bills

1.53%,

8/6/2020

(f)

$

10,420,000

10,418,750

1.52%,

8/13/2020

(f)

40,743,000

40,736,430

1.52%,

8/20/2020

(f)

111,615,000

111,594,847

1.45%,

8/27/2020

(f)(g)

126,556,000

126,527,946

0.40%,

9/10/2020

(f)(g)

18,087,000

18,082,184

0.30%,

9/17/2020

(f)(h)

67,674,000

67,652,739

0.29%,

10/15/2020

(f)

9,840,000

9,835,437

0.15%,

10/22/2020

(f)

13,003,000

12,996,470

0.15%,

10/29/2020

(f)

28,703,000

28,687,931

0.13%,

11/5/2020

(f)

3,360,000

3,358,103

0.16%,

11/12/2020

(f)

23,774,000

23,760,062

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$453,060,862)

453,650,899

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$926,986,336)

927,720,312

TOTAL

LONG

POSITIONS

(Cost

$972,575,742)

980,117,112

SHARES

SHORT

POSITIONS

-

(4.0)%

COMMON

STOCKS

-

(4.0)%

Canada

-

(0.6)%

SNC-Lavalin

Group,

Inc.

(1)

(385,930)

(6,512,711)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

(2.8)%

Amplifon

SpA

*

(21,515)

(574,774)

Atlantia

SpA

*

(184,689)

(2,987,405)

Azimut

Holding

SpA

(15,719)

(269,795)

Banca

Generali

SpA

(10,663)

(320,622)

Buzzi

Unicem

SpA

(95,393)

(2,061,225)

Davide

Campari-Milano

SpA

(800,835)

(6,772,628)

Ferrari

NV

(42,188)

(7,226,611)

FinecoBank

Banca

Fineco

SpA

*

(300,592)

(4,068,234)

Freni

Brembo

SpA

*

(338,991)

(3,148,508)

Pirelli

&

C

SpA

*(b)

(256,483)

(1,091,167)

Prysmian

SpA

(162,222)

(3,763,280)

(32,284,249)

—

Portugal

-

0.0%

(

i

)

Banco

Espirito

Santo

SA

(Registered)

(3)*(j)

(216,618)

(2)

United

Kingdom

-

(0.6)%

CNH

Industrial

NV

*

(1,005,762)

(7,066,091)

TOTAL

COMMON

STOCKS

(Proceeds$(53,807,337))

(45,863,053)

TOTAL

SHORT

POSITIONS

(Proceeds

$(53,807,337))

(45,863,053)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

82.1%

(Cost

$918,768,405)

934,254,059

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

17.9%

(k)

204,187,316

NET

ASSETS

-

100.0%

1,138,441,375

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

489,892

0.0

%

(

i

)

Consumer

Discretionary

(11,466,285)

(1.0)

Consumer

Staples

(6,772,628)

(0.6)

Financials

14,153,691

1.3

Health

Care

(213,728)

0.0(

i

)

Industrials

(19,294,698)

(1.7)

Materials

(2,061,225)

(0.2)

Utilities

31,698,728

2.8

Short-Term

Investments

927,720,312

81.5

Total

Investments

In

Securities

At

Value

934,254,059

82.1

Other

Assets

in

Excess

of

Liabilities

(k)

204,187,316

17.9

Net

Assets

$

1,138,441,375

100.0%

188

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$50,181,063.

(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

June

30,

2020

amounted

to

$7,620,657,

which

represents

approximately

0.67%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(i)

Represents

less

than

0.05%

of

net

assets.

(j)

Security

fair

valued

as

of

June

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$(2),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(k)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

34.1%

INVESTMENT

COMPANIES

-

34.1%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)

(Cost

$387,563,931)

$806,746,055

$1,605,720,176

$(2,025,324,549)

$614,496

$(48,308)

$387,707,870

387,630,344

$3,438,632

$–

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

June

30,

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

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

508,900,000

$

4,699,553

$

221,782

$

4,921,335

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

358,600,000

1,268,850

129,362

1,398,212

Pay

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

155,500,000

1,537,160

165,224

1,702,384

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

1,187,000,000

9,104,683

1,056,528

10,161,211

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

2,061,500,000

5,157,932

(905,280)

4,252,652

21,768,178

667,616

22,435,794

Pay

3

Month

BBR

Quarterly

0.00%

Quarterly

12/08/2022

AUD

627,800,000

(1,890,489)

22,074

(1,868,415)

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

409,000,000

(5,982,394)

1,125,973

(4,856,421)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

16,443,400,000

(783,842)

(321,047)

(1,104,889)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

104,200,000

(3,082,829)

(169,028)

(3,251,857)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

31,400,000

(836,954)

(162,117)

(999,071)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

203,500,000

(723,188)

(199,820)

(923,008)

189

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

81,437,500,000

$

(422,539)

$

(69,280)

$

(491,819)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

235,600,000

(9,898,415)

(966,140)

(10,864,555)

(23,620,650)

(739,385)

(24,360,035)

$

(1,852,472)

$

(71,769)

$

(1,924,241)

(a)

Floating

rate

indices

at

June

30,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.10%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.56%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.30%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.16%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.31)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.37%

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

BIST

30

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/31/2020

TRY

31,726,890

$

4,608

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

USD

(4,993,650)

21,115

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

07/30/2020

USD

(2,013,900)

21,305

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

USD

(1,664,550)

15,514

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

CHF

2,101,680

1,678

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.19%)

Monthly

CITI

09/16/2020

AUD

(4,991,540)

50,365

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

09/16/2020

EUR

(10,670,166)

582,044

190

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(4,170,004)

$

6,657

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(5,162,134)

214,199

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(12,681,973)

292,880

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

14,039

9

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

4,246,370

198,814

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

5,045,478

96,148

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

5,312,558

65,225

191

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

14,489,839

$

213,557

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

CITI

09/16/2020

SGD

(2,260,641)

18,245

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

1,970,671

7,567

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.28%)

Monthly

CITI

09/16/2020

SEK

(22,845,194)

94,581

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Monthly

CITI

09/16/2020

GBP

(3,684,575)

215,787

2,120,298

Corn

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

(10,757,250)

(228,564)

Corn

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

08/21/2020

USD

(8,076,475)

(170,440)

DTOP

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

09/17/2020

ZAR

(21,071,160)

(36,582)

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

408,561,950

(710,744)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

79,596,000

(177,388)

192

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

229,140,000

$

(504,192)

iBovespa

Index

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

08/12/2020

BRL

(103,446,070)

(478,899)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/10/2020

KRW

5,405,400,000

(156,488)

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

TWD

66,526,000

(12,779)

Tel

Aviv

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2020

ILS

12,215,840

(145,650)

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

PLN

2,736,240

(9,095)

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(3,884,153)

(117,261)

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(4,153,054)

(44,421)

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.45%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/21/2020

MXN

25,572,647

(43,107)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

5,296,569

(6,248)

193

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Poland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

WIBOR

plus

or

minus

a

specified

spread

(0.35%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

PLN

1,002,276

$

(12,964)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.00%)

Monthly

CITI

09/16/2020

ZAR

(300,483,332)

(74,793)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

48,843,024

(3,797,113)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

CHF

33,123,009

(297,267)

(7,023,995)

$

(4,903,697)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

491

7/2020

EUR

$

61,733,865

$

(125,481)

Brent

Crude

Oil

152

7/2020

USD

6,273,040

210,201

FTSE

Bursa

Malaysia

KLCI

Index

235

7/2020

MYR

4,099,475

23,006

Hang

Seng

Index

576

7/2020

HKD

90,099,168

(1,202,013)

HSCEI

176

7/2020

HKD

10,954,442

(189,185)

IBEX

35

Index

983

7/2020

EUR

79,625,068

(1,703,656)

LME

Copper

Base

Metal

5

7/2020

USD

750,865

124,388

LME

Copper

Base

Metal

6

7/2020

USD

901,269

131,151

LME

Copper

Base

Metal

9

7/2020

USD

1,351,631

198,367

LME

Copper

Base

Metal

17

7/2020

USD

2,529,388

490,837

LME

Copper

Base

Metal

18

7/2020

USD

2,703,650

385,196

LME

Copper

Base

Metal

20

7/2020

USD

3,003,375

403,316

LME

Copper

Base

Metal

51

7/2020

USD

7,655,738

1,464,427

194

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

MSCI

Taiwan

Index

1,073

7/2020

USD

$

46,428,710

$

(21,891)

WTI

Crude

Oil

63

7/2020

USD

2,474,010

52,066

LME

Copper

Base

Metal

2

8/2020

USD

300,729

33,723

3

Month

Canadian

Bankers

Acceptance

152

9/2020

CAD

27,839,423

(918)

3

Month

Euro

Euribor

496

9/2020

EUR

139,947,880

69,921

3

Month

Eurodollar

163

9/2020

USD

40,642,013

37,870

Australia

10

Year

Bond

608

9/2020

AUD

62,428,743

297,855

Canada

10

Year

Bond

1,470

9/2020

CAD

166,555,245

1,205,012

Copper

10

9/2020

USD

682,125

19,570

EURO

STOXX

50

Index

713

9/2020

EUR

25,818,019

261,571

Japan

10

Year

Bond

607

9/2020

JPY

854,213,011

(179,196)

KOSPI

200

Index

47

9/2020

KRW

2,742,985

(38,439)

LME

Copper

Base

Metal

13

9/2020

USD

1,955,525

125,168

LME

Copper

Base

Metal

27

9/2020

USD

4,060,125

(7,747)

LME

Copper

Base

Metal

168

9/2020

USD

25,279,800

1,895,372

Long

Gilt

341

9/2020

GBP

58,157,456

135,885

MEX

BOLSA

Index

51

9/2020

MXN

846,239

(328)

S&P/TSX

60

Index

57

9/2020

CAD

7,796,774

109,940

SET50

Index

70

9/2020

THB

397,069

1,290

Silver

192

9/2020

USD

17,891,520

596,904

TOPIX

Index

1,087

9/2020

JPY

156,896,458

(5,940,919)

U.S.

Treasury

10

Year

Note

643

9/2020

USD

89,487,516

473,779

Soybean

1,131

11/2020

USD

49,891,238

253,607

3

Month

Canadian

Bankers

Acceptance

711

12/2020

CAD

130,216,015

(6,449)

3

Month

Euro

Euribor

2,528

12/2020

EUR

713,318,244

197,680

3

Month

Eurodollar

679

12/2020

USD

169,257,725

15,141

3

Month

Canadian

Bankers

Acceptance

736

3/2021

CAD

134,814,968

6,970

3

Month

Euro

Euribor

2,579

3/2021

EUR

727,853,637

248,742

3

Month

Eurodollar

623

3/2021

USD

155,438,500

34,186

3

Month

Canadian

Bankers

Acceptance

584

6/2021

CAD

106,956,615

12,126

3

Month

Euro

Euribor

2,083

6/2021

EUR

587,958,689

197,206

3

Month

Eurodollar

461

6/2021

USD

115,042,550

23,747

319,998

Short

Contracts

CAC

40

10

Euro

Index

(1,785)

7/2020

EUR

(98,537,664)

52,902

LME

Copper

Base

Metal

(5)

7/2020

USD

(750,865)

(122,311)

LME

Copper

Base

Metal

(6)

7/2020

USD

(901,269)

(130,190)

LME

Copper

Base

Metal

(9)

7/2020

USD

(1,351,631)

(197,204)

LME

Copper

Base

Metal

(17)

7/2020

USD

(2,529,388)

(489,331)

LME

Copper

Base

Metal

(18)

7/2020

USD

(2,703,650)

(382,495)

LME

Copper

Base

Metal

(20)

7/2020

USD

(3,003,375)

(404,055)

LME

Copper

Base

Metal

(51)

7/2020

USD

(7,655,738)

(1,461,280)

MSCI

Singapore

Index

(859)

7/2020

SGD

(18,235,875)

176,907

Natural

Gas

(942)

7/2020

USD

(16,494,420)

635,431

OMXS30

Index

(1,655)

7/2020

SEK

(29,594,168)

(515,709)

SGX

NIFTY

50

Index

(803)

7/2020

USD

(16,501,650)

105,390

100

oz

Gold

(208)

8/2020

USD

(37,450,400)

(1,096,568)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,729)

(35,166)

3

Month

Sterling

(1,037)

9/2020

GBP

(160,401,504)

(290,546)

ASX

90

Day

Bank

Accepted

Bill

(145)

9/2020

AUD

(100,032,435)

(6,373)

DAX

Index

(160)

9/2020

EUR

(55,390,797)

(363,279)

Euro-Bund

(3,501)

9/2020

EUR

(694,319,095)

(5,275,844)

FTSE

100

Index

(544)

9/2020

GBP

(41,438,478)

229,505

FTSE/JSE

Top

40

Index

(503)

9/2020

ZAR

(14,578,231)

(506,482)

FTSE/MIB

Index

(735)

9/2020

EUR

(79,641,629)

601,381

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,950)

(33,618)

195

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(13)

9/2020

USD

$

(1,955,525)

$

(131,013)

LME

Copper

Base

Metal

(27)

9/2020

USD

(4,060,125)

1,270

S&P

500

E-Mini

Index

(752)

9/2020

USD

(116,191,520)

(2,501,800)

SPI

200

Index

(133)

9/2020

AUD

(13,519,680)

(117,191)

3

Month

Sterling

(5,513)

12/2020

GBP

(852,699,342)

(948,525)

ASX

90

Day

Bank

Accepted

Bill

(731)

12/2020

AUD

(504,264,161)

(31,740)

3

Month

Sterling

(5,588)

3/2021

GBP

(864,775,673)

(1,056,174)

ASX

90

Day

Bank

Accepted

Bill

(708)

3/2021

AUD

(488,386,081)

(34,261)

3

Month

Sterling

(4,551)

6/2021

GBP

(704,399,592)

(564,471)

ASX

90

Day

Bank

Accepted

Bill

(605)

6/2021

AUD

(417,314,993)

(13,752)

(14,906,592)

$

(14,586,594)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

17,753,500

USD

12,013,517

CITI

9/16/2020

$

241,381

AUD

17,753,500

USD

12,013,532

JPMC

9/16/2020

241,366

CAD

2,054,061

USD

1,495,772

CITI

9/16/2020

17,473

CAD

2,054,061

USD

1,495,774

JPMC

9/16/2020

17,472

CHF

2,888,500

USD

3,041,213

CITI

9/16/2020

14,541

CHF

2,888,500

USD

3,041,217

JPMC

9/16/2020

14,537

CNY

6,660,000

USD

937,599

CITI

**

9/16/2020

334

CNY

6,660,000

USD

937,600

JPMC

**

9/16/2020

333

EUR

9,264,500

USD

10,369,306

CITI

9/16/2020

57,246

EUR

9,264,500

USD

10,369,319

JPMC

9/16/2020

57,233

GBP

1,248,280

USD

1,534,533

CITI

9/16/2020

12,911

GBP

1,248,280

USD

1,534,535

JPMC

9/16/2020

12,911

INR

492,562,173

USD

6,454,067

CITI

**

9/16/2020

12,115

INR

492,562,173

USD

6,454,075

JPMC

**

9/16/2020

12,109

JPY

3,289,982,340

USD

30,311,437

CITI

9/16/2020

190,226

JPY

3,289,982,341

USD

30,311,475

JPMC

9/16/2020

190,189

NOK

1,151,378

USD

116,740

CITI

9/16/2020

2,915

NOK

1,151,380

USD

116,740

JPMC

9/16/2020

2,915

NZD

8,072,928

USD

4,991,833

CITI

9/16/2020

217,251

NZD

8,072,929

USD

4,991,840

JPMC

9/16/2020

217,245

SEK

217,115,366

USD

22,664,298

CITI

9/16/2020

657,986

SEK

217,115,366

USD

22,664,326

JPMC

9/16/2020

657,957

SGD

3,913,875

USD

2,757,357

CITI

9/16/2020

51,734

SGD

3,913,875

USD

2,757,361

JPMC

9/16/2020

51,730

TWD

114,868,160

USD

3,873,251

CITI

**

9/16/2020

74,952

TWD

114,868,156

USD

3,873,256

JPMC

**

9/16/2020

74,945

USD

10,030,428

AUD

14,415,376

CITI

9/16/2020

79,772

USD

10,030,417

AUD

14,415,378

JPMC

9/16/2020

79,759

USD

14,708,724

BRL

77,120,637

CITI

**

9/16/2020

574,156

USD

14,708,706

BRL

77,120,639

JPMC

**

9/16/2020

574,137

USD

1,843,162

CAD

2,482,700

CITI

9/16/2020

14,135

USD

1,843,168

CAD

2,482,710

JPMC

9/16/2020

14,132

USD

34,250,580

EUR

30,269,096

CITI

9/16/2020

184,810

USD

34,250,532

EUR

30,269,092

JPMC

9/16/2020

184,768

USD

4,008,480

GBP

3,193,500

CITI

9/16/2020

49,620

196

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

4,008,475

GBP

3,193,500

JPMC

9/16/2020

$

49,615

USD

4,270,271

HUF

1,339,750,000

CITI

9/16/2020

21,468

USD

3,953,132

HUF

1,239,750,000

JPMC

9/16/2020

21,463

USD

2,134,481

ILS

7,350,000

CITI

9/16/2020

8,208

USD

2,134,478

ILS

7,350,000

JPMC

9/16/2020

8,205

USD

1,335,284

KRW

1,600,000,000

CITI

**

9/16/2020

816

USD

1,335,282

KRW

1,600,000,000

JPMC

**

9/16/2020

815

USD

27,953,639

NOK

261,880,728

CITI

9/16/2020

738,111

USD

27,953,605

NOK

261,880,730

JPMC

9/16/2020

738,076

USD

6,436,044

NZD

9,953,000

CITI

9/16/2020

13,837

USD

6,436,035

NZD

9,953,000

JPMC

9/16/2020

13,829

USD

2,796,931

PLN

11,000,000

CITI

9/16/2020

15,884

USD

2,796,927

PLN

11,000,000

JPMC

9/16/2020

15,880

USD

412,913

SGD

575,000

CITI

9/16/2020

220

USD

412,912

SGD

575,000

JPMC

9/16/2020

220

USD

290,598

ZAR

5,000,000

CITI

9/16/2020

4,753

USD

290,598

ZAR

5,000,000

JPMC

9/16/2020

4,752

ZAR

63,000,000

USD

3,581,442

CITI

9/16/2020

20,209

ZAR

63,000,000

USD

3,581,446

JPMC

9/16/2020

20,204

MXN

50,500,000

USD

2,162,719

CITI

9/17/2020

11,769

MXN

50,500,000

USD

2,162,722

JPMC

9/17/2020

11,767

Total

unrealized

appreciation

6,577,397

AUD

30,703,000

USD

21,295,527

CITI

9/16/2020

(101,840)

AUD

30,703,000

USD

21,295,554

JPMC

9/16/2020

(101,866)

CAD

9,470,434

USD

7,046,445

CITI

9/16/2020

(69,491)

CAD

9,470,444

USD

7,046,461

JPMC

9/16/2020

(69,499)

CNY

7,755,500

USD

1,095,432

CITI

**

9/16/2020

(3,219)

CNY

7,755,500

USD

1,095,434

JPMC

**

9/16/2020

(3,220)

EUR

17,346,500

USD

19,700,902

CITI

9/16/2020

(178,618)

EUR

17,346,500

USD

19,700,926

JPMC

9/16/2020

(178,643)

GBP

11,737,840

USD

14,839,854

CITI

9/16/2020

(288,898)

GBP

11,737,849

USD

14,841,010

JPMC

9/16/2020

(290,044)

INR

387,562,172

USD

5,096,001

CITI

**

9/16/2020

(8,221)

INR

387,562,172

USD

5,096,008

JPMC

**

9/16/2020

(8,228)

JPY

7,526,096,338

USD

70,082,644

CITI

9/16/2020

(307,663)

JPY

7,526,096,337

USD

70,082,732

JPMC

9/16/2020

(307,750)

NOK

4,930,879

USD

517,604

CITI

9/16/2020

(5,171)

NOK

4,930,880

USD

517,605

JPMC

9/16/2020

(5,171)

PLN

850,000

USD

216,292

CITI

9/16/2020

(1,393)

PLN

850,000

USD

216,292

JPMC

9/16/2020

(1,393)

SEK

91,710,000

USD

9,972,300

CITI

9/16/2020

(120,916)

SEK

91,710,000

USD

9,972,313

JPMC

9/16/2020

(120,930)

SGD

3,913,876

USD

2,811,097

CITI

9/16/2020

(2,005)

SGD

3,913,875

USD

2,811,100

JPMC

9/16/2020

(2,009)

USD

47,457

AUD

71,628

CITI

9/16/2020

(1,986)

USD

47,458

AUD

71,629

JPMC

9/16/2020

(1,986)

USD

2,233,231

BRL

12,206,879

CITI

**

9/16/2020

(4,030)

USD

2,233,228

BRL

12,206,879

JPMC

**

9/16/2020

(4,032)

USD

1,084,388

CAD

1,489,620

CITI

9/16/2020

(13,029)

USD

1,084,386

CAD

1,489,620

JPMC

9/16/2020

(13,029)

USD

4,782,502

CHF

4,597,165

CITI

9/16/2020

(80,855)

USD

4,782,497

CHF

4,597,166

JPMC

9/16/2020

(80,861)

USD

27,846,473

CNY

199,663,000

CITI

**

9/16/2020

(272,234)

USD

27,846,438

CNY

199,663,000

JPMC

**

9/16/2020

(272,269)

USD

796,876

DKK

5,386,212

CITI

9/16/2020

(16,593)

USD

796,875

DKK

5,386,211

JPMC

9/16/2020

(16,594)

USD

28,739,229

EUR

25,666,096

CITI

9/16/2020

(146,182)

USD

28,739,184

EUR

25,666,088

JPMC

9/16/2020

(146,219)

197

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

3,950,080

HUF

1,254,750,000

CITI

9/16/2020

$

(29,159)

USD

4,267,209

HUF

1,354,750,000

JPMC

9/16/2020

(29,164)

USD

6,652,838

ILS

23,279,544

CITI

9/16/2020

(81,677)

USD

6,652,831

ILS

23,279,547

JPMC

9/16/2020

(81,685)

USD

47,758,290

JPY

5,179,995,500

CITI

9/16/2020

(265,821)

USD

47,758,230

JPY

5,179,995,500

JPMC

9/16/2020

(265,881)

USD

9,426,542

KRW

11,489,834,480

CITI

**

9/16/2020

(156,462)

USD

9,426,491

KRW

11,489,834,480

JPMC

**

9/16/2020

(156,514)

USD

6,781,222

NOK

66,910,728

CITI

9/16/2020

(172,367)

USD

6,781,213

NOK

66,910,729

JPMC

9/16/2020

(172,375)

USD

4,716,243

NZD

7,625,000

CITI

9/16/2020

(203,814)

USD

4,716,237

NZD

7,625,000

JPMC

9/16/2020

(203,819)

USD

2,884,989

PLN

11,550,000

CITI

9/16/2020

(35,111)

USD

2,884,984

PLN

11,549,996

JPMC

9/16/2020

(35,114)

USD

2,500,988

SEK

23,552,500

CITI

9/16/2020

(28,995)

USD

2,500,985

SEK

23,552,500

JPMC

9/16/2020

(28,998)

USD

405,092

SGD

575,000

CITI

9/16/2020

(7,600)

USD

405,092

SGD

575,000

JPMC

9/16/2020

(7,601)

USD

1,048,464

ZAR

18,500,000

CITI

9/16/2020

(9,164)

USD

1,048,462

ZAR

18,500,000

JPMC

9/16/2020

(9,165)

ZAR

124,500,000

USD

7,182,115

CITI

9/16/2020

(64,567)

ZAR

124,500,000

USD

7,182,124

JPMC

9/16/2020

(64,577)

MXN

469,067,169

USD

20,944,906

CITI

9/17/2020

(747,256)

MXN

469,067,172

USD

20,944,932

JPMC

9/17/2020

(747,284)

USD

1,089,538

MXN

25,500,000

CITI

9/17/2020

(8,471)

USD

1,089,537

MXN

25,500,000

JPMC

9/17/2020

(8,472)

Total

unrealized

depreciation

(6,867,200)

Net

unrealized

depreciation

$

(289,803)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.20%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57

months

maturity

02/25/2025

$9,661,294

$(107,739)

$(662)

$(108,401)

198

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-12.75%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

06/25/2021

$809,607,074

$6,877,917

$(10,111,073)

$(3,233,156)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acuity

Brands,

Inc.

62,500

5,983,750

557,500

(17.2)

Adobe,

Inc.

14,850

6,464,354

(24,354)

0.8

Alphabet,

Inc.

7,168

10,164,582

(165,222)

5.1

Amazon.com,

Inc.

1,918

5,291,417

8,132

(0.3)

Amdocs

Ltd.

93,946

5,719,432

(2,818)

0.1

ANSYS,

Inc.

15,803

4,610,209

71,746

(2.2)

Anthem,

Inc.

18,268

4,804,119

36,171

(1.1)

Booking

Holdings,

Inc.

3,791

6,036,561

(87,383)

2.7

Cadence

Design

Systems,

Inc.

79,682

7,646,285

262,951

(8.1)

eBay,

Inc.

107,840

5,656,208

328,912

(10.2)

Electronic

Arts,

Inc.

45,633

6,025,838

59,779

(1.8)

Facebook,

Inc.

47,765

10,845,999

(411,257)

12.7

Fair

Isaac

Corp.

13,378

5,592,539

22,341

(0.7)

Fortinet,

Inc.

35,589

4,885,302

51,248

(1.6)

HollyFrontier

Corp.

169,592

4,952,086

(74,620)

2.3

Humana,

Inc.

11,806

4,577,776

137,186

(4.2)

J2

Global,

Inc.

70,651

4,465,850

(480,427)

14.9

Lam

Research

Corp.

13,881

4,489,948

150,748

(4.7)

Manhattan

Associates,

Inc.

63,892

6,018,626

100,310

(3.1)

MasTec

,

Inc.

134,832

6,049,912

188,765

(5.8)

Match

Group,

Inc.

42,028

4,499,097

340,427

(10.5)

Medtronic

plc

55,166

5,058,722

156,671

(4.8)

NortonLifeLock

,

Inc.

241,328

4,785,534

72,398

(2.2)

Nuance

Communications,

Inc.

174,670

4,420,024

81,222

(2.5)

NuVasive

,

Inc.

75,033

4,176,337

201,839

(6.2)

Owens

Corning

108,097

6,027,489

141,607

(4.4)

Regal

Beloit

Corp.

74,016

6,463,077

310,867

(9.6)

Skyworks

Solutions,

Inc.

38,315

4,898,956

21,456

(0.7)

Synopsys,

Inc.

33,011

6,437,145

175,288

(5.4)

Target

Corp.

81,332

9,754,147

9,760

(0.3)

Williams-Sonoma,

Inc.

50,731

4,160,449

(85,735)

2.7

199

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Baker

Hughes

Co.

(329,721)

(5,074,406)

(145,077)

4.5

Boeing

Co.

(The)

(46,429)

(8,510,436)

(390,932)

12.1

Covetrus

,

Inc.

(471,832)

(8,441,074)

651,128

(20.1)

Cree,

Inc.

(72,187)

(4,272,749)

(57,028)

1.8

Dycom

Industries,

Inc.

(114,453)

(4,679,983)

(141,922)

4.4

Fastenal

Co.

(139,569)

(5,979,136)

(163,296)

5.1

Five

Below,

Inc.

(47,948)

(5,126,121)

(64,730)

2.0

Floor

&

Decor

Holdings,

Inc.

(81,432)

(4,694,555)

(157,978)

4.9

General

Electric

Co.

(698,737)

(4,772,374)

(104,811)

3.2

Guidewire

Software,

Inc.

(42,074)

(4,663,903)

(111,075)

3.4

HealthEquity

,

Inc.

(97,696)

(5,731,824)

330,212

(10.2)

Hess

Corp.

(88,234)

(4,571,404)

(104,116)

3.2

Lennox

International,

Inc.

(20,874)

(4,863,433)

(161,356)

5.0

LiveRamp

Holdings,

Inc.

(108,807)

(4,621,033)

339,478

(10.5)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(126,667)

(12,369,033)

183,667

(5.7)

Resideo

Technologies,

Inc.

(512,458)

(6,006,008)

153,737

(4.8)

Schlumberger

Ltd.

(389,949)

(7,171,162)

11,698

(0.4)

Trex

Co.,

Inc.

(41,159)

(5,353,551)

(293,052)

9.1

Univar

Solutions,

Inc.

(473,385)

(7,981,271)

(4,734)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-60

months

maturity

ranging

from

08/14/2020

-

05/15/2025

$115,343,657

$(3,492,247)

$(215,633)

$(3,707,880)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

935,550

11,067,711

(579,217)

15.6

Alumina

Ltd.

1,195,108

1,362,172

(55,157)

1.5

Aristocrat

Leisure

Ltd.

22,826

408,734

(33,583)

0.9

Aurizon

Holdings

Ltd.

557,596

1,897,430

52,523

(1.4)

Beach

Energy

Ltd.

3,700,428

3,953,253

(639,291)

17.2

BlueScope

Steel

Ltd.

651,230

5,364,735

(420,038)

11.3

Boral

Ltd.

447,140

1,188,768

10,898

(0.3)

carsales.com

Ltd.

20,474

253,444

17,568

(0.5)

Coca-Cola

Amatil

Ltd.

92,389

556,502

(39,412)

1.1

Evolution

Mining

Ltd.

124,836

495,910

44,488

(1.2)

200

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Flight

Centre

Travel

Group

Ltd.

216,874

1,695,329

(924,532)

24.9

Fortescue

Metals

Group

Ltd.

1,342,138

13,047,830

(709,988)

19.1

Harvey

Norman

Holdings

Ltd.

1,486,301

3,653,748

20,750

(0.6)

Iluka

Resources

Ltd.

185,161

1,106,158

(78,965)

2.1

JB

Hi-Fi

Ltd.

19,993

598,180

42,577

(1.1)

South32

Ltd.

873,833

1,237,107

(173,486)

4.7

Star

Entertainment

Grp

Ltd.

(The)

135,133

268,499

(55,764)

1.5

Tabcorp

Holdings

Ltd.

157,158

370,682

(21,525)

0.6

Telstra

Corp.

Ltd.

2,792,380

6,061,222

(179,892)

4.9

Treasury

Wine

Estates

Ltd.

362,555

2,637,904

(221,399)

6.0

Wesfarmers

Ltd.

92,325

2,870,587

211,837

(5.7)

Woodside

Petroleum

Ltd.

77,311

1,168,375

(146,159)

3.9

Worley

Ltd.

55,173

337,594

(68,205)

1.8

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(129,086)

(5,574,928)

(1,066,613)

28.8

AMP

Ltd.

(1,708,431)

(2,210,583)

(79,043)

2.1

APA

Group

(928,790)

(7,181,702)

153,872

(4.1)

Atlas

Arteria

Ltd.

(495,945)

(2,290,278)

36,568

(1.0)

Challenger

Ltd.

(1,185,041)

(3,669,794)

914,429

(24.7)

CIMIC

Group

Ltd.

(15,895)

(267,109)

40,912

(1.1)

Insurance

Australia

Group

Ltd.

(258,622)

(1,037,943)

69,649

(1.9)

Lendlease

Group

(32,804)

(283,533)

17,620

(0.5)

Medibank

Pvt

Ltd.

(1,914,306)

(3,968,841)

(139,751)

3.8

Origin

Energy

Ltd.

(694,955)

(2,827,943)

254,719

(6.9)

Qantas

Airways

Ltd.

(410,915)

(1,088,881)

306,436

(8.3)

QBE

Insurance

Group

Ltd.

(764,058)

(4,715,084)

325,994

(8.8)

Ramsay

Health

Care

Ltd.

(39,912)

(1,843,230)

(16,278)

0.4

REA

Group

Ltd.

(7,275)

(548,196)

(15,859)

0.4

SEEK

Ltd.

(359,789)

(5,504,367)

(437,712)

11.8

Transurban

Group

(182,348)

(1,788,236)

84,774

(2.3)

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(22,564)

(306,483)

5,982

(0.2)

WiseTech

Global

Ltd.

(82,869)

(1,121,049)

165,519

(4.5)

United

States

James

Hardie

Industries

plc

(389,940)

(7,513,603)

(167,493)

4.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.45%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-58

months

maturity

ranging

from

01/13/2025

-

03/07/2025

$80,100,640

$(879,271)

$(6,694)

$(885,965)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

201

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

479,000

1,533,708

(23,713)

2.7

Hong

Kong

CK

Asset

Holdings

Ltd.

427,000

2,560,631

(72,816)

8.2

CLP

Holdings

Ltd.

526,500

5,170,884

(154,912)

17.5

Henderson

Land

Development

Co.

Ltd.

804,580

3,068,428

(295,022)

33.3

HKT

Trust

&

HKT

Ltd.

1,120,000

1,643,565

(58,728)

6.6

Hysan

Development

Co.

Ltd.

150,000

484,235

(17,022)

1.9

Kerry

Properties

Ltd.

532,500

1,383,239

(73,310)

8.3

Melco

International

Development

Ltd.

733,000

1,429,130

(205,117)

23.2

New

World

Development

Co.

Ltd.

569,000

2,701,658

(23,488)

2.7

NWS

Holdings

Ltd.

863,000

750,679

(93,337)

10.5

Sun

Hung

Kai

Properties

Ltd.

322,500

4,120,015

(157,507)

17.8

WH

Group

Ltd.

4,469,000

3,862,085

(128,037)

14.5

Yue

Yuen

Industrial

Holdings

Ltd.

1,014,500

1,546,372

(118,610)

13.4

Macau

Sands

China

Ltd.

122,400

482,163

(56,362)

6.4

SJM

Holdings

Ltd.

921,000

1,032,566

(120,094)

13.6

United

Kingdom

CK

Hutchison

Holdings

Ltd.

980,500

6,349,313

(659,230)

74.4

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(996,600)

(2,917,479)

348,591

(39.3)

Minth

Group

Ltd.

(1,116,000)

(3,203,481)

374,701

(42.3)

Hong

Kong

AIA

Group

Ltd.

(934,200)

(8,741,875)

201,739

(22.8)

ASM

Pacific

Technology

Ltd.

(284,800)

(3,009,764)

(59,068)

6.7

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(596,000)

(619,059)

(11,564)

1.3

Hong

Kong

&

China

Gas

Co.

Ltd.

(5,260,920)

(8,176,356)

552,820

(62.4)

MTR

Corp.

Ltd.

(173,000)

(899,730)

51,151

(5.8)

Power

Assets

Holdings

Ltd.

(109,000)

(595,583)

42,905

(4.8)

Swire

Properties

Ltd.

(996,800)

(2,544,999)

104,389

(11.8)

Techtronic

Industries

Co.

Ltd.

(242,500)

(2,399,430)

(52,820)

6.0

Vitasoy

International

Holdings

Ltd.

(614,000)

(2,360,036)

(15,109)

1.7

Wharf

Holdings

Ltd.

(The)

(601,000)

(1,229,749)

17,148

(1.9)

Wharf

Real

Estate

Investment

Co.

Ltd.

(1,036,000)

(4,973,429)

(174,733)

19.7

Xinyi

Glass

Holdings

Ltd.

(252,000)

(310,999)

(2,116)

0.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(-0.10%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/14/2025

-

05/15/2025

$793,288,357

$(9,887,849)

$2,588,462

$(7,299,387)

202

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

249,800

7,161,648

(782,103)

10.7

Alfresa

Holdings

Corp.

259,100

5,431,088

(48,191)

0.7

Bandai

Namco

Holdings,

Inc.

124,000

6,527,121

(591,072)

8.1

Central

Japan

Railway

Co.

56,600

8,753,657

(1,154,632)

15.8

Fujitsu

Ltd.

59,100

6,919,626

532,245

(7.3)

GungHo

Online

Entertainment,

Inc.

310,960

5,559,747

245,718

(3.4)

Haseko

Corp.

608,900

7,688,139

(106,794)

1.5

Hitachi

Ltd.

200,000

6,356,966

(617,009)

8.5

ITOCHU

Corp.

391,300

8,466,880

(125,105)

1.7

Kajima

Corp.

504,000

6,026,257

(204,720)

2.8

KDDI

Corp.

344,300

10,272,929

(63,778)

0.9

Nexon

Co.

Ltd.

455,900

10,283,476

683,994

(9.4)

Nippon

Telegraph

&

Telephone

Corp.

433,000

10,088,663

(132,373)

1.8

Obayashi

Corp.

1,097,500

10,318,106

(1,058,728)

14.5

ORIX

Corp.

416,200

5,168,062

(891,712)

12.2

Osaka

Gas

Co.

Ltd.

342,600

6,772,162

(60,002)

0.8

Sekisui

House

Ltd.

344,100

6,569,614

(314,728)

4.3

Shionogi

&

Co.

Ltd.

88,500

5,551,904

224,250

(3.1)

Sojitz

Corp.

2,318,900

5,068,377

(629,433)

8.6

Taisei

Corp.

146,200

5,328,421

(369,293)

5.1

Tokyo

Electric

Power

Co.

Holdings,

Inc.

3,119,200

9,595,244

(1,424,717)

19.5

Tokyo

Gas

Co.

Ltd.

445,800

10,674,508

57,425

(0.8)

Toppan

Printing

Co.

Ltd.

385,600

6,446,819

(464,181)

6.4

Tosoh

Corp.

552,700

7,592,390

(420,640)

5.8

West

Japan

Railway

Co.

102,300

5,737,902

(817,667)

11.2

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(353,500)

(8,224,007)

(209,789)

2.9

Asics

Corp.

(620,900)

(7,098,743)

1,075,578

(14.7)

CyberAgent

,

Inc.

(193,700)

(9,521,065)

(375,460)

5.1

Daifuku

Co.

Ltd.

(90,200)

(7,904,415)

(691,819)

9.5

Daikin

Industries

Ltd.

(71,200)

(11,520,161)

(342,259)

4.7

Kansai

Paint

Co.

Ltd.

(279,700)

(5,910,550)

127,099

(1.7)

Kikkoman

Corp.

(202,700)

(9,789,931)

371,708

(5.1)

LIXIL

Group

Corp.

(549,000)

(7,710,307)

651,506

(8.9)

Marui

Group

Co.

Ltd.

(414,500)

(7,498,018)

735,439

(10.1)

MISUMI

Group,

Inc.

(225,100)

(5,651,899)

519,926

(7.1)

MonotaRO

Co.

Ltd.

(238,900)

(9,598,628)

(788,503)

10.8

Nidec

Corp.

(179,100)

(12,065,750)

(520,180)

7.1

Nippon

Paint

Holdings

Co.

Ltd.

(143,000)

(10,429,968)

(287,764)

3.9

Park24

Co.

Ltd.

(332,600)

(5,702,444)

1,136,940

(15.6)

Pigeon

Corp.

(199,000)

(7,702,312)

(91,451)

1.3

Ryohin

Keikaku

Co.

Ltd.

(384,700)

(5,471,799)

232,571

(3.2)

Shimano,

Inc.

(39,500)

(7,595,407)

(342,884)

4.7

SoftBank

Group

Corp.

(101,700)

(5,128,494)

(81,743)

1.1

Sony

Financial

Holdings,

Inc.

(304,700)

(7,356,957)

(29,881)

0.4

Takeda

Pharmaceutical

Co.

Ltd.

(255,500)

(9,179,596)

596,803

(8.2)

Toshiba

Corp.

(181,100)

(5,809,647)

(327,253)

4.5

TOTO

Ltd.

(269,900)

(10,377,231)

1,045,523

(14.3)

203

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tsuruha

Holdings,

Inc.

(41,900)

(5,786,941)

308,628

(4.2)

Yamato

Holdings

Co.

Ltd.

(451,100)

(9,792,215)

157,247

(2.2)

Yaskawa

Electric

Corp.

(248,000)

(8,621,238)

306,348

(4.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.34%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/13/2025

-

05/15/2025

$1,212,386,068

$1,549,527

$(319,096)

$1,230,431

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AT&T,

Inc.

193,072

5,836,567

(461,442)

(37.5)

Bio-Rad

Laboratories,

Inc.

19,808

8,943,114

(167,378)

(13.6)

Charles

River

Laboratories

International,

Inc.

74,812

13,043,472

(447,376)

(36.4)

Estee

Lauder

Cos.,

Inc.

(The)

32,942

6,215,497

(396,622)

(32.2)

Kimberly-Clark

Corp.

48,583

6,867,207

134,575

10.9

ManpowerGroup

,

Inc.

118,973

8,179,394

(1,013,650)

(82.4)

Nu

Skin

Enterprises,

Inc.

169,499

6,479,947

(183,059)

(14.9)

Pfizer,

Inc.

383,367

12,536,101

(1,345,618)

(109.4)

Procter

&

Gamble

Co.

(The)

67,036

8,015,495

82,454

6.7

Robert

Half

International,

Inc.

116,737

6,167,216

(581,350)

(47.2)

SYNNEX

Corp.

52,599

6,299,782

368,719

30.0

Werner

Enterprises,

Inc.

177,322

7,718,827

363,510

29.5

Short

Positions

Common

Stocks

United

States

Agios

Pharmaceuticals,

Inc.

(156,425)

(8,365,609)

(269,051)

(21.9)

Altice

USA,

Inc.

(294,007)

(6,626,918)

967,283

78.6

Amcor

plc

(996,949)

(10,178,849)

(9,969)

(0.8)

American

Express

Co.

(68,969)

(6,565,849)

1,052,467

85.5

Apple,

Inc.

(16,090)

(5,869,632)

(334,833)

(27.2)

Aptiv

plc

(84,733)

(6,602,395)

(170,313)

(13.8)

Ashland

Global

Holdings,

Inc.

(89,602)

(6,191,498)

322,567

26.2

Ball

Corp.

(133,527)

(9,278,791)

393,905

32.0

Bank

of

America

Corp.

(260,021)

(6,175,499)

1,162,294

94.5

Charter

Communications,

Inc.

(14,144)

(7,214,006)

304,520

24.7

Citigroup,

Inc.

(187,563)

(9,584,469)

1,575,529

128.0

CNO

Financial

Group,

Inc.

(363,462)

(5,659,103)

410,712

33.4

Dominion

Energy,

Inc.

(132,937)

(10,791,826)

620,816

50.5

204

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Edison

International

(125,199)

(6,799,558)

916,457

74.5

FedEx

Corp.

(44,347)

(6,218,336)

198,231

16.1

FirstEnergy

Corp.

(230,251)

(8,929,134)

946,332

76.9

GCI

Liberty,

Inc.

(131,837)

(9,376,247)

7,910

0.6

Hain

Celestial

Group,

Inc.

(The)

(185,368)

(5,840,946)

16,683

1.4

IAA,

Inc.

(173,577)

(6,694,865)

1,001,539

81.4

II-VI,

Inc.

(138,832)

(6,555,647)

319,314

26.0

LendingTree,

Inc.

(27,814)

(8,052,987)

159,096

12.9

Liberty

Broadband

Corp.

(62,706)

(7,773,036)

544,288

44.2

Loews

Corp.

(167,799)

(5,753,828)

666,162

54.1

National

Fuel

Gas

Co.

(193,821)

(8,126,915)

422,530

34.3

Nektar

Therapeutics

(286,274)

(6,630,106)

(286,274)

(23.3)

NiSource,

Inc.

(356,228)

(8,100,625)

744,517

60.5

Pure

Storage,

Inc.

(437,748)

(7,586,173)

(96,305)

(7.8)

Sealed

Air

Corp.

(193,500)

(6,356,475)

179,955

14.6

ServiceMaster

Global

Holdings,

Inc.

(205,398)

(7,330,655)

(536,089)

(43.6)

Southwest

Airlines

Co.

(181,983)

(6,220,179)

696,995

56.6

Spotify

Technology

SA

(22,138)

(5,715,810)

(1,480,589)

(120.3)

Stericycle,

Inc.

(133,272)

(7,460,567)

962,224

78.2

Tesla,

Inc.

(7,453)

(8,047,824)

(1,037,010)

(84.3)

Union

Pacific

Corp.

(39,162)

(6,621,119)

355,983

28.9

United

Parcel

Service,

Inc.

(56,118)

(6,239,199)

(187,995)

(15.3)

Visteon

Corp.

(117,556)

(8,052,586)

868,739

70.6

Vulcan

Materials

Co.

(49,496)

(5,734,112)

107,901

8.8

Willis

Towers

Watson

plc

(43,563)

(8,579,733)

176,866

14.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.58%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

02/25/2025

-

05/15/2025

$177,449,919

$(2,686,501)

$209,922

$(2,476,579)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

115,051

3,607,632

(16,999)

0.7

Atco

Ltd.

69,214

2,053,070

155,077

(6.3)

Bank

of

Montreal

84,299

4,486,922

(239,581)

9.7

Bank

of

Nova

Scotia

(The)

48,934

2,024,979

(80,151)

3.2

Canadian

Imperial

Bank

of

Commerce

79,970

5,345,078

(192,286)

7.8

Canadian

Tire

Corp.

Ltd.

34,248

2,967,689

(111,218)

4.5

205

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Cenovus

Energy,

Inc.

452,209

2,115,150

33,349

(1.3)

CGI,

Inc.

74,044

4,664,837

(86,928)

3.5

CI

Financial

Corp.

237,503

3,021,270

66,507

(2.7)

Hydro

One

Ltd.

127,474

2,397,180

(2,624)

0.1

iA

Financial

Corp.,

Inc.

60,290

2,018,845

(91,268)

3.7

Intact

Financial

Corp.

34,189

3,253,949

(62,739)

2.5

Kinross

Gold

Corp.

216,604

1,563,582

199,196

(8.0)

Linamar

Corp.

91,758

2,480,494

(161,546)

6.5

Magna

International,

Inc.

128,371

5,716,935

9,784

(0.4)

Manulife

Financial

Corp.

491,621

6,688,450

(50,010)

2.0

National

Bank

of

Canada

108,729

4,927,083

(29,596)

1.2

Quebecor,

Inc.

152,954

3,286,438

(11,876)

0.5

Rogers

Communications,

Inc.

33,355

1,340,244

(63,896)

2.6

Royal

Bank

of

Canada

76,243

5,172,910

(8,917)

0.4

Seven

Generations

Energy

Ltd.

566,450

1,264,248

(107,746)

4.4

Teck

Resources

Ltd.

121,627

1,273,966

14,121

(0.6)

Toronto-Dominion

Bank

(The)

118,478

5,287,700

(117,268)

4.7

Tourmaline

Oil

Corp.

275,884

2,412,156

64,233

(2.6)

United

States

Bausch

Health

Cos.,

Inc.

84,197

1,540,552

(126,084)

5.1

BRP,

Inc.

91,107

3,885,603

142,558

(5.8)

Ovintiv

,

Inc.

359,683

3,420,380

(147,337)

5.9

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(129,558)

(5,698,223)

(581,498)

23.5

Canada

Agnico

Eagle

Mines

Ltd.

(24,889)

(1,593,695)

(140,461)

5.7

AltaGas

Ltd.

(238,710)

(2,751,776)

36,244

(1.5)

BlackBerry

Ltd.

(383,274)

(1,868,941)

84,390

(3.4)

Cameco

Corp.

(345,799)

(3,545,611)

(36,992)

1.5

Canada

Goose

Holdings,

Inc.

(219,218)

(5,089,681)

164,830

(6.7)

Canadian

Natural

Resources

Ltd.

(85,495)

(1,483,064)

(10,169)

0.4

CCL

Industries,

Inc.

(91,680)

(2,963,258)

136,724

(5.5)

Dollarama,

Inc.

(168,304)

(5,598,563)

153,528

(6.2)

Element

Fleet

Management

Corp.

(352,779)

(2,632,330)

(46,580)

1.9

Enbridge,

Inc.

(161,287)

(4,904,189)

178,240

(7.2)

Finning

International,

Inc.

(149,565)

(2,039,222)

91,001

(3.7)

Gildan

Activewear

,

Inc.

(134,049)

(2,076,496)

25,818

(1.0)

Inter

Pipeline

Ltd.

(246,889)

(2,298,672)

(34,478)

1.4

Pan

American

Silver

Corp.

(70,859)

(2,151,972)

(268,628)

10.8

Pembina

Pipeline

Corp.

(123,428)

(3,085,700)

43,609

(1.8)

Restaurant

Brands

International,

Inc.

(77,370)

(4,211,012)

137,499

(5.6)

Shopify,

Inc.

(5,408)

(5,137,799)

(715,355)

28.9

Suncor

Energy,

Inc.

(151,738)

(2,558,399)

126,994

(5.1)

TC

Energy

Corp.

(26,022)

(1,111,724)

33,775

(1.4)

West

Fraser

Timber

Co.

Ltd.

(180,999)

(6,362,163)

(620,981)

25.1

Chile

Lundin

Mining

Corp.

(492,641)

(2,641,740)

(228,282)

9.2

Zambia

First

Quantum

Minerals

Ltd.

(342,217)

(2,727,451)

(430,902)

17.4

206

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-2.25%

to

0.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-58

months

maturity

ranging

from

01/21/2025

-

03/26/2025

$207,822,345

$(2,323,791)

$(28,554)

$(2,352,345)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

978,716

3,467,673

(132,844)

5.6

Switzerland

Coca-Cola

HBC

AG

76,049

1,903,742

(90,892)

3.9

United

Kingdom

Aggreko

plc

390,178

2,145,767

(175,552)

7.5

Auto

Trader

Group

plc

411,513

2,679,261

(125,399)

5.3

Aviva

plc

581,454

1,970,766

(34,323)

1.5

Babcock

International

Group

plc

675,194

2,587,707

(363,225)

15.4

Barratt

Developments

plc

300,018

1,843,952

(62,367)

2.7

Bellway

plc

123,819

3,899,833

(203,973)

8.7

Berkeley

Group

Holdings

plc

100,912

5,196,989

(299,127)

12.7

Britvic

plc

300,780

2,864,319

(156,885)

6.7

BT

Group

plc

3,160,928

4,470,344

(158,643)

6.7

Close

Brothers

Group

plc

163,556

2,239,176

16,132

(0.7)

Hays

plc

1,723,917

2,552,764

(88,104)

3.7

Howden

Joinery

Group

plc

314,785

2,155,072

(61,345)

2.6

M&G

plc

1,333,111

2,768,132

140,715

(6.0)

Micro

Focus

International

plc

480,076

2,561,229

(205,886)

8.8

Moneysupermarket.com

Group

plc

465,894

1,868,886

(17,990)

0.8

National

Grid

plc

206,398

2,518,137

85,531

(3.6)

Next

plc

49,971

3,025,492

(247,493)

10.5

Pennon

Group

plc

223,687

3,097,551

(91,224)

3.9

Persimmon

plc

63,919

1,809,007

(44,484)

1.9

RELX

plc

78,999

1,828,492

(29,627)

1.3

Royal

Mail

plc

2,602,922

5,866,508

114,992

(4.9)

Tate

&

Lyle

plc

316,527

2,616,642

(186,107)

7.9

Taylor

Wimpey

plc

1,609,776

2,841,269

(187,451)

8.0

United

Utilities

Group

plc

496,201

5,575,680

(206,787)

8.8

207

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Ashtead

Group

plc

(61,828)

(2,085,647)

(34,191)

1.5

B&M

European

Value

Retail

SA

(948,251)

(4,667,676)

(167,688)

7.1

Beazley

plc

(431,822)

(2,189,188)

72,675

(3.1)

Bunzl

plc

(72,837)

(1,953,714)

(69,316)

2.9

Burberry

Group

plc

(106,864)

(2,111,644)

5,446

(0.2)

Capita

plc

(3,499,871)

(1,914,523)

(84,964)

3.6

easyJet

plc

(872,471)

(7,365,675)

1,203,472

(51.2)

Hargreaves

Lansdown

plc

(228,137)

(4,600,636)

144,673

(6.2)

Hiscox

Ltd.

(490,996)

(4,792,481)

220,498

(9.4)

Melrose

Industries

plc

(2,143,989)

(3,022,045)

187,121

(8.0)

Mondi

plc

(223,925)

(4,188,511)

27,025

(1.1)

Ocado

Group

plc

(109,960)

(2,763,334)

(37,938)

1.6

Prudential

plc

(433,247)

(6,528,194)

(202,761)

8.6

Reckitt

Benckiser

Group

plc

(62,168)

(5,719,358)

(212,360)

9.0

Rentokil

Initial

plc

(668,895)

(4,229,536)

(78,535)

3.3

Rolls-Royce

Holdings

plc

(642,255)

(2,267,554)

376,260

(16.0)

RSA

Insurance

Group

plc

(884,862)

(4,481,327)

70,452

(3.0)

SSE

plc

(208,293)

(3,527,050)

48,156

(2.0)

St

James's

Place

plc

(206,816)

(2,431,838)

(34,609)

1.5

Standard

Chartered

plc

(501,153)

(2,716,648)

(76,987)

3.3

Standard

Life

Aberdeen

plc

(1,516,196)

(5,024,217)

(296,199)

12.6

Tesco

plc

(1,242,664)

(3,495,196)

442

(0.0)

Vodafone

Group

plc

(4,250,684)

(6,757,569)

41,999

(1.8)

Weir

Group

plc

(The)

(206,533)

(2,714,105)

(33,768)

1.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.40%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-60

months

maturity

ranging

from

02/25/2025

-

04/17/2025

$18,554,767

$92,623

$39,630

$132,253

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

626,900

1,854,226

100,229

75.8

Yangzijiang

Shipbuilding

Holdings

Ltd.

6,945,900

4,675,937

(233,135)

(176.3)

Singapore

ComfortDelGro

Corp.

Ltd.

1,025,100

1,077,287

(136,370)

(103.1)

Genting

Singapore

Ltd.

827,600

455,323

(1,965)

(1.5)

Venture

Corp.

Ltd.

276,400

3,230,205

110,366

83.5

208

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(272,900)

(1,667,713)

24,121

18.2

Jardine

Cycle

&

Carriage

Ltd.

(21,500)

(313,761)

15,464

11.7

Singapore

Technologies

Engineering

Ltd.

(92,500)

(220,774)

8,207

6.2

Singapore

Telecommunications

Ltd.

(2,844,200)

(5,059,541)

205,706

155.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

15-40

months

maturity

05/18/2021

$73,777,353

$(1,508,320)

$(10,009)

$(1,518,329)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

144,920

2,160,548

(321,668)

21.2

Switzerland

Adecco

Group

AG

(Registered)

41,708

1,965,931

(23,381)

1.5

Flughafen

Zurich

AG

(Registered)

5,725

747,727

(26,859)

1.8

Geberit

AG

(Registered)

1,068

535,854

1,071

(0.1)

Georg

Fischer

AG

(Registered)

686

591,401

24,821

(1.6)

Helvetia

Holding

AG

(Registered)

18,733

1,754,718

(85,844)

5.7

Nestle

SA

(Registered)

39,716

4,403,338

(120,467)

7.9

Novartis

AG

(Registered)

55,719

4,854,299

(150,763)

9.9

Roche

Holding

AG

29,190

10,112,862

(348,522)

23.0

Sonova

Holding

AG

(Registered)

11,653

2,332,643

(183,569)

12.1

Swiss

Life

Holding

AG

(Registered)

6,480

2,410,682

(37,555)

2.5

Swisscom

AG

(Registered)

6,113

3,205,664

20,510

(1.4)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(298,777)

(6,777,140)

(327,617)

21.6

dormakaba

Holding

AG

(540)

(294,898)

22,837

(1.5)

Dufry

AG

(Registered)

(43,366)

(1,298,965)

268,111

(17.7)

EMS-

Chemie

Holding

AG

(Registered)

(1,211)

(940,830)

(37,699)

2.5

Idorsia

Ltd.

(163,850)

(5,266,372)

(82,445)

5.4

Julius

Baer

Group

Ltd.

(94,639)

(3,974,611)

104,647

(6.9)

Kuehne

+

Nagel

International

AG

(Registered)

(1,699)

(283,000)

(21,195)

1.4

LafargeHolcim

Ltd.

(Registered)

(6,449)

(284,117)

1,081

(0.1)

209

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Lonza

Group

AG

(Registered)

(5,598)

(2,965,248)

(40,661)

2.7

OC

Oerlikon

Corp.

AG

(Registered)

(251,523)

(2,063,296)

(7,100)

0.5

Partners

Group

Holding

AG

(2,775)

(2,527,172)

(98,825)

6.5

Sika

AG

(Registered)

(17,371)

(3,348,650)

8,057

(0.5)

Swiss

Re

AG

(23,525)

(1,824,000)

26,667

(1.8)

Temenos

AG

(Registered)

(26,534)

(4,124,019)

(141,584)

9.3

Vifor

Pharma

AG

(18,041)

(2,729,368)

69,632

(4.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

18-37

months

maturity

02/17/2021

$53,729,754

$(489,985)

$(6,857)

$(496,842)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

54,529

7,230,990

(139,594)

28.1

Coloplast

A/S

6,942

1,082,036

(26,084)

5.2

Demant

A/S

7,671

203,290

(17,521)

3.5

GN

Store

Nord

A/S

59,410

3,180,242

(93,804)

18.9

H

Lundbeck

A/S

61,999

2,342,596

(73,589)

14.8

ISS

A/S

20,849

331,051

(63,626)

12.8

Jyske

Bank

A/S

(Registered)

7,258

213,571

(15,292)

3.1

Novo

Nordisk

A/S

63,759

4,153,754

(123,448)

24.8

Pandora

A/S

136,698

7,465,692

(176,104)

35.4

ROCKWOOL

International

A/S

16,004

4,355,557

(4,285)

0.9

Vestas

Wind

Systems

A/S

5,536

566,902

(1,052)

0.2

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(11,000)

(12,892,082)

706,958

(142.3)

Chr

Hansen

Holding

A/S

(15,178)

(1,565,542)

(34,129)

6.9

DSV

Panalpina

A/S

(23,861)

(2,930,965)

(167,393)

33.7

FLSmidth

&

Co.

A/S

(28,276)

(822,462)

(12,121)

2.4

Genmab

A/S

(10,803)

(3,642,698)

(235,834)

47.5

Novozymes

A/S

(12,942)

(750,324)

(13,067)

2.6

210

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-5.25%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-37

months

maturity

11/11/2020

$478,560,788

$361,580

$829,846

$1,191,426

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

169,924

6,022,064

(276,838)

(23.2)

Finland

Kesko

OYJ

201,444

3,448,189

60,960

5.1

Neste

OYJ

104,495

4,104,155

22,036

1.8

France

BNP

Paribas

SA

144,746

5,783,184

(62,823)

(5.3)

Cie

de

Saint-Gobain

144,604

5,217,453

65,862

5.5

Electricite

de

France

SA

681,509

6,336,042

21,538

1.8

Engie

SA

675,999

8,383,697

(160,384)

(13.5)

Orange

SA

583,691

6,979,760

18,570

1.6

Peugeot

SA

700,865

11,493,582

755,144

63.4

Sanofi

45,039

4,593,289

(149,040)

(12.5)

Suez

SA

432,674

5,085,480

(145,035)

(12.2)

Germany

Deutsche

Telekom

AG

(Registered)

496,746

8,335,021

(201,196)

(16.9)

Hannover

Rueck

SE

51,905

8,970,439

(143,159)

(12.0)

HeidelbergCement

AG

93,102

4,983,915

(206,751)

(17.4)

Software

AG

85,141

3,438,868

94,784

8.0

Netherlands

ASM

International

NV

35,969

5,537,308

605,338

50.8

ASR

Nederland

NV

167,320

5,147,997

58,683

4.9

Koninklijke

Ahold

Delhaize

NV

410,143

11,178,066

212,664

17.8

NN

Group

NV

140,741

4,729,992

(64,592)

(5.4)

Randstad

NV

102,547

4,585,392

52,763

4.4

Signify

NV

204,143

5,248,514

231,348

19.4

Spain

Enagas

SA

168,928

4,132,579

53,594

4.5

Endesa

SA

494,653

12,270,485

16,492

1.4

Iberdrola

SA

462,796

5,402,998

195,365

16.4

Red

Electrica

Corp.

SA

265,944

4,975,692

(167,761)

(14.1)

United

Kingdom

Dialog

Semiconductor

plc

164,535

7,520,675

482,233

40.5

211

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(76,729)

(3,782,467)

194,607

16.3

Telenet

Group

Holding

NV

(91,476)

(3,769,103)

60,616

5.1

Umicore

SA

(105,622)

(4,985,792)

183,191

15.4

Finland

Nokia

OYJ

(833,368)

(3,641,708)

35,746

3.0

France

Accor

SA

(213,418)

(5,824,525)

346,439

29.1

Edenred

(231,030)

(10,132,552)

163,356

13.7

Iliad

SA

(37,506)

(7,321,550)

(425,970)

(35.8)

Orpea

(37,258)

(4,303,425)

93,183

7.8

Remy

Cointreau

SA

(50,135)

(6,839,717)

(197,410)

(16.6)

Ubisoft

Entertainment

SA

(44,306)

(3,669,002)

(254,312)

(21.3)

Worldline

SA

(53,048)

(4,625,228)

(330,955)

(27.8)

Germany

Delivery

Hero

SE

(50,670)

(5,207,219)

(89,673)

(7.5)

Deutsche

Bank

AG

(Registered)

(1,101,549)

(10,508,887)

(69,524)

(5.8)

E.ON

SE

(711,148)

(8,027,210)

(110,073)

(9.2)

OSRAM

Licht

AG

(87,883)

(4,027,870)

544

0.0

RWE

AG

(358,310)

(12,543,388)

(153,172)

(12.9)

United

Internet

AG

(Registered)

(126,709)

(5,383,493)

(243,629)

(20.4)

Luxembourg

ArcelorMittal

SA

(535,602)

(5,673,026)

320,319

26.9

Netherlands

Adyen

NV

(5,511)

(8,029,515)

(104,449)

(8.8)

Koninklijke

KPN

NV

(1,638,597)

(4,358,531)

(131,312)

(11.0)

SBM

Offshore

NV

(299,520)

(4,413,585)

132,361

11.1

Spain

Amadeus

IT

Group

SA

(67,328)

(3,534,866)

317,076

26.6

Cellnex

Telecom

SA

(324,923)

(19,845,570)

(832,843)

(69.9)

Ferrovial

SA

(411,701)

(11,004,765)

646,788

54.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-37

months

maturity

02/17/2021

$18,437,841

$335,108

$1,317

$336,425

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

212

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

DNB

ASA

97,027

1,295,068

(32,785)

(9.7)

Gjensidige

Forsikring

ASA

22,623

417,987

(8,288)

(2.5)

Mowi

ASA

285,021

5,432,975

(43,960)

(13.1)

Salmar

ASA

39,596

1,896,863

63,691

18.9

Short

Positions

Common

Stocks

Norway

Equinor

ASA

(118,372)

(1,705,228)

56,397

16.8

Norsk

Hydro

ASA

(1,139,125)

(3,178,028)

21,372

6.4

Schibsted

ASA

(72,471)

(1,897,887)

108,886

32.4

Telenor

ASA

(88,699)

(1,295,083)

63,886

19.0

Yara

International

ASA

(5,811)

(202,585)

10,158

3.0

United

Kingdom

Subsea

7

SA

(175,028)

(1,116,137)

95,751

28.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.50%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-37

months

maturity

02/17/2021

$54,625,738

$579,244

$14,759

$594,003

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

90,991

1,989,250

1,392

0.2

Essity

AB

130,381

4,227,135

24,417

4.1

Getinge

AB

148,579

2,768,677

(122,341)

(20.6)

Hennes

&

Mauritz

AB

181,550

2,649,958

(200,907)

(33.8)

ICA

Gruppen

AB

36,106

1,716,283

34,450

5.8

Sandvik

AB

25,017

470,964

46,514

7.8

Securitas

AB

204,660

2,767,458

62,765

10.6

Skanska

AB

45,782

934,652

15,574

2.6

SKF

AB

115,190

2,153,307

26,210

4.4

SSAB

AB

145,350

402,535

(6,759)

(1.1)

Swedish

Orphan

Biovitrum

AB

195,861

4,541,362

129,027

21.7

Telia

Co.

AB

203,827

762,558

28,548

4.8

Trelleborg

AB

30,959

454,223

15,933

2.7

Volvo

AB

217,837

3,427,642

(21,358)

(3.6)

213

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(84,373)

(2,221,149)

11,063

1.9

Finland

Nordea

Bank

Abp

(128,560)

(891,603)

37,898

6.4

Sweden

Atlas

Copco

AB

(7,497)

(319,263)

934

0.2

BillerudKorsnas

AB

(159,901)

(2,295,040)

69,111

11.6

Elekta

AB

(47,560)

(443,039)

9,991

1.7

Hexpol

AB

(171,368)

(1,278,731)

62,397

10.5

Nibe

Industrier

AB

(45,998)

(1,020,228)

7,244

1.2

Saab

AB

(44,183)

(1,110,510)

13,082

2.2

Svenska

Cellulosa

AB

SCA

(797,966)

(9,544,611)

390,238

65.7

Svenska

Handelsbanken

AB

(61,776)

(586,583)

23,160

3.9

Swedish

Match

AB

(60,991)

(4,303,260)

(83,527)

(14.1)

Telefonaktiebolaget

LM

Ericsson

(145,176)

(1,345,717)

4,188

0.7

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(2,043)

$

–

$

(2,043)

Investment

Companies

11,510,000

–

11,510,000

BARC

Cash

–

76,441,391

76,441,391

U.S.

Treasury

Bills

–

10,197,395

10,197,395

CITG

Cash

–

17,829,029

17,829,029

CITI

Investment

Companies

39,223,759

–

39,223,759

GSCO

Cash

–

3,791,421

3,791,421

U.S.

Treasury

Bills

–

23,413,050

23,413,050

GSIN

Cash

118,713,390

–

118,713,390

JPMC

Investment

Companies

34,992,032

–

34,992,032

JPMS

Cash

–

9,801,706

9,801,706

MLIN

Cash

270,000

–

270,000

MSCL

Cash

–

4,393,321

4,393,321

MSIP

Cash

(320,014)

–

(320,014)

U.S.

Treasury

Bills

40,678,216

–

40,678,216

214

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(281,368)

$

–

$

(281,368)

Investment

Companies

635,753

–

635,753

GSCO

Cash

–

783,462

783,462

GSIN

Cash

1,239,534

–

1,239,534

JPPC

Cash

–

1,528

1,528

MSCL

Cash

–

6,120,231

6,120,231

215

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

98.5%

COMMON

STOCKS

-

2.7%

Italy

-

2.7%

A2A

SpA

(a)

227,657

323,600

Assicurazioni

Generali

SpA

(a)

17,453

265,116

BPER

Banca

*(a)

20,182

50,453

Enel

SpA

(a)

32,239

278,817

Hera

SpA

*(a)

51,185

192,187

Intesa

Sanpaolo

SpA

*(a)

64,549

124,043

Italgas

SpA

(a)

30,560

177,848

Leonardo

SpA

(a)

13,305

88,696

Poste

Italiane

SpA

(a)(b)

51,541

450,224

Telecom

Italia

SpA

(a)

278,104

109,666

Terna

Rete

Elettrica

Nazionale

SpA

(a)

33,799

233,130

Unipol

Gruppo

SpA

*(a)

61,354

239,679

TOTAL

COMMON

STOCKS

(Cost

$2,486,598)

2,533,459

SHORT-TERM

INVESTMENTS

-

95.8%

INVESTMENT

COMPANIES

-

58.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(c)(d)

5,177,849

5,177,849

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(c)(e)

48,832,812

48,842,579

TOTAL

INVESTMENT

COMPANIES

(Cost

$54,002,709)

54,020,428

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

37.4%

U.S.

