N-CSR

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 December 31, 2020

Item 1. Reports to Shareholders.

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

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report.  Not Applicable.

Effective

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

no

longer

mail

paper

copies

of

the

Funds'

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

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

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds'

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Annual

Report

December

31,

2020

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

Risk-Balanced

Commodities

Strategy

Fund

AQR

Risk

Parity

II

MV

Fund

AQR

Style

Premia

Alternative

Fund

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Alternative

Risk

Premia

Fund

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

2

AQR

Diversified

Arbitrage

Fund

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

4

AQR

Diversifying

Strategies

Fund

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

8

AQR

Equity

Market

Neutral

Fund

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

10

AQR

Global

Macro

Fund

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

12

AQR

Long-Short

Equity

Fund

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

15

AQR

Multi-Asset

Fund

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

18

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

20

AQR

Risk

Parity

II

MV

Fund

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

22

AQR

Style

Premia

Alternative

Fund

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

24

Schedule

of

Investments

AQR

Alternative

Risk

Premia

Fund

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

27

AQR

Diversified

Arbitrage

Fund

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

45

AQR

Diversifying

Strategies

Fund

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

70

AQR

Equity

Market

Neutral

Fund

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

71

AQR

Global

Macro

Fund

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

92

AQR

Long-Short

Equity

Fund

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

103

AQR

Multi-Asset

Fund

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

130

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

147

AQR

Risk

Parity

II

MV

Fund

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

157

AQR

Style

Premia

Alternative

Fund

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

164

Financial

Statements

and

Notes

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

194

Report

of

Independent

Registered

Public

Accounting

Firm

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

270

Other

Federal

Tax

Information

(Unaudited)

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

271

Fund

Expense

Examples

(Unaudited)

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

272

Trustees

and

Officers

(Unaudited)

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

275

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

2

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Alternative

Risk

Premia

Fund

(the

“Fund”)

returned

-21.04%,

net

of

fees,

(Class

I

shares)

in

2020.

For

the

year

ended

December

31,

2020,

the

Fund

realized

8.2%

annualized

daily

volatility

and

a

0.3

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index

SM

,

which

is

the

Fund’s

benchmark

returned

0.67%

over

that

same

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

During

the

2020

fiscal

year,

the

Fund

invested

in

four

different

asset

groups,

including

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds,

and

currencies.

The

Fund

employed

market-neutral

and

long-short

strategies

across

these

asset

groups

based

on

six

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Trend

-

The

tendency

for

an

asset’s

recent

performance

to

continue

in

the

future

Volatility

-

The

tendency

for

options

to

be

richly

priced

Losses

taken

in

three

out

of

the

four

fiscal

quarters

were

driven

by

the

Stocks

and

Industries

asset

group,

with

the

other

three

more

macro

related

asset

groups

accounting

for

the

remaining

quarter.

Performance

for

the

macro

asset

groups

was

challenging

in

the

first

half

of

the

year,

in

part

due

to

the

manner.

The

tendency

for

options

to

be

richly

priced

in

volatility

associated

with

the

environment.

Given

the

Fund's

target

of

low

correlation

to

traditional

markets,

the

impact

of

the

evolving

COVID

19

pandemic

on

aggregate

direction

of

traditional

markets

had

a

minimal

influence

on

the

Fund's

performance.

Performance

in

these

asset

groups

partially

recovered

over

the

second

half

of

the

year.

Five

of

the

six

styles

detracted

with

Value

responsible

for

the

largest

losses,

while

Carry,

Trend,

Defensive,

and

Volatility

added

further

losses.

Momentum

was

the

sole

positive

performing

style,

contributing

positively

in

each

of

the

four

asset

groups.

Value

losses

were

overwhelmingly

driven

by

performance

in

Stocks

and

Industries.

Losses

in

Carry

were

driven

by

a

combination

of

Fixed

Income

and

Currencies,

Trend

detracted

in

both

Currencies

and

Equity

Indices,

while

Defensive

losses

were

split

between

Equity

Indices

and

Fixed

Income.

Lastly,

Volatility

losses

occurred

in

both

Equity

Indices

and

Fixed

Income.

At

the

intersection

of

this

performance

summary

is

Value

in

Stocks

and

Industries,

which

accounted

for

a

large

proportion

of

the

year’s

losses.

Value

applied

to

single

stocks

continued

its

multi-year

slide

throughout

much

of

2020.

Although

this

multi-year

Value

drawdown

and

its

impact

on

the

Fund’s

aggregate

performance

has

been

prolonged

and

painful,

AQR’s

research

continues

to

show

that

Value’s

losses

are

due

to

a

temporary

disconnect

between

prices

and

fundamentals.

Investors

are

demanding

stocks

with

long-term

growth

forecasts,

seemingly

without

concern

for

the

price

paid

for

those

securities.

As

has

been

the

case

with

similar

value

bubbles

in

the

past,

most

notably

the

technology

bubble

of

the

late

1990’s,

the

expectation

is

that

performance

for

Value

will

rebound

meaningfully

when

the

bubble

bursts.

Ronen

Israel

Principal

Ari

Levine

Principal

Nathan

Sosner

Principal

Yao

Hua

Ooi

Principal

3

Shareholder

Letter

(Unaudited)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

3.63%,

3.88%

and

3.54%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

09/19/2017

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

ALTERNATIVE

RISK

PREMIA

FUND

1

Year

3

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRPIX

-21.04%*

-10.85%

-9.93%

9/19/2017

Fund

-

Class

N:

QRPNX

-21.20%

-11.06%

-10.13%

9/19/2017

Fund

-

Class

R6:

QRPRX

-20.90%

-10.75%

-9.82%

9/19/2017

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.56%

9/19/2017

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

4

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Diversified

Arbitrage

Fund

(the

“Fund”)

invests

in

arbitrage

strategies,

including

merger

arbitrage,

convertible

arbitrage,

and

event-driven

strategies.

The

investment

process

seeks

to

capture

a

liquidity

premium

around

corporate

control

and

capital

raising

events,

while

maintaining

a

highly

diversified

portfolio

of

corporate

securities

with

low

exposure

to

other

risk

premia.

Over

the

2020

calendar

year,

the

Fund

returned

25.21%,

net

of

fees,

with

positive

contributions

from

all

three

major

strategy

buckets.

The

event-

driven

strategy

led

the

way

(16.8%)

followed

by

convertible

arbitrage

(8.1%)

and

merger

arbitrage

(0.3%).

A

discussion

of

specific

performance

drivers

for

each

of

the

three

core

strategies

is

included

below.

Since

its

inception

on

January

15,

2009,

the

Fund’s

correlation

with

overall

equity

and

credit

markets

remains

low.

Based

on

monthly

returns

since

inception

through

December

31,

2020,

the

Fund’s

equity

market

beta

(relative

to

the

S&P

500

Total

Return

Index®)

is

0.15,

its

annualized

volatility

is

4.9%

and

its

Sharpe

ratio

is

0.84.

Use

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Fund

Description

Unlike

the

textbook

definition

of

arbitrage

that

requires

no

capital

and

where

identical

securities

can

simultaneously

be

bought

and

sold

for

different

prices,

corporate

arbitrage

investments

require

significant

capital

and

involve

the

purchase

and

sale

of

related

but

not

identical

securities

at

advantageous

prices.

For

example,

in

merger

arbitrage,

the

target

stock

can

often

be

purchased

for

a

price

that

is

less

than

the

merger

consideration

offered

by

the

acquiring

company.

Arbitrageurs

attempt

to

capture

this

difference

by

buying

the

target

stock,

and

in

the

case

of

a

stock

merger,

selling

short

the

acquirer’s

stock.

Similarly,

in

the

case

of

convertible

arbitrage,

investors

typically

purchase

a

convertible

bond

at

a

price

below

fundamental

value

and

hedge

the

risk

of

the

underlying

equity

call

option

that

is

embedded

in

the

bond

by

selling

short

the

issuer’s

common

stock.

Arbitrageurs

generally

profit

when

the

prices

of

securities

purchased

increase

relative

to

their

fundamental

values.

Like

merger

arbitrage

and

convertible

arbitrage,

the

event-driven

strategies

employed

by

the

Fund

involve

the

purchase

of

securities

around

corporate

events

at

discounts

to

their

fundamental

values.

For

most

of

the

investments,

an

attempt

is

made

to

mitigate

the

embedded

systematic

risk

via

hedging.

Where

there

is

no

direct

hedge

for

a

particular

security,

correlated

indirect

hedges

are

employed.

For

example,

systematic

equity

market

risk

is

hedged

by

shorting

S&P

500

futures.

Similarly,

for

example,

credit

and

interest

rate

risks

are

hedged

using

derivative

contracts

(credit

default

swap

indices

and

Treasury

futures).

Although

indirect

hedges

can

effectively

mitigate

systematic

risk

(e.g.

beta)

on

average,

they

expose

the

Fund

to

basis

risk—

the

basket

of

securities

purchased

around

corporate

events

does

not

necessarily

move

in

lockstep

with

the

hedging

instruments.

Performance

Attribution

Over

a

long

horizon,

we

expect

arbitrage

returns

to

have

a

low

correlation

to

equity

and

credit

market

returns

and

exceed

short-term

Treasury

bill

returns

by

3.0%

to

4.0%

on

average.

In

some

years,

like

2014,

arbitrage

strategies

generate

returns

that

are

below

expectations.

In

other

years,

as

in

2020,

arbitrage

strategies

generate

returns

that

are

significantly

greater

than

the

long-run

expected

average.

Years

with

significant

outperformance

often

follow

severe

market

dislocations,

like

we

experienced

in

March,

which

can

create

favorable

market

conditions

for

arbitrage

strategies.

Since

its

inception

in

2009,

the

Fund

has

returned

an

annualized

average

return

of

4.1%

above

the

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

which

is

in-line

with

expectations.

Event-Driven

The

event-driven

strategy

contributed

16.8%

to

the

Fund’s

return

in

2020,

which

was

the

largest

of

the

three

core

strategy

buckets.

The

Special

Purpose

Acquisition

Companies

(“SPAC”)

sub-strategy

was

the

largest

contributor

(17.1%),

with

the

Closed-End

Fund

(“CEF”)

(0.95%)

and

corporate

events

and

specialty

arbitrage

(0.10%)

sub-strategies

also

contributing

positive

returns.

Not

all

the

event-driven

sub-strategies

made

positive

contributions,

however,

as

event-driven

credit

(-0.77%),

stubs

(-0.36%),

and

spinoffs

(-0.20%)

detracted

from

performance

during

the

year.

Ronen

Israel

Principal

Lars

Nielsen

Principal

Mark

Mitchell,

Ph.D.

Founding

Principal,

CNH

Partners

Todd

Pulvino,

Ph.D.

Founding

Principal,

CNH

Partners

Rocky

Bryant

Principal,

CNH

Partners

5

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2020

The

SPAC

sub-strategy

benefited

from

a

combination

of

a

record

setting

SPAC

Initial

Public

Offering

(“IPO”)

market,

an

explosion

of

successful

deal-making,

and

an

increase

in

investor

demand

for

the

product.

The

record

setting

pace

of

new

issuance

for

SPACs

in

2020

saw

251

new

SPAC

IPOs

raise

$83

billion,

exceeding

the

total

cumulative

historical

proceeds

raised

by

the

SPAC

market,

enabling

the

Fund

to

increase

its

allocation

to

the

SPAC

sub-strategy

over

the

course

of

the

year.

The

Fund

subsequently

benefitted

from

this

increased

exposure

as

there

were

limited

liquidations

(<1%)

and

numerous

successful

de-spacings,

particularly

those

focused

on

electric

vehicles

and

autonomous

driving,

which

generated

significant

gains

to

the

Fund.

Positive

returns

from

these

successful

de-spacings,

as

well

as

the

growth

of

the

universe,

brought

increased

investor

interest

to

the

SPAC

market,

which

pushed

the

medium

spread-to-trust

from

a

0.93%

discount

at

the

end

2019

to

a

2.39%

premium

at

the

end

of

2020.

The

CEF

sub-strategy

benefited

from

a

tactical

overweight

taken

in

March,

which

the

Fund

initiated

following

extreme

dislocations

during

the

peak

of

COVID-19

crisis.

From

the

end

of

February

to

the

peak

of

the

drawdown

on

March

19

median

discounts

widened

across

all

CEF

fund

types;

equity

CEFs

went

from

-9.3%

to

-20.8%,

credit

CEFs

went

from

-8.2%

to

-24.3%,

and

municipal

bond

CEFs

went

from

-8.2%

to

-21.9%.

Although

CEF

discounts

were

attractive,

so

were

convertible

bond

valuations

and

SPAC

investments.

As

a

result,

and

also

because

it

can

be

difficult

to

build

large

positions

in

CEFs,

only

4%

of

the

Fund’s

capital

was

committed

to

this

strategy.

Because

of

the

small

amount

of

capital

committed,

the

tactical

overweight

to

CEFs

resulted

in

a

modest

contribution

to

the

Fund

(0.56%)

as

these

dislocations

normalized

by

the

end

of

the

second

quarter.

As

part

of

the

Fund’s

strategic

positioning

in

2020,

the

Fund’s

portfolio

management

team

decided

to

narrow

its

strategy

focus.

Positions

in

certain

event-driven

strategies

were

unwound

resulting

in

the

Fund

monetizing

losses

in

some

positions.

For

example,

the

Fund

liquidated

all

positions

in

the

Spinoff

strategy

during

early

March

based

on

the

view

that

other

arbitrage

strategies

had

higher

probabilities

of

recovery

following

the

end

of

March’s

forced

de-leveraging

events.

Similarly,

to

take

advantage

of

the

accelerating

capital

markets

activity

in

SPACs

and

convertible

bonds,

the

Fund

unwound

several

event-driven

credit

positions

during

the

second

quarter,

when

distressed

positions

in

retail

and

energy

were

being

hard

hit

by

lockdowns.

Convertible

Arbitrage

Convertible

arbitrage

contributed

8.1%

to

the

Fund’s

return

in

2020.

Positive

returns

can

be

primarily

attributed

to

the

Fund’s

ability

to

purchase

cheap

convertible

bonds

and

sell

rich

bonds

throughout

the

year.

The

2020

U.S.

convertible

new-issuance

market

set

a

record

$114

billion

in

terms

of

dollars

raised

compared

to

the

previous

record

set

in

2001

of

$106

billion.

This

new-issuance

resulted

in

a

net

$57

billion,

or

33%,

growth

in

the

U.S.

convertible

market

year-over-

year.

The

record

issuance

was

driven

both

by

traditional

convertible

issuers

and

the

entry

of

new

companies

whose

business

models

or

industries

had

been

hit

particularly

hard

by

the

COVID

pandemic.

We

estimate

that

roughly

25%

of

the

new

convertible

issuance

since

March

has

resulted

directly

from

COVID.

Some

issuers

accessed

capital

via

the

convertible

market

on

more

than

one

occasion

since

March,

while

others

entered

into

transactions

to

exchange

their

recently-issued

convertibles

for

equity,

thereby

eliminating

the

future

liability

while

keeping

cash

on

the

company’s

balance

sheet.

Record

new

supply

helped

keep

valuations

of

convertibles

cheap

during

the

year,

but

much

of

the

cheapening

was

caused

by

COVID-19

in

March.

The

panicked

selling

and

forced

deleveraging

due

to

risk

management

and

fund

outflows

created

significant

cross-sectional

variation

in

cheapness

which

persisted

throughout

the

year.

This

dispersion

in

cheapness

allowed

the

Fund

to

continually

rebalance

its

portfolio

by

selling

rich

bonds

and

replacing

them

with

cheap

bonds.

On

a

median

basis

the

Fund

purchased

convertibles

at

3.3%

cheap

during

2020

and

sold

bonds

at

–0.7%

rich.

Merger

Arbitrage

Merger

arbitrage

contributed

0.33%

to

the

Fund’s

return

in

2020.

The

modest

returns

for

the

strategy

during

the

year

reflect

the

challenging

environment

for

merger

arbitrageurs.

While

market

volatility

resulting

from

the

COVID-19

pandemic

created

certain

short-

term

tactical

opportunities

which

benefited

the

Fund,

it

also

led

to

an

increase

in

adverse

events

which

offset

most

of

these

tactical

gains.

Additionally,

while

deal

spreads

were

at

favorable

levels

for

much

of

the

year,

periods

of

stagnant

deal

flow

made

it

tough

to

allocate

capital

to

the

strategy.

During

March,

the

Fund

increased

its

allocation

to

the

merger

arbitrage

strategy

from

30%

of

the

portfolio

to

40%

of

the

portfolio

to

take

advantage

of

the

extreme

spread

widening

that

resulted

from

forced

deleveraging

by

other

arbitrageurs.

This

liquidity

event

drove

spreads

to

an

intra-month

peak

of

54.4%,

before

a

combination

of

forced

sellers

exiting

the

market

and

additional

capital

entering

the

market

caused

spreads

to

rebound

to

13.8%

by

month

end.

This

tactical

trade

resulted

in

the

Fund

recovering

a

significant

portion

of

the

losses

realized

earlier

in

March.

As

the

COVID-19

pandemic

persisted

into

the

second

quarter

and

beyond,

there

was

an

increase

in

adverse

events,

such

as

terminations

and

deal

repricings.

In

isolation,

the

deal

failure

rate

during

this

period

(3.2%)

was

in

line

with

the

historical

average

(3.3%).

However,

when

considered

alongside

the

repricing

rate

of

3.9%,

the

cumulative

number

of

adverse

events

exceeded

the

historical

long-term

average.

6

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2020

The

combination

of

the

increase

in

adverse

events

and

turbulent

market

conditions

resulted

in

a

wide-spread

environment

for

much

of

the

year.

Attractive

spreads,

however,

came

at

the

expense

of

new

opportunities.

At

the

start

of

the

year,

the

median

annualized

spread

hovered

around

2%,

similar

to

the

end

of

2019.

Following

March,

the

median

annualized

spread

was

above

the

historical

long-

term

average

(5%)

for

much

of

the

year

until

tightening

to

2.9%

in

December.

Despite

the

opportunities

provided

by

these

favorable

spreads,

the

pipeline

of

new

deals

was

limited

for

much

of

this

period.

The

second

quarter

was

the

slowest

for

newly

announced

transactions

(four)

in

over

twenty

years,

and

while

the

third

quarter

saw

an

uptick

in

activity,

it

was

still

well

below

the

average

pace

of

deal-making

activity

since

the

Global

Financial

Crisis.

Fortunately,

the

fourth

quarter

saw

a

significant

resurgence

in

deal-making

activity

with

31

announced

transactions,

of

which

we

would

classify

17%

as

being

consolidations

driven

by

the

COVID-19

pandemic.

This

flurry

of

new

deals

brought

the

year-end

investible

universe

to

46

deals

totaling

$291

billion,

a

material

rebound

from

the

25

deals

for

$120

billion

at

the

end

of

the

second

quarter.

Performance

of

the

Fund

in

2020

was

above

expectations,

driven

by

the

massive

growth

of

the

SPAC

market

as

well

as

dislocations

caused

by

the

COVID

pandemic.

The

SPAC

strategy

drove

performance,

benefiting

from

well

received

“de-spacing”

announcements

amid

a

record

year

of

issuance

and

a

near-zero

liquidation

rate.

Returns

from

the

SPAC

strategy

in

2020

demonstrate

the

favorable

asymmetric

return

profile

of

the

product,

where

the

investor’s

downside

is

protected

via

the

redemption

put-right

while

the

investor

maintains

the

upside

in

the

event

of

a

successful

de-spacing.

The

IPO

calendar

for

SPACs

is

expected

to

continue

its

recent

pace

of

activity

with

a

robust

pipeline

($19

billion)

already

on

file

to

price

early

in

2021.

Record

issuance

in

the

U.S.

convertible

market

provided

many

attractive

opportunities

to

deploy

capital

in

2020,

and

while

we

do

not

anticipate

another

record

year

in

2021,

we

believe

many

companies

will

still

consider

convertibles

as

an

avenue

to

meet

their

capital

needs

during

times

of

economic

uncertainty.

Bank

of

America

Merrill

Lynch

is

projecting

a

relatively

low

number

($35

billion)

of

maturities

and

redemptions

in

2021,

and

given

issuance

estimates

we

anticipate

the

convertible

market

will

continue

to

grow.

While

merger

arbitrage

deal

flow

was

muted

for

the

year,

we

are

optimistic

about

the

opportunity

set

in

2021

as

we

expect

more

companies

will

look

to

consolidate

following

the

impact

of

COVID-19,

building

upon

the

resurgence

in

transaction

announcements

seen

during

the

fourth

quarter

of

2020.

We

are

optimistic

there

will

be

mispricings

and

market

dislocations

due

to

broader

market

uncertainty

in

2021,

both

of

which

should

provide

opportunities

for

the

Fund

to

invest.

Irrespective

of

where

the

Fund

deploys

capital

in

2021,

the

Fund

will

continue

to

hedge

systematic

equity,

credit,

and

interest

rate

market

risks,

with

the

intention

of

delivering

uncorrelated

excess

returns.

1

1

Note

that

the

Fund

uses

various

derivatives

instruments

(e.g.,

futures,

options,

forwards,

and

swaps),

primarily

to

hedge

systematic

risks

including

credit

risk

and

interest

rate

risk.

While

the

purpose

of

employing

derivatives

instruments

is

to

decrease

the

Fund’s

overall

risk,

hedging

instruments

are

imperfect

tools

and

their

effectiveness

depends

on

the

degree

of

price

correlation

between

the

derivative

instruments

and

the

assets

being

hedged.

Imperfect

correlation

may

be

caused

by

several

factors,

including

temporary

price

disparities

between

derivative

markets

and

markets

for

the

underlying

assets.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

2.15%,

2.39%

and

2.05%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

DIVERSIFIED

ARBITRAGE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ADAIX

25.21%

11.57%

9.62%

4.24%

4.71%

1/15/2009

Fund

-

Class

N:

ADANX

24.83%*

11.32%

9.33%

3.98%

4.43%

1/15/2009

Fund

-

Class

R6:

QDARX

25.23%*

11.69%

9.72%

N/A

5.76%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.64%

0.56%

1/15/2009

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

7

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

Funds

|

Annual

Report

|

December

2020

AQR

DIVERSIFIED

ARBITRAGE

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2010

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

8

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Diversified

Strategies

Fund

(the

“Fund”)

returned

5.71%,

net

of

fees,

(Class

I

shares)

since

its

inception

on

June

8,

2020

through

the

end

of

the

year.

For

the

partial

year,

the

Fund

realized

a

4.9%

annualized

daily

volatility

and

a

0.5

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index

SM

,

which

is

the

Fund’s

benchmark,

returned

0.08%

over

this

period.

The

AQR

Diversifying

Strategies

Fund

seeks

to

provide

an

all-in-one

alternatives

solution

through

an

allocation

to

six

AQR

alternative

mutual

funds.

Leveraging

AQR’s

research

and

20-year

track

record

in

alternative

investing,

the

Fund

is

designed

to

complement

an

investor’s

traditional

stock

and

bond

portfolio.

The

Fund

invests

in

a

portfolio

of

AQR

mutual

funds,

providing

exposure

to

both

Active

Multi-Asset

strategies

and

Absolute

Return

strategies:

Active

Multi-Asset

Strategies:

seek

to

provide

tactical

and

risk-managed

allocations

among

major

asset

classes

across

global

markets.

These

strategies

are

expected

to

have

some

correlation

to

traditional

asset

classes

over

the

long-term.

Absolute

Return

Strategies:

seek

to

capture

returns

from

well-established

investments

styles,

such

as

value

and

momentum.

Certain

strategies

may

also

provide

exposure

to

less

accessible

types

of

returns.

These

strategies

tend

to

be

uncorrelated

to

traditional

asset

classes

over

the

long-term.

Gains

were

split

amongst

both

groups

of

strategies.

In

a

period

when

major

asset

classes

performed

well,

the

active

multi-asset

strategies

had

strong

performance,

accounting

for

roughly

two-thirds

of

gains

with

the

remaining

third

coming

from

the

absolute

return

strategies.

The

Active

Multi-Asset

strategies

benefitted

from

appreciating

equity

markets

and

gains

from

inflation

sensitive

assets,

particularly

commodities.

Exposure

to

fixed

income

markets

was

the

only,

albeit

small,

detractor.

Performance

across

the

diverse

set

of

Absolute

Return

strategies

varied

substantially.

Gains

were

led

by

the

exposure

to

arbitrage

strategies,

where

SPACs

had

very

strong

performance.

Convertible

arbitrage

also

provided

strong

returns,

while

the

other

strategies,

including

mergers,

IPOs,

and

closed-end

fund

strategies,

also

gained

but

saw

more

modest

contributions

at

the

individual

strategy

level.

The

global

macro

strategy

also

contributed

to

aggregate

gains

with

emerging

markets

leading

the

way.

Gains

were

largely

driven

by

emerging

equity

strategies,

both

the

directional

strategies

that

were

bullish

on

equities

in

aggregate

and

the

relative

value

strategies

that

benefitted

from

positioning

in

Chinese,

Korean

and

Thai

equity

markets.

The

managed

futures,

style

premia,

and

equity

market

neutral

strategies

all

detracted.

Managed

futures

detracted

primarily

due

to

reversals

in

currency

markets,

while

continuation

of

trends

within

equity

and

commodity

markets

were

able

to

offset

much

of

the

loss.

Style

premia

stock

selection

detracted

largely

due

to

the

impact

of

Value,

whereas

the

more

macro

related

asset

groups

of

equity

indices,

currencies

and

commodity

selection

contributed

positively

providing

some

offset.

The

equity

market

neutral

strategy

was

the

largest

detractor

to

the

Diversified

Strategies

Fund

with

losses

driven

by

value

themes.

Ronen

Israel

Principal

Scott

Metchick

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

Ashwin

Thapar

Principal

9

Shareholder

Letter

(Unaudited)

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.70%,

1.95%

and

1.60%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

DIVERSIFYING

STRATEGIES

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

6/8/2020

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

DIVERSIFYING

STRATEGIES

FUND

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QDSIX

5.71%

6/8/2020

Fund

-

Class

N:

QDSNX

5.61%

6/8/2020

Fund

-

Class

R6:

QDSRX

5.75%

6/8/2020

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.08%

6/8/2020

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

10

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholders:

The

AQR

Equity

Market

Neutral

Fund

(the

“Fund”)

seeks

to

provide

investors

with

returns

from

potential

gains

of

its

long

and

short

equity

positions.

The

Fund

is

designed

to

be

market-

or

beta-neutral,

meaning

the

Fund

seeks

to

achieve

returns

that

are

not

closely

correlated

with

the

returns

of

the

equity

markets

in

which

the

Fund

invests.

Accordingly,

the

Fund,

on

average,

intends

to

target

a

portfolio

beta

of

zero

over

a

normal

business

cycle.

The

Fund

pursues

its

investment

objective

by

investing

at

least

80%

of

its

net

assets

(including

borrowings

for

investment

purposes)

in

equity

securities

and

equity

related

derivative

instruments.

Since

the

Fund

targets

a

beta

of

zero,

an

appropriate

benchmark

is

U.S.

cash

returns,

which

remain

at

relatively

low

levels.

In

2020,

the

strategy’s

performance

was

disappointing

as

the

Fund’s

Class

I

shares

returned

-19.52%,

net

of

fees.

Fund

performance

in

2020

was

impacted

by

a

continuation

of

key

market

dynamics

that

began

in

2018,

namely

market

participants’

seeming

preference

for

long-term,

speculative

growth.

Specifically,

stocks

with

high

forecasted

earnings

growth

years

into

the

future

performed

exceptionally

well,

while

stocks

that

recently

realized

improvements

in

earnings

were

penalized.

This

price

behavior

is

in

contrast

with

history,

as

investors

typically

reward

companies

with

improving

fundamentals

and

ignore

analyst

projections

of

future

long-term

growth.

These

dynamics

created

a

difficult

environment

for

value

investing,

which

tends

to

favor

cheaper

companies

with

modest

future

growth

forecasts,

and

negatively

impacted

our

stock

selection

process.

Interestingly,

one

period

when

these

unusual

phenomena

occurred

in

the

past

was

during

the

technology

bubble,

when

investors’

demand

for

growth

stocks

resulted

in

a

large

drawdown

for

value.

Ultimately,

2020

was

the

third

calendar

year

since

2001

in

which

cheap

and

improving

stocks

lagged

expensive

and

deteriorating

ones

(i.e.

the

combination

of

Value

and

Momentum

underperformed),

proving

difficult

for

the

Fund.

Geographically,

stocks

in

Japan,

Europe

and

the

U.S.

detracted

from

overall

returns.

At

the

sector

level,

stock

selection

within

Industrials,

Information

Technology

and

Consumer

Discretionary

drove

losses.

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials,

while

our

largest

underweight

was

in

Information

Technology.

The

AQR

Equity

Market

Neutral

Fund

is

intended

to

maintain

neutrality

to

equity

markets,

and

incorporates

constraints

to

limit

exposure

to

macroeconomic

factors.

As

such,

we

would

generally

not

expect

unusual

market

conditions

such

as

those

related

to

the

COVID-19

pandemic

(i.e.,

a

short-term

market

sell-off

during

the

first

quarter

of

2020

impacting

some

industries

such

as

energy

and

transportation

more

than

others

such

as

technology

and

on-line

retail,

and

a

subsequent

recovery

throughout

the

year)

to

directly

impact

Fund

performance.

It

is

therefore

difficult

to

pinpoint

direct

impacts

from

the

COVID-19

pandemic

on

performance

of

the

Fund,

either

in

a

positive

or

negative

direction.

While

there

was

little

definitive

evidence

for

directional

performance

related

to

COVID-19,

market

volatility

substantially

increased

during

the

first

quarter

and

fourth

quarter

of

2020,

both

in

terms

of

overall

market

direction

as

well

as

across

stocks

within

broad

equity

markets.

This

had

the

impact

of

modestly

increasing

realized

volatility

of

the

market

neutral

strategy,

which

may

have

resulted

in

larger

gains

on

positive

days

and

larger

losses

on

negative

days

than

would

have

been

realized

during

less

volatile

or

more

predictable

periods.

Ultimately,

our

risk

control

processes

were

able

to

adjust

for

these

increased

levels

of

volatility

to

some

degree,

however,

the

Fund

itself

did

experience

heightened

volatility

relative

to

past

quarters

resulting

from

the

impact

of

COVID-19

to

global

equity

markets

overall.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

We

maintain

conviction

in

our

investment

philosophy,

and

in

the

belief

that

fundamentals

drive

stock

prices.

At

the

same

time,

we

keep

an

open

mind

towards

shifting

market

forces

that

might

impact

our

model’s

ability

to

continue

to

deliver

outperformance.

We

have

researched,

and

continue

to

thoroughly

research,

whether

the

market

environment

has

fundamentally

changed,

or

whether

this

is

a

temporary

period

when

our

process

has

been

out

of

favor.

To

date,

our

research

supports

the

conclusion

that

the

recent

underperformance

of

the

Value-Momentum

combination

reflects

a

temporary

shift

in

market

sentiment,

and

that

markets

will

eventually

reward

companies

with

strong

fundamentals

as

they

have

done

historically.

In

prior

difficult

periods,

we

have

found

that

sticking

with

our

philosophy

was

the

right

decision

and

ultimately

paid

off

as

market

dynamics

reverted.

We

remain

confident

in

our

fundamentally-oriented

philosophy

and

disciplined

systematic

investment

approach.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

11

Shareholder

Letter

(Unaudited)

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.76%,

2.03%

and

1.68%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

EQUITY

MARKET

NEUTRAL

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/7/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

EQUITY

MARKET

NEUTRAL

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMNIX

-19.52%

-14.26%

-6.72%

-2.04%

10/7/2014

Fund

-

Class

N:

QMNNX

-19.70%

-14.47%

-6.98%

-2.29%

10/7/2014

Fund

-

Class

R6:

QMNRX

-19.61%

-14.23%

-6.70%

-2.00%

10/7/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.97%

10/7/2014

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

12

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Global

Macro

Fund

(the

“Fund”)

invests

across

a

wide

range

of

asset

classes,

including

fixed

income,

currencies,

commodities,

and

equities

through

the

use

of

derivatives

such

as

futures,

forwards,

and

swaps.

Within

each

asset

class,

the

Fund

takes

both

relative

value

and

directional

positions.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

modestly

over

time

based

on

attractiveness

of

opportunities

within

the

different

asset

classes

that

the

Fund

trades.

The

Fund’s

strategy

trades

predominately

on

trends

in

macroeconomic

fundamentals,

using

a

systematic,

bottom-up

approach

that

integrates

both

quantitative

and

qualitative

trading

signals.

While

the

strategy

is

long-term

market

neutral,

it

can

take

directional

views

over

the

short

term.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

Our

strategy

invests

across

liquid

markets

on

the

basis

of

macroeconomic

news

and

trends,

an

investment

approach

we

call

macro

momentum.

We

evaluate

both

quantitative

and

qualitative

indicators

across

a

variety

of

dimensions,

from

growth

and

inflation

to

monetary

policy

and

international

trade.

By

integrating

both

quantitative

and

discretionary

indicators

in

a

bottom-up,

risk-controlled

portfolio

construction,

in

our

opinion,

we

capture

the

best

features

of

both

approaches

while

maintaining

the

benefits

of

a

systematic

and

disciplined

process.

In

addition

to

economic

fundamentals,

we

also

consider

other

indicators,

including

measures

of

price

momentum,

value

and

carry.

This

multifactor

approach

provides

a

more

holistic

picture

of

each

asset’s

attractiveness.

Macro

momentum

tends

to

drive

asset

positioning

(long

or

short)

in

our

portfolio,

however,

the

degree

of

agreement

between

economic

fundamentals,

on

the

one

hand,

and

price

momentum,

value

and

carry,

on

the

other,

determines

ultimate

position

sizing.

The

bottom-up

portfolio

construction

–

in

which

we

evaluate

the

attractiveness

of

each

asset

across

a

large

number

of

dimensions

–

allows

us

to

build

a

highly

diversified

portfolio

that

does

not

depend

on

a

few

“best

ideas.”

The

Fund

concluded

2020

with

a

positive

overall

return,

outperforming

its

benchmark.

The

Fund’s

Class

I

shares

returned

1.61%,

net

of

fees,

versus

a

0.67%

return

for

its

benchmark,

the

ICE

Bank

of

America

ML

3-Month

T-Bill

Index.

By

asset

class,

gross

of

fees,

equities

contributed

2.1%,

commodities

contributed

1.8%,

fixed

income

detracted

-0.8%

and

currencies

had

a

neutral

impact

on

performance.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

2020

was

a

tumultuous

year

for

the

global

economy

and

financial

markets.

In

the

first

quarter,

the

emergence

of

the

COVID-19

pandemic

triggered

abrupt

declines

in

economic

activity

and

severe

weakness

across

equity,

commodity,

and

credit

markets.

However,

rapid

and

forceful

deployment

of

fiscal

and

monetary

stimulus

measures

in

the

U.S.

and

other

major

economies

succeeded

in

stabilizing

risk

sentiment

by

late

March.

Over

the

remainder

of

the

year,

equities

and

other

growth-sensitive

assets

staged

a

strong

recovery,

supported

first

by

signs

of

gradual

recovery

in

economic

activity

as

shutdown

measures

eased

and

later

by

news

that

effective

vaccines

would

soon

be

available

to

curtail

the

pandemic.

Expectations

of

continued

monetary

accommodation

served

as

an

additional

tailwind

for

markets,

as

the

Federal

Reserve

and

other

major

central

banks

signaled

their

willingness

to

ease

policy

further

to

support

the

recovery.

The

Fund

was

able

to

navigate

this

environment

successfully,

as

gains

in

equity

and

commodity

strategies

were

only

partially

offset

by

losses

in

fixed

income

and

currencies.

Equities

Relative

value

positions

in

emerging

equity

indexes

delivered

gains

over

the

course

of

2020,

driven

in

particular

by

long

positions

in

Korea

and

Taiwan

relative

to

short

positioning

in

Chinese

H-Shares.

Korean

equities

outperformed,

benefiting

from

the

country’s

comparative

success

in

containing

the

coronavirus,

rate

cuts

from

the

Bank

of

Korea,

and

favorable

demand

trends

for

semiconductors,

a

key

export

industry.

Taiwanese

equities

similarly

outperformed

as

domestic

COVID

cases

remained

low

and

as

global

demand

for

information

technology

exports

remained

strong.

Chinese

H-Shares

underperformed,

particularly

in

the

second

half

of

the

year,

as

the

U.S.

imposed

restrictions

on

a

number

of

Chinese

firms

and

as

domestic

regulators

adopted

a

stricter

approach

toward

the

country’s

technology

sector.

Gains

in

emerging

equities

were

somewhat

offset

by

losses

in

developed

markets,

where

directional

long

exposures

in

the

first

quarter

weighed

on

returns

as

the

global

spread

of

COVID-19

and

associated

economic

disruptions

led

to

a

severe

selloff

in

global

equities.

John

Liew

Founding

Principal

Jordan

Brooks

Principal

Michael

Katz

Principal

David

Kupersmith

Principal

Yao

Hua

Ooi

Principal

13

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Commodities

Commodity

strategies

also

added

to

returns,

with

gains

coming

primarily

from

directional

positioning

in

agricultural

commodities.

Short

positions

in

grains

added

to

returns

in

the

first

and

second

quarter

as

the

global

recession

weighed

on

expectations

for

demand.

In

the

fourth

quarter,

long

positions

in

grains

contributed

further,

as

global

economic

recovery

and

prospects

for

reduced

trade

tensions

between

the

U.S.

and

China

supported

prices.

Gains

in

agricultural

commodities

were

somewhat

offset

by

losses

in

energy,

particularly

short

positions

in

Brent

and

WTI

crude

in

the

second

quarter.

Oil

prices

rallied

as

U.S.

drilling

activity

slowed

and

as

a

group

of

oil-producing

nations

agreed

to

limits

on

supply.

Fixed

Income

Fixed

income

strategies

detracted

from

performance,

with

the

largest

losses

coming

from

directional

short

positioning

in

developed

government

bonds.

Short

positions

suffered

losses

in

the

first

quarter

as

the

coronavirus

outbreak

weighed

on

global

growth

expectations

and

as

falling

energy

prices

dampened

the

inflation

outlook.

These

losses

were

somewhat

offset

by

gains

in

yield

curve

positions.

A

steepener

position

in

U.S.

Treasury

futures

(long

5-year

note

futures

vs.

short

“long

bond”

futures)

was

profitable.

The

U.S.

yield

curve

steepened

in

the

second

quarter

as

dovish

Federal

Reserve

policy

supported

short

and

intermediate

maturities

while

increased

issuance

weighed

on

the

long

end

of

the

curve.

Currencies

Currency

positions

had

a

neutral

impact

on

performance

for

the

year

as

gains

and

losses

largely

offset.

Short

exposure

to

the

Brazilian

real

benefited

performance

over

the

first

half

of

the

year,

but

in

the

third

quarter

a

short

position

in

the

Mexican

peso

led

to

losses

as

data

showed

larger-than-expected

trade

surpluses

and

remittances

from

abroad.

For

the

year

as

a

whole,

overall

performance

was

muted

from

both

developed

and

emerging

market

currencies.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.93%,

2.01%

and

1.86%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

GLOBAL

MACRO

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QGMIX

1.61%

4.74%

2.12%

1.76%

4/8/2014

Fund

-

Class

N:

QGMNX

1.53%*

4.55%

1.90%

1.53%

4/8/2014

Fund

-

Class

R6:

QGMRX

1.82%*

4.86%

2.21%

2.40%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.90%

4/8/2014

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

14

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

MACRO

FUND

AQR

Funds

|

Annual

Report

|

December

2020

AQR

GLOBAL

MACRO

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

4/8/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

15

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Long-Short

Equity

Fund

(the

“Fund”)

seeks

to

provide

higher

risk-adjusted

returns

with

lower

volatility

relative

to

global

equity

markets.

It

does

so

by

using

three

different

sources

of

return:

1)

the

potential

gains

from

its

long

and

short

equity

positions,

2)

overall

exposure

to

equity

markets,

and

3)

the

tactical

variation

of

its

net

exposure

to

equity

markets.

The

strategy

primarily

seeks

to

add

alpha

via

its

long/

short

(market-neutral)

equity

portfolio,

which

includes

the

use

of

derivatives

such

as

swaps

and

futures.

It

also

manages

its

beta

relative

to

the

MSCI

World

Index

(“MSCI

World”)

to

a

long-term

target

of

0.5,

and

within

a

shorter-term

range

of

0.3

to

0.7,

depending

on

our

market

views.

In

2020,

the

Class

I

shares

of

the

Fund

returned

-13.91%,

net

of

fees.

Negative

performance

was

driven

by

the

Fund’s

long-short

stock

selection

component.

Conversely,

the

Fund’s

overall

exposure

to

global

developed

equity

markets

contributed

to

performance,

partly

offsetting

losses

experienced

elsewhere.

The

Fund’s

custom

benchmark

(50%

MSCI

World

+

50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index)

delivered

a

return

of

8.93%

over

this

period.

As

such,

the

Fund

underperformed

its

benchmark.

Fund

performance

in

2020

was

impacted

by

a

continuation

of

key

market

dynamics

that

began

in

2018,

namely

market

participants’

seeming

preference

for

long-term,

speculative

growth.

Specifically,

stocks

with

high

forecasted

earnings

growth

years

into

the

future

performed

exceptionally

well,

while

stocks

that

recently

realized

improvements

in

earnings

were

penalized.

This

price

behavior

is

in

contrast

with

history,

as

investors

typically

reward

companies

with

improving

fundamentals

and

ignore

analyst

projections

of

future

long-term

growth.

These

dynamics

created

a

difficult

environment

for

value

investing,

which

tends

to

favor

cheaper

companies

with

modest

future

growth

forecasts,

and

negatively

impacted

our

stock

selection

process.

Interestingly,

one

period

when

these

unusual

phenomena

occurred

in

the

past

was

during

the

technology

bubble,

when

investors’

demand

for

growth

stocks

resulted

in

a

large

drawdown

for

value.

Ultimately,

2020

was

the

third

calendar

year

since

2001

in

which

cheap

and

improving

stocks

lagged

expensive

and

deteriorating

ones

(i.e.

the

combination

of

Value

and

Momentum

underperformed),

proving

difficult

for

the

Fund.

Geographically,

stocks

in

Japan,

Europe

and

the

U.S.

detracted

from

overall

returns.

At

the

sector

level,

stock

selection

within

Industrials,

Consumer

Discretionary

and

Information

Technology

drove

losses.

The

Fund

experienced

positive

performance

from

its

static

long-term

beta

exposure

of

0.5

to

the

MSCI

World,

given

the

index’s

strong

returns

in

2020.

The

Fund’s

tactical

market

exposure

(the

desired

deviation

from

a

beta

of

0.5)

was

flat

during

the

year.

Securities

in

the

Fund

remained

globally

diversified

with

over

50%

of

the

Fund

invested

outside

of

the

U.S.

The

Fund

does

take

small

industry

views.

As

of

the

end

of

the

year,

our

largest

sector

overweight

was

in

Financials,

while

our

largest

underweight

was

in

Information

Technology.

The

AQR

Long-Short

Equity

Fund

is

structured

to

maintain

some

passive

exposure

to

equity

markets,

while

also

employing

a

long-short

stock

selection

strategy

intended

to

maintain

neutrality

to

equity

markets.

The

Fund

also

incorporates

constraints

to

limit

exposure

to

macroeconomic

factors.

Other

than

the

explicit

passive

market

exposure,

we

would

generally

not

expect

unusual

market

conditions

such

as

those

related

to

the

COVID-19

pandemic

(i.e.,

a

short-term

market

sell-off

during

the

first

quarter

of

2020

impacting

some

industries

such

as

energy

and

transportation

more

than

others

such

as

technology

and

on-line

retail,

and

a

subsequent

recovery

throughout

the

year)

to

directly

impact

Fund

performance.

It

is

therefore

difficult

to

pinpoint

direct

impacts

from

the

COVID-19

pandemic

on

active

performance

of

the

Fund,

either

in

a

positive

or

negative

direction.

While

there

was

little

definitive

evidence

for

directional

performance

related

to

COVID-19,

market

volatility

substantially

increased

during

the

first

quarter

and

fourth

quarter

of

2020,

both

in

terms

of

overall

market

direction

as

well

as

across

stocks

within

broad

equity

markets.

This

had

the

impact

of

modestly

increasing

realized

volatility

of

the

market

neutral

stock

selection

strategy,

which

may

have

resulted

in

larger

gains

on

positive

days

and

larger

losses

on

negative

days

than

would

have

been

realized

during

less

volatile

or

more

predictable

periods.

Ultimately,

our

risk

control

processes

were

able

to

adjust

for

these

increased

levels

of

volatility

to

some

degree,

however,

the

Fund

itself

did

experience

heightened

volatility

relative

to

past

quarters

resulting

from

the

impact

of

COVID-19

to

global

equity

markets

overall.

The

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

16

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

We

maintain

conviction

in

our

investment

philosophy,

and

in

the

belief

that

fundamentals

drive

stock

prices.

At

the

same

time,

we

keep

an

open

mind

towards

shifting

market

forces

that

might

impact

our

model’s

ability

to

continue

to

deliver

outperformance.

We

have

researched,

and

continue

to

thoroughly

research,

whether

the

market

environment

has

fundamentally

changed,

or

whether

this

is

a

temporary

period

when

our

process

has

been

out

of

favor.

To

date,

our

research

supports

the

conclusion

that

the

recent

underperformance

of

the

Value-Momentum

combination

reflects

a

temporary

shift

in

market

sentiment,

and

that

markets

will

eventually

reward

companies

with

strong

fundamentals

as

they

have

done

historically.

In

prior

difficult

periods,

we

have

found

that

sticking

with

our

philosophy

was

the

right

decision

and

ultimately

paid

off

as

market

dynamics

reverted.

We

remain

confident

in

our

fundamentally-oriented

philosophy

and

disciplined

systematic

investment

approach.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.30%,

1.57%

and

1.23%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

LONG-SHORT

EQUITY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QLEIX

-13.91%

-10.00%

-1.29%

4.62%

7/16/2013

Fund

-

Class

N:

QLENX

-14.17%

-10.26%

-1.55%

4.35%

7/16/2013

Fund

-

Class

R6:

QLERX

-13.77%

-9.92%

-1.19%

2.54%

9/2/2014

50%

MSCI

World

Index/50%

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index**

8.93%

6.44%

6.87%

5.66%

7/16/2013

17

Shareholder

Letter

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

AQR

LONG-SHORT

EQUITY

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

18

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder

For

the

year

ended

December

31,

2020,

the

AQR

Multi-Asset

Fund

Class

I

shares

returned

2.68%,

net

of

fees,

and

realized

an

annualized

volatility

of

12.5%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Barclays®

U.S.

Aggregate

Bond

Index,

returned

14.73%

at

an

average

realized

volatility

of

17.7%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$138

million

at

the

end

of

2020.

Using

derivatives

such

as

futures,

swaps,

and

forwards,

as

well

as

securities,

the

AQR

Multi-Asset

Fund

(the

“Fund”)

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

market

equities,

developed

and

emerging

market

currencies,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds,

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund

gained

primarily

due

to

gains

in

nominal

bonds

(7.3%)

and

inflation-linked

bonds

(0.5%),

more

than

offsetting

losses

in

equities

(-3.0%),

commodities

(-1.2%),

and

currency

exposures

(-1.0%).

Active

asset

allocation

benefited

the

portfolio,

while

active

security

selection

within

equity

markets

detracted

from

performance.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

After

equities

delivered

strong

gains

in

late

2019,

risk

sentiment

began

2020

on

a

positive

note.

This

optimism

quickly

eroded

late

in

February

as

Italy

experienced

the

first

major

outbreak

of

the

novel

coronavirus

outside

of

Asia,

with

increased

case

numbers

in

other

countries

emerging

shortly

thereafter.

Broad

restrictions

on

movement

and

economic

activity

followed

as

travel

bans

and

economic

shutdowns

ground

a

significant

portion

of

the

global

economy

to

a

halt.

Equities

and

commodities

sold

off

sharply

as

a

result,

while

aggressive

monetary

stimulus

supported

global

fixed

income

markets.

As

the

year

continued,

large

fiscal

stimulus

responses,

economic

reopenings,

and

the

development

and

ultimate

approval

of

a

COVID-19

vaccine

led

to

optimism

that

the

effects

of

the

pandemic

would

be

short-lived.

Bonds

held

on

to

their

gains

as

central

banks

maintained

accommodative

measures,

while

commodities

and

stocks

rebounded,

with

many

global

equity

markets

ending

the

year

at

record

highs.

While

the

beginning

of

the

COVID-19

pandemic

was

accompanied

by

extreme

market

volatility

across

asset

classes,

we

were

able

to

successfully

maintain

portfolio

liquidity

and

execute

the

Fund’s

strategy

effectively. We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

global

markets.

The

Fund

seeks

to

allocate

among

asset

classes

in

a

way

that

avoids

excessive

risk

exposure

to

any

single

asset

class

or

risk

premium,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

asset

classes

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition,

we

also

adjust

position

sizes

to

best

capture

the

opportunity

set

within

and

across

asset

classes

based

on

AQR’s

proprietary

expected

return

models.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

active

views.

Jon

Liew

Founding

Principal

John

Huss

Principal

Ronen

Israel

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

19

Shareholder

Letter

(Unaudited)

AQR

MULTI-ASSET

FUND

AQR

Funds

|

Annual

Report

|

December

2020

The

Fund

is

generally

expected

to

remain

net

long

the

asset

classes

in

which

it

invests

but

does

allow

for

a

limited

amount

of

shorting.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

our

perceptions

of

the

opportunity

sets

within

the

different

asset

classes

we

trade.

At

the

end

of

the

year,

the

Fund

had

bearish

views

on

nominal

and

inflation-linked

bonds

and

bullish

views

on

equities,

emerging

currencies,

and

commodities.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

near

to

longer-term

expectations

as

forecasted

risk

levels

were

near

historical

averages.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.34%,

1.61%

and

1.25%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MULTI-ASSET

FUND

VS.60%S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2010

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

MULTI-ASSET

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQRIX

2.68%

4.97%

8.18%

5.79%

6.04%

9/29/2010

Fund

-

Class

N:

AQRNX

2.41%

4.66%

7.86%

5.51%

5.75%

9/29/2010

Fund

-

Class

R6:

AQRRX

2.78%

5.01%

8.24%

N/A

4.39%

9/2/2014

60%

S&P

500

Index®/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

14.73%

11.03%

11.11%

10.02%

10.34%

9/29/2010

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

20

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Risk-Balanced

Commodities

Fund

(the

“Fund”)

Class

I

shares

returned

8.15%,

net

of

fees,

in

2020,

with

agriculturals

and

metals

contributing

significantly

to

positive

performance,

more

than

offsetting

losses

in

energies,

livestock,

and

softs.

Most

commodities,

especially

energies,

suffered

a

sharp

drop

in

the

first

quarter

of

2020

as

the

COVID-19

pandemic

broke

out

globally.

After

this

initial

shock,

commodities

recovered

most

of

the

losses

throughout

the

rest

of

the

year.

Agriculturals

rallied,

supported

by

China’s

dwindling

stockpiles

and

high

levels

of

buying

interest.

Base

metal

prices

benefited

from

China’s

stimulus

package

and

the

country’s

early

recuperation

from

the

virus.

Precious

metals

were

also

up,

on

safe-haven

investment

demand

and

a

weaker

US

dollar.

On

the

other

hand,

energies

ended

the

year

with

negative

performance

(and

the

worst

performance

amongst

all

commodity

sectors)

as

travel

demand

continued

to

be

low

and

production

cuts

proved

inadequate.

The

Fund

outperformed

its

benchmark,

the

Bloomberg

Commodity

TR

Index

(“BCOM”),

by

11.33%,

as

BCOM

declined

-3.12%

on

the

year.

The

Fund

has

also

outperformed

over

a

three-year

period

(1.78%

vs.

-2.53%,

annualized)

and

since

inception

(-3.15%

vs.

-5.97%,

annualized).

Note

that,

while

we

use

BCOM

as

a

benchmark,

we

do

not

aim

to

replicate

it.

The

Fund’s

construction

is

sufficiently

different

that

we

would

expect

a

difference

in

the

performance

of

the

Fund

and

this

benchmark.

Specifically,

we

expect

the

magnitude

of

performance

differences

to

be

roughly

10%

per

year

on

average,

in

either

direction.

The

outperformance

in

2020

relative

to

the

benchmark

was

due

to

several

features

of

the

Fund.

Across-

sector

allocation

was

a

major

contributor;

the

Fund

generally

has

lower

exposure

to

energies

than

BCOM,

thanks

to

its

risk-balanced

approach

to

sector

allocation,

and

energies

were

the

worst-performing

sector.

The

Fund’s

within-sector

allocations

outperformed

BCOM

within

each

sector,

but

primarily

in

energies

and

agriculturals.

The

Fund’s

dynamic

roll

process

and

tactical

tilts

also

contributed

to

the

outperformance.

On

the

other

hand,

the

Fund's

volatility

targeting

offset

some

of

these

gains,

as

the

relatively

low

volatility

at

the

beginning

of

the

year

meant

that

the

Fund

required

more

than

100%

notional

exposure,

leading

to

underperformance

as

commodities

tumbled

in

Q1.

We

aim

to

maintain

a

target

level

of

volatility

by

varying

the

level

of

exposure

in

the

Fund.

This

reduces

the

likelihood

that

short

periods

can

determine

outcomes

over

long

investment

horizons.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

both

portfolio

and

operational

risk

on

a

continual

basis.

The

portfolios

that

form

our

investment

strategies

maintain

strict

risk

controls

and

independent

risk

monitoring.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

portfolio

volatility

to

determine

if

intervention

is

necessary.

We

will

continue

to

do

so.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

liquidity

risk

and

model

risk.

When

the

COVID-19

pandemic

broke

out,

we

anticipated

reduced

liquidity

and

adjusted

our

roll

process

accordingly.

We

also

added

flexibility

to

our

models

to

handle

potential

negative

commodity

prices.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

global

markets.

The

Fund

began

the

year

at

an

estimated

volatility

of

13.2%,

below

its

long-run

target

of

18%,

as

the

Fund

was

constrained

by

exposure

limits.

It

ended

the

year

targeting

a

volatility

of

19.6%

because

of

bullish

active

views.

The

Fund

obtains

exposure

to

the

individual

commodities

and

sectors

by

investing

in

commodity-

linked

derivative

instruments,

such

as

swaps

and

futures.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

strategic

portion

of

the

portfolio

returned

6.70%,

and

tactical

tilts

added

1.50%.

The

strategic

return

in

this

attribution

is

the

return

to

a

long-only

risk-balanced

portfolio.

The

tactical

returns

are

the

returns

from

the

active

views

in

the

individual

commodities

and

sectors.

The

tactical

portion

of

the

Fund

gained

on

the

year,

primarily

from

active

views

in

agriculturals.

At

year-end,

the

Fund’s

tactical

positioning

was

generally

bullish

commodities,

except

for

the

energies

sector.

Ronen

Israel

Principal

Ari

Levine

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

21

Shareholder

Letter

(Unaudited)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

The

Fund's

class

I

shares

finished

its

eighth

full

year

up

8.15%,

net

of

fees,

and

outperformed

the

BCOM

benchmark

by

11.33%,

the

second

consecutive

year

with

double-digit

outperformance

over

the

benchmark.

The

Fund’s

across-

and

within-sector

allocation,

along

with

its

dynamic

roll

process

and

tactical

tilts,

drove

the

outperformance.

While

short

term

results

can

be

noisy,

we

believe

the

Fund’s

broader

diversification,

strong

risk

management

and

active

commodity

selection

will

continue

to

deliver

steady

volatility

and

strong

returns

across

market

environments

in

the

long

term.

Especially

in

a

market

environment

in

which

participants

are

increasingly

concerned

about

the

risk

of

inflation

—

given

increased

monetary

and

fiscal

stimulus

—

we

believe

that

commodities

can

be

a

useful

diversifier

in

many

investors’

portfolios.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.09%,

1.35%

and

1.00%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

RISK

BALANCED

COMMODITIES

STRATEGY

FUND

VS.

BLOOMBERG

COMMODITY

TOTAL

RETURN

INDEX

SM

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ARCIX

8.15%*

1.74%

6.27%

-3.16%

7/9/2012

Fund

-

Class

N:

ARCNX

8.11%

1.49%

6.00%

-3.41%

7/9/2012

Fund

-

Class

R6:

QRCRX

8.29%

1.79%

6.34%

-1.82%

9/2/2014

Bloomberg

Commodity

Total

Return

IndexSM

-3.12%

-2.53%

1.03%

-5.97%

7/9/2012

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

22

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

For

the

year

ended

December

31,

2020,

the

AQR

Risk

Parity

II

MV

Fund

Class

I

shares

returned

5.20%,

net

of

fees,

and

realized

an

annualized

volatility

of

12.1%.

During

this

period,

the

Fund’s

benchmark,

60%

S&P

500®/40%

Barclays®

U.S.

Aggregate

Bond

Index,

returned

14.73%

at

an

average

realized

volatility

of

17.7%.

The

Fund’s

net

assets

across

all

share

classes

were

over

$93

million

at

the

end

of

2020.

Using

derivatives

such

as

futures

and

swaps

as

well

as

securities,

the

AQR

Risk

Parity

II

MV

Fund

(the

“Fund”)

invests

across

a

wide

variety

of

global

markets

—

including,

during

the

period

presented

in

this

report,

developed

and

emerging

market

equities,

global

developed

nominal

government

bonds,

global

developed

inflation-linked

government

bonds

and

commodities

—

in

an

attempt

to

build

a

truly

diversified

portfolio

where

all

markets

matter,

but

no

one

market

matters

too

much.

The

Fund’s

gains

were

primarily

due

to

its

exposure

to

nominal

fixed

income,

which

contributed

7.6%.

The

Fund

experienced

detractions

in

global

equites

(-1.6%)

and

inflation-sensitive

assets

(-0.8%).

Attribution

from

tactical

tilts

modestly

detracted

on

the

year

as

gains

from

bearish

views

on

commodities

in

the

first

half

of

the

year

were

more

than

offset

by

losses

due

to

tactical

views

on

equites

and

bonds.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

After

equities

delivered

strong

gains

in

late

2019,

risk

sentiment

began

2020

on

a

positive

note.

This

optimism

quickly

eroded

late

in

February

as

Italy

experienced

the

first

major

outbreak

of

the

novel

coronavirus

outside

of

Asia,

with

increased

case

numbers

in

other

countries

emerging

shortly

thereafter.

Broad

restrictions

on

movement

and

economic

activity

followed

as

travel

bans

and

economic

shutdowns

ground

a

significant

portion

of

the

global

economy

to

a

halt.

Equities

and

commodities

sold

off

sharply

as

a

result,

while

aggressive

monetary

stimulus

supported

global

fixed

income

markets.

As

the

year

continued,

large

fiscal

stimulus

responses,

economic

reopenings,

and

the

development

and

ultimate

approval

of

a

COVID-19

vaccine

led

to

optimism

that

the

effects

of

the

pandemic

would

be

short-lived.

Bonds

held

on

to

their

gains

as

central

banks

maintained

accommodative

measures,

while

commodities

and

stocks

rebounded,

with

many

global

equity

markets

ending

the

year

at

record

highs.

While

the

beginning

of

the

COVID-19

pandemic

was

accompanied

by

extreme

market

volatility

across

asset

classes,

we

were

able

to

successfully

maintain

portfolio

liquidity

and

execute

the

Fund’s

strategy

effectively. 

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

global

markets.

Risk

parity

investing

involves

allocating

to

investments

by

risk,

which

means

that

instruments

with

less

risk

will

generally

be

allocated

more

capital

than

instruments

that

are

deemed

riskier.

As

markets

move

through

different

risk

regimes,

the

portfolio

is

dynamically

adjusted

with

the

goal

of

keeping

overall

portfolio

risk

and

the

balance

of

risk

across

risk

categories

steady

through

time.

We

believe

this

leads

to

more

consistent

results

across

macroeconomic

environments,

reduces

tail

risks

and

enables

investors

to

remain

invested

through

difficult

market

environments.

In

addition

to

adjusting

position

sizes

to

control

for

increasing

or

decreasing

risk

expectations,

we

also

employ

modest

asset

tilts

based

on

AQR’s

proprietary

expected

return

models.

These

tilts

allow

the

portfolio

to

get

over-

and

underweight

a

broad

array

of

global

markets.

The

ultimate

goal

is

to

build

a

portfolio

that,

in

the

long

run,

will

deliver

higher

returns

at

a

risk

level

similar

to

that

of

traditional

portfolios

by

combining

a

better

asset

allocation

with

return-enhancing

tactical

tilts.

The

Fund

is

generally

expected

to

remain

long

the

markets

in

which

it

invests.

The

targeted

annualized

volatility

for

the

Fund

is

10%,

on

average,

which

varies

over

time

based

on

our

perceptions

of

tactical

opportunities

within

the

different

asset

classes

we

trade.

The

Fund

started

the

year

targeting

a

volatility

level

near

its

long-term

average.

At

the

end

of

the

year,

the

Fund

had

bearish

views

on

nominal

and

inflation-

linked

bonds

and

bullish

views

on

equities

and

commodities.

The

Fund

ended

the

year

targeting

a

volatility

level

near

its

long-term

average.

Total

exposures

ended

the

year

near

to

longer-term

expectations

as

forecasted

risk

levels

were

near

historical

averages.

John

Liew

Founding

Principal

John

J.

Huss

Principal

Ronen

Israel

Principal

Michael

Mendelson

Principal

Lars

Nielsen

Principal

Yao

Hua

Ooi

Principal

23

Shareholder

Letter

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Despite

two

of

the

Fund’s

three

asset

groups

detracting

on

the

year,

the

Fund

performed

positively

as

bond

markets

experienced

strong

gains.

One

of

the

strengths

of

our

risk-balanced

approach

is

the

limited,

humble

assumptions

necessary

to

believe

in

the

strategy.

If

investors

believe

that

taking

market

risk

in

major

asset

classes

is

rewarded

on

average,

that

the

risk-adjusted

returns

to

these

asset

classes

are

more

similar

than

they

are

different

and

that

they

tend

to

pay

off

at

somewhat

different

times,

then

the

case

for

the

Fund

is

a

straight

forward

one.

We

remain

confident

that

the

diversification

benefits

of

the

Fund

provide

a

sound

allocation

for

the

wide

variety

of

potential

market

environments

we

may

face

in

the

coming

years.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.02%,

1.27%

and

0.92%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

RISK

PARITY

II

MV

FUND

VS.60%

S&P

500®/40%

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

BOND

INDEX

VALUE

OF

$10,000

INVESTED

ON

11/5/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

RISK

PARITY

II

MV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QRMIX

5.20%

6.24%

8.12%

4.54%

11/5/2012

Fund

-

Class

N:

QRMNX

5.03%

6.00%

7.83%

4.27%

11/5/2012

Fund

-

Class

R6:

QRMRX

5.31%

6.34%

8.20%

4.35%

9/2/2014

60%

S&P

500

Index/40%

Bloomberg

Barclays

U.S.

Aggregate

Bond

Index

14.73%

11.03%

11.11%

10.42%

11/5/2012

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

24

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Style

Premia

Alternative

Fund

(the

“Fund”)

returned

-21.96%,

net

of

fees,

(Class

I

shares)

in

2020.

For

the

year

ended

December

31,

2020,

the

Fund

realized

10.7%

annualized

daily

volatility

and

a

0.2

correlation

to

global

equities,

as

represented

by

the

MSCI

World

Index.

The

ICE

BofA

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index

SM

,

which

is

the

Fund’s

benchmark,

returned

0.67%

over

this

period.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

Fund

invests

in

five

different

asset

groups,

using

derivatives

such

as

futures

and

swaps:

equities

of

major

developed

markets,

country

specific

equity

indices,

bonds

and

interest

rate

futures,

currencies

and

commodities.

The

Fund

employs

market-neutral,

long-short

strategies

across

these

asset

groups

based

on

four

investment

styles:

Value

-

The

tendency

for

cheap

assets

to

outperform

expensive

ones

Momentum

-

The

tendency

for

an

asset’s

recent

relative

performance

to

continue

in

the

future

Carry

-

The

tendency

for

higher-yielding

assets

to

provide

higher

returns

than

lower-yielding

assets

Defensive

-

The

tendency

for

lower-risk

and

higher-quality

assets

to

generate

higher

risk-adjusted

returns

Losses

were

almost

entirely

driven

by

the

Stocks

and

Industries

asset

group,

with

the

other

four

more

macro

related

asset

groups

ending

the

year

largely

flat.

Performance

for

the

macro

asset

groups

was

challenging

in

the

first

half

of

the

year,

in

part

due

to

the

manner

in

which

the

COVID-19

pandemic

impacted

countries

and

markets

differentially.

Given

the

Fund's

target

of

low

correlation

to

traditional

markets,

the

impact

of

the

evolving

COVID

19

pandemic

on

aggregate

direction

of

traditional

markets

had

a

minimal

influence

on

the

Fund's

performance.

However,

performance

in

these

asset

groups

recovered

over

the

remainder

of

the

year

resulting

in

flat

overall

performance.

Three

of

the

four

styles

detracted

with

Value

responsible

for

the

largest

losses,

while

Carry

and

Defensive

drove

additional

losses.

Momentum

was

the

sole

positive

performing

style,

with

each

of

the

five

asset

groups

contributing

to

performance.

Value

losses

were

overwhelmingly

driven

by

performance

in

Stocks

and

Industries.

Losses

in

Carry

were

driven

by

a

combination

of

Fixed

income

and

Currencies,

while

Defensive

losses

were

split

between

Equity

Indices

and

Fixed

Income.

At

the

intersection

of

this

performance

summary

is

Value

in

Stocks

and

Industries,

which

accounted

for

a

large

proportion

of

the

year’s

losses.

Value

applied

to

single

stocks

continued

its

multi-year

slide

throughout

much

of

2020.

Although

this

multi-year

Value

drawdown

and

its

impact

on

the

Fund’s

aggregate

performance

has

been

prolonged

and

painful,

AQR’s

research

continues

to

show

that

Value’s

losses

are

due

to

a

temporary

disconnect

between

prices

and

fundamentals.

Investors

are

demanding

stocks

with

long-term

growth

forecasts,

seemingly

without

concern

for

the

price

paid

for

those

securities.

As

has

been

the

case

with

similar

value

bubbles

in

the

past,

most

notably

the

technology

bubble

of

the

late

1990’s,

the

expectation

is

that

performance

for

Value

will

rebound

meaningfully

when

the

bubble

bursts.

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Yao

Hua

Ooi

Principal

25

Shareholder

Letter

(Unaudited)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.85%,

2.11%

and

1.76%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

10/30/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSPIX

-21.96%

-14.37%

-6.88%

-1.73%

10/30/2013

Fund

-

Class

N:

QSPNX

-22.17%

-14.57%

-7.12%

-1.98%

10/30/2013

Fund

-

Class

R6:

QSPRX

-21.91%

-14.30%

-6.81%

-3.02%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.85%

10/30/2013

26

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

DEFINITIONS:

Beta:

The

measure

of

the

volatility,

or

systematic

risk,

of

a

security

or

portfolio

compared

to

the

market

as

a

whole.

Bloomberg

Barclays

®

U.S.

Aggregate

Bond

Index:

is

a

market-weighted

index

comprised

of

investment

grade

corporate

bonds

(rated

BBB

or

better),

mortgages

and

U.S.

Treasury

and

government

agency

issues

with

at

least

one

year

to

maturity.

Bloomberg

Commodity

Total

Return

Index

SM

:

is

a

broad-based

index

used

to

represent

the

most

frequently-traded

global

commodity

futures.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

Correlation

:

A

statistic

that

measures

the

degree

to

which

two

securities

move

in

relation

to

each

other.

ICE

Bank

of

America

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-

equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

MSCI

World

Index:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

S&P

500

®

:

is

a

capitalization

weighted

index

designed

to

measure

performance

of

the

broad

domestic

economy

through

changes

in

the

aggregate

market

value

of

500

stocks

representing

all

major

industries.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

Sharp

Ratio:

Excess

return

of

the

portfolio,

relative

to

the

risk-free

rate,

divided

by

the

standard

deviation

of

the

portfolio's

excess

returns.

27

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

173.4%

COMMON

STOCKS

-

92.9%

Australia

-

2.7%

AGL

Energy

Ltd.

(2)(a)

51,276

473,297

Ansell

Ltd.

(2)(a)

6,828

182,527

Aurizon

Holdings

Ltd.

(2)(a)

23,877

71,737

Beach

Energy

Ltd.

(2)(a)

105,286

146,865

BlueScope

Steel

Ltd.

(2)(a)

28,149

380,146

carsales.com

Ltd.

(2)(a)

1,172

18,103

Crown

Resorts

Ltd.

(2)(a)

4,863

36,193

Deterra

Royalties

Ltd.

(2)*(a)

1,132

4,189

Fortescue

Metals

Group

Ltd.

(2)(a)

37,367

674,937

Harvey

Norman

Holdings

Ltd.

(2)(a)

72,102

260,562

JB

Hi-Fi

Ltd.

(2)(a)

10,506

394,448

Lendlease

Corp.

Ltd.

(2)

6,300

63,698

Qube

Holdings

Ltd.

(2)(a)

16,371

37,065

Sonic

Healthcare

Ltd.

(2)(a)

1,696

42,021

Tabcorp

Holdings

Ltd.

(2)(a)

29,182

87,859

Treasury

Wine

Estates

Ltd.

(2)(a)

5,780

41,812

Wesfarmers

Ltd.

(2)(a)

2,904

112,870

Worley

Ltd.

(2)(a)

27,761

245,202

3,273,531

—

Belgium

-

0.9%

Ageas

SA/NV

(2)(a)

7,588

402,977

Etablissements

Franz

Colruyt

NV

(2)(a)

1,793

106,170

Proximus

SADP

(2)(a)

14,715

290,670

Solvay

SA

(2)(a)

2,546

300,261

1,100,078

—

Brazil

-

0.3%

Yara

International

ASA

(2)

10,240

424,812

Canada

-

5.3%

Alamos

Gold,

Inc.,

Class

A

(a)

7,077

61,824

Alimentation

Couche-Tard,

Inc.,

Class

B

(a)

485

16,529

Atco

Ltd.,

Class

I

(a)

2,223

63,726

Bank

of

Montreal

(a)

628

47,748

Canadian

Imperial

Bank

of

Commerce

(a)

127

10,847

Canadian

Pacific

Railway

Ltd.

(a)

29

10,059

Canadian

Tire

Corp.

Ltd.,

Class

A

(a)

4,101

539,101

CGI,

Inc.

*(a)

2,262

179,464

CI

Financial

Corp.

(a)

13,233

164,048

Cogeco

Communications,

Inc.

(a)

2,546

195,735

Empire

Co.

Ltd.,

Class

A

(a)

10,460

285,885

Equinox

Gold

Corp.

*(a)

6,632

68,618

Gibson

Energy,

Inc.

(a)

6,856

110,739

Hydro

One

Ltd.

(a)(b)

9,156

206,080

iA

Financial

Corp.,

Inc.

(a)

4,167

180,639

IGM

Financial,

Inc.

(a)

2,680

72,658

Imperial

Oil

Ltd.

(a)

9,029

171,373

Intact

Financial

Corp.

(a)

402

47,600

Keyera

Corp.

(a)

9,387

166,811

Kinross

Gold

Corp.

(a)

48,222

353,833

Linamar

Corp.

(a)

738

39,089

Magna

International,

Inc.

(a)

7,294

516,350

Manulife

Financial

Corp.

(a)

23,063

410,383

INVESTMENTS

SHARES

VALUE

($)

Canada

-

5.3%

(continued)

Metro,

Inc.

(a)

1,243

55,466

National

Bank

of

Canada

(a)

2,529

142,334

Northland

Power,

Inc.

(a)

7,558

271,171

Parkland

Corp.

(a)

3,660

116,134

Quebecor,

Inc.,

Class

B

(a)

8,548

219,996

Ritchie

Bros

Auctioneers,

Inc.

(a)

1,683

116,986

Shaw

Communications,

Inc.,

Class

B

(a)

4,309

75,625

Stantec,

Inc.

(a)

3,992

129,460

Teck

Resources

Ltd.,

Class

B

(a)

17,619

319,741

TFI

International,

Inc.

(a)

4,913

252,926

Thomson

Reuters

Corp.

(a)

1,934

158,287

TMX

Group

Ltd.

(a)

1,805

180,287

Toromont

Industries

Ltd.

(a)

706

49,474

Tourmaline

Oil

Corp.

(a)

26,453

356,614

Yamana

Gold,

Inc.

(a)

21,163

120,870

6,484,510

—

China

-

0.3%

Wilmar

International

Ltd.

(2)

43,700

153,860

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

309,000

223,377

377,237

—

Denmark

-

1.0%

Carlsberg

A/S,

Class

B

(2)(a)

464

74,385

Genmab

A/S

(2)*(a)

88

35,683

GN

Store

Nord

A/S

(2)(a)

332

26,465

Pandora

A/S

(2)(a)

5,992

670,613

ROCKWOOL

International

A/S,

Class

B

(2)(a)

462

172,906

Vestas

Wind

Systems

A/S

(2)(a)

847

200,086

1,180,138

—

Finland

-

0.8%

Kesko

OYJ,

Class

B

(2)(a)

16,625

426,709

Neste

OYJ

(2)(a)

3,614

262,390

Orion

OYJ,

Class

B

(2)(a)

1,776

81,580

UPM-Kymmene

OYJ

(2)(a)

1,718

64,067

Valmet

OYJ

(2)(a)

7,028

202,058

1,036,804

—

France

-

2.7%

Arkema

SA

(2)(a)

713

81,583

Atos

SE

(2)*(a)

362

33,056

AXA

SA

(2)(a)

1,116

26,764

BNP

Paribas

SA

(2)*(a)

5,846

308,623

Carrefour

SA

(2)(a)

6,830

116,960

Cie

de

Saint-Gobain

(2)(a)

10,250

471,421

Cie

Generale

des

Etablissements

Michelin

SCA

(2)(a)

262

33,734

CNP

Assurances

(2)*(a)

9,373

152,284

Credit

Agricole

SA

(2)*(a)

7,874

99,543

Electricite

de

France

SA

(2)(a)

32,354

511,980

Engie

SA

(2)*(a)

1,047

16,051

Eutelsat

Communications

SA

(2)(a)

17,674

199,937

Orange

SA

(2)(a)

3,543

42,180

Peugeot

SA

(2)*(a)

23,139

633,676

Publicis

Groupe

SA

(2)(a)

419

20,825

Rexel

SA

(2)*(a)

9,997

157,786

28

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

France

-

2.7%

(continued)

Rubis

SCA

(2)(a)

5,220

241,311

Sanofi

(2)(a)

186

18,028

Societe

BIC

SA

(2)(a)

1,101

62,283

Sodexo

SA

(2)(a)

376

31,800

3,259,825

—

Germany

-

2.2%

Aurubis

AG

(2)(a)

1,873

146,166

Bayerische

Motoren

Werke

AG

(2)

(a)

3,726

328,844

Brenntag

AG

(2)(a)

2,143

166,643

Deutsche

Post

AG

(Registered)

(2)

(a)

10,092

499,915

Freenet

AG

(2)

846

17,771

Hannover

Rueck

SE

(2)(a)

781

124,457

HeidelbergCement

AG

(2)(a)

2,899

215,847

HelloFresh

SE

(2)*(a)

3,342

258,511

Henkel

AG

&

Co.

KGaA

(Preference)

(2)(a)

4,438

500,404

METRO

AG

(2)(a)

2,278

25,588

ProSiebenSat.1

Media

SE

(2)*(a)

16,020

269,711

Software

AG

(2)(a)

818

33,317

TUI

AG

(2)(a)

20,125

126,411

Uniper

SE

(2)(a)

335

11,608

Volkswagen

AG

(Preference)

(2)(a)

116

21,679

2,746,872

—

Italy

-

2.2%

A2A

SpA

(2)(a)

171,215

274,435

Assicurazioni

Generali

SpA

(2)(a)

20,134

352,513

Banco

BPM

SpA

(2)(a)

62,127

137,844

Buzzi

Unicem

SpA

(2)(a)

9,863

235,457

DiaSorin

SpA

(2)(a)

762

159,099

Enel

SpA

(2)(a)

26,822

272,907

Hera

SpA

(2)(a)

62,541

227,583

Italgas

SpA

(2)(a)

18,971

120,846

Leonardo

SpA

(2)(a)

28,277

204,391

Poste

Italiane

SpA

(2)(a)(b)

28,826

294,854

Prysmian

SpA

(2)(a)

4,945

176,006

Terna

Rete

Elettrica

Nazionale

SpA

(2)(a)

12,495

96,014

Unipol

Gruppo

SpA

(2)*(a)

41,131

197,651

2,749,600

—

Ivory

Coast

-

0.1%

Endeavour

Mining

Corp.

*

3,177

73,928

Japan

-

16.6%

AEON

Financial

Service

Co.

Ltd.

(2)(a)

10,500

125,933

AGC,

Inc.

(2)(a)

15,800

552,511

Aisin

Seiki

Co.

Ltd.

(2)(a)

600

17,994

Alfresa

Holdings

Corp.

(2)(a)

3,700

67,818

Amada

Co.

Ltd.

(2)(a)

6,100

67,126

Asahi

Kasei

Corp.

(2)(a)

2,900

29,725

Astellas

Pharma,

Inc.

(2)(a)

2,000

30,968

Bandai

Namco

Holdings,

Inc.

(2)(a)

1,700

147,221

Bridgestone

Corp.

(2)(a)

4,500

147,581

Brother

Industries

Ltd.

(2)(a)

13,800

284,880

Canon

Marketing

Japan,

Inc.

(2)(a)

3,000

68,560

Chiba

Bank

Ltd.

(The)

(2)(a)

21,500

118,643

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.6%

(continued)

Chubu

Electric

Power

Co.,

Inc.

(2)

(a)

24,800

299,286

Concordia

Financial

Group

Ltd.

(2)

(a)

7,000

24,693

Credit

Saison

Co.

Ltd.

(2)(a)

3,100

35,690

Daicel

Corp.

(2)(a)

2,600

19,004

Daiwa

Securities

Group,

Inc.

(2)(a)

21,500

97,929

DeNA

Co.

Ltd.

(2)(a)

4,800

85,445

Electric

Power

Development

Co.

Ltd.

(2)(a)

13,300

183,542

ENEOS

Holdings,

Inc.

(2)(a)

102,100

366,713

Fujitsu

Ltd.

(2)(a)

2,400

346,885

Fukuoka

Financial

Group,

Inc.

(2)

(a)

8,200

146,165

GungHo

Online

Entertainment,

Inc.

(2)(a)

11,890

266,207

Haseko

Corp.

(2)(a)

23,200

266,283

Hitachi

Ltd.

(2)(a)

8,900

351,277

Honda

Motor

Co.

Ltd.

(2)(a)

11,500

324,487

Iida

Group

Holdings

Co.

Ltd.

(2)(a)

8,800

177,920

Isuzu

Motors

Ltd.

(2)(a)

18,400

175,161

ITOCHU

Corp.

(2)(a)

21,200

609,714

Japan

Post

Holdings

Co.

Ltd.

(2)(a)

48,300

376,216

Japan

Post

Insurance

Co.

Ltd.

(2)

(a)

18,100

371,125

Kajima

Corp.

(2)(a)

32,600

437,329

Kaken

Pharmaceutical

Co.

Ltd.

(2)

(a)

1,000

38,643

Kamigumi

Co.

Ltd.

(2)(a)

14,700

268,545

Kaneka

Corp.

(2)(a)

2,900

101,599

Kansai

Electric

Power

Co.,

Inc.

(The)

(2)(a)

2,100

19,862

KDDI

Corp.

(2)(a)

19,800

587,074

Kinden

Corp.

(2)(a)

8,100

131,904

Komatsu

Ltd.

(2)(a)

1,300

35,878

Konami

Holdings

Corp.

(2)(a)

3,100

174,425

K's

Holdings

Corp.

(2)(a)

2,600

36,228

Kyocera

Corp.

(2)(a)

1,200

73,654

Mabuchi

Motor

Co.

Ltd.

(2)(a)

4,900

213,735

Marubeni

Corp.

(2)(a)

39,100

260,500

Mebuki

Financial

Group,

Inc.

(2)

26,200

51,623

Medipal

Holdings

Corp.

(2)(a)

10,400

195,575

Mitsubishi

Corp.

(2)(a)

1,300

32,047

Mitsubishi

Electric

Corp.

(2)(a)

14,200

214,614

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)(a)

8,200

188,562

Mitsubishi

Logistics

Corp.

(2)(a)

1,400

41,994

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.

(2)(a)

33,500

160,863

Mitsui

&

Co.

Ltd.

(2)(a)

13,800

253,013

Mitsui

Chemicals,

Inc.

(2)(a)

12,300

361,317

Mizuho

Financial

Group,

Inc.

(2)(a)

18,080

229,475

MS&AD

Insurance

Group

Holdings,

Inc.

(2)(a)

15,300

465,503

Nexon

Co.

Ltd.

(2)(a)

3,600

111,078

NGK

Insulators

Ltd.

(2)(a)

2,800

43,265

Nippo

Corp.

(2)(a)

1,600

43,839

Nippon

Express

Co.

Ltd.

(2)(a)

3,200

215,254

Nippon

Telegraph

&

Telephone

Corp.

(2)(a)

26,000

667,133

29

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.6%

(continued)

Nomura

Holdings,

Inc.

(2)(a)

96,700

511,260

NS

Solutions

Corp.

(2)(a)

2,800

82,476

Obayashi

Corp.

(2)(a)

48,200

416,186

Oji

Holdings

Corp.

(2)(a)

45,700

260,175

ORIX

Corp.

(2)(a)

9,900

152,303

Osaka

Gas

Co.

Ltd.

(2)(a)

19,600

401,753

Otsuka

Holdings

Co.

Ltd.

(2)(a)

900

38,562

Panasonic

Corp.

(2)(a)

12,000

139,887

Resona

Holdings,

Inc.

(2)(a)

174,900

612,283

Rohto

Pharmaceutical

Co.

Ltd.

(2)

(a)

1,000

29,640

Sankyo

Co.

Ltd.

(2)(a)

6,100

165,052

Sankyu,

Inc.

(2)(a)

3,900

147,475

Sawai

Pharmaceutical

Co.

Ltd.

(2)

(a)

2,100

95,305

Sega

Sammy

Holdings,

Inc.

(2)(a)

3,200

50,515

Seino

Holdings

Co.

Ltd.

(2)(a)

5,200

73,380

Sekisui

Chemical

Co.

Ltd.

(2)(a)

4,400

83,430

Sekisui

House

Ltd.

(2)(a)

3,500

71,301

Shimizu

Corp.

(2)(a)

19,200

139,763

Shinsei

Bank

Ltd.

(2)(a)

16,100

198,897

Shizuoka

Bank

Ltd.

(The)

(2)(a)

12,500

91,754

Sojitz

Corp.

(2)(a)

82,200

183,561

Sompo

Holdings,

Inc.

(2)(a)

11,800

478,406

Subaru

Corp.

(2)(a)

14,900

298,133

Sumitomo

Dainippon

Pharma

Co.

Ltd.

(2)(a)

3,300

48,772

Sumitomo

Electric

Industries

Ltd.

(2)(a)

1,800

23,851

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

4,500

111,226

Sumitomo

Metal

Mining

Co.

Ltd.

(2)(a)

3,500

155,684

Sumitomo

Mitsui

Trust

Holdings,

Inc.

(2)(a)

6,000

185,128

Sumitomo

Rubber

Industries

Ltd.

(2)(a)

7,800

67,113

Suzuken

Co.

Ltd.

(2)(a)

2,300

83,200

T&D

Holdings,

Inc.

(2)(a)

8,200

96,997

Taiheiyo

Cement

Corp.

(2)(a)

10,700

268,025

Taisei

Corp.

(2)(a)

4,700

162,143

TBS

Holdings,

Inc.

(2)(a)

3,000

52,763

Teijin

Ltd.

(2)(a)

15,000

282,272

Tohoku

Electric

Power

Co.,

Inc.

(2)

(a)

14,200

117,195

Tokio

Marine

Holdings,

Inc.

(2)(a)

2,400

123,652

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*(a)

63,100

166,672

Tokyo

Gas

Co.

Ltd.

(2)(a)

15,500

358,750

Toppan

Printing

Co.

Ltd.

(2)(a)

10,800

152,513

Tosoh

Corp.

(2)(a)

23,400

365,606

Toyo

Seikan

Group

Holdings

Ltd.

(2)(a)

4,100

44,901

Toyoda

Gosei

Co.

Ltd.

(2)(a)

3,600

104,451

Toyota

Boshoku

Corp.

(2)(a)

8,000

129,925

Toyota

Motor

Corp.

(2)(a)

200

15,434

Toyota

Tsusho

Corp.

(2)(a)

9,300

376,339

Yamada

Holdings

Co.

Ltd.

(2)(a)

8,700

46,223

INVESTMENTS

SHARES

VALUE

($)

Japan

-

16.6%

(continued)

Yokohama

Rubber

Co.

Ltd.

(The)

(2)

10,700

159,398

20,256,963

—

Kyrgyzstan

-

0.1%

Centerra

Gold,

Inc.

13,996

162,072

Luxembourg

-

0.3%

APERAM

SA

(2)

3,591

149,441

Eurofins

Scientific

SE

(2)*

2,440

204,574

354,015

—

Netherlands

-

1.8%

ASM

International

NV

(2)(a)

753

164,321

ASR

Nederland

NV

(2)(a)

8,347

333,972

Koninklijke

Ahold

Delhaize

NV

(2)

(a)

23,677

667,960

NN

Group

NV

(2)(a)

6,725

290,723

Randstad

NV

(2)*(a)

6,232

403,414

Signify

NV

(2)*(a)(b)

8,252

346,470

2,206,860

—

Norway

-

0.2%

Leroy

Seafood

Group

ASA

(2)(a)

12,770

90,098

Orkla

ASA

(2)(a)

3,419

34,711

Salmar

ASA

(2)(a)

2,763

161,887

286,696

—

Panama

-

0.1%

Copa

Holdings

SA,

Class

A

(c)

1,312

101,326

Singapore

-

0.3%

Genting

Singapore

Ltd.

(2)

62,000

39,931

Jardine

Cycle

&

Carriage

Ltd.

(2)

1,300

19,259

SATS

Ltd.

(2)*

10,200

30,776

Venture

Corp.

Ltd.

(2)

16,400

241,143

331,109

—

South

Africa

-

0.0%

(d)

Investec

plc

(2)

21,116

54,267

Spain

-

1.9%

Acciona

SA

(2)(a)

898

128,497

CaixaBank

SA

(2)(a)

30,528

78,465

Enagas

SA

(2)(a)

18,526

407,567

Endesa

SA

(2)(a)

18,005

493,858

Iberdrola

SA

(2)(a)

24,871

357,404

Mapfre

SA

(2)(a)

134,180

262,227

Red

Electrica

Corp.

SA

(2)(a)

11,539

236,908

Repsol

SA

(2)(a)

35,771

360,361

2,325,287

—

Sweden

-

1.4%

Axfood

AB

(2)(a)

8,942

208,307

Boliden

AB

(2)(a)

1,895

67,230

Electrolux

AB,

Series

B

(2)(a)

1,063

24,733

Essity

AB,

Class

B

(2)(a)

3,233

104,165

Getinge

AB,

Class

B

(2)(a)

14,448

338,107

Holmen

AB,

Class

B

(2)(a)

560

26,855

Husqvarna

AB,

Class

B

(2)(a)

1,720

22,322

ICA

Gruppen

AB

(2)(a)

6,134

306,827

Securitas

AB,

Class

B

(2)(a)

1,304

21,038

30

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

1.4%

(continued)

Skanska

AB,

Class

B

(2)(a)

1,590

40,520

SKF

AB,

Class

B

(2)(a)

5,455

141,935

SSAB

AB,

Class

A

(2)*(a)

9,467

33,559

Swedish

Orphan

Biovitrum

AB

(2)*(a)

2,567

51,659

Trelleborg

AB,

Class

B

(2)*(a)

2,490

55,308

Volvo

AB,

Class

B

(2)*(a)

10,474

247,952

1,690,517

—

Switzerland

-

1.6%

Adecco

Group

AG

(Registered)

(2)

(a)

2,947

196,280

BKW

AG

(2)(a)

157

17,691

Bucher

Industries

AG

(Registered)

(2)(a)

136

62,378

DKSH

Holding

AG

(2)(a)

1,632

122,273

Geberit

AG

(Registered)

(2)(a)

57

35,680

Lonza

Group

AG

(Registered)

(2)(a)

270

173,925

Roche

Holding

AG

(2)(a)

766

266,797

Sonova

Holding

AG

(Registered)

(2)*(a)

610

158,657

Sulzer

AG

(Registered)

(2)(a)

1,084

114,640

Swiss

Life

Holding

AG

(Registered)

(2)*(a)

617

287,812

Swisscom

AG

(Registered)

(2)(a)

792

426,522

Tecan

Group

AG

(Registered)

(2)(a)

89

43,653

Zurich

Insurance

Group

AG

(2)(a)

96

40,456

1,946,764

—

United

Kingdom

-

3.4%

Aggreko

plc

(2)(a)

6,413

54,973

ASOS

plc

(2)*(a)

4,329

282,117

Aviva

plc

(2)(a)

103,352

459,712

boohoo

Group

plc

(2)*(a)

100,560

472,057

Britvic

plc

(2)(a)

6,626

73,602

BT

Group

plc

(2)*

162,438

292,788

Centrica

plc

(2)

55,320

35,102

Dialog

Semiconductor

plc

(2)*(a)

3,280

178,737

Direct

Line

Insurance

Group

plc

(2)(a)

6,368

27,852

DS

Smith

plc

(2)(a)

31,521

161,127

Entain

plc

(2)

5,193

80,548

Hays

plc

(2)

43,439

85,215

Howden

Joinery

Group

plc

(2)(a)

22,721

214,041

Inchcape

plc

(2)(a)

6,503

57,248

John

Wood

Group

plc

(2)(a)

24,777

104,518

Kingfisher

plc

(2)*(a)

26,075

96,351

M&G

plc

(2)(a)

126,206

340,652

Man

Group

plc

(2)

13,606

25,691

Marks

&

Spencer

Group

plc

(2)*

179,093

332,196

Moneysupermarket.com

Group

plc

(2)(a)

29,455

105,199

National

Grid

plc

(2)(a)

17,462

206,356

Persimmon

plc

(2)(a)

1,415

53,406

Royal

Mail

plc

(2)*(a)

62,778

289,343

Signature

Aviation

plc

(2)*(a)

3,502

18,457

Spectris

plc

(2)(a)

709

27,308

Tate

&

Lyle

plc

(2)(a)

7,656

70,544

4,145,140

—

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

Aaron's

Co.,

Inc.

(The)

*(c)

1,749

33,161

AbbVie,

Inc.

(a)(c)

2,929

313,842

ABIOMED,

Inc.

*(c)

184

59,653

Accenture

plc,

Class

A

(a)

74

19,330

Activision

Blizzard,

Inc.

(a)

1,534

142,432

Acuity

Brands,

Inc.

(c)

1,282

155,237

Adtalem

Global

Education,

Inc.

*(a)

2,434

82,634

Advance

Auto

Parts,

Inc.

(a)

170

26,777

AGCO

Corp.

(a)

311

32,061

Agilent

Technologies,

Inc.

(a)(c)

852

100,953

Air

Lease

Corp.

(a)(c)

2,581

114,648

Akamai

Technologies,

Inc.

*(c)

1,836

192,762

Alaska

Air

Group,

Inc.

(c)

1,816

94,432

Alkermes

plc

*(c)

5,475

109,226

Alliance

Data

Systems

Corp.

(a)

3,580

265,278

Allison

Transmission

Holdings,

Inc.

(a)

366

15,786

Allstate

Corp.

(The)

(a)

2,295

252,289

Alphabet,

Inc.,

Class

A

*(a)

370

648,478

AMC

Networks,

Inc.,

Class

A

*(a)

8,468

302,900

Amdocs

Ltd.

(a)(c)

1,539

109,161

American

Eagle

Outfitters,

Inc.

(c)

9,360

187,855

Ameriprise

Financial,

Inc.

(a)

771

149,828

AmerisourceBergen

Corp.

(a)

1,079

105,483

Amgen,

Inc.

(c)

1,137

261,419

ANSYS,

Inc.

*(c)

709

257,934

Anthem,

Inc.

(a)

694

222,836

Applied

Materials,

Inc.

(a)

1,028

88,716

Aramark

(a)(c)

3,137

120,712

Archer-Daniels-Midland

Co.

(c)

835

42,092

Arrow

Electronics,

Inc.

*(a)

5,158

501,873

ASGN,

Inc.

*(a)

172

14,367

Aspen

Technology,

Inc.

*(c)

1,123

146,271

Associated

Banc-Corp.

7,374

125,727

Assured

Guaranty

Ltd.

(a)

844

26,578

AutoNation,

Inc.

*(a)

7,189

501,720

AutoZone,

Inc.

*(c)

213

252,499

Avient

Corp.

(a)

5,078

204,542

Bank

of

New

York

Mellon

Corp.

(The)

(a)

1,432

60,774

Baxter

International,

Inc.

(a)

382

30,652

Berry

Global

Group,

Inc.

*(c)

992

55,740

Best

Buy

Co.,

Inc.

(c)

3,222

321,523

Biogen,

Inc.

*(c)

591

144,712

Bio-Rad

Laboratories,

Inc.,

Class

A

*(a)

555

323,532

Bio-Techne

Corp.

(c)

649

206,090

BJ's

Wholesale

Club

Holdings,

Inc.

*(a)

1,920

71,578

Booking

Holdings,

Inc.

*(a)

9

20,045

Booz

Allen

Hamilton

Holding

Corp.

(c)

3,609

314,633

BorgWarner,

Inc.

(a)(c)

5,658

218,625

Boston

Beer

Co.,

Inc.

(The),

Class

A

*(c)

293

291,327

Boyd

Gaming

Corp.

*(a)

2,777

119,189

Brighthouse

Financial,

Inc.

*(a)

3,520

127,442

Bristol-Myers

Squibb

Co.

(a)

4,232

262,511

BRP,

Inc.

(a)

4,493

296,815

Brunswick

Corp.

(a)

5,203

396,677

31

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

Cabot

Oil

&

Gas

Corp.

(a)(c)

4,345

70,737

CACI

International,

Inc.,

Class

A

*(a)

1,240

309,169

Cadence

Design

Systems,

Inc.

*(c)

2,484

338,892

Capri

Holdings

Ltd.

*(a)

1,677

70,434

Cardinal

Health,

Inc.

(a)

322

17,246

Carlisle

Cos.,

Inc.

(a)

709

110,732

Carter's,

Inc.

(c)

4,034

379,478

Casey's

General

Stores,

Inc.

(a)(c)

863

154,149

Cathay

General

Bancorp

1,339

43,102

CDW

Corp.

(a)

1,567

206,515

Cerner

Corp.

(c)

5,150

404,172

CH

Robinson

Worldwide,

Inc.

(a)

1,064

99,878

Change

Healthcare,

Inc.

*(c)

913

17,027

Charles

River

Laboratories

International,

Inc.

*(a)(c)

2,337

583,923

Chemed

Corp.

(a)

243

129,424

Church

&

Dwight

Co.,

Inc.

(c)

942

82,171

Churchill

Downs,

Inc.

(a)(c)

209

40,711

Ciena

Corp.

*(a)

3,051

161,245

Cigna

Corp.

(a)

345

71,822

Cirrus

Logic,

Inc.

*(a)

4,055

333,321

Citizens

Financial

Group,

Inc.

(a)

3,514

125,661

Citrix

Systems,

Inc.

(a)

532

69,213

Clorox

Co.

(The)

(c)

2,509

506,617

CNX

Resources

Corp.

*(a)(c)

6,848

73,958

Cognizant

Technology

Solutions

Corp.,

Class

A

(c)

1,451

118,909

Colgate-Palmolive

Co.

(c)

322

27,534

Columbia

Sportswear

Co.

(a)(c)

1,799

157,197

Comerica,

Inc.

(a)

1,985

110,882

Commercial

Metals

Co.

(c)

19,379

398,045

Concentrix

Corp.

*(a)

1,824

180,029

Cooper

Cos.,

Inc.

(The)

(c)

311

112,993

Costco

Wholesale

Corp.

(c)

388

146,191

Cracker

Barrel

Old

Country

Store,

Inc.

(c)

1,053

138,912

Cummins,

Inc.

(c)

2,231

506,660

Curtiss-Wright

Corp.

(a)

1,480

172,198

CVS

Health

Corp.

(c)

2,237

152,787

Dana,

Inc.

10,969

214,115

Danaher

Corp.

(a)(c)

1,117

248,130

Darden

Restaurants,

Inc.

(a)

561

66,826

Deckers

Outdoor

Corp.

*(c)

2,253

646,116

Dick's

Sporting

Goods,

Inc.

(c)

6,781

381,160

Dollar

General

Corp.

(a)

1,225

257,618

Domino's

Pizza,

Inc.

(c)

57

21,857

Domtar

Corp.

(a)

4,371

138,342

East

West

Bancorp,

Inc.

(c)

2,337

118,509

Eastman

Chemical

Co.

(c)

1,520

152,426

Eaton

Corp.

plc

(a)(c)

1,899

228,146

eBay,

Inc.

(c)

5,189

260,747

Electronic

Arts,

Inc.

(c)

2,707

388,725

EMCOR

Group,

Inc.

(a)

1,761

161,061

Emergent

BioSolutions,

Inc.

*(c)

798

71,501

Emerson

Electric

Co.

(a)

863

69,359

EnerSys

(c)

413

34,304

EPAM

Systems,

Inc.

*(a)(c)

462

165,558

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

(a)(c)

1,205

320,759

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

Everest

Re

Group

Ltd.

(a)

694

162,458

Exelixis,

Inc.

*(c)

3,506

70,365

Expeditors

International

of

Washington,

Inc.

(c)

3,328

316,526

Extended

Stay

America,

Inc.

10,805

160,022

F5

Networks,

Inc.

*(a)

877

154,299

Facebook,

Inc.,

Class

A

*(a)

2,403

656,404

Fair

Isaac

Corp.

*(c)

693

354,151

Federated

Hermes,

Inc.,

Class

B

(a)

7,017

202,721

FedEx

Corp.

(c)

327

84,896

Fifth

Third

Bancorp

(a)

5,059

139,477

First

Hawaiian,

Inc.

(a)(c)

1,578

37,209

First

Solar,

Inc.

*(c)

338

33,435

Flowers

Foods,

Inc.

(c)

1,638

37,068

FNB

Corp.

(c)

14,364

136,458

Foot

Locker,

Inc.

(c)

5,166

208,913

Fortinet,

Inc.

*(a)

1,256

186,554

Fortune

Brands

Home

&

Security,

Inc.

(c)

1,265

108,436

Fulton

Financial

Corp.

(c)

2,749

34,967

Gap,

Inc.

(The)

(a)(c)

2,168

43,772

General

Dynamics

Corp.

(c)

276

41,074

General

Mills,

Inc.

(c)

2,349

138,121

General

Motors

Co.

(a)

3,973

165,436

Genuine

Parts

Co.

(a)(c)

136

13,658

Gilead

Sciences,

Inc.

(a)

1,390

80,981

Globus

Medical,

Inc.,

Class

A

*(c)

2,725

177,725

GrafTech

International

Ltd.

(a)

5,652

60,250

Graham

Holdings

Co.,

Class

B

(a)

196

104,542

Greif,

Inc.,

Class

A

(a)

2,814

131,920

H&R

Block,

Inc.

(c)

5,130

81,362

Hancock

Whitney

Corp.

(c)

1,276

43,410

Hanesbrands,

Inc.

(c)

15,896

231,764

Hartford

Financial

Services

Group,

Inc.

(The)

(a)

1,937

94,874

HCA

Healthcare,

Inc.

(a)

702

115,451

Helen

of

Troy

Ltd.

*(c)

438

97,319

Herman

Miller,

Inc.

(a)

5,893

199,183

Hexcel

Corp.

(c)

3,405

165,108

Hill-Rom

Holdings,

Inc.

(a)

1,818

178,109

HollyFrontier

Corp.

(a)

4,031

104,201

Hologic,

Inc.

*(a)

384

27,967

Horizon

Therapeutics

plc

*(a)

2,809

205,478

Howmet

Aerospace,

Inc.

*(a)

12,311

351,356

HP,

Inc.

(a)

16,494

405,587

Hubbell,

Inc.

(c)

586

91,879

Humana,

Inc.

(a)

422

173,134

Huntington

Ingalls

Industries,

Inc.

(a)

1,091

185,994

Huntsman

Corp.

(a)

2,896

72,805

IAC/InterActiveCorp

*(a)

1,489

281,942

Ingredion,

Inc.

(a)

1,264

99,439

Intel

Corp.

(a)

3,408

169,787

Interpublic

Group

of

Cos.,

Inc.

(The)

(c)

3,549

83,472

Intuit,

Inc.

(a)

63

23,931

IQVIA

Holdings,

Inc.

*(c)

1,552

278,072

ITT,

Inc.

(a)

2,348

180,843

J

M

Smucker

Co.

(The)

(c)

1,749

202,184

32

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

J2

Global,

Inc.

*(c)

3,178

310,459

Jabil,

Inc.

(a)

7,071

300,730

Jack

in

the

Box,

Inc.

(c)

1,858

172,422

Jazz

Pharmaceuticals

plc

*(c)

2,017

332,906

JetBlue

Airways

Corp.

*(c)

10,644

154,764

Johnson

Controls

International

plc

(c)

682

31,774

Juniper

Networks,

Inc.

(a)

1,348

30,343

KB

Home

(a)

10,777

361,245

KBR,

Inc.

(a)

1,727

53,416

KeyCorp

(c)

1,206

19,790

Keysight

Technologies,

Inc.

*(a)

1,384

182,813

Kimberly-Clark

Corp.

(a)(c)

968

130,515

KLA

Corp.

(c)

481

124,536

Knight-Swift

Transportation

Holdings,

Inc.

(c)

1,024

42,824

Kohl's

Corp.

(a)

7,182

292,236

Kroger

Co.

(The)

(c)

11,775

373,974

Laboratory

Corp.

of

America

Holdings

*(c)

836

170,168

Lam

Research

Corp.

(c)

499

235,663

Lear

Corp.

(a)(c)

605

96,213

Lennar

Corp.,

Class

A

(a)

1,852

141,178

Lithia

Motors,

Inc.,

Class

A

(c)

240

70,241

LKQ

Corp.

*(c)

5,256

185,221

LPL

Financial

Holdings,

Inc.

(a)

196

20,427

LyondellBasell

Industries

NV,

Class

A

(c)

1,534

140,606

M&T

Bank

Corp.

(a)(c)

465

59,195

Madison

Square

Garden

Entertainment

Corp.

*(a)

743

78,045

Manhattan

Associates,

Inc.

*(a)(c)

2,041

214,672

ManpowerGroup,

Inc.

(a)

3,350

302,103

Marriott

Vacations

Worldwide

Corp.

(a)

1,496

205,281

Masimo

Corp.

*(a)

483

129,628

MasTec,

Inc.

*(c)

4,185

285,333

Match

Group,

Inc.

*(a)

1,778

268,816

MAXIMUS,

Inc.

(a)

2,218

162,335

McKesson

Corp.

(a)

1,591

276,707

MDU

Resources

Group,

Inc.

(a)

10,580

278,677

Medpace

Holdings,

Inc.

*(a)

137

19,070

Medtronic

plc

(c)

882

103,317

Merck

&

Co.,

Inc.

(a)

5,083

415,789

MetLife,

Inc.

(c)

756

35,494

Micron

Technology,

Inc.

*(a)

2,194

164,945

Minerals

Technologies,

Inc.

(a)

1,346

83,614

MKS

Instruments,

Inc.

(a)

2,259

339,867

Mohawk

Industries,

Inc.

*(c)

2,885

406,641

Molina

Healthcare,

Inc.

*(a)

889

189,073

Molson

Coors

Beverage

Co.,

Class

B

(c)

4,055

183,245

MSA

Safety,

Inc.

(c)

372

55,573

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(c)

609

51,394

Murphy

USA,

Inc.

(a)

3,080

403,080

Navient

Corp.

(a)

9,437

92,671

NCR

Corp.

*(a)

5,760

216,403

NortonLifeLock,

Inc.

(c)

6,507

135,215

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

Nu

Skin

Enterprises,

Inc.,

Class

A

(a)(c)

6,508

355,532

Nuance

Communications,

Inc.

*(c)

4,232

186,589

Nucor

Corp.

(c)

1,615

85,902

nVent

Electric

plc

(c)

1,291

30,067

Old

Republic

International

Corp.

(c)

3,133

61,751

Omnicom

Group,

Inc.

(c)

834

52,017

OneMain

Holdings,

Inc.

(a)(c)

2,545

122,567

Oracle

Corp.

(a)(c)

1,653

106,933

Oshkosh

Corp.

(a)

1,130

97,259

Owens

Corning

(a)(c)

1,030

78,033

PACCAR,

Inc.

(c)

534

46,074

Packaging

Corp.

of

America

(a)(c)

2,028

279,681

Papa

John's

International,

Inc.

(a)

1,942

164,779

Paycom

Software,

Inc.

*(c)

227

102,661

Peloton

Interactive,

Inc.,

Class

A

*(c)

1,055

160,065

Penske

Automotive

Group,

Inc.

(a)

4,054

240,767

People's

United

Financial,

Inc.

(c)

4,324

55,909

PerkinElmer,

Inc.

(c)

280

40,180

Pilgrim's

Pride

Corp.

*(a)

5,449

106,855

Polaris,

Inc.

(a)

1,173

111,763

Popular,

Inc.

6,703

377,513

PRA

Health

Sciences,

Inc.

*(a)

3,351

420,349

Prestige

Consumer

Healthcare,

Inc.

*(c)

975

33,998

Procter

&

Gamble

Co.

(The)

(a)

1,274

177,264

PROG

Holdings,

Inc.

(c)

622

33,507

PulteGroup,

Inc.

(a)

7,638

329,351

PVH

Corp.

(a)(c)

325

30,514

Qorvo,

Inc.

*(a)

1,258

209,168

QUALCOMM,

Inc.

(c)

292

44,483

Quanta

Services,

Inc.

(c)

5,274

379,833

Quest

Diagnostics,

Inc.

(c)

712

84,849

Quidel

Corp.

*(c)

529

95,035

Qurate

Retail,

Inc.,

Series

A

(a)

36,309

398,310

Ralph

Lauren

Corp.

(a)(c)

1,448

150,216

Regal

Beloit

Corp.

(a)

3,673

451,081

Regeneron

Pharmaceuticals,

Inc.

*(c)

572

276,339

Regions

Financial

Corp.

(c)

2,238

36,077

Reliance

Steel

&

Aluminum

Co.

(a)

1,263

151,244

RH

*(c)

153

68,471

Robert

Half

International,

Inc.

(c)

3,801

237,486

Sally

Beauty

Holdings,

Inc.

*(a)(c)

9,669

126,084

Santander

Consumer

USA

Holdings,

Inc.

(a)

5,724

126,042

Schneider

National,

Inc.,

Class

B

(a)(c)

3,928

81,310

Science

Applications

International

Corp.

(c)

1,329

125,777

Seagate

Technology

plc

(c)

1,831

113,815

Silgan

Holdings,

Inc.

(c)

7,928

293,970

Skechers

USA,

Inc.,

Class

A

*(a)

5,738

206,224

Skyworks

Solutions,

Inc.

(a)

2,102

321,354

Snap-on,

Inc.

(c)

1,374

235,146

Sonoco

Products

Co.

(c)

794

47,045

Spectrum

Brands

Holdings,

Inc.

(a)

4,147

327,530

Sprouts

Farmers

Market,

Inc.

*(c)

11,724

235,652

33

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

SS&C

Technologies

Holdings,

Inc.

(a)

611

44,450

State

Street

Corp.

(c)

1,365

99,345

Steel

Dynamics,

Inc.

(a)

12,378

456,377

STERIS

plc

(c)

1,548

293,408

Stifel

Financial

Corp.

(a)(c)

2,777

140,127

Strategic

Education,

Inc.

(a)

243

23,165

Stryker

Corp.

(c)

194

47,538

Synaptics,

Inc.

*(a)

1,679

161,856

Syneos

Health,

Inc.

*(a)

1,157

78,826

SYNNEX

Corp.

(a)

5,438

442,871

Synopsys,

Inc.

*(a)

1,258

326,124

Synovus

Financial

Corp.

(a)

5,894

190,789

Tapestry,

Inc.

(a)

4,982

154,841

Target

Corp.

(a)(c)

3,302

582,902

TEGNA,

Inc.

(a)

19,905

277,675

Teladoc

Health,

Inc.

*(c)

628

125,575

Teledyne

Technologies,

Inc.

*(a)

433

169,727

Telephone

and

Data

Systems,

Inc.

3,194

59,313

Teradyne,

Inc.

(c)

2,083

249,731

Terex

Corp.

(a)

1,054

36,774

Texas

Roadhouse,

Inc.

(c)

2,662

208,062

Textron,

Inc.

(c)

5,492

265,428

Thermo

Fisher

Scientific,

Inc.

(c)

572

266,426

Thor

Industries,

Inc.

(a)(c)

2,308

214,621

Timken

Co.

(The)

(a)

2,191

169,496

Tractor

Supply

Co.

(c)

584

82,099

TRI

Pointe

Group,

Inc.

*(a)

19,920

343,620

Tyson

Foods,

Inc.,

Class

A

(a)

2,526

162,775

United

Rentals,

Inc.

*(c)

457

105,983

United

Therapeutics

Corp.

*(a)

4,295

651,939

Universal

Health

Services,

Inc.,

Class

B

(c)

1,911

262,763

Unum

Group

(a)(c)

11,178

256,423

Urban

Outfitters,

Inc.

*(c)

6,327

161,971

US

Foods

Holding

Corp.

*(a)(c)

4,925

164,052

Valero

Energy

Corp.

(c)

509

28,794

Veeva

Systems,

Inc.,

Class

A

*(a)

974

265,172

VeriSign,

Inc.

*(a)

842

182,209

Vertex

Pharmaceuticals,

Inc.

*(a)

92

21,743

Viatris,

Inc.

*(a)

10,615

198,925

Vishay

Intertechnology,

Inc.

(a)(c)

6,080

125,917

VMware,

Inc.,

Class

A

*(c)

231

32,400

Webster

Financial

Corp.

