N-CSR 1 primary-document.htm
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
                            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
                        Greenwich, CT 06830                            
(Name and Address of Agent for Service)
 
 
Registrant’s telephone number, including area code: 203-742-3600
 
Date of fiscal year end:  September 30
 
Date of reporting period:  October 1, 2020 to September 30, 2021
 
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.
 
Annual
Report
September
30,
2021
AQR
Large
Cap
Multi-Style
Fund
AQR
Small
Cap
Multi-Style
Fund
AQR
International
Multi-Style
Fund
AQR
Emerging
Multi-Style
II
Fund
AQR
Large
Cap
Momentum
Style
Fund
AQR
Small
Cap
Momentum
Style
Fund
AQR
International
Momentum
Style
Fund
AQR
Large
Cap
Defensive
Style
Fund
AQR
International
Defensive
Style
Fund
AQR
Global
Equity
Fund
AQR
International
Equity
Fund
AQR
Core
Plus
Bond
Fund
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.
Table
of
Contents
Shareholder
Letters
(Unaudited)
AQR
Large
Cap
Multi-Style
Fund
....................................................................
2
AQR
Small
Cap
Multi-Style
Fund
....................................................................
4
AQR
International
Multi-Style
Fund
..................................................................
6
AQR
Emerging
Multi-Style
II
Fund
...................................................................
8
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
10
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
12
AQR
International
Momentum
Style
Fund
..............................................................
14
AQR
Large
Cap
Defensive
Style
Fund
................................................................
16
AQR
International
Defensive
Style
Fund
...............................................................
18
AQR
Global
Equity
Fund
..........................................................................
20
AQR
International
Equity
Fund
......................................................................
23
AQR
Core
Plus
Bond
Fund
........................................................................
26
Schedule
of
Investments
AQR
Large
Cap
Multi-Style
Fund
....................................................................
29
AQR
Small
Cap
Multi-Style
Fund
....................................................................
34
AQR
International
Multi-Style
Fund
..................................................................
43
AQR
Emerging
Multi-Style
II
Fund
...................................................................
47
AQR
Large
Cap
Momentum
Style
Fund
...............................................................
53
AQR
Small
Cap
Momentum
Style
Fund
...............................................................
60
AQR
International
Momentum
Style
Fund
..............................................................
69
AQR
Large
Cap
Defensive
Style
Fund
................................................................
74
AQR
International
Defensive
Style
Fund
...............................................................
79
AQR
Global
Equity
Fund
..........................................................................
84
AQR
International
Equity
Fund
......................................................................
92
AQR
Core
Plus
Bond
Fund
........................................................................
99
Financial
Statements
and
Notes
........................................................................
111
Report
of
Independent
Registered
Public
Accounting
Firm
.....................................................
177
Other
Federal
Tax
Information
(Unaudited)
................................................................
178
Fund
Expense
Examples
(Unaudited)
....................................................................
180
Trustees
and
Officers
(Unaudited)
......................................................................
183
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
................................................
184
Liquidity
Risk
Management
Program
(Unaudited)
...........................................................
187
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
2
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Large
Cap
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
U.S.
large
and
mid-cap
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
30.1%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
30.96%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection
(-2.8%),
while
sector
stock
selection
offset
some
of
those
losses.
For
sector
selection,
Energy
(-0.8%)
and
Financials
(-0.6%)
drove
losses.
Within
sector
stock
selection,
gains
from
Consumer
Discretionary
(0.8%)
and
Information
Technology
(0.8%)
were
partially
offset
by
losses
within
Financials
(-0.6%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Consumer
Discretionary
(4.0%)
and
Industrials
(3.4%),
and
underweights
to
Real
Estate
(-2.8%)
and
Energy
(-1.7%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
3
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.40%,
0.65%
and
0.30%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
MULTI-STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
3/26/2013
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
09/30/2021
AQR
LARGE
CAP
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QCELX
30.10%
11.44%
14.02%
12.69%
3/26/2013
Fund
-
Class
N:
QCENX
29.73%
11.15%
13.72%
12.42%
3/26/2013
Fund
-
Class
R6:
QCERX
30.26%
11.55%
14.14%
10.63%
7/10/2014
Russell
1000®
Total
Return
Index
30.96%
16.43%
17.11%
14.93%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MULTI-STYLE
FUND
4
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Small
Cap
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
U.S.
small-cap
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
51.47%
while
the
Russell
2000®
Total
Return
Index
(the
“Benchmark”)
returned
47.68%.
The
Fund’s
outperformance
was
driven
by
sector
stock
selection,
while
sector
selection
also
provided
modest
gains.
Within
sector
stock
selection,
Industrials
(1.8%),
Information
Technology
(1.5%),
and
Health
Care
(1.0%)
drove
gains,
but
were
partially
offset
by
losses
in
Consumer
Discretionary
(-0.5%).
For
sector
selection,
Health
Care
(0.6%),
Utilities
(0.5%),
and
Consumer
Discretionary
(0.4%)
contributed
positively,
but
were
partially
offset
by
losses
in
Energy
(-0.4%).
Over
the
course
of
the
period,
the
Fund’s
largest
active
positions
included
sector
overweights
to
consumer
discretionary
(4.7%)
and
industrials
(3.1%),
and
underweights
to
real
estate
(-2.6%)
and
healthcare
(-2.2%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
5
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.72%,
0.97%
and
0.62%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance
AQR
SMALL
CAP
MULTI-STYLE
FUND
VS.
RUSSELL
2000®
TOTAL
RETURN
INDEX
VALUE
OF
$10,000
INVESTED
ON
3/26/2013
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
09/30/2021
AQR
SMALL
CAP
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QSMLX
51.47%
10.58%
11.76%
11.37%
3/26/2013
Fund
-
Class
N:
QSMNX
51.05%
10.30%
11.48%
11.09%
3/26/2013
Fund
-
Class
R6:
QSERX
51.60%
10.67%
11.86%
9.47%
7/10/2014
Russell
2000®
Total
Return
Index
47.68%
10.54%
13.45%
11.87%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
6
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
International
Multi-Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
large
and
mid-cap
non-U.S.
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value,
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
24.97%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
26.50%.
The
Fund’s
underperformance
was
driven
by
sector
stock
selection,
while
sector
selection
provided
additional
losses.
Within
sector
stock
selection,
losses
in
Financials
(-1.6%)
were
partially
offset
by
gains
in
Communication
Services
(0.9%).
For
sector
selection,
losses
in
Energy
(-0.5%)
and
Health
Care
(-0.3%)
were
partially
offset
by
gains
in
Consumer
Staples
(0.4%),
Financials
(0.2%)
and
Utilities
(0.2%).
Over
the
course
of
the
period,
the
Fund
's
largest
active
positions
included
sector
overweights
to
Consumer
Discretionary
(3.6%)
and
Information
Technology
(1.9%),
and
underweights
to
Industrials
(-2.7%)
and
Consumer
Staples
(-2.4%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
7
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.58%,
0.83%
and
0.48%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
MULTI-STYLE
FUNDVS.
MSCI
DAILY
TR
NET
WORLD
EX
USA
INDEX*
VALUE
OF
$10,000
INVESTED
ON
3/26/2013
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.
*
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
09/30/2021
AQR
INTERNATIONAL
MULTI-STYLE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QICLX
24.97%
6.67%
7.97%
5.47%
3/26/2013
Fund
-
Class
N:
QICNX
24.67%
6.44%
7.71%
5.20%
3/26/2013
Fund
-
Class
R6:
QICRX
25.13%
6.80%
8.07%
3.87%
7/10/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
26.50%
7.87%
8.88%
6.36%
3/26/2013
Shareholder
Letter
(Unaudited)
AQR
EMERGING
MULTI-STYLE
II
FUND
8
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Emerging
Multi-Style
II
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
attractively
valued
large
and
mid-cap
emerging
countries’
companies
that
have
positive
momentum
and
strong
quality.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
rank
high
on
a
combined
score
of
Value,
Momentum
and
Quality
styles.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
17.26%
while
the
MSCI
Daily
TR
Net
Emerging
Markets
Index*
(the
“Benchmark”)
returned
18.20%.
The
Fund’s
underperformance
was
driven
by
stock
selection
within
sector,
while
sector
selection
provided
some
offsetting
gains.
Within
sector
stock
selection,
losses
in
Materials
(-1.4%),
Communication
Services
(-1.2%)
and
Industrials
(-1.2%)
were
slightly
offset
by
gains
in
Consumer
Discretionary
(1.6%).
For
sector
selection,
gains
in
Materials
(0.9%)
and
Information
Technology
(0.5%)
were
slightly
offset
by
losses
in
Financials
(-0.6%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Materials
(4.6%)
and
Information
Technology
(2.7%),
and
underweights
to
Financials
(-4.4%)
and
Communication
Services
(-1.7%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment. 
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
9
Shareholder
Letter
(Unaudited)
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.76%,
1.01%
and
0.66%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
EMERGING
MULTI-STYLE
II
FUND
VS.MSCI
DAILY
TR
NET
EMERGING
MARKETS
INDEX*
VALUE
OF
$10,000
INVESTED
ON
2/11/2015
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.
*
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.
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2021
AQR
EMERGING
MULTI-STYLE
II
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QTELX
17.26%
7.06%
7.82%
4.72%
2/11/2015
Fund
-
Class
N:
QTENX
16.96%
6.78%
7.53%
4.45%
2/11/2015
Fund
-
Class
R6:
QTERX
17.32%
7.14%
7.92%
4.80%
2/11/2015
MSCI
Daily
TR
Net
Emerging
Market
Index*
18.20%
8.58%
9.23%
6.57%
2/11/2015
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
10
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Large
Cap
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
large
and
mid-cap
U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
28.54%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
30.96%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection,
though
stock
selection
within
sector
also
generated
losses.
Within
sector
stock
selection,
losses
in
Industrials
(-0.8%)
and
Financials
(-0.6%)
were
partially
offset
by
gains
from
Information
Technology
(0.7%)
and
Health
Care
(0.7%).
For
sector
selection,
losses
were
driven
by
Financials
(-1.0%)
and
Energy
(-0.6%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Information
Technology
(5.7%)
and
Consumer
Discretionary
(5.4%),
and
underweights
to
Consumer
Staples
(-3.3%)
and
Financials
(-3.1%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
11
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.41%,
0.66%
and
0.31%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
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
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2021
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AMOMX
28.54%
15.92%
17.57%
16.76%
15.92%
7/9/2009
Fund
-
Class
N:
AMONX
28.27%
15.64%
17.28%
N/A
15.35%
12/17/2012
Fund
-
Class
R6:
QMORX
28.68%
16.05%
17.69%
N/A
13.63%
7/10/2014
Russell
1000®
Total
Return
Index
30.96%
16.43%
17.11%
16.76%
16.33%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
12
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Small
Cap
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
small-cap
U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
41.25%
while
the
Russell
2000®
Total
Return
Index
(the
“Benchmark”)
returned
47.68%.
The
Fund’s
underperformance
was
driven
by
sector
stock
selection,
while
sector
selection
provided
additional
losses.
Within
sector
stock
selection,
losses
in
Information
Technology
(-1.3%),
Industrials
(-1.1%),
and
Financials
(-0.9%)
were
slightly
offset
by
gains
in
Consumer
Staples
(0.5%).
In
sector
selection,
losses
in
Financials
(-0.9%)
and
Health
Care
(-0.8%)
were
partially
offset
by
gains
in
Utilities
(0.5%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
the
Consumer
Discretionary
(8.9%)
and
Health
Care
(2.7%)
sectors,
and
underweights
to
Financials
(-8.2%)
and
Real
Estate
(-3.2%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
13
Shareholder
Letter
(Unaudited)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.65%,
0.90%
and
0.55%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
VS.
RUSSELL
2000®
TOTAL
RETURN
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
09/30/2021
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ASMOX
41.25%
11.08%
14.64%
15.56%
14.86%
7/9/2009
Fund
-
Class
N:
ASMNX
40.98%
10.82%
14.38%
N/A
13.39%
12/17/2012
Fund
-
Class
R6:
QSMRX
41.41%
11.19%
14.76%
N/A
10.99%
7/10/2014
Russell
2000®
Total
Return
Index
47.68%
10.54%
13.45%
14.63%
14.81%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
14
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
International
Momentum
Style
Fund
(the
“Fund”)
seeks
to
invest
in
stocks
of
non-U.S.
companies
with
positive
momentum.
The
Fund
is
not
actively
managed
to
outperform
a
growth,
value
or
core
benchmark.
Rather,
it
seeks
to
provide
systematic
exposure
to
stocks
that
share
the
common
characteristic
of
positive
momentum.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
19.40%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
26.50%.
The
Fund’s
underperformance
was
driven
by
stock
selection
within
sector,
while
sector
selection
provided
additional
losses.
Within
sector
stock
selection,
losses
in
Communication
Services
(-1.3%),
Financials
(-1.1%),
and
Materials
(-1.1%)
were
partially
offset
by
gains
in
Information
Technology
(0.4%).
For
sector
selection,
losses
in
Financials
(-1.5%)
and
Health
Care
(-1.0%)
were
only
partially
offset
by
gains
in
Consumer
Staples
(0.7%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Information
Technology
(5.4%),
Industrials
(5.0%),
and
Materials
(3.4%),
and
underweights
to
Consumer
Staples
(-6.8%)
and
Financials
(-3.8%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment. 
Cliff
Asness
Managing
&
Founding
Principal
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
15
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.59%,
0.84%
and
0.49%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUNDVS.
MSCI
DAILY
TR
NET
WORLD
EX
USA
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.
*
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
09/30/2021
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AIMOX
19.40%
8.51%
8.85%
8.10%
7.61%
7/9/2009
Fund
-
Class
N:
AIONX
19.18%
8.26%
8.59%
N/A
6.29%
12/17/2012
Fund
-
Class
R6:
QIORX
19.55%
8.62%
8.95%
N/A
5.21%
7/10/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
26.50%
7.87%
8.88%
7.88%
7.79%
7/9/2009
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
16
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Large
Cap
Defensive
Style
Fund
(the
“Fund”)
pursues
a
defensive
strategy
in
the
U.S.
market,
meaning
it
seeks
to
participate
in
rising
equity
markets
while
mitigating
downside
risk
in
declining
markets.
In
seeking
this
objective,
the
Fund
invests
in
a
broadly
diversified
set
of
large
and
mid-cap
companies
that
we
believe
to
be
profitable,
stable,
low-risk
businesses.
The
Fund
also
favors
lower
beta
stocks,
which
tend
to
be
less
sensitive
to
fluctuations
in
the
overall
economy
and
the
stock
market.
We
expect
lower
beta
stocks
to
produce
higher
risk-adjusted
returns
than
higher
beta
stocks
over
the
long
term.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
20.53%
while
the
Russell
1000®
Total
Return
Index
(the
“Benchmark”)
returned
30.96%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
stock
selection
while
sector
selection
also
detracted.
Within
sector
stock
selection,
losses
were
driven
by
Financials
(-1.1%),
Materials
(-1.0%)
and
Communication
Services
(-0.9%).
For
sector
selection,
losses
were
driven
by
Consumer
Staples
(-2.5%),
Utilities
(-1.0%)
and
Energy
(-0.9%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Consumer
Staples
(12.2%)
and
Utilities
(4.2%),
and
underweights
to
Information
Technology
(-9.1%)
and
Consumer
Discretionary
(-4.3%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment. 
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
17
Shareholder
Letter
(Unaudited)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.40%,
0.66%
and
0.31%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
VS.
RUSSELL
1000®
TOTAL
RETURN
INDEX
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
09/30/2021
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AUEIX
20.53%
13.33%
15.42%
15.05%
7/9/2012
Fund
-
Class
N:
AUENX
20.17%
13.03%
15.10%
14.76%
7/9/2012
Fund
-
Class
R6:
QUERX
20.55%
13.42%
15.51%
14.16%
9/2/2014
Russell
1000®
Total
Return
Index
30.96%
16.43%
17.11%
15.79%
7/9/2012
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
18
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
International
Defensive
Style
Fund
(the
“Fund”)
pursues
a
defensive
strategy
in
developed
markets
outside
of
the
U.S.,
meaning
it
seeks
to
participate
in
rising
equity
markets
while
mitigating
downside
risk
in
declining
markets.
To
achieve
this
objective,
the
Fund
invests
in
a
broadly
diversified
set
of
large
and
mid-cap
companies
that
we
believe
to
be
profitable,
stable,
low-risk
businesses.