Treasury

Bills

1.57%,

7/2/2020

(f)

$

7,974,000

7,973,980

1.53%,

7/9/2020

(f)

2,589,000

2,588,934

1.54%,

7/16/2020

(f)

803,000

802,957

1.53%,

8/6/2020

(f)

1,260,000

1,259,849

1.52%,

8/13/2020

(f)

1,655,000

1,654,733

1.45%,

8/27/2020

(f)

6,274,000

6,272,609

1.02%,

9/3/2020

(f)(g)

11,192,000

11,189,164

0.16%,

11/27/2020

(f)

343,000

342,766

0.17%,

12/3/2020

(f)

971,000

970,352

0.19%,

12/10/2020

(f)

1,153,000

1,152,170

0.17%,

12/31/2020

(f)

353,000

352,686

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$34,523,775)

34,560,200

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$88,526,484)

88,580,628

TOTAL

LONG

POSITIONS

(Cost

$91,013,082)

91,114,087

SHARES

SHORT

POSITIONS

-

(2.2)%

COMMON

STOCKS

-

(2.2)%

Italy

-

(1.8)%

Amplifon

SpA

*

(868)

(23,189)

Atlantia

SpA

*

(14,263)

(230,709)

Banca

Generali

SpA

(1,545)

(46,456)

Davide

Campari-Milano

SpA

(44,537)

(376,647)

INVESTMENTS

SHARES

VALUE

($)

Italy

-

(1.8)%

(continued)

Ferrari

NV

(1,386)

(237,415)

FinecoBank

Banca

Fineco

SpA

*

(14,428)

(195,270)

Freni

Brembo

SpA

*

(18,780)

(174,426)

Moncler

SpA

*

(1,753)

(67,409)

Pirelli

&

C

SpA

*(b)

(30,314)

(128,966)

Prysmian

SpA

(5,208)

(120,817)

(1,601,304)

—

United

Kingdom

-

(0.4)%

CNH

Industrial

NV

*

(57,904)

(406,811)

TOTAL

COMMON

STOCKS

(Proceeds$(2,362,090))

(2,008,115)

TOTAL

SHORT

POSITIONS

(Proceeds

$(2,362,090))

(2,008,115)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.3%

(Cost

$88,650,992)

89,105,972

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.7%

(h)

3,382,486

NET

ASSETS

-

100.0%

92,488,458

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

109,666

0.1

%

Consumer

Discretionary

(608,217)

(0.7)

Consumer

Staples

(376,647)

(0.4)

Financials

887,788

0.9

Health

Care

(23,189)

0.0(

i

)

Industrials

(669,641)

(0.7)

Utilities

1,205,584

1.3

Short-Term

Investments

88,580,628

95.8

Total

Investments

In

Securities

At

Value

89,105,972

96.3

Other

Assets

in

Excess

of

Liabilities

(h)

3,382,486

3.7

Net

Assets

$

92,488,458

100.0%

216

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$2,209,208.

(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

June

30,

2020

amounted

to

$321,258,

which

represents

approximately

0.35%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

(i)

Represents

less

than

0.05%

of

net

assets.

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

52.8%

INVESTMENT

COMPANIES

-

52.8%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)^(a)

(Cost

$48,824,860)

$159,933,629

$145,359,986

$(256,574,232)

$127,278

$(4,082)

$48,842,579

48,832,812

$539,818

$–

^    No

longer

affiliated

as

of

June

30,

2020.

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

June

30,

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

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

21,400,000

$

197,841

$

8,961

$

206,802

Pay

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

14,100,000

49,939

5,038

54,977

Pay

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

6,800,000

67,326

7,119

74,445

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

47,300,000

362,745

42,165

404,910

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

84,700,000

210,974

(36,241)

174,733

888,825

27,042

915,867

Pay

3

Month

BBR

Quarterly

0.00%

Quarterly

12/08/2022

AUD

25,800,000

(77,714)

914

(76,800)

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

16,800,000

(244,697)

45,231

(199,466)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

638,500,000

(30,415)

(12,461)

(42,876)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

4,400,000

(130,030)

(7,230)

(137,260)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

1,400,000

(37,314)

(7,450)

(44,764)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

8,200,000

(29,671)

(7,484)

(37,155)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

3,162,400,000

(16,257)

(2,828)

(19,085)

217

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

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

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

9,400,000

$

(395,282)

$

(38,367)

$

(433,649)

(961,380)

(29,675)

(991,055)

$

(72,555)

$

(2,633)

$

(75,188)

(a)

Floating

rate

indices

at

June

30,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.10%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.56%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.30%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.16%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.31)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.37%

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

BIST

30

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/31/2020

TRY

1,237,860

$

182

SGX

NIFTY

50

Index

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

USD

(164,400)

1,136

TAIEX

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/15/2020

TWD

2,294,000

989

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.19%)

Monthly

CITI

09/16/2020

AUD

(95,761)

966

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.75%)

Monthly

CITI

09/16/2020

EUR

(661,997)

36,111

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(162,758)

260

218

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(530,607)

$

12,254

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

141,193

6,611

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

191,242

2,348

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

418,961

283

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

549,438

8,098

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

92,395

355

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.28%)

Monthly

CITI

09/16/2020

SEK

(1,917,973)

7,941

219

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

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

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.25%)

Monthly

CITI

09/16/2020

GBP

(354,493)

$

20,761

98,295

Corn

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

08/21/2020

USD

(563,475)

(12,066)

DTOP

Index

September

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

09/17/2020

ZAR

(929,610)

(1,683)

Hang

Seng

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

19,397,600

(32,365)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

4,341,600

(9,336)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

9,648,000

(20,352)

iBovespa

Index

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

08/12/2020

BRL

(4,767,100)

(22,154)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/10/2020

KRW

70,200,000

(2,009)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

CHF

1,601,280

(700)

Tel

Aviv

Index

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

07/28/2020

ILS

402,720

(4,802)

WIG20

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

PLN

105,240

(588)

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(150,736)

(4,551)

MSCI

Italy

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.10%)

Monthly

CITI

09/16/2020

EUR

(166,423)

(1,780)

220

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

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

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.25%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

180,035

$

(212)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.00%)

Monthly

CITI

09/16/2020

ZAR

(13,740,546)

(3,420)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

09/18/2020

EUR

2,244,662

(174,504)

(290,522)

$

(192,227)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

20

7/2020

EUR

$

2,514,618

$

(3,888)

Brent

Crude

Oil

10

7/2020

USD

412,700

13,214

FTSE

Bursa

Malaysia

KLCI

Index

11

7/2020

MYR

191,890

876

Hang

Seng

Index

21

7/2020

HKD

3,284,865

(43,064)

HSCEI

7

7/2020

HKD

435,688

(6,758)

IBEX

35

Index

36

7/2020

EUR

2,916,076

(57,206)

LME

Copper

Base

Metal

1

7/2020

USD

150,181

22,041

LME

Copper

Base

Metal

1

7/2020

USD

150,206

22,998

LME

Copper

Base

Metal

2

7/2020

USD

300,406

42,800

LME

Copper

Base

Metal

2

7/2020

USD

300,225

57,429

MSCI

Taiwan

Index

45

7/2020

USD

1,947,150

(3,206)

WTI

Crude

Oil

4

7/2020

USD

157,080

2,279

LME

Copper

Base

Metal

1

8/2020

USD

150,319

18,372

LME

Copper

Base

Metal

1

8/2020

USD

150,319

21,817

3

Month

Canadian

Bankers

Acceptance

12

9/2020

CAD

2,197,849

(103)

3

Month

Euro

Euribor

15

9/2020

EUR

4,232,295

2,158

3

Month

Eurodollar

9

9/2020

USD

2,244,038

2,031

Australia

10

Year

Bond

29

9/2020

AUD

2,977,687

19,973

Canada

10

Year

Bond

51

9/2020

CAD

5,778,447

33,101

EURO

STOXX

50

Index

27

9/2020

EUR

977,681

4,867

Japan

10

Year

Bond

25

9/2020

JPY

35,181,755

(8,153)

221

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

KOSPI

200

Index

3

9/2020

KRW

$

175,084

$

(5,833)

LME

Copper

Base

Metal

1

9/2020

USD

150,371

3,050

LME

Copper

Base

Metal

1

9/2020

USD

150,425

9,628

LME

Copper

Base

Metal

1

9/2020

USD

150,374

2,861

LME

Copper

Base

Metal

2

9/2020

USD

300,738

5,968

LME

Copper

Base

Metal

11

9/2020

USD

1,655,225

105,854

Long

Gilt

20

9/2020

GBP

3,410,995

12,744

MEX

BOLSA

Index

5

9/2020

MXN

82,965

(90)

S&P/TSX

60

Index

2

9/2020

CAD

273,571

3,981

Silver

8

9/2020

USD

745,480

23,494

TOPIX

Index

43

9/2020

JPY

6,206,576

(245,492)

U.S.

Treasury

10

Year

Note

21

9/2020

USD

2,922,609

15,473

Soybean

57

11/2020

USD

2,514,413

12,995

3

Month

Canadian

Bankers

Acceptance

62

12/2020

CAD

11,354,983

(198)

3

Month

Euro

Euribor

71

12/2020

EUR

20,033,859

5,983

3

Month

Eurodollar

40

12/2020

USD

9,971,000

2,623

3

Month

Canadian

Bankers

Acceptance

63

3/2021

CAD

11,539,868

1,102

3

Month

Euro

Euribor

73

3/2021

EUR

20,602,294

7,412

3

Month

Eurodollar

39

3/2021

USD

9,730,500

5,803

3

Month

Canadian

Bankers

Acceptance

51

6/2021

CAD

9,340,389

998

3

Month

Euro

Euribor

58

6/2021

EUR

16,371,389

5,685

3

Month

Eurodollar

30

6/2021

USD

7,486,500

2,380

117,999

Short

Contracts

CAC

40

10

Euro

Index

(70)

7/2020

EUR

(3,864,222)

2,288

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,206)

(22,780)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,181)

(21,912)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,406)

(42,499)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,225)

(57,310)

MSCI

Singapore

Index

(25)

7/2020

SGD

(530,730)

9,187

Natural

Gas

(61)

7/2020

USD

(1,068,110)

29,120

OMXS30

Index

(64)

7/2020

SEK

(1,144,427)

(21,370)

SGX

NIFTY

50

Index

(39)

7/2020

USD

(801,450)

8,199

100

oz

Gold

(13)

8/2020

USD

(2,340,650)

(69,863)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,319)

(18,072)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,319)

(21,646)

3

Month

Sterling

(43)

9/2020

GBP

(6,651,171)

(12,111)

ASX

90

Day

Bank

Accepted

Bill

(11)

9/2020

AUD

(7,588,667)

(450)

Corn

(6)

9/2020

USD

(102,450)

(2,801)

DAX

Index

(7)

9/2020

EUR

(2,423,347)

(13,204)

Euro-Bund

(142)

9/2020

EUR

(28,161,471)

(192,333)

FTSE

100

Index

(18)

9/2020

GBP

(1,371,126)

7,593

FTSE/JSE

Top

40

Index

(22)

9/2020

ZAR

(637,616)

(20,285)

FTSE/MIB

Index

(30)

9/2020

EUR

(3,250,679)

23,617

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,371)

(3,549)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,425)

(10,078)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,374)

(2,876)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,738)

(6,251)

S&P

500

E-Mini

Index

(30)

9/2020

USD

(4,635,300)

(99,807)

SET50

Index

(7)

9/2020

THB

(39,707)

502

SPI

200

Index

(6)

9/2020

AUD

(609,910)

(5,504)

3

Month

Sterling

(231)

12/2020

GBP

(35,728,922)

(38,583)

ASX

90

Day

Bank

Accepted

Bill

(57)

12/2020

AUD

(39,320,189)

(2,210)

3

Month

Sterling

(228)

3/2021

GBP

(35,284,333)

(40,737)

ASX

90

Day

Bank

Accepted

Bill

(56)

3/2021

AUD

(38,629,409)

(1,850)

3

Month

Sterling

(185)

6/2021

GBP

(28,634,130)

(23,126)

222

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

ASX

90

Day

Bank

Accepted

Bill

(47)

6/2021

AUD

$

(32,419,512)

$

(1,282)

(671,983)

$

(553,984)

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,479,500

USD

1,008,294

CITI

9/16/2020

$

12,977

AUD

1,479,498

USD

1,008,294

JPMC

9/16/2020

12,974

CAD

18,748

USD

13,652

CITI

9/16/2020

159

CAD

18,750

USD

13,654

JPMC

9/16/2020

159

CHF

228,000

USD

239,732

CITI

9/16/2020

1,470

CHF

228,000

USD

239,732

JPMC

9/16/2020

1,470

CNY

387,500

USD

53,902

CITI

**

9/16/2020

669

CNY

387,500

USD

53,902

JPMC

**

9/16/2020

669

DKK

326,000

USD

48,196

CITI

9/16/2020

1,040

DKK

326,000

USD

48,196

JPMC

9/16/2020

1,040

EUR

364,000

USD

406,703

CITI

9/16/2020

2,954

EUR

364,000

USD

406,704

JPMC

9/16/2020

2,953

GBP

42,500

USD

52,246

CITI

9/16/2020

439

GBP

42,500

USD

52,246

JPMC

9/16/2020

439

INR

33,075,000

USD

432,633

CITI

**

9/16/2020

1,563

INR

33,075,000

USD

432,633

JPMC

**

9/16/2020

1,563

JPY

156,262,000

USD

1,439,681

CITI

9/16/2020

9,035

JPY

156,262,000

USD

1,439,683

JPMC

9/16/2020

9,033

PLN

20,000

USD

4,973

CITI

9/16/2020

84

PLN

20,000

USD

4,973

JPMC

9/16/2020

84

SEK

10,553,500

USD

1,103,189

CITI

9/16/2020

30,457

SEK

10,553,500

USD

1,103,190

JPMC

9/16/2020

30,456

SGD

169,750

USD

119,590

CITI

9/16/2020

2,244

SGD

169,750

USD

119,590

JPMC

9/16/2020

2,244

TWD

5,200,000

USD

175,339

CITI

**

9/16/2020

3,392

TWD

5,200,000

USD

175,340

JPMC

**

9/16/2020

3,392

USD

463,204

AUD

666,000

CITI

9/16/2020

3,477

USD

463,203

AUD

666,000

JPMC

9/16/2020

3,476

USD

720,223

BRL

3,748,750

CITI

**

9/16/2020

33,158

USD

720,222

BRL

3,748,750

JPMC

**

9/16/2020

33,157

USD

125,263

CAD

169,000

CITI

9/16/2020

759

USD

125,262

CAD

169,000

JPMC

9/16/2020

759

USD

8,612

CNY

61,000

CITI

**

9/16/2020

22

USD

8,612

CNY

61,000

JPMC

**

9/16/2020

22

USD

2,144,863

EUR

1,894,751

CITI

9/16/2020

12,452

USD

2,144,861

EUR

1,894,752

JPMC

9/16/2020

12,450

USD

155,147

GBP

123,500

CITI

9/16/2020

2,049

USD

155,147

GBP

123,500

JPMC

9/16/2020

2,049

USD

215,204

HUF

67,250,000

CITI

9/16/2020

1,931

USD

215,204

HUF

67,250,000

JPMC

9/16/2020

1,930

USD

116,145

ILS

400,000

CITI

9/16/2020

429

USD

116,145

ILS

400,000

JPMC

9/16/2020

429

USD

75,106

KRW

90,000,000

CITI

**

9/16/2020

42

USD

75,106

KRW

90,000,000

JPMC

**

9/16/2020

42

223

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

1,326,280

NOK

12,441,500

CITI

9/16/2020

$

33,317

USD

1,326,279

NOK

12,441,500

JPMC

9/16/2020

33,315

USD

370,271

NZD

572,500

CITI

9/16/2020

863

USD

370,270

NZD

572,500

JPMC

9/16/2020

862

USD

131,584

PLN

517,504

CITI

9/16/2020

747

USD

131,582

PLN

517,498

JPMC

9/16/2020

747

USD

25,313

SGD

35,250

CITI

9/16/2020

14

USD

25,313

SGD

35,250

JPMC

9/16/2020

13

USD

8,718

ZAR

150,000

CITI

9/16/2020

143

USD

8,718

ZAR

150,000

JPMC

9/16/2020

143

ZAR

4,775,000

USD

271,710

CITI

9/16/2020

1,272

ZAR

4,775,000

USD

271,710

JPMC

9/16/2020

1,271

MXN

400,000

USD

17,138

CITI

9/17/2020

85

MXN

400,000

USD

17,138

JPMC

9/17/2020

85

USD

10,770

MXN

250,000

CITI

9/17/2020

5

USD

10,770

MXN

250,000

JPMC

9/17/2020

5

Total

unrealized

appreciation

314,479

AUD

1,562,000

USD

1,084,908

CITI

9/16/2020

(6,690)

AUD

1,562,002

USD

1,084,911

JPMC

9/16/2020

(6,691)

CAD

145,752

USD

108,362

CITI

9/16/2020

(984)

CAD

145,750

USD

108,360

JPMC

9/16/2020

(984)

CNY

617,500

USD

87,102

CITI

**

9/16/2020

(139)

CNY

617,500

USD

87,102

JPMC

**

9/16/2020

(139)

EUR

867,000

USD

985,976

CITI

9/16/2020

(10,227)

EUR

867,000

USD

985,977

JPMC

9/16/2020

(10,228)

GBP

781,000

USD

987,827

CITI

9/16/2020

(19,654)

GBP

781,000

USD

987,864

JPMC

9/16/2020

(19,689)

INR

15,575,000

USD

204,796

CITI

**

9/16/2020

(332)

INR

15,575,000

USD

204,796

JPMC

**

9/16/2020

(332)

JPY

466,577,000

USD

4,349,387

CITI

9/16/2020

(23,716)

JPY

466,577,000

USD

4,349,392

JPMC

9/16/2020

(23,722)

NOK

285,500

USD

29,933

CITI

9/16/2020

(263)

NOK

285,500

USD

29,933

JPMC

9/16/2020

(263)

PLN

20,000

USD

5,085

CITI

9/16/2020

(28)

PLN

20,000

USD

5,085

JPMC

9/16/2020

(28)

SEK

4,509,500

USD

491,466

CITI

9/16/2020

(7,059)

SEK

4,509,500

USD

491,466

JPMC

9/16/2020

(7,061)

SGD

169,750

USD

121,921

CITI

9/16/2020

(87)

SGD

169,750

USD

121,921

JPMC

9/16/2020

(87)

USD

114,515

BRL

626,250

CITI

**

9/16/2020

(264)

USD

114,515

BRL

626,250

JPMC

**

9/16/2020

(264)

USD

135,946

CAD

186,000

CITI

9/16/2020

(1,082)

USD

135,946

CAD

186,000

JPMC

9/16/2020

(1,082)

USD

213,265

CHF

205,000

CITI

9/16/2020

(3,606)

USD

213,264

CHF

205,000

JPMC

9/16/2020

(3,606)

USD

1,264,313

CNY

9,067,996

CITI

**

9/16/2020

(12,741)

USD

1,264,312

CNY

9,068,004

JPMC

**

9/16/2020

(12,743)

USD

1,446,298

EUR

1,290,749

CITI

9/16/2020

(6,350)

USD

1,446,295

EUR

1,290,748

JPMC

9/16/2020

(6,353)

USD

189,689

HUF

60,250,000

CITI

9/16/2020

(1,383)

USD

189,689

HUF

60,250,000

JPMC

9/16/2020

(1,383)

USD

311,501

ILS

1,090,000

CITI

9/16/2020

(3,824)

USD

311,500

ILS

1,090,000

JPMC

9/16/2020

(3,824)

USD

2,337,092

JPY

253,682,500

CITI

9/16/2020

(14,817)

USD

2,337,089

JPY

253,682,500

JPMC

9/16/2020

(14,820)

USD

463,212

KRW

565,125,000

CITI

**

9/16/2020

(8,126)

USD

463,211

KRW

565,125,000

JPMC

**

9/16/2020

(8,127)

USD

414,358

NOK

4,088,500

CITI

9/16/2020

(10,532)

224

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

414,358

NOK

4,088,500

JPMC

9/16/2020

$

(10,532)

USD

232,442

NZD

366,000

CITI

9/16/2020

(3,720)

USD

232,442

NZD

366,000

JPMC

9/16/2020

(3,720)

USD

131,721

PLN

527,502

CITI

9/16/2020

(1,643)

USD

131,720

PLN

527,496

JPMC

9/16/2020

(1,643)

USD

2,034

SEK

19,500

CITI

9/16/2020

(61)

USD

2,034

SEK

19,500

JPMC

9/16/2020

(61)

USD

24,834

SGD

35,250

CITI

9/16/2020

(466)

USD

24,834

SGD

35,250

JPMC

9/16/2020

(465)

USD

65,190

ZAR

1,150,000

CITI

9/16/2020

(555)

USD

65,190

ZAR

1,150,000

JPMC

9/16/2020

(555)

ZAR

5,075,000

USD

292,989

CITI

9/16/2020

(2,857)

ZAR

5,075,000

USD

292,989

JPMC

9/16/2020

(2,857)

MXN

23,505,000

USD

1,049,908

CITI

9/17/2020

(37,802)

MXN

23,505,000

USD

1,049,910

JPMC

9/17/2020

(37,804)

USD

32,031

MXN

750,000

CITI

9/17/2020

(263)

USD

32,031

MXN

750,000

JPMC

9/17/2020

(263)

Total

unrealized

depreciation

(358,597)

Net

unrealized

depreciation

$

(44,118)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

June

30,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-59

mo

nths

maturity

ranging

from

02/25/2025

-

04/22/2025

$769,704

$12,606

$21

$12,627

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.04%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-60

months

maturity

ranging

from

08/14/2020

-

05/14/2025

$5,563,146

$(233,336)

$(9,273)

$(242,609)

225

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

48,485

573,586

(30,018)

12.4

Ampol

Ltd.

558

11,370

437

(0.2)

Ansell

Ltd.

3,052

77,582

2,626

(1.1)

Aurizon

Holdings

Ltd.

29,422

100,119

2,772

(1.1)

Beach

Energy

Ltd.

214,804

229,480

(37,110)

15.3

BlueScope

Steel

Ltd.

30,323

249,796

(19,558)

8.1

Coca-Cola

Amatil

Ltd.

16,102

96,990

(6,869)

2.8

Crown

Resorts

Ltd.

3,792

25,545

(2,669)

1.1

Flight

Centre

Travel

Group

Ltd.

17,714

138,472

(75,515)

31.1

Fortescue

Metals

Group

Ltd.

65,028

632,181

(34,400)

14.2

Harvey

Norman

Holdings

Ltd.

81,437

200,195

1,137

(0.5)

JB

Hi-Fi

Ltd.

819

24,504

1,744

(0.7)

Lendlease

Group

11,715

101,256

(6,292)

2.6

Santos

Ltd.

13,755

51,121

(7,408)

3.1

Star

Entertainment

Grp

Ltd.

(The)

13,825

27,469

(5,705)

2.4

Tabcorp

Holdings

Ltd.

4,350

10,260

(596)

0.2

Telstra

Corp.

Ltd.

44,124

95,777

(2,842)

1.2

Treasury

Wine

Estates

Ltd.

6,847

49,818

(4,181)

1.7

Wesfarmers

Ltd.

663

20,614

1,521

(0.6)

Worley

Ltd.

5,436

33,262

(6,720)

2.8

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(7,811)

(337,339)

(64,541)

26.6

AMP

Ltd.

(17,451)

(22,580)

(807)

0.3

APA

Group

(37,954)

(293,472)

6,288

(2.6)

Atlas

Arteria

Ltd.

(18,035)

(83,286)

1,330

(0.5)

Challenger

Ltd.

(50,441)

(156,204)

38,923

(16.0)

CIMIC

Group

Ltd.

(593)

(9,965)

1,526

(0.6)

Insurance

Australia

Group

Ltd.

(10,304)

(41,354)

2,775

(1.1)

Medibank

Pvt

Ltd.

(117,920)

(244,478)

(8,609)

3.5

Newcrest

Mining

Ltd.

(3,109)

(68,939)

(8,040)

3.3

Northern

Star

Resources

Ltd.

(4,718)

(44,496)

(2,811)

1.2

Oil

Search

Ltd.

(10,783)

(23,897)

3,828

(1.6)

Origin

Energy

Ltd.

(18,395)

(74,854)

6,742

(2.8)

Qantas

Airways

Ltd.

(39,028)

(103,420)

29,105

(12.0)

QBE

Insurance

Group

Ltd.

(38,476)

(237,440)

16,416

(6.8)

Ramsay

Health

Care

Ltd.

(1,614)

(74,538)

(658)

0.3

SEEK

Ltd.

(27,351)

(418,440)

(33,275)

13.7

Suncorp

Group

Ltd.

(2,996)

(19,252)

1,981

(0.8)

Transurban

Group

(12,061)

(118,279)

5,607

(2.3)

WiseTech

Global

Ltd.

(4,512)

(61,038)

9,012

(3.7)

United

States

James

Hardie

Industries

plc

(19,746)

(380,478)

(8,482)

3.5

226

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.07%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-59

months

maturity

ranging

from

07/16/2020

-

04/28/2025

$13,823,611

$(265,455)

$14,271

$(251,184)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

BNP

Paribas

SA

9,294

371,333

(27,390)

10.9

Bouygues

SA

4,245

145,410

5,134

(2.0)

Cie

de

Saint-Gobain

9,603

346,486

1,241

(0.5)

CNP

Assurances

9,318

108,074

(17,715)

7.1

Electricite

de

France

SA

40,564

377,127

(14,880)

5.9

Engie

SA

36,115

447,896

(33,752)

13.4

Eutelsat

Communications

SA

19,321

178,726

(42,478)

16.9

Natixis

SA

55,138

145,429

(7,861)

3.1

Orange

SA

42,172

504,292

(18,823)

7.5

Peugeot

SA

35,942

589,418

(6,455)

2.6

Publicis

Groupe

SA

5,165

167,785

(15,478)

6.2

Sanofi

1,661

169,397

568

(0.2)

Societe

Generale

SA

10,773

180,121

(19,402)

7.7

Suez

SA

27,560

323,929

(13,517)

5.4

Veolia

Environnement

SA

5,755

129,955

(8,431)

3.4

Germany

Bayer

AG

(Registered)

3,343

247,795

(4,797)

1.9

Beiersdorf

AG

946

107,574

1,303

(0.5)

Brenntag

AG

2,075

110,017

(3,603)

1.4

Deutsche

Telekom

AG

(Registered)

17,475

293,217

(5,070)

2.0

Freenet

AG

7,749

124,440

(16,168)

6.4

Hannover

Rueck

SE

1,145

197,884

(8,838)

3.5

HeidelbergCement

AG

3,578

191,537

(8,024)

3.2

Henkel

AG

&

Co.

KGaA

(Preference)

3,033

282,960

(2,857)

1.1

HOCHTIEF

AG

1,638

145,748

(9,523)

3.8

Merck

KGaA

1,046

121,804

(2,970)

1.2

United

Kingdom

Dialog

Semiconductor

plc

9,879

451,556

30,729

(12.2)

227

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Accor

SA

(10,945)

(298,707)

46,365

(18.5)

BioMerieux

(921)

(126,485)

(8,634)

3.4

Bollore

SA

(37,240)

(117,506)

8,574

(3.4)

Edenred

(9,245)

(405,469)

27,635

(11.0)

Getlink

SE

(8,422)

(121,788)

9,425

(3.8)

Iliad

SA

(1,456)

(284,226)

(18,089)

7.2

Imerys

SA

(5,702)

(195,785)

(2,604)

1.0

Ingenico

Group

SA

(1,883)

(302,550)

(33,025)

13.1

JCDecaux

SA

(5,459)

(101,976)

24,390

(9.7)

Kering

SA

(442)

(241,650)

19,241

(7.7)

Legrand

SA

(1,406)

(106,831)

(4,840)

1.9

Orpea

(3,136)

(362,219)

7,024

(2.8)

Remy

Cointreau

SA

(2,748)

(374,899)

(17,595)

7.0

Sartorius

Stedim

Biotech

(370)

(93,809)

(5,835)

2.3

SEB

SA

(1,689)

(280,171)

(42,527)

16.9

Ubisoft

Entertainment

SA

(2,836)

(234,851)

(21,145)

8.4

Valeo

SA

(6,875)

(181,331)

3,014

(1.2)

Worldline

SA

(1,969)

(171,676)

(22,187)

8.8

Germany

Daimler

AG

(Registered)

(3,235)

(131,612)

10,095

(4.0)

Deutsche

Bank

AG

(Registered)

(51,115)

(487,642)

7,746

(3.1)

GEA

Group

AG

(3,955)

(125,525)

4,112

(1.6)

RWE

AG

(17,760)

(621,726)

(26,988)

10.7

United

Internet

AG

(Registered)

(7,281)

(309,348)

(15,335)

6.1

Zalando

SE

(2,834)

(201,046)

5,536

(2.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.25%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/13/2025

-

05/14/2025

$10,247,620

$(127,675)

$(2,996)

$(130,671)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

BHP

Group

plc

5,248

107,390

(4,000)

3.1

Russia

Evraz

plc

40,172

142,333

(8,894)

6.8

South

Africa

Investec

plc

56,454

113,280

(14,677)

11.2

228

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

Coca-Cola

HBC

AG

3,880

97,128

(5,562)

4.3

United

Kingdom

Aggreko

plc

22,096

121,516

(19,515)

14.9

Auto

Trader

Group

plc

21,900

142,586

(3,977)

3.0

Aviva

plc

32,011

108,497

(6,694)

5.1

Babcock

International

Group

plc

39,627

151,872

(55,499)

42.5

BAE

Systems

plc

20,932

125,162

(12,609)

9.6

Bellway

plc

7,771

244,757

(24,200)

18.5

British

American

Tobacco

plc

4,514

173,125

3,991

(3.1)

Britvic

plc

16,806

160,043

(3,621)

2.8

BT

Group

plc

133,322

188,551

(13,254)

10.1

GlaxoSmithKline

plc

5,928

119,744

(903)

0.7

Hays

plc

85,522

126,640

(11,434)

8.8

Howden

Joinery

Group

plc

19,780

135,417

(7,077)

5.4

M&G

plc

84,292

175,028

(2,941)

2.3

Micro

Focus

International

plc

27,458

146,490

(26,769)

20.5

Moneysupermarket.com

Group

plc

42,427

170,192

(7,590)

5.8

Next

plc

2,556

154,753

(14,777)

11.3

Pennon

Group

plc

7,579

104,952

186

(0.1)

RELX

plc

6,636

153,595

163

(0.1)

Rightmove

plc

13,530

91,457

(5,468)

4.2

Royal

Mail

plc

122,326

275,700

(623)

0.5

Tate

&

Lyle

plc

17,637

145,800

(1,065)

0.8

Taylor

Wimpey

plc

76,857

135,653

(16,021)

12.3

United

Utilities

Group

plc

19,359

217,532

54

(0.0)

Short

Positions

Common

Stocks

United

Kingdom

B&M

European

Value

Retail

SA

(41,221)

(202,906)

(10,816)

8.3

Beazley

plc

(23,839)

(120,855)

2,792

(2.1)

Burberry

Group

plc

(7,019)

(138,696)

6,116

(4.7)

Capita

plc

(189,458)

(103,639)

7,826

(6.0)

Croda

International

plc

(1,611)

(104,636)

(1,681)

1.3

easyJet

plc

(38,023)

(321,002)

82,642

(63.2)

Hargreaves

Lansdown

plc

(11,715)

(236,246)

1,892

(1.4)

Hiscox

Ltd.

(23,830)

(232,598)

12,033

(9.2)

Mondi

plc

(10,779)

(201,621)

(713)

0.5

Ocado

Group

plc

(9,161)

(230,219)

5,176

(4.0)

Prudential

plc

(24,989)

(376,536)

(913)

0.7

Reckitt

Benckiser

Group

plc

(4,071)

(374,526)

(28,137)

21.5

Rentokil

Initial

plc

(21,785)

(137,750)

(10,126)

7.7

Rolls-Royce

Holdings

plc

(38,020)

(134,234)

40,577

(31.1)

RSA

Insurance

Group

plc

(32,964)

(166,944)

2,541

(1.9)

Signature

Aviation

plc

(39,424)

(112,704)

7,726

(5.9)

SSE

plc

(5,492)

(92,997)

(8,500)

6.5

St

James's

Place

plc

(15,411)

(181,210)

3,634

(2.8)

Standard

Life

Aberdeen

plc

(68,091)

(225,633)

(529)

0.4

Tesco

plc

(90,734)

(255,204)

(4,103)

3.1

Virgin

Money

UK

plc

(88,615)

(100,699)

23,417

(17.9)

Vodafone

Group

plc

(170,470)

(271,006)

22,960

(17.6)

Weir

Group

plc

(The)

(14,795)

(194,425)

2,332

(1.8)

229

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.45%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-58

months

maturity

ranging

from

01/13/2025

-

03/06/2025

$3,525,022

$(37,806)

$(4,021)

$(41,827)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

34,000

108,864

(1,683)

4.0

Hong

Kong

CK

Asset

Holdings

Ltd.

13,500

80,957

(2,302)

5.5

CLP

Holdings

Ltd.

19,500

191,514

(5,738)

13.7

Henderson

Land

Development

Co.

Ltd.

21,190

80,812

(7,770)

18.6

HKT

Trust

&

HKT

Ltd.

28,000

41,089

(1,468)

3.5

Hysan

Development

Co.

Ltd.

8,000

25,826

(908)

2.2

Kerry

Properties

Ltd.

39,000

101,308

(5,369)

12.8

Melco

International

Development

Ltd.

11,000

21,447

(3,078)

7.4

New

World

Development

Co.

Ltd.

16,250

77,156

(671)

1.6

NWS

Holdings

Ltd.

45,000

39,143

(4,867)

11.6

Power

Assets

Holdings

Ltd.

6,000

32,784

(2,362)

5.6

Sun

Hung

Kai

Properties

Ltd.

16,000

204,404

(7,814)

18.7

WH

Group

Ltd.

167,500

144,753

(4,799)

11.5

Yue

Yuen

Industrial

Holdings

Ltd.

58,500

89,170

(6,839)

16.4

Macau

SJM

Holdings

Ltd.

77,000

86,327

(10,040)

24.0

United

Kingdom

CK

Hutchison

Holdings

Ltd.

55,500

359,395

(37,315)

89.2

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(67,100)

(196,431)

23,470

(56.1)

Minth

Group

Ltd.

(50,000)

(143,525)

16,788

(40.1)

Hong

Kong

AIA

Group

Ltd.

(30,000)

(280,728)

6,478

(15.5)

ASM

Pacific

Technology

Ltd.

(9,100)

(96,169)

(1,887)

4.5

Hong

Kong

&

China

Gas

Co.

Ltd.

(274,050)

(425,920)

28,797

(68.8)

MTR

Corp.

Ltd.

(5,500)

(28,604)

1,626

(3.9)

Swire

Properties

Ltd.

(28,800)

(73,531)

3,016

(7.2)

Techtronic

Industries

Co.

Ltd.

(9,500)

(93,998)

(2,069)

4.9

Vitasoy

International

Holdings

Ltd.

(32,000)

(122,999)

(787)

1.9

Wharf

Holdings

Ltd.

(The)

(9,000)

(18,416)

257

(0.6)

Wharf

Real

Estate

Investment

Co.

Ltd.

(59,000)

(283,236)

(9,951)

23.8

Xinyi

Glass

Holdings

Ltd.

(62,000)

(76,516)

(521)

1.2

230

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.34%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-60

months

maturity

ranging

from

01/13/2025

-

05/14/2025

$94,385,164

$(708,093)

$9,143

$(698,950)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AbbVie,

Inc.

4,006

393,309

8,052

(1.2)

Acuity

Brands,

Inc.

3,268

312,878

(48,464)

6.9

Alphabet,

Inc.

348

493,481

(11,842)

1.7

Biogen,

Inc.

1,201

321,328

(31,454)

4.5

Bio-Rad

Laboratories,

Inc.

924

417,177

(7,808)

1.1

Charles

River

Laboratories

International,

Inc.

2,859

498,467

(17,097)

2.4

Commercial

Metals

Co.

17,777

362,651

21,688

(3.1)

eBay,

Inc.

6,361

333,634

17,175

(2.5)

Facebook,

Inc.

2,183

495,694

(25,323)

3.6

Kimberly-Clark

Corp.

2,951

417,124

8,174

(1.2)

ManpowerGroup

,

Inc.

6,124

421,025

(52,176)

7.5

MasTec

,

Inc.

6,807

305,430

3,335

(0.5)

Nu

Skin

Enterprises,

Inc.

9,250

353,628

(9,990)

1.4

Owens

Corning

6,830

380,841

(18,509)

2.6

Pfizer,

Inc.

17,164

561,263

(60,246)

8.6

Procter

&

Gamble

Co.

(The)

2,781

332,524

3,421

(0.5)

Regal

Beloit

Corp.

4,216

368,141

(6,999)

1.0

Robert

Half

International,

Inc.

5,979

315,871

(29,775)

4.3

SYNNEX

Corp.

3,229

386,737

22,635

(3.2)

Target

Corp.

3,875

464,729

(3,061)

0.4

Werner

Enterprises,

Inc.

7,270

316,463

14,903

(2.1)

Short

Positions

Common

Stocks

United

States

Altice

USA,

Inc.

(22,983)

(518,037)

75,614

(10.8)

Amcor

plc

(47,943)

(489,498)

(479)

0.1

Ball

Corp.

(5,923)

(411,589)

17,473

(2.5)

Boeing

Co.

(The)

(2,429)

(445,236)

81,226

(11.6)

Covetrus

,

Inc.

(27,431)

(490,741)

4,938

(0.7)

Dycom

Industries,

Inc.

(7,629)

(311,950)

8,468

(1.2)

Equifax,

Inc.

(1,925)

(330,869)

6,064

(0.9)

GCI

Liberty,

Inc.

(7,098)

(504,810)

426

(0.1)

HealthEquity

,

Inc.

(5,185)

(304,204)

32,977

(4.7)

IAA,

Inc.

(9,125)

(351,951)

52,651

(7.5)

II-VI,

Inc.

(10,000)

(472,200)

23,000

(3.3)

231

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

LendingTree,

Inc.

(1,885)

(545,764)

10,782

(1.5)

Liberty

Broadband

Corp.

(2,661)

(329,858)

23,097

(3.3)

National

Fuel

Gas

Co.

(9,243)

(387,559)

20,150

(2.9)

Nektar

Therapeutics

(13,341)

(308,978)

(13,341)

1.9

NiSource,

Inc.

(13,710)

(311,765)

28,654

(4.1)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(5,718)

(558,363)

(23,844)

3.4

Pure

Storage,

Inc.

(21,309)

(369,285)

(4,688)

0.7

Resideo

Technologies,

Inc.

(30,734)

(360,202)

(49,789)

7.1

Schlumberger

Ltd.

(23,139)

(425,526)

95,333

(13.6)

ServiceMaster

Global

Holdings,

Inc.

(10,602)

(378,385)

(27,671)

4.0

Stericycle,

Inc.

(6,113)

(342,206)

44,136

(6.3)

Tesla,

Inc.

(457)

(493,473)

(63,587)

9.1

Univar

Solutions,

Inc.

(24,242)

(408,720)

16,242

(2.3)

Virtu

Financial,

Inc.

(13,502)

(318,647)

(8,776)

1.3

Visteon

Corp.

(5,956)

(407,986)

44,015

(6.3)

Vulcan

Materials

Co.

(2,583)

(299,241)

5,631

(0.8)

Willis

Towers

Watson

plc

(1,625)

(320,044)

6,598

(0.9)

XPO

Logistics,

Inc.

(4,038)

(311,936)

8,601

(1.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.80%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-60

months

maturity

ranging

from

02/25/2025

-

05/14/2025

$3,633,492

$(58,633)

$(229)

$(58,862)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

6,999

104,345

(15,535)

26.4

Switzerland

Adecco

Group

AG

(Registered)

2,944

138,767

(1,650)

2.8

Flughafen

Zurich

AG

(Registered)

648

84,634

(3,040)

5.2

Geberit

AG

(Registered)

435

218,255

436

(0.7)

Helvetia

Holding

AG

(Registered)

1,052

98,541

(4,821)

8.2

Nestle

SA

(Registered)

924

102,444

(2,803)

4.8

Novartis

AG

(Registered)

2,712

236,272

(7,338)

12.5

Roche

Holding

AG

1,245

431,330

(14,865)

25.3

Sonova

Holding

AG

(Registered)

409

81,872

(6,443)

10.9

Swatch

Group

AG

(The)

160

32,114

(311)

0.5

Swisscom

AG

(Registered)

949

497,657

3,184

(5.4)

232

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(5,671)

(128,635)

(6,218)

10.6

Clariant

AG

(Registered)

(1,139)

(22,417)

(348)

0.6

Credit

Suisse

Group

AG

(Registered)

(1,915)

(19,925)

(125)

0.2

Dufry

AG

(Registered)

(1,370)

(41,036)

8,470

(14.4)

Idorsia

Ltd.

(7,534)

(242,153)

(3,791)

6.4

Julius

Baer

Group

Ltd.

(6,941)

(291,505)

7,675

(13.0)

Kuehne

+

Nagel

International

AG

(Registered)

(124)

(20,654)

(1,547)

2.6

LafargeHolcim

Ltd.

(Registered)

(1,231)

(54,233)

206

(0.3)

Lonza

Group

AG

(Registered)

(23)

(12,183)

(167)

0.3

OC

Oerlikon

Corp.

AG

(Registered)

(4,495)

(36,873)

(127)

0.2

Sika

AG

(Registered)

(902)

(173,881)

418

(0.7)

Swiss

Life

Holding

AG

(Registered)

(35)

(13,021)

203

(0.3)

Swiss

Re

AG

(2,038)

(158,015)

2,310

(3.9)

Temenos

AG

(Registered)

(2,411)

(374,727)

(12,865)

21.9

Vifor

Pharma

AG

(119)

(18,003)

459

(0.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-60

months

maturity

ranging

from

02/25/2025

-

05/14/2025

$2,847,796

$(14,620)

$(523)

$(15,143)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

4,106

544,489

(10,511)

69.4

Coloplast

A/S

61

9,508

(229)

1.5

GN

Store

Nord

A/S

1,397

74,782

(2,206)

14.6

H

Lundbeck

A/S

614

23,200

(729)

4.8

ISS

A/S

793

12,592

(2,420)

16.0

Novo

Nordisk

A/S

1,648

107,363

(3,191)

21.1

Pandora

A/S

12,256

669,355

(15,789)

104.3

ROCKWOOL

International

A/S

844

229,698

(226)

1.5

233

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(553)

(648,120)

35,541

(234.7)

Chr

Hansen

Holding

A/S

(2,695)

(277,977)

(6,060)

40.0

Danske

Bank

A/S

(1,594)

(21,309)

182

(1.2)

DSV

Panalpina

A/S

(958)

(117,676)

(6,721)

44.4

FLSmidth

&

Co.

A/S

(1,243)

(36,155)

(533)

3.5

Genmab

A/S

(82)

(27,650)

(1,790)

11.8

Jyske

Bank

A/S

(Registered)

(342)

(10,064)

721

(4.8)

Novozymes

A/S

(653)

(37,858)

(659)

4.4

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.55%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

02/25/2025

-

06/25/2025

$11,481,291

$24,094

$30,819

$54,913

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

10,048

356,099

(16,370)

(29.8)

Colruyt

SA

1,964

107,940

(6,693)

(12.2)

Galapagos

NV

315

62,174

(2,674)

(4.9)

Proximus

SADP

15,426

314,337

(15,208)

(27.7)

UCB

SA

838

97,247

(2,853)

(5.2)

Finland

Fortum

OYJ

7,455

142,227

(3,705)

(6.7)

Kesko

OYJ

7,449

127,507

2,254

4.1

Orion

OYJ

3,862

187,285

(2,288)

(4.2)

Germany

Aurubis

AG

1,143

70,659

1,944

3.5

OSRAM

Licht

AG

1,335

63,493

367

0.7

Netherlands

ASM

International

NV

1,501

231,074

25,261

46.0

ASR

Nederland

NV

9,303

286,229

3,263

5.9

Koninklijke

Ahold

Delhaize

NV

21,136

576,042

10,959

20.0

Koninklijke

Philips

NV

1,447

67,601

(677)

(1.2)

Randstad

NV

7,310

326,867

3,761

6.8

Signify

NV

7,901

203,135

8,954

16.3

234

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Spain

Banco

Bilbao

Vizcaya

Argentaria

SA

19,430

66,897

(2,051)

(3.7)

Enagas

SA

7,068

172,908

2,242

4.1

Endesa

SA

23,661

586,941

789

1.4

Iberdrola

SA

15,429

180,129

6,513

11.9

Mapfre

SA

74,632

133,270

(13,774)

(25.1)

Naturgy

Energy

Group

SA

6,782

126,613

(2,763)

(5.0)

Red

Electrica

Corp.

SA

13,759

257,425

(8,679)

(15.8)

Telefonica

SA

15,891

76,003

(5,031)

(9.2)

United

Kingdom

Unilever

NV

2,795

149,023

(6,562)

(11.9)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(1,477)

(72,811)

3,746

6.8

Telenet

Group

Holding

NV

(4,698)

(193,573)

3,113

5.7

Umicore

SA

(4,345)

(205,102)

7,536

13.7

China

Prosus

NV

(1,437)

(133,982)

(5,296)

(9.6)

Finland

Nokia

OYJ

(51,352)

(224,401)

2,203

4.0

Nokian

Renkaat

OYJ

(8,186)

(179,940)

5,774

10.5

Sampo

OYJ

(4,057)

(139,844)

63

0.1

Germany

adidas

AG

(239)

(63,013)

1,796

3.3

Bayerische

Motoren

Werke

AG

(1,692)

(108,018)

822

1.5

Continental

AG

(1,367)

(134,392)

(787)

(1.4)

E.ON

SE

(42,405)

(478,654)

(6,564)

(12.0)

MTU

Aero

Engines

AG

(593)

(103,242)

4,477

8.2

OSRAM

Licht

AG

(10,781)

(494,117)

67

0.1

Luxembourg

ArcelorMittal

SA

(16,724)

(177,138)

10,002

18.2

Netherlands

Adyen

NV

(212)

(308,884)

(4,018)

(7.3)

Aegon

NV

(58,522)

(172,989)

1,991

3.6

Akzo

Nobel

NV

(2,044)

(183,634)

(5,354)

(9.7)

Boskalis

Westminster

(5,565)

(109,891)

(2,301)

(4.2)

Koninklijke

Vopak

NV

(1,397)

(73,946)

2,592

4.7

OCI

NV

(13,664)

(143,533)

22,895

41.7

SBM

Offshore

NV

(18,206)

(268,275)

8,045

14.7

Spain

Amadeus

IT

Group

SA

(2,977)

(156,299)

14,020

25.5

Cellnex

Telecom

SA

(15,097)

(922,091)

(38,697)

(70.5)

Ferrovial

SA

(25,184)

(673,168)

39,565

72.1

Grifols

SA

(3,775)

(114,790)

4,296

7.8

235

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-5.50%

to

0.35%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

02/26/2025

-

05/14/2025

$34,557,511

$(254,202)

$109,359

$(144,843)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

8,600

246,558

(15,600)

10.8

Alfresa

Holdings

Corp.

12,700

266,209

(1,058)

0.7

Central

Japan

Railway

Co.

2,200

340,248

(21,117)

14.6

Chubu

Electric

Power

Co.,

Inc.

25,700

322,328

(12,895)

8.9

GungHo

Online

Entertainment,

Inc.

14,380

257,104

15,938

(11.0)

Haseko

Corp.

27,200

343,435

3,650

(2.5)

Hitachi

Ltd.

8,700

276,528

(10,910)

7.5

ITOCHU

Corp.

21,200

458,722

2,309

(1.6)

JGC

Holdings

Corp.

22,800

240,424

(13,981)

9.7

KDDI

Corp.

16,100

480,378

2,464

(1.7)

Kyushu

Railway

Co.

12,400

322,198

(15,057)

10.4

MS&AD

Insurance

Group

Holdings,

Inc.

10,500

289,156

(19,280)

13.3

Nexon

Co.

Ltd.

18,100

408,271

(370)

0.3

Nippon

Telegraph

&

Telephone

Corp.

20,200

470,649

2,322

(1.6)

Obayashi

Corp.

49,300

463,492

(500)

0.3

Sekisui

House

Ltd.

24,200

462,030

(2,746)

1.9

Teijin

Ltd.

17,600

280,221

(7,236)

5.0

Tokyo

Gas

Co.

Ltd.

20,800

498,048

17,676

(12.2)

Toppan

Printing

Co.

Ltd.

21,600

361,129

(7,759)

5.4

Tosoh

Corp.

26,100

358,533

(6,138)

4.2

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(15,400)

(358,274)

(9,693)

6.7

Asahi

Intecc

Co.

Ltd.

(8,500)

(242,593)

264

(0.2)

Asics

Corp.

(31,100)

(355,566)

18,989

(13.1)

CyberAgent

,

Inc.

(6,800)

(334,245)

(8,755)

6.0

Daifuku

Co.

Ltd.

(3,300)

(289,186)

(16,086)

11.1

Daikin

Industries

Ltd.

(2,900)

(469,220)

(26,334)

18.2

FANUC

Corp.

(1,700)

(304,759)

8,681

(6.0)

Japan

Airport

Terminal

Co.

Ltd.

(8,000)

(341,376)

8,313

(5.7)

Kansai

Paint

Co.

Ltd.

(12,000)

(253,581)

(8,129)

5.6

Kikkoman

Corp.

(8,400)

(405,700)

2,731

(1.9)

Kobe

Bussan

Co.

Ltd.

(4,500)

(255,535)

(2,608)

1.8

LIXIL

Group

Corp.

(21,400)

(300,547)

17,916

(12.4)

236

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Marui

Group

Co.

Ltd.

(13,900)

(251,441)

17,050

(11.8)

MISUMI

Group,

Inc.

(15,000)

(376,626)

15,121

(10.4)

MonotaRO

Co.

Ltd.

(6,900)

(277,231)

(6,675)

4.6

Nidec

Corp.

(9,000)

(606,319)

(39,224)

27.1

Nippon

Paint

Holdings

Co.

Ltd.

(5,500)

(401,153)

4,351

(3.0)

Odakyu

Electric

Railway

Co.

Ltd.

(10,400)

(255,401)

(5,662)

3.9

Park24

Co.

Ltd.

(17,300)

(296,609)

(16,981)

11.7

Persol

Holdings

Co.

Ltd.

(21,900)

(301,932)

(5,658)

3.9

Pigeon

Corp.

(7,100)

(274,806)

(9,579)

6.6

Rakuten

,

Inc.

(28,300)

(249,974)

(253)

0.2

Shiseido

Co.

Ltd.

(6,300)

(401,440)

5,521

(3.8)

Sony

Financial

Holdings,

Inc.

(11,500)

(277,667)

(1,382)

1.0

Takeda

Pharmaceutical

Co.

Ltd.

(8,600)

(308,981)

9,750

(6.7)

Toshiba

Corp.

(13,800)

(442,701)

(34,004)

23.5

TOTO

Ltd.

(11,000)

(422,933)

16,336

(11.3)

Yakult

Honsha

Co.

Ltd.

(4,400)

(258,870)

21,726

(15.0)

Yamato

Holdings

Co.

Ltd.

(22,900)

(497,100)

21,308

(14.7)

Yaskawa

Electric

Corp.

(10,800)

(375,441)

4,228

(2.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.85%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-60

months

maturity

ranging

from

02/25/2025

-

05/14/2025

$2,839,830

$26,088

$864

$26,952

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

6,716

146,826

103

0.4

Essity

AB

16,388

531,322

3,069

11.4

Getinge

AB

8,959

166,945

(7,377)

(27.4)

Hennes

&

Mauritz

AB

9,798

143,015

(10,843)

(40.2)

ICA

Gruppen

AB

3,190

151,635

3,044

11.3

Securitas

AB

9,173

124,039

2,813

10.4

Skanska

AB

3,993

81,518

1,358

5.0

SKF

AB

2,098

39,219

477

1.8

SSAB

AB

7,179

19,882

(334)

(1.2)

Swedish

Orphan

Biovitrum

AB

9,239

214,222

6,086

22.6

Tele2

AB

1,688

22,470

199

0.7

Telia

Co.

AB

3,409

12,754

478

1.8

Volvo

AB

10,437

164,225

(1,023)

(3.8)

237

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(3,186)

(83,873)

418

1.5

Finland

Nordea

Bank

Abp

(2,762)

(19,155)

814

3.0

Sweden

Atlas

Copco

AB

(905)

(38,540)

113

0.4

BillerudKorsnas

AB

(10,506)

(150,791)

4,541

16.8

Electrolux

AB

(2,470)

(41,558)

939

3.5

Hexpol

AB

(12,426)

(92,722)

4,524

16.8

Saab

AB

(1,317)

(33,102)

390

1.4

Sandvik

AB

(712)

(13,404)

(1,324)

(4.9)

Svenska

Cellulosa

AB

SCA

(37,166)

(444,549)

18,176

67.4

Svenska

Handelsbanken

AB

(2,188)

(20,776)

820

3.0

Swedish

Match

AB

(1,027)

(72,461)

(1,407)

(5.2)

Telefonaktiebolaget

LM

Ericsson

(1,168)

(10,827)

34

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.75%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

06/25/2021

$9,098,747

$(88,942)

$139,987

$51,045

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

7,887

247,311

(1,792)

(3.5)

Atco

Ltd.

5,375

159,437

5,647

11.1

Bank

of

Montreal

2,316

123,272

(2,517)

(4.9)

Bank

of

Nova

Scotia

(The)

2,372

98,158

300

0.6

Canadian

Imperial

Bank

of

Commerce

2,735

182,803

(4,574)

(9.0)

Canadian

Tire

Corp.

Ltd.

1,538

133,272

(1,127)

(2.2)

Cenovus

Energy,

Inc.

15,836

74,071

112

0.2

CGI,

Inc.

2,128

134,066

(1,520)

(3.0)

CI

Financial

Corp.

14,429

183,551

1,178

2.3

Hydro

One

Ltd.

11,748

220,924

(78)

(0.2)

iA

Financial

Corp.,

Inc.

3,194

106,953

(1,497)

(2.9)

IGM

Financial,

Inc.

2,895

70,349

294

0.6

Linamar

Corp.

4,258

115,107

(5,856)

(11.5)

Magna

International,

Inc.

7,423

330,579

4,683

9.2

Manulife

Financial

Corp.

14,407

196,006

(615)

(1.2)

238

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

National

Bank

of

Canada

4,830

218,873

(1,863)

(3.6)

Quebecor,

Inc.

8,727

187,512

121

0.2

Royal

Bank

of

Canada

2,123

144,041

(1,649)

(3.2)

Seven

Generations

Energy

Ltd.

40,545

90,492

(4,764)

(9.3)

Stantec

,

Inc.

4,675

144,320

6,211

12.2

Toronto-Dominion

Bank

(The)

3,182

142,013

(882)

(1.7)

Tourmaline

Oil

Corp.

15,747

137,682

(2,342)

(4.6)

United

States

Bausch

Health

Cos.,

Inc.

3,814

69,785

(2,931)

(5.7)

BRP,

Inc.

4,943

210,813

17,371

34.0

Ovintiv

,

Inc.

36,440

346,524

(16,527)

(32.4)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(3,893)

(171,222)

(6,156)

(12.1)

Canada

Agnico

Eagle

Mines

Ltd.

(1,305)

(83,562)

(2,684)

(5.3)

Air

Canada

(5,790)

(72,290)

653

1.3

BlackBerry

Ltd.

(30,650)

(149,457)

(232)

(0.5)

Cameco

Corp.

(15,686)

(160,835)

(4,022)

(7.9)

Canada

Goose

Holdings,

Inc.

(14,801)

(343,641)

(1,199)

(2.3)

Canadian

National

Railway

Co.

(799)

(70,689)

(881)

(1.7)

CCL

Industries,

Inc.

(6,311)

(203,983)

321

0.6

Dollarama,

Inc.

(7,964)

(264,919)

1,519

3.0

Element

Fleet

Management

Corp.

(16,749)

(124,976)

(1,864)

(3.7)

Enbridge,

Inc.

(5,137)

(156,199)

383

0.8

Finning

International,

Inc.

(7,292)

(99,422)

1,540

3.0

Gildan

Activewear

,

Inc.

(7,217)

(111,795)

(2,282)

(4.5)

Inter

Pipeline

Ltd.

(8,321)

(77,473)

(975)

(1.9)

Methanex

Corp.

(6,121)

(110,463)

4,801

9.4

Pan

American

Silver

Corp.

(3,735)

(113,431)

(7,426)

(14.5)

Pembina

Pipeline

Corp.

(3,969)

(99,225)

(1,315)

(2.6)

PrairieSky

Royalty

Ltd.

(14,921)

(94,300)

(333)

(0.7)

Restaurant

Brands

International,

Inc.

(5,477)

(298,096)

(2,026)

(4.0)

Shopify,

Inc.

(202)

(191,907)

(5,753)

(11.3)

SNC-Lavalin

Group,

Inc.

(15,757)

(265,905)

(10,338)

(20.3)

TC

Energy

Corp.

(3,560)

(152,092)

1,447

2.8

West

Fraser

Timber

Co.

Ltd.

(12,034)

(422,998)

(25,359)

(49.7)

Chile

Lundin

Mining

Corp.

(22,928)

(122,949)

(7,053)

(13.8)

Zambia

First

Quantum

Minerals

Ltd.

(21,329)

(169,991)

(12,705)

(24.9)

239

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

(Note

5)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-2.25%

to

0.35%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

ranging

from

02/21/2022

-

05/11/2022

$1,335,830

$(5,917)

$60,551

$54,634

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

40,500

119,790

1,220

2.2

Yangzijiang

Shipbuilding

Holdings

Ltd.

396,200

266,719

(1,942)

(3.6)

Singapore

ComfortDelGro

Corp.

Ltd.

134,000

140,822

(6,187)

(11.3)

Genting

Singapore

Ltd.

28,000

15,405

235

0.4

Venture

Corp.

Ltd.

19,400

226,722

1,624

3.0

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(13,300)

(81,277)

(1,301)

(2.4)

Jardine

Cycle

&

Carriage

Ltd.

(2,600)

(37,943)

154

0.3

Singapore

Airlines

Ltd.

(9,700)

(26,182)

546

1.0

Singapore

Technologies

Engineering

Ltd.

(21,500)

(51,315)

(404)

(0.7)

Singapore

Telecommunications

Ltd.

(207,800)

(369,655)

138

0.3

240

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

3,029,452

$

3,029,452

CITG

Cash

–

715,567

715,567

CITI

Investment

Companies

1,678,686

–

1,678,686

GSCO

Cash

–

1,076,561

1,076,561

GSIN

U.S.

Treasury

Bills

7,728,042

–

7,728,042

JPMC

Investment

Companies

3,499,145

–

3,499,145

JPMS

Cash

–

1,102,797

1,102,797

MSCL

Cash

–

21,259

21,259

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

GSCO

Cash

$

–

$

50,756

$

50,756

GSIN

Cash

(17,787)

–

(17,787)

JPPC

Cash

–

24,185

24,185

MSCL

Cash

–

382,147

382,147

241

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

48.1%

Australia

-

1.1%

BHP

Group

Ltd.

(2)

446

11,104

BHP

Group

plc

(2)

540

11,050

Dexus

,

REIT

(2)

458

2,940

Fortescue

Metals

Group

Ltd.

(2)

5,085

49,436

Goodman

Group,

REIT

(2)

1,206

12,444

Origin

Energy

Ltd.

(2)

995

4,049

Rio

Tinto

plc

(2)

402

22,623

Scentre

Group,

REIT

(2)

1,888

2,866

South32

Ltd.

(2)

1,617

2,289

Wesfarmers

Ltd.

(2)

91

2,829

121,630

—

Belgium

-

0.1%

UCB

SA

(2)

133

15,434

Canada

-

1.9%

Barrick

Gold

Corp.

393

10,575

Canadian

Natural

Resources

Ltd.

802

13,912

Cenovus

Energy,

Inc.

6,022

28,167

CGI,

Inc.

*

129

8,127

Constellation

Software,

Inc.

27

30,486

Empire

Co.

Ltd.,

Class

A

243

5,819

Franco-Nevada

Corp.

79

11,036

Imperial

Oil

Ltd.

107

1,721

Kinross

Gold

Corp.

*

7,667

55,344

Manulife

Financial

Corp.

1,253

17,047

Onex

Corp.

135

6,099

Open

Text

Corp.

307

13,037

RioCan

,

REIT

213

2,410

Ritchie

Bros

Auctioneers,

Inc.

95

3,868

Teck

Resources

Ltd.,

Class

B

370

3,876

211,524

—

Chile

-

0.0%

(a)

Lundin

Mining

Corp.

488

2,617

China

-

0.0%

(a)

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

2,800

1,885

Denmark

-

0.5%

Novo

Nordisk

A/S,

Class

B

(2)

586

38,177

Pandora

A/S

(2)

388

21,190

59,367

—

Finland

-

0.4%

Kone

OYJ,

Class

B

(2)

104

7,173

Neste

OYJ

(2)

241

9,466

Orion

OYJ,

Class

B

(2)

480

23,277

Wartsila

OYJ

Abp

(2)

498

4,131

44,047

—

France

-

1.7%

Atos

SE

(2)*

23

1,972

BNP

Paribas

SA

(2)*

156

6,233

Cie

de

Saint-Gobain

(2)*

405

14,613

CNP

Assurances

(2)*

652

7,562

Electricite

de

France

SA

(2)

3,268

30,383

Hermes

International

(2)

21

17,632

Kering

SA

(2)

51

27,883

INVESTMENTS

SHARES

VALUE

($)

France

-

1.7%

(continued)

Peugeot

SA

(2)*

3,187

52,264

Publicis

Groupe

SA

(2)

326

10,590

Schneider

Electric

SE

(2)

124

13,793

Unibail

-

Rodamco

-Westfield,

REIT

(2)

110

6,200

189,125

—

Germany

-

1.1%

Allianz

SE

(Registered)

(2)

18

3,678

Bayer

AG

(Registered)

(2)

454

33,652

HeidelbergCement

AG

(2)

290

15,524

HOCHTIEF

AG

(2)

115

10,233

Infineon

Technologies

AG

(2)

918

21,511

KION

Group

AG

(2)

40

2,463

SAP

SE

(2)

291

40,678

Wirecard

AG

(2)*

50

371

128,110

—

Hong

Kong

-

0.5%

CK

Asset

Holdings

Ltd.

(2)

2,000

11,994

HKT

Trust

&

HKT

Ltd.

(2)

2,000

2,935

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

200

8,518

Kerry

Properties

Ltd.

(2)

6,500

16,885

Link,

REIT

(2)

500

4,105

Swire

Pacific

Ltd.,

Class

A

(2)

500

2,657

WH

Group

Ltd.

(2)(b)

12,500

10,802

57,896

—

Italy

-

0.7%

Enel

SpA

(2)

5,175

44,755

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)

3,003

21,686

UniCredit

SpA

(2)*

1,737

16,031

82,472

—

Japan

-

3.4%

Astellas

Pharma,

Inc.

(2)

1,700

28,389

Bandai

Namco

Holdings,

Inc.

(2)

100

5,264

Brother

Industries

Ltd.

(2)

600

10,840

ENEOS

Holdings,

Inc.

(2)

4,400

15,684

Hitachi

Ltd.

(2)

700

22,249

ITOCHU

Corp.

(2)

500

10,819

Japan

Post

Insurance

Co.

Ltd.

(2)

1,100

14,494

Japan

Retail

Fund

Investment

Corp.,

REIT

(2)

2

2,502

JGC

Holdings

Corp.

(2)

900

9,490

Kamigumi

Co.

Ltd.

(2)

300

5,900

Koito

Manufacturing

Co.

Ltd.

(2)

300

12,138

Marubeni

Corp.

(2)

600

2,725

Mazda

Motor

Corp.

(2)

400

2,417

Mebuki

Financial

Group,

Inc.

(2)

4,900

11,414

MINEBEA

MITSUMI,

Inc.

(2)

200

3,646

Mitsubishi

Heavy

Industries

Ltd.

(2)

100

2,361

NGK

Spark

Plug

Co.

Ltd.

(2)

200

2,875

Nippon

Telegraph

&

Telephone

Corp.

(2)

800

18,640

Nitto

Denko

Corp.

(2)

100

5,669

NTT

DOCOMO,

Inc.

(2)

200

5,310

Obayashi

Corp.

(2)

2,800

26,324

242

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

3.4%

(continued)

Olympus

Corp.

(2)

200

3,851

ORIX

Corp.

(2)

1,500

18,626

Park24

Co.

Ltd.

(2)

100

1,715

Shinsei

Bank

Ltd.

(2)

200

2,419

Shionogi

&

Co.

Ltd.

(2)

100

6,273

SoftBank

Group

Corp.

(2)

200

10,086

Sony

Corp.

(2)

700

48,321

SUMCO

Corp.

(2)

600

9,224

Sumitomo

Electric

Industries

Ltd.

(2)

1,400

16,150

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)

400

11,272

Taisei

Corp.

(2)

300

10,934

Tokyo

Electron

Ltd.

(2)

100

24,674

Tosoh

Corp.

(2)

300

4,121

Toyoda

Gosei

Co.

Ltd.

(2)

100

2,089

Yokohama

Rubber

Co.

Ltd.

(The)

(2)

200

2,828

391,733

—

Netherlands

-

1.2%

ASML

Holding

NV

(2)

21

7,682

ING

Groep

NV

(2)

533

3,715

Koninklijke

Ahold

Delhaize

NV

(2)

2,656

72,387

Koninklijke

Philips

NV

(2)*

327

15,277

NN

Group

NV

(2)

313

10,519

Royal

Dutch

Shell

plc,

Class

A

(2)

1,002

16,043

Royal

Dutch

Shell

plc,

Class

B

(2)

505

7,656

Wolters

Kluwer

NV

(2)

64

5,003

138,282

—

South

Africa

-

0.2%

Anglo

American

plc

(2)

1,041

23,998

Spain

-

0.5%

Banco

Bilbao

Vizcaya

Argentaria

SA

(2)

3,274

11,272

Banco

Santander

SA

(2)

3,279

8,022

Enagas

SA

(2)

545

13,333

Endesa

SA

(2)

680

16,868

Iberdrola

SA

(2)

264

3,082

Naturgy

Energy

Group

SA

(2)

136

2,539

55,116

—

Sweden

-

0.0%

(a)

Skanska

AB,

Class

B

(2)*

263

5,369

Switzerland

-

1.8%

Coca-Cola

HBC

AG

(2)

456

11,415

Credit

Suisse

Group

AG

(Registered)

(2)

961

9,999

LafargeHolcim

Ltd.

(Registered)

(2)*

272

11,983

Novartis

AG

(Registered)

(2)

423

36,852

Roche

Holding

AG

(2)

281

97,353

Sonova

Holding

AG

(Registered)

(2)*

128

25,622

Zurich

Insurance

Group

AG

(2)

32

11,339

204,563

—

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

1.9%

AstraZeneca

plc

(2)

23

2,394

Aviva

plc

(2)

15,386

52,148

Berkeley

Group

Holdings

plc

(2)

183

9,425

BP

plc

(2)

2,345

8,984

BT

Group

plc

(2)

23,128

32,709

CK

Hutchison

Holdings

Ltd.

(2)

4,500

29,140

Fiat

Chrysler

Automobiles

NV

(2)*

142

1,437

GlaxoSmithKline

plc

(2)

662

13,372

M&G

plc

(2)

7,427

15,422

Persimmon

plc

(2)

437

12,368

RELX

plc

(2)

269

6,226

Sage

Group

plc

(The)

(2)

2,719

22,570

Smith

&

Nephew

plc

(2)

750

13,975

220,170

—

United

States

-

31.1%

AbbVie,

Inc.

360

35,345

Adobe,

Inc.

*

95

41,354

Akamai

Technologies,

Inc.

*

204

21,846

Alexion

Pharmaceuticals,

Inc.

*

404

45,345

Allstate

Corp.

(The)

404

39,184

Alphabet,

Inc.,

Class

A

*

34

48,214

Alphabet,

Inc.,

Class

C

*

42

59,372

Altria

Group,

Inc.

69

2,708

Amazon.com,

Inc.

*

42

115,870

American

International

Group,

Inc.

651

20,298

American

Tower

Corp.,

REIT

48

12,410

AmerisourceBergen

Corp.

294

29,626

Amgen,

Inc.

67

15,803

Anthem,

Inc.

7

1,841

Apple,

Inc.

702

256,089

Applied

Materials,

Inc.

873

52,773

Arrow

Electronics,

Inc.

*

645

44,305

Autodesk,

Inc.

*

27

6,458

AutoZone,

Inc.

*

15

16,922

AvalonBay

Communities,

Inc.,

REIT

95

14,691

Bank

of

New

York

Mellon

Corp.

(The)

694

26,823

Berkshire

Hathaway,

Inc.,

Class

B

*

174

31,061

Best

Buy

Co.,

Inc.