(c)

1,324

55,807

Wendy's

Co.

(The)

(c)

696

15,256

Werner

Enterprises,

Inc.

(a)

3,941

154,566

WESCO

International,

Inc.

*(c)

2,396

188,086

West

Pharmaceutical

Services,

Inc.

(c)

869

246,196

Western

Alliance

Bancorp

(a)

1,387

83,151

Westrock

Co.

(a)

5,209

226,748

Whirlpool

Corp.

(c)

876

158,109

Williams-Sonoma,

Inc.

(a)(c)

3,114

317,130

Wintrust

Financial

Corp.

(c)

1,171

71,536

Woodward,

Inc.

(a)(c)

115

13,976

World

Fuel

Services

Corp.

(a)

10,616

330,795

World

Wrestling

Entertainment,

Inc.,

Class

A

(c)

1,048

50,356

Worthington

Industries,

Inc.

(c)

1,136

58,322

Xerox

Holdings

Corp.

(a)(c)

11,886

275,636

INVESTMENTS

SHARES

VALUE

($)

United

States

-

46.7%

(continued)

Yelp,

Inc.

*(a)(c)

8,205

268,057

Yum!

Brands,

Inc.

(a)(c)

483

52,434

Zebra

Technologies

Corp.,

Class

A

*(c)

238

91,471

Zimmer

Biomet

Holdings,

Inc.

(a)

230

35,441

Zoetis,

Inc.

(a)

873

144,482

57,107,894

—

TOTAL

COMMON

STOCKS

(Cost

$81,912,859)

113,676,245

PREFERRED

STOCKS

-

0.1%

United

States

-

0.1%

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$125,034)

1,728

171,072

SHORT-TERM

INVESTMENTS

-

80.4%

INVESTMENT

COMPANIES

-

44.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(e)(f)

2,484,423

2,484,423

Limited

Purpose

Cash

Investment

Fund,

0.03%

(e)

51,715,378

51,694,691

TOTAL

INVESTMENT

COMPANIES

(Cost

$54,181,948)

54,179,114

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

36.2%

U.S.

Treasury

Bills

0.12%,

2/11/2021

(2)(g)

$

7,693,000

7,692,513

0.12%,

2/18/2021

(2)(g)

6,425,000

6,424,478

0.12%,

2/25/2021

(2)(g)

26,583,000

26,580,408

0.11%,

4/1/2021

(2)(g)

3,595,000

3,594,305

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$44,288,103)

44,291,704

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$98,470,051)

98,470,818

TOTAL

LONG

POSITIONS

(Cost

$180,507,944)

212,318,135

SHARES

SHORT

POSITIONS

-

(81.0)%

COMMON

STOCKS

-

(81.0)%

Argentina

-

0.0%

(d)

MercadoLibre,

Inc.

*

(14)

(23,453)

Australia

-

(2.6)%

Afterpay

Ltd.

(2)*

(1,409)

(128,086)

APA

Group

(2)

(44,658)

(332,277)

Atlas

Arteria

Ltd.

(2)

(22,524)

(113,260)

AusNet

Services

(2)

(3)

(4)

Challenger

Ltd.

(2)

(56,650)

(281,501)

Evolution

Mining

Ltd.

(2)

(5,513)

(21,216)

Glencore

plc

(2)*

(148,412)

(471,327)

Insurance

Australia

Group

Ltd.

(2)

(120,702)

(438,036)

Medibank

Pvt

Ltd.

(2)

(88,106)

(204,066)

Oil

Search

Ltd.

(2)

(42,303)

(121,238)

34

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Australia

-

(2.6)%

(continued)

Qantas

Airways

Ltd.

(2)

(65,353)

(245,057)

QBE

Insurance

Group

Ltd.

(2)

(70,316)

(458,350)

Ramsay

Health

Care

Ltd.

(2)

(481)

(23,112)

Seven

Group

Holdings

Ltd.

(2)

(2,248)

(40,596)

Suncorp

Group

Ltd.

(2)

(4,465)

(33,601)

Transurban

Group

(2)

(12,874)

(135,664)

WiseTech

Global

Ltd.

(2)

(4,685)

(111,340)

(3,158,731)

—

Belgium

-

(0.5)%

Anheuser-Busch

InBev

SA/NV

(2)

(6,227)

(434,438)

Galapagos

NV

(2)*

(1,274)

(126,093)

Telenet

Group

Holding

NV

(2)

(2,390)

(102,223)

(662,754)

—

Brazil

-

(0.1)%

Wheaton

Precious

Metals

Corp.

(4,322)

(180,499)

Canada

-

(4.3)%

Air

Canada

*

(19,436)

(347,677)

Algonquin

Power

&

Utilities

Corp.

(23,723)

(390,444)

AltaGas

Ltd.

(5,550)

(81,621)

Ballard

Power

Systems,

Inc.

*

(4,886)

(114,310)

Barrick

Gold

Corp.

(2,455)

(55,931)

BlackBerry

Ltd.

*

(23,098)

(153,152)

Boralex,

Inc.,

Class

A

(3,177)

(117,905)

Brookfield

Asset

Management,

Inc.,

Class

A

(6,477)

(267,751)

CAE,

Inc.

(2,633)

(72,956)

Cameco

Corp.

(11,399)

(152,685)

Canada

Goose

Holdings,

Inc.

*

(6,898)

(205,060)

Canadian

Natural

Resources

Ltd.

(490)

(11,776)

Canadian

Utilities

Ltd.,

Class

A

(1,086)

(26,525)

Canopy

Growth

Corp.

*

(6,724)

(165,446)

CCL

Industries,

Inc.,

Class

B

(2,502)

(113,591)

Element

Fleet

Management

Corp.

(7,563)

(79,498)

Emera,

Inc.

(6,032)

(256,368)

Enbridge,

Inc.

(5,885)

(188,215)

Fortis,

Inc.

(2,470)

(100,903)

Gildan

Activewear,

Inc.

(6,972)

(194,936)

Husky

Energy,

Inc.

(10,363)

(51,290)

Innergex

Renewable

Energy,

Inc.

(8,887)

(191,089)

Inter

Pipeline

Ltd.

(26,826)

(250,157)

Lightspeed

POS,

Inc.

*

(800)

(56,463)

Methanex

Corp.

(3,834)

(176,173)

Onex

Corp.

(911)

(52,288)

Pembina

Pipeline

Corp.

(2,345)

(55,452)

PrairieSky

Royalty

Ltd.

(11,001)

(87,203)

Restaurant

Brands

International,

Inc.

(3,132)

(191,503)

Shopify,

Inc.,

Class

A

*

(345)

(389,563)

SNC-Lavalin

Group,

Inc.

(11,764)

(200,826)

Suncor

Energy,

Inc.

(11,967)

(200,719)

TC

Energy

Corp.

(5,934)

(241,248)

(5,240,724)

—

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)*

(4,343)

(170,836)

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

(0.9)%

Ambu

A/S,

Class

B

(2)

(5,650)

(242,721)

DSV

Panalpina

A/S

(2)

(193)

(32,436)

ISS

A/S

(2)*

(21,309)

(366,550)

Orsted

A/S

(2)(b)

(1,867)

(381,998)

SimCorp

A/S

(2)

(147)

(21,855)

Tryg

A/S

(2)

(2,272)

(71,457)

(1,117,017)

—

Finland

-

(0.1)%

Sampo

OYJ,

Class

A

(2)

(1,099)

(46,986)

Wartsila

OYJ

Abp

(2)

(4,871)

(48,751)

(95,737)

—

France

-

(2.8)%

Accor

SA

(2)*

(6,982)

(253,313)

Adevinta

ASA

(2)*

(6,643)

(111,669)

Aeroports

de

Paris

(2)

(1,126)

(145,678)

Airbus

SE

(2)*

(4,399)

(482,765)

Bollore

SA

(2)

(6,946)

(28,757)

Cie

Plastic

Omnium

SA

(2)

(1,755)

(60,386)

Dassault

Systemes

SE

(2)

(285)

(57,804)

Edenred

(2)

(4,968)

(282,139)

Getlink

SE

(2)*

(7,470)

(129,240)

Iliad

SA

(2)

(584)

(119,874)

Imerys

SA

(2)

(2,113)

(99,620)

Orpea

SA

(2)*

(2,414)

(316,553)

Remy

Cointreau

SA

(2)

(695)

(129,726)

Renault

SA

(2)*

(6,371)

(278,871)

Safran

SA

(2)*

(1,923)

(272,554)

SEB

SA

(2)

(489)

(88,917)

Suez

SA

(2)

(3,311)

(65,622)

Ubisoft

Entertainment

SA

(2)*

(638)

(61,483)

Valeo

SA

(2)

(8,551)

(337,288)

Vinci

SA

(2)

(900)

(89,648)

(3,411,907)

—

Germany

-

(2.3)%

adidas

AG

(2)*

(317)

(115,326)

Carl

Zeiss

Meditec

AG

(2)

(277)

(36,735)

Commerzbank

AG

(2)*

(28,134)

(181,815)

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(4,348)

(290,626)

Delivery

Hero

SE

(2)*(b)

(578)

(90,393)

Deutsche

Bank

AG

(Registered)

(2)*

(29,778)

(327,528)

Evotec

SE

(2)*

(2,744)

(101,396)

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(2)*

(255)

(15,385)

GEA

Group

AG

(2)

(740)

(26,468)

Infineon

Technologies

AG

(2)

(8,089)

(308,908)

Just

Eat

Takeaway.com

NV

(2)*(b)

(656)

(73,966)

MorphoSys

AG

(2)*

(159)

(18,590)

MTU

Aero

Engines

AG

(2)

(814)

(212,185)

SAP

SE

(2)

(1,091)

(141,305)

Sartorius

AG

(Preference)

(2)

(175)

(73,706)

Telefonica

Deutschland

Holding

AG

(2)

(71,893)

(198,013)

thyssenkrupp

AG

(2)*

(36,594)

(362,614)

United

Internet

AG

(Registered)

(2)

(4,358)

(183,450)

(2,758,409)

—

35

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Ghana

-

0.0%

(d)

Kosmos

Energy

Ltd.

(20,202)

(47,475)

Italy

-

(0.8)%

Atlantia

SpA

(2)*

(13,614)

(245,840)

Autogrill

SpA

(2)*

(14,323)

(96,262)

Eni

SpA

(2)

(4,634)

(48,378)

Ferrari

NV

(2)

(290)

(67,263)

Freni

Brembo

SpA

(2)*

(9,056)

(120,068)

Nexi

SpA

(2)*(b)

(4,292)

(85,407)

Pirelli

&

C

SpA

(2)*(b)

(39,818)

(215,858)

Salvatore

Ferragamo

SpA

(2)*

(917)

(17,806)

UniCredit

SpA

(2)*

(5,568)

(52,169)

(949,051)

—

Japan

-

(16.7)%

Acom

Co.

Ltd.

(2)

(12,500)

(53,372)

Advantest

Corp.

(2)

(900)

(67,412)

Aeon

Co.

Ltd.

(2)

(11,500)

(377,273)

Alps

Alpine

Co.

Ltd.

(2)

(3,100)

(40,904)

Asahi

Intecc

Co.

Ltd.

(2)

(8,600)

(314,118)

Asics

Corp.

(2)

(12,000)

(230,778)

Bank

of

Kyoto

Ltd.

(The)

(2)

(500)

(26,069)

Benesse

Holdings,

Inc.

(2)

(1,100)

(21,490)

Casio

Computer

Co.

Ltd.

(2)

(4,100)

(75,032)

Central

Japan

Railway

Co.

(2)

(800)

(113,123)

Chugai

Pharmaceutical

Co.

Ltd.

(2)

(3,700)

(197,414)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(2)

(11,600)

(181,195)

Cosmos

Pharmaceutical

Corp.

(2)

(200)

(32,296)

CyberAgent,

Inc.

(2)

(5,100)

(351,822)

Daiichi

Sankyo

Co.

Ltd.

(2)

(2,100)

(71,967)

Dentsu

Group,

Inc.

(2)

(4,900)

(145,833)

East

Japan

Railway

Co.

(2)

(9,400)

(627,126)

Eisai

Co.

Ltd.

(2)

(2,200)

(157,329)

Fancl

Corp.

(2)

(2,100)

(83,833)

FANUC

Corp.

(2)

(1,000)

(246,849)

Fuji

Electric

Co.

Ltd.

(2)

(1,400)

(50,534)

FUJIFILM

Holdings

Corp.

(2)

(300)

(15,826)

GMO

internet,

Inc.

(2)

(3,900)

(111,988)

GMO

Payment

Gateway,

Inc.

(2)

(1,700)

(228,452)

Goldwin,

Inc.

(2)

(400)

(26,423)

Harmonic

Drive

Systems,

Inc.

(2)

(1,700)

(152,127)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(700)

(41,609)

Hitachi

Metals

Ltd.

(2)

(12,300)

(187,008)

Ibiden

Co.

Ltd.

(2)

(2,500)

(116,868)

IHI

Corp.

(2)

(5,600)

(111,494)

Inpex

Corp.

(2)

(5,300)

(28,579)

Isetan

Mitsukoshi

Holdings

Ltd.

(2)

(64,900)

(384,826)

Izumi

Co.

Ltd.

(2)

(2,400)

(86,966)

J

Front

Retailing

Co.

Ltd.

(2)

(7,500)

(59,483)

Japan

Airport

Terminal

Co.

Ltd.

(2)

(4,900)

(297,365)

JCR

Pharmaceuticals

Co.

Ltd.

(2)

(1,500)

(35,480)

JGC

Holdings

Corp.

(2)

(10,900)

(102,092)

JSR

Corp.

(2)

(500)

(13,941)

JTEKT

Corp.

(2)

(2,000)

(15,531)

Justsystems

Corp.

(2)

(400)

(27,787)

Kansai

Paint

Co.

Ltd.

(2)

(2,000)

(61,651)

Keihan

Holdings

Co.

Ltd.

(2)

(2,500)

(119,858)

Keikyu

Corp.

(2)

(6,600)

(113,227)

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(16.7)%

(continued)

Keio

Corp.

(2)

(4,300)

(333,616)

Keisei

Electric

Railway

Co.

Ltd.

(2)

(3,300)

(111,705)

Kikkoman

Corp.

(2)

(3,400)

(236,630)

Kintetsu

Group

Holdings

Co.

Ltd.

(2)

(3,600)

(157,771)

Kobe

Bussan

Co.

Ltd.

(2)

(5,600)

(172,060)

Koei

Tecmo

Holdings

Co.

Ltd.

(2)

(800)

(48,839)

Koito

Manufacturing

Co.

Ltd.

(2)

(900)

(61,250)

Konica

Minolta,

Inc.

(2)

(56,500)

(216,350)

Kose

Corp.

(2)

(3,400)

(580,992)

Kusuri

no

Aoki

Holdings

Co.

Ltd.

(2)

(1,700)

(147,849)

Lasertec

Corp.

(2)

(2,100)

(246,483)

Marui

Group

Co.

Ltd.

(2)

(8,900)

(156,729)

Matsumotokiyoshi

Holdings

Co.

Ltd.

(2)

(400)

(17,061)

Mercari,

Inc.

(2)*

(6,500)

(288,137)

MINEBEA

MITSUMI,

Inc.

(2)

(7,000)

(139,263)

MISUMI

Group,

Inc.

(2)

(3,700)

(121,461)

Mitsubishi

Motors

Corp.

(2)

(137,700)

(289,714)

Miura

Co.

Ltd.

(2)

(300)

(16,748)

MonotaRO

Co.

Ltd.

(2)

(9,800)

(497,731)

Murata

Manufacturing

Co.

Ltd.

(2)

(700)

(63,371)

NET

One

Systems

Co.

Ltd.

(2)

(1,900)

(67,042)

Nidec

Corp.

(2)

(200)

(25,302)

Nihon

M&A

Center,

Inc.

(2)

(5,000)

(334,366)

Nikon

Corp.

(2)

(19,500)

(123,199)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(4,100)

(450,518)

Nippon

Sanso

Holdings

Corp.

(2)

(4,400)

(81,847)

Nissan

Motor

Co.

Ltd.

(2)

(25,400)

(137,678)

Nisshin

Seifun

Group,

Inc.

(2)

(1,500)

(23,895)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(8,300)

(260,688)

Olympus

Corp.

(2)

(4,100)

(89,765)

Oriental

Land

Co.

Ltd.

(2)

(1,900)

(313,940)

Pan

Pacific

International

Holdings

Corp.

(2)

(3,800)

(87,794)

Park24

Co.

Ltd.

(2)

(28,300)

(492,432)

PeptiDream,

Inc.

(2)*

(6,700)

(340,809)

Persol

Holdings

Co.

Ltd.

(2)

(13,000)

(234,867)

Pigeon

Corp.

(2)

(10,300)

(425,109)

Pola

Orbis

Holdings,

Inc.

(2)

(9,600)

(194,943)

Rakuten,

Inc.

(2)

(35,300)

(339,686)

Recruit

Holdings

Co.

Ltd.

(2)

(2,400)

(100,807)

Renesas

Electronics

Corp.

(2)*

(19,800)

(207,246)

Ryohin

Keikaku

Co.

Ltd.

(2)

(20,000)

(409,291)

SCREEN

Holdings

Co.

Ltd.

(2)

(1,400)

(103,242)

Seibu

Holdings,

Inc.

(2)

(20,400)

(200,113)

Seiko

Epson

Corp.

(2)

(2,800)

(41,608)

SG

Holdings

Co.

Ltd.

(2)

(4,000)

(109,065)

Sharp

Corp.

(2)*

(14,300)

(217,281)

Shimadzu

Corp.

(2)

(1,700)

(66,079)

Shin-Etsu

Chemical

Co.

Ltd.

(2)

(600)

(105,310)

Shiseido

Co.

Ltd.

(2)

(9,400)

(650,709)

Showa

Denko

KK

(2)

(3,700)

(78,949)

SoftBank

Group

Corp.

(2)

(1,900)

(147,507)

SUMCO

Corp.

(2)

(600)

(13,175)

Sundrug

Co.

Ltd.

(2)

(1,000)

(39,967)

Sysmex

Corp.

(2)

(900)

(108,294)

Taiyo

Yuden

Co.

Ltd.

(2)

(5,900)

(277,012)

Takara

Bio,

Inc.

(2)

(5,500)

(147,799)

36

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

(16.7)%

(continued)

Takeda

Pharmaceutical

Co.

Ltd.

(2)

(9,600)

(347,418)

THK

Co.

Ltd.

(2)

(3,700)

(119,661)

Tobu

Railway

Co.

Ltd.

(2)

(800)

(23,853)

Toho

Co.

Ltd.

(2)

(700)

(29,525)

Tokyo

Century

Corp.

(2)

(700)

(55,551)

Tokyu

Corp.

(2)

(7,500)

(93,187)

Toshiba

Corp.

(2)

(9,300)

(260,478)

TOTO

Ltd.

(2)

(5,700)

(343,074)

Tsuruha

Holdings,

Inc.

(2)

(200)

(28,441)

Unicharm

Corp.

(2)

(1,700)

(80,624)

USS

Co.

Ltd.

(2)

(2,300)

(46,508)

Welcia

Holdings

Co.

Ltd.

(2)

(2,000)

(75,445)

West

Japan

Railway

Co.

(2)

(13,600)

(712,098)

Yakult

Honsha

Co.

Ltd.

(2)

(9,700)

(489,189)

Yamato

Holdings

Co.

Ltd.

(2)

(10,800)

(275,753)

Yaskawa

Electric

Corp.

(2)

(10,000)

(498,554)

Yokogawa

Electric

Corp.

(2)

(8,600)

(171,529)

Z

Holdings

Corp.

(2)

(4,900)

(29,651)

(20,435,983)

—

Netherlands

-

(1.1)%

ABN

AMRO

Bank

NV,

CVA

(2)(b)

(19,740)

(193,430)

Adyen

NV

(2)*(b)

(180)

(418,238)

Akzo

Nobel

NV

(2)

(184)

(19,750)

Argenx

SE

(2)*

(375)

(110,505)

ASML

Holding

NV

(2)

(356)

(172,367)

Boskalis

Westminster

(2)*

(4,129)

(113,948)

Heineken

NV

(2)

(132)

(14,710)

IMCD

NV

(2)

(399)

(50,785)

Koninklijke

DSM

NV

(2)

(57)

(9,802)

Koninklijke

Vopak

NV

(2)

(295)

(15,493)

OCI

NV

(2)*

(5,235)

(100,717)

Royal

Dutch

Shell

plc,

Class

A

(2)

(4,862)

(85,262)

SBM

Offshore

NV

(2)

(3,030)

(57,242)

(1,362,249)

—

Norway

-

0.0%

(d)

TOMRA

Systems

ASA

(2)

(410)

(20,170)

Singapore

-

(0.6)%

City

Developments

Ltd.

(2)

(9,700)

(58,473)

Singapore

Telecommunications

Ltd.

(2)

(358,800)

(626,516)

(684,989)

—

Spain

-

(1.3)%

Aena

SME

SA

(2)*(b)

(1,428)

(248,257)

Amadeus

IT

Group

SA

(2)

(4,814)

(355,356)

Banco

Santander

SA

(2)

(16,919)

(52,759)

Cellnex

Telecom

SA

(2)(b)

(3,454)

(207,423)

Ferrovial

SA

(2)

(22,900)

(633,197)

Industria

de

Diseno

Textil

SA

(2)

(2,386)

(75,731)

(1,572,723)

—

Sweden

-

(0.6)%

AAK

AB

(2)

(599)

(12,112)

EQT

AB

(2)

(9,855)

(250,156)

Evolution

Gaming

Group

AB

(2)(b)

(476)

(47,854)

Hexpol

AB

(2)

(914)

(9,786)

Nibe

Industrier

AB,

Class

B

(2)

(1,591)

(52,175)

Saab

AB,

Class

B

(2)*

(4,653)

(135,384)

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

(0.6)%

(continued)

Sinch

AB

(2)*(b)

(550)

(89,444)

Svenska

Handelsbanken

AB,

Class

A

(2)*

(6,168)

(62,174)

Sweco

AB,

Class

B

(2)

(5,206)

(95,545)

(754,630)

—

Switzerland

-

(1.6)%

Clariant

AG

(Registered)

(2)

(12,171)

(258,220)

Dufry

AG

(Registered)

(2)*

(12,457)

(784,729)

Idorsia

Ltd.

(2)*

(10,551)

(304,473)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(5,204)

(53,996)

Temenos

AG

(Registered)

(2)

(3,388)

(472,049)

UBS

Group

AG

(Registered)

(2)

(6,406)

(90,195)

Vifor

Pharma

AG

(2)

(152)

(23,890)

(1,987,552)

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(h)

(31,163)

—

United

Kingdom

-

(3.2)%

Barratt

Developments

plc

(2)

(13,180)

(120,493)

Beazley

plc

(2)

(7,203)

(35,914)

Bellway

plc

(2)

(1,094)

(44,168)

BP

plc

(2)

(74,547)

(257,243)

British

American

Tobacco

plc

(2)

(8,013)

(297,578)

Burberry

Group

plc

(2)*

(1,580)

(38,584)

CNH

Industrial

NV

(2)*

(29,535)

(371,267)

ConvaTec

Group

plc

(2)(b)

(46,160)

(125,743)

easyJet

plc

(2)

(33,470)

(379,859)

Hargreaves

Lansdown

plc

(2)

(10,087)

(210,032)

Hiscox

Ltd.

(2)

(14,888)

(202,741)

HSBC

Holdings

plc

(2)

(5,569)

(28,765)

Informa

plc

(2)

(14,546)

(108,766)

Intermediate

Capital

Group

plc

(2)

(4,660)

(109,650)

Janus

Henderson

Group

plc

(1,518)

(49,350)

Legal

&

General

Group

plc

(2)

(12,859)

(46,864)

Prudential

plc

(2)

(37,299)

(685,852)

Quilter

plc

(2)(b)

(12,873)

(26,960)

Rolls-Royce

Holdings

plc

(2)*

(64,408)

(97,477)

St

James's

Place

plc

(2)

(935)

(14,468)

Standard

Chartered

plc

(2)

(11,452)

(72,720)

Standard

Life

Aberdeen

plc

(2)

(26,027)

(99,762)

Taylor

Wimpey

plc

(2)

(75,384)

(170,516)

United

Utilities

Group

plc

(2)

(1,913)

(23,398)

Virgin

Money

UK

plc

(2)*

(22,205)

(40,891)

Vodafone

Group

plc

(2)

(12,903)

(21,193)

Weir

Group

plc

(The)

(2)

(4,977)

(135,322)

WH

Smith

plc

(2)

(2,034)

(41,944)

Whitbread

plc

(2)*

(660)

(27,955)

(3,885,475)

—

United

States

-

(41.3)%

10X

Genomics,

Inc.,

Class

A

*

(1,955)

(276,828)

Acadia

Healthcare

Co.,

Inc.

*

(1,481)

(74,435)

Acceleron

Pharma,

Inc.

*

(184)

(23,541)

Adaptive

Biotechnologies

Corp.

*

(7,900)

(467,127)

Adient

plc

*

(4,979)

(173,120)

Advanced

Micro

Devices,

Inc.

*

(319)

(29,255)

AECOM

*

(2,046)

(101,850)

37

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

AES

Corp.

(The)

(16,430)

(386,105)

Aflac,

Inc.

(326)

(14,497)

Agios

Pharmaceuticals,

Inc.

*

(11,304)

(489,802)

Albemarle

Corp.

(674)

(99,428)

Alleghany

Corp.

(248)

(149,715)

ALLETE,

Inc.

(325)

(20,131)

Alliant

Energy

Corp.

(1,851)

(95,382)

Alnylam

Pharmaceuticals,

Inc.

*

(1,330)

(172,860)

Alteryx,

Inc.,

Class

A

*

(987)

(120,207)

Altice

USA,

Inc.,

Class

A

*

(336)

(12,724)

Altria

Group,

Inc.

(1,373)

(56,293)

Amedisys,

Inc.

*

(144)

(42,240)

Ameren

Corp.

(2,078)

(162,209)

American

Airlines

Group,

Inc.

(22,759)

(358,909)

American

Electric

Power

Co.,

Inc.

(1,256)

(104,587)

American

Express

Co.

(762)

(92,133)

American

International

Group,

Inc.

(5,092)

(192,783)

Anaplan,

Inc.

*

(1,550)

(111,368)

Aon

plc,

Class

A

(394)

(83,240)

Apache

Corp.

(36,219)

(513,948)

Arch

Capital

Group

Ltd.

*

(1,558)

(56,197)

Arista

Networks,

Inc.

*

(611)

(177,538)

Armstrong

World

Industries,

Inc.

(7,053)

(524,673)

Arrowhead

Pharmaceuticals,

Inc.

*

(3,386)

(259,808)

Atmos

Energy

Corp.

(2,434)

(232,277)

Avangrid,

Inc.

(786)

(35,724)

Avanos

Medical,

Inc.

*

(3,431)

(157,414)

Avantor,

Inc.

*

(1,315)

(37,017)

Avis

Budget

Group,

Inc.

*

(7,524)

(280,645)

Axalta

Coating

Systems

Ltd.

*

(976)

(27,865)

Axis

Capital

Holdings

Ltd.

(2,327)

(117,258)

Axon

Enterprise,

Inc.

*

(1,612)

(197,518)

Baker

Hughes

Co.

(17,820)

(371,547)

Ball

Corp.

(3,129)

(291,560)

BancorpSouth

Bank

(734)

(20,141)

Bank

of

Hawaii

Corp.

(336)

(25,744)

Bank

OZK

(6,951)

(217,358)

Bausch

Health

Cos.,

Inc.

*

(4,322)

(89,672)

Beyond

Meat,

Inc.

*

(2,630)

(328,750)

BGC

Partners,

Inc.,

Class

A

(26,386)

(105,544)

BioMarin

Pharmaceutical,

Inc.

*

(880)

(77,167)

Black

Hills

Corp.

(1,929)

(118,537)

Bluebird

Bio,

Inc.

*

(10,476)

(453,297)

Boeing

Co.

(The)

(2,173)

(465,152)

Bright

Horizons

Family

Solutions,

Inc.

*

(1,236)

(213,816)

Brink's

Co.

(The)

(2,506)

(180,432)

Brown

&

Brown,

Inc.

(1,411)

(66,896)

Brown-Forman

Corp.,

Class

B

(1,181)

(93,807)

Bruker

Corp.

(279)

(15,102)

Burlington

Stores,

Inc.

*

(562)

(146,991)

Caesars

Entertainment,

Inc.

*

(3,045)

(226,152)

CarMax,

Inc.

*

(695)

(65,650)

Carnival

Corp.

(8,397)

(181,879)

Carvana

Co.

*

(470)

(112,584)

Catalent,

Inc.

*

(244)

(25,393)

CenterPoint

Energy,

Inc.

(32,096)

(694,557)

Ceridian

HCM

Holding,

Inc.

*

(94)

(10,017)

CF

Industries

Holdings,

Inc.

(1,123)

(43,471)

ChampionX

Corp.

*

(5,068)

(77,540)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

Charles

Schwab

Corp.

(The)

(3,772)

(200,067)

Chegg,

Inc.

*

(2,505)

(226,277)

Chemours

Co.

(The)

(6,531)

(161,903)

Cheniere

Energy,

Inc.

*

(3,485)

(209,205)

Chevron

Corp.

(628)

(53,035)

Cincinnati

Financial

Corp.

(1,895)

(165,566)

Cinemark

Holdings,

Inc.

(2,309)

(40,200)

Cloudflare,

Inc.,

Class

A

*

(1,219)

(92,632)

CME

Group,

Inc.

(573)

(104,315)

CMS

Energy

Corp.

(6,800)

(414,868)

Cognex

Corp.

(793)

(63,666)

Coherent,

Inc.

*

(1,518)

(227,730)

CommScope

Holding

Co.,

Inc.

*

(13,321)

(178,501)

CommVault

Systems,

Inc.

*

(2,262)

(125,247)

Compass

Minerals

International,

Inc.

(1,066)

(65,794)

ConocoPhillips

(7,152)

(286,008)

CoStar

Group,

Inc.

*

(96)

(88,731)

Coty,

Inc.,

Class

A

(31,868)

(223,713)

Coupa

Software,

Inc.

*

(188)

(63,715)

Covetrus,

Inc.

*

(5,242)

(150,655)

Credit

Acceptance

Corp.

*

(84)

(29,076)

Cree,

Inc.

*

(1,577)

(167,004)

Crowdstrike

Holdings,

Inc.,

Class

A

*

(83)

(17,581)

Crown

Holdings,

Inc.

*

(681)

(68,236)

Cullen/Frost

Bankers,

Inc.

(1,874)

(163,469)

Datadog,

Inc.,

Class

A

*

(922)

(90,762)

Delta

Air

Lines,

Inc.

(8,373)

(336,678)

DexCom,

Inc.

*

(741)

(273,963)

Discover

Financial

Services

(877)

(79,395)

DocuSign,

Inc.

*

(300)

(66,690)

Dominion

Energy,

Inc.

(7,412)

(557,382)

Duke

Energy

Corp.

(610)

(55,852)

Dun

&

Bradstreet

Holdings,

Inc.

*

(9,253)

(230,400)

DXC

Technology

Co.

(597)

(15,373)

Dycom

Industries,

Inc.

*

(830)

(62,682)

Dynatrace,

Inc.

*

(1,120)

(48,462)

Edgewell

Personal

Care

Co.

(2,858)

(98,830)

Edison

International

(8,470)

(532,085)

Elanco

Animal

Health,

Inc.

*

(3,103)

(95,169)

Elastic

NV

*

(99)

(14,467)

Encompass

Health

Corp.

(518)

(42,833)

Energizer

Holdings,

Inc.

(935)

(39,438)

Enphase

Energy,

Inc.

*

(92)

(16,143)

Entergy

Corp.

(1,261)

(125,898)

EQT

Corp.

(12,207)

(155,151)

Equifax,

Inc.

(89)

(17,163)

Equitrans

Midstream

Corp.

(29,524)

(237,373)

Erie

Indemnity

Co.,

Class

A

(550)

(135,080)

Essential

Utilities,

Inc.

(2,250)

(106,403)

Euronet

Worldwide,

Inc.

*

(137)

(19,854)

Everbridge,

Inc.

*

(643)

(95,852)

Evergy,

Inc.

(1,648)

(91,480)

Eversource

Energy

(3,163)

(273,631)

Exact

Sciences

Corp.

*

(950)

(125,866)

Exelon

Corp.

(1,590)

(67,130)

Expedia

Group,

Inc.

(1,188)

(157,291)

Exxon

Mobil

Corp.

(3,686)

(151,937)

FactSet

Research

Systems,

Inc.

(67)

(22,278)

38

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

Fastly,

Inc.,

Class

A

*

(1,229)

(107,378)

Fidelity

National

Information

Services,

Inc.

(223)

(31,546)

FireEye,

Inc.

*

(3,856)

(88,919)

First

Financial

Bankshares,

Inc.

(1,762)

(63,740)

First

Horizon

Corp.

(7,083)

(90,379)

FirstEnergy

Corp.

(10,105)

(309,314)

Five

Below,

Inc.

*

(538)

(94,139)

Five9,

Inc.

*

(53)

(9,243)

FLIR

Systems,

Inc.

(787)

(34,494)

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

(1,552)

(144,103)

Fluor

Corp.

(16,955)

(270,771)

Fox

Factory

Holding

Corp.

*

(374)

(39,536)

Freeport-McMoRan,

Inc.

(3,774)

(98,199)

General

Electric

Co.

(37,229)

(402,073)

Glacier

Bancorp,

Inc.

(782)

(35,980)

Global

Blood

Therapeutics,

Inc.

*

(7,887)

(341,586)

Globe

Life,

Inc.

(2,432)

(230,943)

Goodyear

Tire

&

Rubber

Co.

(The)

(5,067)

(55,281)

Grocery

Outlet

Holding

Corp.

*

(9,480)

(372,090)

Guardant

Health,

Inc.

*

(1,711)

(220,514)

Guidewire

Software,

Inc.

*

(131)

(16,864)

Hain

Celestial

Group,

Inc.

(The)

*

(3,611)

(144,982)

Halliburton

Co.

(9,789)

(185,012)

Harley-Davidson,

Inc.

(3,110)

(114,137)

Hawaiian

Electric

Industries,

Inc.

(769)

(27,215)

Healthcare

Services

Group,

Inc.

(4,729)

(132,885)

HealthEquity,

Inc.

*

(5,557)

(387,378)

HEICO

Corp.

(212)

(28,069)

Helmerich

&

Payne,

Inc.

(1,782)

(41,271)

Hess

Corp.

(11,236)

(593,148)

Hilton

Worldwide

Holdings,

Inc.

(349)

(38,830)

Home

BancShares,

Inc.

(8,932)

(173,995)

Howard

Hughes

Corp.

(The)

*

(2,323)

(183,354)

HubSpot,

Inc.

*

(93)

(36,869)

IAA,

Inc.

*

(2,572)

(167,129)

IDACORP,

Inc.

(567)

(54,449)

Illumina,

Inc.

*

(360)

(133,200)

Ingersoll

Rand,

Inc.

*

(1,359)

(61,916)

Insperity,

Inc.

(2,326)

(189,383)

Insulet

Corp.

*

(830)

(212,173)

InterDigital,

Inc.

(2,332)

(141,506)

International

Game

Technology

plc

(35,964)

(609,230)

Invesco

Ltd.

(5,085)

(88,632)

Ionis

Pharmaceuticals,

Inc.

*

(1,775)

(100,359)

Iovance

Biotherapeutics,

Inc.

*

(3,477)

(161,333)

James

Hardie

Industries

plc,

CHESS

(2)*

(3,449)

(102,218)

Kennametal,

Inc.

(2,114)

(76,611)

Kinder

Morgan,

Inc.

(12,820)

(175,249)

Kirby

Corp.

*

(1,713)

(88,785)

Kraft

Heinz

Co.

(The)

(11,940)

(413,840)

Las

Vegas

Sands

Corp.

(989)

(58,944)

Leggett

&

Platt,

Inc.

(1,657)

(73,405)

LendingTree,

Inc.

*

(2,562)

(701,450)

LHC

Group,

Inc.

*

(186)

(39,678)

Lincoln

National

Corp.

(284)

(14,288)

Lions

Gate

Entertainment

Corp.,

Class

A

*

(17,471)

(198,645)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

LivaNova

plc

*

(1,214)

(80,379)

Live

Nation

Entertainment,

Inc.

*

(3,933)

(288,997)

LiveRamp

Holdings,

Inc.

*

(504)

(36,888)

Lyft,

Inc.,

Class

A

*

(5,533)

(271,836)

Macquarie

Infrastructure

Corp.

(5,584)

(209,679)

Madison

Square

Garden

Sports

Corp.

*

(1,165)

(214,477)

Marathon

Petroleum

Corp.

(3,678)

(152,122)

Marriott

International,

Inc.,

Class

A

(193)

(25,461)

Marsh

&

McLennan

Cos.,

Inc.

(448)

(52,416)

Martin

Marietta

Materials,

Inc.

(379)

(107,625)

Mastercard,

Inc.,

Class

A

(203)

(72,459)

Mattel,

Inc.

*

(7,846)

(136,913)

Medallia,

Inc.

*

(2,705)

(89,860)

MEDNAX,

Inc.

*

(4,482)

(109,988)

Mercury

Systems,

Inc.

*

(509)

(44,823)

MongoDB,

Inc.

*

(123)

(44,162)

Moody's

Corp.

(52)

(15,092)

Motorola

Solutions,

Inc.

(446)

(75,847)

Murphy

Oil

Corp.

(842)

(10,188)

National

Fuel

Gas

Co.

(7,920)

(325,750)

National

Oilwell

Varco,

Inc.

(19,705)

(270,550)

Nektar

Therapeutics

*

(19,816)

(336,872)

Netflix,

Inc.

*

(591)

(319,571)

New

Jersey

Resources

Corp.

(6,356)

(225,956)

New

Relic,

Inc.

*

(979)

(64,027)

Newell

Brands,

Inc.

(16,345)

(347,004)

News

Corp.,

Class

A

(2,455)

(44,116)

NextEra

Energy,

Inc.

(4,373)

(337,377)

Nielsen

Holdings

plc

(19,561)

(408,238)

NiSource,

Inc.

(30,862)

(707,973)

Nordstrom,

Inc.

(7,533)

(235,105)

Novocure

Ltd.

*

(1,256)

(217,338)

NRG

Energy,

Inc.

(693)

(26,022)

Nutanix,

Inc.,

Class

A

*

(7,068)

(225,257)

NVIDIA

Corp.

(55)

(28,721)

Occidental

Petroleum

Corp.

(19,836)

(343,361)

OGE

Energy

Corp.

(2,643)

(84,206)

O-I

Glass,

Inc.

(8,754)

(104,173)

Okta,

Inc.

*

(188)

(47,801)

Olin

Corp.

(3,836)

(94,212)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(407)

(33,280)

ON

Semiconductor

Corp.

*

(2,349)

(76,883)

ONE

Gas,

Inc.

(1,775)

(136,267)

ONEOK,

Inc.

(2,381)

(91,383)

PacWest

Bancorp

(10,115)

(256,921)

PagerDuty,

Inc.

*

(2,955)

(123,224)

Parsley

Energy,

Inc.,

Class

A

(13,302)

(188,888)

Patterson

Cos.,

Inc.

(366)

(10,845)

Pegasystems,

Inc.

(286)

(38,112)

Penn

National

Gaming,

Inc.

*

(483)

(41,717)

Penumbra,

Inc.

*

(834)

(145,950)

Phillips

66

(494)

(34,550)

Pinterest,

Inc.,

Class

A

*

(1,460)

(96,214)

Planet

Fitness,

Inc.,

Class

A

*

(1,130)

(87,722)

Pluralsight,

Inc.,

Class

A

*

(14,820)

(310,627)

Post

Holdings,

Inc.

*

(514)

(51,919)

PPL

Corp.

(1,305)

(36,801)

Primerica,

Inc.

(1,429)

(191,386)

39

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

Principal

Financial

Group,

Inc.

(1,383)

(68,611)

Prudential

Financial,

Inc.

(1,072)

(83,691)

Public

Service

Enterprise

Group,

Inc.

(418)

(24,369)

Pure

Storage,

Inc.,

Class

A

*

(21,331)

(482,294)

Reata

Pharmaceuticals,

Inc.,

Class

A

*

(2,734)

(337,977)

RenaissanceRe

Holdings

Ltd.

(127)

(21,059)

Repligen

Corp.

*

(605)

(115,936)

Resideo

Technologies,

Inc.

*

(4,257)

(90,504)

Roku,

Inc.

*

(153)

(50,799)

Roper

Technologies,

Inc.

(258)

(111,221)

Royal

Caribbean

Cruises

Ltd.

(3,506)

(261,863)

Royal

Gold,

Inc.

(942)

(100,191)

Sabre

Corp.

(12,925)

(155,359)

Sage

Therapeutics,

Inc.

*

(5,195)

(449,419)

Sanderson

Farms,

Inc.

(114)

(15,071)

Schlumberger

NV

(26,583)

(580,307)

Scientific

Games

Corp.

*

(1,960)

(81,320)

Sealed

Air

Corp.

(7,673)

(351,347)

Sempra

Energy

(1,824)

(232,396)

Sensata

Technologies

Holding

plc

*

(211)

(11,128)

Sirius

XM

Holdings,

Inc.

(32,709)

(208,356)

Six

Flags

Entertainment

Corp.

(5,754)

(196,211)

Smartsheet,

Inc.,

Class

A

*

(802)

(55,571)

Snap,

Inc.,

Class

A

*

(2,310)

(115,662)

SolarEdge

Technologies,

Inc.

*

(264)

(84,248)

Southern

Co.

(The)

(1,635)

(100,438)

Southwest

Gas

Holdings,

Inc.

(1,653)

(100,420)

Spire,

Inc.

(3,286)

(210,435)

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

(3,135)

(122,547)

Splunk,

Inc.

*

(645)

(109,579)

Square,

Inc.,

Class

A

*

(478)

(104,032)

Stericycle,

Inc.

*

(2,452)

(169,997)

Sunrun,

Inc.

*

(8,518)

(590,979)

SVB

Financial

Group

*

(30)

(11,635)

Switch,

Inc.,

Class

A

(10,393)

(170,133)

Synchrony

Financial

(1,244)

(43,179)

Sysco

Corp.

(590)

(43,813)

Tandem

Diabetes

Care,

Inc.

*

(2,581)

(246,950)

Targa

Resources

Corp.

(15,911)

(419,732)

Tenaris

SA

(2)

(19,798)

(160,438)

Teradata

Corp.

*

(5,218)

(117,248)

Terminix

Global

Holdings,

Inc.

*

(3,096)

(157,927)

Tesla,

Inc.

*

(597)

(421,285)

Texas

Capital

Bancshares,

Inc.

*

(763)

(45,399)

T-Mobile

US,

Inc.

*

(406)

(54,749)

Toll

Brothers,

Inc.

(6,027)

(261,994)

TopBuild

Corp.

*

(342)

(62,955)

Trade

Desk,

Inc.

(The),

Class

A

*

(115)

(92,115)

Tradeweb

Markets,

Inc.,

Class

A

(2,255)

(140,825)

TransUnion

(229)

(22,721)

TreeHouse

Foods,

Inc.

*

(2,191)

(93,096)

Trex

Co.,

Inc.

*

(4,162)

(348,443)

Trinity

Industries,

Inc.

(4,429)

(116,881)

TripAdvisor,

Inc.

*

(2,884)

(83,002)

Uber

Technologies,

Inc.

*

(3,138)

(160,038)

Ubiquiti,

Inc.

(281)

(78,261)

UGI

Corp.

(6,606)

(230,946)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(41.3)%

(continued)

Umpqua

Holdings

Corp.

(26,098)

(395,124)

Under

Armour,

Inc.,

Class

A

*

(22,920)

(393,536)

United

States

Steel

Corp.

(7,129)

(119,553)

Univar

Solutions,

Inc.

*

(19,835)

(377,063)

Universal

Display

Corp.

(162)

(37,228)

Valley

National

Bancorp

(8,329)

(81,208)

Verisk

Analytics,

Inc.

(51)

(10,587)

ViaSat,

Inc.

*

(2,020)

(65,953)

Virgin

Galactic

Holdings,

Inc.

*

(628)

(14,902)

Visa,

Inc.,

Class

A

(215)

(47,027)

Visteon

Corp.

*

(2,183)

(274,010)

Voya

Financial,

Inc.

(671)

(39,462)

Vulcan

Materials

Co.

(652)

(96,698)

W

R

Grace

&

Co.

(751)

(41,170)

Walt

Disney

Co.

(The)

*

(95)

(17,212)

Wayfair,

Inc.,

Class

A

*

(426)

(96,195)

WEC

Energy

Group,

Inc.

(3,508)

(322,841)

Western

Digital

Corp.

(5,004)

(277,172)

Westinghouse

Air

Brake

Technologies

Corp.

(1,286)

(94,135)

Williams

Cos.,

Inc.

(The)

(11,282)

(226,204)

WW

International,

Inc.

*

(7,261)

(177,168)

Wynn

Resorts

Ltd.

(2,597)

(293,020)

Xcel

Energy,

Inc.

(2,619)

(174,609)

XPO

Logistics,

Inc.

*

(3,428)

(408,618)

(50,523,580)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(7,896)

(141,742)

TOTAL

COMMON

STOCKS

(Proceeds

$(110,708,597))

(99,185,686)

TOTAL

SHORT

POSITIONS

(Proceeds

$(110,708,597))

(99,185,686)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.4%

(Cost

$69,799,347)

113,132,449

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.6%

(i)

9,309,775

NET

ASSETS

-

100.0%

122,442,224

40

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,843,888

2.3

%

Consumer

Discretionary

7,980,038

6.5

Consumer

Staples

1,186,417

1.0

Energy

(4,411,596)

(3.6)

Financials

4,352,024

3.6

Health

Care

2,345,649

1.9

Industrials

(2,581,166)

(2.1)

Information

Technology

2,131,651

1.7

Materials

4,206,906

3.4

Real

Estate

(178,129)

(0.1)

Utilities

(3,214,051)

(2.6)

Short-Term

Investments

98,470,818

80.4

Total

Investments

In

Securities

At

Value

113,132,449

92.4

Other

Assets

in

Excess

of

Liabilities

(i

)

9,309,775

7.6

Net

Assets

$

122,442,224

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

$83,915,145.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$(1,357,567),

which

represents

approximately

(1.11)%

of

net

assets

of

the

fund.

(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

$25,473,016.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

December

31,

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

December

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security

(See

Note

5).

(3)

Level

3

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

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)

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

5,109,120

$

205,650

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/19/2021

CHF

11,708,400

480,848

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/19/2021

HKD

22,618,096

101,300

41

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

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

03/19/2021

EUR

8,130,128

$

169,545

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

(-0.03%)

Monthly

BANA

03/17/2021

EUR

(1,950,180)

55,815

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.16%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/19/2021

CHF

1,738,153

67,002

1,080,160

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.07%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

03/19/2021

SEK

6,946,343

(3,947)

(3,947)

$

1,076,213

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

1

1/2021

EUR

$

152,591

$

577

Hang

Seng

Index

3

1/2021

HKD

526,653

13,967

OMXS30

Index

3

1/2021

SEK

68,486

(616)

Australia

10

Year

Bond

47

3/2021

AUD

5,334,830

4,834

Australia

3

Year

Bond

167

3/2021

AUD

15,119,998

9,041

Canada

10

Year

Bond

256

3/2021

CAD

29,986,330

28,376

DJIA

CBOT

E-Mini

Index

2

3/2021

USD

304,970

5,832

Euro-Bobl

30

3/2021

EUR

4,954,279

(5,947)

Euro-BTP

10

3/2021

EUR

1,857,030

14,411

Euro-Buxl

9

3/2021

EUR

2,476,480

11,718

Euro-OAT

36

3/2021

EUR

7,382,382

19,468

42

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

FTSE/MIB

Index

22

3/2021

EUR

$

2,973,728

$

35,415

Japan

10

Year

Bond

65

3/2021

JPY

95,635,079

(75,315)

MSCI

EAFE

E-Mini

Index

4

3/2021

USD

426,160

5,351

NASDAQ

100

E-Mini

Index

2

3/2021

USD

515,420

20,545

Nikkei

225

Index

6

3/2021

JPY

1,594,499

50,754

Russell

2000

E-Mini

Index

2

3/2021

USD

197,480

6,438

S&P

Midcap

400

E-Mini

Index

2

3/2021

USD

460,700

9,000

SPI

200

Index

37

3/2021

AUD

4,661,723

(23,295)

TOPIX

Index

79

3/2021

JPY

13,806,160

301,376

431,930

Short

Contracts

CAC

40

10

Euro

Index

(4)

1/2021

EUR

(270,815)

3,023

IBEX

35

Index

(53)

1/2021

EUR

(5,225,572)

28,327

DAX

Index

(13)

3/2021

EUR

(5,457,660)

(188,133)

EURO

STOXX

50

Index

(358)

3/2021

EUR

(15,525,950)

(160,739)

Euro-Bund

(184)

3/2021

EUR

(39,930,558)

(149,368)

Euro-Schatz

(47)

3/2021

EUR

(6,446,555)

(33)

FTSE

100

Index

(14)

3/2021

GBP

(1,229,109)

(607)

Long

Gilt

(146)

3/2021

GBP

(27,061,239)

(267,500)

S&P

500

E-Mini

Index

(46)

3/2021

USD

(8,622,240)

(211,777)

S&P/TSX

60

Index

(8)

3/2021

CAD

(1,293,299)

9,098

U.S.

Treasury

10

Year

Note

(119)

3/2021

USD

(16,431,297)

(20,042)

U.S.

Treasury

2

Year

Note

(46)

3/2021

USD

(10,164,922)

(6,477)

U.S.

Treasury

5

Year

Note

(31)

3/2021

USD

(3,911,086)

(7,434)

U.S.

Treasury

Long

Bond

(9)

3/2021

USD

(1,558,688)

(6,155)

U.S.

Treasury

Ultra

Bond

(5)

3/2021

USD

(1,067,813)

(8,156)

(985,973)

$

(554,043)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

26,415,000

USD

19,365,650

CITI

3/17/2021

$

1,011,108

AUD

26,415,000

USD

19,365,675

JPMC

3/17/2021

1,011,084

CAD

9,284,004

USD

7,190,831

CITI

3/17/2021

104,203

CAD

9,283,996

USD

7,190,833

JPMC

3/17/2021

104,193

CHF

3,881,000

USD

4,374,991

CITI

3/17/2021

18,068

CHF

3,881,000

USD

4,374,997

JPMC

3/17/2021

18,063

DKK

2,185,000

USD

356,989

CITI

3/17/2021

2,219

DKK

2,185,000

USD

356,989

JPMC

3/17/2021

2,219

EUR

21,519,000

USD

25,969,227

CITI

3/17/2021

362,046

EUR

21,519,000

USD

25,969,260

JPMC

3/17/2021

362,015

GBP

9,102,992

USD

12,154,889

CITI

3/17/2021

299,019

GBP

9,103,008

USD

12,154,925

JPMC

3/17/2021

299,006

JPY

1,788,305,496

USD

17,237,568

CITI

3/17/2021

95,902

JPY

1,788,305,496

USD

17,237,590

JPMC

3/17/2021

95,880

NOK

78,632,000

USD

8,985,778

CITI

3/17/2021

182,677

NOK

78,632,000

USD

8,985,790

JPMC

3/17/2021

182,666

NZD

15,065,488

USD

10,516,906

CITI

3/17/2021

326,097

NZD

15,065,512

USD

10,516,936

JPMC

3/17/2021

326,085

SEK

45,013,500

USD

5,310,047

CITI

3/17/2021

165,231

43

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

45,013,500

USD

5,310,054

JPMC

3/17/2021

$

165,223

SGD

58,500

USD

43,892

CITI

3/17/2021

376

SGD

58,500

USD

43,892

JPMC

3/17/2021

376

USD

406,649

CAD

517,000

CITI

3/17/2021

409

USD

406,648

CAD

517,000

JPMC

3/17/2021

408

USD

137,170

CHF

121,000

CITI

3/17/2021

206

USD

137,170

CHF

121,000

JPMC

3/17/2021

205

USD

2,468,451

EUR

2,013,500

CITI

3/17/2021

4,674

USD

2,468,448

EUR

2,013,500

JPMC

3/17/2021

4,671

USD

835,198

SEK

6,832,500

CITI

3/17/2021

4,118

USD

835,197

SEK

6,832,500

JPMC

3/17/2021

4,117

Total

unrealized

appreciation

5,152,564

CAD

62,000

USD

48,836

CITI

3/17/2021

(118)

CAD

62,000

USD

48,836

JPMC

3/17/2021

(118)

DKK

932,000

USD

153,229

CITI

3/17/2021

(11)

DKK

932,000

USD

153,229

JPMC

3/17/2021

(11)

EUR

886,500

USD

1,087,042

CITI

3/17/2021

(2,294)

EUR

886,500

USD

1,087,043

JPMC

3/17/2021

(2,297)

USD

10,338,864

AUD

13,832,000

CITI

3/17/2021

(331,261)

USD

10,338,851

AUD

13,832,000

JPMC

3/17/2021

(331,274)

USD

9,285,619

CAD

12,058,000

CITI

3/17/2021

(189,121)

USD

9,285,608

CAD

12,058,000

JPMC

3/17/2021

(189,132)

USD

15,328,626

CHF

13,817,500

CITI

3/17/2021

(311,954)

USD

15,328,607

CHF

13,817,500

JPMC

3/17/2021

(311,972)

USD

632,548

DKK

3,959,500

CITI

3/17/2021

(18,383)

USD

632,547

DKK

3,959,500

JPMC

3/17/2021

(18,383)

USD

10,754,944

EUR

8,925,002

CITI

3/17/2021

(165,947)

USD

10,754,926

EUR

8,924,998

JPMC

3/17/2021

(165,961)

USD

6,442,831

GBP

4,786,496

CITI

3/17/2021

(105,630)

USD

6,442,834

GBP

4,786,504

JPMC

3/17/2021

(105,638)

USD

10,757,035

JPY

1,119,106,500

CITI

3/17/2021

(90,104)

USD

10,757,022

JPY

1,119,106,500

JPMC

3/17/2021

(90,117)

USD

17,506,239

NOK

157,418,505

CITI

3/17/2021

(848,686)

USD

17,506,216

NOK

157,418,495

JPMC

3/17/2021

(848,708)

USD

11,573,947

NZD

16,427,492

CITI

3/17/2021

(249,324)

USD

11,573,944

NZD

16,427,508

JPMC

3/17/2021

(249,339)

USD

8,337,520

SEK

70,425,500

CITI

3/17/2021

(228,782)

USD

8,337,510

SEK

70,425,500

JPMC

3/17/2021

(228,793)

USD

133,217

SGD

178,500

CITI

3/17/2021

(1,856)

USD

133,217

SGD

178,500

JPMC

3/17/2021

(1,856)

Total

unrealized

depreciation

(5,087,070)

Net

unrealized

appreciation

$

65,494

44

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

3,934,483

$

3,934,483

CITI

Investment

Companies

557,678

–

557,678

GSCO

Cash

–

159,193

159,193

JPMC

Investment

Companies

1,926,745

–

1,926,745

JPMS

Cash

–

3,365,103

3,365,103

MLIN

Cash

1,509,990

–

1,509,990

45

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

122.0%

COMMON

STOCKS

-

33.1%

Airlines

-

0.0%

(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)

*(b)

15,190

149,166

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

*

17,287

163,189

PNBK

Holdings

LLC,

Class

A

(3)*(c)(d)

2,090,900

428,781

PNBK

Holdings

LLC,

Class

B

(3)*(c)(d)

3,218

–

591,970

Biotechnology

-

0.1%

4D

Molecular

Therapeutics,

Inc.

*

212

8,787

BioAtla

,

Inc.

*

1,054

35,847

C4

Therapeutics,

Inc.

*

74

2,452

Certara

,

Inc.

*

1,059

35,710

Galecto

,

Inc.

(Denmark)

*

174

2,175

Olema

Pharmaceuticals,

Inc.

*

36

1,731

Precigen

,

Inc.

*(b)

17,632

179,846

Shattuck

Labs,

Inc.

*

746

39,098

Sigilon

Therapeutics,

Inc.

*

212

10,182

Silverback

Therapeutics,

Inc.

*

2,122

98,333

414,161

Capital

Markets

-

27.0%

10X

Capital

Venture

Acquisition

Corp.

*

168,000

1,789,200

7GC

&

Co.

Holdings,

Inc.

*

135,500

1,429,525

Ackrell

Spac

Partners

I

Co.

*

73,575

757,087

Aequi

Acquisition

Corp.

*

321,000

3,242,100

Alpha

Healthcare

Acquisition

Corp.,

Class

A

*

140,000

1,404,200

Altitude

Acquisition

Corp.

*

192,600

1,993,410

Atlantic

Avenue

Acquisition

Corp.

*

292,000

3,095,200

Atlas

Crest

Investment

Corp.

*

480,000

5,064,000

Better

World

Acquisition

Corp.

*

49,500

546,975

BowX

Acquisition

Corp.

*

1

11

BowX

Acquisition

Corp.,

Class

A

*

150,000

1,539,000

Breeze

Holdings

Acquisition

Corp.

*

55,000

558,250

Capitol

Investment

Corp.

V

*

350,833

3,613,580

Capstar

Special

Purpose

Acquisition

Corp.,

Class

A

*

100,000

1,015,000

Carney

Technology

Acquisition

Corp.

II

*

489,429

5,021,542

Cascade

Acquisition

Corp.

*

206,500

2,157,925

CBRE

Acquisition

Holdings,

Inc.

*

163,143

1,704,844

CC

Neuberger

Principal

Holdings

II,

Class

A

*

58,200

605,280

CF

Acquisition

Corp.

IV

*

235,500

2,423,295

CF

Finance

Acquisition

Corp.

III

*

256,800

2,755,464

Churchill

Capital

Corp.

V

*

41,400

434,700

CM

Life

Sciences,

Inc.,

Class

A

*

50,000

552,000

Concord

Acquisition

Corp.

*

380,666

3,924,666

Conx

Corp.

*

370,000

3,866,500

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.0%

(continued)

Corner

Growth

Acquisition

Corp.

*

331,200

3,461,040

DD3

Acquisition

Corp.

II

(Mexico)

*

73,575

772,537

Decarbonization

Plus

Acquisition

Corp.

*

500,000

5,745,000

Delwinds

Insurance

Acquisition

Corp.

*

95,000

969,000

DFP

Healthcare

Acquisitions

Corp.,

Class

A

*

7,500

81,000

dMY

Technology

Group,

Inc.

III

*

142,720

1,627,008

DPCM

Capital,

Inc.

*

2

22

DPCM

Capital,

Inc.,

Class

A

*

355,759

3,703,451

Dune

Acquisition

Corp.

*

45,769

466,844

E.Merge

Technology

Acquisition

Corp.

*

2

21

E.Merge

Technology

Acquisition

Corp.,

Class

A

*

64,998

664,930

East

Resources

Acquisition

Co.,

Class

A

*

100,000

1,015,000

Edoc

Acquisition

Corp.,

Class

A

*

55,000

563,200

EdtechX

Holdings

Acquisition

Corp.

II

(United

Kingdom)

*

81,750

843,660

Equity

Distribution

Acquisition

Corp.

*

1

11

Equity

Distribution

Acquisition

Corp.,

Class

A

*

150,000

1,536,000

Executive

Network

Partnering

Corp.,

Class

A

*

152,000

3,804,560

Falcon

Capital

Acquisition

Corp.

*

2

21

Falcon

Capital

Acquisition

Corp.,

Class

A

*

56,958

595,211

Fast

Acquisition

Corp.,

Class

A

*

183,807

1,882,184

Fintech

Acquisition

Corp.

IV,

Class

A

*

135,460

1,530,698

Fintech

Acquisition

Corp.

V

*

101,182

1,082,647

FirstMark

Horizon

Acquisition

Corp.,

Class

A

*

102,700

1,088,620

Foley

Trasimene

Acquisition

Corp.,

Class

A

*

100,000

1,118,000

Forest

Road

Acquisition

Corp.

*

114,200

1,199,100

Fortress

Value

Acquisition

Corp.

II,

Class

A

*

199,360

2,139,133

GO

Acquisition

Corp.

*

2

21

GO

Acquisition

Corp.,

Class

A

*

369,598

3,766,204

Golden

Falcon

Acquisition

Corp.

*

129,850

1,350,440

Good

Works

Acquisition

Corp.

*

178,267

1,773,757

Gores

Holdings

V,

Inc.,

Class

A

*

159,800

1,661,920

Gores

Holdings

VI,

Inc.

*

7,850

83,210

Greenrose

Acquisition

Corp.

*

90,000

911,700

Greenvision

Acquisition

Corp.

(China)

*

19,500

200,850

GS

Acquisition

Holdings

Corp.

II,

Class

A

*

82,000

893,800

Health

Assurance

Acquisition

Corp.

*

380,666

4,194,939

Healthcare

Services

Acquisition

Corp.

*

111,300

1,137,486

Holicity

,

Inc.,

Class

A

*

66,760

674,944

Hudson

Executive

Investment

Corp.,

Class

A

*

100,000

1,081,000

46

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.0%

(continued)

HumanCo

Acquisition

Corp.

*

30,555

336,716

IG

Acquisition

Corp.,

Class

A

*

100,000

1,013,000

Industrial

Tech

Acquisitions,

Inc.,

Class

A

*

140,000

1,415,400

INSU

Acquisition

Corp.

III

*

74,200

784,294

Kingswood

Acquisition

Corp.

*

149,416

1,553,926

KINS

Technology

Group,

Inc.

*

157,000

1,615,530

Landcadia

Holdings

III,

Inc.

*

2

22

Lefteris

Acquisition

Corp.

*

556,000

6,060,400

LGL

Systems

Acquisition

Corp.,

Class

A

*

28,750

290,950

Lion

Group

Holding

Ltd.

(Hong

Kong)

*

8,000

15,520

Live

Oak

Acquisition

Corp.

II

*

177,000

1,920,450

Longevity

Acquisition

Corp.

(China)

*

125,000

142,500

Lux

Health

Tech

Acquisition

Corp.

*

464,000

5,442,720

MedTech

Acquisition

Corp.

*

135,500

1,422,750

Montes

Archimedes

Acquisition

Corp.,

Class

A

*

470,590

4,785,900

Motion

Acquisition

Corp.

*

1

11

Motion

Acquisition

Corp.,

Class

A

*

415,383

4,182,907

Mudrick

Capital

Acquisition

Corp.

II

*

571,000

5,938,400

NavSight

Holdings,

Inc.,

Class

A

*

100,000

1,001,000

Nebula

Caravel

Acquisition

Corp.

*

22,470

242,676

New

Beginnings

Acquisition

Corp.

*

54,400

545,632

NewHold

Investment

Corp.,

Class

A

*

158,360

1,585,184

North

Mountain

Merger

Corp.,

Class

A

*

154,020

1,591,027

Northern

Star

Acquisition

Corp.

*

2

31

Northern

Star

Acquisition

Corp.,

Class

A

*

820,998

11,953,731

Omnichannel

Acquisition

Corp.

*

571,000

5,881,300

OTR

Acquisition

Corp.,

Class

A

*

108,695

1,124,993

Periphas

Capital

Partnering

Corp.

*

76,167

1,988,720

Pershing

Square

Tontine

Holdings

Ltd.,

Class

A

*

152,500

4,227,300

Pine

Island

Acquisition

Corp.

*

571,000

5,887,010

PMV

Consumer

Acquisition

Corp.,

Class

A

*

200,000

2,030,000

Population

Health

Investment

Co.,

Inc.

*

115,200

1,203,840

Property

Solutions

Acquisition

Corp.

*

100,000

1,000,000

PropTech

Investment

Corp.

II

*

172,978

1,859,513

Recharge

Acquisition

Corp.,

Class

A

*

278,000

2,832,820

Revolution

Acceleration

Acquisition

Corp.

*

128,400

1,336,644

Rice

Acquisition

Corp.,

Class

A

*

581,884

6,301,804

Rodgers

Silicon

Valley

Acquisition

Corp.

*

96,300

1,285,605

Roman

DBDR

Tech

Acquisition

Corp.,

Class

A

*

200,000

2,022,000

Roth

Ch

Acquisition

II

Co.

*

54,500

566,800

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

27.0%

(continued)

Sandbridge

Acquisition

Corp.,

Class

A

*

349,700

3,556,449

Seaport

Global

Acquisition

Corp.,

Class

A

*

115,000

1,159,200

Senior

Connect

Acquisition

Corp.

I

*

157,000

1,615,530

Seven

Oaks

Acquisition

Corp.

*

135,500

1,402,425

Software

Acquisition

Group,

Inc.

II,

Class

A

*

63,000

626,850

Spartacus

Acquisition

Corp.,

Class

A

*

150,000

1,509,000

Spartan

Acquisition

Corp.

II

*

228,400

2,466,720

Sports

Entertainment

Acquisition

Corp.,

Class

A

*

213,600

2,161,632

Starboard

Value

Acquisition

Corp.,

Class

A

*

256,320

2,655,475

Supernova

Partners

Acquisition

Co.,

Inc.

*

422,400

4,904,064

Tailwind

Acquisition

Corp.,

Class

A

*

100,000

1,039,000

Thayer

Ventures

Acquisition

Corp.

*

114,800

1,199,660

TS

Innovation

Acquisitions

Corp.

*

571,000

6,018,340

Tuscan

Holdings

Corp.

*

79,198

1,354,286

Tuscan

Holdings

Corp.

II

*

40,000

440,400

TWC

Tech

Holdings

II

Corp.

*

2

22

TWC

Tech

Holdings

II

Corp.,

Class

A

*

100,000

1,053,000

Vistas

Media

Acquisition

Co.,

Inc.,

Class

A

*

130,690

1,318,662

Yellowstone

Acquisition

Co.,

Class

A

*(b)

306,000

3,096,720

Zanite

Acquisition

Corp.

*

256,800

2,701,536

236,780,920

Communications

Equipment

-

0.7%

Acacia

Communications,

Inc.

*(b)

86,026

6,276,457

Consumer

Finance

-

0.0%

(a)

Lufax

Holding

Ltd.,

ADR

(China)

*

880

12,496

Upstart

Holdings,

Inc.

*

211

8,598

21,094

Diversified

Consumer

Services

-

0.0%

(a)

17

Education

&

Technology

Group,

Inc.,

ADR

(China)

*

2,122

27,183

Electrical

Equipment

-

0.0%

(a)

Array

Technologies,

Inc.

*

932

40,206

Entertainment

-

0.2%

Live

Nation

Entertainment,

Inc.

*(b)

24,687

1,814,001

Food

Products

-

0.0%

(a)

Mission

Produce,

Inc.

*

147

2,212

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

Eargo

,

Inc.

*

2,984

133,743

Pulmonx

Corp.

*

737

50,868

184,611

47

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Hotels,

Restaurants

&

Leisure

-

0.8%

Airbnb,

Inc.,

Class

A

*

2,117

310,775

Great

Canadian

Gaming

Corp.

(Canada)

*

183,064

6,253,141

6,563,916

Insurance

-

0.0%

(a)

Root,

Inc.,

Class

A

*

174

2,734

Interactive

Media

&

Services

-

0.0%

(a)

MediaAlpha

,

Inc.,

Class

A

*

1,746

68,216

Internet

&

Direct

Marketing

Retail

-

1.7%

Alibaba

Group

Holding

Ltd.,

ADR

(China)

*(b)

4,170

970,484

Booking

Holdings,

Inc.

*(b)

2,268

5,051,448

DoorDash

,

Inc.,

Class

A

*

108

15,417

Etsy,

Inc.

*(b)

11,805

2,100,228

Grubhub

,

Inc.

*

92,529

6,872,129

Ozon

Holdings

plc,

ADR

(Russia)

*

1,053

43,605

15,053,311

IT

Services

-

0.3%

Endurance

International

Group

Holdings,

Inc.

*

279,919

2,645,235

Life

Sciences

Tools

&

Services

-

0.1%

Illumina,

Inc.

*(b)

2,156

797,720

Maravai

LifeSciences

Holdings,

Inc.,

Class

A

*

4,340

121,737

Seer,

Inc.

*

849

47,663

Sotera

Health

Co.

*

8,681

238,206

1,205,326

Machinery

-

0.2%

Hydrofarm

Holdings

Group,

Inc.

*

2,117

111,312

Hyliion

Holdings

Corp.

*

68,467

1,128,336

1,239,648

Metals

&

Mining

-

0.3%

Teranga

Gold

Corp.

(Canada)

*

253,536

2,720,796

Multiline

Retail

-

0.0%

(a)

MINISO

Group

Holding

Ltd.,

ADR

(China)

*

298

7,864

Oil,

Gas

&

Consumable

Fuels

-

0.4%

Husky

Energy,

Inc.

(Canada)

764,894

3,785,712

Paper

&

Forest

Products

-

0.3%

Norbord,

Inc.

(Canada)

67,550

2,916,606

Personal

Products

-

0.0%

(a)

Yatsen

Holding

Ltd.,

ADR

(China)

*

90

1,530

Pharmaceuticals

-

0.1%

Atea

Pharmaceuticals,

Inc.

*

1,759

73,491

AYR

Strategies,

Inc.

(Canada)

*

48,013

1,141,011

Tarsus

Pharmaceuticals,

Inc.

*

149

6,158

1,220,660

INVESTMENTS

SHARES

VALUE

($)

Professional

Services

-

0.4%

CoreLogic

,

Inc.

32,424

2,507,024

People

Corp.

(Canada)

*

101,674

1,202,132

3,709,156

Semiconductors

&

Semiconductor

Equipment

-

0.0%

(a)

Allegro

MicroSystems

,

Inc.

(Japan)

*

1,747

46,575

Software

-

0.0%

(a)

C3.ai,

Inc.,

Class

A

*

433

60,079

Datto

Holding

Corp.

*

1,686

45,522

McAfee

Corp.,

Class

A

1,742

29,074

PubMatic,

Inc.,

Class

A

*

217

6,067

140,742

Specialty

Retail

-

0.0%

(a)

Academy

Sports

&

Outdoors,

Inc.

*

7,381

153,008

Leslie's,

Inc.

*

174

4,829

Shift

Technologies,

Inc.,

Class

A

*

17,227

142,467

300,304

Thrifts

&

Mortgage

Finance

-

0.2%

Genworth

MI

Canada,

Inc.

(Canada)

58,251

1,986,547

Wireless

Telecommunication

Services

-

0.2%

Cleveland

Unlimited

(3)*(c)(d)

1

1,243,246

TOTAL

COMMON

STOCKS

(Cost

$267,041,775)

291,160,105

PREFERRED

STOCKS

-

0.1%

Banks

-

0.1%

FB

Corp.,

Class

C

(3)*(c)(d)

(Cost

$–)

786

543,155

CONVERTIBLE

PREFERRED

STOCKS

-

6.8%

Auto

Components

-

0.4%

Aptiv

plc

Series

A,

$100

par,

5.50%,

6/15/2023

(2)(b)

22,775

3,473,150

Commercial

Services

&

Supplies

-

0.8%

GFL

Environmental,

Inc.

(Canada)

$50

par,

6.00%,

3/15/2023

(2)(b)

97,400

6,771,248

Electric

Utilities

-

0.8%

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022

(2)

(b)

50,000

2,938,500

$50

par,

6.22%,

9/1/2023

(2)

(b)

35,950

1,846,751

PG&E

Corp.

$100

par,

5.50%,

8/16/2023

(2)(b)

18,725

2,296,163

7,081,414

48

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

2.3%

II-VI,

Inc.

Series

A,

$200

par,

6.00%,

7/1/2023

(2)(b)

64,456

20,485,700

Health

Care

Technology

-

0.1%

Change

Healthcare,

Inc.

$50

par,

6.00%,

6/30/2022

(2)(b)

14,475

936,225

IT

Services

-

1.3%

Sabre

Corp.

$100

par,

6.50%,

9/1/2023

(2)(b)

74,050

11,547,210

Machinery

-

0.2%

Colfax

Corp.

$100

par,

5.75%,

1/15/2022

(2)(b)

2,075

335,196

Fortive

Corp.

Series

A,

$1,000

par,

5.00%,

7/1/2021

(2)(b)

875

878,676

1,213,872

Multi-Utilities

-

0.5%

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021

(2)(b)

39,775

1,602,451

DTE

Energy

Co.

$50

par,

6.25%,

11/1/2022

(2)(b)

43,400

2,060,376

Sempra

Energy

Series

A,

$100

par,

6.00%,

1/15/2021

(2)(b)

7,925

783,782

4,446,609

Wireless

Telecommunication

Services

-

0.4%

2020

Cash

Mandatory

Exchangeable

Trust

$1,000

par,

5.25%,

6/1/2023

(2)*(b)(e)

2,925

3,506,110

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$42,095,077)

59,461,538

CLOSED

END

FUNDS

-

3.7%

Aberdeen

Australia

Equity

Fund,

Inc.

3,869

20,390

Aberdeen

Emerging

Markets

Equity

Income

Fund,

Inc.

16,238

132,502

Aberdeen

Global

Dynamic

Dividend

Fund

1,720

17,957

Aberdeen

Total

Dynamic

Dividend

Fund

53,363

472,263

Adams

Diversified

Equity

Fund,

Inc.

1,692

29,255

Adams

Natural

Resources

Fund,

Inc.

22,857

259,884

Advent

Convertible

and

Income

Fund

(b)

30,403

502,258

AllianceBernstein

Global

High

Income

Fund,

Inc.

18,351

215,991

AllianzGI

Convertible

&

Income

Fund

3,900

22,386

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

3.7%

(continued)

AllianzGI

Diversified

Income

&

Convertible

Fund

5,759

188,204

AllianzGI

Dividend

Interest

&

Premium

Strategy

Fund

38,598

519,529

AllianzGI

Equity

&

Convertible

Income

Fund

18,892

534,266

Apollo

Senior

Floating

Rate

Fund,

Inc.

25,306

364,406

Apollo

Tactical

Income

Fund,

Inc.

25,277

366,011

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

19,918

284,628

Barings

Global

Short

Duration

High

Yield

Fund

21,854

329,777

BlackRock

California

Municipal

Income

Trust

16,710

237,783

BlackRock

Energy

and

Resources

Trust

61,613

437,452

BlackRock

Enhanced

Capital

and

Income

Fund,

Inc.

32,708

569,119

BlackRock

Enhanced

Equity

Dividend

Trust

80,174

679,074

BlackRock

Enhanced

Global

Dividend

Trust

43,154

470,810

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

24,893

301,454

BlackRock

Floating

Rate

Income

Trust

19,563

230,648

BlackRock

Municipal

Income

Investment

Trust

4,628

61,830

BlackRock

MuniHoldings

Fund

II,

Inc.

425

6,413

BlackRock

MuniHoldings

Fund,

Inc.

2,772

44,906

BlackRock

MuniVest

Fund

II,

Inc.

4,534

67,375

BlackRock

MuniVest

Fund,

Inc.

30,814

283,181

BlackRock

MuniYield

California

Fund,

Inc.

852

12,601

BlackRock

MuniYield

Fund,

Inc.

25,259

362,467

BlackRock

MuniYield

Investment

Fund

1,792

25,052

BlackRock

MuniYield

New

Jersey

Fund,

Inc.

5,657

81,744

BlackRock

MuniYield

Pennsylvania

Quality

Fund

9,794

146,126

BlackRock

Resources

&

Commodities

Strategy

Trust

62,983

466,704

Blackstone

Long-Short

Credit

Income

Fund

23,002

308,687

Blackstone

Senior

Floating

Rate

Term

Fund

29,499

419,476

Blackstone

Strategic

Credit

Fund

40,528

505,789

BNY

Mellon

Alcentra

Global

Credit

Income

2024

Target

Term

Fund,

Inc.

3,401

28,874

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

13,615

107,150

Boulder

Growth

&

Income

Fund,

Inc.

39,474

439,740

Brookfield

Real

Assets

Income

Fund,

Inc.

32,125

572,789

49

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

3.7%

(continued)

Calamos

Convertible

and

High

Income

Fund

45,497

649,697

Calamos

Convertible

Opportunities

and

Income

Fund

52,525

711,189

CBRE

Clarion

Global

Real

Estate

Income

Fund

93,772

645,151

Central

Securities

Corp.

6,008

196,101

Clough

Global

Equity

Fund

27,890

382,651

Clough

Global

Opportunities

Fund

56,256

625,004

Delaware

Investments

Minnesota

Municipal

Income

Fund

II,

Inc.

8,595

112,766

DoubleLine

Income

Solutions

Fund

8,600

142,588

DTF

Tax-Free

Income,

Inc.

7,764

115,684

DWS

Municipal

Income

Trust

23,546

273,840

DWS

Strategic

Municipal

Income

Trust

5,871

66,929

Eaton

Vance

Floating-Rate

Income

Trust

8,303

109,267

Eaton

Vance

National

Municipal

Opportunities

Trust

2,534

51,922

Eaton

Vance

Senior

Floating-Rate

Trust

8,482

107,976

Eaton

Vance

Tax

Managed

Global

Buy

Write

Opportunities

Fund

29,381

284,408

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

28,026

511,475

Eaton

Vance

Tax-Advantaged

Global

Dividend

Opportunities

Fund

6,608

166,984

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

43,615

382,504

Federated

Hermes

Premier

Municipal

Income

Fund

10,312

152,618

First

Trust

Dynamic

Europe

Equity

Income

Fund

37,202

438,984

First

Trust

Energy

Income

and

Growth

Fund

41,261

441,493

First

Trust

Senior

Floating

Rate

2022

Target

Term

Fund

312

2,805

Gabelli

Dividend

&

Income

Trust

(The)

39,197

841,168

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

12,407

148,264

GAMCO

Natural

Resources

Gold

&

Income

Trust

10,109

51,657

GDL

Fund

(The)

7,765

67,711

General

American

Investors

Co.,

Inc.

8,146

302,950

Guggenheim

Enhanced

Equity

Income

Fund

81,964

536,864

Highland

Global

Allocation

Fund

22,082

144,195

Invesco

California

Value

Municipal

Income

Trust

14,802

195,830

Invesco

Dynamic

Credit

Opportunities

Fund

17,311

185,920

Invesco

Pennsylvania

Value

Municipal

Income

Trust

8,238

105,117

Invesco

Trust

for

Investment

Grade

New

York

Municipals

12,377

161,520

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

3.7%

(continued)

John

Hancock

Hedged

Equity

&

Income

Fund

18,601

212,795

John

Hancock

Tax-Advantaged

Dividend

Income

Fund

7,214

151,783

KKR

Income

Opportunities

Fund

30,577

441,226

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

10,891

193,969

LMP

Capital

and

Income

Fund,

Inc.

31,083

362,117

Macquarie

Global

Infrastructure

Total

Return

Fund,

Inc.

21,864

443,621

Madison

Covered

Call

&

Equity

Strategy

Fund

4,099

27,668

MFS

Municipal

Income

Trust

25,484

170,233

Miller/Howard

High

Dividend

Fund

25,084

194,401

Neuberger

Berman

High

Yield

Strategies

Fund,

Inc.

5,800

67,802

New

America

High

Income

Fund,

Inc.

(The)

578

5,017

New

Germany

Fund,

Inc.

(The)

4,040

76,881

Nuveen

AMT-Free

Municipal

Value

Fund

3,024

49,684

Nuveen

Arizona

Quality

Municipal

Income

Fund

955

15,156

Nuveen

Core

Equity

Alpha

Fund

4,400

61,908

Nuveen

Credit

Strategies

Income

Fund

7,024

44,462

Nuveen

Diversified

Dividend

and

Income

Fund

26,788

234,931

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

41,578

631,986

Nuveen

Floating

Rate

Income

Opportunity

Fund

43,369

375,576

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

17,082

245,468

Nuveen

Ohio

Quality

Municipal

Income

Fund

1,170

18,316

Nuveen

Real

Asset

Income

and

Growth

Fund

28,458

383,045

Nuveen

Real

Estate

Income

Fund

44,028

371,596

Nuveen

S&P

500

Buy-Write

Income

Fund

54,610

703,377

Nuveen

S&P

500

Dynamic

Overwrite

Fund

15,152

230,916

Nuveen

Short

Duration

Credit

Opportunities

Fund

17,823

238,115

Nuveen

Tax-Advantaged

Dividend

Growth

Fund

24,568

349,357

Nuveen

Tax-Advantaged

Total

Return

Strategy

Fund

21,637

203,821

Nuveen

Virginia

Quality

Municipal

Income

Fund

10,567

168,015

PIMCO

New

York

Municipal

Income

Fund

II

2,423

26,338

Pioneer

Municipal

High

Income

Advantage

Trust

1,730

20,155

Pioneer

Municipal

High

Income

Trust

13,260

164,954

Principal

Real

Estate

Income

Fund

987

12,032

RiverNorth

Opportunistic

Municipal

Income

Fund,

Inc.

3,149

67,609

50

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

CLOSED

END

FUNDS

-

3.7%

(continued)

Royce

Micro-Cap

Trust,

Inc.

65,021

658,013

Royce

Value

Trust,

Inc.

42,471

685,482

Source

Capital,

Inc.

1,652

65,931

Sprott

Focus

Trust,

Inc.

13,001

89,707

Swiss

Helvetia

Fund,

Inc.

(The)

6,142

54,909

Tekla

Healthcare

Investors

17,686

421,457

Tekla

Healthcare

Opportunities

Fund

2,089

42,574

Tekla

Life

Sciences

Investors

21,538

425,376

Templeton

Emerging

Markets

Fund

2,552

47,773

Tri-Continental

Corp.

13,910

409,928

Virtus

Total

Return

Fund,

Inc.

40,257

353,456

Voya

Emerging

Markets

High

Income

Dividend

Equity

Fund

9,197

66,770

Voya

Global

Advantage

and

Premium

Opportunity

Fund

25,884

226,485

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

77,343

403,730

Voya

Infrastructure

Industrials

and

Materials

Fund

37,162

382,769

Wells

Fargo

Income

Opportunities

Fund

29,311

239,178

Wells

Fargo

Multi-Sector

Income

Fund

9,378

113,849

Western

Asset

Intermediate

Muni

Fund,

Inc.

17,932

164,974

Western

Asset

Managed

Municipals

Fund,

Inc.

26,817

344,330

Western

Asset

Municipal

High

Income

Fund,

Inc.

5,220

39,202

Western

Asset

Municipal

Partners

Fund,

Inc.

3,704

55,375

Western

Asset

Premier

Bond

Fund

1,492

21,142

TOTAL

CLOSED

END

FUNDS

(Cost

$26,700,080)

32,716,923

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.4%

Diversified

Financial

Services

-

0.4%

Refinitiv

US

Holdings,

Inc.

8.25%,

11/15/2026

(2)(b)(e)

$

2,900,000

3,164,625

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2021

(3)(b)(c)(f)

2,375,000

344,375

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Black

Elk

Energy

Escrow

13.75%,

12/1/2015

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

2,833,436

144,130

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2021

(3)(b)

(c)(g)

3,842,971

250,320

394,450

TOTAL

CORPORATE

BONDS

(Cost

$7,013,768)

3,903,450

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

CONVERTIBLE

BONDS

-

30.5%

Aerospace

&

Defense

-

0.7%

Parsons

Corp.

0.25%,

8/15/2025

(2)(b)(e)

$

6,000,000

6,262,744

Airlines

-

1.8%

American

Airlines

Group,

Inc.

6.50%,

7/1/2025

(2)(b)

3,500,000

4,387,486

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024

(2)(b)(e)

1,025,000

889,286

Southwest

Airlines

Co.

1.25%,

5/1/2025

(2)(b)

7,250,000

10,530,625

15,807,397

Biotechnology

-

2.0%

BioMarin

Pharmaceutical,

Inc.

1.25%,

5/15/2027

(2)(b)(e)

1,525,000

1,593,625

Coherus

Biosciences,

Inc.

1.50%,

4/15/2026

(2)(b)(e)

950,000

1,094,123

Gossamer

Bio,

Inc.

5.00%,

6/1/2027

(2)(b)

4,050,000

3,648,350

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024

(2)(b)

2,075,000

3,386,023

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024

(2)(b)

1,400,000

1,554,681

1.50%,

6/15/2026

(2)(b)

1,400,000

1,569,296

Precigen

,

Inc.

3.50%,

7/1/2023

(2)(b)

2,550,000

2,116,500

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026

(2)(b)(e)

2,050,000

2,790,786

17,753,384

Communications

Equipment

-

0.9%

Harmonic,

Inc.

2.00%,

9/1/2024

(2)(b)

375,000

406,873

Infinera

Corp.

2.50%,

3/1/2027

(2)(b)(e)

1,475,000

2,268,322

Inseego

Corp.

3.25%,

5/1/2025

(2)(b)

3,700,000

5,044,563

7,719,758

Consumer

Finance

-

0.4%

EZCORP,

Inc.

2.88%,

7/1/2024

(2)(b)

475,000

431,308

2.38%,

5/1/2025

(2)(b)

1,025,000

822,451

LendingTree,

Inc.

0.50%,

7/15/2025

(2)(b)(e)

1,975,000

1,920,942

3,174,701

Diversified

Consumer

Services

-

0.7%

Stride,

Inc.

1.13%,

9/1/2027

(2)(b)(e)

7,425,000

6,024,973

Diversified

Financial

Services

-

0.1%

Element

Fleet

Management

Corp.

(Canada)

4.25%,

6/30/2024

(2)(b)

CAD

1,100,000

1,110,327

Diversified

Telecommunication

Services

-

0.6%

Vonage

Holdings

Corp.

1.75%,

6/1/2024

(2)(b)

$

4,675,000

5,049,139

Electrical

Equipment

-

1.4%

Plug

Power,

Inc.

3.75%,

6/1/2025

(2)(b)(e)

1,825,000

12,318,250

51

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

0.2%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025

(2)(b)

$

1,375,000

1,746,761

Energy

Equipment

&

Services

-

0.1%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023

(2)(b)

1,125,000

1,071,688

Entertainment

-

0.6%

Zynga,

Inc.

0.00%,

12/15/2026

(2)(b)(e)

4,775,000

5,012,615

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

CorEnergy

Infrastructure

Trust,

Inc.

5.88%,

8/15/2025

(2)(b)

2,300,000

1,641,753

Health

Care

Equipment

&

Supplies

-

1.0%

China

Medical

Technologies,

Inc.

(China)

4.00%,

8/15/2013

(3)(c)(f)

250,000

–

6.25%,

12/15/2016

(3)(c)(e)(f)

2,625,000

–

Envista

Holdings

Corp.

2.38%,

6/1/2025

(2)(b)(e)

1,325,000

2,302,534

Novocure

Ltd.

0.00%,

11/1/2025

(2)(b)(e)

1,550,000

1,984,517

NuVasive

,

Inc.

1.00%,

6/1/2023

(2)(b)(e)

875,000

896,826

Varex

Imaging

Corp.

4.00%,

6/1/2025

(2)(b)(e)

3,100,000

3,265,018

8,448,895

Health

Care

Providers

&

Services

-

0.7%

Anthem,

Inc.

2.75%,

10/15/2042

(2)(b)

1,279,000

5,729,798

Hotels,

Restaurants

&

Leisure

-

3.7%

Bloomin

'

Brands,

Inc.

5.00%,

5/1/2025

(2)(b)(e)

975,000

1,790,383

Carnival

Corp.

5.75%,

4/1/2023

(2)(b)(e)

8,850,000

20,938,257

Royal

Caribbean

Cruises

Ltd.

2.88%,

11/15/2023

(2)(b)(e)

8,100,000

9,679,500

32,408,140

Household

Durables

-

0.2%

GoPro,

Inc.

1.25%,

11/15/2025

(2)(b)(e)

1,225,000

1,389,105

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

NextEra

Energy

Partners

LP

0.00%,

11/15/2025

(2)(b)(e)

4,675,000

4,664,786

Insurance

-

0.1%

HCI

Group,

Inc.

4.25%,

3/1/2037

(2)(b)

1,175,000

1,221,404

Interactive

Media

&

Services

-

0.0%

(a)

JOYY,

Inc.

(China)

1.38%,

6/15/2026

(2)(b)

250,000

246,779

Internet

&

Direct

Marketing

Retail

-

2.0%

Match

Group

Financeco

3,

Inc.

2.00%,

1/15/2030

(2)(b)(e)

3,425,000

6,633,082

RealReal

,

Inc.

(The)

3.00%,

6/15/2025

(2)(b)(e)

1,475,000

2,042,455

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Internet

&

Direct

Marketing

Retail

-

2.0%

(continued)

Wayfair,

Inc.

0.63%,

10/1/2025

(2)(b)(e)

$

9,575,000

9,035,283

17,710,820

IT

Services

-

1.7%

Limelight

Networks,

Inc.

3.50%,

8/1/2025

(2)(b)(e)

725,000

655,255

Okta

,

Inc.

0.38%,

6/15/2026

(2)(b)(e)

2,850,000

3,653,058

Square,

Inc.

0.00%,

5/1/2026

(2)(b)(e)

1,450,000

1,616,244

0.25%,

11/1/2027

(2)(b)(e)

3,575,000

3,961,614

Wix.com

Ltd.

(Israel)

0.00%,

8/15/2025

(2)(b)(e)

4,675,000

4,659,357

14,545,528

Media

-

0.6%

DISH

Network

Corp.

0.00%,

12/15/2025

(2)(b)(e)

5,375,000

5,400,421

Metals

&

Mining

-

0.0%

(a)

Endeavour

Mining

Corp.

(Ivory

Coast)

3.00%,

2/15/2023

(2)(b)(e)

350,000

409,500

Oil,

Gas

&

Consumable

Fuels

-

1.4%

CNX

Resources

Corp.

2.25%,

5/1/2026

(2)(b)(e)

3,950,000

4,484,770

EQT

Corp.

1.75%,

5/1/2026

(2)(b)(e)

4,600,000

5,413,057

SFL

Corp.

Ltd.

(Norway)

5.75%,

10/15/2021

(2)(b)

2,600,000

2,547,740

12,445,567

Pharmaceuticals

-

0.7%

Aphria

,

Inc.

(Canada)

5.25%,

6/1/2024

(2)(b)(e)

1,150,000

1,215,406

Omeros

Corp.

5.25%,

2/15/2026

(2)(b)

4,725,000

4,987,708

Tilray

,

Inc.

(Canada)

5.00%,

10/1/2023

(2)(b)

400,000

336,000

6,539,114

Real

Estate

Management

&

Development

-

0.3%

Colliers

International

Group,

Inc.

(Canada)

4.00%,

6/1/2025

(2)(b)(e)

750,000

1,291,875

Redfin

Corp.

0.00%,

10/15/2025

(2)(b)(e)

850,000

1,015,876

2,307,751

Road

&

Rail

-

0.3%

Uber

Technologies,

Inc.

0.00%,

12/15/2025

(2)(b)(e)

2,425,000

2,480,869

Semiconductors

&

Semiconductor

Equipment

-

4.8%

Canadian

Solar,

Inc.

(Canada)

2.50%,

10/1/2025

(2)(b)(e)

3,450,000

5,404,876

Novellus

Systems,

Inc.

2.63%,

5/15/2041

(2)(b)

2,400,000

35,546,288

SMART

Global

Holdings,

Inc.

2.25%,

2/15/2026

(2)(b)(e)

1,025,000

1,162,429

42,113,593

52

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Software

-

2.4%

Blackline,

Inc.

0.13%,

8/1/2024

(2)(b)

$

650,000

1,220,483

Coupa

Software,

Inc.

0.38%,

6/15/2026

(2)(b)(e)

1,600,000

2,151,627

Datadog

,

Inc.

0.13%,

6/15/2025

(2)(b)(e)

1,625,000

2,127,899

Five9,

Inc.

0.50%,

6/1/2025

(2)(b)(e)

1,425,000

2,070,030

i3

Verticals

LLC

1.00%,

2/15/2025

(2)(b)(e)

1,775,000

1,825,554

PROS

Holdings,

Inc.

2.25%,

9/15/2027

(2)(b)(e)

5,425,000

7,651,635

Rapid7,

Inc.

2.25%,

5/1/2025

(2)(b)(e)

800,000

1,298,336

RingCentral,

Inc.

0.00%,

3/15/2026

(2)(b)(e)

2,500,000

2,893,404

21,238,968

Technology

Hardware,

Storage

&

Peripherals

-

0.4%

Pure

Storage,

Inc.

0.13%,

4/15/2023

(2)(b)

3,350,000

3,683,721

TOTAL

CONVERTIBLE

BONDS

(Cost

$198,388,217)

267,678,249

NO.

OF

RIGHTS

RIGHTS

-

0.1%

Biotechnology

-

0.0%

(a)

Ambit

Biosciences

Corp.,

CVR

(3)*(c)(d)

146,272

91,616

Tobira

Therapeutics,

Inc.,

CVR

(3)*(c)(d)

11,880

140,676

232,292

—

Capital

Markets

-

0.1%

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

200,000

260,000

Breeze

Holdings

Acquisition

Corp.,

expiring

5/23/2022

*

55,000

15,950

Edoc

Acquisition

Corp.

*

55,000

30,800

GigCapital2,

Inc.,

expiring

2/28/2026

*

153,000

63,205

Greenvision

Acquisition

Corp.,

expiring

1/6/2021

*

170,000

69,700

439,655

—

TOTAL

RIGHTS

(Cost

$–)

671,947

NO.

OF

WARRANTS

WARRANTS

-

6.9%

Aerospace

&

Defense

-

0.1%

AerSale

Corp.,

expiring

12/22/2025

*

336,119

625,181

PAE,

Inc.,

expiring

2/10/2025

*

66,666

153,332

778,513

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Auto

Components

-

0.2%

Luminar

Technologies,

Inc.,

expiring

12/2/2025

*

16,666

286,155

QuantumScape

Corp.,

expiring

11/25/2025

*

26,543

1,008,634

1,294,789

Automobiles

-

0.1%

Lordstown

Motors

Corp.,

expiring

1/15/2021

*

121,504

1,048,580

Biotechnology

-

0.2%

180

Life

Sciences

Corp.,

expiring

11/7/2025

*

500,000

172,450

DermTech

,

Inc.,

expiring

8/29/2024

*

446,823

1,273,446

Reviva

Pharmaceuticals

Holdings,

Inc.,

expiring

8/23/2025

*

250,000

168,750

Xynomic

Pharmaceuticals

Holdings,

Inc.,

expiring

5/15/2024

*

75,000

37

1,614,683

Capital

Markets

-

4.4%

Acamar

Partners

Acquisition

Corp.,

expiring

2/26/2026

*

150,000

381,000

Alpha

Healthcare

Acquisition

Corp.,

expiring

9/21/2027

*

70,000

80,500

AMCI

Acquisition

Corp.,

expiring

10/1/2025

*

460,000

1,554,800

Amplitude

Healthcare

Acquisition

Corp.,

expiring

12/1/2026

*

46,875

67,969

Apex

Technology

Acquisition

Corp.,

expiring

9/30/2026

*

40,000

171,200

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022

*

100,000

470,000

BowX

Acquisition

Corp.,

expiring

12/31/2025

*

94,933

168,981

Breeze

Holdings

Acquisition

Corp.,

expiring

5/25/2027

*

55,000

56,650

Canoo

,

Inc.,

expiring

9/25/2025

*

150,000

540,000

Capstar

Special

Purpose

Acquisition

Corp.,

expiring

7/9/2027

*

146,000

205,860

CC

Neuberger

Principal

Holdings

II,

expiring

7/29/2025

*

127,050

215,985

CF

Finance

Acquisition

Corp.

II,

expiring

8/1/2027

*

92,666

223,325

CHP

Merger

Corp.,

expiring

11/22/2024

*

125,000

158,750

Churchill

Capital

Corp.

II,

expiring

7/24/2024

*

23,333

45,966

Churchill

Capital

Corp.

IV,

expiring

9/18/2025

*

145,200

220,704

CIIG

Merger

Corp.,

expiring

12/31/2026

*

62,500

509,375

CM

Life

Sciences,

Inc.,

expiring

9/24/2027

*

170,880

466,502

53

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

4.4%

(continued)

Collective

Growth

Corp.,

expiring

12/31/2024

*

155,150

581,813

Crescent

Acquisition

Corp.,

expiring

3/7/2024

*

200,000

294,000

Deerfield

Healthcare

Technology

Acquisitions

Corp.,

expiring

7/16/2025

*

333

1,365

DFP

Healthcare

Acquisitions

Corp.,

expiring

4/1/2025

*

1,875

3,656

dMY

Technology

Group,

Inc.

II,

expiring

7/29/2027

*

37,973

161,385

DPCM

Capital,

Inc.,

expiring

10/14/2027

*

127,866

274,912

E.Merge

Technology

Acquisition

Corp.,

expiring

7/30/2025

*

121,666

182,499

East

Resources

Acquisition

Co.,

expiring

7/1/2027

*

219,000

249,660

Edoc

Acquisition

Corp.,

expiring

11/30/2027

*

55,000

37,945

Equity

Distribution

Acquisition

Corp.,

expiring

9/9/2025

*

94,933

169,892

Executive

Network

Partnering

Corp.,

expiring

9/25/2028

*

38,000

98,420

Experience

Investment

Corp.,

expiring

9/1/2026

*

66,666

163,332

Falcon

Capital

Acquisition

Corp.,

expiring

8/20/2027

*

18,986

40,820

Fast

Acquisition

Corp.,

expiring

8/25/2027

*

356,000

619,476

FinServ

Acquisition

Corp.,

expiring

12/31/2026

*

100,000

346,500

Fintech

Acquisition

Corp.

IV,

expiring

12/31/2025

*

67,730

148,329

FirstMark

Horizon

Acquisition

Corp.,

expiring

9/26/2025

*

100,900

251,241

Foley

Trasimene

Acquisition

Corp.,

expiring

7/17/2025

*

133,333

337,333

Foley

Trasimene

Acquisition

Corp.

II,

expiring

8/11/2025

*

315,166

1,446,612

Fortress

Value

Acquisition

Corp.

II,

expiring

8/10/2027

*

39,872

98,085

Forum

Merger

III

Corp.,

expiring

8/24/2027

*

151,893

545,296

Fusion

Acquisition

Corp.,

expiring

6/1/2027

*

205,000

524,800

GCM

Grosvenor,

Inc.,

expiring

11/17/2025

*

300,000

525,000

GigCapital2,

Inc.,

expiring

7/1/2024

*

153,000

299,880

GigCapital3,

Inc.,

expiring

7/2/2025

*

270,000

942,300

GO

Acquisition

Corp.,

expiring

8/31/2027

*

189,866

284,799

Good

Works

Acquisition

Corp.,

expiring

10/22/2025

*

89,133

98,046

Gores

Holdings

IV,

Inc.,

expiring

1/24/2025

*

12,500

51,875

Gores

Holdings

V,

Inc.,

expiring

8/10/2027

*

56,960

114,490

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

4.4%

(continued)

Greenrose

Acquisition

Corp.,

expiring

5/11/2024

*

90,000

89,577

Greenvision

Acquisition

Corp.,

expiring

10/28/2024

*

170,000

124,100

GS

Acquisition

Holdings

Corp.

II,

expiring

8/20/2025

*

20,500

52,480

GX

Acquisition

Corp.,

expiring

5/24/2026

*

200,000

576,000

Holicity

,

Inc.,

expiring

8/4/2027

*

113,920

150,374

Hudson

Executive

Investment

Corp.,

expiring

6/21/2025

*

225,500

381,095

Hunter

Maritime

Acquisition

Corp.,

expiring

3/21/2024

*

470,000

470

IG

Acquisition

Corp.,

expiring

10/5/2027

*

182,500

299,300

Industrial

Tech

Acquisitions,

Inc.,

expiring

6/8/2027

*

140,000

145,600

Insu

Acquisition

Corp.

II,

expiring

9/1/2025

*

75,946

258,216

InterPrivate

Acquisition

Corp.,

expiring

10/29/2024

*

68,750

281,875

Juniper

Industrial

Holdings,

Inc.,

expiring

11/13/2026

*

150,000

276,000

Landcadia

Holdings

III,

Inc.,

expiring

10/1/2027

*

320,666

715,085

Leisure

Acquisition

Corp.,

expiring

12/28/2022

*

125,000

98,750

LF

Capital

Acquisition

Corp.,

expiring

6/27/2023

*

240,000

465,600

LGL

Systems

Acquisition

Corp.,

expiring

11/12/2026

*

14,375

23,288

Lion

Group

Holding

Ltd.,

expiring

4/30/2026

(Hong

Kong)

*

80,000

6,984

Lionheart

Acquisition

Corp.

II,

expiring

2/14/2026

*

299,040

337,915

Longevity

Acquisition

Corp.,

expiring

7/31/2025

(China)

*

125,000

195,000

Longview

Acquisition

Corp.,

expiring

6/29/2025

*

125,000

823,750

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

*

128,200

371,780

Merida

Merger

Corp.

I,

expiring

11/7/2026

*

75,000

75,000

Montes

Archimedes

Acquisition

Corp.,

expiring

12/31/2025

*

253,600

365,184

Motion

Acquisition

Corp.,

expiring

10/2/2027

*

138,461

278,307

NavSight

Holdings,

Inc.,

expiring

1/1/2030

*

284,800

364,544

New

Beginnings

Acquisition

Corp.,

expiring

11/1/2026

*

54,400

54,400

New

Providence

Acquisition

Corp.,

expiring

9/1/2024

*

100,000

378,000

NewHold

Investment

Corp.,

expiring

3/10/2025

*

166,680

233,352

North

Mountain

Merger

Corp.,

expiring

9/16/2025

*

77,010

100,113

54

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

4.4%

(continued)

Northern

Genesis

Acquisition

Corp.,

expiring

7/31/2027

*

356,000

2,007,840

Northern

Star

Acquisition

Corp.,

expiring

8/29/2025

*

273,666

987,934

Novus

Capital

Corp.,

expiring

6/30/2027

*

225,000

1,041,750

Osprey

Technology

Acquisition

Corp.,

expiring

12/30/2024

*

75,000

110,250

OTR

Acquisition

Corp.,

expiring

12/31/2025

*

54,347

54,890

Panacea

Acquisition

Corp.,

expiring

7/7/2027

*

12,666

40,531

Pershing

Square

Tontine

Holdings

Ltd.,

expiring

7/24/2025

*

22,500

216,000

PMV

Consumer

Acquisition

Corp.,

expiring

8/31/2027

*

146,000

160,600

PROMECAP

Acquisition

Co.

SAB

de

CV,

expiring

3/23/2023

(Mexico)

(3)*(c)

400,000

18,091

Property

Solutions

Acquisition

Corp.,

expiring

8/28/2027

*

401,500

421,575

Recharge

Acquisition

Corp.,

expiring

10/5/2027

*

139,000

218,230

Replay

Acquisition

Corp.,

expiring

4/8/2024

*

115,000

212,290

Rice

Acquisition

Corp.,

expiring

10/26/2027

*

290,942

663,348

Roman

DBDR

Tech

Acquisition

Corp.,

expiring

10/31/2025

*

185,500

218,890

Romeo

Power,

Inc.,

expiring

2/21/2026

*

166,666

1,553,327

ROTH

CH

ACQUISITION

I

CO.,

expiring

1/28/2025

*

63,000

277,200

Sandbridge

Acquisition

Corp.,

expiring

9/14/2027

*

174,850

227,305

Seaport

Global

Acquisition

Corp.,

expiring

12/31/2025

*

86,250

89,700

Software

Acquisition

Group,

Inc.

II,

expiring

3/17/2027

*

269,000

363,150

South

Mountain

Merger

Corp.,

expiring

6/20/2024

*

150,000

639,000

Spartacus

Acquisition

Corp.,

expiring

10/31/2027

*

275,000

308,000

Sports

Entertainment

Acquisition

Corp.,

expiring

10/30/2025

*

106,800

144,180

Stable

Road

Acquisition

Corp.,

expiring

5/15/2026

*

62,500

329,375

Star

Peak

Energy

Transition

Corp.,

expiring

8/11/2025

*

237,333

1,405,011

Starboard

Value

Acquisition

Corp.,

expiring

9/10/2027

*

42,720

84,158

Switchback

Energy

Acquisition

Corp.,

expiring

12/31/2024

*

113,333

1,747,595

Tailwind

Acquisition

Corp.,

expiring

9/7/2027

*

313,280

438,592

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Capital

Markets

-

4.4%

(continued)

Tuscan

Holdings

Corp.,

expiring

4/1/2026

*

320,000

1,526,400

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025

*

95,000

223,250

TWC

Tech

Holdings

II

Corp.,

expiring

9/15/2027

*

132,906

224,611

Vistas

Media

Acquisition

Co.,

Inc.,

expiring

8/1/2026

*

130,690

112,380

Yellowstone

Acquisition

Co.,

expiring

10/21/2025

*(b)

153,000

189,720

38,208,640

Chemicals

-

0.3%

Danimer

Scientific,

Inc.,

expiring

5/8/2027

*

188,978

2,137,341

Commercial

Services

&

Supplies

-

0.1%

Estre

Ambiental

,

Inc.,

expiring

12/22/2022

(Brazil)

*

661,870

2,515

Fusion

Fuel

Green

plc,

expiring

7/1/2026

(Ireland)

*

54,000

359,100

361,615

Construction

&

Engineering

-

0.1%

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

*

343,006

984,427

Limbach

Holdings,

Inc.,

expiring

7/20/2021

*

168,252

104,367

Peck

Co.

Holdings,

Inc.

(The),

expiring

6/20/2024

*

122,916

24,583

1,113,377

Consumer

Finance

-

0.0%

(a)

Roan

Holdings

Group

Co.

Ltd.,

expiring

7/6/2021

(China)

(2)*

142,386

1,111

Diversified

Consumer

Services

-

0.0%

(a)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)

*

99,990

302,970

Electrical

Equipment

-

0.3%

Eos

Energy

Enterprises,

Inc.,

expiring

5/6/2026

*

187,500

1,558,125

Vertiv

Co.,

expiring

2/10/2025

*

100,000

730,000

2,288,125

Energy

Equipment

&

Services

-

0.0%

(a)

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

*

259,500

347,730

Entertainment

-

0.0%

(a)

CuriosityStream

,

Inc.,

expiring

10/14/2025

*

54,560

141,856

Food

Products

-

0.0%

(a)

Whole

Earth

Brands,

Inc.,

expiring

6/25/2025

*

180,000

248,400

55

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Health

Care

Providers

&

Services

-

0.0%

(a)

New

Frontier

Health

Corp.,

expiring

7/25/2023

(Hong

Kong)

*

32,837

71,585

SOC

Telemed

,

Inc.,

expiring

10/30/2025

*

87,500

106,750

178,335

Health

Care

Technology

-

0.0%

(a)

Multiplan

Corp.,

expiring

10/8/2025

*

22,500

33,750

Hotels,

Restaurants

&

Leisure

-

0.2%

Allied

Esports

Entertainment,

Inc.,

expiring

8/9/2024

*

210,000

74,550

BurgerFi

International,

Inc.,

expiring

1/15/2023

*

250,000

550,000

Golden

Nugget

Online

Gaming,

Inc.,

expiring

5/9/2026

*

116,666

1,049,994

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

*

122,980

31,926

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

*

175,587

70,235

Simplicity

Esports

and

Gaming

Co.,

expiring

11/20/2023

*

101,605

61,979

Target

Hospitality

Corp.,

expiring

3/15/2024

*

53,333

3,893

1,842,577

Household

Products

-

0.1%

Clever

Leaves

Holdings,

Inc.,

expiring

12/18/2025

(Canada)

*

288,000

443,520

Insurance

-

0.0%

(a)

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)

*

117,500

92,825

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

*

154,500

25,489

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

*

276,625

110,650

228,964

Interactive

Media

&

Services

-

0.0%

(a)

Glory

Star

New

Media

Group

Holdings

Ltd.,

expiring

2/20/2025

(Hong

Kong)

*

370,000

29,748

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

Reebonz

Holding

Ltd.,

expiring

12/19/2023

(Singapore)

*

75,000

135

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

IT

Services

-

0.2%

American

Virtual

Cloud

Technologies,

Inc.,

expiring

4/7/2025

*

250,000

112,500

Exela

Technologies,

Inc.,

expiring

7/12/2022

*

880,354

21,569

Global

Blue

Group

Holding

AG,

expiring

8/28/2025

(Switzerland)

*

33,333

54,666

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

*

90,000

323,100

Paya

Holdings,

Inc.,

expiring

10/16/2025

*

230,000

828,000

Verra

Mobility

Corp.,

expiring

10/17/2023

*

66,666

266,664

1,606,499

Machinery

-

0.1%

XL

Fleet

Corp.,

expiring

6/1/2025

*(b)

66,666

539,995

Media

-

0.0%

(a)

Advantage

Solutions,

Inc.,

expiring

10/28/2025

*

3,750

10,687

Digital

Media

Solutions,

Inc.,

expiring

4/5/2023

*

125,000

197,825

208,512

Metals

&

Mining

-

0.2%

Hycroft

Mining

Holding

Corp.,

expiring

2/12/2025

*

158,844

225,558

MP

Materials

Corp.,

expiring

5/4/2027

*

111,100

1,707,607

1,933,165

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%

(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

*

131,393

35,476

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Altus

Midstream

Co.,

expiring

11/12/2023

*

125,000

5,000

Brooge

Energy

Ltd.,

expiring

12/20/2024

(United

Arab

Emirates)

*

191,000

114,600

Falcon

Minerals

Corp.,

expiring

8/23/2023

*

222,879

32,474

NextDecade

Corp.,

expiring

7/24/2022

*

547,770

8,326

160,400

Personal

Products

-

0.0%

(a)

Apollo

Healthcare

Corp.,

expiring

1/3/2022

(Canada)

(2)*

579,085

147,853

Pharmaceuticals

-

0.1%

AYR

Strategies,

Inc.,

expiring

5/24/2024

(Canada)

*

51,987

756,382

Professional

Services

-

0.0%

(a)

Akerna

Corp.,

expiring

8/1/2024

*

7,500

6,975

56

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

NO.