The
Fund
also
favors
lower
beta
stocks,
which
tend
to
be
less
sensitive
to
fluctuations
in
the
overall
economy
and
the
stock
market.
We
expect
lower
beta
stocks
to
produce
higher
risk-adjusted
returns
than
higher
beta
stocks
over
the
long
term.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
16.44%
while
the
MSCI
Daily
TR
Net
World
Ex
USA
Index*
(the
“Benchmark”)
returned
26.50%.
The
Fund’s
underperformance
was
driven
primarily
by
sector
selection,
while
stock
selection
within
sector
also
detracted.
For
sector
selection,
losses
from
Consumer
Staples
(-2.0%)
and
Utilities
(-1.4%)
drove
losses.
Within
sector
stock
selection,
losses
from
Financials
(-1.5%)
and
Consumer
Discretionary
(-0.9%)
were
only
slightly
offset
by
gains
in
Health
Care
(0.4%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sectors
overweights
to
Consumer
Staples
(11.8%)
and
Communication
Services
(6.6%),
and
underweights
to
Industrials
(-8.0%)
and
Financials
(-6.1%).
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
Global
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment.
Michele
Aghassi
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Lars
Nielsen
Principal
19
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.64%,
0.90%
and
0.55%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
VS.MSCI
DAILY
TR
NET
WORLD
EX
USA
INDEX*
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.
*
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
09/30/2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
1
Year
3
Year
5
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
ANDIX
16.44%
6.38%
6.69%
6.94%
7/9/2012
Fund
-
Class
N:
ANDNX
16.13%
6.13%
6.43%
6.67%
7/9/2012
Fund
-
Class
R6:
ANDRX
16.54%
6.48%
6.80%
4.76%
9/2/2014
MSCI
Daily
TR
Net
World
Ex
USA
Index*
26.50%
7.87%
8.88%
8.02%
7/9/2012
Shareholder
Letter
(Unaudited)
AQR
GLOBAL
EQUITY
FUND
20
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Global
Equity
Fund
(the
“Fund”)
is
actively
managed,
and
it
seeks
to
outperform
its
benchmark
in
three
ways:
by
selecting
stocks
within
each
country
and
by
using
futures
and
forwards
contracts
to
over-
and
under-weight
countries
and
currencies
relative
to
the
benchmark.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
22.81%
while
the
MSCI
Daily
TR
Net
World
Index*
(the
“Benchmark”)
returned
28.82%.
The
portfolio's
underperformance
was
driven
primarily
by
country
selection
(-3.2%),
while
currency
selection
(-1.6%)
and
stock
selection
(-1.2%)
also
detracted.
Specifically,
within
the
stock
selection
strategy,
sector
selection
(-2.0%)
drove
losses
while
stock
selection
within
sector
(0.8%)
offset
some
of
those
losses.
For
sector
selection,
losses
from
Financials
(-1.0%)
and
Energy
(-0.7%)
were
slightly
offset
by
gains
in
Consumer
Staples
(0.2%)
and
Utilities
(0.2%).
Within
sector
stock
selection,
gains
from
Consumer
Discretionary
(0.8%)
and
Information
Technology
(0.6%)
were
slightly
offset
by
losses
in
Financials
(-0.3%)
and
Materials
(-0.3%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
within
the
stock
selection
strategy
included
overweights
to
Consumer
Discretionary
(5.8%)
and
Materials
(4.3%),
and
underweights
to
Financials
(-3.3%)
and
Communication
Services
(-3.0%).
Utilization
of
derivative
instruments
is
inherent
to
the
Fund’s
principal
investment
strategies.
During
the
fiscal
year
ended
September
30,
2021,
the
Fund’s
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund’s
performance
to
materially
deviate
from
AQR’s
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment. 
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Michael
Katz
Principal
Lars
Nielsen
Principal
21
Shareholder
Letter
(Unaudited)
AQR
GLOBAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.83%,
1.08%
and
0.73%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
GLOBAL
EQUITY
FUND
VS.
MSCI
DAILY
TR
NET
WORLD
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
09/30/2021
AQR
GLOBAL
EQUITY
FUND
PERFORMANCE
SINCE
COMMENCEMENT
OF
OPERATIONS
AS
A
MUTUAL
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AQGIX
22.81%
7.21%
9.87%
11.61%
9.52%
12/31/2009
Fund
-
Class
N:
AQGNX
22.46%
6.88%
9.58%
11.30%
9.21%
12/31/2009
Fund
-
Class
R6:
AQGRX
23.00%
7.27%
9.98%
N/A
8.04%
1/8/2014
MSCI
Daily
TR
Net
World
Index*
28.82%
13.14%
13.74%
12.68%
10.51%
12/31/2009
22
Shareholder
Letter
(Unaudited)
AQR
GLOBAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.83%,
1.08%
and
0.73%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
GLOBAL
EQUITY
FUND
VS.
MSCI
DAILY
TR
NET
WORLD
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.
*
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.
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2021
AQR
GLOBAL
EQUITY
FUND
PERFORMANCE
SINCE
INCEPTION
OF
PREDECESSOR
LIMITED
PARTNERSHIP
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:AQGIX
22.81%
7.21%
9.87%
11.61%
6.51%
6/30/2006
Fund
-
Class
N:AQGNX
22.46%
6.88%
9.58%
11.30%
6.19%
6/30/2006
Fund
-
Class
R6:AQGRX
23.00%
7.27%
9.98%
N/A
8.04%
1/8/2014
MSCI
Daily
TR
Net
World
Index*
28.82
%
13.14%
13.74%
12.68%
7.65%
6/30/2006
23
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
International
Equity
Fund
(the
“Fund”)
is
actively
managed,
and
it
seeks
to
outperform
its
Benchmark
in
three
ways:
by
selecting
stocks
within
each
country
and
by
using
futures
and
forwards
contracts
to
over-
and
under-weight
countries
and
currencies
relative
to
the
Benchmark.
For
the
one-year
period
ended
September
30,
2021,
the
Fund
returned
19.55%
while
the
MSCI
Daily
TR
Net
EAFE
Index*
(the
“Benchmark”)
returned
25.73%.
The
portfolio's
underperformance
was
driven
primarily
by
country
selection
(-4.6%),
while
currency
selection
(-1.2%)
and
stock
selection
(-0.4%)
also
detracted.
Specifically,
within
the
stock
selection
strategy,
sector
selection
(-1.5%)
drove
losses
while
stock
selection
within
sector
(1.1%)
partially
offset
some
of
those
losses.
In
sector
selection,
losses
in
Financials
(-0.8%),
Health
Care
(-0.4%)
and
Energy
(-0.4%)
were
partially
offset
by
gains
in
Consumer
Staples
(0.5%).
Within
sector
stock
selection,
gains
in
Materials
(1.1%)
were
partially
offset
by
Health
Care
(-0.3%)
and
Industrials
(-0.3%).
Over
the
course
of
the
period,
the
Fund's
largest
active
positions
included
sector
overweights
to
Materials
(4.4%)
and
Information
Technology
(2.8%),
and
underweights
to
Financials
(-5.2%)
and
Consumer
Staples
(-4.0%).
Utilization
of
derivative
instruments
is
inherent
to
the
Fund’s
principal
investment
strategies.
During
the
fiscal
year
ended
September
30,
2021,
the
Fund’s
use
of
derivative
instruments
in
accordance
with
its
principal
investment
strategies
did
not
cause
the
Fund’s
performance
to
materially
deviate
from
AQR’s
performance
expectations
for
the
Fund
under
the
market
conditions
experienced
over
this
period.
Global
equity
markets
were
up
for
the
one-year
period
ended
September
30,
2021,
with
the
MSCI
World
Index
returning
28.8%.
The
growth
environment
remained
strong
for
the
one-year
period
ended
September
30,
2021,
with
global
Gross
Domestic
Product
(“GDP”)
on
track
to
expand
at
a
high
single
digit
pace.
Nonetheless,
the
period
saw
an
end
to
the
steady
upward
march
in
growth
forecasts
since
the
end
of
2020,
as
forecasts
for
2021
GDP
saw
their
first
downtick
since
November
of
last
year.
The
evolution
of
the
COVID-19
pandemic
also
continued
to
play
a
key
role
in
global
equity
markets
for
the
one-year
period
ended
September
30,
2021,
as
the
global
vaccination
campaign
was
challenged
by
the
spread
of
the
more-contagious
Delta
variant.
Delta
outbreaks
in
countries
such
as
China
and
Vietnam
had
global
impacts
on
already
strained
global
supply
chains
still
fighting
to
recover
from
2020.
Alongside
the
Delta
variant,
rising
inflation
has
also
raised
concerns.
We
have
seen
the
Consumer
Price
Index
(CPI)
accelerate
to
a
multi-year
high
across
major
economies
such
as
the
U.S.,
Eurozone,
and
UK.
Finally,
meaningfully
tighter
financial
conditions
in
emerging
economies
and
regulatory
oversight
of
Chinese
technology
companies
and
real
estate
developers
have
increased
uncertainty
in
emerging
markets
as
we
move
into
the
fourth
quarter.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
equity
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and
where
applicable
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
equity
portfolio
management
process
that
considers
moderate
position-level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
Our
experience
during
last
year’s
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
adjusting
where
necessary
to
limit
active
portfolio
risk.
We
will
continue
to
remain
vigilant
as
the
COVID-19
recovery
remains
a
potential
factor
within
the
equity
market
environment. 
Cliff
Asness
Managing
&
Founding
Principal
John
Liew
Founding
Principal
Andrea
Frazzini
Principal
Ronen
Israel
Principal
Michael
Katz
Principal
Lars
Nielsen
Principal
24
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.92%,
1.15%
and
0.83%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
EQUITY
FUND
VS.
MSCI
DAILY
TR
NET
EAFE
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
09/30/2021
AQR
INTERNATIONAL
EQUITY
FUND
PERFORMANCE
SINCE
COMMENCEMENT
OF
OPERATIONS
AS
A
MUTUAL
FUND
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
AQIIX
19.55%
3.73%
5.75%
7.69%
5.52%
9/29/2009
Fund
-
Class
N:
AQINX
19.32%
3.48%
5.51%
7.39%
5.25%
9/29/2009
Fund
-
Class
R6:
AQIRX
19.63%
3.81%
5.84%
N/A
3.73%
1/8/2014
MSCI
Daily
TR
Net
EAFE
Index*
25.73%
7.62%
8.81%
8.10%
6.11%
9/29/2009
25
Shareholder
Letter
(Unaudited)
AQR
INTERNATIONAL
EQUITY
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.92%,
1.15%
and
0.83%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
INTERNATIONAL
EQUITY
FUND
VS.
MSCI
DAILY
TR
NET
EAFE
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.
*
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.
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2021
AQR
INTERNATIONAL
EQUITY
FUND
PERFORMANCE
SINCE
INCEPTION
OF
PREDECESSOR
LIMITED
PARTNERSHIP
1
Year
3
Year
5
Year
10
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:AQIIX
19.55%
3.73%
5.75%
7.69%
5.69%
7/31/2004
Fund
-
Class
N:AQINX
19.32%
3.48%
5.51%
7.39%
5.37%
7/31/2004
Fund
-
Class
R6:AQIRX
19.63%
3.81%
5.84%
N/A
3.73%
1/8/2014
MSCI
Daily
TR
Net
EAFE
Index*
25.73
%
7.62%
8.81%
8.10%
6.23%
7/31/2004
Shareholder
Letter
(Unaudited)
AQR
CORE
PLUS
BOND
FUND
26
AQR
Funds
|
Annual
Report
|
September
2021
Dear
Shareholder:
The
AQR
Core
Plus
Bond
Fund
(the
“Fund”)
is
a
U.S.
Aggregate
Bond-benchmarked
fixed
income
offering
that
seeks
total
return,
consisting
of
capital
appreciation
and
income.
Excess-of-benchmark
returns
are
pursued
through
a
systematic
application
of
fundamental
investment
principles.
These
principles,
which
are
implemented
through
numerous
signals,
can
be
grouped
into
broad
investment
themes
such
as
value,
momentum,
carry
and
defensive.
The
goal
is
a
portfolio
weighted
towards
issuers
and
securities
that
are
undervalued,
have
improving
prices
and
fundamentals,
have
attractive
yields
and
have
higher
quality
characteristics.
This
investment
approach
is
expected
to
provide
attractive
levels
of
outperformance
and,
importantly,
to
be
lowly
correlated
to
major
market
factors
as
well
as
other
active
managers
in
the
space.
Ultimately,
we
believe
an
approach
that
seeks
to
match
the
risk
profile
of
the
benchmark,
outperform
through
a
systematic
security
selection
process
and
provide
diversification
to
both
traditional
active
management
as
well
as
existing
portfolio
exposures,
is
an
attractive
offering
to
investors.
Out-of-benchmark
sectors
are
strictly
used
to
increase
security
selection
breadth,
while
still
seeking
to
match
the
interest
rate,
credit
and
securitized
risks
of
the
benchmark
at
each
point
in
time.
In
addition
to
cash
bonds
(e.g.,
government
bonds,
corporate
bonds),
the
Fund
uses
derivatives
(e.g.
currency
forwards,
interest
rate
swaps,
and
bond
futures)
to
more
efficiently
implement
security
selection
views
and
to
maintain
risks
in
line
with
the
benchmark.
During
the
fiscal
year
ended
September
30,
2021,
the
Fund’s
use
of
derivative
instruments
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.
For
the
fiscal
year
ended
September
30,
2021,
the
Fund
returned
-2.27%
while
its
benchmark,
the
Bloomberg
Barclays
U.S.
Aggregate
Total
Return
Value
Unhedged
USD
Index,
returned
-0.90%.
The
Fund’s
underperformance
was
driven
primarily
by
the
maturity
selection
sub-strategy,
while
the
corporate
security
selection
and
emerging
bond
selection
sub-strategies
contributed
positively,
offsetting
some
underperformance.
The
remaining
sub-strategies
were
roughly
flat.
Within
maturity
selection
in
early
2021,
a
yield-curve
flattener
in
the
U.S.,
driven
by
value
and
carry
signals,
underperformed
as
longer-maturity
yields
rose
sharply
in
the
U.S.
while
the
front-end
of
the
curve
remained
anchored.
A
yield-curve
steepener
in
Germany,
driven
by
value
signals
and
a
yield-curve
steepener
in
Norway,
driven
by
carry
signals
added
to
underperformance.
In
our
curvature
views
(i.e.,
butterfly
positions),
the
majority
of
signals
drove
overweights
in
the
bellies
of
the
U.S.,
Canadian
and
UK
yield
curves.
At
the
end
of
February,
these
positions
underperformed
as
the
front-end
of
many
developed
markets
remained
anchored
while
longer-maturity
bonds
sold-off.
Additionally,
the
belly
of
the
U.S.
curve
performed
particularly
poorly
as
five-year
and
seven-
year
Treasury
auctions
in
late
February
were
met
with
very
weak
demand.
At
AQR,
we
employ
a
variety
of
means
to
monitor
markets
and
assess
portfolio
risk
on
a
continual
basis.
The
fixed
income
portfolios
that
form
our
investment
strategies
seek
to
maintain
extensive
levels
of
diversification
(at
the
security,
industry,
and,
where
applicable,
country
level),
strict
risk
controls,
and
independent
risk
monitoring.
We
maintain
a
systematic
portfolio
management
process
that
considers
moderate
position-
level
exposures,
and
portfolio
liquidity.
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
active
portfolio
volatility
to
determine
if
intervention
is
necessary.
During
the
COVID-19
environment,
as
with
other
past
periods
of
volatility,
we
have
been
able
to
successfully
maintain
portfolio
liquidity,
and
to
execute
our
strategies
effectively,
while
making
adjustments
where
necessary
to
limit
portfolio
risk.
Most
recently,
we
witnessed
the
evolution
of
the
COVID-19
pandemic
continue
to
play
a
role
in
markets
as
the
spread
of
the
more-contagious
Delta
variant
struck
a
blow
to
hopes
of
a
smooth
and
rapid
normalization
of
the
global
economy.
In
July
2021,
risk-off
sentiment
led
to
outperformance
in
safe-haven
assets
such
as
US
Treasuries.
While
the
Delta
wave
may
have
slowed
recovery
in
specific
industries
such
as
restaurants
and
tourism,
broad
measures
of
economic
activity
generally
showed
little
signs
of
a
slowdown.