418

36,479

Biogen,

Inc.

*

174

46,554

Boston

Properties,

Inc.,

REIT

25

2,260

Bristol-Myers

Squibb

Co.

100

5,880

Broadcom,

Inc.

13

4,103

Cardinal

Health,

Inc.

474

24,738

Carnival

Corp.

824

13,530

Carrier

Global

Corp.

26

578

CDK

Global,

Inc.

241

9,982

CDW

Corp.

156

18,124

Chipotle

Mexican

Grill,

Inc.

*

37

38,937

Church

&

Dwight

Co.,

Inc.

125

9,663

Cisco

Systems,

Inc.

309

14,412

Cognizant

Technology

Solutions

Corp.,

Class

A

363

20,626

Colgate-Palmolive

Co.

543

39,780

Crown

Castle

International

Corp.,

REIT

37

6,192

Cummins,

Inc.

34

5,891

CVS

Health

Corp.

153

9,940

Darden

Restaurants,

Inc.

226

17,124

243

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

31.1%

(continued)

Delta

Air

Lines,

Inc.

422

11,837

Digital

Realty

Trust,

Inc.,

REIT

38

5,400

Domino's

Pizza,

Inc.

23

8,497

Eaton

Corp.

plc

20

1,750

eBay,

Inc.

57

2,990

Edwards

Lifesciences

Corp.

*

102

7,049

Electronic

Arts,

Inc.

*

189

24,957

Eli

Lilly

and

Co.

18

2,955

EOG

Resources,

Inc.

176

8,916

Equinix

,

Inc.,

REIT

4

2,809

Equity

Residential,

REIT

47

2,765

Essex

Property

Trust,

Inc.,

REIT

12

2,750

Facebook,

Inc.,

Class

A

*

541

122,844

Fiserv,

Inc.

*

22

2,148

Fortinet,

Inc.

*

113

15,512

Garmin

Ltd.

310

30,225

General

Dynamics

Corp.

31

4,633

General

Electric

Co.

3,698

25,257

General

Motors

Co.

305

7,717

Gilead

Sciences,

Inc.

189

14,542

Hartford

Financial

Services

Group,

Inc.

(The)

281

10,833

Hershey

Co.

(The)

176

22,813

HollyFrontier

Corp.

607

17,724

Hologic

,

Inc.

*

81

4,617

Home

Depot,

Inc.

(The)

274

68,640

Howmet

Aerospace,

Inc.

1,310

20,764

HP,

Inc.

2,574

44,865

Humana,

Inc.

146

56,612

Huntington

Ingalls

Industries,

Inc.

89

15,530

IAC/

interactivecorp

*

53

17,140

Incyte

Corp.

*

234

24,329

Intel

Corp.

1,289

77,121

International

Business

Machines

Corp.

253

30,555

International

Paper

Co.

365

12,852

Intuit,

Inc.

100

29,619

Johnson

&

Johnson

188

26,438

Johnson

Controls

International

plc

344

11,744

Keysight

Technologies,

Inc.

*

20

2,016

Kimberly-Clark

Corp.

156

22,051

Kinder

Morgan,

Inc.

246

3,732

Kroger

Co.

(The)

131

4,434

Laboratory

Corp.

of

America

Holdings

*

48

7,973

Lam

Research

Corp.

162

52,401

LKQ

Corp.

*

300

7,860

Lockheed

Martin

Corp.

27

9,853

Lowe's

Cos.,

Inc.

277

37,428

Lululemon

Athletica,

Inc.

*

68

21,217

Marathon

Petroleum

Corp.

199

7,439

Mastercard

,

Inc.,

Class

A

226

66,828

McDonald's

Corp.

90

16,602

McKesson

Corp.

263

40,349

Merck

&

Co.,

Inc.

640

49,491

Micron

Technology,

Inc.

*

761

39,207

Microsoft

Corp.

1,166

237,292

Monster

Beverage

Corp.

*

357

24,747

Mylan

NV

*

523

8,410

Newmont

Corp.

245

15,126

INVESTMENTS

SHARES

VALUE

($)

United

States

-

31.1%

(continued)

NextEra

Energy,

Inc.

48

11,528

NIKE,

Inc.,

Class

B

621

60,889

NortonLifeLock

,

Inc.

385

7,635

NRG

Energy,

Inc.

581

18,917

NVIDIA

Corp.

52

19,755

Omnicom

Group,

Inc.

147

8,026

Oracle

Corp.

397

21,942

O'Reilly

Automotive,

Inc.

*

24

10,120

Otis

Worldwide

Corp.

13

739

People's

United

Financial,

Inc.

2,101

24,309

PepsiCo,

Inc.

105

13,887

Philip

Morris

International,

Inc.

302

21,158

Procter

&

Gamble

Co.

(The)

382

45,676

Prologis,

Inc.,

REIT

140

13,066

Public

Storage,

REIT

81

15,543

PulteGroup,

Inc.

317

10,788

Qorvo

,

Inc.

*

129

14,258

QUALCOMM,

Inc.

518

47,247

Regeneron

Pharmaceuticals,

Inc.

*

27

16,839

S&P

Global,

Inc.

34

11,202

SBA

Communications

Corp.,

REIT

8

2,383

Seagate

Technology

plc

179

8,665

Signature

Bank

16

1,711

Simon

Property

Group,

Inc.,

REIT

80

5,470

Skyworks

Solutions,

Inc.

325

41,555

Starbucks

Corp.

25

1,840

State

Street

Corp.

322

20,463

Steel

Dynamics,

Inc.

318

8,297

Target

Corp.

207

24,826

Texas

Instruments,

Inc.

241

30,600

Tractor

Supply

Co.

20

2,636

Tyson

Foods,

Inc.,

Class

A

40

2,388

UnitedHealth

Group,

Inc.

75

22,121

Universal

Health

Services,

Inc.,

Class

B

47

4,366

Verizon

Communications,

Inc.

277

15,271

Vertex

Pharmaceuticals,

Inc.

*

15

4,355

ViacomCBS

,

Inc.

495

11,543

Walgreens

Boots

Alliance,

Inc.

441

18,694

Walmart,

Inc.

502

60,130

Waste

Management,

Inc.

68

7,202

Wells

Fargo

&

Co.

1,905

48,768

Western

Union

Co.

(The)

354

7,653

Westrock

Co.

265

7,489

Whirlpool

Corp.

38

4,922

Yum!

Brands,

Inc.

410

35,633

3,527,841

—

TOTAL

COMMON

STOCKS

(Cost

$4,365,299)

5,481,179

244

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

50.3%

INVESTMENT

COMPANIES

-

50.3%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(c)

(Cost

$5,728,799)

5,729,020

5,730,166

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.4%

(Cost

$10,094,098)

11,211,345

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.6%

(d)

182,974

NET

ASSETS

-

100.0%

11,394,319

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

387,637

3.4

%

Consumer

Discretionary

828,800

7.3

Consumer

Staples

388,553

3.4

Energy

143,493

1.3

Financials

502,168

4.4

Health

Care

859,416

7.5

Industrials

293,587

2.6

Information

Technology

1,500,369

13.2

Materials

285,009

2.5

Real

Estate

150,741

1.3

Utilities

141,406

1.2

Short-Term

Investments

5,730,166

50.3

Total

Investments

In

Securities

At

Value

11,211,345

98.4

Other

Assets

in

Excess

of

Liabilities

(d

)

182,974

1.6

Net

Assets

$

11,394,319

100.0%

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

June

30,

2020

amounted

to

$10,802,

which

represents

approximately

0.09%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(d)

Includes

appreciation/(depreciation)

on

futures

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

245

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Written

Call

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

DAX

Index

JPMS

1

EUR

(61,555)

EUR

11,800.00

7/17/2020

$

(3,930)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,975.00

7/17/2020

(6,217)

FTSE

100

Index

JPMS

1

GBP

(61,697)

GBP

6,000.00

7/17/2020

(3,184)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,825.00

7/17/2020

(25,431)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,900.00

7/17/2020

(19,470)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,980.00

8/21/2020

(19,015)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

3,125.00

8/21/2020

(9,400)

U.S.

Treasury

10

Year

Note

JPMS

2

USD

(200,000)

USD

138.00

7/24/2020

(2,656)

U.S.

Treasury

10

Year

Note

JPMS

4

USD

(400,000)

USD

138.50

7/24/2020

(3,750)

U.S.

Treasury

10

Year

Note

JPMS

3

USD

(300,000)

USD

139.00

7/24/2020

(1,781)

U.S.

Treasury

30

Year

Bond

JPMS

2

USD

(200,000)

USD

178.00

7/24/2020

(3,906)

U.S.

Treasury

30

Year

Bond

JPMS

1

USD

(100,000)

USD

179.00

8/21/2020

(2,328)

U.S.

Treasury

30

Year

Bond

JPMS

2

USD

(200,000)

USD

181.00

7/24/2020

(1,531)

(102,599)

Written

Put

Option

Contracts

(Premium

Style)

as

of

June

30,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

DAX

Index

JPMS

1

EUR

(61,555)

EUR

10,200.00

8/21/2020

$

(627)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

10,550.00

8/21/2020

(818)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

10,950.00

8/21/2020

(1,105)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

11,200.00

7/17/2020

(408)

DAX

Index

JPMS

1

EUR

(61,555)

EUR

11,500.00

7/17/2020

(607)

EURO

STOXX

50

Index

JPMS

4

EUR

(129,363)

EUR

2,675.00

8/21/2020

(1,088)

EURO

STOXX

50

Index

JPMS

4

EUR

(129,363)

EUR

2,775.00

8/21/2020

(1,492)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,850.00

7/17/2020

(209)

EURO

STOXX

50

Index

JPMS

4

EUR

(129,363)

EUR

2,875.00

8/21/2020

(2,040)

EURO

STOXX

50

Index

JPMS

2

EUR

(64,681)

EUR

2,900.00

7/17/2020

(279)

EURO

STOXX

50

Index

JPMS

3

EUR

(97,022)

EUR

2,925.00

7/17/2020

(482)

EURO

STOXX

50

Index

JPMS

1

EUR

(32,341)

EUR

2,950.00

7/17/2020

(185)

EURO

STOXX

50

Index

JPMS

4

EUR

(129,363)

EUR

2,975.00

8/21/2020

(2,782)

EURO

STOXX

50

Index

JPMS

3

EUR

(97,022)

EUR

3,000.00

7/17/2020

(735)

EURO

STOXX

50

Index

JPMS

1

EUR

(32,341)

EUR

3,025.00

7/17/2020

(281)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

20,500.00

7/10/2020

(472)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,000.00

7/10/2020

(806)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,375.00

7/10/2020

(1,204)

Nikkei

225

Index

JPMS

1

JPY

(22,288,140)

JPY

21,750.00

7/10/2020

(1,806)

Russell

2000

Index

JPMS

1

USD

(144,137)

USD

1,285.00

7/17/2020

(790)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,590.00

8/21/2020

(2,145)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,650.00

8/21/2020

(2,510)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,680.00

8/21/2020

(3,750)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,780.00

8/21/2020

(4,265)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,810.00

7/17/2020

(1,151)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,810.00

8/21/2020

(4,608)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,825.00

7/17/2020

(3,777)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,840.00

7/17/2020

(1,203)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,875.00

8/21/2020

(6,495)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,880.00

7/17/2020

(1,615)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,895.00

7/17/2020

(1,810)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,910.00

8/21/2020

(6,590)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,930.00

8/21/2020

(7,320)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,950.00

8/21/2020

(7,596)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,965.00

7/17/2020

(2,960)

S&P

500

Index

JPMS

1

USD

(310,029)

USD

2,980.00

8/21/2020

(8,535)

246

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

S&P

500

Index

JPMS

1

USD

(310,029)

USD

3,075.00

7/17/2020

$

(5,850)

U.S.

Treasury

10

Year

Note

JPMS

2

USD

(200,000)

USD

138.00

7/24/2020

(313)

U.S.

Treasury

30

Year

Bond

JPMS

2

USD

(200,000)

USD

175.00

7/24/2020

(906)

U.S.

Treasury

30

Year

Bond

JPMS

1

USD

(100,000)

USD

176.00

8/21/2020

(1,422)

U.S.

Treasury

30

Year

Bond

JPMS

2

USD

(200,000)

USD

177.00

8/21/2020

(3,594)

U.S.

Treasury

30

Year

Bond

JPMS

1

USD

(100,000)

USD

178.00

7/24/2020

(1,391)

(98,022)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($260,367))

$

(200,621)

Written

Call

Option

Contracts

(Futures

Style)

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

September

Futures

JPMS

2

EUR

(200,000)

EUR

175.00

7/24/2020

$

(1,127)

$

(1,127)

Written

Put

Option

Contracts

(Futures

Style)

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

September

Futures

JPMS

6

EUR

(600,000)

EUR

173.50

7/24/2020

$

4,264

Euro-Bund

September

Futures

JPMS

4

EUR

(400,000)

EUR

174.50

7/24/2020

3,924

$

8,188

Total

Written

Option

Contracts

(Futures

Style)

$

7,061

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

U.S.

Treasury

10

Year

Note

6

9/2020

USD

$

835,031

$

552

552

Short

Contracts

EURO

STOXX

50

Index

(2)

9/2020

EUR

(72,421)

(470)

Euro-Bund

(3)

9/2020

EUR

(594,961)

(3,206)

Nikkei

225

Index

(1)

9/2020

JPY

(206,251)

(1,698)

S&P

500

E-Mini

Index

(2)

9/2020

USD

(309,020)

(5,842)

(11,216)

$

(10,664)

247

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

JPMS

Cash

$

–

$

95,807

$

95,807

248

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

ADR

-

American

Depositary

Receipt

CHESS

-

Clearing

House

Electronic

Subregister

System  Depository

Interest

CVA

-

Dutch

Certification

CVR

-

Contingent

Value

Rights

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TRY

-

Turkish

Lira

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

249

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

DTBK

-

Deutsche

Bank

AG

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MPFS

-

Merrill

Lynch,

Pierce,

Fenner

&

Smith,

Inc.

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

1

Month

London

Interbank

Offered

Rate

(“LIBOR”):

0.16%

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.30%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

-0.63%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.29%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

-0.02%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.09%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.10%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate:

-0.07%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.52%

Canadian

Dollar

Offered

Rate

(“CDOR”):

0.52%

Canadian

Overnight

Repo

Rate

Average

("CORRA"):

0.25%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.26%

EUR/USD

1

Week

Forward

Swap

Rate:

-0.52%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.51%

Euro

Overnight

Index

Average

(“EONIA”):

-0.47%

Federal

Funds

Floating

Rate:

0.08%

GBP/USD

1

Week

Forward

FX

Swap

Rate:

0.40%

HKD/USD

1

Month

Forward

FX

Swap

Rate:

0.44%

Hong

Kong

Interbank

Offered

Rate

(“H

IBOR”):

0.44%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

0.11%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

3.82%

JPY/USD

1

Week

Forward

Swap

Rate:

-0.10%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

5.28%

Norway

Interbank

Offered

Rate

("NIBOR"):

0.22%

Overnight

Bank

Funding

Rate

("OBFR"):

0.08%

Rand

Overnight

Deposit

Rate:

3.60%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.14%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

0.25%

Singapore

Swap

Offered

Rate

(“SOR”):

0.10%

Sterling

Overnight

Index

Average

(“SONIA”):

0.06%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.04%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.66%

Tokyo

Overnight

Average

Rate

(“TONAR”):  -0.06%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

0.13%

Statements

of

Assets

and

Liabilities

250

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

337,423,383

$

582,993,266

$

99,392

$

162,856,961

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

7,900,974

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

353,669,283

$

607,833,264

$

99,411

$

163,421,340

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

—

7,927,505

—

Cash

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

918,795

2,105,953

—

298

Cash

denominated

in

foreign

currencies

‡

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

775,620

128,890

—

2,148,391

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

1,679,672

110,995

—

18,558

Unrealized

appreciation

on

OTC

swaps

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

385,668

7,366,873

—

2,242,256

Deposits

for

securities

sold

short

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

4,118,537

21,181,160

—

2,976,892

Deposits

for

written

options

contracts

(premium-style)

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

1,223

—

—

—

Due

from

broker

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

2,320,384

57,970,545

—

119,984

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

payments

$—,

$1,136,644,

$—

and

$—,

respectively)

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

—

1,939,617

—

—

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

.

16,236,587

2,995,678

—

—

Variation

margin

on

futures

and

futures-style

options

contracts

......

276,294

282,923

—

—

Receivables:

Securities

sold

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

33,260,013

35,512,633

—

—

Foreign

tax

reclaims

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

217,426

1,832

—

1,073,720

Dividends

and

interest

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

197,641

1,406,053

21

86,477

Capital

shares

sold

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

2,207,588

2,346,447

3,091,166

1,367,888

Due

from

Investment

Adviser

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

—

—

14,211

—

Prepaid

expenses

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

52,609

43,218

41,116

27,451

Total

Assets

416,317,340

741,226,081

11,173,430

173,483,255

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $218,472,904,

$151,835,344,

$–

and

$12,995,066,

respectively)

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

177,791,472

191,888,097

—

12,179,673

Written

option

contracts

(premium-style),

at

value

(premiums

$1,250,898,

$–,

$–

and

$–,

respectively)

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

942,083

—

—

—

Due

to

broker

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

23,119

254,740

—

91,207

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

2,200,532

84,078

—

48,302

Unrealized

depreciation

on

OTC

swaps

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

351,554

5,668,214

—

1,520,100

Variation

margin

on

centrally

cleared

swaps

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

—

149,530

—

—

Variation

margin

on

futures

and

futures-style

options

contracts

......

342,248

—

—

—

Payables:

–

–

–

–

Securities

purchased

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

33,257,319

32,447,199

3,029,343

—

Accrued

investment

advisory

fees

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

175,083

367,688

—

126,489

Accrued

distribution

fees—Class

N

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

2,109

5,400

75

1,624

Accrued

Trustee

fees

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

—

—

60

—

Capital

shares

redeemed

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

509,614

833,300

—

558,516

Dividends

and

interest

payable

on

securities

sold

short

.........

239,582

926,693

—

7,737

Other

accrued

expenses

and

liabilities

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

101,543

249,396

11,742

145,080

Total

Liabilities

215,936,258

232,874,335

3,041,220

14,678,728

Commitments

and

contingent

liabilities

*

Net

Assets

$

200,381,082

$

508,351,746

$

8,132,210

$

158,804,527

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

264,161,035

$

824,911,215

$

8,106,118

$

172,552,300

Total

distributable

earnings

(loss)

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

(63,779,953)

(316,559,469)

26,092

(13,747,773)

Net

Assets

$

200,381,082

$

508,351,746

$

8,132,210

$

158,804,527

NET

ASSETS:

Class

I

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

$

100,727,018

$

388,026,047

$

3,603,755

$

121,120,812

Class

N

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

9,964,095

26,040,082

507,513

7,733,122

Class

R6

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

89,689,969

94,285,617

4,020,942

29,950,593

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

13,472,026

40,674,225

358,573

14,972,493

Class

N

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

1,336,900

2,728,889

50,498

965,223

Class

R6

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

11,968,195

9,896,669

400,000

3,693,834

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

7.48

$

9.54

$

10.05

$

8.09

Class

N

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

$

7.45

$

9.54

$

10.05

$

8.01

Class

R6

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

$

7.49

$

9.53

$

10.05

$

8.11

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

775,827

$

224,554

$

—

$

2,138,796

*

AQR

Diversified

Arbitrage

Fund,

see

Note

4

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

251

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

22,640,990

$

442,375,820

$

143,067,992

$

67,300,197

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

22,644,373

$

442,402,713

$

149,449,615

$

45,550,028

Cash

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

—

2,670,006

47,438

130,737

Cash

denominated

in

foreign

currencies

‡

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

95,135

7,987,121

480,301

520,258

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

645,191

755,247

790,906

556,975

Unrealized

appreciation

on

OTC

swaps

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

36,059

7,378,819

13,858

227,406

Deposits

for

written

options

contracts

(premium-style)

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

—

—

—

171

Due

from

broker

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

28,545

54,171,789

45,994

3,006,899

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

payments

$335,357,

$—,

$—

and

$18,681,

respectively)

..........

477,571

—

—

297,263

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

.

2,611,453

6,382,916

3,891,492

1,948,154

Variation

margin

on

centrally

cleared

swaps

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

30,576

—

—

—

Variation

margin

on

futures

and

futures-style

options

contracts

......

56,408

2,442,270

122,078

23,799

Receivables:

Securities

sold

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

45

—

329,714

44,317

Foreign

tax

reclaims

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

—

550,972

99,649

123,989

Dividends

and

interest

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

3,020

43,100

96,449

53,138

Capital

shares

sold

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

445,006

525,736

1,007,569

4,818

Prepaid

expenses

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

30,266

59,243

23,004

45,594

Total

Assets

27,103,648

525,369,932

156,398,067

52,533,546

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $–,

$–,

$8,865,143

and

$6,868,693,

respectively)

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

—

—

8,655,192

10,177,279

Written

option

contracts

(premium-style),

at

value

(premiums

$–,

$–,

$–

and

$96,223,

respectively)

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

—

—

—

61,971

Reverse

repurchase

agreements,

at

value

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

—

—

10,001,992

—

Due

to

custodian

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

8,261

—

—

—

Due

to

broker

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

112,395

3,550,254

151,890

11,893

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

365,220

390,247

669,980

792,501

Unrealized

depreciation

on

OTC

swaps

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

24,058

6,647,424

9,521

1,056,458

Variation

margin

on

centrally

cleared

swaps

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

3

—

—

31,358

Variation

margin

on

futures

and

futures-style

options

contracts

......

193,101

—

212,139

75,452

Payables:

–

–

–

–

Securities

purchased

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

45

—

674,173

32,005

Accrued

investment

advisory

fees

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

9,163

457,663

63,562

30,311

Accrued

distribution

fees—Class

N

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

226

2,070

1,307

638

Accrued

Trustee

fees

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

—

—

—

152

Capital

shares

redeemed

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

1,037,656

587,745

1,029

49,765

Dividends

and

interest

payable

on

securities

sold

short

.........

—

—

9,271

6,657

Interest

payable

for

reverse

repurchase

agreements

...........

—

—

658

—

Other

accrued

expenses

and

liabilities

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

58,671

342,839

89,678

138,608

Total

Liabilities

1,808,799

11,978,242

20,540,392

12,465,048

Net

Assets

$

25,294,849

$

513,391,690

$

135,857,675

$

40,068,498

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

25,883,641

$

684,239,522

$

141,876,821

$

533,066,280

Total

distributable

earnings

(loss)

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

(588,792)

(170,847,832)

(6,019,146)

(492,997,782)

Net

Assets

$

25,294,849

$

513,391,690

$

135,857,675

$

40,068,498

NET

ASSETS:

Class

I

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

$

11,898,195

$

459,659,227

$

122,311,810

$

30,540,648

Class

N

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

1,051,272

9,393,672

6,316,407

3,095,046

Class

R6

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

12,345,382

44,338,791

7,229,458

6,432,804

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

1,290,433

49,187,391

13,672,331

6,074,489

Class

N

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

115,797

1,018,807

708,911

622,729

Class

R6

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

1,336,505

4,725,885

808,417

1,275,304

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.22

$

9.35

$

8.95

$

5.03

Class

N

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

$

9.08

$

9.22

$

8.91

$

4.97

Class

R6

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

$

9.24

$

9.38

$

8.94

$

5.04

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

94,581

$

7,909,858

$

490,257

$

527,105

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

252

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

108,279,705

$

28,662,424

$

85,155,675

$

585,011,811

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

—

387,563,931

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

108,349,999

$

29,002,571

$

85,932,143

$

592,409,242

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

—

—

387,707,870

Cash

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

—

36,304

59

461,782

Cash

denominated

in

foreign

currencies

‡

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

—

31,839

122,025

9,389,226

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

—

25,984

63,150

6,577,397

Unrealized

appreciation

on

OTC

swaps

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

566,640

5,255

22,501

5,604,836

Due

from

broker

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

2,155,761

127,060

210,418

120,138,834

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

(receipts)

$—,

$—,

$—

and

$(1,852,472),

respectively)

...........

—

—

—

17,189,787

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

.

9,211,324

2,073,006

2,807,831

86,541,172

Variation

margin

on

futures

and

futures-style

options

contracts

......

968,733

105,862

307,628

1,159,418

Receivables:

Securities

sold

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

—

—

139,314

96,886,452

Foreign

tax

reclaims

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

—

—

—

1,067,472

Dividends

and

interest

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

13,256

26,097

58,541

123,108

Capital

shares

sold

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

19,816

235

4,691

2,875,121

Prepaid

expenses

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

41,409

23,008

24,134

92,157

Total

Assets

121,326,938

31,457,221

89,692,435

1,328,223,874

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $–,

$–,

$–

and

$53,807,337,

respectively)

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

—

—

—

45,863,053

Reverse

repurchase

agreements,

at

value

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

—

3,477,000

—

—

Due

to

broker

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

77,754

50,028

1,500

628,587

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

—

20,270

46,664

6,867,200

Unrealized

depreciation

on

OTC

swaps

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

324,337

18,636

46,018

29,102,879

Deposits

from

brokers

for

futures

and

futures-style

options

contracts

.

—

—

—

146,742

Variation

margin

on

centrally

cleared

swaps

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

—

—

—

1,285,000

Variation

margin

on

futures

and

futures-style

options

contracts

......

58,078

69,150

102,203

807,381

Payables:

–

–

–

–

Securities

purchased

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

4,438,295

229,163

733,567

96,857,033

Accrued

investment

advisory

fees

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

57,626

3,962

39,236

1,257,668

Accrued

distribution

fees—Class

N

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

3,238

728

283

3,731

Accrued

Trustee

fees

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

—

—

—

188

Capital

shares

redeemed

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

23,609

—

140,488

6,548,524

Dividends

and

interest

payable

on

securities

sold

short

.........

—

—

—

29,350

Interest

payable

for

reverse

repurchase

agreements

...........

—

295

—

—

Other

accrued

expenses

and

liabilities

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

88,393

62,584

86,662

385,163

Total

Liabilities

5,071,330

3,931,816

1,196,621

189,782,499

Net

Assets

$

116,255,608

$

27,525,405

$

88,495,814

$

1,138,441,375

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

153,429,379

$

29,040,848

$

91,742,919

$

1,988,096,609

Total

distributable

earnings

(loss)

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

(37,173,771)

(1,515,443)

(3,247,105)

(849,655,234)

Net

Assets

$

116,255,608

$

27,525,405

$

88,495,814

$

1,138,441,375

NET

ASSETS:

Class

I

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

$

20,498,797

$

17,927,011

$

86,520,249

$

461,397,541

Class

N

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

16,074,090

3,678,594

1,392,067

17,257,801

Class

R6

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

79,682,721

5,919,800

583,498

659,786,033

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

4,074,552

2,254,565

9,816,630

70,250,488

Class

N

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

3,238,009

463,135

159,148

2,641,488

Class

R6

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

15,776,329

744,624

66,181

100,160,226

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

5.03

$

7.95

$

8.81

$

6.57

Class

N

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

$

4.96

$

7.94

$

8.75

$

6.53

Class

R6

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

$

5.05

$

7.95

$

8.82

$

6.59

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

31,795

$

121,919

$

9,341,606

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

253

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

AQR

VOLATILITY

RISK

PREMIUM

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

91,013,082

$

10,094,098

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

91,114,087

$

11,211,345

Cash

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

5,667

272,427

Cash

denominated

in

foreign

currencies

‡

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

782,864

13,522

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

314,479

—

Unrealized

appreciation

on

OTC

swaps

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

298,466

—

Deposits

for

written

options

contracts

(premium-style)

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

—

180

Due

from

broker

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

4,196

—

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

(receipts)

$(72,555)

and

$—,

respectively)

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

699,945

—

Deposits

with

brokers

for

futures

contracts

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

5,146,339

108,624

Variation

margin

on

futures

contracts

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

112,492

—

Receivables:

Securities

sold

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

—

6,993

Foreign

tax

reclaims

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

104,325

5,347

Dividends

and

interest

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

15,347

7,972

Capital

shares

sold

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

37,025

—

Due

from

Investment

Adviser

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

—

8,722

Prepaid

expenses

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

34,642

22,463

Total

Assets

98,669,874

11,657,595

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $2,362,090

and

$–,

respectively)

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

2,008,115

—

Written

option

contracts

(premium-style),

at

value

(premiums

$–

and

$260,367,

respectively)

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

—

200,621

Due

to

broker

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

18,910

2,910

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

358,597

—

Unrealized

depreciation

on

OTC

swaps

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

1,874,611

—

Variation

margin

on

centrally

cleared

swaps

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

59,566

—

Variation

margin

on

futures

contracts

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

125,658

16,600

Payables:

–

–

Securities

purchased

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

352,706

—

Accrued

investment

advisory

fees

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

31,231

—

Accrued

distribution

fees—Class

N

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

479

201

Capital

shares

redeemed

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

1,250,115

—

Dividends

and

interest

payable

on

securities

sold

short

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

1,220

—

Other

accrued

expenses

and

liabilities

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

100,208

42,944

Total

Liabilities

6,181,416

263,276

Net

Assets

$

92,488,458

$

11,394,319

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

127,218,691

$

11,689,066

Total

distributable

earnings

(loss)

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

(34,730,233)

(294,747)

Net

Assets

$

92,488,458

$

11,394,319

NET

ASSETS:

Class

I

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

$

80,439,942

$

1,416,749

Class

N

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

2,120,362

984,851

Class

R6

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

9,928,154

8,992,719

SHARES

OUTSTANDING:

–

–

Class

I

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

9,400,739

146,302

Class

N

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

249,851

101,887

Class

R6

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

1,157,864

928,616

NET

ASSET

VALUE:

–

–

Class

I

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

$

8.56

$

9.68

Class

N

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

$

8.49

$

9.67

Class

R6

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

$

8.57

$

9.68

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

776,158

$

13,179

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

254

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

PERIOD

06/08/20

*

-06/30/20

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

3,289,976

$

1,883,808

$

21

$

922,593

Affiliated

issuers

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

—

—

—

372,306

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

589,883

4,394,803

—

693,969

Total

Income

3,879,859

6,278,611

21

1,988,868

EXPENSES:

Investment

advisory

fees

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

1,438,743

2,609,401

—

1,158,018

Custody

fees

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

13,232

36,170

481

3,659

Administration

&

accounting

fees

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

55,333

120,635

973

48,544

Legal

fees

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

2,477

6,961

1,282

2,463

Audit

&

tax

fees

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

54,476

65,747

2,884

49,520

Shareholder

reporting

fees

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

26,393

65,402

854

25,781

Transfer

agent

fees

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

80,283

238,610

1,022

100,855

Trustee

fees

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

9,342

16,498

60

8,775

Offering

costs

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

—

—

2,780

—

Distribution

fees—Class

N

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

12,812

48,292

75

12,317

Dividends

and

interest

on

securities

sold

short

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

2,322,658

2,419,251

—

458,567

Interest

expense

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

7,408

21,969

—

8,458

Registration

fees

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

41,606

29,752

4,185

34,713

Pricing

fee

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

7,450

83,678

—

6,811

Other

expenses

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

17,712

5,128

61

2,977

Total

Expenses

4,089,925

5,767,494

14,657

1,921,458

Less

fee

reimbursements

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

(103,078)

(180,657)

(14,211)

(89,972)

Net

Expenses

3,986,847

5,586,837

446

1,831,486

Net

Investment

Income

(Loss)

(106,988)

691,774

(425)

157,382

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(16,517,715)

(3,312,831)

(29)

(5,326,454)

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

(4)

(303)

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(51,727)

(371,166)

—

777,563

Settlement

of

forward

foreign

currency

contracts

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

(6,433,385)

620,851

—

441,358

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

5,715,653

(689,875)

—

861,737

Closed

short

positions

in

securities

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

(934,727)

5,474,406

—

12,074,360

Expiration

or

closing

of

swap

contracts

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

(4,652,176)

(8,784,917)

—

(43,084,789)

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

(10,914,275)

—

—

—

Net

realized

gain

(loss)

(33,788,352)

(7,063,532)

(33)

(34,256,528)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(29,698,140)

13,811,082

19

(17,968,191)

Investment

securities

of

affiliated

issuers

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

—

—

26,531

3,188

Foreign

currency

and

foreign

currency

transactions

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

29,701

(53,089)

—

153,037

Forward

foreign

currency

exchange

contracts

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

(424,282)

131,094

—

555,253

Futures

and

futures-style

options

contracts

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

817,069

(78,492)

—

—

Short

positions

in

securities

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

20,941,753

(19,148,380)

—

2,195,750

Swap

contracts

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

(899,258)

18,237,392

—

21,404,894

Written

option

contracts

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

390,850

—

—

—

Net

change

in

unrealized

appreciation

(depreciation)

(8,842,307)

12,899,607

26,550

6,343,931

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(42,630,659)

5,836,075

26,517

(27,912,597)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(42,737,647)

$

6,527,849

$

26,092

$

(27,755,215)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

218,759

$

8,538

$

—

$

153,268

*

Commencement

of

operations.

Statements

of

Operations

255

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

50,460

$

535,636

$

813,213

$

752,157

Affiliated

issuers

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

—

984,701

—

204,445

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

76,625

3,176,103

19,956

843,892

Interfund

lending

income

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

—

114

—

—

Total

Income

127,085

4,696,554

833,169

1,800,494

EXPENSES:

Investment

advisory

fees

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

164,310

4,100,320

477,477

1,268,174

Custody

fees

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

9,790

32,840

14,188

18,031

Administration

&

accounting

fees

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

6,076

171,935

29,440

33,430

Legal

fees

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

611

8,420

2,424

5,106

Audit

&

tax

fees

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

53,511

53,025

56,324

65,873

Shareholder

reporting

fees

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

3,328

91,387

13,586

23,322

Transfer

agent

fees

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

15,904

355,230

70,539

53,981

Trustee

fees

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

3,314

24,875

6,070

7,778

Distribution

fees—Class

N

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

1,401

21,013

10,418

5,343

Dividends

and

interest

on

securities

sold

short

and

reverse

repurchase

agreements

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

—

6,097

153,044

369,609

Interest

expense

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

1,311

21,461

3,511

9,664

Registration

fees

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

26,279

33,878

25,335

36,198

Pricing

fee

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

5,852

10,583

1,576

33,049

Other

expenses

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

266

11,000

1,704

3,608

Total

Expenses

291,953

4,942,064

865,636

1,933,166

Less

fee

reimbursements

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

(104,446)

(79,786)

(96,333)

(164,804)

Net

Expenses

187,507

4,862,278

769,303

1,768,362

Net

Investment

Income

(Loss)

(60,422)

(165,724)

63,866

32,132

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(27,325)

93,882

(5,544,905)

9,889,684

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

98,242

—

39,807

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(123,284)

3,920,427

(149,502)

328,409

Settlement

of

forward

foreign

currency

contracts

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

(50,745)

(2,220,627)

(2,333,334)

(1,480,495)

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

(1,468,475)

(39,461,180)

(1,849,918)

(8,909,229)

Closed

short

positions

in

securities

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

—

729,564

2,551,075

(314,374)

Expiration

or

closing

of

swap

contracts

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

511,997

(226,398,052)

(401,898)

(61,500,522)

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

—

—

—

(4,754,000)

Net

realized

gain

(loss)

(1,157,832)

(263,237,744)

(7,728,482)

(66,700,720)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(760)

(12,444)

(2,628,087)

(14,242,214)

Investment

securities

of

affiliated

issuers

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

—

(10,406)

—

(11,882)

Foreign

currency

and

foreign

currency

transactions

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

(10,727)

581,637

133,667

(233,471)

Forward

foreign

currency

exchange

contracts

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

416,079

(2,106,094)

(83,053)

992,816

Futures

and

futures-style

options

contracts

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

11,270

(1,653,922)

1,432,944

(824,362)

Short

positions

in

securities

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

—

168,404

432,396

3,290,718

Swap

contracts

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

(81,588)

116,501,891

(56,506)

26,905,787

Written

option

contracts

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

—

—

—

39,363

Net

change

in

unrealized

appreciation

(depreciation)

334,274

113,469,066

(768,639)

15,916,755

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(823,558)

(149,768,678)

(8,497,121)

(50,783,965)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(883,980)

$

(149,934,402)

$

(8,433,255)

$

(50,751,833)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

—

$

7,500

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

256

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

RISK

PARITY

II

HV

FUND

**

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

425,867

$

46,502

$

176,154

$

3,569,927

Affiliated

issuers

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

—

—

—

3,438,632

Interest

income:

—

—

—

—

Unaffiliated

issuers

††

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

598,155

(39,602)

(15,957)

3,624,581

Interfund

lending

income

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

—

—

—

3,520

Total

Income

1,024,022

6,900

160,197

10,636,660

EXPENSES:

Investment

advisory

fees

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

666,512

141,411

373,914

10,660,109

Custody

fees

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

11,426

10,558

11,417

26,198

Administration

&

accounting

fees

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

38,474

6,877

23,033

364,310

Legal

fees

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

3,719

695

1,654

19,571

Audit

&

tax

fees

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

48,327

52,606

50,573

61,746

Shareholder

reporting

fees

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

22,190

3,624

11,073

203,547

Transfer

agent

fees

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

40,437

22,850

58,464

366,752

Trustee

fees

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

7,523

3,434

5,329

48,726

Distribution

fees—Class

N

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

16,559

5,114

2,064

35,335

Dividends

and

interest

on

securities

sold

short

and

reverse

repurchase

agreements

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

—

30,156

—

3,305,875

Interest

expense

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

3,605

1,058

2,622

90,518

Registration

fees

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

26,478

24,347

24,243

51,507

Pricing

fee

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

70

140

163

10,522

Other

expenses

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

2,501

323

1,077

22,306

Total

Expenses

887,821

303,193

565,626

15,267,022

Less

fee

reimbursements

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

(87,201)

(96,318)

(87,625)

(433,073)

Net

Expenses

800,620

206,875

478,001

14,833,949

Net

Investment

Income

(Loss)

223,402

(199,975)

(317,804)

(4,197,289)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

160,864

(404,367)

(1,027,723)

156,370,047

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

—

614,496

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(2,062)

40,805

91,836

2,381,385

Settlement

of

forward

foreign

currency

contracts

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

—

258,146

537,391

(35,067,435)

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

(34,156,978)

(2,496,905)

(4,767,332)

(46,349,326)

Closed

short

positions

in

securities

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

—

—

—

14,227,030

Expiration

or

closing

of

swap

contracts

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

(10,481,809)

(546,691)

(1,755,303)

(342,976,248)

Net

realized

gain

(loss)

(44,479,985)

(3,149,012)

(6,921,131)

(250,800,051)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

15,428

132,119

316,776

(171,735,601)

Investment

securities

of

affiliated

issuers

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

—

—

—

(48,308)

Foreign

currency

and

foreign

currency

transactions

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

(126)

(2,615)

(6,454)

561,760

Forward

foreign

currency

exchange

contracts

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

—

100,620

244,819

1,453,886

Futures

and

futures-style

options

contracts

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

(6,601,813)

209,344

496,011

29,218,763

Short

positions

in

securities

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

—

—

—

6,118,137

Swap

contracts

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

(3,917,585)

(97,773)

(246,209)

62,264,832

Net

change

in

unrealized

appreciation

(depreciation)

(10,504,096)

341,695

804,943

(72,166,531)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(54,984,081)

(2,807,317)

(6,116,188)

(322,966,582)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(54,760,679)

$

(3,007,292)

$

(6,433,992)

$

(327,163,871)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

20

$

957

$

—

$

507,366

††

Including

deflation

adju

stments

on

inflation

protected

securities

of

.

$

—

$

129,896

$

287,981

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

257

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

159,233

$

95,344

Affiliated

issuers

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

539,818

—

Interest

income:

—

—

Unaffiliated

issuers

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

419,145

—

Total

Income

1,118,196

95,344

EXPENSES:

Investment

advisory

fees

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

538,375

31,039

Custody

fees

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

7,209

2,427

Administration

&

accounting

fees

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

38,183

1,234

Legal

fees

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

3,826

1,355

Audit

&

tax

fees

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

57,395

46,156

Shareholder

reporting

fees

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

21,548

1,348

Transfer

agent

fees

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

74,400

9,073

Trustee

fees

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

7,472

2,913

Distribution

fees—Class

N

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

4,080

1,222

Dividends

and

interest

on

securities

sold

short

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

86,275

—

Interest

expense

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

8,006

204

Registration

fees

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

32,827

20,723

Pricing

fee

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

9,588

755

Other

expenses

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

2,060

118

Total

Expenses

891,244

118,567

Less

fee

reimbursements

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

(106,896)

(79,279)

Net

Expenses

784,348

39,288

Net

Investment

Income

(Loss)

333,848

56,056

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

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

3,845,919

(454,391)

Transactions

in

investment

securities

of

affiliated

issuers

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

127,278

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

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

161,208

369

Settlement

of

forward

foreign

currency

contracts

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

(1,928,705)

—

Expiration

or

closing

of

futures

and

futures-style

options

contracts

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

(3,296,507)

502,466

Closed

short

positions

in

securities

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

(1,415,418)

—

Expiration

or

closing

of

swap

contracts

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

(11,113,698)

—

Expiration

or

closing

of

written

option

contracts

(premium-style)

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

—

(1,039,596)

Net

realized

gain

(loss)

(13,619,923)

(991,152)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(7,272,584)

79,231

Investment

securities

of

affiliated

issuers

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

(4,082)

—

Foreign

currency

and

foreign

currency

transactions

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

13,589

(257)

Forward

foreign

currency

exchange

contracts

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

227,589

—

Futures

and

futures-style

options

contracts

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

1,701,288

4,779

Short

positions

in

securities

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

3,763,526

—

Swap

contracts

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

(2,820,985)

—

Written

option

contracts

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

—

37,739

Net

change

in

unrealized

appreciation

(depreciation)

(4,391,659)

121,492

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(18,011,582)

(869,660)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(17,677,734)

$

(813,604)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

20,749

$

4,481

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

258

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(106,988)

$

1,939,253

$

691,774

$

4,027,480

Net

realized

gain

(loss)

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

(33,788,352)

(43,495,854)

(7,063,532)

17,493,298

Net

change

in

unrealized

appreciation

(depreciation)

.......

(8,842,307)

33,381,094

12,899,607

16,448,387

Net increase

(decrease)

in

net

assets

resulting

from

operations

(42,737,647)

(8,175,507)

6,527,849

37,969,165

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(1,268,769)

—

(9,543,069)

Class

N

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

—

(51,374)

—

(1,000,382)

Class

R6

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

—

(679,978)

—

(456,712)

Total

distributions

—

(2,000,121)

—

(11,000,163)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

59,760,128

157,006,742

154,356,636

226,431,267

Reinvestment

of

distributions

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

—

1,256,968

—

6,544,727

Cost

of

shares

redeemed

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

(79,927,383)

(269,352,660)

(238,473,170)

(110,213,810)

Net

increase

(decrease)

from

capital

transactions

(20,167,255)

(111,088,950)

(84,116,534)

122,762,184

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

6,655,122

6,466,333

8,782,586

10,073,637

Reinvestment

of

distributions

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

—

51,374

—

993,345

Cost

of

shares

redeemed

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

(3,665,958)

(8,628,323)

(36,693,094)

(25,446,050)

Net

increase

(decrease)

from

capital

transactions

2,989,164

(2,110,616)

(27,910,508)

(14,379,068)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

121,571,834

149,749,670

89,754,511

12,147,262

Reinvestment

of

distributions

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

—

677,934

—

328,736

Cost

of

shares

redeemed

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

(96,808,580)

(162,942,747)

(14,860,077)

(7,928,226)

Net

increase

(decrease)

from

capital

transactions

24,763,254

(12,515,143)

74,894,434

4,547,772

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

7,585,163

(125,714,709)

(37,132,608)

112,930,888

Total

increase

(decrease)

in

net

assets

(35,152,484)

(135,890,337)

(30,604,759)

139,899,890

NET

ASSETS:

Beginning

of

period

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

235,533,566

371,423,903

538,956,505

399,056,615

End

of

period

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

$

200,381,082

$

235,533,566

$

508,351,746

$

538,956,505

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

259

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

16,218,999

28,218,036

49,900,354

36,459,796

Shares

sold

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

7,009,685

16,882,156

16,905,306

24,819,158

Shares

issued

on

reinvestment

of

distributions

...........

—

140,600

—

705,251

Shares

redeemed

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

(9,756,658)

(29,021,793)

(26,131,435)

(12,083,851)

Shares

outstanding,

end

of

period

13,472,026

16,218,999

40,674,225

49,900,354

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,012,625

1,242,488

5,978,981

7,561,487

Shares

sold

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

761,116

694,072

966,584

1,100,646

Shares

issued

on

reinvestment

of

distributions

...........

—

5,759

—

106,811

Shares

redeemed

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

(436,841)

(929,694)

(4,216,676)

(2,789,963)

Shares

outstanding,

end

of

period

1,336,900

1,012,625

2,728,889

5,978,981

CLASS

R6

Shares

outstanding,

beginning

of

period

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

9,236,940

10,679,328

2,054,739

1,563,194

Shares

sold

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

14,646,403

16,097,977

9,502,113

1,322,476

Shares

issued

on

reinvestment

of

distributions

...........

—

75,747

—

35,501

Shares

redeemed

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

(11,915,148)

(17,616,112)

(1,660,183)

(866,432)

Shares

outstanding,

end

of

period

11,968,195

9,236,940

9,896,669

2,054,739

Statements

of

Changes

in

Net

Assets

(Continued)

260

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

PERIOD

6/08/20

*

-

6/30/20

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(425)

$

157,382

$

8,055,545

Net

realized

gain

(loss)

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

(33)

(34,256,528)

(21,703,938)

Net

change

in

unrealized

appreciation

(depreciation)

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

26,550

6,343,931

(75,713,678)

Net increase

(decrease)

in

net

assets

resulting

from

operations

26,092

(27,755,215)

(89,362,071)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

—

(7,790,074)

Class

N

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

—

—

(548,127)

Class

R6

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

—

—

(1,491,330)

Total

distributions

—

—

(9,829,531)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

Proceeds

from

shares

sold

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

3,601,117

33,019,636

205,860,741

Reinvestment

of

distributions

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

—

—

6,437,151

Cost

of

shares

redeemed

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

—

(98,318,105)

(641,318,640)

Net

increase

(decrease)

from

capital

transactions

3,601,117

(65,298,469)

(429,020,748)

CLASS

N

—

—

—

Proceeds

from

shares

sold

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

505,001

2,607,280

23,062,079

Reinvestment

of

distributions

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

—

—

545,211

Cost

of

shares

redeemed

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

—

(7,698,130)

(204,642,823)

Net

increase

(decrease)

from

capital

transactions

505,001

(5,090,850)

(181,035,533)

CLASS

R6

—

—

—

Proceeds

from

shares

sold

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

4,000,000

5,461,467

13,217,228

Reinvestment

of

distributions

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

—

—

1,294,751

Cost

of

shares

redeemed

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

—

(9,432,223)

(168,270,079)

Net

increase

(decrease)

from

capital

transactions

4,000,000

(3,970,756)

(153,758,100)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

8,106,118

(74,360,075)

(763,814,381)

Total

increase

(decrease)

in

net

assets

8,132,210

(102,115,290)

(863,005,983)

NET

ASSETS:

Beginning

of

period

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

—

260,919,817

1,123,925,800

End

of

period

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

$

8,132,210

$

158,804,527

$

260,919,817

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

261

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

PERIOD

6/08/20

*

-

6/30/20

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

—

22,686,831

65,873,312

Shares

sold

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

358,573

3,753,011

19,880,367

Shares

issued

on

reinvestment

of

distributions

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

—

—

691,423

Shares

redeemed

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

—

(11,467,349)

(63,758,271)

Shares

outstanding,

end

of

period

358,573

14,972,493

22,686,831

CLASS

N

Shares

outstanding,

beginning

of

period

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

—

1,549,427

19,566,477

Shares

sold

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

50,498

322,017

2,202,684

Shares

issued

on

reinvestment

of

distributions

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

—

—

59,069

Shares

redeemed

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

—

(906,221)

(20,278,803)

Shares

outstanding,

end

of

period

50,498

965,223

1,549,427

CLASS

R6

Shares

outstanding,

beginning

of

period

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

—

4,135,843

19,134,890

Shares

sold

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

400,000

638,612

1,287,475

Shares

issued

on

reinvestment

of

distributions

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

—

—

138,773

Shares

redeemed

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

—

(1,080,621)

(16,425,295)

Shares

outstanding,

end

of

period

400,000

3,693,834

4,135,843

*

Commencement

of

operations.

Statements

of

Changes

in

Net

Assets

(Continued)

262

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-SHORT

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(60,422)

$

194,430

$

(165,724)

$

13,905,400

Net

realized

gain

(loss)

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

(1,157,832)

182,380

(263,237,744)

105,748,364

Net

change

in

unrealized

appreciation

(depreciation)

.......

334,274

1,182,736

113,469,066

(106,397,191)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(883,980)

1,559,546

(149,934,402)

13,256,573

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(7,978)

—

—

Class

N

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

—

(589)

—

—

Class

R6

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

—

(5,854)

—

—

Total

distributions

—

(14,421)

—

—

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

2,809,824

15,026,352

125,319,198

575,379,819

Reinvestment

of

distributions

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

—

7,978

—

—

Cost

of

shares

redeemed

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

(5,412,877)

(21,136,582)

(432,461,029)

(1,382,311,476)

Net

increase

(decrease)

from

capital

transactions

(2,603,053)

(6,102,252)

(307,141,831)

(806,931,657)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

382,284

1,015,451

1,618,408

16,852,037

Reinvestment

of

distributions

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

—

589

—

—

Cost

of

shares

redeemed

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

(463,573)

(17,044,026)

(17,103,039)

(106,143,566)

Net

increase

(decrease)

from

capital

transactions

(81,289)

(16,027,986)

(15,484,631)

(89,291,529)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

1,068,427

12,005

24,534,403

13,747,921

Reinvestment

of

distributions

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

—

5,849

—

—

Cost

of

shares

redeemed

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

(204,479)

(810,728)

(44,825,301)

(145,628,044)

Net

increase

(decrease)

from

capital

transactions

863,948

(792,874)

(20,290,898)

(131,880,123)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(1,820,394)

(22,923,112)

(342,917,360)

(1,028,103,309)

Total

increase

(decrease)

in

net

assets

(2,704,374)

(21,377,987)

(492,851,762)

(1,014,846,736)

NET

ASSETS:

Beginning

of

period

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

27,999,223

49,377,210

1,006,243,452

2,021,090,188

End

of

period

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

$

25,294,849

$

27,999,223

$

513,391,690

$

1,006,243,452

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

263

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-SHORT

EQUITY

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

1,573,992

2,227,724

81,348,092

155,099,515

Shares

sold

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

299,139

1,627,269

12,495,568

51,840,834

Shares

issued

on

reinvestment

of

distributions

...........

—

830

—

—

Shares

redeemed

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

(582,698)

(2,281,831)

(44,656,269)

(125,592,257)

Shares

outstanding,

end

of

period

1,290,433

1,573,992

49,187,391

81,348,092

CLASS

N

Shares

outstanding,

beginning

of

period

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

124,939

1,903,036

2,621,145

10,817,989

Shares

sold

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

41,294

111,729

162,858

1,538,748

Shares

issued

on

reinvestment

of

distributions

...........

—

62

—

—

Shares

redeemed

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

(50,436)

(1,889,888)

(1,765,196)

(9,735,592)

Shares

outstanding,

end

of

period

115,797

124,939

1,018,807

2,621,145

CLASS

R6

Shares

outstanding,

beginning

of

period

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

1,242,121

1,329,111

6,862,414

18,792,779

Shares

sold

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

116,565

1,259

2,556,583

1,238,828

Shares

issued

on

reinvestment

of

distributions

...........

—

608

—

—

Shares

redeemed

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

(22,181)

(88,857)

(4,693,112)

(13,169,193)

Shares

outstanding,

end

of

period

1,336,505

1,242,121

4,725,885

6,862,414

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

264

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MULTI-ASSET

FUND

**

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

63,866

$

2,499,955

$

32,132

$

2,186,587

Net

realized

gain

(loss)

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

(7,728,482)

24,023,152

(66,700,720)

(83,098,335)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(768,639)

13,429,318

15,916,755

2,606,012

Net increase

(decrease)

in

net

assets

resulting

from

operations

(8,433,255)

39,952,425

(50,751,833)

(78,305,736)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

—

(7,826,259)

—

—

Class

N

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

—

(679,342)

—

—

Class

R6

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

—

(294,420)

—

—

Total

distributions

—

(8,800,021)

—

—

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

61,000,525

26,119,567

11,441,644

85,420,221

Reinvestment

of

distributions

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

—

6,899,732

—

—

Cost

of

shares

redeemed

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

(50,990,678)

(159,202,833)

(145,993,421)

(622,333,724)

Net

increase

(decrease)

from

capital

transactions

10,009,847

(126,183,534)

(134,551,777)

(536,913,503)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

331,919

782,310

244,554

15,031,022

Reinvestment

of

distributions

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

—

677,289

—

—

Cost

of

shares

redeemed

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

(4,468,630)

(4,029,937)

(1,878,110)

(371,426,052)

Net

increase

(decrease)

from

capital

transactions

(4,136,711)

(2,570,338)

(1,633,556)

(356,395,030)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

3,141,417

1,493,850

11,704,186

90,778,696

Reinvestment

of

distributions

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

—

294,420

—

—

Cost

of

shares

redeemed

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

(268,945)

(23,275,947)

(117,662,155)

(257,757,035)

Net

increase

(decrease)

from

capital

transactions

2,872,472

(21,487,677)

(105,957,969)

(166,978,339)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

8,745,608

(150,241,549)

(242,143,302)

(1,060,286,872)

Total

increase

(decrease)

in

net

assets

312,353

(119,089,145)

(292,895,135)

(1,138,592,608)

NET

ASSETS:

Beginning

of

period

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

135,545,322

254,634,467

332,963,633

1,471,556,241

End

of

period

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

$

135,857,675

$

135,545,322

$

40,068,498

$

332,963,633

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

265

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MULTI-ASSET

FUND

**

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

12,373,196

25,535,240

27,243,059

99,406,698

Shares

sold

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

6,949,670

2,761,318

1,904,586

11,216,999

Shares

issued

on

reinvestment

of

distributions

...........

—

714,258

—

—

Shares

redeemed

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

(5,650,535)

(16,637,620)

(23,073,156)

(83,380,638)

Shares

outstanding,

end

of

period

13,672,331

12,373,196

6,074,489

27,243,059

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,180,290

1,449,019

893,886

47,853,329

Shares

sold

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

36,409

82,769

45,856

1,958,757

Shares

issued

on

reinvestment

of

distributions

...........

—

70,258

—

—

Shares

redeemed

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

(507,788)

(421,756)

(317,013)

(48,918,200)

Shares

outstanding,

end

of

period

708,911

1,180,290

622,729

893,886

CLASS

R6

Shares

outstanding,

beginning

of

period

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

486,163

2,928,896

19,181,639

41,536,191

Shares

sold

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

352,096

152,687

1,674,763

12,023,241

Shares

issued

on

reinvestment

of

distributions

...........

—

30,478

—

—

Shares

redeemed

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

(29,842)

(2,625,898)

(19,581,098)

(34,377,793)

Shares

outstanding,

end

of

period

808,417

486,163

1,275,304

19,181,639

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

266

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

RISK

PARITY

II

HV

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

223,402

$

2,712,446

$

(199,975)

$

149,278

Net

realized

gain

(loss)

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

(44,479,985)

13,246,218

(3,149,012)

7,449,759

Net

change

in

unrealized

appreciation

(depreciation)

.......

(10,504,096)

26,995,402

341,695

784,917

Net increase

(decrease)

in

net

assets

resulting

from

operations

(54,760,679)

42,954,066

(3,007,292)

8,383,954

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

(5,315,484)

—

(2,881,853)

Class

N

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

—

(665,640)

—

(502,100)

Class

R6

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

—

(7,398,683)

—

(97,844)

Total

—

(13,379,807)

—

(3,481,797)

Return

of

capital:

—

—

—

—

Class

I

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

—

(2,012)

—

—

Class

N

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

—

(283)

—

—

Class

R6

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

—

(2,569)

—

—

Total

—

(4,864)

—

—

Total

distributions

—

(13,384,671)

—

(3,481,797)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

9,545,816

25,651,638

1,762,702

7,128,526

Reinvestment

of

distributions

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

—

4,124,956

—

2,077,054

Cost

of

shares

redeemed

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

(75,717,174)

(32,124,762)

(8,903,071)

(6,077,393)

Net

increase

(decrease)

from

capital

transactions

(66,171,358)

(2,348,168)

(7,140,369)

3,128,187

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

7,367,824

4,725,900

669,734

422,852

Reinvestment

of

distributions

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

—

665,923

—

502,100

Cost

of

shares

redeemed

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

(2,324,849)

(11,115,268)

(1,428,952)

(899,689)

Net

increase

(decrease)

from

capital

transactions

5,042,975

(5,723,445)

(759,218)

25,263

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

9,538,933

11,972,722

5,308,148

84,884

Reinvestment

of

distributions

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

—

7,400,954

—

83,188

Cost

of

shares

redeemed

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

(44,807,308)

(43,741,383)

(314,238)

(138,019)

Net

increase

(decrease)

from

capital

transactions

(35,268,375)

(24,367,707)

4,993,910

30,053

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(96,396,758)

(32,439,320)

(2,905,677)

3,183,503

Total

increase

(decrease)

in

net

assets

(151,157,437)

(2,869,925)

(5,912,969)

8,085,660

NET

ASSETS:

Beginning

of

period

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

267,413,045

270,282,970

33,438,374

25,352,714

End

of

period

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

$

116,255,608

$

267,413,045

$

27,525,405

$

33,438,374

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

267

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

AQR

RISK

PARITY

II

HV

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

16,598,224

17,068,772

3,168,142

2,796,989

Shares

sold

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

1,861,562

4,249,283

223,184

846,310

Shares

issued

on

reinvestment

of

distributions

...........

—

663,176

—

239,568

Shares

redeemed

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

(14,385,234)

(5,383,007)

(1,136,761)

(714,725)

Shares

outstanding,

end

of

period

4,074,552

16,598,224

2,254,565

3,168,142

CLASS

N

Shares

outstanding,

beginning

of

period

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

2,172,479

3,130,810

559,066

563,726

Shares

sold

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

1,517,569

796,135

77,791

46,206

Shares

issued

on

reinvestment

of

distributions

...........

—

108,457

—

57,912

Shares

redeemed

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

(452,039)

(1,862,923)

(173,722)

(108,778)

Shares

outstanding,

end

of

period

3,238,009

2,172,479

463,135

559,066

CLASS

R6

Shares

outstanding,

beginning

of

period

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

23,405,902

27,627,748

109,367

105,366

Shares

sold

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

1,945,545

1,985,800

675,320

9,403

Shares

issued

on

reinvestment

of

distributions

...........

—

1,186,050

—

9,606

Shares

redeemed

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

(9,575,118)

(7,393,696)

(40,063)

(15,008)

Shares

outstanding,

end

of

period

15,776,329

23,405,902

744,624

109,367

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

268

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(317,804)

$

990,018

$

(4,197,289)

$

8,427,510

Net

realized

gain

(loss)

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

(6,921,131)

15,228,941

(250,800,051)

(145,289,150)

Net

change

in

unrealized

appreciation

(depreciation)

.......

804,943

1,728,477

(72,166,531)

(94,301,414)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(6,433,992)

17,947,436

(327,163,871)

(231,163,054)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

(10,512,914)

—

(14,824,074)

Class

N

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

—

(196,003)

—

(663,746)

Class

R6

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

—

(44,648)

—

(18,280,787)

Total

—

(10,753,565)

—

(33,768,607)

Return

of

capital:

—

—

—

—

Class

I

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

—

—

—

(904)

Class

N

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

—

—

—

(40)

Class

R6

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

—

—

—

(777)

Total

—

—

—

(1,721)

Total

distributions

—

(10,753,565)

—

(33,770,328)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

3,374,190

35,240,225

176,613,249

617,096,262

Reinvestment

of

distributions

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

—

9,740,055

—

13,262,027

Cost

of

shares

redeemed

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

(19,792,471)

(6,568,665)

(443,163,142)

(1,387,028,097)

Net

increase

(decrease)

from

capital

transactions

(16,418,281)

38,411,615

(266,549,893)

(756,669,808)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

69,610

424,288

3,487,227

22,257,397

Reinvestment

of

distributions

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

—

196,003

—

638,706

Cost

of

shares

redeemed

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

(761,341)

(907,488)

(21,130,329)

(58,798,648)

Net

increase

(decrease)

from

capital

transactions

(691,731)

(287,197)

(17,643,102)

(35,902,545)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

186,596

—

265,195,721

461,478,228

Reinvestment

of

distributions

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

—

44,648

—

17,264,975

Cost

of

shares

redeemed

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

(34,878)

(362,146)

(586,718,902)

(651,263,343)

Net

increase

(decrease)

from

capital

transactions

151,718

(317,498)

(321,523,181)

(172,520,140)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(16,958,294)

37,806,920

(605,716,176)

(965,092,493)

Total

increase

(decrease)

in

net

assets

(23,392,286)

45,000,791

(932,880,047)

(1,230,025,875)

NET

ASSETS:

Beginning

of

period

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

111,888,100

66,887,309

2,071,321,422

3,301,347,297

End

of

period

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

$

88,495,814

$

111,888,100

$

1,138,441,375

$

2,071,321,422

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

269

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

11,733,439

7,567,807

106,373,674

195,099,458

Shares

sold

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

388,700

3,808,740

23,360,733

69,328,736

Shares

issued

on

reinvestment

of

distributions

...........

—

1,049,575

—

1,611,425

Shares

redeemed

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

(2,305,509)

(692,683)

(59,483,919)

(159,665,945)

Shares

outstanding,

end

of

period

9,816,630

11,733,439

70,250,488

106,373,674

CLASS

N

Shares

outstanding,

beginning

of

period

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

237,647

264,351

5,010,960

9,202,006

Shares

sold

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

8,201

45,097

469,394

2,523,622

Shares

issued

on

reinvestment

of

distributions

...........

—

21,258

—

77,891

Shares

redeemed

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

(86,700)

(93,059)

(2,838,866)

(6,792,559)

Shares

outstanding,

end

of

period

159,148

237,647

2,641,488

5,010,960

CLASS

R6

Shares

outstanding,

beginning

of

period

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

49,900

82,163

142,483,592

161,609,679

Shares

sold

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

20,006

—

34,799,467

53,256,825

Shares

issued

on

reinvestment

of

distributions

...........

—

4,811

—

2,092,724

Shares

redeemed

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

(3,725)

(37,074)

(77,122,833)

(74,475,636)

Shares

outstanding,

end

of

period

66,181

49,900

100,160,226

142,483,592

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

270

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

333,848

$

4,444,518

$

56,056

$

168,483

Net

realized

gain

(loss)

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

(13,619,923)

(8,064,551)

(991,152)

(367,711)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(4,391,659)

(6,586,142)

121,492

1,397,741

Net increase

(decrease)

in

net

assets

resulting

from

operations

(17,677,734)

(10,206,175)

(813,604)

1,198,513

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

—

(182,401)

—

(29,676)

Class

N

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

—

—

—

(18,220)

Class

R6

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

—

(56,803)

—

(190,100)

Total

—

(239,204)

—

(237,996)

Return

of

capital:

—

—

—

—

Class

I

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

—

(28,079)

—

—

Class

R6

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

—

(5,691)

—

—

Total

—

(33,770)

—

—

Total

distributions

—

(272,974)

—

(237,996)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

38,523,150

119,808,640

91,369

435,034

Reinvestment

of

distributions

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

—

190,873

—

29,676

Cost

of

shares

redeemed

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

(138,042,998)

(325,473,507)

(103,480)

(111,257)

Net

increase

(decrease)

from

capital

transactions

(99,519,848)

(205,473,994)

(12,111)

353,453

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

61,853

1,928,483

75

1,158

Reinvestment

of

distributions

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

—

—

—

18,220

Cost

of

shares

redeemed

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

(1,945,862)

(19,112,898)

(80)

(1,169)

Net

increase

(decrease)

from

capital

transactions

(1,884,009)

(17,184,415)

(5)

18,209

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

70,635,169

51,316,011

11,500

—

Reinvestment

of

distributions

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

—

62,494

—

190,100

Cost

of

shares

redeemed

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

(113,608,174)

(44,904,903)

(78,537)

—

Net

increase

(decrease)

from

capital

transactions

(42,973,005)

6,473,602

(67,037)

190,100

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(144,376,862)

(216,184,807)

(79,153)

561,762

Total

increase

(decrease)

in

net

assets

(162,054,596)

(226,663,956)

(892,757)

1,522,279

NET

ASSETS:

Beginning

of

period

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

254,543,054

481,207,010

12,287,076

10,764,797

End

of

period

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

$

92,488,458

$

254,543,054

$

11,394,319

$

12,287,076

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

271

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

**

AQR

VOLATILITY

RISK

PREMIUM

FUND

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

20,073,949

40,707,426

147,053

111,628

Shares

sold

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

4,199,542

12,157,845

9,523

43,150

Shares

issued

on

reinvestment

of

distributions

...........

—

19,739

—

2,862

Shares

redeemed

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

(14,872,752)

(32,811,061)

(10,274)

(10,587)

Shares

outstanding,

end

of

period

9,400,739

20,073,949

146,302

147,053

CLASS

N

Shares

outstanding,

beginning

of

period

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

457,827

2,197,135

101,887

100,126

Shares

sold

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

6,664

194,649

9

116

Shares

issued

on

reinvestment

of

distributions

...........

—

—

—

1,759

Shares

redeemed

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

(214,640)

(1,933,957)

(9)

(114)

Shares

outstanding,

end

of

period

249,851

457,827

101,887

101,887

CLASS

R6

Shares

outstanding,

beginning

of

period

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

5,905,940

5,182,314

935,093

916,760

Shares

sold

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

7,459,431

5,271,072

1,106

—

Shares

issued

on

reinvestment

of

distributions

...........

—

6,449

—

18,333

Shares

redeemed

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

(12,207,507)

(4,553,895)

(7,583)

—

Shares

outstanding,

end

of

period

1,157,864

5,905,940

928,616

935,093

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

272

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

(42,737,647)

$

6,527,849

$

(27,755,215)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

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

(89,985,766)

(977,323,938)

(38,653,428)

Payments

to

cover

short

positions

in

securities

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

(123,769,454)

(519,323,963)

(76,738,795)

Proceeds

from

sale

of

securities

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

94,274,971

1,031,477,081

119,323,419

Proceeds

from

short

positions

in

securities

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

118,622,900

550,566,401

21,972,105

Proceeds

from

option

contracts

written

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

10,463,942

—

—

Payments

to

close

option

contracts

written

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

(20,862,261)

—

—

(Purchases)

sales

of

short-term

investments,

net

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

6,580,853

2,672,078

96,581,194

Realized

(gain)

loss

on

investments

in

securities

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

16,517,715

3,312,831

5,326,757

Realized

(gain)

loss

on

short

positions

in

securities

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

934,727

(5,474,406)

(12,074,360)

Realized

(gain)

loss

on

option

contracts

written

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

10,914,275

—

—

Realized

(gain)

loss

on

paydowns

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

—

(1,914)

—

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

29,698,140

(13,811,082)

17,965,003

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

(20,941,753)

19,148,380

(2,195,750)

Change

in

unrealized

(appreciation)

depreciation

on

option

contracts

written

....

(390,850)

—

—

Amortization

(accretion)

of

bond

premium

(discount)

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

(589,883)

(857,028)

(693,969)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

(241,664)

(43,523,946)

(119,984)

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

..........