OF

WARRANTS

VALUE

($)

Road

&

Rail

-

0.0%

(a)

Daseke

,

Inc.,

expiring

2/27/2022

*

378,003

68,041

Software

-

0.1%

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024

*

314,900

110,215

Kaleyra

,

Inc.,

expiring

3/6/2025

*

281,250

421,875

KLDiscovery

,

Inc.,

expiring

12/1/2025

*

247,565

69,318

Phunware

,

Inc.,

expiring

12/26/2023

*

58,632

17,777

Porch

Group,

Inc.,

expiring

12/23/2025

*

81,250

251,875

Skillz

,

Inc.,

expiring

2/26/2027

*

1,500

10,830

881,890

Specialty

Retail

-

0.0%

(a)

Arko

Corp.,

expiring

12/31/2025

*

133,333

181,333

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)

*

125,000

18,787

LXRandCo

,

Inc.,

expiring

6/9/2022

(Canada)

(2)*

1,274,000

10,009

210,129

Technology

Hardware,

Storage

&

Peripherals

-

0.1%

Borqs

Technologies,

Inc.,

expiring

8/18/2022

(China)

(2)*

373,500

12,624

Desktop

Metal,

Inc.,

expiring

3/5/2024

*

230,000

1,106,300

1,118,924

Trading

Companies

&

Distributors

-

0.0%

(a)

Alta

Equipment

Group,

Inc.,

expiring

4/8/2024

*

85,000

169,575

Nesco

Holdings,

Inc.,

expiring

1/1/2025

*

83,328

79,995

249,570

Wireless

Telecommunication

Services

-

0.0%

(a)

Trilogy

International

Partners,

Inc.,

expiring

2/7/2022

(Canada)

(2)*

445,000

5,244

TOTAL

WARRANTS

(Cost

$509,016)

60,573,814

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%

(a)

Health

Care

Equipment

&

Supplies

-

0.0%

(a)

DEMC

Ltd.,

Class

A

(3)*(c)(d)

12,969

–

DEMC

Ltd.,

Class

A-2

(3)*(c)(d)

368,190,309

72,221

DEMC

Ltd.,

Class

A-3

(3)*(c)(d)

256,532,573,548

243,706

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

$757,873)

316,441

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

40.4%

INVESTMENT

COMPANIES

-

30.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(h)(

i

)

1,447,065

1,447,065

Limited

Purpose

Cash

Investment

Fund,

0.03%

(h)(j)

267,641,694

267,534,637

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(h)

1,680

1,680

TOTAL

INVESTMENT

COMPANIES

(Cost

$269,017,939)

268,983,382

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

9.8%

U.S.

Treasury

Bills

0.15%,

1/14/2021

(2)(b)(k)(l)

$

10,890,000

10,889,864

0.13%,

1/21/2021

(2)(b)(k)(l)

4,325,000

4,324,908

0.11%,

2/4/2021

(2)(b)(k)(l)

30,884,000

30,882,537

0.12%,

3/4/2021

(2)(b)(k)(l)

20,294,000

20,291,672

0.12%,

3/18/2021

(2)(b)(k)(l)

8,696,000

8,694,766

0.09%,

6/24/2021

(2)(b)(k)(l)

11,088,000

11,083,655

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$86,162,009)

86,167,402

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$355,179,948)

355,150,784

TOTAL

LONG

POSITIONS

(Cost

$897,685,754)

1,072,176,406

SHARES

SHORT

POSITIONS

-

(29.8)%

COMMON

STOCKS

-

(27.4)%

Aerospace

&

Defense

-

(0.4)%

PAE,

Inc.

*

(37,332)

(342,708)

Parsons

Corp.

*

(77,574)

(2,824,469)

(3,167,177)

Airlines

-

(1.0)%

American

Airlines

Group,

Inc.

(170,679)

(2,691,608)

Southwest

Airlines

Co.

(137,557)

(6,411,532)

(9,103,140)

Auto

Components

-

(0.4)%

Aptiv

plc

(23,402)

(3,049,047)

Biotechnology

-

(1.4)%

BioMarin

Pharmaceutical,

Inc.

*

(5,658)

(496,150)

Coherus

Biosciences,

Inc.

*

(33,542)

(582,960)

DermTech

,

Inc.

*

(87,130)

(2,826,497)

Gossamer

Bio,

Inc.

*

(199,911)

(1,933,139)

Inovio

Pharmaceuticals,

Inc.

*

(385,544)

(3,412,065)

Ironwood

Pharmaceuticals,

Inc.

*

(131,716)

(1,500,245)

PTC

Therapeutics,

Inc.

*

(30,446)

(1,858,120)

(12,609,176)

Capital

Markets

-

0.0%

Penson

Worldwide,

Inc.

(3)*(c)

(212,307)

–

Commercial

Services

&

Supplies

-

(0.7)%

GFL

Environmental,

Inc.

(Canada)

(199,928)

(5,833,899)

57

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

(0.6)%

Harmonic,

Inc.

*

(27,660)

(204,407)

Infinera

Corp.

*

(161,813)

(1,695,800)

Inseego

Corp.

*

(199,493)

(3,086,157)

(4,986,364)

Construction

&

Engineering

-

0.0%

(a)

Limbach

Holdings,

Inc.

*

(10,000)

(123,300)

Consumer

Finance

-

(0.1)%

EZCORP,

Inc.,

Class

A

*

(21,529)

(103,124)

LendingTree,

Inc.

*

(1,927)

(527,593)

(630,717)

Diversified

Consumer

Services

-

(0.2)%

OneSpaWorld

Holdings

Ltd.

(Bahamas)

(29,997)

(304,170)

Stride,

Inc.

*

(67,398)

(1,430,859)

(1,735,029)

Diversified

Financial

Services

-

(0.1)%

Element

Fleet

Management

Corp.

(Canada)

(58,423)

(614,109)

Diversified

Telecommunication

Services

-

(0.2)%

Vonage

Holdings

Corp.

*

(151,030)

(1,944,511)

Electric

Utilities

-

(0.6)%

NextEra

Energy,

Inc.

(48,135)

(3,713,615)

PG&E

Corp.

*

(153,742)

(1,915,626)

(5,629,241)

Electrical

Equipment

-

(1.6)%

Plug

Power,

Inc.

*

(362,481)

(12,291,731)

Vertiv

Holdings

Co.,

Class

A

(78,572)

(1,466,939)

(13,758,670)

Electronic

Equipment,

Instruments

&

Components

-

(2.2)%

II-VI,

Inc.

*

(242,836)

(18,445,823)

Insight

Enterprises,

Inc.

*

(14,491)

(1,102,620)

(19,548,443)

Energy

Equipment

&

Services

-

(0.1)%

Helix

Energy

Solutions

Group,

Inc.

*

(36,833)

(154,699)

National

Energy

Services

Reunited

Corp.

*

(110,323)

(1,095,507)

(1,250,206)

Entertainment

-

(0.1)%

Zynga,

Inc.,

Class

A

*

(61,315)

(605,179)

Health

Care

Equipment

&

Supplies

-

(0.6)%

China

Medical

Technologies,

Inc.,

ADR

(China)

(3)*(c)

(35,303)

–

Envista

Holdings

Corp.

*

(53,594)

(1,807,726)

Novocure

Ltd.

*

(6,726)

(1,163,867)

NuVasive

,

Inc.

*

(3,742)

(210,787)

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

(0.6)%

(continued)

Varex

Imaging

Corp.

*

(98,306)

(1,639,744)

(4,822,124)

Health

Care

Providers

&

Services

-

(0.7)%

Anthem,

Inc.

(17,829)

(5,724,714)

New

Frontier

Health

Corp.,

Class

A

(Hong

Kong)

*

(25,146)

(216,255)

(5,940,969)

Health

Care

Technology

-

(0.1)%

Change

Healthcare,

Inc.

*

(42,974)

(801,465)

Hotels,

Restaurants

&

Leisure

-

(2.7)%

Bloomin

'

Brands,

Inc.

(70,536)

(1,369,809)

Carnival

Corp.

(814,200)

(17,635,572)

Royal

Caribbean

Cruises

Ltd.

(65,782)

(4,913,258)

Target

Hospitality

Corp.

*

(10,667)

(16,854)

(23,935,493)

Household

Durables

-

(0.3)%

GoPro,

Inc.,

Class

A

*

(93,236)

(771,994)

Purple

Innovation,

Inc.

*

(62,270)

(2,051,174)

(2,823,168)

Independent

Power

and

Renewable

Electricity

Producers

-

(0.1)%

NextEra

Energy

Partners

LP

(10,510)

(704,696)

Insurance

-

(0.1)%

HCI

Group,

Inc.

(7,531)

(393,871)

Interactive

Media

&

Services

-

(0.6)%

JOYY,

Inc.,

ADR

(China)

(1,564)

(125,089)

Match

Group,

Inc.

*

(35,660)

(5,391,435)

(5,516,524)

Internet

&

Direct

Marketing

Retail

-

(1.2)%

Just

Eat

Takeaway.com

NV

(Germany)

(2)*(e)

(62,087)

(7,000,494)

RealReal

,

Inc.

(The)

*

(64,731)

(1,264,844)

Wayfair,

Inc.,

Class

A

*

(11,018)

(2,487,974)

(10,753,312)

IT

Services

-

(2.1)%

I3

Verticals,

Inc.,

Class

A

*

(29,531)

(980,429)

Limelight

Networks,

Inc.

*

(34,849)

(139,048)

Okta

,

Inc.

*

(8,959)

(2,277,915)

Sabre

Corp.

(867,442)

(10,426,653)

Square,

Inc.,

Class

A

*

(10,005)

(2,177,488)

Verra

Mobility

Corp.

*

(64,494)

(865,509)

Wix.com

Ltd.

(Israel)

*

(5,684)

(1,420,773)

(18,287,815)

Machinery

-

(0.1)%

Colfax

Corp.

*

(7,977)

(305,041)

Fortive

Corp.

(8,393)

(594,392)

(899,433)

58

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

(0.3)%

Endeavour

Mining

Corp.

(Ivory

Coast)

*

(125,447)

(2,919,114)

Multi-Utilities

-

(0.4)%

CenterPoint

Energy,

Inc.

(64,225)

(1,389,829)

DTE

Energy

Co.

(11,713)

(1,422,075)

Sempra

Energy

(4,043)

(515,119)

(3,327,023)

Oil,

Gas

&

Consumable

Fuels

-

(1.0)%

Cenovus

Energy,

Inc.

(Canada)

(637,156)

(3,879,298)

CNX

Resources

Corp.

*

(212,266)

(2,292,473)

EQT

Corp.

(196,267)

(2,494,554)

Falcon

Minerals

Corp.

(75,000)

(236,250)

SFL

Corp.

Ltd.

(Norway)

(5,105)

(32,059)

(8,934,634)

Paper

&

Forest

Products

-

(0.3)%

West

Fraser

Timber

Co.

Ltd.

(Canada)

(45,626)

(2,931,334)

Pharmaceuticals

-

(0.3)%

Aphria

,

Inc.

(Canada)

*

(68,627)

(474,899)

Omeros

Corp.

*

(168,682)

(2,409,622)

(2,884,521)

Real

Estate

Management

&

Development

-

(0.2)%

Colliers

International

Group,

Inc.

(Canada)

(10,997)

(980,163)

Redfin

Corp.

*

(8,558)

(587,335)

(1,567,498)

Semiconductors

&

Semiconductor

Equipment

-

(4.6)%

Canadian

Solar,

Inc.

(Canada)

*

(77,149)

(3,953,115)

Lam

Research

Corp.

(76,137)

(35,957,221)

SMART

Global

Holdings,

Inc.

*

(17,164)

(645,881)

(40,556,217)

Software

-

(1.5)%

Blackline,

Inc.

*

(7,882)

(1,051,301)

Coupa

Software,

Inc.

*

(4,102)

(1,390,209)

Datadog

,

Inc.,

Class

A

*

(12,676)

(1,247,825)

Five9,

Inc.

*

(8,380)

(1,461,472)

Kaleyra

,

Inc.

(Italy)

*

(12,500)

(123,250)

PROS

Holdings,

Inc.

*

(106,380)

(5,400,913)

Rapid7,

Inc.

*

(10,801)

(973,818)

Rimini

Street,

Inc.

*

(25,156)

(111,441)

RingCentral,

Inc.,

Class

A

*

(4,009)

(1,519,291)

(13,279,520)

Technology

Hardware,

Storage

&

Peripherals

-

(0.2)%

Pure

Storage,

Inc.,

Class

A

*

(67,574)

(1,527,848)

Trading

Companies

&

Distributors

-

0.0%

(a)

Alta

Equipment

Group,

Inc.

*

(9,640)

(95,243)

INVESTMENTS

SHARES

VALUE

($)

Wireless

Telecommunication

Services

-

(0.3)%

T-Mobile

US,

Inc.

*

(20,731)

(2,795,575)

TOTAL

COMMON

STOCKS

(Proceeds

$(162,692,242))

(240,285,605)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(2.4)%

Diversified

Financial

Services

-

(0.3)%

JPMorgan

Chase

Bank

NA

0.13%,

1/1/2023

(2)(e)

$

(2,325,000)

(2,683,922)

Entertainment

-

(0.3)%

Live

Nation

Entertainment,

Inc.

2.50%,

3/15/2023

(2)

(2,350,000)

(3,033,380)

Internet

&

Direct

Marketing

Retail

-

(1.5)%

Booking

Holdings,

Inc.

0.75%,

5/1/2025

(2)(e)

(6,200,000)

(9,007,407)

Etsy,

Inc.

0.13%,

9/1/2027

(2)(e)

(3,325,000)

(4,113,217)

(13,120,624)

Life

Sciences

Tools

&

Services

-

(0.3)%

Illumina,

Inc.

0.00%,

8/15/2023

(2)

(2,350,000)

(2,648,698)

TOTAL

CONVERTIBLE

BONDS

(Proceeds

$(18,694,068))

(21,486,624)

TOTAL

SHORT

POSITIONS

(Proceeds

$(181,386,310))

(261,772,229)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.2%

(Cost

$716,299,444)

810,404,177

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.8%

(m)

68,136,835

NET

ASSETS

-

100.0%

878,541,012

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

8,830,716

1.0

%

Consumer

Discretionary

32,241,273

3.7

Consumer

Staples

843,516

0.1

Energy

8,020,706

0.9

Financials

315,905,625

35.9

Health

Care

15,857,106

1.8

Industrials

22,417,904

2.5

Information

Technology

37,611,354

4.3

Materials

4,266,962

0.5

Real

Estate

2,382,006

0.3

Utilities

6,876,225

0.8

Short-Term

Investments

355,150,784

40.4

Total

Investments

In

Securities

At

Value

810,404,177

92.2

Other

Assets

in

Excess

of

Liabilities

(m)

68,136,835

7.8

Net

Assets

$

878,541,012

100.0%

59

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

*

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

$353,949,244.

In

addition,

$33,887,613

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

December

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$3,520,831,

which

represents

approximately

0.40%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$151,506,199,

which

represents

approximately

17.25%

of

net

assets

of

the

fund.

(f)

Defaulted

security.

(g)

Payment

in-kind

security.

(h)

Represents

7-day

effective

yield

as

of

December

31,

2020.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(j)

For

the

period

ended

December

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(k)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(l)

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.

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2020

Shares

Held

At

12/31/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

30.5%

INVESTMENT

COMPANIES

-

30.5%

Limited

Purpose

Cash

Investment

Fund,

0.03%

(a)

(Cost

$267,569,194)

$117,303,301

$1,457,952,915

$(1,307,652,930)

$(25,894)

$(42,755)

$267,534,637

267,641,694

$655,510

$26,477

(a)

Represents

7-day

effective

yield

as

of

December

31,

2020.

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).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

December

31,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

35.V1

5.00

%

Qu

arterly

12/20/2025

2.93

%

USD

16,950,000

$

(646,924)

$

(959,714)

$

(1,606,638)

$

(646,924)

$

(959,714)

$

(1,606,638)

60

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

Futures

contracts

outstanding

as

of

December

31,

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

(282)

3/2021

USD

$

(52,858,080)

$

(1,257,475)

U.S.

Treasury

10

Year

Note

(52)

3/2021

USD

(7,180,063)

(7,447)

U.S.

Treasury

5

Year

Note

(180)

3/2021

USD

(22,709,531)

(51,394)

$

(1,316,316)

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

75,000

USD

58,365

CITI

3/17/2021

$

568

JPY

893,165,122

USD

8,599,045

CITI

3/17/2021

58,117

JPY

23,898,018

USD

230,440

JPMC

3/17/2021

1,195

USD

356,216

CAD

452,746

CITI

3/17/2021

465

Total

unrealized

appreciation

60,345

USD

6,920,984

CAD

8,923,844

CITI

3/17/2021

(91,051)

USD

1,922,838

CAD

2,508,833

JPMC

3/17/2021

(48,512)

USD

4,422,598

JPY

458,709,114

CITI

3/17/2021

(23,522)

USD

4,422,592

JPY

458,709,106

JPMC

3/17/2021

(23,527)

Total

unrealized

depreciation

(186,612)

Net

unrealized

depreciation

$

(126,267)

Total

Return

Basket

Swaps

Outstanding

at

December

31,

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

$368,191

$(20,247)

$(13,174)

$(33,421)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(0.03%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

04/09/2025

$2,226,016

$(546,352)

$(61,863)

$(608,215)

61

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

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.

59-60

months

maturity

ranging

from

10/09/2025

-

11/06/2025

$6,539,717

$70,846

$(377)

$70,469

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.

59

months

maturity

10/03/2025

$1,693,558

$1,747

$(513)

$1,234

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.

50

months

maturity

01/13/2025

$769,385

$(144,514)

$(130)

$(144,644)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-61

months

maturity

ranging

from

04/19/2021

-

01/22/2025

$3,183,404

$(366,964)

$(639)

$(367,603)

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

(-0.25%

to

1.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2022

$1,216,119

$18,747

$(7,403)

$11,344

62

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

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

fixed

income

positions

and

pays

or

receives

the

OBFR

and

LIBOR

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

$273,259,069

$7,014,009

$646,695

$7,660,704

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

Lyft,

Inc.

78,772

3,870,068

1,394,235

18.2

PRINCIPAL

Convertible

Bonds

Panama

Copa

Holdings

SA,

4.50%,

4/15/2025

5,500,000

9,327,088

3,293,037

43.0

Spain

Atlantica

Sustainable

Infrastructure

Jersey

Ltd.,

4.00%,

7/15/2025

2,175,000

2,664,357

414,803

5.4

United

States

1Life

Healthcare,

Inc.,

3.00%,

6/15/2025

5,150,000

6,464,926

926,797

12.1

Allegheny

Technologies,

Inc.,

3.50%,

6/15/2025

4,650,000

6,356,668

1,855,969

24.2

Bloom

Energy

Corp.,

2.50%,

8/15/2025

1,815,000

3,492,079

1,363,712

17.8

Cantel

Medical

Corp.,

3.25%,

5/15/2025

3,675,000

7,432,846

2,236,834

29.2

CryoLife

,

Inc.,

4.25%,

7/1/2025

2,950,000

3,750,936

671,041

8.8

CyberArk

Software

Ltd.,

0.00%,

11/15/2024

5,750,000

6,975,520

1,264,430

16.5

DexCom

,

Inc.,

0.25%,

11/15/2025

4,775,000

4,803,290

(62,531)

(0.8)

Exact

Sciences

Corp.,

0.38%,

3/1/2028

6,700,000

8,725,116

2,394,092

31.3

FireEye,

Inc.,

0.88%,

6/1/2024

5,175,000

6,290,558

1,424,737

18.6

Glaukos

Corp.,

2.75%,

6/15/2027

6,025,000

9,311,290

1,693,839

22.1

Innoviva

,

Inc.,

2.50%,

8/15/2025

4,200,000

4,561,043

436,104

5.7

Invacare

Corp.,

4.50%,

6/1/2022

2,550,000

2,429,468

79,324

1.0

J2

Global,

Inc.,

1.75%,

11/1/2026

4,175,000

4,339,028

937,967

12.2

Liberty

Media

Corp.,

2.25%,

9/30/2046

5,000,000

2,350,174

(52,891)

(0.7)

Liberty

Media

Corp.,

0.50%,

12/1/2050

2,150,000

2,281,839

111,265

1.5

LivaNova

USA,

Inc.,

3.00%,

12/15/2025

2,925,000

3,828,536

461,861

6.0

Luminex

Corp.,

3.00%,

5/15/2025

2,950,000

2,903,300

(360,483)

(4.7)

Match

Group

Financeco

2,

Inc.,

0.88%,

6/15/2026

5,150,000

9,403,945

1,847,932

24.1

New

Mountain

Finance

Corp.,

5.75%,

8/15/2023

3,325,000

3,488,652

176,171

2.3

Pacira

BioSciences

,

Inc.,

0.75%,

8/1/2025

4,505,000

5,081,922

243,305

3.2

PagerDuty

,

Inc.,

1.25%,

7/1/2025

2,200,000

2,817,579

592,101

7.7

Palo

Alto

Networks,

Inc.,

0.38%,

6/1/2025

7,475,000

9,845,694

2,369,371

30.9

Palo

Alto

Networks,

Inc.,

0.75%,

7/1/2023

6,225,000

8,803,114

1,757,201

22.9

PetIQ

,

Inc.,

4.00%,

6/1/2026

2,975,000

4,526,224

261,497

3.4

Pluralsight

,

Inc.,

0.38%,

3/1/2024

4,050,000

3,998,418

297,723

3.9

Prospect

Capital

Corp.,

6.38%,

3/1/2025

3,000,000

3,144,436

110,812

1.4

RealPage

,

Inc.,

1.50%,

5/15/2025

1,970,000

2,537,372

117,516

1.5

Splunk

,

Inc.,

1.13%,

6/15/2027

5,725,000

5,953,338

(348,024)

(4.5)

63

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Veeco

Instruments,

Inc.,

3.75%,

6/1/2027

3,675,000

5,349,674

1,064,654

13.9

WisdomTree

Investments,

Inc.,

4.25%,

6/15/2023

4,400,000

4,980,734

634,158

8.3

SHARES

Short

Positions

Common

Stocks

Panama

Copa

Holdings

SA

(91,556)

(7,070,870)

(2,363,844)

(30.9)

United

States

1Life

Healthcare,

Inc.

(78,496)

(3,426,350)

(872,041)

(11.4)

Allegheny

Technologies,

Inc.

(220,317)

(3,694,716)

(1,395,228)

(18.2)

Bloom

Energy

Corp.

(98,517)

(2,823,497)

(1,154,701)

(15.1)

Cantel

Medical

Corp.

(78,796)

(6,213,853)

(2,115,891)

(27.6)

CryoLife

,

Inc.

(90,526)

(2,137,319)

(398,913)

(5.2)

CyberArk

Software

Ltd.

(24,455)

(3,951,683)

(1,106,704)

(14.4)

Exact

Sciences

Corp.

(42,893)

(5,682,894)

(1,770,154)

(23.1)

FireEye,

Inc.

(139,934)

(3,226,878)

(852,309)

(11.1)

Glaukos

Corp.

(88,074)

(6,628,449)

(1,546,260)

(20.2)

LivaNova

plc

(36,453)

(2,413,553)

(396,738)

(5.2)

Match

Group,

Inc.

(50,605)

(7,650,970)

(1,772,713)

(23.1)

Pacira

BioSciences

,

Inc.

(38,287)

(2,291,094)

(55,489)

(0.7)

Palo

Alto

Networks,

Inc.

(36,549)

(12,989,149)

(3,287,278)

(42.9)

PetIQ

,

Inc.

(80,270)

(3,086,382)

(273,375)

(3.6)

Veeco

Instruments,

Inc.

(211,419)

(3,670,234)

(758,061)

(9.9)

PRINCIPAL

Convertible

Bonds

United

States

Lyft,

Inc.,

1.50%,

5/15/2025

(3,600,000)

(5,340,286)

(1,453,467)

(19.0)

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

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.93%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

09/10/2024

-

12/24/2025

$306,980,863

$(712,645)

$(838,894)

$(1,551,539)

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

Tilray

,

Inc.

330,567

2,730,483

(410,161)

26.4

64

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

China

China

Biologic

Products

Holdings,

Inc.

38,577

4,556,329

(12,325)

0.8

DouYu

International

Holdings

Ltd.,

ADR

228,470

2,526,878

(959,204)

61.8

SINA

Corp.

76,523

3,243,045

(21,588)

1.4

Sogou

,

Inc.,

ADR

365,538

2,979,135

(267,932)

17.3

United

States

Aerojet

Rocketdyne

Holdings,

Inc.

229,157

12,110,947

33,173

(2.1)

Alexion

Pharmaceuticals,

Inc.

71,860

11,227,406

(123,751)

8.0

BioTelemetry

,

Inc.

24,656

1,777,204

(2,264)

0.1

BMC

Stock

Holdings,

Inc.

125,328

6,727,607

1,461,094

(94.2)

Cincinnati

Bell,

Inc.

249,861

3,817,876

377,595

(24.3)

Eaton

Vance

Corp.

147,710

10,033,940

976,200

(62.9)

Eidos

Therapeutics,

Inc.

67,183

8,839,939

3,745,842

(241.4)

Fitbit,

Inc.

689,999

4,691,993

(11,005)

0.7

Front

Yard

Residential

Corp.

230,565

3,735,153

644,918

(41.6)

Genworth

Financial,

Inc.

843,592

3,188,778

(163,194)

10.5

HMS

Holdings

Corp.

121,391

4,461,119

25,621

(1.7)

IHS

Markit

Ltd.

119,494

10,734,146

131,294

(8.5)

Inphi

Corp.

57,940

9,297,632

1,143,724

(73.7)

Maxim

Integrated

Products,

Inc.

100,497

8,909,059

1,942,626

(125.2)

National

General

Holdings

Corp.

135,804

4,641,781

50,974

(3.3)

Navistar

International

Corp.

36,423

1,601,155

7,756

(0.5)

Parsley

Energy,

Inc.

123,320

1,751,144

503,336

(32.4)

PNM

Resources,

Inc.

173,580

8,423,837

(222,127)

14.3

QEP

Resources,

Inc.

691,116

1,651,767

99,881

(6.4)

RealPage

,

Inc.

72,094

6,289,481

(21,226)

1.4

Slack

Technologies,

Inc.

263,842

11,144,686

(182,147)

11.7

Sportsman's

Warehouse

Holdings,

Inc.

145,488

2,553,314

14,632

(0.9)

TCF

Financial

Corp.

254,941

9,437,916

162,647

(10.5)

Tiffany

&

Co.

50,755

6,671,745

366,547

(23.6)

Varian

Medical

Systems,

Inc.

37,232

6,515,972

60,302

(3.9)

Virtusa

Corp.

59,136

3,023,624

84,791

(5.5)

Waddell

&

Reed

Financial,

Inc.

76,974

1,960,528

(1,444)

0.1

Watford

Holdings

Ltd.

45,080

1,559,768

43,052

(2.8)

Willis

Towers

Watson

plc

28,800

6,067,584

695,026

(44.8)

Xilinx,

Inc.

63,497

9,001,970

1,327,466

(85.6)

Short

Positions

Common

Stocks

Canada

Aphria

,

Inc.

(394,502)

(2,729,954)

477,382

(30.8)

China

HUYA,

Inc.,

ADR

(166,783)

(3,323,985)

380,806

(24.5)

United

Kingdom

AstraZeneca

plc,

ADR

(152,652)

(7,631,073)

114,885

(7.4)

United

States

Advanced

Micro

Devices,

Inc.

(109,431)

(10,035,917)

(1,655,980)

106.7

Analog

Devices,

Inc.

(63,314)

(9,353,377)

(1,968,109)

126.8

Aon

plc

(31,104)

(6,571,342)

(888,072)

57.2

Bridgebio

Pharma,

Inc.

(124,051)

(8,821,267)

(3,641,870)

234.7

Builders

FirstSource

,

Inc.

(164,492)

(6,712,919)

(1,399,519)

90.2

Diamondback

Energy,

Inc.

(34,449)

(1,667,332)

(102,460)

6.6

Huntington

Bancshares,

Inc.

(765,733)

(9,671,208)

(208,629)

13.4

Marvell

Technology

Group

Ltd.

(134,595)

(6,398,646)

(1,252,002)

80.7

Morgan

Stanley

(89,369)

(6,124,458)

(1,533,867)

98.9

Pioneer

Natural

Resources

Co.

(15,439)

(1,758,348)

(505,556)

32.6

S&P

Global,

Inc.

(33,912)

(11,147,892)

(189,482)

12.2

65

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

salesforce.com,

Inc.

(20,474)

(4,556,079)

45,413

(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

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.

50-61

months

maturity

ranging

from

01/13/2025

-

12/02/2025

$10,467,493

$2,541,091

$59,650

$2,600,741

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Allegiance

Telecom,

Inc.

(a)

150,000

2

(149)

(0.0)

Purple

Innovation,

Inc.

62,270

2,051,174

389,810

15.0

NO.

OF

WARRANTS

Warrants

Hong

Kong

New

Frontier

Health

Corp.,

expiring

7/25/2023

50,000

109,000

9,000

0.3

United

Kingdom

Digital

Media

Solutions,

Inc.,

expiring

4/5/2023

125,000

197,825

101,575

3.9

United

States

180

Life

Sciences

Corp.,

expiring

11/7/2025

500,000

172,450

77,400

3.0

Akerna

Corp.,

expiring

8/1/2024

22,500

20,925

11,228

0.4

Altus

Midstream

Co.,

expiring

11/12/2023

125,000

5,000

(2,513)

(0.1)

American

Virtual

Cloud

Technologies,

Inc.,

expiring

4/7/2025

250,000

112,500

28,500

1.1

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

250,000

67,500

(7,950)

(0.3)

Estre

Ambiental

,

Inc.,

expiring

12/22/2022

661,870

2,515

1,721

0.1

Exela

Technologies,

Inc.,

expiring

7/12/2022

930,354

22,794

8,373

0.3

Falcon

Minerals

Corp.,

expiring

8/23/2023

250,000

36,425

(1,075)

(0.0)

Fisker

,

Inc.,

expiring

10/29/2025

48,333

237,798

(8,217)

(0.3)

Global

Blue

Group

Holding

AG,

expiring

8/28/2025

33,333

54,666

5,667

0.2

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

90,000

323,100

42,300

1.6

Hall

of

Fame

Resort

&

Entertainment

Co.,

expiring

7/1/2025

122,980

31,926

(10,392)

(0.4)

Hycroft

Mining

Holding

Corp.,

expiring

2/12/2025

250,000

355,000

2,500

0.1

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

343,006

984,427

562,530

21.6

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

636,986

254,794

50,895

2.0

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

117,500

92,825

15,275

0.6

Leisure

Acquisition

Corp.,

expiring

12/28/2022

125,000

98,750

3,625

0.1

Limbach

Holdings,

Inc.,

expiring

7/20/2021

168,252

104,367

(63,885)

(2.5)

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

128,200

371,780

67,946

2.6

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

409,500

548,730

(8,190)

(0.3)

Nesco

Holdings,

Inc.,

expiring

1/1/2025

83,334

80,001

15,917

0.6

66

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

NO.

OF

WARRANTS

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

NextDecade

Corp.,

expiring

7/24/2022

547,771

8,326

(31,552)

(1.2)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

99,990

302,970

52,995

2.0

Rimini

Street,

Inc.,

expiring

5/26/2022

471,690

155,658

51,886

2.0

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

286,625

114,650

2,866

0.1

Tattooed

Chef,

Inc.,

expiring

9/30/2025

138,157

1,572,227

743,285

28.6

Velodyne

Lidar,

Inc.,

expiring

9/29/2025

198,000

1,710,720

423,720

16.3

Verra

Mobility

Corp.,

expiring

10/17/2023

66,667

266,668

6,000

0.2

(a)

Security

fair

valued

as

of

December

31,

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)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

fixed

income

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.39%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

57-61

months

maturity

ranging

from

09/06/2024

-

04/30/2025

$235,189,695

$15,620,461

$133,642

$15,754,103

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

9,649,819

2,750,666

17.5

Germany

Deutsche

Bank

AG,

1.00%,

5/1/2023

3,375,000

3,767,158

358,489

2.3

United

States

Akamai

Technologies,

Inc.,

0.38%,

9/1/2027

5,475,000

6,107,589

263,913

1.7

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

6,925,000

7,867,763

2,007,845

12.7

Benefitfocus

,

Inc.,

1.25%,

12/15/2023

2,625,000

2,311,534

357,004

2.3

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,525,000

8,818,744

3,756,129

23.8

DISH

Network

Corp.,

3.38%,

8/15/2026

2,575,000

2,487,398

98,253

0.6

Granite

Construction,

Inc.,

2.75%,

11/1/2024

3,800,000

4,106,645

1,140,506

7.2

Guess?,

Inc.,

2.00%,

4/15/2024

4,365,000

4,872,228

863,983

5.5

Infinera

Corp.,

2.13%,

9/1/2024

3,325,000

4,146,115

1,210,137

7.7

KBR,

Inc.,

2.50%,

11/1/2023

1,200,000

1,646,839

334,832

2.1

Lannett

Co.,

Inc.,

4.50%,

10/1/2026

4,400,000

2,857,774

(322,326)

(2.0)

Liberty

Media

Corp.,

2.75%,

12/1/2049

2,775,000

2,868,984

418,581

2.7

Ligand

Pharmaceuticals,

Inc.,

0.75%,

5/15/2023

1,900,000

1,789,723

242,505

1.5

Lumentum

Holdings,

Inc.,

0.25%,

3/15/2024

6,900,000

11,384,697

2,460,656

15.6

Lumentum

Holdings,

Inc.,

0.50%,

12/15/2026

3,175,000

3,872,336

600,280

3.8

Meritor,

Inc.,

3.25%,

10/15/2037

1,700,000

1,963,049

163,610

1.0

NuVasive

,

Inc.,

0.38%,

3/15/2025

5,000,000

4,854,939

397,468

2.5

Omeros

Corp.,

6.25%,

11/15/2023

1,550,000

1,648,804

70,441

0.4

OPKO

Health,

Inc.,

4.50%,

2/15/2025

5,075,000

6,442,699

2,542,561

16.1

Sarepta

Therapeutics,

Inc.,

1.50%,

11/15/2024

1,375,000

3,373,892

1,336,163

8.5

67

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

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

1,250,000

1,428,220

321,680

2.0

Splunk

,

Inc.,

1.13%,

9/15/2025

2,425,000

3,291,525

282,629

1.8

Square,

Inc.,

0.13%,

3/1/2025

8,300,000

15,623,596

7,391,092

46.9

Tabula

Rasa

HealthCare,

Inc.,

1.75%,

2/15/2026

1,250,000

1,196,013

(75,750)

(0.5)

Wayfair,

Inc.,

1.00%,

8/15/2026

4,975,000

8,356,227

3,981,407

25.3

SHARES

Convertible

Preferred

Stock

United

States

Colfax

Corp.,

5.75%,

1/15/2022

40,000

6,461,600

1,957,600

12.4

NextEra

Energy,

Inc.,

5.28%,

3/1/2023

146,500

7,288,375

930,275

5.9

NextEra

Energy,

Inc.,

4.87%,

9/1/2022

56,425

3,316,097

485,255

3.1

Short

Positions

Common

Stocks

United

States

Akamai

Technologies,

Inc.

(27,332)

(2,869,587)

52,212

0.3

Atlas

Air

Worldwide

Holdings,

Inc.

(73,691)

(4,019,107)

(334,847)

(2.1)

Cleveland-Cliffs,

Inc.

(532,419)

(7,752,021)

(4,011,828)

(25.5)

Colfax

Corp.

(153,773)

(5,880,280)

(1,831,562)

(11.6)

Equitable

Holdings,

Inc.

(294,060)

(7,524,995)

(2,513,528)

(16.0)

Granite

Construction,

Inc.

(76,076)

(2,031,990)

(437,449)

(2.8)

Guess?,

Inc.

(101,586)

(2,297,875)

(569,510)

(3.6)

Infinera

Corp.

(239,100)

(2,505,768)

(717,958)

(4.6)

JPMorgan

Chase

&

Co.

(12,584)

(1,599,049)

(197,981)

(1.3)

KBR,

Inc.

(34,930)

(1,080,385)

(211,739)

(1.3)

Lannett

Co.,

Inc.

(204,316)

(1,332,140)

264,912

1.7

Lumentum

Holdings,

Inc.

(118,637)

(11,246,788)

(2,039,383)

(12.9)

NextEra

Energy,

Inc.

(108,543)

(8,374,092)

(1,669,076)

(10.6)

NuVasive

,

Inc.

(22,512)

(1,268,101)

(64,746)

(0.4)

OPKO

Health,

Inc.

(877,071)

(3,464,430)

(216,434)

(1.4)

Sarepta

Therapeutics,

Inc.

(17,043)

(2,905,661)

(978,271)

(6.2)

Sirius

XM

Holdings,

Inc.

(148,103)

(943,416)

(64,758)

(0.4)

SMART

Global

Holdings,

Inc.

(20,931)

(787,634)

(199,491)

(1.3)

Splunk

,

Inc.

(11,447)

(1,944,731)

255,134

1.6

Square,

Inc.

(58,989)

(12,838,366)

(4,182,799)

(26.6)

Wayfair,

Inc.

(28,145)

(6,355,422)

(1,065,522)

(6.8)

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

(0.10%

to

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

-

12/10/2025

$79,354,742

$4,226,588

$1,155,450

$5,382,038

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

68

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Greenvision

Acquisition

Corp.

150,000

1,545,000

60,000

1.1

United

States

Amplitude

Healthcare

Acquisition

Corp.

93,750

938,438

42,872

0.8

BowX

Acquisition

Corp.

134,799

1,383,038

53,920

1.0

Capstar

Special

Purpose

Acquisition

Corp.

192,000

1,948,800

72,960

1.4

CC

Neuberger

Principal

Holdings

II

150,000

1,560,000

75,000

1.4

CHP

Merger

Corp.

148,700

1,525,662

127,882

2.4

Churchill

Capital

Corp.

IV

500,000

5,005,000

180,000

3.3

CM

Life

Sciences,

Inc.

356,030

3,930,571

391,633

7.3

Crescent

Acquisition

Corp.

100,000

1,045,000

85,000

1.6

E.Merge

Technology

Acquisition

Corp.

200,000

2,046,000

110,000

2.0

East

Resources

Acquisition

Co.

338,000

3,430,700

138,580

2.6

Equity

Distribution

Acquisition

Corp.

134,799

1,380,342

47,180

0.9

Fast

Acquisition

Corp.

512,000

5,242,880

276,480

5.1

FirstMark

Horizon

Acquisition

Corp.

100,000

1,060,000

31,000

0.6

Fusion

Acquisition

Corp.

310,000

3,503,000

465,000

8.6

Gores

Holdings

V,

Inc.

125,000

1,300,000

62,500

1.2

GX

Acquisition

Corp.

100,000

1,100,000

157,000

2.9

Holicity

,

Inc.

175,000

1,769,250

45,500

0.8

IG

Acquisition

Corp.

165,000

1,671,450

47,850

0.9

Landcadia

Holdings

III,

Inc.

500,000

5,240,000

285,000

5.3

Lionheart

Acquisition

Corp.

II

398,080

4,012,646

147,289

2.7

Merida

Merger

Corp.

I

100,000

1,020,000

75,000

1.4

NavSight

Holdings,

Inc.

369,600

3,699,696

96,096

1.8

NewHold

Investment

Corp.

175,000

1,751,750

52,500

1.0

Osprey

Technology

Acquisition

Corp.

150,000

1,570,500

204,000

3.8

Property

Solutions

Acquisition

Corp.

301,500

3,015,000

81,405

1.5

Roman

DBDR

Tech

Acquisition

Corp.

171,000

1,728,810

1,710

0.0

Software

Acquisition

Group,

Inc.

II

375,000

3,731,250

75,000

1.4

Spartacus

Acquisition

Corp.

400,000

4,024,000

68,000

1.3

Tailwind

Acquisition

Corp.

426,560

4,431,958

315,654

5.9

Tuscan

Holdings

Corp.

II

150,000

1,651,500

211,500

3.9

TWC

Tech

Holdings

II

Corp.

198,718

2,092,501

143,077

2.7

69

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

34,198

$

–

$

34,198

BARC

Cash

–

4,398,176

4,398,176

CITG

Cash

–

2,642,197

2,642,197

CITI

Investment

Companies

296,667

–

296,667

DTBK

Cash

16,269,559

–

16,269,559

GSIN

Cash

(23,517,127)

–

(23,517,127)

U.S.

Treasury

Bills

80,503,621

–

80,503,621

JPMC

Investment

Companies

1,116,200

–

1,116,200

JPMS

Cash

–

157,204

157,204

70

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

DIVERSIFYING

STRATEGIES

FUND

Schedule

of

Investments

December

31,

2020

(a)

For

the

period

ended

December

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(b)

Represents

7-day

effective

yield

as

of

December

31,

2020.

The

Schedule

of

Investments

of

the

affiliated

investment

funds

held

by

the

AQR

Diversifying

Strategies

Fund

can

be

found

within

the

annual/semi-annual

reports

for

the

AQR

Funds

as

well

as

on

Form

N-CSR

and

Form

N-PORT

(Part

F)

which

is

filed

with

the

Securities

and

Exchange

Commission.

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

97.6%

ALTERNATIVE

FUNDS

-

65.2%

AQR

Diversified

Arbitrage

Fund,

Class

R6

(a)

271,644

3,107,603

AQR

Equity

Market

Neutral

Fund,

Class

R6

(a)

491,709

3,107,603

AQR

Global

Macro

Fund,

Class

R6

(a)

237,954

2,286,738

AQR

Managed

Futures

Strategy

HV

Fund,

Class

R6

(a)

329,639

2,284,396

AQR

Style

Premia

Alternative

Fund,

Class

R6

(a)

422,570

2,696,000

TOTAL

ALTERNATIVE

FUNDS

(Cost

$13,857,146)

13,482,340

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund,

Class

R6

(a)

(Cost

$6,199,435)

682,505

6,688,549

TOTAL

INVESTMENT

COMPANIES

(Cost

$20,056,581)

20,170,889

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

1.9%

INVESTMENT

COMPANIES

-

1.9%

Limited

Purpose

Cash

Investment

Fund,

0.03%

(b)

(Cost

$395,035)

395,060

394,902

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.5%

(Cost

$20,451,616)

20,565,791

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.5%

104,272

NET

ASSETS

-

100.0%

20,670,063

SECTOR

VALUE

%

OF

NET

ASSETS

Equity

Market

Neutral

$

3,107,603

15.0

%

Event

Driven

3,107,603

15.0

Global

Flex

Allocation

6,688,549

32.4

Global

Macro

2,286,738

11.1

Managed

Futures

2,284,396

11.1

Multialternative

2,696,000

13.0

Short-Term

Investments

394,902

1.9

Total

Investments

In

Securities

At

Value

20,565,791

99.5

Other

Assets

in

Excess

of

Liabilities

104,272

0.5

Net

Assets

$

20,670,063

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

12/31/2020

Shares

Held

At

12/31/2020

Dividend

Income

Capital

Gain

Distributions

INVESTMENT

COMPANIES

-

97.6%

ALTERNATIVE

FUNDS

-

65.2%

AQR

Diversified

Arbitrage

Fund

$

–

$

3,042,245

$

(436,791)

$

23,668

$

478,481

$

3,107,603

271,644

$

56,570

$

–

AQR

Equity

Market

Neutral

Fund

–

3,913,950

(147,945)

(21,250)

(637,152)

3,107,603

491,709

–

422,780

AQR

Global

Macro

Fund

–

2,741,663

(531,246)

1,067

75,254

2,286,738

237,954

–

21,539

AQR

Managed

Futures

Strategy

HV

Fund

–

2,917,888

(430,872)

(19,056)

(183,564)

2,284,396

329,639

200,746

–

AQR

Style

Premia

Alternative

Fund

–

2,945,099

(132,032)

(9,243)

(107,824)

2,696,000

422,570

–

–

(24,814)

(374,805)

13,482,340

257,316

444,319

ASSET

ALLOCATION

FUNDS

-

32.4%

AQR

Multi-Asset

Fund

–

6,812,363

(620,469)

7,542

489,113

6,688,549

682,505

81,603

–

TOTAL

$(17,272)

$114,308

$20,170,889

$338,919

$444,319

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

5).

71

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

93.2%

COMMON

STOCKS

-

6.3%

Belgium

-

0.4%

Ageas

SA/NV

(a)

1,686

89,539

Proximus

SADP

(a)

3,401

67,181

Solvay

SA

(a)

31

3,656

UCB

SA

(a)

684

70,655

231,031

—

Italy

-

4.4%

A2A

SpA

(a)

67,539

108,256

Assicurazioni

Generali

SpA

(a)

12,114

212,097

Atlantia

SpA

*(a)

256

4,623

Azimut

Holding

SpA

(a)

2,195

47,706

Banca

Generali

SpA

4,701

157,229

Banco

BPM

SpA

109,158

242,194

Buzzi

Unicem

SpA

(a)

11,892

283,894

Hera

SpA

(a)

52,671

191,667

Italgas

SpA

(a)

25,750

164,028

Poste

Italiane

SpA

(a)(b)

14,848

151,877

Prysmian

SpA

(a)

5,078

180,739

Telecom

Italia

SpA

(a)

276,113

128,158

UniCredit

SpA

*

17,991

168,565

Unipol

Gruppo

SpA

*(a)

49,692

238,790

2,279,823

—

Spain

-

1.3%

Acerinox

SA

(a)

1,665

18,440

Enagas

SA

(a)

10,009

220,195

Endesa

SA

(a)

12,986

356,192

Red

Electrica

Corp.

SA

(a)

6,011

123,412

718,239

—

United

Kingdom

-

0.2%

CNH

Industrial

NV

*

9,612

120,827

United

States

-

0.0%

(c)

Tenaris

SA

868

7,034

TOTAL

COMMON

STOCKS

(Cost

$2,771,859)

3,356,954

SHORT-TERM

INVESTMENTS

-

86.9%

INVESTMENT

COMPANIES

-

42.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

1,941,740

1,941,740

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(d)

20,902,970

20,894,609

TOTAL

INVESTMENT

COMPANIES

(Cost

$22,837,203)

22,836,349

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

44.1%

U.S.

Treasury

Bills

0.12%,

4/15/2021

(f)(g)

$

10,097,000

10,094,663

0.12%,

4/22/2021

(f)(g)

10,579,000

10,576,462

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

44.1%

(continued)

0.11%,

4/29/2021

(f)(g)

$

2,801,000

2,800,239

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$23,468,885)

23,471,364

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$46,306,088)

46,307,713

TOTAL

LONG

POSITIONS

(Cost

$49,077,947)

49,664,667

SHARES

SHORT

POSITIONS

-

(5.3)%

COMMON

STOCKS

-

(5.3)%

Belgium

-

(0.3)%

Anheuser-Busch

InBev

SA/NV

(360)

(25,116)

Umicore

SA

(2,342)

(112,568)

(137,684)

—

Italy

-

(4.3)%

Amplifon

SpA

*

(1,922)

(79,890)

Davide

Campari-Milano

NV

(17,198)

(197,129)

DiaSorin

SpA

(53)

(11,066)

Enel

SpA

(2,144)

(21,815)

Eni

SpA

(6,646)

(69,382)

Ferrari

NV

(1,303)

(302,220)

FinecoBank

Banca

Fineco

SpA

*

(16,158)

(266,478)

Freni

Brembo

SpA

*

(6,997)

(92,769)

Infrastrutture

Wireless

Italiane

SpA

(b)

(16,005)

(194,020)

Leonardo

SpA

(23,286)

(168,315)

Mediobanca

Banca

di

Credito

Finanziario

SpA

*

(32,760)

(303,253)

Moncler

SpA

*

(952)

(58,530)

Nexi

SpA

*(b)

(6,132)

(122,021)

Pirelli

&

C

SpA

*(b)

(20,687)

(112,147)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(312)

(17,350)

Saipem

SpA

(66,078)

(179,369)

Salvatore

Ferragamo

SpA

*

(5,479)

(106,390)

Snam

SpA

(4,179)

(23,601)

Terna

Rete

Elettrica

Nazionale

SpA

(2,128)

(16,352)

(2,342,097)

—

Spain

-

(0.7)%

Cellnex

Telecom

SA

(b)

(3,317)

(199,196)

Ferrovial

SA

(4,089)

(113,063)

Grifols

SA

(1,975)

(57,663)

(369,922)

—

TOTAL

COMMON

STOCKS

(Proceeds

$(2,743,006))

(2,849,703)

TOTAL

SHORT

POSITIONS

(Proceeds

$(2,743,006))

(2,849,703)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.9%

(Cost

$46,334,941)

46,814,964

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.1%

(h)

6,480,778

NET

ASSETS

-

100.0%

53,295,742

72

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(197,877)

(0.4)

%

Consumer

Discretionary

(672,054)

(1.3)

Consumer

Staples

(222,245)

(0.4)

Energy

(241,717)

(0.4)

Financials

738,264

1.4

Health

Care

(95,314)

(0.2)

Industrials

24,811

0.0(

c

)

Information

Technology

(122,021)

(0.2)

Materials

193,422

0.4

Utilities

1,101,982

2.1

Short-Term

Investments

46,307,713

86.9

Total

Investments

In

Securities

At

Value

46,814,964

87.9

Other

Assets

in

Excess

of

Liabilities

(h)

6,480,778

12.1

Net

Assets

$

53,295,742

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

$2,537,510.

In

addition,

$612,631

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

December

31,

2020

amounted

to

$(475,507),

which

represents

approximately

(0.89)%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

December

31,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange

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).

73

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CHF

500

USD

551

CITI

3/17/2021

$

14

CHF

500

USD

551

JPMC

3/17/2021

14

EUR

5,500

USD

6,689

CITI

3/17/2021

43

EUR

5,500

USD

6,689

JPMC

3/17/2021

43

SEK

500

USD

59

CITI

3/17/2021

1

SEK

500

USD

59

JPMC

3/17/2021

1

USD

22,643

EUR

18,500

CITI

3/17/2021

6

USD

22,643

EUR

18,500

JPMC

3/17/2021

6

Total

unrealized

appreciation

128

EUR

92,000

USD

112,756

CITI

3/17/2021

(182)

EUR

92,000

USD

112,757

JPMC

3/17/2021

(182)

USD

110

CAD

144

CITI

3/17/2021

(3)

USD

115

CAD

150

JPMC

3/17/2021

(3)

USD

320

DKK

2,000

CITI

3/17/2021

(9)

USD

320

DKK

2,000

JPMC

3/17/2021

(9)

USD

356,400

EUR

299,500

CITI

3/17/2021

(10,077)

USD

356,399

EUR

299,500

JPMC

3/17/2021

(10,079)

USD

25,801

HKD

200,000

CITI

3/17/2021

(2)

USD

25,801

HKD

200,000

JPMC

3/17/2021

(2)

USD

167

NOK

1,500

CITI

3/17/2021

(8)

USD

167

NOK

1,500

JPMC

3/17/2021

(8)

Total

unrealized

depreciation

(20,564)

Net

unrealized

depreciation

$

(20,436)

Total

Return

Basket

Swaps

Outstanding

at

December

31,

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%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53

months

maturity

04/22/2025

$177,356

$9,990

$6,324

$16,314

74

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

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

(-1.90%

to

0.23%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/23/2025

-

12/31/2025

$7,606,601

$(18,741)

$(5,608)

$(24,349)

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

4,108

89,511

1,076

(4.4)

Switzerland

Adecco

Group

AG

(Registered)

4,623

307,907

(2,211)

9.1

Belimo

Holding

AG

(Registered)

4

34,750

1,002

(4.1)

BKW

AG

742

83,609

1,493

(6.1)

Bucher

Industries

AG

(Registered)

120

55,039

900

(3.7)

Cie

Financiere

Richemont

SA

(Registered)

176

15,900

(78)

0.3

Credit

Suisse

Group

AG

(Registered)

32,483

419,384

4,202

(17.3)

DKSH

Holding

AG

864

64,732

1,238

(5.1)

dormakaba

Holding

AG

287

162,963

4,211

(17.3)

Galenica

AG

2,051

136,208

610

(2.5)

Helvetia

Holding

AG

(Registered)

711

75,099

1,562

(6.4)

Kuehne

+

Nagel

International

AG

(Registered)

346

78,514

(456)

1.9

LafargeHolcim

Ltd.

(Registered)

7,803

428,290

5,358

(22.0)

Logitech

International

SA

(Registered)

85

8,253

159

(0.7)

Lonza

Group

AG

(Registered)

99

63,773

987

(4.1)

Nestle

SA

(Registered)

164

19,387

299

(1.2)

Novartis

AG

(Registered)

2,268

213,550

4,784

(19.6)

OC

Oerlikon

Corp.

AG

(Registered)

11,689

121,283

4,521

(18.6)

Roche

Holding

AG

919

320,086

(330)

1.4

SGS

SA

(Registered)

17

51,244

661

(2.7)

Sonova

Holding

AG

(Registered)

1,007

261,914

4,452

(18.3)

Sulzer

AG

(Registered)

427

45,158

(884)

3.6

Swatch

Group

AG

(The)

415

112,815

771

(3.2)

Swiss

Life

Holding

AG

(Registered)

349

162,798

1,514

(6.2)

Tecan

Group

AG

(Registered)

254

124,583

9,407

(38.6)

UBS

Group

AG

(Registered)

9,189

129,380

(388)

1.6

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(3,250)

(91,160)

(2,419)

9.9

Alcon,

Inc.

(2,872)

(190,690)

(5,329)

21.9

Bachem

Holding

AG

(Registered)

(144)

(64,399)

(4,502)

18.5

Baloise

Holding

AG

(Registered)

(326)

(57,921)

229

(0.9)

Barry

Callebaut

AG

(Registered)

(105)

(250,229)

(5,413)

22.2

75

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Chocoladefabriken

Lindt

&

Spruengli

AG

(20)

(194,945)

(3,478)

14.3

Clariant

AG

(Registered)

(2,658)

(56,392)

(792)

3.3

Dufry

AG

(Registered)

(3,962)

(249,586)

(6,825)

28.0

EMS-

Chemie

Holding

AG

(Registered)

(172)

(165,458)

(3,105)

12.8

Flughafen

Zurich

AG

(Registered)

(957)

(168,854)

807

(3.3)

Geberit

AG

(Registered)

(29)

(18,153)

(241)

1.0

Givaudan

SA

(Registered)

(24)

(101,540)

(1,802)

7.4

Idorsia

Ltd.

(8,895)

(256,685)

(3,088)

12.7

Julius

Baer

Group

Ltd.

(1,215)

(69,998)

(212)

0.9

Partners

Group

Holding

AG

(131)

(153,930)

(3,063)

12.6

Schindler

Holding

AG

(356)

(96,276)

84

(0.3)

Sika

AG

(Registered)

(1,754)

(478,129)

(8,935)

36.7

Straumann

Holding

AG

(Registered)

(160)

(187,427)

(1,973)

8.1

Swiss

Re

AG

(1,567)

(147,632)

151

(0.6)

Swisscom

AG

(Registered)

(354)

(190,642)

(2,492)

10.2

Temenos

AG

(Registered)

(2,180)

(303,739)

(1,028)

4.2

VAT

Group

AG

(222)

(55,568)

(1,420)

5.8

Vifor

Pharma

AG

(1,165)

(183,106)

(6,761)

27.8

Zurich

Insurance

Group

AG

(660)

(278,138)

(2,109)

8.7

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

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.

53-57

months

maturity

ranging

from

04/24/2025

-

09/02/2025

$3,533,765

$(47,083)

$(2,802)

$(49,885)

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

66

146,867

(178)

0.4

Carlsberg

A/S

2,870

460,097

4,453

(8.9)

Coloplast

A/S

905

138,401

871

(1.7)

Genmab

A/S

382

154,899

1,931

(3.9)

GN

Store

Nord

A/S

309

24,632

(158)

0.3

H

Lundbeck

A/S

3,100

106,126

(1,398)

2.8

Novo

Nordisk

A/S

912

63,620

(1,860)

3.7

Pandora

A/S

4,459

499,042

40,005

(80.2)

ROCKWOOL

International

A/S

236

88,324

5,893

(11.8)

Royal

Unibrew

A/S

426

49,330

1,851

(3.7)

76

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(7,130)

(306,301)

(51,523)

103.3

Chr

Hansen

Holding

A/S

(3,075)

(317,714)

(12,080)

24.2

Demant

A/S

(788)

(31,146)

(945)

1.9

DSV

Panalpina

A/S

(908)

(152,600)

(3,153)

6.3

ISS

A/S

(13,899)

(239,085)

6,388

(12.8)

Novozymes

A/S

(2,769)

(157,722)

(2,020)

4.0

Orsted

A/S

(757)

(154,886)

(16,361)

32.8

SimCorp

A/S

(1,267)

(188,373)

(10,763)

21.6

Tryg

A/S

(6,315)

(198,614)

(3,690)

7.4

Vestas

Wind

Systems

A/S

(237)

(55,986)

(4,346)

8.7

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

EURIBOR

plus

or

minus

a

specified

spread

(-1.30%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/23/2025

-

12/31/2025

$8,883,345

$(46,796)

$5,448

$(41,348)

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

1,960

104,090

(563)

1.4

Etablissements

Franz

Colruyt

NV

1,253

74,194

(352)

0.9

Proximus

SADP

3,758

74,233

(4,048)

9.8

Solvay

SA

1,091

128,667

(2,537)

6.1

Telenet

Group

Holding

NV

1,884

80,581

1,786

(4.3)

Finland

Huhtamaki

OYJ

1,614

83,702

462

(1.1)

Kone

OYJ

1,326

108,043

542

(1.3)

Nokia

OYJ

71,811

277,357

(10,902)

26.4

Orion

OYJ

1,845

84,750

(177)

0.4

Stora

Enso

OYJ

5,262

100,755

885

(2.1)

UPM-

Kymmene

OYJ

2,961

110,421

1,284

(3.1)

Valmet

OYJ

6,432

184,923

8,742

(21.1)

Luxembourg

APERAM

SA

2,549

106,078

(4,327)

10.5

Netherlands

ASM

International

NV

1,246

271,904

14,462

(35.0)

ASR

Nederland

NV

4,157

166,326

3,037

(7.3)

Koninklijke

Ahold

Delhaize

NV

19,148

540,191

(4,732)

11.4

77

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

(continued)

Koninklijke

Philips

NV

1,834

98,793

132

(0.3)

Randstad

NV

5,721

370,336

(12,154)

29.4

Signify

NV

9,017

378,590

(944)

2.3

Spain

Acerinox

SA

8,038

89,020

(1,148)

2.8

Banco

de

Sabadell

SA

146,453

63,379

(1,317)

3.2

Enagas

SA

3,401

74,821

(5,293)

12.8

Industria

de

Diseno

Textil

SA

4,093

129,911

(22)

0.1

Mapfre

SA

41,993

82,067

(7,770)

18.8

Repsol

SA

17,097

172,237

(850)

2.1

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(1,347)

(93,976)

2,667

(6.4)

Elia

Group

SA/NV

(1,211)

(144,545)

(2,809)

6.8

Galapagos

NV

(826)

(81,753)

(1,252)

3.0

China

Prosus

NV

(1,048)

(113,162)

3,938

(9.5)

Finland

Elisa

OYJ

(1,694)

(92,864)

(815)

2.0

Fortum

OYJ

(8,761)

(211,667)

(3,616)

8.7

Neste

OYJ

(4,758)

(345,449)

(9,544)

23.1

Sampo

OYJ

(7,638)

(326,552)

(1,858)

4.5

Germany

Just

Eat

Takeaway.com

NV

(1,521)

(171,497)

(10,279)

24.9

Luxembourg

ArcelorMittal

SA

(4,549)

(104,035)

2,972

(7.2)

Netherlands

Argenx

SE

(448)

(132,017)

426

(1.0)

Heineken

NV

(4,452)

(496,126)

(8,582)

20.8

IMCD

NV

(511)

(65,040)

(716)

1.7

Koninklijke

DSM

NV

(1,895)

(325,885)

(7,314)

17.7

Koninklijke

Vopak

NV

(2,336)

(122,684)

757

(1.8)

NN

Group

NV

(2,111)

(91,259)

(1,990)

4.8

OCI

NV

(6,500)

(125,054)

966

(2.3)

SBM

Offshore

NV

(11,606)

(219,259)

2,591

(6.3)

Wolters

Kluwer

NV

(1,313)

(110,774)

24

(0.1)

Spain

Aena

SME

SA

(537)

(93,357)

(1,537)

3.7

Amadeus

IT

Group

SA

(4,173)

(308,039)

(604)

1.5

Bankinter

SA

(21,255)

(115,292)

3,740

(9.0)

Cellnex

Telecom

SA

(3,552)

(213,308)

3,358

(8.1)

Ferrovial

SA

(3,095)

(85,578)

3,484

(8.4)

Telefonica

SA

(46,956)

(186,774)

5,958

(14.4)

78

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

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

0.23%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-61

months

maturity

ranging

from

04/24/2025

-

01/02/2026

$2,023,656

$(20,469)

$667

$(19,802)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

10,890

451,778

2,900

(14.6)

Norway

Leroy

Seafood

Group

ASA

17,018

120,070

5,433

(27.4)

Norsk

Hydro

ASA

32,094

149,368

(1,328)

6.7

Orkla

ASA

19,646

199,455

5,153

(26.0)

Salmar

ASA

1,205

70,602

3,771

(19.0)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(2,565)

(183,130)

(15,176)

76.6

France

Adevinta

ASA

(632)

(10,624)

(297)

1.5

Norway

Equinor

ASA

(12,658)

(213,623)

2,052

(10.4)

Gjensidige

Forsikring

ASA

(5,919)

(132,108)

(3,483)

17.6

Mowi

ASA

(11,763)

(262,033)

(11,430)

57.7

Telenor

ASA

(974)

(16,533)

(6)

0.0

TOMRA

Systems

ASA

(3,283)

(161,509)

(8,109)

41.0

United

Kingdom

Subsea

7

SA

(5,141)

(52,823)

51

(0.3)

79

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

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.

53-61

months

maturity

ranging

from

04/24/2025

-

01/02/2026

$6,231,620

$(7,528)

$(20,291)

$(27,819)

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

1,827

50,455

798

(2.9)

Axfood

AB

4,273

99,541

236

(0.8)

Boliden

AB

4,136

146,734

3,895

(14.0)

Electrolux

AB

7,323

170,384

(1,608)

5.8

Embracer

Group

AB

2,385

56,757

1,123

(4.0)

Epiroc

AB

4,732

86,003

12

(0.0)

Essity

AB

893

28,772

74

(0.3)

Evolution

Gaming

Group

AB

630

63,337

2,229

(8.0)

Getinge

AB

17,793

416,386

11,786

(42.4)

Hexpol

AB

8,949

95,814

(375)

1.3

Husqvarna

AB

17,072

221,559

1,898

(6.8)

Sandvik

AB

6,176

152,322

129

(0.5)

Securitas

AB

11,994

193,506

(2,570)

9.2

Skanska

AB

8,290

211,263

3,285

(11.8)

SKF

AB

5,307

138,084

(815)

2.9

Svenska

Handelsbanken

AB

25,325

255,277

2,164

(7.8)

Swedbank

AB

736

12,910

(82)

0.3

Swedish

Match

AB

1,518

118,132

(7)

0.0

Swedish

Orphan

Biovitrum

AB

7,687

154,696

(2,089)

7.5

Telefonaktiebolaget

LM

Ericsson

13,010

154,760

(3,307)

11.9

Trelleborg

AB

9,511

211,258

(774)

2.8

Volvo

AB

204

4,829

(11)

0.0

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(5,844)

(229,879)

8,695

(31.3)

Finland

Nordea

Bank

Abp

(1,111)

(9,105)

297

(1.1)

Sweden

AAK

AB

(4,998)

(101,061)

940

(3.4)

Assa

Abloy

AB

(3,838)

(94,845)

(177)

0.6

Atlas

Copco

AB

(10,275)

(528,098)

7,280

(26.2)

BillerudKorsnas

AB

(8,042)

(141,530)

1,534

(5.5)

Elekta

AB

(11,182)

(149,806)

2,190

(7.9)

EQT

AB

(13,294)

(337,451)

(27,880)

100.2

80

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

(continued)

Hexagon

AB

(2,880)

(264,044)

(10,846)

39.0

Holmen

AB

(200)

(9,591)

(57)

0.2

Indutrade

AB

(816)

(17,468)

(346)

1.2

Lifco

AB

(188)

(17,986)

(549)

2.0

Nibe

Industrier

AB

(4,512)

(147,966)

(4,147)

14.9

Saab

AB

(1,709)

(49,725)

383

(1.4)

Sinch

AB

(123)

(20,003)

(2,173)

7.8

Skandinaviska

Enskilda

Banken

AB

(15,787)

(162,566)

(476)

1.7

SSAB

AB

(42,609)

(151,044)

5,654

(20.3)

Svenska

Cellulosa

AB

SCA

(24,296)

(424,795)

(6,017)

21.6

Sweco

AB

(2,724)

(49,993)

1,818

(6.5)

Tele2

AB

(1,327)

(17,554)

(66)

0.2

Telia

Co.

AB

(64,005)

(264,331)

424

(1.5)

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

(-2.75%

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

-

02/25/2022

$7,509,149

$13,359

$(7,479)

$5,880

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.

8,412

73,487

257

4.4

Atco

Ltd.

4,309

123,525

338

5.7

Canadian

Tire

Corp.

Ltd.

745

97,935

495

8.4

Capital

Power

Corp.

2,535

69,663

(2,087)

(35.5)

CI

Financial

Corp.

12,202

151,267

(2,776)

(47.2)

Cogeco

Communications,

Inc.

963

74,035

(1,148)

(19.5)

Empire

Co.

Ltd.

3,782

103,367

(1,128)

(19.2)

Finning

International,

Inc.

6,987

148,369

877

14.9

Hydro

One

Ltd.

4,746

106,821

(113)

(1.9)

iA

Financial

Corp.,

Inc.

3,533

153,155

(527)

(9.0)

Kinross

Gold

Corp.

14,851

108,970

(708)

(12.0)

Manulife

Financial

Corp.

8,016

142,637

316

5.4

Quebecor,

Inc.

2,761

71,058

(606)

(10.3)

Ritchie

Bros

Auctioneers,

Inc.

1,027

71,387

(92)

(1.6)

Stantec

,

Inc.

4,499

145,902

(2,785)

(47.4)

TFI

International,

Inc.

2,285

117,634

(1,042)

(17.7)

Tourmaline

Oil

Corp.

9,865

132,990

1,615

27.5

West

Fraser

Timber

Co.

Ltd.

2,286

146,869

877

14.9

Yamana

Gold,

Inc.

19,478

111,246

449

7.6

81

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Kyrgyzstan

Centerra

Gold,

Inc.

9,051

104,809

(999)

(17.0)

United

States

BRP,

Inc.

1,325

87,532

518

8.8

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(3,725)

(155,567)

830

14.1

Canada

Air

Canada

(5,931)

(106,095)

981

16.7

Algonquin

Power

&

Utilities

Corp.

(5,061)

(83,296)

1,350

23.0

AltaGas

Ltd.

(7,190)

(105,740)

57

1.0

Ballard

Power

Systems,

Inc.

(2,737)

(64,033)

(3,022)

(51.4)

BCE,

Inc.

(2,447)

(104,635)

499

8.5

BlackBerry

Ltd.

(10,186)

(67,539)

1,997

34.0

Brookfield

Asset

Management,

Inc.

(5,865)

(242,451)

1,196

20.3

CAE,

Inc.

(5,539)

(153,477)

(647)

(11.0)

Cameco

Corp.

(10,987)

(147,167)

2,153

36.6

Canada

Goose

Holdings,

Inc.

(3,056)

(90,847)

698

11.9

Canadian

National

Railway

Co.

(839)

(92,238)

716

12.2

Canadian

Pacific

Railway

Ltd.

(277)

(96,083)

723

12.3

Canopy

Growth

Corp.

(3,496)

(86,020)

(541)

(9.2)

Dollarama,

Inc.

(2,215)

(90,277)

2,069

35.2

Element

Fleet

Management

Corp.

(17,487)

(183,813)

(696)

(11.8)

Emera,

Inc.

(5,329)

(226,490)

(81)

(1.4)

Franco-Nevada

Corp.

(1,117)

(140,053)

554

9.4

Gildan

Activewear

,

Inc.

(3,691)

(103,200)

666

11.3

Innergex

Renewable

Energy,

Inc.

(4,968)

(106,822)

(350)

(6.0)

Intact

Financial

Corp.

(1,521)

(180,097)

199

3.4

Inter

Pipeline

Ltd.

(7,922)

(73,874)

(1)

(0.0)

Metro

Inc

/CN

(1,638)

(73,092)

797

13.6

Premium

Brands

Holdings

Corp.

(1,319)

(104,378)

1,543

26.2

Restaurant

Brands

International,

Inc.

(4,367)

(267,015)

216

3.7

Rogers

Communications,

Inc.

(2,562)

(119,274)

1,528

26.0

Royal

Bank

of

Canada

(1,298)

(106,652)

621

10.6

Saputo,

Inc.

(6,275)

(175,645)

837

14.2

TMX

Group

Ltd.

(950)

(94,888)

1,585

27.0

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

(-1.20%

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

-

12/30/2022

$1,453,510

$5,124

$15,326

$20,450

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

82

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

15,660

55,136

508

2.5

Yangzijiang

Shipbuilding

Holdings

Ltd.

356,416

257,654

2,807

13.7

Singapore

ComfortDelGro

Corp.

Ltd.

175,126

221,901

610

3.0

Genting

Singapore

Ltd.

25,819

16,628

120

0.6

Jardine

Cycle

&

Carriage

Ltd.

10,056

148,979

909

4.4

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(19,749)

(49,003)

(435)

(2.1)

City

Developments

Ltd.

(5,338)

(32,178)

296

1.4

DBS

Group

Holdings

Ltd.

(3,026)

(57,345)

61

0.3

Keppel

Corp.

Ltd.

(40,100)

(163,303)

547

2.7

SATS

Ltd.

(2,600)

(7,845)

(15)

(0.1)

Singapore

Airlines

Ltd.

(80,707)

(261,872)

(1,720)

(8.4)

Singapore

Technologies

Engineering

Ltd.

(35,647)

(103,165)

679

3.3

Singapore

Telecommunications

Ltd.

(44,957)

(78,501)

757

3.7

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

RBACR

plus

or

minus

a

specified

spread

(-0.88%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-97

months

maturity

10/14/2022

$5,417,415

$23,534

$(1,935)

$21,599

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

19,470

179,715

(16,293)

(75.4)

Ampol

Ltd.

1,309

28,705

(1,170)

(5.4)

Ansell

Ltd.

2,056

54,961

(990)

(4.6)

Aurizon

Holdings

Ltd.

66,674

200,317

(8,750)

(40.5)

Australia

&

New

Zealand

Banking

Group

Ltd.

3,791

66,525

(2,031)

(9.4)

BlueScope

Steel

Ltd.

8,171

110,348

(338)

(1.6)

carsales.com

Ltd.

8,016

123,815

(1,428)

(6.6)

CIMIC

Group

Ltd.

5,091

95,762

(6,990)

(32.4)

Coles

Group

Ltd.

5,854

81,789

(476)

(2.2)

Fortescue

Metals

Group

Ltd.

15,967

288,402

12,342

57.1

83

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Harvey

Norman

Holdings

Ltd.

60,042

216,979

(149)

(0.7)

Iluka

Resources

Ltd.

7,980

40,071

2,254

10.4

Incitec

Pivot

Ltd.

36,615

64,405

(787)

(3.6)

JB

Hi-Fi

Ltd.

9,533

357,917

9,624

44.6

Newcrest

Mining

Ltd.

2,463

49,156

(432)

(2.0)

South32

Ltd.

25,643

49,008

(2,463)

(11.4)

Suncorp

Group

Ltd.

7,456

56,110

(1,598)

(7.4)

Telstra

Corp.

Ltd.

21,422

49,198

(1,163)

(5.4)

Wesfarmers

Ltd.

1,095

42,559

(1,012)

(4.7)

Westpac

Banking

Corp.

3,209

47,754

(1,103)

(5.1)

Woolworths

Group

Ltd.

4,107

124,485

(454)

(2.1)

Worley

Ltd.

23,471

207,310

(9,731)

(45.1)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(123,948)

(175,738)

983

4.6

APA

Group

(8,406)

(62,545)

4,432

20.5

Atlas

Arteria

Ltd.

(7,196)

(36,185)

(786)

(3.6)

AusNet

Services

(100,167)

(135,755)

5,099

23.6

Cochlear

Ltd.

(905)

(132,053)

6,364

29.5

Commonwealth

Bank

of

Australia

(753)

(47,862)

835

3.9

CSL

Ltd.

(586)

(128,037)

2,141

9.9

Domino's

Pizza

Enterprises

Ltd.

(809)

(54,161)

259

1.2

Insurance

Australia

Group

Ltd.

(21,473)

(77,927)

5,612

26.0

Lendlease

Corp.

Ltd.

(12,425)

(125,627)

3,848

17.8

Macquarie

Group

Ltd.

(1,607)

(171,530)

3,829

17.7

Magellan

Financial

Group

Ltd.

(2,032)

(84,162)

3,910

18.1

Medibank

Pvt

Ltd.

(25,342)

(58,696)

(2,588)

(12.0)

National

Australia

Bank

Ltd.

(5,417)

(94,439)

5,110

23.7

Northern

Star

Resources

Ltd.

(12,455)

(121,735)

(1,140)

(5.3)

Oil

Search

Ltd.

(52,787)

(151,284)

(1,602)

(7.4)

Orica

Ltd.

(6,845)

(80,058)

1,577

7.3

Qube

Holdings

Ltd.

(17,933)

(40,602)

(83)

(0.4)

REA

Group

Ltd.

(363)

(41,581)

38

0.2

SEEK

Ltd.

(4,521)

(99,122)

49

0.2

Seven

Group

Holdings

Ltd.

(8,295)

(149,795)

1,273

5.9

Spark

Infrastructure

Group

(70,864)

(115,214)

2,788

12.9

Sydney

Airport

(13,109)

(64,887)

1,700

7.9

Transurban

Group

(15,152)

(159,669)

6,867

31.8

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(2,891)

(67,250)

1,003

4.6

WiseTech

Global

Ltd.

(2,745)

(65,235)

1,713

7.9

Woodside

Petroleum

Ltd.

(3,909)

(68,586)

1,202

5.6

United

States

James

Hardie

Industries

plc

(3,233)

(95,817)

1,466

6.8

84

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

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

(-4.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-85

months

maturity

10/13/2021

$19,798,921

$(138,802)

$(8,570)

$(147,372)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Atos

SE

3,684

336,407

(5,682)

3.9

Carrefour

SA

22,220

380,505

9,790

(6.6)

Cie

de

Saint-Gobain

7,601

349,588

(11,969)

8.1

Cie

Generale

des

Etablissements

Michelin

SCA

2,921

376,099

(10,836)

7.4

CNP

Assurances

11,846

192,462

(2,043)

1.4

Electricite

de

France

SA

12,331

195,130

4,230

(2.9)

Eutelsat

Communications

SA

16,219

183,477

(1,733)

1.2

Legrand

SA

3,304

295,565

4,852

(3.3)

Publicis

Groupe

SA

5,023

249,650

(7,193)

4.9

Rexel

SA

15,144

239,023

4,222

(2.9)

Rubis

SCA

4,473

206,779

2,594

(1.8)

Sanofi

2,544

246,572

4,133

(2.8)

Germany

Aurubis

AG

2,369

184,873

1,605

(1.1)

Bayer

AG

(Registered)

4,400

259,209

(4,607)

3.1

Bayerische

Motoren

Werke

AG

2,398

211,639

(4,529)

3.1

Brenntag

AG

2,304

179,163

(2,745)

1.9

Continental

AG

2,136

317,912

10,370

(7.0)

Deutsche

Post

AG

(Registered)

6,482

321,091

(6,622)

4.5

Fresenius

Medical

Care

AG

&

Co.

KGaA

3,724

310,535

(3,764)

2.6

HOCHTIEF

AG

2,979

289,891

5,237

(3.6)

HUGO

BOSS

AG

8,712

289,490

(10,156)

6.9

LANXESS

AG

3,456

262,831

(4,633)

3.1

Scout24

AG

3,858

315,252

(5,705)

3.9

Software

AG

4,797

195,381

(3,900)

2.6

Uniper

SE

6,076

210,532

(1,954)

1.3

Volkswagen

AG

(Preference)

1,167

218,094

(1,782)

1.2

United

Kingdom

Dialog

Semiconductor

plc

3,551

193,505

14,221

(9.6)

85

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(1,717)

(222,140)

2,965

(2.0)

Alstom

SA

(4,674)

(266,227)

(1,325)

0.9

AXA

SA

(11,096)

(266,108)

6,767

(4.6)

Dassault

Systemes

SE

(1,770)

(358,991)

(12,260)

8.3

L'Oreal

SA

(523)

(199,552)

(4,665)

3.2

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(904)

(565,905)

(10,508)

7.1

Orpea

SA

(1,928)

(252,823)

1,536

(1.0)

Pernod

Ricard

SA

(1,542)

(296,136)

2,475

(1.7)

Remy

Cointreau

SA

(1,659)

(309,662)

(8,521)

5.8

Renault

SA

(4,838)

(211,769)

4,474

(3.0)

TOTAL

SE

(8,894)

(383,885)

11,366

(7.7)

Valeo

SA

(4,631)

(182,666)

2,349

(1.6)

Germany

adidas

AG

(884)

(321,604)

(2,659)

1.8

Beiersdorf

AG

(2,895)

(332,808)

(1,233)

0.8

CTS

Eventim

AG

&

Co.

KGaA

(3,670)

(245,308)

(9,496)

6.4

Delivery

Hero

SE

(1,393)

(217,850)

(13,857)

9.4

Deutsche

Lufthansa

AG

(Registered)

(26,268)

(347,573)

(31,164)

21.1

E.ON

SE

(27,916)

(309,121)

793

(0.5)

Evotec

SE

(10,222)

(377,722)

(24,893)

16.9

MTU

Aero

Engines

AG

(709)

(184,814)

(7,436)

5.0

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

(943)

(280,190)

7,868

(5.3)

Rational

AG

(285)

(265,132)

(12,996)

8.8

Symrise

AG

(1,428)

(189,843)

(4,384)

3.0

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

(-0.35%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-85

months

maturity

10/13/2021

$17,231,015

$(31,866)

$2,208

$(29,658)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

2,494

187,731

(3,428)

11.6

Russia

Evraz

plc

37,678

240,797

(1,497)

5.0

86

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Africa

Anglo

American

plc

4,942

163,196

(4,337)

14.6

United

Kingdom

ASOS

plc

2,667

173,806

2,284

(7.7)

Associated

British

Foods

plc

12,493

385,717

(6,172)

20.8

Aviva

plc

123,679

550,128

(11,073)

37.3

BAE

Systems

plc

33,524

223,564

(3,072)

10.4

Barclays

plc

122,796

246,340

1,834

(6.2)

Berkeley

Group

Holdings

plc

2,582

167,023

9,162

(30.9)

BT

Group

plc

109,905

198,099

(10,064)

33.9

ConvaTec

Group

plc

54,248

147,775

(6,211)

20.9

Direct

Line

Insurance

Group

plc

31,776

138,979

3,975

(13.4)

GlaxoSmithKline

plc

9,781

178,972

(3,899)

13.1

IMI

plc

10,576

168,533

(5,764)

19.4

Indivior

plc

200,585

298,438

24,143

(81.4)

JD

Sports

Fashion

plc

25,575

300,461

5,783

(19.5)

Kingfisher

plc

103,443

382,237

(7,828)

26.4

M&G

plc

124,931

337,210

(6,195)

20.9

Man

Group

plc

77,491

146,319

3,574

(12.0)

Marks

&

Spencer

Group

plc

188,848

350,291

(9,115)

30.7

Mondi

plc

6,938

162,570

(7,377)

24.9

Royal

Mail

plc

75,753

349,145

(8,047)

27.1

Sage

Group

plc

(The)

44,013

349,473

(4,881)

16.5

Tate

&

Lyle

plc

26,169

241,126

2,899

(9.8)

Travis

Perkins

plc

9,399

173,042

(174)

0.6

Vodafone

Group

plc

110,345

181,240

(6,639)

22.4

Short

Positions

Common

Stocks

United

Kingdom

Beazley

plc

(35,045)

(174,734)

(1,383)

4.7

Burberry

Group

plc

(16,189)

(395,337)

9,174

(30.9)

Croda

International

plc

(3,934)

(353,784)

(13,042)

44.0

Diageo

plc

(4,372)

(172,995)

5,958

(20.1)

Halma

plc

(4,701)

(157,438)

(450)

1.5

Hargreaves

Lansdown

plc

(10,819)

(225,274)

(1,807)

6.1

Hiscox

Ltd.

(18,652)

(253,998)

2,485

(8.4)

HSBC

Holdings

plc

(36,505)

(188,557)

8,413

(28.4)

Informa

plc

(30,099)

(225,061)

(175)

0.6

InterContinental

Hotels

Group

plc

(4,040)

(261,853)

(4,402)

14.8

Intermediate

Capital

Group

plc

(7,296)

(171,675)

(2,864)

9.7

Intertek

Group

plc

(1,802)

(139,187)

5,222

(17.6)

Lloyds

Banking

Group

plc

(276,401)

(137,802)

(882)

3.0

Natwest

Group

plc

(77,948)

(178,188)

(4,667)

15.7

Ocado

Group

plc

(8,805)

(275,333)

(7,537)

25.4

Prudential

plc

(16,390)

(301,379)

(1,986)

6.7

Rolls-Royce

Holdings

plc

(138,328)

(209,349)

3,369

(11.4)

Severn

Trent

plc

(9,514)

(297,008)

7,945

(26.8)

Spirax-Sarco

Engineering

plc

(1,771)

(273,378)

2,656

(9.0)

St

James's

Place

plc

(20,322)

(314,464)

2,880

(9.7)

Tesco

plc

(83,453)

(263,358)

(527)

1.8

Unilever

plc

(3,759)

(225,441)

(2,763)

9.3

Whitbread

plc

(4,635)

(196,323)

3,929

(13.2)

Wm

Morrison

Supermarkets

plc

(64,050)

(154,982)

325

(1.1)

87

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

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

(-0.35%

to

0.45%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

27-98

months

maturity

10/17/2022

$3,242,958

$18,576

$11,355

$29,931

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.

12,500

37,890

(1,130)

(3.8)

Hong

Kong

ASM

Pacific

Technology

Ltd.

3,000

39,620

923

3.1

CK

Asset

Holdings

Ltd.

26,500

135,598

(4,722)

(15.8)

CLP

Holdings

Ltd.

16,500

152,570

2,520

8.4

Henderson

Land

Development

Co.

Ltd.

26,050

101,195

(956)

(3.2)

HKT

Trust

&

HKT

Ltd.

37,000

47,986

(589)

(2.0)

Hysan

Development

Co.

Ltd.

20,000

73,256

(527)

(1.8)

Kerry

Properties

Ltd.

50,000

126,464

(2,259)

(7.5)

Man

Wah

Holdings

Ltd.

72,000

156,182

16,127

53.9

Melco

International

Development

Ltd.

2,000

3,895

–

(0.0)

New

World

Development

Co.

Ltd.

7,250

33,730

(872)

(2.9)

NWS

Holdings

Ltd.

37,000

34,380

827

2.8

Sino

Land

Co.

Ltd.

8,000

10,411

(507)

(1.7)

Sun

Hung

Kai

Properties

Ltd.

2,000

25,578

(1,200)

(4.0)

WH

Group

Ltd.

281,000

235,633

(1,020)

(3.4)

Xinyi

Glass

Holdings

Ltd.

14,000

39,159

3,763

12.6

United

Kingdom

CK

Hutchison

Holdings

Ltd.

38,000

265,310

105

0.4

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(61,400)

(202,825)

2,699

9.0

Hong

Kong

AIA

Group

Ltd.

(12,200)

(148,671)

(4,851)

(16.2)

Hang

Lung

Properties

Ltd.

(45,000)

(118,587)

(2,494)

(8.3)

Hang

Seng

Bank

Ltd.

(7,300)

(125,984)

2,738

9.1

Hong

Kong

&

China

Gas

Co.

Ltd.

(168,400)

(251,945)

(1,705)

(5.7)

MTR

Corp.

Ltd.

(50,949)

(284,939)

3,899

13.0

Swire

Properties

Ltd.

(40,400)

(117,460)

2,398

8.0

Vitasoy

International

Holdings

Ltd.

(14,000)

(54,532)

3,255

10.9

Wharf

Real

Estate

Investment

Co.

Ltd.

(38,000)

(197,490)

(3,874)

(12.9)

88

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Macau

Galaxy

Entertainment

Group

Ltd.

(3,000)

(23,354)

(445)

(1.5)

Sands

China

Ltd.

(11,200)

(48,915)

1,144

3.8

SJM

Holdings

Ltd.

(9,000)

(10,091)

451

1.5

Wynn

Macau

Ltd.

(82,800)

(139,308)

4,878

16.3

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

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

plus

or

minus

a

specified

spread

(-2.50%

to

0.45%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

22-98

months

maturity

10/17/2022

$45,155,863

$(191,536)

$(36,831)

$(228,367)

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

Brother

Industries

Ltd.

15,500

319,974

7,675

(3.4)

Dai

Nippon

Printing

Co.

Ltd.

14,300

257,223

(6,867)

3.0

Fujitsu

Ltd.

2,200

317,978

13,674

(6.0)

GungHo

Online

Entertainment,

Inc.

10,590

237,101

(46,012)

20.1

Honda

Motor

Co.

Ltd.

10,400

293,450

(10,718)

4.7

Japan

Post

Insurance

Co.

Ltd.

13,300

272,705

4,662

(2.0)

Kamigumi

Co.

Ltd.

14,900

272,199

5,114

(2.2)

K's

Holdings

Corp.

20,200

281,462

12,252

(5.4)

Mebuki

Financial

Group,

Inc.

134,200

264,420

507

(0.2)

Medipal

Holdings

Corp.

12,800

240,708

(7,052)

3.1

Nihon

Unisys

Ltd.

6,400

250,854

10,026

(4.4)

Nintendo

Co.

Ltd.

500

320,971

(6,389)

2.8

Nippon

Express

Co.

Ltd.

3,800

255,614

(2,761)

1.2

Nomura

Holdings,

Inc.

51,300

271,227

4,386

(1.9)

Obayashi

Corp.

43,600

376,467

(2,749)

1.2

Panasonic

Corp.

20,700

241,305

4,429

(1.9)

Pola

Orbis

Holdings,

Inc.

14,900

302,568

232

(0.1)

Ricoh

Co.

Ltd.

40,000

263,035

(10,432)

4.6

Seven

&

i

Holdings

Co.

Ltd.

7,200

254,956

9,375

(4.1)

Shimamura

Co.

Ltd.

3,300

346,747

9,599

(4.2)

Shimizu

Corp.

35,500

258,415

(9,741)

4.3

Shinsei

Bank

Ltd.

24,300

300,199

13,516

(5.9)

Sony

Corp.

3,100

312,381

11,388

(5.0)

Subaru

Corp.

14,800

296,132

(9,738)

4.3

Taiheiyo

Cement

Corp.

12,400

310,609

(15,903)

7.0

Taisei

Corp.

7,775

268,226

(995)

0.4

Teijin

Ltd.

14,400

270,981

1,787

(0.8)

89

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tosoh

Corp.

17,500

273,423

(8,101)

3.5

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(10,000)

(328,064)

(32,650)

14.3

Asahi

Group

Holdings

Ltd.

(6,400)

(263,566)

(432)

0.2

Asahi

Intecc

Co.

Ltd.

(11,100)

(405,431)

(23,730)

10.4

Chiba

Bank

Ltd.

(The)

(44,500)

(245,563)

(314)

0.1

Denso

Corp.

(4,200)

(249,987)

(9,658)

4.2

Idemitsu

Kosan

Co.

Ltd.

(12,500)

(275,211)

(2,345)

1.0

Ito

En

Ltd.

(3,900)

(246,956)

4,611

(2.0)

Japan

Airport

Terminal

Co.

Ltd.

(5,700)

(345,915)

31,572

(13.8)

Keio

Corp.

(4,500)

(349,133)

(16,085)

7.0

Kikkoman

Corp.

(6,800)

(473,259)

(38,449)

16.8

Kintetsu

Group

Holdings

Co.

Ltd.

(7,000)

(306,777)

(2,340)

1.0

Mitsubishi

Motors

Corp.

(139,800)

(294,133)

(9,809)

4.3

Nippon

Paint

Holdings

Co.

Ltd.

(2,900)

(318,659)

9,929

(4.3)

Nissan

Chemical

Corp.

(5,000)

(313,523)

(15,695)

6.9

Odakyu

Electric

Railway

Co.

Ltd.

(12,200)

(383,180)

(4,389)

1.9

Oriental

Land

Co.

Ltd.

(2,200)

(363,509)

11,603

(5.1)

Seven

Bank

Ltd.

(115,100)

(243,325)

1,765

(0.8)

Shiseido

Co.

Ltd.

(4,900)

(339,199)

859

(0.4)

Showa

Denko

KK

(17,000)

(362,741)

(1,491)

0.7

Tokio

Marine

Holdings,

Inc.

(8,200)

(422,477)

(1,380)

0.6

Toyota

Motor

Corp.

(4,800)

(370,417)

1,096

(0.5)

Yamaha

Corp.

(4,400)

(259,267)

(14,185)

6.2

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

(-5.59%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

10-73

months

maturity

10/15/2021

$86,407,028

$10,749

$18,985

$29,734

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AGCO

Corp.

2,354

242,674

7,745

26.0

Amazon.com,

Inc.

110

358,262

2,294

7.7

Apple,

Inc.

1,719

228,094

5,647

19.0

90

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Arrow

Electronics,

Inc.

2,927

284,797

(5,561)

(18.7)

Associated

Banc-Corp.

19,496

332,407

8,578

28.8

Best

Buy

Co.,

Inc.

2,302

229,717

(5,928)

(19.9)

Cardinal

Health,

Inc.

4,664

249,804

(3,032)

(10.2)

Cisco

Systems,

Inc.

8,219

367,800

(606)

(2.0)

Citigroup,

Inc.

3,689

227,464

5,652

19.0

Deckers

Outdoor

Corp.

841

241,182

(11,925)

(40.1)

Facebook,

Inc.

1,555

424,764

(1,420)

(4.8)

IDACORP,

Inc.

2,957

283,961

(2,454)

(8.3)

Intel

Corp.

10,116

503,979

(422)

(1.4)

Johnson

Controls

International

plc

4,925

229,456

702

2.4

Microsoft

Corp.

1,105

245,774

3,315

11.1

Popular,

Inc.

4,038

227,420

2,181

7.3

SYNNEX

Corp.

3,250

264,680

(6,675)

(22.4)

Target

Corp.

1,790

315,989

9,109

30.6

Tyson

Foods,

Inc.

5,636

363,184

(2,741)

(9.2)

Walmart,

Inc.

2,643

380,988

(5,154)

(17.3)

Short

Positions

Common

Stocks

United

States

Ameren

Corp.

(4,331)

(338,078)

2,418

8.1

Aon

plc

(1,483)

(313,313)

(197)

(0.7)

Ball

Corp.

(3,381)

(315,042)

(4,048)

(13.6)

Beyond

Meat,

Inc.

(1,956)

(244,500)

33,415

112.4

BlackRock,

Inc.

(391)

(282,122)

(5,343)

(18.0)

Boeing

Co.

(The)

(1,225)

(262,224)

7,626

25.6

Bright

Horizons

Family

Solutions,

Inc.

(1,313)

(227,136)

(8,429)

(28.3)

Burlington

Stores,

Inc.

(1,058)

(276,720)

(17,260)

(58.0)

CenterPoint

Energy,

Inc.

(12,215)

(264,333)

2,900

9.8

Charter

Communications,

Inc.

(437)

(289,097)

(3,198)

(10.8)

Church

&

Dwight

Co.,

Inc.

(3,105)

(270,849)

(8)

(0.0)

Commerce

Bancshares,

Inc.

(5,074)

(333,362)

(6,038)

(20.3)

Erie

Indemnity

Co.

(1,169)

(287,106)

2,432

8.2

Expedia

Group,

Inc.

(2,012)

(266,389)

(14,467)

(48.7)

First

Republic

Bank

(2,061)

(302,823)

(17,814)

(59.9)

Five

Below,

Inc.

(1,329)

(232,548)

(15,148)

(50.9)

Grocery

Outlet

Holding

Corp.

(6,343)

(248,963)

1,015

3.4

Hain

Celestial

Group,

Inc.

(The)

(6,684)

(268,363)

(12,766)

(42.9)

Honeywell

International,

Inc.

(1,428)

(303,736)

(1,343)

(4.5)

II-VI,

Inc.

(3,259)

(247,554)

(8,506)

(28.6)

JPMorgan

Chase

&

Co.

(1,952)

(248,041)

(8,242)

(27.7)

Live

Nation

Entertainment,

Inc.

(3,534)

(259,678)

2,013

6.8

Lyft,

Inc.

(5,473)

(268,888)

1,726

5.8

PNC

Financial

Services

Group,

Inc.

(The)

(2,023)

(301,427)

(7,661)

(25.8)

SVB

Financial

Group

(708)

(274,584)

(15,970)

(53.7)

Texas

Capital

Bancshares,

Inc.

(3,820)

(227,290)

1,108

3.7

T-Mobile

US,

Inc.

(2,899)

(390,930)

(13,692)

(46.0)

Trex

Co.,

Inc.

(3,825)

(320,229)

(4,577)

(15.4)

Visa,

Inc.

(1,311)

(286,755)

(9,772)

(32.9)

Woodward,

Inc.

(1,856)

(225,560)

(6,397)

(21.5)

91

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

CITI

Investment

Companies

$

74,091

$

–

$

74,091

JPMC

Investment

Companies

1,867,649

–

1,867,649

MLIN

Cash

130,000

–

130,000

MSIP

U.S.

Treasury

Bills

11,157,275

–

11,157,275

92

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

85.1%

INVESTMENT

COMPANIES

-

57.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

1,075,814

1,075,814

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)

15,060,047

15,054,023

TOTAL

INVESTMENT

COMPANIES

(Cost

$16,131,528)

16,129,837

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

27.7%

U.S.

Treasury

Bills

0.12%,

2/25/2021

(c)

$

236,000

235,977

0.11%,

4/29/2021

(c)

2,639,000

2,638,283

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

27.7%

(continued)

0.11%,

5/6/2021

(c)

$

1,128,000

1,127,685

0.11%,

5/13/2021

(c)

2,318,000

2,317,325

0.10%,

5/20/2021

(c)(d)

847,000

846,740

0.09%,

6/3/2021

(c)(d)

508,000

507,825

0.09%,

6/17/2021

(c)

129,000

128,951

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$7,802,067)

7,802,786

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$23,933,595)

23,932,623

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

85.1%

(Cost

$23,933,595)

23,932,623

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

14.9%

(e)

4,184,833

NET

ASSETS

-

100.0%

28,117,456

(a)

Represents

7-day

effective

yield

as

of

December

31,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2020:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BA

Qtrly

0.75%

Semi

3/15/2023

CAD

8,800,000

$

18,793

$

14,935

$

33,728

Pay

3M

BA

Qtrly

0.75%

Semi

6/14/2023

CAD

26,500,000

60,219

22,167

82,386

Pay

3M

STIBOR

Qtrly

0.00%

Annual

3/15/2023

SEK

191,000,000

9,555

(4,066)

5,489

Pay

6M

EURIBOR

Semi

0.25%

Annual

3/17/2023

EUR

7,300,000

41,520

7,266

48,786

Pay

6M

EURIBOR

Semi

0.00%

Annual

6/16/2031

EUR

300,000

7,398

1,583

8,981

Pay

6M

LIBOR

Semi

0.5%

Annual

3/15/2023

CHF

6,600,000

17,920

13,155

31,075

Pay

6M

LIBOR

Semi

0.25%

Semi

3/17/2023

GBP

1,300,000

3,328

3,829

7,157

Pay

6M

LIBOR

Semi

0.25%

Semi

6/16/2023

GBP

22,900,000

72,575

40,610

113,185

Pay

6M

LIBOR

Semi

0.5%

Annual

6/21/2023

CHF

7,300,000

28,960

3,147

32,107

Receive

3M

BA

Qtrly

1.25%

Semi

6/16/2031

CAD

1,800,000

9,490

(6,689)

2,801

Receive

3M

BBR

Qtrly

0.00%

Semi

3/15/2023

NZD

21,000,000

4,730

86,913

91,643

Receive

3M

BBR

Qtrly

0.00%

Semi

6/14/2023

NZD

17,700,000

73,430

8,631

82,061

Receive

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

1,100,000

6,056

316

6,372

Receive

6M

EURIBOR

Semi

0.75%

Annual

6/16/2023

EUR

5,000,000

24,514

4,464

28,978

Receive

6M

LIBOR

Semi

0.5%

Annual

3/19/2031

CHF

1,100,000

36,818

(6,261)

30,557

Receive

6M

LIBOR

Semi

0.25%

Semi

6/16/2031

GBP

1,200,000

31,164

184

31,348

Receive

6M

NIBOR

Semi

1.00%

Annual

3/19/2031

NOK

25,800,000

2,082

90,633

92,715

Receive

6M

NIBOR

Semi

1.00%

Annual

6/18/2031

NOK

22,000,000

39,726

47,221

86,947

488,278

328,038

816,316

Pay

3M

BA

Qtrly

1.00%

Semi

3/17/2031

CAD

100,000

(2,043)

(1)

(2,044)

Pay

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

24,600,000

(47,778)

7,211

(40,567)

Pay

3M

BBR

Qtrly

0.50%

Semi

3/12/2031

NZD

3,200,000

(20,690)

(93,687)

(114,377)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

3/17/2031

USD

5,900,000

7,461

(124,792)

(117,331)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

6,900,000

(156,135)

(9,934)

(166,069)

Pay

3M

STIBOR

Qtrly

0.00%

Annual

6/21/2023

SEK

55,400,000

697

(1,737)

(1,040)

93

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6M

EURIBOR

Semi

0.25%

Annual

6/16/2031

EUR

1,000,000

$

1,502

$

(3,041)

$

(1,539)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/16/2023

GBP

6,000,000

(11,562)

(36)

(11,598)

Pay

6M

LIBOR

Semi

0.00%

Semi

3/19/2031

JPY

353,400,000

(21,265)

2,149

(19,116)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

294,000,000

(17,487)

(1,013)

(18,500)

Pay

6M

NIBOR

Semi

0.50%

Annual

3/15/2023

NOK

154,700,000

(2,678)

(39,661)

(42,339)

Pay

6M

NIBOR

Semi

0.50%

Annual

6/21/2023

NOK

104,300,000

(16,380)

(25,435)

(41,815)

Receive

3M

LIBOR

Qtrly

0.25%

Semi

3/17/2023

USD

55,300,000

(22,010)

(45,030)

(67,040)

Receive

3M

LIBOR

Qtrly

0.25%

Semi

6/16/2023

USD

82,800,000

160

(69,925)

(69,765)

Receive

3M

STIBOR

Qtrly

0.50%

Annual

3/19/2031

SEK

41,900,000

(57,324)

11,690

(45,634)

Receive

3M

STIBOR

Qtrly

0.50%

Annual

6/18/2031

SEK

9,700,000

(8,278)

462

(7,816)

Receive

6M

EURIBOR

Semi

0.5%

Annual

6/16/2023

EUR

1,500,000

(633)

53

(580)

Receive

6M

LIBOR

Semi

0.00%

Semi

3/15/2023

JPY

2,651,600,000

(26,367)

483

(25,884)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

3,530,100,000

(31,166)

(3,018)

(34,184)

Receive

6M

LIBOR

Semi

0.00%

Annual

6/18/2031

CHF

1,400,000

(38,328)

(2,005)

(40,333)

(470,304)

(397,267)

(867,571)

$

17,974

$

(69,229)

$

(51,255)

Abbreviations:

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.01%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.48%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.24%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

(0.05)%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.02%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.53)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.26%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.55%

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

338,800

$

44,981

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

6,804,750

22,680

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

HKD

8,165,700

26,675

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

535,050

1,889

94

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

HKD

4,815,450

$

16,517

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/17/2021

BRL

596,150

3,266

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/17/2021

BRL

4,769,200

28,248

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/11/2021

KRW

1,264,737,500

77,780

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

327,750

37,669

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

279,840

30,132

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/20/2021

TWD

2,935,600

4,832

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/20/2021

TWD

35,227,200

55,194

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

32,025

2,200

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

32,025

2,174

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/19/2021

PLN

39,840

245

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

(-0.20%)

Monthly

JPMC

03/17/2021

USD

(145,590)

1,282

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

GSIN

03/19/2021

HKD

1,072,795

4,813

95

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.19%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/19/2021

EUR

343,860

$

7,149

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

03/17/2021

EUR

(91,699)

–

367,726

DTOP

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/18/2021

ZAR

2,010,240

(368)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

USD

(196,224)

(603)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(327,750)

(25,102)

Swiss

Market

Index

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

(2,448,120)

(93,870)

Tel

Aviv

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/27/2021

ILS

(1,199,240)

(14,577)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.60%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

03/19/2021

CAD

21,908

(116)

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

(0.15%)

Monthly

GSIN

03/17/2021

SGD

(148,402)

(1,046)

96

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

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

(0.38%)

Monthly

GSIN

03/17/2021

ZAR

(1,466,371)

$

(83)

(135,765)

$

231,961

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

3

1/2021

EUR

$

457,774

$

2,782

Hang

Seng

Index

3

1/2021

HKD

526,653

13,967

LME

Aluminum

Base

Metal

1

1/2021

USD

49,470

3,017

LME

Aluminum

Base

Metal

1

1/2021

USD

49,377

4,341

LME

Aluminum

Base

Metal

1

1/2021

USD

49,425

3,157

LME

Aluminum

Base

Metal

2

1/2021

USD

98,950

6,222

LME

Aluminum

Base

Metal

2

1/2021

USD

98,938

7,769

LME

Aluminum

Base

Metal

2

1/2021

USD

98,942

7,111

LME

Aluminum

Base

Metal

2

1/2021

USD

98,950

6,744

LME

Aluminum

Base

Metal

2

1/2021

USD

98,938

7,757

LME

Aluminum

Base

Metal

3

1/2021

USD

148,425

10,224

LME

Aluminum

Base

Metal

3

1/2021

USD

148,345

8,536

LME

Copper

Base

Metal

1

1/2021

USD

193,852

24,559

LME

Copper

Base

Metal

1

1/2021

USD

195,850

29,147

LME

Copper

Base

Metal

1

1/2021

USD

193,819

21,272

LME

Copper

Base

Metal

1

1/2021

USD

193,781

25,645

LME

Copper

Base

Metal

1

1/2021

USD

193,780

25,152

LME

Nickel

Base

Metal

1

1/2021

USD

99,370

8,287

LME

Zinc

Base

Metal

1

1/2021

USD

68,246

9,731

LME

Zinc

Base

Metal

1

1/2021

USD

68,302

7,549

LME

Zinc

Base

Metal

1

1/2021

USD

69,119

11,391

LME

Zinc

Base

Metal

1

1/2021

USD

68,373

4,333

SGX

FTSE

China

A50

Index

6

1/2021

USD

106,272

3,462

SGX

FTSE

Taiwan

Index

10

1/2021

USD

510,300

5,692

SGX

NIFTY

50

Index

9

1/2021

USD

252,288

504

LME

Aluminum

Base

Metal

1

2/2021

USD

49,363

(322)

LME

Aluminum

Base

Metal

1

2/2021

USD

49,350

(537)

LME

Aluminum

Base

Metal

1

2/2021

USD

49,363

(484)

LME

Aluminum

Base

Metal

1

2/2021

USD

49,469

2,906

LME

Aluminum

Base

Metal

1

2/2021

USD

49,469

2,103

LME

Aluminum

Base

Metal

1

2/2021

USD

49,375

285

LME

Aluminum

Base

Metal

2

2/2021

USD

98,720

(2,423)

LME

Aluminum

Base

Metal

5

2/2021

USD

246,813

(2,382)

LME

Copper

Base

Metal

1

2/2021

USD

193,944

2,889

LME

Lead

Base

Metal

1

2/2021

USD

49,624

4,772

LME

Zinc

Base

Metal

1

2/2021

USD

68,427

5,003

LME

Zinc

Base

Metal

1

2/2021

USD

68,530

(1,185)

97

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

1

2/2021

USD

$

68,436

$

2,818

LME

Zinc

Base

Metal

1

2/2021

USD

68,546

1,535

LME

Zinc

Base

Metal

1

2/2021

USD

68,596

(1,807)

LME

Zinc

Base

Metal

3

2/2021

USD

205,731

(161)

Australia

10

Year

Bond

16

3/2021

AUD

1,816,112

(673)

Canada

10

Year

Bond

67

3/2021

CAD

7,847,985

21,910

Copper

1

3/2021

USD

87,975

1,122

Corn

39

3/2021

USD

943,800

107,491

DJIA

CBOT

E-Mini

Index

2

3/2021

USD

304,970

4,029

FTSE/MIB

Index

19

3/2021

EUR

2,568,220

31,964

KOSPI

200

Index

8

3/2021

KRW

716,469

47,594

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(1,642)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,481

(495)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(1,374)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,390

(2,096)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(1,353)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,435

(1,718)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,477

(554)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(1,118)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,454

(793)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(2,257)

LME

Aluminum

Base

Metal

2

3/2021

USD

98,811

(3,777)

LME

Aluminum

Base

Metal

4

3/2021

USD

197,950

(347)

LME

Aluminum

Base

Metal

17

3/2021

USD

840,438

(18,052)

LME

Copper

Base

Metal

1

3/2021

USD

194,169

3,404

LME

Copper

Base

Metal

1

3/2021

USD

194,094

(5,684)

LME

Zinc

Base

Metal

1

3/2021

USD

68,733

(1,568)

LME

Zinc

Base

Metal

1

3/2021

USD

68,775

272

MSCI

EAFE

E-Mini

Index

1

3/2021

USD

106,540

(781)

MSCI

Emerging

Markets

E-Mini

Index

3

3/2021

USD

193,230

2,990

NASDAQ

100

E-Mini

Index

1

3/2021

USD

257,710

10,272

Nikkei

225

Index

3

3/2021

JPY

797,250

26,798

Russell

2000

E-Mini

Index

2

3/2021

USD

197,480

6,438

S&P

500

E-Mini

Index

31

3/2021

USD

5,810,640

127,233

S&P

Midcap

400

E-Mini

Index

1

3/2021

USD

230,350

1,917

S&P/TSX

60

Index

22

3/2021

CAD

3,556,572

(29,848)

Silver

1

3/2021

USD

132,060

12,398

Soybean

Meal

1

3/2021

USD

42,940

115

Soybean

Oil

5

3/2021

USD

127,200

4,399

SPI

200

Index

6

3/2021

AUD

755,955

(5,812)

TOPIX

Index

20

3/2021

JPY

3,495,230

73,905

U.S.

Treasury

10

Year

Note

4

3/2021

USD

552,313

285

Wheat

9

3/2021

USD

288,225

14,577

690,532

Short

Contracts

CAC

40

10

Euro

Index

(12)

1/2021

EUR

(812,446)

3,659

FTSE

Bursa

Malaysia

KLCI

Index

(3)

1/2021

MYR

(60,783)

497

HSCEI

(15)

1/2021

HKD

(1,035,253)

(28,749)

IBEX

35

Index

(28)

1/2021

EUR

(2,760,680)

2,567

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,470)

(3,024)

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,425)

(3,178)

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,377)

(4,379)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,950)

(6,693)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,938)

(7,915)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,942)

(7,116)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,938)

(8,291)

98

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

$

(98,950)

$

(6,356)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,345)

(8,511)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,425)

(10,282)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,852)

(24,530)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,780)

(25,332)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,781)

(25,649)

LME

Copper

Base

Metal

(1)

1/2021

USD

(195,850)

(30,926)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,819)

(20,846)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,370)

(8,143)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,302)

(7,406)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(69,119)

(11,153)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,373)

(4,838)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,246)

(9,467)

MSCI

Singapore

Index

(22)

1/2021

SGD

(538,181)

2,288

Natural

Gas

(10)

1/2021

USD

(253,900)

(10,241)

OMXS30

Index

(24)

1/2021

SEK

(547,888)

4,191

WTI

Crude

Oil

(4)

1/2021

USD

(194,080)

(6,209)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,375)

(177)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,363)

400

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,363)

303

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,469)

(2,947)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,350)

423

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,469)

(1,872)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,720)

1,774

LME

Aluminum

Base

Metal

(5)

2/2021

USD

(246,813)

2,370

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,944)

(3,271)

LME

Lead

Base

Metal

(1)

2/2021

USD

(49,624)

(4,826)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,530)

1,148

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,546)

(1,548)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,427)

(4,994)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,436)

(2,969)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,596)

1,601

LME

Zinc

Base

Metal

(3)

2/2021

USD

(205,731)

(390)

Australia

3

Year

Bond

(10)

3/2021

AUD

(905,389)

(1,205)

EURO

STOXX

50

Index

(66)

3/2021

EUR

(2,862,326)

(36,736)

Euro-

Bobl

(9)

3/2021

EUR

(1,486,284)

63

Euro-BTP

(1)

3/2021

EUR

(185,703)

(1,379)

Euro-Bund

(39)

3/2021

EUR

(8,463,542)

(1,775)

Euro-

Buxl

(1)

3/2021

EUR

(275,164)

(296)

Euro-OAT

(1)

3/2021

EUR

(205,066)

(37)

Euro-Schatz

(25)

3/2021

EUR

(3,429,019)

976

FTSE

100

Index

(35)

3/2021

GBP

(3,072,773)

31,017

Japan

10

Year

Bond

(8)

3/2021

JPY

(11,770,472)

10,890

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,454)

737

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

1,047

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

2,222

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

1,047

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,435)

1,691

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,481)

510

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

1,572

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

1,472

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,477)

545

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,390)

2,033

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,875)

2,485

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,811)

3,434

LME

Aluminum

Base

Metal

(4)

3/2021

USD

(197,950)

688

99

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

3/2021

USD

$

(194,169)

$

5,642

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,094)

5,556

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,648)

(3,438)

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,775)

(353)

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,733)

(290)

Long

Gilt

(60)

3/2021

GBP

(11,121,058)

(20,112)

MEX

BOLSA

Index

(7)

3/2021

MXN

(156,044)

(1,416)

SET50

Index

(62)

3/2021

THB

(374,773)

(317)

Soybean

(1)

3/2021

USD

(65,550)

79

U.S.

Treasury

2

Year

Note

(40)

3/2021

USD

(8,839,062)

(5,128)

U.S.

Treasury

5

Year

Note

(25)

3/2021

USD

(3,154,102)

(5,420)

U.S.

Treasury

Long

Bond

(2)

3/2021

USD

(346,375)

2,664

U.S.