As
of
September
30,
2021,
fixed
income
markets
continue
to
react
to
the
pandemic
as
well
as
to
the
monetary
and
fiscal
policy
responses.
We
will
continue
to
remain
vigilant
in
our
portfolio
management
process
as
the
pandemic
remains
a
key
influence
for
global
fixed
income
markets.
Ronan
Israel
Principal
Scott
Richardson
Principal
Jordan
Brooks
Principal
27
Shareholder
Letter
(Unaudited)
AQR
CORE
PLUS
BOND
FUND
AQR
Funds
|
Annual
Report
|
September
2021
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
0.67%,
0.88%
and
0.57%,
respectively.
Call
1-866-290-2688
or
visit
www.aqrfunds.com
for
current
month-end
performance.
AQR
CORE
PLUS
BOND
FUND
VS.
BLOOMBERG
BARCLAYS
U.S.
AGGREGATE
TOTAL
RETURN
VALUE
UNHEDGED
USD
INDEX
VALUE
OF
$10,000
INVESTED
ON
4/5/2018
The
chart
above
represents
historical
performance
of
a
hypothetical
investment
of
$10,000
in
the
Fund
over
the
past
ten
years
(or
since
inception
if
shorter).
Performance
data
quoted
represents
past
performance
and
does
not
guarantee
future
results.
Returns
shown
are
total
returns,
which
assume
the
reinvestment
of
dividends
and
capital
gains.
The
table
and
graph
presented
above
do
not
reflect
the
deduction
of
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
test
test
AVERAGE
ANNUAL
TOTAL
RETURNS
AS
OF
09/30/2021
AQR
CORE
PLUS
BOND
FUND
1
Year
3
Year
Since
Inception
Date
of
Inception
Fund
-
Class
I:
QCPIX
-2.27%
4.59%
3.93%
4/5/2018
Fund
-
Class
N:
QCPNX
-2.54%
4.32%
3.67%
4/5/2018
Fund
-
Class
R6:
QCPRX
-2.18%
4.68%
4.01%
4/5/2018
Bloomberg
Barclays
U.S.
Aggregate
Total
Return
Value
Unhedged
USD
Index
-0.90%
5.36%
4.65%
4/5/2018
28
Shareholder
Letter
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
DEFINITIONS:
The
MSCI
Daily
TR
Ne
t
EAFE
Index
:
is
a
free
float-adjusted
market
capitalization
index
that
is
designed
to
measure
the
performance
of
equities
in
developed
markets,
excluding
the
United
States
and
Canada.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
MSCI
Daily
TR
Net
Emerging
Markets
Index
:
is
a
free
float-adjusted
market
capitalization
index
that
is
designed
to
measure
the
performance
of
equities
in
23
global
emerging
markets.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
MSCI
D
aily
TR
Net
World
Ex
USA
Index
:
captures
large
and
mid-cap
securities
exhibiting
overall
growth
style
characteristics
across
22
Developed
Markets
countries
and
23
Emerging
Markets
countries.
The
growth
investment
style
characteristics
for
index
construction
are
defined
using
five
variables:
long-term
forward
EPS
growth
rate,
short-term
forward
EPS
growth
rate,
current
internal
growth
rate
and
long-term
historical
EPS
growth
trend
and
long-term
historical
sales
per
share
growth
trend.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
MSCI
Daily
TR
Net
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.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
Russell
1000®
Total
Return
Index
:
measures
the
performance
of
the
large
and
mid-cap
segment
of
the
U.S.
equity
universe.
It
is
a
subset
of
the
Russell
3000
®
Index
and
includes
approximately
1,000
of
the
largest
securities
based
on
a
combination
of
their
market
cap
and
current
index
membership.
The
Russell
1000
®
Index
Total
Return
represents
approximately
90%
of
the
U.S.
market.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
The
Russell
2000®
Total
Return
Index
:
measures
the
performance
of
the
small-cap
segment
of
the
U.S.
equity
universe.
The
Russell
2000
®
Total
Return
Index
is
a
subset
of
the
Russell
3000
®
Index
representing
approximately
8%
of
the
total
market
capitalization
of
that
index.
It
includes
approximately
2,000
of
the
smallest
securities
based
on
a
combination
of
their
market
cap
and
current
index
membership.
Indexes
are
unmanaged
and
one
cannot
invest
directly
in
an
index.
Bloomberg
Barc
lays®
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.
29
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.6%
Aerospace
&
Defense
-
1.1%
Curtiss-Wright
Corp.
7,365
929,316
Howmet
Aerospace,
Inc.
40,076
1,250,371
Huntington
Ingalls
Industries,
Inc.
37,392
7,218,899
Lockheed
Martin
Corp.
3,293
1,136,414
Textron,
Inc.
54,692
3,818,049
14,353,049
Air
Freight
&
Logistics
-
0.5%
CH
Robinson
Worldwide,
Inc.
4,231
368,097
Expeditors
International
of
Washington,
Inc.
5,168
615,664
FedEx
Corp.
7,598
1,666,165
United
Parcel
Service,
Inc.,
Class
B
22,460
4,089,966
6,739,892
Automobiles
-
1.9%
General
Motors
Co.
*
63,656
3,355,308
Tesla,
Inc.
*
27,261
21,140,360
24,495,668
Banks
-
2.2%
Bank
OZK
14,397
618,783
Citigroup,
Inc.
10,007
702,291
Citizens
Financial
Group,
Inc.
34,638
1,627,293
First
Citizens
BancShares
,
Inc.,
Class
A
1,751
1,476,391
FNB
Corp.
51,751
601,347
JPMorgan
Chase
&
Co.
68,419
11,199,506
People's
United
Financial,
Inc.
56,108
980,207
Popular,
Inc.
134,671
10,459,896
Wells
Fargo
&
Co.
17,775
824,938
Wintrust
Financial
Corp.
5,321
427,649
28,918,301
Beverages
-
0.1%
Monster
Beverage
Corp.
*
8,223
730,449
PepsiCo,
Inc.
4,117
619,238
1,349,687
Biotechnology
-
1.8%
AbbVie,
Inc.
11,941
1,288,076
Amgen,
Inc.
13,098
2,785,290
Horizon
Therapeutics
plc
*
26,140
2,863,376
Moderna
,
Inc.
*
12,333
4,746,478
United
Therapeutics
Corp.
*
66,185
12,216,427
23,899,647
Building
Products
-
1.4%
A
O
Smith
Corp.
14,233
869,209
Carlisle
Cos.,
Inc.
14,794
2,940,899
Carrier
Global
Corp.
75,528
3,909,329
Fortune
Brands
Home
&
Security,
Inc.
4,817
430,736
INVESTMENTS
SHARES
VALUE
($)
Building
Products
-
1.4%
(continued)
Johnson
Controls
International
plc
56,981
3,879,267
Masco
Corp.
12,392
688,376
Owens
Corning
34,561
2,954,966
Trane
Technologies
plc
17,146
2,960,257
18,633,039
Capital
Markets
-
1.8%
Ameriprise
Financial,
Inc.
22,509
5,945,077
Bank
of
New
York
Mellon
Corp.
(The)
35,963
1,864,322
BlackRock,
Inc.
749
628,156
Goldman
Sachs
Group,
Inc.
(The)
11,764
4,447,145
Jefferies
Financial
Group,
Inc.
11,248
417,638
Morgan
Stanley
12,253
1,192,339
MSCI,
Inc.
908
552,373
State
Street
Corp.
29,509
2,500,003
T.
Rowe
Price
Group,
Inc.
4,156
817,485
Virtu
Financial,
Inc.,
Class
A
209,525
5,118,696
23,483,234
Chemicals
-
1.1%
Corteva
,
Inc.
86,483
3,639,205
Eastman
Chemical
Co.
34,809
3,506,659
Huntsman
Corp.
65,880
1,949,389
LyondellBasell
Industries
NV,
Class
A
19,558
1,835,518
NewMarket
Corp.
2,554
865,219
Olin
Corp.
44,202
2,132,746
13,928,736
Commercial
Services
&
Supplies
-
0.6%
Cintas
Corp.
1,315
500,568
Copart
,
Inc.
*
5,071
703,449
Waste
Management,
Inc.
43,926
6,560,787
7,764,804
Communications
Equipment
-
0.6%
Cisco
Systems,
Inc.
133,797
7,282,571
Construction
&
Engineering
-
0.1%
Quanta
Services,
Inc.
4,911
558,970
Valmont
Industries,
Inc.
931
218,897
777,867
Consumer
Finance
-
1.2%
Ally
Financial,
Inc.
55,232
2,819,593
Capital
One
Financial
Corp.
43,798
7,093,962
Santander
Consumer
USA
Holdings,
Inc.
9,931
414,123
SLM
Corp.
307,140
5,405,664
15,733,342
Containers
&
Packaging
-
1.6%
Berry
Global
Group,
Inc.
*
18,175
1,106,494
Graphic
Packaging
Holding
Co.
114,054
2,171,588
International
Paper
Co.
185,011
10,345,815
30
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Containers
&
Packaging
-
1.6%
(continued)
Packaging
Corp.
of
America
19,959
2,743,165
Sealed
Air
Corp.
19,818
1,085,828
Silgan
Holdings,
Inc.
57,426
2,202,862
Sonoco
Products
Co.
21,857
1,302,240
20,957,992
Distributors
-
0.1%
LKQ
Corp.
*
32,592
1,640,029
Diversified
Financial
Services
-
1.3%
Berkshire
Hathaway,
Inc.,
Class
B
*
59,684
16,290,151
Diversified
Telecommunication
Services
-
1.0%
AT&T,
Inc.
245,758
6,637,924
Verizon
Communications,
Inc.
122,307
6,605,801
13,243,725
Electric
Utilities
-
0.6%
Exelon
Corp.
51,781
2,503,094
NRG
Energy,
Inc.
143,306
5,851,184
8,354,278
Electrical
Equipment
-
1.3%
Acuity
Brands,
Inc.
47,683
8,266,802
Eaton
Corp.
plc
6,236
931,097
Hubbell,
Inc.
14,172
2,560,455
Regal
Beloit
Corp.
31,619
4,753,601
16,511,955
Electronic
Equipment,
Instruments
&
Components
-
2.5%
Arrow
Electronics,
Inc.
*
125,806
14,126,756
CDW
Corp.
27,147
4,941,297
Jabil,
Inc.
110,761
6,465,120
SYNNEX
Corp.
60,504
6,298,466
Teledyne
Technologies,
Inc.
*
1,723
740,166
32,571,805
Energy
Equipment
&
Services
-
0.1%
Schlumberger
NV
44,339
1,314,208
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.2%
American
Tower
Corp.
1,846
489,947
EPR
Properties
564
27,850
Kimco
Realty
Corp.
23,476
487,127
Public
Storage
5,056
1,502,138
Ventas,
Inc.
6,599
364,331
VEREIT,
Inc.
7,562
342,029
3,213,422
Food
&
Staples
Retailing
-
1.6%
Albertsons
Cos.,
Inc.,
Class
A
73,185
2,278,249
Costco
Wholesale
Corp.
5,737
2,577,921
Kroger
Co.
(The)
173,875
7,029,766
Walgreens
Boots
Alliance,
Inc.
17,732
834,291
Walmart,
Inc.
56,207
7,834,132
20,554,359
INVESTMENTS
SHARES
VALUE
($)
Food
Products
-
1.0%
Flowers
Foods,
Inc.
17,814
420,945
Ingredion,
Inc.
6,350
565,214
J
M
Smucker
Co.
(The)
43,311
5,198,619
Pilgrim's
Pride
Corp.
*
22,078
642,028
Tyson
Foods,
Inc.,
Class
A
78,986
6,235,155
13,061,961
Health
Care
Equipment
&
Supplies
-
1.3%
Abbott
Laboratories
6,000
708,780
Baxter
International,
Inc.
15,913
1,279,883
Danaher
Corp.
30,060
9,151,466
Medtronic
plc
43,297
5,427,279
16,567,408
Health
Care
Providers
&
Services
-
3.4%
AmerisourceBergen
Corp.
4,674
558,309
Anthem,
Inc.
30,301
11,296,213
CVS
Health
Corp.
66,540
5,646,584
Humana,
Inc.
6,667
2,594,463
McKesson
Corp.
15,144
3,019,411
Molina
Healthcare,
Inc.
*
30,437
8,257,863
Quest
Diagnostics,
Inc.
39,696
5,768,226
UnitedHealth
Group,
Inc.
19,334
7,554,567
44,695,636
Health
Care
Technology
-
0.2%
Teladoc
Health,
Inc.
*
3,483
441,679
Veeva
Systems,
Inc.,
Class
A
*
5,355
1,543,151
1,984,830
Hotels,
Restaurants
&
Leisure
-
0.3%
Darden
Restaurants,
Inc.
22,484
3,405,651
McDonald's
Corp.
1,933
466,066
3,871,717
Household
Durables
-
1.4%
Lennar
Corp.,
Class
A
50,051
4,688,778
Mohawk
Industries,
Inc.
*
13,673
2,425,590
PulteGroup,
Inc.
77,305
3,549,846
Toll
Brothers,
Inc.
44,205
2,444,094
Whirlpool
Corp.
23,440
4,778,478
17,886,786
Household
Products
-
1.3%
Procter
&
Gamble
Co.
(The)
121,655
17,007,369
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Vistra
Corp.
53,274
910,985
Industrial
Conglomerates
-
1.0%
3M
Co.
18,015
3,160,191
General
Electric
Co.
34,103
3,513,632
Honeywell
International,
Inc.
21,563
4,577,394
Roper
Technologies,
Inc.
3,234
1,442,784
12,694,001
31
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
3.6%
Allstate
Corp.
(The)
129,472
16,483,080
Assurant,
Inc.
24,894
3,927,029
Assured
Guaranty
Ltd.
8,667
405,702
Everest
Re
Group
Ltd.
38,549
9,667,318
First
American
Financial
Corp.
88,484
5,932,852
Mercury
General
Corp.
17,382
967,656
MetLife,
Inc.
10,090
622,856
Old
Republic
International
Corp.
207,622
4,802,297
Progressive
Corp.
(The)
20,762
1,876,677
Travelers
Cos.,
Inc.
(The)
2,976
452,382
White
Mountains
Insurance
Group
Ltd.
2,012
2,152,055
47,289,904
Interactive
Media
&
Services
-
7.5%
Alphabet,
Inc.,
Class
A
*
14,720
39,354,214
Alphabet,
Inc.,
Class
C
*
8,464
22,559,184
Facebook,
Inc.,
Class
A
*
106,035
35,987,219
97,900,617
Internet
&
Direct
Marketing
Retail
-
3.0%
Amazon.com,
Inc.
*
11,096
36,450,804
Qurate
Retail,
Inc.,
Series
A
214,327
2,183,992
38,634,796
IT
Services
-
2.7%
Accenture
plc,
Class
A
14,799
4,734,496
Akamai
Technologies,
Inc.
*
42,555
4,450,827
Alliance
Data
Systems
Corp.
60,084
6,061,875
Amdocs
Ltd.
50,314
3,809,273
Cognizant
Technology
Solutions
Corp.,
Class
A
10,270
762,137
Concentrix
Corp.
*
38,658
6,842,466
Gartner,
Inc.
*
6,538
1,986,767
International
Business
Machines
Corp.
4,634
643,802
Snowflake,
Inc.,
Class
A
*
5,945
1,797,946
VeriSign,
Inc.
*
9,225
1,891,217
Visa,
Inc.,
Class
A
8,641
1,924,783
34,905,589
Leisure
Products
-
0.1%
Brunswick
Corp.
9,451
900,397
Polaris,
Inc.
4,787
572,812
1,473,209
Life
Sciences
Tools
&
Services
-
1.8%
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,200
1,641,090
Charles
River
Laboratories
International,
Inc.
*
22,100
9,120,007
Thermo
Fisher
Scientific,
Inc.
23,195
13,251,999
24,013,096
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
3.6%
AGCO
Corp.
88,326
10,822,585
Cummins,
Inc.
51,002
11,453,009
ITT,
Inc.
6,926
594,528
Oshkosh
Corp.
96,805
9,909,928
Pentair
plc
27,261
1,979,966
Snap-on,
Inc.
32,104
6,708,131
Timken
Co.
(The)
87,344
5,714,044
47,182,191
Media
-
0.4%
Comcast
Corp.,
Class
A
18,515
1,035,544
DISH
Network
Corp.,
Class
A
*
25,929
1,126,874
Interpublic
Group
of
Cos.,
Inc.