1,770,771

(1,696,723)

979

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

5,526,056

(13,435)

53,865

Unrealized

appreciation

on

OTC

swaps

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

725,707

(3,857,742)

(1,060,230)

Deposits

for

securities

sold

short

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

(4,118,537)

4,698,853

(2,976,892)

Deposits  for

written

options

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

7,563,689

—

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

—

(1,425,772)

—

Variation

margin

on

centrally

cleared

swaps

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

—

8,183

—

Variation

margin

on

futures

and

futures-style

options

contracts

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

(276,294)

(275,133)

—

Foreign

tax

reclaim

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

(62,165)

37,391

199,490

Dividends

and

Interest

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

282,843

824,345

148,878

Prepaid

expenses

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

(9,297)

(8,854)

11,852

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

(806,813)

252,634

91,207

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

(5,101,774)

(117,659)

(609,118)

Unrealized

depreciation

on

OTC

swaps

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

173,551

(14,876,580)

(20,344,664)

Variation

margin

on

centrally

cleared

swaps

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

—

149,530

—

Variation

margin

on

futures

contracts

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

(1,372,636)

(48,204)

—

Accrued

investment

advisory

fees

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

(94,938)

(40,928)

(134,584)

Accrued

distribution

fees—Class

N

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

131

(6,600)

(1,694)

Dividends

and

Interest

payable

on

securities

sold

short

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

(172,521)

133,466

(105,257)

Other

accrued

expenses

and

liabilities

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

(89,060)

(76,919)

(70,599)

Net

cash

provided

by

(used

in)

operating

activities

$

(7,573,042)

$

37,048,196

$

78,140,210

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

188,881,286

250,982,381

41,779,846

Payments

on

shares

redeemed

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

(181,477,957)

(289,902,288)

(118,100,509)

Due

to

custodian

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

—

—

(2,474)

Net

cash

provided

by

(used

in)

financing

activities

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

$

7,403,329

$

(38,919,907)

$

(76,323,137)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

(169,713)

(1,871,711)

1,817,073

Cash,

beginning

of

period

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

1,864,128

4,106,554

331,616

Cash,

end

of

period**

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

$

1,694,415

$

2,234,843

$

2,148,689

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$588,730,

$1,580,627

and

$162,304.

Statements

of

Cash

Flows

273

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MULTI-

ASSET

FUND

***

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

***

AQR

RISK

PARITY

II

HV

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

(8,433,255)

$

(50,751,833)

$

(3,007,292)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

—

—

Payments

to

purchase

securities

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

(68,168,558)

(53,612,645)

(10,280,363)

Payments

to

cover

short

positions

in

securities

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

(24,748,822)

(127,107,419)

—

Proceeds

from

sale

of

securities

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

113,545,699

234,576,046

22,684,346

Proceeds

from

short

positions

in

securities

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

18,266,499

26,015,889

—

Proceeds

from

option

contracts

written

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

—

2,908,541

—

Payments

to

close

option

contracts

written

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

—

(8,044,714)

—

(Purchases)

sales

of

short-term

investments,

net

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

(47,979,992)

184,219,093

(6,642,986)

Realized

(gain)

loss

on

investments

in

securities

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

5,544,905

(9,929,491)

404,367

Realized

(gain)

loss

on

short

positions

in

securities

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

(2,551,075)

314,374

—

Realized

(gain)

loss

on

option

contracts

written

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

—

4,754,000

—

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

2,628,087

14,254,096

(132,119)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

(432,396)

(3,290,718)

—

Change

in

unrealized

(appreciation)

depreciation

on

option

contracts

written

....

—

(39,363)

—

Amortization

(accretion)

of

bond

premium

(discount)

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

(10,619)

(166,516)

46,285

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

455,396

31,636,368

(15,764)

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

..........

2,066,043

13,250,707

1,274,624

Repurchase

Agreements

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

4,784,669

—

(694,375)

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

2,006,487

8,619,903

(23,782)

Unrealized

appreciation

on

OTC

swaps

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

407,216

1,921,910

80,480

Deposits

for

securities

sold

short

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

—

6,914,206

—

Deposits  for

written

options

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

—

83

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

—

279,842

—

Variation

margin

on

centrally

cleared

swaps

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

—

14,949

—

Variation

margin

on

futures

and

futures-style

options

contracts

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

(15,343)

191,587

(105,862)

Foreign

tax

reclaim

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

(19,783)

(199)

—

Dividends

and

Interest

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

117,493

1,119,513

30,689

Prepaid

expenses

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

4,177

(8,381)

1,771

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

(99,216)

(365)

(66,147)

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

(1,923,434)

(9,612,719)

(76,838)

Unrealized

depreciation

on

OTC

swaps

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

(350,710)

(28,587,294)

17,293

Deposits

from

brokers

for

futures

contracts

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

(172,916)

—

—

Variation

margin

on

centrally

cleared

swaps

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

—

31,358

—

Variation

margin

on

futures

contracts

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

(18,992)

(384,634)

(119,228)

Accrued

investment

advisory

fees

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

(11,476)

(442,643)

(3,811)

Accrued

distribution

fees—Class

N

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

(1,093)

(776)

(311)

Accrued

Trustees

fees

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

—

152

—

Dividends

and

Interest

payable

on

securities

sold

short

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

(8,029)

(580,461)

—

Interest

payable

for

reverse

repurchase

agreements

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

658

—

(7,519)

Other

accrued

expenses

and

liabilities

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

(214,317)

(127,239)

(56,002)

Net

cash

provided

by

(used

in)

operating

activities

$

(5,332,697)

$

238,335,207

$

3,307,456

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

63,600,869

23,488,558

7,792,389

Net

change

in

reverse

repurchase

agreements

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

(1,807,933)

—

(584,277)

Payments

on

shares

redeemed

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

(56,566,393)

(266,574,184)

(10,646,261)

Net

cash

provided

by

(used

in)

financing

activities

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

$

5,226,543

$

(243,085,626)

$

(3,438,149)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

(106,154)

(4,750,419)

(130,693)

Cash,

beginning

of

period

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

633,893

5,401,414

198,836

Cash,

end

of

period**

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

$

527,739

$

650,995

$

68,143

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$61,879,

$227,667

and

$30,156.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

274

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

(327,163,871)

Adjustments

to

reconcile

net

increase

(decrease)

in

net

assets

resulting

from

operations

to

net

cash

provided

by

(used

in)

operating

activities:

—

Payments

to

purchase

securities

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

(14,612,007)

Payments

to

cover

short

positions

in

securities

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

(1,120,329,872)

Proceeds

from

sale

of

securities

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

1,292,447,280

Proceeds

from

short

positions

in

securities

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

123,607,768

(Purchases)

sales

of

short-term

investments,

net

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

477,519,126

Realized

(gain)

loss

on

investments

in

securities

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

(156,984,543)

Realized

(gain)

loss

on

short

positions

in

securities

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

(14,227,030)

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

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

171,783,909

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

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

(6,118,137)

Amortization

(accretion)

of

bond

premium

(discount)

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

(3,624,581)

(Increases)

decreases

in

operating

assets:

–

Due

from

brokers

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

158,442,483

Deposits

with

brokers

for

futures

and

futures-style

options

contracts

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

125,907,104

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

31,802,586

Unrealized

appreciation

on

OTC

swaps

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

27,961,727

Deposits

with

brokers

for

centrally

cleared

swaps

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

(17,189,787)

Variation

margin

on

futures

and

futures-style

options

contracts

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

1,786,497

Foreign

tax

reclaim

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

957,635

Dividends

and

Interest

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

2,335,693

Prepaid

expenses

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

(600)

Increases

(decreases)

in

operating

liabilities

–

Due

to

broker

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

(10,420,388)

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

(33,256,472)

Unrealized

depreciation

on

OTC

swaps

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

(90,298,328)

Deposits

from

brokers

for

futures

contracts

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

146,742

Variation

margin

on

centrally

cleared

swaps

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

1,285,000

Variation

margin

on

futures

contracts

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

(18,485,896)

Accrued

investment

advisory

fees

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

(1,274,429)

Accrued

distribution

fees—Class

N

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

(5,721)

Accrued

Trustees

fees

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

188

Dividends

and

Interest

payable

on

securities

sold

short

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

(1,875,208)

Other

accrued

expenses

and

liabilities

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

(191,057)

Net

cash

provided

by

(used

in)

operating

activities

$

599,925,811

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

Proceeds

from

shares

sold

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

446,286,874

Payments

on

shares

redeemed

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

(1,051,634,280)

Net

cash

provided

by

(used

in)

financing

activities

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

$

(605,347,406)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

***

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

(5,421,595)

Cash,

beginning

of

period

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

15,272,603

Cash,

end

of

period**

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

$

9,851,008

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$746,164.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

275

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

**

The

following

is

a

reconciliation

of

cash

and

cash

held

in

foreign

currencies

reported

within

the

Statements

of

Assets

and

Liabilities

that

sum

to

the

total

of

the

same

such

amounts

disclosed

in

the

Statement

of

Cash

Flows:

FUND

CASH

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

TOTAL

CASH

AND

CASH

DENOMINATED

IN

FOREIGN

CURRENCIES

AQR

Alternative

Risk

Premia

Fund

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

$

918,795

$

775,620

$

1,694,415

AQR

Diversified

Arbitrage

Fund

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

2,105,953

128,890

2,234,843

AQR

Equity

Market

Neutral

Fund

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

298

2,148,391

2,148,689

AQR

Multi-Asset

Fund

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

47,438

480,301

527,739

AQR

Multi-Strategy

Alternative

Fund

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

130,737

520,258

650,995

AQR

Risk

Parity

II

HV

Fund

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

36,304

31,839

68,143

AQR

Style

Premia

Alternative

Fund

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

461,782

9,389,226

9,851,008

276

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.89

(0.01)

(1.40)

(1.41)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.00)

7

(0.75)

(0.75)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.88

(0.01)

(1.42)

(1.43)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.03)

(0.74)

(0.77)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.91

(0.00)

7

(1.42)

(1.42)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.02

0.01

(0.75)

(0.74)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.03

10

0.02

—

—

—

—

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.30

0.01

0.23

0.24

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.75

0.08

0.67

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.06

0.14

0.20

(0.57)

—

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.02

0.52

0.54

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.21

0.07

0.61

0.68

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

0.07

(0.55)

(0.48)

(0.45)

—

—

(0.45)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.31

(0.01)

0.24

0.23

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.76

0.05

0.67

0.72

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.12

0.04

0.14

0.18

(0.54)

—

—

(0.54)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

0.00

7

0.51

0.51

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.21

0.05

0.60

0.65

(0.63)

—

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.10

0.03

(0.51)

(0.48)

(0.41)

—

—

(0.41)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.28

0.03

0.22

0.25

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.73

0.12

0.63

0.75

(0.20)

—

—

(0.20)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.08

0.13

0.21

(0.58)

—

—

(0.58)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

0.03

0.52

0.55

(0.66)

—

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.20

0.12

0.56

0.68

(0.67)

—

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.13

0.09

(0.55)

(0.46)

(0.47)

—

—

(0.47)

277

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

7.48

(15.86)%

$

100,727

3.44%

3.36%

1.40%

(0.14)%

105%

$

8.89

(3.08)%

$

144,245

3.60%

3.55%

1.40%

0.58%

6

192%

$

9.25

(7.51)%

$

260,990

3.40%

8

3.32%

1.40%

(0.00)%

253%

$

10.01

0.10%

$

26,852

3.06%

8

2.65%

1.40%

(0.25)%

293%

$

7.45

(16.10)%

$

9,964

3.70%

3.61%

1.65%

(0.30)%

105%

$

8.88

(3.24)%

$

8,989

3.85%

3.80%

1.65%

0.28%

6

192%

$

9.23

(7.72)%

$

11,467

3.64%

8

3.55%

1.63%

(0.27)%

253%

$

10.01

0.10%

$

1,538

3.70%

8

2.90%

1.65%

(0.44)%

293%

$

7.49

(15.94)%

$

89,690

3.34%

3.26%

1.30%

(0.00)%

105%

$

8.91

(2.93)%

$

82,300

3.51%

3.45%

1.30%

0.53%

6

192%

$

9.27

(7.41)%

$

98,967

3.31%

8

3.23%

1.30%

0.06%

253%

$

10.02

0.20%

$

49,818

3.14%

8

2.55%

1.30%

(0.22)%

293%

$

9.54

2.58%

$

388,026

2.20%

2.14%

1.20%

0.25%

379%

$

9.30

8.53%

$

464,186

2.06%

1.98%

1.20%

0.88%

361%

$

8.75

2.19%

$

319,152

1.96%

1.92%

1.20%

0.66%

390%

$

9.12

5.92%

$

386,972

2.08%

2.02%

1.19%

0.25%

205%

$

9.23

7.51%

$

359,989

2.36%

2.27%

1.20%

0.78%

277%

$

9.21

(4.67)%

$

772,394

2.44%

2.42%

1.19%

0.71%

249%

$

9.54

2.47%

$

26,040

2.45%

2.39%

1.45%

(0.14)%

379%

$

9.31

8.21%

$

55,694

2.30%

2.22%

1.44%

0.52%

361%

$

8.76

2.01%

$

66,251

2.21%

2.17%

1.45%

0.44%

390%

$

9.12

5.58%

$

76,774

2.34%

2.28%

1.44%

0.01%

205%

$

9.23

7.15%

$

100,869

2.61%

2.52%

1.44%

0.53%

277%

$

9.21

(4.75)%

$

183,029

2.69%

2.67%

1.45%

0.32%

249%

$

9.53

2.69%

$

94,286

2.11%

2.04%

1.10%

0.58%

379%

$

9.28

8.64%

$

19,077

1.96%

1.88%

1.10%

1.27%

361%

$

8.73

2.41%

$

13,654

1.87%

1.82%

1.10%

0.79%

390%

$

9.10

6.02%

$

8,416

1.98%

1.93%

1.10%

0.36%

205%

$

9.21

7.52%

$

5,159

2.27%

2.18%

1.10%

1.26%

277%

$

9.20

(4.55)%

$

866

2.36%

2.33%

1.10%

0.92%

249%

278

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

I

FOR

THE

PERIOD

6/08/20

9

-6/30/20

$

10.00

(0.00)

7

0.05

0.05

—

—

—

—

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

N

FOR

THE

PERIOD

6/08/20

9

-6/30/20

$

10.00

(0.00)

7

0.05

0.05

—

—

—

—

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

R6

FOR

THE

PERIOD

6/08/20

9

-6/30/20

$

10.00

(0.00)

7

0.05

0.05

—

—

—

—

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.20

0.01

(1.12)

(1.11)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.76

0.13

(1.34)

(1.21)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.04

(1.48)

(1.44)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.48

(0.13)

0.80

0.67

(0.18)

(0.00)

7

—

(0.18)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.15)

1.91

1.76

(0.28)

(0.01)

—

(0.29)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.12

(0.01)

(1.10)

(1.11)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.70

0.12

(1.35)

(1.23)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.21

0.00

7

(1.46)

(1.46)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.95

(0.11)

0.78

0.67

(0.41)

—

—

(0.41)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.47

(0.15)

0.77

0.62

(0.14)

(0.00)

7

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.19)

1.94

1.75

(0.28)

(0.01)

—

(0.29)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.22

0.01

(1.12)

(1.11)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.77

0.11

(1.31)

(1.20)

—

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

12.25

0.05

(1.48)

(1.43)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

11.97

(0.08)

0.79

0.71

(0.43)

—

—

(0.43)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

11.49

(0.14)

0.81

0.67

(0.19)

(0.00)

7

—

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.01

(0.13)

1.90

1.77

(0.28)

(0.01)

—

(0.29)

279

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.05

0.50%

$

3,604

3.37%

8

0.20%

0.20%

(0.20)%

1%

$

10.05

0.50%

$

507

3.62%

8

0.45%

0.45%

(0.45)%

1%

$

10.05

0.50%

$

4,021

3.27%

8

0.10%

0.10%

(0.10)%

1%

$

8.09

(12.07)%

$

121,121

1.83%

1.74%

1.30%

0.15%

157%

$

9.20

(11.27)%

$

208,679

2.23%

2.21%

1.27%

1.31%

263%

$

10.76

(11.73)%

$

708,592

1.99%

1.99%

1.24%

0.32%

175%

$

12.25

5.84%

$

1,552,269

2.07%

2.07%

1.27%

(0.66)%

237%

$

11.97

5.85%

$

790,179

2.13%

2.13%

1.28%

(1.15)%

227%

$

11.48

17.60%

$

179,312

2.17%

8

1.90%

1.25%

(1.36)%

383%

$

8.01

(12.17)%

$

7,733

2.08%

1.99%

1.55%

(0.19)%

157%

$

9.12

(11.52)%

$

14,129

2.50%

2.49%

1.55%

1.20%

263%

$

10.70

(11.94)%

$

209,290

2.27%

2.27%

1.53%

0.02%

175%

$

12.21

5.56%

$

357,839

2.35%

2.35%

1.55%

(0.92)%

237%

$

11.95

5.43%

$

154,189

2.40%

2.40%

1.55%

(1.27)%

227%

$

11.47

17.43%

$

89,755

2.41%

8

2.16%

1.51%

(1.69)%

383%

$

8.11

(12.04)%

$

29,951

1.73%

1.64%

1.20%

0.27%

157%

$

9.22

(11.17)%

$

38,112

2.15%

2.14%

1.20%

1.05%

263%

$

10.77

(11.65)%

$

206,044

1.93%

1.93%

1.18%

0.44%

175%

$

12.25

5.91%

$

326,927

2.00%

2.00%

1.20%

(0.61)%

237%

$

11.97

5.82%

$

177,683

2.05%

2.05%

1.20%

(1.22)%

227%

$

11.49

17.72%

$

148

3.05%

8

1.85%

1.20%

(1.26)%

383%

280

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

GLOBAL

MACRO

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.52

(0.02)

(0.28)

(0.30)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.38

0.44

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.03

0.65

0.68

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.06

(0.06)

(0.25)

(0.31)

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.60

(0.11)

0.12

10

0.01

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.94

(0.15)

0.32

0.17

—

(0.51)

—

(0.51)

AQR

GLOBAL

MACRO

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.39

(0.03)

(0.28)

(0.31)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.97

0.03

0.39

0.42

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.66

(0.00)

7

0.66

0.66

(0.15)

(0.20)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.99

(0.08)

(0.25)

(0.33)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.55

(0.13)

0.12

10

(0.01)

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.92

(0.16)

0.30

0.14

—

(0.51)

—

(0.51)

AQR

GLOBAL

MACRO

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.53

(0.02)

(0.27)

(0.29)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.08

0.06

0.39

0.45

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.75

0.04

0.65

0.69

(0.16)

(0.20)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.07

(0.03)

(0.28)

(0.31)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.60

(0.10)

0.12

10

0.02

—

(0.55)

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.94

(0.14)

0.31

0.17

—

(0.51)

—

(0.51)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

11.08

(0.00)

7

(1.73)

(1.73)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.94

0.10

0.04

10

0.14

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.88

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.07

(0.08)

2.15

2.07

(0.56)

(0.70)

—

(1.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.12

(0.14)

1.48

1.34

(0.24)

(0.15)

—

(0.39)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.87

(0.15)

2.00

1.85

(0.58)

(0.02)

—

(0.60)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

10.95

(0.03)

(1.70)

(1.73)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.84

0.07

0.04

10

0.11

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.80

(0.01)

(2.29)

(2.30)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.00

(0.11)

2.13

2.02

(0.52)

(0.70)

—

(1.22)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.07

(0.17)

1.47

1.30

(0.22)

(0.15)

—

(0.37)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.84

(0.19)

2.01

1.82

(0.57)

(0.02)

—

(0.59)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

11.12

0.01

(1.75)

(1.74)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.97

0.10

0.05

10

0.15

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

13.91

0.04

(2.32)

(2.28)

(0.04)

(0.62)

—

(0.66)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

13.08

(0.07)

2.17

2.10

(0.57)

(0.70)

—

(1.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

12.13

(0.14)

1.49

1.35

(0.25)

(0.15)

—

(0.40)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.87

(0.15)

2.02

1.87

(0.59)

(0.02)

—

(0.61)

281

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

9.22

(3.15)%

$

11,898

2.25%

1.46%

1.45%

(0.47)%

0%

$

9.52

4.90%

$

14,985

2.15%

1.45%

1.45%

0.59%

0%

$

9.08

7.80%

$

20,230

1.93%

1.42%

1.42%

0.29%

0%

$

8.75

(3.38)%

$

9,199

2.30%

1.40%

1.40%

(0.65)%

0%

$

9.06

0.02%

$

18,972

1.98%

1.41%

1.41%

(1.12)%

0%

$

9.60

1.71%

$

31,453

1.78%

8

1.38%

1.38%

(1.45)%

0%

$

9.08

(3.30)%

$

1,051

2.51%

1.71%

1.70%

(0.75)%

0%

$

9.39

4.73%

$

1,173

2.23%

1.70%

1.70%

0.37%

0%

$

8.97

7.57%

$

17,074

2.11%

1.68%

1.68%

(0.04)%

0%

$

8.66

(3.67)%

$

2,892

2.63%

1.70%

1.70%

(0.89)%

0%

$

8.99

(0.19)%

$

3,217

2.17%

1.65%

1.65%

(1.35)%

0%

$

9.55

1.41%

$

20,838

1.88%

8

1.70%

1.70%

(1.56)%

0%

$

9.24

(3.04)%

$

12,346

2.16%

1.36%

1.35%

(0.42)%

0%

$

9.53

5.01%

$

11,841

2.08%

1.35%

1.35%

0.67%

0%

$

9.08

7.84%

$

12,073

1.91%

1.35%

1.35%

0.41%

0%

$

8.75

(3.41)%

$

13,970

2.32%

1.35%

1.35%

(0.34)%

0%

$

9.07

0.14%

$

4,374

1.95%

1.35%

1.35%

(1.09)%

0%

$

9.60

1.71%

$

104

1.72%

8

1.35%

1.35%

(1.41)%

0%

$

9.35

(15.61)%

$

459,659

1.33%

1.31%

1.30%

(0.05)%

122%

$

11.08

1.28%

$

901,269

2.06%

2.06%

1.26%

0.92%

292%

$

10.94

(16.40)%

$

1,697,554

1.73%

1.73%

1.24%

0.28%

462%

$

13.88

15.73%

$

4,144,436

2.01%

2.01%

1.27%

(0.60)%

249%

$

13.07

11.09%

$

1,799,994

1.99%

1.99%

1.28%

(1.12)%

247%

$

12.12

17.04%

$

452,667

1.86%

1.81%

1.27%

(1.28)%

303%

$

9.22

(15.80)%

$

9,394

1.58%

1.56%

1.55%

(0.54)%

122%

$

10.95

1.01%

$

28,689

2.33%

2.33%

1.53%

0.60%

292%

$

10.84

(16.64)%

$

117,289

2.01%

2.01%

1.51%

(0.04)%

462%

$

13.80

15.47%

$

385,302

2.27%

2.27%

1.53%

(0.80)%

249%

$

13.00

10.80%

$

287,362

2.25%

2.25%

1.54%

(1.39)%

247%

$

12.07

16.79%

$

90,141

2.12%

2.07%

1.53%

(1.58)%

303%

$

9.38

(15.65)%

$

44,339

1.23%

1.21%

1.20%

0.11%

122%

$

11.12

1.37%

$

76,285

1.99%

1.99%

1.19%

0.87%

292%

$

10.97

(16.36)%

$

206,247

1.66%

1.66%

1.16%

0.32%

462%

$

13.91

15.95%

$

965,972

1.92%

1.92%

1.17%

(0.46)%

249%

$

13.08

11.13%

$

452,452

1.90%

1.90%

1.19%

(1.07)%

247%

$

12.13

17.16%

$

16,200

1.77%

1.74%

1.20%

(1.21)%

303%

282

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

MULTI-ASSET

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.66

0.00

7

(0.71)

(0.71)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.12

1.67

1.79

(0.64)

—

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.82

0.09

(0.78)

(0.69)

(0.28)

(0.34)

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.49

1.51

(0.19)

(0.84)

—

(1.03)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.09

(0.02)

0.94

0.92

(0.24)

(0.43)

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.07)

(0.75)

(0.82)

—

(0.23)

—

(0.23)

AQR

MULTI-ASSET

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.63

(0.00)

7

(0.72)

(0.72)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.49

0.11

1.65

1.76

(0.62)

—

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.80

0.06

(0.77)

(0.71)

(0.26)

(0.34)

—

(0.60)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.01)

1.50

1.49

(0.17)

(0.84)

—

(1.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.08

(0.04)

0.92

0.88

(0.21)

(0.43)

—

(0.64)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.10)

(0.73)

(0.83)

—

(0.23)

—

(0.23)

AQR

MULTI-ASSET

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.65

0.01

(0.72)

(0.71)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.51

0.04

1.75

1.79

(0.65)

—

—

(0.65)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.83

0.09

(0.78)

(0.69)

(0.29)

(0.34)

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.34

0.02

1.51

1.53

(0.20)

(0.84)

—

(1.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.10

(0.04)

0.95

0.91

(0.24)

(0.43)

—

(0.67)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.14

(0.04)

(0.77)

(0.81)

—

(0.23)

—

(0.23)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

7.03

(0.00)

7

(2.00)

(2.00)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.81

0.03

(0.81)

(0.78)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.05

(0.04)

(1.20)

(1.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.50

(0.07)

0.37

0.30

(0.60)

(0.15)

—

(0.75)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.76

(0.11)

0.09

(0.02)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.76

(0.15)

1.05

0.90

(0.74)

(0.16)

—

(0.90)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

6.96

(0.01)

(1.98)

(1.99)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.74

(0.03)

(0.75)

(0.78)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.00

(0.06)

(1.20)

(1.26)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.45

(0.09)

0.37

0.28

(0.58)

(0.15)

—

(0.73)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.74

(0.13)

0.08

(0.05)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.74

(0.17)

1.05

0.88

(0.72)

(0.16)

—

(0.88)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

7.05

0.01

(2.02)

(2.01)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

(0.81)

(0.77)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.03)

(1.21)

(1.24)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.51

(0.06)

0.37

0.31

(0.61)

(0.15)

—

(0.76)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

9.76

(0.09)

0.08

(0.01)

(0.08)

(0.16)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.75

(0.13)

1.05

0.92

(0.75)

(0.16)

—

(0.91)

283

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.95

(7.35)%

$

122,312

1.36%

1.20%

0.95%

0.11%

126%

$

9.66

21.05%

$

119,488

1.47%

1.34%

0.93%

1.31%

233%

$

8.51

(6.96)%

$

217,406

0.93%

0.92%

0.92%

0.96%

21%

$

9.82

16.36%

$

415,799

0.94%

0.93%

0.93%

0.19%

48%

$

9.34

10.10%

$

349,335

0.94%

0.92%

0.92%

(0.22)%

72%

$

9.09

(8.10)%

$

492,977

0.94%

0.93%

0.93%

(0.71)%

157%

$

8.91

(7.48)%

$

6,316

1.60%

1.45%

1.20%

(0.03)%

126%

$

9.63

20.67%

$

11,366

1.74%

1.61%

1.20%

1.13%

233%

$

8.49

(7.23)%

$

12,303

1.20%

1.18%

1.18%

0.68%

21%

$

9.80

16.13%

$

16,673

1.21%

1.20%

1.20%

(0.06)%

48%

$

9.32

9.66%

$

17,027

1.21%

1.19%

1.19%

(0.46)%

72%

$

9.08

(8.20)%

$

22,005

1.19%

1.18%

1.18%

(0.96)%

157%

$

8.94

(7.36)%

$

7,230

1.25%

1.10%

0.85%

0.17%

126%

$

9.65

21.07%

$

4,691

1.38%

1.26%

0.85%

0.48%

233%

$

8.51

(6.94)%

$

24,925

0.86%

0.85%

0.85%

0.98%

21%

$

9.83

16.56%

$

40,256

0.87%

0.85%

0.85%

0.24%

48%

$

9.34

10.06%

$

33,987

0.88%

0.85%

0.85%

(0.42)%

72%

$

9.10

(8.00)%

$

2,796

0.86%

0.85%

0.85%

(0.37)%

157%

$

5.03

(28.45)%

$

30,540

2.75%

2.47%

1.95%

(0.04)%

183%

$

7.03

(9.99)%

$

191,546

2.72%

2.69%

1.96%

0.35%

173%

$

7.81

(13.70)%

$

776,088

2.37%

2.37%

1.95%

(0.45)%

136%

$

9.05

3.10%

$

1,987,557

2.30%

2.30%

1.97%

(0.75)%

110%

$

9.50

(0.20)%

$

2,405,511

2.47%

2.47%

1.97%

(1.10)%

261%

$

9.76

9.25%

$

2,284,285

2.41%

2.41%

1.97%

(1.44)%

208%

$

4.97

(28.59)%

$

3,095

3.12%

2.72%

2.20%

(0.23)%

183%

$

6.96

(10.08)%

$

6,218

2.98%

2.96%

2.23%

(0.42)%

173%

$

7.74

(14.00)%

$

370,597

2.64%

2.64%

2.22%

(0.74)%

136%

$

9.00

2.84%

$

433,225

2.56%

2.56%

2.23%

(0.96)%

110%

$

9.45

(0.51)%

$

469,478

2.73%

2.73%

2.23%

(1.31)%

261%

$

9.74

9.02%

$

103,504

2.68%

2.67%

2.23%

(1.66)%

208%

$

5.04

(28.51)%

$

6,433

2.52%

2.37%

1.85%

0.19%

183%

$

7.05

(9.85)%

$

135,200

2.63%

2.59%

1.87%

0.49%

173%

$

7.82

(13.69)%

$

324,871

2.29%

2.29%

1.87%

(0.37)%

136%

$

9.06

3.19%

$

610,652

2.20%

2.20%

1.87%

(0.61)%

110%

$

9.51

(0.10)%

$

622,862

2.38%

2.38%

1.88%

(0.94)%

261%

$

9.76

9.44%

$

100,959

2.33%

2.32%

1.88%

(1.29)%

208%

284

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

6.33

0.01

(1.31)

(1.30)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.65

0.06

0.95

1.01

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.90

0.05

(1.26)

(1.21)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.25

(0.02)

0.67

0.65

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.62

(0.04)

0.97

0.93

(0.30)

—

—

(0.30)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.98

(0.05)

(1.31)

(1.36)

—

—

—

—

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

6.25

(0.00)

7

(1.29)

(1.29)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.58

0.05

0.93

0.98

(0.31)

—

(0.00)

7

(0.31)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.81

0.03

(1.24)

(1.21)

(0.02)

—

—

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.18

(0.03)

0.66

0.63

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.57

(0.06)

0.96

0.90

(0.29)

—

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.94

(0.08)

(1.29)

(1.37)

—

—

—

—

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

6.35

0.01

(1.31)

(1.30)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

5.66

0.07

0.95

1.02

(0.33)

—

(0.00)

7

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

6.92

0.05

(1.27)

(1.22)

(0.04)

—

—

(0.04)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

6.26

(0.01)

0.67

0.66

(0.00)

7

—

—

(0.00)

7

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

5.63

(0.04)

0.97

0.93

(0.30)

—

—

(0.30)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

6.99

(0.05)

(1.31)

(1.36)

—

—

—

—

AQR

RISK

PARITY

II

HV

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.72

(0.05)

(0.72)

(0.77)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.31

0.05

2.36

2.41

(0.33)

(0.67)

—

(1.00)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.88

0.07

(1.02)

(0.95)

(0.34)

(0.28)

—

(0.62)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.42

(0.02)

1.59

1.57

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.79

(0.02)

1.01

0.99

(0.12)

(0.24)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.55

(0.08)

(1.19)

(1.27)

(0.03)

(0.46)

—

(0.49)

AQR

RISK

PARITY

II

HV

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.72

(0.06)

(0.72)

(0.78)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.32

0.02

2.35

2.37

(0.30)

(0.67)

—

(0.97)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.85

0.04

(1.00)

(0.96)

(0.29)

(0.28)

—

(0.57)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.43

0.21

1.32

1.53

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.80

(0.04)

1.00

0.96

(0.09)

(0.24)

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.56

(0.10)

(1.20)

(1.30)

—

(0.46)

—

(0.46)

AQR

RISK

PARITY

II

HV

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.71

(0.07)

(0.69)

(0.76)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.31

0.05

2.35

2.40

(0.33)

(0.67)

—

(1.00)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

8.88

0.08

(1.02)

(0.94)

(0.35)

(0.28)

—

(0.63)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.41

(0.13)

1.71

1.58

(0.04)

(1.07)

—

(1.11)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

7.78

(0.00)

7

0.99

0.99

(0.12)

(0.24)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.55

(0.03)

(1.25)

(1.28)

(0.03)

(0.46)

—

(0.49)

285

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

5.03

(20.54)%

$

20,499

1.09%

1.00%

1.00%

0.29%

0%

$

6.33

17.96%

$

105,145

1.06%

0.99%

0.99%

1.05%

0%

$

5.65

(17.58)%

$

96,393

0.99%

0.97%

0.97%

0.71%

0%

$

6.90

10.41%

$

87,863

1.05%

0.99%

0.99%

(0.27)%

0%

$

6.25

16.58%

$

93,849

1.04%

0.96%

0.96%

(0.65)%

0%

$

5.62

(19.48)%

$

71,321

1.14%

0.94%

0.94%

(0.88)%

0%

$

4.96

(20.64)%

$

16,074

1.39%

1.25%

1.25%

(0.11)%

0%

$

6.25

17.67%

$

13,586

1.32%

1.25%

1.25%

0.79%

0%

$

5.58

(17.82)%

$

17,457

1.27%

1.25%

1.25%

0.45%

0%

$

6.81

10.20%

$

7,559

1.31%

1.25%

1.25%

(0.50)%

0%

$

6.18

16.16%

$

7,214

1.33%

1.25%

1.25%

(0.97)%

0%

$

5.57

(19.74)%

$

2,083

1.48%

1.25%

1.25%

(1.21)%

0%

$

5.05

(20.47)%

$

79,683

1.01%

0.90%

0.90%

0.31%

0%

$

6.35

18.20%

$

148,682

0.97%

0.90%

0.90%

1.12%

0%

$

5.66

(17.60)%

$

156,433

0.93%

0.90%

0.90%

0.80%

0%

$

6.92

10.55%

$

110,467

0.96%

0.90%

0.90%

(0.16)%

0%

$

6.26

16.61%

$

102,156

0.98%

0.90%

0.90%

(0.63)%

0%

$

5.63

(19.46)%

$

29,122

1.11%

0.90%

0.90%

(0.85)%

0%

$

7.95

(8.83)%

$

17,927

2.01%

1.36%

1.15%

(1.28)%

75%

$

8.72

32.94%

$

27,611

2.30%

1.57%

1.11%

0.53%

118%

$

7.31

(10.76)%

$

20,457

2.06%

1.63%

1.10%

0.85%

19%

$

8.88

19.03%

$

38,689

1.66%

1.34%

1.11%

(0.21)%

45%

$

8.42

12.77%

$

46,127

1.61%

1.23%

1.11%

(0.26)%

68%

$

7.79

(13.33)%

$

40,890

1.43%

1.13%

1.08%

(0.83)%

184%

$

7.94

(8.94)%

$

3,678

2.26%

1.61%

1.40%

(1.58)%

75%

$

8.72

32.43%

$

4,874

2.58%

1.85%

1.39%

0.26%

118%

$

7.32

(10.92)%

$

4,126

2.32%

1.92%

1.40%

0.47%

19%

$

8.85

18.52%

$

18,472

1.92%

1.63%

1.39%

2.36%

45%

$

8.43

12.47%

$

6,583

1.89%

1.52%

1.39%

(0.51)%

68%

$

7.80

(13.64)%

$

5,493

1.77%

1.45%

1.40%

(1.04)%

184%

$

7.95

(8.73)%

$

5,920

1.94%

1.26%

1.05%

(1.76)%

75%

$

8.71

32.88%

$

953

2.24%

1.51%

1.05%

0.63%

118%

$

7.31

(10.68)%

$

770

2.04%

1.58%

1.05%

0.94%

19%

$

8.88

19.17%

$

765

1.62%

1.28%

1.05%

(1.47)%

45%

$

8.41

12.85%

$

2,836

1.55%

1.17%

1.05%

(0.06)%

68%

$

7.78

(13.42)%

$

2,413

1.43%

1.11%

1.05%

(0.36)%

184%

286

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

RISK

PARITY

II

MV

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.31

(0.03)

(0.47)

(0.50)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.45

0.10

1.74

1.84

(0.27)

(0.71)

—

(0.98)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.26

0.09

(0.69)

(0.60)

(0.10)

(0.11)

—

(0.21)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.98

0.02

1.08

1.10

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.51

(0.02)

0.84

0.82

(0.09)

(0.26)

—

(0.35)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.90

(0.08)

(0.79)

(0.87)

(0.02)

(0.50)

—

(0.52)

AQR

RISK

PARITY

II

MV

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.25

(0.04)

(0.46)

(0.50)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.40

0.06

1.74

1.80

(0.24)

(0.71)

—

(0.95)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.20

0.07

(0.68)

(0.61)

(0.08)

(0.11)

—

(0.19)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.95

(0.05)

1.12

1.07

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.49

(0.04)

0.82

0.78

(0.06)

(0.26)

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.10)

(0.78)

(0.88)

—

(0.50)

—

(0.50)

AQR

RISK

PARITY

II

MV

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.31

0.00

7

(0.49)

(0.49)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.45

0.10

1.75

1.85

(0.28)

(0.71)

—

(0.99)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.26

0.10

(0.69)

(0.59)

(0.11)

(0.11)

—

(0.22)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

8.97

0.04

1.07

1.11

(0.02)

(0.80)

—

(0.82)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

8.51

(0.01)

0.83

0.82

(0.10)

(0.26)

—

(0.36)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.89

(0.07)

(0.78)

(0.85)

(0.03)

(0.50)

—

(0.53)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.15

(0.02)

(1.56)

(1.58)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.02

0.02

6

(0.76)

(0.74)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.38

0.01

(1.28)

(1.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.92

(0.07)

1.27

1.20

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.14

(0.12)

0.07

(0.05)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.86

(0.14)

1.01

0.87

(0.56)

(0.03)

—

(0.59)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.12

(0.03)

(1.56)

(1.59)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.00

0.00

6,7

(0.75)

(0.75)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.35

(0.02)

(1.28)

(1.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.89

(0.13)

1.30

1.17

(0.71)

—

—

(0.71)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.14

(0.15)

0.07

(0.08)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.17)

1.02

0.85

(0.55)

(0.03)

—

(0.58)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.17

(0.02)

(1.56)

(1.58)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.03

0.03

6

(0.76)

(0.73)

(0.13)

—

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.41

0.02

(1.30)

(1.28)

(0.10)

—

—

(0.10)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.94

(0.07)

1.28

1.21

(0.74)

—

—

(0.74)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.15

(0.11)

0.07

(0.04)

(0.17)

—

—

(0.17)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

9.87

(0.14)

1.02

0.88

(0.57)

(0.03)

—

(0.60)

287

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.81

(5.37)%

$

86,520

1.13%

0.96%

0.95%

(0.64)%

58%

$

9.31

21.83%

$

109,225

1.14%

0.95%

0.95%

1.01%

152%

$

8.45

(6.44)%

$

63,972

1.15%

0.94%

0.94%

1.01%

20%

$

9.26

12.36%

$

78,000

1.15%

0.93%

0.93%

0.26%

39%

$

8.98

9.66%

$

78,873

1.15%

0.94%

0.94%

(0.24)%

58%

$

8.51

(8.77)%

$

85,918

1.10%

0.93%

0.93%

(0.80)%

159%

$

8.75

(5.41)%

$

1,392

1.38%

1.21%

1.20%

(0.98)%

58%

$

9.25

21.47%

$

2,198

1.39%

1.20%

1.20%

0.69%

152%

$

8.40

(6.66)%

$

2,221

1.41%

1.20%

1.20%

0.78%

20%

$

9.20

12.07%

$

2,784

1.43%

1.20%

1.20%

(0.55)%

39%

$

8.95

9.25%

$

5,659

1.41%

1.20%

1.20%

(0.41)%

58%

$

8.49

(8.94)%

$

4,242

1.38%

1.20%

1.20%

(0.99)%

159%

$

8.82

(5.26)%

$

584

1.03%

0.86%

0.85%

0.01%

58%

$

9.31

21.93%

$

465

1.04%

0.85%

0.85%

1.05%

152%

$

8.45

(6.34)%

$

694

1.06%

0.85%

0.85%

1.10%

20%

$

9.26

12.49%

$

679

1.07%

0.85%

0.85%

0.42%

39%

$

8.97

9.64%

$

608

1.07%

0.85%

0.85%

(0.06)%

58%

$

8.51

(8.59)%

$

99

1.03%

0.85%

0.85%

(0.68)%

159%

$

6.57

(19.39)%

$

461,397

1.99%

1.94%

1.50%

(0.60)%

300%

$

8.15

(8.20)%

$

866,804

2.51%

2.48%

1.49%

0.28%

6

170%

$

9.02

(12.26)%

$

1,759,075

2.25%

2.24%

1.47%

0.09%

345%

$

10.38

11.94%

$

2,956,926

2.22%

2.21%

1.49%

(0.70)%

140%

$

9.92

(0.47)%

$

2,263,101

2.26%

2.24%

1.49%

(1.20)%

114%

$

10.14

8.76%

$

1,341,232

2.29%

2.25%

1.48%

(1.39)%

138%

$

6.53

(19.58)%

$

17,258

2.23%

2.19%

1.75%

(0.92)%

300%

$

8.12

(8.33)%

$

40,665

2.77%

2.74%

1.75%

0.02%

6

170%

$

9.00

(12.60)%

$

82,850

2.51%

2.50%

1.74%

(0.22)%

345%

$

10.35

11.67%

$

177,319

2.49%

2.47%

1.75%

(1.23)%

140%

$

9.89

(0.76)%

$

188,647

2.53%

2.50%

1.75%

(1.46)%

114%

$

10.14

8.50%

$

92,947

2.56%

2.52%

1.75%

(1.65)%

138%

$

6.59

(19.34)%

$

659,786

1.89%

1.84%

1.40%

(0.47)%

300%

$

8.17

(8.08)%

$

1,163,852

2.42%

2.39%

1.40%

0.33%

6

170%

$

9.03

(12.32)%

$

1,459,422

2.18%

2.17%

1.40%

0.21%

345%

$

10.41

12.10%

$

1,613,182

2.14%

2.12%

1.40%

(0.65)%

140%

$

9.94

(0.37)%

$

1,349,866

2.18%

2.15%

1.40%

(1.08)%

114%

$

10.15

8.80%

$

394,568

2.21%

2.17%

1.40%

(1.37)%

138%

288

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Return

of

Capital

Total

Distributions

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.63

0.02

(1.09)

(1.07)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.01

0.15

(0.52)

(0.37)

(0.01)

—

(0.00)

7

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.57

0.10

(0.65)

(0.55)

(0.01)

—

—

(0.01)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.41

(0.00)

7

0.71

0.71

(0.55)

—

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.39

(0.06)

0.13

0.07

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.18

(0.08)

0.49

0.41

(0.17)

(0.03)

—

(0.20)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.56

0.01

(1.08)

(1.07)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.95

0.12

(0.51)

(0.39)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.53

0.07

(0.65)

(0.58)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.37

(0.05)

0.72

0.67

(0.51)

—

—

(0.51)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.39

(0.08)

0.11

0.03

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.17

(0.09)

0.48

0.39

(0.14)

(0.03)

—

(0.17)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

9.64

0.03

(1.10)

(1.07)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

10.02

0.16

(0.52)

(0.36)

(0.02)

—

(0.00)

7

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.59

0.10

(0.65)

(0.55)

(0.02)

—

—

(0.02)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

10.42

(0.00)

7

0.72

0.72

(0.55)

—

—

(0.55)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.40

(0.05)

0.12

0.07

(0.03)

(0.02)

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.17

(0.05)

0.48

0.43

(0.17)

(0.03)

—

(0.20)

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

10.38

0.04

(0.74)

(0.70)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.15

0.90

1.05

(0.21)

—

—

(0.21)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.02

(0.45)

(0.43)

(0.03)

—

—

(0.03)

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

10.38

0.03

(0.74)

(0.71)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.12

0.90

1.02

(0.18)

—

—

(0.18)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.01

(0.45)

(0.44)

(0.02)

—

—

(0.02)

AQR

VOLATILITY

RISK

PREMIUM

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

10.38

0.05

(0.75)

(0.70)

—

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.54

0.15

0.90

1.05

(0.21)

—

—

(0.21)

FOR

THE

PERIOD

11/01/18

9

-12/31/18

$

10.00

0.02

(0.45)

(0.43)

(0.03)

—

—

(0.03)

289

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

Dividend

Short

Expense

&

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.56

(11.11)%

$

80,440

1.10%

0.96%

0.85%

0.36%

288%

$

9.63

(3.69)%

$

193,224

1.40%

1.33%

0.83%

1.50%

157%

$

10.01

(5.21)%

$

407,402

1.17%

1.17%

0.83%

0.99%

191%

$

10.57

6.74%

$

336,047

1.23%

1.22%

0.83%

0.00%

136%

$

10.41

0.65%

$

251,496

1.22%

1.19%

0.83%

(0.54)%

106%

$

10.39

4.02%

$

152,172

1.46%

1.11%

0.79%

(0.80)%

213%

$

8.49

(11.19)%

$

2,120

1.35%

1.21%

1.10%

0.18%

288%

$

9.56

(3.92)%

$

4,377

1.66%

1.60%

1.10%

1.21%

157%

$

9.95

(5.51)%

$

21,871

1.44%

1.44%

1.10%

0.63%

191%

$

10.53

6.46%

$

35,465

1.50%

1.49%

1.10%

(0.48)%

136%

$

10.37

0.26%

$

42,514

1.48%

1.45%

1.10%

(0.78)%

106%

$

10.39

3.85%

$

13,444

1.90%

1.41%

1.09%

(0.91)%

213%

$

8.57

(11.10)%

$

9,928

0.98%

0.86%

0.75%

0.57%

288%

$

9.64

(3.59)%

$

56,942

1.32%

1.25%

0.75%

1.59%

157%

$

10.02

(5.23)%

$

51,934

1.10%

1.10%

0.75%

0.98%

191%

$

10.59

6.90%

$

94,055

1.15%

1.14%

0.75%

(0.01)%

136%

$

10.42

0.65%

$

90,570

1.14%

1.11%

0.75%

(0.45)%

106%

$

10.40

4.23%

$

22,176

1.57%

1.08%

0.75%

(0.50)%

213%

$

9.68

(6.74)%

$

1,417

2.14%

0.75%

0.75%

0.94%

56%

$

10.38

10.96%

$

1,527

2.62%

8

0.67%

0.67%

1.43%

103%

$

9.54

(4.34)%

$

1,065

2.63%

8

0.76%

0.75%

1.14%

18%

$

9.67

(6.84)%

$

985

2.35%

1.00%

1.00%

0.69%

56%

$

10.38

10.72%

$

1,057

2.86%

8

0.90%

0.90%

1.20%

103%

$

9.54

(4.38)%

$

955

2.88%

8

1.00%

1.00%

0.89%

18%

$

9.68

(6.74)%

$

8,992

2.07%

0.65%

0.65%

1.04%

56%

$

10.38

10.98%

$

9,703

2.61%

8

0.65%

0.65%

1.45%

103%

$

9.54

(4.32)%

$

8,745

2.53%

8

0.65%

0.65%

1.24%

18%

290

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

–

Class

I

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

$0.04

0.47%

AQR

Alternative

Risk

Premia

Fund

–

Class

N

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

0.02

0.17

AQR

Alternative

Risk

Premia

Fund

–

Class

R6

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

0.04

0.42

AQR

Style

Premia

Alternative

Fund

–

Class

I

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

0.01

0.16

AQR

Style

Premia

Alternative

Fund

–

Class

N

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

(0.01)

(0.10)

AQR

Style

Premia

Alternative

Fund

–

Class

R6

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

0.02

0.21

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculate

d

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

Funds

invests.

5

Portfolio

turnover

is

not

annualized.

6

For

the

period

ended

December

31,

2019

certain

Funds

received

special

dividends

which

materially

impacted

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio.

These

dividends

are

not

expected

to

continue

in

the

future.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

7

Amount

is

less

than

$.005

per

share.

8

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

9

Commencement

of

operations.

10

The

amount

shown

for

a

share

outstanding

throughout

the

period

is

not

indicative

of

the

aggregate

net

realized

and

unrealized

gain

(loss)

for

that

period

because

of

the

timing

of

sales

and

repurchases

of

the

Fund

shares

in

relation

to

fluctuating

market

value

of

the

investments

in

the

Fund.

291

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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

June

30,

2020,

the

Trust

consists

of

thirty-six

active

series,

fourteen

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund,

AQR

Style

Premia

Alternative

LV

Fund

and

AQR

Volatility

Risk

Premium

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

Adviser

has

retained

CNH

Partners,

LLC

(the

“Sub-Adviser”),

an

affiliate

of

the

Adviser,

to

serve

as

an

investment

sub-adviser

to

the

AQR

Diversified

Arbitrage

Fund

and

certain

strategies

of

the

AQR

Multi-Strategy

Alternative

Fund.

The

AQR

Diversifying

Strategies

Fund

commenced

operations

on

June

8,

2020.

The

investment

objective

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund, AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Style

Premia

Alternative

LV

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund

and

AQR

Volatility

Risk

Premium

Fund

is

to

seek

total

return.

The

investment

objective

of

AQR

Diversifying

Strategies

Fund

and

AQR

Long-Short

Equity

Fund

is

to

seek

capital

appreciation.

The

AQR

Diversifying

Strategies

Fund

pursues

its

investment

objective

by

investing

in

a

portfolio

of

mutual

funds

that

are

each

managed

by

the

Adviser.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets,

of

Cash

Flows

and

the

Financial

Highlights

of

AQR

Global

Macro

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Style

Premia

Alternative

LV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Global

Macro

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Multi-

Strategy

Alternative

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.,

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

the

Consolidated

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

SUBSIDIARY

NET

ASSETS

AT

JUNE

30,

2020

%

OF

TOTAL

ASSETS

AT

JUNE

30,

2020

AQR

Global

Macro

Offshore

Fund

Ltd

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

$

6,002,112

21.0%

AQR

Multi-Asset

Offshore

Fund

Ltd

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

13,951,919

8.0%

AQR

Multi-Strategy

Alternative

Offshore

Fund

Ltd

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

6,045,996

16.2%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd

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

27,903,230

23.1%

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd

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

6,394,001

18.3%

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd

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

13,612,494

15.1%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd

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

262,987,489

15.3%

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd

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

21,822,266

18.7%

292

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

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.

Investment

Transactions

and

Related

Income:

 Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-date

dividend

notification.

Upon

notification

from

issuers,

some

of

the

dividend

income

received

from

a

real

estate

investment

trust

may

be

redesignated

as

a

reduction

of

cost

of

the

related

investment

and/or

realized

gain.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index. 

Multi-class

Operations

:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

Certain

Funds

may

invest

in

other

investment

companies,

including

affiliated

funds,

and,

as

a

result,

indirectly

bear

a

portion

of

the

advisory

and

operating

expenses

incurred

by

these

entities.

Such

expenses

are

not

reflected

in

the

expenses

shown

on

the

Statements

of

Operations

and

are

not

included

in

the

ratios

to

average

net

assets

shown

on

the

Financial

Highlights.

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Funds

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon

their

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which

they

invest.

Offering

Cost:

Offering

costs,

including

professional

fees,

printing

fees

and

initial

registration,

are

amortized

over

a

period

not

longer

than

twelve

months

from

the

date

the

Funds

commenced

operations. 

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

each

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly

no

provision

for

Federal

income

tax

is

necessary.

293

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

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

June

30,

2020,

the

Funds

had

no

examinations

in

progress.

For

Federal

tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFCs

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

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

as

well

as

an

issuer

which

is

under

common

control

with

another

fund

or

Trust.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company.

Additionally,

certain

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated

issuer

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.

The

AQR

Diversifying

Strategies

Fund

invests

in

funds

which

are

managed

by

the

Adviser,

and

as

such

assumes

the

AQR

Funds

in

which

it

invests

to

be

affiliated

issuers.

A

summary

of

transactions

with

each

affiliated

issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Convertible

Securities:

Certain

Funds

invest

in

preferred

stocks

and

fixed-income

securities

which

are

convertible

into

common

stock.

Convertible

securities

may

be

converted

either

at

a

stated

price

or

rate

within

a

specified

period

of

time

into

a

specified

number

of

shares

of

common

stock.

By

investing

in

a

convertible

security,

the

Funds

may

participate

in

any

capital

appreciation

or

depreciation

of

a

company’s

stock,

but

to

a

lesser

degree

than

if

they

had

invested

in

that

company’s

common

stock.

Convertible

securities

rank

senior

to

common

stock

in

a

corporation’s

capital

structure

and,

therefore,

entail

less

risk

than

the

corporation’s

common

stock.

The

Funds

may

attempt

to

hedge

some

of

their

investments

in

convertible

debt

securities

by

selling

short

the

issuer’s

common

stock.

The

premiums

attributable

to

the

conversion

feature

are

not

amortized. 

High

Yield

Securities:

Certain

Funds

invest

in

lower-quality

debt

securities.

Investments

in

lower-rated

securities

or

unrated

securities

of

comparable

quality

tend

to

be

more

sensitive

to

economic

conditions

than

higher

rated

securities

causing

greater

price

volatility.

These

instruments

involve

a

greater

risk

of

loss

due

to

default

by

the

issuer

because

such

securities

are

generally

unsecured

and

are

often

subordinated

to

other

creditors’

claims. 

294

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Inflation-Indexed

Bonds:

Certain

Funds

may

invest

in

inflation-indexed

bonds

which

are

adjusted

for

inflation

through

periodic

increases

or

decreases

in

the

security’s

interest

accruals,

face

amount,

or

principal

redemption

value,

by

amounts

corresponding

to

the

rate

of

inflation

as

measured

by

an

index.

Inflation-indexed

bonds

typically

pay

a

fixed

rate

of

interest

but

that

fixed

rate

is

applied

to

an

inflation

adjusted

principal

amount.

If

the

index

measuring

inflation

rises

or

falls,

the

principal

value

of

inflation-indexed

bonds

will

be

adjusted

upward

or

downward,

and

consequently

the

interest

payable

on

these

securities

(calculated

with

respect

to

a

larger

or

smaller

principal

amount)

will

be

increased

or

reduced,

respectively.

Any

upward

or

downward

adjustment

in

the

principal

amount

of

an

inflation-indexed

bond

will

be

included

as

interest

income

in

the

Statement

of

Operations,

even

though

investors

do

not

receive

their

principal

until

maturity.

Repayment

of

the

original

bond

principal

upon

maturity

(as

adjusted

for

inflation)

is

guaranteed

in

the

case

of

U.S.

Treasury

inflation-indexed

bonds.

For

bonds

that

do

not

provide

a

similar

guarantee,

the

adjusted

principal

value

of

the

bond

repaid

at

maturity

may

be

less

than

the

original

principal.

Loan

Participations,

Assignments

and

Unfunded

Commitments:

Certain

Funds

invest

in

loan

participations

and

assignments.

When

a

Fund

purchases

a

loan

participation,

the

Fund

enters

into

a

contractual

relationship

with

the

lender

or

a

third

party

selling

such

participations

(“Selling

Participant”),

but

not

the

borrower.

In

this

case,

the

Fund

assumes

the

credit

risk

of

the

borrower

and

the

Selling

Participant

and

any

other

persons

inter-positioned

between

the

Fund

and

the

borrower

(“Intermediate

Participants”).

In

contrast,

when

one

of

the

Funds

purchases

an

assignment,

the

contractual

relationship

is

with

the

borrower

and

the

credit

risk

assumed

by

the

Fund

is

only

with

the

borrower.

Although

certain

loan

participations

or

assignments

are

secured

by

collateral,

the

Fund

could

experience

delays

or

limitations

in

realizing

such

collateral

or

have

its

interest

subordinated

to

other

indebtedness

of

the

obligor.

The

Funds

may

also

enter

into

unfunded

commitments,

which

are

contractual

obligations

for

future

funding.

These

unfunded

commitments

represent

a

future

obligation

in

full,

even

though

a

percentage

of

the

commitment

may

not

be

utilized

by

the

borrower.

These

types

of

investments

may

include

standby

financing

commitments,

such

as

revolving

credit

facilities,

which

obligate

the

Fund

to

supply

additional

cash

to

the

borrower

on

demand.

The

value

of

the

unfunded

portion

of

the

investment

is

determined

using

a

pro-rata

allocation,

based

on

its

par

value

relative

to

the

par

value

of

the

entire

investment.

In

addition,

loan

participations

and

assignments

are

vulnerable

to

market

conditions

such

that

economic

conditions

or

other

events

may

reduce

the

demand

for

loan

participations

and

assignments

and

certain

loan

participations

and

assignments

which

were

liquid,

when

purchased,

may

become

illiquid.

As

of

June

30,

2020,

AQR

Diversified

Arbitrage

Fund’s

unfunded

commitments

were

as

follows:

The

Fund

has

no

unrealized

gain

or

loss

on

the

unfunded

commitment.

Defaulted

Securities

and

Distressed

Investments:

Certain

Funds

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedules

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Funds

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Securities

Sold

Short

:

Certain

Funds

may

engage

in

short

sales,

which

is

when

a

Fund

sells

securities

it

does

not

own

as

a

hedge

against

some

of

its

long

positions

and/or

in

anticipation

of

a

decline

in

the

market

value

of

that

security.

When

one

of

the

Funds

makes

a

short

sale,

it

must

borrow

the

security

sold

short

and

deliver

it

to

the

broker

through

which

it

made

the

short

sale.

The

Fund

may

have

to

pay

a

fee

to

borrow

the

particular

security

and

may

be

obligated

to

remit

any

interest

or

dividends

received

on

such

borrowed

securities.

Dividends

declared

on

short

positions

are

recorded

on

the

ex-date

as

an

expense.

A

gain,

limited

to

the

price

at

which

the

Fund

sold

the

security

short,

or

a

loss,

which

could

be

unlimited

in

magnitude,

will

be

recognized

upon

the

termination

of

a

short

sale

if

the

market

price

at

termination

is

less

than

or

greater

than,

respectively,

the

proceeds

originally

received.

The

Fund

is

also

subject

to

the

risk

that

it

may

be

unable

to

reacquire

a

security

to

terminate

a

short

position

except

at

a

price

substantially

in

excess

of

the

last

quoted

price.

The

Fund

is

also

subject

to

risk

of

loss

if

the

broker

were

to

fail

to

perform

its

obligations

under

the

contractual

terms.

Liabilities

for

securities

sold

short

are

reported

at

market

value

on

the

Statements

of

Assets

and

Liabilities

and

the

change

in

market

value

is

recorded

as

unrealized

gain

or

loss

on

the

Statements

of

Operations.

The

Funds

are

required

to

pledge

cash

or

liquid

securities

to

the

broker

as

collateral

for

securities

sold

short.

Collateral

requirements

are

calculated

daily

based

on

the

current

market

value

of

the

short

positions.

Daily

market

fluctuations

and

trading

activity

could

cause

the

value

of

securities

sold

short

to

be

more

or

less

than

the

value

of

the

collateral

segregated.

Cash

deposited

with

the

broker

for

collateral

for

securities

sold

short

is

recorded

as

an

asset

on

the

Statements

of

Assets

and

Liabilities

and

securities

segregated

as

collateral

are

denoted

in

the

Schedules

of

Investments.

The

Funds

may

receive

or

pay

the

net

of

the

following

amounts:

(i)

a

portion

of

the

income

from

the

investment

of

cash

collateral;

(ii)

the

broker’s

fee

on

the

borrowed

securities;

and

(iii)

a

financing

charge

for

the

difference

in

the

market

value

of

the

short

position

and

cash

collateral

deposited

with

the

broker.

This

income

or

fee

is

calculated

daily

based

upon

the

market

value

of

each

borrowed

security

and

a

variable

rate

that

is

dependent

on

the

availability

of

the

security.

BORROWER

COMMITMENT

AMOUNT

DEMC

Ltd.,

Class

A-2

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

$

289,106

295

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Pursuant

to

a

Master

Securities

Loan

Agreement,

State

Street

Bank

and

Trust

Company

(“SSB”)

is

permitted,

subject

to

certain

conditions,

to

rehypothecate

up

to

30%

of

portfolio

securities

pledged

by

the

Funds

as

collateral

for

securities

sold

short.

The

Funds

continue

to

receive

dividends

and

interest

on

rehypothecated

securities.

The

Funds

also

have

the

right

under

the

MSLA

to

recall

the

rehypothecated

securities

from

SSB

on

demand.

If

SSB

fails

to

deliver

the

recalled

security

in

a

timely

manner,

the

Funds

will

be

compensated

by

SSB

for

any

fees

or

losses

related

to

the

failed

delivery

or,

in

the

event

a

recalled

security

will

not

be

returned

by

SSB,

the

Fund

may

reduce

the

loan

balance

outstanding

by

the

amount

of

the

recalled

security.

The

net

amount

of

fees

incurred

are

included

in

the

dividend

and

interest

on

securities

sold

short

in

the

Statements

of

Operations

and

are

as

follows:

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. 

Fund

AQR

Alternative

Risk

Premia

Fund

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

$

588,730

AQR

Diversified

Arbitrage

Fund

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

1,580,627

AQR

Equity

Market

Neutral

Fund

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

162,304

AQR

Long-Short

Equity

Fund

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

6,097

AQR

Multi-Asset

Fund

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

41,671

AQR

Multi-Strategy

Alternative

Fund

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

227,667

AQR

Style

Premia

Alternative

Fund

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

746,164

AQR

Style

Premia

Alternative

LV

Fund

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

65,447

296

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Total

Return

Basket

Swaps:

Certain

Funds

may

enter

into

a

total

return

basket

swap

agreement

to

obtain

exposure

to

a

portfolio

of

long

and/or

short

securities.

Under

the

terms

of

the

agreement,

the

swap

is

designed

to

function

as

a

portfolio

of

direct

investments

in

long

and

short

equity

or

fixed

income

positions.

The

absolute

notional

value

of

the

total

return

basket

swap

represents

the

accumulated

notional

value

of

the

underlying

long

components

and

absolute

notional

value

of

the

short

components

held

within

the

total

return

basket

swap

at

period

end.

The

notional

value

of

each

component

represents

the

market

value

at

period

end.

The

Funds

have

the

ability

to

trade

in

and

out

of

long

and

short

positions

within

the

swap

and

will

receive

all

of

the

economic

benefits

and

risks

equivalent

to

direct

investments

in

these

positions

such

as:

capital

appreciation

(depreciation),

corporate

actions,

and

dividends

and

interest

received

and

paid,

all

of

which

are

reflected

in

the

swap

value.

The

swap

value

also

includes

financing

charges

and

credits

related

to

the

notional

values

of

the

long

and

short

positions

and

cash

balances

within

the

swap.

Finance

charges

and

credits

are

based

on

defined

market

rates

plus

or

minus

a

specified

spread.

Positions

within

the

swap

are

reset

periodically,

and

financing

costs

are

reset

generally

monthly.

During

a

reset,

any

realized

gains

(losses)

from

positions,

income,

proceeds

from

corporate

actions

and

accrued

financing

costs

may

become

available

for

cash

settlement

between

the

Funds

and

the

swap

counterparty.

Prior

to

the

reset,

these

amounts

are

included

as

a

component

of

the

swap

value

in

Net

cash

and

other

receivables

(payables).

Cash

settlement

in

and

out

of

the

swap

may

occur

at

a

reset

date

or

any

other

date,

at

the

discretion

of

the

Funds

and

the

counterparty,

over

the

life

of

the

agreement,

and

is

generally

determined

based

on

limits

and

thresholds

established

as

part

of

the

Master

Agreement

between

the

Funds

and

the

counterparty.

The

maturity

dates

are

measured

from

the

commencement

of

investment

in

each

underlying

portfolio

swap

positions.

A

change

in

the

market

value

of

a

total

return

basket

swap

contract

is

recognized

as

net

change

in

unrealized

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Cash

settlements

between

a

Fund

and

the

counterparty

are

recognized

as

net

realized

gain

(loss)

from

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

basket

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Credit

Default

Swap

Contracts:

Certain

Funds

enter

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

contract,

the

protection

buyer

typically

makes

an

upfront

payment

and

a

periodic

stream

of

payments

to

a

counterparty,

the

protection

seller,

in

exchange

for

the

right

to

receive

a

contingent

payment

upon

the

occurrence

of

a

credit

event

on

the

reference

obligation

or

all

other

equally

ranked

obligations

of

the

reference

entity.

Credit

events

are

contract

specific

but

may

include

bankruptcy,

failure

to

pay,

restructuring

and

obligation

acceleration.

The

credit

default

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

an

unrealized

gain

or

loss.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

recorded

as

a

realized

gain

or

loss

on

swap

contracts

in

the

Statements

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swaps

on

credit

indexes

are

linked

to

the

weighted

average

spread

across

the

underlying

reference

obligations

included

in

a

particular

index.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

A

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

specific

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

contract.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Statements

of

Assets

and

Liabilities.

Credit

default

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Interest

Rate

Swaps:

Certain

Funds

enter

into

interest

rate

swaps

as

part

of

their

investment

strategy.

Interest

rate

swaps

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

agreements

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

on

derivatives

in

the

Statements

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

on

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swaps

may

have

forward

effective

dates.

The

amortization

of

the

upfront

premiums

(if

applicable)

and

payments

related

to

these

swap

contracts

begin

on

the

effective

date

of

the

contract.

Interest

rate

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Repurchase

Agreements:

Certain

Funds

may

enter

into

repurchase

agreements.

In

a

repurchase

agreement,

a

Fund

takes

possession

of

an

underlying

debt

obligation

(collateral)

subject

to

an

obligation

of

the

seller

to

repurchase,

and

a

Fund

to

resell,

the

obligation

at

an

agreed-upon

price

and

time.

Under

the

terms

of

a

master

repurchase

agreement,

the

underlying

securities

for

all

repurchase

agreements

are

held

in

safekeeping

at

the

Fund’s

custodian

or

designated

sub-custodians

under

tri-party

repurchase

agreements.

Investments

in

repurchase

agreements

are

reflected

as

assets

on

the

Statements

of

Assets

and

Liabilities.

Interest

earned

is

recorded

as

a

component

of

interest

income

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

collateral,

a

Fund

may

pay

a

fee

for

receipt

of

collateral,

which

may

result

in

interest

expense

to

the

Fund.

Generally,

in

the

event

of

counterparty

default,

a

Fund

has

the

right

to

use

the

collateral

to

offset

losses

incurred.

If

the

counterparty

should

default,

a

Fund

may

seek

to

sell

the

securities

which

it

holds

as

collateral.

This

could

involve

procedural

costs

or

delays

in

addition

to

a

loss

on

the

securities

if

their

value

should

fall

below

their

repurchase

price.

Repurchase

agreements

outstanding

at

period

end

are

included

within

each

Fund’s

Schedule

of

Investments. 

297

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Reverse

Repurchase

Agreements:

Certain

Funds

may

enter

into

reverse

repurchase

agreements

under

the

terms

of

a

master

repurchase

agreement.

A

Fund

sells

a

security

that

it

holds

to

a

counterparty

with

a

contemporaneous

agreement

to

repurchase

the

same

security

at

an

agreed-upon

price

and

date.

Reverse

repurchase

agreements

are

accounted

for

as

secured

borrowings

and

are

reflected

as

a

liability

on

the

Statements

of

Assets

and

Liabilities.

Interest

payments

made

on

reverse

repurchase

agreements

are

recorded

as

a

component

of

interest

expense

on

the

Statements

of

Operations.

In

periods

of

increased

demand

for

the

security,

a

Fund

may

receive

a

fee

for

use

of

the

security

by

the

counterparty,

which

may

result

in

interest

income

to

the

Fund.

A

Fund

monitors

collateral

market

value

for

the

reverse

repurchase

agreement,

including

accrued

interest,

throughout

the

lives

of

the

agreements,

and

when

necessary,

delivers

or

receives

cash

or

securities

in

order

to

manage

credit

exposure

and

liquidity.

If

the

counterparty

defaults

or

enters

insolvency

proceeding,

realization

or

return

of

the

collateral

to

the

Fund

may

be

delayed

or

limited.

Reverse

repurchase

agreements

outstanding

at

period

end,

if

any,

including

the

underlying

debt

obligation

(collateral)

assigned

to

each

agreement,

are

listed

after

each

Fund’s

Schedule

of

Investments.

The

collateral

held

in

relation

to

the

repurchase

agreements

and

reverse

repurchase

agreements

was

in

U.S.

Treasury

Inflation

Protected

Securities

and

Foreign

Government

Securities

with

a

maturity

greater

than

90

days

in

the

amount

of

$29,517,519

and

$4,820,702

for

AQR

Multi-Asset

Fund

and AQR

Risk

Parity

II

HV

Fund,

respectively.