Treasury

Ultra

Bond

(1)

3/2021

USD

(213,563)

1,165

(281,374)

$

409,158

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,382,004

USD

1,807,156

CITI

3/17/2021

$

30,343

AUD

2,381,996

USD

1,807,152

JPMC

3/17/2021

30,340

BRL

2,832,000

USD

529,272

CITI

**

3/17/2021

15,102

BRL

2,832,000

USD

529,273

JPMC

**

3/17/2021

15,101

CAD

1,949,500

USD

1,515,923

CITI

3/17/2021

15,924

CAD

1,949,500

USD

1,515,925

JPMC

3/17/2021

15,922

CLP

468,575,504

USD

627,649

CITI

**

3/17/2021

31,888

CLP

468,575,496

USD

627,650

JPMC

**

3/17/2021

31,887

CNY

8,643,504

USD

1,308,928

CITI

**

3/17/2021

13,986

CNY

8,643,496

USD

1,308,928

JPMC

**

3/17/2021

13,984

COP

2,405,948,000

USD

692,019

CITI

**

3/17/2021

11,198

COP

2,405,948,000

USD

692,020

JPMC

**

3/17/2021

11,197

EUR

852,004

USD

1,026,263

CITI

3/17/2021

16,273

EUR

851,996

USD

1,026,255

JPMC

3/17/2021

16,272

GBP

446,000

USD

595,434

CITI

3/17/2021

14,744

GBP

446,000

USD

595,435

JPMC

3/17/2021

14,743

HUF

44,311,000

USD

146,382

CITI

3/17/2021

2,873

HUF

44,311,000

USD

146,382

JPMC

3/17/2021

2,873

ILS

630,000

USD

194,869

CITI

3/17/2021

1,429

ILS

630,000

USD

194,869

JPMC

3/17/2021

1,428

INR

61,291,000

USD

824,446

CITI

**

3/17/2021

8,580

INR

61,291,000

USD

824,447

JPMC

**

3/17/2021

8,580

JPY

373,838,500

USD

3,602,695

CITI

3/17/2021

20,801

JPY

373,838,500

USD

3,602,700

JPMC

3/17/2021

20,797

KRW

1,560,273,500

USD

1,406,318

CITI

**

3/17/2021

27,611

KRW

1,560,273,500

USD

1,406,320

JPMC

**

3/17/2021

27,609

MXN

31,720,500

USD

1,559,069

CITI

3/17/2021

22,169

MXN

31,720,500

USD

1,559,071

JPMC

3/17/2021

22,168

NOK

4,137,500

USD

477,266

CITI

3/17/2021

5,165

NOK

4,137,500

USD

477,267

JPMC

3/17/2021

5,164

NZD

7,875,008

USD

5,499,251

CITI

3/17/2021

168,586

NZD

7,874,992

USD

5,499,246

JPMC

3/17/2021

168,580

100

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

PHP

2,950,000

USD

60,847

CITI

**

3/17/2021

$

364

PHP

2,950,000

USD

60,847

JPMC

**

3/17/2021

364

PLN

474,750

USD

126,199

CITI

3/17/2021

928

PLN

474,750

USD

126,199

JPMC

3/17/2021

927

RUB

2,200,000

USD

28,627

CITI

**

3/17/2021

865

RUB

2,200,000

USD

28,627

JPMC

**

3/17/2021

865

SEK

1,905,500

USD

225,542

CITI

3/17/2021

6,237

SEK

1,905,500

USD

225,542

JPMC

3/17/2021

6,236

THB

2,362,500

USD

77,820

CITI

3/17/2021

1,046

THB

2,362,500

USD

77,820

JPMC

3/17/2021

1,045

TWD

15,100,002

USD

538,728

CITI

**

3/17/2021

5,261

TWD

15,099,998

USD

538,729

JPMC

**

3/17/2021

5,260

USD

285,046

BRL

1,461,000

CITI

**

3/17/2021

4,209

USD

285,046

BRL

1,461,000

JPMC

**

3/17/2021

4,209

USD

151,156

CHF

133,500

CITI

3/17/2021

42

USD

151,156

CHF

133,500

JPMC

3/17/2021

42

USD

45,405

EUR

37,000

CITI

3/17/2021

131

USD

45,405

EUR

37,000

JPMC

3/17/2021

131

USD

10,124

HUF

3,000,000

CITI

3/17/2021

19

USD

10,124

HUF

3,000,000

JPMC

3/17/2021

19

USD

42,821

KRW

46,500,000

CITI

**

3/17/2021

86

USD

42,821

KRW

46,500,000

JPMC

**

3/17/2021

86

USD

62,262

PHP

3,000,000

CITI

**

3/17/2021

14

USD

62,262

PHP

3,000,000

JPMC

**

3/17/2021

14

USD

138,937

PLN

512,751

CITI

3/17/2021

1,635

USD

138,937

PLN

512,751

JPMC

3/17/2021

1,635

USD

503

THB

15,000

CITI

3/17/2021

2

USD

503

THB

15,000

JPMC

3/17/2021

2

ZAR

3,103,500

USD

201,028

CITI

3/17/2021

8,256

ZAR

3,103,500

USD

201,028

JPMC

3/17/2021

8,256

Total

unrealized

appreciation

871,503

BRL

252,500

USD

48,965

CITI

**

3/17/2021

(429)

BRL

252,500

USD

48,965

JPMC

**

3/17/2021

(429)

CLP

14,500,000

USD

20,488

CITI

**

3/17/2021

(78)

CLP

14,500,000

USD

20,488

JPMC

**

3/17/2021

(78)

CNY

793,000

USD

121,492

CITI

**

3/17/2021

(122)

CNY

793,000

USD

121,493

JPMC

**

3/17/2021

(122)

EUR

405,500

USD

499,602

CITI

3/17/2021

(3,421)

EUR

405,500

USD

499,603

JPMC

3/17/2021

(3,422)

MXN

1,027,500

USD

51,347

CITI

3/17/2021

(126)

MXN

1,027,500

USD

51,347

JPMC

3/17/2021

(127)

NZD

351,500

USD

254,220

CITI

3/17/2021

(1,236)

NZD

351,500

USD

254,220

JPMC

3/17/2021

(1,237)

PLN

261,250

USD

70,629

CITI

3/17/2021

(674)

PLN

261,250

USD

70,629

JPMC

3/17/2021

(673)

RUB

5,200,000

USD

70,251

CITI

**

3/17/2021

(541)

RUB

5,200,000

USD

70,251

JPMC

**

3/17/2021

(541)

THB

37,000

USD

1,237

CITI

3/17/2021

(2)

THB

37,000

USD

1,237

JPMC

3/17/2021

(2)

TWD

1,250,000

USD

45,264

CITI

**

3/17/2021

(232)

TWD

1,250,000

USD

45,264

JPMC

**

3/17/2021

(232)

USD

1,803,636

AUD

2,459,004

CITI

3/17/2021

(93,261)

USD

1,803,628

AUD

2,458,996

JPMC

3/17/2021

(93,263)

USD

12,608

BRL

67,000

CITI

**

3/17/2021

(271)

USD

12,608

BRL

67,000

JPMC

**

3/17/2021

(271)

USD

3,517,076

CAD

4,567,334

CITI

3/17/2021

(71,770)

USD

3,517,068

CAD

4,567,330

JPMC

3/17/2021

(71,774)

USD

948,802

CHF

861,000

CITI

3/17/2021

(25,798)

101

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

948,800

CHF

861,000

JPMC

3/17/2021

$

(25,800)

USD

564,246

CLP

429,075,504

CITI

**

3/17/2021

(39,693)

USD

564,245

CLP

429,075,496

JPMC

**

3/17/2021

(39,694)

USD

288,364

CNY

1,900,500

CITI

**

3/17/2021

(2,513)

USD

288,363

CNY

1,900,500

JPMC

**

3/17/2021

(2,514)

USD

904,090

COP

3,276,706,502

CITI

**

3/17/2021

(53,636)

USD

904,088

COP

3,276,706,498

JPMC

**

3/17/2021

(53,637)

USD

392,057

CZK

8,650,000

CITI

3/17/2021

(10,844)

USD

392,057

CZK

8,650,000

JPMC

3/17/2021

(10,844)

USD

659,655

EUR

553,008

CITI

3/17/2021

(17,022)

USD

659,635

EUR

552,992

JPMC

3/17/2021

(17,022)

USD

3,613,687

GBP

2,701,504

CITI

3/17/2021

(82,272)

USD

3,613,672

GBP

2,701,496

JPMC

3/17/2021

(82,276)

USD

105,907

HUF

31,953,500

CITI

3/17/2021

(1,724)

USD

105,907

HUF

31,953,500

JPMC

3/17/2021

(1,724)

USD

375,623

IDR

5,370,000,000

CITI

**

3/17/2021

(8,305)

USD

375,623

IDR

5,370,000,000

JPMC

**

3/17/2021

(8,305)

USD

218,274

ILS

725,000

CITI

3/17/2021

(7,624)

USD

218,274

ILS

725,000

JPMC

3/17/2021

(7,625)

USD

724,216

JPY

75,191,500

CITI

3/17/2021

(4,591)

USD

724,215

JPY

75,191,500

JPMC

3/17/2021

(4,592)

USD

41,368

KRW

45,196,500

CITI

**

3/17/2021

(168)

USD

41,368

KRW

45,196,500

JPMC

**

3/17/2021

(169)

USD

1,106,901

MXN

22,391,500

CITI

3/17/2021

(9,296)

USD

1,106,899

MXN

22,391,500

JPMC

3/17/2021

(9,297)

USD

1,310,666

NOK

11,723,502

CITI

3/17/2021

(56,289)

USD

1,310,664

NOK

11,723,498

JPMC

3/17/2021

(56,290)

USD

920,570

NZD

1,298,000

CITI

3/17/2021

(13,633)

USD

920,569

NZD

1,298,000

JPMC

3/17/2021

(13,634)

USD

81,561

PHP

3,950,000

CITI

**

3/17/2021

(399)

USD

81,561

PHP

3,950,000

JPMC

**

3/17/2021

(400)

USD

88,283

PLN

331,250

CITI

3/17/2021

(417)

USD

88,282

PLN

331,248

JPMC

3/17/2021

(417)

USD

68,193

RUB

5,250,000

CITI

**

3/17/2021

(2,187)

USD

68,193

RUB

5,250,000

JPMC

**

3/17/2021

(2,187)

USD

290,541

SEK

2,473,500

CITI

3/17/2021

(10,327)

USD

290,541

SEK

2,473,500

JPMC

3/17/2021

(10,327)

USD

1,041,066

SGD

1,394,000

CITI

3/17/2021

(13,791)

USD

1,041,064

SGD

1,394,000

JPMC

3/17/2021

(13,792)

USD

6,816

THB

206,000

CITI

3/17/2021

(60)

USD

6,816

THB

206,000

JPMC

3/17/2021

(60)

USD

73,160

ZAR

1,135,000

CITI

3/17/2021

(3,378)

USD

73,160

ZAR

1,135,000

JPMC

3/17/2021

(3,379)

ZAR

1,839,500

USD

124,574

CITI

3/17/2021

(527)

ZAR

1,839,500

USD

124,574

JPMC

3/17/2021

(527)

Total

unrealized

depreciation

(1,073,340)

Net

unrealized

depreciation

$

(201,837)

**

Non-deliverable

forward.

102

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,903,286

$

1,903,286

CITI

Investment

Companies

324,181

–

324,181

CRSU

Cash

–

908,656

908,656

GSCO

Cash

–

487,147

487,147

GSIN

U.S.

Treasury

Bills

469,846

–

469,846

JPMC

Investment

Companies

751,632

–

751,632

JPMS

Cash

–

51,110

51,110

MSCL

Cash

–

338,109

338,109

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

JPPC

Cash

$

–

$

59,178

$

59,178

103

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

7

(a)

Represents

7-day

effective

yield

as

of

December

31,

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

December

31,

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

swap

and

futures

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

88.8%

INVESTMENT

COMPANIES

-

34.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

23,658,139

23,658,139

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)(c)

105,396,304

105,354,146

TOTAL

INVESTMENT

COMPANIES

(Cost

$129,019,073)

129,012,285

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

54.2%

U.S.

Treasury

Bills

0.11%,

5/6/2021

(d)(e)

$

20,544,000

20,538,256

0.11%,

5/13/2021

(d)(f)

34,741,000

34,730,885

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

54.2%

(continued)

0.10%,

5/20/2021

(d)(e)

$

24,391,000

24,383,513

0.09%,

5/27/2021

(d)(e)

29,255,000

29,245,994

0.09%,

6/3/2021

(d)(e)

48,755,000

48,738,190

0.09%,

6/10/2021

(d)(e)

36,313,000

36,299,895

0.09%,

6/24/2021

(d)(e)

8,740,000

8,736,575

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$202,660,070)

202,673,308

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$331,679,143)

331,685,593

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.8%

(Cost

$331,679,143)

331,685,593

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.2%

(g)

41,643,306

NET

ASSETS

-

100.0%

373,328,899

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2020

Shares

Held

At

12/31/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

28.2%

INVESTMENT

COMPANIES

-

28.2%

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)^(a)

(Cost

$105,360,934)

$262,591,498

$2,031,310,896

$(2,188,563,657)

$83,048

$(67,639)

$105,354,146

105,396,304

$1,066,045

$14,632

^    No

longer

affiliated

as

of

December

31,

2020.

(a)

Represents

7-day

effective

yield

as

of

December

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

104

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/28/2021

HKD

8,165,700

$

29,874

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

03/19/2021

CHF

5,322,000

215,398

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

HKD

268,199

1,199

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

EUR

232,813

4,675

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

JPY

1,469,235,914

396,824

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

03/19/2021

EUR

921,845

19,224

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

SGD

5,496

38

105

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

CHF

1,023,190

$

39,401

706,633

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

03/19/2021

AUD

1,313,068

(12,906)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.22%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

CAD

474,680

(2,588)

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

EUR

101,705

(431)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

EUR

594,961

(16,914)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

SEK

428,199

(238)

106

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

(0.24%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

GBP

10,966

$

(239)

(33,316)

$

673,317

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

18

1/2021

EUR

$

2,746,645

$

15,510

CAC

40

10

Euro

Index

84

1/2021

EUR

5,687,123

5,554

Hang

Seng

Index

5

1/2021

HKD

877,755

23,720

IBEX

35

Index

12

1/2021

EUR

1,183,148

(6,816)

MSCI

Singapore

Index

30

1/2021

SGD

733,883

(2,791)

OMXS30

Index

97

1/2021

SEK

2,214,379

(18,032)

DAX

Index

15

3/2021

EUR

6,297,300

222,398

FTSE

100

Index

93

3/2021

GBP

8,164,796

(91,194)

FTSE/MIB

Index

11

3/2021

EUR

1,486,864

16,014

S&P

500

E-Mini

Index

694

3/2021

USD

130,083,360

3,509,083

S&P/TSX

60

Index

36

3/2021

CAD

5,819,844

(56,306)

SPI

200

Index

29

3/2021

AUD

3,653,783

(12,628)

TOPIX

Index

1

3/2021

JPY

174,762

3,140

$

3,607,652

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

3,029,000

USD

2,218,184

CITI

3/17/2021

$

118,414

AUD

3,029,000

USD

2,218,187

JPMC

3/17/2021

118,409

CAD

4,363,204

USD

3,344,905

CITI

3/17/2021

83,543

CAD

4,363,206

USD

3,344,911

JPMC

3/17/2021

83,539

CHF

2,967,000

USD

3,270,112

CITI

3/17/2021

88,356

CHF

2,967,000

USD

3,270,116

JPMC

3/17/2021

88,350

DKK

5,402,721

USD

862,936

CITI

3/17/2021

25,257

DKK

5,402,722

USD

862,937

JPMC

3/17/2021

25,256

EUR

8,925,001

USD

10,653,649

CITI

3/17/2021

267,241

EUR

8,925,000

USD

10,653,661

JPMC

3/17/2021

267,229

GBP

3,285,000

USD

4,383,515

CITI

3/17/2021

110,729

GBP

3,285,001

USD

4,383,521

JPMC

3/17/2021

110,727

HKD

8,225,000

USD

1,061,093

CITI

3/17/2021

47

HKD

8,225,000

USD

1,061,095

JPMC

3/17/2021

45

ILS

647,500

USD

194,727

CITI

3/17/2021

7,024

ILS

647,500

USD

194,727

JPMC

3/17/2021

7,024

107

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

867,674,501

USD

8,366,670

CITI

3/17/2021

$

43,420

JPY

867,674,500

USD

8,366,680

JPMC

3/17/2021

43,409

NOK

1,621,256

USD

179,865

CITI

3/17/2021

9,172

NOK

1,621,259

USD

179,866

JPMC

3/17/2021

9,172

NZD

152,503

USD

106,460

CITI

3/17/2021

3,300

NZD

152,496

USD

106,456

JPMC

3/17/2021

3,300

SEK

9,273,501

USD

1,088,983

CITI

3/17/2021

39,012

SEK

9,273,500

USD

1,088,984

JPMC

3/17/2021

39,009

SGD

468,004

USD

349,098

CITI

3/17/2021

5,046

SGD

467,996

USD

349,092

JPMC

3/17/2021

5,046

USD

67,418

HKD

522,500

CITI

3/17/2021

7

USD

67,418

HKD

522,500

JPMC

3/17/2021

7

Total

unrealized

appreciation

1,601,090

USD

106,127

AUD

143,000

CITI

3/17/2021

(4,184)

USD

106,127

AUD

143,000

JPMC

3/17/2021

(4,185)

USD

137,809

CAD

176,500

CITI

3/17/2021

(878)

USD

137,809

CAD

176,500

JPMC

3/17/2021

(878)

USD

1,039,991

CHF

938,210

CITI

3/17/2021

(22,006)

USD

1,039,987

CHF

938,208

JPMC

3/17/2021

(22,008)

USD

109,789

DKK

676,500

CITI

3/17/2021

(1,426)

USD

109,789

DKK

676,500

JPMC

3/17/2021

(1,426)

USD

1,510,598

EUR

1,254,064

CITI

3/17/2021

(23,911)

USD

1,510,587

EUR

1,254,057

JPMC

3/17/2021

(23,913)

USD

42,572

HKD

330,000

CITI

3/17/2021

(2)

USD

42,572

HKD

330,000

JPMC

3/17/2021

(2)

USD

20,593

ILS

67,500

CITI

3/17/2021

(439)

USD

20,593

ILS

67,500

JPMC

3/17/2021

(439)

USD

615,905

JPY

64,049,500

CITI

3/17/2021

(4,906)

USD

615,904

JPY

64,049,500

JPMC

3/17/2021

(4,907)

USD

6,929

NOK

61,500

CITI

3/17/2021

(242)

USD

6,929

NOK

61,500

JPMC

3/17/2021

(242)

USD

15,830

NZD

22,500

CITI

3/17/2021

(364)

USD

15,830

NZD

22,500

JPMC

3/17/2021

(364)

USD

87,512

SEK

744,119

CITI

3/17/2021

(3,000)

USD

87,512

SEK

744,120

JPMC

3/17/2021

(3,000)

USD

602,868

SGD

808,140

CITI

3/17/2021

(8,661)

USD

602,871

SGD

808,145

JPMC

3/17/2021

(8,662)

Total

unrealized

depreciation

(140,045)

Net

unrealized

appreciation

$

1,461,045

108

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

Total

Return

Basket

Swaps

Outstanding

at

December

31,

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

(-0.76%

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

-

02/25/2022

$73,595,943

$37,764

$433,089

$470,853

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

Avient

Corp.

13,589

547,365

679

0.1

Cabot

Corp.

34,237

1,536,557

14,380

3.1

Commercial

Metals

Co.

66,842

1,372,935

26,068

5.5

Deckers

Outdoor

Corp.

8,143

2,335,250

(33,505)

(7.1)

Domtar

Corp.

30,888

977,605

1,544

0.3

Element

Solutions,

Inc.

59,225

1,050,059

(592)

(0.1)

Garmin

Ltd.

4,701

562,522

(5,030)

(1.1)

Graphic

Packaging

Holding

Co.

49,049

830,890

4,905

1.0

Greif,

Inc.

12,101

567,295

(2,420)

(0.5)

Huntsman

Corp.

30,358

763,200

(5,768)

(1.2)

KB

Home

19,271

645,964

(29,870)

(6.3)

Kroger

Co.

(The)

20,889

663,435

7,729

1.6

Minerals

Technologies,

Inc.

15,716

976,278

943

0.2

Mosaic

Co.

(The)

36,850

847,918

51,591

11.0

NewMarket

Corp.

4,148

1,652,107

(7,923)

(1.7)

O-I

Glass,

Inc.

60,938

725,162

29,860

6.3

Packaging

Corp.

of

America

4,133

569,982

4,670

1.0

Peloton

Interactive,

Inc.

10,588

1,606,411

(4,870)

(1.0)

Polaris,

Inc.

5,439

518,228

(14,250)

(3.0)

PulteGroup,

Inc.

25,754

1,110,512

(34,768)

(7.4)

Reliance

Steel

&

Aluminum

Co.

10,796

1,292,821

14,467

3.1

Sensient

Technologies

Corp.

16,947

1,250,180

(7,965)

(1.7)

Silgan

Holdings,

Inc.

17,543

650,494

8,865

1.9

Steel

Dynamics,

Inc.

27,264

1,005,224

24,265

5.2

Tapestry,

Inc.

43,771

1,360,403

9,630

2.0

Valvoline,

Inc.

37,450

866,593

(14,606)

(3.1)

Walgreens

Boots

Alliance,

Inc.

14,312

570,763

3,149

0.7

Walmart,

Inc.

24,209

3,489,727

(25,904)

(5.5)

Worthington

Industries,

Inc.

11,163

573,108

8,261

1.8

109

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Liberty

Global

plc

(25,639)

(606,362)

1,538

0.3

United

States

Albemarle

Corp.

(9,207)

(1,358,217)

20,255

4.3

Amcor

plc

(93,632)

(1,102,049)

(16,854)

(3.6)

AptarGroup,

Inc.

(5,220)

(714,566)

(6,316)

(1.3)

Ball

Corp.

(29,422)

(2,741,542)

(53,253)

(11.3)

Casey's

General

Stores,

Inc.

(7,520)

(1,343,222)

12,558

2.7

CenturyLink,

Inc.

(102,096)

(995,436)

9,189

2.0

Columbia

Sportswear

Co.

(16,306)

(1,424,818)

11,088

2.4

Compass

Minerals

International,

Inc.

(13,174)

(813,099)

(10,671)

(2.3)

Grocery

Outlet

Holding

Corp.

(42,861)

(1,682,294)

48,004

10.2

Hasbro,

Inc.

(8,404)

(786,110)

(1,681)

(0.4)

Helen

of

Troy

Ltd.

(5,406)

(1,201,159)

29,084

6.2

Sherwin-Williams

Co.

(The)

(857)

(629,818)

(4,773)

(1.0)

Sprouts

Farmers

Market,

Inc.

(42,089)

(845,989)

19,571

4.2

Sysco

Corp.

(7,044)

(523,087)

(3,029)

(0.6)

T-Mobile

US,

Inc.

(28,143)

(3,795,084)

(52,064)

(11.1)

Toll

Brothers,

Inc.

(24,769)

(1,076,708)

41,612

8.8

TopBuild

Corp.

(6,556)

(1,206,828)

44,187

9.4

United

States

Steel

Corp.

(79,491)

(1,333,064)

(36,566)

(7.8)

US

Foods

Holding

Corp.

(22,493)

(749,242)

4,274

0.9

VF

Corp.

(12,077)

(1,031,497)

483

0.1

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

BBR

plus

or

minus

a

specified

spread

(-0.10%

to

0.03%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$50,969,335

$286,017

$(46,563)

$239,454

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

Afterpay

Ltd.

2,955

268,626

(2,626)

(1.1)

AGL

Energy

Ltd.

233,549

2,155,745

(195,436)

(81.6)

Ampol

Ltd.

16,772

367,787

(18,903)

(7.9)

Ansell

Ltd.

23,575

630,209

(11,351)

(4.7)

Aristocrat

Leisure

Ltd.

20,262

486,510

8,876

3.7

Aurizon

Holdings

Ltd.

687,172

2,064,560

(90,185)

(37.7)

Australia

&

New

Zealand

Banking

Group

Ltd.

30,874

541,781

(19,246)

(8.0)

Bendigo

&

Adelaide

Bank

Ltd.

94,612

681,605

(8,464)

(3.5)

110

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

BlueScope

Steel

Ltd.

113,459

1,532,240

(6,621)

(2.8)

carsales.com

Ltd.

58,934

910,295

(8,935)

(3.7)

CIMIC

Group

Ltd.

77,868

1,464,709

(109,060)

(45.5)

Coles

Group

Ltd.

51,653

721,666

(3,555)

(1.5)

Fortescue

Metals

Group

Ltd.

178,375

3,221,881

137,875

57.6

Harvey

Norman

Holdings

Ltd.

424,590

1,534,380

(1,051)

(0.4)

Incitec

Pivot

Ltd.

344,981

606,814

(7,414)

(3.1)

JB

Hi-Fi

Ltd.

71,081

2,668,737

71,761

30.0

South32

Ltd.

216,127

413,055

(24,801)

(10.4)

Suncorp

Group

Ltd.

65,528

493,129

(14,042)

(5.9)

Telstra

Corp.

Ltd.

257,603

591,613

(13,981)

(5.8)

Wesfarmers

Ltd.

17,604

684,217

(15,823)

(6.6)

Westpac

Banking

Corp.

22,072

328,460

(15,279)

(6.4)

Worley

Ltd.

120,181

1,061,512

(42,603)

(17.8)

Short

Positions

Common

Stocks

Australia

Alumina

Ltd.

(1,442,577)

(2,045,337)

11,444

4.8

APA

Group

(238,138)

(1,771,859)

125,568

52.4

Atlas

Arteria

Ltd.

(86,187)

(433,385)

(9,411)

(3.9)

AusNet

Services

(796,585)

(1,079,599)

41,070

17.2

Cochlear

Ltd.

(7,645)

(1,115,523)

55,241

23.1

Commonwealth

Bank

of

Australia

(4,228)

(268,740)

7,368

3.1

CSL

Ltd.

(2,312)

(505,155)

8,517

3.6

Domino's

Pizza

Enterprises

Ltd.

(7,781)

(520,923)

2,492

1.0

Insurance

Australia

Group

Ltd.

(195,516)

(709,542)

55,514

23.2

Lendlease

Corp.

Ltd.

(53,172)

(537,612)

15,921

6.6

Macquarie

Group

Ltd.

(15,175)

(1,619,770)

36,494

15.2

Magellan

Financial

Group

Ltd.

(14,264)

(590,792)

27,450

11.5

National

Australia

Bank

Ltd.

(55,772)

(972,320)

51,546

21.5

NEXTDC

Ltd.

(35,401)

(334,058)

291

0.1

Northern

Star

Resources

Ltd.

(76,426)

(746,986)

(7,441)

(3.1)

Oil

Search

Ltd.

(468,746)

(1,343,397)

(14,229)

(5.9)

QBE

Insurance

Group

Ltd.

(60,599)

(395,010)

69,202

28.9

Ramsay

Health

Care

Ltd.

(6,997)

(336,211)

11,279

4.7

REA

Group

Ltd.

(4,412)

(505,383)

134

0.1

SEEK

Ltd.

(77,717)

(1,703,935)

5

0.0

Seven

Group

Holdings

Ltd.

(53,752)

(970,681)

6,498

2.7

Spark

Infrastructure

Group

(469,122)

(762,721)

18,460

7.7

Sydney

Airport

(196,235)

(971,328)

25,446

10.6

Transurban

Group

(176,068)

(1,855,371)

81,079

33.9

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(18,617)

(433,067)

6,462

2.7

WiseTech

Global

Ltd.

(26,347)

(626,141)

16,445

6.9

Woodside

Petroleum

Ltd.

(15,707)

(275,590)

9,492

4.0

United

States

James

Hardie

Industries

plc

(65,402)

(1,938,321)

31,444

13.1

111

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

(-0.02%

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

$149,621,181

$(202,319)

$(39,657)

$(241,976)

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

381,760

1,212,391

(49,168)

20.3

Jordan

Hikma

Pharmaceuticals

plc

34,158

1,174,032

21,236

(8.8)

Russia

Evraz

plc

406,471

2,597,724

(16,150)

6.7

South

Africa

Anglo

American

plc

60,579

2,000,454

(53,160)

22.0

Switzerland

Coca-Cola

HBC

AG

47,026

1,522,845

5,270

(2.2)

United

Kingdom

Aggreko

plc

136,705

1,171,856

8,079

(3.3)

Associated

British

Foods

plc

91,382

2,821,390

(45,146)

18.7

Avast

plc

189,641

1,392,491

30,444

(12.6)

Aviva

plc

1,070,927

4,763,519

(95,879)

39.6

BAE

Systems

plc

260,066

1,734,321

(22,122)

9.1

Barclays

plc

1,168,518

2,344,157

17,451

(7.2)

Bellway

plc

44,751

1,806,720

24,113

(10.0)

BT

Group

plc

1,116,569

2,012,570

(102,245)

42.3

Centrica

plc

1,816,681

1,152,718

62,258

(25.7)

GlaxoSmithKline

plc

69,224

1,266,658

(24,981)

10.3

Hays

plc

609,952

1,196,552

11,258

(4.7)

IMI

plc

87,300

1,391,162

(47,579)

19.7

Inchcape

plc

135,292

1,191,011

(19,862)

8.2

Indivior

plc

906,846

1,349,242

109,148

(45.1)

JD

Sports

Fashion

plc

192,828

2,265,391

47,279

(19.5)

Kingfisher

plc

873,752

3,228,638

(66,121)

27.3

M&G

plc

1,073,450

2,897,426

(53,232)

22.0

Marks

&

Spencer

Group

plc

1,749,242

3,244,638

(84,430)

34.9

Mondi

plc

58,453

1,369,663

(62,152)

25.7

Royal

Mail

plc

602,648

2,777,600

(66,494)

27.5

Sage

Group

plc

(The)

233,576

1,854,646

(25,948)

10.7

Tate

&

Lyle

plc

209,909

1,934,142

26,741

(11.1)

112

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Beazley

plc

(270,608)

(1,349,246)

(10,681)

4.4

Burberry

Group

plc

(143,006)

(3,492,221)

81,043

(33.5)

Croda

International

plc

(37,940)

(3,411,942)

(125,783)

52.0

Halma

plc

(45,686)

(1,530,037)

(4,371)

1.8

Hargreaves

Lansdown

plc

(120,303)

(2,504,958)

(20,095)

8.3

Hiscox

Ltd.

(157,690)

(2,147,384)

21,012

(8.7)

HSBC

Holdings

plc

(482,766)

(2,493,602)

111,263

(46.0)

Informa

plc

(254,421)

(1,902,399)

(1,478)

0.6

InterContinental

Hotels

Group

plc

(34,468)

(2,234,045)

(37,558)

15.5

Intermediate

Capital

Group

plc

(49,015)

(1,153,327)

(19,238)

8.0

Intertek

Group

plc

(20,873)

(1,612,236)

60,489

(25.0)

Lloyds

Banking

Group

plc

(3,543,709)

(1,766,743)

(11,313)

4.7

Ocado

Group

plc

(99,412)

(3,108,624)

(89,480)

37.0

Prudential

plc

(183,585)

(3,375,755)

(35,085)

14.5

Reckitt

Benckiser

Group

plc

(19,405)

(1,731,978)

(16,980)

7.0

Rolls-Royce

Holdings

plc

(1,279,678)

(1,936,698)

31,167

(12.9)

Schroders

plc

(28,837)

(1,314,851)

2,590

(1.1)

Severn

Trent

plc

(86,146)

(2,689,309)

71,939

(29.7)

Spirax-Sarco

Engineering

plc

(16,974)

(2,620,172)

25,453

(10.5)

St

James's

Place

plc

(184,303)

(2,851,919)

26,121

(10.8)

Taylor

Wimpey

plc

(639,260)

(1,445,981)

(20,251)

8.4

Tesco

plc

(863,017)

(2,723,480)

(5,448)

2.3

Whitbread

plc

(42,042)

(1,780,756)

35,638

(14.7)

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

(-0.05%

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

$28,679,318

$54,531

$(386,412)

$(331,881)

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.

116,500

353,138

(10,529)

3.2

Hong

Kong

ASM

Pacific

Technology

Ltd.

4,900

64,713

1,507

(0.5)

CK

Asset

Holdings

Ltd.

247,500

1,266,433

(44,101)

13.3

CLP

Holdings

Ltd.

135,500

1,252,920

20,694

(6.2)

113

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Henderson

Land

Development

Co.

Ltd.

228,960

889,430

(8,402)

2.5

HKT

Trust

&

HKT

Ltd.

98,000

127,099

(1,450)

0.4

Hysan

Development

Co.

Ltd.

230,000

842,445

(6,059)

1.8

Kerry

Properties

Ltd.

411,500

1,040,796

(18,651)

5.6

Man

Wah

Holdings

Ltd.

594,400

1,289,365

133,137

(40.1)

Melco

International

Development

Ltd.

110,000

214,230

(24)

0.0

New

World

Development

Co.

Ltd.

110,250

512,928

(13,259)

4.0

NWS

Holdings

Ltd.

280,000

260,169

6,262

(1.9)

Sino

Land

Co.

Ltd.

176,000

229,032

(11,160)

3.4

Sun

Hung

Kai

Properties

Ltd.

33,000

422,036

(19,808)

6.0

WH

Group

Ltd.

2,470,500

2,071,643

(9,300)

2.8

Xinyi

Glass

Holdings

Ltd.

84,000

234,952

22,579

(6.8)

Yue

Yuen

Industrial

Holdings

Ltd.

439,500

915,432

(30,187)

9.1

United

Kingdom

CK

Hutchison

Holdings

Ltd.

318,500

2,223,714

1,075

(0.3)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(420,200)

(1,388,061)

18,472

(5.6)

Hong

Kong

AIA

Group

Ltd.

(99,400)

(1,211,301)

(45,152)

13.6

Hang

Lung

Properties

Ltd.

(333,000)

(877,542)

(18,459)

5.6

Hang

Seng

Bank

Ltd.

(80,900)

(1,396,177)

30,344

(9.1)

Hong

Kong

&

China

Gas

Co.

Ltd.

(1,385,165)

(2,072,356)

(14,026)

4.2

MTR

Corp.

Ltd.

(476,287)

(2,663,701)

36,452

(11.0)

Swire

Properties

Ltd.

(330,600)

(961,197)

19,627

(5.9)

Techtronic

Industries

Co.

Ltd.

(27,000)

(385,922)

(13,963)

4.2

Vitasoy

International

Holdings

Ltd.

(80,000)

(311,614)

18,015

(5.4)

Wharf

Real

Estate

Investment

Co.

Ltd.

(286,000)

(1,486,373)

(29,155)

8.8

Macau

Galaxy

Entertainment

Group

Ltd.

(42,000)

(326,951)

(6,227)

1.9

Sands

China

Ltd.

(69,600)

(303,971)

7,109

(2.1)

SJM

Holdings

Ltd.

(113,000)

(126,693)

5,657

(1.7)

Wynn

Macau

Ltd.

(568,800)

(956,984)

33,513

(10.1)

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

JPY/USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.15%

to

0.02%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$383,669,792

$(1,475,402)

$(210,236)

$(1,685,638)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

114

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Brother

Industries

Ltd.

130,500

2,693,973

64,619

(3.8)

Fujitsu

Ltd.

20,700

2,991,884

128,662

(7.6)

Japan

Post

Insurance

Co.

Ltd.

109,000

2,234,949

38,204

(2.3)

Kajima

Corp.

148,400

1,990,787

21,178

(1.3)

Mitsubishi

Gas

Chemical

Co.,

Inc.

90,600

2,083,384

79,030

(4.7)

Mitsui

Chemicals,

Inc.

76,500

2,247,213

83,419

(4.9)

Nintendo

Co.

Ltd.

4,600

2,952,931

(58,783)

3.5

Nippon

Express

Co.

Ltd.

34,500

2,320,702

(25,065)

1.5

Nitto

Denko

Corp.

23,000

2,060,341

110,938

(6.6)

Obayashi

Corp.

398,200

3,438,286

(25,110)

1.5

Panasonic

Corp.

178,200

2,077,319

38,128

(2.3)

Pola

Orbis

Holdings,

Inc.

115,900

2,353,530

1,801

(0.1)

SCSK

Corp.

35,600

2,035,804

35,822

(2.1)

Sekisui

House

Ltd.

104,800

2,134,965

106,057

(6.3)

Shimamura

Co.

Ltd.

26,900

2,826,516

78,248

(4.6)

Shimizu

Corp.

319,000

2,322,096

(87,530)

5.2

Shinsei

Bank

Ltd.

219,200

2,707,964

121,921

(7.2)

Sony

Corp.

20,600

2,075,823

75,677

(4.5)

Subaru

Corp.

104,000

2,080,929

(96,310)

5.7

Taiheiyo

Cement

Corp.

99,000

2,479,861

(126,969)

7.5

Taisei

Corp.

71,400

2,463,195

(9,133)

0.5

Teijin

Ltd.

126,500

2,380,491

15,694

(0.9)

Tosoh

Corp.

175,000

2,734,229

(81,013)

4.8

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(101,400)

(3,326,565)

(331,073)

19.6

Asahi

Intecc

Co.

Ltd.

(89,800)

(3,279,973)

(191,982)

11.4

Bandai

Namco

Holdings,

Inc.

(23,500)

(2,035,118)

152,115

(9.0)

Chiba

Bank

Ltd.

(The)

(395,900)

(2,184,684)

(2,790)

0.2

Chugoku

Electric

Power

Co.,

Inc.

(The)

(168,900)

(1,982,132)

28,137

(1.7)

Daiwa

Securities

Group,

Inc.

(439,800)

(2,003,217)

22,902

(1.4)

Idemitsu

Kosan

Co.

Ltd.

(103,800)

(2,285,354)

(19,469)

1.2

Japan

Airport

Terminal

Co.

Ltd.

(43,900)

(2,664,150)

243,163

(14.4)

Kansai

Electric

Power

Co.,

Inc.

(The)

(217,800)

(2,059,969)

(48,362)

2.9

Keio

Corp.

(36,100)

(2,800,819)

(129,041)

7.7

Kikkoman

Corp.

(68,600)

(4,774,352)

(387,885)

23.0

Kintetsu

Group

Holdings

Co.

Ltd.

(60,900)

(2,668,962)

(20,355)

1.2

Mitsubishi

Motors

Corp.

(1,108,800)

(2,332,862)

(77,796)

4.6

Nippon

Paint

Holdings

Co.

Ltd.

(25,200)

(2,769,038)

86,281

(5.1)

Nissan

Chemical

Corp.

(39,800)

(2,495,642)

(124,936)

7.4

Odakyu

Electric

Railway

Co.

Ltd.

(115,600)

(3,630,788)

(41,585)

2.5

Oriental

Land

Co.

Ltd.

(20,900)

(3,453,335)

110,228

(6.5)

Shiseido

Co.

Ltd.

(50,500)

(3,495,825)

8,857

(0.5)

Showa

Denko

KK

(100,800)

(2,150,838)

(8,843)

0.5

Terumo

Corp.

(49,200)

(2,058,837)

(139,222)

8.3

Tokio

Marine

Holdings,

Inc.

(66,700)

(3,436,488)

(11,224)

0.7

TOTO

Ltd.

(43,900)

(2,642,274)

(146,114)

8.7

Toyota

Industries

Corp.

(30,500)

(2,423,259)

(44,952)

2.7

Toyota

Motor

Corp.

(44,700)

(3,449,505)

13,992

(0.8)

Unicharm

Corp.

(46,800)

(2,219,536)

18,516

(1.1)

Yamaha

Corp.

(42,700)

(2,516,069)

(137,660)

8.2

115

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Yaskawa

Electric

Corp.

(39,900)

(1,989,229)

(135,815)

8.1

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

EONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/13/2025

-

12/10/2025

$84,907,954

$(823,612)

$(94,605)

$(918,217)

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

Amundi

SA

11,704

953,898

2,142

(0.2)

Arkema

SA

9,991

1,143,189

(24,560)

2.7

Atos

SE

33,977

3,102,633

928

(0.1)

Bouygues

SA

38,410

1,579,726

(46,735)

5.1

Capgemini

SE

3,395

528,100

38,237

(4.2)

Carrefour

SA

149,737

2,564,160

20,667

(2.3)

Cie

de

Saint-Gobain

62,680

2,882,803

(125,762)

13.7

Cie

Generale

des

Etablissements

Michelin

SCA

18,983

2,444,191

(17,774)

1.9

CNP

Assurances

92,977

1,510,601

(3,773)

0.4

Dassault

Aviation

SA

603

656,621

(6,858)

0.7

Eiffage

SA

5,535

535,024

(12,529)

1.4

Electricite

de

France

SA

119,538

1,891,609

23,985

(2.6)

Engie

SA

38,867

595,832

(1,343)

0.1

Eutelsat

Communications

SA

145,520

1,646,190

(48,829)

5.3

Ipsen

SA

7,502

620,327

(7,590)

0.8

Legrand

SA

18,902

1,690,909

63,762

(6.9)

Orange

SA

160,836

1,914,757

(93,959)

10.2

Peugeot

SA

27,404

750,476

44,886

(4.9)

Publicis

Groupe

SA

55,853

2,775,971

34,845

(3.8)

Rexel

SA

122,613

1,935,244

118,877

(12.9)

Rubis

SCA

28,790

1,330,910

(5,082)

0.6

Sanofi

28,932

2,804,177

(76,190)

8.3

Societe

BIC

SA

10,742

607,665

(58,163)

6.3

Sodexo

SA

19,316

1,633,626

(98,907)

10.8

Luxembourg

SES

SA

80,930

759,544

(18,937)

2.1

Switzerland

STMicroelectronics

NV

26,793

991,227

10,968

(1.2)

116

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Aeroports

de

Paris

(13,573)

(1,756,029)

1,848

(0.2)

Airbus

SE

(13,844)

(1,519,299)

63,718

(6.9)

Alstom

SA

(33,351)

(1,899,643)

(62,300)

6.8

AXA

SA

(81,780)

(1,961,276)

20,374

(2.2)

Cie

Plastic

Omnium

SA

(28,204)

(970,439)

11,650

(1.3)

Dassault

Systemes

SE

(7,335)

(1,487,682)

(96,164)

10.5

Edenred

(17,863)

(1,014,462)

(2,373)

0.3

EssilorLuxottica

SA

(3,342)

(520,799)

6,372

(0.7)

Faurecia

SE

(17,390)

(891,005)

(20,662)

2.3

Getlink

SE

(44,345)

(767,222)

(20,163)

2.2

Iliad

SA

(9,479)

(1,945,701)

104,034

(11.3)

Kering

SA

(1,180)

(856,366)

(28,632)

3.1

L'Oreal

SA

(3,131)

(1,194,640)

(39,250)

4.3

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(7,239)

(4,531,624)

(126,963)

13.8

Orpea

SA

(14,923)

(1,956,884)

(26,996)

2.9

Pernod

Ricard

SA

(7,604)

(1,460,322)

(1,652)

0.2

Remy

Cointreau

SA

(13,960)

(2,605,717)

(134,343)

14.6

Renault

SA

(41,790)

(1,829,230)

35,224

(3.8)

Safran

SA

(4,830)

(684,575)

20,404

(2.2)

Suez

SA

(38,135)

(755,808)

(14,841)

1.6

TOTAL

SE

(82,248)

(3,550,007)

156,016

(17.0)

Valeo

SA

(39,545)

(1,559,824)

(29,164)

3.2

Worldline

SA

(38,175)

(3,708,630)

(292,242)

31.8

Luxembourg

Eurofins

Scientific

SE

(8,093)

(678,532)

(48,575)

5.3

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

(-0.16%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/13/2025

-

12/31/2025

$410,927,032

$(1,956,977)

$(31,481)

$(1,988,458)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alphabet,

Inc.

927

1,624,697

(23,379)

1.2

Amazon.com,

Inc.

975

3,175,507

146,494

(7.4)

Associated

Banc-Corp.

163,594

2,789,278

107,972

(5.4)

Autodesk,

Inc.

5,950

1,816,773

152,059

(7.6)

117

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Bank

of

New

York

Mellon

Corp.

(The)

44,589

1,892,357

73,572

(3.7)

Citigroup,

Inc.

33,647

2,074,674

91,183

(4.6)

Facebook,

Inc.

11,445

3,126,316

(54,478)

2.7

IDACORP,

Inc.

18,910

1,815,927

61,458

(3.1)

Intel

Corp.

69,300

3,452,526

(11,822)

0.6

Interpublic

Group

of

Cos.,

Inc.

(The)

67,805

1,594,774

(12,205)

0.6

Kimberly-Clark

Corp.

11,881

1,601,915

(11,049)

0.6

Lowe's

Cos.,

Inc.

10,782

1,730,619

4,097

(0.2)

ManpowerGroup

,

Inc.

19,741

1,780,243

592

(0.0)

Microsoft

Corp.

11,803

2,625,223

125,348

(6.3)

NorthWestern

Corp.

32,444

1,891,810

52,235

(2.6)

Popular,

Inc.

40,677

2,290,929

156,026

(7.8)

Qurate

Retail,

Inc.

146,942

1,611,954

126,370

(6.4)

Target

Corp.

16,717

2,951,052

41,124

(2.1)

Tyson

Foods,

Inc.

44,377

2,859,654

(201,738)

10.1

Short

Positions

Common

Stocks

United

States

Ameren

Corp.

(29,696)

(2,318,070)

(7,721)

0.4

American

Electric

Power

Co.,

Inc.

(20,437)

(1,701,789)

6,744

(0.3)

Aon

plc

(12,633)

(2,668,974)

(53,311)

2.7

Atmos

Energy

Corp.

(21,377)

(2,040,007)

49,595

(2.5)

Beyond

Meat,

Inc.

(16,274)

(2,034,250)

194,149

(9.8)

BlackRock,

Inc.

(2,744)

(1,979,906)

(55,587)

2.8

Burlington

Stores,

Inc.

(8,200)

(2,144,710)

(198,030)

10.0

CenterPoint

Energy,

Inc.

(117,067)

(2,533,330)

69,070

(3.5)

Charter

Communications,

Inc.

(4,188)

(2,770,571)

(73,164)

3.7

Church

&

Dwight

Co.,

Inc.

(26,324)

(2,296,243)

(20,796)

1.0

Commerce

Bancshares,

Inc.

(51,428)

(3,378,820)

(115,713)

5.8

Cree,

Inc.

(19,677)

(2,083,794)

(187,288)

9.4

Digital

Realty

Trust,

Inc.

(11,160)

(1,556,932)

(108,922)

5.5

Duke

Energy

Corp.

(20,093)

(1,839,715)

(3,416)

0.2

Edison

International

(28,853)

(1,812,545)

1,639

(0.1)

Erie

Indemnity

Co.

(9,332)

(2,291,939)

(168,349)

8.5

Expedia

Group,

Inc.

(17,150)

(2,270,660)

(64,019)

3.2

First

Financial

Bankshares

,

Inc.

(45,252)

(1,636,991)

(57,244)

2.9

First

Republic

Bank

(13,469)

(1,979,000)

(231,128)

11.6

Five

Below,

Inc.

(10,417)

(1,822,767)

(120,680)

6.1

Hain

Celestial

Group,

Inc.

(The)

(60,036)

(2,410,445)

(184,311)

9.3

LendingTree,

Inc.

(5,875)

(1,608,516)

(42,101)

2.1

Live

Nation

Entertainment,

Inc.

(28,654)

(2,105,496)

(92,266)

4.6

Lyft,

Inc.

(49,176)

(2,416,017)

(75,090)

3.8

PNC

Financial

Services

Group,

Inc.

(The)

(13,074)

(1,948,026)

(73,305)

3.7

Starbucks

Corp.

(15,181)

(1,624,063)

(99,891)

5.0

SVB

Financial

Group

(6,284)

(2,437,124)

(249,475)

12.5

Texas

Capital

Bancshares,

Inc.

(27,142)

(1,614,949)

(70,629)

3.6

Truist

Financial

Corp.

(42,097)

(2,017,709)

(2,105)

0.1

Visa,

Inc.

(11,100)

(2,427,903)

(101,565)

5.1

Xcel

Energy,

Inc.

(27,987)

(1,865,893)

(31,066)

1.6

118

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

(-2.83%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-62

months

maturity

ranging

from

01/21/2025

-

12/29/2025

$50,162,927

$(96,517)

$148

$(96,369)

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.

50,705

442,957

(52,897)

54.9

Atco

Ltd.

33,002

946,063

(11,280)

11.7

Canadian

Tire

Corp.

Ltd.

4,386

576,565

3,915

(4.1)

CI

Financial

Corp.

84,143

1,043,111

(26,259)

27.2

Empire

Co.

Ltd.

40,098

1,095,930

6,496

(6.7)

Finning

International,

Inc.

51,516

1,093,941

(38,993)

40.5

George

Weston

Ltd.

5,861

437,791

(11,712)

12.2

iA

Financial

Corp.,

Inc.

22,602

979,793

(8,881)

9.2

Keyera

Corp.

20,311

360,936

(13,040)

13.5

Kinross

Gold

Corp.

134,544

987,227

(26,320)

27.3

Linamar

Corp.

17,493

926,528

(31,632)

32.8

Magna

International,

Inc.

6,427

454,974

37,497

(38.9)

Manulife

Financial

Corp.

53,572

953,261

7,937

(8.2)

Methanex

Corp.

9,137

419,847

17,847

(18.5)

Open

Text

Corp.

9,249

420,270

(2,664)

2.8

Parkland

Corp.

12,067

382,894

(22,164)

23.0

Quebecor,

Inc.

17,836

459,036

(7,232)

7.5

Stantec

,

Inc.

17,569

569,761

10,104

(10.5)

TFI

International,

Inc.

15,226

783,848

(12,920)

13.4

Thomson

Reuters

Corp.

9,001

736,683

10,595

(11.0)

Tourmaline

Oil

Corp.

77,331

1,042,501

(26,383)

27.4

West

Fraser

Timber

Co.

Ltd.

17,711

1,137,879

(37,546)

39.0

Yamana

Gold,

Inc.

173,377

990,220

(29,840)

31.0

Chile

Lundin

Mining

Corp.

45,074

400,138

33,775

(35.0)

Ivory

Coast

Endeavour

Mining

Corp.

18,835

438,285

(17,412)

18.1

Kyrgyzstan

Centerra

Gold,

Inc.

61,108

707,622

(12,442)

12.9

United

States

BRP,

Inc.

13,697

904,848

(23,048)

23.9

119

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Brazil

Wheaton

Precious

Metals

Corp.

(21,512)

(898,404)

30,282

(31.4)

Canada

Air

Canada

(47,587)

(851,250)

32,326

(33.5)

Algonquin

Power

&

Utilities

Corp.

(25,999)

(427,904)

(5,804)

6.0

AltaGas

Ltd.

(48,905)

(719,225)

(768)

0.8

BlackBerry

Ltd.

(60,020)

(397,964)

84,098

(87.3)

Brookfield

Asset

Management,

Inc.

(38,379)

(1,586,537)

(21,155)

22.0

CAE,

Inc.

(29,688)

(822,606)

(52,491)

54.5

Cameco

Corp.

(104,549)

(1,400,393)

(27,651)

28.7

Canada

Goose

Holdings,

Inc.

(16,371)

(486,667)

29,747

(30.9)

Canopy

Growth

Corp.

(22,257)

(547,639)

35,207

(36.5)

Dollarama,

Inc.

(14,015)

(571,214)

25,628

(26.6)

Element

Fleet

Management

Corp.

(147,361)

(1,548,975)

(48,249)

50.1

Emera,

Inc.

(31,844)

(1,353,414)

7,149

(7.4)

Franco-Nevada

Corp.

(7,240)

(907,773)

81,276

(84.3)

Gildan

Activewear

,

Inc.

(27,887)

(779,714)

(18,603)

19.3

Innergex

Renewable

Energy,

Inc.

(37,791)

(812,585)

(62,879)

65.2

Intact

Financial

Corp.

(6,168)

(730,333)

2,894

(3.0)

Inter

Pipeline

Ltd.

(69,896)

(651,792)

55,943

(58.1)

Premium

Brands

Holdings

Corp.

(8,392)

(664,095)

12,137

(12.6)

Restaurant

Brands

International,

Inc.

(29,021)

(1,774,456)

28,403

(29.5)

Royal

Bank

of

Canada

(12,531)

(1,029,631)

(1,521)

1.6

Saputo,

Inc.

(35,405)

(991,028)

10,277

(10.7)

TMX

Group

Ltd.

(6,992)

(698,376)

5,793

(6.0)

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

EURIBOR

plus

or

minus

a

specified

spread

(-1.35%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/21/2025

-

12/24/2025

$39,676,671

$(31,104)

$16,660

$(14,444)

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

1,105,572

1,772,088

41,700

(288.7)

Assicurazioni

Generali

SpA

79,057

1,384,161

462

(3.2)

Azimut

Holding

SpA

8,061

175,199

2,227

(15.4)

Banca

Generali

SpA

39,297

1,314,319

18,909

(130.9)

Banco

BPM

SpA

979,781

2,173,885

8,797

(60.9)

120

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Buzzi

Unicem

SpA

78,601

1,876,419

(1,708)

11.8

DiaSorin

SpA

11

2,297

4

(0.0)

Enel

SpA

18,515

188,385

3,482

(24.1)

Hera

SpA

415,268

1,511,135

(3,995)

27.7

Italgas

SpA

217,197

1,383,548

18,187

(125.9)

Poste

Italiane

SpA

144,488

1,477,934

(3,223)

22.3

Prysmian

SpA

26,728

951,320

50,123

(347.0)

Telecom

Italia

SpA

2,429,648

1,127,721

14,413

(99.8)

UniCredit

SpA

146,838

1,375,784

(21,130)

146.3

Unipol

Gruppo

SpA

410,730

1,973,724

(2,332)

16.1

United

Kingdom

CNH

Industrial

NV

46,694

586,963

49,914

(345.6)

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(26,979)

(1,121,414)

(19,005)

131.6

Atlantia

SpA

(5,390)

(97,332)

(31)

0.2

Autogrill

SpA

(59,888)

(402,494)

5,808

(40.2)

Davide

Campari-Milano

NV

(167,517)

(1,920,136)

(23,004)

159.3

Eni

SpA

(83,788)

(874,723)

11,384

(78.8)

Ferrari

NV

(6,593)

(1,529,190)

(50,850)

352.0

FinecoBank

Banca

Fineco

SpA

(178,419)

(2,942,490)

(92,235)

638.6

Freni

Brembo

SpA

(78,480)

(1,040,516)

(5,904)

40.9

Infrastrutture

Wireless

Italiane

SpA

(119,700)

(1,451,061)

20,102

(139.2)

Leonardo

SpA

(138,686)

(1,002,447)

(10,351)

71.7

Mediobanca

Banca

di

Credito

Finanziario

SpA

(285,083)

(2,638,964)

(45,951)

318.1

Moncler

SpA

(5,957)

(366,240)

(9,998)

69.2

Nexi

SpA

(40,193)

(799,805)

6,882

(47.6)

Pirelli

&

C

SpA

(213,408)

(1,156,911)

64,570

(447.0)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(2,725)

(151,534)

(3,665)

25.4

Saipem

SpA

(648,446)

(1,760,208)

(37,936)

262.6

Salvatore

Ferragamo

SpA

(40,062)

(777,912)

(12,459)

86.3

Snam

SpA

(38,421)

(216,986)

(2,447)

16.9

Terna

Rete

Elettrica

Nazionale

SpA

(15,531)

(119,343)

(2,778)

19.2

United

States

Tenaris

SA

(3,959)

(32,083)

934

(6.5)

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

SIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-62

months

maturity

ranging

from

01/21/2025

-

12/10/2025

$6,839,426

$16,455

$8,927

$25,382

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

121

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

37,800

133,087

9,749

38.4

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,750,800

1,265,659

27,012

106.4

Singapore

ComfortDelGro

Corp.

Ltd.

858,900

1,088,306

(42,127)

(166.0)

Genting

Singapore

Ltd.

663,900

427,579

(9,336)

(36.8)

Jardine

Cycle

&

Carriage

Ltd.

47,700

706,671

(18,440)

(72.6)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(67,900)

(168,478)

522

2.1

City

Developments

Ltd.

(58,600)

(353,250)

4,084

16.1

DBS

Group

Holdings

Ltd.

(18,912)

(358,396)

551

2.2

Keppel

Corp.

Ltd.

(155,300)

(632,442)

(1,447)

(5.7)

SATS

Ltd.

(73,500)

(221,769)

9,488

37.4

Singapore

Airlines

Ltd.

(248,800)

(807,288)

23,787

93.7

Singapore

Technologies

Engineering

Ltd.

(168,600)

(487,941)

10,777

42.5

Singapore

Telecommunications

Ltd.

(62,800)

(109,658)

1,196

4.7

United

Overseas

Bank

Ltd.

(2,300)

(39,202)

562

2.2

Venture

Corp.

Ltd.

(2,700)

(39,700)

77

0.3

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

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-4.96%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-62

months

maturity

ranging

from

01/22/2025

-

12/31/2025

$193,632,453

$208,030

$(185,585)

$22,445

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AGCO

Corp.

20,586

2,122,211

67,728

301.8

Alexion

Pharmaceuticals,

Inc.

9,368

1,463,656

(15,832)

(70.5)

Apple,

Inc.

12,221

1,621,604

42,835

190.8

Arrow

Electronics,

Inc.

29,995

2,918,514

(56,991)

(253.9)

Avnet,

Inc.

44,027

1,545,788

70,003

311.9

Cardinal

Health,

Inc.

41,944

2,246,521

(27,683)

(123.3)

Cisco

Systems,

Inc.

50,166

2,244,928

(3,467)

(15.4)

Crane

Co.

19,890

1,544,657

4,177

18.6

122

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Hill-Rom

Holdings,

Inc.

12,053

1,180,832

(10,486)

(46.7)

HP,

Inc.

63,807

1,569,014

23,609

105.2

Huntington

Ingalls

Industries,

Inc.

7,422

1,265,303

74

0.3

Jabil,

Inc.

36,819

1,565,912

(57,438)

(255.9)

Johnson

&

Johnson

7,513

1,182,396

28,249

125.9

Johnson

Controls

International

plc

43,310

2,017,813

6,063

27.0

McKesson

Corp.

6,739

1,172,047

6,806

30.3

Medtronic

plc

12,349

1,446,562

22,228

99.0

Merck

&

Co.,

Inc.

18,129

1,482,952

35,895

159.9

PRA

Health

Sciences,

Inc.

9,389

1,177,756

38,119

169.8

Quanta

Services,

Inc.

20,190

1,454,084

64,501

287.4

Regal

Beloit

Corp.

12,749

1,565,705

65,402

291.4

SYNNEX

Corp.

23,287

1,896,493

(46,757)

(208.3)

Timken

Co.

(The)

17,998

1,392,325

20,338

90.6

United

Therapeutics

Corp.

9,040

1,372,182

30,284

134.9

Universal

Health

Services,

Inc.

8,331

1,145,512

(18,578)

(82.8)

Vertex

Pharmaceuticals,

Inc.

5,748

1,358,482

(3,334)

(14.9)

Vishay

Intertechnology

,

Inc.

89,325

1,849,921

40,196

179.1

World

Fuel

Services

Corp.

58,455

1,821,458

4,092

18.2

Short

Positions

Common

Stocks

United

States

Adaptive

Biotechnologies

Corp.

(20,569)

(1,216,245)

(33,527)

(149.4)

Arista

Networks,

Inc.

(4,126)

(1,198,892)

(21,455)

(95.6)

Baker

Hughes

Co.

(64,371)

(1,342,135)

41,841

186.4

Boeing

Co.

(The)

(8,979)

(1,922,045)

63,038

280.9

Cognex

Corp.

(18,693)

(1,500,768)

(9,253)

(41.2)

Deere

&

Co.

(5,457)

(1,468,206)

(24,666)

(109.9)

Elanco

Animal

Health,

Inc.

(60,024)

(1,840,936)

(10,804)

(48.1)

Exact

Sciences

Corp.

(8,801)

(1,166,044)

31,244

139.2

GATX

Corp.

(14,883)

(1,237,968)

(1,339)

(6.0)

HealthEquity

,

Inc.

(23,612)

(1,645,993)

(98,394)

(438.4)

Hess

Corp.

(31,520)

(1,663,941)

122,299

544.9

Honeywell

International,

Inc.

(9,271)

(1,971,942)

(8,643)

(38.5)

II-VI,

Inc.

(31,484)

(2,391,525)

(82,172)

(366.1)

Ingersoll

Rand,

Inc.

(39,865)

(1,816,249)

(4,784)

(21.3)

Intuitive

Surgical,

Inc.

(1,700)

(1,390,770)

(65,144)

(290.2)

Jacobs

Engineering

Group,

Inc.

(11,593)

(1,263,173)

(22,722)

(101.2)

Ligand

Pharmaceuticals,

Inc.

(11,470)

(1,140,692)

14,108

62.9

Littelfuse

,

Inc.

(4,864)

(1,238,666)

(19,067)

(84.9)

Occidental

Petroleum

Corp.

(72,353)

(1,252,430)

135,301

602.8

Pure

Storage,

Inc.

(53,746)

(1,215,197)

(16,124)

(71.8)

Trex

Co.,

Inc.

(30,749)

(2,574,306)

(37,514)

(167.1)

Trinity

Industries,

Inc.

(52,815)

(1,393,788)

(35,396)

(157.7)

Woodward,

Inc.

(10,942)

(1,329,781)

(38,015)

(169.4)

123

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

(-1.50%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

5-40

months

maturity

05/12/2021

$50,582,460

$(222,603)

$(8,050)

$(230,653)

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

37,404

815,012

13,154

(5.7)

Switzerland

Adecco

Group

AG

(Registered)

50,674

3,375,059

(24,234)

10.5

Belimo

Holding

AG

(Registered)

5

43,438

1,253

(0.5)

BKW

AG

5,489

618,503

12,321

(5.3)

Bucher

Industries

AG

(Registered)

543

249,054

4,420

(1.9)

Cie

Financiere

Richemont

SA

(Registered)

1,023

92,420

(939)

0.4

Credit

Suisse

Group

AG

(Registered)

221,036

2,853,769

29,526

(12.8)

DKSH

Holding

AG

4,544

340,445

8,377

(3.6)

dormakaba

Holding

AG

2,005

1,138,468

29,419

(12.8)

Galenica

AG

8,281

549,945

2,475

(1.1)

Geberit

AG

(Registered)

642

401,873

13,249

(5.7)

Helvetia

Holding

AG

(Registered)

5,354

565,514

11,743

(5.1)

Kuehne

+

Nagel

International

AG

(Registered)

660

149,766

(836)

0.4

LafargeHolcim

Ltd.

(Registered)

58,264

3,197,983

40,525

(17.6)

Novartis

AG

(Registered)

17,694

1,666,031

36,559

(15.9)

OC

Oerlikon

Corp.

AG

(Registered)

45,352

470,563

17,707

(7.7)

Roche

Holding

AG

7,755

2,701,055

(3,980)

1.7

Sonova

Holding

AG

(Registered)

8,529

2,218,338

37,710

(16.3)

Sulzer

AG

(Registered)

2,809

297,070

(5,817)

2.5

Swatch

Group

AG

(The)

2,449

665,744

5,827

(2.5)

Swiss

Life

Holding

AG

(Registered)

1,326

618,540

5,842

(2.5)

Tecan

Group

AG

(Registered)

496

243,279

17,037

(7.4)

UBS

Group

AG

(Registered)

44,336

624,244

(1,577)

0.7

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(31,371)

(879,932)

(23,347)

10.1

Alcon,

Inc.

(27,225)

(1,807,635)

(52,600)

22.8

Bachem

Holding

AG

(Registered)

(756)

(338,095)

(22,442)

9.7

Baloise

Holding

AG

(Registered)

(794)

(141,072)

557

(0.2)

Barry

Callebaut

AG

(Registered)

(380)

(905,590)

(19,589)

8.5

Chocoladefabriken

Lindt

&

Spruengli

AG

(100)

(974,725)

(17,379)

7.5

Clariant

AG

(Registered)

(19,798)

(420,034)

(8,419)

3.7

Dufry

AG

(Registered)

(42,446)

(2,673,887)

(73,115)

31.7

124

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

EMS-

Chemie

Holding

AG

(Registered)

(1,092)

(1,050,463)

(20,899)

9.1

Flughafen

Zurich

AG

(Registered)

(2,848)

(502,505)

2,400

(1.0)

Givaudan

SA

(Registered)

(163)

(689,624)

(14,248)

6.2

Idorsia

Ltd.

(56,629)

(1,634,158)

(19,658)

8.5

Logitech

International

SA

(Registered)

(363)

(35,245)

(1,518)

0.7

Lonza

Group

AG

(Registered)

(636)

(409,690)

(8,469)

3.7

Partners

Group

Holding

AG

(818)

(961,184)

(25,443)

11.0

Schindler

Holding

AG

(1,349)

(364,821)

3,335

(1.4)

SIG

Combibloc

Group

AG

(4,412)

(102,726)

(4,095)

1.8

Sika

AG

(Registered)

(10,929)

(2,979,172)

(57,845)

25.1

Straumann

Holding

AG

(Registered)

(1,693)

(1,983,216)

(20,872)

9.0

Swiss

Re

AG

(15,794)

(1,488,003)

1,517

(0.7)

Swisscom

AG

(Registered)

(1,252)

(674,249)

(8,814)

3.8

Temenos

AG

(Registered)

(20,877)

(2,908,784)

(9,850)

4.3

VAT

Group

AG

(384)

(96,118)

(3,022)

1.3

Vifor

Pharma

AG

(9,695)

(1,523,789)

(56,262)

24.4

Zurich

Insurance

Group

AG

(2,709)

(1,141,630)

(12,287)

5.3

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

CIBOR

plus

or

minus

a

specified

spread

(-0.66%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-37

months

maturity

02/12/2021

$29,204,129

$(299,896)

$(35,340)

$(335,236)

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

572

1,272,844

(1,540)

0.5

Carlsberg

A/S

24,051

3,855,674

37,316

(11.1)

Coloplast

A/S

4,888

747,516

4,702

(1.4)

Demant

A/S

3,203

126,601

4,512

(1.3)

FLSmidth

&

Co.

A/S

20,699

791,510

34,907

(10.4)

Genmab

A/S

3,440

1,394,899

17,386

(5.2)

GN

Store

Nord

A/S

6,247

497,974

(3,186)

1.0

H

Lundbeck

A/S

24,657

844,109

(11,117)

3.3

Novo

Nordisk

A/S

8,005

558,422

(16,325)

4.9

Pandora

A/S

37,316

4,176,326

334,791

(99.9)

ROCKWOOL

International

A/S

2,816

1,053,905

70,311

(21.0)

Royal

Unibrew

A/S

1,766

204,501

7,671

(2.3)

125

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(47,166)

(2,026,223)

(338,645)

101.0

Chr

Hansen

Holding

A/S

(26,465)

(2,734,409)

(103,965)

31.0

DSV

Panalpina

A/S

(10,338)

(1,737,423)

(37,135)

11.1

ISS

A/S

(109,399)

(1,881,841)

50,280

(15.0)

Novozymes

A/S

(22,868)

(1,302,560)

(16,681)

5.0

Orsted

A/S

(10,451)

(2,138,330)

(238,817)

71.2

SimCorp

A/S

(4,795)

(712,903)

(40,039)

11.9

Tryg

A/S

(22,104)

(695,197)

(13,905)

4.1

Vestas

Wind

Systems

A/S

(1,909)

(450,962)

(40,417)

12.1

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

(-4.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-49

months

maturity

12/16/2021

$149,327,210

$(1,163,362)

$106,476

$(1,056,886)

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

40,794

2,166,451

(11,727)

1.1

Finland

Kone

OYJ

15,428

1,257,076

6,293

(0.6)

Nokia

OYJ

609,185

2,352,870

(95,232)

9.0

UPM-

Kymmene

OYJ

43,136

1,608,612

18,700

(1.8)

Valmet

OYJ

48,170

1,384,911

65,475

(6.2)

Germany

Aurubis

AG

21,126

1,648,644

14,935

(1.4)

Bayer

AG

(Registered)

29,570

1,742,004

(31,541)

3.0

Bayerische

Motoren

Werke

AG

21,805

1,924,435

(41,183)

3.9

Brenntag

AG

16,393

1,274,745

(19,530)

1.8

Continental

AG

14,604

2,173,590

77,752

(7.4)

Deutsche

Post

AG

(Registered)

36,368

1,801,517

(40,305)

3.8

Fresenius

Medical

Care

AG

&

Co.

KGaA

31,191

2,600,936

(31,522)

3.0

HOCHTIEF

AG

22,336

2,173,552

39,264

(3.7)

HUGO

BOSS

AG

69,968

2,324,959

(81,568)

7.7

LANXESS

AG

18,731

1,424,505

(25,108)

2.4

Scout24

AG

19,356

1,581,653

(27,151)

2.6

Software

AG

37,738

1,537,062

(30,678)

2.9

Uniper

SE

36,769

1,274,040

(11,823)

1.1

126

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

ASM

International

NV

11,471

2,503,215

133,143

(12.6)

ASR

Nederland

NV

37,931

1,517,660

27,715

(2.6)

Koninklijke

Ahold

Delhaize

NV

145,123

4,094,114

(35,424)

3.4

Randstad

NV

35,825

2,319,049

(76,108)

7.2

Signify

NV

70,646

2,966,157

(7,398)

0.7

Spain

Enagas

SA

87,262

1,919,741

(153,741)

14.5

Endesa

SA

108,157

2,966,630

(41,223)

3.9

Red

Electrica

Corp.

SA

101,313

2,080,065

16,009

(1.5)

Repsol

SA

125,687

1,266,186

(6,039)

0.6

United

Kingdom

Dialog

Semiconductor

plc

28,192

1,536,268

112,905

(10.7)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(18,919)

(1,319,917)

38,339

(3.6)

Umicore

SA

(37,772)

(1,815,514)

(5,752)

0.5

Finland

Neste

OYJ

(25,285)

(1,835,786)

(51,575)

4.9

Sampo

OYJ

(76,468)

(3,269,279)

(16,999)

1.6

Germany

adidas

AG

(7,811)

(2,841,681)

(26,221)

2.5

Beiersdorf

AG

(11,915)

(1,369,744)

(5,574)

0.5

CTS

Eventim

AG

&

Co.

KGaA

(33,694)

(2,252,151)

(87,186)

8.2

Delivery

Hero

SE

(10,015)

(1,566,236)

(103,437)

9.8

Deutsche

Lufthansa

AG

(Registered)

(149,876)

(1,983,131)

(216,946)

20.5

E.ON

SE

(188,450)

(2,086,752)

5,356

(0.5)

Evotec

SE

(79,944)

(2,954,081)

(194,682)

18.4

MTU

Aero

Engines

AG

(5,139)

(1,339,579)

(55,443)

5.2

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

(5,927)

(1,761,067)

47,163

(4.5)

Rational

AG

(1,775)

(1,651,258)

(88,517)

8.4

Stroeer

SE

&

Co.

KGaA

(12,225)

(1,208,124)

(28,141)

2.7

thyssenkrupp

AG

(166,424)

(1,649,110)

(43,944)

4.2

Netherlands

Heineken

NV

(36,540)

(4,071,978)

(70,437)

6.7

OCI

NV

(84,215)

(1,620,218)

12,510

(1.2)

SBM

Offshore

NV

(190,000)

(3,589,456)

42,424

(4.0)

Spain

Amadeus

IT

Group

SA

(35,845)

(2,645,980)

(5,184)

0.5

Cellnex

Telecom

SA

(66,211)

(3,976,167)

65,795

(6.2)

Ferrovial

SA

(74,937)

(2,072,044)

84,351

(8.0)

127

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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.

7-37

months

maturity

02/12/2021

$14,068,185

$(78,947)

$(2,493)

$(81,440)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yara

International

ASA

72,867

3,022,928

20,152

(24.7)

Norway

Leroy

Seafood

Group

ASA

107,281

756,918

34,246

(42.1)

Norsk

Hydro

ASA

148,031

688,948

(6,125)

7.5

Orkla

ASA

151,343

1,536,500

40,460

(49.7)

Salmar

ASA

12,080

707,776

37,808

(46.4)

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(14,443)

(1,031,168)

(87,344)

107.2

France

Adevinta

ASA

(15,310)

(257,362)

(7,188)

8.8

Norway

Equinor

ASA

(127,056)

(2,144,259)

20,596

(25.3)

Gjensidige

Forsikring

ASA

(40,771)

(909,983)

(23,990)

29.5

Mowi

ASA

(46,019)

(1,025,119)

(46,226)

56.8

TOMRA

Systems

ASA

(21,914)

(1,078,069)

(62,219)

76.4

United

Kingdom

Subsea

7

SA

(88,484)

(909,155)

883

(1.1)

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

STIBOR

plus

or

minus

a

specified

spread

(-1.13%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-37

months

maturity

02/12/2021

$40,373,701

$(9,404)

$(35,883)

$(45,287)

128

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

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

17,666

487,873

7,718

(17.0)

Axfood

AB

1,729

40,278

96

(0.2)

Boliden

AB

17,057

605,137

16,429

(36.3)

Electrolux

AB

54,337

1,264,255

(11,486)

25.4

Epiroc

AB

15,640

284,253

39

(0.1)

Essity

AB

28,397

914,928

2,352

(5.2)

Evolution

Gaming

Group

AB

4,025

404,652

18,894

(41.7)

Getinge

AB

137,123

3,208,909

90,829

(200.6)

Hennes

&

Mauritz

AB

9,679

203,182

(6,048)

13.4

Hexpol

AB

13,017

139,369

(512)

1.1

Holmen

AB

1,555

74,571

552

(1.2)

Husqvarna

AB

93,907

1,218,720

10,440

(23.1)

Sandvik

AB

57,684

1,422,693

1,207

(2.7)

Securitas

AB

65,535

1,057,316

(14,045)

31.0

Skanska

AB

60,457

1,540,688

23,952

(52.9)

SKF

AB

42,818

1,114,093

(6,574)

14.5

Svenska

Handelsbanken

AB

128,447

1,294,750

10,977

(24.2)

Swedish

Match

AB

11,326

881,398

(55)

0.1

Swedish

Orphan

Biovitrum

AB

65,282

1,313,760

(17,738)

39.2

Telefonaktiebolaget

LM

Ericsson

112,635

1,339,845

(28,630)

63.2

Trelleborg

AB

76,648

1,702,506

(6,241)

13.8

Volvo

AB

26,608

629,894

(4,331)

9.6

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(43,463)

(1,709,658)

64,666

(142.8)

Finland

Nordea

Bank

Abp

(55,129)

(451,804)

14,720

(32.5)

Sweden

AAK

AB

(27,383)

(553,691)

5,270

(11.6)

Assa

Abloy

AB

(9,958)

(246,082)

(2,723)

6.0

Atlas

Copco

AB

(63,061)

(3,241,109)

44,884

(99.1)

BillerudKorsnas

AB

(44,241)

(778,593)

8,747

(19.3)

Elekta

AB

(56,229)

(753,302)

11,013

(24.3)

Embracer

Group

AB

(991)

(23,583)

(1,056)

2.3

EQT

AB

(76,953)

(1,953,350)

(163,292)

360.6

Hexagon

AB

(12,992)

(1,191,133)

(49,684)

109.7

Indutrade

AB

(13,432)

(287,530)

(5,699)

12.6

Lifco

AB

(1,800)

(172,209)

(5,252)

11.6

Nibe

Industrier

AB

(25,464)

(835,061)

(26,123)

57.7

Saab

AB

(35,771)

(1,040,799)

8,021

(17.7)

Sinch

AB

(132)

(21,467)

(2,332)

5.1

Skandinaviska

Enskilda

Banken

AB

(38,814)

(399,687)

(1,453)

3.2

SSAB

AB

(220,172)

(780,484)

29,215

(64.5)

Svenska

Cellulosa

AB

SCA

(178,987)

(3,129,433)

(44,325)

97.9

Sweco

AB

(20,523)

(376,656)

13,694

(30.2)

Swedbank

AB

(15,110)

(265,035)

(2,222)

4.9

Tele2

AB

(34,961)

(462,464)

5,781

(12.8)

Telia

Co.

AB

(134,993)

(557,501)

921

(2.0)

129

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Cash

$

(430,018)

$

–

$

(430,018)

BARC

Cash

–

729,378

729,378

U.S.

Treasury

Bills

–

9,127,219

9,127,219

CITI

Cash

(770,051)

–

(770,051)

Investment

Companies

997,993

–

997,993

DTBK

Cash

34,767,001

–

34,767,001

GSIN

U.S.

Treasury

Bills

27,619,565

–

27,619,565

JPMC

Investment

Companies

22,660,147

–

22,660,147

MSIP

U.S.

Treasury

Bills

19,743,053

–

19,743,053

130

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

108.9%

COMMON

STOCKS

-

27.8%

Australia

-

0.8%

Afterpay

Ltd.

(2)*

249

22,636

Ansell

Ltd.

(2)

215

5,747

Aurizon

Holdings

Ltd.

(2)

38,644

116,103

BHP

Group

Ltd.

(2)

2,222

72,603

BHP

Group

plc

(2)

755

19,935

BlueScope

Steel

Ltd.

(2)

13,270

179,209

CIMIC

Group

Ltd.

(2)*

331

6,226

Coles

Group

Ltd.

(2)

454

6,343

Fortescue

Metals

Group

Ltd.

(2)

20,752

374,831

Harvey

Norman

Holdings

Ltd.

(2)

11,922

43,084

JB

Hi-Fi

Ltd.

(2)

2,301

86,391

Rio

Tinto

plc

(2)

328

24,690

South32

Ltd.

(2)

23,153

44,249

Suncorp

Group

Ltd.

(2)

1,062

7,992

Worley

Ltd.

(2)

3,112

27,487

1,037,526

—

Austria

-

0.0%

(a)

ams

AG

(2)*

2,069

45,082

Belgium

-

0.0%

(a)

Ageas

SA/NV

(2)

466

24,748

Etablissements

Franz

Colruyt

NV

(2)

103

6,099

Proximus

SADP

(2)

311

6,143

36,990

—

Brazil

-

0.1%

Yara

International

ASA

(2)

4,213

174,779

Canada

-

0.9%

Agnico

Eagle

Mines

Ltd.

163

11,472

Bank

of

Nova

Scotia

(The)

688

37,186

Barrick

Gold

Corp.

1,242

28,296

Canadian

Tire

Corp.

Ltd.,

Class

A

455

59,812

Cenovus

Energy,

Inc.

17,551

106,859

CGI,

Inc.

*

252

19,993

Constellation

Software,

Inc.

4

5,194

Keyera

Corp.

3,956

70,300

Kinross

Gold

Corp.

32,824

240,850

Magna

International,

Inc.

182

12,884

Manulife

Financial

Corp.

6,727

119,700

Nutrien

Ltd.

490

23,574

Onex

Corp.

4,899

281,186

Parkland

Corp.

89

2,824

Shopify,

Inc.,

Class

A

*

54

60,975

Suncor

Energy,

Inc.

2,159

36,212

Teck

Resources

Ltd.,

Class

B

5,205

94,458

Topicus.com,

Inc.

(2)*

7

28

Toronto-Dominion

Bank

(The)

230

12,995

WSP

Global,

Inc.

76

7,200

Yamana

Gold,

Inc.

8,557

48,872

1,280,870

—

China

-

0.1%

Yangzijiang

Shipbuilding

Holdings

Ltd.

(2)

234,500

169,521

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

0.4%

AP

Moller

-

Maersk

A/S,

Class

B

(2)

43

95,686

Genmab

A/S

(2)*

119

48,254

Novo

Nordisk

A/S,

Class

B

(2)

1,055

73,596

Pandora

A/S

(2)(b)

3,102

347,169

564,705

—

Finland

-

0.3%

Huhtamaki

OYJ

(2)

269

13,950

Kone

OYJ,

Class

B

(2)

128

10,429

Nokia

OYJ

(2)*

31,477

121,574

Nokian

Renkaat

OYJ

(2)

162

5,706

Orion

OYJ,

Class

B

(2)

2,783

127,837

UPM-Kymmene

OYJ

(2)

943

35,166

Valmet

OYJ

(2)

2,110

60,664

375,326

—

France

-

0.8%

Atos

SE

(2)*

2,547

232,580

BNP

Paribas

SA

(2)*

836

44,134

Cie

de

Saint-Gobain

(2)

1,550

71,288

Cie

Generale

des

Etablissements

Michelin

SCA

(2)

221

28,455

Electricite

de

France

SA

(2)

7,416

117,353

Eutelsat

Communications

SA

(2)

2,282

25,815

Ipsen

SA

(2)

107

8,848

Orange

SA

(2)

1,612

19,191

Peugeot

SA

(2)*(b)

7,960

217,990

Publicis

Groupe

SA

(2)

447

22,217

Rexel

SA

(2)*

7,178

113,293

Rubis

SCA

(2)

715

33,053

Sanofi

(2)

443

42,937

SEB

SA

(2)

181

32,912

Societe

BIC

SA

(2)

1,126

63,697

Sodexo

SA

(2)

322

27,233

1,100,996

—

Germany

-

0.9%

Aurubis

AG

(2)

2,481

193,613

Bayer

AG

(Registered)

(2)(b)

1,581

93,139

Bayerische

Motoren

Werke

AG

(2)

1,228

108,379

Brenntag

AG

(2)

184

14,308

Continental

AG

(2)

418

62,213

Daimler

AG

(Registered)

(2)

108

7,655

Deutsche

Post

AG

(Registered)

(2)

245

12,136

Fresenius

Medical

Care

AG

&

Co.

KGaA

(2)

1,023

85,305

GEA

Group

AG

(2)

206

7,368

HeidelbergCement

AG

(2)

1,436

106,918

HelloFresh

SE

(2)*

1,212

93,751

HOCHTIEF

AG

(2)

666

64,810

HUGO

BOSS

AG

(2)

1,562

51,904

LANXESS

AG

(2)

337

25,629

METRO

AG

(2)

546

6,133

MorphoSys

AG

(2)*

28

3,274

ProSiebenSat.1

Media

SE

(2)*

1,689

28,436

Rheinmetall

AG

(2)

664

70,303

Software

AG

(2)

554

22,564

Volkswagen

AG

(Preference)

(2)

886

165,579

1,223,417

—

131

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

0.3%

CK

Asset

Holdings

Ltd.

(2)

7,500

38,377

Hong

Kong

Exchanges

&

Clearing

Ltd.

(2)

800

43,881

Kerry

Properties

Ltd.

(2)

48,000

121,405

Swire

Pacific

Ltd.,

Class

A

(2)

3,500

19,279

WH

Group

Ltd.

(2)(c)

187,000

156,810

Yue

Yuen

Industrial

Holdings

Ltd.

(2)

5,000

10,414

390,166

—

Italy

-

0.3%

A2A

SpA

(2)

62,289

99,841

Banca

Generali

SpA

(2)

406

13,579

Banco

BPM

SpA

(2)

49,701

110,274

Buzzi

Unicem

SpA

(2)

816

19,480

Hera

SpA

(2)

3,242

11,797

Poste

Italiane

SpA

(2)(c)

4,804

49,139

Prysmian

SpA

(2)

445

15,839

Telecom

Italia

SpA

(2)

25,707

11,932

Unipol

Gruppo

SpA

(2)*

25,530

122,682

454,563

—

Japan

-

1.6%

Aisin

Seiki

Co.

Ltd.

(2)

600

17,994

Alfresa

Holdings

Corp.

(2)

800

14,663

Alps

Alpine

Co.

Ltd.

(2)

1,300

17,153

Benesse

Holdings,

Inc.

(2)

900

17,583

Brother

Industries

Ltd.

(2)

3,500

72,252

Calbee,

Inc.

(2)

1,100

33,159

Daicel

Corp.

(2)

1,100

8,040

Electric

Power

Development

Co.

Ltd.

(2)

600

8,280

ENEOS

Holdings,

Inc.

(2)

9,600

34,480

Fujitsu

Ltd.

(2)

400

57,814

GungHo

Online

Entertainment,

Inc.

(2)

3,630

81,273

Hitachi

Ltd.

(2)

1,200

47,363

Honda

Motor

Co.

Ltd.

(2)

1,200

33,860

Hoya

Corp.

(2)

500

69,247

Japan

Post

Insurance

Co.

Ltd.

(2)

2,300

47,159

JGC

Holdings

Corp.

(2)

2,800

26,225

Kajima

Corp.

(2)

400

5,366

Kaken

Pharmaceutical

Co.

Ltd.

(2)

200

7,729

Kamigumi

Co.

Ltd.

(2)

5,000

91,343

Kinden

Corp.

(2)

600

9,771

Koito

Manufacturing

Co.

Ltd.

(2)

200

13,611

K's

Holdings

Corp.

(2)

2,100

29,261

Mabuchi

Motor

Co.

Ltd.

(2)

500

21,810

Marubeni

Corp.

(2)

4,400

29,315

Mebuki

Financial

Group,

Inc.

(2)

12,000

23,644

Medipal

Holdings

Corp.

(2)

300

5,642

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

3,900

89,682

Nexon

Co.

Ltd.

(2)

1,100

33,940

NGK

Spark

Plug

Co.

Ltd.

(2)

1,500

25,615

Nifco,

Inc.

(2)

300

11,765

Nintendo

Co.

Ltd.

(2)

300

192,583

Nitto

Denko

Corp.

(2)

900

80,622

NS

Solutions

Corp.

(2)

800

23,565

Obayashi

Corp.

(2)

7,300

63,032

INVESTMENTS

SHARES

VALUE

($)

Japan

-

1.6%

(continued)

Panasonic

Corp.

(2)

2,400

27,977

Renesas

Electronics

Corp.

(2)*

1,400

14,654

Resona

Holdings,

Inc.

(2)

8,200

28,706

Ricoh

Co.

Ltd.

(2)

3,300

21,700

Rohm

Co.

Ltd.

(2)

200

19,388

Rohto

Pharmaceutical

Co.

Ltd.

(2)

1,800

53,352

Sankyo

Co.

Ltd.

(2)

1,600

43,292

Sankyu,

Inc.

(2)

600

22,689

SCREEN

Holdings

Co.

Ltd.

(2)

300

22,123

Shimamura

Co.

Ltd.

(2)

100

10,507

Shimizu

Corp.

(2)

4,400

32,029

Shinsei

Bank

Ltd.

(2)

7,900

97,596

Sojitz

Corp.

(2)

2,200

4,913

Sony

Corp.

(2)

300

30,230

Subaru

Corp.

(2)

2,000

40,018

SUMCO

Corp.

(2)

1,100

24,154

Sumitomo

Forestry

Co.

Ltd.

(2)

500

10,460

Sumitomo

Rubber

Industries

Ltd.

(2)

700

6,023

Suzuken

Co.

Ltd.

(2)

700

25,322

Taiheiyo

Cement

Corp.

(2)

2,600

65,128

Taisei

Corp.

(2)

200

6,900

Teijin

Ltd.

(2)

2,100

39,518

Tokyo

Electric

Power

Co.

Holdings,

Inc.

(2)*

11,000

29,055

Toshiba

Corp.

(2)

1,800

50,415

Tosoh

Corp.

(2)

1,500

23,436

Toyo

Seikan

Group

Holdings

Ltd.

(2)

1,100

12,047

Toyota

Boshoku

Corp.

(2)

2,500

40,602

Yokohama

Rubber

Co.

Ltd.

(The)

(2)

400

5,959

2,153,034

—

Luxembourg

-

0.0%

(a)

SES

SA,

FDR

(2)

1,545

14,500

Netherlands

-

0.7%

ASM

International

NV

(2)

923

201,418

ASML

Holding

NV

(2)

168

81,342

ASR

Nederland

NV

(2)

1,418

56,736

ING

Groep

NV

(2)

5,135

47,744

Koninklijke

Ahold

Delhaize

NV

(2)

(b)

9,051

255,340

NXP

Semiconductors

NV

200

31,802

Randstad

NV

(2)*

1,416

91,662

Royal

Dutch

Shell

plc,

Class

B

(2)

2,989

50,660

Signify

NV

(2)*(c)

3,108

130,493

947,197

—

Norway

-

0.0%

(a)

Leroy

Seafood

Group

ASA

(2)

1,700

11,994

Orkla

ASA

(2)

635

6,447

18,441

—

Russia

-

0.1%

Evraz

plc

(2)

16,596

106,064

132

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

0.0%

(a)

City

Developments

Ltd.

(2)

3,000

18,084

Jardine

Cycle

&

Carriage

Ltd.

(2)

600

8,889

Venture

Corp.

Ltd.

(2)

2,000

29,408

56,381

—

South

Africa

-

0.0%

(a)

Anglo

American

plc

(2)

700

23,115

Investec

plc

(2)

2,891

7,430

30,545

—

Spain

-

0.1%

Bankia

SA

(2)

14,982

26,670

Enagas

SA

(2)

242

5,324

Mapfre

SA

(2)

3,649

7,131

Repsol

SA

(2)

3,429

34,544

73,669

—

Sweden

-

0.4%

Autoliv,

Inc.

270

24,867

Electrolux

AB,

Series

B

(2)

1,763

41,020

Evolution

Gaming

Group

AB

(2)(c)

301

30,261

Getinge

AB,

Class

B

(2)

10,951

256,271

Husqvarna

AB,

Class

B

(2)

4,742

61,541

Sandvik

AB

(2)*

315

7,769

Svenska

Handelsbanken

AB,

Class

A

(2)*

9,198

92,716

Swedish

Orphan

Biovitrum

AB

(2)*

634

12,759

Telefonaktiebolaget

LM

Ericsson,

Class

B

(2)

1,636

19,461

Trelleborg

AB,

Class

B

(2)*

762

16,926

563,591

—

Switzerland

-

0.7%

Adecco

Group

AG

(Registered)

(2)

1,480

98,573

BKW

AG

(2)

70

7,888

Credit

Suisse

Group

AG

(Registered)

(2)

9,147

118,096

LafargeHolcim

Ltd.

(Registered)

(2)*

1,895

104,012

Logitech

International

SA

(Registered)

(2)

429

41,654

Novartis

AG

(Registered)

(2)

1,495

140,766

Roche

Holding

AG

(2)(b)

1,088

378,949

Swatch

Group

AG

(The)

(2)

154

41,864

UBS

Group

AG

(Registered)

(2)

1,094

15,403

947,205

—

United

Kingdom

-

1.6%

Aggreko

plc

(2)

14,892

127,656

ASOS

plc

(2)*

739

48,160

Associated

British

Foods

plc

(2)*

1,282

39,581

Avast

plc

(2)(c)

801

5,882

Aviva

plc

(2)

47,084

209,431

Barclays

plc

(2)

7,014

14,071

Bellway

plc

(2)

2,302

92,938

boohoo

Group

plc

(2)*

20,382

95,679

BT

Group

plc

(2)*

65,948

118,869

CK

Hutchison

Holdings

Ltd.

(2)

26,500

185,019

Dialog

Semiconductor

plc

(2)*

3,236

176,339

Dunelm

Group

plc

(2)

2,007

33,229

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

1.6%

(continued)

Entain

plc

(2)

2,869

44,500

Fiat

Chrysler

Automobiles

NV

(2)*

837

15,121

Inchcape

plc

(2)

8,903

78,375

JD

Sports

Fashion

plc

(2)*

3,445

40,473

Kingfisher

plc

(2)*

30,608

113,101

M&G

plc

(2)

28,817

77,782

Man

Group

plc

(2)

9,625

18,174

Marks

&

Spencer

Group

plc

(2)*

45,945

85,223

Mondi

plc

(2)

301

7,053

Moneysupermarket.com

Group

plc

(2)

45,003

160,729

Royal

Mail

plc

(2)*

48,537

223,708

Sage

Group

plc

(The)

(2)

2,289

18,175

Tate

&

Lyle

plc

(2)

22,690

209,070

2,238,338

—

United

States

-

17.7%

3M

Co.

718

125,499

Abbott

Laboratories

249

27,263

AbbVie,

Inc.

(b)

1,534

164,368

Activision

Blizzard,

Inc.

(b)

1,496

138,904

Acuity

Brands,

Inc.

253

30,636

Adobe,

Inc.

*(b)

357

178,543

Adtalem

Global

Education,

Inc.

*

934

31,709

Advanced

Micro

Devices,

Inc.

*

708

64,931

AGCO

Corp.

1,310

135,048

Alexion

Pharmaceuticals,

Inc.

*(b)

126

19,686

Alliance

Data

Systems

Corp.

(d)

673

49,869

Allison

Transmission

Holdings,

Inc.

2,492

107,480

Allstate

Corp.

(The)

(b)

1,876

206,229

Ally

Financial,

Inc.

763

27,209

Alphabet,

Inc.,

Class

A

*(b)

165

289,186

Alphabet,

Inc.,

Class

C

*(b)

174

304,827

Amazon.com,

Inc.

*(b)

299

973,822

AMC

Networks,

Inc.,

Class

A

*

1,624

58,090

Amdocs

Ltd.

2,290

162,430

American

Tower

Corp.,

REIT

324

72,725

AmerisourceBergen

Corp.

855

83,585

Anthem,

Inc.

81

26,008

Apple,

Inc.

(b)

10,686

1,417,924

Applied

Materials,

Inc.

(b)

1,620

139,806

Arrow

Electronics,

Inc.

*(b)

2,213

215,325

Associated

Banc-Corp.

(b)

9,750

166,238

AT&T,

Inc.

(d)

543

15,617

Autodesk,

Inc.

*

516

157,555

Automatic

Data

Processing,

Inc.

42

7,400

AutoNation,

Inc.

*

1,708

119,201

AutoZone,

Inc.

*

31

36,749

Avis

Budget

Group,

Inc.

*

150

5,595

Avnet,

Inc.

(b)

3,532

124,009

Bank

of

America

Corp.

413

12,518

Bank

of

New

York

Mellon

Corp.

(The)

(b)

4,136

175,532

Bausch

Health

Cos.,

Inc.

*

3,572

74,111

Baxter

International,

Inc.

1,163

93,319

Becton

Dickinson

and

Co.

291

72,814

Berkshire

Hathaway,

Inc.,

Class

B

*(b)

829

192,220

Berry

Global

Group,

Inc.

*

118

6,630

Best

Buy

Co.,

Inc.

(b)

1,065

106,276

133

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Biogen,

Inc.

*(d)

642

157,200

Bio-Rad

Laboratories,

Inc.,

Class

A

*

108

62,958

Booking

Holdings,

Inc.

*

28

62,364

BorgWarner,

Inc.

(d)

317

12,249

Boston

Scientific

Corp.

*

2,113

75,962

Boyd

Gaming

Corp.

*

842

36,139

Bristol-Myers

Squibb

Co.

800

49,624

Broadcom,

Inc.

429

187,838

Cabot

Corp.

1,699

76,251

CACI

International,

Inc.,

Class

A

*(b)

482

120,177

Cadence

Design

Systems,

Inc.

*

217

29,605

Capital

One

Financial

Corp.

525

51,896

Cardinal

Health,

Inc.

2,368

126,830

Carrier

Global

Corp.

521

19,652

Carter's,

Inc.

231

21,730

Caterpillar,

Inc.

97

17,656

Cathay

General

Bancorp

2,554

82,213

Cboe

Global

Markets,

Inc.

394

36,689

CDK

Global,

Inc.

957

49,601

CDW

Corp.

288

37,956

CF

Industries

Holdings,

Inc.

891

34,491

Change

Healthcare,

Inc.

*

326

6,080

Charles

River

Laboratories

International,

Inc.

*

41

10,244

Chubb

Ltd.

256

39,404

Ciena

Corp.

*

104

5,496

Cirrus

Logic,

Inc.

*

1,470

120,834

Cisco

Systems,

Inc.

(b)

5,893

263,712

Citigroup,

Inc.

(b)

2,989

184,302

CNX

Resources

Corp.

*

2,949

31,849

Coca-Cola

Co.

(The)

1,068

58,569

Cognizant

Technology

Solutions

Corp.,

Class

A

(d)

125

10,244

Comcast

Corp.,

Class

A

177

9,275

Commercial

Metals

Co.

2,015

41,388

CommVault

Systems,

Inc.

*

411

22,757

CoreLogic,

Inc.

92

7,113

Cracker

Barrel

Old

Country

Store,

Inc.

95

12,532

Crane

Co.

991

76,961

Crown

Castle

International

Corp.,

REIT

311

49,508

Cummins,

Inc.

224

50,870

Curtiss-Wright

Corp.

506

58,873

CVS

Health

Corp.

1,522

103,953

Dana,

Inc.

1,407

27,465

Deckers

Outdoor

Corp.

*(b)

761

218,240

Dell

Technologies,

Inc.,

Class

C

*

463

33,933

Dick's

Sporting

Goods,

Inc.

1,016

57,109

Digital

Realty

Trust,

Inc.,

REIT

191

26,646

DocuSign,

Inc.

*

54

12,004

Dollar

General

Corp.

112

23,554

Dollar

Tree,

Inc.

*

62

6,698

Domino's

Pizza,

Inc.

184

70,557

Donaldson

Co.,

Inc.

1,208

67,503

Dropbox,

Inc.,

Class

A

*

1,739

38,588

DuPont

de

Nemours,

Inc.

454

32,284

DXC

Technology

Co.

327

8,420

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Eastman

Chemical

Co.

162

16,245

Eaton

Corp.

plc

332

39,886

eBay,

Inc.

1,636

82,209

Electronic

Arts,

Inc.

(b)

673

96,643

Eli

Lilly

and

Co.

164

27,690

EMCOR

Group,

Inc.

76

6,951

Emergent

BioSolutions,

Inc.

*

117

10,483

Emerson

Electric

Co.

670

53,848

Equinix,

Inc.,

REIT

61

43,565

Etsy,

Inc.

*

351

62,446

Exelixis,

Inc.

*

187

3,753

Extended

Stay

America,

Inc.

3,017

44,682

Exxon

Mobil

Corp.

1,088

44,847

Facebook,

Inc.,

Class

A

*(b)

2,066

564,349

Fair

Isaac

Corp.

*

14

7,155

Federated

Hermes,

Inc.,

Class

B

2,176

62,865

FedEx

Corp.

21

5,452

Fidelity

National

Financial,

Inc.

987

38,582

First

American

Financial

Corp.

179

9,242

First

Solar,

Inc.

*

551

54,505

Flowserve

Corp.

79

2,911

FNB

Corp.

5,367

50,987

Foot

Locker,

Inc.

1,227

49,620

Ford

Motor

Co.

8,016

70,461

Fortinet,

Inc.

*

231

34,310

Fortive

Corp.

110

7,790

Fulton

Financial

Corp.

3,447

43,846

Gap,

Inc.

(The)

2,282

46,074

Garmin

Ltd.

(d)

146

17,470

Gartner,

Inc.

*

47

7,529

General

Dynamics

Corp.

192

28,573

General

Electric

Co.

5,668

61,214

General

Motors

Co.

844

35,144

Gentex

Corp.

352

11,943

Gilead

Sciences,

Inc.

(b)

1,800

104,868

Goldman

Sachs

Group,

Inc.

(The)

46

12,131

Goodyear

Tire

&

Rubber

Co.

(The)

545

5,946

GrafTech

International

Ltd.

7,102

75,707

Graham

Holdings

Co.,

Class

B

29

15,468

Greif,

Inc.,

Class

A

240

11,251

H&R

Block,

Inc.

4,641

73,606

Haemonetics

Corp.

*

73

8,669

Hanesbrands,

Inc.

2,637

38,447

HCA

Healthcare,

Inc.

73

12,006

Healthcare

Services

Group,

Inc.

3,187

89,555

Herman

Miller,

Inc.

(b)

419

14,162

Hershey

Co.

(The)

297

45,242

Hill-Rom

Holdings,

Inc.

785

76,906

Hologic,

Inc.

*(b)

990

72,102

Home

Depot,

Inc.

(The)

(b)

997

264,823

Howmet

Aerospace,

Inc.

*

1,188

33,906

HP,

Inc.

(b)

6,766

166,376

Hubbell,

Inc.

435

68,204

Humana,

Inc.

(b)

126

51,694

Huntington

Ingalls

Industries,

Inc.

666

113,540

Huntsman

Corp.

575

14,456

IAC/InterActiveCorp

*

771

145,989

ICU

Medical,

Inc.

*

87

18,661

IDACORP,

Inc.

119

11,428

Ingredion,

Inc.

175

13,767

134

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Intel

Corp.

(b)

8,272

412,111

International

Business

Machines

Corp.

977

122,985

Interpublic

Group

of

Cos.,

Inc.

(The)

643

15,123

Intuit,

Inc.

349

132,568

IQVIA

Holdings,

Inc.

*

219

39,238

ITT,

Inc.

499

38,433

J2

Global,

Inc.

*

541

52,850

Jabil,

Inc.

2,266

96,373

Jack

in

the

Box,

Inc.

658

61,062

Jazz

Pharmaceuticals

plc

*

81

13,369

Johnson

&

Johnson

(b)

1,857

292,255

Johnson

Controls

International

plc

(b)

3,326

154,958

JPMorgan

Chase

&

Co.

500

63,535

KAR

Auction

Services,

Inc.

1,150

21,402

KB

Home

419

14,045

Kimberly-Clark

Corp.

(b)

685

92,359

Kinder

Morgan,

Inc.

497

6,794

Knight-Swift

Transportation

Holdings,

Inc.

2,241

93,719

Kohl's

Corp.

1,217

49,520

L

Brands,

Inc.

2,072

77,058

Lam

Research

Corp.

255

120,429

Lions

Gate

Entertainment

Corp.,

Class

A

*

1,055

11,995

Lithia

Motors,

Inc.,

Class

A

60

17,560

Lockheed

Martin

Corp.

222

78,806

Lowe's

Cos.,

Inc.

(b)

907

145,583

M&T

Bank

Corp.

186

23,678

ManpowerGroup,

Inc.

1,251

112,815

Marriott

International,

Inc.,

Class

A

43

5,673

Marriott

Vacations

Worldwide

Corp.

46

6,312

Mastercard,

Inc.,

Class

A

335

119,575

Match

Group,

Inc.

*

83

12,549

Maxim

Integrated

Products,

Inc.

180

15,957

McDonald's

Corp.

356

76,390

McKesson

Corp.

(b)

691

120,179

Medpace

Holdings,

Inc.

*

329

45,797

Medtronic

plc

(b)

1,295

151,696

Merck

&

Co.,

Inc.

(b)

3,973

324,991

Mercury

General

Corp.

643

33,571

MGM

Resorts

International

431

13,581

Micron

Technology,

Inc.

*

2,131

160,209

Microsoft

Corp.

(b)

4,906

1,091,193

Minerals

Technologies,

Inc.

116

7,206

Mohawk

Industries,

Inc.

*

184

25,935

Molson

Coors

Beverage

Co.,

Class

B

642

29,012

Monolithic

Power

Systems,

Inc.

21

7,691

Mosaic

Co.

(The)

1,200

27,612

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

(b)

1,824

153,927

Murphy

USA,

Inc.

442

57,845

National

Instruments

Corp.

938

41,216

Navient

Corp.

3,828

37,591

NetApp,

Inc.

175

11,592

Netflix,

Inc.

*

197

106,524

NewMarket

Corp.

188

74,879

NIKE,

Inc.,

Class

B

475

67,198

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Northrop

Grumman

Corp.

347

105,738

NortonLifeLock,

Inc.

1,224

25,435

NRG

Energy,

Inc.

218

8,186

Nu

Skin

Enterprises,

Inc.,

Class

A

734

40,098

nVent

Electric

plc

3,192

74,342

NVIDIA

Corp.

288

150,394

Omnicom

Group,

Inc.

1,361

84,886

Oracle

Corp.

(b)

3,051

197,369

O'Reilly

Automotive,

Inc.

*

37

16,745

Oshkosh

Corp.

503

43,293

Papa

John's

International,

Inc.

359

30,461

PayPal

Holdings,

Inc.

*

220

51,524

Peloton

Interactive,

Inc.,

Class

A

*

374

56,743

Penn

National

Gaming,

Inc.

*

84

7,255

Penske

Automotive

Group,

Inc.

277

16,451

Pentair

plc

208

11,043

People's

United

Financial,

Inc.

1,295

16,744

PepsiCo,

Inc.

261

38,706

Pfizer,

Inc.

(b)

1,355

49,878

Philip

Morris

International,

Inc.

109

9,024

Pinterest,

Inc.,

Class

A

*

1,355

89,295

Polaris,

Inc.

309

29,442

Popular,

Inc.

2,583

145,475

PRA

Health

Sciences,

Inc.

*

693

86,930

Prestige

Consumer

Healthcare,

Inc.

*

163

5,684

Procter

&

Gamble

Co.

(The)

(b)

1,229

171,003

Prologis,

Inc.,

REIT

514

51,225

Prudential

Financial,

Inc.

212

16,551

Public

Storage,

REIT

111

25,633

PulteGroup,

Inc.

1,581

68,173

Qorvo,

Inc.

*(b)

780

129,691

QUALCOMM,

Inc.

501

76,322

Quanta

Services,

Inc.

707

50,918

Quest

Diagnostics,

Inc.

109

12,990

Quidel

Corp.

*

40

7,186

Qurate

Retail,

Inc.,

Series

A

8,888

97,501

Raytheon

Technologies

Corp.

688

49,199

Regal

Beloit

Corp.

563

69,142

Reliance

Steel

&

Aluminum

Co.

142

17,005

Robert

Half

International,

Inc.

502

31,365

Roku,

Inc.

*

196

65,076

salesforce.com,

Inc.

*

212

47,176

Schneider

National,

Inc.,

Class

B

3,026

62,638

Science

Applications

International

Corp.

471

44,575

Scientific

Games

Corp.

*

147

6,099

Seagate

Technology

plc

531

33,007

Sensient

Technologies

Corp.

1,006

74,213

Silgan

Holdings,

Inc.

166

6,155

Simon

Property

Group,

Inc.,

REIT

376

32,065

Simpson

Manufacturing

Co.,

Inc.

60

5,607

Skyworks

Solutions,

Inc.

544

83,167

SLM

Corp.

4,321

53,537

Snap,

Inc.,

Class

A

*

648

32,445

Snap-on,

Inc.

115

19,681

Sonoco

Products

Co.

493

29,210

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

172

6,723

SS&C

Technologies

Holdings,

Inc.

1,609

117,055

135

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Steel

Dynamics,

Inc.

1,383

50,991

Strategic

Education,

Inc.

59

5,624

Synaptics,

Inc.

*

623

60,057

Synchrony

Financial

1,104

38,320

SYNNEX

Corp.

(b)

1,426

116,133

Tapestry,

Inc.

2,238

69,557

Targa

Resources

Corp.

223

5,883

Target

Corp.

(b)

965

170,351

TEGNA,

Inc.

511

7,128

Tempur

Sealy

International,

Inc.

*

488

13,176

Teradata

Corp.

*

325

7,303

Terex

Corp.

708

24,702

Tesla,

Inc.

*(b)

435

306,966

Texas

Instruments,

Inc.

643

105,536

Thermo

Fisher

Scientific,

Inc.

164

76,388

Thor

Industries,

Inc.

111

10,322

Timken

Co.

(The)

980

75,813

TJX

Cos.,

Inc.

(The)

239

16,321

Tractor

Supply

Co.

127

17,854

TreeHouse

Foods,

Inc.

*

613

26,046

TRI

Pointe

Group,

Inc.

*

270

4,658

Tyson

Foods,

Inc.,

Class

A

(b)

1,993

128,429

UMB

Financial

Corp.

551

38,013

United

Therapeutics

Corp.

*

441

66,939

UnitedHealth

Group,

Inc.

225

78,903

Univar

Solutions,

Inc.

*

1,128

21,443

Universal

Health

Services,

Inc.,

Class

B

(d)

484

66,550

Unum

Group

210

4,817

VeriSign,

Inc.

*

274

59,294

Vertex

Pharmaceuticals,

Inc.

*

450

106,353

Viatris,

Inc.

*

3,639

68,195

Virtu

Financial,

Inc.,

Class

A

2,324

58,495

Vishay

Intertechnology,

Inc.

6,089

126,103

W

R

Grace

&

Co.

511

28,013

Walgreens

Boots

Alliance,

Inc.

1,636

65,244

Walmart,

Inc.

(b)

1,739

250,677

Waters

Corp.

*

101

24,989

Wayfair,

Inc.,

Class

A

*(d)

146

32,968

Wells

Fargo

&

Co.

(b)

2,619

79,041

Wendy's

Co.

(The)

2,657

58,241

Werner

Enterprises,

Inc.

1,938

76,008

Western

Union

Co.

(The)

485

10,641

Westrock

Co.

966

42,050

Williams-Sonoma,

Inc.

178

18,128

Wingstop,

Inc.

124

16,436

Workday,

Inc.,

Class

A

*

193

46,245

World

Fuel

Services

Corp.

2,776

86,500

Worthington

Industries,

Inc.

1,062

54,523

Wyndham

Destinations,

Inc.

1,049

47,058

Xerox

Holdings

Corp.

1,835

42,554

Xilinx,

Inc.

243

34,450

Yelp,

Inc.

*

1,401

45,771

Yum!

Brands,

Inc.

869

94,339

Zillow

Group,

Inc.,

Class

C

*

155

20,119

INVESTMENTS

SHARES

VALUE

($)

United

States

-

17.7%

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

*

337

113,677

24,345,445

—

TOTAL

COMMON

STOCKS

(Cost

$27,641,817)

38,348,351

PREFERRED

STOCKS

-

0.0%

(a)

United

States

-

0.0%

(a)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$16,834)

302

29,898

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

7.5%

Federal

Republic

of

Germany

0.50%,

4/15/2030

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

EUR

2,954,156

4,333,065

French

Republic

1.85%,

7/25/2027

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

893,589

1,340,462

0.10%,

3/1/2029

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

301,701

416,213

0.70%,

7/25/2030

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

943,024

1,398,219

United

Kingdom

Gilt

Inflation

Linked

1.25%,

11/22/2027

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

GBP

303,278

549,685

0.13%,

8/10/2028

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

316,167

546,186

0.13%,

3/22/2029

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

371,849

652,575

1.25%,

11/22/2032

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

542,124

1,176,819

Cost:

$9,940,796

$–

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$9,940,796)

10,413,224

U.S.

TREASURY

OBLIGATIONS

-

16.7%

U.S.