(The)
98,645
3,617,312
5,779,730
Metals
&
Mining
-
0.9%
Nucor
Corp.
4,917
484,275
Reliance
Steel
&
Aluminum
Co.
48,404
6,893,698
Steel
Dynamics,
Inc.
6,528
381,758
United
States
Steel
Corp.
162,092
3,561,161
11,320,892
Multiline
Retail
-
1.3%
Dollar
General
Corp.
18,932
4,016,235
Kohl's
Corp.
7,208
339,425
Target
Corp.
55,651
12,731,279
17,086,939
Multi-Utilities
-
0.2%
Ameren
Corp.
8,706
705,186
MDU
Resources
Group,
Inc.
48,742
1,446,175
2,151,361
Oil,
Gas
&
Consumable
Fuels
-
4.0%
Cabot
Oil
&
Gas
Corp.
523,432
11,389,880
ConocoPhillips
153,784
10,421,942
Devon
Energy
Corp.
213,438
7,579,183
EOG
Resources,
Inc.
136,108
10,925,389
Exxon
Mobil
Corp.
137,734
8,101,514
Kinder
Morgan,
Inc.
109,645
1,834,361
Marathon
Oil
Corp.
125,788
1,719,522
51,971,791
Personal
Products
-
0.2%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
7,313
2,193,388
Pharmaceuticals
-
2.3%
Bristol-Myers
Squibb
Co.
44,724
2,646,319
Eli
Lilly
&
Co.
5,145
1,188,752
Johnson
&
Johnson
109,199
17,635,639
Merck
&
Co.,
Inc.
8,655
650,077
32
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
2.3%
(continued)
Pfizer,
Inc.
188,999
8,128,847
30,249,634
Professional
Services
-
1.3%
Booz
Allen
Hamilton
Holding
Corp.
41,226
3,271,283
CACI
International,
Inc.,
Class
A
*
15,663
4,105,272
IHS
Markit
Ltd.
15,153
1,767,143
ManpowerGroup
,
Inc.
44,494
4,817,810
Robert
Half
International,
Inc.
34,886
3,500,113
17,461,621
Road
&
Rail
-
0.7%
AMERCO
4,863
3,141,644
Knight-Swift
Transportation
Holdings,
Inc.
10,168
520,093
Ryder
System,
Inc.
44,658
3,693,663
Schneider
National,
Inc.,
Class
B
49,578
1,127,404
8,482,804
Semiconductors
&
Semiconductor
Equipment
-
4.0%
Applied
Materials,
Inc.
79,128
10,186,147
Intel
Corp.
274,879
14,645,553
Lam
Research
Corp.
14,577
8,296,500
Micron
Technology,
Inc.
79,324
5,630,418
Qorvo
,
Inc.
*
15,215
2,543,796
QUALCOMM,
Inc.
21,481
2,770,619
Skyworks
Solutions,
Inc.
4,916
810,058
Teradyne,
Inc.
12,312
1,344,101
Texas
Instruments,
Inc.
20,600
3,959,526
Xilinx,
Inc.
9,412
1,421,118
51,607,836
Software
-
8.8%
Adobe,
Inc.
*
17,610
10,138,429
Cadence
Design
Systems,
Inc.
*
32,463
4,916,197
Fortinet,
Inc.
*
1,643
479,822
Intuit,
Inc.
1,554
838,398
Manhattan
Associates,
Inc.
*
4,944
756,580
Microsoft
Corp.
280,580
79,101,114
Oracle
Corp.
164,608
14,342,295
Palantir
Technologies,
Inc.,
Class
A
*
51,841
1,246,258
Teradata
Corp.
*
21,873
1,254,416
VMware,
Inc.,
Class
A
*(a)
6,694
995,398
114,068,907
Specialty
Retail
-
4.1%
AutoNation,
Inc.
*
104,176
12,684,470
Best
Buy
Co.,
Inc.
27,413
2,897,828
Dick's
Sporting
Goods,
Inc.
91,311
10,936,318
Foot
Locker,
Inc.
62,770
2,866,078
Home
Depot,
Inc.
(The)
20,880
6,854,069
Lowe's
Cos.,
Inc.
13,584
2,755,650
Penske
Automotive
Group,
Inc.
51,358
5,166,615
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
4.1%
(continued)
Williams-Sonoma,
Inc.
54,708
9,701,370
53,862,398
Technology
Hardware,
Storage
&
Peripherals
-
7.1%
Apple,
Inc.
583,843
82,613,784
Dell
Technologies,
Inc.,
Class
C
*
13,871
1,443,139
HP,
Inc.
241,182
6,598,740
Xerox
Holdings
Corp.
56,613
1,141,884
91,797,547
Textiles,
Apparel
&
Luxury
Goods
-
1.2%
Carter's,
Inc.
22,482
2,186,150
Columbia
Sportswear
Co.
20,649
1,979,000
Deckers
Outdoor
Corp.
*
15,303
5,512,141
Lululemon
Athletica
,
Inc.
*
3,796
1,536,241
NIKE,
Inc.,
Class
B
11,109
1,613,360
Ralph
Lauren
Corp.
4,926
546,983
Skechers
USA,
Inc.,
Class
A
*
27,084
1,140,778
Tapestry,
Inc.
17,715
655,809
15,170,462
Thrifts
&
Mortgage
Finance
-
0.1%
MGIC
Investment
Corp.
55,406
828,874
Tobacco
-
0.5%
Altria
Group,
Inc.
55,142
2,510,064
Philip
Morris
International,
Inc.
49,206
4,664,237
7,174,301
Trading
Companies
&
Distributors
-
1.3%
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
79,293
6,358,506
United
Rentals,
Inc.
*
14,863
5,215,872
Watsco
,
Inc.
21,264
5,626,880
17,201,258
Wireless
Telecommunication
Services
-
0.2%
T-Mobile
US,
Inc.
*
16,099
2,056,808
TOTAL
COMMON
STOCKS
(Cost
$688,799,920)
1,242,558,407
PREFERRED
STOCKS
-
0.0%
(b)
Internet
&
Direct
Marketing
Retail
-
0.0%
(b)
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$476,826)
4,865
526,150
SHORT-TERM
INVESTMENTS
-
4.2%
INVESTMENT
COMPANIES
-
4.2%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(c)
(Cost
$54,829,748)
54,851,689
54,829,748
33
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
0.1%
Investment
Companies
-
0.1%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(c)(d)
512,915
512,915
Limited
Purpose
Cash
Investment
Fund
0.01%
(c)(d)
505,188
504,986
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$1,018,103)
1,017,901
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.9%
(Cost
$745,124,597)
1,298,932,206
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.1%
(e)
1,343,848
NET
ASSETS
-
100.0%
1,300,276,054
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
118,980,880
9.1
%
Consumer
Discretionary
174,648,155
13.4
Consumer
Staples
61,341,064
4.7
Energy
53,285,999
4.1
Financials
132,543,806
10.2
Health
Care
141,410,250
10.9
Industrials
167,802,481
12.9
Information
Technology
332,234,256
25.6
Materials
46,207,620
3.6
Real
Estate
3,213,422
0.2
Utilities
11,416,624
0.9
Short-Term
Investments
54,829,748
4.2
Securities
Lending
Collateral
1,017,901
0.1
Total
Investments
In
Securities
At
Value
1,298,932,206
99.9
Other
Assets
in
Excess
of
Liabilities
(e
)
1,343,848
0.1
Net
Assets
$
1,300,276,054
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$997,496.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(d)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(e)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
211
12/2021
USD
$
45,341,263
$
(1,226,217)
$
(1,226,217)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
3,346,374
$
3,346,374
34
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.3%
Aerospace
&
Defense
-
0.6%
AAR
Corp.
*
1,965
63,725
Aerojet
Rocketdyne
Holdings,
Inc.
3,808
165,839
Vectrus
,
Inc.
*
9,876
496,565
726,129
Air
Freight
&
Logistics
-
0.6%
Atlas
Air
Worldwide
Holdings,
Inc.
*
3,716
303,523
Hub
Group,
Inc.,
Class
A
*
6,511
447,631
751,154
Airlines
-
0.3%
Allegiant
Travel
Co.
*
806
157,557
SkyWest,
Inc.
*
2,603
128,432
Spirit
Airlines,
Inc.
*
4,469
115,926
401,915
Auto
Components
-
1.9%
Adient
plc
*
4,662
193,240
Dana,
Inc.
22,664
504,047
Fox
Factory
Holding
Corp.
*
2,389
345,306
Goodyear
Tire
&
Rubber
Co.
(The)
*
3,187
56,410
LCI
Industries
3,795
510,921
Patrick
Industries,
Inc.
5,106
425,330
XPEL,
Inc.
*(a)
6,291
477,235
2,512,489
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
1,911
138,452
Banks
-
5.8%
1st
Source
Corp.
4,426
209,084
BancFirst
Corp.
1,011
60,781
Bancorp,
Inc.
(The)
*
12,926
328,967
Cadence
Bancorp
3,228
70,887
Cathay
General
Bancorp
9,546
395,109
CIT
Group,
Inc.
5,501
285,777
Columbia
Banking
System,
Inc.
4,804
182,504
Customers
Bancorp,
Inc.
*
19,317
831,017
Dime
Community
Bancshares,
Inc.
3,240
105,818
Eastern
Bankshares
,
Inc.
7,990
162,197
Financial
Institutions,
Inc.
1,682
51,553
First
Bancorp/PR
23,233
305,514
First
Interstate
BancSystem
,
Inc.,
Class
A
4,570
183,988
First
Merchants
Corp.
4,786
200,246
Fulton
Financial
Corp.
10,873
166,140
Glacier
Bancorp,
Inc.
3,253
180,054
Great
Southern
Bancorp,
Inc.
7,773
426,038
Hancock
Whitney
Corp.
4,008
188,857
Hanmi
Financial
Corp.
5,324
106,799
Heartland
Financial
USA,
Inc.
10,270
493,782
Hilltop
Holdings,
Inc.
18,531
605,408
Home
BancShares
,
Inc.
16,787
394,998
INVESTMENTS
SHARES
VALUE
($)
Banks
-
5.8%
(continued)
International
Bancshares
Corp.
10,482
436,471
Investors
Bancorp,
Inc.
9,978
150,768
Midland
States
Bancorp,
Inc.
1,712
42,338
NBT
Bancorp,
Inc.
4,174
150,765
OFG
Bancorp
3,523
88,850
Old
National
Bancorp
12,058
204,383
QCR
Holdings,
Inc.
961
49,434
ServisFirst
Bancshares,
Inc.
4,239
329,794
SouthState
Corp.
1,300
97,071
Trustmark
Corp.
1,383
44,560
7,529,952
Beverages
-
1.1%
Celsius
Holdings,
Inc.
*
5,387
485,315
Coca-Cola
Consolidated,
Inc.
971
382,749
MGP
Ingredients,
Inc.
2,225
144,848
National
Beverage
Corp.
5,023
263,657
Primo
Water
Corp.
7,159
112,539
1,389,108
Biotechnology
-
6.6%
Affimed
NV
(Germany)
*
5,787
35,764
Agenus,
Inc.
*
6,632
34,818
Agios
Pharmaceuticals,
Inc.
*
4,007
184,923
Alkermes
plc
*
11,690
360,520
Allakos
,
Inc.
*
909
96,236
Alpine
Immune
Sciences,
Inc.
*(b)
4,449
47,471
Amicus
Therapeutics,
Inc.
*
15,837
151,243
AnaptysBio
,
Inc.
*
4,307
116,806
Anavex
Life
Sciences
Corp.
*(b)
2,168
38,916
Anika
Therapeutics,
Inc.
*
1,718
73,118
Arcus
Biosciences,
Inc.
*
2,827
98,577
Arena
Pharmaceuticals,
Inc.
*
3,941
234,687
Arrowhead
Pharmaceuticals,
Inc.
*
5,157
321,951
Atara
Biotherapeutics
,
Inc.
*
2,245
40,185
Atossa
Therapeutics,
Inc.
*
10,995
35,844
Beam
Therapeutics,
Inc.
*
2,063
179,502
BioCryst
Pharmaceuticals,
Inc.
*
6,166
88,605
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
*
2,436
338,385
Blueprint
Medicines
Corp.
*
3,376
347,087
Bridgebio
Pharma,
Inc.
*
3,151
147,687
CareDx
,
Inc.
*
739
46,830
Catalyst
Pharmaceuticals,
Inc.
*
59,114
313,304
Cerevel
Therapeutics
Holdings,
Inc.
*
1,318
38,881
Cortexyme
,
Inc.
*
724
66,362
Crinetics
Pharmaceuticals,
Inc.
*
1,883
39,637
Curis
,
Inc.
*
8,615
67,455
Denali
Therapeutics,
Inc.
*
3,910
197,259
DermTech
,
Inc.
*(b)
1,061
34,069
Eagle
Pharmaceuticals,
Inc.
*
1,950
108,771
Editas
Medicine,
Inc.
*
2,570
105,576
Emergent
BioSolutions
,
Inc.
*
5,522
276,487
Enanta
Pharmaceuticals,
Inc.
*
1,676
95,214
35
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
6.6%
(continued)
Fate
Therapeutics,
Inc.
*
4,788
283,785
Gritstone
bio,
Inc.
*
3,226
34,841
Halozyme
Therapeutics,
Inc.
*
8,467
344,438
Ideaya
Biosciences,
Inc.
*
4,296
109,505
Insmed
,
Inc.
*
6,637
182,783
Intellia
Therapeutics,
Inc.
*
2,863
384,071
Invitae
Corp.
*
3,778
107,409
Ironwood
Pharmaceuticals,
Inc.
*
10,111
132,050
IVERIC
bio,
Inc.
*
2,279
37,011
Karuna
Therapeutics,
Inc.
*
573
70,095
Kodiak
Sciences,
Inc.
*
1,894
181,786
Ligand
Pharmaceuticals,
Inc.
*
572
79,691
MeiraGTx
Holdings
plc
*
4,734
62,394
Morphic
Holding,
Inc.
*
1,056
59,812
Myriad
Genetics,
Inc.
*
5,288
170,749
OPKO
Health,
Inc.
*(b)
12,780
46,647
Organogenesis
Holdings,
Inc.
*
4,738
67,469
PDL
BioPharma
,
Inc.
(3)*(c)
32,677
73,367
Precision
BioSciences
,
Inc.
*
3,681
42,479
REVOLUTION
Medicines,
Inc.
*
1,174
32,297
Selecta
Biosciences,
Inc.
*
22,275
92,664
Sorrento
Therapeutics,
Inc.
*(b)
11,647
88,867
SpringWorks
Therapeutics,
Inc.
*
1,111
70,482
Surface
Oncology,
Inc.
*
7,384
55,897
Sutro
Biopharma,
Inc.
*
2,017
38,101
TG
Therapeutics,
Inc.
*
7,265
241,779
Travere
Therapeutics,
Inc.
*
1,617
39,212
Turning
Point
Therapeutics,
Inc.
*
1,699
112,865
Twist
Bioscience
Corp.
*
1,089
116,490
Veracyte
,
Inc.
*
4,543
211,022
Vericel
Corp.
*
7,091
346,041
Vir
Biotechnology,
Inc.
*
1,751
76,203
VistaGen
Therapeutics,
Inc.
*
25,507
69,889
XBiotech
,
Inc.
4,835
62,613
Xencor
,
Inc.
*
1,064
34,750
Zentalis
Pharmaceuticals,
Inc.
*
830
55,311
8,577,035
Building
Products
-
1.8%
Apogee
Enterprises,
Inc.
16,622
627,647
Griffon
Corp.
1,689
41,549
Insteel
Industries,
Inc.
12,798
486,964
Masonite
International
Corp.
*
870
92,333
Simpson
Manufacturing
Co.,
Inc.
826
88,357
UFP
Industries,
Inc.
14,996
1,019,428
2,356,278
Capital
Markets
-
2.1%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
9,798
479,318
Brightsphere
Investment
Group,
Inc.
9,927
259,393
Cohen
&
Steers,
Inc.
1,237
103,624
Cowen,
Inc.,
Class
A
15,482
531,187
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
2.1%
(continued)
Diamond
Hill
Investment
Group,
Inc.
512
89,938
Donnelley
Financial
Solutions,
Inc.
*
9,790
338,930
Federated
Hermes,
Inc.