Options:

Certain

Funds

may

write

and

purchase

put

and

call

options.

When

a

Fund

writes

a

premium-style option,

an

amount

equal

to

the

premium

received

by

the

Fund

is

reflected

as

an

asset

and

an

equivalent

liability.

The

amount

of

the

liability

is

subsequently

marked

to

market

to

reflect

the

current

market

value

of

the

option

written.

When

a

security

is

purchased

or

sold

through

an

exercise

of

an

option,

the

related

premium

paid

(or

received)

is

added

to

(or

deducted

from)

the

basis

of

the

security

acquired

or

deducted

from

(or

added

to)

the

proceeds

of

the

security

sold.

When

a

premium-

style option

expires,

a

Fund

realizes

a

gain

or

loss

on

the

option

to

the

extent

of

the

premiums

received

or

paid.

When

a

Fund

enters

into

a

closing

transaction,

the

Fund

realizes

a

gain

or

loss

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

paid

or

received.

Written

uncovered

call

options

subject

a

Fund

to

unlimited

risk

of

loss.

Written

covered

call

options

limit

the

upside

potential

of

a

security

above

the

strike

price.

Put

options

written

subject

a

Fund

to

risk

of

loss

if

the

value

of

the

security

declines

below

the

exercise

price

minus

the

put

premium.

A

Fund,

as

writer

of

an

option,

bears

the

market

risk

of

an

unfavorable

change

in

the

price

of

the

security

underlying

the

written

option.

Written

and

purchased

options

are

non-income

producing

investments.

The

maximum

financial

exposure

for

premium-style

written

put

options

is

limited

to

the

number

of

contracts

written

and

the

related

strike

prices.

The

number

contracts,

strike

price,

and

expiration

date

for

each

written

put

option

contract

is

disclosed

in

each

respective

Fund’s

Schedule

of

Investments,

as

applicable.

Certain

Funds

may

write

options

on

futures

contracts.

Written

options

on

a

futures

contract

may

be

traditional

premium-style

option

contracts

or

a

futures-style

option

contracts.

Futures-style

option

contracts

are

accounted

for

similar

to

futures

contracts

due

to

similar

characteristics,

including

but

not

limited

to

the

requirement

to

post

initial

margin,

daily

variation

margin,

and

the

lack

of

an

upfront

premium.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

and

futures-style

options

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.  

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions,

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Master

Repurchase

Agreements

govern

repurchase,

or

reverse

repurchase

transactions,

relating

to

government

bonds

between

certain

Funds

and

select

counterparties.

Master

Repurchase

Agreements

maintain

provisions

for

initiation,

income

payments,

events

of

default,

and

maintenance

of

collateral.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

certain

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

298

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

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.

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.

299

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

securities

sold

short,

rights,

exchange

options,

warrants,

Exchange-Traded

Funds

(“ETFs”)

and

closed-end

investment

companies,

are

valued

at

the

last

quoted

sales

prices

or

official

closing

prices

taken

from

the

primary

market,

or

composite

in

which

each

security

trades

and

are

therefore

classified

Level

1.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are

also

classified

as

Level

1.

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

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. 

300

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

The

Funds

value

the

repurchase

agreements

and

reverse

repurchase

agreements

they

have

entered

based

on

the

respective

contract

amounts,

which

approximate

fair

value.

As

such,

repurchase

agreements

are

carried

at

the

amount

of

cash

paid

plus

accrued

interest

receivable

(or

interest

payable

in

periods

of

increased

demand

for

collateral),

and

reverse

repurchase

agreements

are

carried

at

the

amount

of

cash

received

plus

accrued

interest

payable

(or

interest

receivable

in

periods

of

increased

demand

for

collateral).These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

111,436,135

$

82,057,674

$

–

$

193,493,809

Short-Term

Investments

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

69,148,819

91,026,655

–

160,175,474

Written

Options

(Futures

Style)*

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

36,267

–

–

36,267

Futures

Contracts*

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

1,318,599

–

–

1,318,599

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,679,672

–

1,679,672

Total

Return

Swaps

Contracts*

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

–

385,668

–

385,668

Total

Assets

$

181,939,820

$

175,149,669

$

–

$

357,089,489

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(100,215,837)

$

(77,575,635)

$

–

(a)

$

(177,791,472)

Written

Options

(Future

Style)*

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

(4,509)

–

–

(4,509)

Written

Options

(Premium

Style)*

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

(942,083)

–

–

(942,083)

Futures

Contracts*

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

(3,204,991)

–

–

(3,204,991)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,200,532)

–

(2,200,532)

Total

Return

Swaps

Contracts*

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

–

(351,554)

–

(351,554)

Total

Liabilities

$

(104,367,420)

$

(80,127,721)

$

–

(a)

$

(184,495,141)

301

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

115,976,468

$

9,308,887

$

612,212

$

125,897,567

Convertible

Preferred

Stocks

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

–

24,837,556

–

24,837,556

Corporate

Bonds

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

–

5,891,981

1,328,251

7,220,232

Convertible

Bonds

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

–

224,270,361

11,546

224,281,907

Closed

End

Funds

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

23,217,771

–

–

23,217,771

Preferred

Stocks

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

–

2,642,675

561,253

3,203,928

Rights

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

445,655

–

201,333

646,988

Securities

in

Litigation

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

–

–

262,691

262,691

Warrants

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

16,152,364

132,092

83,434

16,367,890

Short-Term

Investments

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

86,226,712

95,670,022

–

181,896,734

Forward

Foreign

Currency

Exchange

Contracts*

........

–

110,995

–

110,995

Credit

Default

Swap

Contracts*

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

–

129,360

–

129,360

Total

Return

Basket

Swaps

Contracts*

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

–

7,366,873

–

7,366,873

Total

Assets

$

242,018,970

$

370,360,802

$

3,060,720

$

615,440,492

LIABILITIES

Common

Stocks(Sold

Short)

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

$

(173,883,212)

$

(5,058,586)

$

–

(a)

$

(178,941,798)

Convertible

Bonds(Sold

Short)

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

–

(10,735,484)

–

(10,735,484)

Master

Limited

Partnerships(Sold

Short)

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

(1,327,530)

–

–

(1,327,530)

U.S.

Treasury

Obligations(Sold

Short)

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

–

(883,285)

–

(883,285)

Futures

Contracts*

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

(343,159)

–

–

(343,159)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(84,078)

–

(84,078)

Credit

Default

Swap

Contracts*

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

–

(585)

–

(585)

Total

Return

Basket

Swaps

Contracts*

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

–

(5,668,214)

–

(5,668,214)

Total

Liabilities

$

(175,553,901)

$

(22,430,232)

$

–

(a)

$

(197,984,133)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

7,927,505

$

–

$

–

$

7,927,505

Short-Term

Investments

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

99,411

–

–

99,411

Total

Assets

$

8,026,916

$

–

$

–

$

8,026,916

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

11,833,731

$

–

$

11,833,731

Short-Term

Investments

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

67,475,789

84,111,820

–

151,587,609

Forward

Foreign

Currency

Exchange

Contracts*

........

–

18,558

–

18,558

Total

Return

Basket

Swaps

Contracts*

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

–

2,242,256

–

2,242,256

Total

Assets

$

67,475,789

$

98,206,365

$

–

$

165,682,154

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(12,179,673)

$

–

$

(12,179,673)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(48,302)

–

(48,302)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,520,100)

–

(1,520,100)

Total

Liabilities

$

–

$

(13,748,075)

$

–

$

(13,748,075)

AQR

GLOBAL

MACRO

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

11,318,753

$

11,325,620

$

–

$

22,644,373

Futures

Contracts*

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

681,585

–

–

681,585

Forward

Foreign

Currency

Exchange

Contracts*

........

–

645,191

–

645,191

Interest

Rate

Swap

Contracts*

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

–

1,633,371

–

1,633,371

Total

Return

Swaps

Contracts*

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

–

36,059

–

36,059

Total

Assets

$

12,000,338

$

13,640,241

$

–

$

25,640,579

LIABILITIES

Futures

Contracts*

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

$

(809,083)

$

–

$

–

$

(809,083)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(365,220)

–

(365,220)

Interest

Rate

Swap

Contracts*

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

–

(988,250)

–

(988,250)

Total

Return

Swaps

Contracts*

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

–

(24,058)

–

(24,058)

Total

Liabilities

$

(809,083)

$

(1,377,528)

$

–

$

(2,186,611)

302

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

187,329

$

–

$

–

$

187,329

Short-Term

Investments

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

167,513,062

274,702,322

–

442,215,384

Futures

Contracts*

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

4,081,173

–

–

4,081,173

Forward

Foreign

Currency

Exchange

Contracts*

........

–

755,247

–

755,247

Total

Return

Basket

Swaps

Contracts*

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

–

7,378,569

–

7,378,569

Total

Return

Swaps

Contracts*

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

–

250

–

250

Total

Assets

$

171,781,564

$

282,836,388

$

–

$

454,617,952

LIABILITIES

Futures

Contracts*

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

$

(229,660)

$

–

$

–

$

(229,660)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(390,247)

–

(390,247)

Total

Return

Basket

Swaps

Contracts*

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

–

(5,853,792)

–

(5,853,792)

Total

Return

Swaps

Contracts*

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

–

(793,632)

–

(793,632)

Total

Liabilities

$

(229,660)

$

(7,037,671)

$

–

$

(7,267,331)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

26,397,438

$

11,412,177

$

–

$

37,809,615

Foreign

Government

Securities

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

–

3,216,139

–

3,216,139

U.S.

Treasury

Obligations

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

–

16,556,254

–

16,556,254

Short-Term

Investments

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

25,525,170

66,342,437

–

91,867,607

Futures

Contracts*

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

1,987,627

–

–

1,987,627

Forward

Foreign

Currency

Exchange

Contracts*

........

–

790,906

–

790,906

Total

Return

Swaps

Contracts*

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

–

13,858

–

13,858

Total

Assets

$

53,910,235

$

98,331,771

$

–

$

152,242,006

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(6,469,831)

$

(2,185,361)

$

–

$

(8,655,192)

Reverse

Repurchase

Agreements

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

–

(10,001,992)

–

(10,001,992)

Futures

Contracts*

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

(762,061)

–

–

(762,061)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(669,980)

–

(669,980)

Total

Return

Swaps

Contracts*

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

–

(9,521)

–

(9,521)

Total

Liabilities

$

(7,231,892)

$

(12,866,854)

$

–

$

(20,098,746)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

5,958,284

$

–

$

–

(a)

$

5,958,284

Corporate

Bonds

†

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

–

–

217,500

217,500

Convertible

Bonds

†

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

–

7,827,174

166,500

7,993,674

Short-Term

Investments

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

17,881,292

13,499,278

–

31,380,570

Written

Options

(Futures

Style)*

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

1,421

–

–

1,421

Futures

Contracts*

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

432,642

–

–

432,642

Forward

Foreign

Currency

Exchange

Contracts*

........

–

556,975

–

556,975

Interest

Rate

Swap

Contracts*

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

–

345,471

–

345,471

Credit

Default

Swap

Contracts*

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

–

5,163

–

5,163

Total

Return

Basket

Swaps

Contracts*

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

–

191,146

–

191,146

Total

Return

Swaps

Contracts*

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

–

36,260

–

36,260

Total

Assets

$

24,273,639

$

22,461,467

$

384,000

$

47,119,106

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(10,177,279)

$

–

$

–

$

(10,177,279)

Written

Options

(Premium

Style)*

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

(61,971)

–

–

(61,971)

Futures

Contracts*

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

(367,348)

–

–

(367,348)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(792,501)

–

(792,501)

Interest

Rate

Swap

Contracts*

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

–

(319,936)

–

(319,936)

Credit

Default

Swap

Contracts*

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

–

(78,796)

–

(78,796)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,028,371)

–

(1,028,371)

Total

Return

Swaps

Contracts*

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

–

(28,087)

–

(28,087)

Total

Liabilities

$

(10,606,598)

$

(2,247,691)

$

–

$

(12,854,289)

303

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

53,149,162

$

55,200,837

$

–

$

108,349,999

Futures

Contracts*

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

10,000,467

–

–

10,000,467

Total

Return

Swaps

Contracts*

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

–

566,640

–

566,640

Total

Assets

$

63,149,629

$

55,767,477

$

–

$

118,917,106

LIABILITIES

Futures

Contracts*

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

$

(5,351,202)

$

–

$

–

$

(5,351,202)

Total

Return

Swaps

Contracts*

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

–

(324,337)

–

(324,337)

Total

Liabilities

$

(5,351,202)

$

(324,337)

$

–

$

(5,675,539)

AQR

RISK

PARITY

II

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

2,474,713

$

–

$

2,474,713

U.S.

Treasury

Obligations

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

–

8,099,509

–

8,099,509

Short-Term

Investments

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

8,165,591

10,262,758

–

18,428,349

Futures

Contracts*

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

606,901

–

–

606,901

Forward

Foreign

Currency

Exchange

Contracts*

........

–

25,984

–

25,984

Total

Return

Swaps

Contracts*

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

–

5,255

–

5,255

Total

Assets

$

8,772,492

$

20,868,219

$

–

$

29,640,711

LIABILITIES

Reverse

Repurchase

Agreements

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

$

–

$

(3,477,000)

$

–

$

(3,477,000)

Futures

Contracts*

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

(153,812)

–

–

(153,812)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(20,270)

–

(20,270)

Total

Return

Swaps

Contracts*

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

–

(18,636)

–

(18,636)

Total

Liabilities

$

(153,812)

$

(3,515,906)

$

–

$

(3,669,718)

AQR

RISK

PARITY

II

MV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

5,258,919

$

–

$

5,258,919

U.S.

Treasury

Obligations

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

–

17,866,456

–

17,866,456

Short-Term

Investments

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

27,811,675

34,995,093

–

62,806,768

Futures

Contracts*

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

1,339,638

–

–

1,339,638

Forward

Foreign

Currency

Exchange

Contracts*

........

–

63,150

–

63,150

Total

Return

Swaps

Contracts*

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

–

22,501

–

22,501

Total

Assets

$

29,151,313

$

58,206,119

$

–

$

87,357,432

LIABILITIES

Futures

Contracts*

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

$

(318,770)

$

–

$

–

$

(318,770)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(46,664)

–

(46,664)

Total

Return

Swaps

Contracts*

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

–

(46,018)

–

(46,018)

Total

Liabilities

$

(318,770)

$

(92,682)

$

–

$

(411,452)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

52,396,800

$

–

$

52,396,800

Short-Term

Investments

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

474,069,413

453,650,899

–

927,720,312

Futures

Contracts*

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

11,539,006

–

–

11,539,006

Forward

Foreign

Currency

Exchange

Contracts*

........

–

6,577,397

–

6,577,397

Interest

Rate

Swap

Contracts*

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

–

22,435,794

–

22,435,794

Total

Return

Basket

Swaps

Contracts*

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

–

3,484,538

–

3,484,538

Total

Return

Swaps

Contracts*

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

–

2,120,298

–

2,120,298

Total

Assets

$

485,608,419

$

540,665,726

$

–

$

1,026,274,145

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(6,512,711)

$

(39,350,340)

$

(2)

$

(45,863,053)

Futures

Contracts*

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

(26,125,600)

–

–

(26,125,600)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(6,867,200)

–

(6,867,200)

Interest

Rate

Swap

Contracts*

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

–

(24,360,035)

–

(24,360,035)

Total

Return

Basket

Swaps

Contracts*

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

–

(22,078,884)

–

(22,078,884)

Total

Return

Swaps

Contracts*

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

–

(7,023,995)

–

(7,023,995)

Total

Liabilities

$

(32,638,311)

$

(99,680,454)

$

(2)

$

(132,318,767)

304

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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. 

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

2,533,459

$

–

$

2,533,459

Short-Term

Investments

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

54,020,428

34,560,200

–

88,580,628

Futures

Contracts*

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

572,496

–

–

572,496

Forward

Foreign

Currency

Exchange

Contracts*

........

–

314,479

–

314,479

Interest

Rate

Swap

Contracts*

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

–

915,867

–

915,867

Total

Return

Basket

Swaps

Contracts*

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

–

200,171

–

200,171

Total

Return

Swaps

Contracts*

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

–

98,295

–

98,295

Total

Assets

$

54,592,924

$

38,622,471

$

–

$

93,215,395

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(2,008,115)

$

–

$

(2,008,115)

Futures

Contracts*

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

(1,126,480)

–

–

(1,126,480)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(358,597)

–

(358,597)

Interest

Rate

Swap

Contracts*

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

–

(991,055)

–

(991,055)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,584,089)

–

(1,584,089)

Total

Return

Swaps

Contracts*

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

–

(290,522)

–

(290,522)

Total

Liabilities

$

(1,126,480)

$

(5,232,378)

$

–

$

(6,358,858)

AQR

VOLATILITY

RISK

PREMIUM

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

3,741,982

$

1,739,197

$

–

$

5,481,179

Short-Term

Investments

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

5,730,166

–

–

5,730,166

Written

Options

(Futures

Style)*

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

8,188

–

–

8,188

Futures

Contracts*

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

552

–

–

552

Total

Assets

$

9,480,888

$

1,739,197

$

–

$

11,220,085

LIABILITIES

Written

Options

(Future

Style)*

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

$

(1,127)

$

–

$

–

$

(1,127)

Written

Options

(Premium

Style)*

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

(200,621)

–

–

(200,621)

Futures

Contracts*

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

(11,216)

–

–

(11,216)

Total

Liabilities

$

(212,964)

$

–

$

–

$

(212,964)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap

and

forward

foreign

currency

exchange

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps,

interest

rate

swaps

and

purchased

options

and

written

options

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

305

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

following

tables

include

a

rollforward

of

the

balances

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

period

for

each

Fund

that

held

Level

3

securities

that

were

considered

quantitatively

significant:

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

AQR

DIVERSIFIED

ARBITRAGE

FUND

COMMON

STOCKS

LOAN

PARTICIPATIONS/

CORPORATE

BONDS

CONVERTIBLE

BONDS

PREFERRED

STOCKS

RIGHTS

WARRANTS

SECURITIES

IN

LITIGATION

SHORT

COMMON

STOCKS

Balance

as

of

December

31,

2019

..........

$

6,583,920

$

2,793,195

$

12,219

$

593,216

$

191,830

$

786,305

$

225,010

$

–(a)

Accrued

discounts/

(premiums)

........

–

338,013

–

–

–

–

–

–

Realized

gain/(loss)

...

(3,167)

(273,548)

–

–

–

–

–

–

Change

in

unrealized

appreciation/

(depreciation)

......

(1,183,879)

(540,869)

(726)

(31,963)

9,503

(169,385)

(14,929)

–

Purchases

1

..........

–

40,475

53

–

–

–

52,610

–

Sales

2

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

(4,784,662)

(1,029,015)

–

–

–

–

–

–

Transfers

into

Level

3

..

–

–

–

–

–

78,106

–

–

Transfers

out

of

Level

3

.

–

–

–

–

–

(611,592)

–

–

Balance

as

of

June

30,

2020

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

$

612,212

$

1,328,251

$

11,546

$

561,253

$

201,333

$

83,434

$

262,691

$

–(a)

Change

in

Unrealized

appreciation/

(depreciation)

for

the

securities

still

held

at

June

30,

2020

.....

$

(1,007,495)

$

(403,218)

$

(726)

$

(31,963)

$

9,503

$

(20,846)

$

(18,086)

$

–

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.

(a)

Security

has

zero

value.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

COMMON

STOCKS

CORPORATE

BONDS

CONVERTIBLE

BONDS

Balance

as

of

December

31,

2019

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

$

4,321,615

$

231,094

$

176,906

Accrued

discounts/(premiums)

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

–

–

–

Realized

gain/(loss)

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

(687,570)

–

–

Change

in

unrealized

appreciation/(depreciation)

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

(909,956)

(13,594)

(10,406)

Purchases

1

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

–

–

–

Sales

2

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

(2,724,089)

–

–

Transfers

into

Level

3

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

–

–

–

Transfers

out

of

Level

3

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

–

–

–

Balance

as

of

June

30,

2020

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

$

–(a)

$

217,500

$

166,500

Change

in

Unrealized

appreciation/(depreciation)

for

the

securities

still

held

at

June

30,

2020

$

(591,781)

$

(13,594)

$

(10,406)

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.

(a)

Security

has

zero

value.

306

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

following

table

summarizes

the

quantitative

inputs

and

assumptions

used

in

the

valuation

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

year

ended June

30,

2020

for

the

AQR

Diversified

Arbitrage

Fund:

Quantitative

Information

about

Level

3

Fair

Value

Measurements*

AQR

DIVERSIFIED

ARBITRAGE

FUND

*

The

table

above

does

not

include

Level

3

securities

that

are

valued

by

pricing

vendors

or

brokers.

At

June

30,

2020,

the

value

of

these

securities

for

the

AQR

Diversified

Arbitrage

Fund

was

$1,279,373.

The

inputs

for

these

securities

are

not

readily

available

or

cannot

be

reasonably

estimated

and

are

generally

those

inputs

described

in

Note

5.

The

appropriateness

of

fair

values

for

these

securities

is

monitored

on

an

ongoing

basis

which

may

include

results

of

back

testing,

results

of

pricing

vendor

and/or

broker

due

diligence,

unchanged

price

review

and

consideration

of

macro

or

security

specific

events

**

Represents

amounts

used

when

the

reporting

entity

has

determined

that

market

participants

would

take

into

account

discounts,

as

applicable,

when

pricing

the

investments.

***

The

weighted

averages

disclosed

in

the

table

above

were

weighted

by

relative

fair

value.

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

of AQR

Alternative

Risk

Premia

Fund,

AQR

Multi-Strategy

Alternative Fund

and

AQR

Style

Premia

Alternative

Fund

which

are

considered

quantitatively

insignificant

for

additional

disclosure. 

INVESTMENT

TYPE

TOTAL

FAIR

VALUE

VALUATION

METHODOLOGY

UNOBSERVABLE

INPUT(S)

INPUT

VALUE/

RANGE

WEIGHTED

AVERAGE***

Common

Stocks

$332,555

Enterprise

Value

Waterfall

Analysis

Discount

for

Lack

of

Marketability**

53.75%-57.80%

56.91%

EBITDA

Multiple

4.50x

to

5.50x

N/A

$279,657

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability**

30.00%

N/A

Equity

Cost

of

Capital

50.00%

N/A

Legal

Fees

(%

of

potential

proceeds)

-10.16%

N/A

Scenario

Probability

5.00%-90.00%

33.33%

Term

3.00

years

N/A

Corporate

Bonds

$144,373

Liquidation

Analysis

Discount

for

Lack

of

Marketability**

20.00%

N/A

Discount

Rate

17.24%

N/A

Term

0.83

years

N/A

Preferred

Stocks

$561,253

Enterprise

Value

Waterfall

Analysis

Dividend

Rate

9.00%

N/A

Equity

Cost

of

Capital

15.24%

N/A

Term

10.00

years

N/A

Rights

$201,333

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability**

17.15%-40.36%

25.44%

Equity

Cost

of

Capital

20.00%

N/A

Weighted

Average

Cost

of

Capital

29.50%

N/A

Scenario

Probability

0.00%-70.00%

45.26%

Securities

in

Litigation

$262,176

Liquidation

Analysis

Discount

for

Lack

of

Marketability**

30.00%

N/A

Discount

Rate

6.22%

N/A

Future

Fundings

as

%

of

Expected

Proceeds

33.90%

N/A

Term

1.75

years

N/A

307

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Federal

Income

Tax

Matters

At

June

30,

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

December

31,

2019,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations:

Investment

Transactions

During

the period

ended

June

30,

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:

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

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

$

117,704,614

$

85,193,753

$

(30,304,019)

$

54,889,734

AQR

Diversified

Arbitrage

Fund

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

452,423,334

72,296,107

(107,263,082)

(34,966,975)

AQR

Diversifying

Strategies

Fund

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

8,000,396

65,907

(39,387)

26,520

AQR

Equity

Market

Neutral

Fund

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

150,261,405

5,475,538

(3,802,864)

1,672,674

AQR

Global

Macro

Fund

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

22,980,039

1,956,595

(1,482,666)

473,929

AQR

Long-Short

Equity

Fund

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

442,407,803

12,247,983

(7,305,165)

4,942,818

AQR

Multi-Asset

Fund

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

125,826,681

10,353,782

(4,037,203)

6,316,579

AQR

Multi-Strategy

Alternative

Fund

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

62,577,061

3,291,123

(31,603,367)

(28,312,244)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

108,293,315

10,624,934

(5,676,682)

4,948,252

AQR

Risk

Parity

II

HV

Fund

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

25,232,822

931,007

(192,836)

738,171

AQR

Risk

Parity

II

MV

Fund

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

85,259,130

2,113,116

(426,266)

1,686,850

AQR

Style

Premia

Alternative

Fund

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

917,426,103

47,279,649

(70,750,374)

(23,470,725)

AQR

Style

Premia

Alternative

LV

Fund

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

88,620,107

2,081,263

(3,844,833)

(1,763,570)

AQR

Volatility

Risk

Premium

Fund

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

9,834,180

1,290,570

(117,629)

1,172,941

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

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

$

73,449,991

$

3,925,946

AQR

Diversified

Arbitrage

Fund

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

53,923,051

239,728,586

AQR

Multi-Asset

Fund

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

1,899,287

4,633,712

AQR

Multi-Strategy

Alternative

Fund

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

116,570,058

217,146,262

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

20,760

—

AQR

Style

Premia

Alternative

Fund

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

524,786,902

76,449,479

AQR

Style

Premia

Alternative

LV

Fund

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

13,456,981

2,012,254

AQR

Volatility

Risk

Premium

Fund

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

498,714

—

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

..........................

$

115,347,872

$

119,831,836

$

118,622,900

$

123,752,294

AQR

Diversified

Arbitrage

Fund

.............................

1,000,432,121

1,052,721,375

550,566,401

519,323,963

AQR

Diversifying

Strategies

Fund

...........................

7,943,996

43,018

—

—

AQR

Equity

Market

Neutral

Fund

...........................

19,045,330

95,585,293

21,972,105

76,708,175

AQR

Long-Short

Equity

Fund

..............................

102,676

625,667

—

2,938,385

AQR

Multi-Asset

Fund

...................................

66,430,547

113,204,966

18,266,499

24,748,822

AQR

Multi-Strategy

Alternative

Fund

.........................

31,521,517

212,132,899

24,312,716

125,396,503

AQR

Risk

Parity

II

HV

Fund

...............................

10,456,116

22,605,607

—

—

AQR

Risk

Parity

II

MV

Fund

...............................

18,124,862

44,604,367

—

—

AQR

Style

Premia

Alternative

Fund

..........................

56,106,728

1,334,087,511

123,607,768

1,120,329,872

AQR

Style

Premia

Alternative

LV

Fund

.......................

5,147,251

67,936,526

4,914,855

58,478,280

AQR

Volatility

Risk

Premium

Fund

...........................

3,096,295

3,204,725

—

—

308

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

During

the period

ended

June

30,

2020,

the

Funds

had

purchases

and

sales

of

long-term

U.S.

Government

obligations

as

follows:

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts,

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

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

June

30,

2020.

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Diversified

Arbitrage

Fund

.............................

$

4,443,387

$

4,430,452

$

307,732,170

$

307,202,711

AQR

Multi-Asset

Fund

...................................

16,698,037

29,363,232

—

—

AQR

Risk

Parity

II

HV

Fund

...............................

7,877,698

16,404,121

—

—

AQR

Risk

Parity

II

MV

Fund

...............................

12,936,487

31,415,587

—

—

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

Equity

Risk

Exposure:

3,325,958

36,777,485

3,762,356

159,238

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

162,303

$

–

$

–

$

59,748

Swaps

at

Value

(Assets)

**

.................................

385,668

6,097,439

2,242,256

27,668

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(1,548,005)

(208,687)

–

(50,477)

Swaps

at

Value

(Liabilities)

**

...............................

(351,554)

(30,471,359)

(1,520,100)

(21,343)

Written

Options

at

Market

Value

............................

(878,427)

–

–

–

3,325,958

36,777,485

3,762,356

159,238

Foreign

Exchange

Rate

Risk

Exposure:

3,880,204

195,073

66,860

1,010,411

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

1,679,672

110,995

18,558

645,191

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

(2,200,532)

(84,078)

(48,302)

(365,220)

3,880,204

195,073

66,860

1,010,411

Interest

Rate

Risk

Exposure:

2,917,712

26,268,855

–

2,816,075

Unrealized

Appreciation

on

Futures

Contracts

*

..................

1,192,563

–

–

54,655

Swaps

at

Value

(Assets)

**

.................................

–

26,103,481

–

1,633,371

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(1,661,495)

(134,472)

–

(139,808)

Swaps

at

Value

(Liabilities)

**

...............................

–

(30,902)

–

(988,250)

Written

Options

at

Market

Value

............................

(63,656)

–

–

–

2,917,712

26,268,855

–

2,816,075

Credit

Risk

Exposure:

–

129,945

–

–

Swaps

at

Value

(Assets)

**

.................................

–

129,360

–

–

Swaps

at

Value

(Liabilities)

**

...............................

–

(585)

–

–

–

129,945

–

–

Commodity

Risk

Exposure:

–

–

–

1,197,084

Unrealized

Appreciation

on

Futures

Contracts

*

..................

–

–

–

567,182

Swaps

at

Value

(Assets)

**

.................................

–

–

–

8,391

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

–

–

(618,798)

Swaps

at

Value

(Liabilities)

**

...............................

–

–

–

(2,715)

–

–

–

1,197,084

Net

Fair

Value

of

Derivative

Contracts:

(5,658,955)

1,168,033

662,668

682,096

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

(1,854,634)

(343,159)

–

(127,498)

Swaps

at

Value

**

........................................

34,114

1,827,434

722,156

657,122

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

.....................................

(520,860)

26,917

(29,744)

279,971

Written

Options

at

Market

Value

............................

(942,083)

–

–

–

5,658,955

1,168,033

662,668

682,096

309

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

Equity

Risk

Exposure:

18,337,077

161,308

1,390,426

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

4,081,173

$

55,092

$

122,615

$

–

Swaps

at

Value

(Assets)

**

.................................

7,378,819

1,386

226,121

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(229,660)

(101,757)

(126,273)

–

Swaps

at

Value

(Liabilities)

**

...............................

(6,647,424)

(3,073)

(856,368)

–

Written

Options

at

Market

Value

............................

–

–

(59,048)

–

18,337,077

161,308

1,390,426

–

Foreign

Exchange

Rate

Risk

Exposure:

1,145,494

1,460,886

1,349,476

–

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

755,247

790,906

556,975

–

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

(390,247)

(669,980)

(792,501)

–

1,145,494

1,460,886

1,349,476

–

Interest

Rate

Risk

Exposure:

–

694,517

1,062,125

–

Unrealized

Appreciation

on

Futures

Contracts

*

..................

–

671,913

107,572

–

Swaps

at

Value

(Assets)

**

.................................

–

–

345,471

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(22,605)

(89,867)

–

Swaps

at

Value

(Liabilities)

**

...............................

–

–

(516,292)

–

Written

Options

at

Market

Value

............................

–

–

(2,923)

–

–

694,517

1,062,125

–

Credit

Risk

Exposure:

–

–

83,961

–

Swaps

at

Value

(Assets)

**

.................................

–

–

5,163

–

Swaps

at

Value

(Liabilities)

**

...............................

–

–

(78,796)

–

–

–

83,961

–

Commodity

Risk

Exposure:

–

1,917,241

360,102

16,242,648

Unrealized

Appreciation

on

Futures

Contracts

*

..................

–

1,260,622

203,876

10,000,467

Swaps

at

Value

(Assets)

**

.................................

–

12,472

1,285

566,640

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(637,699)

(151,208)

(5,351,202)

Swaps

at

Value

(Liabilities)

**

...............................

–

(6,448)

(3,734)

(324,337)

–

1,917,241

360,102

16,242,648

Net

Fair

Value

of

Derivative

Contracts:

4,947,907

1,350,830

(2,220,608)

4,891,568

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

3,851,513

1,225,566

66,715

4,649,265

Swaps

at

Value

**

........................................

731,395

4,337

(877,150)

242,303

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

.....................................

365,000

120,926

(235,526)

–

Written

Options

at

Market

Value

............................

–

–

(61,971)

–

4,947,907

1,350,830

2,220,608

4,891,568

*

AQR

RISK

PARITY

II

HV

FUND

AQR

RISK

PARITY

II

MV

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Equity

Risk

Exposure:

153,704

351,644

49,096,973

2,747,824

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

92,679

$

217,732

$

1,561,892

$

61,110

Swaps

at

Value

(Assets)

**

.................................

5,255

10,683

5,604,836

298,466

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(37,133)

(82,759)

(13,226,373)

(525,707)

Swaps

at

Value

(Liabilities)

**

...............................

(18,636)

(40,471)

(28,703,875)

(1,862,545)

153,704

351,644

49,096,973

2,747,824

Foreign

Exchange

Rate

Risk

Exposure:

46,254

109,814

13,444,597

673,076

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

25,984

63,150

6,577,397

314,479

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.............................................

(20,270)

(46,664)

(6,867,200)

(358,597)

46,254

109,814

13,444,597

673,076

Interest

Rate

Risk

Exposure:

161,581

351,849

58,160,199

2,345,523

Unrealized

Appreciation

on

Futures

Contracts

*

..................

158,984

344,839

2,956,120

117,466

Swaps

at

Value

(Assets)

**

.................................

–

1,153

22,435,794

915,867

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(2,598)

(5,857)

(8,408,249)

(321,136)

Swaps

at

Value

(Liabilities)

**

...............................

–

–

(24,360,035)

(991,055)

161,581

351,849

58,160,199

2,345,523

310

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

*

AQR

RISK

PARITY

II

HV

FUND

AQR

RISK

PARITY

II

MV

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Commodity

Risk

Exposure:

469,319

1,023,434

11,910,978

685,623

Unrealized

Appreciation

on

Futures

Contracts

*

..................

355,238

777,067

7,020,994

393,920

Swaps

at

Value

(Assets)

**

.................................

–

10,665

–

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(114,081)

(230,154)

(4,490,978)

(279,637)

Swaps

at

Value

(Liabilities)

**

...............................

–

(5,547)

(399,004)

(12,066)

469,319

1,023,434

11,910,978

685,623

Net

Fair

Value

of

Derivative

Contracts:

432,041

990,322

(80,597,362)

(4,498,870)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

453,089

1,020,868

(14,586,594)

(553,984)

Swaps

at

Value

**

........................................

(13,381)

(23,517)

(25,422,284)

(1,651,333)

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

.....................................

5,714

16,486

(289,803)

(44,118)

432,041

990,322

80,597,362

4,498,870

*

AQR

VOLATILITY

RISK

PREMIUM

FUND

Equity

Risk

Exposure:

185,053

Unrealized

Depreciation

on

Futures

Contracts

*

...............................................................

$

(8,010)

Written

Options

at

Market

Value

..........................................................................

(177,043)

185,053

Interest

Rate

Risk

Exposure:

36,651

Unrealized

Appreciation

on

Futures

Contracts

*

................................................................

8,740

Unrealized

Depreciation

on

Futures

Contracts

*

...............................................................

(4,333)

Written

Options

at

Market

Value

..........................................................................

(23,578)

36,651

Net

Fair

Value

of

Derivative

Contracts:

(207,827)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

....................................................

(3,603)

Written

Options

at

Market

Value

..........................................................................

(200,621)

207,827

*

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

.

311

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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

June

30,

2020:

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(12,048,787)

(11,857,737)

(42,223,053)

(1,050,739)

Futures

and

Futures-Style

Options

Contracts

...................

$

2,587,544

$

1,126,454

$

861,737

$

(1,369,005)

Swap

Contracts

........................................

(4,302,231)

(12,984,191)

(43,084,789)

318,265

Written

Options

.........................................

(10,334,099)

–

–

–

(12,048,787.11)

(11,857,737.13)

(42,223,052.8)

(1,050,739.22)

Foreign

Exchange

Rate

Risk

Exposure:

(6,433,385)

620,851

441,358

(50,745)

Forward

Foreign

Currency

Exchange

Contracts

.................

(6,433,385)

620,851

441,358

(50,745)

(6,433,385)

620,851

441,358

(50,745)

Interest

Rate

Risk

Exposure:

2,197,989

38,337

–

(99,656)

Futures

and

Futures-Style

Options

Contracts

...................

3,128,109

(1,816,329)

–

(205,628)

Swap

Contracts

........................................

(349,945)

1,854,666

–

105,972

Written

Options

.........................................

(580,176)

–

–

–

2,197,988.66

38,336.76

–

(99,656.01)

Credit

Risk

Exposure:

–

2,344,608

–

–

Swap

Contracts

........................................

–

2,344,608

–

–

–

2,344,608.02

–

–

Commodity

Risk

Exposure:

–

–

–

193,918

Futures

and

Futures-Style

Options

Contracts

...................

–

–

–

106,158

Swap

Contracts

........................................

–

–

–

87,760

–

–

–

193,917.53

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

220,398

(6,495,575)

21,404,894

(89,188)

Futures

and

Futures-Style

Options

Contracts

...................

43,501

210,933

–

57,130

Swap

Contracts

........................................

(225,480)

(6,706,508)

21,404,894

(146,322)

Written

Options

.........................................

402,376

–

–

–

220,398

6,495,575

21,404,894

89,188

Foreign

Exchange

Rate

Risk

Exposure:

424,282

131,094

555,253

416,079

Forward

Foreign

Currency

Exchange

Contracts

.................

(424,282)

131,094

555,253

416,079

424,282

131,094

555,253

416,079

Interest

Rate

Risk

Exposure:

88,264

25,151,405

–

51,555

Futures

and

Futures-Style

Options

Contracts

...................

773,568

(289,425)

–

(38,484)

Swap

Contracts

........................................

(673,778)

25,440,830

–

(13,071)

Written

Options

.........................................

(11,526)

–

–

–

88,264

25,151,405

–

51,555

Credit

Risk

Exposure:

–

496,930

–

–

Swap

Contracts

........................................

–

(496,930)

–

–

–

496,930

–

–

Commodity

Risk

Exposure:

–

–

–

70,425

Futures

and

Futures-Style

Options

Contracts

...................

–

–

–

(7,376)

Swap

Contracts

........................................

–

–

–

77,805

–

–

–

70,425

312

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(265,859,232)

(4,759,409)

(65,515,411)

–

Futures

and

Futures-Style

Options

Contracts

...................

$

(39,461,180)

$

(4,971,491)

$

(9,308,477)

$

–

Swap

Contracts

........................................

(226,398,052)

212,083

(51,590,272)

–

Written

Options

.........................................

–

–

(4,616,658)

–

(265,859,231.89)

(4,759,408.6)

(65,515,410.57)

–

Foreign

Exchange

Rate

Risk

Exposure:

(2,220,627)

(2,333,334)

(1,480,495)

–

Forward

Foreign

Currency

Exchange

Contracts

.................

(2,220,627)

(2,333,334)

(1,480,495)

–

(2,220,627)

(2,333,334)

(1,480,495)

–

Interest

Rate

Risk

Exposure:

–

8,299,752

(11,067,476)

–

Futures

and

Futures-Style

Options

Contracts

...................

–

8,305,893

744,152

–

Swap

Contracts

........................................

–

(6,141)

(11,674,290)

–

Written

Options

.........................................

–

–

(137,342)

–

–

8,299,751.99

(11,067,475.97)

–

Credit

Risk

Exposure:

–

–

1,934,375

–

Swap

Contracts

........................................

–

–

1,934,375

–

–

–

1,934,374.7

–

Commodity

Risk

Exposure:

–

(5,792,160)

(515,239)

(44,638,787)

Futures

and

Futures-Style

Options

Contracts

...................

–

(5,184,320)

(344,904)

(34,156,978)

Swap

Contracts

........................................

–

(607,840)

(170,335)

(10,481,809)

–

(5,792,159.57)

(515,239.02)

(44,638,787.02)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

114,847,968

(305,936)

27,406,585

–

Futures

and

Futures-Style

Options

Contracts

...................

(1,653,922)

(285,329)

558,152

–

Swap

Contracts

........................................

116,501,891

(20,607)

26,810,673

–

Written

Options

.........................................

–

–

37,762

–

114,847,968

305,936

27,406,585

–

Foreign

Exchange

Rate

Risk

Exposure:

2,106,094

83,053

992,816

–

Forward

Foreign

Currency

Exchange

Contracts

.................

(2,106,094)

(83,053)

992,816

–

2,106,094

83,053

992,816

–

Interest

Rate

Risk

Exposure:

–

2,169,349

787,680

–

Futures

and

Futures-Style

Options

Contracts

...................

–

2,173,120

(500,077)

–

Swap

Contracts

........................................

–

(3,772)

(289,207)

–

Written

Options

.........................................

–

–

1,601

–

–

2,169,349

787,680

–

Credit

Risk

Exposure:

–

–

238,523

–

Swap

Contracts

........................................

–

–

238,523

–

–

–

238,523

–

Commodity

Risk

Exposure:

–

486,974

736,638

10,519,398

Futures

and

Futures-Style

Options

Contracts

...................

–

(454,847)

(882,437)

(6,601,813)

Swap

Contracts

........................................

–

(32,127)

145,798

(3,917,585)

–

486,974

736,638

10,519,398

313

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

*

AQR

RISK

PARITY

II

HV

FUND

AQR

RISK

PARITY

II

MV

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(3,205,949)

(6,814,223)

(329,175,902)

(11,252,870)

Futures

and

Futures-Style

Options

Contracts

...................

$

(2,659,980)

$

(5,668,242)

$

2,871,725

$

(557,147)

Swap

Contracts

........................................

(545,969)

(1,145,981)

(332,047,627)

(10,695,723)

(3,205,948.87)

(6,814,222.54)

(329,175,901.87)

(11,252,869.71)

Foreign

Exchange

Rate

Risk

Exposure:

258,146

537,391

(35,067,435)

(1,928,705)

Forward

Foreign

Currency

Exchange

Contracts

.................

258,146

537,391

(35,067,435)

(1,928,705)

258,146

537,391

(35,067,435)

(1,928,705)

Interest

Rate

Risk

Exposure:

3,430,081

7,477,135

7,737,008

1,266,177

Futures

and

Futures-Style

Options

Contracts

...................

3,430,081

7,438,462

26,129,970

2,148,630

Swap

Contracts

........................................

–

38,673

(18,392,963)

(882,453)

3,430,080.8

7,477,134.56

7,737,007.62

1,266,177.38

Commodity

Risk

Exposure:

(3,267,728)

(7,185,547)

(67,886,680)

(4,423,512)

Futures

and

Futures-Style

Options

Contracts

...................

(3,267,006)

(6,537,552)

(75,351,021)

(4,887,990)

Swap

Contracts

........................................

(722)

(647,995)

7,464,342

464,478

(3,267,727.76)

(7,185,546.64)

(67,886,679.88)

(4,423,511.87)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

(330,393)

(736,610)

78,324,688

(1,961,688)

Futures

and

Futures-Style

Options

Contracts

...................

(237,646)

(522,613)

6,834,806

476,891

Swap

Contracts

........................................

(92,748)

(213,998)

71,489,881

(2,438,579)

330,393

736,610

78,324,688

1,961,688

Foreign

Exchange

Rate

Risk

Exposure:

100,620

244,819

1,453,886

227,589

Forward

Foreign

Currency

Exchange

Contracts

.................

100,620

244,819

1,453,886

227,589

100,620

244,819

1,453,886

227,589

Interest

Rate

Risk

Exposure:

759,892

1,681,489

6,298,646

418,951

Futures

and

Futures-Style

Options

Contracts

...................

759,893

1,670,644

11,770,003

677,097

Swap

Contracts

........................................

–

10,845

(5,471,356)

(258,145)

759,892

1,681,489

6,298,646

418,951

Commodity

Risk

Exposure:

317,928

695,075

6,860,259

423,039

Futures

and

Futures-Style

Options

Contracts

...................

(312,903)

(652,020)

10,613,954

547,300

Swap

Contracts

........................................

(5,025)

(43,056)

(3,753,693)

(124,261)

317,928

695,075

6,860,259

423,039

*

AQR

VOLATILITY

RISK

PREMIUM

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(397,862)

Futures

and

Futures-Style

Options

Contracts

.................................................................

$

670,359

Written

Options

.......................................................................................

(1,068,222)

(397,862.42)

Interest

Rate

Risk

Exposure:

(139,267)

Futures

and

Futures-Style

Options

Contracts

.................................................................

(167,893)

Written

Options

.......................................................................................

28,626

(139,267.22)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

37,198

Futures

and

Futures-Style

Options

Contracts

.................................................................

372

Written

Options

.......................................................................................

36,826

37,198

Interest

Rate

Risk

Exposure:

5,320

Futures

and

Futures-Style

Options

Contracts

.................................................................

4,407

Written

Options

.......................................................................................

913

5,320

314

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

following

tables

present

the

Funds’

gross

OTC

derivative,

repurchase

agreements

and

reverse

repurchase

agreements

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

June

30,

2020:

AQR

Alternative

Risk

Premia

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

$4,355,960.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

385,668

$

(344,526)

$

41,142

$

–

$

–

$

41,142

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

839,879

(839,879)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

839,793

(839,793)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,065,340

(2,024,198)

41,142

–

–

41,142

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

344,526

$

(344,526)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

1,100,074

(839,879)

260,195

–

(260,195)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,100,458

(839,793)

260,665

JPMC

..........

Total

Return

Swap

Contracts

7,028

–

7,028

Total

JPMC

1,107,486

(839,793)

267,693

–

(267,693)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,552,086

(2,024,198)

527,888

–

(527,888)

–

315

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Diversified

Arbitrage

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$28,134

and

total

additional

collateral

pledged

was

$58,927,234.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

161,892

$

–

$

161,892

$

–

$

(161,892)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

72,864

(43,741)

29,123

–

(10,175)

18,948

GSIN

..........

Total

Return

Basket

Swap

Contracts

7,194,471

(5,500,565)

1,693,906

–

–

1,693,906

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

38,131

(38,131)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

10,510

–

10,510

–

–

10,510

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,477,868

(5,582,437)

1,895,431

–

(172,067)

1,723,364

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

$

43,741

$

(43,741)

$

–

$

–

$

–

$

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

35,109

–

35,109

–

(35,109)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

5,500,565

(5,500,565)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

40,337

(38,131)

2,206

JPMC

..........

Total

Return

Basket

Swap

Contracts

66,092

–

66,092

Total

JPMC

106,429

(38,131)

68,298

–

(68,298)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

66,448

–

66,448

(9,993)

–

56,455

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

5,752,292

(5,582,437)

169,855

(9,993)

(103,407)

56,455

316

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Equity

Market

Neutral

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$91,077

and

total

additional

collateral

pledged

was

$39,855,423.

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

$

9,279

$

(9,279)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

9,279

(9,279)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

460,822

(460,822)

–

Total

JPMC

470,101

(470,101)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

379,523

(183,784)

195,739

–

–

195,739

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,401,911

(752,210)

649,701

–

–

649,701

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,260,814

(1,415,374)

845,440

–

–

845,440

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

$

24,150

$

(9,279)

$

14,871

$

–

$

(14,871)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

24,152

(9,279)

14,873

JPMC

..........

Total

Return

Basket

Swap

Contracts

584,106

(460,822)

123,284

Total

JPMC

608,258

(470,101)

138,157

–

(138,157)

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

183,784

(183,784)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

752,210

(752,210)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,568,402

(1,415,374)

153,028

–

(153,028)

–

317

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Global

Macro

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

$815,617.

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

$

322,608

$

(182,596)

$

140,012

$

–

$

(110,013)

$

29,999

GSIN

..........

Total

Return

Swap

Contracts

17,212

(1,995)

15,217

–

–

15,217

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

322,583

(182,624)

139,959

JPMC

..........

Total

Return

Swap

Contracts

8,892

–

8,892

Total

JPMC

331,475

(182,624)

148,851

–

–

148,851

MLIN

..........

Total

Return

Swap

Contracts

1,564

(1,564)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

672,859

(368,779)

304,080

–

(110,013)

194,067

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

$

182,596

$

(182,596)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,995

(1,995)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

182,624

(182,624)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

19,348

(1,564)

17,784

–

–

17,784

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

386,563

(368,779)

17,784

–

–

17,784

318

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Global

Macro

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

4,702

$

(2,420)

$

2,282

$

–

$

–

$

2,282

GSIN

..........

Total

Return

Swap

Contracts

2,536

(295)

2,241

–

–

2,241

MACQ

.........

Total

Return

Swap

Contracts

736

–

736

–

–

736

SOCG

.........

Total

Return

Swap

Contracts

417

–

417

–

–

417

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

8,391

(2,715)

5,676

–

–

5,676

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

2,420

$

(2,420)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

295

(295)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,715

(2,715)

–

–

–

–

319

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Long-Short

Equity

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

377,643

$

(194,559)

$

183,084

$

–

$

(90,172)

$

92,912

DTBK

..........

Total

Return

Basket

Swap

Contracts

1,407,551

(1,407,551)

–

–

–

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

2,982,688

(158,289)

2,824,399

–

(2,824,399)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

377,604

(195,688)

181,916

JPMC

..........

Total

Return

Swap

Contracts

250

(250)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

1,563,312

(79,618)

1,483,694

Total

JPMC

1,941,166

(275,556)

1,665,610

–

–

1,665,610

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,425,018

(1,425,018)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

8,134,066

(3,460,973)

4,673,093

–

(2,914,571)

1,758,522

320

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$635,671

and

total

additional

collateral

pledged

was

$138,972,452.

AQR

Multi-Asset

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

283,245

$

–

$

283,245

$

–

$

(283,245)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

194,559

(194,559)

–

–

–

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

3,370,964

(1,407,551)

1,963,413

–

(1,963,413)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

158,289

(158,289)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

195,688

(195,688)

–

JPMC

..........

Total

Return

Swap

Contracts

793,632

(250)

793,382

JPMC

..........

Total

Return

Basket

Swap

Contracts

79,618

(79,618)

–

Total

JPMC

1,068,938

(275,556)

793,382

–

(793,382)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,961,676

(1,425,018)

536,658

(536,658)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,037,671

(3,460,973)

3,576,698

(536,658)

(3,040,040)

–

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

$

395,513

$

(334,974)

$

60,539

$

–

$

(60,539)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

395,393

(335,006)

60,387

JPMC

..........

Total

Return

Swap

Contracts

1,386

(1,386)

–

Total

JPMC

396,779

(336,392)

60,387

–

–

60,387

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

792,292

(671,366)

120,926

–

(60,539)

60,387

321

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$78,465

and

total

additional

collateral

pledged

was

$2,459,241.

AQR

Multi-Asset

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Reverse

Repurchase

Agreements

$

3,080,050

$

–

$

3,080,050

$

(3,080,050)

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

334,974

(334,974)

–

CITI

...........

Reverse

Repurchase

Agreements

3,739,875

–

3,739,875

Total

CITI

4,074,849

(334,974)

3,739,875

(3,739,875)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

335,006

(335,006)

–

JPMC

..........

Total

Return

Swap

Contracts

3,073

(1,386)

1,687

Total

JPMC

338,079

(336,392)

1,687

–

(1,687)

–

MPFS

..........

Reverse

Repurchase

Agreements

3,182,067

–

3,182,067

(3,182,067)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

10,675,045

(671,366)

10,003,679

(10,001,992)

(1,687)

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

3,947

$

(3,947)

$

–

$

–

$

–

$

–

SOCG

.........

Total

Return

Swap

Contracts

8,525

(304)

8,221

–

–

8,221

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

12,472

(4,251)

8,221

–

–

8,221

322

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$66,332.

AQR

Multi-Strategy

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

5,724

$

(3,947)

$

1,777

$

–

$

(1,777)

$

–

MLIN

..........

Total

Return

Swap

Contracts

420

–

420

–

–

420

SOCG

.........

Total

Return

Swap

Contracts

304

(304)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

6,448

(4,251)

2,197

–

(1,777)

420

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

$

278,495

$

(278,495)

$

–

CITI

...........

Total

Return

Swap

Contracts

24,031

(3,665)

20,366

Total

CITI

302,526

(282,160)

20,366

$

–

$

–

$

20,366

DTBK

..........

Total

Return

Basket

Swap

Contracts

6,583

(6,583)

–

–

–

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

104,351

(11,526)

92,825

–

–

92,825

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

278,480

(278,480)

–

JPMC

..........

Total

Return

Swap

Contracts

10,806

(10,806)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

80,212

(80,212)

–

Total

JPMC

369,498

(369,498)

–

–

–

–

MSCS

..........

Total

Return

Swap

Contracts

138

–

138

–

–

138

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

783,096

(669,767)

113,329

–

–

113,329

323

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$10,737,085.

AQR

Multi-Strategy

Alternative

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

96,049

$

–

$

96,049

$

–

$

(96,049)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

396,193

(278,495)

117,698

CITI

...........

Total

Return

Swap

Contracts

3,665

(3,665)

–

Total

CITI

399,858

(282,160)

117,698

–

(117,698)

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

288,085

(6,583)

281,502

–

(281,502)

–

GSIN

..........

Total

Return

Swap

Contracts

2,963

–

2,963

GSIN

..........

Total

Return

Basket

Swap

Contracts

11,526

(11,526)

–

Total

GSIN

14,489

(11,526)

2,963

–

(2,963)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

396,308

(278,480)

117,828

JPMC

..........

Total

Return

Swap

Contracts

12,720

(10,806)

1,914

JPMC

..........

Total

Return

Basket

Swap

Contracts

632,711

(80,212)

552,499

Total

JPMC

1,041,739

(369,498)

672,241

–

(672,241)

–

MLIN

..........

Total

Return

Swap

Contracts

5,005

–

5,005

–

–

5,005

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,845,225

(669,767)

1,175,458

–

(1,170,453)

5,005

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

1,086

$

(446)

$

640

$

–

$

–

$

640

GSIN

..........

Total

Return

Swap

Contracts

199

(199)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,285

(645)

640

–

–

640

324

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$175,761.

AQR

Risk

Parity

II

HV

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

446

$

(446)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,603

(199)

1,404

(1,404)

–

–

MACQ

.........

Total

Return

Swap

Contracts

990

–

990

–

–

990

MLIN

..........

Total

Return

Swap

Contracts

695

–

695

–

–

695

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,734

(645)

3,089

(1,404)

–

1,685

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

$

15,022

$

(10,633)

$

4,389

CITI

...........

Repurchase

Agreements

694,375

(694,375)

–

Total

CITI

709,397

(705,008)

4,389

$

–

$

(4,389)

$

–

GSIN

..........

Total

Return

Swap

Contracts

4,029

(4,029)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

10,962

(9,637)

1,325

–

–

1,325

MLIN

..........

Total

Return

Swap

Contracts

1,226

(1,226)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

725,614

(719,900)

5,714

–

(4,389)

1,325

325

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$45,612

and

total

additional

collateral

pledged

was

$432,517.

AQR

Risk

Parity

II

MV

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

10,633

$

(10,633)

$

–

CITI

...........

Reverse

Repurchase

Agreements

3,477,000

(694,375)

2,782,625

Total

CITI

3,487,633

(705,008)

2,782,625

$

(2,782,625)

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

10,071

(4,029)

6,042

–

(6,042)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

9,637

(9,637)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

8,565

(1,226)

7,339

–

–

7,339

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,515,906

(719,900)

2,796,006

(2,782,625)

(6,042)

7,339

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Swap

Contracts

$

1,153

$

–

$

1,153

$

–

$

–

$

1,153

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

38,801

(24,575)

14,226

–

–

14,226

GSIN

..........

Total

Return

Swap

Contracts

10,683

(10,683)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

24,349

(22,089)

2,260

–

–

2,260

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

74,986

(57,347)

17,639

–

–

17,639

326

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$327,443.

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

24,575

$

(24,575)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

19,014

(10,683)

8,331

–

(8,331)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

22,089

(22,089)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

21,457

–

21,457

–

–

21,457

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

87,135

(57,347)

29,788

–

(8,331)

21,457

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

865

$

–

$

865

$

–

$

–

$

865

MACQ

.........

Total

Return

Swap

Contracts

1,813

–

1,813

–

–

1,813

SOCG

.........

Total

Return

Swap

Contracts

7,987

(357)

7,630

–

–

7,630

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

10,665

(357)

10,308

–

–

10,308

327

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$237,612.

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

GSIN

..........

Total

Return

Swap

Contracts

$

5,190

$

–

$

5,190

$

(5,190)

$

–

$

–

SOCG

.........

Total

Return

Swap

Contracts

357

(357)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

5,547

(357)

5,190

(5,190)

–

–

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

71,469

$

(10,845)

$

60,624

$

–

$

(50,020)

$

10,604

GSIN

..........

Total

Return

Swap

Contracts

183,068

(72,771)

110,297

–

–

110,297

MACQ

.........

Total

Return

Swap

Contracts

14,060

(14,060)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

298,043

(205,659)

92,384

–

–

92,384

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

566,640

(303,335)

263,305

–

(50,020)

213,285

328

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$3,029,478.

AQR

Style

Premia

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

10,845

$

(10,845)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

72,771

(72,771)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

35,062

(14,060)

21,002

(21,002)

–

–

SOCG

.........

Total

Return

Swap

Contracts

205,659

(205,659)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

324,337

(303,335)

21,002

(21,002)

–

–

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

$

3,288,833

$

(3,288,833)

$

–

CITI

...........

Total

Return

Swap

Contracts

2,083,479

(2,083,479)

–

Total

CITI

5,372,312

(5,372,312)

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

15,514

(15,514)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,230,431

(1,230,431)

–

Total

GSIN

1,245,945

(1,245,945)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,288,564

(3,288,564)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

132,253

(132,253)

–

Total

JPMC

3,420,817

(3,420,817)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

21,305

(21,305)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

2,121,854

(2,015,171)

106,683

–

(106,683)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

12,182,233

(12,075,550)

106,683

–

(106,683)

–

329

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$215,374

and

total

additional

collateral

pledged

was

$221,891,872.

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$281,368

and

total

additional

collateral

pledged

was

$1,476,283.

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

3,233,156

$

–

$

3,233,156

$

–

$

(3,233,156)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

3,432,808

(3,288,833)

143,975

CITI

...........

Total

Return

Swap

Contracts

6,252,592

(2,083,479)

4,169,113

Total

CITI

9,685,400

(5,372,312)

4,313,088

–

(4,313,088)

–

GSIN

..........

Total

Return

Swap

Contracts

190,167

(15,514)

174,653

GSIN

..........

Total

Return

Basket

Swap

Contracts

11,893,232

(1,230,431)

10,662,801

Total

GSIN

12,083,399

(1,245,945)

10,837,454

–

(10,837,454)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,434,392

(3,288,564)

145,828

JPMC

..........

Total

Return

Basket

Swap

Contracts

4,937,325

(132,253)

4,805,072

Total

JPMC

8,371,717

(3,420,817)

4,950,900

–

(4,950,900)

–

MLIN

..........

Total

Return

Swap

Contracts

182,232

(21,305)

160,927

–

(160,927)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

2,015,171

(2,015,171)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

35,571,075

(12,075,550)

23,495,525

–

(23,495,525)

–

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

170,440

$

–

$

170,440

$

–

$

(170,440)

$

–

GSIN

..........

Total

Return

Swap

Contracts

228,564

–

228,564

–

(228,564)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

399,004

–

399,004

–

(399,004)

–

330

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Style

Premia

Alternative

LV

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

157,248

$

(157,248)

$

–

CITI

...........

Total

Return

Swap

Contracts

98,295

(98,295)

–

Total

CITI

255,543

(255,543)

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

157,231

(157,231)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

94,492

(94,492)

–

Total

JPMC

251,723

(251,723)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

105,679

–

105,679

–

–

105,679

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

612,945

(507,266)

105,679

–

–

105,679

331

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

(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

$11,198,482.

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

the

counterparty.

Total

additional

collateral

received

was

$17,787.

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

$

179,271

$

(157,248)

$

22,023

CITI

...........

Total

Return

Swap

Contracts

262,635

(98,295)

164,340

Total

CITI

441,906

(255,543)

186,363

$

–

$

(186,363)

$

–

GSIN

..........

Total

Return

Swap

Contracts

9,336

–

9,336

GSIN

..........

Total

Return

Basket

Swap

Contracts

1,365,241

–

1,365,241

Total

GSIN

1,374,577

–

1,374,577

(1,374,577)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

179,326

(157,231)

22,095

JPMC

..........

Total

Return

Basket

Swap

Contracts

218,848

(94,492)

124,356

Total

JPMC

398,174

(251,723)

146,451

–

(146,451)

–

MLIN

..........

Total

Return

Swap

Contracts

6,485

–

6,485

–

–

6,485

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,221,142

(507,266)

1,713,876

(1,374,577)

(332,814)

6,485

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

GSIN

..........

Total

Return

Swap

Contracts

$

12,066

$

–

$

12,066

$

–

$

–

$

12,066

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

12,066

–

12,066

–

–

12,066

332

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

For

the period

ended

June

30,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

*

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

AQR

LONG-

SHORT

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

304,968,366

$

–

$

–

$

29,297,981

$

327,576,558

Average

Notional

Balance

-

Short

169,807,034

67,705,351

3,469,095

34,328,257

–

Ending

Notional

Balance

-

Long

435,428,379

–

–

31,715,880

227,902,538

Ending

Notional

Balance

-

Short

179,831,331

81,729,071

–

34,925,479

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

330,332,136

6,677,351

13,708,728

43,889,760

178,347,261

Average

Settlement

Value

-

Sold

311,851,686

28,539,454

30,103,619

46,405,853

46,341,834

Ending

Value

-

Purchased

181,098,821

9,381,462

2,784,877

38,028,574

103,332,056

Ending

Value

-

Sold

159,448,262

22,976,335

2,656,556

40,284,580

11,139,951

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

280

–

–

–

–

Ending

Number

of

Contracts

-

Written

404

–

–

–

–

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

23,033,333

–

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

22,500,000

–

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

18,667,234

–

–

3,309,910

52,482,249

Average

Notional

Balance

-

Short

19,876,742

–

–

3,793,326

–

Ending

Notional

Balance

-

Long

18,624,291

–

–

1,983,984

38,294,630

Ending

Notional

Balance

-

Short

8,375,887

–

–

1,678,954

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

130,557,780

–

Average

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

171,808,569

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

180,324,857

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

147,161,484

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

343,080,142

328,349,890

–

1,431,269,244

Average

Notional

of

Underlying

Positions

-

Short

–

103,837,063

326,612,210

–

1,365,539,296

Ending

Notional

Balance

-

Long

–

374,419,030

325,917,805

–

1,196,901,292

Ending

Notional

Balance

-

Short

–

159,476,423

339,019,997

–

1,249,168,942

333

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

*

AQR

MULTI-

ASSET

FUND

AQR

MULTI-

STRATEGY

ALTERNATIVE

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

HV

FUND

AQR

RISK

PARITY

II

MV

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

247,639,379

$

307,388,084

$

391,823,657

$

75,421,006

$

164,083,845

Average

Notional

Balance

-

Short

26,860,498

310,651,982

223,616,261

3,519,219

7,395,642

Ending

Notional

Balance

-

Long

278,434,807

62,090,541

189,600,476

70,401,708

150,365,070

Ending

Notional

Balance

-

Short

13,875,771

41,452,993

83,291,745

1,369,167

2,429,623

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

100,226,923

380,333,025

–

3,311,140

5,028,421

Average

Settlement

Value

-

Sold

109,209,496

383,496,909

–

6,327,119

14,085,892

Ending

Value

-

Purchased

58,313,696

48,025,450

–

1,783,025

4,119,966

Ending

Value

-

Sold

63,914,792

48,113,094

–

4,660,219

10,266,567

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

–

78

–

–

–

Ending

Number

of

Contracts

-

Written

–

34

–

–

–

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

17,004,056

–

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

4,944,124

–

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

6,098,184

12,790,742

91,176,534

2,381,933

9,361,720

Average

Notional

Balance

-

Short

3,678,820

13,814,716

42,359,740

49,950

2,371,676

Ending

Notional

Balance

-

Long

2,155,232

1,687,258

24,013,245

1,323,502

3,826,365

Ending

Notional

Balance

-

Short

364,000

1,958,196

4,727,225

–

150,783

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

27,099,694

–

–

–

Average

Notional

Balance

-

Receives

Fixed

Rate

–

53,498,636

–

–

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

27,099,694

–

–

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

53,498,636

–

–

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

357,762,440

–

–

–

Average

Notional

of

Underlying

Positions

-

Short

–

288,766,659

–

–

–

Ending

Notional

Balance

-

Long

–

81,892,247

–

–

–

Ending

Notional

Balance

-

Short

–

71,912,681

–

–

–

334

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

AQR

VOLATILITY

RISK

PREMIUM

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

10,563,972,049

$

553,933,868

$

471,041

Average

Notional

Balance

-

Short

7,875,073,871

422,604,934

1,209,657

Ending

Notional

Balance

-

Long

4,895,270,530

201,821,083

835,031

Ending

Notional

Balance

-

Short

5,349,680,633

277,191,092

1,188,495

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

1,855,165,226

119,289,052

–

Average

Settlement

Value

-

Sold

1,750,054,508

117,098,995

–

Ending

Value

-

Purchased

574,213,912

30,373,329

–

Ending

Value

-

Sold

526,431,581

26,550,268

–

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

–

–

45

Ending

Number

of

Contracts

-

Written

–

–

85

Total

Return

Swaps:

Average

Notional

Balance

-

Long

416,280,196

21,700,060

–

Average

Notional

Balance

-

Short

388,341,933

20,689,492

–

Ending

Notional

Balance

-

Long

242,432,078

10,746,874

–

Ending

Notional

Balance

-

Short

122,893,660

5,040,151

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

3,610,841,188

122,507,824

–

Average

Notional

Balance

-

Receives

Fixed

Rate

3,293,679,492

157,383,999

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

3,610,841,188

122,507,824

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

3,293,679,492

157,383,999

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

2,404,594,277

119,224,006

–

Average

Notional

of

Underlying

Positions

-

Short

2,258,821,789

108,813,056

–

Ending

Notional

Balance

-

Long

2,076,046,620

98,895,056

–

Ending

Notional

Balance

-

Short

2,027,298,972

95,213,706

–

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

335

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Pursuant

to

the

Advisory

Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

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:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

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.

FUND

RATIO

AQR

Alternative

Risk

Premia

Fund

........................................................................

1.20%

AQR

Diversified

Arbitrage

Fund

...........................................................................

1.00

AQR

Equity

Market

Neutral

Fund

.........................................................................

1.10

AQR

Global

Macro

Fund

................................................................................

1.25(a)

AQR

Long-Short

Equity

Fund

............................................................................

1.10

AQR

Multi-Asset

Fund

.................................................................................

0.75(b)

AQR

Multi-Strategy

Alternative

Fund

.......................................................................

1.75

AQR

Risk-Balanced

Commodities

Strategy

Fund

..............................................................

0.80

AQR

Risk

Parity

II

HV

Fund

.............................................................................

0.95(

c

)

AQR

Risk

Parity

II

MV

Fund

.............................................................................

0.75(

d

)

AQR

Style

Premia

Alternative

Fund

........................................................................

1.35

AQR

Style

Premia

Alternative

LV

Fund

.....................................................................

0.65

AQR

Volatility

Risk

Premium

Fund

.........................................................................

0.55

(a)

Effective

July

1,

2020,

the

AQR

Global

Macro

Fund

Advisory

Fee

was

reduced

from

1.250%

to

1.00%.

(b)

The

AQR

Multi-Asset

Fund

Advisory

Fee

is

based

on

the

following

two

tier

structure.

The

first

tier

charges

0.75%

on

the

first

$1

billion

of

net

assets

and

the

second

tier

charges

0.70%

on

net

assets

in

excess

of

$1

billion.

Effective

July

1,

2020,

the

Advisory

fee

two

tier

structure

was

eliminated,

and

the

Advisory

fee

was

reduced

from

0.75%

to

0.60%.

(c)

The

AQR

Risk

Parity

II

HV

Fund

Advisory

Fee

is

based

on

the

following

three

tier

structure.

The

first

tier

charges

0.95%

of

the

first

$1

billion

of

net

assets;

the

second

tier

charges

0.925%

on

net

assets

in

excess

of

the

$1

billion,

up

to

$3

billion;

and

the

third

tier

charges

0.90%

on

net

assets

in

excess

of

$3

billion.