Treasury

Inflation

Linked

Notes

0.75%,

7/15/2028

(2)

$

3,450,000

4,161,879

0.88%,

1/15/2029

(2)

3,720,000

4,507,906

0.25%,

7/15/2029

(2)

4,400,000

5,069,812

0.13%,

1/15/2030

(2)

4,700,000

5,305,859

0.13%,

7/15/2030

(2)

3,500,000

3,987,037

Cost:

$21,886,573

$–

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$21,886,573)

23,032,493

SHORT-TERM

INVESTMENTS

-

56.9%

REPURCHASE

AGREEMENTS

-

0.1%

JPMS,

(0.05)%,

dated

12/30/2020,

due

1/20/2021,

repurchase

price

$133,383,

collateralized

by

United

Kingdom

Gilt

Inflation

Linked,

0.13%,

due

3/22/2026

(2)

(Cost

$181,600)

GBP

133,387

181,600

136

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

INVESTMENT

COMPANIES

-

20.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(h)(i)

3,174,908

3,174,908

Limited

Purpose

Cash

Investment

Fund,

0.03%

(h)

24,606,742

24,596,899

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(h)

25,369

25,369

TOTAL

INVESTMENT

COMPANIES

(Cost

$27,801,108)

27,797,176

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

36.7%

U.S.

Treasury

Bills

0.12%,

2/25/2021

(2)(j)

$

100,000

99,990

0.12%,

3/18/2021

(2)(j)

1,023,000

1,022,855

0.11%,

3/25/2021

(2)(j)

10,457,000

10,455,257

0.11%,

4/1/2021

(2)(j)

7,563,000

7,561,538

0.11%,

4/8/2021

(2)(j)

8,530,000

8,528,330

0.12%,

4/15/2021

(2)(j)(k)

749,000

748,827

0.12%,

4/22/2021

(2)(j)

4,607,000

4,605,894

0.11%,

4/29/2021

(2)(j)(k)

11,516,000

11,512,873

0.11%,

5/13/2021

(2)(j)(k)

1,287,000

1,286,625

0.10%,

5/20/2021

(2)(j)

217,000

216,933

0.09%,

6/10/2021

(2)(j)(k)

4,587,000

4,585,345

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$50,620,205)

50,624,467

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$78,602,913)

78,603,243

TOTAL

LONG

POSITIONS

(Cost

$138,088,933)

150,427,209

SHARES

SHORT

POSITIONS

-

(6.4)%

COMMON

STOCKS

-

(6.4)%

Australia

-

(0.3)%

Alumina

Ltd.

(2)

(25,967)

(36,817)

Northern

Star

Resources

Ltd.

(2)

(2,337)

(22,842)

Oil

Search

Ltd.

(2)

(33,432)

(95,813)

SEEK

Ltd.

(2)

(2,701)

(59,219)

Seven

Group

Holdings

Ltd.

(2)

(3,908)

(70,573)

Sydney

Airport

(2)*

(13,120)

(64,942)

Transurban

Group

(2)

(2,262)

(23,837)

(374,043)

—

Canada

-

(0.3)%

Air

Canada

*

(2,856)

(51,089)

Brookfield

Asset

Management,

Inc.,

Class

A

(3,607)

(149,109)

Canopy

Growth

Corp.

*

(2,137)

(52,581)

Gildan

Activewear,

Inc.

(1,659)

(46,385)

Inter

Pipeline

Ltd.

(6,467)

(60,306)

PrairieSky

Royalty

Ltd.

(8,248)

(65,380)

Restaurant

Brands

International,

Inc.

(388)

(23,724)

(448,574)

—

Colombia

-

(0.1)%

Millicom

International

Cellular

SA,

SDR

(2)*

(4,375)

(172,095)

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

(0.1)%

Ambu

A/S,

Class

B

(2)

(2,344)

(100,697)

ISS

A/S

(2)*

(2,593)

(44,604)

(145,301)

—

France

-

(0.1)%

Adevinta

ASA

(2)*

(277)

(4,656)

Aeroports

de

Paris

(2)

(121)

(15,655)

Airbus

SE

(2)*

(689)

(75,614)

Remy

Cointreau

SA

(2)

(42)

(7,840)

Renault

SA

(2)*

(1,144)

(50,075)

Valeo

SA

(2)

(217)

(8,559)

(162,399)

—

Germany

-

(0.4)%

CTS

Eventim

AG

&

Co.

KGaA

(2)*

(2,579)

(172,384)

Delivery

Hero

SE

(2)*(c)

(194)

(30,339)

Evotec

SE

(2)*

(3,030)

(111,964)

MTU

Aero

Engines

AG

(2)

(134)

(34,930)

thyssenkrupp

AG

(2)*

(17,758)

(175,966)

(525,583)

—

Italy

-

(0.1)%

Mediobanca

Banca

di

Credito

Finanziario

SpA

(2)*

(12,953)

(119,904)

Japan

-

(0.1)%

Japan

Airport

Terminal

Co.

Ltd.

(2)

(900)

(54,618)

Keio

Corp.

(2)

(100)

(7,759)

Mitsubishi

Motors

Corp.

(2)

(3,400)

(7,153)

Nippon

Paint

Holdings

Co.

Ltd.

(2)

(600)

(65,930)

Odakyu

Electric

Railway

Co.

Ltd.

(2)

(300)

(9,422)

Toho

Gas

Co.

Ltd.

(2)

(100)

(6,625)

West

Japan

Railway

Co.

(2)

(600)

(31,416)

(182,923)

—

Luxembourg

-

0.0%

(a)

ArcelorMittal

SA

(2)*

(276)

(6,312)

Netherlands

-

(0.2)%

Altice

Europe

NV

(2)*

(3,867)

(25,045)

Heineken

NV

(2)

(154)

(17,162)

OCI

NV

(2)*

(6,585)

(126,689)

SBM

Offshore

NV

(2)

(2,822)

(53,313)

(222,209)

—

Spain

-

(0.1)%

Amadeus

IT

Group

SA

(2)

(843)

(62,228)

Cellnex

Telecom

SA

(2)(c)

(397)

(23,841)

(86,069)

—

Sweden

-

(0.1)%

EQT

AB

(2)

(4,577)

(116,181)

Switzerland

-

(0.3)%

Dufry

AG

(Registered)

(2)*

(4,309)

(271,446)

Idorsia

Ltd.

(2)*

(972)

(28,049)

Temenos

AG

(Registered)

(2)

(339)

(47,233)

(346,728)

—

137

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

(0.5)%

Babcock

International

Group

plc

(2)*

(1,593)

(6,087)

Burberry

Group

plc

(2)*

(4,967)

(121,295)

Hiscox

Ltd.

(2)

(1,817)

(24,743)

Informa

plc

(2)

(5,413)

(40,475)

Intermediate

Capital

Group

plc

(2)

(476)

(11,200)

Lloyds

Banking

Group

plc

(2)

(85,885)

(42,819)

Natwest

Group

plc

(2)

(42,309)

(96,718)

Ocado

Group

plc

(2)*

(6,522)

(203,943)

Prudential

plc

(2)

(510)

(9,378)

Rolls-Royce

Holdings

plc

(2)*

(99,081)

(149,952)

Signature

Aviation

plc

(2)*

(1,972)

(10,393)

St

James's

Place

plc

(2)

(1,508)

(23,335)

(740,338)

—

United

States

-

(3.6)%

Acceleron

Pharma,

Inc.

*

(55)

(7,037)

Adaptive

Biotechnologies

Corp.

*

(506)

(29,920)

Adient

plc

*

(795)

(27,642)

Agios

Pharmaceuticals,

Inc.

*

(321)

(13,909)

Albemarle

Corp.

(502)

(74,055)

Alnylam

Pharmaceuticals,

Inc.

*

(350)

(45,490)

American

Airlines

Group,

Inc.

(648)

(10,219)

American

Eagle

Outfitters,

Inc.

(1,274)

(25,569)

Apache

Corp.

(3,267)

(46,359)

Arrowhead

Pharmaceuticals,

Inc.

*

(440)

(33,761)

Atmos

Energy

Corp.

(729)

(69,568)

Axon

Enterprise,

Inc.

*

(174)

(21,320)

Baker

Hughes

Co.

(3,776)

(78,730)

Ball

Corp.

(168)

(15,654)

Beyond

Meat,

Inc.

*

(1,268)

(158,499)

Bluebird

Bio,

Inc.

*

(394)

(17,048)

Bright

Horizons

Family

Solutions,

Inc.

*

(370)

(64,006)

Brink's

Co.

(The)

(1,072)

(77,184)

Builders

FirstSource,

Inc.

*

(268)

(10,937)

Burlington

Stores,

Inc.

*

(246)

(64,341)

Carvana

Co.

*

(299)

(71,622)

CenterPoint

Energy,

Inc.

(8,722)

(188,743)

CenturyLink,

Inc.

(1,642)

(16,010)

ChampionX

Corp.

*

(3,550)

(54,315)

Choice

Hotels

International,

Inc.

(124)

(13,235)

Cincinnati

Financial

Corp.

(522)

(45,607)

Commerce

Bancshares,

Inc.

(689)

(45,267)

ConocoPhillips

(638)

(25,514)

Coty,

Inc.,

Class

A

(2,539)

(17,824)

Cree,

Inc.

*

(1,167)

(123,584)

Duke

Energy

Corp.

(405)

(37,082)

Dun

&

Bradstreet

Holdings,

Inc.

*

(1,875)

(46,688)

Edison

International

(331)

(20,793)

Elanco

Animal

Health,

Inc.

*

(444)

(13,617)

Erie

Indemnity

Co.,

Class

A

(50)

(12,280)

Everbridge,

Inc.

*

(169)

(25,193)

Eversource

Energy

(87)

(7,526)

Exact

Sciences

Corp.

*

(514)

(68,100)

Expedia

Group,

Inc.

(505)

(66,862)

Fastly,

Inc.,

Class

A

*

(242)

(21,144)

FirstEnergy

Corp.

(1,485)

(45,456)

Five

Below,

Inc.

*

(496)

(86,790)

Fluor

Corp.

(840)

(13,415)

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(3.6)%

(continued)

Fox

Factory

Holding

Corp.

*

(107)

(11,311)

Global

Blood

Therapeutics,

Inc.

*

(848)

(36,727)

Grocery

Outlet

Holding

Corp.

*

(1,504)

(59,032)

Guardant

Health,

Inc.

*

(263)

(33,895)

Hain

Celestial

Group,

Inc.

(The)

*

(612)

(24,572)

Halliburton

Co.

(1,535)

(29,012)

HealthEquity,

Inc.

*

(1,329)

(92,645)

Helmerich

&

Payne,

Inc.

(2,087)

(48,335)

Hess

Corp.

(2,416)

(127,540)

IAA,

Inc.

*

(278)

(18,064)

II-VI,

Inc.

*

(1,917)

(145,614)

Ingersoll

Rand,

Inc.

*

(233)

(10,615)

Invesco

Ltd.

(3,369)

(58,722)

Ionis

Pharmaceuticals,

Inc.

*

(219)

(12,382)

Iovance

Biotherapeutics,

Inc.

*

(1,147)

(53,221)

JetBlue

Airways

Corp.

*

(1,052)

(15,296)

Kennametal,

Inc.

(1,223)

(44,322)

Lamb

Weston

Holdings,

Inc.

(390)

(30,709)

LendingTree,

Inc.

*

(245)

(67,079)

Liberty

Broadband

Corp.,

Class

C

*

(66)

(10,452)

Lincoln

National

Corp.

(174)

(8,754)

Live

Nation

Entertainment,

Inc.

*

(1,029)

(75,611)

Lyft,

Inc.,

Class

A

*

(2,240)

(110,051)

Marathon

Oil

Corp.

(3,019)

(20,137)

Marathon

Petroleum

Corp.

(951)

(39,333)

Medallia,

Inc.

*

(1,864)

(61,922)

MEDNAX,

Inc.

*

(1,266)

(31,068)

MongoDB,

Inc.

*

(87)

(31,236)

Murphy

Oil

Corp.

(3,021)

(36,554)

National

Oilwell

Varco,

Inc.

(504)

(6,920)

Nektar

Therapeutics

*

(4,120)

(70,040)

New

Jersey

Resources

Corp.

(2,176)

(77,357)

Nordstrom,

Inc.

(1,495)

(46,659)

Norwegian

Cruise

Line

Holdings

Ltd.

*

(3,681)

(93,608)

Novocure

Ltd.

*

(281)

(48,624)

Occidental

Petroleum

Corp.

(3,595)

(62,229)

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

(83)

(6,787)

PagerDuty,

Inc.

*

(458)

(19,099)

Parsley

Energy,

Inc.,

Class

A

(3,283)

(46,619)

Penumbra,

Inc.

*

(291)

(50,925)

Phillips

66

(214)

(14,967)

Planet

Fitness,

Inc.,

Class

A

*

(322)

(24,997)

Pluralsight,

Inc.,

Class

A

*

(753)

(15,783)

Reata

Pharmaceuticals,

Inc.,

Class

A

*

(492)

(60,821)

Reinsurance

Group

of

America,

Inc.

(62)

(7,186)

RingCentral,

Inc.,

Class

A

*

(23)

(8,716)

Royal

Caribbean

Cruises

Ltd.

(1,023)

(76,408)

Sabre

Corp.

(3,153)

(37,899)

Sage

Therapeutics,

Inc.

*

(649)

(56,145)

Splunk,

Inc.

*

(100)

(16,989)

Sunrun,

Inc.

*

(639)

(44,334)

SVB

Financial

Group

*

(217)

(84,159)

Texas

Capital

Bancshares,

Inc.

*

(2,997)

(178,321)

T-Mobile

US,

Inc.

*

(494)

(66,616)

Toll

Brothers,

Inc.

(1,263)

(54,903)

TopBuild

Corp.

*

(259)

(47,677)

Trex

Co.,

Inc.

*

(1,254)

(104,985)

138

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

(3.6)%

(continued)

Trinity

Industries,

Inc.

(1,743)

(45,998)

Truist

Financial

Corp.

(904)

(43,329)

United

States

Steel

Corp.

(6,992)

(117,256)

Valero

Energy

Corp.

(106)

(5,996)

ViaSat,

Inc.

*

(104)

(3,396)

Western

Alliance

Bancorp

(288)

(17,266)

Woodward,

Inc.

(471)

(57,241)

WW

International,

Inc.

*

(187)

(4,563)

Xcel

Energy,

Inc.

(1,159)

(77,271)

(5,104,215)

—

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(8,243)

(147,971)

TOTAL

COMMON

STOCKS

(Proceeds

$(7,328,131))

(8,900,845)

TOTAL

SHORT

POSITIONS

(Proceeds

$(7,328,131))

(8,900,845)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

102.5%

(Cost

$130,760,802)

141,526,364

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(2.5)%

(l)

(3,452,274)

NET

ASSETS

-

100.0%

138,074,090

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,002,283

1.5

%

Consumer

Discretionary

5,685,622

4.1

Consumer

Staples

1,436,868

1.0

Energy

(378,133)

(0.3)

Financials

2,596,100

1.9

Foreign

Government

Securities

10,413,224

7.5

Health

Care

3,510,965

2.5

Industrials

3,549,224

2.6

Information

Technology

8,627,526

6.2

Materials

2,146,652

1.6

Real

Estate

498,514

0.4

U.S.

Treasury

Obligations

23,032,493

16.7

Utilities

(198,217)

(0.1)

Short-Term

Investments

78,603,243

56.9

Total

Investments

In

Securities

At

Value

141,526,364

102.5

Liabilities

in

Excess

of

Other

Assets

(l

)

(3,452,274)

(2.5)

Net

Assets

$

138,074,090

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

$9,591,821.

(c)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$318,405,

which

represents

approximately

0.23%

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

$272,158.

(e)

On

12/31/2020,

securities

valued

at

$10,413,224

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(f)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

December

31,

2020,

the

value

of

these

securities

amounted

to

$10,413,224

or

7.54%

of

net

assets.

(g)

Inflation

protected

security.

(h)

Represents

7-day

effective

yield

as

of

December

31,

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).

139

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Reverse

repurchase

agreements

at

December

31,

2020:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BANA

12/30/2020

(0.53)%

1/20/2021

EUR

$

336,692

BANA

12/30/2020

(0.53)%

1/20/2021

EUR

310,532

BANA

12/23/2020

(0.50)%

1/20/2021

EUR

153,789

BNPP

12/11/2020

(0.75)%

1/20/2021

EUR

4,259,351

JPMS

12/11/2020

0.00%

1/20/2021

GBP

534,629

JPMS

12/11/2020

0.02%

1/20/2021

GBP

178,225

JPMS

12/11/2020

0.08%

1/20/2021

GBP

639,083

JPMS

12/11/2020

0.08%

1/20/2021

GBP

1,151,508

JPMS

12/11/2020

0.10%

1/20/2021

GBP

537,816

MPFS

12/11/2020

(0.62)%

1/20/2021

EUR

410,074

MPFS

12/11/2020

(0.62)%

1/20/2021

EUR

996,936

MPFS

12/11/2020

(0.62)%

1/20/2021

EUR

920,206

$

10,428,841

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

December

31,

2020

was

$11,630,709

at

a

net

weighted

average

interest

rate

of

0.050%.

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

774,400

$

105,433

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

39,060

4,575

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

01/28/2021

HKD

10,887,600

39,832

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

13,609,500

48,183

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

276,060

10,545

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

47,700

135

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

2,294,250

300,660

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

42,940

3,739

140

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/19/2021

USD

472,340

$

42,200

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

381,600

45,230

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

1,093,920

130,910

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

212,880

8,832

740,274

Live

Cattle

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

(46,010)

(148)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(1,638,750)

(114,534)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(127,200)

(14,754)

(129,436)

$

610,838

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

14

1/2021

EUR

$

2,136,280

$

14,560

Hang

Seng

Index

3

1/2021

HKD

526,653

12,690

LME

Aluminum

Base

Metal

1

1/2021

USD

49,470

2,954

LME

Aluminum

Base

Metal

2

1/2021

USD

98,897

6,836

LME

Aluminum

Base

Metal

2

1/2021

USD

98,938

7,782

LME

Aluminum

Base

Metal

3

1/2021

USD

149,859

18,729

LME

Aluminum

Base

Metal

4

1/2021

USD

197,458

19,592

LME

Aluminum

Base

Metal

4

1/2021

USD

197,883

14,271

LME

Aluminum

Base

Metal

5

1/2021

USD

247,375

15,423

LME

Aluminum

Base

Metal

6

1/2021

USD

296,552

18,944

LME

Aluminum

Base

Metal

6

1/2021

USD

296,850

20,157

LME

Aluminum

Base

Metal

6

1/2021

USD

296,259

23,755

LME

Aluminum

Base

Metal

6

1/2021

USD

296,813

23,420

LME

Aluminum

Base

Metal

7

1/2021

USD

346,099

21,652

LME

Aluminum

Base

Metal

8

1/2021

USD

395,800

27,526

LME

Aluminum

Base

Metal

12

1/2021

USD

592,227

56,860

LME

Copper

Base

Metal

1

1/2021

USD

193,944

24,036

LME

Copper

Base

Metal

1

1/2021

USD

193,906

25,052

LME

Copper

Base

Metal

1

1/2021

USD

193,931

25,578

141

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

1/2021

USD

$

195,850

$

37,222

LME

Copper

Base

Metal

1

1/2021

USD

193,725

29,460

LME

Copper

Base

Metal

2

1/2021

USD

387,638

41,815

LME

Copper

Base

Metal

3

1/2021

USD

581,231

91,473

LME

Copper

Base

Metal

3

1/2021

USD

581,339

80,981

LME

Nickel

Base

Metal

1

1/2021

USD

99,399

2,706

LME

Nickel

Base

Metal

1

1/2021

USD

99,422

6,139

LME

Nickel

Base

Metal

1

1/2021

USD

99,375

8,400

LME

Zinc

Base

Metal

1

1/2021

USD

68,327

5,962

LME

Zinc

Base

Metal

1

1/2021

USD

68,290

7,099

LME

Zinc

Base

Metal

1

1/2021

USD

68,302

8,037

LME

Zinc

Base

Metal

1

1/2021

USD

68,265

7,387

LME

Zinc

Base

Metal

2

1/2021

USD

136,596

15,440

NY

Harbor

ULSD

8

1/2021

USD

498,624

68,201

RBOB

Gasoline

2

1/2021

USD

118,448

13,873

100

oz

Gold

20

2/2021

USD

3,790,200

(28,818)

Brent

Crude

Oil

81

2/2021

USD

4,197,420

206,742

Lean

Hogs

12

2/2021

USD

337,320

17,206

Live

Cattle

1

2/2021

USD

46,010

1,516

LME

Aluminum

Base

Metal

2

2/2021

USD

98,650

3,444

LME

Aluminum

Base

Metal

2

2/2021

USD

98,679

2,110

LME

Aluminum

Base

Metal

2

2/2021

USD

98,665

2,910

LME

Aluminum

Base

Metal

3

2/2021

USD

148,119

4,871

LME

Aluminum

Base

Metal

4

2/2021

USD

197,450

(1,285)

LME

Copper

Base

Metal

1

2/2021

USD

193,933

12,955

LME

Copper

Base

Metal

1

2/2021

USD

193,981

20,946

LME

Nickel

Base

Metal

1

2/2021

USD

99,499

3,714

NY

Harbor

ULSD

7

2/2021

USD

436,708

1,406

RBOB

Gasoline

17

2/2021

USD

1,010,596

24,082

Sugar

No.

11

78

2/2021

USD

1,353,206

211,709

Australia

10

Year

Bond

73

3/2021

AUD

8,286,013

14,714

Canada

10

Year

Bond

103

3/2021

CAD

12,064,813

20,248

Cocoa

22

3/2021

USD

572,660

(24,137)

Coffee

'C'

7

3/2021

USD

336,656

7,565

Corn

121

3/2021

USD

2,928,200

397,333

Cotton

No.

2

10

3/2021

USD

390,600

34,384

DAX

Index

3

3/2021

EUR

1,259,460

44,480

Euro-Bobl

76

3/2021

EUR

12,550,841

(8,832)

Euro-Bund

83

3/2021

EUR

18,012,154

9,226

Feeder

Cattle

1

3/2021

USD

70,113

566

FTSE/MIB

Index

22

3/2021

EUR

2,973,728

34,429

Japan

10

Year

Bond

29

3/2021

JPY

42,667,958

(30,555)

KC

HRW

Wheat

6

3/2021

USD

181,050

11,792

LME

Aluminum

Base

Metal

3

3/2021

USD

148,444

(1,485)

LME

Aluminum

Base

Metal

5

3/2021

USD

247,438

(433)

LME

Aluminum

Base

Metal

9

3/2021

USD

444,600

(12,362)

LME

Aluminum

Base

Metal

9

3/2021

USD

444,510

(18,866)

LME

Aluminum

Base

Metal

61

3/2021

USD

3,015,688

76,895

LME

Copper

Base

Metal

1

3/2021

USD

194,150

545

LME

Copper

Base

Metal

2

3/2021

USD

388,188

682

LME

Copper

Base

Metal

32

3/2021

USD

6,213,400

826,966

LME

Lead

Base

Metal

3

3/2021

USD

149,606

12,544

LME

Nickel

Base

Metal

3

3/2021

USD

298,944

13,395

LME

Zinc

Base

Metal

3

3/2021

USD

206,072

(7,479)

LME

Zinc

Base

Metal

13

3/2021

USD

893,532

72,156

Long

Gilt

12

3/2021

GBP

2,224,211

26,972

142

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Low

Sulphur

Gasoil

8

3/2021

USD

$

340,000

$

10,020

S&P

500

E-Mini

Index

112

3/2021

USD

20,993,280

531,691

S&P

Midcap

400

E-Mini

Index

7

3/2021

USD

1,612,450

41,709

S&P/TSX

60

Index

22

3/2021

CAD

3,556,572

(34,409)

Silver

6

3/2021

USD

792,360

55,049

Soybean

Meal

34

3/2021

USD

1,459,960

141,326

SPI

200

Index

11

3/2021

AUD

1,385,918

(8,279)

TOPIX

Index

46

3/2021

JPY

8,039,030

178,808

U.S.

Treasury

10

Year

Note

535

3/2021

USD

73,871,797

88,090

U.S.

Treasury

5

Year

Note

354

3/2021

USD

44,662,078

99,288

100

oz

Gold

4

4/2021

USD

759,840

(1,985)

Lean

Hogs

2

4/2021

USD

57,800

(171)

3,889,400

Short

Contracts

CAC

40

10

Euro

Index

(3)

1/2021

EUR

(203,112)

1,046

IBEX

35

Index

(41)

1/2021

EUR

(4,042,424)

17,427

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,470)

(2,873)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,938)

(8,292)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,897)

(6,852)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(149,859)

(19,780)

LME

Aluminum

Base

Metal

(4)

1/2021

USD

(197,458)

(19,970)

LME

Aluminum

Base

Metal

(4)

1/2021

USD

(197,883)

(14,225)

LME

Aluminum

Base

Metal

(5)

1/2021

USD

(247,375)

(15,888)

LME

Aluminum

Base

Metal

(6)

1/2021

USD

(296,259)

(24,727)

LME

Aluminum

Base

Metal

(6)

1/2021

USD

(296,850)

(20,061)

LME

Aluminum

Base

Metal

(6)

1/2021

USD

(296,813)

(23,746)

LME

Aluminum

Base

Metal

(6)

1/2021

USD

(296,552)

(18,769)

LME

Aluminum

Base

Metal

(7)

1/2021

USD

(346,099)

(21,582)

LME

Aluminum

Base

Metal

(8)

1/2021

USD

(395,800)

(27,458)

LME

Aluminum

Base

Metal

(12)

1/2021

USD

(592,227)

(56,912)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,906)

(24,946)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,725)

(30,713)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,931)

(23,984)

LME

Copper

Base

Metal

(1)

1/2021

USD

(195,850)

(35,699)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,944)

(23,209)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,638)

(40,918)

LME

Copper

Base

Metal

(3)

1/2021

USD

(581,339)

(80,188)

LME

Copper

Base

Metal

(3)

1/2021

USD

(581,231)

(91,307)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,399)

(2,988)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,422)

(6,215)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,375)

(7,996)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,265)

(7,455)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,290)

(6,755)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,302)

(7,780)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,327)

(6,930)

LME

Zinc

Base

Metal

(2)

1/2021

USD

(136,596)

(15,513)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,650)

(3,502)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,665)

(2,773)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,679)

(2,061)

LME

Aluminum

Base

Metal

(3)

2/2021

USD

(148,119)

(5,053)

LME

Aluminum

Base

Metal

(4)

2/2021

USD

(197,450)

1,338

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,933)

(12,811)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,981)

(20,558)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,499)

(4,042)

Natural

Gas

(14)

2/2021

USD

(353,640)

(44)

WTI

Crude

Oil

(41)

2/2021

USD

(1,993,830)

(82,902)

143

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

EURO

STOXX

50

Index

(33)

3/2021

EUR

$

(1,431,163)

$

(15,580)

FTSE

100

Index

(8)

3/2021

GBP

(702,348)

6,361

LME

Aluminum

Base

Metal

(3)

3/2021

USD

(148,444)

1,529

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(247,438)

860

LME

Aluminum

Base

Metal

(9)

3/2021

USD

(444,510)

18,293

LME

Aluminum

Base

Metal

(9)

3/2021

USD

(444,600)

9,423

LME

Aluminum

Base

Metal

(41)

3/2021

USD

(2,026,938)

(118,212)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,150)

(408)

LME

Copper

Base

Metal

(2)

3/2021

USD

(388,188)

(1,128)

LME

Copper

Base

Metal

(7)

3/2021

USD

(1,359,181)

(96,349)

LME

Nickel

Base

Metal

(3)

3/2021

USD

(298,944)

(24,654)

LME

Zinc

Base

Metal

(3)

3/2021

USD

(206,072)

7,746

LME

Zinc

Base

Metal

(6)

3/2021

USD

(412,400)

(45,198)

Wheat

(4)

3/2021

USD

(128,100)

(12,485)

(1,077,468)

$

2,811,932

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

8,151,000

USD

6,094,334

CITI

3/17/2021

$

193,418

AUD

8,151,000

USD

6,094,342

JPMC

3/17/2021

193,410

BRL

6,168,000

USD

1,153,564

CITI

**

3/17/2021

32,064

BRL

6,168,000

USD

1,153,565

JPMC

**

3/17/2021

32,063

CAD

1,131,500

USD

883,498

CITI

3/17/2021

5,593

CAD

1,131,500

USD

883,499

JPMC

3/17/2021

5,592

CHF

23,500

USD

26,578

CITI

3/17/2021

23

CHF

23,500

USD

26,578

JPMC

3/17/2021

23

CLP

327,085,504

USD

436,378

CITI

**

3/17/2021

24,007

CLP

327,085,496

USD

436,379

JPMC

**

3/17/2021

24,006

CNY

9,356,000

USD

1,413,058

CITI

**

3/17/2021

18,905

CNY

9,356,000

USD

1,413,059

JPMC

**

3/17/2021

18,903

CZK

5,128,000

USD

232,422

CITI

3/17/2021

6,431

CZK

5,128,000

USD

232,422

JPMC

3/17/2021

6,431

DKK

271,000

USD

43,160

CITI

3/17/2021

1,392

DKK

271,000

USD

43,160

JPMC

3/17/2021

1,392

EUR

2,654,500

USD

3,205,219

CITI

3/17/2021

42,904

EUR

2,654,500

USD

3,205,223

JPMC

3/17/2021

42,900

GBP

1,592,000

USD

2,126,629

CITI

3/17/2021

51,405

GBP

1,592,000

USD

2,126,632

JPMC

3/17/2021

51,402

HUF

44,024,500

USD

144,582

CITI

3/17/2021

3,708

HUF

44,024,500

USD

144,583

JPMC

3/17/2021

3,708

INR

195,455,003

USD

2,616,776

CITI

**

3/17/2021

39,718

INR

195,454,997

USD

2,616,780

JPMC

**

3/17/2021

39,715

JPY

595,232,500

USD

5,735,326

CITI

3/17/2021

34,071

JPY

595,232,500

USD

5,735,333

JPMC

3/17/2021

34,064

KRW

4,421,660,501

USD

3,988,931

CITI

**

3/17/2021

74,682

KRW

4,421,660,498

USD

3,988,936

JPMC

**

3/17/2021

74,677

MXN

44,576,000

USD

2,190,433

CITI

3/17/2021

31,641

MXN

44,576,000

USD

2,190,436

JPMC

3/17/2021

31,638

NOK

4,550,000

USD

521,485

CITI

3/17/2021

9,043

144

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NOK

4,550,000

USD

521,485

JPMC

3/17/2021

$

9,043

NZD

9,500,000

USD

6,647,937

CITI

3/17/2021

189,447

NZD

9,500,000

USD

6,647,945

JPMC

3/17/2021

189,439

PLN

164,000

USD

43,586

CITI

3/17/2021

329

PLN

164,000

USD

43,586

JPMC

3/17/2021

329

RUB

10,691,000

USD

138,807

CITI

**

3/17/2021

4,513

RUB

10,691,000

USD

138,807

JPMC

**

3/17/2021

4,512

SEK

15,094,000

USD

1,779,510

CITI

3/17/2021

56,469

SEK

15,094,000

USD

1,779,512

JPMC

3/17/2021

56,467

SGD

12,500

USD

9,373

CITI

3/17/2021

86

SGD

12,500

USD

9,373

JPMC

3/17/2021

86

USD

45,236

BRL

231,500

CITI

**

3/17/2021

737

USD

45,236

BRL

231,500

JPMC

**

3/17/2021

737

USD

329

DKK

2,000

CITI

3/17/2021

–

USD

329

DKK

2,000

JPMC

3/17/2021

–

USD

179,811

EUR

146,500

CITI

3/17/2021

550

USD

173,657

EUR

141,500

JPMC

3/17/2021

514

USD

13,031

HKD

101,000

CITI

3/17/2021

–

USD

13,031

HKD

101,000

JPMC

3/17/2021

–

USD

69,307

JPY

7,150,000

CITI

3/17/2021

4

USD

69,307

JPY

7,150,000

JPMC

3/17/2021

4

USD

253,104

NZD

350,000

CITI

3/17/2021

1,200

USD

253,104

NZD

350,000

JPMC

3/17/2021

1,200

USD

139,094

PLN

510,126

CITI

3/17/2021

2,495

USD

139,093

PLN

510,124

JPMC

3/17/2021

2,495

ZAR

27,105,002

USD

1,749,028

CITI

3/17/2021

78,797

ZAR

27,105,000

USD

1,749,030

JPMC

3/17/2021

78,794

Total

unrealized

appreciation

1,807,176

BRL

654,500

USD

127,546

CITI

**

3/17/2021

(1,736)

BRL

654,500

USD

127,546

JPMC

**

3/17/2021

(1,736)

CLP

3,705,000

USD

5,227

CITI

**

3/17/2021

(12)

CLP

3,705,000

USD

5,227

JPMC

**

3/17/2021

(12)

DKK

122,000

USD

20,085

CITI

3/17/2021

(29)

DKK

122,000

USD

20,085

JPMC

3/17/2021

(29)

EUR

288,000

USD

354,073

CITI

3/17/2021

(1,668)

EUR

288,000

USD

354,074

JPMC

3/17/2021

(1,668)

HKD

106,000

USD

13,676

CITI

3/17/2021

–

HKD

106,000

USD

13,676

JPMC

3/17/2021

–

HUF

54,543,500

USD

186,304

CITI

3/17/2021

(2,583)

HUF

54,543,500

USD

186,305

JPMC

3/17/2021

(2,583)

KRW

53,667,500

USD

49,414

CITI

**

3/17/2021

(93)

KRW

53,667,500

USD

49,414

JPMC

**

3/17/2021

(93)

MXN

1,702,000

USD

85,133

CITI

3/17/2021

(290)

MXN

1,702,000

USD

85,134

JPMC

3/17/2021

(290)

PLN

2,080,500

USD

570,144

CITI

3/17/2021

(13,040)

PLN

2,080,500

USD

570,145

JPMC

3/17/2021

(13,041)

RUB

5,229,500

USD

70,383

CITI

**

3/17/2021

(279)

RUB

5,229,500

USD

70,383

JPMC

**

3/17/2021

(278)

USD

2,638,800

AUD

3,584,004

CITI

3/17/2021

(125,932)

USD

2,638,790

AUD

3,583,996

JPMC

3/17/2021

(125,935)

USD

12,333

BRL

64,500

CITI

**

3/17/2021

(66)

USD

12,333

BRL

64,500

JPMC

**

3/17/2021

(66)

USD

4,417,028

CAD

5,752,002

CITI

3/17/2021

(102,687)

USD

4,417,019

CAD

5,751,998

JPMC

3/17/2021

(102,693)

USD

2,747,409

CHF

2,474,000

CITI

3/17/2021

(53,010)

USD

2,747,406

CHF

2,474,000

JPMC

3/17/2021

(53,014)

USD

119,654

DKK

749,000

CITI

3/17/2021

(3,479)

USD

119,654

DKK

749,000

JPMC

3/17/2021

(3,480)

145

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

9,316,478

EUR

7,799,744

CITI

3/17/2021

$

(227,515)

USD

9,284,007

EUR

7,772,730

JPMC

3/17/2021

(226,932)

USD

5,987,690

GBP

4,480,558

CITI

3/17/2021

(142,214)

USD

5,968,974

GBP

4,466,551

JPMC

3/17/2021

(141,766)

USD

434,879

HKD

3,371,000

CITI

3/17/2021

(27)

USD

434,879

HKD

3,371,000

JPMC

3/17/2021

(27)

USD

3,552,266

JPY

368,784,000

CITI

3/17/2021

(22,239)

USD

3,552,261

JPY

368,784,000

JPMC

3/17/2021

(22,243)

USD

28,162

MXN

566,500

CITI

3/17/2021

(78)

USD

28,162

MXN

566,500

JPMC

3/17/2021

(78)

USD

3,101,538

NOK

27,905,503

CITI

3/17/2021

(152,231)

USD

3,101,533

NOK

27,905,497

JPMC

3/17/2021

(152,235)

USD

3,025,114

NZD

4,250,000

CITI

3/17/2021

(33,715)

USD

3,025,111

NZD

4,250,000

JPMC

3/17/2021

(33,719)

USD

13,270

PLN

49,876

CITI

3/17/2021

(85)

USD

13,270

PLN

49,874

JPMC

3/17/2021

(85)

USD

445,722

SEK

3,692,500

CITI

3/17/2021

(3,420)

USD

445,721

SEK

3,692,500

JPMC

3/17/2021

(3,421)

USD

289,411

SGD

388,000

CITI

3/17/2021

(4,193)

USD

289,411

SGD

388,000

JPMC

3/17/2021

(4,193)

ZAR

1,247,000

USD

84,251

CITI

3/17/2021

(160)

ZAR

1,247,000

USD

84,251

JPMC

3/17/2021

(159)

Total

unrealized

depreciation

(1,780,557)

Net

unrealized

appreciation

$

26,619

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Foreign

Government

Securities

$

801,189

$

–

$

801,189

BARC

Cash

–

2,790,443

2,790,443

BNPP

Foreign

Government

Securities

4,333,065

–

4,333,065

CITI

Investment

Companies

666,763

–

666,763

GSCO

Cash

–

3,240

3,240

U.S.

Treasury

Bills

–

815,622

815,622

JPMC

Investment

Companies

2,448,405

–

2,448,405

JPMS

Cash

–

412,690

412,690

Foreign

Government

Securities

2,925,265

–

2,925,265

MPFS

Foreign

Government

Securities

2,353,705

–

2,353,705

MSCL

Cash

–

(28,097)

(28,097)

U.S.

Treasury

Bills

–

835,749

835,749

146

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Investment

Companies

$

59,740

$

–

$

59,740

GSCO

Cash

–

178,612

178,612

GSIN

Cash

(62,891)

–

(62,891)

JPPC

Cash

–

85,927

85,927

MSCL

Cash

–

131,799

131,799

SOCG

Cash

40,000

–

40,000

147

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

85.9%

INVESTMENT

COMPANIES

-

51.1%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

64,672

64,672

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)

28,289,326

28,278,011

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

963

963

TOTAL

INVESTMENT

COMPANIES

(Cost

$28,344,902)

28,343,646

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

34.8%

U.S.

Treasury

Bills

0.11%,

3/4/2021

(c)

$

120,000

119,986

0.11%,

3/25/2021

(c)

1,039,000

1,038,827

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

34.8%

(continued)

0.11%,

4/1/2021

(c)

$

2,382,000

2,381,539

0.12%,

4/15/2021

(c)

244,000

243,944

0.11%,

4/22/2021

(c)

2,131,000

2,130,489

0.11%,

4/29/2021

(c)

446,000

445,879

0.11%,

5/13/2021

(c)

739,000

738,785

0.10%,

5/20/2021

(c)

527,000

526,838

0.09%,

5/27/2021

(c)

1,505,000

1,504,537

0.10%,

7/1/2021

(c)

10,213,000

10,208,699

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$19,337,916)

19,339,523

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$47,682,818)

47,683,169

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

85.9%

(Cost

$47,682,818)

47,683,169

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

14.1%

(d)

7,852,234

NET

ASSETS

-

100.0%

55,535,403

(a)

Represents

7-day

effective

yield

as

of

December

31,

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

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cocoa

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

(130,150)

$

1,750

Cocoa

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

(78,090)

1,269

Cocoa

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

78,090

9,122

Cocoa

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

130,150

14,960

Coffee

'C'

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/10/2021

USD

2,356,594

358,620

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

24,200

3,306

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

9,462,200

1,223,158

148

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

312,480

$

27,825

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

1,054,620

91,312

Lean

Hogs

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/12/2021

USD

562,200

33,245

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

2,392,520

94,335

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

524,400

69,239

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

6,030,600

796,463

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

6,161,700

803,660

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/19/2021

USD

3,606,960

319,186

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

10,862,880

1,300,070

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

384,300

19,058

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

1,761,375

87,212

5,253,790

Coffee

'C'

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/10/2021

USD

(2,356,594)

(175,832)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(5,541,800)

(689,354)

Corn

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(24,200)

(3,424)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

(1,054,620)

(68,718)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

(234,360)

(12,780)

Lean

Hogs

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/12/2021

USD

(562,200)

(36,650)

149

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

(2,392,520)

$

(63,910)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

(6,030,600)

(664,175)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(5,768,400)

(550,085)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(524,400)

(57,463)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/19/2021

USD

(3,435,200)

(336,205)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

(8,089,920)

(776,914)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(1,697,325)

(147,540)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(384,300)

(38,180)

(3,621,230)

$

1,632,560

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

6

1/2021

USD

$

296,813

$

23,345

LME

Aluminum

Base

Metal

7

1/2021

USD

346,138

20,205

LME

Aluminum

Base

Metal

10

1/2021

USD

493,645

48,981

LME

Aluminum

Base

Metal

16

1/2021

USD

791,500

72,653

LME

Aluminum

Base

Metal

17

1/2021

USD

840,527

52,584

LME

Aluminum

Base

Metal

21

1/2021

USD

1,036,140

105,567

LME

Aluminum

Base

Metal

27

1/2021

USD

1,335,656

105,389

LME

Aluminum

Base

Metal

32

1/2021

USD

1,582,000

99,226

LME

Aluminum

Base

Metal

36

1/2021

USD

1,779,309

113,662

LME

Aluminum

Base

Metal

39

1/2021

USD

1,924,738

184,794

LME

Aluminum

Base

Metal

43

1/2021

USD

2,127,242

153,416

LME

Aluminum

Base

Metal

44

1/2021

USD

2,176,900

135,720

LME

Aluminum

Base

Metal

47

1/2021

USD

2,325,325

157,899

LME

Aluminum

Base

Metal

50

1/2021

USD

2,473,488

147,715

LME

Aluminum

Base

Metal

50

1/2021

USD

2,497,650

311,784

LME

Aluminum

Base

Metal

85

1/2021

USD

4,205,375

292,437

LME

Aluminum

Base

Metal

86

1/2021

USD

4,246,379

349,278

LME

Copper

Base

Metal

1

1/2021

USD

193,888

25,740

150

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

1/2021

USD

$

193,796

$

24,216

LME

Copper

Base

Metal

2

1/2021

USD

387,563

50,674

LME

Copper

Base

Metal

2

1/2021

USD

387,704

49,118

LME

Copper

Base

Metal

4

1/2021

USD

775,525

77,540

LME

Copper

Base

Metal

4

1/2021

USD

775,481

108,170

LME

Copper

Base

Metal

4

1/2021

USD

775,215

94,531

LME

Copper

Base

Metal

5

1/2021

USD

968,719

152,456

LME

Copper

Base

Metal

10

1/2021

USD

1,937,250

294,604

LME

Copper

Base

Metal

10

1/2021

USD

1,939,063

259,954

LME

Copper

Base

Metal

10

1/2021

USD

1,939,438

232,361

LME

Copper

Base

Metal

12

1/2021

USD

2,327,175

295,722

LME

Copper

Base

Metal

12

1/2021

USD

2,325,825

254,534

LME

Copper

Base

Metal

19

1/2021

USD

3,681,815

511,165

LME

Copper

Base

Metal

27

1/2021

USD

5,287,950

875,804

LME

Lead

Base

Metal

1

1/2021

USD

49,506

3,679

LME

Lead

Base

Metal

1

1/2021

USD

49,506

4,741

LME

Lead

Base

Metal

1

1/2021

USD

49,581

5,515

LME

Lead

Base

Metal

3

1/2021

USD

148,747

14,437

LME

Lead

Base

Metal

3

1/2021

USD

148,784

12,779

LME

Lead

Base

Metal

3

1/2021

USD

148,706

16,473

LME

Lead

Base

Metal

3

1/2021

USD

148,481

11,298

LME

Lead

Base

Metal

6

1/2021

USD

297,111

31,670

LME

Lead

Base

Metal

6

1/2021

USD

296,583

26,688

LME

Lead

Base

Metal

15

1/2021

USD

743,344

66,260

LME

Nickel

Base

Metal

1

1/2021

USD

99,404

4,567

LME

Nickel

Base

Metal

1

1/2021

USD

99,375

8,400

LME

Nickel

Base

Metal

3

1/2021

USD

298,293

12,013

LME

Nickel

Base

Metal

3

1/2021

USD

298,306

16,237

LME

Nickel

Base

Metal

4

1/2021

USD

397,344

45,972

LME

Nickel

Base

Metal

4

1/2021

USD

397,705

20,626

LME

Nickel

Base

Metal

5

1/2021

USD

501,585

78,570

LME

Nickel

Base

Metal

5

1/2021

USD

496,905

33,990

LME

Nickel

Base

Metal

6

1/2021

USD

596,531

37,418

LME

Nickel

Base

Metal

8

1/2021

USD

795,192

24,721

LME

Zinc

Base

Metal

1

1/2021

USD

69,119

11,391

LME

Zinc

Base

Metal

1

1/2021

USD

68,233

10,275

LME

Zinc

Base

Metal

1

1/2021

USD

68,246

9,731

LME

Zinc

Base

Metal

2

1/2021

USD

136,745

9,564

LME

Zinc

Base

Metal

4

1/2021

USD

273,519

20,857

LME

Zinc

Base

Metal

6

1/2021

USD

409,763

44,907

LME

Zinc

Base

Metal

6

1/2021

USD

409,787

46,319

LME

Zinc

Base

Metal

7

1/2021

USD

478,114

55,081

NY

Harbor

ULSD

70

1/2021

USD

4,362,960

612,096

RBOB

Gasoline

3

1/2021

USD

177,673

20,809

100

oz

Gold

80

2/2021

USD

15,160,800

74,373

Brent

Crude

Oil

162

2/2021

USD

8,394,840

331,888

Lean

Hogs

6

2/2021

USD

168,660

10,143

Live

Cattle

44

2/2021

USD

2,024,440

30,764

LME

Aluminum

Base

Metal

1

2/2021

USD

49,375

285

LME

Aluminum

Base

Metal

2

2/2021

USD

98,700

(1,073)

LME

Aluminum

Base

Metal

3

2/2021

USD

148,088

(965)

LME

Aluminum

Base

Metal

3

2/2021

USD

148,103

2,294

LME

Aluminum

Base

Metal

9

2/2021

USD

443,925

15,498

LME

Aluminum

Base

Metal

12

2/2021

USD

592,350

(5,812)

LME

Aluminum

Base

Metal

15

2/2021

USD

740,089

16,482

LME

Aluminum

Base

Metal

17

2/2021

USD

839,341

27,605

151

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

25

2/2021

USD

$

1,233,306

$

36,370

LME

Aluminum

Base

Metal

29

2/2021

USD

1,431,513

(14,440)

LME

Aluminum

Base

Metal

40

2/2021

USD

1,974,400

(48,467)

LME

Aluminum

Base

Metal

51

2/2021

USD

2,522,906

107,906

LME

Copper

Base

Metal

1

2/2021

USD

193,944

2,889

LME

Copper

Base

Metal

1

2/2021

USD

193,940

11,838

LME

Copper

Base

Metal

1

2/2021

USD

193,938

19,710

LME

Copper

Base

Metal

1

2/2021

USD

193,933

12,955

LME

Copper

Base

Metal

2

2/2021

USD

387,933

40,709

LME

Copper

Base

Metal

2

2/2021

USD

387,734

51,412

LME

Copper

Base

Metal

2

2/2021

USD

387,961

41,249

LME

Copper

Base

Metal

6

2/2021

USD

1,163,030

153,159

LME

Copper

Base

Metal

6

2/2021

USD

1,163,588

92,968

LME

Copper

Base

Metal

7

2/2021

USD

1,357,664

148,921

LME

Copper

Base

Metal

12

2/2021

USD

2,326,572

255,741

LME

Lead

Base

Metal

1

2/2021

USD

49,624

4,772

LME

Lead

Base

Metal

2

2/2021

USD

99,362

7,539

LME

Lead

Base

Metal

2

2/2021

USD

99,348

6,943

LME

Lead

Base

Metal

3

2/2021

USD

149,189

(3,459)

LME

Lead

Base

Metal

5

2/2021

USD

248,189

21,058

LME

Lead

Base

Metal

9

2/2021

USD

447,581

15,108

LME

Lead

Base

Metal

10

2/2021

USD

496,450

33,553

LME

Lead

Base

Metal

10

2/2021

USD

496,953

24,576

LME

Lead

Base

Metal

18

2/2021

USD

895,275

(59,672)

LME

Nickel

Base

Metal

1

2/2021

USD

99,499

3,714

LME

Nickel

Base

Metal

1

2/2021

USD

99,546

2,163

LME

Nickel

Base

Metal

1

2/2021

USD

99,490

4,810

LME

Nickel

Base

Metal

3

2/2021

USD

298,575

12,726

LME

Nickel

Base

Metal

3

2/2021

USD

298,571

13,412

LME

Nickel

Base

Metal

4

2/2021

USD

397,869

24,908

LME

Nickel

Base

Metal

6

2/2021

USD

596,913

26,458

LME

Nickel

Base

Metal

7

2/2021

USD

696,462

31,980

LME

Nickel

Base

Metal

8

2/2021

USD

796,337

22,074

LME

Zinc

Base

Metal

1

2/2021

USD

68,596

(1,582)

LME

Zinc

Base

Metal

1

2/2021

USD

68,427

5,003

LME

Zinc

Base

Metal

1

2/2021

USD

68,587

(160)

LME

Zinc

Base

Metal

2

2/2021

USD

137,092

3,069

LME

Zinc

Base

Metal

2

2/2021

USD

137,061

(2,369)

LME

Zinc

Base

Metal

2

2/2021

USD

137,000

5,536

LME

Zinc

Base

Metal

3

2/2021

USD

205,307

11,198

LME

Zinc

Base

Metal

3

2/2021

USD

205,445

7,436

LME

Zinc

Base

Metal

4

2/2021

USD

274,083

(1,404)

LME

Zinc

Base

Metal

4

2/2021

USD

273,670

17,458

LME

Zinc

Base

Metal

6

2/2021

USD

411,462

(321)

Natural

Gas

7

2/2021

USD

176,820

(7,953)

RBOB

Gasoline

45

2/2021

USD

2,675,106

67,255

Sugar

No.

11

245

2/2021

USD

4,250,456

341,449

Cocoa

54

3/2021

USD

1,405,620

(38,111)

Coffee

'C'

48

3/2021

USD

2,308,500

209,482

Copper

7

3/2021

USD

615,825

80,672

Corn

350

3/2021

USD

8,470,000

1,030,676

Cotton

No.

2

31

3/2021

USD

1,210,860

103,514

Feeder

Cattle

25

3/2021

USD

1,752,813

(22,597)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,458

(1,245)

LME

Aluminum

Base

Metal

1

3/2021

USD

49,400

(2,257)

LME

Aluminum

Base

Metal

2

3/2021

USD

98,863

(3,143)

152

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

3/2021

USD

$

98,908

$

(1,585)

LME

Aluminum

Base

Metal

2

3/2021

USD

98,869

(3,436)

LME

Aluminum

Base

Metal

6

3/2021

USD

296,888

(2,970)

LME

Aluminum

Base

Metal

10

3/2021

USD

494,500

(13,055)

LME

Aluminum

Base

Metal

12

3/2021

USD

592,800

(16,238)

LME

Aluminum

Base

Metal

14

3/2021

USD

691,600

(19,230)

LME

Aluminum

Base

Metal

15

3/2021

USD

741,079

(28,325)

LME

Aluminum

Base

Metal

18

3/2021

USD

890,775

(1,559)

LME

Aluminum

Base

Metal

21

3/2021

USD

1,037,400

(33,137)

LME

Aluminum

Base

Metal

28

3/2021

USD

1,383,200

(22,190)

LME

Aluminum

Base

Metal

33

3/2021

USD

1,632,749

(18,278)

LME

Aluminum

Base

Metal

41

3/2021

USD

2,024,990

(85,943)

LME

Aluminum

Base

Metal

698

3/2021

USD

34,507,374

1,347,477

LME

Copper

Base

Metal

1

3/2021

USD

194,123

(1,980)

LME

Copper

Base

Metal

1

3/2021

USD

194,163

(1,965)

LME

Copper

Base

Metal

1

3/2021

USD

194,142

(2,579)

LME

Copper

Base

Metal

2

3/2021

USD

388,024

4,519

LME

Copper

Base

Metal

2

3/2021

USD

388,292

(3,783)

LME

Copper

Base

Metal

2

3/2021

USD

388,188

(11,368)

LME

Copper

Base

Metal

3

3/2021

USD

582,281

1,023

LME

Copper

Base

Metal

4

3/2021

USD

776,600

2,179

LME

Copper

Base

Metal

4

3/2021

USD

775,939

10,928

LME

Copper

Base

Metal

7

3/2021

USD

1,358,560

16,117

LME

Copper

Base

Metal

7

3/2021

USD

1,358,796

(31,597)

LME

Copper

Base

Metal

54

3/2021

USD

10,481,738

33,945

LME

Copper

Base

Metal

56

3/2021

USD

10,865,428

8,281

LME

Copper

Base

Metal

79

3/2021

USD

15,339,331

1,757,426

LME

Lead

Base

Metal

1

3/2021

USD

49,785

(1,440)

LME

Lead

Base

Metal

1

3/2021

USD

49,824

(2,864)

LME

Lead

Base

Metal

1

3/2021

USD

49,777

(1,476)

LME

Lead

Base

Metal

2

3/2021

USD

99,663

(2,693)

LME

Lead

Base

Metal

2

3/2021

USD

99,674

1,221

LME

Lead

Base

Metal

2

3/2021

USD

99,727

(3,378)

LME

Lead

Base

Metal

3

3/2021

USD

149,510

(5,108)

LME

Lead

Base

Metal

4

3/2021

USD

199,333

1,622

LME

Lead

Base

Metal

5

3/2021

USD

249,079

(5,905)

LME

Lead

Base

Metal

7

3/2021

USD

348,819

(16,075)

LME

Lead

Base

Metal

8

3/2021

USD

398,150

(13,071)

LME

Lead

Base

Metal

11

3/2021

USD

547,371

(20,533)

LME

Lead

Base

Metal

97

3/2021

USD

4,837,269

326,483

LME

Nickel

Base

Metal

1

3/2021

USD

99,654

(6,244)

LME

Nickel

Base

Metal

1

3/2021

USD

99,656

(1,228)

LME

Nickel

Base

Metal

2

3/2021

USD

199,210

2,620

LME

Nickel

Base

Metal

2

3/2021

USD

199,344

(6,702)

LME

Nickel

Base

Metal

2

3/2021

USD

199,240

(9,116)

LME

Nickel

Base

Metal

2

3/2021

USD

199,230

(2,676)

LME

Nickel

Base

Metal

3

3/2021

USD

298,740

11,091

LME

Nickel

Base

Metal

10

3/2021

USD

995,850

31,266

LME

Nickel

Base

Metal

81

3/2021

USD

8,071,488

182,677

LME

Zinc

Base

Metal

1

3/2021

USD

68,771

(582)

LME

Zinc

Base

Metal

2

3/2021

USD

137,529

(2,002)

LME

Zinc

Base

Metal

4

3/2021

USD

274,566

(1,212)

LME

Zinc

Base

Metal

4

3/2021

USD

274,883

(13,127)

LME

Zinc

Base

Metal

6

3/2021

USD

412,437

(13,020)

LME

Zinc

Base

Metal

10

3/2021

USD

686,495

(7,530)

LME

Zinc

Base

Metal

11

3/2021

USD

755,686

(24,246)

153

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

79

3/2021

USD

$

5,429,927

$

358,186

Low

Sulphur

Gasoil

4

3/2021

USD

170,000

(2,291)

Silver

19

3/2021

USD

2,509,140

141,999

Soybean

21

3/2021

USD

1,376,550

134,964

Soybean

Meal

90

3/2021

USD

3,864,600

358,552

Soybean

Oil

73

3/2021

USD

1,857,120

207,027

100

oz

Gold

19

4/2021

USD

3,609,240

(9,428)

Lean

Hogs

1

4/2021

USD

28,900

(86)

Live

Cattle

9

4/2021

USD

429,300

1,863

14,877,214

Short

Contracts

LME

Aluminum

Base

Metal

(6)

1/2021

USD

(296,813)

(24,874)

LME

Aluminum

Base

Metal

(7)

1/2021

USD

(346,138)

(20,449)

LME

Aluminum

Base

Metal

(10)

1/2021

USD

(493,645)

(49,925)

LME

Aluminum

Base

Metal

(16)

1/2021

USD

(791,500)

(71,491)

LME

Aluminum

Base

Metal

(17)

1/2021

USD

(840,527)

(52,415)

LME

Aluminum

Base

Metal

(21)

1/2021

USD

(1,036,140)

(104,852)

LME

Aluminum

Base

Metal

(27)

1/2021

USD

(1,335,656)

(106,855)

LME

Aluminum

Base

Metal

(32)

1/2021

USD

(1,582,000)

(97,294)

LME

Aluminum

Base

Metal

(36)

1/2021

USD

(1,779,309)

(112,615)

LME

Aluminum

Base

Metal

(39)

1/2021

USD

(1,924,738)

(184,965)

LME

Aluminum

Base

Metal

(43)

1/2021

USD

(2,127,242)

(152,990)

LME

Aluminum

Base

Metal

(44)

1/2021

USD

(2,176,900)

(139,830)

LME

Aluminum

Base

Metal

(47)

1/2021

USD

(2,325,325)

(157,297)

LME

Aluminum

Base

Metal

(50)

1/2021

USD

(2,497,650)

(322,698)

LME

Aluminum

Base

Metal

(50)

1/2021

USD

(2,473,488)

(151,177)

LME

Aluminum

Base

Metal

(85)

1/2021

USD

(4,205,375)

(291,728)

LME

Aluminum

Base

Metal

(86)

1/2021

USD

(4,246,379)

(359,783)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,888)

(25,766)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,796)

(23,661)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,704)

(49,534)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,563)

(51,218)

LME

Copper

Base

Metal

(4)

1/2021

USD

(775,481)

(105,760)

LME

Copper

Base

Metal

(4)

1/2021

USD

(775,525)

(78,236)

LME

Copper

Base

Metal

(4)

1/2021

USD

(775,215)

(93,626)

LME

Copper

Base

Metal

(5)

1/2021

USD

(968,719)

(152,178)

LME

Copper

Base

Metal

(10)

1/2021

USD

(1,939,063)

(265,889)

LME

Copper

Base

Metal

(10)

1/2021

USD

(1,939,438)

(232,089)

LME

Copper

Base

Metal

(10)

1/2021

USD

(1,937,250)

(307,129)

LME

Copper

Base

Metal

(12)

1/2021

USD

(2,327,175)

(287,807)

LME

Copper

Base

Metal

(12)

1/2021

USD

(2,325,825)

(252,632)

LME

Copper

Base

Metal

(19)

1/2021

USD

(3,681,815)

(506,368)

LME

Copper

Base

Metal

(27)

1/2021

USD

(5,287,950)

(887,501)

LME

Lead

Base

Metal

(1)

1/2021

USD

(49,581)

(5,396)

LME

Lead

Base

Metal

(1)

1/2021

USD

(49,506)

(4,785)

LME

Lead

Base

Metal

(1)

1/2021

USD

(49,506)

(4,109)

LME

Lead

Base

Metal

(3)

1/2021

USD

(148,747)

(14,167)

LME

Lead

Base

Metal

(3)

1/2021

USD

(148,481)

(11,557)

LME

Lead

Base

Metal

(3)

1/2021

USD

(148,784)

(12,517)

LME

Lead

Base

Metal

(3)

1/2021

USD

(148,706)

(16,632)

LME

Lead

Base

Metal

(6)

1/2021

USD

(297,111)

(31,375)

LME

Lead

Base

Metal

(6)

1/2021

USD

(296,583)

(28,399)

LME

Lead

Base

Metal

(15)

1/2021

USD

(743,344)

(66,508)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,404)

(4,187)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,375)

(7,996)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(298,306)

(18,775)

154

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(3)

1/2021

USD

$

(298,293)

$

(9,023)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,344)

(45,855)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,705)

(21,157)

LME

Nickel

Base

Metal

(5)

1/2021

USD

(501,585)

(73,305)

LME

Nickel

Base

Metal

(5)

1/2021

USD

(496,905)

(34,945)

LME

Nickel

Base

Metal

(6)

1/2021

USD

(596,531)

(37,289)

LME

Nickel

Base

Metal

(8)

1/2021

USD

(795,192)

(23,904)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,246)

(9,467)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(69,119)

(11,153)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,233)

(10,230)

LME

Zinc

Base

Metal

(2)

1/2021

USD

(136,745)

(9,675)

LME

Zinc

Base

Metal

(4)

1/2021

USD

(273,519)

(20,233)

LME

Zinc

Base

Metal

(6)

1/2021

USD

(409,787)

(46,539)

LME

Zinc

Base

Metal

(6)

1/2021

USD

(409,763)

(44,614)

LME

Zinc

Base

Metal

(7)

1/2021

USD

(478,114)

(53,906)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,375)

(290)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,700)

1,044

LME

Aluminum

Base

Metal

(3)

2/2021

USD

(148,103)

(2,366)

LME

Aluminum

Base

Metal

(3)

2/2021

USD

(148,088)

1,003

LME

Aluminum

Base

Metal

(9)

2/2021

USD

(443,925)

(15,527)

LME

Aluminum

Base

Metal

(12)

2/2021

USD

(592,350)

3,414

LME

Aluminum

Base

Metal

(15)

2/2021

USD

(740,089)

(16,026)

LME

Aluminum

Base

Metal

(17)

2/2021

USD

(839,341)

(23,519)

LME

Aluminum

Base

Metal

(25)

2/2021

USD

(1,233,306)

(34,666)

LME

Aluminum

Base

Metal

(29)

2/2021

USD

(1,431,513)

13,814

LME

Aluminum

Base

Metal

(40)

2/2021

USD

(1,974,400)

35,482

LME

Aluminum

Base

Metal

(51)

2/2021

USD

(2,522,906)

(96,711)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,944)

(3,271)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,933)

(13,257)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,940)

(11,589)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,938)

(19,872)

LME

Copper

Base

Metal

(2)

2/2021

USD

(387,933)

(39,538)

LME

Copper

Base

Metal

(2)

2/2021

USD

(387,734)

(51,101)

LME

Copper

Base

Metal

(2)

2/2021

USD

(387,961)

(40,497)

LME

Copper

Base

Metal

(6)

2/2021

USD

(1,163,588)

(93,503)

LME

Copper

Base

Metal

(6)

2/2021

USD

(1,163,030)

(154,145)

LME

Copper

Base

Metal

(7)

2/2021

USD

(1,357,664)

(145,103)

LME

Copper

Base

Metal

(12)

2/2021

USD

(2,326,572)

(259,304)

LME

Lead

Base

Metal

(1)

2/2021

USD

(49,624)

(4,951)

LME

Lead

Base

Metal

(2)

2/2021

USD

(99,362)

(7,667)

LME

Lead

Base

Metal

(2)

2/2021

USD

(99,348)

(7,253)

LME

Lead

Base

Metal

(3)

2/2021

USD

(149,189)

3,804

LME

Lead

Base

Metal

(5)

2/2021

USD

(248,189)

(21,952)

LME

Lead

Base

Metal

(9)

2/2021

USD

(447,581)

(14,860)

LME

Lead

Base

Metal

(10)

2/2021

USD

(496,450)

(33,426)

LME

Lead

Base

Metal

(10)

2/2021

USD

(496,953)

(28,529)

LME

Lead

Base

Metal

(18)

2/2021

USD

(895,275)

54,581

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,499)

(4,042)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,490)

(4,993)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,546)

(2,372)

LME

Nickel

Base

Metal

(3)

2/2021

USD

(298,575)

(10,634)

LME

Nickel

Base

Metal

(3)

2/2021

USD

(298,571)

(13,459)

LME

Nickel

Base

Metal

(4)

2/2021

USD

(397,869)

(24,921)

LME

Nickel

Base

Metal

(6)

2/2021

USD

(596,913)

(27,915)

LME

Nickel

Base

Metal

(7)

2/2021

USD

(696,462)

(29,520)

LME

Nickel

Base

Metal

(8)

2/2021

USD

(796,337)

(25,081)

155

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

2/2021

USD

$

(68,587)

$

311

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,596)

1,771

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,427)

(4,929)

LME

Zinc

Base

Metal

(2)

2/2021

USD

(137,000)

(5,306)

LME

Zinc

Base

Metal

(2)

2/2021

USD

(137,061)

2,084

LME

Zinc

Base

Metal

(2)

2/2021

USD

(137,092)

(3,147)

LME

Zinc

Base

Metal

(3)

2/2021

USD

(205,445)

(7,078)

LME

Zinc

Base

Metal

(3)

2/2021

USD

(205,307)

(11,079)

LME

Zinc

Base

Metal

(4)

2/2021

USD

(273,670)

(17,362)

LME

Zinc

Base

Metal

(4)

2/2021

USD

(274,083)

705

LME

Zinc

Base

Metal

(6)

2/2021

USD

(411,462)

(1,380)

NY

Harbor

ULSD

(15)

2/2021

USD

(935,802)

2,531

WTI

Crude

Oil

(137)

2/2021

USD

(6,662,310)

(198,690)

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,458)

1,202

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,400)

2,222

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,863)

3,002

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,908)

1,474

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,869)

3,382

LME

Aluminum

Base

Metal

(6)

3/2021

USD

(296,888)

3,057

LME

Aluminum

Base

Metal

(10)

3/2021

USD

(494,500)

13,133

LME

Aluminum

Base

Metal

(12)

3/2021

USD

(592,800)

17,665

LME

Aluminum

Base

Metal

(14)

3/2021

USD

(691,600)

14,659

LME

Aluminum

Base

Metal

(15)

3/2021

USD

(741,079)

25,752

LME

Aluminum

Base

Metal

(18)

3/2021

USD

(890,775)

3,097

LME

Aluminum

Base

Metal

(21)

3/2021

USD

(1,037,400)

34,601

LME

Aluminum

Base

Metal

(28)

3/2021

USD

(1,383,200)

25,267

LME

Aluminum

Base

Metal

(33)

3/2021

USD

(1,632,749)

17,987

LME

Aluminum

Base

Metal

(41)

3/2021

USD

(2,024,990)

83,335

LME

Aluminum

Base

Metal

(566)

3/2021

USD

(27,981,626)

(1,024,142)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,163)

1,812

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,123)

1,516

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,142)

2,381

LME

Copper

Base

Metal

(2)

3/2021

USD

(388,188)

11,112

LME

Copper

Base

Metal

(2)

3/2021

USD

(388,292)

3,989

LME

Copper

Base

Metal

(2)

3/2021

USD

(388,024)

(4,493)

LME

Copper

Base

Metal

(3)

3/2021

USD

(582,281)

(1,693)

LME

Copper

Base

Metal

(4)

3/2021

USD

(776,600)

(1,631)

LME

Copper

Base

Metal

(4)

3/2021

USD

(775,939)

(8,798)

LME

Copper

Base

Metal

(7)

3/2021

USD

(1,358,796)

29,719

LME

Copper

Base

Metal

(7)

3/2021

USD

(1,358,560)

(15,061)

LME

Copper

Base

Metal

(8)

3/2021

USD

(1,553,350)

6,191

LME

Copper

Base

Metal

(54)

3/2021

USD

(10,481,738)

26,335

LME

Copper

Base

Metal

(56)

3/2021

USD

(10,865,428)

(18,570)

LME

Lead

Base

Metal

(1)

3/2021

USD

(49,777)

1,305

LME

Lead

Base

Metal

(1)

3/2021

USD

(49,785)

1,388

LME

Lead

Base

Metal

(1)

3/2021

USD

(49,824)

2,949

LME

Lead

Base

Metal

(2)

3/2021

USD

(99,674)

(1,179)

LME

Lead

Base

Metal

(2)

3/2021

USD

(99,663)

2,442

LME

Lead

Base

Metal

(2)

3/2021

USD

(99,727)

2,891

LME

Lead

Base

Metal

(3)

3/2021

USD

(149,510)

5,208

LME

Lead

Base

Metal

(4)

3/2021

USD

(199,333)

(2,143)

LME

Lead

Base

Metal

(5)

3/2021

USD

(249,079)

5,408

LME

Lead

Base

Metal

(7)

3/2021

USD

(348,819)

15,782

LME

Lead

Base

Metal

(8)

3/2021

USD

(398,150)

11,631

LME

Lead

Base

Metal

(11)

3/2021

USD

(547,371)

23,851

LME

Lead

Base

Metal

(87)

3/2021

USD

(4,338,581)

47,706

156

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

3/2021

USD

$

(99,654)

$

6,184

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,656)

395

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,230)

2,364

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,240)

8,355

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,210)

(3,196)

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,344)

6,030

LME

Nickel

Base

Metal

(3)

3/2021

USD

(298,740)

(10,929)

LME

Nickel

Base

Metal

(10)

3/2021

USD

(995,850)

(29,880)

LME

Nickel

Base

Metal

(92)

3/2021

USD

(9,167,616)

(797,017)

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,771)

410

LME

Zinc

Base

Metal

(2)

3/2021

USD

(137,529)

1,715

LME

Zinc

Base

Metal

(4)

3/2021

USD

(274,566)

1,422

LME

Zinc

Base

Metal

(4)

3/2021

USD

(274,883)

12,924

LME

Zinc

Base

Metal

(6)

3/2021

USD

(412,437)

13,521

LME

Zinc

Base

Metal

(10)

3/2021

USD

(686,495)

7,076

LME

Zinc

Base

Metal

(11)

3/2021

USD

(755,686)

23,844

LME

Zinc

Base

Metal

(61)

3/2021

USD

(4,192,728)

(174,074)

Wheat

(3)

3/2021

USD

(96,075)

(9,504)

Platinum

(3)

10/2021

JPY

(50,845)

(1,549)

Platinum

(9)

12/2021

JPY

(153,014)

(379)

(9,375,164)

$

5,502,050

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(200,142)

$

–

$

(200,142)

Investment

Companies

64,672

–

64,672

GSCO

Cash

–

393,649

393,649

GSIN

Cash

(34,545)

–

(34,545)

JPPC

Cash

–

530,777

530,777

MSCL

Cash

–

454,769

454,769

SOCG

Cash

(1,330,060)

–

(1,330,060)

157

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

13.0%

Federal

Republic

of

Germany

0.50%,

4/15/2030

(a)(b)

EUR

2,916,147

4,277,315

French

Republic

1.85%,

7/25/2027

(a)(b)

1,005,283

1,508,013

0.10%,

3/1/2029

(a)(b)

502,835

693,688

0.70%,

7/25/2030

(a)(b)

1,047,801

1,553,571

United

Kingdom

Gilt

Inflation

Linked

1.25%,

11/22/2027

(a)(b)

GBP

614,138

1,113,112

0.13%,

8/10/2028

(a)(b)

316,167

546,186

0.13%,

3/22/2029

(a)(b)

520,589

913,605

1.25%,

11/22/2032

(a)(b)

677,655

1,471,024

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$11,187,496)

12,076,514

U.S.

TREASURY

OBLIGATIONS

-

26.2%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024

$

100,000

108,814

0.25%,

1/15/2025

(c)

400,000

474,488

0.13%,

4/15/2025

700,000

759,095

0.38%,

7/15/2025

(c)

500,000

602,960

0.13%,

7/15/2026

165,000

197,105

0.38%,

1/15/2027

100,000

120,283

0.38%,

7/15/2027

2,190,000

2,622,557

0.50%,

1/15/2028

(c)

2,400,000

2,872,501

0.75%,

7/15/2028

2,370,000

2,859,030

0.88%,

1/15/2029

(c)

2,595,000

3,144,628

0.25%,

7/15/2029

3,400,000

3,917,582

0.13%,

1/15/2030

3,600,000

4,064,062

0.13%,

7/15/2030

2,300,000

2,620,053

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$23,073,120)

24,363,158

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

56.7%

INVESTMENT

COMPANIES

-

33.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(d)(e)

928,773

928,773

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(d)

30,587,065

30,574,831

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(d)

8,257

8,257

TOTAL

INVESTMENT

COMPANIES

(Cost

$31,517,232)

31,511,861

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

22.9%

U.S.

Treasury

Bills

0.13%,

1/28/2021

(f)

$

173,000

172,993

0.12%,

2/11/2021

(f)(g)

877,000

876,944

0.11%,

3/25/2021

(f)

328,000

327,945

0.11%,

4/1/2021

(f)

6,879,000

6,877,670

0.11%,

4/8/2021

(f)

6,627,000

6,625,702

0.12%,

4/15/2021

(f)

601,000

600,861

0.12%,

4/22/2021

(f)(g)

3,202,000

3,201,232

0.11%,

5/13/2021

(f)

1,650,000

1,649,520

0.10%,

5/20/2021

(f)

463,000

462,858

0.09%,

5/27/2021

(f)

295,000

294,909

0.09%,

6/3/2021

(f)

241,000

240,917

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$21,329,635)

21,331,551

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$52,846,867)

52,843,412

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.9%

(Cost

$87,107,483)

89,283,084

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.1%

(h)

3,823,094

NET

ASSETS

-

100.0%

93,106,178

(a)

Inflation

protected

security.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

December

31,

2020,

the

value

of

these

securities

amounted

to

$12,076,514

or

12.97%

of

net

assets.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(d)

Represents

7-day

effective

yield

as

of

December

31,

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).

158

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Canada

10

Year

Bond

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

03/22/2021

CAD

745,500

$

131

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

726,000

99,752

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

39,060

3,025

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

78,120

7,180

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

1,360,950

3,932

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

HKD

4,082,850

13,337

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

1,070,100

3,451

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

HKD

16,586,550

57,427

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/17/2021

BRL

1,192,300

7,063

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/11/2021

KRW

1,070,162,500

65,136

Live

Cattle

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

230,050

9,051

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/01/2021

USD

47,700

135

SGX

NIFTY

50

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

USD

84,096

207

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

131,100

16,409

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

2,622,000

343,404

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/19/2021

USD

214,700

18,946

159

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

644,100

$

58,064

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

101,760

12,159

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

1,093,920

130,910

Sugar

No.

11

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/16/2021

USD

17,349

3,156

Sugar

No.

11

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/16/2021

USD

34,698

6,450

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

532,200

22,120

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/20/2021

TWD

32,291,600

48,931

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

128,100

6,310

936,686

Live

Cattle

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

(46,010)

(148)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(917,700)

(51,856)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(131,100)

(20,685)

(72,689)

$

863,997

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

5

1/2021

EUR

$

762,957

$

5,031

Hang

Seng

Index

6

1/2021

HKD

1,053,306

27,935

HSCEI

9

1/2021

HKD

621,152

17,786

LME

Aluminum

Base

Metal

1

1/2021

USD

49,475

3,085

LME

Aluminum

Base

Metal

1

1/2021

USD

49,953

6,243

LME

Aluminum

Base

Metal

2

1/2021

USD

98,938

7,782

160

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

1/2021

USD

$

98,753

$

8,109

LME

Aluminum

Base

Metal

2

1/2021

USD

98,942

7,136

LME

Aluminum

Base

Metal

2

1/2021

USD

98,729

9,796

LME

Aluminum

Base

Metal

3

1/2021

USD

148,328

9,280

LME

Aluminum

Base

Metal

3

1/2021

USD

148,406

11,710

LME

Aluminum

Base

Metal

3

1/2021

USD

148,345

10,253

LME

Aluminum

Base

Metal

3

1/2021

USD

148,425

10,291

LME

Aluminum

Base

Metal

3

1/2021

USD

148,276

9,472

LME

Aluminum

Base

Metal

5

1/2021

USD

246,761

23,691

LME

Copper

Base

Metal

1

1/2021

USD

193,780

25,277

LME

Copper

Base

Metal

1

1/2021

USD

193,796

24,216

LME

Copper

Base

Metal

1

1/2021

USD

193,819

21,272

LME

Copper

Base

Metal

2

1/2021

USD

387,488

60,982

LME

Zinc

Base

Metal

1

1/2021

USD

68,298

7,720

NY

Harbor

ULSD

6

1/2021

USD

373,968

52,624

RBOB

Gasoline

2

1/2021

USD

118,448

13,873

SGX

NIFTY

50

Index

17

1/2021

USD

476,544

1,842

100

oz

Gold

18

2/2021

USD

3,411,180

(36,258)

Brent

Crude

Oil

56

2/2021

USD

2,901,920

144,880

Lean

Hogs

9

2/2021

USD

252,990

13,604

Live

Cattle

3

2/2021

USD

138,030

4,966

LME

Aluminum

Base

Metal

1

2/2021

USD

49,332

1,455

LME

Aluminum

Base

Metal

1

2/2021

USD

49,360

(1,212)

LME

Aluminum

Base

Metal

2

2/2021

USD

98,938

4,232

LME

Aluminum

Base

Metal

2

2/2021

USD

98,650

3,444

LME

Aluminum

Base

Metal

2

2/2021

USD

98,746

3,248

LME

Zinc

Base

Metal

1

2/2021

USD

68,418

4,365

NY

Harbor

ULSD

5

2/2021

USD

311,934

1,090

RBOB

Gasoline

12

2/2021

USD

713,362

16,065

Sugar

No.

11

80

2/2021

USD

1,387,904

218,576

Australia

10

Year

Bond

36

3/2021

AUD

4,086,253

8,089

Canada

10

Year

Bond

36

3/2021

CAD

4,216,828

3,688

Cocoa

12

3/2021

USD

312,360

(13,670)

Coffee

'C'

10

3/2021

USD

480,938

12,267

Corn

76

3/2021

USD

1,839,200

242,252

Cotton

No.

2

9

3/2021

USD

351,540

30,332

DAX

Index

1

3/2021

EUR

419,820

14,827

Euro-Bund

103

3/2021

EUR

22,352,432

1,968

Feeder

Cattle

1

3/2021

USD

70,113

(1,212)

FTSE/JSE

Top

40

Index

8

3/2021

ZAR

297,369

(2,111)

FTSE/MIB

Index

6

3/2021

EUR

811,017

9,304

Japan

10

Year

Bond

Mini

108

3/2021

JPY

15,881,768

(24,723)

KC

HRW

Wheat

6

3/2021

USD

181,050

12,706

KOSPI

200

Index

6

3/2021

KRW

537,352

36,896

LME

Aluminum

Base

Metal

2

3/2021

USD

98,975

(173)

LME

Aluminum

Base

Metal

5

3/2021

USD

246,950

(10,481)

LME

Aluminum

Base

Metal

6

3/2021

USD

296,400

(8,242)

LME

Aluminum

Base

Metal

38

3/2021

USD

1,878,625

66,765

LME

Copper

Base

Metal

1

3/2021

USD

194,094

341

LME

Copper

Base

Metal

1

3/2021

USD

194,150

545

LME

Copper

Base

Metal

23

3/2021

USD

4,465,881

604,325

LME

Lead

Base

Metal

2

3/2021

USD

99,738

7,721

LME

Nickel

Base

Metal

1

3/2021

USD

99,610

18

LME

Nickel

Base

Metal

2

3/2021

USD

199,296

8,691

LME

Zinc

Base

Metal

1

3/2021

USD

68,691

(2,493)

LME

Zinc

Base

Metal

10

3/2021

USD

687,333

68,540

161

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Low

Sulphur

Gasoil

12

3/2021

USD

$

510,000

$

16,336

Russell

2000

E-Mini

Index

13

3/2021

USD

1,283,620

35,976

S&P

500

E-Mini

Index

90

3/2021

USD

16,869,600

445,874

S&P

Midcap

400

E-Mini

Index

5

3/2021

USD

1,151,750

28,500

S&P/TSX

60

Index

7

3/2021

CAD

1,131,636

(10,948)

Silver

7

3/2021

USD

924,420

52,021

Soybean

Meal

23

3/2021

USD

987,620

93,997

SPI

200

Index

2

3/2021

AUD

251,985

(871)

TOPIX

Index

16

3/2021

JPY

2,796,184

62,268

U.S.

Treasury

10

Year

Note

574

3/2021

USD

79,256,843

87,816

Wheat

9

3/2021

USD

288,225

7,420

100

oz

Gold

4

4/2021

USD

759,840

(1,985)

Lean

Hogs

2

4/2021

USD

57,800

(170)

2,636,265

Short

Contracts

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,953)

(6,593)

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,475)

(3,178)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,753)

(8,359)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,729)

(9,985)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,942)

(7,112)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,938)

(8,292)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,276)

(9,385)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,345)

(10,279)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,425)

(10,282)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,328)

(9,250)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,406)

(11,873)

LME

Aluminum

Base

Metal

(5)

1/2021

USD

(246,761)

(23,714)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,819)

(21,171)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,780)

(25,243)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,796)

(23,661)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,488)

(60,871)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,298)

(7,757)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,360)

887

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,332)

(1,387)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,746)

(3,369)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,650)

(3,502)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,938)

(3,744)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,418)

(4,340)

LME

Aluminum

Base

Metal

(2)

3/2021

USD

(98,975)

344

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(246,950)

10,163

LME

Aluminum

Base

Metal

(6)

3/2021

USD

(296,400)

6,282

LME

Aluminum

Base

Metal

(18)

3/2021

USD

(889,875)

(49,918)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,150)

(408)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,094)

(564)

LME

Copper

Base

Metal

(3)

3/2021

USD

(582,506)

(26,632)

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,610)

(613)

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,691)

2,582

LME

Zinc

Base

Metal

(2)

3/2021

USD

(137,467)

(12,478)

(343,702)

$

2,292,563

162

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

GBP

346,000

USD

462,479

CITI

3/17/2021

$

10,888

USD

327,417

EUR

266,000

CITI

3/17/2021

1,931

Total

unrealized

appreciation

12,819

USD

4,599,566

EUR

3,844,905

CITI

3/17/2021

(105,171)

USD

3,678,086

EUR

3,081,904

JPMC

3/17/2021

(93,021)

USD

2,746,042

GBP

2,055,917

CITI

3/17/2021

(66,682)

USD

1,766,636

GBP

1,323,913

JPMC

3/17/2021

(44,625)

Total

unrealized

depreciation

(309,499)

Net

unrealized

depreciation

$

(296,680)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

1,366,451

$

1,366,451

CITI

Investment

Companies

351,484

–

351,484

GSCO

Cash

–

25,503

25,503

U.S.

Treasury

Inflation

Linked

Notes

–

543,175

543,175

GSIN

Cash

432,511

–

432,511

JPMC

Investment

Companies

491,840

–

491,840

JPMS

Cash

–

113,325

113,325

MLIN

Cash

(110,000)

–

(110,000)

MSCL

U.S.

Treasury

Inflation

Linked

Notes

–

894,245

894,245

163

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(100,016)

$

–

$

(100,016)

Investment

Companies

85,449

–

85,449

GSCO

Cash

–

129,121

129,121

GSIN

Cash

(420,057)

–

(420,057)

U.S.

Treasury

Bills

409,953

–

409,953

JPPC

Cash

–

1,245

1,245

MSCL

Cash

–

206,300

206,300

SOCG

Cash

40,000

–

40,000

164

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

LONG

POSITIONS

-

92.6%

COMMON

STOCKS

-

4.5%

Italy

-

4.5%

A2A

SpA

(a)

2,484,254

3,981,934

Assicurazioni

Generali

SpA

(a)

73,460

1,286,167

Azimut

Holding

SpA

(a)

42,415

921,852

Banco

BPM

SpA

(a)

374,956

831,932

Buzzi

Unicem

SpA

(a)

112,942

2,696,232

DiaSorin

SpA

(a)

7,033

1,468,425

Enel

SpA

(a)

14,848

151,074

Hera

SpA

(a)

651,308

2,370,071

Intesa

Sanpaolo

SpA

*(a)

223,117

527,386

Italgas

SpA

(a)

278,030

1,771,055

Leonardo

SpA

(a)

345,112

2,494,530

Mediobanca

Banca

di

Credito

Finanziario

SpA

*(a)

18,937

175,297

Poste

Italiane

SpA

(a)(b)

171,950

1,758,836

Prysmian

SpA

(a)

37,830

1,346,470

Saipem

SpA

(a)

268,226

728,100

Terna

Rete

Elettrica

Nazionale

SpA

(a)

415,197

3,190,449

Unipol

Gruppo

SpA

*(a)

627,992

3,017,756

TOTAL

COMMON

STOCKS

(Cost

$23,484,183)

28,717,566

SHORT-TERM

INVESTMENTS

-

88.1%

INVESTMENT

COMPANIES

-

38.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(c)(d)

66,703,051

66,703,051

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(c)(e)

182,306,333

182,233,410

TOTAL

INVESTMENT

COMPANIES

(Cost

$248,948,464)

248,936,461

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

49.3%

U.S.

Treasury

Bills

0.12%,

2/25/2021

(f)(g)

$

13,373,000

13,371,696

0.09%,

3/11/2021

(g)

49,000,000

48,993,263

0.12%,

3/18/2021

(g)(h)

34,421,000

34,416,114

0.11%,

3/25/2021

(g)(h)

52,136,000

52,127,310

0.11%,

4/8/2021

(g)(h)

49,111,000

49,101,383

0.12%,

4/15/2021

(g)

4,752,000

4,750,900

0.12%,

4/22/2021

(g)

11,924,000

11,921,138

0.11%,

4/29/2021

(g)(

i

)

31,625,000

31,616,413

0.11%,

5/6/2021

(g)(h)

16,003,000

15,998,526

0.11%,

5/13/2021

(g)(h)

33,207,000

33,197,332

0.10%,

5/20/2021

(g)(h)

7,646,000

7,643,653

0.09%,

5/27/2021

(g)(h)

13,729,000

13,724,774

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$316,836,412)

316,862,502

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$565,784,876)

565,798,963

TOTAL

LONG

POSITIONS

(Cost

$589,269,059)

594,516,529

INVESTMENTS

SHARES

VALUE

($)

SHORT

POSITIONS

-

(5.0)%

COMMON

STOCKS

-

(5.0)%

Canada

-

(0.5)%

SNC-Lavalin

Group,

Inc.

(1)

(206,119)

(3,518,710)

Italy

-

(3.8)%

Amplifon

SpA

*

(50,465)

(2,097,637)

Atlantia

SpA

*

(107,767)

(1,946,052)

Davide

Campari-Milano

NV

(372,810)

(4,273,271)

Eni

SpA

(119,261)

(1,245,050)

Ferrari

NV

(16,577)

(3,844,895)

FinecoBank

Banca

Fineco

SpA

*

(23,784)

(392,246)

Freni

Brembo

SpA

*

(201,033)

(2,665,368)

Infrastrutture

Wireless

Italiane

SpA

(b)

(168,258)

(2,039,704)

Moncler

SpA

*

(8,952)

(550,375)

Nexi

SpA

*(b)

(39,466)

(785,338)

Pirelli

&

C

SpA

*(b)

(124,267)

(673,667)

Recordati

Industria

Chimica

e

Farmaceutica

SpA

(16,824)

(935,563)

Salvatore

Ferragamo

SpA

*

(27,212)

(528,395)

Snam

SpA

(197,506)

(1,115,434)

Telecom

Italia

SpA

(339,849)

(157,741)

UniCredit

SpA

*

(25,408)

(238,058)

(23,488,794)

—

Portugal

-

0.0%

(j)

Banco

Espirito

Santo

SA

(Registered)

(3)*(k)

(216,618)

(3)

United

Kingdom

-

(0.5)%

CNH

Industrial

NV

*

(280,992)

(3,532,187)

United

States

-

(0.2)%

Tenaris

SA

(160,794)

(1,303,033)

TOTAL

COMMON

STOCKS

(Proceeds

$(30,929,929))

(31,842,727)

TOTAL

SHORT

POSITIONS

(Proceeds

$(30,929,929))

(31,842,727)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

87.6%

(Cost

$558,339,130)

562,673,802

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.4%

(l)

79,689,092

NET

ASSETS

-

100.0%

642,362,894

165

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

*

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

$28,771,843.

In

addition,

$5,978,110

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

December

31,

2020

amounted

to

$(1,739,873),

which

represents

approximately

(0.27)%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

December

31,

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

December

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

Represents

less

than

0.05%

of

net

assets.

(k)

Security

fair

valued

as

of

December

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

December

31,

2020

amounted

to

$(3),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,197,445)

(0.3)

%

Consumer

Discretionary

(8,262,699)

(1.3)

Consumer

Staples

(4,273,272)

(0.7)

Energy

(1,819,984)

(0.3)

Financials

7,888,919

1.2

Health

Care

(1,564,775)

(0.2)

Industrials

(5,155,949)

(0.8)

Information

Technology

(785,338)

(0.1)

Materials

2,696,232

0.4

Utilities

10,349,150

1.6

Short-Term

Investments

565,798,963

88.1

Total

Investments

In

Securities

At

Value

562,673,802

87.6

Other

Assets

in

Excess

of

Liabilities

(l

)

79,689,092

12.4

Net

Assets

$

642,362,894

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

12/31/2020

Shares

Held

At

12/31/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

28.4%

INVESTMENT

COMPANIES

-

28.4%

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)

(Cost

$182,245,413)

$806,746,055

$2,617,082,037

$(3,241,979,357)

$588,925

$(204,250)

$182,233,410

182,306,333

$3,653,500

$26,561

(a)

Represents

7-day

effective

yield

as

of

December

31,

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).

166

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

December

31,

2020:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3M

BA

Qtrly

0.75%

Semi

6/14/2023

CAD

276,300,000

$

462,702

$

422,331

$

885,033

Pay

6M

EURIBOR

Semi

0.00%

Annual

6/16/2031

EUR

40,600,000

1,019,950

195,556

1,215,506

Pay

6M

LIBOR

Semi

0.25%

Semi

3/17/2023

GBP

106,700,000

352,381

235,019

587,400

Pay

6M

LIBOR

Semi

0.25%

Semi

6/16/2023

GBP

751,100,000

2,047,068

1,667,738

3,714,806

Receive

3M

BA

Qtrly

1.25%

Semi

6/16/2031

CAD

58,200,000

135,863

(29,574)

106,289

Receive

3M

BBR

Qtrly

0.00%

Qtrly

3/09/2023

AUD

52,100,000

48,753

13,525

62,278

Receive

6M

BBR

Semi

1.00%

Semi

6/12/2031

AUD

7,300,000

35,017

2,814

37,831

Receive

6M

EURIBOR

Semi

0.75%

Annual

6/16/2023

EUR

50,000,000

242,542

47,236

289,778

4,344,276

2,554,645

6,898,921

Pay

3M

BBR

Qtrly

0.00%

Qtrly

6/08/2023

AUD

34,800,000

(66,076)

9,061

(57,015)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

3/17/2031

USD

52,500,000

33,398

(1,077,446)

(1,044,048)

Pay

3M

LIBOR

Qtrly

0.75%

Semi

6/16/2031

USD

41,800,000

(886,240)

(102,246)

(988,486)

Pay

6M

BBR

Semi

1.00%

Semi

3/13/2031

AUD

10,800,000

77,921

(92,955)

(15,034)

Pay

6M

EURIBOR

Semi

0.25%

Annual

6/16/2031

EUR

9,600,000

23,154

(37,932)

(14,778)

Pay

6M

LIBOR

Semi

0.00%

Semi

3/19/2031

JPY

76,000,000

(3,854)

(257)

(4,111)

Pay

6M

LIBOR

Semi

0.00%

Semi

6/18/2031

JPY

15,843,800,000

(874,932)

(122,068)

(997,000)

Receive

3M

LIBOR

Qtrly

0.25%

Semi

3/17/2023

USD

254,800,000

(190,386)

(118,504)

(308,890)

Receive

3M

LIBOR

Qtrly

0.25%

Semi

6/16/2023

USD

189,600,000

(15,874)

(155,672)

(171,546)

Receive

6M

EURIBOR

Semi

0.5%

Annual

6/16/2023

EUR

205,000,000

(104,336)

25,024

(79,312)

Receive

6M

LIBOR

Semi

0.00%

Semi

3/15/2023

JPY

380,200,000

(3,246)

(465)

(3,711)

Receive

6M

LIBOR

Semi

0.00%

Semi

6/21/2023

JPY

78,395,700,000

(697,507)

(61,649)

(759,156)

Receive

6M

LIBOR

Semi

0.50%

Semi

3/17/2031

GBP

21,200,000

(112,941)

(147,600)

(260,541)

Receive

6M

LIBOR

Semi

0.50%

Semi

6/16/2031

GBP

153,500,000

410,950

(1,920,379)

(1,509,429)

(2,409,969)

(3,803,088)

(6,213,057)

$

1,934,307

$

(1,248,443)

$

685,864

Abbreviations:

3M:

3

Month

6M:

6

Month

Qtrly

:

Quarterly

Semi:

Semi-Annually

Annual:

Annually

(a)

Floating

rate

indices

at

December

31,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.01%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.48%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.24%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.02%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.53)%

6

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.26%

167

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

BIST

30

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/26/2021

TRY

5,091,595

$

19,105

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

38,106,600

133,861

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/11/2021

KRW

97,287,500

6,595

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/11/2021

KRW

1,070,162,500

65,136

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

37,494,600

4,321,518

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

10,537,560

432,015

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/19/2021

CHF

82,278,120

3,263,227

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/20/2021

TWD

46,969,600

70,371

TAIEX

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

01/20/2021

TWD

610,604,800

915,575

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

03/19/2021

PLN

1,713,120

7,416

WIG20

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

03/19/2021

PLN

3,784,800

13,620

MSCI

Emerging

Markets

Taiwan

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.55%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

03/19/2021

USD

1,713,386

67,231

MSCI

Mexico

Net

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

TIIE

plus

or

minus

a

specified

spread

(0.55%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/19/2021

MXN

94,924,211

86,030

168

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

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

(0.32%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/19/2021

EUR

78,828,793

$

1,631,526

MSCI

Poland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

WIBOR

plus

or

minus

a

specified

spread

(0.27%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/19/2021

PLN

750,666

564

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

(-0.24%)

Monthly

CITI

03/17/2021

EUR

(8,722,973)

248,349

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.48%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/19/2021

CHF

41,760,151

1,592,157

12,874,296

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/17/2021

BRL

(122,210,750)

(705,865)

iBovespa

Index

February

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

02/17/2021

BRL

(25,634,450)

(159,171)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

01/28/2021

USD

(1,653,888)

(5,953)

SGX

NIFTY

50

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

USD

(1,597,824)

(8,054)

Tel

Aviv

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/27/2021

ILS

(16,639,455)

(260,301)

MSCI

Israel

Daily

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

JPMC

03/17/2021

USD

(237,497)

(17,023)

169

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

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

(-0.75%)

Monthly

CITI

03/17/2021

ZAR

(243,639,323)

$

(24,002)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(0.40%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

03/19/2021

SEK

76,647,659

(45,350)

(1,225,719)

$

11,648,577

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Brent

Crude

Oil

361

1/2021

USD

$

18,699,800

$

371,771

FTSE

Bursa

Malaysia

KLCI

Index

14

1/2021

MYR

283,654

(2,066)

Hang

Seng

Index

11

1/2021

HKD

1,931,061

51,654

LME

Copper

Base

Metal

1

1/2021

USD

193,789

25,942

LME

Copper

Base

Metal

3

1/2021

USD

581,285

89,166

LME

Copper

Base

Metal

7

1/2021

USD

1,356,206

213,438

LME

Copper

Base

Metal

9

1/2021

USD

1,743,525

265,143

LME

Copper

Base

Metal

10

1/2021

USD

1,938,813

196,824

LME

Copper

Base

Metal

11

1/2021

USD

2,132,969

274,627

LME

Copper

Base

Metal

13

1/2021

USD

2,519,644

262,891

LME

Copper

Base

Metal

20

1/2021

USD

3,875,925

468,622

LME

Copper

Base

Metal

25

1/2021

USD

4,844,494

691,753

LME

Copper

Base

Metal

51

1/2021

USD

9,988,350

1,730,678

OMXS30

Index

74

1/2021

SEK

1,689,320

(17,450)

SGX

FTSE

Taiwan

Index

215

1/2021

USD

10,971,450

155,563

LME

Copper

Base

Metal

1

2/2021

USD

194,038

15,259

LME

Copper

Base

Metal

13

2/2021

USD

2,521,269

41,485

LME

Copper

Base

Metal

20

2/2021

USD

3,880,875

345,436

LME

Copper

Base

Metal

41

2/2021

USD

7,953,201

823,928

LME

Copper

Base

Metal

53

2/2021

USD

10,278,356

831,298

3

Month

Canadian

Bankers

Acceptance

264

3/2021

CAD

51,616,781

21,298

3

Month

Eurodollar

334

3/2021

USD

83,358,050

26,438

Australia

10

Year

Bond

290

3/2021

AUD

32,917,039

55,517

Canada

10

Year

Bond

979

3/2021

CAD

114,674,287

185,803

Copper

33

3/2021

USD

2,903,175

223,753

FTSE/MIB

Index

137

3/2021

EUR

18,518,217

232,236

Japan

10

Year

Bond

320

3/2021

JPY

470,818,847

(330,921)

KOSPI

200

Index

384

3/2021

KRW

34,390,500

2,322,301

LME

Copper

Base

Metal

1

3/2021

USD

193,998

1,996

170

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

3/2021

USD

$

194,026

$

148

LME

Copper

Base

Metal

4

3/2021

USD

776,455

(2,306)

LME

Copper

Base

Metal

10

3/2021

USD

1,941,228

(19,796)

LME

Copper

Base

Metal

12

3/2021

USD

2,329,800

7,168

LME

Copper

Base

Metal

16

3/2021

USD

3,105,280

36,888

LME

Copper

Base

Metal

23

3/2021

USD

4,462,276

51,966

LME

Copper

Base

Metal

23

3/2021

USD

4,465,272

(59,320)

LME

Copper

Base

Metal

181

3/2021

USD

35,144,544

1,006,740

MEX

BOLSA

Index

18

3/2021

MXN

401,256

3,110

Silver

8

3/2021

USD

1,056,480

93,455

Soybean

355

3/2021

USD

23,270,250

2,719,733

SPI

200

Index

260

3/2021

AUD

32,758,051

(350,453)

TOPIX

Index

745

3/2021

JPY

130,197,327

3,030,303

U.S.

Treasury

10

Year

Note

479

3/2021

USD

66,139,422

111,036

3

Month

Canadian

Bankers

Acceptance

1,436

6/2021

CAD

280,778,105

117,337

3

Month

Eurodollar

1,582

6/2021

USD

394,847,425

71,124

3

Month

Canadian

Bankers

Acceptance

1,420

9/2021

CAD

277,635,714

168,063

3

Month

Eurodollar

1,619

9/2021

USD

404,061,925

89,508

3

Month

Canadian

Bankers

Acceptance

1,172

12/2021

CAD

229,089,677

113,476

3

Month

Eurodollar

1,306

12/2021

USD

325,814,350

61,257

16,823,820

Short

Contracts

CAC

40

10

Euro

Index

(69)

1/2021

EUR

(4,671,565)

16,650

HSCEI

(65)

1/2021

HKD

(4,486,098)

(126,779)

IBEX

35

Index

(485)

1/2021

EUR

(47,818,918)

201,067

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,789)

(24,988)

LME

Copper

Base

Metal

(3)

1/2021

USD

(581,285)

(86,581)

LME

Copper

Base

Metal

(7)

1/2021

USD

(1,356,206)

(213,147)

LME

Copper

Base

Metal

(9)

1/2021

USD

(1,743,525)

(276,410)

LME

Copper

Base

Metal

(10)

1/2021

USD

(1,938,813)

(193,870)

LME

Copper

Base

Metal

(11)

1/2021

USD

(2,132,969)

(276,029)

LME

Copper

Base

Metal

(13)

1/2021

USD

(2,519,644)

(267,502)

LME

Copper

Base

Metal

(20)

1/2021

USD

(3,875,925)

(476,984)

LME

Copper

Base

Metal

(25)

1/2021

USD

(4,844,494)

(686,801)

LME

Copper

Base

Metal

(51)

1/2021

USD

(9,988,350)

(1,820,794)

MSCI

Singapore

Index

(322)

1/2021

SGD

(7,877,013)

33,359

Natural

Gas

(753)

1/2021

USD

(19,118,670)

(257,095)

SGX

NIFTY

50

Index

(47)

1/2021

USD

(1,317,504)

(125)

WTI

Crude

Oil

(16)

1/2021

USD

(776,320)

(10,521)

100

oz

Gold

(308)

2/2021

USD

(58,369,080)

(1,328,656)

LME

Copper

Base

Metal

(1)

2/2021

USD

(194,038)

(15,681)

LME

Copper

Base

Metal

(13)

2/2021

USD

(2,521,269)

(37,833)

LME

Copper

Base

Metal

(20)

2/2021

USD

(3,880,875)

(325,928)

LME

Copper

Base

Metal

(41)

2/2021

USD

(7,953,201)

(835,091)

LME

Copper

Base

Metal

(53)

2/2021

USD

(10,278,356)

(867,451)

3

Month

Sterling

(554)

3/2021

GBP

(94,689,906)

(18,234)

ASX

90

Day

Bank

Accepted

Bill

(341)

3/2021

AUD

(262,887,469)

(39,060)

Corn

(13)

3/2021

USD

(314,600)

(35,824)

DAX

Index

(126)

3/2021

EUR

(52,897,323)

(1,862,026)

EURO

STOXX

50

Index

(2,669)

3/2021

EUR

(115,750,727)

(1,405,896)

Euro-Bund

(1,233)

3/2021

EUR

(267,578,148)

(423,250)

FTSE

100

Index

(181)

3/2021

GBP

(15,890,624)

(28,479)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,026)

(311)

LME

Copper

Base

Metal

(1)

3/2021

USD

(193,998)

(2,264)

LME

Copper

Base

Metal

(4)

3/2021

USD

(776,455)

1,570

LME

Copper

Base

Metal

(10)

3/2021

USD

(1,941,228)

15,162

171

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(12)

3/2021

USD

$

(2,329,800)

$

(5,464)

LME

Copper

Base

Metal

(16)

3/2021

USD

(3,105,280)

(34,498)

LME

Copper

Base

Metal

(23)

3/2021

USD

(4,465,272)

52,853

LME

Copper

Base

Metal

(23)

3/2021

USD

(4,462,276)

(44,687)

LME

Copper

Base

Metal

(103)

3/2021

USD

(19,999,381)

(64,281)

Long

Gilt

(340)

3/2021

GBP

(63,019,324)

(326,910)

S&P

500

E-Mini

Index

(355)

3/2021

USD

(66,541,200)

(1,637,376)

S&P/TSX

60

Index

(113)

3/2021

CAD

(18,267,845)

155,970

SET50

Index

(1,062)

3/2021

THB

(6,419,499)

(555)

3

Month

Sterling

(3,075)

6/2021

GBP

(525,737,943)

(289,541)

ASX

90

Day

Bank

Accepted

Bill

(923)

6/2021

AUD

(711,551,767)

(53,501)

3

Month

Sterling

(3,107)

9/2021

GBP

(531,368,368)

(88,116)

ASX

90

Day

Bank

Accepted

Bill

(937)

9/2021

AUD

(722,326,722)

(57,464)

3

Month

Sterling

(2,533)

12/2021

GBP

(433,266,131)

(187,844)

ASX

90

Day

Bank

Accepted

Bill

(764)

12/2021

AUD

(588,918,679)

(21,045)

(14,278,261)

$

2,545,559

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

105,610,495

USD

77,340,228

CITI

3/17/2021

$

4,128,626

AUD

105,610,494

USD

77,340,324

JPMC

3/17/2021

4,128,527

BRL

35,050,000

USD

6,614,895

CITI

**

3/17/2021

122,500

BRL

35,050,000

USD

6,614,904

JPMC

**

3/17/2021

122,492

CAD

19,827,000

USD

15,227,727

CITI

3/17/2021

351,612

CAD

19,827,000

USD

15,227,746

JPMC

3/17/2021

351,594

CNY

65,465,500

USD

9,922,915

CITI

**

3/17/2021

96,767

CNY

65,465,500

USD

9,922,927

JPMC

**

3/17/2021

96,754

EUR

80,632,140

USD

97,690,324

CITI

3/17/2021

973,499

EUR

80,632,147

USD

97,690,455

JPMC

3/17/2021

973,381

GBP

24,422,624

USD

32,616,005

CITI

3/17/2021

796,873

GBP

24,422,625

USD

32,616,047

JPMC

3/17/2021

796,830

HUF

1,010,000,000

USD

3,318,000

CITI

3/17/2021

84,038

HUF

1,010,000,000

USD

3,318,004

JPMC

3/17/2021

84,034

ILS

6,162,000

USD

1,842,414

CITI

3/17/2021

77,566

ILS

6,162,000

USD

1,842,417

JPMC

3/17/2021

77,564

INR

499,124,346

USD

6,677,972

CITI

**

3/17/2021

105,792

INR

499,124,344

USD

6,677,980

JPMC

**

3/17/2021

105,784

JPY

6,663,218,679

USD

64,275,310

CITI

3/17/2021

309,123

JPY

6,663,218,677

USD

64,275,390

JPMC

3/17/2021

309,042

KRW

200,000,000

USD

183,448

CITI

**

3/17/2021

357

KRW

200,000,000

USD

183,448

JPMC

**

3/17/2021

357

MXN

542,567,169

USD

26,658,428

CITI

3/17/2021

388,062

MXN

542,567,172

USD

26,658,461

JPMC

3/17/2021

388,028

NOK

208,019,760

USD

23,508,655

CITI

3/17/2021

746,353

NOK

208,019,757

USD

23,508,684

JPMC

3/17/2021

746,324

NZD

83,606,929

USD

58,364,910

CITI

3/17/2021

1,809,061

NZD

83,606,928

USD

58,364,982

JPMC

3/17/2021

1,808,987

PLN

5,950,000

USD

1,580,781

CITI

3/17/2021

12,476

PLN

5,950,000

USD

1,580,783

JPMC

3/17/2021

12,474

172

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

14,110,500

USD

1,669,301

CITI

3/17/2021

$

47,049

SEK

14,110,500

USD

1,669,303

JPMC

3/17/2021

47,047

SGD

7,827,749

USD

5,838,789

CITI

3/17/2021

84,561

SGD

7,827,752

USD

5,838,799

JPMC

3/17/2021

84,554

TWD

288,316,160

USD

10,286,339

CITI

**

3/17/2021

100,463

TWD

288,316,156

USD

10,286,352

JPMC

**

3/17/2021

100,451

USD

7,186,351

CAD

9,145,500

CITI

3/17/2021

148

USD

7,186,342

CAD

9,145,500

JPMC

3/17/2021

139

USD

3,269,130

EUR

2,663,501

CITI

3/17/2021

9,991

USD

3,269,123

EUR

2,663,499

JPMC

3/17/2021

9,987

USD

1,496,770

MXN

30,000,000

CITI

3/17/2021

1,297

USD

1,496,768

MXN

30,000,000

JPMC

3/17/2021

1,295

USD

1,647,813

PLN

6,100,000

CITI

3/17/2021

14,390

USD

1,647,811

PLN

6,100,000

JPMC

3/17/2021

14,389

USD

7,805,434

SEK

63,800,500

CITI

3/17/2021

44,973

USD

7,805,424

SEK

63,800,500

JPMC

3/17/2021

44,963

USD

1,169,530

TWD

32,381,502

CITI

**

3/17/2021

2,962

USD

1,169,528

TWD

32,381,500

JPMC

**

3/17/2021

2,960

ZAR

116,000,000

USD

7,490,957

CITI

3/17/2021

331,501

ZAR

116,000,000

USD

7,490,966

JPMC

3/17/2021

331,491

Total

unrealized

appreciation

21,279,488

BRL

9,600,000

USD

1,879,434

CITI

**

3/17/2021

(34,099)

BRL

9,600,000

USD

1,879,437

JPMC

**

3/17/2021

(34,102)

CNY

268,500

USD

41,136

CITI

**

3/17/2021

(42)

CNY

268,500

USD

41,136

JPMC

**

3/17/2021

(42)

EUR

2,652,500

USD

3,253,194

CITI

3/17/2021

(7,518)

EUR

2,652,500

USD

3,253,198

JPMC

3/17/2021

(7,522)

HUF

380,000,000

USD

1,303,088

CITI

3/17/2021

(23,113)

HUF

380,000,000

USD

1,303,090

JPMC

3/17/2021

(23,114)

JPY

106,283,000

USD

1,030,207

CITI

3/17/2021

(40)

JPY

106,283,000

USD

1,030,208

JPMC

3/17/2021

(42)

TWD

943,500

USD

34,135

CITI

**

3/17/2021

(145)

TWD

943,500

USD

34,135

JPMC

**

3/17/2021

(145)

USD

11,570,890

AUD

15,845,000

CITI

3/17/2021

(652,080)

USD

11,570,876

AUD

15,845,000

JPMC

3/17/2021

(652,094)

USD

21,202,432

BRL

112,977,517

CITI

**

3/17/2021

(514,379)

USD

21,202,405

BRL

112,977,517

JPMC

**

3/17/2021

(514,406)

USD

35,642,397

CAD

46,316,824

CITI

3/17/2021

(751,690)

USD

35,642,354

CAD

46,316,826

JPMC

3/17/2021

(751,734)

USD

58,847,606

CHF

52,950,665

CITI

3/17/2021

(1,089,363)

USD

58,847,534

CHF

52,950,666

JPMC

3/17/2021

(1,089,436)

USD

7,730,777

CNY

51,191,000

CITI

**

3/17/2021

(104,152)

USD

7,730,768

CNY

51,191,000

JPMC

**

3/17/2021

(104,162)

USD

860,452

DKK

5,386,212

CITI

3/17/2021

(25,026)

USD

860,451

DKK

5,386,211

JPMC

3/17/2021

(25,027)

USD

4,484,957

EUR

3,697,827

CITI

3/17/2021

(39,810)

USD

4,484,958

EUR

3,697,832

JPMC

3/17/2021

(39,816)

USD

10,768,532

GBP

7,911,500

CITI

3/17/2021

(55,283)

USD

10,768,519

GBP

7,911,500

JPMC

3/17/2021

(55,297)

USD

11,396,942

HUF

3,469,500,000

CITI

3/17/2021

(289,562)

USD

11,396,928

HUF

3,469,500,000

JPMC

3/17/2021

(289,576)

USD

14,142,122

ILS

46,929,544

CITI

3/17/2021

(480,369)

USD

14,142,106

ILS

46,929,547

JPMC

3/17/2021

(480,387)

USD

26,703,786

JPY

2,772,724,500

CITI

3/17/2021

(171,340)

USD

26,703,752

JPY

2,772,724,500

JPMC

3/17/2021

(171,373)

USD

6,657,762

KRW

7,389,834,480

CITI

**

3/17/2021

(133,674)

USD

6,657,782

KRW

7,389,834,480

JPMC

**

3/17/2021

(133,654)

USD

9,554,715

MXN

195,000,000

CITI

3/17/2021

(165,862)

173

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

9,554,703

MXN

195,000,000

JPMC

3/17/2021

$

(165,874)

USD

78,307,918

NOK

702,597,456

CITI

3/17/2021

(3,614,621)

USD

78,307,820

NOK

702,597,459

JPMC

3/17/2021

(3,614,719)

USD

49,127,440

NZD

70,291,000

CITI

3/17/2021

(1,462,727)

USD

49,127,379

NZD

70,291,000

JPMC

3/17/2021

(1,462,788)

USD

4,869,018

PLN

18,300,000

CITI

3/17/2021

(31,251)

USD

4,869,011

PLN

18,299,996

JPMC

3/17/2021

(31,258)

USD

9,256,216

SEK

77,491,134

CITI

3/17/2021

(169,524)

USD

9,256,205

SEK

77,491,134

JPMC

3/17/2021

(169,535)

USD

857,712

SGD

1,150,000

CITI

3/17/2021

(12,507)

USD

857,711

SGD

1,150,000

JPMC

3/17/2021

(12,508)

USD

858,104

TWD

24,054,506

CITI

**

3/17/2021

(8,477)

USD

858,069

TWD

24,054,492

JPMC

**

3/17/2021

(8,511)

USD

758,268

ZAR

11,500,000

CITI

3/17/2021

(17,234)

USD

758,267

ZAR

11,500,000

JPMC

3/17/2021

(17,235)

ZAR

14,000,000

USD

948,334

CITI

3/17/2021

(4,245)

ZAR

14,000,000

USD

948,335

JPMC

3/17/2021

(4,245)

Total

unrealized

depreciation

(19,716,735)

Net

unrealized

appreciation

$

1,562,753

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

December

31,

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

(-7.15%

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

-

01/25/2022

$385,445,305

$1,265,035

$81,561

$1,346,596

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.