7,470
242,775
Houlihan
Lokey
,
Inc.
1,072
98,731
Oppenheimer
Holdings,
Inc.,
Class
A
4,322
195,743
StoneX
Group,
Inc.
*
1,990
131,141
Virtus
Investment
Partners,
Inc.
789
244,842
2,715,622
Chemicals
-
0.6%
AdvanSix
,
Inc.
*
5,856
232,776
Amyris
,
Inc.
*
2,821
38,732
Balchem
Corp.
638
92,555
Intrepid
Potash,
Inc.
*
1,832
56,609
Rayonier
Advanced
Materials,
Inc.
*
6,832
51,240
Stepan
Co.
2,781
314,086
785,998
Commercial
Services
&
Supplies
-
1.3%
ABM
Industries,
Inc.
6,164
277,442
ACCO
Brands
Corp.
43,267
371,664
Cimpress
plc
(Ireland)
*
817
70,940
Ennis,
Inc.
2,498
47,087
Healthcare
Services
Group,
Inc.
4,680
116,953
HNI
Corp.
7,145
262,364
Interface,
Inc.
16,972
257,126
RR
Donnelley
&
Sons
Co.
*
47,910
246,257
1,649,833
Communications
Equipment
-
0.9%
Calix,
Inc.
*
8,409
415,657
Cambium
Networks
Corp.
*
6,272
226,984
Digi
International,
Inc.
*
3,152
66,255
Extreme
Networks,
Inc.
*
18,579
183,003
NETGEAR,
Inc.
*
6,514
207,862
NetScout
Systems,
Inc.
*
4,190
112,920
1,212,681
Construction
&
Engineering
-
2.3%
API
Group
Corp.
*
9,020
183,557
Arcosa
,
Inc.
3,429
172,033
Comfort
Systems
USA,
Inc.
2,375
169,385
EMCOR
Group,
Inc.
5,140
593,053
Great
Lakes
Dredge
&
Dock
Corp.
*
6,296
95,007
MYR
Group,
Inc.
*
15,604
1,552,598
Primoris
Services
Corp.
5,206
127,495
Sterling
Construction
Co.,
Inc.
*
4,126
93,536
Tutor
Perini
Corp.
*
3,878
50,337
3,037,001
36
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Construction
Materials
-
0.2%
Summit
Materials,
Inc.,
Class
A
*
7,598
242,908
Consumer
Finance
-
0.5%
Curo
Group
Holdings
Corp.
5,143
89,128
Encore
Capital
Group,
Inc.
*
4,225
208,166
Enova
International,
Inc.
*
3,466
119,750
LendingClub
Corp.
*
3,237
91,413
Navient
Corp.
3,591
70,851
Oportun
Financial
Corp.
*
1,545
38,671
617,979
Containers
&
Packaging
-
0.2%
Greif,
Inc.,
Class
A
604
39,018
O-I
Glass,
Inc.
*
10,899
155,529
194,547
Diversified
Consumer
Services
-
0.4%
American
Public
Education,
Inc.
*
7,704
197,300
Houghton
Mifflin
Harcourt
Co.
*
15,398
206,795
Laureate
Education,
Inc.,
Class
A
*
5,783
98,253
Perdoceo
Education
Corp.
*
5,000
52,800
555,148
Diversified
Financial
Services
-
0.1%
Cannae
Holdings,
Inc.
*
5,494
170,918
Diversified
Telecommunication
Services
-
0.5%
Anterix
,
Inc.
*
714
43,340
ATN
International,
Inc.
955
44,742
Cogent
Communications
Holdings,
Inc.
1,515
107,323
Consolidated
Communications
Holdings,
Inc.
*
26,424
242,836
IDT
Corp.,
Class
B
*
1,261
52,899
Iridium
Communications,
Inc.
*
1,778
70,853
Ooma
,
Inc.
*
4,035
75,091
637,084
Electric
Utilities
-
0.2%
PNM
Resources,
Inc.
4,384
216,920
Electrical
Equipment
-
1.3%
Atkore
,
Inc.
*
11,522
1,001,492
Encore
Wire
Corp.
5,463
518,056
EnerSys
631
46,972
GrafTech
International
Ltd.
12,665
130,703
1,697,223
Electronic
Equipment,
Instruments
&
Components
-
2.5%
ePlus
,
Inc.
*
3,442
353,183
Fabrinet
(Thailand)
*
5,468
560,525
II-VI,
Inc.
*
997
59,182
Insight
Enterprises,
Inc.
*
8,746
787,840
Kimball
Electronics,
Inc.
*
3,278
84,474
Methode
Electronics,
Inc.
9,348
393,083
MicroVision
,
Inc.
*(b)
4,201
46,421
PC
Connection,
Inc.
7,882
347,044
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
2.5%
(continued)
Plexus
Corp.
*
629
56,239
Sanmina
Corp.
*
14,509
559,177
Vishay
Intertechnology
,
Inc.
2,321
46,629
3,293,797
Energy
Equipment
&
Services
-
0.8%
Cactus,
Inc.,
Class
A
2,222
83,814
ChampionX
Corp.
*
10,428
233,170
FTS
International,
Inc.,
Class
A
*
1,747
42,976
Nabors
Industries
Ltd.
*
1,064
102,655
National
Energy
Services
Reunited
Corp.
*
13,486
168,844
ProPetro
Holding
Corp.
*
53,512
462,879
1,094,338
Entertainment
-
0.5%
AMC
Entertainment
Holdings,
Inc.,
Class
A
*(b)
18,442
701,903
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.2%
Alexander
&
Baldwin,
Inc.
3,040
71,258
Alexander's,
Inc.
237
61,767
American
Finance
Trust,
Inc.
16,080
129,283
Apple
Hospitality
REIT,
Inc.
3,766
59,239
Braemar
Hotels
&
Resorts,
Inc.
*
12,380
60,043
Broadstone
Net
Lease,
Inc.
6,085
150,969
Chatham
Lodging
Trust
*
5,336
65,366
CorePoint
Lodging,
Inc.
*
2,465
38,208
EastGroup
Properties,
Inc.
1,890
314,931
Healthcare
Realty
Trust,
Inc.
8,582
255,572
Independence
Realty
Trust,
Inc.
6,241
127,004
Industrial
Logistics
Properties
Trust
4,209
106,951
Kite
Realty
Group
Trust
3,416
69,550
Lexington
Realty
Trust
11,810
150,577
Monmouth
Real
Estate
Investment
Corp.
1,998
37,263
National
Health
Investors,
Inc.
1,294
69,229
National
Storage
Affiliates
Trust
5,618
296,574
NexPoint
Residential
Trust,
Inc.
1,268
78,464
Office
Properties
Income
Trust
5,323
134,832
One
Liberty
Properties,
Inc.
1,902
57,992
Physicians
Realty
Trust
8,095
142,634
PotlatchDeltic
Corp.
1,410
72,728
PS
Business
Parks,
Inc.
1,322
207,210
Ryman
Hospitality
Properties,
Inc.
*
1,592
133,250
Sabra
Health
Care
REIT,
Inc.
10,777
158,637
Service
Properties
Trust
5,565
62,384
STAG
Industrial,
Inc.
4,119
161,671
Tanger
Factory
Outlet
Centers,
Inc.
2,198
35,827
Terreno
Realty
Corp.
1,442
91,178
Uniti
Group,
Inc.
12,744
157,643
Urban
Edge
Properties
12,023
220,141
Urstadt
Biddle
Properties,
Inc.,
Class
A
4,410
83,481
Ventas,
Inc.
2,033
112,242
37
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.2%
(continued)
Whitestone
REIT
23,431
229,155
4,203,253
Food
&
Staples
Retailing
-
1.2%
BJ's
Wholesale
Club
Holdings,
Inc.
*
2,854
156,742
Ingles
Markets,
Inc.,
Class
A
7,717
509,553
Performance
Food
Group
Co.
*
6,796
315,742
SpartanNash
Co.
1,939
42,464
United
Natural
Foods,
Inc.
*
7,626
369,251
Weis
Markets,
Inc.
2,014
105,836
1,499,588
Food
Products
-
1.1%
B&G
Foods,
Inc.
8,829
263,899
Fresh
Del
Monte
Produce,
Inc.
1,557
50,167
John
B
Sanfilippo
&
Son,
Inc.
6,645
543,029
Sanderson
Farms,
Inc.
881
165,804
Seneca
Foods
Corp.,
Class
A
*
9,075
437,596
1,460,495
Gas
Utilities
-
0.0%
(d)
Southwest
Gas
Holdings,
Inc.
816
54,574
Health
Care
Equipment
&
Supplies
-
2.3%
Asensus
Surgical,
Inc.
*(b)
36,207
66,983
Atrion
Corp.
66
46,035
CONMED
Corp.
1,602
209,590
Cutera
,
Inc.
*
1,278
59,555
Glaukos
Corp.
*
1,111
53,517
Inari
Medical,
Inc.
*
570
46,227
Inogen
,
Inc.
*
782
33,696
Integer
Holdings
Corp.
*
4,048
361,648
Invacare
Corp.
*
10,579
50,356
LeMaitre
Vascular,
Inc.
2,334
123,912
LivaNova
plc
*
2,578
204,152
Meridian
Bioscience,
Inc.
*
8,035
154,593
Merit
Medical
Systems,
Inc.
*
5,491
394,254
Natus
Medical,
Inc.
*
2,770
69,472
Neogen
Corp.
*
6,002
260,667
NuVasive
,
Inc.
*
2,078
124,368
Retractable
Technologies,
Inc.
*
10,316
113,786
Shockwave
Medical,
Inc.
*
1,530
314,996
Sientra
,
Inc.
*
6,408
36,718
STAAR
Surgical
Co.
*
1,480
190,224
Surmodics
,
Inc.
*
819
45,536
Varex
Imaging
Corp.
*
1,385
39,057
Zynex
,
Inc.
*(b)
3,713
42,291
3,041,633
Health
Care
Providers
&
Services
-
3.6%
AMN
Healthcare
Services,
Inc.
*
3,616
414,936
Apollo
Medical
Holdings,
Inc.
*(b)
1,768
160,976
Community
Health
Systems,
Inc.
*
18,014
210,764
CorVel
Corp.
*
2,593
482,868
Ensign
Group,
Inc.
(The)
4,930
369,208
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
3.6%
(continued)
Fulgent
Genetics,
Inc.
*(b)
1,400
125,930
HealthEquity
,
Inc.
*
589
38,143
Joint
Corp.
(The)
*
4,882
478,534
LHC
Group,
Inc.
*
1,746
273,965
Magellan
Health,
Inc.
*
1,311
123,955
MEDNAX,
Inc.
*
1,523
43,299
ModivCare
,
Inc.
*
1,311
238,104
National
Research
Corp.
3,848
162,270
Option
Care
Health,
Inc.
*
6,191
150,194
Owens
&
Minor,
Inc.
11,361
355,486
Patterson
Cos.,
Inc.
10,730
323,402
Select
Medical
Holdings
Corp.
10,100
365,317
Tenet
Healthcare
Corp.
*
4,187
278,184
Triple-S
Management
Corp.
*
4,668
165,107
4,760,642
Health
Care
Technology
-
1.4%
Castlight
Health,
Inc.,
Class
B
*
50,021
78,533
Computer
Programs
and
Systems,
Inc.
*
8,963
317,828
Evolent
Health,
Inc.,
Class
A
*
8,955
277,605
Inovalon
Holdings,
Inc.,
Class
A
*
7,954
320,467
Inspire
Medical
Systems,
Inc.
*
430
100,138
NextGen
Healthcare,
Inc.
*
3,083
43,470
Omnicell
,
Inc.
*
4,004
594,314
OptimizeRx
Corp.
*
919
78,620
Simulations
Plus,
Inc.
1,686
66,597
1,877,572
Hotels,
Restaurants
&
Leisure
-
1.3%
BJ's
Restaurants,
Inc.
*
1,110
46,354
Bloomin
'
Brands,
Inc.
*
4,222
105,550
Brinker
International,
Inc.
*
3,504
171,871
Cheesecake
Factory,
Inc.
(The)
*
1,042
48,974
Cracker
Barrel
Old
Country
Store,
Inc.
321
44,889
El
Pollo
Loco
Holdings,
Inc.
*
2,818
47,624
Fiesta
Restaurant
Group,
Inc.
*
11,481
125,832
International
Game
Technology
plc
*
1,890
49,745
ONE
Group
Hospitality,
Inc.
(The)
*
3,477
37,169
Papa
John's
International,
Inc.
1,229
156,071
RCI
Hospitality
Holdings,
Inc.
2,387
163,533
Red
Rock
Resorts,
Inc.,
Class
A
*
2,270
116,269
Scientific
Games
Corp.
*
1,003
83,319
Texas
Roadhouse,
Inc.
4,893
446,878
Wingstop
,
Inc.
570
93,440
1,737,518
Household
Durables
-
2.0%
Century
Communities,
Inc.
6,869
422,100
Helen
of
Troy
Ltd.
*
1,166
261,977
Hooker
Furnishings
Corp.
1,395
37,651
KB
Home
2,891
112,518
La-Z-Boy,
Inc.
4,817
155,252
38
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Household
Durables
-
2.0%
(continued)
LGI
Homes,
Inc.
*
1,219
172,988
M/I
Homes,
Inc.
*
4,825
278,885
MDC
Holdings,
Inc.
3,873
180,947
Meritage
Homes
Corp.
*
4,023
390,231
Skyline
Champion
Corp.
*
2,310
138,739
Tri
Pointe
Homes,
Inc.
*
15,364
322,951
Universal
Electronics,
Inc.
*
1,590
78,307
2,552,546
Household
Products
-
0.2%
WD-40
Co.
879
203,471
Independent
Power
and
Renewable
Electricity
Producers
-
0.4%
Clearway
Energy,
Inc.,
Class
C
5,241
158,645
Ormat
Technologies,
Inc.
2,731
181,912
Sunnova
Energy
International,
Inc.
*
3,576
117,793
458,350
Insurance
-
1.7%
CNO
Financial
Group,
Inc.
5,575
131,236
Employers
Holdings,
Inc.
13,872
547,805
Horace
Mann
Educators
Corp.
11,281
448,871
Kinsale
Capital
Group,
Inc.
393
63,548
Selective
Insurance
Group,
Inc.
4,313
325,761
Stewart
Information
Services
Corp.
6,315
399,487
Tiptree,
Inc.
24,063
241,111
2,157,819
Interactive
Media
&
Services
-
0.2%
Cars.com,
Inc.
*
5,585
70,650
fuboTV
,
Inc.
*(b)
2,218
53,144
Yelp,
Inc.
*
1,897
70,644
194,438
Internet
&
Direct
Marketing
Retail
-
1.3%
1-800-Flowers.com,
Inc.,
Class
A
*
15,448
471,318
Duluth
Holdings,
Inc.,
Class
B
*
17,267
235,349
Groupon,
Inc.
*
3,551
80,998
Lands'
End,
Inc.
*
13,140
309,316
Liquidity
Services,
Inc.
*
1,710
36,953
Shutterstock
,
Inc.
3,014
341,547
Stamps.com,
Inc.
*
772
254,598
1,730,079
IT
Services
-
2.0%
BigCommerce
Holdings,
Inc.,
Series
1
*
1,992
100,875
Cass
Information
Systems,
Inc.
3,009
125,927
Conduent
,
Inc.
*
48,370
318,758
CSG
Systems
International,
Inc.
2,538
122,332
EVERTEC,
Inc.
6,528
298,460
GreenSky
,
Inc.,
Class
A
*
3,059
34,200
Hackett
Group,
Inc.
(The)
9,556
187,489
International
Money
Express,
Inc.
*
7,210
120,407
Maximus,
Inc.
5,923
492,793
INVESTMENTS
SHARES
VALUE
($)
IT
Services
-
2.0%
(continued)
MoneyGram
International,
Inc.
*
8,517
68,306
Perficient
,
Inc.
*
3,774
436,652
TTEC
Holdings,
Inc.
3,352
313,512
2,619,711
Leisure
Products
-
1.7%
Acushnet
Holdings
Corp.
3,239
151,261
Callaway
Golf
Co.
*
2,951
81,536
Johnson
Outdoors,
Inc.,
Class
A
4,990
527,942
Malibu
Boats,
Inc.,
Class
A
*
4,788
335,064
MasterCraft
Boat
Holdings,
Inc.
*
2,753
69,045
Smith
&
Wesson
Brands,
Inc.