Effective

July

1,

2020,

the

Advisory

fee

three

tier

structure

was

eliminated,

and

the

Advisory

fee

was

reduced

from

0.95%

to

0.80%.

(d)

The

AQR

Risk

Parity

II

MV

Fund

Advisory

Fee

is

based

on

the

following

three

tier

structure.

The

first

tier

charges

0.75%

of

the

first

$1

billion

of

net

assets;

the

second

tier

charges

0.725%

on

net

assets

in

excess

of

the

$1

billion,

up

to

$3

billion;

and

the

third

tier

charges

0.70%

on

net

assets

in

excess

of

$3

billion.

Effective

July

1,

2020,

the

Advisory

fee

three

tier

structure

was

eliminated,

and

the

Advisory

fee

was

reduced

from

0.75%

to

0.60%.

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

....................................................

0.20

%

0.20

%

0.10

%

AQR

Diversified

Arbitrage

Fund

.......................................................

0.20

0.20

0.10

AQR

Diversifying

Strategies

Fund

.....................................................

0.20

0.20

0.10

AQR

Equity

Market

Neutral

Fund

.....................................................

0.20

0.20

0.10

AQR

Global

Macro

Fund

............................................................

0.20

0.20

0.10

AQR

Long-Short

Equity

Fund

........................................................

0.20

0.20

0.10

AQR

Multi-Asset

Fund

.............................................................

0.20

0.20

0.10

AQR

Multi-Strategy

Alternative

Fund

...................................................

0.20

0.20

0.10

AQR

Risk-Balanced

Commodities

Strategy

Fund

..........................................

0.20

0.20

0.10

AQR

Risk

Parity

II

HV

Fund

.........................................................

0.20

0.20

0.10

AQR

Risk

Parity

II

MV

Fund

.........................................................

0.20

0.20

0.10

AQR

Style

Premia

Alternative

Fund

....................................................

0.15

0.15

0.05

AQR

Style

Premia

Alternative

LV

Fund

.................................................

0.20

0.20

0.10

AQR

Volatility

Risk

Premium

Fund

.....................................................

0.20

0.20

0.10

336

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

For

the period

ended

June

30,

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 June

30,

2020

are

as

follows:

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

JUNE

30

,

JUNE

30,

2020

JUNE

30,

2020

20

20

20

21

20

22

20

23

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

................

$

56,585

$

293,205

$

20,548

$

99,276

$

116,796

$

56,585

Class

N

................

4,609

21,021

6,655

4,004

5,753

4,609

Class

R6

...............

41,884

230,858

65,173

60,374

63,427

41,884

Totals

$

103,078

$

545,084

$

92,376

$

163,654

$

185,976

$

103,078

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

................

$

142,532

$

712,680

$

79,269

$

165,779

$

325,100

$

142,532

Class

N

................

12,304

115,258

17,680

36,654

48,620

12,304

Class

R6

...............

25,821

46,881

1,519

5,976

13,565

25,821

Totals

$

180,657

$

874,819

$

98,468

$

208,409

$

387,285

$

180,657

AQR

DIVERSIFYING

STRATEGIES

FUND

Class

I

................

$

1,458

$

1,458

$

–

$

–

$

–

$

1,458

Class

N

................

1,417

1,417

–

–

–

1,417

Class

R6

...............

11,336

11,336

–

–

–

11,336

Totals

$

14,211

$

14,211

$

–

$

–

$

–

$

14,211

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

................

$

71,541

$

154,361

$

–

$

–

$

82,820

$

71,541

Class

N

................

4,160

11,960

–

–

7,800

4,160

Class

R6

...............

14,271

27,126

–

–

12,855

14,271

Totals

$

89,972

$

193,447

$

–

$

–

$

103,475

$

89,972

AQR

GLOBAL

MACRO

FUND

Class

I

................

$

53,817

$

315,121

$

54,789

$

81,977

$

124,538

$

53,817

Class

N

................

4,452

69,083

13,381

35,758

15,492

4,452

Class

R6

...............

46,177

269,032

57,126

81,418

84,311

46,177

Totals

$

104,446

$

653,236

$

125,296

$

199,153

$

224,341

$

104,446

AQR

LONG-SHORT

EQUITY

FUND

Class

I

................

$

71,178

$

71,178

$

–

$

–

$

–

$

71,178

Class

N

................

1,560

1,560

–

–

–

1,560

Class

R6

...............

7,048

7,048

–

–

–

7,048

Totals

$

79,786

$

79,786

$

–

$

–

$

–

$

79,786

AQR

MULTI-ASSET

FUND

Class

I

................

$

86,467

$

365,752

$

9,659

$

38,484

$

231,142

$

86,467

Class

N

................

6,250

24,949

463

1,924

16,312

6,250

Class

R6

...............

3,616

14,641

931

3,916

6,178

3,616

Totals

$

96,333

$

405,342

$

11,053

$

44,324

$

253,632

$

96,333

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Class

I

................

$

112,388

$

267,649

$

–

$

–

$

155,261

$

112,388

Class

N

................

8,578

24,068

–

–

15,490

8,578

Class

R6

...............

43,838

121,873

–

–

78,035

43,838

Totals

$

164,804

$

413,590

$

–

$

–

$

248,786

$

164,804

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

................

$

20,834

$

144,201

$

23,467

$

25,631

$

74,269

$

20,834

Class

N

................

8,664

25,421

1,943

4,454

10,360

8,664

Class

R6

...............

57,703

219,245

31,971

36,944

92,627

57,703

Totals

$

87,201

$

388,867

$

57,381

$

67,029

$

177,256

$

87,201

AQR

RISK

PARITY

II

HV

FUND

Class

I

................

$

79,004

$

469,388

$

64,662

$

145,047

$

180,675

$

79,004

Class

N

................

13,128

94,421

12,738

36,047

32,508

13,128

Class

R6

...............

4,186

18,694

4,035

3,867

6,606

4,186

Totals

$

96,318

$

582,503

$

81,435

$

184,961

$

219,789

$

96,318

337

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Pursuant

to

the

Sub-Advisory

Agreements

between

the

Sub-Adviser,

the

Adviser

and

the

Trust,

the

Adviser

will

pay

the

Sub-Adviser

an

annual

fee,

payable

monthly,

at

the

annual

rate

of

0.50%

and

0.35%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund

and

the

AQR

Multi-

Strategy

Alternative

Fund,

respectively. 

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

With

the

exception

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Diversified

Arbitrage

Fund,

AQR

Diversifying

Strategies

Fund,

AQR

Equity

Market

Neutral

Fund, AQR

Long-

Short

Equity

Fund

and

AQR

Volatility

Risk

Premium

Fund,

the

Funds

are

non-diversified.

Because

the

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Funds

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Funds’

performance. 

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

JUNE

30,

JUNE

30,

2020

JUNE

30,

2020

2020

2021

2022

2023

AQR

RISK

PARITY

II

MV

FUND

Class

I

................

$

85,708

$

488,995

$

71,618

$

150,622

$

181,047

$

85,708

Class

N

................

1,426

14,642

3,232

5,451

4,533

1,426

Class

R6

...............

491

3,790

601

1,438

1,260

491

Totals

$

87,625

$

507,427

$

75,451

$

157,511

$

186,840

$

87,625

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

................

$

183,188

$

1,025,027

$

150,692

$

227,967

$

463,180

$

183,188

Class

N

................

7,585

48,802

10,086

10,389

20,742

7,585

Class

R6

...............

242,300

873,910

82,827

146,500

402,283

242,300

Totals

$

433,073

$

1,947,739

$

243,605

$

384,856

$

886,205

$

433,073

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Class

I

................

$

84,236

$

268,308

$

22,780

$

7,234

$

154,058

$

84,236

Class

N

................

2,297

12,511

2,537

380

7,297

2,297

Class

R6

...............

20,363

60,970

6,975

459

33,173

20,363

Totals

$

106,896

$

341,789

$

32,292

$

8,073

$

194,528

$

106,896

AQR

VOLATILITY

RISK

PREMIUM

FUND

Class

I

................

$

9,592

$

48,498

$

–

$

10,112

$

28,794

$

9,592

Class

N

................

6,598

36,274

–

9,717

19,959

6,598

Class

R6

...............

63,089

333,602

–

87,579

182,934

63,089

Totals

$

79,279

$

418,374

$

–

$

107,408

$

231,687

$

79,279

338

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

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). Inflation-indexed

bonds

are

subject

to

certain

risks,

including

that

their

value

will

typically

fluctuate

in

response

to

changes

in

real

interest

rates,

which

are

in

turn

tied

to

the

relationship

between

nominal

interest

rates

and

the

rate

of

inflation.

Therefore,

if

nominal

interest

rates

increased

at

a

faster

rate

than

inflation,

real

interest

rates

might

rise,

leading

to

a

decrease

in

the

value

of

inflation-protected

securities.

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. 

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

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.

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.

339

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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.

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

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.

In

regards

to

the

AQR

Diversifying

Strategies

Fund,

due

to

the

Fund's

strategy

of

investing

in

affiliated

funds,

shareholders

bear

both

their

proportionate

share

of

expenses

in

the

Fund

and,

indirectly,

the

expenses

of

such

Affiliated

Funds.

An

investor

holding

the

affiliated

investment

funds

directly

and

in

the

same

proportions

as

the

Fund

would

incur

lower

overall

expenses

but

would

not

receive

the

benefits

of

the

active

allocation

of

investments

among

the

affiliated

investment

funds

associated

with

an

investment

in

the

Fund.

The

Adviser

receives

management

fees

from

each

of

the

affiliated

investment

funds.

If

the

Adviser

were

to

invest

in

unaffiliated

funds,

however,

the

Adviser

would

not

receive

direct

or

indirect

management

fees

on

the

Fund

assets

invested

in

those

unaffiliated

funds.

There

is

a

risk

that

the

affiliated

investment

funds

in

which

the

Fund

invests

will

have

higher

expense

ratios

and/or

under-perform

unaffiliated

funds

with

comparable

investment

strategies.

Additionally,

investments

in

the

AQR

Diversifying

Strategies

Fund

are

subject

to

risks

related

to

the

Adviser's

allocation

choices.

The

selection

of

the

affiliated

investment

funds

and

the

allocation

of

the

Fund's

assets

to

the

affiliated

investment

funds

could

cause

the

Fund

to

lose

value

or

its

results

to

lag

relevant

benchmarks

or

other

funds

with

similar

objectives.

The

Fund

could

miss

attractive

investment

opportunities

by

under-weighting

strategies

that

subsequently

experience

significant

returns

and

could

lose

value

by

overweighting

strategies

that

subsequently

experience

significant

declines.

As

with

other

investments,

investments

in

other

investment

companies,

such

as

the

affiliated

investment

funds

and

money

market

mutual

funds,

are

subject

to

market

and

manager

risk.

Since

the

AQR

Diversifying

Strategies

Fund's

investments

consist

primarily

of

affiliated

funds,

the

Fund's

risks

are

directly

related

to

the

risks

of

the

affiliated

investment

funds.

For

this

reason,

it

is

important

to

understand

the

risks

associated

with

investing

in

the

affiliated

investment

funds.

340

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Funds’

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Funds.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

June

30,

2020

by

any

of

the

Funds

in

the

Trust. 

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

all

funds

within

the

Trust,

with

the

exception

of

the

AQR

Diversifying

Strategies

Fund, 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 June

30,

2020 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the period

ended

June

30,

2020. 

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

RECEIVED

AQR

Long-Short

Equity

Fund

..........................................

$

600,000

3

$

114

AQR

Style

Premia

Alternative

Fund

......................................

3,596,444

36

3,520

341

Notes

to

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Principal

Ownership

As

of

June

30,

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.

New

Accounting

Pronouncements

and

Regulations 

In

March

2020,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2020-04

(“ASU

2020-04”),

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

ASU

2020-04

provides

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued.

ASU

2020-04

is

elective

and

is

effective

for

certain

reference

rate-

related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

is

currently

evaluating

the

impact,

if

any,

of

applying

ASU

2020-04.

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

other

than

those

disclosed

in

Note

9.

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Alternative

Risk

Premia

Fund

..........................................

4

87.48%

AQR

Diversified

Arbitrage

Fund

.............................................

3

82.00%

AQR

Diversifying

Strategies

Fund*

..........................................

3

61.80%

AQR

Equity

Market

Neutral

Fund

...........................................

7

86.32%

AQR

Global

Macro

Fund*

.................................................

6

89.43%

AQR

Long-Short

Equity

Fund

..............................................

4

79.64%

AQR

Multi-Asset

Fund

...................................................

4

81.44%

AQR

Multi-Strategy

Alternative

Fund

.........................................

3

74.94%

AQR

Risk-Balanced

Commodities

Strategy

Fund

................................

2

92.63%

AQR

Risk

Parity

II

HV

Fund*

...............................................

5

83.92%

AQR

Risk

Parity

II

MV

Fund

...............................................

1

81.81%

AQR

Style

Premia

Alternative

Fund

..........................................

3

82.99%

AQR

Style

Premia

Alternative

LV

Fund

.......................................

3

92.33%

AQR

Volatility

Risk

Premium

Fund*

..........................................

3

92.27%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

61.80%,

35.85%,

11.03%

and

77.87%

respectively.

342

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

June

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

6/30/2020”

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

  6/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        6/30/20

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$841.40

3.36%

$15.38

Hypothetical

Return

$1,000.00

$1,008.16

3.36%

$16.78

Class

N

Actual

Return

$1,000.00

$839.00

3.61%

$16.51

Hypothetical

Return

$1,000.00

$1,006.91

3.61%

$18.01

Class

R6

Actual

Return

$1,000.00

$840.60

3.26%

$14.92

Hypothetical

Return

$1,000.00

$1,008.65

3.26%

$16.28

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$1,025.80

2.14%

$10.78

Hypothetical

Return

$1,000.00

$1,014.22

2.14%

$10.72

Class

N

Actual

Return

$1,000.00

$1,024.70

2.39%

$12.03

Hypothetical

Return

$1,000.00

$1,012.98

2.39%

$11.96

Class

R6

Actual

Return

$1,000.00

$1,026.90

2.04%

$10.28

Hypothetical

Return

$1,000.00

$1,014.72

2.04%

$10.22

AQR

Diversifying

Strategies

Fund

1

Class

I

Actual

Return

$1,000.00

$1,005.00

0.20%

$0.12

2

Hypothetical

Return

$1,000.00

$1,023.87

0.20%

$1.01

Class

N

Actual

Return

$1,000.00

$1,005.00

0.45%

$0.27

2

Hypothetical

Return

$1,000.00

$1,022.63

0.45%

$2.26

Class

R6

Actual

Return

$1,000.00

$1,005.00

0.10%

$0.06

2

Hypothetical

Return

$1,000.00

$1,024.37

0.10%

$0.50

343

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

June

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  6/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        6/30/20

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$879.30

1.74%

$8.13

Hypothetical

Return

$1,000.00

$1,016.21

1.74%

$8.72

Class

N

Actual

Return

$1,000.00

$878.30

1.99%

$9.29

Hypothetical

Return

$1,000.00

$1,014.97

1.99%

$9.97

Class

R6

Actual

Return

$1,000.00

$879.60

1.64%

$7.66

Hypothetical

Return

$1,000.00

$1,016.71

1.64%

$8.22

AQR

Global

Macro

Fund

Class

I

Actual

Return

$1,000.00

$968.50

1.46%

$7.15

Hypothetical

Return

$1,000.00

$1,017.60

1.46%

$7.32

Class

N

Actual

Return

$1,000.00

$967.00

1.71%

$8.36

Hypothetical

Return

$1,000.00

$1,016.36

1.71%

$8.57

Class

R6

Actual

Return

$1,000.00

$969.60

1.36%

$6.66

Hypothetical

Return

$1,000.00

$1,018.10

1.36%

$6.82

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$843.90

1.31%

$6.01

Hypothetical

Return

$1,000.00

$1,018.35

1.31%

$6.57

Class

N

Actual

Return

$1,000.00

$842.00

1.56%

$7.14

Hypothetical

Return

$1,000.00

$1,017.11

1.56%

$7.82

Class

R6

Actual

Return

$1,000.00

$843.50

1.21%

$5.55

Hypothetical

Return

$1,000.00

$1,018.85

1.21%

$6.07

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$926.50

1.20%

$5.75

Hypothetical

Return

$1,000.00

$1,018.90

1.20%

$6.02

Class

N

Actual

Return

$1,000.00

$925.20

1.45%

$6.94

Hypothetical

Return

$1,000.00

$1,017.65

1.45%

$7.27

Class

R6

Actual

Return

$1,000.00

$926.40

1.10%

$5.27

Hypothetical

Return

$1,000.00

$1,019.39

1.10%

$5.52

AQR

Multi-Strategy

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$715.50

2.47%

$10.54

Hypothetical

Return

$1,000.00

$1,012.58

2.47%

$12.36

Class

N

Actual

Return

$1,000.00

$714.10

2.72%

$11.59

Hypothetical

Return

$1,000.00

$1,011.34

2.72%

$13.60

Class

R6

Actual

Return

$1,000.00

$714.90

2.37%

$10.11

Hypothetical

Return

$1,000.00

$1,013.08

2.37%

$11.86

344

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

June

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  6/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        6/30/20

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$794.60

1.00%

$4.46

Hypothetical

Return

$1,000.00

$1,019.89

1.00%

$5.02

Class

N

Actual

Return

$1,000.00

$793.60

1.25%

$5.57

Hypothetical

Return

$1,000.00

$1,018.65

1.25%

$6.27

Class

R6

Actual

Return

$1,000.00

$795.30

0.90%

$4.02

Hypothetical

Return

$1,000.00

$1,020.39

0.90%

$4.52

AQR

Risk

Parity

II

HV

Fund

Class

I

Actual

Return

$1,000.00

$911.70

1.36%

$6.46

Hypothetical

Return

$1,000.00

$1,018.10

1.36%

$6.82

Class

N

Actual

Return

$1,000.00

$910.60

1.61%

$7.65

Hypothetical

Return

$1,000.00

$1,016.86

1.61%

$8.07

Class

R6

Actual

Return

$1,000.00

$912.70

1.26%

$5.99

Hypothetical

Return

$1,000.00

$1,018.60

1.26%

$6.32

AQR

Risk

Parity

II

MV

Fund

Class

I

Actual

Return

$1,000.00

$946.30

0.96%

$4.65

Hypothetical

Return

$1,000.00

$1,020.09

0.96%

$4.82

Class

N

Actual

Return

$1,000.00

$945.90

1.21%

$5.85

Hypothetical

Return

$1,000.00

$1,018.85

1.21%

$6.07

Class

R6

Actual

Return

$1,000.00

$947.40

0.86%

$4.16

Hypothetical

Return

$1,000.00

$1,020.59

0.86%

$4.32

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$806.10

1.94%

$8.71

Hypothetical

Return

$1,000.00

$1,015.22

1.94%

$9.72

Class

N

Actual

Return

$1,000.00

$804.20

2.19%

$9.82

Hypothetical

Return

$1,000.00

$1,013.97

2.19%

$10.97

Class

R6

Actual

Return

$1,000.00

$806.60

1.84%

$8.26

Hypothetical

Return

$1,000.00

$1,015.71

1.84%

$9.22

AQR

Style

Premia

Alternative

LV

Fund

Class

I

Actual

Return

$1,000.00

$888.90

0.96%

$4.51

Hypothetical

Return

$1,000.00

$1,020.09

0.96%

$4.82

Class

N

Actual

Return

$1,000.00

$888.10

1.21%

$5.68

Hypothetical

Return

$1,000.00

$1,018.85

1.21%

$6.07

Class

R6

Actual

Return

$1,000.00

$889.00

0.86%

$4.04

Hypothetical

Return

$1,000.00

$1,020.59

0.86%

$4.32

345

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

June

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  6/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        6/30/20

AQR

Volatility

Risk

Premium

Fund

Class

I

Actual

Return

$1,000.00

$932.60

0.75%

$3.60

Hypothetical

Return

$1,000.00

$1,021.13

0.75%

$3.77

Class

N

Actual

Return

$1,000.00

$931.60

1.00%

$4.80

Hypothetical

Return

$1,000.00

$1,019.89

1.00%

$5.02

Class

R6

Actual

Return

$1,000.00

$932.60

0.65%

$3.12

Hypothetical

Return

$1,000.00

$1,021.63

0.65%

$3.27

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

182/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

1

Commencement

of

operation

was

June

8,

2020.

2

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

22/366

(to

reflect

the

period

since

commencement

of

operations).

346

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

held

a

telephonic

meeting

on

May

18,

20

and

21,

2020

(the

“Meeting”)

to

consider

the

continuation

of

the:

(i)

Third

Amended

and

Restated

Investment

Management

Agreement,

as

amended

(the

“Investment

Management

Agreement”),

between

AQR

Capital

Management,

LLC

(“AQR”)

and

the

Trust

on

behalf

of

the

AQR

Diversified

Arbitrage

Fund,

AQR

Equity

Market

Neutral

Fund,

AQR

Global

Macro

Fund,

AQR

Long-Short

Equity

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Style

Premia

Alternative

Fund,

AQR

Style

Premia

Alternative

LV

Fund,

and

certain

other

series

of

the

Trust,

including

approval

of

the

Third

Amendment

to

the

Investment

Management

Agreement

(the

“Amendment”);

(ii)

Investment

Management

Agreement

II,

as

amended,

between

AQR

and

the

Trust

on

behalf

of

the

AQR

Alternative

Risk

Premia

Fund,

AQR

Volatility

Risk

Premium

Fund,

and

certain

other

series

of

the

Trust;

and

(iii)

the

Second

Amended

and

Restated

Investment

Sub-Advisory

Agreement

between

AQR

and

CNH

Partners,

LLC

(“CNH”

or

the

“Sub-Adviser”)

for

the

AQR

Diversified

Arbitrage

Fund

and

the

Investment

Sub-Advisory

Agreement

between

AQR

and

CNH

for

the

AQR

Multi-Strategy

Alternative

Fund

(collectively,

the

“Sub-Advisory

Agreements”).

Each

of

the

aforementioned

series

of

the

Trust

may

be

referred

to

herein

as

a

“Fund”

and

collectively,

the

“Funds.”

The

Investment

Management

Agreement

(including

the

Amendment),

the

Investment

Management

Agreement

II

and

the

Sub-Advisory

Agreements

are

referred

to

collectively

herein

as

the

“Management

Agreement,”

as

applicable

and

as

the

context

suggests.

At

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section 15(c)

of

the

1940

Act,

the

Board

requested

and

considered

materials

furnished

by

AQR

and

CNH

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

continuation

of

the

Management

Agreement.

These

materials

included:

(i) memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

provided

to

the

Funds;

(ii) memoranda

and

materials

provided

by

AQR,

describing

the

personnel

and

services

provided

by

CNH

to

the

AQR

Diversified

Arbitrage

Fund

and

AQR

Multi-Strategy

Alternative

Fund;

(iii) performance

information

for

the

Funds

relevant

to

the

consideration

of

the

Management

Agreement;

(iv) information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

Funds’

fees

and

expenses

and

performance

relative

to

peers

within

Morningstar

fund

categories,

as

well

as

proposed

contractual

management

fee

reductions

for

certain

Funds,

as

reflected

in

the

Amendment;

(v)

financial

information

for

AQR

and

a

profitability

analysis

showing

the

profitability

of

AQR

and

CNH

from

providing

services

to

the

Funds;

and

(vi) a

discussion

of

the

compliance

programs

of

AQR

and

CNH

and

the

regulatory

exam

histories

of

each.

AQR

and

CNH

are

referred

to

herein

as

the

“Adviser,”

as

applicable.

At

the

Meeting

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Management

Agreement

for

an

additional

one-year

period

for

each

Fund.

In

approving

the

continuation

of

the

Management

Agreement

for

a

Fund,

the

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

Fund,

including,

among

other

factors:

(a) the

nature,

extent

and

quality

of

the

services

provided

by

the

Adviser;

(b) the

investment

performance

of

the

Fund

and

the

Adviser’s

portfolio

management;

(c) the

management

fee

and

the

cost

of

the

services

provided

and

profits

realized

by

the

Adviser

from

the

relationship

with

the

Funds

and

the

fund

complex;

(d) economies

of

scale;

(e)

fall-out

benefits;

and

(f) other

factors.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

AQR’s

services

related

to

the

valuation

and

pricing

of

the

Funds’

portfolio

holdings,

direct

and

indirect

benefits

to

the

Adviser

and

its

affiliates

from

their

relationship

with

the

Funds

and

advice

from

independent

legal

counsel

with

respect

to

the

review

process

and

materials

submitted

for

the

Board’s

consideration.

The

Board

did

not

identify

any

particular

information

as

controlling,

and

each

Board

Member

may

have

attributed

different

weightings

to

the

various

items

considered.

In

considering

the

renewal

of

the

Management

Agreement

for

each

Fund,

the

Board

did

not

view

the

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Management

Agreement

against

the

Adviser.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Management

Agreement:

The

Nature,

Extent

and

Quality

of

the

Services

Provided

by

the

Adviser.

The

Board

Members

reviewed

the

services

that

the

Adviser

provided

to

the

Funds

under

the

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

the

Adviser’s

staff,

its

use

of

technology,

and

the

Funds’

stated

investment

objectives,

strategies

and

processes.

In

connection

with

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

took

into

account

discussions

they

had

regularly

as

part

of

quarterly

Board

meetings

with

representatives

of

the

Adviser

regarding

the

management

of

each

Fund’s

investments

in

accordance

with

the

Funds’

stated

investment

objectives

and

policies

and

the

types

of

transactions

that

are

entered

into

on

behalf

of

the

Funds.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

the

Adviser

regarding

the

formulation

and

implementation

of

the

Funds’

investment

strategies,

their

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

considered

that

AQR

also

provides

shareholder

and

administrative

services,

has

responsibility

for

overseeing

CNH

with

respect

to

the

AQR

Diversified

Arbitrage

Fund

and

AQR

Multi-Strategy

Alternative

Fund,

provides

oversight

of

Fund

accounting,

provides

risk

management,

provides

compliance

oversight,

administers

the

Funds’

liquidity

risk

management

program,

oversees

third

party

service

providers

and

provides

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

Funds.

In

particular,

the

Board

Members

considered

the

compliance,

shareholder

and

administrative

services

provided

to

the

Funds

by

AQR

under

the

Management

Agreement.

The

Board

recognized

that

AQR’s

oversight

of

CNH

was

extensive,

including

portfolio

risk

monitoring,

compliance

testing,

trade

monitoring

and

execution,

liquidity

risk

management,

and

negotiation

of

agreements

with

derivative

counterparties.

The

Board

Members

recognized

the

enterprise

risk

of

AQR

and

CNH

involved

in

providing

services

to

the

Funds

over

time.

Finally,

the

Independent

Board

Members

had

several

opportunities

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meetings

and

their

familiarity

gained

through

regular

Board

presentations

over

time,

the

Board

concluded

that

the

services

provided

to

the

Funds

by

AQR

and,

as

applicable,

CNH

pursuant

to

the

Management

Agreement

were

of

a

high

quality

and

benefit

the

Funds.

347

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

Investment

Performance

of

the

Funds

and

the

Adviser’s

Portfolio

Management.

The

Board

considered

the

investment

performance

of

each

Fund.

In

particular,

the

Independent

Board

Members

considered

the

investment

performance

of

the

Funds

relative

to

their

stated

objectives

and

the

Adviser’s

efforts

to

achieve

such

goals

as

well

as

the

performance

of

the

Funds

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Performance

Peers”).

The

Board

was

cognizant

of

the

fact

that

in

some

cases

Fund

performance

was

challenged

over

certain

measurement

periods

in

comparison

to

a

Fund’s

Performance

Peers,

and

considered

AQR’s

views

regarding

the

factors

contributing

to

such

underperformance

on

a

Fund

by

Fund

basis.

The

Board

considered

that

Broadridge

comparisons

may

be

of

limited

use

in

some

cases

due

to

the

differences

between

the

ways

in

which

a

Fund

is

managed

from

other

Performance

Peers.

In

other

cases,

underperformance

in

relation

to

Performance

Peers

may

be

due

to

differences

in

a

Fund’s

investment

parameters

compared

to

its

Performance

Peers,

including

risk

limits,

volatility

targets,

model

limits

on

exposure

to

a

particular

country,

and

the

Fund’s

investment

universe.

Finally,

the

use

of

drawdown

control

and

internal

risk

protections

may

affect

a

Fund’s

performance

in

relation

to

its

Performance

Peers.

The

Board

discussed

the

performance

of

the

Funds

with

AQR

at

Board

meetings

throughout

the

year.

AQR’s

presentations

to

the

Board

at

such

Board

meetings,

which

addressed

in

detail

the

drivers

of

underperformance

or

outperformance,

as

applicable,

supported

a

conclusion

that

the

Funds

were

being

managed

consistent

with

their

stated

policies

and

strategies.

The

Board

also

noted

significant

redemptions

from

certain

Funds

over

the

prior

year

due

to

underperformance

of

those

Funds.

The

Board

considered

the

Adviser’s

performance

in

managing

other

registered

investment

companies

and

private

funds,

noting

that

other

funds

the

Adviser

manages

might

have

investment

objectives,

policies

or

restrictions

different

from

those

of

the

Funds.

Based

on

these

factors,

the

Board

Members

determined

that

the

performance

of

each

Fund

is

consistent

with

its

stated

objectives

and

strategies

and

the

Adviser’s

investment

process.

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

Realized

by

the

Adviser

from

the

Relationship

with

the

Funds.

The

Board,

including

the

Independent

Board

Members,

received

information

regarding

the

management

fees

paid

by

the

Funds

to

the

Adviser

pursuant

to

the

Management

Agreement.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

provided

to

the

Funds

and

the

costs

incurred

by

and

benefits

to

the

Adviser

in

providing

those

services,

and

other

relevant

factors.

To

assist

in

this

analysis,

the

Board

reviewed

comparative

fee

and

expense

information

for

each

Fund

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Expense

Peers),

including

comparisons

of

contractual

management

fees

and

actual

net

expenses.

The

Board

noted

that,

as

of

December

31,

2019,

the

net

expenses

for

certain

Funds

were

lower

than

the

median

net

expenses

of

their

Expense

Peers,

except

that

the

net

expenses

of

AQR

Alternative

Risk

Premia

Fund,

AQR

Global

Macro

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund

and

AQR

Style

Premia

Alternative

Fund

were

higher

than

the

median

net

expenses

of

their

Expense

Peers.

The

Board

also

reviewed

the

contractual

management

fee

reductions

proposed

by

AQR

and

reflected

in

the

Amendment.

Specifically,

the

Board

approved

the

following

contractual

management

fee

reductions,

effective

July

1,

2020:

AQR

Global

Macro

Fund

–

reduction

from

1.25%

to

1.00%;

AQR

Multi-Asset

Fund

–

reduction

from

a

maximum

fee

of

0.75%

to

a

fee

of

0.60%;

AQR

Risk

Parity

II

HV

Fund

–

reduction

from

a

maximum

fee

of

0.95%

to

a

fee

of

0.80%;

and

AQR

Risk

Parity

II

MV

Fund

–

reduction

from

a

maximum

fee

of

0.75%

to

a

fee

of

0.60%.

In

connection

with

these

contractual

management

fee

reductions,

the

breakpoints

for

AQR

Multi-Asset

Fund,

AQR

Risk

Parity

II

HV

Fund

and

AQR

Risk

Parity

II

MV

Fund

were

removed.

The

new

contractual

management

fee

for

each

of

these

Funds

is

lower

than

the

lowest

breakpoint

under

each

Fund’s

prior

breakpoint

schedule.

The

Expense

Peer

information

did

not

reflect

these

new

contractual

management

fee

rates;

however,

AQR

provided

supplemental

information

to

the

Board

regarding

the

proposed

reductions

in

the

contractual

management

fee

rates

and

net

expenses

for

the

applicable

Funds

that

was

prepared

by

Broadridge.

The

Board

reviewed

information

regarding

the

fees

the

Adviser

charges

for

other

funds

and

accounts

managed

by

the

Adviser,

including

sub-advised

mutual

funds,

with

similar

investment

strategies

to

certain

of

the

Funds.

The

Board

noted

the

greater

services

provided

by

the

Adviser

to

the

Funds

in

contrast

to

the

limited

role

of

the

Adviser

when

it

sub-advises

third

party

mutual

funds

or

advises

separate

accounts

or

hedge

funds.

The

Board

also

received

and

reviewed

information

regarding

the

profitability

of

the

Adviser

with

respect

to

Fund-related

activities

and

the

profitability

of

CNH

with

respect

to

its

sub-advisory

services

for

two

of

the

Funds.

The

Adviser

provided

the

Board

Members

with

a

detailed

description

of

the

methodology

and

inputs

used

to

determine

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

the

Adviser,

the

types

of

funds

managed,

costs

of

recruiting

and

retaining

personnel,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

the

Adviser’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

Funds

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

management

fees

under

the

Management

Agreement

are

reasonable

and

the

Adviser’s

and

CNH’s

profitability

were

not

excessive.

348

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

Economies

of

Scale.

The

Adviser

provided

the

Board

with

information

concerning

the

extent

to

which

economies

of

scale

were

realized

as

the

Funds

grew

and

whether

fee

levels

were

reflective

of

such

economies

of

scale.

To

show

that

economies

are

being

shared,

the

Adviser

presented

information

regarding

each

Fund’s

management

fees

relative

to

comparable

funds

of

similar

and/or

larger

sizes,

showing

that

management

fees

were

set

at

a

competitive

level.

It

also

provided

Morningstar

data

for

the

purpose

of

showing

the

hypothetical

effective

management

fee

for

each

Fund

at

higher

asset

levels

compared

to

its

peers,

some

of

which

have

breakpoints.

The

Board

considered

this

information

in

determining

the

reasonableness

of

continuing

to

operate

each

Fund

without

management

fee

breakpoints

at

the

Fund’s

current

asset

level.

The

Board

recognized

that

economies

were

also

being

shared

through

the

expense

limitation

agreements

for

the

Funds.

The

Board

noted

that,

under

the

Management

Agreement

and

after

the

July

1,

2020

effective

date

of

the

Amendment,

none

of

the

Funds

will

have

breakpoints

in

their

management

fees

that

would

allow

investors

to

benefit

directly

in

the

form

of

lower

fees

as

fund

assets

grew.

The

Board

considered

that

the

funds

in

the

AQR

fund

complex

share

some

common

resources

and,

as

a

result,

an

increase

in

the

overall

size

of

the

complex

could

permit

each

Fund

to

incur

lower

expenses

than

it

would

otherwise

as

a

stand-alone

entity.

The

Board

also

considered

the

Adviser’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

In

particular,

the

Board

noted

the

continuing

enhancements

to

AQR’s

services

to

the

Funds

in

areas

such

as

compliance,

portfolio

management,

technology

and

administration.

AQR

advised

that

its

size

as

a

firm

has

resulted

in

additional

benefits

to

the

AQR

Funds,

such

as

the

ability

to

negotiate

better

terms

with

service

providers,

to

undertake

securities

lending

activities

and

to

establish

a

dedicated

money

market

fund

for

the

AQR

Funds.

The

principals

of

the

Adviser

have

also

provided

seed

capital

in

excess

of

regulatory

minimums

for

extended

periods.

AQR

also

discussed

that

it

had

undertaken

to

rely

on

Rule

30e-3

under

the

1940

Act

to

potentially

reduce

charges

related

to

printing

and

mailing

costs

for

shareholder

reports.

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

the

Adviser

or

its

affiliates

may

derive

from

its

relationship

with

the

Funds,

both

tangible

and

intangible,

including

the

sub-advisory

fees

paid

to

CNH,

noting

that

no

payments

are

received

by

the

Adviser

from

the

Funds

beyond

the

fees

under

the

Management

Agreement.

The

Board

was

advised

by

AQR

that

AQR

may

obtain

greater

exposure

to

the

public

as

a

result

of

managing

the

AQR

Funds,

which

could

lead

to

additional

business

opportunities,

such

as

unregistered

fund

investments,

separately

managed

account

opportunities

or

sub-advisory

mandates.

The

Adviser

may

also

obtain

reputational

benefits.

The

Adviser

may

also

obtain

economic

benefit

from

its

sponsorship/management

of

both

the

Funds

and

other

funds

or

accounts

with

respect

to

the

potential

economic

leverage

of

its

service

provider

relationships.

The

Board

also

received

information

regarding

the

Adviser’s

brokerage

and

soft

dollar

practices,

noting

that

the

Adviser

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-party

research.

The

Board

considered

that

the

Adviser

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

Funds,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

investment

management

agreements.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

all

of

the

Board

Members,

including

all

of

the

Independent

Board

Members,

concluded

that

the

management

fee

rates

under

the

Management

Agreement

are

reasonable

in

relation

to

the

services

provided

by

the

Adviser

(including

CNH,

when

applicable)

to

the

Funds,

as

well

as

the

costs

incurred

and

benefits

to

be

gained

by

the

Adviser

(including

CNH,

when

applicable)

in

providing

such

services,

including

the

investment advisory

and

administrative

components.

The

Board

also

found

the

investment

management

fees

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds

of

similar

size.

As

a

result,

all

of

the

Board

Members,

including

the

Independent

Board

Members

voting

separately,

approved

the

continuation

of

the

Management

Agreement

with

respect

to

each

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

held

a

telephonic

meeting

on

May

18,

20

and

21,

2020

(the

“Meeting”)

to

consider

the

approval

of

Investment

Management

Agreement

II,

as

amended,

between

the

Trust,

on

behalf

of

the

AQR

Diversifying

Strategies

Fund

(the

“New

Fund”),

and

AQR

Capital

Management,

LLC

(“AQR”)

(the

“Investment

Management

Agreement”).

At

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

and

Fund

counsel

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section

15(c)

of

the

1940

Act,

the

Board

requested,

reviewed

and

considered

materials

furnished

by

AQR

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

Investment

Management

Agreement.

These

materials

included:

(1)

memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

to

be

provided

to

the

New

Fund;

(2)

information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

New

Fund’s

proposed

fees

and

expenses

relative

to

peers

within

the

New

Fund’s

Morningstar

fund

category;

(3)

a

discussion

of

the

financial

information

of

AQR;

and

(4)

a

discussion

of

the

compliance

program

and

the

regulatory

exam

history

of

AQR.

At

the

Meeting

the

Board,

including

the

Independent

Board

Members,

approved

the

Investment

Management

Agreement

for

an

initial

two-year

period

for

the

New

Fund.

The

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

New

Fund,

including,

among

other

factors:

(a)

the

nature,

extent

and

quality

of

the

services

expected

to

be

provided

by

AQR;

(b)

the

investment

performance

of

AQR

and

AQR’s

portfolio

management

capabilities;

(c)

the

management

fee

and

the

cost

of

the

services

and

profits

that

may

be

realized

by

AQR

from

the

relationship

with

the

New

Fund;

(d)

economies

of

scale;

and

(e)

other

factors.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

the

New

Fund’s

fund

of

affiliated

mutual

funds

structure,

additional

services

related

to

the

administration

of

the

New

Fund’s

portfolio

holdings,

direct

and

indirect

benefits

to

AQR

and

its

affiliates

from

their

relationship

with

the

New

Fund,

including

the

advisory

fees

AQR

will

receive

from

the

underlying

mutual

funds

in

which

the

New

Fund’s

assets

are

invested,

and

advice

from

independent

legal

counsel

with

respect

to

the

review

process

and

materials

submitted

for

the

Board’s

review.

The

Board

did

not

identify

any

particular

information

as

controlling,

and

each

Board

Member

may

have

attributed

different

weightings

to

the

various

items

considered.

In

considering

the

approval

of

the

Investment

Management

Agreement

for

the

New

Fund,

the

Board

did

not

view

the

Investment

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Investment

Management

Agreement

against

AQR.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Investment

Management

Agreement:

349

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

Nature,

Extent

and

Quality

of

the

Services

to

be

Provided

by

AQR

.

The

Board

Members

reviewed

the

services

that

AQR

would

provide

to

the

New

Fund

under

the

Investment

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

AQR’s

staff,

its

use

of

technology,

and

the

New

Fund’s

stated

investment

objectives,

strategies

and

processes.

The

Board

reviewed

the

overall

qualifications

of

AQR

as

an

investment

adviser.

In

connection

with

the

investment

advisory

services

to

be

provided

to

the

New

Fund,

the

Board

Members

took

into

account

discussions

they

had

with

representatives

of

AQR

regarding

the

management

of

the

New

Fund’s

investments

in

underlying

mutual

funds

in

accordance

with

the

New

Fund’s

stated

investment

objectives

and

policies.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

AQR

regarding

the

New

Fund’s

fund

of

affiliated

mutual

funds

structure,

its

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

to

be

provided

to

the

New

Fund,

the

Board

Members

considered

that

AQR

also

will

provide

shareholder

and

administrative

services,

oversight

of

fund

accounting,

marketing

services,

risk

management,

compliance

oversight,

and

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

New

Fund.

The

Board

Member

recognized

that

AQR

will

oversee

third

party

service

providers

and

will

administer

the

New

Fund’s

liquidity

risk

management

program.

In

particular,

the

Board

Members

reviewed

the

compliance,

shareholder

and

administrative

services

to

be

provided

to

the

New

Fund

by

AQR

under

the

Investment

Management

Agreement.

The

Board

Members

recognized

the

entrepreneurial

risk

that

AQR

would

assume

in

connection

with

launching

the

New

Fund

and

the

enterprise

risk

involved

in

providing

services

to

the

New

Fund

over

time.

Finally,

the

Independent

Board

Members

had

an

opportunity

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Investment

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meetings,

the

Board

concluded

that

the

services

to

be

provided

to

the

New

Fund

by

AQR

pursuant

to

the

Investment

Management

Agreement

were

expected

to

be

of

a

high

quality

and

would

benefit

the

New

Fund.

Investment

Performance

and

AQR

’s

Portfolio

Management.

Because

the

New

Fund

is

newly

formed,

the

Board

did

not

consider

the

investment

performance

of

the

New

Fund.

The

Board

based

its

review

of

AQR’s

performance

primarily

on

the

experience

of

AQR

in

managing

other

registered

investment

companies

and

private

funds,

noting

that

the

New

Fund

would

invest

in

other

mutual

funds

AQR

manages.

The

Board

also

considered

the

resources

and

strengths

of

AQR

and

the

experience

of

the

portfolio

management

team

with

respect

to

the

investment

strategies

implemented

by

the

underlying

mutual

funds

in

which

the

New

Fund

is

expected

to

invest.

Based

on

these

factors,

the

Board

Members

determined

that

AQR

would

be

an

appropriate

investment

adviser

for

the

New

Fund.

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

to

be

Realized

by

AQR

from

the

Relationship

with

the

New

Fund

.

The

Board,

including

the

Independent

Board

Members,

received

and

reviewed

information

regarding

the

proposed

structure

under

which

AQR

will

not

receive

a

management

fee

directly

from

the

New

Fund

pursuant

to

the

Investment

Management

Agreement.

Instead,

AQR

will

receive

management

fees

from

the

underlying

affiliated

mutual

funds

in

which

the

New

Fund

invests.

The

Board

noted

that

this

structure

results

in

only

one

layer

of

management

fees

paid

to

AQR.

The

Board

also

reviewed

information

on

the

New

Fund’s

anticipated

expense

ratio,

including

the

acquired

fund

fees

and

expenses

that

the

New

Fund

will

incur

from

its

investments

in

underlying

mutual

funds.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

to

be

provided

to

the

New

Fund.

To

assist

in

this

analysis,

the

Board

received

a

report

independently

prepared

by

Broadridge.

The

report

showed

comparative

fee

information

for

the

New

Fund’s

prospective

Morningstar

category,

including

expense

comparisons

of

contractual

investment

management

fees

and

actual

net

expenses.

The

Board

also

received

and

reviewed

information

regarding

the

expected

profitability

of

AQR

with

respect

to

New

Fund-related

activities.

The

Board

also

reviewed

AQR’s

methodology

of

determining

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

AQR,

the

types

of

funds

managed,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

AQR’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

New

Fund

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

proposed

management

fees

under

the

Investment

Management

Agreement

are

reasonable.

Economies

of

Scale.

Because

the

New

Fund

is

newly

formed

and

had

not

commenced

operations

as

of

the

dates

of

the

Meeting,

and

the

eventual

aggregate

amount

of

the

New

Fund’s

assets

was

uncertain,

AQR

was

not

able

to

provide

the

Board

with

specific

information

concerning

the

extent

to

which

economies

of

scale

would

be

realized

as

the

New

Fund

grows.

The

Board

considered

that

the

proposed

management

fee

does

not

include

breakpoints

because

the

management

fee

at

the

New

Fund

level

is

zero

percent.

The

Board

recognized

that

economies

would

also

be

shared

through

the

adoption

of

an

expense

limitation

agreement

for

the

New

Fund.

The

Board

considered

that

the

funds

in

the

AQR

fund

complex

share

some

common

resources

and,

as

a

result,

an

increase

in

the

overall

size

of

the

complex

could

permit

the

New

Fund

to

incur

lower

expenses

than

it

would

otherwise

as

a

stand-alone

entity.

The

Board

also

considered

AQR’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

AQR

or

its

affiliates

may

derive

from

its

relationship

with

the

New

Fund,

both

tangible

and

intangible,

including

the

management

fees

AQR

will

receive

from

the

New

Fund’s

investments

in

underlying

mutual

funds

advised

by

AQR.

The

Board

also

received

information

regarding

AQR’s

brokerage

and

soft

dollar

practices.

The

Board

considered

that

AQR

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

New

Fund,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

The

Board

noted

that

AQR

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-

party

research.

350

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

an

investment

management

agreement.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

the

Board,

including

all

of

the

Independent

Board

Members,

concluded

that

the

proposed

management

fee

rate

under

the

Investment

Management

Agreement

is

reasonable

in

relation

to

the

services

to

be

provided

by

AQR

to

the

New

Fund,

as

well

as

the

costs

expected

to

be

incurred

and

benefits

expected

to

be

gained

by

AQR

in

providing

such

services,

including

the

investment

advisory

and

administrative

components.

The

Board

also

found

the

proposed

investment

management

fee

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds

of

an

anticipated

size.

As

a

result,

the

Board,

including

the

Independent

Board

Members

voting

separately,

approved

the

Investment

Management

Agreement

with

respect

to

the

New

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

351

Liquidity

Risk

Management

Program

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

U.S.

Securities

and

Exchange

Commission

adopted

Rule

22e-4

under

the

Investment

Company

Act

of

1940

(the

“Liquidity

Rule”),

which

requires

the

AQR

Funds

(the

“Trust”)

to

adopt

and

implement

a

program

reasonably

designed

to

assess

and

manage

the

“liquidity

risk”

of

each

series

of

the

Trust

(the

“Funds”).

Pursuant

to

the

Liquidity

Rule,

“liquidity

risk”

is

defined

as

the

risk

that

a

Fund

could

not

meet

requests

to

redeem

shares

issued

by

the

Fund

without

significant

dilution

of

remaining

investors’

interests

in

the

Fund.

The

Trust,

on

behalf

of

each

Fund,

has

adopted

and

implemented

a

liquidity

risk

management

program

in

accordance

with

the

Liquidity

Rule

(the

“Program”).

The

Trust’s

Board

of

Trustees

(the

“Board”)

has

designated

AQR

Capital

Management,

LLC,

investment

adviser

to

each

Fund

(“AQR”),

as

the

administrator

of

the

Program

(“Program

Administrator”)

for

each

Fund.

The

Program

Administrator

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Program.

As

part

of

the

Program,

the

Program

Administrator

identifies

illiquid

investments,

categorizes

the

relative

liquidity

of

the

Funds’

investments

in

accordance

with

the

Liquidity

Rule

and

assesses,

manages,

and

periodically

reviews

the

Funds’

liquidity

risk.

Among

other

things,

the

Liquidity

Rule

requires

that

a

written

report

be

provided

by

the

Program

Administrator

to

the

Board

on

an

annual

basis

that

addresses

the

operation

of

the

Program

and

assesses

the

adequacy

and

effectiveness

of

its

implementation,

including

the

operation

of

any

Highly

Liquidity

Investment

Minimum

(“HLIM”)

established

for

a

Fund,

if

any,

and

any

material

changes

to

the

Program.

At

a

meeting

of

the

Board

held

on

May

20,

2020,

the

Board

reviewed

AQR’s

written

report

(the

“Report”)

concerning

the

operation,

adequacy

and

effectiveness

of

the

Program

for

the

period

from

April

1,

2019

through

March

31,

2020

(the

“Reporting

Period”).

The

Report

summarized

the

operation

of

the

Program

and

the

practices

implemented,

and

the

information

and

factors

considered

by

AQR

in

assessing

whether

the

Program

has

been

adequately

and

effectively

implemented

with

respect

to

each

Fund.

Such

practices,

information

and

factors

included,

among

other

things:

1)

An

overview

of

AQR’s

practices

with

respect

to

the

assessment,

management

and

periodic

review

of

each

Fund’s

liquidity

risk;

2)

A

summary

of

material

changes

or

findings

with

respect

to

the

Program,

if

any,

during

the

Reporting

Period;

3)

A

review

of

the

inputs

and

outputs

utilized

in

connection

with

the

Program,

particularly

the

methodologies

used

and

metrics

analyzed;

4)

A

summary

of

the

Funds’

compliance

with

the

requirements

under

the

Liquidity

Rule

and

the

Program,

including,

among

other

things,

the

15%

limit

on

investments

in

illiquid

investments

and

monitoring

of

highly

liquid

investments

to

determine

whether

the

Fund

is

required

to

set

a

highly

liquid

investment

minimum;

5)

An

overview

of

the

Funds’

other

sources

of

liquidity

(e.g.,

credit

facility

and

inter-fund

borrowing);

and

6)

An

overall

assessment

of

the

effectiveness

of

the

Program

with

respect

to

managing

each

Fund’s

liquidity

risk,

including,

among

other

things

assessing

whether

the

Fund’s

strategy

remains

appropriate

for

an

open-end

fund

structure.

Based

on

the

above

information

and

factors,

among

others,

the

Program

Administrator

has

concluded,

and

reported

to

the

Board,

that

the

Program

is

reasonably

designed

to

assess

and

manage

the

Funds’

liquidity

risk

and

has

been

implemented

and

is

operating

effectively.

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Sub-Adviser

CNH

Partners,

LLC

Two

Greenwich

Plaza,

3rd

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Lincoln

Street

Boston,

MA

02111

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Semi-Annual

Report

June

30,

2020

(Unaudited)

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

Table

of

Contents

Consolidated

Schedule

of

Investments

AQR

Managed

Futures

Strategy

Fund

................................................................

2

AQR

Managed

Futures

Strategy

HV

Fund

.............................................................

17

Consolidated

Financial

Statements

and

Notes

..............................................................

31

Fund

Expense

Examples

(Unaudited)

....................................................................

56

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

................................................

57

Liquidity

Risk

Management

Program

(Unaudited)

...........................................................

59

2

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

June

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

103.6%

INVESTMENT

COMPANIES

-

18.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(a)(b)

128,824,297

128,824,297

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)(c)

539,685,010

539,792,947

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.16%

(1)(a)

8,365,496

8,365,496

TOTAL

INVESTMENT

COMPANIES

(Cost

$676,850,471)

676,982,740

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

85.6%

U.S.

Treasury

Bills

1.57%,

7/2/2020

(d)

$

303,180,000

303,179,221

1.53%,

7/9/2020

(d)

47,930,000

47,928,775

1.54%,

7/16/2020

(d)

20,763,000

20,761,897

1.53%,

7/23/2020

(d)(e)

71,726,000

71,720,631

1.55%,

7/30/2020

(d)(e)

138,804,000

138,789,464

1.53%,

8/6/2020

(d)(e)

151,125,000

151,106,865

1.52%,

8/20/2020

(d)(e)

3,520,000

3,519,364

1.45%,

8/27/2020

(d)

303,840,000

303,772,648

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

85.6%

(continued)

1.02%,

9/3/2020

(d)

$

287,744,000

287,671,106

0.40%,

9/10/2020

(d)(f)

412,238,000

412,128,242

0.30%,

9/17/2020

(d)(g)

245,552,000

245,474,855

0.08%,

9/24/2020

(d)(f)

209,518,000

209,446,269

0.10%,

10/1/2020

(d)(f)

269,988,000

269,881,055

0.16%,

10/8/2020

(d)(g)

45,036,000

45,016,803

0.15%,

10/22/2020

(d)(f)

118,781,000

118,721,346

0.15%,

10/29/2020

(d)(f)

150,532,000

150,452,971

0.15%,

11/19/2020

(d)(g)

71,680,000

71,634,378

0.16%,

11/27/2020

(d)(g)

35,820,000

35,795,538

0.19%,

12/10/2020

(d)(g)

47,881,000

47,846,526

0.19%,

12/17/2020

(d)(e)

65,369,000

65,322,586

0.18%,

12/24/2020

(d)(f)

13,415,000

13,404,178

0.17%,

12/31/2020

(d)

202,021,000

201,841,286

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$3,213,650,671)

3,215,416,004

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$3,890,501,142)

3,892,398,744

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.6%

(Cost

$3,890,501,142)

3,892,398,744

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.6)%

(h)

(136,040,540)

NET

ASSETS

-

100.0%

3,756,358,204

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

6/30/2020

Shares

Held

At

6/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

14.4%

INVESTMENT

COMPANIES

-

14.4%

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)

(Cost

$539,660,678)

$615,883,359

$4,804,135,093

$(4,880,479,330)

$168,247

$85,578

$539,792,947

539,685,010

$2,659,108

$–

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

3

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

08/12/2020

BRL

3,336,970

$

7,096

Live

Cattle

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

(1,309,340)

39,228

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(83,147,900)

579,356

Soybean

Oil

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(2,005,176)

7,696

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

138,288

2,040

635,416

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

07/30/2020

HKD

85,384,800

(239,980)

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

713,469,600

(1,480,318)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/10/2020

KRW

197,191,800,000

(1,015,559)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

10/23/2020

USD

(84,475,438)

(507,284)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

10/23/2020

USD

(11,910,375)

(64,687)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

11/20/2020

USD

(6,864,880)

(27,980)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

(1,449,910)

(31,353)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

09/18/2020

CHF

25,020,000

(176,041)

(3,543,202)

$

(2,907,786)

4

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

2

7/2020

EUR

$

251,462

$

(2,543)

Hang

Seng

Index

52

7/2020

HKD

8,133,953

11,435

HSCEI

391

7/2020

HKD

24,336,288

(428,298)

IBEX

35

Index

17

7/2020

EUR

1,377,036

1,357

LME

Aluminum

Base

Metal

1

7/2020

USD

39,844

2,016

LME

Aluminum

Base

Metal

2

7/2020

USD

80,113

5,757

LME

Aluminum

Base

Metal

3

7/2020

USD

119,606

8,552

LME

Aluminum

Base

Metal

5

7/2020

USD

199,844

13,892

LME

Aluminum

Base

Metal

6

7/2020

USD

240,285

15,117

LME

Aluminum

Base

Metal

8

7/2020

USD

320,274

18,750

LME

Aluminum

Base

Metal

9

7/2020

USD

357,975

26,431

LME

Aluminum

Base

Metal

9

7/2020

USD

360,187

21,310

LME

Aluminum

Base

Metal

9

7/2020

USD

359,197

20,887

LME

Aluminum

Base

Metal

9

7/2020

USD

358,490

22,629

LME

Aluminum

Base

Metal

12

7/2020

USD

479,586

27,076

LME

Aluminum

Base

Metal

12

7/2020

USD

478,446

20,911

LME

Aluminum

Base

Metal

14

7/2020

USD

556,850

36,167

LME

Aluminum

Base

Metal

14

7/2020

USD

558,936

38,445

LME

Aluminum

Base

Metal

15

7/2020

USD

600,656

41,806

LME

Aluminum

Base

Metal

15

7/2020

USD

600,113

30,537

LME

Aluminum

Base

Metal

16

7/2020

USD

635,800

36,336

LME

Aluminum

Base

Metal

16

7/2020

USD

637,716

31,669

LME

Aluminum

Base

Metal

18

7/2020

USD

715,725

57,537

LME

Aluminum

Base

Metal

24

7/2020

USD

958,836

51,925

LME

Copper

Base

Metal

1

7/2020

USD

150,162

24,246

LME

Copper

Base

Metal

1

7/2020

USD

150,169

20,166

LME

Copper

Base

Metal

1

7/2020

USD

150,247

19,907

LME

Copper

Base

Metal

1

7/2020

USD

150,239

19,598

LME

Copper

Base

Metal

1

7/2020

USD

150,189

22,711

LME

Copper

Base

Metal

2

7/2020

USD

300,548

45,142

LME

Copper

Base

Metal

2

7/2020

USD

300,406

42,800

LME

Copper

Base

Metal

2

7/2020

USD

300,413

45,995

LME

Copper

Base

Metal

2

7/2020

USD

300,346

49,040

LME

Copper

Base

Metal

3

7/2020

USD

450,796

58,134

LME

Copper

Base

Metal

3

7/2020

USD

450,502

75,158

LME

Copper

Base

Metal

3

7/2020

USD

450,769

57,285

LME

Copper

Base

Metal

4

7/2020

USD

600,494

109,057

LME

Copper

Base

Metal

4

7/2020

USD

600,735

81,640

LME

Copper

Base

Metal

4

7/2020

USD

595,150

115,305

LME

Copper

Base

Metal

6

7/2020

USD

900,938

165,620

LME

Copper

Base

Metal

9

7/2020

USD

1,351,013

259,196

LME

Copper

Base

Metal

11

7/2020

USD

1,651,994

242,448

LME

Copper

Base

Metal

21

7/2020

USD

3,154,216

440,958

LME

Nickel

Base

Metal

1

7/2020

USD

76,622

5,400

LME

Nickel

Base

Metal

1

7/2020

USD

76,569

5,556

LME

Nickel

Base

Metal

1

7/2020

USD

76,554

7,004

LME

Nickel

Base

Metal

1

7/2020

USD

76,548

8,555

LME

Nickel

Base

Metal

2

7/2020

USD

153,144

12,384

LME

Nickel

Base

Metal

2

7/2020

USD

153,216

5,010

LME

Nickel

Base

Metal

3

7/2020

USD

229,781

11,412

LME

Nickel

Base

Metal

4

7/2020

USD

306,446

10,435

LME

Nickel

Base

Metal

5

7/2020

USD

383,094

15,814

LME

Nickel

Base

Metal

5

7/2020

USD

382,860

28,245

5

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

6

7/2020

USD

$

459,306

$

45,503

LME

Nickel

Base

Metal

7

7/2020

USD

536,306

20,342

LME

Nickel

Base

Metal

7

7/2020

USD

535,826

61,352

LME

Nickel

Base

Metal

9

7/2020

USD

689,375

32,788

LME

Nickel

Base

Metal

10

7/2020

USD

765,476

90,357

LME

Nickel

Base

Metal

16

7/2020

USD

1,224,720

145,032

LME

Nickel

Base

Metal

16

7/2020

USD

1,225,325

36,861

LME

Nickel

Base

Metal

23

7/2020

USD

1,761,487

73,458

LME

Zinc

Base

Metal

1

7/2020

USD

50,960

2,032

LME

Zinc

Base

Metal

2

7/2020

USD

101,913

5,958

LME

Zinc

Base

Metal

2

7/2020

USD

101,978

6,472

LME

Zinc

Base

Metal

3

7/2020

USD

152,786

11,102

LME

Zinc

Base

Metal

4

7/2020

USD

205,425

20,543

LME

Zinc

Base

Metal

5

7/2020

USD

254,794

18,922

LME

Zinc

Base

Metal

5

7/2020

USD

254,964

14,637

LME

Zinc

Base

Metal

6

7/2020

USD

305,834

21,663

LME

Zinc

Base

Metal

6

7/2020

USD

305,687

13,172

LME

Zinc

Base

Metal

6

7/2020

USD

305,801

19,106

LME

Zinc

Base

Metal

7

7/2020

USD

356,752

24,012

LME

Zinc

Base

Metal

8

7/2020

USD

407,714

25,994

LME

Zinc

Base

Metal

8

7/2020

USD

407,550

19,378

LME

Zinc

Base

Metal

10

7/2020

USD

509,688

24,833

LME

Zinc

Base

Metal

12

7/2020

USD

611,025

50,290

LME

Zinc

Base

Metal

13

7/2020

USD

662,961

31,207

LME

Zinc

Base

Metal

17

7/2020

USD

866,290

50,249

LME

Zinc

Base

Metal

18

7/2020

USD

918,018

42,773

LME

Zinc

Base

Metal

23

7/2020

USD

1,173,115

75,458

MSCI

Singapore

Index

311

7/2020

SGD

6,602,278

(32,768)

MSCI

Taiwan

Index

1,661

7/2020

USD

71,871,470

(82,306)

OMXS30

Index

111

7/2020

SEK

1,984,866

13,048

SGX

FTSE

China

A50

Index

3,823

7/2020

USD

52,384,658

(44,553)

SGX

NIFTY

50

Index

22

7/2020

USD

452,100

(148)

100

oz

Gold

2,210

8/2020

USD

397,910,500

11,328,088

LME

Aluminum

Base

Metal

2

8/2020

USD

80,183

6,377

LME

Aluminum

Base

Metal

2

8/2020

USD

80,307

6,107

LME

Aluminum

Base

Metal

3

8/2020

USD

120,346

8,762

LME

Aluminum

Base

Metal

3

8/2020

USD

120,300

9,016

LME

Aluminum

Base

Metal

6

8/2020

USD

240,965

19,674

LME

Aluminum

Base

Metal

7

8/2020

USD

281,391

23,027

LME

Aluminum

Base

Metal

11

8/2020

USD

441,183

33,165

LME

Aluminum

Base

Metal

15

8/2020

USD

602,183

42,615

LME

Aluminum

Base

Metal

19

8/2020

USD

763,800

55,044

LME

Aluminum

Base

Metal

19

8/2020

USD

763,197

64,178

LME

Aluminum

Base

Metal

34

8/2020

USD

1,368,075

64,334

LME

Aluminum

Base

Metal

38

8/2020

USD

1,528,788

80,875

LME

Aluminum

Base

Metal

42

8/2020

USD

1,688,138

107,764

LME

Copper

Base

Metal

1

8/2020

USD

150,337

19,159

LME

Copper

Base

Metal

1

8/2020

USD

150,381

18,503

LME

Copper

Base

Metal

1

8/2020

USD

150,319

22,060

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,653

LME

Copper

Base

Metal

2

8/2020

USD

300,745

36,726

LME

Copper

Base

Metal

2

8/2020

USD

300,656

40,425

LME

Copper

Base

Metal

3

8/2020

USD

451,093

50,584

LME

Copper

Base

Metal

6

8/2020

USD

901,859

140,741

LME

Copper

Base

Metal

7

8/2020

USD

1,052,231

115,961

LME

Copper

Base

Metal

11

8/2020

USD

1,654,194

195,083

6

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

13

8/2020

USD

$

1,954,956

$

259,317

LME

Copper

Base

Metal

14

8/2020

USD

2,104,463

250,176

LME

Copper

Base

Metal

29

8/2020

USD

4,360,788

491,727

LME

Nickel

Base

Metal

2

8/2020

USD

153,337

6,131

LME

Nickel

Base

Metal

2

8/2020

USD

153,288

6,177

LME

Nickel

Base

Metal

4

8/2020

USD

306,878

13,586

LME

Nickel

Base

Metal

5

8/2020

USD

383,325

13,998

LME

Nickel

Base

Metal

6

8/2020

USD

459,842

31,013

LME

Nickel

Base

Metal

6

8/2020

USD

460,032

29,634

LME

Nickel

Base

Metal

7

8/2020

USD

536,458

37,057

LME

Nickel

Base

Metal

9

8/2020

USD

690,516

34,390

LME

Nickel

Base

Metal

10

8/2020

USD

766,615

29,738

LME

Nickel

Base

Metal

10

8/2020

USD

766,475

26,270

LME

Nickel

Base

Metal

12

8/2020

USD

920,286

23,347

LME

Nickel

Base

Metal

13

8/2020

USD

996,918

58,037

LME

Nickel

Base

Metal

38

8/2020

USD

2,914,296

48,862

LME

Zinc

Base

Metal

1

8/2020

USD

51,076

2,778

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

569

LME

Zinc

Base

Metal

4

8/2020

USD

204,118

9,706

LME

Zinc

Base

Metal

7

8/2020

USD

357,236

5,044

LME

Zinc

Base

Metal

8

8/2020

USD

408,400

9,476

LME

Zinc

Base

Metal

10

8/2020

USD

510,500

15,496

LME

Zinc

Base

Metal

16

8/2020

USD

816,800

40,165

LME

Zinc

Base

Metal

17

8/2020

USD

867,850

9,476

LME

Zinc

Base

Metal

19

8/2020

USD

969,485

62,497

LME

Zinc

Base

Metal

23

8/2020

USD

1,173,495

83,905

LME

Zinc

Base

Metal

28

8/2020

USD

1,429,400

48,905

LME

Zinc

Base

Metal

31

8/2020

USD

1,583,472

91,656

Australia

10

Year

Bond

1,473

9/2020

AUD

151,245,952

1,087,477

Australia

3

Year

Bond

36,191

9/2020

AUD

2,923,615,900

320,592

Canada

10

Year

Bond

1,625

9/2020

CAD

184,117,192

887,929

Cocoa

116

9/2020

GBP

2,328,517

(186,142)

Copper

245

9/2020

USD

16,712,063

227,183

Euro-

Bobl

3,210

9/2020

EUR

486,796,600

662,617

Euro-BTP

2,821

9/2020

EUR

456,012,340

5,895,137

Euro-Bund

1,256

9/2020

EUR

249,090,198

965,128

Euro-

Buxl

49

9/2020

EUR

12,109,128

22,411

Euro-OAT

1,310

9/2020

EUR

246,744,757

1,733,773

FTSE

100

Index

79

9/2020

GBP

6,017,720

(15,890)

FTSE/JSE

Top

40

Index

305

9/2020

ZAR

8,839,683

283,278

KOSPI

200

Index

1,959

9/2020

KRW

114,329,966

265,793

LME

Aluminum

Base

Metal

1

9/2020

USD

40,430

597

LME

Aluminum

Base

Metal

14

9/2020

USD

563,745

26,104

LME

Aluminum

Base

Metal

14

9/2020

USD

565,614

4,758

LME

Aluminum

Base

Metal

20

9/2020

USD

809,030

11,803

LME

Aluminum

Base

Metal

24

9/2020

USD

970,662

18,964

LME

Aluminum

Base

Metal

30

9/2020

USD

1,209,750

9,065

LME

Aluminum

Base

Metal

31

9/2020

USD

1,248,525

61,909

LME

Aluminum

Base

Metal

33

9/2020

USD

1,332,994

12,608

LME

Aluminum

Base

Metal

52

9/2020

USD

2,094,469

80,616

LME

Aluminum

Base

Metal

54

9/2020

USD

2,179,238

26,078

LME

Aluminum

Base

Metal

56

9/2020

USD

2,264,472

27,618

LME

Aluminum

Base

Metal

57

9/2020

USD

2,302,800

66,807

LME

Aluminum

Base

Metal

80

9/2020

USD

3,238,420

25,195

LME

Aluminum

Base

Metal

82

9/2020

USD

3,319,975

(1,376)

LME

Aluminum

Base

Metal

126

9/2020

USD

5,083,565

(43,974)

7

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

130

9/2020

USD

$

5,236,563

$

132,676

LME

Aluminum

Base

Metal

429

9/2020

USD

17,331,600

44,526

LME

Copper

Base

Metal

4

9/2020

USD

601,670

48,860

LME

Copper

Base

Metal

5

9/2020

USD

752,011

75,749

LME

Copper

Base

Metal

6

9/2020

USD

902,243

16,636

LME

Copper

Base

Metal

6

9/2020

USD

902,228

16,887

LME

Copper

Base

Metal

6

9/2020

USD

902,459

77,602

LME

Copper

Base

Metal

7

9/2020

USD

1,052,625

(2,829)

LME

Copper

Base

Metal

7

9/2020

USD

1,052,616

8,081

LME

Copper

Base

Metal

9

9/2020

USD

1,353,386

32,341

LME

Copper

Base

Metal

12

9/2020

USD

1,804,950

76,165

LME

Copper

Base

Metal

19

9/2020

USD

2,858,075

221,144

LME

Copper

Base

Metal

20

9/2020

USD

3,007,375

44,928

LME

Copper

Base

Metal

21

9/2020

USD

3,160,500

168,947

LME

Copper

Base

Metal

23

9/2020

USD

3,458,769

102,807

LME

Copper

Base

Metal

48

9/2020

USD

7,222,968

248,521

LME

Copper

Base

Metal

61

9/2020

USD

9,178,213

515,541

LME

Copper

Base

Metal

95

9/2020

USD

14,294,959

397,458

LME

Copper

Base

Metal

333

9/2020

USD

50,108,175

1,852,084

LME

Nickel

Base

Metal

1

9/2020

USD

76,830

(18)

LME

Nickel

Base

Metal

1

9/2020

USD

76,806

(879)

LME

Nickel

Base

Metal

2

9/2020

USD

153,604

2,506

LME

Nickel

Base

Metal

2

9/2020

USD

153,656

470

LME

Nickel

Base

Metal

4

9/2020

USD

307,265

6,053

LME

Nickel

Base

Metal

4

9/2020

USD

307,258

2,537

LME

Nickel

Base

Metal

5

9/2020

USD

384,090

6,075

LME

Nickel

Base

Metal

8

9/2020

USD

614,560

9,365

LME

Nickel

Base

Metal

11

9/2020

USD

844,885

(5,863)

LME

Nickel

Base

Metal

16

9/2020

USD

1,228,588

12,269

LME

Nickel

Base

Metal

21

9/2020

USD

1,611,686

1,509

LME

Nickel

Base

Metal

23

9/2020

USD

1,765,285

(7,857)

LME

Nickel

Base

Metal

24

9/2020

USD

1,842,587

(29,724)

LME

Nickel

Base

Metal

29

9/2020

USD

2,225,926

2,480

LME

Nickel

Base

Metal

32

9/2020

USD

2,457,051

(27,447)

LME

Nickel

Base

Metal

162

9/2020

USD

12,442,572

(32,554)

LME

Zinc

Base

Metal

2

9/2020

USD

102,366

66

LME

Zinc

Base

Metal

3

9/2020

USD

153,563

(1,109)

LME

Zinc

Base

Metal

3

9/2020

USD

153,476

1,292

LME

Zinc

Base

Metal

5

9/2020

USD

255,625

2,560

LME

Zinc

Base

Metal

6

9/2020

USD

306,938

10,739

LME

Zinc

Base

Metal

7

9/2020

USD

358,145

(656)

LME

Zinc

Base

Metal

9

9/2020

USD

460,384

(1,532)

LME

Zinc

Base

Metal

10

9/2020

USD

511,490

(7,628)

LME

Zinc

Base

Metal

10

9/2020

USD

511,298

(5,810)

LME

Zinc

Base

Metal

16

9/2020

USD

818,228

14,810

LME

Zinc

Base

Metal

29

9/2020

USD

1,481,806

33,680

LME

Zinc

Base

Metal

32

9/2020

USD

1,636,048

19,034

LME

Zinc

Base

Metal

49

9/2020

USD

2,505,615

37,024

LME

Zinc

Base

Metal

56

9/2020

USD

2,861,894

44,263

LME

Zinc

Base

Metal

60

9/2020

USD

3,066,060

19,646

LME

Zinc

Base

Metal

84

9/2020

USD

4,293,198

37,974

LME

Zinc

Base

Metal

388

9/2020

USD

19,846,200

282,759

Long

Gilt

4,862

9/2020

GBP

829,212,764

25,949

MSCI

Emerging

Markets

E-Mini

Index

260

9/2020

USD

12,814,100

23,865

NASDAQ

100

E-Mini

Index

273

9/2020

USD

55,403,985

1,754,494

Nikkei

225

Index

761

9/2020

JPY

156,957,351

(816,765)

8

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Palladium

4

9/2020

USD

$

786,760

$

5,831

S&P

500

E-Mini

Index

215

9/2020

USD

33,219,650

(204,840)

S&P/TSX

60

Index

96

9/2020

CAD

13,131,408

(4,145)

Silver

149

9/2020

USD

13,884,565

397,736

TOPIX

Index

1,134

9/2020

JPY

163,680,389

(1,989,365)

U.S.