21,569

2,611,790

29,118

2.2

Alliance

Data

Systems

Corp.

29,842

2,211,292

48,642

3.6

Alphabet,

Inc.

3,080

5,398,131

(65,666)

(4.9)

Amdocs

Ltd.

36,895

2,616,962

15,496

1.2

Anthem,

Inc.

6,194

1,988,831

50,791

3.8

AutoNation,

Inc.

46,604

3,252,493

54,993

4.1

Booking

Holdings,

Inc.

960

2,138,179

85,776

6.4

174

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cerner

Corp.

61,000

4,787,280

26,230

1.9

Dick's

Sporting

Goods,

Inc.

38,991

2,191,684

(40,551)

(3.0)

Facebook,

Inc.

14,492

3,958,635

(55,649)

(4.1)

Foot

Locker,

Inc.

48,497

1,961,219

3,880

0.3

Fortune

Brands

Home

&

Security,

Inc.

26,621

2,281,952

(18,102)

(1.3)

Globus

Medical,

Inc.

30,352

1,979,557

–

0.0

GrafTech

International

Ltd.

200,056

2,132,597

196,055

14.6

Hubbell,

Inc.

13,293

2,084,209

(19,940)

(1.5)

Interpublic

Group

of

Cos.,

Inc.

(The)

104,394

2,455,347

(28,186)

(2.1)

Kohl's

Corp.

56,997

2,319,208

31,918

2.4

Molina

Healthcare,

Inc.

8,988

1,911,568

55,366

4.1

Murphy

USA,

Inc.

15,208

1,990,271

3,954

0.3

Penske

Automotive

Group,

Inc.

35,722

2,121,530

50,011

3.7

Quanta

Services,

Inc.

33,130

2,386,023

43,400

3.2

Qurate

Retail,

Inc.

287,809

3,157,265

77,708

5.8

Regal

Beloit

Corp.

28,350

3,481,664

16,160

1.2

Synaptics

,

Inc.

21,782

2,099,785

93,009

6.9

Target

Corp.

15,335

2,707,088

2,147

0.2

Teladoc

Health,

Inc.

12,080

2,415,517

25,730

1.9

Timken

Co.

(The)

31,626

2,446,587

22,771

1.7

Trane

Technologies

plc

14,652

2,126,884

14,066

1.0

Universal

Health

Services,

Inc.

19,474

2,677,675

18,890

1.4

Veeva

Systems,

Inc.

13,629

3,710,495

(41,568)

(3.1)

World

Fuel

Services

Corp.

133,097

4,147,303

9,317

0.7

Yelp,

Inc.

99,416

3,247,921

177,955

13.2

Short

Positions

Common

Stocks

United

States

Apache

Corp.

(219,270)

(3,111,441)

4,385

0.3

Armstrong

World

Industries,

Inc.

(40,018)

(2,976,939)

(15,207)

(1.1)

Baker

Hughes

Co.

(118,541)

(2,471,580)

3,556

0.3

Boeing

Co.

(The)

(15,652)

(3,350,467)

31,774

2.4

ChampionX

Corp.

(174,659)

(2,672,283)

(117,021)

(8.7)

Cheniere

Energy,

Inc.

(42,187)

(2,532,486)

(43,031)

(3.2)

Covetrus

,

Inc.

(191,400)

(5,500,836)

428,736

31.8

Cree,

Inc.

(30,106)

(3,188,225)

(146,917)

(10.9)

Five

Below,

Inc.

(13,295)

(2,326,359)

(125,239)

(9.3)

General

Electric

Co.

(236,856)

(2,558,045)

(37,897)

(2.8)

HealthEquity

,

Inc.

(37,132)

(2,588,472)

(17,823)

(1.3)

Hess

Corp.

(93,866)

(4,955,186)

3,755

0.3

Insulet

Corp.

(7,462)

(1,907,511)

2,388

0.2

Occidental

Petroleum

Corp.

(140,575)

(2,433,353)

12,652

0.9

Resideo

Technologies,

Inc.

(183,169)

(3,894,173)

32,970

2.4

Schlumberger

NV

(142,488)

(3,110,513)

(37,047)

(2.8)

Sunrun

,

Inc.

(37,144)

(2,577,051)

(55,716)

(4.1)

Trex

Co.,

Inc.

(28,393)

(2,377,062)

(4,543)

(0.3)

175

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

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.

2-61

months

maturity

ranging

from

01/15/2021

-

12/29/2025

$88,889,619

$660,087

$(169,609)

$490,478

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.

708,214

6,537,081

(731,160)

(149.1)

Ansell

Ltd.

55,186

1,475,238

(10,747)

(2.2)

Aristocrat

Leisure

Ltd.

43,686

1,048,944

(5,545)

(1.1)

Aurizon

Holdings

Ltd.

251,879

756,753

(67,330)

(13.7)

Beach

Energy

Ltd.

3,876,916

5,407,955

(177,471)

(36.2)

BlueScope

Steel

Ltd.

173,458

2,342,513

(25,139)

(5.1)

carsales.com

Ltd.

98,291

1,518,203

22,441

4.6

Cleanaway

Waste

Management

Ltd.

349,789

633,152

(69,430)

(14.2)

Computershare

Ltd.

41,195

463,572

2,372

0.5

Crown

Resorts

Ltd.

115,431

859,092

(7,722)

(1.6)

Fortescue

Metals

Group

Ltd.

228,560

4,128,342

282,593

57.6

Harvey

Norman

Holdings

Ltd.

1,126,385

4,070,522

74,502

15.2

Incitec

Pivot

Ltd.

554,641

975,601

(49,522)

(10.1)

JB

Hi-Fi

Ltd.

103,038

3,868,563

373,477

76.1

Orica

Ltd.

35,295

412,803

(28,612)

(5.8)

Qantas

Airways

Ltd.

163,923

614,670

(44,667)

(9.1)

Qube

Holdings

Ltd.

410,133

928,572

2,050

0.4

REA

Group

Ltd.

5,825

667,239

1,572

0.3

Star

Entertainment

Grp

Ltd.

(The)

215,103

610,513

(32,445)

(6.6)

Tabcorp

Holdings

Ltd.

471,959

1,420,946

4,560

0.9

Treasury

Wine

Estates

Ltd.

158,630

1,147,505

12,436

2.5

Wesfarmers

Ltd.

60,145

2,337,663

6,820

1.4

Worley

Ltd.

177,174

1,564,908

(151,937)

(31.0)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(5,115)

(464,983)

(74,975)

(15.3)

Alumina

Ltd.

(881,377)

(1,249,648)

60,274

12.3

AMP

Ltd.

(2,024,031)

(2,432,324)

279,043

56.9

APA

Group

(591,633)

(4,402,029)

369,549

75.3

Atlas

Arteria

Ltd.

(199,079)

(1,001,055)

(15,736)

(3.2)

AusNet

Services

(835,196)

(1,131,928)

58,255

11.9

Challenger

Ltd.

(797,535)

(3,963,056)

(270,544)

(55.2)

Cochlear

Ltd.

(3,752)

(547,475)

58,170

11.9

CSL

Ltd.

(3,038)

(663,780)

47,745

9.7

176

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

Evolution

Mining

Ltd.

(102,320)

(393,765)

9,684

2.0

Insurance

Australia

Group

Ltd.

(769,849)

(2,793,837)

288,365

58.8

Lendlease

Corp.

Ltd.

(60,466)

(611,361)

55,172

11.2

Magellan

Financial

Group

Ltd.

(18,824)

(779,659)

62,471

12.7

Medibank

Pvt

Ltd.

(1,653,982)

(3,830,858)

(181,687)

(37.0)

Northern

Star

Resources

Ltd.

(49,525)

(484,057)

11,490

2.3

Oil

Search

Ltd.

(592,581)

(1,698,300)

13,227

2.7

Origin

Energy

Ltd.

(343,919)

(1,262,654)

98,486

20.1

QBE

Insurance

Group

Ltd.

(382,347)

(2,492,302)

436,383

89.0

Ramsay

Health

Care

Ltd.

(16,245)

(780,585)

38,627

7.9

SEEK

Ltd.

(103,836)

(2,276,590)

(97,310)

(19.8)

Seven

Group

Holdings

Ltd.

(49,637)

(896,370)

(3,219)

(0.7)

Spark

Infrastructure

Group

(681,869)

(1,108,615)

11,282

2.3

Sydney

Airport

(211,171)

(1,045,259)

40,168

8.2

Transurban

Group

(123,675)

(1,303,264)

31,492

6.4

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(33,292)

(774,435)

(11,487)

(2.3)

Woolworths

Group

Ltd.

(12,147)

(368,181)

4,341

0.9

United

States

James

Hardie

Industries

plc

(87,197)

(2,584,260)

(93,543)

(19.1)

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

HONIX

plus

or

minus

a

specified

spread

(-0.04%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/13/2025

-

12/29/2025

$52,618,469

$(948,214)

$65,370

$(882,844)

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.

442,000

1,339,802

(59,906)

6.8

Hong

Kong

CK

Asset

Holdings

Ltd.

610,000

3,121,308

(234,595)

26.6

CLP

Holdings

Ltd.

160,500

1,484,086

7,948

(0.9)

Henderson

Land

Development

Co.

Ltd.

250,580

973,417

(35,056)

4.0

HKT

Trust

&

HKT

Ltd.

329,000

426,690

(9,848)

1.1

Hysan

Development

Co.

Ltd.

7,000

25,640

(1,674)

0.2

Kerry

Properties

Ltd.

546,000

1,380,984

(24,005)

2.7

Melco

International

Development

Ltd.

626,000

1,219,166

(38,903)

4.4

New

World

Development

Co.

Ltd.

206,000

958,397

(50,020)

5.7

NWS

Holdings

Ltd.

993,000

922,672

17,083

(1.9)

Sino

Land

Co.

Ltd.

148,000

192,595

(5,184)

0.6

Sun

Hung

Kai

Properties

Ltd.

151,500

1,937,531

(100,707)

11.4

177

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Swire

Pacific

Ltd.

143,000

787,702

(31,288)

3.5

WH

Group

Ltd.

4,429,000

3,713,948

(28,100)

3.2

Yue

Yuen

Industrial

Holdings

Ltd.

1,278,000

2,661,939

(35,024)

4.0

Macau

SJM

Holdings

Ltd.

315,000

353,172

(13,247)

1.5

United

Kingdom

CK

Hutchison

Holdings

Ltd.

639,500

4,464,883

(138,089)

15.6

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(767,800)

(2,536,300)

78,312

(8.9)

Minth

Group

Ltd.

(186,000)

(984,066)

(85,544)

9.7

Hong

Kong

AIA

Group

Ltd.

(195,600)

(2,383,606)

(138,050)

15.6

ASM

Pacific

Technology

Ltd.

(65,700)

(867,679)

(35,882)

4.1

Hang

Lung

Properties

Ltd.

(657,000)

(1,731,366)

(58,452)

6.6

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(68,000)

(66,925)

203

(0.0)

Hong

Kong

&

China

Gas

Co.

Ltd.

(4,990,920)

(7,466,954)

129,744

(14.7)

Man

Wah

Holdings

Ltd.

(153,200)

(332,320)

(31,967)

3.6

MTR

Corp.

Ltd.

(318,512)

(1,781,323)

(22,877)

2.6

Power

Assets

Holdings

Ltd.

(82,000)

(444,082)

(8,824)

1.0

Swire

Properties

Ltd.

(676,400)

(1,966,587)

88,150

(10.0)

Techtronic

Industries

Co.

Ltd.

(17,000)

(242,988)

(25,130)

2.8

Vitasoy

International

Holdings

Ltd.

(446,000)

(1,737,246)

34,667

(3.9)

Wharf

Real

Estate

Investment

Co.

Ltd.

(723,000)

(3,757,509)

(73,705)

8.3

Xinyi

Glass

Holdings

Ltd.

(60,000)

(167,823)

(25,107)

2.8

Macau

Wynn

Macau

Ltd.

(111,600)

(187,763)

6,863

(0.8)

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

(-0.15%

to

0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/14/2025

-

12/25/2025

$476,542,032

$(70,839)

$284,285

$213,446

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

178

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

187,100

6,542,708

227,018

106.4

Alfresa

Holdings

Corp.

183,600

3,365,256

(275,761)

(129.2)

Brother

Industries

Ltd.

163,800

3,381,401

71,572

33.5

GungHo

Online

Entertainment,

Inc.

140,660

3,149,261

(453,367)

(212.4)

Haseko

Corp.

387,200

4,444,176

(10,813)

(5.1)

Kajima

Corp.

281,900

3,781,691

(24,225)

(11.3)

Kamigumi

Co.

Ltd.

159,400

2,911,979

8,159

3.8

KDDI

Corp.

113,000

3,350,480

138,028

64.7

M3,

Inc.

30,500

2,881,254

301,567

141.3

Medipal

Holdings

Corp.

168,300

3,164,930

(142,014)

(66.5)

Mitsubishi

Gas

Chemical

Co.,

Inc.

144,300

3,318,237

83,945

39.3

Mitsui

Chemicals,

Inc.

147,500

4,332,862

155,731

73.0

Nippon

Express

Co.

Ltd.

44,000

2,959,736

(23,498)

(11.0)

Nippon

Telegraph

&

Telephone

Corp.

186,400

4,782,838

142,277

66.7

Obayashi

Corp.

560,400

4,838,814

(289,832)

(135.8)

Osaka

Gas

Co.

Ltd.

217,800

4,464,372

216,673

101.5

Sekisui

House

Ltd.

155,300

3,163,741

85,704

40.2

Shimamura

Co.

Ltd.

31,500

3,309,860

167,424

78.4

Shimizu

Corp.

392,000

2,853,485

(349,702)

(163.8)

Sojitz

Corp.

1,373,100

3,066,275

(85,362)

(40.0)

Sumitomo

Heavy

Industries

Ltd.

119,600

2,956,147

322,884

151.3

Suntory

Beverage

&

Food

Ltd.

88,900

3,148,785

(195,380)

(91.5)

Taisei

Corp.

84,000

2,897,877

(209,493)

(98.1)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

1,327,500

3,506,452

(29,068)

(13.6)

Tokyo

Gas

Co.

Ltd.

182,200

4,217,054

278,784

130.6

Toppan

Printing

Co.

Ltd.

268,000

3,784,583

(242,934)

(113.8)

Tosoh

Corp.

296,700

4,635,691

(455,518)

(213.4)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(133,900)

(4,392,771)

(402,071)

(188.4)

Asahi

Intecc

Co.

Ltd.

(102,200)

(3,732,887)

(85,932)

(40.3)

Asics

Corp.

(376,100)

(7,232,969)

394,832

185.0

CyberAgent

,

Inc.

(46,600)

(3,214,684)

(38,126)

(17.9)

Hamamatsu

Photonics

KK

(49,300)

(2,820,643)

48,610

22.8

Japan

Airport

Terminal

Co.

Ltd.

(92,400)

(5,607,459)

298,158

139.7

Kansai

Paint

Co.

Ltd.

(133,800)

(4,124,434)

(139,647)

(65.4)

Keio

Corp.

(41,600)

(3,227,537)

(56,545)

(26.5)

Kikkoman

Corp.

(79,900)

(5,560,797)

(428,972)

(201.0)

Lixil

Corp.

(167,100)

(3,623,842)

191,169

89.6

Marui

Group

Co.

Ltd.

(184,000)

(3,240,242)

211,535

99.1

MISUMI

Group,

Inc.

(84,100)

(2,760,779)

93,532

43.8

Mitsubishi

Motors

Corp.

(1,521,800)

(3,201,794)

(326,020)

(152.7)

MonotaRO

Co.

Ltd.

(54,100)

(2,747,676)

138,604

64.9

Nippon

Paint

Holdings

Co.

Ltd.

(34,700)

(3,812,921)

(15,349)

(7.2)

Nissan

Motor

Co.

Ltd.

(626,400)

(3,395,345)

87,424

41.0

Odakyu

Electric

Railway

Co.

Ltd.

(135,600)

(4,258,952)

(21,947)

(10.3)

Park24

Co.

Ltd.

(189,600)

(3,299,124)

(43,545)

(20.4)

PeptiDream

,

Inc.

(55,200)

(2,807,859)

36,237

17.0

Pigeon

Corp.

(123,100)

(5,080,674)

408,960

191.6

Shiseido

Co.

Ltd.

(75,900)

(5,254,121)

103,353

48.4

TOTO

Ltd.

(182,600)

(10,990,413)

(467,680)

(219.1)

179

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tsuruha

Holdings,

Inc.

(19,900)

(2,829,855)

274,293

128.5

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

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.07%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/13/2025

-

12/26/2025

$624,365,978

$(2,066,479)

$(363,938)

$(2,430,417)

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

AMC

Networks,

Inc.

71,731

2,565,818

242,451

(10.0)

AMERCO

5,959

2,705,148

131,038

(5.4)

Arrow

Electronics,

Inc.

38,846

3,779,716

91,288

(3.8)

Carter's,

Inc.

33,038

3,107,885

(5,616)

0.2

Charles

River

Laboratories

International,

Inc.

10,888

2,720,476

103,654

(4.3)

Commercial

Metals

Co.

184,840

3,796,614

14,787

(0.6)

Deckers

Outdoor

Corp.

12,742

3,654,151

(133,536)

5.5

Graham

Holdings

Co.

5,201

2,774,109

417,848

(17.2)

Hanesbrands,

Inc.

172,390

2,513,446

70,680

(2.9)

Ingredion,

Inc.

35,838

2,819,375

(102,138)

4.2

ManpowerGroup

,

Inc.

32,719

2,950,599

982

(0.0)

MDU

Resources

Group,

Inc.

145,455

3,831,285

261,819

(10.8)

Molson

Coors

Beverage

Co.

61,088

2,760,567

(176,544)

7.3

Nu

Skin

Enterprises,

Inc.

79,443

4,339,971

229,590

(9.4)

Packaging

Corp.

of

America

23,531

3,245,160

37,414

(1.5)

PerkinElmer,

Inc.

18,953

2,719,756

(7,771)

0.3

PRA

Health

Sciences,

Inc.

22,003

2,760,056

242,033

(10.0)

Robert

Half

International,

Inc.

55,379

3,460,080

(117,957)

4.9

Santander

Consumer

USA

Holdings,

Inc.

114,104

2,512,570

(77,799)

3.2

SYNNEX

Corp.

44,222

3,601,440

152,861

(6.3)

United

Therapeutics

Corp.

27,090

4,111,991

464,323

(19.1)

Werner

Enterprises,

Inc.

87,416

3,428,456

(75,178)

3.1

180

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

States

Adaptive

Biotechnologies

Corp.

(53,253)

(3,148,850)

(390,877)

16.1

Altice

USA,

Inc.

(86,647)

(3,281,322)

(266,006)

10.9

American

Airlines

Group,

Inc.

(201,560)

(3,178,601)

280,168

(11.5)

Arista

Networks,

Inc.

(8,886)

(2,582,005)

(115,340)

4.7

Ashland

Global

Holdings,

Inc.

(31,984)

(2,533,133)

(55,332)

2.3

Ball

Corp.

(44,545)

(4,150,703)

8,018

(0.3)

CenterPoint

Energy,

Inc.

(151,178)

(3,271,492)

89,195

(3.7)

CMS

Energy

Corp.

(49,408)

(3,014,382)

(59,784)

2.5

Coherent,

Inc.

(17,280)

(2,592,346)

(249,005)

10.2

Delta

Air

Lines,

Inc.

(100,975)

(4,060,205)

191,852

(7.9)

Dominion

Energy,

Inc.

(39,461)

(2,967,467)

(34,758)

1.4

FirstEnergy

Corp.

(118,009)

(3,612,255)

3,540

(0.1)

Grocery

Outlet

Holding

Corp.

(96,398)

(3,783,622)

(146,525)

6.0

LendingTree,

Inc.

(18,656)

(5,107,826)

(140,666)

5.8

Liberty

Broadband

Corp.

(18,994)

(3,008,080)

32,480

(1.3)

Lyft,

Inc.

(57,568)

(2,828,316)

(92,109)

3.8

Madison

Square

Garden

Sports

Corp.

(19,026)

(3,502,687)

(126,142)

5.2

National

Fuel

Gas

Co.

(60,149)

(2,473,928)

83,006

(3.4)

NiSource,

Inc.

(202,541)

(4,646,291)

52,661

(2.2)

Pure

Storage,

Inc.

(168,018)

(3,798,887)

(248,667)

10.2

Royal

Gold,

Inc.

(25,029)

(2,662,084)

117,887

(4.9)

Stericycle,

Inc.

(49,527)

(3,433,707)

8,420

(0.3)

Terminix

Global

Holdings,

Inc.

(109,290)

(5,574,883)

(106,011)

4.4

Tesla,

Inc.

(5,842)

(4,122,524)

(591,152)

24.3

Ubiquiti,

Inc.

(10,165)

(2,831,054)

(258,089)

10.6

Under

Armour

,

Inc.

(200,270)

(3,438,636)

80,108

(3.3)

Visteon

Corp.

(45,194)

(5,672,751)

70,051

(2.9)

Willis

Towers

Watson

plc

(43,563)

(9,177,853)

(135,481)

5.6

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

CDOR

plus

or

minus

a

specified

spread

(-3.96%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

51-61

months

maturity

ranging

from

02/25/2025

-

12/29/2025

$120,304,956

$42,242

$(74,537)

$(32,295)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

181

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Atco

Ltd.

55,981

1,604,797

(19,134)

59.2

Canadian

Tire

Corp.

Ltd.

43,579

5,728,709

39,046

(120.9)

CI

Financial

Corp.

163,449

2,026,259

(51,008)

157.9

Equinox

Gold

Corp.

95,622

989,349

(22,452)

69.5

Gibson

Energy,

Inc.

64,191

1,036,819

(43,379)

134.3

Husky

Energy,

Inc.

345,425

1,709,622

16,336

(50.6)

Hydro

One

Ltd.

96,477

2,171,471

(2,220)

6.9

iA

Financial

Corp.,

Inc.

36,822

1,596,227

(14,468)

44.8

IGM

Financial,

Inc.

45,483

1,233,104

(29,526)

91.4

Kinross

Gold

Corp.

276,480

2,028,693

(54,085)

167.5

Linamar

Corp.

60,331

3,195,472

(109,095)

337.8

Magna

International,

Inc.

54,839

3,882,114

319,946

(990.7)

Manulife

Financial

Corp.

144,442

2,570,203

21,400

(66.3)

National

Bank

of

Canada

39,402

2,217,581

(14,446)

44.7

Parkland

Corp.

37,580

1,192,439

(86,051)

266.5

Quebecor,

Inc.

58,622

1,508,726

(26,635)

82.5

Seven

Generations

Energy

Ltd.

194,823

1,011,690

35,290

(109.3)

Stantec

,

Inc.

53,202

1,725,335

30,596

(94.7)

Sun

Life

Financial,

Inc.

28,025

1,246,143

(588)

1.8

TFI

International,

Inc.

42,031

2,163,792

(35,665)

110.4

Tourmaline

Oil

Corp.

266,168

3,588,218

(95,425)

295.5

Yamana

Gold,

Inc.

157,963

902,185

(27,187)

84.2

Ivory

Coast

Endeavour

Mining

Corp.

54,631

1,271,247

(50,504)

156.4

Kyrgyzstan

Centerra

Gold,

Inc.

108,865

1,260,641

(22,156)

68.6

United

States

BRP,

Inc.

41,047

2,711,637

(70,077)

217.0

Short

Positions

Common

Stocks

Canada

Air

Canada

(161,319)

(2,885,720)

109,584

(339.3)

Algonquin

Power

&

Utilities

Corp.

(117,849)

(1,939,615)

(26,309)

81.5

Ballard

Power

Systems,

Inc.

(54,512)

(1,275,330)

(159,378)

493.5

CAE,

Inc.

(56,151)

(1,555,853)

(99,279)

307.4

Cameco

Corp.

(213,720)

(2,862,696)

(56,525)

175.0

Canada

Goose

Holdings,

Inc.

(114,362)

(3,399,684)

207,803

(643.5)

Canadian

Natural

Resources

Ltd.

(51,814)

(1,245,180)

26,219

(81.2)

CCL

Industries,

Inc.

(45,312)

(2,057,177)

111,680

(345.8)

Dollarama,

Inc.

(67,283)

(2,742,275)

123,033

(381.0)

Element

Fleet

Management

Corp.

(216,393)

(2,274,600)

(70,852)

219.4

Enbridge,

Inc.

(47,018)

(1,503,734)

53,827

(166.7)

Fairfax

Financial

Holdings

Ltd.

(4,197)

(1,430,488)

(5,024)

15.6

Franco-Nevada

Corp.

(8,121)

(1,018,235)

91,165

(282.3)

Gildan

Activewear

,

Inc.

(50,142)

(1,401,959)

(36,372)

112.6

Innergex

Renewable

Energy,

Inc.

(59,163)

(1,272,128)

(98,439)

304.8

Inter

Pipeline

Ltd.

(99,879)

(931,388)

79,940

(247.5)

Lightspeed

POS,

Inc.

(15,734)

(1,110,490)

(179,544)

556.0

Methanex

Corp.

(24,560)

(1,128,537)

(41,412)

128.2

Onex

Corp.

(50,858)

(2,919,071)

(9,614)

29.8

PrairieSky

Royalty

Ltd.

(112,559)

(892,231)

30,572

(94.7)

Restaurant

Brands

International,

Inc.

(40,467)

(2,474,308)

39,605

(122.6)

Suncor

Energy,

Inc.

(76,083)

(1,276,119)

59,917

(185.5)

182

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

TC

Energy

Corp.

(28,231)

(1,147,737)

82,711

(256.1)

West

Fraser

Timber

Co.

Ltd.

(57,253)

(3,678,333)

121,371

(375.8)

WSP

Global,

Inc.

(16,296)

(1,543,825)

34,565

(107.0)

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

LIBOR

plus

or

minus

a

specified

spread

(-2.25%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

50-61

months

maturity

ranging

from

01/21/2025

-

12/29/2025

$166,728,319

$(574,177)

$188,495

$(385,682)

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

374,926

2,396,122

(14,897)

3.9

South

Africa

Anglo

American

plc

63,704

2,103,648

(55,903)

14.5

Investec

plc

703,306

1,807,457

(74,694)

19.4

Switzerland

Coca-Cola

HBC

AG

77,358

2,505,088

8,670

(2.2)

United

Kingdom

Aggreko

plc

272,782

2,338,328

16,121

(4.2)

ASOS

plc

35,180

2,292,651

43,930

(11.4)

Auto

Trader

Group

plc

317,523

2,584,554

10,750

(2.8)

Aviva

plc

522,461

2,323,924

(46,775)

12.1

Babcock

International

Group

plc

458,542

1,752,204

(73,832)

19.1

Bellway

plc

46,219

1,865,987

24,904

(6.5)

boohoo

Group

plc

546,598

2,565,889

230,379

(59.7)

Britvic

plc

165,452

1,837,853

27,105

(7.0)

BT

Group

plc

1,246,949

2,247,575

(114,184)

29.6

Close

Brothers

Group

plc

75,291

1,419,913

1,699

(0.4)

DCC

plc

19,479

1,378,381

(58,610)

15.2

DS

Smith

plc

517,786

2,646,777

(28,717)

7.4

Hays

plc

1,137,570

2,231,587

20,996

(5.4)

JD

Sports

Fashion

plc

191,320

2,247,674

44,843

(11.6)

John

Wood

Group

plc

371,320

1,566,353

(98,497)

25.5

Kingfisher

plc

555,499

2,052,648

(42,037)

10.9

M&G

plc

1,551,842

4,188,688

(76,956)

20.0

Marks

&

Spencer

Group

plc

2,351,321

4,361,424

(113,490)

29.4

Micro

Focus

International

plc

421,401

2,424,642

(163,601)

42.4

Moneysupermarket.com

Group

plc

403,404

1,440,762

17,836

(4.6)

Next

plc

13,756

1,326,439

29,577

(7.7)

Rightmove

plc

183,732

1,632,418

(27,275)

7.1

183

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Royal

Mail

plc

1,562,262

7,200,453

(172,374)

44.7

Tate

&

Lyle

plc

283,193

2,609,395

36,077

(9.4)

United

Utilities

Group

plc

149,275

1,825,778

(64,228)

16.7

Wm

Morrison

Supermarkets

plc

628,804

1,521,521

(14,804)

3.8

Short

Positions

Common

Stocks

Netherlands

Royal

Dutch

Shell

plc

(104,346)

(1,829,853)

150,468

(39.0)

United

Kingdom

B&M

European

Value

Retail

SA

(217,458)

(1,530,852)

(975)

0.3

Barratt

Developments

plc

(241,466)

(2,207,507)

(59,876)

15.5

Beazley

plc

(377,108)

(1,880,253)

(14,884)

3.9

Burberry

Group

plc

(68,408)

(1,670,530)

38,767

(10.1)

Diageo

plc

(36,485)

(1,443,666)

23,124

(6.0)

Halma

plc

(39,624)

(1,327,019)

(3,791)

1.0

Hargreaves

Lansdown

plc

(174,441)

(3,632,224)

(29,138)

7.6

Hiscox

Ltd.

(283,925)

(3,866,422)

37,832

(9.8)

HSBC

Holdings

plc

(314,984)

(1,626,968)

72,595

(18.8)

Informa

plc

(268,657)

(2,008,847)

(1,561)

0.4

Prudential

plc

(327,816)

(6,027,871)

(62,649)

16.2

Rentokil

Initial

plc

(541,794)

(3,777,481)

24,091

(6.2)

Rolls-Royce

Holdings

plc

(992,902)

(1,502,684)

24,182

(6.3)

St

James's

Place

plc

(178,939)

(2,768,916)

25,361

(6.6)

Standard

Life

Aberdeen

plc

(358,714)

(1,374,952)

39,411

(10.2)

Taylor

Wimpey

plc

(1,524,123)

(3,447,507)

(48,283)

12.5

Weir

Group

plc

(The)

(107,098)

(2,911,944)

(102,007)

26.4

Whitbread

plc

(63,101)

(2,672,743)

53,490

(13.9)

United

States

Ferguson

plc

(12,476)

(1,515,839)

(14,125)

3.7

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

SIBOR

plus

or

minus

a

specified

spread

(-1.50%

to

0.40%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

51-57

months

maturity

ranging

from

02/25/2025

-

08/28/2025

$22,622,707

$255,897

$(130,485)

$125,412

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

184

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Wilmar

International

Ltd.

643,800

2,266,709

166,051

132.4

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,923,000

2,113,046

45,097

36.0

Singapore

ComfortDelGro

Corp.

Ltd.

1,553,100

1,967,922

(76,176)

(60.7)

Genting

Singapore

Ltd.

2,257,200

1,453,730

(31,742)

(25.3)

Jardine

Cycle

&

Carriage

Ltd.

86,900

1,287,416

(40,394)

(32.2)

Venture

Corp.

Ltd.

156,800

2,305,558

(4,470)

(3.6)

Short

Positions

Common

Stocks

Singapore

CapitaLand

Ltd.

(108,700)

(269,714)

836

0.7

City

Developments

Ltd.

(248,500)

(1,497,996)

17,319

13.8

Keppel

Corp.

Ltd.

(264,500)

(1,077,146)

(2,464)

(2.0)

SATS

Ltd.

(333,400)

(1,005,956)

43,040

34.3

Singapore

Airlines

Ltd.

(650,200)

(2,109,720)

63,867

50.9

Singapore

Technologies

Engineering

Ltd.

(73,800)

(213,583)

4,717

3.8

Singapore

Telecommunications

Ltd.

(2,636,700)

(4,604,052)

64,221

51.2

UOL

Group

Ltd.

(77,200)

(450,159)

5,995

4.8

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

(-1.50%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

6-40

months

maturity

05/18/2021

$39,103,492

$(64,802)

$(36,501)

$(101,303)

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

29,818

649,717

9,930

(9.8)

Switzerland

Adecco

Group

AG

(Registered)

19,556

1,302,495

(9,352)

9.2

BKW

AG

10,097

1,137,735

22,130

(21.8)

Bucher

Industries

AG

(Registered)

1,053

482,972

8,572

(8.5)

Credit

Suisse

Group

AG

(Registered)

89,192

1,151,547

11,914

(11.8)

DKSH

Holding

AG

11,079

830,059

21,498

(21.2)

dormakaba

Holding

AG

1,907

1,082,823

27,981

(27.6)

Flughafen

Zurich

AG

(Registered)

8,017

1,414,531

(6,756)

6.7

185

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Switzerland

(continued)

Georg

Fischer

AG

(Registered)

383

494,308

4,106

(4.1)

Helvetia

Holding

AG

(Registered)

1,841

194,455

4,038

(4.0)

Lonza

Group

AG

(Registered)

1,320

850,300

17,577

(17.4)

Sonova

Holding

AG

(Registered)

9,740

2,533,312

43,065

(42.5)

Sulzer

AG

(Registered)

8,748

925,158

(18,115)

17.9

Swatch

Group

AG

(The)

1,119

304,193

2,322

(2.3)

Swiss

Life

Holding

AG

(Registered)

1,243

579,823

5,477

(5.4)

Swisscom

AG

(Registered)

4,845

2,609,214

34,109

(33.7)

Tecan

Group

AG

(Registered)

3,914

1,919,748

142,476

(140.6)

UBS

Group

AG

(Registered)

73,986

1,041,711

(2,631)

2.6

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(4,089)

(114,693)

(3,043)

3.0

Bachem

Holding

AG

(Registered)

(635)

(283,982)

(18,930)

18.7

Banque

Cantonale

Vaudoise

(Registered)

(9,505)

(1,034,606)

(14,561)

14.4

Barry

Callebaut

AG

(Registered)

(139)

(331,255)

(7,165)

7.1

Belimo

Holding

AG

(Registered)

(124)

(1,077,251)

(31,065)

30.7

Chocoladefabriken

Lindt

&

Spruengli

AG

(129)

(1,257,395)

(22,419)

22.1

Clariant

AG

(Registered)

(18,056)

(383,076)

(7,678)

7.6

Dufry

AG

(Registered)

(4,907)

(309,117)

(9,374)

9.3

EMS-

Chemie

Holding

AG

(Registered)

(1,021)

(982,164)

(19,541)

19.3

Geberit

AG

(Registered)

(483)

(302,344)

(10,216)

10.1

Givaudan

SA

(Registered)

(137)

(579,623)

(11,975)

11.8

Idorsia

Ltd.

(107,694)

(3,107,755)

(37,385)

36.9

Kuehne

+

Nagel

International

AG

(Registered)

(2,647)

(600,654)

3,354

(3.3)

LafargeHolcim

Ltd.

(Registered)

(1,520)

(83,429)

(1,009)

1.0

Logitech

International

SA

(Registered)

(13,239)

(1,285,441)

(55,346)

54.6

OC

Oerlikon

Corp.

AG

(Registered)

(84,916)

(881,070)

(33,154)

32.7

Partners

Group

Holding

AG

(559)

(656,848)

(17,387)

17.2

Schindler

Holding

AG

(1,247)

(337,236)

3,083

(3.0)

SIG

Combibloc

Group

AG

(56,964)

(1,326,315)

(52,876)

52.2

Sika

AG

(Registered)

(993)

(270,685)

(5,256)

5.2

Straumann

Holding

AG

(Registered)

(191)

(223,741)

(2,355)

2.3

Swiss

Re

AG

(22,816)

(2,149,568)

2,192

(2.2)

Temenos

AG

(Registered)

(8,328)

(1,160,337)

(3,929)

3.9

VAT

Group

AG

(3,250)

(813,497)

(25,580)

25.3

Vifor

Pharma

AG

(301)

(47,309)

(1,528)

1.5

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

CIBOR

plus

or

minus

a

specified

spread

(-0.66%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

4-37

months

maturity

02/17/2021

$37,337,059

$452,457

$191

$452,648

186

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

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

22,847

3,662,658

35,448

7.8

Coloplast

A/S

7,037

1,076,160

6,770

1.5

Danske

Bank

A/S

8,983

148,466

6,781

1.5

Demant

A/S

19,209

759,248

27,058

6.0

FLSmidth

&

Co.

A/S

27,694

1,058,992

46,703

10.3

Genmab

A/S

1,712

694,206

8,653

1.9

GN

Store

Nord

A/S

26,180

2,086,917

(13,354)

(3.0)

H

Lundbeck

A/S

43,306

1,482,539

(19,525)

(4.3)

Novo

Nordisk

A/S

2,261

157,725

(4,611)

(1.0)

Pandora

A/S

63,122

7,064,477

566,317

125.1

ROCKWOOL

International

A/S

4,583

1,715,216

114,430

25.3

Royal

Unibrew

A/S

5,246

607,481

22,788

5.0

Vestas

Wind

Systems

A/S

5,490

1,296,900

116,232

25.7

Short

Positions

Common

Stocks

Denmark

Ambu

A/S

(30,455)

(1,308,328)

(220,074)

(48.6)

AP

Moller

-

Maersk

A/S

(2,578)

(5,736,700)

6,939

1.5

Chr

Hansen

Holding

A/S

(11,923)

(1,231,905)

(46,838)

(10.3)

DSV

Panalpina

A/S

(5,150)

(865,518)

(18,499)

(4.1)

ISS

A/S

(143,759)

(2,472,889)

66,072

14.6

Jyske

Bank

A/S

(Registered)

(2,072)

(79,118)

(3,475)

(0.8)

Novozymes

A/S

(17,814)

(1,014,684)

(12,995)

(2.9)

Orsted

A/S

(9,085)

(1,858,839)

(199,240)

(44.0)

SimCorp

A/S

(2,321)

(345,078)

(20,862)

(4.6)

Tryg

A/S

(19,491)

(613,015)

(12,261)

(2.7)

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

EONIA

plus

or

minus

a

specified

spread

(-1.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-49

months

maturity

11/11/2021

$290,481,819

$(803,098)

$116,391

$(686,707)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

187

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

SA/NV

87,171

4,629,400

(25,060)

3.6

Proximus

SADP

156,707

3,095,483

(175,317)

25.5

Finland

Neste

OYJ

29,580

2,147,619

60,335

(8.8)

France

BNP

Paribas

SA

63,962

3,376,694

(65,656)

9.6

Cie

de

Saint-Gobain

94,611

4,351,387

(168,254)

24.5

CNP

Assurances

147,768

2,400,793

(22,381)

3.3

Electricite

de

France

SA

302,581

4,788,143

103,800

(15.1)

Eutelsat

Communications

SA

211,614

2,393,876

(22,617)

3.3

Orange

SA

280,971

3,344,967

40,758

(5.9)

Peugeot

SA

195,106

5,343,104

84,090

(12.2)

Rexel

SA

146,587

2,313,634

40,872

(6.0)

Rubis

SCA

56,714

2,621,787

32,891

(4.8)

Germany

Brenntag

AG

37,457

2,912,714

(44,625)

6.5

Deutsche

Post

AG

(Registered)

83,951

4,158,578

(93,040)

13.5

Henkel

AG

&

Co.

KGaA

(Preference)

19,353

2,182,138

48,524

(7.1)

ProSiebenSat.1

Media

SE

180,166

3,033,261

(23,119)

3.4

Luxembourg

Eurofins

Scientific

SE

27,610

2,314,873

(29,342)

4.3

Netherlands

ASR

Nederland

NV

110,687

4,428,706

80,874

(11.8)

Koninklijke

Ahold

Delhaize

NV

126,272

3,562,302

(30,823)

4.5

Randstad

NV

61,933

4,009,091

(131,572)

19.2

Signify

NV

101,112

4,245,308

(10,588)

1.5

Spain

Enagas

SA

105,408

2,318,948

(178,536)

26.0

Endesa

SA

102,589

2,813,906

(39,516)

5.8

Red

Electrica

Corp.

SA

132,080

2,711,744

20,868

(3.0)

Repsol

SA

267,928

2,699,139

(12,874)

1.9

United

Kingdom

Dialog

Semiconductor

plc

56,699

3,089,701

227,072

(33.1)

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(64,743)

(4,516,909)

131,200

(19.1)

France

Accor

SA

(73,662)

(2,672,516)

6,477

(0.9)

Aeroports

de

Paris

(17,204)

(2,225,796)

29,712

(4.3)

Airbus

SE

(32,544)

(3,571,516)

22,708

(3.3)

Edenred

(96,689)

(5,491,089)

92,093

(13.4)

Iliad

SA

(15,692)

(3,221,009)

33,722

(4.9)

Imerys

SA

(45,210)

(2,131,481)

(56,810)

8.3

Orpea

SA

(28,511)

(3,738,707)

23,298

(3.4)

Remy

Cointreau

SA

(34,908)

(6,515,785)

(179,286)

26.1

Renault

SA

(72,031)

(3,152,937)

66,227

(9.6)

Sartorius

Stedim

Biotech

(6,476)

(2,303,801)

(30,200)

4.4

SEB

SA

(13,525)

(2,459,300)

(40,458)

5.9

Suez

SA

(117,348)

(2,325,751)

(33,009)

4.8

188

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

adidas

AG

(7,547)

(2,745,636)

(25,335)

3.7

CTS

Eventim

AG

&

Co.

KGaA

(48,379)

(3,233,715)

(125,184)

18.2

E.ON

SE

(225,938)

(2,501,866)

6,421

(0.9)

Evotec

SE

(67,214)

(2,483,684)

(163,681)

23.8

RWE

AG

(54,491)

(2,305,365)

(52,105)

7.6

Netherlands

OCI

NV

(163,596)

(3,147,435)

24,301

(3.5)

SBM

Offshore

NV

(125,074)

(2,362,882)

27,927

(4.1)

Spain

Aena

SME

SA

(12,579)

(2,186,850)

(61,285)

8.9

Cellnex

Telecom

SA

(87,584)

(5,259,679)

87,033

(12.7)

Ferrovial

SA

(225,742)

(6,241,875)

254,101

(37.0)

Telefonica

SA

(589,866)

(2,346,269)

74,850

(10.9)

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

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.

7-37

months

maturity

02/17/2021

$10,554,009

$(138,507)

$(30,027)

$(168,534)

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

Brazil

Yara

International

ASA

44,067

1,828,144

11,958

(7.1)

Norway

DNB

ASA

7,307

143,185

6,993

(4.1)

Equinor

ASA

1,446

24,403

(235)

0.1

Leroy

Seafood

Group

ASA

55,168

389,236

17,612

(10.5)

Mowi

ASA

27,632

615,530

27,650

(16.4)

Norsk

Hydro

ASA

179,761

836,622

(7,438)

4.4

Salmar

ASA

9,660

565,986

27,508

(16.3)

United

Kingdom

Subsea

7

SA

31,259

321,180

(312)

0.2

Short

Positions

Common

Stocks

Faroe

Islands

Bakkafrost

P/F

(9,093)

(649,201)

(55,061)

32.7

France

Adevinta

ASA

(77,519)

(1,303,099)

(36,396)

21.6

189

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Norway

Gjensidige

Forsikring

ASA

(33,026)

(737,119)

(19,433)

11.5

Schibsted

ASA

(6,661)

(283,891)

(8,982)

5.3

Telenor

ASA

(60,799)

(1,032,048)

3,514

(2.1)

TOMRA

Systems

ASA

(37,084)

(1,824,365)

(105,885)

62.8

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

(-1.13%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-37

months

maturity

02/17/2021

$43,185,787

$(120,158)

$(43,798)

$(163,956)

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

8,007

221,125

3,498

(2.1)

Axfood

AB

53,916

1,255,991

3,207

(2.0)

Boliden

AB

21,205

752,298

20,424

(12.5)

Electrolux

AB

36,319

845,032

(7,941)

4.8

Elekta

AB

22,329

299,142

(4,373)

2.7

Embracer

Group

AB

8,468

201,517

7,791

(4.8)

Essity

AB

54,193

1,746,054

4,489

(2.7)

Getinge

AB

165,132

3,864,367

109,382

(66.7)

Hennes

&

Mauritz

AB

50,802

1,066,439

(31,743)

19.4

ICA

Gruppen

AB

25,385

1,269,775

1,906

(1.2)

Saab

AB

12,030

350,027

(2,698)

1.6

Sandvik

AB

39,562

975,740

828

(0.5)

Securitas

AB

210,987

3,403,982

(45,217)

27.6

Sinch

AB

1,564

254,346

27,630

(16.9)

Skanska

AB

55,829

1,422,748

22,119

(13.5)

SKF

AB

108,996

2,835,996

(16,734)

10.2

Swedish

Orphan

Biovitrum

AB

103,079

2,074,401

(28,007)

17.1

Trelleborg

AB

22,493

499,615

(1,831)

1.1

Volvo

AB

5,026

118,981

(967)

0.6

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(49,910)

(1,963,256)

74,258

(45.3)

190

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Sweden

AAK

AB

(24,449)

(494,365)

4,705

(2.9)

Assa

Abloy

AB

(10,651)

(263,208)

5,538

(3.4)

Atlas

Copco

AB

(6,253)

(321,382)

4,451

(2.7)

BillerudKorsnas

AB

(51,476)

(905,921)

10,178

(6.2)

Epiroc

AB

(6,489)

(117,936)

(16)

0.0

EQT

AB

(52,760)

(1,339,242)

(110,495)

67.4

Evolution

Gaming

Group

AB

(2,797)

(281,195)

(10,667)

6.5

Hexagon

AB

(7,263)

(665,887)

(27,775)

16.9

Hexpol

AB

(475)

(5,086)

2

(0.0)

Holmen

AB

(25,169)

(1,206,990)

(8,930)

5.4

Indutrade

AB

(48,994)

(1,048,782)

(20,786)

12.7

Lifco

AB

(10,463)

(1,001,014)

(30,531)

18.6

Nibe

Industrier

AB

(52,415)

(1,718,887)

(57,892)

35.3

SSAB

AB

(108,716)

(385,385)

14,426

(8.8)

Svenska

Cellulosa

AB

SCA

(279,626)

(4,889,019)

(69,247)

42.2

Svenska

Handelsbanken

AB

(55,653)

(560,984)

(4,756)

2.9

Sweco

AB

(61,869)

(1,135,473)

41,282

(25.2)

Swedish

Match

AB

(10,843)

(843,811)

53

(0.0)

Tele2

AB

(23,149)

(306,215)

3,828

(2.3)

Telia

Co.

AB

(66,388)

(274,173)

453

(0.3)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BANA

Investment

Companies

$

2,020,009

$

–

$

2,020,009

BARC

Cash

–

21,012,112

21,012,112

U.S.

Treasury

Bills

–

4,248,560

4,248,560

CITG

Cash

–

7,907,619

7,907,619

CITI

Cash

(5,920,048)

–

(5,920,048)

Investment

Companies

34,379,803

–

34,379,803

GSCO

Cash

–

991,327

991,327

U.S.

Treasury

Bills

–

10,010,096

10,010,096

GSIN

U.S.

Treasury

Bills

70,002,860

–

70,002,860

JPMC

Investment

Companies

28,967,374

–

28,967,374

JPMS

Cash

–

7,163,843

7,163,843

MLIN

Cash

(150,000)

–

(150,000)

MSCL

Cash

–

17,519,684

17,519,684

MSIP

U.S.

Treasury

Bills

27,213,962

–

27,213,962

191

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(4,010,354)

$

–

$

(4,010,354)

Investment

Companies

1,335,865

–

1,335,865

GSCO

Cash

–

1,250,052

1,250,052

MSCL

Cash

–

5,452,904

5,452,904

192

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

FDR

-

Fiduciary

Depositary

Receipt

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TRY

-

Turkish

Lira

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

193

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

BARC

-

Barclays

Capital,

Inc.

BNPP

-

BNP

Paribas

SA

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

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”):

0.14%

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.24%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

(0.72)%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.03%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

(0.06)%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.01%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.04%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate:

(0.03)%

Canadian

Bankers’

Acceptance

Rate

("BA"):

0.46%

Canadian

Dollar

Offered

Rate

(“CDOR”):

0.46%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

(0.29)%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

(0.55)%

Euro

Overnight

Index

Average

(“EONIA”):

(0.50)%

Federal

Funds

Floating

Rate:

0.09%

GBP/USD

1

Week

Forward

FX

Swap

Rate:

0.90%

HKD/USD

1

Month

Forward

FX

Swap

Rate:

0.18%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

0.18%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

0.02%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

3.50%

JPY/USD

1

Week

Forward

Swap

Rate:

(0.10)%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

4.48%

Norway

Interbank

Offered

Rate

("NIBOR"):

0.35%

Overnight

Bank

Funding

Rate

("OBFR"):

0.08%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.04%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

0.25%

Singapore

Swap

Offered

Rate

(“SOR”):

0.13%

Sterling

Overnight

Index

Average

(“SONIA”):

0.04%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

(0.07)%

Swiss

Average

Rate

Overnight

(“SARON”):

(0.73)%

Tokyo

Overnight

Average

Rate

(“TONAR”):  (0.03)%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

0.10%

Statements

of

Assets

and

Liabilities

194

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

...........

$

180,507,944

$

630,116,560

$

395,035

$

49,077,947

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

267,569,194

20,056,581

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

212,318,135

$

804,641,769

$

394,902

$

49,664,667

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

267,534,637

20,170,889

—

Cash

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

1,242,247

2,437,103

—

—

Cash

denominated

in

foreign

currencies

‡

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

282,763

969,214

—

698,666

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

5,152,564

60,345

—

128

Unrealized

appreciation

on

OTC

swaps

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

1,080,160

31,480,633

—

123,908

Deposits

for

securities

sold

short

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

—

33,887,613

—

612,631

Due

from

broker

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

1,519,205

16,269,559

—

130,000

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

(receipts)

$—,

$(646,924),

$—

and

$—,

respectively)

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

—

1,054,844

—

—

Deposits

with

brokers

for

futures

contracts

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

6,992,698

3,514,255

—

—

Variation

margin

on

futures

contracts

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

15,828

—

—

—

Receivables:

Securities

sold

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

79,298

7,608,476

515,742

607,825

Foreign

tax

reclaims

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

230,927

1,992

—

791,297

Dividends

and

interest

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

133,514

1,372,401

11

9,484

Capital

shares

sold

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

98,335

1,095,748

133,338

4,932,323

Due

from

Investment

Adviser

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

—

—

32,346

—

Prepaid

expenses

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

43,301

31,965

76,463

26,001

Total

Assets

229,188,975

1,171,960,554

21,323,691

57,596,930

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $110,708,597,

$181,386,310,

$–

and

$2,743,006,

respectively)

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

99,185,686

261,772,229

—

2,849,703

Due

to

custodian

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

—

—

4,816

—

Due

to

broker

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

—

23,517,127

—

137

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

5,087,070

186,612

—

20,564

Unrealized

depreciation

on

OTC

swaps

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

3,947

2,705,422

—

568,600

Variation

margin

on

centrally

cleared

swaps

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

—

19,286

—

—

Variation

margin

on

futures

contracts

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

103,790

275,190

—

—

Payables:

–

–

–

–

Securities

purchased

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

330,495

2,474,082

627,559

610,058

Accrued

investment

advisory

fees

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

105,178

706,976

—

30,321

Accrued

distribution

fees—Class

N

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

1,028

7,209

113

1,374

Capital

shares

redeemed

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

1,678,665

916,368

4

167,437

Dividends

and

interest

payable

on

securities

sold

short

.........

176,630

554,653

—

2,163

Other

accrued

expenses

and

liabilities

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

74,262

284,388

21,136

50,831

Total

Liabilities

106,746,751

293,419,542

653,628

4,301,188

Commitments

and

contingent

liabilities

*

Net

Assets

$

122,442,224

$

878,541,012

$

20,670,063

$

53,295,742

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

199,625,125

$

1,063,647,210

$

20,194,759

$

54,800,637

Total

distributable

earnings

(loss)

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

(77,182,901)

(185,106,198)

475,304

(1,504,895)

Net

Assets

$

122,442,224

$

878,541,012

$

20,670,063

$

53,295,742

NET

ASSETS:

Class

I

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

$

61,079,952

$

611,740,816

$

15,644,803

$

38,497,761

Class

N

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

6,503,303

34,598,998

533,578

10,040,247

Class

R6

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

54,858,969

232,201,198

4,491,682

4,757,734

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

8,863,505

53,386,837

1,509,380

6,103,292

Class

N

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

947,658

3,014,424

51,473

1,612,139

Class

R6

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

7,938,571

20,297,549

433,047

752,319

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

6.89

$

11.46

$

10.37

$

6.31

Class

N

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

$

6.86

$

11.48

$

10.37

$

6.23

Class

R6

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

$

6.91

$

11.44

$

10.37

$

6.32

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

282,783

$

1,021,134

$

—

$

676,591

*

AQR

Diversified

Arbitrage

Fund,

see

Note

4

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

195

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

23,933,595

$

331,679,143

$

138,088,933

$

47,682,818

Investments

in

securities

of

unaffiliated

issuers,

at

value

..........

$

23,932,623

$

331,685,593

$

150,427,209

$

47,683,169

Cash

denominated

in

foreign

currencies

‡

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

38,694

7,986,582

454,215

—

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

871,503

1,601,090

1,807,176

—

Unrealized

appreciation

on

OTC

swaps

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

367,726

1,464,767

740,274

5,253,790

Due

from

broker

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

17,462

34,767,001

97,954

—

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

payments

$17,974,

$—,

$—

and

$—,

respectively)

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

1,014,097

—

—

—

Deposits

with

brokers

for

futures

contracts

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

3,497,326

3,747,533

6,036,946

6,638,373

Variation

margin

on

futures

contracts

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

20,314

589,497

479,711

356,359

Receivables:

Securities

sold

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

12,678

4,826,220

657,066

—

Foreign

tax

reclaims

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

—

520,699

97,818

—

Dividends

and

interest

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

286

3,213

97,574

1,097

Capital

shares

sold

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

36,600

380,248

45,726

78,870

Due

from

Investment

Adviser

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

1,903

—

—

—

Prepaid

expenses

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

15,366

27,145

25,105

21,951

Total

Assets

29,826,578

387,599,588

160,966,774

60,033,609

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $–,

$–,

$7,328,131

and

$–,

respectively)

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

—

—

8,900,845

—

Reverse

repurchase

agreements,

at

value

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

—

—

10,428,841

—

Due

to

custodian

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

12,571

125

221

60

Due

to

broker

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

20,940

1,208,309

76,320

653,520

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

1,073,340

140,045

1,780,557

—

Unrealized

depreciation

on

OTC

swaps

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

135,765

7,059,801

129,436

3,621,230

Deposits

from

brokers

for

futures

contracts

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

—

—

102,259

—

Variation

margin

on

centrally

cleared

swaps

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

156,695

—

—

—

Variation

margin

on

futures

contracts

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

270,516

—

27,852

113,487

Payables:

–

–

–

–

Securities

purchased

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

12,678

4,842,387

887,631

—

Accrued

investment

advisory

fees

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

—

372,550

50,816

46,197

Accrued

distribution

fees—Class

N

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

113

1,537

1,139

3,288

Capital

shares

redeemed

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

—

475,296

289,107

16,251

Dividend

s

and

interest

payable

on

securities

sold

short

and

reverse

repurchase

agreements

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

—

—

6,636

—

Other

accrued

expenses

and

liabilities

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

26,504

170,639

211,024

44,173

Total

Liabilities

1,709,122

14,270,689

22,892,684

4,498,206

Net

Assets

$

28,117,456

$

373,328,899

$

138,074,090

$

55,535,403

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

27,529,356

$

388,273,965

$

132,052,089

$

65,169,549

Total

distributable

earnings

(loss)

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

588,100

(14,945,066)

6,022,001

(9,634,146)

Net

Assets

$

28,117,456

$

373,328,899

$

138,074,090

$

55,535,403

NET

ASSETS:

Class

I

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

$

8,510,204

$

350,475,307

$

120,286,556

$

38,558,431

Class

N

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

537,533

6,933,786

5,585,493

16,187,582

Class

R6

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

19,069,719

15,919,806

12,202,041

789,390

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

888,298

37,323,213

12,265,365

5,631,966

Class

N

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

57,047

749,475

570,487

2,399,584

Class

R6

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

1,985,904

1,686,829

1,245,435

114,907

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

9.58

$

9.39

$

9.81

$

6.85

Class

N

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

$

9.42

$

9.25

$

9.79

$

6.75

Class

R6

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

$

9.60

$

9.44

$

9.80

$

6.87

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

34,126

$

7,942,724

$

431,655

$

—

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Assets

and

Liabilities

196

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

87,107,483

$

407,023,646

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

182,245,413

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

89,283,084

$

412,283,119

Investments

in

securities

of

affiliated

issuers,

at

value

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

—

182,233,410

Cash

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

57

1,058,240

Cash

denominated

in

foreign

currencies

‡

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

96,922

9,622,186

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

12,819

21,279,488

Unrealized

appreciation

on

OTC

swaps

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

936,686

15,502,876

Deposits

for

securities

sold

short

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

—

5,978,110

Due

from

broker

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

494,842

68,558

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

payments

$—

and

$1,934,307,

respectively)

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

—

8,926,363

Deposits

with

brokers

for

futures

contracts

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

3,888,276

56,449,943

Variation

margin

on

futures

contracts

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

324,268

636,880

Receivables:

Securities

sold

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

344,986

109,987,630

Foreign

tax

reclaims

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

—

959,022

Dividends

and

interest

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

69,846

5,505

Capital

shares

sold

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

—

968,662

Prepaid

expenses

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

27,284

60,007

Total

Assets

95,479,070

826,019,999

LIABILITIES:

Securities

sold

short,

at

value

(proceeds  $–

and

$30,929,929,

respectively)

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

—

31,842,727

Due

to

broker

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

632,187

10,108,986

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

309,499

19,716,735

Unrealized

depreciation

on

OTC

swaps

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

72,689

6,077,457

Deposits

from

brokers

for

futures

contracts

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

53,886

94,164

Variation

margin

on

centrally

cleared

swaps

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

—

332,880

Variation

margin

on

futures

contracts

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

24,343

1,057,178

Payables:

–

–

Securities

purchased

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

670,045

109,990,363

Accrued

investment

advisory

fees

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

34,111

707,834

Accrued

distribution

fees—Class

N

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

319

3,093

Capital

shares

redeemed

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

526,672

3,452,932

Dividends

and

interest

payable

on

securities

sold

short

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

—

15,645

Other

accrued

expenses

and

liabilities

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

49,141

257,111

Total

Liabilities

2,372,892

183,657,105

Net

Assets

$

93,106,178

$

642,362,894

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

88,164,923

$

1,124,348,671

Total

distributable

earnings

(loss)

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

4,941,255

(481,985,777)

Net

Assets

$

93,106,178

$

642,362,894

NET

ASSETS:

Class

I

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

$

90,832,563

$

237,378,657

Class

N

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

1,554,775

14,856,706

Class

R6

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

718,840

390,127,531

SHARES

OUTSTANDING:

–

–

Class

I

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

9,668,597

37,337,857

Class

N

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

167,042

2,352,158

Class

R6

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

76,446

61,159,132

NET

ASSET

VALUE:

–

–

Class

I

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

$

9.39

$

6.36

Class

N

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

$

9.31

$

6.32

Class

R6

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

$

9.40

$

6.38

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

91,849

$

9,564,210

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

197

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

PERIOD

06/08/20

*

-12/31/20

FOR

THE

YEAR

ENDED

DEC

EMBER

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

5,362,771

$

3,680,747

$

194

$

1,474,054

Affiliated

issuers

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

—

655,510

338,919

—

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

750,051

6,303,525

—

740,644

Total

Income

6,112,822

10,639,782

339,113

2,214,698

EXPENSES:

Investment

advisory

fees

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

2,549,522

6,005,090

—

1,679,273

Custody

fees

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

15,078

93,851

3,551

4,714

Administration

&

accounting

fees

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

100,820

286,969

10,446

71,861

Legal

fees

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

13,841

23,449

11,988

3,163

Audit

&

tax

fees

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

155,129

145,471

29,626

108,812

Shareholder

reporting

fees

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

30,630

103,254

9,757

24,203

Transfer

agent

fees

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

122,339

503,708

16,415

115,006

Trustee

fees

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

17,371

37,418

826

14,386

Offering

costs

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

—

—

36,018

—

Distribution

fees—Class

N

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

21,597

86,487

735

21,170

Dividends

and

interest

on

securities

sold

short

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

3,800,374

5,026,186

—

490,972

Interest

expense

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

11,991

43,258

—

9,492

Recoupment

of

waiver

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

7,049

2,597

—

18,528

Registration

fees

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

94,359

61,701

41,491

64,926

Other

expenses

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

35,680

166,429

499

23,173

Total

Expenses

6,975,780

12,585,868

161,352

2,649,679

Less

expense

reimbursements

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

(248,017)

(329,367)

(145,199)

(171,890)

Net

Expenses

6,727,763

12,256,501

16,153

2,477,789

Net

Investment

Income

(Loss)

(614,941)

(1,616,719)

322,960

(263,091)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

4,692,627

29,981,432

17

(4,133,023)

Transactions

in

investment

securities

of

affiliated

issuers

........

—

(25,894)

(17,272)

—

Distributions

of

capital

gains

received

from

affiliated

issuers

......

—

26,477

444,319

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(242,528)

(217,014)

—

812,408

Settlement

of

forward

foreign

currency

contracts

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

(4,858,298)

(67,660)

—

412,464

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

(35,464)

(6,373,718)

—

856,696

Closed

short

positions

in

securities

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

(21,718,667)

(29,907,511)

—

11,626,145

Expiration

or

closing

of

swap

contracts

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

(3,049,117)

9,890,379

—

(49,975,340)

Expiration

or

closing

of

written

option

contracts

(premium-style)

...

(8,195,380)

—

—

—

Net

realized

gain

(loss)

(33,406,827)

3,306,491

427,064

(40,400,650)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(14,133,849)

163,504,491

(133)

(17,942,662)

Investment

securities

of

affiliated

issuers

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

—

(42,755)

114,308

—

Foreign

currency

and

foreign

currency

transactions

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

23,596

(61,839)

—

212,162

Forward

foreign

currency

exchange

contracts

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

162,072

(22,090)

—

564,561

Futures

and

futures-style

options

contracts

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

2,117,660

(1,051,649)

—

—

Short

positions

in

securities

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

(8,216,768)

(59,481,546)

—

1,273,660

Swap

contracts

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

142,841

45,362,099

—

20,238,046

Written

option

contracts

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

82,035

—

—

—

Net

change

in

unrealized

appreciation

(depreciation)

(19,822,413)

148,206,711

114,175

4,345,767

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(53,229,240)

151,513,202

541,239

(36,054,883)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(53,844,181)

$

149,896,483

$

864,199

$

(36,317,974)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

361,881

$

16,731

$

—

$

173,390

*

Commencement

of

operations.

Statements

of

Operations

198

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

**

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

56,843

$

379,500

$

1,231,819

$

465,648

Affiliated

issuers

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

—

1,066,045

—

—

Interest

income:

—

—

—

—

Unaffiliated

issuers

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

83,767

3,854,715

287,892

679,227

Interfund

lending

income

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

—

114

—

—

Total

Income

140,610

5,300,374

1,519,711

1,144,875

EXPENSES:

Investment

advisory

fees

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

290,282

6,576,587

887,677

1,172,670

Custody

fees

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

20,709

55,198

27,910

18,561

Administration

&

accounting

fees

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

12,264

282,437

62,996

69,427

Legal

fees

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

2,724

14,502

6,991

8,527

Audit

&

tax

fees

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

120,741

116,718

132,891

100,308

Shareholder

reporting

fees

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

10,041

61,184

19,651

19,712

Transfer

agent

fees

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

31,311

548,433

143,347

67,005

Trustee

fees

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

6,660

40,807

12,521

14,036

Distribution

fees—Class

N

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

2,445

31,755

18,004

37,415

Dividends

and

interest

on

securities

sold

short

and

reverse

repurchase

agreements

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

—

6,097

219,749

—

Interest

expense

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

1,862

31,733

6,210

7,086

Recoupment

of

waiver

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

—

—

—

659

Registration

fees

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

52,078

68,101

51,325

55,267

Other

expenses

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

10,836

44,622

7,132

5,511

Total

Expenses

561,953

7,878,174

1,596,404

1,576,184

Less

expense

reimbursements

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

(228,521)

(86,221)

(208,421)

(159,569)

Net

Expenses

333,432

7,791,953

1,387,983

1,416,615

Net

Investment

Income

(Loss)

(192,822)

(2,491,579)

131,728

(271,740)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(4,567)

96,804

(2,448,191)

155,373

Transactions

in

investment

securities

of

affiliated

issuers

........

—

83,048

—

—

Distributions

of

capital

gains

received

from

affiliated

issuers

......

—

14,632

—

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

(164,572)

4,104,957

(12,139)

(1,364)

Settlement

of

forward

foreign

currency

contracts

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

137,746

2,074,350

(1,637,493)

—

Expiration

or

closing

of

futures

and

futures-style

options

contracts

.

(1,262,904)

(2,736,076)

2,725,936

(5,668,025)

Closed

short

positions

in

securities

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

—

729,564

940,552

—

Expiration

or

closing

of

swap

contracts

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

1,602,381

(250,293,566)

520,647

(3,874,019)

Net

realized

gain

(loss)

308,084

(245,926,287)

89,312

(9,388,035)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

(5,115)

24,346

3,328,566

(54,515)

Investment

securities

of

affiliated

issuers

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

—

(67,639)

—

—

Foreign

currency

and

foreign

currency

transactions

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

(1,077)

591,057

18,091

(161)

Forward

foreign

currency

exchange

contracts

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

(65,729)

(1,010,049)

(177,360)

—

Futures

and

futures-style

options

contracts

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

547,926

(1,897,783)

3,019,310

(5,749,028)

Short

positions

in

securities

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

—

168,404

(1,350,269)

—

Swap

contracts

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

(240,621)

110,175,462

549,995

(2,527,328)

Net

change

in

unrealized

appreciation

(depreciation)

235,384

107,983,798

5,388,333

(8,331,032)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

543,468

(137,942,489)

5,477,645

(17,719,067)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

350,646

$

(140,434,068)

$

5,609,373

$

(17,990,807)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

—

$

18,874

$

20

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Operations

199

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

194,801

$

4,483,631

Affiliated

issuers

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

—

3,653,500

Interest

income:

—

—

Unaffiliated

issuers

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

211,881

4,451,606

Interfund

lending

income

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

—

4,126

Total

Income

406,682

12,592,863

EXPENSES:

Investment

advisory

fees

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

649,753

17,144,099

Custody

fees

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

22,242

36,164

Administration

&

accounting

fees

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

45,597

600,394

Legal

fees

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

5,780

37,666

Audit

&

tax

fees

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

102,901

134,685

Shareholder

reporting

fees

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

14,824

242,475

Transfer

agent

fees

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

114,091

519,318

Trustee

fees

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

10,605

79,716

Distribution

fees—Class

N

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

3,855

55,303

Dividends

and

interest

on

securities

sold

short

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

—

3,495,395

Interest

expense

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

4,771

119,651

Recoupment

of

waiver

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

—

55,460

Registration

fees

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

50,467

107,970

Other

expenses

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

2,634

64,808

Total

Expenses

1,027,520

22,693,104

Less

expense

reimbursements

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

(178,076)

(716,777)

Net

Expenses

849,444

21,976,327

Net

Investment

Income

(Loss)

(442,762)

(9,383,464)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

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

(752,594)

163,718,003

Transactions

in

investment

securities

of

affiliated

issuers

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

—

588,925

Distributions

of

capital

gains

received

from

affiliated

issuers

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

—

26,561

Settlement

of

foreign

currency

and

foreign

currency

transactions

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

97,440

1,360,927

Settlement

of

forward

foreign

currency

contracts

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

104,320

(15,243,792)

Expiration

or

closing

of

futures

and

futures-style

options

contracts

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

655,028

(33,179,224)

Closed

short

positions

in

securities

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

—

10,585,986

Expiration

or

closing

of

swap

contracts

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

(468,443)

(446,075,676)

Net

realized

gain

(loss)

(364,249)

(318,218,290)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

1,715,909

(173,873,559)

Investment

securities

of

affiliated

issuers

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

—

(204,250)

Foreign

currency

and

foreign

currency

transactions

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

1,548

558,778

Forward

foreign

currency

exchange

contracts

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

(68,347)

3,306,442

Futures

and

futures-style

options

contracts

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

1,767,706

46,350,916

Short

positions

in

securities

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

—

(2,738,945)

Swap

contracts

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

641,305

94,011,620

Net

change

in

unrealized

appreciation

(depreciation)

4,058,121

(32,588,998)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

3,693,872

(350,807,288)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

3,251,110

$

(360,190,752)

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

407,761

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

200

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(614,941)

$

1,939,253

$

(1,616,719)

$

4,027,480

Net

realized

gain

(loss)

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

(33,406,827)

(43,495,854)

3,306,491

17,493,298

Net

change

in

unrealized

appreciation

(depreciation)

.......

(19,822,413)

33,381,094

148,206,711

16,448,387

Net increase

(decrease)

in

net

assets

resulting

from

operations

(53,844,181)

(8,175,507)

149,896,483

37,969,165

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

(1,180,390)

(1,268,769)

(7,998,929)

(9,543,069)

Class

N

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

(88,493)

(51,374)

(351,021)

(1,000,382)

Class

R6

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

(1,041,432)

(679,978)

(3,565,413)

(456,712)

Total

(2,310,315)

(2,000,121)

(11,915,363)

(11,000,163)

Return

of

capital:

—

—

—

—

Class

I

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

—

—

(1,578,244)

—

Class

N

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

—

—

(122,189)

—

Class

R6

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

—

—

(420,560)

—

Total

—

—

(2,120,993)

—

Total

distributions

(2,310,315)

(2,000,121)

(14,036,356)

(11,000,163)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

80,250,202

157,006,742

344,642,088

226,431,267

Reinvestment

of

distributions

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

1,177,365

1,256,968

7,361,430

6,544,727

Cost

of

shares

redeemed

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

(135,266,918)

(269,352,660)

(302,938,272)

(110,213,810)

Net

increase

(decrease)

from

capital

transactions

(53,839,351)

(111,088,950)

49,065,246

122,762,184

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

10,572,489

6,466,333

16,637,108

10,073,637

Reinvestment

of

distributions

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

86,306

51,374

460,924

993,345

Cost

of

shares

redeemed

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

(10,629,536)

(8,628,323)

(42,164,230)

(25,446,050)

Net

increase

(decrease)

from

capital

transactions

29,259

(2,110,616)

(25,066,198)

(14,379,068)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

168,241,002

149,749,670

213,497,011

12,147,262

Reinvestment

of

distributions

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

1,035,190

677,934

2,218,700

328,736

Cost

of

shares

redeemed

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

(172,402,946)

(162,942,747)

(35,990,379)

(7,928,226)

Net

increase

(decrease)

from

capital

transactions

(3,126,754)

(12,515,143)

179,725,332

4,547,772

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(56,936,846)

(125,714,709)

203,724,380

112,930,888

Total

increase

(decrease)

in

net

assets

(113,091,342)

(135,890,337)

339,584,507

139,899,890

NET

ASSETS:

Beginning

of

period

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

235,533,566

371,423,903

538,956,505

399,056,615

End

of

period

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

$

122,442,224

$

235,533,566

$

878,541,012

$

538,956,505

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

201

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

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

9,812,442

16,882,156

35,329,807

24,819,158

Shares

issued

on

reinvestment

of

distributions

...........

172,888

140,600

646,306

705,251

Shares

redeemed

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

(17,340,824)

(29,021,793)

(32,489,630)

(12,083,851)

Shares

outstanding,

end

of

period

8,863,505

16,218,999

53,386,837

49,900,354

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,012,625

1,242,488

5,978,981

7,561,487

Shares

sold

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

1,329,277

694,072

1,730,036

1,100,646

Shares

issued

on

reinvestment

of

distributions

...........

12,729

5,759

40,397

106,811

Shares

redeemed

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

(1,406,973)

(929,694)

(4,734,990)

(2,789,963)

Shares

outstanding,

end

of

period

947,658

1,012,625

3,014,424

5,978,981

CLASS

R6

Shares

outstanding,

beginning

of

period

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

9,236,940

10,679,328

2,054,739

1,563,194

Shares

sold

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

21,034,287

16,097,977

21,617,773

1,322,476

Shares

issued

on

reinvestment

of

distributions

...........

151,565

75,747

195,136

35,501

Shares

redeemed

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

(22,484,221)

(17,616,112)

(3,570,099)

(866,432)

Shares

outstanding,

end

of

period

7,938,571

9,236,940

20,297,549

2,054,739

Statements

of

Changes

in

Net

Assets

(Continued)

202

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

PERIOD

6/08/20

*

-

12/31/20

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

322,960

$

(263,091)

$

8,055,545

Net

realized

gain

(loss)

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

427,064

(40,400,650)

(21,703,938)

Net

change

in

unrealized

appreciation

(depreciation)

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

114,175

4,345,767

(75,713,678)

Net increase

(decrease)

in

net

assets

resulting

from

operations

864,199

(36,317,974)

(89,362,071)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(297,507)

(4,926,477)

(7,790,074)

Class

N

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

(9,760)

(936,496)

(548,127)

Class

R6

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

(86,349)

(685,012)

(1,491,330)

Total

distributions

(393,616)

(6,547,985)

(9,829,531)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

Proceeds

from

shares

sold

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

16,149,204

51,387,735

205,860,741

Reinvestment

of

distributions

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

266,243

4,301,824

6,437,151

Cost

of

shares

redeemed

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

(1,074,490)

(193,109,515)

(641,318,640)

Net

increase

(decrease)

from

capital

transactions

15,340,957

(137,419,956)

(429,020,748)

CLASS

N

—

—

—

Proceeds

from

shares

sold

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

534,751

7,194,403

23,062,079

Reinvestment

of

distributions

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

275

926,621

545,211

Cost

of

shares

redeemed

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

(20,178)

(9,338,006)

(204,642,823)

Net

increase

(decrease)

from

capital

transactions

514,848

(1,216,982)

(181,035,533)

CLASS

R6

—

—

—

Proceeds

from

shares

sold

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

4,338,990

10,524,209

13,217,228

Reinvestment

of

distributions

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

4,685

621,105

1,294,751

Cost

of

shares

redeemed

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

—

(37,266,492)

(168,270,079)

Net

increase

(decrease)

from

capital

transactions

4,343,675

(26,121,178)

(153,758,100)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

20,199,480

(164,758,116)

(763,814,381)

Total

increase

(decrease)

in

net

assets

20,670,063

(207,624,075)

(863,005,983)

NET

ASSETS:

Beginning

of

period

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

—

260,919,817

1,123,925,800

End

of

period

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

$

20,670,063

$

53,295,742

$

260,919,817

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

203

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

DIVERSIFYING

STRATEGIES

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

FOR

THE

PERIOD

6/08/20

*

-

12/31/20

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

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

1,588,528

6,441,325

19,880,367

Shares

issued

on

reinvestment

of

distributions

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

25,799

678,521

691,423

Shares

redeemed

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

(104,947)

(23,703,385)

(63,758,271)

Shares

outstanding,

end

of

period

1,509,380

6,103,292

22,686,831

CLASS

N

Shares

outstanding,

beginning

of

period

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

—

1,549,427

19,566,477

Shares

sold

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

53,424

1,040,819

2,202,684

Shares

issued

on

reinvestment

of

distributions

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

27

148,023

59,069

Shares

redeemed

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

(1,978)

(1,126,130)

(20,278,803)

Shares

outstanding,

end

of

period

51,473

1,612,139

1,549,427

CLASS

R6

Shares

outstanding,

beginning

of

period

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

—

4,135,843

19,134,890

Shares

sold

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

432,593

1,289,420

1,287,475

Shares

issued

on

reinvestment

of

distributions

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

454

97,658

138,773

Shares

redeemed

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

—

(4,770,602)

(16,425,295)

Shares

outstanding,

end

of

period

433,047

752,319

4,135,843

*

Commencement

of

operations.

Statements

of

Changes

in

Net

Assets

(Continued)

204

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-SHORT

EQUITY

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(192,822)

$

194,430

$

(2,491,579)

$

13,905,400

Net

realized

gain

(loss)

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

308,084

182,380

(245,926,287)

105,748,364

Net

change

in

unrealized

appreciation

(depreciation)

.......

235,384

1,182,736

107,983,798

(106,397,191)

Net increase

(decrease)

in

net

assets

resulting

from

operations

350,646

1,559,546

(140,434,068)

13,256,573

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(82,833)

(7,978)

(5,602,744)

—

Class

N

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

(5,234)

(589)

(113,472)

—

Class

R6

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

(133,188)

(5,854)

(250,737)

—

Total

distributions

(221,255)

(14,421)

(5,966,953)

—

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

3,577,485

15,026,352

181,721,553

575,379,819

Reinvestment

of

distributions

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

82,289

7,978

2,959,313

—

Cost

of

shares

redeemed

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

(10,073,953)

(21,136,582)

(604,106,694)

(1,382,311,476)

Net

increase

(decrease)

from

capital

transactions

(6,414,179)

(6,102,252)

(419,425,828)

(806,931,657)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

416,094

1,015,451

3,124,429

16,852,037

Reinvestment

of

distributions

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

4,684

589

104,305

—

Cost

of

shares

redeemed

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

(1,049,878)

(17,044,026)

(21,190,180)

(106,143,566)

Net

increase

(decrease)

from

capital

transactions

(629,100)

(16,027,986)

(17,961,446)

(89,291,529)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

7,727,110

12,005

27,941,905

13,747,921

Reinvestment

of

distributions

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

44,123

5,849

238,105

—

Cost

of

shares

redeemed

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

(739,112)

(810,728)

(77,306,268)

(145,628,044)

Net

increase

(decrease)

from

capital

transactions

7,032,121

(792,874)

(49,126,258)

(131,880,123)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(11,158)

(22,923,112)

(486,513,532)

(1,028,103,309)

Total

increase

(decrease)

in

net

assets

118,233

(21,377,987)

(632,914,553)

(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

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

$

28,117,456

$

27,999,223

$

373,328,899

$

1,006,243,452

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

205

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

GLOBAL

MACRO

FUND

**

AQR

LONG-SHORT

EQUITY

FUND

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

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

380,603

1,627,269

18,476,749

51,840,834

Shares

issued

on

reinvestment

of

distributions

...........

8,763

830

317,183

—

Shares

redeemed

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

(1,075,060)

(2,281,831)

(62,818,811)

(125,592,257)

Shares

outstanding,

end

of

period

888,298

1,573,992

37,323,213

81,348,092

CLASS

N

Shares

outstanding,

beginning

of

period

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

124,939

1,903,036

2,621,145

10,817,989

Shares

sold

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

44,936

111,729

323,321

1,538,748

Shares

issued

on

reinvestment

of

distributions

...........

507

62

11,350

—

Shares

redeemed

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

(113,335)

(1,889,888)

(2,206,341)

(9,735,592)

Shares

outstanding,

end

of

period

57,047

124,939

749,475

2,621,145

CLASS

R6

Shares

outstanding,

beginning

of

period

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

1,242,121

1,329,111

6,862,414

18,792,779

Shares

sold

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

817,860

1,259

2,918,269

1,238,828

Shares

issued

on

reinvestment

of

distributions

...........

4,689

608

25,411

—

Shares

redeemed

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

(78,766)

(88,857)

(8,119,265)

(13,169,193)

Shares

outstanding,

end

of

period

1,985,904

1,242,121

1,686,829

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)

206

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MULTI-ASSET

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

131,728

$

2,499,955

$

(271,740)

$

2,712,446

Net

realized

gain

(loss)

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

89,312

24,023,152

(9,388,035)

13,246,218

Net

change

in

unrealized

appreciation

(depreciation)

.......

5,388,333

13,429,318

(8,331,032)

26,995,402

Net increase

(decrease)

in

net

assets

resulting

from

operations

5,609,373

39,952,425

(17,990,807)

42,954,066

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

(1,324,791)

(7,826,259)

(35,448)

(5,315,484)

Class

N

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

(38,969)

(679,342)

(15,381)

(665,640)

Class

R6

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

(145,677)

(294,420)

(723)

(7,398,683)

Total

(1,509,437)

(8,800,021)

(51,552)

(13,379,807)

Return

of

capital:

—

—

—

—

Class

I

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

—

—

—

(2,012)

Class

N

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

—

—

—

(283)

Class

R6

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

—

—

—

(2,569)

Total

—

—

—

(4,864)

Total

distributions

(1,509,437)

(8,800,021)

(51,552)

(13,384,671)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

78,874,445

26,119,567

23,309,629

25,651,638

Reinvestment

of

distributions

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

974,564

6,899,732

35,272

4,124,956

Cost

of

shares

redeemed

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

(82,903,061)

(159,202,833)

(80,118,919)

(32,124,762)

Net

increase

(decrease)

from

capital

transactions

(3,054,052)

(126,183,534)

(56,774,018)

(2,348,168)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

941,523

782,310

8,440,998

4,725,900

Reinvestment

of

distributions

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

38,551

677,289

15,360

665,923

Cost

of

shares

redeemed

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

(6,408,685)

(4,029,937)

(8,356,475)

(11,115,268)

Net

increase

(decrease)

from

capital

transactions

(5,428,611)

(2,570,338)

99,883

(5,723,445)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

8,044,424

1,493,850

14,229,740

11,972,722

Reinvestment

of

distributions

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

145,097

294,420

723

7,400,954

Cost

of

shares

redeemed

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

(1,278,026)

(23,275,947)

(151,391,611)

(43,741,383)

Net

increase

(decrease)

from

capital

transactions

6,911,495

(21,487,677)

(137,161,148)

(24,367,707)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(1,571,168)

(150,241,549)

(193,835,283)

(32,439,320)

Total

increase

(decrease)

in

net

assets

2,528,768

(119,089,145)

(211,877,642)

(2,869,925)

NET

ASSETS:

Beginning

of

period

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

135,545,322

254,634,467

267,413,045

270,282,970

End

of

period

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

$

138,074,090

$

135,545,322

$

55,535,403

$

267,413,045

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

207

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MULTI-ASSET

FUND

**

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

16,598,224

17,068,772

Shares

sold

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

8,865,761

2,761,318

4,173,382

4,249,283

Shares

issued

on

reinvestment

of

distributions

...........

101,201

714,258

5,393

663,176

Shares

redeemed

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

(9,074,793)

(16,637,620)

(15,145,033)

(5,383,007)

Shares

outstanding,

end

of

period

12,265,365

12,373,196

5,631,966

16,598,224

CLASS

N

Shares

outstanding,

beginning

of

period

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

1,180,290

1,449,019

2,172,479

3,130,810

Shares

sold

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

102,856

82,769

1,707,446

796,135

Shares

issued

on

reinvestment

of

distributions

...........

4,012

70,258

2,385

108,457

Shares

redeemed

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

(716,671)

(421,756)

(1,482,726)

(1,862,923)

Shares

outstanding,

end

of

period

570,487

1,180,290

2,399,584

2,172,479

CLASS

R6

Shares

outstanding,

beginning

of

period

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

486,163

2,928,896

23,405,902

27,627,748

Shares

sold

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

880,125

152,687

2,759,499

1,985,800

Shares

issued

on

reinvestment

of

distributions

...........

15,083

30,478

110

1,186,050

Shares

redeemed

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

(135,936)

(2,625,898)

(26,050,604)

(7,393,696)

Shares

outstanding,

end

of

period

1,245,435

486,163

114,907

23,405,902

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Changes

in

Net

Assets

(Continued)

208

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

(442,762)

$

990,018

$

(9,383,464)

$

8,427,510

Net

realized

gain

(loss)

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

(364,249)

15,228,941

(318,218,290)

(145,289,150)

Net

change

in

unrealized

appreciation

(depreciation)

.......

4,058,121

1,728,477

(32,588,998)

(94,301,414)

Net increase

(decrease)

in

net

assets

resulting

from

operations

3,251,110

17,947,436

(360,190,752)

(231,163,054)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Distributable

earnings

—

—

—

—

Class

I

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

(3,776,080)

(10,512,914

)

—

(14,824,074)

Class

N

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

(63,703)

(196,003)

—

(663,746)

Class

R6

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

(26,135)

(44,648)

—

(18,280,787)

Total

(3,865,918)

(10,753,565)

—

(33,768,607)

Return

of

capital:

—

—

—

—

Class

I

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

—

—

—

(904)

Class

N

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

—

—

—

(40)

Class

R6

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

—

—

—

(777)

Total

—

—

—

(1,721)

Total

distributions

(3,865,918)

(10,753,565)

—

(33,770,328)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

6,008,903

35,240,225

229,785,451

617,096,262

Reinvestment

of

distributions

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

3,774,854

9,740,055

—

13,262,027

Cost

of

shares

redeemed

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

(27,579,821)

(6,568,665)

(708,116,773)

(1,387,028,097)

Net

increase

(decrease)

from

capital

transactions

(17,796,064)

38,411,615

(478,331,322)

(756,669,808)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

195,747

424,288

5,954,543

22,257,397

Reinvestment

of

distributions

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

63,703

196,003

—

638,706

Cost

of

shares

redeemed

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

(876,458)

(907,488)

(25,463,704)

(58,798,648)

Net

increase

(decrease)

from

capital

transactions

(617,008)

(287,197)

(19,509,161)

(35,902,545)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

279,345

—

407,761,354

461,478,228

Reinvestment

of

distributions

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

26,135

44,648

—

17,264,975

Cost

of

shares

redeemed

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

(59,522)

(362,146)

(978,688,647)

(651,263,343)

Net

increase

(decrease)

from

capital

transactions

245,958

(317,498)

(570,927,293)

(172,520,140)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(18,167,114)

37,806,920

(1,068,767,776)

(965,092,493)

Total

increase

(decrease)

in

net

assets

(18,781,922)

45,000,791

(1,428,958,528)

(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

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

$

93,106,178

$

111,888,100

$

642,362,894

$

2,071,321,422

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

209

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

RISK

PARITY

II

MV

FUND

**

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

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

675,083

3,808,740

31,652,156

69,328,736

Shares

issued

on

reinvestment

of

distributions

...........

408,977

1,049,575

—

1,611,425

Shares

redeemed

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

(3,148,902)

(692,683)

(100,687,973)

(159,665,945)

Shares

outstanding,

end

of

period

9,668,597

11,733,439

37,337,857

106,373,674

CLASS

N

Shares

outstanding,

beginning

of

period

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

237,647

264,351

5,010,960

9,202,006

Shares

sold

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

21,792

45,097

857,846

2,523,622

Shares

issued

on

reinvestment

of

distributions

...........

6,970

21,258

—

77,891

Shares

redeemed

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

(99,367)

(93,059)

(3,516,648)

(6,792,559)

Shares

outstanding,

end

of

period

167,042

237,647

2,352,158

5,010,960

CLASS

R6

Shares

outstanding,

beginning

of

period

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

49,900

82,163

142,483,592

161,609,679

Shares

sold

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

30,058

—

57,019,218

53,256,825

Shares

issued

on

reinvestment

of

distributions

...........

2,828

4,811

—

2,092,724

Shares

redeemed

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

(6,340)

(37,074)

(138,343,678)

(74,475,636)

Shares

outstanding,

end

of

period

76,446

49,900

61,159,132

142,483,592

**

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

210

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

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

$

(53,844,181)

$

149,896,483

$

(36,317,974)

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

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

(160,110,174)

(1,982,870,388)

(40,328,670)

Payments

to

cover

short

positions

in

securities

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

(324,515,083)

(875,247,134)

(91,105,417)

Proceeds

from

sale

of

securities

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

281,224,472

1,926,581,217

130,715,084

Proceeds

from

short

positions

in

securities

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

190,825,190

900,657,691

25,638,453

Proceeds

from

option

contracts

written

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

14,952,845

—

—

Payments

to

close

option

contracts

written

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

(23,883,166)

—

—

(Purchases)

sales

of

short-term

investments,

net

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

68,290,691

(170,544,638)

201,886,426

Realized

(gain)

loss

on

investments

in

securities

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

(4,692,627)

(29,982,015)

4,133,023

Realized

(gain)

loss

on

short

positions

in

securities

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

21,718,667

29,907,511

(11,626,145)

Realized

(gain)

loss

on

option

contracts

written

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

8,195,380

—

—

Realized

(gain)

loss

on

paydowns

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

—

(1,914)

—

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

...

14,133,849

(163,461,736)

17,942,662

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

.

8,216,768

59,481,546

(1,273,660)

Change

in

unrealized

(appreciation)

depreciation

on

option

contracts

written

....

(82,035)

—

—

Amortization

(accretion)

of

bond

premium

(discount)

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

(750,051)

(663,670)

(740,644)

(Increases)

decreases

in

operating

assets:

–

–

–

Due

from

brokers

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

559,515

(1,822,960)

(130,000)

Deposits

with

brokers

for

futures

contracts

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

11,014,660

(2,215,300)

979

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......

2,053,164

37,215

72,295

Unrealized

appreciation

on

OTC

swaps

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

31,215

(27,971,502)

1,058,118

Deposits

for

securities

sold

short

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

—

(8,007,600)

(612,631)

Deposits  for

written

options

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

7,564,912

—

—

Deposits

with

brokers

for

centrally

cleared

swaps

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

—

(540,999)

—

Variation

margin

on

centrally

cleared

swaps

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

—

8,183

—

Variation

margin

on

futures

contracts

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

(15,828)

7,790

—

Foreign

tax

reclaim

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

(75,666)

37,231

481,913

Dividends

and

Interest

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

346,970

857,997

225,871

Prepaid

expenses

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

11

2,399

13,302

Increases

(decreases)

in

operating

liabilities

–

–

–

Due

to

broker

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

(829,932)

23,515,021

137

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......

(2,215,236)

(15,125)

(636,856)

Unrealized

depreciation

on

OTC

swaps

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

(174,056)

(17,839,372)

(21,296,164)

Variation

margin

on

centrally

cleared

swaps

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

—

19,286

—

Variation

margin

on

futures

contracts

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

(1,611,094)

226,986

—

Accrued

investment

advisory

fees

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

(164,843)

298,360

(230,752)

Accrued

distribution

fees—Class

N

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

(950)

(4,791)

(1,944)

Dividends

and

Interest

payable

on

securities

sold

short

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

(235,473)

(238,574)

(110,831)

Other

accrued

expenses

and

liabilities

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

(116,341)

(41,927)

(164,848)

Net

cash

provided

by

(used

in)

operating

activities

$

55,811,573

$

(189,934,729)

$

177,591,727

—

—

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

—

—

Proceeds

from

shares

sold

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

262,067,148

574,115,554

66,233,375

Payments

on

shares

redeemed

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

(318,206,385)

(380,885,760)

(242,757,143)

Cash

distributions

paid

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

(11,454)

(3,995,302)

(698,435)

Due

to

custodian

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

—

—

(2,474)

Net

cash

provided

by

(used

in)

financing

activities

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

$

(56,150,691)

$

189,234,492

$

(177,224,677)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

(339,118)

(700,237)

367,050

Cash,

beginning

of

period

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

1,864,128

4,106,554

331,616

Cash,

end

of

period**

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

$

1,525,010

$

3,406,317

$

698,666

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$1,050,877,

$3,312,617

and

$185,900.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$2,298,861,

$10,041,054

and

$5,849,550.

Statements

of

Cash

Flows

211

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MULTI-

ASSET

FUND

***

CASH

FLOWS

FROM

(USED

IN)

OPERATING

ACTIVITIES:

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

$

5,609,373

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

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

(96,238,498)

Payments

to

cover

short

positions

in

securities

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

(34,426,594)

Proceeds

from

sale

of

securities

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

136,969,672

Proceeds

from

short

positions

in

securities

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

24,796,736

(Purchases)

sales

of

short-term

investments,

net

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

(34,499,176)

Realized

(gain)

loss

on

investments

in

securities

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

2,448,191

Realized

(gain)

loss

on

short

positions

in

securities

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

(940,552)

Change

in

unrealized

(appreciation)

depreciation

on

investments

in

securities

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

(3,328,566)

Change

in

unrealized

(appreciation)

depreciation

on

short

positions

in

securities

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

1,350,269

Amortization

(accretion)

of

bond

premium

(discount)

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

(229,194)

(Increases)

decreases

in

operating

assets:

–

Due

from

brokers

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

403,436

Deposits

with

brokers

for

futures

contracts

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

(79,411)

Repurchase

Agreements

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

4,458,088

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

990,217

Unrealized

appreciation

on

OTC

swaps

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

(319,200)

Variation

margin

on

futures

contracts

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

(372,976)

Foreign

tax

reclaim

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

(17,952)

Dividends

and

Interest

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

116,368

Prepaid

expenses

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

2,076

Increases

(decreases)

in

operating

liabilities

–

Due

to

broker

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

(174,786)

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

(812,857)

Unrealized

depreciation

on

OTC

swaps

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

(230,795)

Deposits

from

brokers

for

futures

contracts

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

(70,657)

Variation

margin

on

futures

contracts

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

(203,279)

Accrued

investment

advisory

fees

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

(24,222)

Accrued

distribution

fees—Class

N

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

(1,261)

Dividends

and

Interest

payable

on

securities

sold

short

and

reverse

repurchase

agreements

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

(10,664)

Other

accrued

expenses

and

liabilities

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

(92,971)

Net

cash

provided

by

(used

in)

operating

activities

$

5,070,815

—

CASH

FLOWS

FROM

(USED

IN)

FINANCING

ACTIVITIES

—

Proceeds

from

shares

sold

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

87,949,243

Net

change

in

reverse

repurchase

agreements

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

(1,708,898)

Payments

on

shares

redeemed

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

(91,139,834)

Cash

distributions

paid

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

(351,225)

Due

to

custodian

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

221

Net

cash

provided

by

(used

in)

financing

activities

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

$

(5,250,493)

Net

change

in

cash

and

cash

denominated

in

foreign

currencies

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

(179,678)

Cash,

beginning

of

period

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

633,893

Cash,

end

of

period**

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

$

454,215

Supplemental

disclosure

of

cash

flow

information:

Cash

paid

during

the

period

for

interest

in

the

amount

of

$97,817.

Non-cash

financing

activities

consist

of

reinvestment

of

distributions

in

the

amount

$1,158,212.

***

Consolidated

financial

statement,

see

Note

2

in

the

Notes

to

Financial

Statements

for

additional

information.

Statements

of

Cash

Flows

212

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

**

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

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

$

1,242,247

$

282,763

$

1,525,010

AQR

Diversified

Arbitrage

Fund

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

2,437,103

969,214

3,406,317

AQR

Equity

Market

Neutral

Fund

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

—

698,666

698,666

AQR

Multi-Asset

Fund

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

—

454,215

454,215

214

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Return

of

Capital

Total

Distributions

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.89

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.25

0.05

6

(0.33)

(0.28)

(0.08)

—

—

(0.08)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.00)

7

(0.75)

(0.75)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.88

(0.04)

(1.84)

(1.88)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.23

0.03

6

(0.33)

(0.30)

(0.05)

—

—

(0.05)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.01

(0.03)

(0.74)

(0.77)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.02

10

0.01

—

—

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.91

(0.02)

(1.84)

(1.86)

(0.14)

—

—

(0.14)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

$

9.27

0.05

6

(0.32)

(0.27)

(0.09)

—

—

(0.09)

FOR

THE

YEAR

ENDED

DECEMBER

31,

2018

$

10.02

0.01

(0.75)

(0.74)

(0.01)

—

—

(0.01)

FOR

THE

PERIOD

9/19/17

9

-12/31/17

$

10.00

(0.01)

0.03

10

0.02

—

—

—

—

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.30

(0.03)

2.37

2.34

(0.15)

—

(0.03)

(0.18)

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)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.06)

2.38

2.32

(0.12)

—

(0.03)

(0.15)

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)

AQR

DIVERSIFIED

ARBITRAGE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.28

(0.01)

2.36

2.35

(0.15)

—

(0.04)

(0.19)

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)

215

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

6.89

(20.95)%

$

61,080

3.31%

3.20%

1.41%

(0.31)%

232%

$

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%

$

6.86

(21.20)%

$

6,503

3.57%

3.45%

1.66%

(0.51)%

232%

$

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%

$

6.91

(20.90)%

$

54,859

3.22%

3.10%

1.31%

(0.24)%

232%

$

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%

$

11.46

25.21%

$

611,741

2.10%

2.04%

1.20%

(0.29)%

598%

$

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%

$

11.48

24.96%

$

34,599

2.35%

2.29%

1.45%

(0.60)%

598%

$

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%

$

11.44

25.36%

$

232,201

2.00%

1.94%

1.10%

(0.10)%

598%

$

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%

216

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

-12/31/20

$

10.00

0.23

0.34

0.57

(0.20)

—

—

(0.20)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

N

FOR

THE

PERIOD

6/08/20

9

-12/31/20

$

10.00

0.15

0.41

0.56

(0.19)

—

—

(0.19)

AQR

DIVERSIFYING

STRATEGIES

FUND

CLASS

R6

FOR

THE

PERIOD

6/08/20

9

-12/31/20

$

10.00

0.18

0.39

0.57

(0.20)

—

—

(0.20)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.20

(0.02)

(1.77)

(1.79)

—

(1.10)

—

(1.10)

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)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.12

(0.03)

(1.76)

(1.79)

—

(1.10)

—

(1.10)

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)

AQR

EQUITY

MARKET

NEUTRAL

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.22

(0.00)

7

(1.80)

(1.80)

—

(1.10)

—

(1.10)

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)

217

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

10.37

5.71%

$

15,645

1.31%

8

0.20%

0.20%

3.91%

14%

$

10.37

5.61%

$

533

1.87%

8

0.45%

0.45%

2.56%

14%

$

10.37

5.75%

$

4,492

1.62%

8

0.10%

0.10%

3.06%

14%

$

6.31

(19.52)%

$

38,498

1.73%

1.63%

1.30%

(0.20)%

312%

$

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%

$

6.23

(19.70)%

$

10,040

2.03%

1.88%

1.55%

(0.33)%

312%

$

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%

$

6.32

(19.61)%

$

4,758

1.67%

1.53%

1.20%

(0.01)%

312%

$

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%

218

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.52

(0.07)

0.22

0.15

—

(0.09)

—

(0.09)

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)

AQR

GLOBAL

MACRO

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.39

(0.10)

0.22

0.12

—

(0.09)

—

(0.09)

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)

AQR

GLOBAL

MACRO

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.53

(0.07)

0.23

0.16

—

(0.09)

—

(0.09)

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)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.08

(0.04)

(1.50)

(1.54)

—

(0.15)

—

(0.15)

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)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

10.95

(0.08)

(1.47)

(1.55)

—

(0.15)

—

(0.15)

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)

AQR

LONG-SHORT

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

11.12

(0.02)

(1.51)

(1.53)

—

(0.15)

—

(0.15)

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)

219

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

9.58

1.61%

$

8,510

2.22%

1.35%

1.34%

(0.77)%

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%

$

9.42

1.31%

$

537

2.47%

1.60%

1.59%

(1.04)%

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%

$

9.60

1.71%

$

19,070

2.12%

1.23%

1.22%

(0.71)%

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%

$

9.39

(13.91)%

$

350,475

1.32%

1.31%

1.30%

(0.42)%

269%

$

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%

$

9.25

(14.17)%

$

6,934

1.57%

1.56%

1.55%

(0.79)%

269%

$

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%

$

9.44

(13.77)%

$

15,920

1.23%

1.21%

1.20%

(0.25)%

269%

$

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%

220

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.66

0.01

0.25

0.26

(0.11)

—

—

(0.11)

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)

AQR

MULTI-ASSET

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.63

(0.01)

0.24

0.23

(0.07)

—

—

(0.07)

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)

AQR

MULTI-ASSET

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.65

0.02

0.25

0.27

(0.12)

—

—

(0.12)

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)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.33

(0.01)

0.54

10

0.53

—

(0.01)

—

(0.01)

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)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.25

(0.03)

0.54

10

0.51

—

(0.01)

—

(0.01)

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)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

6.35

(0.01)

0.54

10

0.53

—

(0.01)

—

(0.01)

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)

221

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

9.81

2.68%

$

120,287

1.20%

1.04%

0.87%

0.10%

187%

$

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%

$

9.79

2.41%

$

5,585

1.46%

1.31%

1.14%

(0.08)%

187%

$

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%

$

9.80

2.78%

$

12,202

1.08%

0.92%

0.75%

0.20%

187%

$

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%

$

6.85

8.32%

$

38,558

1.10%

1.00%

1.00%

(0.13)%

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%

$

6.75

8.11%

$

16,188

1.39%

1.25%

1.25%

(0.63)%

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%

$

6.87

8.29%

$

789

1.02%

0.90%

0.90%

(0.14)%

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%

222

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.04)

0.52

0.48

—

(0.40)

—

(0.40)

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)

AQR

RISK

PARITY

II

MV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.25

(0.06)

0.52

0.46

—

(0.40)

—

(0.40)

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)

AQR

RISK

PARITY

II

MV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

9.31

(0.03)

0.52

0.49

—

(0.40)

—

(0.40)

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)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.15

(0.06)

(1.73)

(1.79)

—

—

—

—

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)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.12

(0.08)

(1.72)

(1.80)

—

—

—

—

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)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.17

(0.05)

(1.74)

(1.79)

—

—

—

—

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)

223

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

9.39

5.20%

$

90,832

1.07%

0.88%

0.88%

(0.46)%

111%

$

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%

$

9.31

5.03%

$

1,555

1.32%

1.13%

1.13%

(0.71)%

111%

$

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%

$

9.40

5.31%

$

719

0.96%

0.77%

0.77%

(0.35)%

111%

$

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%

$

6.36

(21.96)%

$

237,379

1.84%

1.78%

1.50%

(0.80)%

544%

$

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%

$

6.32

(22.17)%

$

14,857

2.08%

2.03%

1.75%

(1.06)%

544%

$

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%

$

6.38

(21.91)%

$

390,127

1.74%

1.68%

1.40%

(0.68)%

544%

$

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%

224

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Alternative

Risk

Premia

Fund

–

Class

I

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

$0.04

0.47%

AQR

Alternative

Risk

Premia

Fund

–

Class

N

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

0.02

0.17

AQR

Alternative

Risk

Premia

Fund

–

Class

R6

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

0.04

0.42

AQR

Style

Premia

Alternative

Fund

–

Class

I

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

0.01

0.16

AQR

Style

Premia

Alternative

Fund

–

Class

N

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

(0.01)

(0.10)

AQR

Style

Premia

Alternative

Fund

–

Class

R6

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

0.02

0.21

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

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.

225

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

As

of

December

31,

2020,

the

Trust

consists

of

thirty-one

active

series, ten

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

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

MV

Fund

and

AQR

Style

Premia

Alternative

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.

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

and

AQR

Style

Premia

Alternative

Fund

is

to

seek

positive

absolute

returns.

The

investment

objective

of

the

AQR

Multi-Asset

Fund,

AQR

Risk-

Balanced

Commodities

Strategy

Fund

and

AQR

Risk

Parity

II

MV

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

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

MV

Fund

and

AQR

Style

Premia

Alternative

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Global

Macro

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

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.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2020

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2020

AQR

Global

Macro

Offshore

Fund

Ltd

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

$

6,449,575

19.9%

AQR

Multi-Asset

Offshore

Fund

Ltd

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

14,001,148

7.7%

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd

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

13,523,438

24.3%

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd

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

14,277,385

15.0%

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd

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

148,225,574

15.1%

226

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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. Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-date

dividend

notification.

The

Funds

may

file

withholding

tax

reclaim

in

certain

jurisdictions

to

recover

a

portion

of

amounts

previously

withheld.

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.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

more-likely-than-not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

December

31,

2020,

the

Funds

had

no

examinations

in

progress.

227

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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. 

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.

228

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

December

31,

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.

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. 

BORROWER

COMMITMENT

AMOUNT

DEMC

Ltd.,

Class

A-2

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

$

238,434

229

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

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

$

1,050,877

AQR

Diversified

Arbitrage

Fund

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

3,312,617

AQR

Equity

Market

Neutral

Fund

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

185,900

AQR

Long-Short

Equity

Fund

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

6,097

AQR

Multi-Asset

Fund

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

70,870

AQR

Style

Premia

Alternative

Fund

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

879,633

230

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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. 

231

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

$10,413,244

for

AQR

Multi-Asset

Fund.

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.

232

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

233

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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. 

234

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

†

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

$

63,929,730

$

49,746,515

$

–

$

113,676,245

Preferred

Stocks

†

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

171,072

–

–

171,072

Short-Term

Investments

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

54,179,114

44,291,704

–

98,470,818

Futures

Contracts*

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

577,551

–

–

577,551

Forward

Foreign

Currency

Exchange

Contracts*

........

–

5,152,564

–

5,152,564

Total

Return

Swaps

Contracts*

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

–

1,080,160

–

1,080,160

Total

Assets

$

118,857,467

$

100,270,943

$

–

$

219,128,410

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(55,944,167)

$

(43,241,519)

$

–

(a)

$

(99,185,686)

Futures

Contracts*

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

(1,131,594)

–

–

(1,131,594)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(5,087,070)

–

(5,087,070)

Total

Return

Swaps

Contracts*

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

–

(3,947)

–

(3,947)

Total

Liabilities

$

(57,075,761)

$

(48,332,536)

$

–

(a)

$

(105,408,297)

235

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

289,488,078

$

–

$

1,672,027

$

291,160,105

Convertible

Preferred

Stocks

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

–

59,461,538

–

59,461,538

Corporate

Bonds

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

–

3,164,625

738,825

3,903,450

Convertible

Bonds

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

–

267,678,249

–

(a)

267,678,249

Closed

End

Funds

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

32,716,923

–

–

32,716,923

Preferred

Stocks

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

–

–

543,155

543,155

Rights

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

439,655

–

232,292

671,947

Securities

in

Litigation

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

–

–

316,441

316,441

Warrants

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

60,378,882

176,841

18,091

60,573,814

Short-Term

Investments

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

268,983,382

86,167,402

–

355,150,784

Forward

Foreign

Currency

Exchange

Contracts*

........

–

60,345

–

60,345

Total

Return

Basket

Swaps

Contracts*

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

–

31,480,633

–

31,480,633

Total

Assets

$

652,006,920

$

448,189,633

$

3,520,831

$

1,103,717,384

LIABILITIES

Common

Stocks(Sold

Short)

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

$

(233,285,111)

$

(7,000,494)

$

–

(a)

$

(240,285,605)

Convertible

Bonds(Sold

Short)

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

–

(21,486,624)

–

(21,486,624)

Futures

Contracts*

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

(1,316,316)

–

–

(1,316,316)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(186,612)

–

(186,612)

Credit

Default

Swap

Contracts*

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

–

(1,606,638)

–

(1,606,638)

Total

Return

Basket

Swaps

Contracts*

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

–

(2,705,422)

–

(2,705,422)

Total

Liabilities

$

(234,601,427)

$

(32,985,790)

$

–

(a)

$

(267,587,217)

AQR

DIVERSIFYING

STRATEGIES

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Investment

Companies

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

$

20,170,889

$

–

$

–

$

20,170,889

Short-Term

Investments

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

394,902

–

–

394,902

Total

Assets

$

20,565,791

$

–

$

–

$

20,565,791

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

3,356,954

$

–

$

3,356,954

Short-Term

Investments

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

22,836,349

23,471,364

–

46,307,713

Forward

Foreign

Currency

Exchange

Contracts*

........

–

128

–

128

Total

Return

Basket

Swaps

Contracts*

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

–

123,908

–

123,908

Total

Assets

$

22,836,349

$

26,952,354

$

–

$

49,788,703

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(2,849,703)

$

–

$

(2,849,703)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(20,564)

–

(20,564)

Total

Return

Basket

Swaps

Contracts*

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

–

(568,600)

–

(568,600)

Total

Liabilities

$

–

$

(3,438,867)

$

–

$

(3,438,867)

236

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

GLOBAL

MACRO

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

16,129,837

$

7,802,786

$

–

$

23,932,623

Futures

Contracts*

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

878,531

–

–

878,531

Forward

Foreign

Currency

Exchange

Contracts*

........

–

871,503

–

871,503

Interest

Rate

Swap

Contracts*

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

–

816,316

–

816,316

Total

Return

Swaps

Contracts*

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

–

367,726

–

367,726

Total

Assets

$

17,008,368

$

9,858,331

$

–

$

26,866,699

LIABILITIES

Futures

Contracts*

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

$

(469,373)

$

–

$

–

$

(469,373)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,073,340)

–

(1,073,340)

Interest

Rate

Swap

Contracts*

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

–

(867,571)

–

(867,571)

Total

Return

Swaps

Contracts*

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

–

(135,765)

–

(135,765)

Total

Liabilities

$

(469,373)

$

(2,076,676)

$

–

$

(2,546,049)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

129,012,285

$

202,673,308

$

–

$

331,685,593

Futures

Contracts*

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

3,795,419

–

–

3,795,419

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,601,090

–

1,601,090

Total

Return

Basket

Swaps

Contracts*

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

–

758,134

–

758,134

Total

Return

Swaps

Contracts*

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

–

706,633

–

706,633

Total

Assets

$

132,807,704

$

205,739,165

$

–

$

338,546,869

LIABILITIES

Futures

Contracts*

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

$

(187,767)

$

–

$

–

$

(187,767)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(140,045)

–

(140,045)

Total

Return

Basket

Swaps

Contracts*

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

–

(7,026,485)

–

(7,026,485)

Total

Return

Swaps

Contracts*

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

–

(33,316)

–

(33,316)

Total

Liabilities

$

(187,767)

$

(7,199,846)

$

–

$

(7,387,613)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

25,682,956

$

12,665,395

$

–

$

38,348,351

Preferred

Stocks

†

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

29,898

–

–

29,898

Foreign

Government

Securities

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

–

10,413,224

–

10,413,224

U.S.