13,106
272,081
Sturm
Ruger
&
Co.,
Inc.
2,661
196,329
Vista
Outdoor,
Inc.
*
15,498
624,724
2,257,982
Life
Sciences
Tools
&
Services
-
1.7%
Bionano
Genomics,
Inc.
*(b)
13,362
73,491
Fluidigm
Corp.
*
16,915
111,470
Harvard
Bioscience,
Inc.
*
31,666
221,029
Inotiv
,
Inc.
*
3,265
95,468
Medpace
Holdings,
Inc.
*
5,849
1,107,099
NeoGenomics
,
Inc.
*
5,053
243,757
Pacific
Biosciences
of
California,
Inc.
*
8,331
212,857
Quanterix
Corp.
*
2,835
141,154
2,206,325
Machinery
-
2.2%
Chart
Industries,
Inc.
*
264
50,453
Columbus
McKinnon
Corp.
6,930
335,065
Federal
Signal
Corp.
2,937
113,427
Greenbrier
Cos.,
Inc.
(The)
2,377
102,187
Lydall
,
Inc.
*
1,768
109,775
Meritor,
Inc.
*
17,445
371,753
Miller
Industries,
Inc.
3,896
132,620
Mueller
Industries,
Inc.
18,631
765,734
Rexnord
Corp.
5,807
373,332
Shyft
Group,
Inc.
(The)
5,859
222,701
Terex
Corp.
848
35,701
Wabash
National
Corp.
4,895
74,061
Welbilt
,
Inc.
*
6,286
146,087
2,832,896
Marine
-
1.2%
Costamare
,
Inc.
(Monaco)
15,594
241,551
Eagle
Bulk
Shipping,
Inc.
*
829
41,798
Genco
Shipping
&
Trading
Ltd.
12,785
257,362
Matson,
Inc.
8,484
684,744
Safe
Bulkers,
Inc.
(Greece)
*
77,406
400,189
1,625,644
39
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Media
-
1.0%
AMC
Networks,
Inc.,
Class
A
*
4,671
217,622
Entravision
Communications
Corp.,
Class
A
21,241
150,811
Gannett
Co.,
Inc.
*
29,773
198,884
Gray
Television,
Inc.
3,584
81,787
John
Wiley
&
Sons,
Inc.,
Class
A
733
38,270
Magnite
,
Inc.
*
5,623
157,444
Meredith
Corp.
*
1,251
69,681
TechTarget
,
Inc.
*
1,587
130,800
TEGNA,
Inc.
14,461
285,171
1,330,470
Metals
&
Mining
-
1.2%
Arconic
Corp.
*
10,490
330,855
Commercial
Metals
Co.
21,209
646,026
Ryerson
Holding
Corp.
7,379
164,330
SunCoke
Energy,
Inc.
15,698
98,583
TimkenSteel
Corp.
*
21,976
287,446
Worthington
Industries,
Inc.
778
41,001
1,568,241
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.8%
Apollo
Commercial
Real
Estate
Finance,
Inc.
10,665
158,162
Blackstone
Mortgage
Trust,
Inc.,
Class
A
9,163
277,822
Chimera
Investment
Corp.
12,242
181,794
Hannon
Armstrong
Sustainable
Infrastructure
Capital,
Inc.
4,604
246,222
PennyMac
Mortgage
Investment
Trust
6,655
131,037
995,037
Multiline
Retail
-
0.3%
Big
Lots,
Inc.
2,559
110,958
Macy's,
Inc.
13,067
295,314
406,272
Multi-Utilities
-
0.4%
Avista
Corp.
3,368
131,756
Black
Hills
Corp.
3,256
204,347
NorthWestern
Corp.
2,627
150,527
486,630
Oil,
Gas
&
Consumable
Fuels
-
3.8%
Altus
Midstream
Co.
575
39,692
Antero
Resources
Corp.
*
24,367
458,343
Bonanza
Creek
Energy,
Inc.
8,579
410,934
California
Resources
Corp.
*
1,862
76,342
Centennial
Resource
Development,
Inc.,
Class
A
*
27,460
183,982
Chesapeake
Energy
Corp.
4,657
286,825
CONSOL
Energy,
Inc.
*
9,269
241,179
Denbury,
Inc.
*
2,240
157,360
Earthstone
Energy,
Inc.,
Class
A
*
4,713
43,360
INVESTMENTS
SHARES
VALUE
($)
Oil,
Gas
&
Consumable
Fuels
-
3.8%
(continued)
Falcon
Minerals
Corp.
17,504
82,269
Gevo
,
Inc.
*(b)
9,266
61,526
International
Seaways,
Inc.
4,044
73,682
Laredo
Petroleum,
Inc.
*
845
68,504
Magnolia
Oil
&
Gas
Corp.,
Class
A
16,603
295,367
Matador
Resources
Co.
7,015
266,851
Murphy
Oil
Corp.
5,287
132,016
Ovintiv
,
Inc.
13,088
430,333
PDC
Energy,
Inc.
9,307
441,059
Range
Resources
Corp.
*
2,900
65,627
Renewable
Energy
Group,
Inc.
*
3,028
152,006
REX
American
Resources
Corp.
*
1,617
129,150
Scorpio
Tankers,
Inc.
(Monaco)
3,055
56,640
SM
Energy
Co.
11,557
304,874
Southwestern
Energy
Co.
*
13,542
75,023
W&T
Offshore,
Inc.
*
11,818
43,963
Whiting
Petroleum
Corp.
*
5,254
306,886
World
Fuel
Services
Corp.
1,904
64,012
4,947,805
Paper
&
Forest
Products
-
0.0%
(d)
Verso
Corp.,
Class
A
1,305
27,079
Personal
Products
-
0.7%
Edgewell
Personal
Care
Co.
7,187
260,888
Medifast
,
Inc.
2,022
389,518
USANA
Health
Sciences,
Inc.
*
2,837
261,572
911,978
Pharmaceuticals
-
0.8%
Citius
Pharmaceuticals,
Inc.
*
18,243
37,033
Collegium
Pharmaceutical,
Inc.
*
4,027
79,493
Corcept
Therapeutics,
Inc.
*
15,134
297,837
Evolus
,
Inc.
*
8,438
64,297
Innoviva
,
Inc.
*
3,683
61,543
KemPharm
,
Inc.
*
9,613
89,689
Oramed
Pharmaceuticals,
Inc.
(Israel)
*(b)
1,865
40,993
Phibro
Animal
Health
Corp.,
Class
A
5,358
115,411
Prestige
Consumer
Healthcare,
Inc.
*
2,551
143,137
Supernus
Pharmaceuticals,
Inc.
*
5,371
143,245
1,072,678
Professional
Services
-
2.1%
ASGN,
Inc.
*
458
51,818
Barrett
Business
Services,
Inc.
1,855
141,462
CRA
International,
Inc.
433
43,014
Insperity
,
Inc.
1,137
125,911
KBR,
Inc.
8,809
347,075
Kelly
Services,
Inc.,
Class
A
12,283
231,903
Kforce
,
Inc.
21,500
1,282,260
Korn
Ferry
2,917
211,074
Resources
Connection,
Inc.
3,815
60,201
TrueBlue
,
Inc.
*
3,297
89,283
40
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Professional
Services
-
2.1%
(continued)
Upwork
,
Inc.
*
3,822
172,105
2,756,106
Real
Estate
Management
&
Development
-
0.8%
Cushman
&
Wakefield
plc
*
2,556
47,567
eXp
World
Holdings,
Inc.
8,882
353,237
Kennedy-Wilson
Holdings,
Inc.
2,102
43,974
Newmark
Group,
Inc.,
Class
A
11,859
169,703
Realogy
Holdings
Corp.
*
10,232
179,469
Redfin
Corp.
*
4,718
236,372
1,030,322
Road
&
Rail
-
1.1%
ArcBest
Corp.
11,325
926,045
Avis
Budget
Group,
Inc.
*
1,453
169,289
Covenant
Logistics
Group,
Inc.
*
2,964
81,955
Werner
Enterprises,
Inc.
4,273
189,166
1,366,455
Semiconductors
&
Semiconductor
Equipment
-
4.9%
Amkor
Technology,
Inc.
44,754
1,116,612
Axcelis
Technologies,
Inc.
*
2,277
107,087
CMC
Materials,
Inc.
614
75,663
Diodes,
Inc.
*
6,970
631,412
FormFactor
,
Inc.
*
16,501
615,982
Ichor
Holdings
Ltd.
*
5,628
231,255
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
1,559
90,859
Lattice
Semiconductor
Corp.
*
9,396
607,451
Onto
Innovation,
Inc.
*
3,224
232,934
Photronics
,
Inc.
*
28,791
392,421
Power
Integrations,
Inc.
7,411
733,615
SiTime
Corp.
*
170
34,709
SMART
Global
Holdings,
Inc.
*
3,901
173,595
Synaptics
,
Inc.
*
5,098
916,264
Ultra
Clean
Holdings,
Inc.
*
11,554
492,200
6,452,059
Software
-
4.6%
ACI
Worldwide,
Inc.
*
1,838
56,482
Agilysys
,
Inc.
*
726
38,013
American
Software,
Inc.,
Class
A
5,824
138,320
Appfolio
,
Inc.,
Class
A
*
1,355
163,142
Appian
Corp.
*
406
37,559
Asana,
Inc.,
Class
A
*
3,098
321,696
Avaya
Holdings
Corp.
*
6,399
126,636
Blackline,
Inc.
*
2,407
284,170
Cerence
,
Inc.
*
2,747
264,014
ChannelAdvisor
Corp.
*
13,348
336,770
Cloudera,
Inc.
*
10,812
172,668
CommVault
Systems,
Inc.
*
607
45,713
Cornerstone
OnDemand
,
Inc.
*
741
42,430
Digital
Turbine,
Inc.
*
5,789
397,994
Domo,
Inc.,
Class
B
*
939
79,289
Ebix
,
Inc.
4,038
108,743
INVESTMENTS
SHARES
VALUE
($)
Software
-
4.6%
(continued)
J2
Global,
Inc.
*
5,737
783,789
Marathon
Digital
Holdings,
Inc.
*(b)
2,119
66,918
MicroStrategy
,
Inc.,
Class
A
*(b)
93
53,791
Mimecast
Ltd.
*
714
45,410
Mitek
Systems,
Inc.
*
6,033
111,611
Progress
Software
Corp.
5,680
279,399
Q2
Holdings,
Inc.
*
639
51,210
Qualys
,
Inc.
*
786
87,474
Rapid7,
Inc.
*
866
97,875
Rimini
Street,
Inc.
*
3,967
38,282
SecureWorks
Corp.,
Class
A
*
19,980
397,202
Smith
Micro
Software,
Inc.
*
13,650
66,066
Sprout
Social,
Inc.,
Class
A
*
1,411
172,072
SPS
Commerce,
Inc.
*
5,029
811,228
Tenable
Holdings,
Inc.
*
1,382
63,766
Verint
Systems,
Inc.
*
1,525
68,305
Veritone
,
Inc.
*
1,764
42,142
Workiva
,
Inc.
*
931
131,234
Xperi
Holding
Corp.
4,036
76,038
6,057,451
Specialty
Retail
-
3.7%
Abercrombie
&
Fitch
Co.,
Class
A
*
6,331
238,236
Academy
Sports
&
Outdoors,
Inc.
*
3,263
130,585
Asbury
Automotive
Group,
Inc.
*
2,821
555,004
Bed
Bath
&
Beyond,
Inc.
*
4,810
83,093
Big
5
Sporting
Goods
Corp.
3,937
90,708
Citi
Trends,
Inc.
*
2,530
184,589
Conn's,
Inc.
*
4,067
92,850
Genesco,
Inc.
*
3,420
197,437
Group
1
Automotive,
Inc.
2,783
522,870
Hibbett,
Inc.
6,252
442,266
MarineMax
,
Inc.
*
6,544
317,515
Murphy
USA,
Inc.
1,573
263,100
ODP
Corp.
(The)
*
9,864
396,138
Sally
Beauty
Holdings,
Inc.
*
11,415
192,343
Shoe
Carnival,
Inc.
1,320
42,794
Signet
Jewelers
Ltd.
5,769
455,520
Sleep
Number
Corp.
*
2,327
217,528
Sonic
Automotive,
Inc.,
Class
A
4,258
223,715
Sportsman's
Warehouse
Holdings,
Inc.
*
3,441
60,562
Urban
Outfitters,
Inc.
*
2,610
77,491
Zumiez
,
Inc.
*
1,278
50,813
4,835,157
Technology
Hardware,
Storage
&
Peripherals
-
0.6%
3D
Systems
Corp.
*
5,055
139,366
Avid
Technology,
Inc.
*
6,235
180,316
Diebold
Nixdorf,
Inc.
*
5,267
53,250
Super
Micro
Computer,
Inc.
*
9,404
343,904
Turtle
Beach
Corp.
*
4,206
117,011
833,847
41
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Textiles,
Apparel
&
Luxury
Goods
-
1.1%
Crocs,
Inc.
*
2,946
422,692
Fossil
Group,
Inc.
*
5,732
67,924
G-III
Apparel
Group
Ltd.
*
12,955
366,627
Kontoor
Brands,
Inc.
7,405
369,880
Movado
Group,
Inc.
4,092
128,857
Oxford
Industries,
Inc.
745
67,177
Superior
Group
of
Cos.,
Inc.
1,532
35,680
1,458,837
Thrifts
&
Mortgage
Finance
-
2.4%
Flagstar
Bancorp,
Inc.
2,261
114,814
HomeStreet
,
Inc.
5,139
211,470
Mr
Cooper
Group,
Inc.
*
25,081
1,032,585
PennyMac
Financial
Services,
Inc.
8,653
528,958
Provident
Financial
Services,
Inc.
2,099
49,263
Radian
Group,
Inc.
17,777
403,893
Walker
&
Dunlop,
Inc.
6,798
771,573
Waterstone
Financial,
Inc.
2,029
41,574
3,154,130
Tobacco
-
0.1%
Turning
Point
Brands,
Inc.
583
27,838
Vector
Group
Ltd.
6,859
87,452
115,290
Trading
Companies
&
Distributors
-
2.9%
BlueLinx
Holdings,
Inc.
*
1,936
94,632
Boise
Cascade
Co.
17,542
946,917
CAI
International,
Inc.
2,263
126,525
GMS,
Inc.
*
7,975
349,305
Rush
Enterprises,
Inc.,
Class
A
13,668
617,247
Textainer
Group
Holdings
Ltd.
(China)
*
7,363
257,042
Titan
Machinery,
Inc.
*
3,029
78,482
Triton
International
Ltd.
3,107
161,688
Veritiv
Corp.
*
9,995
895,152
WESCO
International,
Inc.
*
2,426
279,766
3,806,756
Wireless
Telecommunication
Services
-
0.1%
Shenandoah
Telecommunications
Co.
3,062
96,698
TOTAL
COMMON
STOCKS
(Cost
$75,912,928)
124,390,246
PREFERRED
STOCKS
-
0.2%
Media
-
0.1%
Liberty
Broadband
Corp.,
Series
A,
7.00%,
3/10/2039
(e)
2,832
78,871
INVESTMENTS
SHARES
VALUE
($)
Trading
Companies
&
Distributors
-
0.1%
WESCO
International,
Inc.,
Series
A,
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
10.33%),
10.63%,
6/22/2025
(e)(f)
2,999
94,109
TOTAL
PREFERRED
STOCKS
(Cost
$105,425)
172,980
SHORT-TERM
INVESTMENTS
-
4.3%
INVESTMENT
COMPANIES
-
4.3%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(g)
(Cost
$5,663,770)
5,666,036
5,663,770
SECURITIES
LENDING
COLLATERAL
-
0.8%
Investment
Companies
-
0.8%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(g)(h)
532,768
532,768
Limited
Purpose
Cash
Investment
Fund
0.01%
(g)(h)
524,742
524,532
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$1,057,510)
1,057,300
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.6%
(Cost
$82,739,633)
131,284,296
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.6)%
(
i
)
(724,778)
NET
ASSETS
-
100.0%
130,559,518
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
3,039,463
2.3
%
Consumer
Discretionary
18,184,479
13.9
Consumer
Staples
5,579,930
4.3
Energy
6,042,143
4.6
Financials
17,341,457
13.3
Health
Care
21,535,887
16.6
Industrials
23,101,497
17.7
Information
Technology
20,469,547
15.7
Materials
2,818,773
2.2
Real
Estate
5,233,575
4.0
Utilities
1,216,475
0.9
Short-Term
Investments
5,663,770
4.3
Securities
Lending
Collateral
1,057,300
0.8
Total
Investments
In
Securities
At
Value
131,284,296
100.6
Liabilities
in
Excess
of
Other
Assets
(
i
)
(724,778)
(0.6)
Net
Assets
$
130,559,518
100.0%
42
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
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
September
30,
2021,
the
value
of
these
securities
amounted
to
$477,235
or
0.37%
of
net
assets.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$1,016,504.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$73,367,
which
represents
approximately
0.06%
of
net
assets
of
the
fund.