Treasury

10

Year

Note

2,048

9/2020

USD

285,024,000

1,141,256

U.S.

Treasury

2

Year

Note

20,342

9/2020

USD

4,492,085,720

3,896,207

U.S.

Treasury

5

Year

Note

8,513

9/2020

USD

1,070,443,242

3,543,020

U.S.

Treasury

Long

Bond

481

9/2020

USD

85,888,563

425,982

U.S.

Treasury

Ultra

Bond

187

9/2020

USD

40,795,219

486,685

Platinum

1

10/2020

USD

42,560

1,491

3

Month

Canadian

Bankers

Acceptance

241

12/2020

CAD

44,137,918

(3,348)

3

Month

Euro

Euribor

375

12/2020

EUR

105,812,635

(3,207)

3

Month

Eurodollar

3,582

12/2020

USD

892,903,050

923,280

3

Month

Sterling

3,725

12/2020

GBP

576,148,203

341,744

ASX

90

Day

Bank

Accepted

Bill

1,277

12/2020

AUD

880,910,169

95,720

Cotton

No.

2

45

12/2020

USD

1,369,800

29,493

3

Month

Canadian

Bankers

Acceptance

304

3/2021

CAD

55,684,443

6,596

3

Month

Euro

Euribor

637

3/2021

EUR

179,776,180

10,210

3

Month

Eurodollar

4,261

3/2021

USD

1,063,119,500

1,405,999

3

Month

Sterling

5,507

3/2021

GBP

852,240,448

902,371

ASX

90

Day

Bank

Accepted

Bill

1,804

3/2021

AUD

1,244,418,772

115,301

3

Month

Euro

Euribor

1,249

6/2021

EUR

352,549,401

28,326

3

Month

Eurodollar

4,317

6/2021

USD

1,077,307,350

1,163,826

3

Month

Sterling

5,393

6/2021

GBP

834,723,578

1,143,236

3

Month

Euro

Euribor

2,008

9/2021

EUR

566,788,789

58,690

3

Month

Eurodollar

4,301

9/2021

USD

1,073,368,313

960,053

3

Month

Sterling

5,198

9/2021

GBP

804,662,423

1,280,597

3

Month

Euro

Euribor

2,164

12/2021

EUR

610,791,791

48,938

3

Month

Eurodollar

4,344

12/2021

USD

1,083,828,000

752,368

3

Month

Sterling

5,114

12/2021

GBP

791,619,424

1,388,584

3

Month

Euro

Euribor

2,192

3/2022

EUR

618,664,043

79,099

3

Month

Eurodollar

4,415

3/2022

USD

1,101,763,250

972,852

3

Month

Sterling

5,045

3/2022

GBP

781,055,810

1,490,880

3

Month

Euro

Euribor

983

6/2022

EUR

277,425,408

64,004

3

Month

Eurodollar

4,481

6/2022

USD

1,118,009,500

898,321

3

Month

Sterling

4,952

6/2022

GBP

766,581,054

1,062,454

58,081,747

Short

Contracts

Brent

Crude

Oil

(314)

7/2020

USD

(12,958,780)

(928,866)

CAC

40

10

Euro

Index

(1,341)

7/2020

EUR

(74,027,455)

230,160

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,844)

(2,028)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(80,113)

(5,886)

LME

Aluminum

Base

Metal

(3)

7/2020

USD

(119,606)

(9,408)

LME

Aluminum

Base

Metal

(5)

7/2020

USD

(199,844)

(13,390)

LME

Aluminum

Base

Metal

(6)

7/2020

USD

(240,285)

(15,869)

LME

Aluminum

Base

Metal

(8)

7/2020

USD

(320,274)

(19,269)

LME

Aluminum

Base

Metal

(9)

7/2020

USD

(358,490)

(21,513)

LME

Aluminum

Base

Metal

(9)

7/2020

USD

(360,187)

(22,044)

LME

Aluminum

Base

Metal

(9)

7/2020

USD

(357,975)

(27,420)

LME

Aluminum

Base

Metal

(9)

7/2020

USD

(359,197)

(22,635)

LME

Aluminum

Base

Metal

(12)

7/2020

USD

(479,586)

(26,980)

LME

Aluminum

Base

Metal

(12)

7/2020

USD

(478,446)

(21,809)

LME

Aluminum

Base

Metal

(14)

7/2020

USD

(556,850)

(36,686)

LME

Aluminum

Base

Metal

(14)

7/2020

USD

(558,936)

(39,205)

LME

Aluminum

Base

Metal

(15)

7/2020

USD

(600,113)

(32,887)

9

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(15)

7/2020

USD

$

(600,656)

$

(41,223)

LME

Aluminum

Base

Metal

(16)

7/2020

USD

(637,716)

(31,409)

LME

Aluminum

Base

Metal

(16)

7/2020

USD

(635,800)

(31,247)

LME

Aluminum

Base

Metal

(18)

7/2020

USD

(715,725)

(55,831)

LME

Aluminum

Base

Metal

(24)

7/2020

USD

(958,836)

(52,443)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,189)

(23,954)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,162)

(24,065)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,169)

(19,897)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,239)

(19,910)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,247)

(20,544)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,548)

(45,320)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,346)

(49,547)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,413)

(44,925)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,406)

(42,618)

LME

Copper

Base

Metal

(3)

7/2020

USD

(450,502)

(75,379)

LME

Copper

Base

Metal

(3)

7/2020

USD

(450,796)

(55,236)

LME

Copper

Base

Metal

(3)

7/2020

USD

(450,769)

(58,655)

LME

Copper

Base

Metal

(4)

7/2020

USD

(595,150)

(115,137)

LME

Copper

Base

Metal

(4)

7/2020

USD

(600,494)

(111,781)

LME

Copper

Base

Metal

(4)

7/2020

USD

(600,735)

(78,347)

LME

Copper

Base

Metal

(6)

7/2020

USD

(900,938)

(166,493)

LME

Copper

Base

Metal

(9)

7/2020

USD

(1,351,013)

(258,627)

LME

Copper

Base

Metal

(11)

7/2020

USD

(1,651,994)

(242,896)

LME

Copper

Base

Metal

(21)

7/2020

USD

(3,154,216)

(442,311)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,548)

(8,784)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,554)

(7,260)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,622)

(5,231)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,569)

(5,617)

LME

Nickel

Base

Metal

(2)

7/2020

USD

(153,216)

(3,930)

LME

Nickel

Base

Metal

(2)

7/2020

USD

(153,144)

(12,570)

LME

Nickel

Base

Metal

(3)

7/2020

USD

(229,781)

(9,825)

LME

Nickel

Base

Metal

(4)

7/2020

USD

(306,446)

(12,338)

LME

Nickel

Base

Metal

(5)

7/2020

USD

(382,860)

(28,275)

LME

Nickel

Base

Metal

(5)

7/2020

USD

(383,094)

(14,709)

LME

Nickel

Base

Metal

(6)

7/2020

USD

(459,306)

(46,242)

LME

Nickel

Base

Metal

(7)

7/2020

USD

(536,306)

(20,756)

LME

Nickel

Base

Metal

(7)

7/2020

USD

(535,826)

(62,506)

LME

Nickel

Base

Metal

(9)

7/2020

USD

(689,375)

(33,814)

LME

Nickel

Base

Metal

(10)

7/2020

USD

(765,476)

(90,271)

LME

Nickel

Base

Metal

(16)

7/2020

USD

(1,224,720)

(143,821)

LME

Nickel

Base

Metal

(16)

7/2020

USD

(1,225,325)

(31,988)

LME

Nickel

Base

Metal

(23)

7/2020

USD

(1,761,487)

(63,465)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,960)

(2,165)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,978)

(6,463)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,913)

(5,660)

LME

Zinc

Base

Metal

(3)

7/2020

USD

(152,786)

(11,433)

LME

Zinc

Base

Metal

(4)

7/2020

USD

(205,425)

(19,012)

LME

Zinc

Base

Metal

(5)

7/2020

USD

(254,794)

(18,652)

LME

Zinc

Base

Metal

(5)

7/2020

USD

(254,964)

(14,051)

LME

Zinc

Base

Metal

(6)

7/2020

USD

(305,834)

(24,647)

LME

Zinc

Base

Metal

(6)

7/2020

USD

(305,687)

(14,074)

LME

Zinc

Base

Metal

(6)

7/2020

USD

(305,801)

(19,693)

LME

Zinc

Base

Metal

(7)

7/2020

USD

(356,752)

(23,910)

LME

Zinc

Base

Metal

(8)

7/2020

USD

(407,550)

(19,317)

LME

Zinc

Base

Metal

(8)

7/2020

USD

(407,714)

(28,615)

LME

Zinc

Base

Metal

(10)

7/2020

USD

(509,688)

(25,267)

10

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(12)

7/2020

USD

$

(611,025)

$

(49,030)

LME

Zinc

Base

Metal

(13)

7/2020

USD

(662,961)

(30,969)

LME

Zinc

Base

Metal

(17)

7/2020

USD

(866,290)

(49,864)

LME

Zinc

Base

Metal

(18)

7/2020

USD

(918,018)

(46,921)

LME

Zinc

Base

Metal

(23)

7/2020

USD

(1,173,115)

(72,431)

Natural

Gas

(7,211)

7/2020

USD

(126,264,610)

6,938,516

NY

Harbor

ULSD

(15)

7/2020

USD

(747,495)

3,344

RBOB

Gasoline

(120)

7/2020

USD

(6,055,560)

117,964

WTI

Crude

Oil

(73)

7/2020

USD

(2,866,710)

(195,214)

Lean

Hogs

(56)

8/2020

USD

(1,098,160)

100,089

Live

Cattle

(589)

8/2020

USD

(22,682,390)

90,110

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,307)

(6,207)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,183)

(6,209)

LME

Aluminum

Base

Metal

(3)

8/2020

USD

(120,300)

(9,534)

LME

Aluminum

Base

Metal

(3)

8/2020

USD

(120,346)

(8,830)

LME

Aluminum

Base

Metal

(6)

8/2020

USD

(240,965)

(19,057)

LME

Aluminum

Base

Metal

(7)

8/2020

USD

(281,391)

(22,018)

LME

Aluminum

Base

Metal

(11)

8/2020

USD

(441,183)

(33,868)

LME

Aluminum

Base

Metal

(15)

8/2020

USD

(602,183)

(43,008)

LME

Aluminum

Base

Metal

(19)

8/2020

USD

(763,197)

(64,130)

LME

Aluminum

Base

Metal

(19)

8/2020

USD

(763,800)

(55,295)

LME

Aluminum

Base

Metal

(34)

8/2020

USD

(1,368,075)

(64,495)

LME

Aluminum

Base

Metal

(38)

8/2020

USD

(1,528,788)

(79,205)

LME

Aluminum

Base

Metal

(42)

8/2020

USD

(1,688,138)

(103,364)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(19,240)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(19,678)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,319)

(21,822)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,337)

(18,558)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,745)

(37,863)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,656)

(40,736)

LME

Copper

Base

Metal

(3)

8/2020

USD

(451,093)

(52,643)

LME

Copper

Base

Metal

(6)

8/2020

USD

(901,859)

(137,251)

LME

Copper

Base

Metal

(7)

8/2020

USD

(1,052,231)

(112,181)

LME

Copper

Base

Metal

(11)

8/2020

USD

(1,654,194)

(198,215)

LME

Copper

Base

Metal

(13)

8/2020

USD

(1,954,956)

(265,135)

LME

Copper

Base

Metal

(14)

8/2020

USD

(2,104,463)

(248,945)

LME

Copper

Base

Metal

(29)

8/2020

USD

(4,360,788)

(496,619)

LME

Nickel

Base

Metal

(2)

8/2020

USD

(153,337)

(6,763)

LME

Nickel

Base

Metal

(2)

8/2020

USD

(153,288)

(6,594)

LME

Nickel

Base

Metal

(4)

8/2020

USD

(306,878)

(14,668)

LME

Nickel

Base

Metal

(5)

8/2020

USD

(383,325)

(13,155)

LME

Nickel

Base

Metal

(6)

8/2020

USD

(460,032)

(30,971)

LME

Nickel

Base

Metal

(6)

8/2020

USD

(459,842)

(32,332)

LME

Nickel

Base

Metal

(7)

8/2020

USD

(536,458)

(38,190)

LME

Nickel

Base

Metal

(9)

8/2020

USD

(690,516)

(31,704)

LME

Nickel

Base

Metal

(10)

8/2020

USD

(766,475)

(27,934)

LME

Nickel

Base

Metal

(10)

8/2020

USD

(766,615)

(30,985)

LME

Nickel

Base

Metal

(12)

8/2020

USD

(920,286)

(23,921)

LME

Nickel

Base

Metal

(13)

8/2020

USD

(996,918)

(54,641)

LME

Nickel

Base

Metal

(38)

8/2020

USD

(2,914,296)

(46,448)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,076)

(2,653)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(840)

LME

Zinc

Base

Metal

(4)

8/2020

USD

(204,118)

(8,868)

LME

Zinc

Base

Metal

(7)

8/2020

USD

(357,236)

(6,382)

LME

Zinc

Base

Metal

(8)

8/2020

USD

(408,400)

(7,584)

LME

Zinc

Base

Metal

(10)

8/2020

USD

(510,500)

(15,985)

11

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(16)

8/2020

USD

$

(816,800)

$

(38,120)

LME

Zinc

Base

Metal

(17)

8/2020

USD

(867,850)

(13,268)

LME

Zinc

Base

Metal

(19)

8/2020

USD

(969,485)

(62,351)

LME

Zinc

Base

Metal

(23)

8/2020

USD

(1,173,495)

(81,116)

LME

Zinc

Base

Metal

(28)

8/2020

USD

(1,429,400)

(45,657)

LME

Zinc

Base

Metal

(31)

8/2020

USD

(1,583,472)

(82,594)

Low

Sulphur

Gasoil

(210)

8/2020

USD

(7,460,250)

(421,969)

Cocoa

(202)

9/2020

USD

(4,415,720)

103,063

Coffee

'C'

(1,161)

9/2020

USD

(43,972,875)

(1,230,519)

Corn

(4,257)

9/2020

USD

(72,688,275)

(1,529,882)

DAX

Index

(89)

9/2020

EUR

(30,811,131)

(132,853)

DJIA

CBOT

E-Mini

Index

(172)

9/2020

USD

(22,092,540)

(354,342)

EURO

STOXX

50

Index

(818)

9/2020

EUR

(29,620,112)

(163,684)

Euro-Schatz

(3,819)

9/2020

EUR

(481,153,102)

(371,869)

FTSE/MIB

Index

(10)

9/2020

EUR

(1,083,560)

14,713

Japan

10

Year

Bond

(3)

9/2020

JPY

(4,221,811)

3,414

KC

HRW

Wheat

(929)

9/2020

USD

(20,426,388)

347,436

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,430)

(848)

LME

Aluminum

Base

Metal

(14)

9/2020

USD

(563,745)

(24,050)

LME

Aluminum

Base

Metal

(14)

9/2020

USD

(565,614)

(5,448)

LME

Aluminum

Base

Metal

(20)

9/2020

USD

(809,030)

(12,834)

LME

Aluminum

Base

Metal

(24)

9/2020

USD

(970,662)

(19,721)

LME

Aluminum

Base

Metal

(30)

9/2020

USD

(1,209,750)

(15,276)

LME

Aluminum

Base

Metal

(31)

9/2020

USD

(1,248,525)

(60,456)

LME

Aluminum

Base

Metal

(33)

9/2020

USD

(1,332,994)

(11,691)

LME

Aluminum

Base

Metal

(52)

9/2020

USD

(2,094,469)

(72,665)

LME

Aluminum

Base

Metal

(54)

9/2020

USD

(2,179,238)

(34,463)

LME

Aluminum

Base

Metal

(56)

9/2020

USD

(2,264,472)

(28,837)

LME

Aluminum

Base

Metal

(57)

9/2020

USD

(2,302,800)

(64,760)

LME

Aluminum

Base

Metal

(80)

9/2020

USD

(3,238,420)

(32,136)

LME

Aluminum

Base

Metal

(82)

9/2020

USD

(3,319,975)

1,808

LME

Aluminum

Base

Metal

(126)

9/2020

USD

(5,083,565)

69,464

LME

Aluminum

Base

Metal

(130)

9/2020

USD

(5,236,563)

(121,410)

LME

Aluminum

Base

Metal

(1,082)

9/2020

USD

(43,712,800)

(1,799,346)

LME

Copper

Base

Metal

(4)

9/2020

USD

(601,670)

(49,482)

LME

Copper

Base

Metal

(5)

9/2020

USD

(752,011)

(73,734)

LME

Copper

Base

Metal

(6)

9/2020

USD

(902,459)

(80,176)

LME

Copper

Base

Metal

(6)

9/2020

USD

(902,228)

(21,295)

LME

Copper

Base

Metal

(6)

9/2020

USD

(902,243)

(17,257)

LME

Copper

Base

Metal

(7)

9/2020

USD

(1,052,625)

329

LME

Copper

Base

Metal

(7)

9/2020

USD

(1,052,616)

(10,162)

LME

Copper

Base

Metal

(9)

9/2020

USD

(1,353,386)

(33,788)

LME

Copper

Base

Metal

(12)

9/2020

USD

(1,804,950)

(76,385)

LME

Copper

Base

Metal

(19)

9/2020

USD

(2,858,075)

(208,601)

LME

Copper

Base

Metal

(20)

9/2020

USD

(3,007,375)

(37,613)

LME

Copper

Base

Metal

(21)

9/2020

USD

(3,160,500)

(176,462)

LME

Copper

Base

Metal

(23)

9/2020

USD

(3,458,769)

(95,612)

LME

Copper

Base

Metal

(48)

9/2020

USD

(7,222,968)

(240,272)

LME

Copper

Base

Metal

(61)

9/2020

USD

(9,178,213)

(559,062)

LME

Copper

Base

Metal

(95)

9/2020

USD

(14,294,959)

(441,864)

LME

Copper

Base

Metal

(313)

9/2020

USD

(47,098,675)

(4,338,861)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,806)

1,068

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,830)

297

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,604)

(2,150)

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,656)

(682)

LME

Nickel

Base

Metal

(4)

9/2020

USD

(307,265)

(4,380)

12

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(4)

9/2020

USD

$

(307,258)

$

(3,262)

LME

Nickel

Base

Metal

(5)

9/2020

USD

(384,090)

(5,930)

LME

Nickel

Base

Metal

(8)

9/2020

USD

(614,560)

(10,363)

LME

Nickel

Base

Metal

(11)

9/2020

USD

(844,885)

8,103

LME

Nickel

Base

Metal

(16)

9/2020

USD

(1,228,588)

(11,307)

LME

Nickel

Base

Metal

(21)

9/2020

USD

(1,611,686)

(7,768)

LME

Nickel

Base

Metal

(23)

9/2020

USD

(1,765,285)

10,707

LME

Nickel

Base

Metal

(24)

9/2020

USD

(1,842,587)

18,543

LME

Nickel

Base

Metal

(29)

9/2020

USD

(2,225,926)

(7,272)

LME

Nickel

Base

Metal

(32)

9/2020

USD

(2,457,051)

21,671

LME

Nickel

Base

Metal

(141)

9/2020

USD

(10,829,646)

(261,521)

LME

Zinc

Base

Metal

(2)

9/2020

USD

(102,366)

(1,171)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,476)

(2,338)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,563)

1,829

LME

Zinc

Base

Metal

(5)

9/2020

USD

(255,625)

(4,202)

LME

Zinc

Base

Metal

(6)

9/2020

USD

(306,938)

(11,980)

LME

Zinc

Base

Metal

(7)

9/2020

USD

(358,145)

716

LME

Zinc

Base

Metal

(9)

9/2020

USD

(460,384)

840

LME

Zinc

Base

Metal

(10)

9/2020

USD

(511,298)

6,067

LME

Zinc

Base

Metal

(10)

9/2020

USD

(511,490)

3,606

LME

Zinc

Base

Metal

(16)

9/2020

USD

(818,228)

(14,825)

LME

Zinc

Base

Metal

(29)

9/2020

USD

(1,481,806)

(39,127)

LME

Zinc

Base

Metal

(32)

9/2020

USD

(1,636,048)

(34,142)

LME

Zinc

Base

Metal

(49)

9/2020

USD

(2,505,615)

(39,835)

LME

Zinc

Base

Metal

(56)

9/2020

USD

(2,861,894)

(61,359)

LME

Zinc

Base

Metal

(60)

9/2020

USD

(3,066,060)

(18,237)

LME

Zinc

Base

Metal

(84)

9/2020

USD

(4,293,198)

(56,996)

LME

Zinc

Base

Metal

(455)

9/2020

USD

(23,273,250)

(688,775)

MSCI

EAFE

E-Mini

Index

(21)

9/2020

USD

(1,867,320)

15,945

Russell

2000

E-Mini

Index

(379)

9/2020

USD

(27,242,520)

(361,138)

S&P

Midcap

400

E-Mini

Index

(49)

9/2020

USD

(8,717,590)

40,206

SPI

200

Index

(194)

9/2020

AUD

(19,720,436)

17,955

Sugar

No.

11

(75)

9/2020

USD

(1,004,640)

12,467

Wheat

(2,218)

9/2020

USD

(54,535,075)

(5,160)

Soybean

(899)

11/2020

USD

(39,657,138)

(655,436)

3

Month

Euroswiss

(442)

12/2020

CHF

(117,468,574)

6,592

Soybean

Meal

(910)

12/2020

USD

(26,926,900)

161,307

Soybean

Oil

(131)

12/2020

USD

(2,264,466)

(40,587)

3

Month

Euroswiss

(374)

3/2021

CHF

(99,406,354)

(7,516)

3

Month

Euroswiss

(307)

6/2021

CHF

(81,590,163)

(14,611)

(14,533,736)

$

43,548,011

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

488,836,658

USD

327,668,643

CITI

9/16/2020

$

9,765,853

AUD

488,836,658

USD

327,669,053

JPMC

9/16/2020

9,765,443

BRL

1,211,500

USD

221,522

CITI

**

9/16/2020

520

BRL

1,211,500

USD

221,522

JPMC

**

9/16/2020

520

CAD

12,473,000

USD

9,059,381

CITI

9/16/2020

129,590

13

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

12,473,000

USD

9,059,393

JPMC

9/16/2020

$

129,579

CHF

87,594,000

USD

91,478,995

CITI

9/16/2020

1,187,004

CHF

87,594,000

USD

91,479,110

JPMC

9/16/2020

1,186,890

COP

377,294,500

USD

99,289

CITI

**

9/16/2020

465

COP

377,294,500

USD

99,289

JPMC

**

9/16/2020

465

EUR

171,854,272

USD

192,200,851

CITI

9/16/2020

1,209,219

EUR

171,854,268

USD

192,201,086

JPMC

9/16/2020

1,208,979

GBP

22,750,500

USD

27,940,729

CITI

9/16/2020

262,202

GBP

22,750,500

USD

27,940,764

JPMC

9/16/2020

262,167

HUF

2,856,935,500

USD

9,016,151

CITI

9/16/2020

44,163

HUF

2,856,935,500

USD

9,016,162

JPMC

9/16/2020

44,152

IDR

29,614,351,500

USD

1,997,826

CITI

**

9/16/2020

11,034

IDR

29,614,351,500

USD

1,997,829

JPMC

**

9/16/2020

11,031

ILS

26,156,500

USD

7,545,905

CITI

9/16/2020

20,881

ILS

26,156,500

USD

7,545,915

JPMC

9/16/2020

20,870

INR

813,711,824

USD

10,640,266

CITI

**

9/16/2020

41,857

INR

813,711,824

USD

10,638,878

JPMC

**

9/16/2020

43,246

JPY

17,277,195,140

USD

159,179,154

CITI

9/16/2020

998,966

JPY

17,277,195,140

USD

159,179,353

JPMC

9/16/2020

998,767

KRW

318,994,621,000

USD

263,528,496

CITI

**

9/16/2020

2,526,416

KRW

318,994,621,000

USD

263,528,685

JPMC

**

9/16/2020

2,526,227

NOK

135,667,500

USD

14,042,116

CITI

9/16/2020

56,907

NOK

135,667,500

USD

14,042,134

JPMC

9/16/2020

56,890

NZD

345,577,000

USD

218,619,870

CITI

9/16/2020

4,364,842

NZD

345,577,000

USD

218,620,143

JPMC

9/16/2020

4,364,568

PHP

1,715,931,404

USD

33,908,935

CITI

**

9/16/2020

442,458

PHP

1,715,931,404

USD

33,908,978

JPMC

**

9/16/2020

442,416

PLN

526,886,696

USD

132,160,187

CITI

9/16/2020

1,048,608

PLN

526,886,696

USD

132,160,352

JPMC

9/16/2020

1,048,443

SEK

401,463,624

USD

42,569,052

CITI

9/16/2020

555,712

SEK

401,463,625

USD

42,569,105

JPMC

9/16/2020

555,660

SGD

66,637,500

USD

47,607,449

CITI

9/16/2020

220,042

SGD

66,637,500

USD

47,607,508

JPMC

9/16/2020

219,982

TWD

2,530,668,471

USD

85,936,998

CITI

**

9/16/2020

1,046,113

TWD

2,530,668,480

USD

85,937,106

JPMC

**

9/16/2020

1,046,006

USD

55,416,567

AUD

79,705,000

CITI

9/16/2020

397,747

USD

55,416,498

AUD

79,705,000

JPMC

9/16/2020

397,678

USD

40,145,781

BRL

206,113,244

CITI

**

9/16/2020

2,369,619

USD

40,145,732

BRL

206,113,250

JPMC

**

9/16/2020

2,369,568

USD

244,693,641

CAD

330,053,200

CITI

9/16/2020

1,540,468

USD

244,693,337

CAD

330,053,202

JPMC

9/16/2020

1,540,162

USD

1,228,449

CLP

985,088,500

CITI

**

9/16/2020

27,766

USD

1,228,448

CLP

985,088,500

JPMC

**

9/16/2020

27,765

USD

11,284,682

COP

42,395,385,312

CITI

**

9/16/2020

75,681

USD

11,284,668

COP

42,395,385,312

JPMC

**

9/16/2020

75,668

USD

114,551,414

EUR

101,170,000

CITI

9/16/2020

691,592

USD

114,551,271

EUR

101,170,000

JPMC

9/16/2020

691,449

USD

496,099,726

GBP

395,147,384

CITI

9/16/2020

6,250,529

USD

496,099,099

GBP

395,147,378

JPMC

9/16/2020

6,249,909

USD

55,766,885

HUF

17,267,556,679

CITI

9/16/2020

1,005,591

USD

55,766,815

HUF

17,267,556,680

JPMC

9/16/2020

1,005,522

USD

9,608,138

IDR

139,010,570,822

CITI

**

9/16/2020

178,495

USD

9,608,126

IDR

139,010,570,822

JPMC

**

9/16/2020

178,483

USD

3,778,952

INR

287,615,000

CITI

**

9/16/2020

3,243

USD

3,778,941

INR

287,615,000

JPMC

**

9/16/2020

3,231

USD

373,020,785

JPY

40,118,225,500

CITI

9/16/2020

1,081,828

USD

373,020,318

JPY

40,118,225,500

JPMC

9/16/2020

1,081,361

USD

85,048,188

NOK

809,787,748

CITI

9/16/2020

892,316

14

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

85,048,082

NOK

809,787,750

JPMC

9/16/2020

$

892,209

USD

22,216,297

NZD

34,206,000

CITI

9/16/2020

144,762

USD

22,216,270

NZD

34,206,000

JPMC

9/16/2020

144,734

USD

187,331,765

PLN

736,245,750

CITI

9/16/2020

1,192,298

USD

187,331,530

PLN

736,245,746

JPMC

9/16/2020

1,192,063

USD

9,020,137

SEK

83,636,500

CITI

9/16/2020

36,000

USD

9,020,125

SEK

83,636,500

JPMC

9/16/2020

35,988

USD

32,387,043

SGD

45,091,750

CITI

9/16/2020

23,505

USD

32,387,002

SGD

45,091,750

JPMC

9/16/2020

23,464

USD

138,010,852

ZAR

2,367,260,474

CITI

9/16/2020

2,676,811

USD

138,010,680

ZAR

2,367,260,474

JPMC

9/16/2020

2,676,638

ZAR

375,143,000

USD

21,388,323

CITI

9/16/2020

58,247

ZAR

375,143,000

USD

21,388,349

JPMC

9/16/2020

58,221

USD

64,052,844

MXN

1,421,912,372

CITI

9/17/2020

2,826,459

USD

64,052,764

MXN

1,421,912,380

JPMC

9/17/2020

2,826,379

Total

unrealized

appreciation

90,808,602

AUD

191,865,886

USD

133,219,306

CITI

9/16/2020

(777,995)

AUD

191,865,886

USD

133,219,473

JPMC

9/16/2020

(778,161)

BRL

92,312,000

USD

17,625,923

CITI

**

9/16/2020

(707,101)

BRL

92,312,000

USD

17,625,945

JPMC

**

9/16/2020

(707,124)

CAD

429,244,000

USD

318,831,638

CITI

9/16/2020

(2,603,706)

CAD

429,244,000

USD

318,832,037

JPMC

9/16/2020

(2,604,105)

CHF

17,537,500

USD

18,601,343

CITI

9/16/2020

(48,360)

CHF

17,537,500

USD

18,601,366

JPMC

9/16/2020

(48,383)

CLP

5,817,030,172

USD

7,314,496

CITI

**

9/16/2020

(224,362)

CLP

5,817,030,172

USD

7,314,505

JPMC

**

9/16/2020

(224,371)

COP

33,886,591,000

USD

9,218,166

CITI

**

9/16/2020

(258,823)

COP

33,886,591,000

USD

9,218,178

JPMC

**

9/16/2020

(258,834)

EUR

171,413,772

USD

194,258,719

CITI

9/16/2020

(1,344,401)

EUR

171,413,772

USD

194,258,962

JPMC

9/16/2020

(1,344,644)

GBP

423,161,000

USD

535,736,809

CITI

9/16/2020

(11,160,197)

GBP

423,161,000

USD

535,737,479

JPMC

9/16/2020

(11,160,867)

HUF

18,128,034,500

USD

58,999,580

CITI

9/16/2020

(1,509,419)

HUF

18,128,034,500

USD

58,999,653

JPMC

9/16/2020

(1,509,493)

IDR

250,224,094,000

USD

17,394,544

CITI

**

9/16/2020

(420,843)

IDR

250,224,094,000

USD

17,394,565

JPMC

**

9/16/2020

(420,864)

ILS

56,905,500

USD

16,509,909

CITI

9/16/2020

(47,780)

ILS

56,905,500

USD

16,509,930

JPMC

9/16/2020

(47,799)

INR

745,426,324

USD

9,796,721

CITI

**

9/16/2020

(11,026)

INR

745,426,324

USD

9,796,529

JPMC

**

9/16/2020

(10,834)

JPY

70,431,072,140

USD

657,493,956

CITI

9/16/2020

(4,522,416)

JPY

70,431,072,140

USD

657,494,778

JPMC

9/16/2020

(4,523,238)

KRW

178,435,145,000

USD

149,316,787

CITI

**

9/16/2020

(494,382)

KRW

178,435,145,000

USD

149,316,861

JPMC

**

9/16/2020

(494,456)

NOK

160,015,500

USD

16,803,464

CITI

9/16/2020

(174,114)

NOK

160,015,500

USD

16,803,485

JPMC

9/16/2020

(174,135)

NZD

161,773,000

USD

105,395,401

CITI

9/16/2020

(1,010,834)

NZD

161,773,000

USD

105,395,533

JPMC

9/16/2020

(1,010,965)

PLN

363,969,304

USD

92,652,262

CITI

9/16/2020

(632,644)

PLN

363,969,304

USD

92,652,378

JPMC

9/16/2020

(632,760)

SEK

196,741,000

USD

21,370,296

CITI

9/16/2020

(236,602)

SEK

196,741,000

USD

21,370,322

JPMC

9/16/2020

(236,630)

SGD

44,595,500

USD

32,092,284

CITI

9/16/2020

(84,919)

SGD

44,595,500

USD

32,092,324

JPMC

9/16/2020

(84,958)

USD

107,510,799

AUD

156,943,500

CITI

9/16/2020

(824,265)

USD

107,510,665

AUD

156,943,500

JPMC

9/16/2020

(824,400)

USD

2,338,484

BRL

12,781,748

CITI

**

9/16/2020

(4,137)

USD

2,338,482

BRL

12,781,750

JPMC

**

9/16/2020

(4,140)

15

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

394,047,737

CAD

539,480,820

CITI

9/16/2020

$

(3,392,656)

USD

394,047,244

CAD

539,480,819

JPMC

9/16/2020

(3,393,148)

USD

77,466,931

CHF

74,254,500

CITI

9/16/2020

(1,087,164)

USD

77,466,835

CHF

74,254,500

JPMC

9/16/2020

(1,087,261)

USD

1,417,803

COP

5,367,333,000

CITI

**

9/16/2020

(1,277)

USD

1,417,801

COP

5,367,333,000

JPMC

**

9/16/2020

(1,279)

USD

173,235,097

EUR

154,065,502

CITI

9/16/2020

(154,945)

USD

173,234,876

EUR

154,065,498

JPMC

9/16/2020

(155,162)

USD

359,950,372

GBP

292,200,628

CITI

9/16/2020

(2,279,643)

USD

359,949,920

GBP

292,200,626

JPMC

9/16/2020

(2,280,094)

USD

20,891,934

HUF

6,641,052,179

CITI

9/16/2020

(169,100)

USD

20,891,908

HUF

6,641,052,180

JPMC

9/16/2020

(169,126)

USD

806,641

IDR

12,168,027,822

CITI

**

9/16/2020

(18,765)

USD

806,640

IDR

12,168,027,822

JPMC

**

9/16/2020

(18,766)

USD

4,004,570

ILS

13,923,500

CITI

9/16/2020

(23,345)

USD

4,004,565

ILS

13,923,500

JPMC

9/16/2020

(23,350)

USD

13,624,266

INR

1,042,812,000

CITI

**

9/16/2020

(65,404)

USD

13,624,285

INR

1,042,812,000

JPMC

**

9/16/2020

(65,384)

USD

477,449,389

JPY

51,987,170,000

CITI

9/16/2020

(4,527,408)

USD

477,448,792

JPY

51,987,170,000

JPMC

9/16/2020

(4,528,004)

USD

265,251,458

KRW

325,465,651,580

CITI

**

9/16/2020

(6,200,565)

USD

265,251,126

KRW

325,465,651,580

JPMC

**

9/16/2020

(6,200,897)

USD

25,494,469

NOK

249,865,248

CITI

9/16/2020

(472,370)

USD

25,494,438

NOK

249,865,250

JPMC

9/16/2020

(472,401)

USD

397,166,581

NZD

637,386,032

CITI

9/16/2020

(14,108,881)

USD

397,166,083

NZD

637,386,030

JPMC

9/16/2020

(14,109,378)

USD

5,761,263

PHP

289,965,500

CITI

**

9/16/2020

(43,584)

USD

5,761,305

PHP

289,965,500

JPMC

**

9/16/2020

(43,542)

USD

163,995,421

PLN

655,447,244

CITI

9/16/2020

(1,716,369)

USD

163,995,216

PLN

655,447,244

JPMC

9/16/2020

(1,716,573)

USD

11,683,641

SEK

109,538,000

CITI

9/16/2020

(82,806)

USD

11,683,627

SEK

109,538,000

JPMC

9/16/2020

(82,820)

USD

41,160,903

SGD

58,244,250

CITI

9/16/2020

(642,531)

USD

41,160,851

SGD

58,244,250

JPMC

9/16/2020

(642,582)

USD

13,196,373

TWD

386,669,498

CITI

**

9/16/2020

(94,074)

USD

13,196,357

TWD

386,669,502

JPMC

**

9/16/2020

(94,090)

USD

62,300,590

ZAR

1,096,967,474

CITI

9/16/2020

(412,004)

USD

62,300,512

ZAR

1,096,967,474

JPMC

9/16/2020

(412,081)

ZAR

856,708,500

USD

49,196,611

CITI

9/16/2020

(219,396)

ZAR

856,708,500

USD

49,196,673

JPMC

9/16/2020

(219,458)

MXN

1,044,658,500

USD

46,121,287

CITI

9/17/2020

(1,139,145)

MXN

1,044,658,500

USD

46,121,344

JPMC

9/17/2020

(1,139,203)

USD

5,407,841

MXN

126,520,000

CITI

9/17/2020

(40,007)

USD

5,407,834

MXN

126,520,000

JPMC

9/17/2020

(40,013)

Total

unrealized

depreciation

(127,985,538)

Net

unrealized

depreciation

$

(37,176,936)

**

Non-deliverable

forward.

16

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

44,377,885

$

44,377,885

CITI

Investment

Companies

72,266,253

–

72,266,253

GSCO

Cash

–

(8,640,412)

(8,640,412)

U.S.

Treasury

Bills

–

52,572,099

52,572,099

GSIN

U.S.

Treasury

Bills

10,614,240

–

10,614,240

JPMC

Investment

Companies

47,960,064

–

47,960,064

JPMS

Cash

–

51,800,836

51,800,836

MSCL

Cash

–

(10,106,241)

(10,106,241)

U.S.

Treasury

Bills

–

34,582,651

34,582,651

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(2,200,023)

$

–

$

(2,200,023)

Investment

Companies

8,597,980

–

8,597,980

GSCO

Cash

–

1,990,894

1,990,894

U.S.

Treasury

Bills

–

3,963,214

3,963,214

GSIN

Cash

(1,130,005)

–

(1,130,005)

U.S.

Treasury

Bills

12,697,270

–

12,697,270

JPPC

Cash

–

7,587,711

7,587,711

MLIN

Cash

(150,001)

–

(150,001)

MSCL

Cash

–

(21,612,094)

(21,612,094)

U.S.

Treasury

Bills

–

62,728,002

62,728,002

SOCG

Cash

9,978

–

9,978

17

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

93.4%

INVESTMENT

COMPANIES

-

19.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.06%

(1)(a)(b)

11,033,148

11,033,148

Limited

Purpose

Cash

Investment

Fund,

0.34%

(1)(a)

40,689,326

40,697,464

TOTAL

INVESTMENT

COMPANIES

(Cost

$51,718,210)

51,730,612

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

73.7%

U.S.

Treasury

Bills

1.53%,

7/9/2020

(c)

$

21,354,000

21,353,454

1.54%,

7/16/2020

(c)

11,867,000

11,866,370

1.53%,

7/23/2020

(c)(d)

51,833,000

51,829,120

1.55%,

7/30/2020

(c)(d)

9,863,000

9,861,967

1.53%,

8/6/2020

(c)(d)

34,988,000

34,983,801

1.52%,

8/13/2020

(c)(d)

10,940,000

10,938,236

1.52%,

8/20/2020

(c)

2,015,000

2,014,636

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

73.7%

(continued)

1.45%,

8/27/2020

(c)(d)

$

12,281,000

12,278,278

0.40%,

9/10/2020

(c)

1,270,000

1,269,662

0.30%,

9/17/2020

(c)(e)

6,349,000

6,347,005

0.08%,

9/24/2020

(c)(e)

854,000

853,708

0.10%,

10/1/2020

(c)(e)

3,883,000

3,881,462

0.16%,

10/8/2020

(c)(e)

6,596,000

6,593,188

0.15%,

11/19/2020

(c)(f)

2,867,000

2,865,175

0.17%,

12/3/2020

(c)

2,666,000

2,664,221

0.19%,

12/17/2020

(c)(d)

8,268,000

8,262,129

0.18%,

12/24/2020

(c)(d)

5,219,000

5,214,790

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$192,908,273)

193,077,202

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$244,626,483)

244,807,814

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

93.4%

(Cost

$244,626,483)

244,807,814

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

6.6%

(g)

17,193,294

NET

ASSETS

-

100.0%

262,001,108

(a)

Represents

7-day

effective

yield

as

of

June

30,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

June

30,

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)

iBovespa

Index

August

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

08/12/2020

BRL

476,710

$

1,075

Lean

Hogs

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

USD

(18,070)

5,382

Lean

Hogs

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

08/14/2020

USD

(19,610)

2,258

Live

Cattle

August

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

08/07/2020

USD

(154,040)

4,537

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(8,373,970)

58,345

18

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Oil

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

(207,432)

$

557

Soybean

Oil

December

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

11/20/2020

USD

17,286

255

72,409

HSCEI

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/30/2020

HKD

83,455,200

(181,130)

KOSPI

200

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

09/10/2020

KRW

19,936,800,000

(62,912)

Lean

Hogs

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

07/15/2020

USD

18,070

(2,782)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

10/23/2020

USD

(8,646,050)

(51,951)

Soybean

November

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

10/23/2020

USD

(1,411,600)

(7,689)

Soybean

Meal

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

11/20/2020

USD

(1,154,010)

(8,198)

Swiss

Market

Index

September

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

09/18/2020

CHF

2,602,080

(17,503)

(332,165)

$

(259,756)

Futures

contracts

outstanding

as

of

June

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Hang

Seng

Index

5

7/2020

HKD

$

782,111

$

1,345

HSCEI

41

7/2020

HKD

2,551,887

(43,660)

IBEX

35

Index

2

7/2020

EUR

162,004

(513)

LME

Aluminum

Base

Metal

1

7/2020

USD

39,911

2,321

LME

Aluminum

Base

Metal

1

7/2020

USD

39,869

2,851

LME

Aluminum

Base

Metal

1

7/2020

USD

39,871

1,743

LME

Aluminum

Base

Metal

1

7/2020

USD

40,048

2,520

LME

Aluminum

Base

Metal

1

7/2020

USD

39,775

2,937

LME

Aluminum

Base

Metal

1

7/2020

USD

40,008

2,036

LME

Aluminum

Base

Metal

1

7/2020

USD

40,021

2,368

LME

Aluminum

Base

Metal

1

7/2020

USD

40,034

2,344

LME

Aluminum

Base

Metal

1

7/2020

USD

39,832

2,514

LME

Aluminum

Base

Metal

1

7/2020

USD

40,056

2,875

19

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

7/2020

USD

$

79,715

$

3,959

LME

Aluminum

Base

Metal

2

7/2020

USD

79,931

4,513

LME

Aluminum

Base

Metal

2

7/2020

USD

79,550

5,167

LME

Aluminum

Base

Metal

2

7/2020

USD

79,475

4,542

LME

Aluminum

Base

Metal

2

7/2020

USD

80,088

5,574

LME

Aluminum

Base

Metal

2

7/2020

USD

79,903

4,327

LME

Aluminum

Base

Metal

2

7/2020

USD

79,848

5,492

LME

Aluminum

Base

Metal

2

7/2020

USD

79,525

6,393

LME

Copper

Base

Metal

1

7/2020

USD

150,156

27,603

LME

Copper

Base

Metal

1

7/2020

USD

150,167

25,053

LME

Copper

Base

Metal

1

7/2020

USD

150,173

24,520

LME

Copper

Base

Metal

1

7/2020

USD

150,181

22,041

LME

Copper

Base

Metal

1

7/2020

USD

150,169

20,166

LME

Copper

Base

Metal

1

7/2020

USD

150,184

20,410

LME

Copper

Base

Metal

1

7/2020

USD

150,113

28,800

LME

Copper

Base

Metal

2

7/2020

USD

300,402

41,996

LME

Nickel

Base

Metal

1

7/2020

USD

76,551

7,584

LME

Nickel

Base

Metal

1

7/2020

USD

76,597

3,643

LME

Nickel

Base

Metal

1

7/2020

USD

76,572

5,649

LME

Nickel

Base

Metal

1

7/2020

USD

76,572

6,192

LME

Nickel

Base

Metal

1

7/2020

USD

76,619

3,163

LME

Nickel

Base

Metal

1

7/2020

USD

76,612

2,609

LME

Nickel

Base

Metal

1

7/2020

USD

76,545

9,065

LME

Nickel

Base

Metal

1

7/2020

USD

76,547

8,765

LME

Nickel

Base

Metal

2

7/2020

USD

153,095

18,071

LME

Nickel

Base

Metal

2

7/2020

USD

153,166

4,608

LME

Nickel

Base

Metal

3

7/2020

USD

229,759

9,581

LME

Zinc

Base

Metal

1

7/2020

USD

50,964

3,249

LME

Zinc

Base

Metal

1

7/2020

USD

50,993

2,927

LME

Zinc

Base

Metal

1

7/2020

USD

50,960

2,032

LME

Zinc

Base

Metal

1

7/2020

USD

50,965

3,430

LME

Zinc

Base

Metal

1

7/2020

USD

50,944

2,422

LME

Zinc

Base

Metal

1

7/2020

USD

50,969

2,483

LME

Zinc

Base

Metal

1

7/2020

USD

50,997

2,401

LME

Zinc

Base

Metal

1

7/2020

USD

50,967

3,184

LME

Zinc

Base

Metal

2

7/2020

USD

102,010

6,562

LME

Zinc

Base

Metal

2

7/2020

USD

102,002

4,753

LME

Zinc

Base

Metal

2

7/2020

USD

101,917

5,912

LME

Zinc

Base

Metal

2

7/2020

USD

101,838

8,382

MSCI

Singapore

Index

32

7/2020

SGD

679,334

(3,394)

MSCI

Taiwan

Index

174

7/2020

USD

7,528,980

(8,641)

OMXS30

Index

12

7/2020

SEK

214,580

1,336

SGX

FTSE

China

A50

Index

399

7/2020

USD

5,467,298

(4,496)

SGX

NIFTY

50

Index

2

7/2020

USD

41,100

(13)

100

oz

Gold

231

8/2020

USD

41,591,550

1,158,464

LME

Aluminum

Base

Metal

1

8/2020

USD

40,161

3,279

LME

Aluminum

Base

Metal

1

8/2020

USD

40,199

3,290

LME

Aluminum

Base

Metal

1

8/2020

USD

40,200

2,897

LME

Aluminum

Base

Metal

1

8/2020

USD

40,091

3,188

LME

Aluminum

Base

Metal

2

8/2020

USD

80,215

6,030

LME

Aluminum

Base

Metal

2

8/2020

USD

80,337

6,752

LME

Aluminum

Base

Metal

2

8/2020

USD

80,291

5,682

LME

Aluminum

Base

Metal

3

8/2020

USD

120,713

5,605

LME

Aluminum

Base

Metal

4

8/2020

USD

160,925

8,513

LME

Aluminum

Base

Metal

5

8/2020

USD

200,969

12,904

LME

Copper

Base

Metal

1

8/2020

USD

150,381

19,623

20

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

2

8/2020

USD

$

300,763

$

35,470

LME

Copper

Base

Metal

2

8/2020

USD

300,638

33,228

LME

Copper

Base

Metal

3

8/2020

USD

451,116

50,907

LME

Nickel

Base

Metal

1

8/2020

USD

76,640

5,169

LME

Nickel

Base

Metal

1

8/2020

USD

76,724

3,821

LME

Nickel

Base

Metal

1

8/2020

USD

76,647

2,627

LME

Nickel

Base

Metal

1

8/2020

USD

76,662

2,974

LME

Nickel

Base

Metal

1

8/2020

USD

76,719

3,397

LME

Nickel

Base

Metal

1

8/2020

USD

76,637

5,294

LME

Nickel

Base

Metal

1

8/2020

USD

76,644

3,089

LME

Nickel

Base

Metal

2

8/2020

USD

153,372

8,929

LME

Nickel

Base

Metal

2

8/2020

USD

153,381

3,891

LME

Nickel

Base

Metal

4

8/2020

USD

306,768

6,297

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

1,185

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

1,550

LME

Zinc

Base

Metal

1

8/2020

USD

51,050

726

LME

Zinc

Base

Metal

2

8/2020

USD

102,051

6,579

LME

Zinc

Base

Metal

2

8/2020

USD

102,100

1,115

LME

Zinc

Base

Metal

2

8/2020

USD

102,100

5,169

LME

Zinc

Base

Metal

3

8/2020

USD

153,150

5,422

LME

Zinc

Base

Metal

3

8/2020

USD

153,239

8,830

LME

Zinc

Base

Metal

3

8/2020

USD

153,065

10,944

Australia

10

Year

Bond

154

9/2020

AUD

15,812,544

112,275

Australia

3

Year

Bond

3,778

9/2020

AUD

305,198,002

32,062

Canada

10

Year

Bond

170

9/2020

CAD

19,261,491

85,051

Cocoa

12

9/2020

GBP

240,881

(18,618)

Copper

26

9/2020

USD

1,773,525

23,774

Euro-

Bobl

335

9/2020

EUR

50,802,760

68,733

Euro-BTP

295

9/2020

EUR

47,686,508

607,116

Euro-Bund

131

9/2020

EUR

25,979,949

99,909

Euro-

Buxl

5

9/2020

EUR

1,235,625

3,826

Euro-OAT

137

9/2020

EUR

25,804,604

178,933

FTSE

100

Index

8

9/2020

GBP

609,389

(1,312)

FTSE/JSE

Top

40

Index

32

9/2020

ZAR

927,442

29,548

KOSPI

200

Index

214

9/2020

KRW

12,489,338

27,397

LME

Aluminum

Base

Metal

1

9/2020

USD

40,268

1,865

LME

Aluminum

Base

Metal

2

9/2020

USD

80,903

1,180

LME

Aluminum

Base

Metal

3

9/2020

USD

120,825

5,991

LME

Aluminum

Base

Metal

3

9/2020

USD

121,333

2,371

LME

Aluminum

Base

Metal

4

9/2020

USD

161,300

1,209

LME

Aluminum

Base

Metal

5

9/2020

USD

201,391

7,752

LME

Aluminum

Base

Metal

5

9/2020

USD

202,185

2,745

LME

Aluminum

Base

Metal

5

9/2020

USD

201,969

1,910

LME

Aluminum

Base

Metal

5

9/2020

USD

202,000

5,860

LME

Aluminum

Base

Metal

6

9/2020

USD

242,138

3,170

LME

Aluminum

Base

Metal

8

9/2020

USD

323,842

2,520

LME

Aluminum

Base

Metal

9

9/2020

USD

364,388

(151)

LME

Aluminum

Base

Metal

12

9/2020

USD

483,375

12,418

LME

Aluminum

Base

Metal

12

9/2020

USD

484,149

(4,188)

LME

Aluminum

Base

Metal

43

9/2020

USD

1,737,200

4,903

LME

Copper

Base

Metal

1

9/2020

USD

150,374

3,021

LME

Copper

Base

Metal

1

9/2020

USD

150,371

2,814

LME

Copper

Base

Metal

1

9/2020

USD

150,425

10,297

LME

Copper

Base

Metal

1

9/2020

USD

150,413

6,347

LME

Copper

Base

Metal

1

9/2020

USD

150,375

(404)

LME

Copper

Base

Metal

1

9/2020

USD

150,376

3,593

21

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

2

9/2020

USD

$

300,763

$

8,871

LME

Copper

Base

Metal

2

9/2020

USD

300,738

4,333

LME

Copper

Base

Metal

3

9/2020

USD

451,500

24,135

LME

Copper

Base

Metal

4

9/2020

USD

601,914

20,925

LME

Copper

Base

Metal

6

9/2020

USD

902,775

50,709

LME

Copper

Base

Metal

10

9/2020

USD

1,504,733

41,838

LME

Copper

Base

Metal

33

9/2020

USD

4,965,675

180,208

LME

Nickel

Base

Metal

1

9/2020

USD

76,820

227

LME

Nickel

Base

Metal

1

9/2020

USD

76,802

1,253

LME

Nickel

Base

Metal

1

9/2020

USD

76,818

1,215

LME

Nickel

Base

Metal

2

9/2020

USD

153,503

(683)

LME

Nickel

Base

Metal

2

9/2020

USD

153,615

(1,039)

LME

Nickel

Base

Metal

2

9/2020

USD

153,573

1,534

LME

Nickel

Base

Metal

3

9/2020

USD

230,268

658

LME

Nickel

Base

Metal

3

9/2020

USD

230,323

(3,716)

LME

Nickel

Base

Metal

3

9/2020

USD

230,241

216

LME

Nickel

Base

Metal

3

9/2020

USD

230,349

(2,573)

LME

Nickel

Base

Metal

18

9/2020

USD

1,382,508

(3,211)

LME

Zinc

Base

Metal

1

9/2020

USD

51,125

512

LME

Zinc

Base

Metal

1

9/2020

USD

51,149

(763)

LME

Zinc

Base

Metal

1

9/2020

USD

51,156

1,790

LME

Zinc

Base

Metal

1

9/2020

USD

51,159

431

LME

Zinc

Base

Metal

1

9/2020

USD

51,130

(870)

LME

Zinc

Base

Metal

1

9/2020

USD

51,164

(244)

LME

Zinc

Base

Metal

2

9/2020

USD

102,279

1,906

LME

Zinc

Base

Metal

3

9/2020

USD

153,290

3,484

LME

Zinc

Base

Metal

3

9/2020

USD

153,380

1,784

LME

Zinc

Base

Metal

5

9/2020

USD

255,675

3,778

LME

Zinc

Base

Metal

6

9/2020

USD

306,632

4,742

LME

Zinc

Base

Metal

7

9/2020

USD

357,707

2,292

LME

Zinc

Base

Metal

9

9/2020

USD

459,986

3,946

LME

Zinc

Base

Metal

41

9/2020

USD

2,097,150

30,417

Long

Gilt

508

9/2020

GBP

86,639,260

8,006

MSCI

Emerging

Markets

E-Mini

Index

27

9/2020

USD

1,330,695

2,621

NASDAQ

100

E-Mini

Index

29

9/2020

USD

5,885,405

183,422

Nikkei

225

Index

79

9/2020

JPY

16,293,864

(79,539)

S&P

500

E-Mini

Index

22

9/2020

USD

3,399,220

(21,914)

S&P/TSX

60

Index

10

9/2020

CAD

1,367,855

2,372

Silver

16

9/2020

USD

1,490,960

42,679

TOPIX

Index

118

9/2020

JPY

17,031,998

(201,387)

U.S.

Treasury

10

Year

Note

214

9/2020

USD

29,782,781

115,147

U.S.

Treasury

2

Year

Note

2,124

9/2020

USD

469,038,939

401,367

U.S.

Treasury

5

Year

Note

889

9/2020

USD

111,784,805

361,035

U.S.

Treasury

Long

Bond

50

9/2020

USD

8,928,125

42,489

U.S.

Treasury

Ultra

Bond

20

9/2020

USD

4,363,125

46,668

3

Month

Canadian

Bankers

Acceptance

25

12/2020

CAD

4,578,622

(341)

3

Month

Euro

Euribor

39

12/2020

EUR

11,004,514

(332)

3

Month

Eurodollar

375

12/2020

USD

93,478,125

97,848

3

Month

Sterling

389

12/2020

GBP

60,166,886

38,061

ASX

90

Day

Bank

Accepted

Bill

134

12/2020

AUD

92,436,932

10,072

Cotton

No.

2

5

12/2020

USD

152,200

3,221

3

Month

Canadian

Bankers

Acceptance

31

3/2021

CAD

5,678,348

678

3

Month

Euro

Euribor

67

3/2021

EUR

18,908,955

1,074

3

Month

Eurodollar

447

3/2021

USD

111,526,500

146,295

3

Month

Sterling

575

3/2021

GBP

88,984,612

96,029

ASX

90

Day

Bank

Accepted

Bill

191

3/2021

AUD

131,753,872

12,072

22

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Euro

Euribor

131

6/2021

EUR

$

36,976,759

$

2,899

3

Month

Eurodollar

451

6/2021

USD

112,547,050

119,174

3

Month

Sterling

564

6/2021

GBP

87,295,401

129,683

3

Month

Euro

Euribor

210

9/2021

EUR

59,275,720

6,072

3

Month

Eurodollar

450

9/2021

USD

112,303,125

100,378

3

Month

Sterling

543

9/2021

GBP

84,057,656

143,319

3

Month

Euro

Euribor

226

12/2021

EUR

63,788,791

5,019

3

Month

Eurodollar

454

12/2021

USD

113,273,000

77,409

3

Month

Sterling

534

12/2021

GBP

82,660,300

154,624

3

Month

Euro

Euribor

229

3/2022

EUR

64,632,329

8,158

3

Month

Eurodollar

462

3/2022

USD

115,292,100

99,884

3

Month

Sterling

527

3/2022

GBP

81,588,982

164,328

3

Month

Euro

Euribor

103

6/2022

EUR

29,068,990

6,587

3

Month

Eurodollar

469

6/2022

USD

117,015,500

91,752

3

Month

Sterling

518

6/2022

GBP

80,187,598

109,702

6,015,189

Short

Contracts

Brent

Crude

Oil

(33)

7/2020

USD

(1,361,910)

(97,620)

CAC

40

10

Euro

Index

(140)

7/2020

EUR

(7,728,444)

25,931

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,056)

(2,897)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,008)

(2,192)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,832)

(2,390)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,021)

(2,449)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,775)

(3,047)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,034)

(2,409)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,871)

(1,817)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,869)

(3,136)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(39,911)

(2,515)

LME

Aluminum

Base

Metal

(1)

7/2020

USD

(40,048)

(2,645)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,715)

(3,926)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,525)

(6,203)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,550)

(5,241)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,475)

(3,906)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,848)

(5,601)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,903)

(4,370)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(79,931)

(4,497)

LME

Aluminum

Base

Metal

(2)

7/2020

USD

(80,088)

(5,496)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,169)

(19,897)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,181)

(22,081)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,184)

(19,587)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,173)

(24,773)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,167)

(25,126)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,156)

(27,749)

LME

Copper

Base

Metal

(1)

7/2020

USD

(150,113)

(28,736)

LME

Copper

Base

Metal

(2)

7/2020

USD

(300,402)

(42,125)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,619)

(2,942)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,597)

(3,757)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,612)

(3,085)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,572)

(6,285)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,547)

(8,963)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,545)

(8,989)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,551)

(7,707)

LME

Nickel

Base

Metal

(1)

7/2020

USD

(76,572)

(5,655)

LME

Nickel

Base

Metal

(2)

7/2020

USD

(153,166)

(3,999)

LME

Nickel

Base

Metal

(2)

7/2020

USD

(153,095)

(18,054)

LME

Nickel

Base

Metal

(3)

7/2020

USD

(229,759)

(8,278)

23

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

7/2020

USD

$

(50,997)

$

(2,382)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,960)

(2,165)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,964)

(3,577)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,944)

(2,415)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,969)

(2,527)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,967)

(3,282)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,965)

(3,416)

LME

Zinc

Base

Metal

(1)

7/2020

USD

(50,993)

(2,810)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(102,002)

(5,213)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,917)

(5,866)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(101,838)

(8,172)

LME

Zinc

Base

Metal

(2)

7/2020

USD

(102,010)

(6,298)

Natural

Gas

(753)

7/2020

USD

(13,185,030)

704,519

NY

Harbor

ULSD

(2)

7/2020

USD

(99,666)

446

RBOB

Gasoline

(13)

7/2020

USD

(656,019)

14,674

WTI

Crude

Oil

(8)

7/2020

USD

(314,160)

(21,379)

Lean

Hogs

(5)

8/2020

USD

(98,050)

8,760

Live

Cattle

(61)

8/2020

USD

(2,349,110)

12,248

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,161)

(3,176)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,091)

(3,105)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,199)

(3,145)

LME

Aluminum

Base

Metal

(1)

8/2020

USD

(40,200)

(2,910)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,291)

(5,734)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,337)

(6,755)

LME

Aluminum

Base

Metal

(2)

8/2020

USD

(80,215)

(6,158)

LME

Aluminum

Base

Metal

(3)

8/2020

USD

(120,713)

(5,614)

LME

Aluminum

Base

Metal

(4)

8/2020

USD

(160,925)

(8,337)

LME

Aluminum

Base

Metal

(5)

8/2020

USD

(200,969)

(12,360)

LME

Copper

Base

Metal

(1)

8/2020

USD

(150,381)

(20,231)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,763)

(36,039)

LME

Copper

Base

Metal

(2)

8/2020

USD

(300,638)

(33,074)

LME

Copper

Base

Metal

(3)

8/2020

USD

(451,116)

(51,405)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,637)

(5,456)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,647)

(2,793)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,640)

(5,389)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,644)

(3,297)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,719)

(3,667)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,724)

(3,523)

LME

Nickel

Base

Metal

(1)

8/2020

USD

(76,662)

(3,098)

LME

Nickel

Base

Metal

(2)

8/2020

USD

(153,372)

(8,406)

LME

Nickel

Base

Metal

(2)

8/2020

USD

(153,381)

(3,987)

LME

Nickel

Base

Metal

(4)

8/2020

USD

(306,768)

(6,065)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(639)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(948)

LME

Zinc

Base

Metal

(1)

8/2020

USD

(51,050)

(1,598)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,100)

(4,958)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,100)

(1,561)

LME

Zinc

Base

Metal

(2)

8/2020

USD

(102,051)

(6,563)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,239)

(7,951)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,065)

(10,580)

LME

Zinc

Base

Metal

(3)

8/2020

USD

(153,150)

(5,032)

Low

Sulphur

Gasoil

(22)

8/2020

USD

(781,550)

(45,277)

Cocoa

(21)

9/2020

USD

(459,060)

10,761

Coffee

'C'

(121)

9/2020

USD

(4,582,875)

(130,962)

Corn

(445)

9/2020

USD

(7,598,375)

(160,803)

DAX

Index

(9)

9/2020

EUR

(3,115,732)

(15,053)

24

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

DJIA

CBOT

E-Mini

Index

(18)

9/2020

USD

$

(2,312,010)

$

(36,830)

EURO

STOXX

50

Index

(85)

9/2020

EUR

(3,077,884)

(15,894)

Euro-Schatz

(399)

9/2020

EUR

(50,269,727)

(37,307)

FTSE/MIB

Index

(1)

9/2020

EUR

(108,356)

2,158

KC

HRW

Wheat

(97)

9/2020

USD

(2,132,788)

34,584

LME

Aluminum

Base

Metal

(1)

9/2020

USD

(40,268)

(1,718)

LME

Aluminum

Base

Metal

(2)

9/2020

USD

(80,903)

(1,283)

LME

Aluminum

Base

Metal

(3)

9/2020

USD

(120,825)

(5,851)

LME

Aluminum

Base

Metal

(3)

9/2020

USD

(121,333)

(2,465)

LME

Aluminum

Base

Metal

(4)

9/2020

USD

(161,300)

(2,037)

LME

Aluminum

Base

Metal

(5)

9/2020

USD

(201,969)

(1,771)

LME

Aluminum

Base

Metal

(5)

9/2020

USD

(202,185)

(2,575)

LME

Aluminum

Base

Metal

(5)

9/2020

USD

(202,000)

(5,681)

LME

Aluminum

Base

Metal

(5)

9/2020

USD

(201,391)

(6,987)

LME

Aluminum

Base

Metal

(6)

9/2020

USD

(242,138)

(4,030)

LME

Aluminum

Base

Metal

(8)

9/2020

USD

(323,842)

(3,214)

LME

Aluminum

Base

Metal

(9)

9/2020

USD

(364,388)

198

LME

Aluminum

Base

Metal

(12)

9/2020

USD

(484,149)

6,616

LME

Aluminum

Base

Metal

(12)

9/2020

USD

(483,375)

(11,383)

LME

Aluminum

Base

Metal

(111)

9/2020

USD

(4,484,400)

(184,546)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,371)

(3,549)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,374)

(2,876)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,413)

(6,365)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,425)

(9,592)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,376)

(3,754)

LME

Copper

Base

Metal

(1)

9/2020

USD

(150,375)

47

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,763)

(8,281)

LME

Copper

Base

Metal

(2)

9/2020

USD

(300,738)

(3,485)

LME

Copper

Base

Metal

(3)

9/2020

USD

(451,500)

(25,209)

LME

Copper

Base

Metal

(4)

9/2020

USD

(601,914)

(20,101)

LME

Copper

Base

Metal

(6)

9/2020

USD

(902,775)

(54,990)

LME

Copper

Base

Metal

(10)

9/2020

USD

(1,504,733)

(46,512)

LME

Copper

Base

Metal

(31)

9/2020

USD

(4,664,725)

(422,554)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,818)

(1,186)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,820)

(540)

LME

Nickel

Base

Metal

(1)

9/2020

USD

(76,802)

(1,075)

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,615)

1,443

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,573)

(1,413)

LME

Nickel

Base

Metal

(2)

9/2020

USD

(153,503)

931

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,268)

(1,197)

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,349)

2,032

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,241)

(1,110)

LME

Nickel

Base

Metal

(3)

9/2020

USD

(230,323)

2,318

LME

Nickel

Base

Metal

(16)

9/2020

USD

(1,228,896)

(29,246)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,159)

(779)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,156)

(1,997)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,164)

365

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,125)

(840)

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,149)

361

LME

Zinc

Base

Metal

(1)

9/2020

USD

(51,130)

867

LME

Zinc

Base

Metal

(2)

9/2020

USD

(102,279)

(1,884)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,290)

(4,048)

LME

Zinc

Base

Metal

(3)

9/2020

USD

(153,380)

(3,201)

LME

Zinc

Base

Metal

(5)

9/2020

USD

(255,675)

(4,065)

LME

Zinc

Base

Metal

(6)

9/2020

USD

(306,632)

(6,574)

LME

Zinc

Base

Metal

(7)

9/2020

USD

(357,707)

(2,128)

25

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(9)

9/2020

USD

$

(459,986)

$

(5,987)

LME

Zinc

Base

Metal

(48)

9/2020

USD

(2,455,200)

(69,060)

MSCI

EAFE

E-Mini

Index

(2)

9/2020

USD

(177,840)

2,623

Russell

2000

E-Mini

Index

(40)

9/2020

USD

(2,875,200)

(38,708)

S&P

Midcap

400

E-Mini

Index

(5)

9/2020

USD

(889,550)

8,449

SPI

200

Index

(20)

9/2020

AUD

(2,033,035)

2,249

Sugar

No.