Treasury

Obligations

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

–

23,032,493

–

23,032,493

Short-Term

Investments

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

27,797,176

50,806,067

–

78,603,243

Futures

Contracts*

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

4,132,519

–

–

4,132,519

Forward

Foreign

Currency

Exchange

Contracts*

........

–

1,807,176

–

1,807,176

Total

Return

Swaps

Contracts*

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

–

740,274

–

740,274

Total

Assets

$

57,642,549

$

99,464,629

$

–

$

157,107,178

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(5,700,760)

$

(3,200,085)

$

–

$

(8,900,845)

Reverse

Repurchase

Agreements

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

–

(10,428,841)

–

(10,428,841)

Futures

Contracts*

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

(1,320,587)

–

–

(1,320,587)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,780,557)

–

(1,780,557)

Total

Return

Swaps

Contracts*

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

–

(129,436)

–

(129,436)

Total

Liabilities

$

(7,021,347)

$

(15,538,919)

$

–

$

(22,560,266)

237

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

28,343,646

$

19,339,523

$

–

$

47,683,169

Futures

Contracts*

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

16,221,730

–

–

16,221,730

Total

Return

Swaps

Contracts*

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

–

5,253,790

–

5,253,790

Total

Assets

$

44,565,376

$

24,593,313

$

–

$

69,158,689

LIABILITIES

Futures

Contracts*

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

$

(10,719,680)

$

–

$

–

$

(10,719,680)

Total

Return

Swaps

Contracts*

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

–

(3,621,230)

–

(3,621,230)

Total

Liabilities

$

(10,719,680)

$

(3,621,230)

$

–

$

(14,340,910)

AQR

RISK

PARITY

II

MV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

12,076,514

$

–

$

12,076,514

U.S.

Treasury

Obligations

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

–

24,363,158

–

24,363,158

Short-Term

Investments

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

31,511,861

21,331,551

–

52,843,412

Futures

Contracts*

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

2,771,072

–

–

2,771,072

Forward

Foreign

Currency

Exchange

Contracts*

........

–

12,819

–

12,819

Total

Return

Swaps

Contracts*

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

–

936,686

–

936,686

Total

Assets

$

34,282,933

$

58,720,728

$

–

$

93,003,661

LIABILITIES

Futures

Contracts*

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

$

(478,509)

$

–

$

–

$

(478,509)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(309,499)

–

(309,499)

Total

Return

Swaps

Contracts*

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

–

(72,689)

–

(72,689)

Total

Liabilities

$

(478,509)

$

(382,188)

$

–

$

(860,697)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

28,717,566

$

–

$

28,717,566

Short-Term

Investments

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

248,936,461

316,862,502

–

565,798,963

Futures

Contracts*

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

18,082,763

–

–

18,082,763

Forward

Foreign

Currency

Exchange

Contracts*

........

–

21,279,488

–

21,279,488

Interest

Rate

Swap

Contracts*

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

–

6,898,921

–

6,898,921

Total

Return

Basket

Swaps

Contracts*

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

–

2,628,580

–

2,628,580

Total

Return

Swaps

Contracts*

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

–

12,874,296

–

12,874,296

Total

Assets

$

267,019,224

$

389,261,353

$

–

$

656,280,577

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(3,518,710)

$

(28,324,014)

$

(3)

$

(31,842,727)

Futures

Contracts*

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

(15,537,204)

–

–

(15,537,204)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(19,716,735)

–

(19,716,735)

Interest

Rate

Swap

Contracts*

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

–

(6,213,057)

–

(6,213,057)

Total

Return

Basket

Swaps

Contracts*

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

–

(4,851,738)

–

(4,851,738)

Total

Return

Swaps

Contracts*

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

–

(1,225,719)

–

(1,225,719)

Total

Liabilities

$

(19,055,914)

$

(60,331,263)

$

(3)

$

(79,387,180)

*

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.

238

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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)

........

–

(1,615)

–

–

–

–

–

–

Realized

gain/(loss)

...

(23,111)

(31,134,125)

(565,632)

–

–

–

–

–

Change

in

unrealized

appreciation/

(depreciation)

......

(104,120)

30,460,170

564,913

(50,061)

40,462

(419,115)

(19,179)

–

Purchases

1

..........

–

65,215

–

–

–

–

110,610

–

Sales

2

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

(4,784,662)

(1,444,015)

(11,500)

–

–

–

–

–

Transfers

into

Level

3

..

–

–

–

–

–

–

–

–

Transfers

out

of

Level

3

.

–

–

–

–

–

(349,099)

–

–

Balance

as

of

December

31,

2020

..........

$

1,672,027

$

738,825

$

–

(a)

$

543,155

$

232,292

$

18,091

$

316,441

$

–(a)

Change

in

Unrealized

appreciation/

(depreciation)

for

the

securities

still

held

at

December

31,

2020

.

$

359,565

$

(498,391)

$

–

$

(50,061)

$

40,462

$

(949)

$

(25,652)

$

–

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.

239

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

table

summarizes

the

quantitative

inputs

and

assumptions

used

in

the

valuation

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

year

ended December

31,

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

December

31,

2020,

the

value

of

these

securities

for

the

AQR

Diversified

Arbitrage

Fund

was

$613,300.

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

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

$428,781

Enterprise

Value

Waterfall

Analysis

Discount

for

Lack

of

Marketability**

58.66%

N/A

$1,243,246

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)

-11.86%

N/A

Scenario

Probability

10.00%-45.00%

33.33%

Term

2

years

N/A

Corporate

Bonds

$144,130

Liquidation

Analysis

Discount

for

Lack

of

Marketability**

21.50%

N/A

Discount

Rate

16.68%

N/A

Term

1

year

N/A

Preferred

Stocks

$543,155

Enterprise

Value

Waterfall

Analysis

Dividend

Rate

9.00%

N/A

Equity

Cost

of

Capital

15.88%

N/A

Term

10

years

N/A

Rights

$232,292

Probability

Weighted

Expected

Return

Discount

for

Lack

of

Marketability**

15.10%-30.70%

21.25%

Equity

Cost

of

Capital

20.00%

N/A

Scenario

Probability

0.00%-70.00%

43.73%

Weighted

Average

Cost

of

Capital

27.50%

N/A

Securities

in

Litigation

$315,927

Liquidation

Analysis

Discount

for

Lack

of

Marketability**

30.00%

N/A

Discount

Rate

5.17%

N/A

Future

Fundings

as

%

of

Expected

Proceeds

27.15%

N/A

Term

1.25

years

N/A

240

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Federal

Income

Tax

Matters

At

December

31,

2020,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals,

and

differences

in

the

tax

treatment

of

passive

foreign

investment

companies

(“PFIC”),

gain/(loss)

recognition

on

constructive

sales,

investments

in

partnerships,

convertible

securities,

contingent

payment

debt

instruments

(“CPDI”)

and

certain

forward

foreign

currency,

swap,

option, and

futures

contracts. 

As

of

December

31,

2020,

the

components

of

net

assets

(excluding

paid-in

capital)

on

a

tax

basis

were

as

follows:

The

differences

between

book

basis

and

tax

basis

components

of

net

assets

are

primarily

attributable

to

wash

sale

loss

deferrals

and

other

book

and

tax

differences

including,

mark

to

market

on

PFICs,

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

and

options

contracts,

mark

to

market

and

income

on

certain

swaps,

certain

late

year

loss

deferrals,

straddle

loss

deferrals,

loss

deferrals

on

unsettled

short

sales,

gain/(loss)

recognition

on

constructive

sales,

investments

in

partnerships,

investments

in

inflation

protected

securities,

deemed

dividends

from

convertible

securities,

Cayman

subsidiary

taxable

income,

CPDI

accrued

income,

capital

loss

carryforwards

and

finance

charges

on

equity

swaps. 

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Alternative

Risk

Premia

Fund

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

$

69,445,690

$

53,616,196

$

(9,328,961)

$

44,287,235

AQR

Diversified

Arbitrage

Fund

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

919,764,632

224,293,041

(126,000,409)

98,292,632

AQR

Diversifying

Strategies

Fund

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

20,462,413

1,042,848

(939,470)

103,378

AQR

Equity

Market

Neutral

Fund

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

46,140,011

1,363,062

(1,070,136)

292,926

AQR

Global

Macro

Fund

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

23,909,800

630,196

(252,151)

378,045

AQR

Long-Short

Equity

Fund

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

330,915,511

11,009,515

(10,675,614)

333,901

AQR

Multi-Asset

Fund

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

122,516,041

16,751,749

(4,758,795)

11,992,954

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

49,066,329

7,136,217

(1,384,772)

5,751,445

AQR

Risk

Parity

II

MV

Fund

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

87,803,333

5,345,083

(1,005,543)

4,339,540

AQR

Style

Premia

Alternative

Fund

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

566,408,366

28,526,630

(18,068,903)

10,457,727

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

CARRYFORWARDS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Alternative

Risk

Premia

Fund

$

1,668,789

$

(112,199,050)

$

44,284,497

$

(10,937,136)

$

(1)

$

(77,182,901)

AQR

Diversified

Arbitrage

Fund

..

—

(245,135,844)

88,209,459

(28,261,371)

81,558

(185,106,198)

AQR

Diversifying

Strategies

Fund

—

371,926

103,378

—

—

475,304

AQR

Equity

Market

Neutral

Fund

—

754,008

292,851

(2,551,754)

—

(1,504,895)

AQR

Global

Macro

Fund

.......

240,891

—

320,415

(62,240)

89,034

588,100

AQR

Long-Short

Equity

Fund

...

—

(4,857,815)

333,901

(10,421,152)

—

(14,945,066)

AQR

Multi-Asset

Fund

........

—

(789,015)

11,162,067

(3,259,693)

(1,091,358)

6,022,001

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

—

—

3,180,782

(1,203)

(12,813,725)

(9,634,146)

AQR

Risk

Parity

II

MV

Fund

....

—

2,855,721

3,375,988

(284,657)

(1,005,797)

4,941,255

AQR

Style

Premia

Alternative

Fund

—

(470,963,651)

8,752,435

(35,479,603)

15,705,042

(481,985,777)

241

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

As

of

December

31,

2020,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

certain

non-deductible

expenses,

net

operating

losses,

and

income

from

investments

in

the

Cayman

subsidiary.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications. 

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends December

31,

2020

and

December

31,

2019 were

as

follows:

During

the

year

ended

December

31,

2020,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

As

of

December

31,

2020,

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:

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Alternative

Risk

Premia

Fund

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

$

13,901

$

(13,901)

AQR

Diversifying

Strategies

Fund

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

4,721

(4,721)

AQR

Equity

Market

Neutral

Fund

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

27,353,622

(27,353,622)

AQR

Global

Macro

Fund

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

163,521

(163,521)

AQR

Long-Short

Equity

Fund

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

152,369,385

(152,369,385)

AQR

Multi-Asset

Fund

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

(492,044)

492,044

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

(9,178,695)

9,178,695

AQR

Risk

Parity

II

MV

Fund

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

2,369,176

(2,369,176)

AQR

Style

Premia

Alternative

Fund

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

400,696,338

(400,696,338)

DECEMBER

31,

2020

DECEMBER

31,

2019

FUND

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

ORDINARY

INCOME

CAPITAL

GAINS

RETURN

OF

CAPITAL

AQR

Alternative

Risk

Premia

Fund

...........

$

2,310,315

$

—

$

—

$

2,000,121

$

—

$

—

AQR

Diversified

Arbitrage

Fund

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

11,915,363

—

2,120,993

11,000,163

—

—

AQR

Diversifying

Strategies

Fund

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

349,277

44,339

—

—

—

—

AQR

Equity

Market

Neutral

Fund

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

—

6,547,985

—

—

9,829,531

—

AQR

Global

Macro

Fund

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

221,255

—

—

14,421

—

—

AQR

Long-Short

Equity

Fund

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

—

5,966,953

—

—

—

—

AQR

Multi-Asset

Fund

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

1,509,437

—

—

8,800,021

—

—

AQR

Risk-Balanced

Commodities

Strategy

Fund

.

—

51,552

—

13,379,807

—

4,864

AQR

Risk

Parity

II

MV

Fund

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

1,636,745

2,229,173

—

5,964,937

4,788,628

—

AQR

Style

Premia

Alternative

Fund

...........

—

—

—

33,768,607

—

1,721

FUND

SHORT-TERM

LONG-TERM

AQR

Alternative

Risk

Premia

Fund

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

$

–

$

3,925,946

AQR

Diversified

Arbitrage

Fund

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

40,914,475

7,872,653

AQR

Multi-Asset

Fund

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

1,899,080

3,845,552

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

20,760

–

AQR

Style

Premia

Alternative

Fund

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

53,821,556

76,444,540

FUND

SHORT-TERM

LONG

TERM

AQR

Alternative

Risk

Premia

Fund

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

$

112,199,050

$

—

AQR

Diversified

Arbitrage

Fund

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

12,919,286

232,216,558

AQR

Long-Short

Equity

Fund

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

4,857,815

—

AQR

Multi-Asset

Fund

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

—

789,015

AQR

Style

Premia

Alternative

Fund

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

470,963,651

—

242

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Investment

Transactions

During

the year

ended

December

31,

2020,

the

cost

of

purchases

and

the

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments)

were

as

follows:

During

the year

ended

December

31,

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

December

31,

2020.

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Alternative

Risk

Premia

Fund

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

$

152,625,019

$

273,560,593

$

190,903,383

$

323,832,120

AQR

Diversified

Arbitrage

Fund

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

1,976,082,953

1,919,293,711

900,657,691

875,247,134

AQR

Diversifying

Strategies

Fund

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

22,373,208

2,299,355

—

—

AQR

Equity

Market

Neutral

Fund

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

21,327,188

107,573,756

25,638,453

90,985,585

AQR

Long-Short

Equity

Fund

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

102,676

847,752

—

2,938,385

AQR

Multi-Asset

Fund

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

94,760,694

136,999,135

24,796,736

34,291,684

AQR

Risk

Parity

II

MV

Fund

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

35,716,144

50,709,358

—

—

AQR

Style

Premia

Alternative

Fund

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

79,363,513

1,386,701,873

150,319,553

1,173,560,108

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Diversified

Arbitrage

Fund

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

$

49,792,166

$

49,821,829

$

484,166,581

$

484,587,348

AQR

Multi-Asset

Fund

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

26,752,099

33,936,366

—

—

AQR

Risk

Parity

II

MV

Fund

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

22,744,155

35,453,251

—

—

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

Equity

Risk

Exposure:

2,158,978

49,160,673

692,508

868,659

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

489,703

$

–

$

–

$

403,766

Swaps

at

Value

(Assets)

**

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

1,080,160

8,055,706

123,908

250,570

Unrealized

Depreciation

on

Futures

Contracts

*

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

(585,167)

(1,257,475)

–

(103,659)

Swaps

at

Value

(Liabilities)

**

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

(3,947)

(39,847,492)

(568,600)

(110,663)

2,158,978

49,160,673

692,508

868,659

Foreign

Exchange

Rate

Risk

Exposure:

10,239,634

246,957

20,692

1,944,843

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

5,152,564

60,345

128

871,503

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(5,087,070)

(186,612)

(20,564)

(1,073,340)

10,239,634

246,957

20,692

1,944,843

Interest

Rate

Risk

Exposure:

634,275

60,625,838

–

1,757,864

Unrealized

Appreciation

on

Futures

Contracts

*

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

87,848

–

–

37,953

Swaps

at

Value

(Assets)

**

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

–

60,566,997

–

816,316

Unrealized

Depreciation

on

Futures

Contracts

*

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

(546,427)

(58,841)

–

(36,025)

Swaps

at

Value

(Liabilities)

**

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

–

–

–

(867,571)

634,275

60,625,838

–

1,757,864

Credit

Risk

Exposure:

–

1,606,637

–

–

Swaps

at

Value

(Liabilities)

**

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

–

(1,606,638)

–

–

–

1,606,637

–

–

243

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

ALTERNATIVE

RISK

PREMIA

FUND

AQR

DIVERSIFIED

ARBITRAGE

FUND

AQR

EQUITY

MARKET

NEUTRAL

FUND

AQR

GLOBAL

MACRO

FUND

Commodity

Risk

Exposure:

–

–

–

908,758

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

–

–

436,812

Swaps

at

Value

(Assets)

**

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

–

–

–

117,156

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

–

–

(329,689)

Swaps

at

Value

(Liabilities)

**

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

–

–

–

(25,102)

–

–

–

908,758

Net

Fair

Value

of

Derivative

Contracts:

33,619

24,283,408

(930,256)

186,190

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

(554,043)

(1,316,316)

–

409,158

Swaps

at

Value

**

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

1,076,213

27,168,573

(444,692)

180,706

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

65,494

(126,267)

(20,436)

(201,837)

33,619

24,283,408

930,256

186,190

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

MV

FUND

Equity

Risk

Exposure:

12,507,754

1,038,314

–

921,773

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

3,795,419

$

883,201

$

–

$

686,239

Swaps

at

Value

(Assets)

**

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

1,464,767

96,847

–

221,604

Unrealized

Depreciation

on

Futures

Contracts

*

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

(187,767)

(58,268)

–

(13,930)

Swaps

at

Value

(Liabilities)

**

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

(7,059,801)

–

–

–

12,507,754

1,038,314

–

921,773

Foreign

Exchange

Rate

Risk

Exposure:

1,741,135

3,587,733

–

322,318

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

1,601,090

1,807,176

–

12,819

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(140,045)

(1,780,557)

–

(309,499)

1,741,135

3,587,733

–

322,318

Interest

Rate

Risk

Exposure:

–

297,927

–

126,415

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

258,538

–

101,561

Swaps

at

Value

(Assets)

**

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

–

–

–

131

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(39,387)

–

(24,723)

–

297,927

–

126,415

Commodity

Risk

Exposure:

–

4,986,575

35,816,432

3,210,769

Unrealized

Appreciation

on

Futures

Contracts

*

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

–

2,990,780

16,221,730

1,983,272

Swaps

at

Value

(Assets)

**

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

–

643,427

5,253,790

714,951

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(1,222,932)

(10,719,680)

(439,856)

Swaps

at

Value

(Liabilities)

**

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

–

(129,436)

(3,621,230)

(72,689)

–

4,986,575

35,816,432

3,210,769

Net

Fair

Value

of

Derivative

Contracts:

(6,121,371)

3,449,389

7,134,610

2,563,200

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

3,607,652

2,811,932

5,502,050

2,292,563

Swaps

at

Value

**

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

(5,595,034)

610,838

1,632,560

863,997

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

1,461,045

26,619

–

(296,680)

6,121,371

3,449,389

7,134,610

2,563,200

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Equity

Risk

Exposure:

28,892,234

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

6,202,213

Swaps

at

Value

(Assets)

**

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

11,181,358

Unrealized

Depreciation

on

Futures

Contracts

*

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

(5,431,205)

Swaps

at

Value

(Liabilities)

**

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

(6,077,457)

28,892,234

Foreign

Exchange

Rate

Risk

Exposure:

40,996,223

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

21,279,488

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

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

(19,716,735)

40,996,223

Interest

Rate

Risk

Exposure:

15,968,718

244

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Unrealized

Appreciation

on

Futures

Contracts

*

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

1,020,857

Swaps

at

Value

(Assets)

**

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

6,898,921

Unrealized

Depreciation

on

Futures

Contracts

*

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

(1,835,886)

Swaps

at

Value

(Liabilities)

**

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

(6,213,057)

15,968,718

Commodity

Risk

Exposure:

23,451,325

Unrealized

Appreciation

on

Futures

Contracts

*

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

10,859,693

Swaps

at

Value

(Assets)

**

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

4,321,518

Unrealized

Depreciation

on

Futures

Contracts

*

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

(8,270,113)

23,451,325

Net

Fair

Value

of

Derivative

Contracts:

14,219,596

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

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

2,545,559

Swaps

at

Value

**

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

10,111,283

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

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

1,562,753

14,219,596

*

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

.

245

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the year

ended

December

31,

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:

(11,421,425)

(54,050,609)

(49,118,644)

184,991

Futures

and

Futures-Style

Options

Contracts

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

$

(976,675)

$

(4,589,795)

$

856,696

$

(733,138)

Swap

Contracts

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

(2,699,172)

(49,460,814)

(49,975,340)

918,129

Written

Options

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

(7,745,578)

–

–

–

(11,421,424.68)

(54,050,609.12)

(49,118,644.44)

184,990.96

Foreign

Exchange

Rate

Risk

Exposure:

(4,858,298)

(67,660)

412,464

137,746

Forward

Foreign

Currency

Exchange

Contracts

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

(4,858,298)

(67,660)

412,464

137,746

(4,858,298)

(67,660)

412,464

137,746

Interest

Rate

Risk

Exposure:

141,464

57,439,767

–

39,418

Futures

and

Futures-Style

Options

Contracts

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

941,211

(1,783,923)

–

(483,262)

Swap

Contracts

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

(349,945)

59,223,690

–

522,681

Written

Options

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

(449,802)

–

–

–

141,463.96

57,439,766.77

–

39,418.28

Credit

Risk

Exposure:

–

127,503

–

–

Swap

Contracts

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

–

127,503

–

–

–

127,503.23

–

–

Commodity

Risk

Exposure:

–

–

–

115,067

Futures

and

Futures-Style

Options

Contracts

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

–

–

–

(46,504)

Swap

Contracts

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

–

–

–

161,571

–

–

–

115,067.3

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

2,232,394

(14,962,229)

20,238,046

335,227

Futures

and

Futures-Style

Options

Contracts

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

1,333,739

(837,855)

–

347,966

Swap

Contracts

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

816,619

(14,124,374)

20,238,046

(12,740)

Written

Options

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

82,035

–

–

–

2,232,394

14,962,229

20,238,046

335,227

Foreign

Exchange

Rate

Risk

Exposure:

162,072

22,090

564,561

65,729

Forward

Foreign

Currency

Exchange

Contracts

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

162,072

(22,090)

564,561

(65,729)

162,072

22,090

564,561

65,729

Interest

Rate

Risk

Exposure:

110,143

59,721,454

–

343,468

Futures

and

Futures-Style

Options

Contracts

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

783,921

(213,794)

–

48,597

Swap

Contracts

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

(673,778)

59,935,248

–

(392,064)

110,143

59,721,454

–

343,468

Credit

Risk

Exposure:

–

448,774

–

–

Swap

Contracts

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

–

(448,775)

–

–

–

448,774

–

–

Commodity

Risk

Exposure:

–

–

–

315,545

Futures

and

Futures-Style

Options

Contracts

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

–

–

–

151,363

Swap

Contracts

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

–

–

–

164,183

–

–

–

315,545

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

MV

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(253,029,642)

(2,582,334)

–

(2,904,787)

Futures

and

Futures-Style

Options

Contracts

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

$

(2,736,076)

$

(3,014,162)

$

–

$

(2,264,293)

Swap

Contracts

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

(250,293,566)

431,828

–

(640,496)

(253,029,641.73)

(2,582,334.26)

–

(2,904,787.02)

Foreign

Exchange

Rate

Risk

Exposure:

2,074,350

(1,637,493)

–

104,320

Forward

Foreign

Currency

Exchange

Contracts

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

2,074,350

(1,637,493)

–

104,320

2,074,350

(1,637,493)

–

104,320

Interest

Rate

Risk

Exposure:

–

8,155,194

–

7,142,582

Futures

and

Futures-Style

Options

Contracts

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

–

8,161,335

–

7,107,766

Swap

Contracts

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

–

(6,141)

–

34,816

–

8,155,193.56

–

7,142,582.45

246

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

*

AQR

LONG-

SHORT

EQUITY

FUND

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

MV

FUND

Commodity

Risk

Exposure:

–

(2,326,277)

(9,542,044)

(4,051,208)

Futures

and

Futures-Style

Options

Contracts

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

–

(2,421,237)

(5,668,025)

(4,188,445)

Swap

Contracts

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

–

94,960

(3,874,019)

137,237

–

(2,326,276.83)

(9,542,044.05)

(4,051,208.12)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

108,277,679

664,194

–

52,117

Futures

and

Futures-Style

Options

Contracts

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

(1,897,783)

586,269

–

14,723

Swap

Contracts

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

110,175,462

77,927

–

37,394

108,277,679

664,194

–

52,117

Foreign

Exchange

Rate

Risk

Exposure:

1,010,049

177,360

–

68,347

Forward

Foreign

Currency

Exchange

Contracts

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

(1,010,049)

(177,360)

–

(68,347)

1,010,049

177,360

–

68,347

Interest

Rate

Risk

Exposure:

–

1,739,191

–

1,418,323

Futures

and

Futures-Style

Options

Contracts

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

–

1,742,963

–

1,408,500

Swap

Contracts

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

–

(3,772)

–

9,823

–

1,739,191

–

1,418,323

Commodity

Risk

Exposure:

–

1,165,918

8,276,356

938,572

Futures

and

Futures-Style

Options

Contracts

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

–

690,078

(5,749,028)

344,483

Swap

Contracts

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

–

475,840

(2,527,328)

594,088

–

1,165,918

8,276,356

938,572

*

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(436,962,874)

Futures

and

Futures-Style

Options

Contracts

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

$

2,072,468

Swap

Contracts

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

(439,035,342)

(436,962,873.58)

Foreign

Exchange

Rate

Risk

Exposure:

(15,243,792)

Forward

Foreign

Currency

Exchange

Contracts

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

(15,243,792)

(15,243,792)

Interest

Rate

Risk

Exposure:

(1,142,560)

Futures

and

Futures-Style

Options

Contracts

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

12,975,381

Swap

Contracts

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

(14,117,940)

(1,142,559.77)

Commodity

Risk

Exposure:

(41,149,467)

Futures

and

Futures-Style

Options

Contracts

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

(48,227,073)

Swap

Contracts

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

7,077,606

(41,149,467)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

118,963,117

Futures

and

Futures-Style

Options

Contracts

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

19,270,295

Swap

Contracts

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

99,692,821

118,963,117

Foreign

Exchange

Rate

Risk

Exposure:

3,306,442

Forward

Foreign

Currency

Exchange

Contracts

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

3,306,442

3,306,442

Interest

Rate

Risk

Exposure:

9,759,074

Futures

and

Futures-Style

Options

Contracts

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

16,407,103

Swap

Contracts

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

(6,648,030)

9,759,074

Commodity

Risk

Exposure:

11,640,346

Futures

and

Futures-Style

Options

Contracts

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

10,673,518

Swap

Contracts

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

966,829

11,640,346

247

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

tables

present

the

Funds’

gross

OTC

derivative,

repurchase

agreements

and

reverse

repurchase

agreements

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

December

31,

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

$3,994,413.

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

$

393,662

$

(3,947)

$

389,715

$

–

$

–

$

389,715

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

2,576,353

(2,543,471)

32,882

–

–

32,882

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,576,211

(2,543,599)

32,612

JPMC

..........

Total

Return

Swap

Contracts

480,848

–

480,848

Total

JPMC

3,057,059

(2,543,599)

513,460

–

–

513,460

MLIN

..........

Total

Return

Swap

Contracts

205,650

–

205,650

–

–

205,650

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

6,232,724

(5,091,017)

1,141,707

–

–

1,141,707

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

$

3,947

$

(3,947)

$

–

$

–

$

–

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

2,543,471

(2,543,471)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

2,543,599

(2,543,599)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,091,017

(5,091,017)

–

–

–

–

248

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

$2,012,940

and

total

additional

collateral

pledged

was

$97,692,954.

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

$

59,150

$

(59,150)

$

–

$

–

$

–

$

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

7,660,704

–

7,660,704

–

–

7,660,704

GSIN

..........

Total

Return

Basket

Swap

Contracts

23,808,585

(2,304,398)

21,504,187

–

(21,504,187)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,195

(1,195)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

11,344

–

11,344

–

–

11,344

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

31,540,978

(2,364,743)

29,176,235

–

(21,504,187)

7,672,048

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

$

33,421

$

–

$

33,421

$

–

$

(33,421)

$

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

114,573

(59,150)

55,423

–

(55,423)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

2,304,398

(2,304,398)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

72,039

(1,195)

70,844

JPMC

..........

Total

Return

Basket

Swap

Contracts

367,603

–

367,603

Total

JPMC

439,642

(1,195)

438,447

–

(438,447)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,892,034

(2,364,743)

527,291

–

(527,291)

–

249

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Equity

Market

Neutral

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

$12,737,557.

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

$

64

$

(64)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

64

(64)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

16,314

(16,314)

–

Total

JPMC

16,378

(16,378)

–

–

–

–

MLIN

..........

Total

Return

Basket

Swap

Contracts

26,330

–

26,330

–

–

26,330

MSIP

..........

Total

Return

Basket

Swap

Contracts

81,264

(81,264)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

124,036

(97,706)

26,330

–

–

26,330

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

$

10,281

$

(64)

$

10,217

$

–

$

(10,217)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

10,283

(64)

10,219

JPMC

..........

Total

Return

Basket

Swap

Contracts

163,203

(16,314)

146,889

Total

JPMC

173,486

(16,378)

157,108

–

(157,108)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

405,397

(81,264)

324,133

(324,133)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

589,164

(97,706)

491,458

(324,133)

(167,325)

–

250

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

$1,343,822.

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

$

435,767

$

(435,767)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

113,859

(1,848)

112,011

–

–

112,011

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

435,736

(435,736)

–

JPMC

..........

Total

Return

Swap

Contracts

1,282

–

1,282

Total

JPMC

437,018

(435,736)

1,282

–

–

1,282

MLIN

..........

Total

Return

Swap

Contracts

135,429

(108,815)

26,614

–

–

26,614

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

1,122,073

(982,166)

139,907

–

–

139,907

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

$

536,657

$

(435,767)

$

100,890

$

–

$

(100,890)

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,848

(1,848)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

536,683

(435,736)

100,947

–

(100,947)

–

MLIN

..........

Total

Return

Swap

Contracts

108,815

(108,815)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

1,184,003

(982,166)

201,837

–

(201,837)

–

251

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

$

2,200

$

–

$

2,200

$

–

$

–

$

2,200

GSIN

..........

Total

Return

Swap

Contracts

84,824

(25,102)

59,722

–

–

59,722

SOCG

.........

Total

Return

Swap

Contracts

30,132

–

30,132

–

–

30,132

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

117,156

(25,102)

92,054

–

–

92,054

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

GSIN

..........

Total

Return

Swap

Contracts

$

25,102

$

(25,102)

$

–

$

–

$

–

$

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

25,102

(25,102)

–

–

–

–

252

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Long-Short

Equity

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

$39,502

and

total

additional

collateral

pledged

was

$99,048,555.

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

$

470,853

$

–

$

470,853

$

–

$

(430,018)

$

40,835

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

800,568

(70,019)

730,549

–

(730,549)

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

239,454

(239,454)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

800,522

(70,026)

730,496

JPMC

..........

Total

Return

Swap

Contracts

706,633

(33,316)

673,317

JPMC

..........

Total

Return

Basket

Swap

Contracts

47,827

(47,827)

–

Total

JPMC

1,554,982

(151,169)

1,403,813

–

–

1,403,813

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

3,065,857

(460,642)

2,605,215

–

(1,160,567)

1,444,648

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

$

70,019

$

(70,019)

$

–

$

–

$

–

$

–

DTBK

..........

Total

Return

Basket

Swap

Contracts

2,259,495

(239,454)

2,020,041

–

(2,020,041)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

2,906,675

–

2,906,675

(2,906,675)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

70,026

(70,026)

–

JPMC

..........

Total

Return

Swap

Contracts

33,316

(33,316)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

110,813

(47,827)

62,986

Total

JPMC

214,155

(151,169)

62,986

–

(62,986)

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,749,502

–

1,749,502

(1,749,502)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

7,199,846

(460,642)

6,739,204

(4,656,177)

(2,083,027)

–

253

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Multi-Asset

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

the

counterparty.

Total

additional

collateral

pledged

was

$3,281,151.

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

$

903,632

$

(890,781)

$

12,851

$

–

$

–

$

12,851

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

903,544

(889,776)

13,768

JPMC

..........

Total

Return

Swap

Contracts

39,832

–

39,832

Total

JPMC

943,376

(889,776)

53,600

–

–

53,600

JPMS

..........

Repurchase

Agreements

181,600

(181,600)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

57,015

–

57,015

–

–

57,015

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

2,085,623

(1,962,157)

123,466

–

–

123,466

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

$

801,013

$

–

$

801,013

$

(801,013)

$

–

$

–

BNPP

Reverse

Repurchase

Agreements

4,259,351

–

4,259,351

(4,259,351)

–

–

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

890,781

(890,781)

–

–

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

889,776

(889,776)

–

–

–

–

JPMS

..........

Reverse

Repurchase

Agreements

3,041,261

(181,600)

2,859,661

(2,859,661)

–

–

MPFS

..........

Reverse

Repurchase

Agreements

2,327,216

–

2,327,216

(2,327,216)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

12,209,398

(1,962,157)

10,247,241

(10,247,241)

–

–

254

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Multi-Asset

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$99,740.

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

$

48,969

$

(14,754)

$

34,215

$

–

$

–

$

34,215

GSIN

..........

Total

Return

Swap

Contracts

410,668

(114,534)

296,134

–

(62,891)

233,243

MLIN

..........

Total

Return

Swap

Contracts

42,200

–

42,200

–

–

42,200

SOCG

.........

Total

Return

Swap

Contracts

141,590

(148)

141,442

–

–

141,442

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

643,427

(129,436)

513,991

–

(62,891)

451,100

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

$

14,754

$

(14,754)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

114,534

(114,534)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

148

(148)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

129,436

(129,436)

–

–

–

–

255

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Risk-Balanced

Commodities

Strategy

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

$647,596

and

total

additional

collateral

pledged

was

$64,672.

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

$

551,926

$

(343,617)

$

208,309

$

–

$

(200,142)

$

8,167

GSIN

..........

Total

Return

Swap

Contracts

2,158,565

(1,399,759)

758,806

–

(34,545)

724,261

MACQ

.........

Total

Return

Swap

Contracts

319,186

(319,186)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

2,224,113

(1,541,649)

682,464

–

(682,464)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

5,253,790

(3,604,211)

1,649,579

–

(917,151)

732,428

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

$

343,617

$

(343,617)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

1,399,759

(1,399,759)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

336,205

(319,186)

17,019

–

–

17,019

SOCG

.........

Total

Return

Swap

Contracts

1,541,649

(1,541,649)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

3,621,230

(3,604,211)

17,019

–

–

17,019

256

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Risk

Parity

II

MV

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$8,091

and

total

additional

collateral

pledged

was

$979,155.

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

$

131

$

–

$

131

$

–

$

–

$

131

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

12,819

(12,819)

–

–

–

–

GSIN

..........

Total

Return

Swap

Contracts

119,695

–

119,695

–

–

119,695

MLIN

..........

Total

Return

Swap

Contracts

101,909

–

101,909

–

(101,909)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

234,554

(12,819)

221,735

–

(101,909)

119,826

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

$

171,853

$

(12,819)

$

159,034

$

–

$

(159,034)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

137,646

–

137,646

–

(137,646)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

309,499

(12,819)

296,680

–

(296,680)

–

257

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Risk

Parity

II

MV

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

$50,335

and

total

additional

collateral

pledged

was

$535,402.

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

$

89,788

$

(20,685)

$

69,103

$

–

$

(69,103)

$

–

GSIN

..........

Total

Return

Swap

Contracts

452,491

(51,856)

400,635

–

(400,635)

–

MACQ

.........

Total

Return

Swap

Contracts

25,396

–

25,396

–

–

25,396

SOCG

.........

Total

Return

Swap

Contracts

147,276

(148)

147,128

–

–

147,128

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

714,951

(72,689)

642,262

–

(469,738)

172,524

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

$

20,685

$

(20,685)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

51,856

(51,856)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

148

(148)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

72,689

(72,689)

–

–

–

–

258

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Style

Premia

Alternative

Fund

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

BANA  

.........

Total

Return

Basket

Swap

Contracts

$

1,346,596

$

–

$

1,346,596

$

–

$

–

$

1,346,596

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

10,640,040

(9,858,133)

781,907

CITI

...........

Total

Return

Swap

Contracts

6,842,068

(775,217)

6,066,851

Total

CITI

17,482,108

(10,633,350)

6,848,758

–

(5,920,048)

928,710

GSIN

..........

Total

Return

Swap

Contracts

942,096

(5,953)

936,143

GSIN

..........

Total

Return

Basket

Swap

Contracts

703,924

(703,924)

–

Total

GSIN

1,646,020

(709,877)

936,143

–

–

936,143

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

10,639,448

(9,858,602)

780,846

JPMC

..........

Total

Return

Swap

Contracts

67,231

(17,023)

50,208

JPMC

..........

Total

Return

Basket

Swap

Contracts

125,412

(125,412)

–

Total

JPMC

10,832,091

(10,001,037)

831,054

–

–

831,054

MLIN

..........

Total

Return

Swap

Contracts

701,383

(427,526)

273,857

–

(150,000)

123,857

MSIP

..........

Total

Return

Basket

Swap

Contracts

452,648

(452,648)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

32,460,846

(22,224,438)

10,236,408

–

(6,070,048)

4,166,360

259

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

(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

$159,014,254.

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$1,335,865.

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

$

9,858,133

$

(9,858,133)

$

–

CITI

...........

Total

Return

Swap

Contracts

775,217

(775,217)

–

Total

CITI

10,633,350

(10,633,350)

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

5,953

(5,953)

–

GSIN

..........

Total

Return

Basket

Swap

Contracts

3,313,261

(703,924)

2,609,337

Total

GSIN

3,319,214

(709,877)

2,609,337

(2,609,337)

–

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

9,858,602

(9,858,602)

–

JPMC

..........

Total

Return

Swap

Contracts

17,023

(17,023)

–

JPMC

..........

Total

Return

Basket

Swap

Contracts

417,977

(125,412)

292,565

Total

JPMC

10,293,602

(10,001,037)

292,565

–

(292,565)

–

MLIN

..........

Total

Return

Swap

Contracts

427,526

(427,526)

–

–

–

–

MSIP

..........

Total

Return

Basket

Swap

Contracts

1,120,500

(452,648)

667,852

(667,852)

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

25,794,192

(22,224,438)

3,569,754

(3,277,189)

(292,565)

–

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

$

4,321,518

$

–

$

4,321,518

$

–

$

(4,010,354)

$

311,164

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

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

4,321,518

–

4,321,518

–

(4,010,354)

311,164

260

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

For

the year

ended

December

31,

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

$

338,570,074

$

–

$

–

$

36,493,764

$

270,839,306

Average

Notional

Balance

-

Short

186,288,120

73,600,441

3,469,095

42,928,744

–

Ending

Notional

Balance

-

Long

188,434,978

–

–

38,557,728

169,123,642

Ending

Notional

Balance

-

Short

144,196,803

82,747,674

–

68,362,776

–

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

314,467,137

7,189,311

8,557,981

48,419,385

139,031,007

Average

Settlement

Value

-

Sold

289,080,200

22,320,179

18,616,653

47,686,885

32,214,371

Ending

Value

-

Purchased

225,591,924

8,887,850

240,111

48,759,603

72,160,430

Ending

Value

-

Sold

209,877,603

18,045,228

810,886

39,787,174

8,727,869

Exchange-Traded

Options:

Average

Number

of

Contracts

-

Written

317

–

–

–

–

Ending

Number

of

Contracts

-

Written

–

–

–

–

–

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

–

22,125,000

–

–

–

Average

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Ending

Notional

Balance

-

Buy

Protection

–

16,950,000

–

–

–

Ending

Notional

Balance

-

Sell

Protection

–

–

–

–

–

Total

Return

Swaps:

Average

Notional

Balance

-

Long

28,167,013

–

–

4,707,389

42,870,374

Average

Notional

Balance

-

Short

14,126,708

–

–

3,883,048

–

Ending

Notional

Balance

-

Long

34,653,743

–

–

7,910,217

26,202,466

Ending

Notional

Balance

-

Short

2,382,437

–

–

4,132,159

–

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

191,412,539

–

Average

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

175,303,064

–

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

252,327,108

–

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

195,808,482

–

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

435,109,391

261,344,460

–

1,239,109,781

Average

Notional

of

Underlying

Positions

-

Short

–

169,799,399

264,109,321

–

1,216,827,531

Ending

Notional

Balance

-

Long

–

631,337,093

104,096,679

–

861,441,487

Ending

Notional

Balance

-

Short

–

289,911,159

110,575,503

–

894,796,225

261

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

*

AQR

MULTI-

ASSET

FUND

AQR

RISK-

BALANCED

COMMODITIES

STRATEGY

FUND

AQR

RISK

PARITY

II

MV

FUND

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

265,954,218

$

345,695,131

$

171,481,763

$

8,250,282,062

Average

Notional

Balance

-

Short

25,864,996

197,898,300

6,590,972

6,780,372,578

Ending

Notional

Balance

-

Long

297,064,575

269,429,411

182,144,957

3,115,437,781

Ending

Notional

Balance

-

Short

22,944,478

189,375,746

5,792,674

4,713,331,898

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

99,203,767

–

3,886,936

1,509,074,820

Average

Settlement

Value

-

Sold

101,484,178

–

13,194,607

1,367,361,931

Ending

Value

-

Purchased

85,493,755

–

462,479

919,194,437

Ending

Value

-

Sold

73,601,954

–

13,117,747

772,345,668

Total

Return

Swaps:

Average

Notional

Balance

-

Long

6,619,413

72,230,963

10,028,400

395,687,320

Average

Notional

Balance

-

Short

2,697,204

34,766,507

1,685,388

275,827,066

Ending

Notional

Balance

-

Long

8,822,648

45,705,269

12,723,274

333,357,524

Ending

Notional

Balance

-

Short

1,811,960

38,304,679

1,094,810

64,366,954

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

2,900,077,600

Average

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

2,835,746,896

Ending

Notional

Balance

-

Pays

Fixed

Rate

–

–

–

1,849,265,567

Ending

Notional

Balance

-

Receives

Fixed

Rate

–

–

–

1,735,066,517

Total

Return

Basket

Swaps:

Average

Notional

of

Underlying

Positions

-

Long

–

–

–

2,103,339,630

Average

Notional

of

Underlying

Positions

-

Short

–

–

–

2,032,548,909

Ending

Notional

Balance

-

Long

–

–

–

1,179,335,993

Ending

Notional

Balance

-

Short

–

–

–

1,178,843,547

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

262

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended

(the

“Investment

Management

Agreement”),

or

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended

(“Investment

Management

Agreement

II”),

each

entered

into

by

the

Trust,

on

behalf

of

the

Funds

(the

Investment

Management

Agreement

and

Investment

Management

Agreement

II

collectively

referred

to

herein

as

the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the

Advisory

Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

April

30,

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

Diversifying

Strategies

Fund

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

0.00

AQR

Equity

Market

Neutral

Fund

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

1.10

AQR

Global

Macro

Fund

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

1.00(a)

AQR

Long-Short

Equity

Fund

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

1.10

AQR

Multi-Asset

Fund

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

0.60(b)

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

0.80

AQR

Risk

Parity

II

MV

Fund

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

0.60(c)

AQR

Style

Premia

Alternative

Fund

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

1.35

(a)

Effective

July

1,

2020,

the

AQR

Global

Macro

Fund

Advisory

Fee

was

reduced

from

1.25%

to

1.00%.

(b)

Prior

to

July

1,

2020,

the

AQR

Multi-Asset

Fund

Advisory

Fee

was

based

on

the

following

two

tier

structure.

The

first

tier

charged

0.75%

on

the

first

$1

billion

of

net

assets

and

the

second

tier

charged

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)

Prior

to

July

1,

2020,

the

AQR

Risk

Parity

II

MV

Fund

Advisory

Fee

was

based

on

the

following

three

tier

structure.

The

first

tier

charged

0.75%

of

the

first

$1

billion

of

net

assets;

the

second

tier

charged

0.725%

on

net

assets

in

excess

of

the

$1

billion,

up

to

$3

billion;

and

the

third

tier

charged

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

Risk-Balanced

Commodities

Strategy

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

263

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

For

the year

ended

December

31,

2020,

the

amounts

reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at December

31,

2020

are

as

follows:

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31

,

2020

2020

20

21

20

22

20

23

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Class

I

...........

$

119,994

$

336,066

$

99,276

$

116,796

$

119,994

Class

N

...........

10,423

20,180

4,004

5,753

10,423

Class

R6

..........

117,600

241,401

60,374

63,427

117,600

Totals

$

248,017

$

597,647

$

163,654

$

185,976

$

248,017

AQR

DIVERSIFIED

ARBITRAGE

FUND

Class

I

...........

$

248,995

$

739,874

$

165,779

$

325,100

$

248,995

Class

N

...........

19,054

101,732

34,058

48,620

19,054

Class

R6

..........

61,318

80,859

5,976

13,565

61,318

Totals

$

329,367

$

922,465

$

205,813

$

387,285

$

329,367

AQR

DIVERSIFYING

STRATEGIES

FUND

Class

I

...........

$

93,193

$

93,193

$

–

$

–

$

93,193

Class

N

...........

5,620

5,620

–

–

5,620

Class

R6

..........

46,386

46,386

–

–

46,386

Totals

$

145,199

$

145,199

$

–

$

–

$

145,199

AQR

EQUITY

MARKET

NEUTRAL

FUND

Class

I

...........

$

122,329

$

186,621

$

–

$

64,292

$

122,329

Class

N

...........

11,995

19,795

–

7,800

11,995

Class

R6

..........

37,566

50,421

–

12,855

37,566

Totals

$

171,890

$

256,837

$

–

$

84,947

$

171,890

AQR

GLOBAL

MACRO

FUND

Class

I

...........

$

106,111

$

312,626

$

81,977

$

124,538

$

106,111

Class

N

...........

8,498

59,748

35,758

15,492

8,498

Class

R6

..........

113,912

279,641

81,418

84,311

113,912

Totals

$

228,521

$

652,015

$

199,153

$

224,341

$

228,521

AQR

LONG-SHORT

EQUITY

FUND

Class

I

...........

$

75,166

$

75,166

$

–

$

–

$

75,166

Class

N

...........

1,679

1,679

–

–

1,679

Class

R6

..........

9,376

9,376

–

–

9,376

Totals

$

86,221

$

86,221

$

–

$

–

$

86,221

AQR

MULTI-ASSET

FUND

Class

I

...........

$

185,398

$

455,024

$

38,484

$

231,142

$

185,398

Class

N

...........

10,646

28,882

1,924

16,312

10,646

Class

R6

..........

12,377

22,471

3,916

6,178

12,377

Totals

$

208,421

$

506,377

$

44,324

$

253,632

$

208,421

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Class

I

...........

$

34,925

$

134,825

$

25,631

$

74,269

$

34,925

Class

N

...........

20,019

34,833

4,454

10,360

20,019

Class

R6

..........

104,625

234,196

36,944

92,627

104,625

Totals

$

159,569

$

403,854

$

67,029

$

177,256

$

159,569

AQR

RISK

PARITY

II

MV

FUND

Class

I

...........

$

174,137

$

505,806

$

150,622

$

181,047

$

174,137

Class

N

...........

2,835

12,819

5,451

4,533

2,835

Class

R6

..........

1,104

3,802

1,438

1,260

1,104

Totals

$

178,076

$

522,427

$

157,511

$

186,840

$

178,076

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Class

I

...........

$

288,290

$

971,967

$

220,497

$

463,180

$

288,290

Class

N

...........

11,441

42,501

10,318

20,742

11,441

Class

R6

..........

417,046

965,829

146,500

402,283

417,046

Totals

$

716,777

$

1,980,297

$

377,315

$

886,205

$

716,777

264

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

During

the year

ended

December

31,

2020,

the

Funds

recouped

amounts

as

follows:

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%

of

the

average

daily

net

assets

for

the

AQR

Diversified

Arbitrage

Fund. 

During

the

year,

the

Adviser

made

a

payment

to

the

AQR

Diversified

Arbitrage

Fund

of

$111,243

relating

to

a

trading

error.

The

impact

to

the

Fund’s

total

return

as

a

result

of

the

trading

error

was

immaterial.

The

amount

has

been

included

in

Net

realized

gain

(loss)

from

investments

in

securities

in

the

Statements

of

Operations.

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, and

AQR

Long-

Short

Equity

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. 

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.

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Alternative

Risk

Premia

Fund

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

$

7,049

$

–

$

–

AQR

Diversified

Arbitrage

Fund

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

–

2,597

–

AQR

Equity

Market

Neutral

Fund

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

18,528

–

–

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

659

–

–

AQR

Style

Premia

Alternative

Fund

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

47,843

1,639

5,978

265

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

Funds'

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Funds. 

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.

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.

266

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

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.

267

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

268

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

December

31,

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 December

31,

2020 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2020. 

Principal

Ownership

As

of

December

31,

2020,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

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.

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

RECEIVED

AQR

Long-Short

Equity

Fund

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

$

600,000

2.27

%

$

114

AQR

Style

Premia

Alternative

Fund

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

3,710,512

0.93

4,126

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Alternative

Risk

Premia

Fund

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

5

95.25%

AQR

Diversified

Arbitrage

Fund

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

4

82.02%

AQR

Diversifying

Strategies

Fund*

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

4

90.57%

AQR

Equity

Market

Neutral

Fund*

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

6

73.26%

AQR

Global

Macro

Fund*

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

5

82.24%

AQR

Long-Short

Equity

Fund

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

4

80.82%

AQR

Multi-Asset

Fund

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

5

80.69%

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

4

88.93%

AQR

Risk

Parity

II

MV

Fund

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

1

86.45%

AQR

Style

Premia

Alternative

Fund

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

3

84.85%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

20.46%,

5.24%

and

56.15%

respectively.

269

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

270

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2020

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

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

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

MV

Fund,

and

AQR

Style

Premia

Alternative

Fund

Opinions

on

the

Financial

Statements

We

have

audited

the

accompanying

statements

of

assets

and

liabilities,

including

the

schedules

of

investments,

of

each

of

the

funds

listed

in

the

table

below

(ten

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

“Funds”)

as

of

December

31,

2020,

the

related

statements

of

operations,

of

changes

in

net

assets,

and

of

cash

flows

for

each

of

the

periods

indicated

in

the

table

below,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

periods

indicated

therein

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2020,

the

results

of

each

of

their

operations,

the

changes

in

each

of

their

net

assets

and

each

of

their

cash

flows

for

the

periods

indicated

in

the

table

below,

and

each

of

the

financial

highlights

for

each

of

the

periods

indicated

therein,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2020

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

February

22,

2021

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

AQR

Alternative

Risk

Premia

Fund

(1)

AQR

Long-Short

Equity

Fund

(2)

AQR

Diversified

Arbitrage

Fund

(1)

AQR

Multi-Asset

Fund

(1)

AQR

Diversifying

Strategies

Fund

(3)

AQR

Risk-Balanced

Commodities

Strategy

Fund

(2)

AQR

Equity

Market

Neutral

Fund

(1)

AQR

Risk

Parity

II

MV

Fund

(2)

AQR

Global

Macro

Fund

(2)

AQR

Style

Premia

Alternative

Fund

(2)

(1)

Statement

of

operations

and

statement

of

cash

flows

for

the

year

ended

December

31,

2020

and

statements

of

changes

in

net

assets

for

the

years

ended

December

31,

2020

and

2019.

(2)

Statement

of

operations

for

the

year

ended

December

31,

2020

and

statements

of

changes

in

net

assets

for

the

years

ended

December

31,

2020

and

2019.

(3)

Statement

of

operations

and

statement

of

changes

in

net

assets

for

the

period

June

8,

2020

(commencement

of

operations)

through

December

31,

2020.

271

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

For

the

fiscal

year

ended

December

31,

2020,

the

Funds

designate

the

following

percentages

of

ordinary

income

dividends,

or

maximum

amount

allowable,

as

qualifying

for

the

reduced

tax

rate

under

the

Jobs

and

Growth

Tax

Relief

Reconciliation

Act

of

2003:

For

the

fiscal

year

ended

December

31,

2020,

the

following

percentages

of

income

dividends

paid

by

the

Funds

qualify

for

the

dividends

received

deduction

available

to

corporations:

The

Funds

designate

the

following

amounts,

or

the

maximum

allowable

under

Section

852

of

the

Internal

Revenue

Code,

as

long

term

capital

gain

dividends paid

during

the

fiscal

year

ended December

31,

2020:

Other

Tax

Matters

On

December

22,

2020,

the

AQR

Diversified

Arbitrage

Fund

paid

a

distribution

to

shareholders

in

the

aggregate

amount

of

$14,036,356.

It

has

been

subsequently

determined

that

$2,120,993

(15.1%)

is

estimated

to

be

a

return

of

capital

and,

accordingly,

this

updated

information

is

being

provided

pursuant

to

Rule

19a-1(e)

under

the

1940

Act.

Such

source

designation

and

amount

are

for

financial

accounting

purposes

and

do

not

reflect

the

tax

character

of

the

distribution;

they

are

estimates

only

and

are

not

being

provided

for

tax

reporting

purposes.

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

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

100.00%

AQR

Diversified

Arbitrage

Fund

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

8.48%

AQR

Diversifying

Strategies

Fund

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

16.87%

AQR

Multi-Asset

Fund

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

64.53%

FUND

PERCENTAGE

AQR

Alternative

Risk

Premia

Fund

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

68.06%

AQR

Diversified

Arbitrage

Fund

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

9.40%

AQR

Diversifying

Strategies

Fund

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

9.83%

AQR

Multi-Asset

Fund

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

34.53%

FUND

TOTAL

AQR

Diversifying

Strategies

Fund

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

$

52,892

AQR

Equity

Market

Neutral

Fund

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

6,547,986

AQR

Long-Short

Equity

Fund

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

5,966,953

AQR

Risk-Balanced

Commodities

Strategy

Fund

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

51,552

AQR

Risk

Parity

II

MV

Fund

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

2,229,173

272

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

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

12/31/2020”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Each

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

each

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/20

AQR

Alternative

Risk

Premia

Fund

Class

I

Actual

Return

$1,000.00

$939.50

2.97%

$14.48

Hypothetical

Return

$1,000.00

$1,010.21

2.97%

$15.01

Class

N

Actual

Return

$1,000.00

$939.30

3.22%

$15.70

Hypothetical

Return

$1,000.00

$1,008.95

3.22%

$16.26

Class

R6

Actual

Return

$1,000.00

$941.00

2.93%

$14.30

Hypothetical

Return

$1,000.00

$1,010.41

2.93%

$14.81

AQR

Diversified

Arbitrage

Fund

Class

I

Actual

Return

$1,000.00

$1,220.60

1.97%

$11.00

Hypothetical

Return

$1,000.00

$1,015.23

1.97%

$9.98

Class

N

Actual

Return

$1,000.00

$1,219.50

2.18%

$12.16

Hypothetical

Return

$1,000.00

$1,014.18

2.18%

$11.04

Class

R6

Actual

Return

$1,000.00

$1,220.70

1.91%

$10.66

Hypothetical

Return

$1,000.00

$1,015.53

1.91%

$9.68

AQR

Diversifying

Strategies

Fund

Class

I

Actual

Return

$1,000.00

$1,051.80

0.20%

$1.03

Hypothetical

Return

$1,000.00

$1,024.13

0.20%

$1.02

Class

N

Actual

Return

$1,000.00

$1,050.80

0.45%

$2.32

Hypothetical

Return

$1,000.00

$1,022.87

0.45%

$2.29

Class

R6

Actual

Return

$1,000.00

$1,052.30

0.10%

$0.52

Hypothetical

Return

$1,000.00

$1,024.63

0.10%

$0.51

273

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/20

AQR

Equity

Market

Neutral

Fund

Class

I

Actual

Return

$1,000.00

$915.20

1.32%

$6.35

Hypothetical

Return

$1,000.00

$1,018.50

1.32%

$6.70

Class

N

Actual

Return

$1,000.00

$914.30

1.73%

$8.32

Hypothetical

Return

$1,000.00

$1,016.44

1.73%

$8.77

Class

R6

Actual

Return

$1,000.00

$913.90

1.38%

$6.64

Hypothetical

Return

$1,000.00

$1,018.20

1.38%

$7.00

AQR

Global

Macro

Fund

Class

I

Actual

Return

$1,000.00

$1,049.20

1.20%

$6.18

Hypothetical

Return

$1,000.00

$1,019.10

1.20%

$6.09

Class

N

Actual

Return

$1,000.00

$1,047.70

1.45%

$7.46

Hypothetical

Return

$1,000.00

$1,017.85

1.45%

$7.35

Class

R6

Actual

Return

$1,000.00

$1,049.10

1.10%

$5.67

Hypothetical

Return

$1,000.00

$1,019.61

1.10%

$5.58

AQR

Long-Short

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,020.10

1.30%

$6.60

Hypothetical

Return

$1,000.00

$1,018.60

1.30%

$6.60

Class

N

Actual

Return

$1,000.00

$1,019.30

1.56%

$7.92

Hypothetical

Return

$1,000.00

$1,017.29

1.56%

$7.91

Class

R6

Actual

Return

$1,000.00

$1,022.20

1.21%

$6.15

Hypothetical

Return

$1,000.00

$1,019.05

1.21%

$6.14

AQR

Multi-Asset

Fund

Class

I

Actual

Return

$1,000.00

$1,108.20

0.90%

$4.77

Hypothetical

Return

$1,000.00

$1,020.61

0.90%

$4.57

Class

N

Actual

Return

$1,000.00

$1,106.80

1.12%

$5.93

Hypothetical

Return

$1,000.00

$1,019.51

1.12%

$5.69

Class

R6

Actual

Return

$1,000.00

$1,109.40

0.84%

$4.45

Hypothetical

Return

$1,000.00

$1,020.91

0.84%

$4.27

AQR

Risk-Balanced

Commodities

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$1,363.10

1.01%

$6.00

Hypothetical

Return

$1,000.00

$1,020.06

1.01%

$5.13

Class

N

Actual

Return

$1,000.00

$1,362.20

1.26%

$7.48

Hypothetical

Return

$1,000.00

$1,018.80

1.26%

$6.39

Class

R6

Actual

Return

$1,000.00

$1,361.70

0.91%

$5.40

Hypothetical

Return

$1,000.00

$1,020.56

0.91%

$4.62

274

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/20

AQR

Risk

Parity

II

MV

Fund

Class

I

Actual

Return

$1,000.00

$1,111.80

0.80%

$4.25

Hypothetical

Return

$1,000.00

$1,021.11

0.80%

$4.06

Class

N

Actual

Return

$1,000.00

$1,110.30

1.05%

$5.57

Hypothetical

Return

$1,000.00

$1,019.86

1.05%

$5.33

Class

R6

Actual

Return

$1,000.00

$1,111.60

0.70%

$3.72

Hypothetical

Return

$1,000.00

$1,021.62

0.70%

$3.56

AQR

Style

Premia

Alternative

Fund

Class

I

Actual

Return

$1,000.00

$968.00

1.50%

$7.42

Hypothetical

Return

$1,000.00

$1,017.60

1.50%

$7.61

Class

N

Actual

Return

$1,000.00

$967.80

1.77%

$8.76

Hypothetical

Return

$1,000.00

$1,016.24

1.77%

$8.97

Class

R6

Actual

Return

$1,000.00

$968.10

1.47%

$7.27

Hypothetical

Return

$1,000.00

$1,017.75

1.47%

$7.46

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

275

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

overall

management

of

the

business

and

affairs

of

the

Funds

is

vested

with

the

Board

of

Trustees.

The

Board

of

Trustees

consists

of

six

individuals

(each,

a

“Trustee”),

five

of

whom

are

not

“interested

persons”

of

the

Trust

as

defined

in

the

1940

Act

(the

“Disinterested

Trustees”).

The

Trustees

are

responsible

for

the

oversight

of

the

operations

of

the

Trust

and

perform

the

various

duties

imposed

on

the

directors

of

investment

companies

by

the

1940

Act.

The

Board

of

Trustees

approves

all

significant

agreements

between

the

Trust

and

persons

or

companies

furnishing

services

to

it,

including

the

Trust’s

agreements

with

its

investment

advisers,

investment

sub-advisers,

administrator,

custodian

and

transfer

agent.

The

management

of

each

Fund’s

day-to-day

operations

is

delegated

to

its

officers,

the

Adviser

and

the

Funds'

administrator,

subject

always

to

the

investment

objectives

and

policies

of

each

of

the

Funds

and

to

general

supervision

of

the

Board

of

Trustees.

The

Disinterested

Trustees

have

retained

independent

legal

counsel

to

assist

them

in

connection

with

their

duties.

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830. 

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian Posner, M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

42

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-2018)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2020)

42

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

42

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

42

Kiwi

Wealth

(since

2020)

Mark

A.

Zurack,

M.B.A.,

CFA,

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

42

Exchange

Traded

Concepts

Trust

(since

2011)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

42

None

Officers

Ted

Pyne,

M.B.A.,

Ph.D.,

1966

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2016)

N/A

N/A

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley Asness, J.D.,

M.B.A.,

1969

Vice

President,

since 2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Patrick

Ryan,

CPA

1965

Assistant

Treasurer,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2012)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since 2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

276

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December 31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

is

an

interested

person

of

the

Trust

because

of

his

position

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Sub-Adviser

CNH

Partners,

LLC

Two

Greenwich

Plaza,

3rd

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

State

Street

Bank

and

Trust

Company

One

Lincoln

Street

Boston,

MA

02111

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

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voting,

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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

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be

reviewed

and

copied

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the

SEC’s

Public

Reference

Room

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the

operation

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the

Public

Reference

Room

may

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by

calling

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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

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Funds’

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and

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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

Effective

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

no

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mail

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copies

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the

Funds'

annual

and

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Funds

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Instead,

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invest

through

a

financial

intermediary.

Annual

Report

December

31,

2020

AQR

Managed

Futures

Strategy

Fund

AQR

Managed

Futures

Strategy

HV

Fund

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Managed

Futures

Strategy

Fund

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

2

AQR

Managed

Futures

Strategy

HV

Fund

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

5

Consolidated

Schedule

of

Investments

AQR

Managed

Futures

Strategy

Fund

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

8

AQR

Managed

Futures

Strategy

HV

Fund

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

23

Consolidated

Financial

Statements

and

Notes

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

37

Report

of

Independent

Registered

Public

Accounting

Firm

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

63

Fund

Expense

Examples

(Unaudited)

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

64

Trustees

and

Officers

(Unaudited)

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

65

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

2

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

global

equity,

fixed

income,

commodity

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

trend-following

signals

to

attempt

to

profit

from

trends

that

occur.

Trend

following

aims

to

go

long

markets

that

are

rising

in

price

and

short

markets

that

are

falling

in

price.

In

addition

to

trend-following

signals,

the

Fund

incorporates

signals

that

seek

to

identify

over-extended

trends

and

reduces

risk

to

them

when

the

chance

of

a

reversal

is

perceived

as

higher

than

normal,

since

market

reversals

can

generally

cause

losses

for

trend-following

strategies.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

10%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade.

The

Fund

entered

the

year

targeting

8.3%

volatility

and

ended

the

year

with

a

volatility

target

of

9.9%.

The

Fund

concluded

2020

with

an

approximately

neutral

overall

return

and

negative

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

-0.41%,

net

of

fees,

versus

a

0.67%

return

for

its

benchmark,

the

ICE

Bank

of

America

Merrill

Lynch

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

detracted

-3.11%,

fixed

income

contributed

4.78%,

currencies

detracted

-6.19%,

and

commodities

contributed

5.39%.

The

Fund

displayed

meaningfully

diversifying

returns

relative

to

traditional

markets

such

as

equities

during

2020.

Coming

into

the

year,

the

combination

of

a

Phase

1

U.S.-China

trade

deal

and

accommodative

policies

from

the

Federal

Reserve

and

European

Central

Bank

created

a

conducive

environment

for

trends

associated

with

improving

global

growth.

The

Fund

entered

the

year

net

long

equities,

energies

and

emerging

market

currencies,

and

net

short

fixed

income,

resulting

from

prevailing

pro-growth

market

trends

in

late-2019.

This

soon

changed

as

news

of

the

coronavirus

outbreak

in

Wuhan

supported

reversals

in

energies,

fixed

income

and

the

U.S.

dollar

as

early

as

January,

causing

Fund

positioning

to

react

and

align

to

these

new

market

directions.

Equity

markets

displayed

resilience

and

continued

to

rally

through

mid-February

as

containment

efforts

in

China

appeared

to

be

working

and

the

U.S.

earnings

season

was

better

than

expected.

However,

the

virus

spread

to

Europe

and

North

America

and

equity

markets

abruptly

sold

off

in

late-February

on

expectations

of

reduced

global

economic

activity,

causing

losses

for

the

Fund

in

equities

and

positioning

to

turn

net

neutral

by

early

March.

In

March,

the

outbreak

was

declared

a

pandemic

and

governments

announced

historic

interventions

which,

in

turn,

led

to

major

disruptions

in

the

global

flow

of

people,

goods,

services

and

capital.

A

full-fledged

global

economic

and

market

crisis

ensued

with

equities

and

oil

markets

collapsing,

while

the

U.S.

dollar

surged.

With

Fund

positioning

already

aligned

to

the

new

reality,

March

was

the

Fund’s

strongest

performance

month

in

2020,

generating

gains

of

5.41%.

This

positive

outcome

during

the

worst

of

the

crisis

underscores

the

unique

benefits

the

Fund

can

provide

to

a

broader

portfolio.

Thereafter,

markets

exhibited

several

reversals

causing

the

Fund

to

give

back

its

gains.

Equity

markets

broadly

reversed

and

recovered

in

response

to

the

significant

stimulus

efforts

and

stabilization

of

the

statistics

surrounding

the

virus

itself.

With

expectations

of

key

economic

variables

such

as

earnings

and

growth

severely

depressed,

better-than-expected

data

also

supported

meaningful

market

rallies

and

appetite

for

risk.

Towards

the

end

of

the

third

quarter,

risk

appetite

briefly

reversed

again

as

second

waves

of

the

virus

rose

in

Europe,

causing

bearish

European

equity

market

trends

to

strengthen.

These

changes

in

risk

sentiment

significantly

impacted

currency

markets,

with

the

U.S.

dollar

exhibiting

successive

reversals

and

currencies

causing

most

of

the

Fund’s

losses

over

the

second

and

third

quarter

periods.

The

fourth

quarter

displayed

contrasting

dynamics,

beginning

with

worsening

virus

statistics

and

governments

planning

for

renewed

national

lockdowns,

particularly

in

Europe.

As

risk

sentiment

deteriorated

in

October,

the

Fund

again

showed

its

diversifying

benefits

and

delivered

a

positive

return

as

European

equities

and

energies

sold

off.

However,

these

trends

sharply

reversed

as

the

news

of

a

vaccine

prompted

stellar

rallies

and

significant

outperformance

of

European

equities.

The

Fund

faced

initial

losses

due

to

these

reversals,

but

then

increased

its

equity

and

energy

exposures,

benefiting

from

the

continued

upswing

in

risk

sentiment

in

December

and

leading

to

an

overall

positive

result

in

the

fourth

quarter.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Ari

Levine

Principal

Yao

Hua

Ooi

Principal

3

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

In

2020,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

with

performance

differences

within

expected

dispersion.

Relative

underperformance

was

concentrated

in

the

second

half

of

the

year

and

demonstrated

a

relationship

to

the

broader

recovery

in

equity

markets.

The

Fund

likely

had

less

equity

market

beta

in

that

period

as

it

emphasized

certain

trends

with

negative

correlation

to

equity

markets,

such

long

exposure

to

the

U.S.

dollar

relative

to

several

other

currencies

and

net

short

European

equity

exposure.

As

such,

the

Fund

likely

underperformed

because

it

maintained

a

more

defensive

posture

and

offered

better

diversification

benefits

relative

to

the

SG

Trend

Index.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.23%,

1.51%

and

1.16%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

MANAGED

FUTURES

STRATEGY

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQMIX

-0.41%*

-2.57%

-3.46%

-0.10%

0.39%

1/5/2010

Fund

-

Class

N:

AQMNX

-0.60%

-2.83%

-3.71%

-0.37%

0.12%

1/5/2010

Fund

-

Class

R6:

AQMRX

-0.30%

-2.50%

-3.39%

N/A

-0.46%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.64%

0.59%

1/5/2010

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

12/31/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

4

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

Funds

|

Annual

Report

|

December

2020

AQR

MANAGED

FUTURES

STRATEGY

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

12/31/2010

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

5

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2020

Dear

Shareholder:

The

AQR

Managed

Futures

Strategy

HV

Fund

(“the

Fund”)

actively

invests

in

futures,

futures-related

instruments,

forward

contracts

and

swaps,

both

long

and

short

across

global

equity,

fixed

income,

commodity

and

currency

markets.

The

Fund

uses

both

short-term

and

long-term

trend-following

signals

to

attempt

to

profit

from

trends

that

occur.

Trend

following

aims

to

go

long

markets

that

are

rising

in

price

and

short

markets

that

are

falling

in

price.

In

addition

to

trend-following

signals,

the

Fund

incorporates

signals

that

seek

to

identify

over-extended

trends

and

reduces

risk

to

them

when

the

chance

of

a

reversal

is

perceived

as

higher

than

normal,

since

market

reversals

can

generally

cause

losses

for

trend-following

strategies.

We

expect

that

the

correlation

of

this

strategy

to

equity

markets

will

average

close

to

zero

over

a

full

economic

cycle.

That

said,

the

strategy

is

expected

to

exhibit

a

positive

beta

when

equity

markets

have

been

rising

and

a

negative

beta

when

they

have

been

falling.

The

strategy’s

average

annualized

volatility

target

is

15%,

which

we

allow

to

vary

based

on

the

conditional

attractiveness

of

trends

in

the

markets

we

trade.

The

Fund

entered

the

year

targeting

12.6%

volatility

and

ended

the

year

with

a

volatility

target

of

14.8%.

The

Fund

concluded

2020

with

a

modest

negative

overall

return

and

negative

equity

market

correlation

over

the

full

year.

The

Fund’s

Class

I

shares

returned

-0.65%,

net

of

fees,

versus

a

0.67%

return

for

its

benchmark,

the

ICE

Bank

of

America

Merrill

Lynch

3-Month

Treasury

Bill

Index.

By

asset

class,

gross

of

fees,

equities

detracted

-4.86%,

fixed

income

contributed

7.21%,

currencies

detracted

-9.44%,

and

commodities

contributed

8.15%.

The

Fund

displayed

meaningfully

diversifying

returns

relative

to

traditional

markets

such

as

equities

during

2020.

Coming

into

the

year,

the

combination

of

a

Phase

1

U.S.-China

trade

deal

and

accommodative

policies

from

the

Federal

Reserve

and

European

Central

Bank

created

a

conducive

environment

for

trends

associated

with

improving

global

growth.

The

Fund

entered

the

year

net

long

equities,

energies

and

emerging

market

currencies,

and

net

short

fixed

income,

resulting

from

prevailing

pro-growth

market

trends

in

late-2019.

This

soon

changed

as

news

of

the

coronavirus

outbreak

in

Wuhan

supported

reversals

in

energies,

fixed

income

and

the

U.S.

dollar

as

early

as

January,

causing

Fund

positioning

to

react

and

align

to

these

new

market

directions.

Equity

markets

displayed

resilience

and

continued

to

rally

through

mid-February

as

containment

efforts

in

China

appeared

to

be

working

and

the

U.S.

earnings

season

was

better

than

expected.

However,

the

virus

spread

to

Europe

and

North

America

and

equity

markets

abruptly

sold

off

in

late-February

on

expectations

of

reduced

global

economic

activity,

causing

losses

for

the

Fund

in

equities

and

positioning

to

turn

net

neutral

by

early

March.

In

March,

the

outbreak

was

declared

a

pandemic

and

governments

announced

historic

interventions

which,

in

turn,

led

to

major

disruptions

in

the

global

flow

of

people,

goods,

services

and

capital.

A

full-fledged

global

economic

and

market

crisis

ensued

with

equities

and

oil

markets

collapsing,

while

the

U.S.

dollar

surged.

With

Fund

positioning

already

aligned

to

the

new

reality,

March

was

the

Fund’s

strongest

performance

month

in

2020,

generating

gains

of

7.96%.

This

positive

outcome

during

the

worst

of

the

crisis

underscores

the

unique

benefits

the

Fund

can

provide

to

a

broader

portfolio.

Thereafter,

markets

exhibited

several

reversals

causing

the

Fund

to

give

back

its

gains.

Equity

markets

broadly

reversed

and

recovered

in

response

to

the

significant

stimulus

efforts

and

stabilization

of

the

statistics

surrounding

the

virus

itself.

With

expectations

of

key

economic

variables

such

as

earnings

and

growth

severely

depressed,

better-than-expected

data

also

supported

meaningful

market

rallies

and

appetite

for

risk.

Towards

the

end

of

the

third

quarter,

risk

appetite

briefly

reversed

again

as

second

waves

of

the

virus

rose

in

Europe,

causing

bearish

European

equity

market

trends

to

strengthen.

These

changes

in

risk

sentiment

significantly

impacted

currency

markets,

with

the

U.S.

dollar

exhibiting

successive

reversals

and

currencies

causing

most

of

the

Fund’s

losses

over

the

second

and

third

quarter

periods.

The

fourth

quarter

displayed

contrasting

dynamics,

beginning

with

worsening

virus

statistics

and

governments

planning

for

renewed

national

lockdowns,

particularly

in

Europe.

As

risk

sentiment

deteriorated

in

October,

the

Fund

again

showed

its

diversifying

benefits

and

delivered

a

positive

return

as

European

equities

and

energies

sold

off.

However,

these

trends

sharply

reversed

as

the

news

of

a

vaccine

prompted

stellar

rallies

and

significant

outperformance

of

European

equities.

The

Fund

faced

initial

losses

due

to

these

reversals,

but

then

increased

its

equity

and

energy

exposures,

benefiting

from

the

continued

upswing

in

risk

sentiment

in

December

and

leading

to

an

overall

positive

result

in

the

fourth

quarter.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Ari

Levine

Principal

Yao

Hua

Ooi

Principal

6

Shareholder

Letter

(Unaudited)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

AQR

Funds

|

Annual

Report

|

December

2020

In

2020,

the

Fund

underperformed

the

industry

as

gauged

by

the

SG

Trend

Index,

with

performance

differences

within

expected

dispersion.

Relative

underperformance

was

concentrated

in

the

second

half

of

the

year

and

demonstrated

a

relationship

to

the

broader

recovery

in

equity

markets.

The

Fund

likely

had

less

equity

market

beta

in

that

period

as

it

emphasized

certain

trends

with

negative

correlation

to

equity

markets,

such

long

exposure

to

the

U.S.

dollar

relative

to

several

other

currencies

and

net

short

European

equity

exposure.

As

such,

the

Fund

likely

underperformed

because

it

maintained

a

more

defensive

posture

and

offered

better

diversification

benefits

relative

to

the

SG

Trend

Index.

Diversification

does

not

eliminate

the

risk

of

experiencing

investment

loss.

Utilization

of

derivative

instruments

is

inherent

to

the

Fund's

principal

investment

strategies.

During

the

fiscal

year

ended

December

31,

2020,

the

Fund's

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund's

performance

to

materially

deviate

from

AQR's

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.72%,

1.98%

and

1.63%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

VS.

ICE

BofA

MERRILL

LYNCH

US

3-MONTH

TREASURY

BILL

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/16/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

12/31/2020

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QMHIX

-0.65%

-4.70%

-5.86%

-0.83%

7/16/2013

Fund

-

Class

N:

QMHNX

-0.80%

-4.89%

-6.09%

-1.08%

7/16/2013

Fund

-

Class

R6:

QMHRX

-0.49%

-4.57%

-5.76%

-1.41%

9/2/2014

ICE

BofA

Merrill

Lynch

US

3-Month

Treasury

Bill

Index

0.67%

1.61%

1.20%

0.82%

7/16/2013

7

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

DEFINITIONS:

Beta:

The

measure

of

the

volatility,

or

systematic

risk,

of

a

security

or

portfolio

compared

to

the

market

as

a

whole.

Correlation:

A

statistic

that

measures

the

degree

to

which

two

securities

move

in

relation

to

each

other.

ICE

Bank

of

America

Merrill

Lynch

3-Month

U.S.

Treasury

Bill

Index:

is

designed

to

measure

the

performance

of

high-quality

short-term

cash-

equivalent

investments.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

SG

Trend

Index

:

is

designed

to

track

the

10

largest

(by

AUM)

trend

following

Commodity

Trading

Advisors

(“CTAs”)

and

be

representative

of

the

trend

followers

in

the

managed

futures

space.

Indexes

are

unmanaged

and

one

cannot

invest

directly

an

index.

8

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

(a)

Represents

7-day

effective

yield

as

of

December

31,

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

December

31,

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

and

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

96.9%

INVESTMENT

COMPANIES

-

18.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

78,930,593

78,930,593

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)(c)

342,519,840

342,382,832

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.01%

(1)(a)

1,407,021

1,407,021

TOTAL

INVESTMENT

COMPANIES

(Cost

$422,734,988)

422,720,446

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

78.1%

U.S.

Treasury

Bills

0.17%,

1/7/2021

(d)

$

16,182,000

16,181,960

0.15%,

1/14/2021

(d)

55,492,000

55,491,306

0.13%,

1/21/2021

(d)

64,287,000

64,285,634

0.13%,

1/28/2021

(d)

70,247,000

70,244,307

0.11%,

2/4/2021

(d)(e)

147,710,000

147,703,004

0.12%,

3/4/2021

(d)

225,536,000

225,510,127

0.12%,

3/11/2021

(d)

307,771,000

307,728,681

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

78.1%

(continued)

0.11%,

3/18/2021

(d)

$

201,054,000

201,025,462

0.11%,

3/25/2021

(d)

106,283,000

106,265,286

0.11%,

4/1/2021

(d)

176,859,000

176,824,808

0.12%,

4/22/2021

(d)(f)

88,371,000

88,349,791

0.11%,

5/6/2021

(d)(e)

84,754,000

84,730,304

0.10%,

5/20/2021

(d)(f)

70,331,000

70,309,413

0.09%,

5/27/2021

(d)(f)

37,931,000

37,919,323

0.09%,

6/3/2021

(d)(f)

23,333,000

23,324,955

0.09%,

6/10/2021

(d)

5,269,000

5,267,099

0.09%,

6/17/2021

(d)(e)

40,048,000

40,032,949

0.09%,

6/24/2021

(d)(f)

10,609,000

10,604,843

0.10%,

7/1/2021

(d)

24,340,000

24,329,750

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$1,755,992,137)

1,756,129,002

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$2,178,727,125)

2,178,849,448

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.9%

(Cost

$2,178,727,125)

2,178,849,448

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.1%

(g)

70,788,496

NET

ASSETS

-

100.0%

2,249,637,944

Affiliate

Value

At

12/31/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

12/31/2020

Shares

Held

At

12/31/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

15.2%

INVESTMENT

COMPANIES

-

15.2%

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)

(Cost

$342,397,374)

$615,883,359

$9,250,858,564

$(9,524,331,818)

$33,960

$(61,233)

$342,382,832

342,519,840

$2,989,771

$62,831

(a)

Represents

7-day

effective

yield

as

of

December

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

9

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Total

return

swap

contracts

outstanding

as

of

December

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

20,231,200

$

1,216,722

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/05/2021

USD

3,320,100

295,361

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

12,342,960

1,079,932

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/05/2021

USD

15,741,180

1,356,500

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

26,131,140

2,356,340

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

29,373,120

2,643,988

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

266,746,200

942,674

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

470,844,000

1,506,221

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/17/2021

BRL

16,096,050

95,060

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/11/2021

KRW

4,086,075,000

265,546

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

38,412,300

4,427,290

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

49,621,350

5,702,978

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/19/2021

USD

13,740,800

1,547,520

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

40,406,540

4,566,812

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

34,394,880

3,726,771

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

13,943,640

461,283

10

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

22,481,550

$

1,201,126

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

38,205,825

2,022,894

35,415,018

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

(29,373,120)

(2,441,650)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

(5,976,180)

(85,472)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

(5,585,580)

(443,770)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

02/05/2021

USD

(3,593,520)

(241,360)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/05/2021

USD

(2,656,080)

(82,620)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(38,412,300)

(2,621,574)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(9,963,600)

(57,000)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(14,900,180)

(1,276,269)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

(13,508,640)

(840,386)

TAIEX

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/20/2021

TWD

(26,420,400)

(13,196)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(22,481,550)

(2,112,554)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(4,835,775)

(261,505)

(10,477,356)

$

24,937,662

11

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

61

1/2021

EUR

$

9,308,076

$

63,272

HSCEI

130

1/2021

HKD

8,972,196

232,919

LME

Aluminum

Base

Metal

13

1/2021

USD

641,739

65,150

LME

Aluminum

Base

Metal

22

1/2021

USD

1,088,357

78,217

LME

Aluminum

Base

Metal

25

1/2021

USD

1,248,825

166,876

LME

Aluminum

Base

Metal

26

1/2021

USD

1,283,789

99,348

LME

Aluminum

Base

Metal

30

1/2021

USD

1,482,758

94,764

LME

Aluminum

Base

Metal

37

1/2021

USD

1,830,575

126,406

LME

Aluminum

Base

Metal

49

1/2021

USD

2,424,275

163,112

LME

Aluminum

Base

Metal

54

1/2021

USD

2,671,313

214,153

LME

Aluminum

Base

Metal

65

1/2021

USD

3,215,469

254,543

LME

Aluminum

Base

Metal

90

1/2021

USD

4,449,375

279,185

LME

Aluminum

Base

Metal

98

1/2021

USD

4,848,036

295,346

LME

Aluminum

Base

Metal

141

1/2021

USD

6,971,428

436,324

LME

Aluminum

Base

Metal

173

1/2021

USD

8,558,094

703,384

LME

Aluminum

Base

Metal

447

1/2021

USD

22,103,368

1,407,797

LME

Copper

Base

Metal

1

1/2021

USD

193,870

27,118

LME

Copper

Base

Metal

1

1/2021

USD

193,852

24,399

LME

Copper

Base

Metal

5

1/2021

USD

969,406

96,664

LME

Copper

Base

Metal

7

1/2021

USD

1,357,344

175,721

LME

Copper

Base

Metal

7

1/2021

USD

1,357,606

162,455

LME

Copper

Base

Metal

8

1/2021

USD

1,550,238

214,729

LME

Copper

Base

Metal

9

1/2021

USD

1,744,099

224,762

LME

Copper

Base

Metal

11

1/2021

USD

2,131,379

326,941

LME

Copper

Base

Metal

12

1/2021

USD

2,327,175

295,569

LME

Copper

Base

Metal

13

1/2021

USD

2,519,449

307,378

LME

Copper

Base

Metal

15

1/2021

USD

2,906,156

457,367

LME

Copper

Base

Metal

19

1/2021

USD

3,681,844

486,948

LME

Copper

Base

Metal

22

1/2021

USD

4,263,518

524,388

LME

Copper

Base

Metal

23

1/2021

USD

4,504,550

750,491

LME

Copper

Base

Metal

24

1/2021

USD

4,649,400

708,393

LME

Copper

Base

Metal

26

1/2021

USD

5,039,288

554,716

LME

Nickel

Base

Metal

3

1/2021

USD

297,990

33,741

LME

Nickel

Base

Metal

10

1/2021

USD

993,420

108,391

LME

Nickel

Base

Metal

12

1/2021

USD

1,192,032

136,117

LME

Nickel

Base

Metal

19

1/2021

USD

1,888,133

151,871

LME

Nickel

Base

Metal

22

1/2021

USD

2,185,062

283,009

LME

Nickel

Base

Metal

25

1/2021

USD

2,485,545

155,498

LME

Nickel

Base

Metal

25

1/2021

USD

2,485,886

196,976

LME

Nickel

Base

Metal

35

1/2021

USD

3,477,749

279,377

LME

Nickel

Base

Metal

40

1/2021

USD

3,977,054

206,268

LME

Nickel

Base

Metal

42

1/2021

USD

4,176,096

168,118

LME

Nickel

Base

Metal

43

1/2021

USD

4,272,903

357,676

LME

Nickel

Base

Metal

49

1/2021

USD

4,870,551

203,299

LME

Nickel

Base

Metal

54

1/2021

USD

5,417,118

771,339

LME

Nickel

Base

Metal

59

1/2021

USD

5,864,541

298,941

LME

Nickel

Base

Metal

60

1/2021

USD

5,963,940

185,313

LME

Nickel

Base

Metal

67

1/2021

USD

6,660,039

311,941

LME

Nickel

Base

Metal

100

1/2021

USD

9,938,100

616,519

LME

Zinc

Base

Metal

8

1/2021

USD

546,666

43,248

LME

Zinc

Base

Metal

14

1/2021

USD

955,703

118,337

LME

Zinc

Base

Metal

16

1/2021

USD

1,092,132

147,285

LME

Zinc

Base

Metal

24

1/2021

USD

1,637,898

233,533

12

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

25

1/2021

USD

$

1,705,831

$

256,883

LME

Zinc

Base

Metal

33

1/2021

USD

2,256,293

158,638

LME

Zinc

Base

Metal

39

1/2021

USD

2,666,810

196,376

LME

Zinc

Base

Metal

46

1/2021

USD

3,179,463

485,727

LME

Zinc

Base

Metal

48

1/2021

USD

3,281,544

226,366

LME

Zinc

Base

Metal

54

1/2021

USD

3,691,346

259,325

LME

Zinc

Base

Metal

62

1/2021

USD

4,236,662

253,605

LME

Zinc

Base

Metal

147

1/2021

USD

10,044,988

591,173

MSCI

Singapore

Index

67

1/2021

SGD

1,639,006

(6,310)

NY

Harbor

ULSD

44

1/2021

USD

2,742,432

114,551

OMXS30

Index

166

1/2021

SEK

3,789,556

(26,720)

RBOB

Gasoline

41

1/2021

USD

2,428,192

68,418

SGX

FTSE

China

A50

Index

4,862

1/2021

USD

86,115,744

2,877,941

SGX

NIFTY

50

Index

106

1/2021

USD

2,971,392

3,262

100

oz

Gold

400

2/2021

USD

75,804,000

600,463

Lean

Hogs

18

2/2021

USD

505,980

23,603

LME

Aluminum

Base

Metal

4

2/2021

USD

197,492

6,590

LME

Aluminum

Base

Metal

5

2/2021

USD

247,344

12,603

LME

Aluminum

Base

Metal

20

2/2021

USD

989,375

68,326

LME

Aluminum

Base

Metal

24

2/2021

USD

1,185,000

7,046

LME

Aluminum

Base

Metal

24

2/2021

USD

1,184,142

27,871

LME

Aluminum

Base

Metal

28

2/2021

USD

1,381,100

47,167

LME

Aluminum

Base

Metal

29

2/2021

USD

1,431,331

(4,254)

LME

Aluminum

Base

Metal

30

2/2021

USD

1,480,875

(14,479)

LME

Aluminum

Base

Metal

36

2/2021

USD

1,776,960

(14,380)

LME

Aluminum

Base

Metal

47

2/2021

USD

2,318,616

64,886

LME

Aluminum

Base

Metal

70

2/2021

USD

3,462,813

144,671

LME

Aluminum

Base

Metal

99

2/2021

USD

4,886,888

(51,366)

LME

Aluminum

Base

Metal

102

2/2021

USD

5,034,975

(33,409)

LME

Aluminum

Base

Metal

113

2/2021

USD

5,589,969

282,291

LME

Copper

Base

Metal

1

2/2021

USD

193,838

25,954

LME

Copper

Base

Metal

1

2/2021

USD

193,933

12,955

LME

Copper

Base

Metal

3

2/2021

USD

581,821

35,513

LME

Copper

Base

Metal

5

2/2021

USD

969,405

119,759

LME

Copper

Base

Metal

8

2/2021

USD

1,551,450

125,479

LME

Copper

Base

Metal

8

2/2021

USD

1,551,550

31,804

LME

Copper

Base

Metal

8

2/2021

USD

1,552,300

125,299

LME

Copper

Base

Metal

10

2/2021

USD

1,939,378

199,351

LME

Copper

Base

Metal

10

2/2021

USD

1,938,525

238,699

LME

Copper

Base

Metal

11

2/2021

USD

2,134,481

179,821

LME

Copper

Base

Metal

13

2/2021

USD

2,520,944

222,179

LME

Copper

Base

Metal

13

2/2021

USD

2,521,747

265,562

LME

Copper

Base

Metal

20

2/2021

USD

3,879,325

395,022

LME

Copper

Base

Metal

21

2/2021

USD

4,071,202

539,139

LME

Copper

Base

Metal

26

2/2021

USD

5,042,752

532,074

LME

Copper

Base

Metal

28

2/2021

USD

5,430,222

309,648

LME

Nickel

Base

Metal

1

2/2021

USD

99,463

8,680

LME

Nickel

Base

Metal

2

2/2021

USD

199,047

8,931

LME

Nickel

Base

Metal

4

2/2021

USD

398,100

17,988

LME

Nickel

Base

Metal

7

2/2021

USD

696,654

34,170

LME

Nickel

Base

Metal

11

2/2021

USD

1,094,392

49,029

LME

Nickel

Base

Metal

12

2/2021

USD

1,194,209

33,437

LME

Nickel

Base

Metal

14

2/2021

USD

1,392,798

64,269

LME

Nickel

Base

Metal

15

2/2021

USD

1,492,420

65,875

LME

Nickel

Base

Metal

27

2/2021

USD

2,687,638

83,939

LME

Nickel

Base

Metal

31

2/2021

USD

3,086,205

43,400

13

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

34

2/2021

USD

$

3,381,890

$

220,081

LME

Nickel

Base

Metal

37

2/2021

USD

3,681,470

145,829

LME

Zinc

Base

Metal

1

2/2021

USD

68,473

1,645

LME

Zinc

Base

Metal

2

2/2021

USD

137,192

(1,660)

LME

Zinc

Base

Metal

2

2/2021

USD

137,092

3,036

LME

Zinc

Base

Metal

3

2/2021

USD

205,731

522

LME

Zinc

Base

Metal

5

2/2021

USD

342,041

24,989

LME

Zinc

Base

Metal

8

2/2021

USD

548,000

24,976

LME

Zinc

Base

Metal

9

2/2021

USD

616,687

(2,090)

LME

Zinc

Base

Metal

15

2/2021

USD

1,027,954

1,167

LME

Zinc

Base

Metal

16

2/2021

USD

1,094,680

68,956

LME

Zinc

Base

Metal

17

2/2021

USD

1,164,343

37,214

LME

Zinc

Base

Metal

32

2/2021

USD

2,189,944

106,149

LME

Zinc

Base

Metal

52

2/2021

USD

3,558,178

227,606

Low

Sulphur

Gasoil

13

2/2021

USD

549,900

5,453

Sugar

No.

11

1,707

2/2021

USD

29,614,402

1,693,711

Australia

10

Year

Bond

102

3/2021

AUD

11,577,717

10,491

Australia

3

Year

Bond

5,924

3/2021

AUD

536,352,512

339,174

Canada

10

Year

Bond

709

3/2021

CAD

83,048,079

48,692

Cocoa

16

3/2021

USD

416,480

(18,190)

Coffee

'C'

374

3/2021

USD

17,987,063

400,632

Copper

477

3/2021

USD

41,964,075

2,472,855

Corn

1,297

3/2021

USD

31,387,400

3,520,474

Cotton

No.

2

261

3/2021

USD

10,194,660

167,996

DAX

Index

21

3/2021

EUR

8,816,221

234,620

DJIA

CBOT

E-Mini

Index

93

3/2021

USD

14,181,105

267,145

EURO

STOXX

50

Index

188

3/2021

EUR

8,153,292

53,386

Euro-Bobl

1,117

3/2021

EUR

184,464,338

(502,857)

Euro-BTP

321

3/2021

EUR

59,610,669

373,174

Euro-Bund

814

3/2021

EUR

176,649,321

1,902

Euro-Buxl

323

3/2021

EUR

88,878,117

74,228

Euro-OAT

1,284

3/2021

EUR

263,304,963

724,145

FTSE/JSE

Top

40

Index

106

3/2021

ZAR

3,940,142

(15,021)

KC

HRW

Wheat

820

3/2021

USD

24,743,500

1,398,654

LME

Aluminum

Base

Metal

12

3/2021

USD

593,493

(14,511)

LME

Aluminum

Base

Metal

13

3/2021

USD

642,268

(23,045)

LME

Aluminum

Base

Metal

16

3/2021

USD

791,200

(10,841)

LME

Aluminum

Base

Metal

34

3/2021

USD

1,679,957

(48,193)

LME

Aluminum

Base

Metal

39

3/2021

USD

1,927,819

(61,296)

LME

Aluminum

Base

Metal

45

3/2021

USD

2,224,553

(77,308)

LME

Aluminum

Base

Metal

58

3/2021

USD

2,865,200

(61,071)

LME

Aluminum

Base

Metal

61

3/2021

USD

3,016,694

(46,054)

LME

Aluminum

Base

Metal

65

3/2021

USD

3,210,350

(132,467)

LME

Aluminum

Base

Metal

79

3/2021

USD

3,902,600

(174,033)

LME

Aluminum

Base

Metal

83

3/2021

USD

4,102,275

(195,295)

LME

Aluminum

Base

Metal

112

3/2021

USD

5,541,900

(55,390)

LME

Aluminum

Base

Metal

134

3/2021

USD

6,619,600

(194,695)

LME

Aluminum

Base

Metal

1,424

3/2021

USD

70,399,000

(2,175,032)

LME

Copper

Base

Metal

1

3/2021

USD

194,106

629

LME

Copper

Base

Metal

4

3/2021

USD

776,675

(761)

LME

Copper

Base

Metal

4

3/2021

USD

776,375

1,364

LME

Copper

Base

Metal

4

3/2021

USD

776,455

(18,056)

LME

Copper

Base

Metal

5

3/2021

USD

969,924

13,661

LME

Copper

Base

Metal

6

3/2021

USD

1,164,713

(7,617)

LME

Copper

Base

Metal

9

3/2021

USD

1,746,230

1,331

LME

Copper

Base

Metal

10

3/2021

USD

1,941,625

(19,651)

14

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

12

3/2021

USD

$

2,329,425

$

(2,207)

LME

Copper

Base

Metal

17

3/2021

USD

3,299,360

35,315

LME

Copper

Base

Metal

17

3/2021

USD

3,299,594

(96,626)

LME

Copper

Base

Metal

17

3/2021

USD

3,298,204

38,409

LME

Copper

Base

Metal

21

3/2021

USD

4,073,963

41,908

LME

Copper

Base

Metal

286

3/2021

USD

55,532,263

1,561,025

LME

Nickel

Base

Metal

2

3/2021

USD

199,170

5,845

LME

Nickel

Base

Metal

7

3/2021

USD

697,235

11,354

LME

Nickel

Base

Metal

10

3/2021

USD

996,750

(12,826)

LME

Nickel

Base

Metal

11

3/2021

USD

1,095,820

(46,013)

LME

Nickel

Base

Metal

11

3/2021

USD

1,096,040

(70,421)

LME

Nickel

Base

Metal

15

3/2021

USD

1,494,675

(79,462)

LME

Nickel

Base

Metal

16

3/2021

USD

1,593,120

41,155

LME

Nickel

Base

Metal

19

3/2021

USD

1,893,312

(114,854)

LME

Nickel

Base

Metal

287

3/2021

USD

28,598,976

658,574

LME

Zinc

Base

Metal

1

3/2021

USD

68,721

(3,282)

LME

Zinc

Base

Metal

8

3/2021

USD

549,654

(18,766)

LME

Zinc

Base

Metal

9

3/2021

USD

618,215

(23,512)

LME

Zinc

Base

Metal

10

3/2021

USD

686,988

(22,042)

LME

Zinc

Base

Metal

13

3/2021

USD

893,614

(31,375)

LME

Zinc

Base

Metal

17

3/2021

USD

1,169,103

(9,047)

LME

Zinc

Base

Metal

17

3/2021

USD

1,167,042

(12,800)

LME

Zinc

Base

Metal

17

3/2021

USD

1,166,906

(10,386)

LME

Zinc

Base

Metal

22

3/2021

USD

1,512,203

(52,051)

LME

Zinc

Base

Metal

26

3/2021

USD

1,786,577

(80,787)

LME

Zinc

Base

Metal

31

3/2021

USD

2,129,150

(16,817)

LME

Zinc

Base

Metal

487

3/2021

USD

33,473,093

(403,026)

Long

Gilt

672

3/2021

GBP

124,555,839

387,461

MSCI

EAFE

E-Mini

Index

216

3/2021

USD

23,012,640

286,461

MSCI

Emerging

Markets

E-Mini

Index

1,687

3/2021

USD

108,659,670

2,915,944

NASDAQ

100

E-Mini

Index

39

3/2021

USD

10,050,690

335,169

Nikkei

225

Index

103

3/2021

JPY

27,372,234

1,037,924

Palladium

9

3/2021

USD

2,208,420

91,174

Russell

2000

E-Mini

Index

102

3/2021

USD

10,071,480

318,892

S&P

500

E-Mini

Index

68

3/2021

USD

12,745,920

342,024

S&P

Midcap

400

E-Mini

Index

49

3/2021

USD

11,287,150

307,362

S&P/TSX

60

Index

226

3/2021

CAD

36,535,690

(356,147)

Silver

82

3/2021

USD

10,828,920

227,935

Soybean

Meal

70

3/2021

USD

3,005,800

35,595

SPI

200

Index

43

3/2021

AUD

5,417,678

(18,724)

TOPIX

Index

147

3/2021

JPY

25,689,942

597,070

Wheat

215

3/2021

USD

6,885,375

74,843

Platinum

78

4/2021

USD

4,208,880

193,178

3

Month

Canadian

Bankers

Acceptance

332

6/2021

CAD

64,915,272

17,607

3

Month

Euro

Euribor

1,419

6/2021

EUR

435,763,932

65,421

3

Month

Eurodollar

501

6/2021

USD

125,043,338

45,468

3

Month

Euroswiss

38

6/2021

CHF

10,814,526

(1,376)

3

Month

Sterling

481

6/2021

GBP

82,237,382

39,849

ASX

90

Day

Bank

Accepted

Bill

629

6/2021

AUD

484,903,642

103,033

3

Month

Canadian

Bankers

Acceptance

2

9/2021

CAD

391,036

47

3

Month

Euro

Euribor

2,979

9/2021

EUR

914,827,874

202,378

3

Month

Eurodollar

771

9/2021

USD

192,422,325

62,654

3

Month

Euroswiss

71

9/2021

CHF

20,204,083

(2,556)

3

Month

Sterling

485

9/2021

GBP

82,946,141

48,563

ASX

90

Day

Bank

Accepted

Bill

129

9/2021

AUD

99,445,194

6,114

3

Month

Euro

Euribor

2,866

12/2021

EUR

880,170,213

128,325

15

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Eurodollar

1,269

12/2021

USD

$

316,583,775

$

95,131

3

Month

Euroswiss

58

12/2021

CHF

16,504,744

(281)

3

Month

Sterling

552

12/2021

GBP

94,418,833

75,901

3

Month

Euro

Euribor

2,443

3/2022

EUR

750,226,418

144,066

3

Month

Eurodollar

1,232

3/2022

USD

307,445,600

130,446

3

Month

Sterling

1,807

3/2022

GBP

308,884,065

221,483

3

Month

Euro

Euribor

2,790

6/2022

EUR

856,744,830

147,907

3

Month

Eurodollar

1,617

6/2022

USD

403,481,925

311,584

3

Month

Sterling

1,804

6/2022

GBP

308,340,415

372,207

3

Month

Euro

Euribor

2,807

9/2022

EUR

861,922,274

24,107

3

Month

Eurodollar

1,650

9/2022

USD

411,654,375

78,888

3

Month

Sterling

964

9/2022

GBP

164,750,795

5,095

3

Month

Euro

Euribor

2,274

12/2022

EUR

698,188,922

29,010

3

Month

Eurodollar

1,509

12/2022

USD

376,288,013

229,302

3

Month

Sterling

500

12/2022

GBP

85,443,110

45,542

44,920,586

Short

Contracts

Brent

Crude

Oil

(200)

1/2021

USD

(10,360,000)

(138,335)

CAC

40

10

Euro

Index

(308)

1/2021

EUR

(20,852,784)

(5,411)

IBEX

35

Index

(73)

1/2021

EUR

(7,197,487)

45,159

LME

Aluminum

Base

Metal

(13)

1/2021

USD

(641,739)

(63,916)

LME

Aluminum

Base

Metal

(22)

1/2021

USD

(1,088,357)

(78,368)

LME

Aluminum

Base

Metal

(25)

1/2021

USD

(1,248,825)

(156,315)

LME

Aluminum

Base

Metal

(26)

1/2021

USD

(1,283,789)

(107,266)

LME

Aluminum

Base

Metal

(30)

1/2021

USD

(1,482,758)

(95,346)

LME

Aluminum

Base

Metal

(37)

1/2021

USD

(1,830,575)

(127,854)

LME

Aluminum

Base

Metal

(49)

1/2021

USD

(2,424,275)

(162,947)

LME

Aluminum

Base

Metal

(54)

1/2021

USD

(2,671,313)

(223,956)

LME

Aluminum

Base

Metal

(65)

1/2021

USD

(3,215,469)

(257,257)

LME

Aluminum

Base

Metal

(90)

1/2021

USD

(4,449,375)

(296,141)

LME

Aluminum

Base

Metal

(98)

1/2021

USD

(4,848,036)

(302,350)

LME

Aluminum

Base

Metal

(141)

1/2021

USD

(6,971,428)

(426,800)

LME

Aluminum

Base

Metal

(173)

1/2021

USD

(8,558,094)

(653,790)

LME

Aluminum

Base

Metal

(447)

1/2021

USD

(22,103,368)

(1,420,806)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,852)

(24,830)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,870)

(26,302)

LME

Copper

Base

Metal

(5)

1/2021

USD

(969,406)

(98,013)

LME

Copper

Base

Metal

(7)

1/2021

USD

(1,357,606)

(161,368)

LME

Copper

Base

Metal

(7)

1/2021

USD

(1,357,344)

(177,057)

LME

Copper

Base

Metal

(8)

1/2021

USD

(1,550,238)

(213,380)

LME

Copper

Base

Metal

(9)

1/2021

USD

(1,744,099)

(228,365)

LME

Copper

Base

Metal

(11)

1/2021

USD

(2,131,379)

(317,732)

LME

Copper

Base

Metal

(12)

1/2021

USD

(2,327,175)

(288,332)

LME

Copper

Base

Metal

(13)

1/2021

USD

(2,519,449)

(302,008)

LME

Copper

Base

Metal

(15)

1/2021

USD

(2,906,156)

(456,652)

LME

Copper

Base

Metal

(19)

1/2021

USD

(3,681,844)

(487,329)

LME

Copper

Base

Metal

(22)

1/2021

USD

(4,263,518)

(517,250)

LME

Copper

Base

Metal

(23)

1/2021

USD

(4,504,550)

(759,446)

LME

Copper

Base

Metal

(24)

1/2021

USD

(4,649,400)

(737,246)

LME

Copper

Base

Metal

(26)

1/2021

USD

(5,039,288)

(538,331)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(297,990)

(34,104)

LME

Nickel

Base

Metal

(10)

1/2021

USD

(993,420)

(112,819)

LME

Nickel

Base

Metal

(12)

1/2021

USD

(1,192,032)

(137,387)

LME

Nickel

Base

Metal

(19)

1/2021

USD

(1,888,133)

(158,268)

LME

Nickel

Base

Metal

(22)

1/2021

USD

(2,185,062)

(276,902)

LME

Nickel

Base

Metal

(25)

1/2021

USD

(2,485,545)

(157,119)

16

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(25)

1/2021

USD

$

(2,485,886)

$

(194,784)

LME

Nickel

Base

Metal

(35)

1/2021

USD

(3,477,749)

(268,632)

LME

Nickel

Base

Metal

(40)

1/2021

USD

(3,977,054)

(208,092)

LME

Nickel

Base

Metal

(42)

1/2021

USD

(4,176,096)

(126,063)

LME

Nickel

Base

Metal

(43)

1/2021

USD

(4,272,903)

(350,140)

LME

Nickel

Base

Metal

(49)

1/2021

USD

(4,870,551)

(215,353)

LME

Nickel

Base

Metal

(54)

1/2021

USD

(5,417,118)

(763,600)

LME

Nickel

Base

Metal

(59)

1/2021

USD

(5,864,541)

(301,163)

LME

Nickel

Base

Metal

(60)

1/2021

USD

(5,963,940)

(181,329)

LME

Nickel

Base

Metal

(67)

1/2021

USD

(6,660,039)

(304,359)

LME

Nickel

Base

Metal

(100)

1/2021

USD

(9,938,100)

(615,643)

LME

Zinc

Base

Metal

(8)

1/2021

USD

(546,666)

(45,190)

LME

Zinc

Base

Metal

(14)

1/2021

USD

(955,703)

(117,347)

LME

Zinc

Base

Metal

(16)

1/2021

USD

(1,092,132)

(141,985)

LME

Zinc

Base

Metal

(24)

1/2021

USD

(1,637,898)

(227,044)

LME

Zinc

Base

Metal

(25)

1/2021

USD

(1,705,831)

(255,551)

LME

Zinc

Base

Metal

(33)

1/2021

USD

(2,256,293)

(146,040)

LME

Zinc

Base

Metal

(39)

1/2021

USD

(2,666,810)

(195,690)

LME

Zinc

Base

Metal

(46)

1/2021

USD

(3,179,463)

(491,788)

LME

Zinc

Base

Metal

(48)

1/2021

USD

(3,281,544)

(219,274)

LME

Zinc

Base

Metal

(54)

1/2021

USD

(3,691,346)

(255,728)

LME

Zinc

Base

Metal

(62)

1/2021

USD

(4,236,662)

(257,994)

LME

Zinc

Base

Metal

(147)

1/2021

USD

(10,044,988)

(596,068)

Natural

Gas

(197)

1/2021

USD

(5,001,830)

79,421

WTI

Crude

Oil

(51)

1/2021

USD

(2,474,520)

(86,671)

Live

Cattle

(259)

2/2021

USD

(11,916,590)

(57,668)

LME

Aluminum

Base

Metal

(4)

2/2021

USD

(197,492)

(7,039)

LME

Aluminum

Base

Metal

(5)

2/2021

USD

(247,344)

(12,859)

LME

Aluminum

Base

Metal

(20)

2/2021

USD

(989,375)

(67,495)

LME

Aluminum

Base

Metal

(24)

2/2021

USD

(1,185,000)

(4,241)

LME

Aluminum

Base

Metal

(24)

2/2021

USD

(1,184,142)

(27,478)

LME

Aluminum

Base

Metal

(28)

2/2021

USD

(1,381,100)

(49,012)

LME

Aluminum

Base

Metal

(29)

2/2021

USD

(1,431,331)

4,396

LME

Aluminum

Base

Metal

(30)

2/2021

USD

(1,480,875)

9,099

LME

Aluminum

Base

Metal

(36)

2/2021

USD

(1,776,960)

10,589

LME

Aluminum

Base

Metal

(47)

2/2021

USD

(2,318,616)

(65,104)

LME

Aluminum

Base

Metal

(70)

2/2021

USD

(3,462,813)

(151,954)

LME

Aluminum

Base

Metal

(99)

2/2021

USD

(4,886,888)

50,353

LME

Aluminum

Base

Metal

(102)

2/2021

USD

(5,034,975)

40,754

LME

Aluminum

Base

Metal

(113)

2/2021

USD

(5,589,969)

(332,977)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,933)

(13,383)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,838)

(25,728)

LME

Copper

Base

Metal

(3)

2/2021

USD

(581,821)

(34,818)

LME

Copper

Base

Metal

(5)

2/2021

USD

(969,405)

(120,293)

LME

Copper

Base

Metal

(8)

2/2021

USD

(1,551,550)

(30,707)

LME

Copper

Base

Metal

(8)

2/2021

USD

(1,552,300)

(122,866)

LME

Copper

Base

Metal

(8)

2/2021

USD

(1,551,450)

(124,170)

LME

Copper

Base

Metal

(10)

2/2021

USD

(1,938,525)

(239,076)

LME

Copper

Base

Metal

(10)

2/2021

USD

(1,939,378)

(198,748)

LME

Copper

Base

Metal

(11)

2/2021

USD

(2,134,481)

(190,825)

LME

Copper

Base

Metal

(13)

2/2021

USD

(2,520,944)

(218,511)

LME

Copper

Base

Metal

(13)

2/2021

USD

(2,521,747)

(267,167)

LME

Copper

Base

Metal

(20)

2/2021

USD

(3,879,325)

(407,389)

LME

Copper

Base

Metal

(21)

2/2021

USD

(4,071,202)

(534,069)

LME

Copper

Base

Metal

(26)

2/2021

USD

(5,042,752)

(557,530)

LME

Copper

Base

Metal

(28)

2/2021

USD

(5,430,222)

(312,824)

17

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

2/2021

USD

$

(99,463)

$

(8,362)

LME

Nickel

Base

Metal

(2)

2/2021

USD

(199,047)

(8,841)

LME

Nickel

Base

Metal

(4)

2/2021

USD

(398,100)

(18,900)

LME

Nickel

Base

Metal

(7)

2/2021

USD

(696,654)

(31,391)

LME

Nickel

Base

Metal

(11)

2/2021

USD

(1,094,392)

(48,654)

LME

Nickel

Base

Metal

(12)

2/2021

USD

(1,194,209)

(33,605)

LME

Nickel

Base

Metal

(14)

2/2021

USD

(1,392,798)

(63,406)

LME

Nickel

Base

Metal

(15)

2/2021

USD

(1,492,420)

(63,444)

LME

Nickel

Base

Metal

(27)

2/2021

USD

(2,687,638)

(74,010)

LME

Nickel

Base

Metal

(31)

2/2021

USD

(3,086,205)

(46,396)

LME

Nickel

Base

Metal

(34)

2/2021

USD

(3,381,890)

(230,022)

LME

Nickel

Base

Metal

(37)

2/2021

USD

(3,681,470)

(145,060)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,473)

(1,832)

LME

Zinc

Base

Metal

(2)

2/2021

USD

(137,192)

1,503

LME

Zinc

Base

Metal

(2)

2/2021

USD

(137,092)

(3,110)

LME

Zinc

Base

Metal

(3)

2/2021

USD

(205,731)

(627)

LME

Zinc

Base

Metal

(5)

2/2021

USD

(342,041)

(24,681)

LME

Zinc

Base

Metal

(8)

2/2021

USD

(548,000)

(24,674)

LME

Zinc

Base

Metal

(9)

2/2021

USD

(616,687)

3,712

LME

Zinc

Base

Metal

(15)

2/2021

USD

(1,027,954)

1,031

LME

Zinc

Base

Metal

(16)

2/2021

USD

(1,094,680)

(71,327)

LME

Zinc

Base

Metal

(17)

2/2021

USD

(1,164,343)

(41,643)

LME

Zinc

Base

Metal

(32)

2/2021

USD

(2,189,944)

(118,998)

LME

Zinc

Base

Metal

(52)

2/2021

USD

(3,558,178)

(259,711)

Cocoa

(291)

3/2021

GBP

(6,912,261)

(179,442)

Euro-Schatz

(1,192)

3/2021

EUR

(163,495,620)

(1,639)

FTSE

100

Index

(80)

3/2021

GBP

(7,023,480)

154,711

FTSE/MIB

Index

(3)

3/2021

EUR

(405,508)

(1,745)

Japan

10

Year

Bond

(177)

3/2021

JPY

(260,421,674)

116,621

LME

Aluminum

Base

Metal

(12)

3/2021

USD

(593,493)

14,422

LME

Aluminum

Base

Metal

(13)

3/2021

USD

(642,268)

22,796

LME

Aluminum

Base

Metal

(16)

3/2021

USD

(791,200)

11,673

LME

Aluminum

Base

Metal

(34)

3/2021

USD

(1,679,957)

46,453

LME

Aluminum

Base

Metal

(39)

3/2021

USD

(1,927,819)

58,525

LME

Aluminum

Base

Metal

(45)

3/2021

USD

(2,224,553)

76,159

LME

Aluminum

Base

Metal

(58)

3/2021

USD

(2,865,200)

63,791

LME

Aluminum

Base

Metal

(61)

3/2021

USD

(3,016,694)

39,226

LME

Aluminum

Base

Metal

(65)

3/2021

USD

(3,210,350)

135,277

LME

Aluminum

Base

Metal

(79)

3/2021

USD

(3,902,600)

158,327

LME

Aluminum

Base

Metal

(83)

3/2021

USD

(4,102,275)

167,093

LME

Aluminum

Base

Metal

(112)

3/2021

USD

(5,541,900)

57,070

LME

Aluminum

Base

Metal

(134)

3/2021

USD

(6,619,600)

179,083

LME

Aluminum

Base

Metal

(603)

3/2021

USD

(29,810,813)

1,060,544

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,106)

(659)

LME

Copper

Base

Metal

(4)

3/2021

USD

(776,375)

(2,216)

LME

Copper

Base

Metal

(4)

3/2021

USD

(776,675)

1,768

LME

Copper

Base

Metal

(4)

3/2021

USD

(776,455)

17,087

LME

Copper

Base

Metal

(5)

3/2021

USD

(969,924)

(11,181)

LME

Copper

Base

Metal

(6)

3/2021

USD

(1,164,713)

3,772

LME

Copper

Base

Metal

(9)

3/2021

USD

(1,746,230)

(245)

LME

Copper

Base

Metal

(10)

3/2021

USD

(1,941,625)

18,968

LME

Copper

Base

Metal

(12)

3/2021

USD

(2,329,425)

3,642

LME

Copper

Base

Metal

(17)

3/2021

USD

(3,298,204)

(38,320)

LME

Copper

Base

Metal

(17)

3/2021

USD

(3,299,594)

94,819

LME

Copper

Base

Metal

(17)

3/2021

USD

(3,299,360)

(30,232)

LME

Copper

Base

Metal

(21)

3/2021

USD

(4,073,963)

(62,140)

18

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(170)

3/2021

USD

$

(33,008,688)

$

(366,109)

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,170)

(6,356)

LME

Nickel

Base

Metal

(7)

3/2021

USD

(697,235)

(9,821)

LME

Nickel

Base

Metal

(10)

3/2021

USD

(996,750)

10,636

LME

Nickel

Base

Metal

(11)

3/2021

USD

(1,095,820)

49,456

LME

Nickel

Base

Metal

(11)

3/2021

USD

(1,096,040)

71,507

LME

Nickel

Base

Metal

(15)

3/2021

USD

(1,494,675)

80,596

LME

Nickel

Base

Metal

(16)

3/2021

USD

(1,593,120)

(44,687)

LME

Nickel

Base

Metal

(19)

3/2021

USD

(1,893,312)

108,671

LME

Nickel

Base

Metal

(75)

3/2021

USD

(7,473,600)

346,748

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,721)

3,198

LME

Zinc

Base

Metal

(8)

3/2021

USD

(549,654)

18,894

LME

Zinc

Base

Metal

(9)

3/2021

USD

(618,215)

22,259

LME

Zinc

Base

Metal

(10)

3/2021

USD

(686,988)

21,758

LME

Zinc

Base

Metal

(13)

3/2021

USD

(893,614)

28,656

LME

Zinc

Base

Metal

(17)

3/2021

USD

(1,169,103)

6,971

LME

Zinc

Base

Metal

(17)

3/2021

USD

(1,166,906)

4,451

LME

Zinc

Base

Metal

(17)

3/2021

USD

(1,167,042)

11,692

LME

Zinc

Base

Metal

(22)

3/2021

USD

(1,512,203)

52,931

LME

Zinc

Base

Metal

(26)

3/2021

USD

(1,786,577)

77,534

LME

Zinc

Base

Metal

(31)

3/2021

USD

(2,129,150)

28,014

LME

Zinc

Base

Metal

(169)

3/2021

USD

(11,615,919)

311,378

U.S.