(d)
Represents
less
than
0.05%
of
net
assets.
(e)
Perpetual
security.
The
rate
reflected
was
the
rate
in
effect
on
September
30,
2021.
The
maturity
date
reflects
the
next
call
date.
(f)
Variable
or
floating
rate
security,
linked
to
the
referenced
benchmark.
The
interest
rate
shown
was
the
current
rate
as
of
September
30,
2021.
(g)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(h)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(i)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
41
12/2021
USD
$
4,511,640
$
(74,349)
$
(74,349)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
324,446
$
324,446
43
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.5%
Australia
-
5.5%
Afterpay
Ltd.
*
5,690
494,319
Aristocrat
Leisure
Ltd.
8,511
283,046
Aurizon
Holdings
Ltd.
931,811
2,522,823
BHP
Group
Ltd.
75,493
2,016,257
BHP
Group
plc
75,993
1,914,593
BlueScope
Steel
Ltd.
269,694
3,907,757
CSL
Ltd.
4,834
1,009,974
Dexus
,
REIT
138,456
1,065,640
Fortescue
Metals
Group
Ltd.
426,268
4,540,614
Goodman
Group,
REIT
72,718
1,118,918
GPT
Group
(The),
REIT
232,279
836,646
REA
Group
Ltd.
7,075
796,863
Rio
Tinto
Ltd.
8,995
640,363
Rio
Tinto
plc
44,322
2,905,402
Scentre
Group,
REIT
354,218
753,905
South32
Ltd.
839,139
2,082,353
Tabcorp
Holdings
Ltd.
57,040
198,191
Wesfarmers
Ltd.
16,013
636,892
27,724,556
—
Austria
-
0.1%
Mondi
plc
23,998
588,095
Belgium
-
0.6%
Ageas
SA/NV
22,700
1,124,114
Groupe
Bruxelles
Lambert
SA
1,467
161,364
Proximus
SADP
84,164
1,670,191
2,955,669
—
Canada
-
10.5%
Alimentation
Couche-Tard,
Inc.,
Class
B
(1)
15,914
608,868
Bank
of
Montreal
(1)
12,049
1,202,902
Bank
of
Nova
Scotia
(The)
(1)
8,454
520,349
Canadian
Apartment
Properties,
REIT
(1)
3,482
162,499
Canadian
Imperial
Bank
of
Commerce
(1)
17,788
1,980,189
Canadian
Natural
Resources
Ltd.
(1)
23,966
876,256
Canadian
Pacific
Railway
Ltd.
(1)
48,960
3,197,127
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
33,728
4,719,684
CCL
Industries,
Inc.,
Class
B
(1)
4,615
239,021
CGI,
Inc.
(1)*
38,306
3,253,863
CI
Financial
Corp.
(1)
31,000
629,252
Constellation
Software,
Inc.
(1)
1,663
2,724,426
Empire
Co.
Ltd.,
Class
A
(1)
78,122
2,380,790
Fairfax
Financial
Holdings
Ltd.
(1)
2,516
1,015,677
Gildan
Activewear
,
Inc.
(1)
4,276
156,240
Great-West
Lifeco
,
Inc.
(1)
6,006
182,750
iA
Financial
Corp.,
Inc.
(1)
12,987
736,812
IGM
Financial,
Inc.
(1)
31,421
1,122,533
Kinross
Gold
Corp.
(1)
437,491
2,345,305
Kirkland
Lake
Gold
Ltd.
(1)
7,689
320,284
Loblaw
Cos.
Ltd.
(1)
9,400
645,072
Magna
International,
Inc.
(1)
36,000
2,709,237
National
Bank
of
Canada
(1)
18,499
1,420,798
Onex
Corp.
(1)
22,412
1,584,376
INVESTMENTS
SHARES
VALUE
($)
Canada
-
10.5%
(continued)
Open
Text
Corp.
(1)
62,257
3,038,629
Power
Corp.
of
Canada
(1)
5,259
173,349
Quebecor,
Inc.,
Class
B
(1)
28,453
687,625
Royal
Bank
of
Canada
(1)
23,203
2,308,759
Teck
Resources
Ltd.,
Class
B
(1)
95,122
2,367,911
Thomson
Reuters
Corp.
(1)
33,548
3,709,456
Toronto-Dominion
Bank
(The)
(1)
12,139
803,612
West
Fraser
Timber
Co.
Ltd.
(1)
52,089
4,387,222
52,210,873
—
Chile
-
0.1%
Lundin
Mining
Corp.
(1)
89,493
643,677
China
-
0.3%
BOC
Hong
Kong
Holdings
Ltd.
529,500
1,595,606
Denmark
-
3.2%
Coloplast
A/S,
Class
B
5,961
932,077
Demant
A/S
*
6,495
327,291
DSV
A/S
5,938
1,421,343
Genmab
A/S
*
2,453
1,071,769
GN
Store
Nord
A/S
20,603
1,424,968
Novo
Nordisk
A/S,
Class
B
56,397
5,436,083
Pandora
A/S
45,389
5,510,212
16,123,743
—
Finland
-
1.7%
Kesko
OYJ,
Class
B
50,333
1,736,157
Kone
OYJ,
Class
B
53,362
3,748,594
Neste
OYJ
32,823
1,851,622
Nokia
OYJ
*
124,892
688,818
Orion
OYJ,
Class
B
15,954
631,631
8,656,822
—
France
-
7.5%
Arkema
SA
11,265
1,485,481
BNP
Paribas
SA
65,235
4,173,781
Bollore
SA
58,919
340,245
Carrefour
SA
330,206
5,917,766
Cie
de
Saint-Gobain
71,539
4,814,363
Cie
Generale
des
Etablissements
Michelin
SCA
2,784
426,900
CNP
Assurances
101,639
1,604,182
Credit
Agricole
SA
111,077
1,526,803
Electricite
de
France
SA
184,387
2,317,035
Engie
SA
12,876
168,459
Ipsen
SA
19,649
1,872,354
La
Francaise
des
Jeux
SAEM
(a)
3,177
163,352
L'Oreal
SA
7,631
3,157,739
LVMH
Moet
Hennessy
Louis
Vuitton
SE
468
335,212
Orange
SA
115,253
1,246,446
Publicis
Groupe
SA
45,751
3,073,452
Sanofi
49,521
4,767,092
Unibail
-
Rodamco
-Westfield,
REIT
*
4,856
357,405
Vivendi
SE
12,414
156,292
37,904,359
—
44
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Germany
-
8.1%
Allianz
SE
(Registered)
4,879
1,093,119
Bayerische
Motoren
Werke
AG
39,787
3,778,931
Brenntag
SE
41,214
3,828,561
Covestro
AG
(a)
57,529
3,920,647
Daimler
AG
(Registered)
37,324
3,293,160
Deutsche
Boerse
AG
5,597
908,206
Deutsche
Post
AG
(Registered)
27,693
1,736,623
Deutsche
Wohnen
SE
(1)*
9,341
572,386
Evonik
Industries
AG
5,927
185,854
Fresenius
SE
&
Co.
KGaA
12,270
587,306
GEA
Group
AG
22,163
1,012,170
HelloFresh
SE
*
55,639
5,128,085
Infineon
Technologies
AG
99,417
4,065,977
KION
Group
AG
4,200
390,506
SAP
SE
6,543
884,805
Siemens
AG
(Registered)
5,000
817,755
Siemens
Energy
AG
*
3,772
100,899
Telefonica
Deutschland
Holding
AG
51,454
146,501
Volkswagen
AG
(Preference)
14,324
3,192,857
Vonovia
SE
13,726
825,185
Zalando
SE
*(a)
49,711
4,533,721
41,003,254
—
Hong
Kong
-
2.5%
CK
Asset
Holdings
Ltd.
319,439
1,843,091
CLP
Holdings
Ltd.
85,000
818,416
Hong
Kong
Exchanges
&
Clearing
Ltd.
32,300
1,984,852
Link,
REIT
39,000
333,971
Power
Assets
Holdings
Ltd.
23,500
137,759
Sun
Hung
Kai
Properties
Ltd.
38,500
480,724
Swire
Pacific
Ltd.,
Class
A
133,000
786,967
WH
Group
Ltd.
(a)
6,024,000
4,289,378
Xinyi
Glass
Holdings
Ltd.
696,000
2,076,205
12,751,363
—
Italy
-
1.3%
Assicurazioni
Generali
SpA
40,634
860,595
DiaSorin
SpA
1,590
332,964
Enel
SpA
117,323
900,480
Prysmian
SpA
71,480
2,496,690
Telecom
Italia
SpA
5,251,871
2,053,541
6,644,270
—
Japan
-
20.2%
Acom
Co.
Ltd.
26,500
96,835
Aisin
Corp.
4,100
148,571
Bandai
Namco
Holdings,
Inc.
5,500
413,477
Brother
Industries
Ltd.
9,300
204,649
Chubu
Electric
Power
Co.,
Inc.
254,200
3,004,323
Dai-ichi
Life
Holdings,
Inc.
87,200
1,907,157
Daiwa
House
Industry
Co.
Ltd.
19,500
650,033
ENEOS
Holdings,
Inc.
1,178,600
4,787,891
Fujitsu
Ltd.
35,900
6,487,513
Hitachi
Ltd.
21,500
1,271,955
Idemitsu
Kosan
Co.
Ltd.
30,800
810,245
Iida
Group
Holdings
Co.
Ltd.
26,400
679,053
ITOCHU
Corp.
151,300
4,406,762
Japan
Post
Holdings
Co.
Ltd.
*
596,600
5,014,826
Japan
Post
Insurance
Co.
Ltd.
242,000
4,389,425
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.2%
(continued)
Japan
Tobacco,
Inc.
35,000
685,799
Kajima
Corp.
33,400
428,007
KDDI
Corp.
12,300
404,954
Kyocera
Corp.
2,500
156,278
M3,
Inc.
12,400
883,727
Marubeni
Corp.
36,800
304,455
Mitsubishi
Estate
Co.
Ltd.
26,800
426,731
Mitsubishi
Gas
Chemical
Co.,
Inc.
8,200
161,701
Mitsubishi
UFJ
Financial
Group,
Inc.
591,300
3,495,372
Mitsui
Fudosan
Co.
Ltd.
20,800
494,102
Mizuho
Financial
Group,
Inc.
379,820
5,373,375
MS&AD
Insurance
Group
Holdings,
Inc.
204,400
6,836,513
Nabtesco
Corp.
16,100
608,739
NGK
Spark
Plug
Co.
Ltd.
12,200
189,817
NH
Foods
Ltd.
7,300
275,680
Nippon
Express
Co.
Ltd.
29,900
2,059,221
Nippon
Telegraph
&
Telephone
Corp.
244,100
6,763,808
Nitto
Denko
Corp.
7,200
512,543
Nomura
Holdings,
Inc.
805,900
3,973,011
Nomura
Real
Estate
Holdings,
Inc.
10,700
278,184
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
128
184,227
ORIX
Corp.
15,900
297,513
Osaka
Gas
Co.
Ltd.
8,200
149,839
Resona
Holdings,
Inc.
1,672,200
6,688,825
Rohm
Co.
Ltd.
2,300
216,896
Seven
&
i
Holdings
Co.
Ltd.
6,000
273,147
Shimano,
Inc.
2,000
584,374
Sompo
Holdings,
Inc.
119,500
5,184,511
Subaru
Corp.
103,400
1,910,803
Sumitomo
Mitsui
Financial
Group,
Inc.
89,200
3,138,000
Sumitomo
Mitsui
Trust
Holdings,
Inc.
70,000
2,410,803
T&D
Holdings,
Inc.
105,900
1,452,725
TDK
Corp.
4,500
162,282
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
1,419,800
4,042,584
Tokyo
Electron
Ltd.
6,700
2,959,918
Tosoh
Corp.
157,500
2,854,174
Yamaha
Corp.
3,700
232,738
101,328,091
—
Luxembourg
-
0.1%
ArcelorMittal
SA
22,726
695,703
Netherlands
-
5.6%
ASM
International
NV
3,657
1,432,149
ASML
Holding
NV
13,470
10,062,877
ING
Groep
NV
109,319
1,589,336
Koninklijke
Ahold
Delhaize
NV
158,904
5,291,207
Koninklijke
Philips
NV
3,321
147,542
NN
Group
NV
17,590
921,404
Randstad
NV
34,392
2,315,513
Royal
Dutch
Shell
plc,
Class
B
106,513
2,359,968
Universal
Music
Group
NV
(1)*
12,414
332,388
45
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
5.6%
(continued)
Wolters
Kluwer
NV
35,973
3,813,012
28,265,396
—
Russia
-
0.7%
Coca-Cola
HBC
AG
*
6,248
201,337
Evraz
plc
410,335
3,255,597
3,456,934
—
Saudi
Arabia
-
0.0%
(b)
Delivery
Hero
SE
*(a)
1,135
144,775
Singapore
-
0.8%
CapitaLand
Integrated
Commercial
Trust,
REIT
156,096
232,436
Genting
Singapore
Ltd.
634,300
334,435
Venture
Corp.
Ltd.
273,100
3,589,538
4,156,409
—
South
Africa
-
0.2%
Anglo
American
plc
33,855
1,186,572
Spain
-
2.2%
Banco
Bilbao
Vizcaya
Argentaria
SA
70,234
463,587
CaixaBank
SA
325,821
1,010,380
Enagas
SA
24,219
538,247
Endesa
SA
33,638
678,395
Iberdrola
SA
102,669
1,032,895
Red
Electrica
Corp.
SA
14,437
289,639
Repsol
SA
322,059
4,204,013
Telefonica
SA
577,485
2,709,893
10,927,049
—
Sweden
-
4.0%
Alfa
Laval
AB
35,821
1,336,071
Atlas
Copco
AB,
Class
A
16,457
993,767
Atlas
Copco
AB,
Class
B
10,707
544,200
Boliden
AB
*
52,405
1,678,031
Electrolux
AB,
Series
B
224,635
5,189,904
Epiroc
AB,
Class
A
69,802
1,451,152
Essity
AB,
Class
B
42,333
1,312,915
H
&
M
Hennes
&
Mauritz
AB,
Class
B
*
29,553
598,201
Hexagon
AB,
Class
B
13,741
212,546
Husqvarna
AB,
Class
B
86,502
1,033,357
ICA
Gruppen
AB
46,198
2,119,544
Investor
AB,
Class
B
44,280
952,214
Skanska
AB,
Class
B
23,967
601,275
SKF
AB,
Class
B
38,107
898,609
Swedbank
AB,
Class
A
16,295
328,584
Swedish
Match
AB
12,100
105,957
Telefonaktiebolaget
LM
Ericsson,
Class
B
67,988
767,376
Volvo
AB,
Class
B
7,754
173,120
20,296,823
—
Switzerland
-
8.3%
Adecco
Group
AG
(Registered)
7,064
353,947
Geberit
AG
(Registered)
1,854
1,361,211
Holcim
Ltd.
*
14,221
685,239
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
8.3%
(continued)
Kuehne
+
Nagel
International
AG
(Registered)
1,401
478,303
Logitech
International
SA
(Registered)
9,532
848,034
Lonza
Group
AG
(Registered)
2,133
1,599,984
Nestle
SA
(Registered)
32,187
3,878,214
Novartis
AG
(Registered)
61,771
5,065,173
Roche
Holding
AG
27,669
10,098,355
SGS
SA
(Registered)
269
783,015
Sonova
Holding
AG
(Registered)
16,104
6,085,836
STMicroelectronics
NV
85,315
3,725,002
Swatch
Group
AG
(The)
16,781
4,377,856
UBS
Group
AG
(Registered)
158,262
2,526,117
41,866,286
—
United
Kingdom
-
9.2%
3i
Group
plc
30,804
529,112
Abrdn
plc
71,673
245,119
Admiral
Group
plc
20,891
872,899
Ashtead
Group
plc
38,560
2,914,882
Auto
Trader
Group
plc
(a)
43,172
340,463
Aviva
plc
1,179,259
6,249,926
BAE
Systems
plc
28,548
216,224
Barclays
plc
1,804,940
4,586,315
Barratt
Developments
plc
66,145
584,708
Berkeley
Group
Holdings
plc
4,237
247,423
British
American
Tobacco
plc
64,615
2,258,587
BT
Group
plc
*
2,065,903
4,428,907
Burberry
Group
plc
12,996
316,279
CK
Hutchison
Holdings
Ltd.