11

(8)

9/2020

USD

(107,162)

1,330

Wheat

(232)

9/2020

USD

(5,704,300)

(2,360)

Soybean

(94)

11/2020

USD

(4,146,575)

(69,489)

3

Month

Euroswiss

(47)

12/2020

CHF

(12,491,002)

598

Soybean

Meal

(96)

12/2020

USD

(2,840,640)

17,499

Soybean

Oil

(14)

12/2020

USD

(242,004)

(4,351)

3

Month

Euroswiss

(40)

3/2021

CHF

(10,631,696)

(1,015)

3

Month

Euroswiss

(33)

6/2021

CHF

(8,770,278)

(1,587)

(1,477,969)

$

4,537,220

Forward

foreign

currency

contracts

outstanding

as

of

June

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

50,518,750

USD

33,851,440

CITI

9/16/2020

$

1,020,677

AUD

50,518,750

USD

33,851,482

JPMC

9/16/2020

1,020,635

BRL

161,500

USD

29,530

CITI

**

9/16/2020

69

BRL

161,500

USD

29,530

JPMC

**

9/16/2020

70

CAD

1,748,000

USD

1,269,606

CITI

9/16/2020

18,161

CAD

1,748,000

USD

1,269,608

JPMC

9/16/2020

18,160

CHF

9,919,500

USD

10,368,291

CITI

9/16/2020

125,582

CHF

9,919,500

USD

10,368,304

JPMC

9/16/2020

125,570

COP

38,482,000

USD

10,145

CITI

**

9/16/2020

29

COP

38,482,000

USD

10,145

JPMC

**

9/16/2020

30

EUR

17,983,749

USD

20,112,613

CITI

9/16/2020

126,850

EUR

17,983,748

USD

20,112,637

JPMC

9/16/2020

126,825

GBP

2,945,500

USD

3,617,961

CITI

9/16/2020

33,464

GBP

2,945,500

USD

3,617,966

JPMC

9/16/2020

33,459

HUF

311,549,000

USD

983,772

CITI

9/16/2020

4,257

HUF

311,549,000

USD

983,773

JPMC

9/16/2020

4,256

IDR

3,126,328,500

USD

210,715

CITI

**

9/16/2020

1,356

IDR

3,126,328,500

USD

210,716

JPMC

**

9/16/2020

1,355

ILS

2,720,000

USD

784,445

CITI

9/16/2020

2,420

ILS

2,720,000

USD

784,446

JPMC

9/16/2020

2,419

INR

83,647,760

USD

1,093,891

CITI

**

9/16/2020

4,207

INR

83,647,756

USD

1,093,745

JPMC

**

9/16/2020

4,353

JPY

1,839,601,216

USD

16,948,710

CITI

9/16/2020

106,366

JPY

1,839,601,212

USD

16,948,731

JPMC

9/16/2020

106,344

KRW

33,958,536,500

USD

28,047,436

CITI

**

9/16/2020

275,409

KRW

33,958,536,500

USD

28,047,457

JPMC

**

9/16/2020

275,389

NOK

14,337,000

USD

1,483,022

CITI

9/16/2020

6,927

NOK

14,337,000

USD

1,483,024

JPMC

9/16/2020

6,926

NZD

37,130,000

USD

23,481,456

CITI

9/16/2020

476,800

NZD

37,130,000

USD

23,481,485

JPMC

9/16/2020

476,770

PHP

175,004,000

USD

3,457,706

CITI

**

9/16/2020

45,716

26

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

PHP

175,004,000

USD

3,457,710

JPMC

**

9/16/2020

$

45,711

PLN

54,283,588

USD

13,606,777

CITI

9/16/2020

117,334

PLN

54,283,588

USD

13,606,794

JPMC

9/16/2020

117,317

SEK

32,990,500

USD

3,487,798

CITI

9/16/2020

56,004

SEK

32,990,500

USD

3,487,802

JPMC

9/16/2020

56,000

SGD

7,155,000

USD

5,110,644

CITI

9/16/2020

24,688

SGD

7,155,000

USD

5,110,650

JPMC

9/16/2020

24,682

TWD

262,262,492

USD

8,906,824

CITI

**

9/16/2020

107,556

TWD

262,262,508

USD

8,906,836

JPMC

**

9/16/2020

107,545

USD

5,309,640

AUD

7,637,500

CITI

9/16/2020

37,621

USD

5,309,633

AUD

7,637,500

JPMC

9/16/2020

37,615

USD

4,077,354

BRL

20,952,625

CITI

**

9/16/2020

237,185

USD

4,077,349

BRL

20,952,625

JPMC

**

9/16/2020

237,180

USD

25,280,293

CAD

34,097,751

CITI

9/16/2020

160,172

USD

25,280,261

CAD

34,097,750

JPMC

9/16/2020

160,140

USD

134,017

CLP

107,289,500

CITI

**

9/16/2020

3,246

USD

134,017

CLP

107,289,500

JPMC

**

9/16/2020

3,246

USD

1,193,121

COP

4,482,954,004

CITI

**

9/16/2020

7,864

USD

1,193,120

COP

4,482,954,004

JPMC

**

9/16/2020

7,863

USD

18,857,612

EUR

16,693,003

CITI

9/16/2020

70,795

USD

18,857,582

EUR

16,692,997

JPMC

9/16/2020

70,771

USD

52,544,739

GBP

41,852,126

CITI

9/16/2020

662,249

USD

52,544,676

GBP

41,852,128

JPMC

9/16/2020

662,183

USD

5,584,858

HUF

1,730,693,258

CITI

9/16/2020

96,240

USD

5,584,851

HUF

1,730,693,259

JPMC

9/16/2020

96,234

USD

977,163

IDR

14,135,960,922

CITI

**

9/16/2020

18,265

USD

977,162

IDR

14,135,960,922

JPMC

**

9/16/2020

18,263

USD

380,915

INR

28,991,000

CITI

**

9/16/2020

331

USD

380,914

INR

28,991,000

JPMC

**

9/16/2020

330

USD

39,242,580

JPY

4,220,085,000

CITI

9/16/2020

117,869

USD

39,242,531

JPY

4,220,085,000

JPMC

9/16/2020

117,818

USD

8,855,978

NOK

84,370,000

CITI

9/16/2020

87,964

USD

8,855,967

NOK

84,370,000

JPMC

9/16/2020

87,953

USD

2,221,628

NZD

3,421,000

CITI

9/16/2020

14,216

USD

2,221,625

NZD

3,421,000

JPMC

9/16/2020

14,214

USD

19,149,674

PLN

75,262,255

CITI

9/16/2020

121,684

USD

19,149,649

PLN

75,262,248

JPMC

9/16/2020

121,660

USD

724,343

SEK

6,720,500

CITI

9/16/2020

2,435

USD

724,342

SEK

6,720,500

JPMC

9/16/2020

2,433

USD

3,445,578

SGD

4,797,250

CITI

9/16/2020

2,464

USD

3,445,574

SGD

4,797,250

JPMC

9/16/2020

2,460

USD

14,081,040

ZAR

241,517,500

CITI

9/16/2020

273,713

USD

14,081,022

ZAR

241,517,500

JPMC

9/16/2020

273,695

ZAR

35,761,500

USD

2,038,931

CITI

9/16/2020

5,520

ZAR

35,761,500

USD

2,038,933

JPMC

9/16/2020

5,518

USD

6,509,931

MXN

144,644,996

CITI

9/17/2020

281,635

USD

6,509,923

MXN

144,644,996

JPMC

9/17/2020

281,627

Total

unrealized

appreciation

9,510,359

AUD

18,580,750

USD

12,896,762

CITI

9/16/2020

(70,830)

AUD

18,580,750

USD

12,896,779

JPMC

9/16/2020

(70,846)

BRL

9,078,500

USD

1,732,568

CITI

**

9/16/2020

(68,672)

BRL

9,078,500

USD

1,732,570

JPMC

**

9/16/2020

(68,675)

CAD

44,143,000

USD

32,789,311

CITI

9/16/2020

(268,764)

CAD

44,143,000

USD

32,789,352

JPMC

9/16/2020

(268,806)

CHF

1,142,500

USD

1,211,912

CITI

9/16/2020

(3,256)

CHF

1,142,500

USD

1,211,913

JPMC

9/16/2020

(3,258)

CLP

610,048,468

USD

766,674

CITI

**

9/16/2020

(23,112)

CLP

610,048,468

USD

766,675

JPMC

**

9/16/2020

(23,113)

27

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

COP

3,548,523,000

USD

965,928

CITI

**

9/16/2020

$

(27,726)

COP

3,548,523,000

USD

965,929

JPMC

**

9/16/2020

(27,728)

EUR

17,433,252

USD

19,757,074

CITI

9/16/2020

(137,157)

EUR

17,433,248

USD

19,757,094

JPMC

9/16/2020

(137,182)

GBP

44,368,500

USD

56,168,957

CITI

9/16/2020

(1,167,014)

GBP

44,368,500

USD

56,169,027

JPMC

9/16/2020

(1,167,084)

HUF

1,821,538,500

USD

5,927,761

CITI

9/16/2020

(151,044)

HUF

1,821,538,500

USD

5,927,768

JPMC

9/16/2020

(151,051)

IDR

25,750,095,000

USD

1,789,642

CITI

**

9/16/2020

(42,910)

IDR

25,750,095,000

USD

1,789,644

JPMC

**

9/16/2020

(42,911)

ILS

5,985,500

USD

1,738,197

CITI

9/16/2020

(6,657)

ILS

5,985,500

USD

1,738,199

JPMC

9/16/2020

(6,659)

INR

78,362,256

USD

1,029,873

CITI

**

9/16/2020

(1,161)

INR

78,362,260

USD

1,029,853

JPMC

**

9/16/2020

(1,141)

JPY

7,262,366,212

USD

67,793,909

CITI

9/16/2020

(463,989)

JPY

7,262,366,212

USD

67,793,993

JPMC

9/16/2020

(464,073)

KRW

18,267,643,999

USD

15,286,475

CITI

**

9/16/2020

(50,492)

KRW

18,267,644,001

USD

15,286,482

JPMC

**

9/16/2020

(50,500)

NOK

16,903,500

USD

1,780,141

CITI

9/16/2020

(23,472)

NOK

16,903,500

USD

1,780,143

JPMC

9/16/2020

(23,475)

NZD

16,703,000

USD

10,881,429

CITI

9/16/2020

(103,762)

NZD

16,703,000

USD

10,881,443

JPMC

9/16/2020

(103,775)

PLN

37,138,412

USD

9,454,257

CITI

9/16/2020

(64,832)

PLN

37,138,412

USD

9,454,269

JPMC

9/16/2020

(64,844)

SEK

27,567,000

USD

2,987,035

CITI

9/16/2020

(25,820)

SEK

27,567,000

USD

2,987,039

JPMC

9/16/2020

(25,824)

SGD

4,578,000

USD

3,294,967

CITI

9/16/2020

(9,216)

SGD

4,578,000

USD

3,294,971

JPMC

9/16/2020

(9,220)

USD

10,333,305

AUD

15,086,000

CITI

9/16/2020

(80,269)

USD

10,333,292

AUD

15,086,000

JPMC

9/16/2020

(80,283)

USD

249,619

BRL

1,364,375

CITI

**

9/16/2020

(442)

USD

249,619

BRL

1,364,375

JPMC

**

9/16/2020

(442)

USD

41,263,434

CAD

56,493,249

CITI

9/16/2020

(355,652)

USD

41,263,384

CAD

56,493,250

JPMC

9/16/2020

(355,703)

USD

8,168,558

CHF

7,830,500

CITI

9/16/2020

(115,356)

USD

8,168,547

CHF

7,830,500

JPMC

9/16/2020

(115,366)

USD

136,318

COP

516,093,500

CITI

**

9/16/2020

(133)

USD

136,317

COP

516,093,500

JPMC

**

9/16/2020

(134)

USD

10,704,950

EUR

9,524,500

CITI

9/16/2020

(14,215)

USD

10,704,937

EUR

9,524,500

JPMC

9/16/2020

(14,228)

USD

37,799,732

GBP

30,685,372

CITI

9/16/2020

(239,759)

USD

37,799,689

GBP

30,685,376

JPMC

9/16/2020

(239,806)

USD

2,229,288

HUF

708,110,758

CITI

9/16/2020

(16,372)

USD

2,229,285

HUF

708,110,757

JPMC

9/16/2020

(16,375)

USD

85,275

IDR

1,286,353,422

CITI

**

9/16/2020

(1,984)

USD

85,275

IDR

1,286,353,422

JPMC

**

9/16/2020

(1,984)

USD

424,677

ILS

1,478,000

CITI

9/16/2020

(2,892)

USD

424,676

ILS

1,478,000

JPMC

9/16/2020

(2,893)

USD

1,424,398

INR

109,034,500

CITI

**

9/16/2020

(6,968)

USD

1,424,401

INR

109,034,500

JPMC

**

9/16/2020

(6,966)

USD

49,053,397

JPY

5,340,912,002

CITI

9/16/2020

(462,583)

USD

49,053,336

JPY

5,340,911,998

JPMC

9/16/2020

(462,643)

USD

27,909,672

KRW

34,255,220,623

CITI

**

9/16/2020

(660,620)

USD

27,909,637

KRW

34,255,220,624

JPMC

**

9/16/2020

(660,655)

USD

2,726,568

NOK

26,712,500

CITI

9/16/2020

(49,486)

USD

2,726,565

NOK

26,712,500

JPMC

9/16/2020

(49,489)

USD

42,096,453

NZD

67,562,000

CITI

9/16/2020

(1,498,152)

USD

42,096,401

NZD

67,562,000

JPMC

9/16/2020

(1,498,205)

28

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

515,494

PHP

25,939,000

CITI

**

9/16/2020

$

(3,781)

USD

515,498

PHP

25,939,000

JPMC

**

9/16/2020

(3,777)

USD

17,126,442

PLN

68,457,248

CITI

9/16/2020

(181,087)

USD

17,126,421

PLN

68,457,248

JPMC

9/16/2020

(181,108)

USD

1,240,701

SEK

11,609,000

CITI

9/16/2020

(6,324)

USD

1,240,700

SEK

11,609,000

JPMC

9/16/2020

(6,325)

USD

4,316,416

SGD

6,108,750

CITI

9/16/2020

(67,994)

USD

4,316,411

SGD

6,108,750

JPMC

9/16/2020

(67,999)

USD

1,311,966

TWD

38,440,498

CITI

**

9/16/2020

(9,295)

USD

1,311,964

TWD

38,440,502

JPMC

**

9/16/2020

(9,297)

USD

6,619,926

ZAR

116,545,000

CITI

9/16/2020

(42,842)

USD

6,619,918

ZAR

116,545,000

JPMC

9/16/2020

(42,850)

ZAR

89,002,500

USD

5,111,798

CITI

9/16/2020

(23,609)

ZAR

89,002,500

USD

5,111,805

JPMC

9/16/2020

(23,616)

MXN

105,286,000

USD

4,663,136

CITI

9/17/2020

(129,607)

MXN

105,286,000

USD

4,663,142

JPMC

9/17/2020

(129,613)

USD

569,068

MXN

13,296,500

CITI

9/17/2020

(3,468)

USD

569,067

MXN

13,296,500

JPMC

9/17/2020

(3,469)

Total

unrealized

depreciation

(13,366,167)

Net

unrealized

depreciation

$

(3,855,808)

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

5,534,352

$

5,534,352

CITI

Investment

Companies

5,179,839

–

5,179,839

GSCO

Cash

–

4,504,737

4,504,737

GSIN

U.S.

Treasury

Bills

1,269,053

–

1,269,053

JPMC

Investment

Companies

4,971,877

–

4,971,877

JPMS

Cash

–

5,388,054

5,388,054

MLIN

Cash

229,998

–

229,998

MSCL

Cash

–

1,697,336

1,697,336

29

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

June

30,

2020

(Unaudited)

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

June

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(170,004)

$

–

$

(170,004)

Investment

Companies

881,431

–

881,431

GSCO

Cash

–

629,346

629,346

GSIN

Cash

(120,004)

–

(120,004)

U.S.

Treasury

Bills

1,28

9,829

–

1,289,829

JPPC

Cash

–

765,044

765,044

MSCL

Cash

–

(2,212,641)

(2,212,641)

U.S.

Treasury

Bills

–

6,533,973

6,533,973

SOCG

Cash

9,993

–

9,993

30

Consolidated

Schedule

of

Investments

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MSCL

-

Morgan

Stanley

&

Co.

LLC

SOCG

-

Societe

Generale

Consolidated

Statements

of

Assets

and

Liabilities

31

AQR

Funds

|

Semi-Annual

Report

|

June

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

..........................................

$

3,350,840,464

$

244,626,483

Investments

in

securities

of

affiliated

issuers,

at

cost

............................................

539,660,678

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

.........................................

$

3,352,605,797

$

244,807,814

Investments

in

securities

of

affiliated

issuers,

at

value

...........................................

539,792,947

—

Cash

................................................................................

139,179

6,752

Cash

denominated

in

foreign

currencies

‡

.....................................................

3,570,190

97,380

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

.............................

90,808,602

9,510,359

Unrealized

appreciation

on

OTC

swaps

......................................................

635,416

72,409

Due

from

broker

.......................................................................

2,553,646

539,490

Deposits

with

brokers

for

futures

contracts

....................................................

108,133,770

20,352,294

Variation

margin

on

futures

contracts

........................................................

9,903,453

1,083,169

Receivables:

Securities

sold

......................................................................

1,678,152,584

154,096,024

Dividends

and

interest

.................................................................

144,934

11,977

Capital

shares

sold

...................................................................

8,504,549

688,341

Prepaid

expenses

......................................................................

180,235

49,682

Total

Assets

5,795,125,302

431,315,691

LIABILITIES:

Due

to

broker

.........................................................................

4,682,352

418,247

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

.............................

127,985,538

13,366,167

Unrealized

depreciation

on

OTC

swaps

......................................................

3,543,202

332,165

Deposits

from

brokers

for

futures

contracts

...................................................

8,796,177

522,957

Variation

margin

on

futures

contracts

........................................................

294,456

69,058

Payables:

–

–

Securities

purchased

..................................................................

1,879,344,114

154,032,721

Accrued

investment

advisory

fees

........................................................

3,239,914

290,259

Accrued

distribution

fees—Class

N

.......................................................

286,188

5,288

Capital

shares

redeemed

..............................................................

8,908,627

125,362

Other

accrued

expenses

and

liabilities

.......................................................

1,686,530

152,359

Total

Liabilities

2,038,767,098

169,314,583

Net

Assets

$

3,756,358,204

$

262,001,108

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

.........................

$

4,643,360,848

$

345,679,692

Total

distributable

earnings

(loss)

..........................................................

(887,002,644)

(83,678,584)

Net

Assets

$

3,756,358,204

$

262,001,108

NET

ASSETS:

Class

I

..............................................................................

$

1,922,497,012

$

157,477,428

Class

N

..............................................................................

1,398,162,361

12,947,258

Class

R6

.............................................................................

435,698,831

91,576,422

SHARES

OUTSTANDING:

–

–

Class

I

..............................................................................

230,473,799

20,547,914

Class

N

..............................................................................

170,761,736

1,707,943

Class

R6

.............................................................................

52,134,155

11,913,494

NET

ASSET

VALUE:

–

–

Class

I

..............................................................................

$

8.34

$

7.66

Class

N

..............................................................................

$

8.19

$

7.58

Class

R6

.............................................................................

$

8.36

$

7.69

‡

Cash

denominated

in

foreign

currencies,

at

cost

..............................................

$

3,541,076

$

95,586

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Operations

32

AQR

Funds

|

Semi-Annual

Report

|

June

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

..................................................................

$

527,216

$

243,932

Affiliated

issuers

.....................................................................

2,659,108

—

Interest

income:

—

—

Unaffiliated

issuers

...................................................................

21,348,539

1,586,224

Interfund

lending

income

.................................................................

6,184

—

Total

Income

24,541,047

1,830,156

EXPENSES:

Investment

advisory

fees

.................................................................

21,354,216

2,003,586

Custody

fees

..........................................................................

118,540

33,736

Administration

&

accounting

fees

...........................................................

939,409

63,823

Legal

fees

............................................................................

38,329

3,697

Audit

&

tax

fees

........................................................................

66,102

57,650

Shareholder

reporting

fees

...............................................................

286,564

19,628

Transfer

agent

fees

.....................................................................

1,827,596

100,865

Trustee

fees

..........................................................................

112,529

9,983

Distribution

fees—Class

N

................................................................

1,837,713

38,930

Interest

expense

.......................................................................

90,313

11,672

Registration

fees

.......................................................................

49,715

38,410

Pricing

fee

...........................................................................

98

64

Other

expenses

.......................................................................

44,458

2,803

Total

Expenses

26,765,582

2,384,847

Less

fee

reimbursements

................................................................

—

(101,460)

Net

Expenses

26,765,582

2,283,387

Net

Investment

Income

(Loss)

(2,224,535)

(453,231)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

.....................................

21,679

33,718

Transactions

in

investment

securities

of

affiliated

issuers

......................................

168,247

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

.................................

(332,573)

(55,045)

Settlement

of

forward

foreign

currency

contracts

.............................................

(59,048,217)

(6,501,352)

Expiration

or

closing

of

futures

contracts

...................................................

162,101,466

15,352,358

Expiration

or

closing

of

swap

contracts

....................................................

(28,307,400)

(2,593,726)

Net

realized

gain

(loss)

74,603,202

6,235,953

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

................................................

(2,006)

93,289

Investment

securities

of

affiliated

issuers

..................................................

85,578

—

Foreign

currency

and

foreign

currency

transactions

...........................................

561,709

59,614

Forward

foreign

currency

exchange

contracts

...............................................

(32,990,327)

(3,451,766)

Futures

contracts

....................................................................

6,100,917

1,026,489

Swap

contracts

......................................................................

(17,709,452)

(1,676,508)

Net

change

in

unrealized

appreciation

(depreciation)

(43,953,581)

(3,948,882)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

30,649,621

2,287,071

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

28,425,086

$

1,833,840

________________

†

Net

of

foreign

taxes

withheld

of

...........................................................

$

12,267

$

—

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Changes

in

Net

Assets

(Continued)

33

AQR

Funds

|

Semi-Annual

Report

|

June

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

........................

$

(2,224,535)

$

51,541,655

$

(453,231)

$

1,790,321

Net

realized

gain

(loss)

.............................

74,603,202

66,606,926

6,235,953

6,414,751

Net

change

in

unrealized

appreciation

(depreciation)

.......

(43,953,581)

18,051,374

(3,948,882)

1,227,508

Net increase

(decrease)

in

net

assets

resulting

from

operations

28,425,086

136,199,955

1,833,840

9,432,580

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

—

(72,188,260)

—

(6,093,026)

Class

N

.........................................

—

(42,867,947)

—

(1,212,857)

Class

R6

........................................

—

(18,402,528)

—

(3,954,833)

Total

distributions

—

(133,458,735)

—

(11,260,716)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

342,907,805

899,174,831

53,868,845

76,270,170

Reinvestment

of

distributions

.........................

—

53,794,011

—

5,467,617

Cost

of

shares

redeemed

...........................

(747,707,907)

(2,913,997,154)

(56,795,962)

(165,956,260)

Net

increase

(decrease)

from

capital

transactions

(404,800,102)

(1,961,028,312)

(2,927,117)

(84,218,473)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

314,009,256

238,387,422

9,809,904

31,851,697

Reinvestment

of

distributions

.........................

—

42,833,600

—

1,211,674

Cost

of

shares

redeemed

...........................

(432,232,994)

(571,721,426)

(28,996,165)

(61,787,054)

Net

increase

(decrease)

from

capital

transactions

(118,223,738)

(290,500,404)

(19,186,261)

(28,723,683)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

69,096,868

188,451,274

14,849,307

45,535,658

Reinvestment

of

distributions

.........................

—

16,837,107

—

3,954,052

Cost

of

shares

redeemed

...........................

(220,565,164)

(592,377,421)

(19,182,495)

(133,309,091)

Net

increase

(decrease)

from

capital

transactions

(151,468,296)

(387,089,040)

(4,333,188)

(83,819,381)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(674,492,136)

(2,638,617,756)

(26,446,566)

(196,761,537)

Total

increase

(decrease)

in

net

assets

(646,067,050)

(2,635,876,536)

(24,612,726)

(198,589,673)

NET

ASSETS:

Beginning

of

period

................................

4,402,425,254

7,038,301,790

286,613,834

485,203,507

End

of

period

...................................

$

3,756,358,204

$

4,402,425,254

$

262,001,108

$

286,613,834

$

—

$

—

$

—

$

—

Consolidated

Statements

of

Changes

in

Net

Assets

34

AQR

Funds

|

Semi-Annual

Report

|

June

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

2020

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

SIX

MONTHS

ENDED

JUNE

30,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

................

278,773,489

505,883,440

20,878,442

31,271,904

Shares

sold

.....................................

40,623,305

107,142,281

6,969,051

9,810,467

Shares

issued

on

reinvestment

of

distributions

...........

—

6,512,592

—

721,322

Shares

redeemed

.................................

(88,922,995)

(340,764,824)

(7,299,579)

(20,925,251)

Shares

outstanding,

end

of

period

230,473,799

278,773,489

20,547,914

20,878,442

CLASS

N

Shares

outstanding,

beginning

of

period

................

184,612,537

219,062,904

4,203,751

7,661,123

Shares

sold

.....................................

37,992,881

28,511,192

1,287,135

4,195,977

Shares

issued

on

reinvestment

of

distributions

...........

—

5,281,578

—

161,557

Shares

redeemed

.................................

(51,843,682)

(68,243,137)

(3,782,943)

(7,814,906)

Shares

outstanding,

end

of

period

170,761,736

184,612,537

1,707,943

4,203,751

CLASS

R6

Shares

outstanding,

beginning

of

period

................

69,815,972

115,388,592

12,444,742

23,133,614

Shares

sold

.....................................

8,248,300

22,138,454

1,908,861

5,804,880

Shares

issued

on

reinvestment

of

distributions

...........

—

2,035,926

—

520,955

Shares

redeemed

.................................

(25,930,117)

(69,747,000)

(2,440,109)

(17,014,707)

Shares

outstanding,

end

of

period

52,134,155

69,815,972

11,913,494

12,444,742

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

36

Consolidated

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.30

(0.00)

5

0.04

0.04

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.41

0.09

0.06

0.15

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.23

0.06

(0.88)

(0.82)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.03)

(0.06)

(0.09)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.18

(0.08)

(0.78)

(0.86)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.63

(0.12)

0.34

0.22

(0.46)

(0.21)

(0.67)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.16

(0.01)

0.04

0.03

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.27

0.06

0.07

0.13

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.10

0.03

(0.86)

(0.83)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.21

(0.06)

(0.05)

(0.11)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.09

(0.11)

(0.77)

(0.88)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.54

(0.15)

0.34

0.19

(0.43)

(0.21)

(0.64)

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

8.32

0.00

5

0.04

0.04

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

8.42

0.09

0.08

0.17

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.24

0.06

(0.88)

(0.82)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.32

(0.02)

(0.06)

(0.08)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.18

(0.07)

(0.79)

(0.86)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

10.62

(0.11)

0.34

0.23

(0.46)

(0.21)

(0.67)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

SIX

MONTHS

ENDED

JUNE

30,

2020

$

7.64

(0.01)

0.03

0.02

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.82

0.04

0.10

0.14

(0.32)

—

(0.32)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.14

0.00

5

(1.32)

(1.32)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.29

(0.08)

(0.07)

(0.15)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.70

(0.13)

(1.28)

(1.41)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.23

(0.18)

0.46

0.28

(0.51)

(0.30)

(0.81)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

SIX

MONTHS

ENDED

JUNE

30,

2020

$

7.56

(0.02)

0.04

0.02

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.73

0.02

0.10

0.12

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.06

(0.02)

(1.31)

(1.33)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.23

(0.10)

(0.07)

(0.17)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.66

(0.16)

(1.27)

(1.43)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.21

(0.21)

0.46

0.25

(0.50)

(0.30)

(0.80)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

SIX

MONTHS

ENDED

JUNE

30,

2020

$

7.66

(0.01)

0.04

0.03

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

7.84

0.05

0.10

0.15

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

9.15

0.01

(1.32)

(1.31)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2017

$

9.30

(0.07)

(0.08)

(0.15)

—

—

—

FOR

THE

YEAR

ENDED

DECEMBER

31,

2016

$

10.70

(0.13)

(1.27)

(1.40)

(0.00)

5

—

(0.00)

5

FOR

THE

YEAR

ENDED

DECEMBER

31,

2015

$

11.23

(0.17)

0.46

0.29

(0.52)

(0.30)

(0.82)

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Funds

invests.

5

Amount

is

less

than

$.005

per

share.

37

Consolidated

Financial

Highlights

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

June

30,

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

$

8.34

0.48%

$

1,922,497

1.24%

1.24%

1.23%

(0.03)%

0%

$

8.30

1.80%

$

2,315,083

1.21%

1.21%

1.20%

1.00%

0%

$

8.41

(8.88)%

$

4,254,642

1.16%

1.16%

1.16%

0.62%

0%

$

9.23

(0.97)%

$

5,956,726

1.19%

1.19%

1.19%

(0.38)%

0%

$

9.32

(8.43)%

$

7,654,491

1.20%

1.20%

1.20%

(0.81)%

0%

$

10.18

2.00%

$

7,778,072

1.21%

1.21%

1.21%

(1.11)%

0%

$

8.19

0.37%

$

1,398,162

1.49%

1.49%

1.48%

(0.29)%

0%

$

8.16

1.56%

$

1,506,755

1.49%

1.49%

1.48%

0.71%

0%

$

8.27

(9.12)%

$

1,811,668

1.45%

1.45%

1.45%

0.30%

0%

$

9.10

(1.19)%

$

3,325,717

1.46%

1.46%

1.46%

(0.63)%

0%

$

9.21

(8.71)%

$

3,334,207

1.48%

1.48%

1.47%

(1.08)%

0%

$

10.09

1.75%

$

1,588,011

1.47%

1.47%

1.47%

(1.38)%

0%

$

8.36

0.48%

$

435,699

1.14%

1.14%

1.13%

0.10%

0%

$

8.32

2.03%

$

580,587

1.14%

1.14%

1.13%

1.07%

0%

$

8.42

(8.87)%

$

971,992

1.11%

1.11%

1.11%

0.66%

0%

$

9.24

(0.86)%

$

1,840,901

1.11%

1.11%

1.11%

(0.27)%

0%

$

9.32

(8.43)%

$

1,169,464

1.13%

1.13%

1.13%

(0.73)%

0%

$

10.18

2.16%

$

240,185

1.13%

1.13%

1.13%

(1.01)%

0%

$

7.66

0.26%

$

157,478

1.73%

1.66%

1.65%

(0.33)%

0%

$

7.64

1.81%

$

159,510

1.70%

1.64%

1.64%

0.50%

0%

$

7.82

(14.44)%

$

244,569

1.65%

1.64%

1.64%

0.00%

0%

$

9.14

(1.61)%

$

463,124

1.64%

1.64%

1.64%

(0.85)%

0%

$

9.29

(13.17)%

$

411,599

1.66%

1.64%

1.64%

(1.29)%

0%

$

10.70

2.48%

$

258,691

1.65%

1.61%

1.61%

(1.52)%

0%

$

7.58

0.26%

$

12,947

1.98%

1.91%

1.90%

(0.58)%

0%

$

7.56

1.55%

$

31,794

1.96%

1.90%

1.90%

0.26%

0%

$

7.73

(14.68)%

$

59,231

1.91%

1.90%

1.90%

(0.24)%

0%

$

9.06

(1.84)%

$

97,440

1.90%

1.90%

1.90%

(1.13)%

0%

$

9.23

(13.40)%

$

116,422

1.91%

1.90%

1.90%

(1.55)%

0%

$

10.66

2.19%

$

137,115

1.92%

1.89%

1.89%

(1.78)%

0%

$

7.69

0.39%

$

91,576

1.63%

1.56%

1.55%

(0.24)%

0%

$

7.66

1.93%

$

95,310

1.61%

1.55%

1.55%

0.59%

0%

$

7.84

(14.32)%

$

181,404

1.56%

1.55%

1.55%

0.12%

0%

$

9.15

(1.61)%

$

261,636

1.55%

1.55%

1.55%

(0.75)%

0%

$

9.30

(13.07)%

$

203,463

1.57%

1.55%

1.55%

(1.20)%

0%

$

10.70

2.54%

$

133,722

1.59%

1.55%

1.55%

(1.45)%

0%

38

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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

June

30,

2020,

the

Trust

consists

of

thirty-six

active

series,

two

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

is

to

seek

positive

absolute

returns.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets

and

the

Financial

Highlights

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

and

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

the

Consolidated

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

SUBSIDIARY

NET

ASSETS

AT

JUNE

30,

2020

%

OF

TOTAL

ASSETS

AT

JUNE

30,

2020

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd

...........................................

$

855,341,340

14.5%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd

........................................

59,472,684

13.3%

39

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statements

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Funds’

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statements

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income

:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

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.

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.

Certain

Funds

may

invest

in

other

investment

companies,

including

affiliated

funds,

and,

as

a

result,

indirectly

bear

a

portion

of

the

advisory

and

operating

expenses

incurred

by

these

entities.

Such

expenses

are

not

reflected

in

the

expenses

shown

on

the

Statements

of

Operations

and

are

not

included

in

the

ratios

to

average

net

assets

shown

on

the

Financial

Highlights. 

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

June

30,

2020,

the

Funds

had

no

examinations

in

progress.

For

Federal

tax

purposes,

taxable

income

for

each

Consolidated

Fund

and

its

Subsidiary

are

calculated

separately.

The

Subsidiaries

are

classified

as

controlled

foreign

corporations

(“CFCs”)

under

the

Code

and

each

CFCs

taxable

income

is

included

in

the

calculation

of

the

relevant

Consolidated

Fund’s

taxable

income.

Net

losses

of

the

Subsidiaries

are

not

deductible

by

the

Consolidated

Funds

either

in

the

current

period

or

future

periods.

Each

of

the

CFCs

has

a

fiscal

year

end

of

December

31st

for

financial

statement

consolidation

purposes

and

a

nonconforming

tax

year

end

of

November

30th. 

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

40

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company.

Additionally,

the

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated issuer

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 issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Futures

Contracts:

The

Funds

invest

in

futures

contracts

as

part

of

their

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Funds,

the

Funds

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Funds,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

The

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Swap

Contracts:

The

Funds

engage

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedules

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Total

Return

Swap

Contracts:

The

Funds

invest

in

total

return

swaps

to

obtain

exposure

to

the

underlying

referenced

instruments,

obtain

leverage

or

attain

the

returns

from

ownership

without

actually

owning

the

underlying

position.

Total

return

swaps

are

two-party

contracts

that

generally

obligate

one

party

to

pay

the

positive

return

and

the

other

party

to

pay

the

negative

return

on

a

specified

reference

security,

security

index

or

index

component

during

the

period

of

the

swap.

Total

return

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

net

change

in

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Total

return

swaps

normally

do

not

involve

the

delivery

of

securities

or

other

underlying

assets.

If

the

counterparty

to

a

total

return

swap

contract

defaults,

a

Fund’s

risk

of

loss

consists

of

the

net

amount

of

payments

the

Fund

is

contractually

entitled

to

receive,

if

any.

The

use

of

long

total

return

swap

contracts

subject

the

Funds

to

risk

of

loss

in

excess

of

the

amounts

shown

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

total

return

swaps

subject

the

Funds

to

potential

unlimited

loss.

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

from

the

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

41

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Master

Agreements:

The

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions,

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

the

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Funds

are

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

are

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedules

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statements

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statements

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

the

Funds

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

a

Fund

for

OTC

derivatives

pursuant

to

a

Master

Agreement

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statements

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

a

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund’s

Schedule

of

Investments.

Segregation

of

a

fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

Due

to

brokers

in

the

Statements

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

For

financial

reporting

purposes,

the

Funds

do

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statements

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

42

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

securities

sold

short,

rights,

exchange

options,

warrants,

Exchange-Traded

Funds

(“ETFs”)

and

closed-end

investment

companies,

are

valued

at

the

last

quoted

sales

prices

or

official

closing

prices

taken

from

the

primary

market,

or

composite

in

which

each

security

trades

and

are

therefore

classified

Level

1.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are

also

classified

as

Level

1.

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

43

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

44

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

During

the

period

ended

June

30,

2020,

there

were

no

transfers

to

or

from

Level

3

for

either

of

the

Funds.

There

were

no

Level

3

securities

held

at

period

end. 

Federal

Income

Tax

Matters

At

June

30,

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. 

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

676,982,740

$

3,215,416,004

$

–

$

3,892,398,744

Futures

Contracts*

...............................

70,413,650

–

–

70,413,650

Forward

Foreign

Currency

Exchange

Contracts*

........

–

90,808,602

–

90,808,602

Total

Return

Swaps

Contracts*

......................

–

635,416

–

635,416

Total

Assets

$

747,396,390

$

3,306,860,022

$

–

$

4,054,256,412

LIABILITIES

Futures

Contracts*

...............................

$

(26,865,639)

$

–

$

–

$

(26,865,639)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(127,985,538)

–

(127,985,538)

Total

Return

Swaps

Contracts*

......................

–

(3,543,202)

–

(3,543,202)

Total

Liabilities

$

(26,865,639)

$

(131,528,740)

$

–

$

(158,394,379)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

51,730,612

$

193,077,202

$

–

$

244,807,814

Futures

Contracts*

...............................

7,279,198

–

–

7,279,198

Forward

Foreign

Currency

Exchange

Contracts*

........

–

9,510,359

–

9,510,359

Total

Return

Swaps

Contracts*

......................

–

72,409

–

72,409

Total

Assets

$

59,009,810

$

202,659,970

$

–

$

261,669,780

LIABILITIES

Futures

Contracts*

...............................

$

(2,741,978)

$

–

$

–

$

(2,741,978)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(13,366,167)

–

(13,366,167)

Total

Return

Swaps

Contracts*

......................

–

(332,165)

–

(332,165)

Total

Liabilities

$

(2,741,978)

$

(13,698,332)

$

–

$

(16,440,310)

*

Derivative

instruments,

including

futures,

total

return

swap,

and

forward

foreign

currency

exchange

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Only

current

day’s

variation

swaps

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Managed

Futures

Strategy

Fund

........................

$

3,890,573,497

$

163,777,819

$

(158,489,283)

$

5,288,536

AQR

Managed

Futures

Strategy

HV

Fund

.....................

244,650,377

17,020,220

(16,441,127)

579,093

45

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

As

of

December

31,

2019,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations:

Investment

Transactions

During

the period

ended

June

30,

2020,

there

was

no

cost

of

purchases

or

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments).

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts,

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

June

30,

2020.

FUND

SHORT-TERM

LONG

TERM

AQR

Managed

Futures

Strategy

Fund

...............................................

$

397,460,674

$

525,670,771

AQR

Managed

Futures

Strategy

HV

Fund

............................................

38,881,764

47,192,867

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Equity

Risk

Exposure:

10,224,879

1,023,427

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

$

2,672,249

$

289,451

Swaps

at

Value

(Assets)

.................................................................

7,096

1,075

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(4,633,638)

(471,355)

Swaps

at

Value

(Liabilities)

...............................................................

(2,911,898)

(261,545)

10,224,879

1,023,427

Foreign

Exchange

Rate

Risk

Exposure:

218,794,140

22,876,526

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........................

90,808,602

9,510,359

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

..........................

(127,985,538)

(13,366,167)

218,794,140

22,876,526

Interest

Rate

Risk

Exposure:

36,698,173

3,824,923

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

36,297,618

3,784,335

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(400,551)

(40,582)

36,698,173

3,824,923

Commodity

Risk

Exposure:

54,534,854

5,577,402

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

31,443,783

3,205,416

Swaps

at

Value

(Assets)

.................................................................

628,320

71,334

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(21,831,450)

(2,230,045)

Swaps

at

Value

(Liabilities)

...............................................................

(631,304)

(70,620)

54,534,854

5,577,402

Net

Fair

Value

of

Derivative

Contracts:

(36,621,436)

(3,693,908)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

.....................................

43,548,011

4,537,220

Swaps

at

Value

........................................................................

(2,907,786)

(259,756)

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

...............

(37,176,936)

(3,855,808)

36,621,436

3,693,908

*

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.

46

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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

June

30,

2020:

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(213,907,315)

(21,837,469)

Futures

Contracts

......................................................................

$

(196,596,793)

$

(20,261,129)

Swap

Contracts

.......................................................................

(17,310,522)

(1,576,341)

(213,907,314.65)

(21,837,469.08)

Foreign

Exchange

Rate

Risk

Exposure:

(59,048,217)

(6,501,352)

Forward

Foreign

Currency

Exchange

Contracts

................................................

(59,048,217)

(6,501,352)

(59,048,217)

(6,501,352)

Interest

Rate

Risk

Exposure:

183,037,589

17,948,642

Futures

Contracts

......................................................................

183,037,589

17,948,642

183,037,588.58

17,948,641.52

Commodity

Risk

Exposure:

164,663,792

16,647,460

Futures

Contracts

......................................................................

175,660,670

17,664,845

Swap

Contracts

.......................................................................

(10,996,878)

(1,017,385)

164,663,791.82

16,647,459.69

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

(29,347,075)

(2,787,744)

Futures

Contracts

......................................................................

(7,521,453)

(729,414)

Swap

Contracts

.......................................................................

(21,825,620)

(2,058,331)

29,347,075

2,787,744

Foreign

Exchange

Rate

Risk

Exposure:

32,990,327

3,451,766

Forward

Foreign

Currency

Exchange

Contracts

................................................

(32,990,327)

(3,451,766)

32,990,327

3,451,766

Interest

Rate

Risk

Exposure:

34,785,601

3,665,173

Futures

Contracts

......................................................................

34,785,595

3,665,169

34,785,601

3,665,173

Commodity

Risk

Exposure:

17,047,060

1,527,448

Futures

Contracts

......................................................................

(21,163,225)

(1,909,266)

Swap

Contracts

.......................................................................

4,116,168

381,823

17,047,060

1,527,448

47

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

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

June

30,

2020:

AQR

Managed

Futures

Strategy

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

$90,758,819.

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

$

45,405,809

$

(45,405,809)

$

–

CITI

...........

Total

Return

Swap

Contracts

7,096

(7,096)

–

Total

CITI

45,412,905

(45,412,905)

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

45,402,793

(45,402,793)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

90,815,698

(90,815,698)

–

–

–

–

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

$

63,989,765

$

(45,405,809)

$

18,583,956

CITI

...........

Total

Return

Swap

Contracts

1,431,580

(7,096)

1,424,484

Total

CITI

65,421,345

(45,412,905)

20,008,440

$

–

$

(20,008,440)

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,480,318

–

1,480,318

(1,480,318)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

63,995,773

(45,402,793)

18,592,980

–

(18,592,980)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

130,897,436

(90,815,698)

40,081,738

(1,480,318)

(38,601,420)

–

48

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$2,955,624

and

total

additional

collateral

pledged

was

$20,797,944.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

589,092

$

(64,687)

$

524,405

$

–

$

(524,405)

$

–

SOCG

.........

Total

Return

Swap

Contracts

39,228

–

39,228

–

–

39,228

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

628,320

(64,687)

563,633

–

(524,405)

39,228

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

64,687

$

(64,687)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

507,284

–

507,284

(507,284)

–

–

MACQ

.........

Total

Return

Swap

Contracts

31,353

–

31,353

–

–

31,353

MLIN

..........

Total

Return

Swap

Contracts

27,980

–

27,980

–

–

27,980

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

631,304

(64,687)

566,617

(507,284)

–

59,333

49

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Managed

Futures

Strategy

HV

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

$7,534,489.

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

$

4,755,340

$

(4,755,340)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,075

(1,075)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

4,755,019

(4,755,019)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

9,511,434

(9,511,434)

–

–

–

–

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

$

6,682,776

$

(4,755,340)

$

1,927,436

$

–

$

(1,927,436)

$

–

GSIN

..........

Total

Return

Swap

Contracts

181,130

(1,075)

180,055

(180,055)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

6,683,391

(4,755,019)

1,928,372

–

(1,928,372)

–

MLIN

..........

Total

Return

Swap

Contracts

80,415

–

80,415

–

(80,415)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

13,627,712

(9,511,434)

4,116,278

(180,055)

(3,936,223)

–

50

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$238,450

and

total

additional

collateral

pledged

was

$2,134,160.

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

59,157

$

(7,689)

$

51,468

$

–

$

(51,468)

$

–

GSIN

..........

Total

Return

Swap

Contracts

7,640

(7,640)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

4,537

–

4,537

–

–

4,537

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

71,334

(15,329)

56,005

–

(51,468)

4,537

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Total

Return

Swap

Contracts

$

7,689

$

(7,689)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

54,733

(7,640)

47,093

(47,093)

–

–

MACQ

.........

Total

Return

Swap

Contracts

8,198

–

8,198

–

–

8,198

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

70,620

(15,329)

55,291

(47,093)

–

8,198

51

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

For

the period

ended

June

30,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended,

entered

into

by

the

Trust,

on

behalf

of

the

Funds (the

“Investment

Management

Agreement”).

Under

the

Investment

Management

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the Advisory Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

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

all

Fund

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

15,967,118,282

$

1,655,093,872

Average

Notional

Balance

-

Short

2,345,054,536

230,606,868

Ending

Notional

Balance

-

Long

30,728,090,334

3,213,405,515

Ending

Notional

Balance

-

Short

1,766,030,103

184,385,430

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

9,623,608,982

956,436,148

Average

Settlement

Value

-

Sold

9,968,032,612

995,526,108

Ending

Value

-

Purchased

8,409,522,674

873,859,383

Ending

Value

-

Sold

9,135,643,777

949,751,659

Total

Return

Swaps:

Average

Notional

Balance

-

Long

426,217,884

41,013,236

Average

Notional

Balance

-

Short

289,126,006

28,337,714

Ending

Notional

Balance

-

Long

294,168,129

30,211,774

Ending

Notional

Balance

-

Short

191,163,019

19,984,782

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

FUND

RATIO

AQR

Managed

Futures

Strategy

Fund

......................................................................

1.05%

AQR

Managed

Futures

Strategy

HV

Fund

...................................................................

1.45

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Managed

Futures

Strategy

Fund

..................................................

0.20

%

0.20

%

0.10

%

AQR

Managed

Futures

Strategy

HV

Fund

...............................................

0.20

0.20

0.10

52

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

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

June

30,

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 June

30,

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

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

The

Funds

are

non-diversified.

Because

the

Funds

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Funds

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Funds’

performance.

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

Exposure

to

the

commodities

markets

may

subject

a

Fund

to

greater

volatility

than

investments

in

traditional

securities.

The

value

of

commodity-linked

derivative

investments

and

exchange-traded

notes

may

be

affected

by

changes

in

overall

market

movements,

commodity

index

volatility,

changes

in

interest

rates,

or

factors

affecting

a

particular

industry

or

commodity. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

POTENTIAL

AMOUNTS

EXP

RECOUPMENT

IRING

JUNE

30

,

JUNE

30,

2020

JUNE

30,

2020

20

20

20

21

20

22

20

23

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

................

$

55,415

$

203,533

$

–

$

28,563

$

119,555

$

55,415

Class

N

................

11,393

47,586

–

7,022

29,171

11,393

Class

R6

...............

34,652

129,770

–

23,019

72,099

34,652

Totals

$

101,460

$

380,889

$

–

$

58,604

$

220,825

$

101,460

53

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

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.

In

addition

to

market

risk,

the

Funds

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Funds’

portfolios

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

Certain

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary.

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Funds

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Funds’

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statements

of

Assets

and

Liabilities.

The

counterparties

to

the

Funds’

derivative

investments

may

include

affiliates

of

the

Funds’

clearing

brokers

and

other

major

financial

institutions.

While

the

Funds

use

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Funds

minimize

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

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. 

54

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund’s

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

The

Funds,

at

times,

utilize

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Funds’

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Funds.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

June

30,

2020

by

any

of

the

Funds

in

the

Trust. 

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

....................................

$

2,452,000

65

$

6,184

55

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Semi-Annual

Report

|

June

2020

June

30,

2020

(Unaudited)

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

all

funds

within

the

Trust,

with

the

exception

of

the

AQR

Diversifying

Strategies

Fund, 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 June

30,

2020 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the period

ended

June

30,

2020. 

Principal

Ownership

As

of

June

30,

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.

New

Accounting

Pronouncements

and

Regulations 

In

March

2020,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2020-04

(“ASU

2020-04”),

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

ASU

2020-04

provides

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued.

ASU

2020-04

is

elective

and

is

effective

for

certain

reference

rate-

related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

is

currently

evaluating

the

impact,

if

any,

of

applying

ASU

2020-04.

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

Managed

Futures

Strategy

Fund

........................................

4

70.74%

AQR

Managed

Futures

Strategy

HV

Fund

.....................................

3

90.99%

56

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

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

6/30/2020”

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

  6/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        6/30/20

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,004.80

1.24%

$6.18

Hypothetical

Return

$1,000.00

$1,018.70

1.24%

$6.22

Class

N

Actual

Return

$1,000.00

$1,003.70

1.49%

$7.42

Hypothetical

Return

$1,000.00

$1,017.45

1.49%

$7.47

Class

R6

Actual

Return

$1,000.00

$1,004.80

1.14%

$5.68

Hypothetical

Return

$1,000.00

$1,019.19

1.14%

$5.72

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$1,002.60

1.66%

$8.27

Hypothetical

Return

$1,000.00

$1,016.61

1.66%

$8.32

Class

N

Actual

Return

$1,000.00

$1,002.60

1.91%

$9.51

Hypothetical

Return

$1,000.00

$1,015.37

1.91%

$9.57

Class

R6

Actual

Return

$1,000.00

$1,003.90

1.56%

$7.77

Hypothetical

Return

$1,000.00

$1,017.11

1.56%

$7.82

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

182/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

57

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

held

a

telephonic

meeting

on

May

18,

20

and

21,

2020

(the

“Meeting”)

to

consider

the

continuation

of

the

Third

Amended

and

Restated

Investment

Management

Agreement,

as

amended,

between

AQR

Capital

Management,

LLC

(“AQR”)

and

the

Trust

on

behalf

of

the

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund

and

certain

other

series

of

the

Trust

(the

“Management

Agreement”).

Each

of

the

aforementioned

series

of

the

Trust

may

be

referred

to

herein

as

a

“Fund”

and

collectively,

the

“Funds.”

At

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section 15(c)

of

the

1940

Act,

the

Board

requested

and

considered

materials

furnished

by

AQR

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

continuation

of

the

Management

Agreement.

These

materials

included:

(i) memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

provided

to

the

Funds;

(ii) performance

information

for

the

Funds

relevant

to

the

consideration

of

the

Management

Agreement;

(iii) information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

Funds’

fees

and

expenses

and

performance

relative

to

peers

within

Morningstar

fund

categories;

(iv) financial

information

for

AQR

and

a

profitability

analysis

showing

AQR’s

profitability

from

providing

services

to

the

Funds;

and

(v) a

discussion

of

the

compliance

program

of

AQR

and

the

regulatory

exam

history

of

AQR.

At

the

Meeting,

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Management

Agreement

for

an

additional

one-year

period

for

each

Fund.

In

approving

the

continuation

of

the

Management

Agreement

for

a

Fund,

the

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

Fund,

including,

among

other

factors:

(a) the

nature,

extent

and

quality

of

the

services

provided

by

AQR;

(b) the

investment

performance

of

the

Fund

and

AQR’s

portfolio

management;

(c) the

management

fee

and

the

cost

of

the

services

provided

and

profits

realized

by

AQR

from

the

relationship

with

the

Funds

and

the

fund

complex;

(d) economies

of

scale;

(e)

fall-out

benefits;

and

(f) other

factors.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

AQR’s

services

related

to

the

valuation

and

pricing

of

the

Funds’

portfolio

holdings,

direct

and

indirect

benefits

to

AQR

and

its

affiliates

from

their

relationship

with

the

Funds

and

advice

from

independent

legal

counsel

with

respect

to

the

review

process

and

materials

submitted

for

the

Board’s

consideration.

The

Board

did

not

identify

any

particular

information

as

controlling,

and

each

Board

Member

may

have

attributed

different

weightings

to

the

various

items

considered.

In

considering

the

renewal

of

the

Management

Agreement

for

each

Fund,

the

Board

did

not

view

the

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Management

Agreement

against

AQR.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Management

Agreement:

The

Nature,

Extent

and

Quality

of

the

Services

Provided

by

AQR.

The

Board

Members

reviewed

the

services

that

AQR

provided

to

the

Funds

under

the

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

AQR’s

staff,

its

use

of

technology,

and

the

Funds’

stated

investment

objectives,

strategies

and

processes.

In

connection

with

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

took

into

account

discussions

they

had

regularly

as

part

of

quarterly

Board

meetings

with

representatives

of

AQR

regarding

the

management

of

each

Fund’s

investments

in

accordance

with

the

Funds’

stated

investment

objectives

and

policies

and

the

types

of

transactions

that

are

entered

into

on

behalf

of

the

Funds.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

AQR

regarding

the

formulation

and

implementation

of

the

Funds’

investment

strategies,

their

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

considered

that

AQR

also

provides

shareholder

and

administrative

services,

provides

oversight

of

Fund

accounting,

provides

risk

management,

provides

compliance

oversight,

administers

the

Funds’

liquidity

risk

management

program,

oversees

third

party

service

providers

and

provides

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

Funds.

In

particular,

the

Board

Members

considered

the

compliance,

shareholder

and

administrative

services

provided

to

the

Funds

by

AQR

under

the

Management

Agreement.

The

Board

Members

recognized

the

enterprise

risk

involved

in

providing

services

to

the

Funds

over

time.

Finally,

the

Independent

Board

Members

had

several

opportunities

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meetings

and

their

familiarity

gained

through

regular

Board

presentations

over

time,

the

Board

concluded

that

the

services

provided

to

the

Funds

by

AQR

pursuant

to

the

Management

Agreement

were

of

a

high

quality

and

benefit

the

Funds.

Investment

Performance

of

the

Funds

and

AQR’s

Portfolio

Management

.

The

Board

considered

the

investment

performance

of

each

Fund.

In

particular,

the

Independent

Board

Members

considered

the

investment

performance

of

the

Funds

relative

to

their

stated

objectives

and

AQR’s

efforts

to

achieve

such

goals

as

well

as

the

performance

of

the

Funds

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Performance

Peers”).

The

Board

was

cognizant

of

the

fact

that

Fund

performance

was

challenged

over

the

one-year,

three-

and

five-year

periods

ended

December

31,

2019,

which

had

been

discussed

with

AQR

at

Board

meetings

during

the

year.

AQR’s

presentations

to

the

Board

at

such

Board

meetings,

which

addressed

in

detail

the

drivers

of

underperformance,

supported

a

conclusion

that

the

Funds

were

being

managed

consistent

with

their

stated

policies

and

strategies.

The

Board

also

noted

significant

redemptions

from

the

Funds

over

recent

years

due

to

underperformance.

The

Board

considered

that

Broadridge

comparisons

may

be

of

limited

use

due

to

the

differences

between

the

way

the

Funds

are

managed

from

other

funds

in

the

Morningstar

managed

futures

category

and

peer

group,

noting

that

underperformance

in

relation

to

Performance

Peers

may

be

due

to

differences

in

a

Fund’s

investment

parameters

compared

to

its

peer

funds,

including

risk

limits,

volatility

targets,

and

each

Fund’s

investment

universe.

In

addition,

the

use

of

drawdown

control

and

internal

risk

protections

may

affect

a

Fund’s

performance

in

relation

to

its

Performance

Peers.

AQR

also

informed

the

Board

that

many

Performance

Peers

use

strategies

in

addition

to

trend-following,

which

further

distinguishes

them

from

the

Funds.

Finally,

because

the

AQR

Managed

Futures

Strategy

HV

Fund

is

managed

with

a

higher

volatility

level,

its

performance

was

more

adversely

impacted.

The

Board

also

considered

AQR’s

performance

in

managing

other

registered

investment

companies

and

private

funds,

noting

that

other

funds

AQR

manages

might

have

investment

objectives,

policies

or

restrictions

different

from

those

of

the

Funds.

Based

on

these

factors,

the

Board

Members

determined

that

the

performance

of

each

Fund

is

consistent

with

its

stated

objectives

and

strategies

and

AQR’s

investment

process.

58

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

Realized

by

AQR

from

the

Relationship

with

the

Funds.

The

Board,

including

the

Independent

Board

Members,

received

information

regarding

the

management

fees

paid

by

the

Funds

to

AQR

pursuant

to

the

Management

Agreement.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

provided

to

the

Funds

and

the

costs

incurred

by

and

benefits

to

AQR

in

providing

those

services,

and

other

relevant

factors.

To

assist

in

this

analysis,

the

Board

reviewed

comparative

fee

and

expense

information

for

each

Fund

relative

to

the

funds

identified

by

Broadridge

as

their

peers

(the

“Expense

Peers”),

including

comparisons

of

contractual

management

fees

and

actual

net

expenses.

The

Board

noted

each

Fund’s

rankings

compared

to

its

Expense

Peers

as

of

December

31,

2019:

(i)

the

AQR

Managed

Futures

Strategy

Fund’s

net

expense

ratio

was

lower

than

the

median

amount

for

its

Expense

Peers;

and

(ii)

the

AQR

Managed

Futures

Strategy

HV

Fund’s

net

expense

ratio

was

higher

than

the

median

amount

for

its

Expense

Peers.

The

Board

was

aware

that

the

AQR

Managed

Futures

Strategy

HV

Fund

has

a

higher

expense

ratio

and

management

fee

than

the

AQR

Managed

Futures

Strategy

Fund

in

light

of

its

higher

volatility

approach.

The

Board

also

reviewed

information

regarding

the

fees

AQR

charges

for

other

funds

and

accounts

managed

by

AQR,

including

sub-advised

mutual

funds,

with

similar

investment

strategies

to

the

Funds.

The

Board

noted

the

greater

services

provided

by

AQR

to

the

Funds

in

contrast

to

the

limited

role

of

AQR

when

it

sub-advises

third

party

mutual

funds

or

advises

separate

accounts

or

hedge

funds.

The

Board

also

received

and

reviewed

information

regarding

the

profitability

of

AQR

with

respect

to

Fund-related

activities.

AQR

provided

the

Board

Members

with

a

detailed

description

of

the

methodology

and

inputs

used

to

determine

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

AQR,

the

types

of

funds

managed,

costs

of

recruiting

and

retaining

personnel,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

AQR’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

Funds

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

management

fees

under

the

Management

Agreement

are

reasonable

and

AQR’s

profitability

was

not

excessive.

Economies

of

Scale.

AQR

provided

the

Board

with

information

concerning

the

extent

to

which

economies

of

scale

were

realized

as

the

Funds

grew

and

whether

fee

levels

were

reflective

of

such

economies

of

scale.

To

show

that

economies

are

being

shared,

AQR

presented

information

regarding

each

Fund’s

management

fees

relative

to

comparable

funds

of

similar

and/or

larger

sizes,

showing

that

management

fees

were

set

at

a

competitive

level.

It

also

provided

Morningstar

data

for

the

purpose

of

showing

the

hypothetical

effective

management

fee

for

each

Fund

at

higher

asset

levels

compared

to

its

peers,

some

of

which

have

breakpoints.

The

Board

considered

this

information

in

determining

the

reasonableness

of

continuing

to

operate

each

Fund

without

management

fee

breakpoints

at

the

Fund’s

current

asset

level.

The

Board

recognized

that

economies

were

also

being

shared

through

the

expense

limitation

agreements

for

the

Funds.

The

Board

noted

that,

under

the

Management

Agreement,

neither

of

the

Funds

have

breakpoints

in

their

management

fees

that

would

allow

investors

to

benefit

directly

in

the

form

of

lower

fees

as

fund

assets

grew.

The

Board

considered

that

the

funds

in

the

AQR

fund

complex

share

some

common

resources

and,

as

a

result,

an

increase

in

the

overall

size

of

the

complex

could

permit

each

Fund

to

incur

lower

expenses

than

it

would

otherwise

as

a

stand-alone

entity.

The

Board

also

considered

AQR’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

In

particular,

the

Board

noted

the

continuing

enhancements

to

AQR’s

services

to

the

Funds

in

areas

such

as

compliance,

portfolio

management,

technology

and

administration.

AQR

advised

that

its

size

as

a

firm

has

resulted

in

additional

benefits

to

the

AQR

Funds,

such

as

the

ability

to

negotiate

better

terms

with

service

providers,

to

undertake

securities

lending

activities

and

to

establish

a

dedicated

money

market

fund

for

the

AQR

Funds.

The

principals

of

AQR

have

also

provided

seed

capital

in

excess

of

regulatory

minimums

for

extended

periods.

AQR

also

discussed

that

it

had

undertaken

to

rely

on

Rule

30e-3

under

the

1940

Act

to

potentially

reduce

charges

related

to

printing

and

mailing

costs

for

shareholder

reports.

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

AQR

or

its

affiliates

may

derive

from

its

relationship

with

the

Funds,

both

tangible

and

intangible,

noting

that

no

payments

are

received

by

AQR

from

the

Funds

beyond

the

fees

under

the

Management

Agreement.

The

Board

was

advised

by

AQR

that

AQR

may

obtain

greater

exposure

to

the

public

as

a

result

of

managing

the

AQR

Funds,

which

could

lead

to

additional

business

opportunities,

such

as

unregistered

fund

investments,

separately

managed

account

opportunities

or

sub-advisory

mandates.

AQR

may

also

obtain

reputational

benefits.

AQR

may

also

obtain

economic

benefit

from

its

sponsorship/management

of

both

the

Funds

and

other

funds

or

accounts

with

respect

to

the

potential

economic

leverage

of

its

service

provider

relationships.

The

Board

also

received

information

regarding

AQR’s

brokerage

and

soft

dollar

practices,

noting

that

AQR

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-party

research.

The

Board

considered

that

AQR

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

Funds,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

investment

management

agreements.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

all

of

the

Board

Members,

including

all

of

the

Independent

Board

Members,

concluded

that

the

management

fee

rates

under

the

Management

Agreement

are

reasonable

in

relation

to

the

services

provided

by

AQR

to

the

Funds,

as

well

as

the

costs

incurred

and

benefits

to

be

gained

by

AQR

in

providing

such

services,

including

the

investment advisory

and

administrative

components.

The

Board

also

found

the

investment

management

fees

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds.

As

a

result,

all

of

the

Board

Members,

including

the

Independent

Board

Members

voting

separately,

approved

the

continuation

of

the

Management

Agreement

with

respect

to

each

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

59

Liquidity

Risk

Management

Program

(Unaudited)

AQR

Funds

|

Semi-Annual

Report

|

June

2020

The

U.S.

Securities

and

Exchange

Commission

adopted

Rule

22e-4

under

the

Investment

Company

Act

of

1940

(the

“Liquidity

Rule”),

which

requires

the

AQR

Funds

(the

“Trust”)

to

adopt

and

implement

a

program

reasonably

designed

to

assess

and

manage

the

“liquidity

risk”

of

each

series

of

the

Trust

(the

“Funds”).

Pursuant

to

the

Liquidity

Rule,

“liquidity

risk”

is

defined

as

the

risk

that

a

Fund

could

not

meet

requests

to

redeem

shares

issued

by

the

Fund

without

significant

dilution

of

remaining

investors’

interests

in

the

Fund.

The

Trust,

on

behalf

of

each

Fund,

has

adopted

and

implemented

a

liquidity

risk

management

program

in

accordance

with

the

Liquidity

Rule

(the

“Program”).

The

Trust’s

Board

of

Trustees

(the

“Board”)

has

designated

AQR

Capital

Management,

LLC,

investment

adviser

to

each

Fund

(“AQR”),

as

the

administrator

of

the

Program

(“Program

Administrator”)

for

each

Fund.

The

Program

Administrator

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Program.

As

part

of

the

Program,

the

Program

Administrator

identifies

illiquid

investments,

categorizes

the

relative

liquidity

of

the

Funds’

investments

in

accordance

with

the

Liquidity

Rule

and

assesses,

manages,

and

periodically

reviews

the

Funds’

liquidity

risk.

Among

other

things,

the

Liquidity

Rule

requires

that

a

written

report

be

provided

by

the

Program

Administrator

to

the

Board

on

an

annual

basis

that

addresses

the

operation

of

the

Program

and

assesses

the

adequacy

and

effectiveness

of

its

implementation,

including

the

operation

of

any

Highly

Liquidity

Investment

Minimum

(“HLIM”)

established

for

a

Fund,

if

any,

and

any

material

changes

to

the

Program.

At

a

meeting

of

the

Board

held

on

May

20,

2020,

the

Board

reviewed

AQR’s

written

report

(the

“Report”)

concerning

the

operation,

adequacy

and

effectiveness

of

the

Program

for

the

period

from

April

1,

2019

through

March

31,

2020

(the

“Reporting

Period”).

The

Report

summarized

the

operation

of

the

Program

and

the

practices

implemented,

and

the

information

and

factors

considered

by

AQR

in

assessing

whether

the

Program

has

been

adequately

and

effectively

implemented

with

respect

to

each

Fund.

Such

practices,

information

and

factors

included,

among

other

things:

1)

An

overview

of

AQR’s

practices

with

respect

to

the

assessment,

management

and

periodic

review

of

each

Fund’s

liquidity

risk;

2)

A

summary

of

material

changes

or

findings

with

respect

to

the

Program,

if

any,

during

the

Reporting

Period;

3)

A

review

of

the

inputs

and

outputs

utilized

in

connection

with

the

Program,

particularly

the

methodologies

used

and

metrics

analyzed;

4)

A

summary

of

the

Funds’

compliance

with

the

requirements

under

the

Liquidity

Rule

and

the

Program,

including,

among

other

things,

the

15%

limit

on

investments

in

illiquid

investments

and

monitoring

of

highly

liquid

investments

to

determine

whether

the

Fund

is

required

to

set

a

highly

liquid

investment

minimum;

5)

An

overview

of

the

Funds’

other

sources

of

liquidity

(e.g.,

credit

facility

and

inter-fund

borrowing);

and

6)

An

overall

assessment

of

the

effectiveness

of

the

Program

with

respect

to

managing

each

Fund’s

liquidity

risk,

including,

among

other

things

assessing

whether

the

Fund’s

strategy

remains

appropriate

for

an

open-end

fund

structure.

Based

on

the

above

information

and

factors,

among

others,

the

Program

Administrator

has

concluded,

and

reported

to

the

Board,

that

the

Program

is

reasonably

designed

to

assess

and

manage

the

Funds’

liquidity

risk

and

has

been

implemented

and

is

operating

effectively.

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/ Ted Pyne

-----------------------------------

Ted Pyne,

Principal Executive Officer  

August 24, 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/ Ted Pyne

----------------------------------

Ted Pyne,

Principal Executive Officer

August 24, 2020

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

August 24, 2020