Treasury

10

Year

Note

(139)

3/2021

USD

(19,192,859)

(25,697)

U.S.

Treasury

2

Year

Note

(835)

3/2021

USD

(184,515,429)

(134,771)

U.S.

Treasury

5

Year

Note

(376)

3/2021

USD

(47,437,687)

(93,264)

U.S.

Treasury

Long

Bond

(93)

3/2021

USD

(16,106,438)

37,901

U.S.

Treasury

Ultra

Bond

(110)

3/2021

USD

(23,491,875)

(174,957)

(19,927,637)

$

24,992,949

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

431,184,047

USD

321,049,117

CITI

3/17/2021

$

11,569,995

AUD

431,184,041

USD

321,049,514

JPMC

3/17/2021

11,569,593

BRL

46,289,500

USD

8,658,474

CITI

**

3/17/2021

239,405

BRL

46,289,500

USD

8,658,485

JPMC

**

3/17/2021

239,396

CAD

380,807,001

USD

295,754,787

CITI

3/17/2021

3,469,587

CAD

380,806,999

USD

295,755,155

JPMC

3/17/2021

3,469,218

CHF

50,513,500

USD

56,923,900

CITI

3/17/2021

254,345

CHF

50,513,500

USD

56,923,971

JPMC

3/17/2021

254,273

CLP

11,643,904,174

USD

15,433,801

CITI

**

3/17/2021

955,414

CLP

11,643,904,170

USD

15,433,820

JPMC

**

3/17/2021

955,394

COP

5,183,038,004

USD

1,481,989

CITI

**

3/17/2021

32,924

COP

5,183,037,996

USD

1,481,991

JPMC

**

3/17/2021

32,923

EUR

398,994,502

USD

482,083,356

CITI

3/17/2021

6,137,890

EUR

398,994,498

USD

482,083,954

JPMC

3/17/2021

6,137,288

GBP

165,194,502

USD

221,761,453

CITI

3/17/2021

4,243,074

GBP

165,194,498

USD

221,761,725

JPMC

3/17/2021

4,242,797

HUF

5,460,141,000

USD

18,022,787

CITI

3/17/2021

368,901

HUF

5,460,141,000

USD

18,022,809

JPMC

3/17/2021

368,878

19

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

IDR

351,100,472,860

USD

24,558,872

CITI

**

3/17/2021

$

543,056

IDR

351,100,472,852

USD

24,558,766

JPMC

**

3/17/2021

543,162

ILS

47,311,500

USD

14,236,404

CITI

3/17/2021

505,100

ILS

47,311,500

USD

14,236,421

JPMC

3/17/2021

505,082

INR

2,009,206,649

USD

26,942,772

CITI

**

3/17/2021

365,026

INR

2,009,206,647

USD

26,942,844

JPMC

**

3/17/2021

364,954

JPY

22,538,556,280

USD

217,401,151

CITI

3/17/2021

1,057,817

JPY

22,538,556,280

USD

217,401,423

JPMC

3/17/2021

1,057,546

KRW

319,995,237,922

USD

288,445,565

CITI

**

3/17/2021

5,637,738

KRW

319,995,237,918

USD

288,446,201

JPMC

**

3/17/2021

5,637,103

MXN

46,836,000

USD

2,310,300

CITI

3/17/2021

24,434

MXN

46,836,000

USD

2,310,303

JPMC

3/17/2021

24,429

NOK

692,115,502

USD

78,154,197

CITI

3/17/2021

2,546,151

NOK

692,115,498

USD

78,154,294

JPMC

3/17/2021

2,546,053

NZD

457,426,474

USD

319,612,967

CITI

3/17/2021

9,608,151

NZD

457,426,464

USD

319,613,360

JPMC

3/17/2021

9,607,751

PHP

1,360,275,404

USD

28,061,824

CITI

**

3/17/2021

162,994

PHP

1,360,275,404

USD

28,061,859

JPMC

**

3/17/2021

162,959

PLN

197,322,000

USD

52,371,409

CITI

3/17/2021

466,347

PLN

197,322,000

USD

52,371,474

JPMC

3/17/2021

466,282

SEK

1,558,159,625

USD

183,451,134

CITI

3/17/2021

6,077,743

SEK

1,558,159,624

USD

183,451,364

JPMC

3/17/2021

6,077,513

SGD

14,577,000

USD

10,903,753

CITI

3/17/2021

126,835

SGD

14,577,000

USD

10,903,767

JPMC

3/17/2021

126,822

TWD

1,337,438,478

USD

47,729,851

CITI

**

3/17/2021

452,355

TWD

1,337,438,473

USD

47,729,910

JPMC

**

3/17/2021

452,294

USD

25,464,620

CHF

22,416,500

CITI

3/17/2021

90,490

USD

25,464,588

CHF

22,416,500

JPMC

3/17/2021

90,458

USD

855,077

CLP

606,228,500

CITI

**

3/17/2021

1,788

USD

855,076

CLP

606,228,500

JPMC

**

3/17/2021

1,787

USD

19,516,724

EUR

15,882,500

CITI

3/17/2021

82,436

USD

19,516,699

EUR

15,882,500

JPMC

3/17/2021

82,412

USD

3,322,149

HUF

984,302,000

CITI

3/17/2021

6,672

USD

3,322,145

HUF

984,302,000

JPMC

3/17/2021

6,668

USD

12,091,408

KRW

13,093,301,000

CITI

**

3/17/2021

58,350

USD

12,091,442

KRW

13,093,301,000

JPMC

**

3/17/2021

58,384

USD

52,685

MXN

1,054,500

CITI

3/17/2021

119

USD

52,685

MXN

1,054,500

JPMC

3/17/2021

120

USD

802,155

PHP

38,655,500

CITI

**

3/17/2021

79

USD

802,154

PHP

38,655,500

JPMC

**

3/17/2021

78

USD

64,261,436

PLN

237,504,748

CITI

3/17/2021

663,773

USD

64,261,356

PLN

237,504,748

JPMC

3/17/2021

663,694

USD

27,895

SEK

228,500

CITI

3/17/2021

101

USD

27,895

SEK

228,500

JPMC

3/17/2021

101

USD

13,291,348

TWD

366,943,500

CITI

**

3/17/2021

71,938

USD

13,291,271

TWD

366,943,500

JPMC

**

3/17/2021

71,861

USD

1,096,309

ZAR

16,188,000

CITI

3/17/2021

4,671

USD

1,096,308

ZAR

16,188,000

JPMC

3/17/2021

4,670

ZAR

551,808,500

USD

35,802,223

CITI

3/17/2021

1,408,968

ZAR

551,808,500

USD

35,802,268

JPMC

3/17/2021

1,408,924

Total

unrealized

appreciation

114,465,534

BRL

3,518,000

USD

681,134

CITI

**

3/17/2021

(4,894)

BRL

3,518,000

USD

681,134

JPMC

**

3/17/2021

(4,897)

CAD

23,106,000

USD

18,172,162

CITI

3/17/2021

(16,302)

CAD

23,106,000

USD

18,172,184

JPMC

3/17/2021

(16,325)

EUR

143,501,500

USD

176,043,785

CITI

3/17/2021

(451,186)

EUR

143,501,500

USD

176,044,005

JPMC

3/17/2021

(451,407)

HUF

6,835,939,501

USD

23,256,230

CITI

3/17/2021

(230,366)

20

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

HUF

6,835,939,499

USD

23,256,259

JPMC

3/17/2021

$

(230,395)

ILS

92,500

USD

28,843

CITI

3/17/2021

(22)

ILS

92,500

USD

28,843

JPMC

3/17/2021

(22)

JPY

450,940,500

USD

4,372,043

CITI

3/17/2021

(1,222)

JPY

450,940,500

USD

4,372,049

JPMC

3/17/2021

(1,228)

MXN

20,632,000

USD

1,031,813

CITI

3/17/2021

(3,327)

MXN

20,632,000

USD

1,031,814

JPMC

3/17/2021

(3,327)

NZD

10,176,500

USD

7,356,324

CITI

3/17/2021

(32,046)

NZD

10,176,500

USD

7,356,334

JPMC

3/17/2021

(32,055)

PLN

449,979,500

USD

122,535,505

CITI

3/17/2021

(2,042,570)

PLN

449,979,500

USD

122,535,659

JPMC

3/17/2021

(2,042,723)

SEK

68,732,000

USD

8,365,445

CITI

3/17/2021

(5,134)

SEK

68,732,000

USD

8,365,456

JPMC

3/17/2021

(5,144)

TWD

334,326,000

USD

12,082,735

CITI

**

3/17/2021

(38,394)

TWD

334,326,000

USD

12,082,749

JPMC

**

3/17/2021

(38,408)

USD

79,776,105

AUD

107,696,500

CITI

3/17/2021

(3,301,909)

USD

79,776,005

AUD

107,696,500

JPMC

3/17/2021

(3,302,009)

USD

8,752,658

BRL

46,639,996

CITI

**

3/17/2021

(212,594)

USD

8,752,647

BRL

46,639,996

JPMC

**

3/17/2021

(212,605)

USD

381,870,375

CAD

496,617,522

CITI

3/17/2021

(8,353,719)

USD

381,869,895

CAD

496,617,519

JPMC

3/17/2021

(8,354,197)

USD

51,122,822

CHF

45,547,500

CITI

3/17/2021

(434,209)

USD

51,122,758

CHF

45,547,500

JPMC

3/17/2021

(434,273)

USD

6,977,020

CLP

5,185,618,000

CITI

**

3/17/2021

(321,924)

USD

6,977,012

CLP

5,185,618,000

JPMC

**

3/17/2021

(321,932)

USD

1,216,623

COP

4,410,124,816

CITI

**

3/17/2021

(72,381)

USD

1,216,622

COP

4,410,124,808

JPMC

**

3/17/2021

(72,383)

USD

381,965,693

EUR

317,205,460

CITI

3/17/2021

(6,176,109)

USD

381,965,210

EUR

317,205,456

JPMC

3/17/2021

(6,176,587)

USD

230,007,589

GBP

172,103,510

CITI

3/17/2021

(5,449,233)

USD

230,007,296

GBP

172,103,506

JPMC

3/17/2021

(5,449,520)

USD

41,595,118

HUF

12,631,188,360

CITI

3/17/2021

(951,196)

USD

41,595,066

HUF

12,631,188,358

JPMC

3/17/2021

(951,249)

USD

13,331,846

IDR

190,228,735,501

CITI

**

3/17/2021

(268,558)

USD

13,331,963

IDR

190,228,735,499

JPMC

**

3/17/2021

(268,441)

USD

5,793,427

ILS

18,902,500

CITI

3/17/2021

(96,288)

USD

5,793,420

ILS

18,902,500

JPMC

3/17/2021

(96,295)

USD

19,190,312

INR

1,428,430,500

CITI

**

3/17/2021

(223,964)

USD

19,190,747

INR

1,428,430,500

JPMC

**

3/17/2021

(223,529)

USD

264,677,456

JPY

27,564,290,000

CITI

3/17/2021

(2,494,331)

USD

264,677,125

JPY

27,564,290,000

JPMC

3/17/2021

(2,494,662)

USD

109,226,401

KRW

120,487,139,000

CITI

**

3/17/2021

(1,504,172)

USD

109,226,270

KRW

120,487,139,000

JPMC

**

3/17/2021

(1,504,302)

USD

667,247

MXN

13,461,878

CITI

3/17/2021

(3,816)

USD

667,246

MXN

13,461,874

JPMC

3/17/2021

(3,817)

USD

76,845,628

NOK

691,753,500

CITI

3/17/2021

(3,812,510)

USD

76,845,532

NOK

691,753,496

JPMC

3/17/2021

(3,812,606)

USD

311,048,410

NZD

439,884,000

CITI

3/17/2021

(5,546,958)

USD

311,048,021

NZD

439,884,000

JPMC

3/17/2021

(5,547,346)

USD

14,552,923

PHP

703,468,500

CITI

**

3/17/2021

(43,585)

USD

14,552,848

PHP

703,468,500

JPMC

**

3/17/2021

(43,661)

USD

133,537,888

PLN

501,974,244

CITI

3/17/2021

(877,901)

USD

133,537,722

PLN

501,974,244

JPMC

3/17/2021

(878,069)

USD

66,966,982

SEK

567,714,000

CITI

3/17/2021

(2,087,687)

USD

66,966,899

SEK

567,714,000

JPMC

3/17/2021

(2,087,770)

USD

8,653,649

SGD

11,584,000

CITI

3/17/2021

(112,101)

USD

8,653,638

SGD

11,584,000

JPMC

3/17/2021

(112,112)

USD

21,048,716

TWD

589,781,501

CITI

**

3/17/2021

(198,597)

21

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

21,048,689

TWD

589,781,499

JPMC

**

3/17/2021

$

(198,623)

USD

19,048,567

ZAR

295,677,448

CITI

3/17/2021

(890,434)

USD

19,048,543

ZAR

295,677,448

JPMC

3/17/2021

(890,458)

ZAR

35,544,000

USD

2,404,137

CITI

3/17/2021

(7,228)

ZAR

35,544,000

USD

2,404,140

JPMC

3/17/2021

(7,232)

Total

unrealized

depreciation

(92,536,476)

Net

unrealized

appreciation

$

21,929,058

**

Non-deliverable

forward.

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

10,155,017

$

10,155,017

CITI

Cash

(11,910,115)

–

(11,910,115)

Investment

Companies

30,098,938

–

30,098,938

GSCO

Cash

–

(669,337)

(669,337)

U.S.

Treasury

Bills

–

15,895,259

15,895,259

GSIN

U.S.

Treasury

Bills

9,997

–

9,997

JPMC

Investment

Companies

46,572,570

–

46,572,570

JPMS

Cash

–

25,191,996

25,191,996

MLIN

Cash

(2,730,007)

–

(2,730,007)

MSCL

Cash

–

410,220

410,220

U.S.

Treasury

Bills

–

3,815,855

3,815,855

MSCS

Cash

6,378

–

6,378

22

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(4,283,302)

$

–

$

(4,283,302)

Investment

Companies

2,259,085

–

2,259,085

GSCO

Cash

–

433,264

433,264

U.S.

Treasury

Bills

–

1,689,081

1,689,081

GSIN

Cash

(9,741,257)

–

(9,741,257)

U.S.

Treasury

Bills

15,608,827

–

15,608,827

JPPC

Cash

–

4,444,611

4,444,611

MACQ

Cash

(170,005)

–

(170,005)

MLIN

Cash

789,947

–

789,947

MSCL

Cash

–

(7,047,254)

(7,047,254)

U.S.

Treasury

Bills

–

13,750,625

13,750,625

SOCG

Cash

(3,450,067)

–

(3,450,067)

23

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

93.9%

INVESTMENT

COMPANIES

-

25.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.01%

(1)(a)(b)

6,115,682

6,115,682

Limited

Purpose

Cash

Investment

Fund,

0.03%

(1)(a)

23,588,173

23,578,738

TOTAL

INVESTMENT

COMPANIES

(Cost

$29,695,550)

29,694,420

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

68.9%

U.S.

Treasury

Bills

0.13%,

1/21/2021

(c)

$

368,000

367,992

0.13%,

1/28/2021

(c)

2,318,000

2,317,911

0.11%,

2/4/2021

(c)

10,590,000

10,589,498

0.12%,

2/11/2021

(c)(d)

8,152,000

8

,151,484

0.12%,

2/18/2021

(c)(e)

1,253,000

1,252,898

0.12%,

2/25/2021

(c)(f)

1,642,000

1,641,840

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

U.S.

TREASURY

OBLIGATIONS

-

68.9%

(continued)

0.13%,

3/11/2021

(c)

$

285,000

284,961

0.12%,

3/18/2021

(c)(f)

1,088,000

1,087,846

0.10%,

3/25/2021

(c)

801,000

800,867

0.11%,

4/8/2021

(c)(f)

3,156,000

3,155,382

0.12%,

4/22/2021

(c)

21,793,000

21,787,769

0.11%,

5/6/2021

(c)

2,612,000

2,611,270

0.10%,

5/20/2021

(c)

11,630,000

11,626,430

0.08%,

6/17/2021

(c)

997,000

996,625

0.10%,

7/1/2021

(c)

14,966,000

14,959,698

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$81,625,475)

81,632,471

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$111,321,025)

111,326,891

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

93.9%

(Cost

$111,321,025)

111,326,891

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

6.1%

(g)

7,243,012

NET

ASSETS

-

100.0%

118,569,903

(a)

Represents

7-day

effective

yield

as

of

December

31,

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

futures

contracts.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

5).

Total

return

swap

contracts

outstanding

as

of

December

31,

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)

Corn

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

1,597,200

$

104,032

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/05/2021

USD

39,060

3,580

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

195,300

17,088

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

3,124,800

281,264

Cotton

No.

2

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

3,945,060

355,995

24

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

20,414,250

$

70,863

HSCEI

January

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

01/28/2021

HKD

39,058,650

124,825

iBovespa

Index

February

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

02/17/2021

BRL

1,192,300

7,062

KOSPI

200

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

03/11/2021

KRW

291,862,500

18,968

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

2,163,150

248,601

Soybean

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

5,309,550

609,952

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

02/19/2021

USD

1,374,080

153,585

Soybean

Meal

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

3,091,680

349,386

Soybean

Oil

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

2,951,040

319,595

Swiss

Market

Index

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

03/19/2021

CHF

1,064,400

36,958

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

2,562,000

136,824

Wheat

March

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

4,099,200

216,954

3,055,532

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/05/2021

USD

(3,124,800)

(262,458)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/05/2021

USD

(664,020)

(16,880)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/05/2021

USD

(195,300)

(6,040)

Cotton

No.

2

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

02/05/2021

USD

(39,060)

(1,770)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(2,163,150)

(59,471)

25

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(2,163,150)

$

(186,127)

Soybean

Meal

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(1,331,140)

(102,931)

Soybean

Oil

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

02/19/2021

USD

(1,297,440)

(84,709)

TAIEX

Index

January

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

01/20/2021

TWD

(2,935,600)

(1,466)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

02/19/2021

USD

(2,562,000)

(221,346)

Wheat

March

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

02/19/2021

USD

(1,313,025)

(102,821)

(1,046,019)

$

2,009,513

Futures

contracts

outstanding

as

of

December

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

5

1/2021

EUR

$

762,957

$

5,031

HSCEI

5

1/2021

HKD

345,084

8,679

LME

Aluminum

Base

Metal

1

1/2021

USD

49,475

3,430

LME

Aluminum

Base

Metal

1

1/2021

USD

49,471

3,555

LME

Aluminum

Base

Metal

2

1/2021

USD

98,753

7,525

LME

Aluminum

Base

Metal

2

1/2021

USD

98,729

10,023

LME

Aluminum

Base

Metal

3

1/2021

USD

148,425

9,986

LME

Aluminum

Base

Metal

3

1/2021

USD

148,276

9,476

LME

Aluminum

Base

Metal

3

1/2021

USD

148,406

11,748

LME

Aluminum

Base

Metal

4

1/2021

USD

199,812

26,700

LME

Aluminum

Base

Metal

4

1/2021

USD

197,875

15,863

LME

Aluminum

Base

Metal

7

1/2021

USD

346,288

21,096

LME

Aluminum

Base

Metal

9

1/2021

USD

444,938

27,918

LME

Aluminum

Base

Metal

14

1/2021

USD

692,199

43,323

LME

Aluminum

Base

Metal

14

1/2021

USD

692,563

56,921

LME

Aluminum

Base

Metal

17

1/2021

USD

840,620

52,652

LME

Copper

Base

Metal

1

1/2021

USD

193,931

24,631

LME

Copper

Base

Metal

1

1/2021

USD

193,744

30,491

LME

Copper

Base

Metal

1

1/2021

USD

193,870

27,118

LME

Copper

Base

Metal

1

1/2021

USD

193,789

24,974

LME

Copper

Base

Metal

1

1/2021

USD

193,781

25,629

LME

Copper

Base

Metal

1

1/2021

USD

193,804

23,644

LME

Copper

Base

Metal

2

1/2021

USD

387,593

47,672

LME

Copper

Base

Metal

2

1/2021

USD

387,524

59,444

LME

Copper

Base

Metal

3

1/2021

USD

581,175

88,549

26

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

3

1/2021

USD

$

581,456

$

63,794

LME

Copper

Base

Metal

4

1/2021

USD

783,400

124,514

LME

Copper

Base

Metal

5

1/2021

USD

969,531

135,362

LME

Nickel

Base

Metal

1

1/2021

USD

99,342

10,839

LME

Nickel

Base

Metal

1

1/2021

USD

99,422

6,220

LME

Nickel

Base

Metal

1

1/2021

USD

99,336

11,343

LME

Nickel

Base

Metal

2

1/2021

USD

198,642

25,728

LME

Nickel

Base

Metal

3

1/2021

USD

298,293

12,008

LME

Nickel

Base

Metal

3

1/2021

USD

298,306

23,637

LME

Nickel

Base

Metal

3

1/2021

USD

298,093

23,947

LME

Nickel

Base

Metal

3

1/2021

USD

300,951

44,172

LME

Nickel

Base

Metal

3

1/2021

USD

298,126

23,980

LME

Nickel

Base

Metal

4

1/2021

USD

397,705

20,627

LME

Nickel

Base

Metal

4

1/2021

USD

397,596

16,596

LME

Nickel

Base

Metal

4

1/2021

USD

397,596

12,354

LME

Nickel

Base

Metal

4

1/2021

USD

397,479

33,272

LME

Nickel

Base

Metal

4

1/2021

USD

397,596

20,267

LME

Nickel

Base

Metal

5

1/2021

USD

497,018

23,359

LME

Nickel

Base

Metal

18

1/2021

USD

1,788,858

104,883

LME

Zinc

Base

Metal

1

1/2021

USD

68,265

8,962

LME

Zinc

Base

Metal

2

1/2021

USD

136,492

19,461

LME

Zinc

Base

Metal

2

1/2021

USD

136,517

18,411

LME

Zinc

Base

Metal

3

1/2021

USD

205,139

15,106

LME

Zinc

Base

Metal

3

1/2021

USD

204,700

30,826

LME

Zinc

Base

Metal

3

1/2021

USD

205,118

14,422

LME

Zinc

Base

Metal

4

1/2021

USD

273,433

19,209

LME

Zinc

Base

Metal

4

1/2021

USD

273,462

18,864

LME

Zinc

Base

Metal

4

1/2021

USD

273,333

16,362

LME

Zinc

Base

Metal

5

1/2021

USD

345,594

52,704

LME

Zinc

Base

Metal

11

1/2021

USD

751,666

44,260

MSCI

Singapore

Index

5

1/2021

SGD

122,314

(529)

NY

Harbor

ULSD

4

1/2021

USD

249,312

8,419

OMXS30

Index

14

1/2021

SEK

319,601

(2,326)

RBOB

Gasoline

3

1/2021

USD

177,673

5,670

SGX

FTSE

China

A50

Index

375

1/2021

USD

6,642,000

222,435

SGX

NIFTY

50

Index

8

1/2021

USD

224,256

246

100

oz

Gold

32

2/2021

USD

6,064,320

49,994

Lean

Hogs

1

2/2021

USD

28,110

1,075

LME

Aluminum

Base

Metal

1

2/2021

USD

49,368

775

LME

Aluminum

Base

Metal

1

2/2021

USD

49,375

294

LME

Aluminum

Base

Metal

1

2/2021

USD

49,339

1,161

LME

Aluminum

Base

Metal

1

2/2021

USD

49,469

3,416

LME

Aluminum

Base

Metal

2

2/2021

USD

98,700

(1,075)

LME

Aluminum

Base

Metal

3

2/2021

USD

147,975

5,054

LME

Aluminum

Base

Metal

3

2/2021

USD

148,088

(1,448)

LME

Aluminum

Base

Metal

4

2/2021

USD

197,329

5,522

LME

Aluminum

Base

Metal

4

2/2021

USD

197,440

(1,283)

LME

Aluminum

Base

Metal

5

2/2021

USD

247,344

10,335

LME

Aluminum

Base

Metal

6

2/2021

USD

296,175

(1,965)

LME

Aluminum

Base

Metal

7

2/2021

USD

345,538

(3,654)

LME

Aluminum

Base

Metal

8

2/2021

USD

394,850

(1,549)

LME

Aluminum

Base

Metal

9

2/2021

USD

445,219

22,483

LME

Copper

Base

Metal

1

2/2021

USD

193,931

15,685

LME

Copper

Base

Metal

1

2/2021

USD

193,853

23,870

LME

Copper

Base

Metal

1

2/2021

USD

193,933

12,955

LME

Copper

Base

Metal

1

2/2021

USD

193,938

19,935

27

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

1

2/2021

USD

$

193,919

$

17,741

LME

Copper

Base

Metal

1

2/2021

USD

193,981

20,228

LME

Copper

Base

Metal

1

2/2021

USD

193,881

23,952

LME

Copper

Base

Metal

1

2/2021

USD

193,867

25,673

LME

Copper

Base

Metal

2

2/2021

USD

387,933

39,502

LME

Copper

Base

Metal

2

2/2021

USD

387,904

40,929

LME

Nickel

Base

Metal

1

2/2021

USD

99,517

2,786

LME

Nickel

Base

Metal

1

2/2021

USD

99,486

4,591

LME

Nickel

Base

Metal

1

2/2021

USD

99,495

4,392

LME

Nickel

Base

Metal

1

2/2021

USD

99,490

4,457

LME

Nickel

Base

Metal

1

2/2021

USD

99,522

4,881

LME

Nickel

Base

Metal

2

2/2021

USD

199,084

6,218

LME

Nickel

Base

Metal

2

2/2021

USD

199,101

4,804

LME

Nickel

Base

Metal

2

2/2021

USD

198,935

12,970

LME

Nickel

Base

Metal

3

2/2021

USD

298,498

11,918

LME

Nickel

Base

Metal

3

2/2021

USD

298,665

3,281

LME

Zinc

Base

Metal

1

2/2021

USD

68,596

(830)

LME

Zinc

Base

Metal

1

2/2021

USD

68,587

(164)

LME

Zinc

Base

Metal

1

2/2021

USD

68,530

78

LME

Zinc

Base

Metal

1

2/2021

USD

68,577

139

LME

Zinc

Base

Metal

2

2/2021

USD

136,835

8,620

LME

Zinc

Base

Metal

2

2/2021

USD

136,872

6,827

LME

Zinc

Base

Metal

2

2/2021

USD

136,982

4,378

LME

Zinc

Base

Metal

4

2/2021

USD

273,706

17,508

Low

Sulphur

Gasoil

1

2/2021

USD

42,300

575

Sugar

No.

11

135

2/2021

USD

2,342,088

139,080

Australia

10

Year

Bond

8

3/2021

AUD

908,056

823

Australia

3

Year

Bond

458

3/2021

AUD

41,466,821

26,840

Canada

10

Year

Bond

57

3/2021

CAD

6,676,644

7,104

Cocoa

1

3/2021

USD

26,030

(1,055)

Coffee

'C'

30

3/2021

USD

1,442,813

31,577

Copper

38

3/2021

USD

3,343,050

192,063

Corn

103

3/2021

USD

2,492,600

274,231

Cotton

No.

2

17

3/2021

USD

664,020

7,683

DAX

Index

2

3/2021

EUR

839,640

14,632

DJIA

CBOT

E-Mini

Index

7

3/2021

USD

1,067,395

20,407

EURO

STOXX

50

Index

15

3/2021

EUR

650,529

2,638

Euro-Bobl

87

3/2021

EUR

14,367,410

(39,426)

Euro-BTP

26

3/2021

EUR

4,828,278

30,144

Euro-Bund

65

3/2021

EUR

14,105,904

(2,693)

Euro-Buxl

25

3/2021

EUR

6,879,111

6,506

Euro-OAT

99

3/2021

EUR

20,301,551

56,335

FTSE/JSE

Top

40

Index

9

3/2021

ZAR

334,540

(1,278)

KC

HRW

Wheat

65

3/2021

USD

1,961,375

114,108

LME

Aluminum

Base

Metal

1

3/2021

USD

49,405

(1,773)

LME

Aluminum

Base

Metal

3

3/2021

USD

148,232

(4,252)

LME

Aluminum

Base

Metal

3

3/2021

USD

148,275

(7,059)

LME

Aluminum

Base

Metal

4

3/2021

USD

197,600

(4,212)

LME

Aluminum

Base

Metal

4

3/2021

USD

197,725

(6,287)

LME

Aluminum

Base

Metal

5

3/2021

USD

247,270

(3,775)

LME

Aluminum

Base

Metal

5

3/2021

USD

247,173

(8,590)

LME

Aluminum

Base

Metal

5

3/2021

USD

247,250

(6,527)

LME

Aluminum

Base

Metal

5

3/2021

USD

246,950

(10,190)

LME

Aluminum

Base

Metal

7

3/2021

USD

345,800

(15,421)

LME

Aluminum

Base

Metal

10

3/2021

USD

494,813

(4,945)

LME

Aluminum

Base

Metal

13

3/2021

USD

642,200

(18,888)

28

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

120

3/2021

USD

$

5,932,500

$

(184,527)

LME

Copper

Base

Metal

1

3/2021

USD

193,985

2,732

LME

Copper

Base

Metal

1

3/2021

USD

194,026

148

LME

Copper

Base

Metal

1

3/2021

USD

194,094

(5,684)

LME

Copper

Base

Metal

1

3/2021

USD

194,119

(184)

LME

Copper

Base

Metal

1

3/2021

USD

194,163

(1,965)

LME

Copper

Base

Metal

1

3/2021

USD

194,094

341

LME

Copper

Base

Metal

1

3/2021

USD

194,080

2,152

LME

Copper

Base

Metal

1

3/2021

USD

194,114

(4,514)

LME

Copper

Base

Metal

1

3/2021

USD

194,012

2,259

LME

Copper

Base

Metal

2

3/2021

USD

387,997

3,991

LME

Copper

Base

Metal

22

3/2021

USD

4,271,713

112,739

LME

Nickel

Base

Metal

1

3/2021

USD

99,570

2,572

LME

Nickel

Base

Metal

1

3/2021

USD

99,675

(1,283)

LME

Nickel

Base

Metal

1

3/2021

USD

99,640

(6,593)

LME

Nickel

Base

Metal

1

3/2021

USD

99,620

(4,183)

LME

Nickel

Base

Metal

1

3/2021

USD

99,605

1,622

LME

Nickel

Base

Metal

2

3/2021

USD

199,290

(10,595)

LME

Nickel

Base

Metal

2

3/2021

USD

199,308

(12,498)

LME

Nickel

Base

Metal

25

3/2021

USD

2,491,200

56,710

LME

Zinc

Base

Metal

1

3/2021

USD

68,642

(611)

LME

Zinc

Base

Metal

1

3/2021

USD

68,740

(2,413)

LME

Zinc

Base

Metal

1

3/2021

USD

68,707

(2,346)

LME

Zinc

Base

Metal

1

3/2021

USD

68,691

(2,612)

LME

Zinc

Base

Metal

1

3/2021

USD

68,771

(532)

LME

Zinc

Base

Metal

1

3/2021

USD

68,699

(2,204)

LME

Zinc

Base

Metal

2

3/2021

USD

137,365

(1,041)

LME

Zinc

Base

Metal

2

3/2021

USD

137,299

(1,506)

LME

Zinc

Base

Metal

2

3/2021

USD

137,473

(4,732)

LME

Zinc

Base

Metal

3

3/2021

USD

206,162

(9,845)

LME

Zinc

Base

Metal

41

3/2021

USD

2,818,063

(34,620)

Long

Gilt

53

3/2021

GBP

9,823,600

29,672

MSCI

EAFE

E-Mini

Index

17

3/2021

USD

1,811,180

22,742

MSCI

Emerging

Markets

E-Mini

Index

133

3/2021

USD

8,566,530

228,442

NASDAQ

100

E-Mini

Index

3

3/2021

USD

773,130

29,179

Nikkei

225

Index

8

3/2021

JPY

2,125,999

82,231

Palladium

1

3/2021

USD

245,380

9,720

Russell

2000

E-Mini

Index

8

3/2021

USD

789,920

25,280

S&P

500

E-Mini

Index

5

3/2021

USD

937,200

26,460

S&P

Midcap

400

E-Mini

Index

4

3/2021

USD

921,400

22,771

S&P/TSX

60

Index

18

3/2021

CAD

2,909,922

(28,469)

Silver

6

3/2021

USD

792,360

20,973

Soybean

Meal

5

3/2021

USD

214,700

2,128

SPI

200

Index

3

3/2021

AUD

377,978

(1,306)

TOPIX

Index

12

3/2021

JPY

2,097,138

49,087

Wheat

12

3/2021

USD

384,300

3,101

Platinum

6

4/2021

USD

323,760

14,361

3

Month

Canadian

Bankers

Acceptance

26

6/2021

CAD

5,083,726

1,373

3

Month

Euro

Euribor

109

6/2021

EUR

33,473,058

4,036

3

Month

Eurodollar

46

6/2021

USD

11,481,025

4,117

3

Month

Euroswiss

3

6/2021

CHF

853,778

(58)

3

Month

Sterling

40

6/2021

GBP

6,838,868

3,224

ASX

90

Day

Bank

Accepted

Bill

50

6/2021

AUD

38,545,600

8,564

3

Month

Euro

Euribor

243

9/2021

EUR

74,623,423

12,145

3

Month

Eurodollar

66

9/2021

USD

16,471,950

5,159

3

Month

Euroswiss

5

9/2021

CHF

1,422,823

(157)

29

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

3

Month

Sterling

40

9/2021

GBP

$

6,840,919

$

4,710

ASX

90

Day

Bank

Accepted

Bill

11

9/2021

AUD

8,479,823

521

3

Month

Euro

Euribor

233

12/2021

EUR

71,556,057

7,803

3

Month

Eurodollar

105

12/2021

USD

26,194,875

4,844

3

Month

Euroswiss

4

12/2021

CHF

1,138,258

33

3

Month

Sterling

48

12/2021

GBP

8,210,333

6,676

3

Month

Euro

Euribor

188

3/2022

EUR

57,733,347

11,271

3

Month

Eurodollar

114

3/2022

USD

28,448,700

10,082

3

Month

Sterling

152

3/2022

GBP

25,982,500

6,266

3

Month

Euro

Euribor

226

6/2022

EUR

69,399,402

12,435

3

Month

Eurodollar

144

6/2022

USD

35,931,600

20,171

3

Month

Sterling

150

6/2022

GBP

25,638,061

28,810

3

Month

Euro

Euribor

228

9/2022

EUR

70,010,074

3,453

3

Month

Eurodollar

149

9/2022

USD

37,173,638

5,919

3

Month

Sterling

82

9/2022

GBP

14,014,072

(885)

3

Month

Euro

Euribor

175

12/2022

EUR

53,730,458

2,532

3

Month

Eurodollar

119

12/2022

USD

29,674,138

19,090

3

Month

Sterling

43

12/2022

GBP

7,348,107

3,917

3,723,517

Short

Contracts

Brent

Crude

Oil

(16)

1/2021

USD

(828,800)

(9,253)

CAC

40

10

Euro

Index

(24)

1/2021

EUR

(1,624,892)

(397)

IBEX

35

Index

(6)

1/2021

EUR

(591,574)

3,754

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,475)

(3,487)

LME

Aluminum

Base

Metal

(1)

1/2021

USD

(49,471)

(3,562)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,753)

(8,209)

LME

Aluminum

Base

Metal

(2)

1/2021

USD

(98,729)

(9,833)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,406)

(11,873)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,276)

(9,535)

LME

Aluminum

Base

Metal

(3)

1/2021

USD

(148,425)

(9,976)

LME

Aluminum

Base

Metal

(4)

1/2021

USD

(197,875)

(16,589)

LME

Aluminum

Base

Metal

(4)

1/2021

USD

(199,812)

(25,010)

LME

Aluminum

Base

Metal

(7)

1/2021

USD

(346,288)

(21,596)

LME

Aluminum

Base

Metal

(9)

1/2021

USD

(444,938)

(29,614)

LME

Aluminum

Base

Metal

(14)

1/2021

USD

(692,563)

(52,908)

LME

Aluminum

Base

Metal

(14)

1/2021

USD

(692,199)

(42,377)

LME

Aluminum

Base

Metal

(17)

1/2021

USD

(840,620)

(52,804)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,789)

(25,374)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,781)

(25,649)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,744)

(30,443)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,870)

(26,302)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,931)

(24,028)

LME

Copper

Base

Metal

(1)

1/2021

USD

(193,804)

(23,231)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,524)

(57,770)

LME

Copper

Base

Metal

(2)

1/2021

USD

(387,593)

(47,023)

LME

Copper

Base

Metal

(3)

1/2021

USD

(581,456)

(62,014)

LME

Copper

Base

Metal

(3)

1/2021

USD

(581,175)

(92,156)

LME

Copper

Base

Metal

(4)

1/2021

USD

(783,400)

(128,633)

LME

Copper

Base

Metal

(5)

1/2021

USD

(969,531)

(130,872)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,336)

(11,449)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,342)

(11,282)

LME

Nickel

Base

Metal

(1)

1/2021

USD

(99,422)

(6,285)

LME

Nickel

Base

Metal

(2)

1/2021

USD

(198,642)

(25,173)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(298,306)

(23,374)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(298,126)

(24,990)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(300,951)

(42,897)

30

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(3)

1/2021

USD

$

(298,093)

$

(23,026)

LME

Nickel

Base

Metal

(3)

1/2021

USD

(298,293)

(9,005)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,705)

(20,809)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,479)

(32,571)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,596)

(17,580)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,596)

(12,089)

LME

Nickel

Base

Metal

(4)

1/2021

USD

(397,596)

(20,418)

LME

Nickel

Base

Metal

(5)

1/2021

USD

(497,018)

(22,972)

LME

Nickel

Base

Metal

(18)

1/2021

USD

(1,788,858)

(105,653)

LME

Zinc

Base

Metal

(1)

1/2021

USD

(68,265)

(8,897)

LME

Zinc

Base

Metal

(2)

1/2021

USD

(136,492)

(18,920)

LME

Zinc

Base

Metal

(2)

1/2021

USD

(136,517)

(17,748)

LME

Zinc

Base

Metal

(3)

1/2021

USD

(205,139)

(15,053)

LME

Zinc

Base

Metal

(3)

1/2021

USD

(205,118)

(13,276)

LME

Zinc

Base

Metal

(3)

1/2021

USD

(204,700)

(30,666)

LME

Zinc

Base

Metal

(4)

1/2021

USD

(273,462)

(18,273)

LME

Zinc

Base

Metal

(4)

1/2021

USD

(273,333)

(16,645)

LME

Zinc

Base

Metal

(4)

1/2021

USD

(273,433)

(18,943)

LME

Zinc

Base

Metal

(5)

1/2021

USD

(345,594)

(53,403)

LME

Zinc

Base

Metal

(11)

1/2021

USD

(751,666)

(44,777)

Natural

Gas

(16)

1/2021

USD

(406,240)

6,465

WTI

Crude

Oil

(4)

1/2021

USD

(194,080)

(6,798)

Live

Cattle

(20)

2/2021

USD

(920,200)

(7,250)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,469)

(3,375)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,339)

(1,145)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,375)

(177)

LME

Aluminum

Base

Metal

(1)

2/2021

USD

(49,368)

(708)

LME

Aluminum

Base

Metal

(2)

2/2021

USD

(98,700)

845

LME

Aluminum

Base

Metal

(3)

2/2021

USD

(147,975)

(5,251)

LME

Aluminum

Base

Metal

(3)

2/2021

USD

(148,088)

910

LME

Aluminum

Base

Metal

(4)

2/2021

USD

(197,440)

938

LME

Aluminum

Base

Metal

(4)

2/2021

USD

(197,329)

(5,541)

LME

Aluminum

Base

Metal

(5)

2/2021

USD

(247,344)

(10,859)

LME

Aluminum

Base

Metal

(6)

2/2021

USD

(296,175)

2,397

LME

Aluminum

Base

Metal

(7)

2/2021

USD

(345,538)

3,579

LME

Aluminum

Base

Metal

(8)

2/2021

USD

(394,850)

2,476

LME

Aluminum

Base

Metal

(9)

2/2021

USD

(445,219)

(26,520)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,981)

(19,868)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,881)

(24,059)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,938)

(19,875)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,867)

(25,432)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,919)

(17,521)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,853)

(23,908)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,931)

(15,521)

LME

Copper

Base

Metal

(1)

2/2021

USD

(193,933)

(13,383)

LME

Copper

Base

Metal

(2)

2/2021

USD

(387,933)

(40,739)

LME

Copper

Base

Metal

(2)

2/2021

USD

(387,904)

(42,887)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,495)

(4,230)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,517)

(2,800)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,486)

(4,529)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,490)

(4,423)

LME

Nickel

Base

Metal

(1)

2/2021

USD

(99,522)

(4,484)

LME

Nickel

Base

Metal

(2)

2/2021

USD

(198,935)

(13,564)

LME

Nickel

Base

Metal

(2)

2/2021

USD

(199,084)

(5,482)

LME

Nickel

Base

Metal

(2)

2/2021

USD

(199,101)

(5,127)

LME

Nickel

Base

Metal

(3)

2/2021

USD

(298,498)

(11,886)

31

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(3)

2/2021

USD

$

(298,665)

$

(3,294)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,577)

(130)

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,596)

751

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,587)

111

LME

Zinc

Base

Metal

(1)

2/2021

USD

(68,530)

69

LME

Zinc

Base

Metal

(2)

2/2021

USD

(136,835)

(8,916)

LME

Zinc

Base

Metal

(2)

2/2021

USD

(136,982)

(4,899)

LME

Zinc

Base

Metal

(2)

2/2021

USD

(136,872)

(7,715)

LME

Zinc

Base

Metal

(4)

2/2021

USD

(273,706)

(19,978)

Cocoa

(23)

3/2021

GBP

(546,330)

(14,159)

Euro-Schatz

(95)

3/2021

EUR

(13,030,272)

(138)

FTSE

100

Index

(6)

3/2021

GBP

(526,761)

11,331

Japan

10

Year

Bond

(14)

3/2021

JPY

(20,598,325)

8,808

LME

Aluminum

Base

Metal

(1)

3/2021

USD

(49,405)

1,754

LME

Aluminum

Base

Metal

(3)

3/2021

USD

(148,232)

4,099

LME

Aluminum

Base

Metal

(3)

3/2021

USD

(148,275)

6,039

LME

Aluminum

Base

Metal

(4)

3/2021

USD

(197,600)

4,399

LME

Aluminum

Base

Metal

(4)

3/2021

USD

(197,725)

6,002

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(246,950)

10,406

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(247,250)

6,510

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(247,173)

8,462

LME

Aluminum

Base

Metal

(5)

3/2021

USD

(247,270)

3,215

LME

Aluminum

Base

Metal

(7)

3/2021

USD

(345,800)

14,029

LME

Aluminum

Base

Metal

(10)

3/2021

USD

(494,813)

5,096

LME

Aluminum

Base

Metal

(13)

3/2021

USD

(642,200)

17,374

LME

Aluminum

Base

Metal

(55)

3/2021

USD

(2,719,063)

92,070

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,012)

(2,254)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,080)

(1,631)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,094)

(554)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,026)

(27)

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,119)

304

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,114)

4,272

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,094)

5,578

LME

Copper

Base

Metal

(1)

3/2021

USD

(194,163)

1,897

LME

Copper

Base

Metal

(1)

3/2021

USD

(193,985)

(2,236)

LME

Copper

Base

Metal

(2)

3/2021

USD

(387,997)

(5,918)

LME

Copper

Base

Metal

(13)

3/2021

USD

(2,524,194)

(9,527)

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,675)

1,064

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,640)

6,710

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,620)

4,496

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,605)

(1,403)

LME

Nickel

Base

Metal

(1)

3/2021

USD

(99,570)

(2,793)

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,308)

12,276

LME

Nickel

Base

Metal

(2)

3/2021

USD

(199,290)

10,746

LME

Nickel

Base

Metal

(8)

3/2021

USD

(797,184)

37,569

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,740)

2,204

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,771)

410

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,642)

262

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,707)

2,362

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,691)

2,473

LME

Zinc

Base

Metal

(1)

3/2021

USD

(68,699)

2,176

LME

Zinc

Base

Metal

(2)

3/2021

USD

(137,299)

1,376

LME

Zinc

Base

Metal

(2)

3/2021

USD

(137,365)

1,789

LME

Zinc

Base

Metal

(2)

3/2021

USD

(137,473)

4,812

LME

Zinc

Base

Metal

(3)

3/2021

USD

(206,162)

9,595

LME

Zinc

Base

Metal

(16)

3/2021

USD

(1,099,732)

32,739

32

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

U.S.

Treasury

10

Year

Note

(11)

3/2021

USD

$

(1,518,859)

$

(2,036)

U.S.

Treasury

2

Year

Note

(66)

3/2021

USD

(14,584,453)

(11,141)

U.S.

Treasury

5

Year

Note

(30)

3/2021

USD

(3,784,922)

(7,624)

U.S.

Treasury

Long

Bond

(7)

3/2021

USD

(1,212,313)

3,085

U.S.

Treasury

Ultra

Bond

(9)

3/2021

USD

(1,922,063)

(14,441)

(1,764,764)

$

1,958,753

Forward

foreign

currency

contracts

outstanding

as

of

December

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

34,437,004

USD

25,623,700

CITI

3/17/2021

$

941,303

AUD

34,436,996

USD

25,623,726

JPMC

3/17/2021

941,271

BRL

4,521,500

USD

845,582

CITI

**

3/17/2021

23,552

BRL

4,521,500

USD

845,583

JPMC

**

3/17/2021

23,551

CAD

32,818,004

USD

25,509,405

CITI

3/17/2021

277,797

CAD

32,817,996

USD

25,509,430

JPMC

3/17/2021

277,764

CHF

4,344,000

USD

4,897,031

CITI

3/17/2021

20,116

CHF

4,344,000

USD

4,897,037

JPMC

3/17/2021

20,110

CLP

847,275,971

USD

1,122,523

CITI

**

3/17/2021

70,048

CLP

847,275,965

USD

1,122,525

JPMC

**

3/17/2021

70,047

COP

402,688,006

USD

115,229

CITI

**

3/17/2021

2,470

COP

402,687,994

USD

115,229

JPMC

**

3/17/2021

2,470

EUR

31,526,501

USD

38,125,571

CITI

3/17/2021

451,169

EUR

31,526,499

USD

38,125,616

JPMC

3/17/2021

451,123

GBP

13,232,001

USD

17,766,585

CITI

3/17/2021

336,270

GBP

13,231,999

USD

17,766,605

JPMC

3/17/2021

336,247

HUF

371,374,000

USD

1,226,952

CITI

3/17/2021

23,966

HUF

371,374,000

USD

1,226,954

JPMC

3/17/2021

23,965

IDR

24,936,051,159

USD

1,744,365

CITI

**

3/17/2021

38,438

IDR

24,936,051,153

USD

1,744,372

JPMC

**

3/17/2021

38,431

ILS

4,057,500

USD

1,220,295

CITI

3/17/2021

43,957

ILS

4,057,500

USD

1,220,296

JPMC

3/17/2021

43,956

INR

169,901,516

USD

2,278,422

CITI

**

3/17/2021

30,766

INR

169,901,516

USD

2,278,426

JPMC

**

3/17/2021

30,762

JPY

1,845,543,427

USD

17,797,599

CITI

3/17/2021

90,659

JPY

1,845,543,425

USD

17,797,621

JPMC

3/17/2021

90,638

KRW

22,596,402,877

USD

20,378,353

CITI

**

3/17/2021

388,283

KRW

22,596,402,876

USD

20,378,428

JPMC

**

3/17/2021

388,208

MXN

3,081,000

USD

152,060

CITI

3/17/2021

1,526

MXN

3,081,000

USD

152,060

JPMC

3/17/2021

1,525

NOK

57,181,500

USD

6,464,829

CITI

3/17/2021

202,508

NOK

57,181,500

USD

6,464,837

JPMC

3/17/2021

202,499

NZD

37,275,004

USD

26,050,591

CITI

3/17/2021

777,148

NZD

37,274,996

USD

26,050,618

JPMC

3/17/2021

777,116

PHP

101,190,502

USD

2,087,468

CITI

**

3/17/2021

12,168

PHP

101,190,498

USD

2,087,471

JPMC

**

3/17/2021

12,165

PLN

11,296,500

USD

3,005,570

CITI

3/17/2021

19,342

PLN

11,296,500

USD

3,005,574

JPMC

3/17/2021

19,339

SEK

121,001,000

USD

14,250,781

CITI

3/17/2021

467,341

SEK

121,001,000

USD

14,250,799

JPMC

3/17/2021

467,323

33

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SGD

1,168,501

USD

874,165

CITI

3/17/2021

$

10,053

SGD

1,168,499

USD

874,165

JPMC

3/17/2021

10,052

TWD

110,936,004

USD

3,958,931

CITI

**

3/17/2021

37,619

TWD

110,935,996

USD

3,958,936

JPMC

**

3/17/2021

37,616

USD

2,159,508

CHF

1,901,500

CITI

3/17/2021

7,123

USD

2,159,505

CHF

1,901,500

JPMC

3/17/2021

7,121

USD

80,865

CLP

57,331,500

CITI

**

3/17/2021

169

USD

80,865

CLP

57,331,500

JPMC

**

3/17/2021

169

USD

1,721,493

EUR

1,400,500

CITI

3/17/2021

7,801

USD

1,721,491

EUR

1,400,500

JPMC

3/17/2021

7,798

USD

147,851

HUF

43,721,000

CITI

3/17/2021

584

USD

147,851

HUF

43,721,000

JPMC

3/17/2021

583

USD

1,075,970

KRW

1,165,180,000

CITI

**

3/17/2021

5,142

USD

1,075,974

KRW

1,165,180,000

JPMC

**

3/17/2021

5,146

USD

101,925

PHP

4,911,500

CITI

**

3/17/2021

15

USD

101,925

PHP

4,911,500

JPMC

**

3/17/2021

14

USD

5,237,654

PLN

19,363,877

CITI

3/17/2021

52,506

USD

5,237,646

PLN

19,363,873

JPMC

3/17/2021

52,500

USD

1,069,120

TWD

29,509,000

CITI

**

3/17/2021

6,036

USD

1,069,113

TWD

29,509,000

JPMC

**

3/17/2021

6,029

USD

49,891

ZAR

736,000

CITI

3/17/2021

259

USD

49,891

ZAR

736,000

JPMC

3/17/2021

259

ZAR

40,938,000

USD

2,661,473

CITI

3/17/2021

99,181

ZAR

40,938,000

USD

2,661,476

JPMC

3/17/2021

99,177

Total

unrealized

appreciation

8,890,289

BRL

295,500

USD

57,209

CITI

**

3/17/2021

(407)

BRL

295,500

USD

57,209

JPMC

**

3/17/2021

(407)

CAD

718,500

USD

565,942

CITI

3/17/2021

(1,371)

CAD

718,500

USD

565,942

JPMC

3/17/2021

(1,371)

EUR

11,622,001

USD

14,258,871

CITI

3/17/2021

(37,853)

EUR

11,621,999

USD

14,258,887

JPMC

3/17/2021

(37,872)

HUF

582,382,500

USD

1,982,709

CITI

3/17/2021

(21,038)

HUF

582,382,500

USD

1,982,711

JPMC

3/17/2021

(21,041)

JPY

48,138,000

USD

466,721

CITI

3/17/2021

(135)

JPY

48,138,000

USD

466,722

JPMC

3/17/2021

(136)

MXN

2,015,500

USD

100,783

CITI

3/17/2021

(313)

MXN

2,015,500

USD

100,783

JPMC

3/17/2021

(313)

NZD

850,000

USD

614,739

CITI

3/17/2021

(2,973)

NZD

850,000

USD

614,740

JPMC

3/17/2021

(2,974)

PLN

38,658,004

USD

10,525,482

CITI

3/17/2021

(173,862)

PLN

38,657,996

USD

10,525,493

JPMC

3/17/2021

(173,876)

TWD

22,300,000

USD

805,914

CITI

**

3/17/2021

(2,539)

TWD

22,300,000

USD

805,915

JPMC

**

3/17/2021

(2,542)

USD

6,554,857

AUD

8,843,500

CITI

3/17/2021

(267,096)

USD

6,554,848

AUD

8,843,500

JPMC

3/17/2021

(267,104)

USD

856,312

BRL

4,563,000

CITI

**

3/17/2021

(20,799)

USD

856,311

BRL

4,563,000

JPMC

**

3/17/2021

(20,800)

USD

31,412,675

CAD

40,858,504

CITI

3/17/2021

(692,460)

USD

31,412,630

CAD

40,858,496

JPMC

3/17/2021

(692,499)

USD

4,250,358

CHF

3,786,000

CITI

3/17/2021

(35,166)

USD

4,250,352

CHF

3,786,000

JPMC

3/17/2021

(35,172)

USD

439,329

CLP

324,534,500

CITI

**

3/17/2021

(17,465)

USD

439,329

CLP

324,534,500

JPMC

**

3/17/2021

(17,465)

USD

94,588

COP

342,870,510

CITI

**

3/17/2021

(5,627)

USD

94,588

COP

342,870,498

JPMC

**

3/17/2021

(5,627)

USD

30,389,023

EUR

25,208,503

CITI

3/17/2021

(456,833)

USD

30,388,981

EUR

25,208,500

JPMC

3/17/2021

(456,870)

USD

18,421,316

GBP

13,778,002

CITI

3/17/2021

(428,530)

34

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

18,421,290

GBP

13,778,000

JPMC

3/17/2021

$

(428,553)

USD

3,336,148

HUF

1,012,510,516

CITI

3/17/2021

(74,347)

USD

3,336,144

HUF

1,012,510,516

JPMC

3/17/2021

(74,350)

USD

850,103

IDR

12,130,619,000

CITI

**

3/17/2021

(17,176)

USD

850,107

IDR

12,130,619,000

JPMC

**

3/17/2021

(17,172)

USD

554,010

ILS

1,806,500

CITI

3/17/2021

(8,866)

USD

554,010

ILS

1,806,500

JPMC

3/17/2021

(8,867)

USD

1,665,369

INR

123,982,000

CITI

**

3/17/2021

(19,712)

USD

1,665,411

INR

123,982,000

JPMC

**

3/17/2021

(19,669)

USD

21,679,253

JPY

2,257,581,001

CITI

3/17/2021

(202,752)

USD

21,679,226

JPY

2,257,580,999

JPMC

3/17/2021

(202,780)

USD

6,085,642

KRW

6,682,674,000

CITI

**

3/17/2021

(55,896)

USD

6,085,639

KRW

6,682,674,000

JPMC

**

3/17/2021

(55,899)

USD

46,179

MXN

929,999

CITI

3/17/2021

(181)

USD

46,178

MXN

929,993

JPMC

3/17/2021

(181)

USD

6,348,974

NOK

57,155,000

CITI

3/17/2021

(315,273)

USD

6,348,966

NOK

57,155,000

JPMC

3/17/2021

(315,281)

USD

25,431,724

NZD

35,935,500

CITI

3/17/2021

(431,942)

USD

25,431,692

NZD

35,935,500

JPMC

3/17/2021

(431,974)

USD

1,006,859

PHP

48,631,000

CITI

**

3/17/2021

(2,202)

USD

1,006,853

PHP

48,631,000

JPMC

**

3/17/2021

(2,208)

USD

10,032,408

PLN

37,707,127

CITI

3/17/2021

(64,591)

USD

10,032,394

PLN

37,707,122

JPMC

3/17/2021

(64,604)

USD

4,663,418

SEK

39,423,500

CITI

3/17/2021

(131,914)

USD

4,663,412

SEK

39,423,500

JPMC

3/17/2021

(131,920)

USD

695,972

SGD

931,501

CITI

3/17/2021

(8,906)

USD

695,969

SGD

931,499

JPMC

3/17/2021

(8,907)

USD

1,685,697

TWD

47,235,000

CITI

**

3/17/2021

(15,979)

USD

1,685,708

TWD

47,235,000

JPMC

**

3/17/2021

(15,967)

USD

1,345,549

ZAR

20,834,500

CITI

3/17/2021

(59,425)

USD

1,345,547

ZAR

20,834,500

JPMC

3/17/2021

(59,427)

ZAR

2,394,500

USD

162,057

CITI

3/17/2021

(584)

ZAR

2,394,500

USD

162,057

JPMC

3/17/2021

(584)

Total

unrealized

depreciation

(7,148,625)

Net

unrealized

appreciation

$

1,741,664

**

Non-deliverable

forward.

35

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

December

31,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

BARC

Cash

$

–

$

948,868

$

948,868

CITI

Cash

(1,000,009)

–

(1,000,009)

Investment

Companies

2,340,962

–

2,340,962

GSCO

Cash

–

1,175,977

1,175,977

GSIN

U.S.

Treasury

Bills

119,977

–

119,977

JPMC

Investment

Companies

3,573,177

–

3,573,177

JPMS

Cash

–

2,031,723

2,031,723

MLIN

Cash

(220,001)

–

(220,001)

MSCL

Cash

–

199,511

199,511

Collateral

pledged

to,

or

(received

from),

each

counterparty

for

the

Subsidiary

(See

Note

2)

at

December

31,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITI

Cash

$

(220,269)

$

–

$

(220,269)

Investment

Companies

201,543

–

201,543

GSCO

Cash

–

146,692

146,692

GSIN

Cash

(1,040,146)

–

(1,040,146)

U.S.

Treasury

Bills

1,549,801

–

1,549,801

JPPC

Cash

–

334,627

334,627

MSCL

Cash

–

(548,326)

(548,326)

U.S.

Treasury

Bills

–

1,079,892

1,079,892

SOCG

Cash

(210,016)

–

(210,016)

36

Consolidated

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

JPPC

-

J.P.

Morgan

Securities

plc

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

SOCG

-

Societe

Generale

Consolidated

Statements

of

Assets

and

Liabilities

37

AQR

Funds

|

Annual

Report

|

December

31,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

1,836,329,751

$

111,321,025

Investments

in

securities

of

affiliated

issuers,

at

cost

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

342,397,374

—

Investments

in

securities

of

unaffiliated

issuers,

at

value

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

$

1,836,466,616

$

111,326,891

Investments

in

securities

of

affiliated

issuers,

at

value

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

342,382,832

—

Cash

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

454,944

20,000

Cash

denominated

in

foreign

currencies

‡

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

—

16,335

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

114,465,534

8,890,289

Unrealized

appreciation

on

OTC

swaps

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

35,415,018

3,055,532

Due

from

broker

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

649,688

8,237

Deposits

with

brokers

for

futures

contracts

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

55,602,420

6,047,799

Variation

margin

on

futures

contracts

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

3,423,093

283,212

Receivables:

Securities

sold

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

385,509,863

19,322,251

Dividends

and

interest

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

10,877

850

Capital

shares

sold

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

5,901,563

104,824

Prepaid

expenses

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

83,998

26,484

Total

Assets

2,780,366,446

149,102,704

LIABILITIES:

Foreign

currency

due

to

custodian,

at

value

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

169,590

—

Due

to

broker

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

30,373,171

2,543,304

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

92,536,476

7,148,625

Unrealized

depreciation

on

OTC

swaps

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

10,477,356

1,046,019

Deposits

from

brokers

for

futures

contracts

...................................................

123,129

—

Variation

margin

on

futures

contracts

........................................................

990,918

83,186

Payables:

–

–

Securities

purchased

..................................................................

385,573,403

19,324,838

Accrued

investment

advisory

fees

........................................................

2,195,949

142,083

Accrued

distribution

fees—Class

N

.......................................................

115,181

1,193

Capital

shares

redeemed

..............................................................

7,336,285

169,752

Other

accrued

expenses

and

liabilities

.......................................................

837,044

73,801

Total

Liabilities

530,728,502

30,532,801

Net

Assets

$

2,249,637,944

$

118,569,903

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

.........................

$

3,352,094,157

$

222,148,510

Total

distributable

earnings

(loss)

..........................................................

(1,102,456,213)

(103,578,607)

Net

Assets

$

2,249,637,944

$

118,569,903

NET

ASSETS:

Class

I

..............................................................................

$

1,445,071,787

$

90,074,497

Class

N

..............................................................................

367,278,111

3,140,932

Class

R6

.............................................................................

437,288,046

25,354,474

SHARES

OUTSTANDING:

–

–

Class

I

..............................................................................

184,061,144

13,033,808

Class

N

..............................................................................

47,202,273

452,751

Class

R6

.............................................................................

55,630,961

3,657,794

NET

ASSET

VALUE:

–

–

Class

I

..............................................................................

$

7.85

$

6.91

Class

N

..............................................................................

$

7.78

$

6.94

Class

R6

.............................................................................

$

7.86

$

6.93

‡

Cash

denominated

in

foreign

currencies,

at

cost

..............................................

$

(174,735)

$

16,146

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Operations

38

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MANAGED

FUTURES

STRATEGY

FUND**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

...................................................................

$

545,107

$

270,233

Affiliated

issuers

.....................................................................

2,989,771

—

Interest

income:

—

—

Unaffiliated

issuers

...................................................................

24,837,316

1,847,472

Interfund

lending

income

.................................................................

8,329

—

Total

Income

28,380,523

2,117,705

EXPENSES:

Investment

advisory

fees

.................................................................

38,559,819

3,525,687

Custody

fees

..........................................................................

205,255

66,575

Administration

&

accounting

fees

...........................................................

1,743,176

115,513

Legal

fees

............................................................................

112,308

11,667

Audit

&

tax

fees

........................................................................

141,265

121,092

Shareholder

reporting

fees

...............................................................

552,550

43,594

Transfer

agent

fees

.....................................................................

2,966,563

183,234

Trustee

fees

..........................................................................

215,601

18,935

Distribution

fees—Class

N

................................................................

3,264,137

51,232

Interest

expense

.......................................................................

174,206

17,045

Recoupment

of

waiver

..................................................................

—

561

Registration

fees

.......................................................................

124,452

73,219

Other

expenses

.......................................................................

90,807

5,789

Total

Expenses

48,150,139

4,234,143

Less

expense

reimbursements

............................................................

—

(233,038)

Net

Expenses

48,150,139

4,001,105

Net

Investment

Income

(Loss)

(19,769,616)

(1,883,400)

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

.....................................

54,263

39,855

Transactions

in

investment

securities

of

affiliated

issuers

.......................................

33,960

—

Distributions

of

capital

gains

received

from

affiliated

issuers

.....................................

62,831

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

.................................

(7,145,898)

(569,366)

Settlement

of

forward

foreign

currency

contracts

.............................................

(253,267,654)

(26,172,113)

Expiration

or

closing

of

futures

contracts

...................................................

192,339,335

19,932,452

Expiration

or

closing

of

swap

contracts

....................................................

38,344,823

3,615,052

Net

realized

gain

(loss)

(29,578,340)

(3,154,120)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

................................................

(1,630,474)

(82,176)

Investment

securities

of

affiliated

issuers

..................................................

(61,233)

—

Foreign

currency

and

foreign

currency

transactions

...........................................

194,317

13,248

Forward

foreign

currency

exchange

contracts

...............................................

26,115,667

2,145,706

Futures

contracts

....................................................................

(12,454,145)

(1,551,978)

Swap

contracts

......................................................................

10,135,996

592,761

Net

change

in

unrealized

appreciation

(depreciation)

22,300,128

1,117,561

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(7,278,212)

(2,036,559)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(27,047,828)

$

(3,919,959)

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

Consolidated

Statements

of

Changes

in

Net

Assets

(Continued)

39

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

OPERATIONS:

Net

investment

income

(loss)

........................

$

(19,769,616)

$

51,541,655

$

(1,883,400)

$

1,790,321

Net

realized

gain

(loss)

.............................

(29,578,340)

66,606,926

(3,154,120)

6,414,751

Net

change

in

unrealized

appreciation

(depreciation)

.......

22,300,128

18,051,374

1,117,561

1,227,508

Net increase

(decrease)

in

net

assets

resulting

from

operations

(27,047,828)

136,199,955

(3,919,959)

9,432,580

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

.........................................

(75,428,200)

(72,188,260)

(8,082,992)

(6,093,026)

Class

N

.........................................

(14,770,173)

(42,867,947)

(296,485)

(1,212,857)

Class

R6

........................................

(22,754,216)

(18,402,528)

(2,313,901)

(3,954,833)

Total

distributions

(112,952,589)

(133,458,735)

(10,693,378)

(11,260,716)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

..........................

531,599,733

899,174,831

77,762,774

76,270,170

Reinvestment

of

distributions

.........................

56,396,814

53,794,011

7,920,992

5,467,617

Cost

of

shares

redeemed

...........................

(1,374,462,278)

(2,913,997,154)

(144,969,798)

(165,956,260)

Net

increase

(decrease)

from

capital

transactions

(786,465,731)

(1,961,028,312)

(59,286,032)

(84,218,473)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

..........................

401,193,523

238,387,422

10,598,118

31,851,697

Reinvestment

of

distributions

.........................

14,726,218

42,833,600

296,282

1,211,674

Cost

of

shares

redeemed

...........................

(1,517,895,148)

(571,721,426)

(39,202,419)

(61,787,054)

Net

increase

(decrease)

from

capital

transactions

(1,101,975,407)

(290,500,404)

(28,308,019)

(28,723,683)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

..........................

148,126,627

188,451,274

23,000,382

45,535,658

Reinvestment

of

distributions

.........................

21,368,132

16,837,107

2,310,717

3,954,052

Cost

of

shares

redeemed

...........................

(293,840,514)

(592,377,421)

(91,147,642)

(133,309,091)

Net

increase

(decrease)

from

capital

transactions

(124,345,755)

(387,089,040)

(65,836,543)

(83,819,381)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(2,012,786,893)

(2,638,617,756)

(153,430,594)

(196,761,537)

Total

increase

(decrease)

in

net

assets

(2,152,787,310)

(2,635,876,536)

(168,043,931)

(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

...................................

$

2,249,637,944

$

4,402,425,254

$

118,569,903

$

286,613,834

$

—

$

—

$

—

$

—

Consolidated

Statements

of

Changes

in

Net

Assets

40

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

AQR

MANAGED

FUTURES

STRATEGY

FUND

**

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

**

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

FOR

THE

YEAR

ENDED

DECEMBER

31,

2019

FOR

THE

YEAR

ENDED

DECEMBER

31,

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

.....................................

63,829,668

107,142,281

10,292,051

9,810,467

Shares

issued

on

reinvestment

of

distributions

...........

7,343,335

6,512,592

1,185,777

721,322

Shares

redeemed

.................................

(165,885,348)

(340,764,824)

(19,322,462)

(20,925,251)

Shares

outstanding,

end

of

period

184,061,144

278,773,489

13,033,808

20,878,442

CLASS

N

Shares

outstanding,

beginning

of

period

................

184,612,537

219,062,904

4,203,751

7,661,123

Shares

sold

.....................................

48,737,807

28,511,192

1,393,169

4,195,977

Shares

issued

on

reinvestment

of

distributions

...........

1,935,114

5,281,578

44,155

161,557

Shares

redeemed

.................................

(188,083,185)

(68,243,137)

(5,188,324)

(7,814,906)

Shares

outstanding,

end

of

period

47,202,273

184,612,537

452,751

4,203,751

CLASS

R6

Shares

outstanding,

beginning

of

period

................

69,815,972

115,388,592

12,444,742

23,133,614

Shares

sold

.....................................

17,970,866

22,138,454

2,996,716

5,804,880

Shares

issued

on

reinvestment

of

distributions

...........

2,778,691

2,035,926

344,883

520,955

Shares

redeemed

.................................

(34,934,568)

(69,747,000)

(12,128,547)

(17,014,707)

Shares

outstanding,

end

of

period

55,630,961

69,815,972

3,657,794

12,444,742

**

See

Note

2

in

the

Notes

to

Consolidated

Financial

Statements

for

additional

information.

42

Consolidated

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.30

(0.04)

0.01

5

(0.03)

(0.42)

—

(0.42)

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)

6

—

(0.00)

6

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.16

(0.06)

0.00

5

,6

(0.06)

(0.32)

—

(0.32)

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)

6

—

(0.00)

6

AQR

MANAGED

FUTURES

STRATEGY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

8.32

(0.03)

0.00

5

,6

(0.03)

(0.43)

—

(0.43)

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)

6

—

(0.00)

6

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

I

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.64

(0.06)

(0.01)

(0.07)

(0.66)

—

(0.66)

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

6

(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)

6

—

(0.00)

6

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

N

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.56

(0.07)

(0.01)

(0.08)

(0.54)

—

(0.54)

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)

6

—

(0.00)

6

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

DECEMBER

31,

2020

$

7.66

(0.05)

(0.01)

(0.06)

(0.67)

—

(0.67)

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)

6

—

(0.00)

6

*

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

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.

6

Amount

is

less

than

$.005

per

share.

43

Consolidated

Financial

Highlights

AQR

Funds

|

Annual

Report

|

December

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

December

31,

2020

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

$

7.85

(0.29)%

$

1,445,072

1.22%

1.22%

1.22%

(0.46)%

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%

$

7.78

(0.60)%

$

367,278

1.49%

1.49%

1.49%

(0.72)%

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%

$

7.86

(0.30)%

$

437,288

1.14%

1.14%

1.14%

(0.37)%

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%

$

6.91

(0.65)%

$

90,075

1.76%

1.66%

1.65%

(0.83)%

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%

$

6.94

(0.80)%

$

3,141

1.99%

1.91%

1.90%

(0.87)%

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%

$

6.93

(0.49)%

$

25,354

1.65%

1.56%

1.55%

(0.65)%

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%

44

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

 As

of

December

31,

2020,

the

Trust

consists

of

thirty-

one

active

series,

two

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

is

to

seek

positive

absolute

returns.

Each

fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Consolidation

of

Subsidiaries

The

Consolidated

Schedules

of

Investments,

Statements

of

Assets

and

Liabilities,

of

Operations,

of

Changes

in

Net

Assets

and

the

Financial

Highlights

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

and

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

All

intercompany

accounts

and

transactions

have

been

eliminated

in

consolidation.

Subsequent

references

to

the

Funds

within

the

Notes

to

the

Consolidated

Financial

Statements

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Each

Consolidated

Fund

may

invest

up

to

25%

of

its

total

assets

(on

a

tax

basis)

in

its

respective

Subsidiary,

which

acts

as

an

investment

vehicle

in

order

to

affect

certain

investment

strategies

consistent

with

the

Funds’

investment

objectives

and

policies.

The

Funds

expect

that

they

will

achieve

a

significant

portion

of

their

exposure

to

commodities

and

commodities-related

investments

through

investment

in

the

Subsidiaries.

Unlike

the

Funds,

the

Subsidiaries

may

invest

without

limitation

in

commodities

and

commodities-related

investments.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

5.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

SUBSIDIARY

NET

ASSETS

AT

DECEMBER

31,

2020

%

OF

TOTAL

ASSETS

AT

DECEMBER

31,

2020

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd

...........................................

$

520,544,288

18.3%

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd

........................................

27,321,258

17.7%

45

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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

December

31,

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.

46

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

47

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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”).

48

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

49

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

50

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

During

the

period

ended

December

31,

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

December

31,

2020,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals,

and

differences

in

the

tax

treatment

of

mark

to

market

gain/loss

on

regulated

futures

contracts

and

forward

foreign

currency

contracts. 

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

422,720,446

$

1,756,129,002

$

–

$

2,178,849,448

Futures

Contracts*

...............................

54,453,117

–

–

54,453,117

Forward

Foreign

Currency

Exchange

Contracts*

........

–

114,465,534

–

114,465,534

Total

Return

Swaps

Contracts*

......................

–

35,415,018

–

35,415,018

Total

Assets

$

477,173,563

$

1,906,009,554

$

–

$

2,383,183,117

LIABILITIES

Futures

Contracts*

...............................

$

(29,460,168)

$

–

$

–

$

(29,460,168)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(92,536,476)

–

(92,536,476)

Total

Return

Swaps

Contracts*

......................

–

(10,477,356)

–

(10,477,356)

Total

Liabilities

$

(29,460,168)

$

(103,013,832)

$

–

$

(132,474,000)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

...........................

$

29,694,420

$

81,632,471

$

–

$

111,326,891

Futures

Contracts*

...............................

4,570,158

–

–

4,570,158

Forward

Foreign

Currency

Exchange

Contracts*

........

–

8,890,289

–

8,890,289

Total

Return

Swaps

Contracts*

......................

–

3,055,532

–

3,055,532

Total

Assets

$

34,264,578

$

93,578,292

$

–

$

127,842,870

LIABILITIES

Futures

Contracts*

...............................

$

(2,611,405)

$

–

$

–

$

(2,611,405)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(7,148,625)

–

(7,148,625)

Total

Return

Swaps

Contracts*

......................

–

(1,046,019)

–

(1,046,019)

Total

Liabilities

$

(2,611,405)

$

(8,194,644)

$

–

$

(10,806,049)

*

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

........................

$

2,203,502,191

$

72,178,616

$

(24,786,844)

$

47,391,772

AQR

Managed

Futures

Strategy

HV

Fund

.....................

113,209,530

5,734,619

(1,889,635)

3,844,984

51

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

As

of

December

31,

2020,

the

components

of

net

assets

(excluding

paid-in

capital)

on

a

tax

basis

were

as

follows:

The

differences

between

book

basis

and

tax

basis

components

of

net

assets

are

primarily

attributable

to

wash

sale

loss

deferrals,

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

contracts,

loss

deferrals

from

tax

straddles,

certain

late

year

loss

deferrals,

Cayman

subsidiary

taxable

income,

and

capital

loss

carryforwards. 

As

of

December

31,

2020,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

income

from

investments

in

the

Cayman

subsidiary.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications.

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends December

31,

2020

and

December

31,

2019 were

as

follows:

As

of

December

31,

2020,

for

federal

income

tax

purposes,

the

following

Funds

have

capital

loss

carryforwards

available

to

offset

future

capital

gains,

if

any,

to

the

extent

provided

by

the

U.S.

Treasury

regulations:

Investment

Transactions

During

the year

ended

December

31,

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.

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

CARRYFORWARDS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Managed

Futures

Strategy

Fund

....................

$

286,620

$

(1,083,034,584)

$

23,356,787

$

(19,534,027)

$

(23,531,009)

$

(1,102,456,213)

AQR

Managed

Futures

Strategy

HV

Fund

.................

1,482,944

(103,413,385)

1,452,668

(1,374,411)

(1,726,423)

(103,578,607)

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Managed

Futures

Strategy

Fund

...............................................

$

(47,028,066)

$

47,028,066

AQR

Managed

Futures

Strategy

HV

Fund

............................................

(3,452,846)

3,452,846

DECEMBER

31,

2020

DECEMBER

31,

2019

FUND

ORDINARY

INCOME

CAPITAL

GAINS

ORDINARY

INCOME

CAPITAL

GAINS

AQR

Managed

Futures

Strategy

Fund

................................

$

112,952,589

$

—

$

133,458,735

$

—

AQR

Managed

Futures

Strategy

HV

Fund

.............................

10,693,378

—

11,260,716

—

FUND

SHORT-TERM

LONG

TERM

AQR

Managed

Futures

Strategy

Fund

...............................................

$

526,358,222

$

556,676,362

AQR

Managed

Futures

Strategy

HV

Fund

............................................

52,145,939

51,267,446

52

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

December

31,

2020.

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Equity

Risk

Exposure:

13,787,318

1,069,790

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

$

10,073,261

$

775,345

Swaps

at

Value

(Assets)

.................................................................

3,270,784

258,676

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(430,078

)

(34,305

)

Swaps

at

Value

(Liabilities)

...............................................................

(13,196

)

(1,466

)

13,787,318

1,069,790

Foreign

Exchange

Rate

Risk

Exposure:

207,002,010

16,038,914

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........................

114,465,534

8,890,289

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

..........................

(92,536,476

)

(7,148,625

)

207,002,010

16,038,914

Interest

Rate

Risk

Exposure:

5,681,313

435,067

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

4,743,917

356,468

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(937,398

)

(78,599

)

5,681,313

435,067

Commodity

Risk

Exposure:

110,337,024

9,778,256

Unrealized

Appreciation

on

Futures

Contracts

*

.................................................

39,635,939

3,438,345

Swaps

at

Value

(Assets)

.................................................................

32,144,234

2,796,856

Unrealized

Depreciation

on

Futures

Contracts

*

................................................

(28,092,692

)

(2,498,501

)

Swaps

at

Value

(Liabilities)

...............................................................

(10,464,160

)

(1,044,553

)

110,337,024

9,778,256

Net

Fair

Value

of

Derivative

Contracts:

71,859,670

5,709,931

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

.....................................

24,992,949

1,958,753

Swaps

at

Value

........................................................................

24,937,662

2,009,513

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

...............

21,929,058

1,741,664

71,859,670

5,709,931

*

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.

53

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statements

of

Operations

for

the year

ended

December

31,

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:

(149,635,013)

(14,980,022)

Futures

Contracts

......................................................................

$

(153,560,693

)

$

(15,474,733

)

Swap

Contracts

.......................................................................

3,925,680

494,711

(149,635,012.98)

(14,980,022.11)

Foreign

Exchange

Rate

Risk

Exposure:

(253,267,654)

(26,172,113)

Forward

Foreign

Currency

Exchange

Contracts

................................................

(253,267,654

)

(26,172,113

)

(253,267,654)

(26,172,113)

Interest

Rate

Risk

Exposure:

197,443,533

20,622,696

Futures

Contracts

......................................................................

197,443,533

20,622,696

197,443,533.33

20,622,695.65

Commodity

Risk

Exposure:

182,875,637

17,904,831

Futures

Contracts

......................................................................

148,456,495

14,784,489

Swap

Contracts

.......................................................................

34,419,143

3,120,341

182,875,637.34

17,904,830.54

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

(11,580,114)

(1,347,123)

Futures

Contracts

......................................................................

4,083,119

193,530

Swap

Contracts

.......................................................................

(15,663,230

)

(1,540,651

)

11,580,114

1,347,123

Foreign

Exchange

Rate

Risk

Exposure:

26,115,667

2,145,706

Forward

Foreign

Currency

Exchange

Contracts

................................................

26,115,667

2,145,706

26,115,667

2,145,706

Interest

Rate

Risk

Exposure:

2,695,045

199,285

Futures

Contracts

......................................................................

2,695,047

199,285

2,695,045

199,285

Commodity

Risk

Exposure:

6,566,920

188,622

Futures

Contracts

......................................................................

(19,232,311

)

(1,944,793

)

Swap

Contracts

.......................................................................

25,799,226

2,133,412

6,566,920

188,622

54

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

following

tables

present

the

Funds’

gross

OTC

derivative

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

December

31,

2020:

AQR

Managed

Futures

Strategy

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$942,315

and

total

additional

collateral

pledged

was

$76,687,883.

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

$

57,234,667

$

(46,266,867)

$

10,967,800

$

–

$

(10,967,800)

$

–

JPMC

.........

Forward

Foreign

Currency

Exchange

Contracts

57,230,867

(46,269,609)

10,961,258

–

–

10,961,258

MLIN

.........

Total

Return

Swap

Contracts

3,270,784

(13,196)

3,257,588

–

(2,730,007)

527,581

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

117,736,318

(92,549,672)

25,186,646

–

(13,697,807)

11,488,839

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

$

46,266,867

$

(46,266,867)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

46,269,609

(46,269,609)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

13,196

(13,196)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

92,549,672

(92,549,672)

–

–

–

–

55

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$18,657,859.

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

$

12,839,216

$

(8,452,047)

$

4,387,169

$

–

$

(4,283,302)

$

103,867

GSIN

..........

Total

Return

Swap

Contracts

11,298,934

(762,275)

10,536,659

–

(9,741,257)

795,402

MACQ

.........

Total

Return

Swap

Contracts

295,361

(82,620)

212,741

–

(170,005)

42,736

MLIN

..........

Total

Return

Swap

Contracts

2,904,020

(241,360)

2,662,660

–

–

2,662,660

SOCG

.........

Total

Return

Swap

Contracts

4,806,703

(925,858)

3,880,845

–

(3,450,067)

430,778

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

32,144,234

(10,464,160)

21,680,074

–

(17,644,631)

4,035,443

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

$

8,452,047

$

(8,452,047)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

762,275

(762,275)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

82,620

(82,620)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

241,360

(241,360)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

925,858

(925,858)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

10,464,160

(10,464,160)

–

–

–

–

56

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Managed

Futures

Strategy

HV

Fund

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

received

from

or

pledged

to

the

counterparty.

Total

additional

collateral

received

was

$128,907

and

total

additional

collateral

pledged

was

$6,034,116.

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

$

4,445,315

$

(3,574,213)

$

871,102

$

–

$

(871,102)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

4,444,974

(3,574,412)

870,562

–

–

870,562

MLIN

..........

Total

Return

Swap

Contracts

258,676

(1,466)

257,210

–

(220,001)

37,209

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

9,148,965

(7,150,091)

1,998,874

–

(1,091,103)

907,771

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

$

3,574,213

$

(3,574,213)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

3,574,412

(3,574,412)

–

–

–

–

MLIN

..........

Total

Return

Swap

Contracts

1,466

(1,466)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

7,150,091

(7,150,091)

–

–

–

–

57

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$1,751,344.

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

$

1,016,075

$

(772,863)

$

243,212

$

–

$

(220,269)

$

22,943

GSIN

..........

Total

Return

Swap

Contracts

1,286,933

(179,171)

1,107,762

–

(1,040,146)

67,616

MACQ

.........

Total

Return

Swap

Contracts

157,165

(1,770)

155,395

–

–

155,395

SOCG

.........

Total

Return

Swap

Contracts

336,683

(90,749)

245,934

–

(210,016)

35,918

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,796,856

(1,044,553)

1,752,303

–

(1,470,431)

281,872

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

$

772,863

$

(772,863)

$

–

$

–

$

–

$

–

GSIN

..........

Total

Return

Swap

Contracts

179,171

(179,171)

–

–

–

–

MACQ

.........

Total

Return

Swap

Contracts

1,770

(1,770)

–

–

–

–

SOCG

.........

Total

Return

Swap

Contracts

90,749

(90,749)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,044,553

(1,044,553)

–

–

–

–

58

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

For

the year

ended

December

31,

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:

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.

*

AQR

MANAGED

FUTURES

STRATEGY

FUND

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

17,371,272,242

$

1,767,328,782

Average

Notional

Balance

-

Short

2,007,036,785

196,320,501

Ending

Notional

Balance

-

Long

12,139,574,519

987,698,335

Ending

Notional

Balance

-

Short

1,252,676,339

102,546,224

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

8,889,631,928

875,800,857

Average

Settlement

Value

-

Sold

8,838,557,294

880,046,825

Ending

Value

-

Purchased

6,254,968,546

495,396,150

Ending

Value

-

Sold

4,777,308,054

378,979,886

Total

Return

Swaps:

Average

Notional

Balance

-

Long

484,318,085

47,092,203

Average

Notional

Balance

-

Short

251,586,090

24,971,055

Ending

Notional

Balance

-

Long

462,156,295

39,824,142

Ending

Notional

Balance

-

Short

152,226,820

14,957,562

*

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

59

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

For

the year

ended

December

31,

2020,

the

amounts reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at December

31,

2020

are

as

follows:

During

the year

ended

December

31,

2020,

the

Funds

recouped

amounts

as

follows:

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

The

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.

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

Funds'

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Funds. 

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

DECEMBER

31

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

DECEMBER

31

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

DECEMBER

31

,

2020

2020

20

21

20

22

20

23

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Class

I

...........

$

145,232

$

293,350

$

28,563

$

119,555

$

145,232

Class

N

...........

16,365

51,997

6,461

29,171

16,365

Class

R6

..........

71,441

166,559

23,019

72,099

71,441

Totals

$

233,038

$

511,906

$

58,043

$

220,825

$

233,038

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Managed

Futures

Strategy

HV

Fund

.....................................

$

–

$

561

$

–

60

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

The

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary. 

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. 

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.

61

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

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.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program.

Interest

expense

earned,

as

a

result

of

lending

under

this

agreement

is

included

in

Interfund

lending

income

in

the

Statements

of

Operations.

During

the

reporting

period,

average

loans

made

to

another

Fund

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

December

31,

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.

FUND

AVERAGE

LOANS

WEIGHTED

AVERAGE

INTEREST

RATE

INTEREST

RECEIVED

AQR

Managed

Futures

Strategy

Fund

....................................

$

3,458,395

1.07

%

$

8,329

62

Notes

to

Consolidated

Financial

Statements

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

There

were

no

open

borrowings

as

of December

31,

2020 by

any

of

the

Funds

in

the

Trust.

The

Funds

did

not

have

any

borrowings

for

the year

ended

December

31,

2020. 

Principal

Ownership

As

of

December

31,

2020,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

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

........................................

8

86.74%

AQR

Managed

Futures

Strategy

HV

Fund

.....................................

4

91.22%

63

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

December

2020

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

Opinions

on

the

Consolidated

Financial

Statements

We

have

audited

the

accompanying

consolidated

statements

of

assets

and

liabilities,

including

the

consolidated

schedules

of

investments,

of

AQR

Managed

Futures

Strategy

Fund

and

AQR

Managed

Futures

Strategy

HV

Fund

and

their

subsidiaries

(two

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

"Funds")

as

of

December

31,

2020,

the

related

consolidated

statements

of

operations

for

the

year

ended

December

31,

2020,

the

consolidated

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2020,

including

the

related

notes,

and

the

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2020

(collectively

referred

to

as

the

“consolidated

financial

statements”).

In

our

opinion,

the

consolidated

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

December

31,

2020,

the

results

of

each

of

their

operations

for

the

year

then

ended,

the

changes

in

each

of

their

net

assets

for

each

of

the

two

years

in

the

period

ended

December

31,

2020

and

each

of

the

consolidated

financial

highlights

for

each

of

the

five

years

in

the

period

ended

December

31,

2020

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

consolidated

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

consolidated

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

consolidated

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

consolidated

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

consolidated

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

consolidated

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

consolidated

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

December

31,

2020

by

correspondence

with

the

custodians,

transfer

agents

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

February

22,

2021

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

64

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

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

12/31/2020”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

the

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

fund.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  12/31/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        12/31/20

AQR

Managed

Futures

Strategy

Fund

Class

I

Actual

Return

$1,000.00

$992.30

1.21%

$6.06

Hypothetical

Return

$1,000.00

$1,019.05

1.21%

$6.14

Class

N

Actual

Return

$1,000.00

$990.40

1.50%

$7.50

Hypothetical

Return

$1,000.00

$1,017.60

1.50%

$7.61

Class

R6

Actual

Return

$1,000.00

$992.20

1.15%

$5.76

Hypothetical

Return

$1,000.00

$1,019.36

1.15%

$5.84

AQR

Managed

Futures

Strategy

HV

Fund

Class

I

Actual

Return

$1,000.00

$990.90

1.66%

$8.31

Hypothetical

Return

$1,000.00

$1,016.79

1.66%

$8.42

Class

N

Actual

Return

$1,000.00

$989.40

1.90%

$9.50

Hypothetical

Return

$1,000.00

$1,015.58

1.90%

$9.63

Class

R6

Actual

Return

$1,000.00

$991.20

1.55%

$7.76

Hypothetical

Return

$1,000.00

$1,017.34

1.55%

$7.86

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

184/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

65

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

The

overall

management

of

the

business

and

affairs

of

the

Funds

is

vested

with

the

Board

of

Trustees.

The

Board

of

Trustees

consists

of

six

individuals

(each,

a

“Trustee”),

five

of

whom

are

not

“interested

persons”

of

the

Trust

as

defined

in

the

1940

Act

(the

“Disinterested

Trustees”).

The

Trustees

are

responsible

for

the

oversight

of

the

operations

of

the

Trust

and

perform

the

various

duties

imposed

on

the

directors

of

investment

companies

by

the

1940

Act.

The

Board

of

Trustees

approves

all

significant

agreements

between

the

Trust

and

persons

or

companies

furnishing

services

to

it,

including

the

Trust’s

agreements

with

its

investment

advisers,

investment

sub-advisers,

administrator,

custodian

and

transfer

agent.

The

management

of

each

Fund’s

day-to-day

operations

is

delegated

to

its

officers,

the

Adviser

and

the

Funds'

administrator,

subject

always

to

the

investment

objectives

and

policies

of

each

of

the

Funds

and

to

general

supervision

of

the

Board

of

Trustees.

The

Disinterested

Trustees

have

retained

independent

legal

counsel

to

assist

them

in

connection

with

their

duties.

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830. 

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian Posner, M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

42

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-2018)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2020)

42

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

42

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

42

Kiwi

Wealth

(since

2020)

Mark

A.

Zurack,

M.B.A.,

CFA,

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

42

Exchange

Traded

Concepts

Trust

(since

2011)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

42

None

Officers

Ted

Pyne,

M.B.A.,

Ph.D.,

1966

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2016)

N/A

N/A

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley Asness, J.D.,

M.B.A.,

1969

Vice

President,

since 2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Patrick

Ryan,

CPA

1965

Assistant

Treasurer,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2012)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since 2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

66

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

December

2020

December

31,

2020

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December

31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

is

an

interested

person

of

the

Trust

because

of

his

position

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENT

OR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Item 2. Code of Ethics.

a).

As of the end of the period, December 31

, 2020

,

the Registrant

has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  This code of ethics is included as Exhibit 13 (a)(1).

b). Not Applicable.

c). There have been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2020 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP

for the fiscal years ended December 31, 2019 and December 31, 2020 were:

	2019	2020
Audit Fees (a)	$1,312,778	$1,062,013
Audit Related Fees (b)	$0	$7,000
Tax Fees (c)	$318,825	$0
All Other Fees (d)	$675	$675
Total:	$1,632,278	$1,069,688

(a)

Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements.  These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b)           Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP

that are reasonably

related to the performance of the audit of the Registrant’s annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2020, relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement. There were no audit related services provided by PricewaterhouseCoopers LLP for the year ended December 31, 2019.

(c)           Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for tax compliance, tax advice and tax planning.  The tax services provided by PricewaterhouseCoopers LLP

relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d)           All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP

other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e)           Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f)            Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g)           Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2019 and December 31, 2020: $1,350 and $1,350, respectively.

(h)           Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act.  All of the Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940

.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)   The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)   There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

                Code of Ethics

 (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

February 22, 2021

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

February 22, 2021

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

February 22, 2021

EX-99.906 CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of the AQR Funds (the “Fund”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Fund does hereby certify that, to the best of such officer’s knowledge:

1.   The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.   The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund as of, and for, the periods presented in the Report.

Dated:  February 22, 2021

By:    /s/ Ted Pyne

                ______________________________

Ted Pyne

Principal Executive Officer

By:    /s/ Heather Bonner

                _______________________________

Heather Bonner

Principal Financial Officer

A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Ted Pyne, certify that:

1.

I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4.

The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)

Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)

Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and 

5.

The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date:      February 22, 2021                                                               By:  /s/ Ted Pyne

                                                                                                                                ----------------------------------------

Ted Pyne

Principal Executive Officer

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940

AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002

I, Heather Bonner, certify that:

1.

I have reviewed this report on Form N-CSR of the AQR Funds (the “Registrant”);

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

4.

The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)     Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)    Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and 

5.

The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date:      February 22, 2021                                                               By: /s/ Heather Bonner

                                                                                                                                ---------------------------------------

Heather Bonner

Principal Financial Officer

EX-99.CODE ETH

aqr funds:

CODE OF ETHICS

PURSUANT TO THE SARBANES-OXLEY ACT OF 2002

AS AMENDED: AUGUST 2020

LAST REVIEWED:  AUGUST 2020

I.INTRODUCTION

The Board of Trustees (the “Board”) of the AQR Funds (the “Trust”) has established this Code of Ethics (“Code”) in accordance with the Sarbanes-Oxley Act of 2002 and the rules promulgated thereunder.  This Code does not supersede or otherwise affect any separate code of ethics that the Trust and AQR Capital Management, LLC (“Adviser”) have adopted pursuant to, among other things, Rule 17j-1 under the Investment Company Act of 1940, as amended (“Investment Company Act”), or any other applicable laws, regulations or corporate governance provisions.

This Code is designed to deter wrongdoing and promote:

·

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

·

full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trust files with, or submits to, the U.S. Securities and Exchange Commission (“SEC”) and in other public communications made by the Trust or any of its separate series (each, a “Fund”);

·

compliance with applicable governmental laws, rules, and regulations;

·

prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

·

accountability for adherence to the Code

This Code applies to the Trust’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Trust or a third party (collectively, “Covered Officers”).  The Trust’s Covered Officers are those individuals listed in Appendix A, attached hereto.

II.PRINCIPLES OF HONEST AND ETHICAL CONDUCT

A.General Objectives

The Trust expects each Covered Officer to adhere to the highest possible standards of honest and ethical conduct.  Each Covered Officer is expected to handle actual or apparent conflicts of interest between personal and professional relationships in a manner that is above reproach and to place the interests of the Trust above the Covered Officer’s own personal interests. 

B.

Conflicts of Interest

A “conflict of interest” occurs when a Covered Officer’s private or personal interests interfere, or even appear to interfere, with the interests of the Trust.  Certain conflicts of interest arise out of the relationships between Covered Officers and the Trust and already are subject to conflict of interest provisions in the Investment Company Act and the Investment Advisers Act of 1940, as amended (“Investment Advisers Act”).  For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Trust because of their status as “affiliated persons” of the Trust.  The Trust’s and the Adviser’s compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions.  This Code does not, and is not intended to, repeat or replace these programs and procedures.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and the Adviser of which the Covered Officers are also officers or employees.  As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust or for the Adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Adviser and the Trust.  The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and the Adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Trust.  Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.  In addition, it is recognized by the Board that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. 

Examples of possible conflicts of interest might include, but are not limited to:

·

Personal Business Transactions.  A Covered Officer may not cause the Trust to engage in any business transaction with his or her family members or relatives or utilize the Covered Officer’s relationship with the Trust to cause any third party to engage in any business transaction with his or her family members or relatives, except as permitted under the Investment Company Act.

·

Use of Nonpublic or Confidential Information.  A Covered Officer may not use, or disclose to a third party (unless required by applicable laws or regulations), nonpublic or confidential information about the Trust or any of its service providers for personal gain by the Covered Officer or his or her family members or relatives (including securities transactions based on such information).

·

Outside Employment or Activities.

  A Covered Officer may not engage in any outside employment or activity that interferes with his or her duties and responsibilities with respect to the Trust or is otherwise in conflict with or prejudicial to the Trust.  A Covered Officer must disclose to the Compliance Department any outside employment or activity that may constitute a conflict of interest and obtain the approval of the Trust’s Chief Compliance Officer (the “CCO”) or the CCO’s delegate before engaging in such employment or activity. 

·

Gifts.  A Covered Officer may not accept gifts or other items of more than de minimis value from any person or entity that does, or seeks to do, business with or on behalf of the Trust.  In this regard, each Covered Officer should refer to any other applicable procedures regarding accepting or giving gifts that have been adopted by the Trust and the Adviser.

·

Corporate Opportunities.  A Covered Officer may not exploit for his or her personal gain, or the personal gain of the Covered Officer’s family members or relatives, opportunities that are discovered through the use of Trust property, information, or the Covered Officer’s position, unless the opportunity is first fully disclosed in writing to the Board and the Board determines not to pursue such opportunity for the Trust.

·

Other Situations.

  Because other conflicts of interest may arise, it is impractical to attempt to list in this Code all possible situations that could result in a conflict of interest.  If a proposed transaction

, interest, personal activity, or investment

raises any material concerns, questions or doubts, a Covered Officer should consult with the Compliance Department before engaging in such transaction or investment or pursuing such interest or activity.

When consulting the Compliance Department, the Covered Officer shall provide a detailed and accurate description of the proposed transaction, investment, interest or activity.  Upon such consultation, the Compliance Department shall conduct a review to determine: (1) whether engaging in such transaction, investment, interest or activity reasonably could be expected to give rise to a conflict of interest; and (2) the appropriate resolution of any such conflict.

Based on its review, the Compliance Department shall advise the Covered Officer that the proposed transaction, investment, interest or activity: (1) would not violate this Code; (2) would not violate this Code only if conducted in a particular manner and/or subject to certain conditions or safeguards; or (3) would violate the Code.  If the Compliance Department has advised the Covered Officer that the proposed transaction, investment, interest or activity would not violate the Code only if conducted in a particular manner and/or subject to certain conditions or safeguards, the Covered Officer must conduct the proposed transaction, investment, interest or activity in that manner and/or subject to those conditions or safeguards.  If the Compliance Department has advised the Covered Officer that the proposed transaction, investment, interest or activity would violate the Code, the Covered Officer may not conduct the proposed transaction, investment, interest or activity.

C.Reporting

Any actual or apparent conflict of interest that may arise as a result of a material transaction or business or personal relationship must be disclosed and reported by the Covered Officer to the Compliance Department and resolved before the Covered Officer takes any action.

III.FULL, FAIR, ACCURATE, TIMELY, AND UNDERSTANDABLE DISCLOSURE IN TRUST DISCLOSURE AND REPORTING DOCUMENTS

Each Covered Officer should:

·

familiarize himself or herself with the disclosure requirements generally applicable to the Trust;

·

not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, including the Board, the Trust’s auditors, the Trust’s counsel, counsel to the independent trustees, governmental regulators or self-regulatory organizations;

·

to the extent appropriate within his or her area of expertise, consult with other officers and employees of the Trust and the Adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust; and

·

use reasonable efforts to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

Each Covered Officer shall promptly bring to the attention of the Board’s Nominating and Governance Committee any information he or she may have concerning any violation of the provisions of this Code involving any Trust management, employees or agents thereof who have a significant role in the Trust’s financial reporting, disclosures or internal controls.

IV.COMPLIANCE WITH APPLICABLE GOVERNMENTAL LAWS, RULES AND REGULATIONS

As a registered investment company, the Trust must comply with all applicable federal securities laws and regulations, as well as other applicable laws and regulations.  The Trust insists on strict compliance with the spirit and the letter of these laws and regulations.  Each Covered Officer must comply with all laws, rules, and regulations applicable to the Trust’s operations and business. 

A Covered Officer should seek guidance whenever he or she is in doubt as to the applicability of any law, rule, or regulation with respect to the contemplated course of action.  If in doubt on a course of action, a good guideline is “always ask first, act later” — if a Covered Officer is unsure of what to do in any situation, he or she should seek guidance before acting.

Each Covered Officer shall cooperate with the Compliance Department, the Trust’s independent accountants, and the Trust’s other service providers with the goal of maintaining the Trust’s material compliance with applicable laws, rules and regulations.

Each Covered Officer should keep apprised of developments relating to those governmental laws, rules, and regulations applicable to the Trust.  Each Covered Officer also should consult with the Legal and Compliance Departments and the various procedures, guidelines and other related materials which the Trust and its service providers have prepared on specific laws and regulations.

V.PROMPT INTERNAL REPORTING OF VIOLATIONS OF THE CODE; EVALUATION OF POSSIBLE VIOLATIONS; DETERMINATION OF SANCTIONS

A.Reporting to the Compliance Department 

Each Covered Officer shall promptly bring to the attention of the Compliance Department any knowledge or information the Covered Officer may have concerning a violation or possible violation of this Code. 

Failure to disclose or report to the Compliance Department any actual or possible violation of this Code is in of itself a violation of the Code.

B.Evaluation of Reports 

The Compliance Department shall determine whether the reported conduct actually violates the Code.  If it is determined that there has been a violation of the Code, the Compliance Department shall determine whether the violation of the Code has had or may have a material adverse impact upon the Trust or any Fund.

1.No Material Adverse Impact on the Trust or any Fund

If the Compliance Department determines that the violation has not caused a material adverse impact upon the Trust or any Fund, the Compliance Department shall determine what sanctions, if any, may be appropriate for the violation.

2.Material Adverse Impact on the Trust or any Fund 

If the Compliance Department determines that the violation has caused a material adverse impact upon the Trust or any Fund, the Compliance Department shall promptly notify the Board’s Nominating and Governance Committee of such violation.  The Nominating and Governance Committee shall be entitled to consult with independent legal counsel to determine whether the violation actually has had a material adverse impact upon the Trust or any Fund and to formulate appropriate actions or sanctions that the Nominating and Governance Committee, in its business judgment, determines to be necessary or advisable. 

C.Periodic Reports by the Chief Compliance Officer to the Board 

At each quarterly meeting of the Board following a quarter in which one or more violations occurred, the CCO shall report to the Board all violations of this Code (whether or not they caused a material adverse impact upon the Trust or any Fund) and all sanctions imposed.

VI.WAIVERS OF PROVISIONS OF THE CODE

A.

Waivers

A Covered Officer may request a

waiver (defined as the Trust’s approval of a material departure from a provision of the Code) if there is a reasonable likelihood that a contemplated action would be a material departure from a provision of the Code.  Waivers will not be granted except under extraordinary or special circumstances.  The process of requesting a waiver shall consist of the following steps:

1.

The Covered Officer shall set forth a request for waiver in writing and submit such request to the Compliance Department.  The request shall describe the conduct, activity, or transaction for which the Covered Officer seeks a waiver, and shall briefly explain the reason for wanting to engage in the conduct, activity, or transaction.

2.

The determination with respect to the waiver shall be made in a timely fashion by the CCO and submitted to the Board for ratification at its next regularly scheduled meeting.

3.

The decision with respect to the waiver request shall be documented and maintained in the Trust’s records for a period of not less than six years following the end of the fiscal year in which the waiver occurred.

B.Disclosure of Waivers

To the extent required by applicable law, waivers (including “implicit waivers”) shall be publicly disclosed on a timely basis.  An “implicit waiver” for these purposes is defined as the Trust’s failure to take action within a reasonable period of time regarding a material departure from a provision of the Code that “has been made known” to an executive officer of the Trust within the meaning of Rule 3b-7 under the Securities Exchange Act of 1934, as amended (“1934 Act”). 

Rule 3b-7 under the 1934 Act currently defines an “executive officer” of the Trust as the president of the Trust; any vice president of the Trust in charge of a principal business unit, division or function; any other officer who performs a policy making function; or any other person who performs similar policy making functions for the Trust. 

If a material departure from a provision of the Code is known only by the Covered Officer who has caused the material departure from the Code, the material departure will not be considered to have been made known to an executive officer of the Trust.

VII.ACCOUNTABILITY FOR ADHERENCE TO THE CODE

The matters covered in this Code are of the utmost importance to the Trust and its shareholders and are essential to the Trust’s ability to conduct its business in accordance with its stated values. Each Covered Officer is expected to adhere to these rules in carrying out his or her duties for the Trust. 

The conduct of each Covered Officer can reinforce an ethical atmosphere and positively influence the conduct of all employees and agents of the Trust. 

Each Covered Officer must affirm in writing to the Board that he or she has received, read and understands the Code.  Each Covered Officer must annually thereafter affirm to the Board that he or she has complied with the requirements of the Code.

The Trust will, if appropriate, take action against any Covered Officer whose actions are found to violate this Code.  As discussed in Section V of the Code, appropriate sanctions for violations of the Code will depend on the materiality of the violation to the Trust. 

Sanctions may include, among other things, a requirement that the violator undergo training related to the violation, a letter of sanction or written censure by the Board, the imposition of a monetary penalty, suspension of the violator as an officer of the Trust or termination of the employment of the violator.  If the Trust or any Fund has suffered a loss because of violations of this Code, it may pursue its remedies against the individuals or entities responsible. 

Accordingly, e

ach Covered Officer shall cooperate or take such steps as may be necessary or appropriate to remedy any material violation of this Code.

VIII.RECORDKEEPING, AMENDMENTS AND DISCLOSURE OF CODE

A.

Records

A copy of this Code, any amendments hereto, and any reports or other records created in relation to waivers of or amendments to provisions of this Code shall be kept as records of the Trust for six years from the end of the fiscal year in which such document was created.  All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly.  Except as otherwise required by law or this Code, such reports and records shall not be disclosed to anyone other than to members of the Board, Trust counsel, counsel to the independent trustees, Covered Officers, and the Legal and Compliance Departments. 

B.

Amendments

The Board may amend the Code in its discretion.

C.

Disclosure of Code

The Trust must disclose this Code, any substantive amendments and any waivers (including implicit waivers) by either: (1) filing with the SEC a copy of the Code, any such amendments and waivers in the Trust’s annual report on Form N-CSR; (2) posting the text of the Code, any such amendments and waivers on the Trust’s Internet website within five business days following the date of such amendments or waivers and disclosing in its most recent report on Form N-CSR, its Internet address and the fact that it has posted the Code on the website;

1

or (3) undertaking in its most recent report on Form N-CSR to provide to any person without charge, upon request, a copy of the Code, any such amendments and waivers and explain the manner in which such request may be made.

IX.NO RIGHTS CREATED

This Code is a statement of certain fundamental principles, policies and procedures that govern each of the Covered Officers in the conduct of the Trust’s business.  It is not intended to and does not create any rights in any employee, investor, supplier, competitor, shareholder or any other person or entity.

APPENDIX A

AQR Funds

CODE OF ETHICS

(Pursuant to the Sarbanes-Oxley Act of 2002)

Covered Officers

Chief Executive Officer and President (principal executive officer)             Ted Pyne  

Chief Financial Officer (principal financial officer)                                       Heather Bonner  

Treasurer (principal accounting officer)                                                          Heather Bonner

Updated as of August 2020

1

Information regarding any such amendments and waivers must be made available on the Trust’s Internet website for a 12-month period, and it must retain the information for a period of not less than six years following the end of the fiscal year in which the amendment or waiver occurred.