223,500
1,490,998
Entain
plc
*
250,857
7,164,880
Halma
plc
4,177
159,326
HSBC
Holdings
plc
42,879
224,200
Imperial
Brands
plc
24,800
518,733
JD
Sports
Fashion
plc
27,106
380,934
Kingfisher
plc
1,122,907
5,068,663
Lloyds
Banking
Group
plc
486,184
302,611
London
Stock
Exchange
Group
plc
9,002
902,075
M&G
plc
196,381
536,554
Next
plc
22,533
2,478,650
Persimmon
plc
61,693
2,206,447
Sage
Group
plc
(The)
17,092
162,744
Smith
&
Nephew
plc
7,933
136,668
Taylor
Wimpey
plc
156,722
326,875
45,851,202
—
United
States
-
1.7%
Schneider
Electric
SE
16,746
2,789,114
Stellantis
NV
311,302
5,924,431
8,713,545
—
Zambia
-
0.1%
First
Quantum
Minerals
Ltd.
(1)
21,935
406,107
TOTAL
COMMON
STOCKS
(Cost
$357,072,391)
476,097,179
46
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
4.3%
INVESTMENT
COMPANIES
-
4.3%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(c)
(Cost
$21,630,059)
21,638,714
21,630,059
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
98.8%
(Cost
$378,702,450)
497,727,238
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
1.2%
(d)
6,296,590
NET
ASSETS
-
100.0%
504,023,828
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
25,151,569
5.0
%
Consumer
Discretionary
75,602,372
15.0
Consumer
Staples
35,656,891
7.1
Energy
14,889,996
2.9
Financials
101,213,304
20.1
Health
Care
42,410,793
8.4
Industrials
63,466,667
12.6
Information
Technology
46,297,964
9.2
Materials
45,926,504
9.1
Real
Estate
11,403,048
2.3
Utilities
14,078,071
2.8
Short-Term
Investments
21,630,059
4.3
Total
Investments
In
Securities
At
Value
497,727,238
98.8
Other
Assets
in
Exce
ss
of
Liabilities
(d)
6,296,590
1.2
Net
Assets
$
504,023,828
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$13,392,336,
which
represents
approximately
2.66%
of
net
assets
of
the
fund.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(d)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
205
12/2021
USD
$
23,236,750
$
(1,023,711)
$
(1,023,711)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
2,136,823
$
2,136,823
47
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.4%
Brazil
-
4.2%
Ambev
SA,
ADR
(1)
574,645
1,586,020
Banco
Bradesco
SA
(Preference)
(1)*
133,320
509,949
Banco
do
Brasil
SA
(1)
263,700
1,399,427
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
(1)*
84,100
595,646
Cia
Energetica
de
Minas
Gerais
(Preference)
(1)
958,259
2,468,783
Cia
Paranaense
de
Energia
,
ADR
(1)
76,274
498,069
Cia
Siderurgica
Nacional
SA
(1)
629,800
3,322,619
Itau
Unibanco
Holding
SA,
ADR
(1)
35,452
186,832
Notre
Dame
Intermedica
Participacoes
SA
(1)
44,700
612,416
Petrobras
Distribuidora
SA
(1)
963,000
4,153,858
Petroleo
Brasileiro
SA
(Preference)
(1)
348,400
1,742,080
Telefonica
Brasil
SA
(1)
211,900
1,668,118
TIM
SA,
ADR
(1)*
154,408
1,658,342
Vale
SA,
ADR
(1)
476,372
6,645,390
27,047,549
—
Chile
-
0.3%
Cencosud
SA
(1)
573,172
1,108,452
Cia
Cervecerias
Unidas
SA,
ADR
(1)
18,157
313,935
Colbun
SA
(1)
1,275,330
206,683
Enel
Chile
SA,
ADR
(1)
90,710
218,611
1,847,681
—
China
-
33.0%
Agricultural
Bank
of
China
Ltd.,
Class
A
614,500
279,766
Agricultural
Bank
of
China
Ltd.,
Class
H
6,775,000
2,327,420
Alibaba
Group
Holding
Ltd.
*
1,165,704
21,581,775
A-Living
Smart
City
Services
Co.
Ltd.
(a)
133,000
472,314
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
22,200
140,350
Anhui
Conch
Cement
Co.
Ltd.,
Class
A
48,323
305,501
Anhui
Conch
Cement
Co.
Ltd.,
Class
H
229,000
1,236,933
Baidu,
Inc.,
ADR
(1)*
22,331
3,433,391
Bank
of
Beijing
Co.
Ltd.,
Class
A
371,578
250,732
Bank
of
China
Ltd.,
Class
A
609,800
288,255
Bank
of
China
Ltd.,
Class
H
11,702,000
4,134,731
Bank
of
Communications
Co.
Ltd.,
Class
A
389,700
271,485
Bank
of
Communications
Co.
Ltd.,
Class
H
1,267,000
749,933
Bank
of
Ningbo
Co.
Ltd.,
Class
A
54,000
293,428
Bank
of
Shanghai
Co.
Ltd.,
Class
A
227,711
257,597
Baoshan
Iron
&
Steel
Co.
Ltd.,
Class
A
326,022
436,566
BeiGene
Ltd.,
ADR
(1)*
3,623
1,315,149
Bilibili
,
Inc.,
ADR
(1)*
9,329
617,300
INVESTMENTS
SHARES
VALUE
($)
China
-
33.0%
(continued)
BOE
Technology
Group
Co.
Ltd.,
Class
A
1,508,900
1,174,353
Bosideng
International
Holdings
Ltd.
4,342,000
3,071,019
BYD
Co.
Ltd.,
Class
A
40,800
1,574,214
BYD
Electronic
International
Co.
Ltd.
504,000
1,762,644
China
Cinda
Asset
Management
Co.
Ltd.,
Class
H
1,101,000
185,936
China
CITIC
Bank
Corp.
Ltd.,
Class
H
4,634,000
2,088,674
China
Construction
Bank
Corp.,
Class
H
6,727,000
4,800,944
China
Everbright
Bank
Co.
Ltd.,
Class
A
538,100
282,028
China
Everbright
Bank
Co.
Ltd.,
Class
H
519,000
182,685
China
Everbright
Environment
Group
Ltd.
871,000
654,521
China
Fortune
Land
Development
Co.
Ltd.,
Class
A
*
420,400
262,367
China
Galaxy
Securities
Co.
Ltd.,
Class
H
434,500
251,990
China
Hongqiao
Group
Ltd.
3,478,500
4,414,504
China
Lesso
Group
Holdings
Ltd.
176,000
280,127
China
Longyuan
Power
Group
Corp.
Ltd.,
Class
H
399,000
979,070
China
Medical
System
Holdings
Ltd.
1,396,000
2,544,194
China
Merchants
Bank
Co.
Ltd.,
Class
A
16,100
125,416
China
Merchants
Bank
Co.
Ltd.,
Class
A
93,558
728,800
China
Merchants
Port
Holdings
Co.
Ltd.
322,000
550,625
China
Merchants
Securities
Co.
Ltd.,
Class
A
240,200
678,619
China
Minsheng
Banking
Corp.
Ltd.,
Class
A
354,355
214,603
China
Minsheng
Banking
Corp.
Ltd.,
Class
H
519,000
208,256
China
National
Building
Material
Co.
Ltd.,
Class
H
3,248,000
4,369,106
China
Pacific
Insurance
Group
Co.
Ltd.,
Class
A
63,000
263,751
China
Petroleum
&
Chemical
Corp.,
Class
A
401,800
276,022
China
Railway
Group
Ltd.,
Class
H
419,000
207,956
China
Resources
Cement
Holdings
Ltd.
378,000
363,333
China
Resources
Land
Ltd.
(b)
592,000
2,491,522
China
Resources
Pharmaceutical
Group
Ltd.
(a)
882,000
432,900
China
Resources
Power
Holdings
Co.
Ltd.
1,818,000
5,221,307
China
Shenhua
Energy
Co.
Ltd.,
Class
H
1,491,500
3,474,372
China
Taiping
Insurance
Holdings
Co.
Ltd.
126,400
191,256
48
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
China
-
33.0%
(continued)
China
Tourism
Group
Duty
Free
Corp.
Ltd.,
Class
A
35,392
1,421,091
China
Vanke
Co.
Ltd.,
Class
H
587,700
1,606,957
China
Yangtze
Power
Co.
Ltd.,
Class
A
56,000
190,676
Chongqing
Rural
Commercial
Bank
Co.
Ltd.,
Class
H
870,000
316,245
CITIC
Ltd.
2,920,000
3,091,518
CITIC
Securities
Co.
Ltd.,
Class
A
133,100
519,647
COSCO
SHIPPING
Holdings
Co.
Ltd.,
Class
H
*
3,486,400
5,290,377
Country
Garden
Holdings
Co.
Ltd.
3,136,000
3,233,550
Country
Garden
Services
Holdings
Co.
Ltd.
511,000
4,037,893
Dongfeng
Motor
Group
Co.
Ltd.,
Class
H
746,000
664,312
Far
East
Horizon
Ltd.
1,317,000
1,336,515
Foshan
Haitian
Flavouring
&
Food
Co.
Ltd.,
Class
A
43,158
733,424
GDS
Holdings
Ltd.,
ADR
(1)*
6,699
379,230
Great
Wall
Motor
Co.
Ltd.,
Class
H
437,500
1,609,795
Greentown
Service
Group
Co.
Ltd.
(c)
244,000
264,718
Guotai
Junan
Securities
Co.
Ltd.,
Class
A
94,200
259,494
Haier
Smart
Home
Co.
Ltd.,
Class
A
225,900
908,196
Haitian
International
Holdings
Ltd.
253,000
784,972
Haitong
Securities
Co.
Ltd.,
Class
A
186,300
349,723
Haitong
Securities
Co.
Ltd.,
Class
H
659,200
600,950
Huaneng
Power
International,
Inc.,
Class
H
688,000
369,127
Huatai
Securities
Co.
Ltd.,
Class
A
136,300
358,069
Huaxia
Bank
Co.
Ltd.,
Class
A
291,300
250,942
Huazhu
Group
Ltd.,
ADR
(1)*
15,565
713,811
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
A
350,800
252,840
Industrial
&
Commercial
Bank
of
China
Ltd.,
Class
H
3,027,000
1,677,939
Industrial
Bank
Co.
Ltd.,
Class
A
122,390
345,122
Inner
Mongolia
Yili
Industrial
Group
Co.
Ltd.,
Class
A
158,400
924,717
JD.com,
Inc.,
Class
A
*
135,038
4,868,435
Jiangsu
Hengrui
Medicine
Co.
Ltd.,
Class
A
256,838
1,998,461
Jiangsu
Yanghe
Brewery
Joint-
Stock
Co.
Ltd.,
Class
A
28,800
737,638
Jiangxi
Copper
Co.
Ltd.,
Class
H
350,000
622,690
KE
Holdings,
Inc.,
ADR
(1)*
22,109
403,710
Kingboard
Holdings
Ltd.
511,000
2,312,569
Kunlun
Energy
Co.
Ltd.
2,636,000
2,744,685
Kweichow
Moutai
Co.
Ltd.,
Class
A
1,100
311,168
Kweichow
Moutai
Co.
Ltd.,
Class
A
6,700
1,895,297
Lee
&
Man
Paper
Manufacturing
Ltd.
248,000
181,269
Li
Auto,
Inc.,
ADR
(1)*
34,548
908,267
Li
Ning
Co.
Ltd.
71,500
824,090
Longfor
Group
Holdings
Ltd.
(a)
72,500
331,259
Luxshare
Precision
Industry
Co.
Ltd.,
Class
A
276,407
1,519,774
Luzhou
Laojiao
Co.
Ltd.,
Class
A
10,200
350,845
INVESTMENTS
SHARES
VALUE
($)
China
-
33.0%
(continued)
Luzhou
Laojiao
Co.
Ltd.,
Class
A
27,900
959,665
Meituan
,
Class
B
*(a)
53,200
1,698,221
Midea
Group
Co.
Ltd.,
Class
A
65,600
706,926
NARI
Technology
Co.
Ltd.,
Class
A
287,340
1,590,481
NetEase
,
Inc.
178,850
3,026,218
New
China
Life
Insurance
Co.
Ltd.,
Class
A
38,600
239,333
New
China
Life
Insurance
Co.
Ltd.,
Class
H
618,200
1,820,093
NIO,
Inc.,
ADR
(1)*
94,422
3,364,256
People's
Insurance
Co.
Group
of
China
Ltd.
(The),
Class
H
6,025,000
1,869,556
PetroChina
Co.
Ltd.,
Class
A
408,400
378,765
PICC
Property
&
Casualty
Co.
Ltd.,
Class
H
3,604,000
3,496,126
Pinduoduo
,
Inc.,
ADR
(1)*
31,376
2,844,862
Ping
An
Bank
Co.
Ltd.,
Class
A
160,985
445,429
Ping
An
Insurance
Group
Co.
of
China
Ltd.,
Class
A
51,900
387,870
SAIC
Motor
Corp.
Ltd.,
Class
A
167,800
494,939
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
238,100
935,193
Sany
Heavy
Industry
Co.
Ltd.,
Class
A
76,600
300,864
Shandong
Weigao
Group
Medical
Polymer
Co.
Ltd.,
Class
H
740,000
1,313,074
Shanghai
Pharmaceuticals
Holding
Co.
Ltd.,
Class
H
261,100
506,064
Shanghai
Pudong
Development
Bank
Co.
Ltd.,
Class
A
140,963
196,225
Shenwan
Hongyuan
Group
Co.
Ltd.,
Class
A
376,800
320,341
Sinopharm
Group
Co.
Ltd.,
Class
H
1,094,000
2,866,898
Sinotruk
Hong
Kong
Ltd.
999,000
1,479,770
Smoore
International
Holdings
Ltd.
(a)
139,000
647,252
Sunac
China
Holdings
Ltd.
112,000
238,726
Suning.com
Co.
Ltd.,
Class
A
*
454,800
351,965
Tencent
Holdings
Ltd.
429,000
25,610,766
Tencent
Music
Entertainment
Group,
ADR
(1)*
27,888
202,188
Topsports
International
Holdings
Ltd.
(a)
1,455,000
1,652,446
Trip.com
Group
Ltd.,
ADR
(1)*
43,393
1,334,335
Vipshop
Holdings
Ltd.,
ADR
(1)*
41,543
462,789
Wuliangye
Yibin
Co.
Ltd.,
Class
A
11,582
392,860
Wuliangye
Yibin
Co.
Ltd.,
Class
A
30,100
1,020,989
XPeng
,
Inc.,
ADR
(1)*
30,187
1,072,846
Yanzhou
Coal
Mining
Co.
Ltd.,
Class
H
644,000
1,214,411
Yonghui
Superstores
Co.
Ltd.,
Class
A
482,327
292,338
Yum
China
Holdings,
Inc.
(1)
33,622
1,953,774
Zai
Lab
Ltd.,
ADR
(1)*
5,469
576,378
Zhongsheng
Group
Holdings
Ltd.
769,000
6,164,464
Zoomlion
Heavy
Industry
Science
and
Technology
Co.
Ltd.,
Class
H
1,027,800
915,869
49
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
China
-
33.0%
(continued)
ZTO
Express
Cayman,
Inc.,
ADR
(1)
34,228
1,049,430
211,596,742
—
Hong
Kong
-
0.2%
Kingboard
Laminates
Holdings
Ltd.
356,000
581,905
Nine
Dragons
Paper
Holdings
Ltd.
270,000
329,570
Vinda
International
Holdings
Ltd.
147,000
434,316
1,345,791
—
Hungary
-
0.1%
OTP
Bank
Nyrt
.
*
7,944
464,828
India
-
11.6%
Adani
Enterprises
Ltd.
21,214
418,283
Adani
Ports
&
Special
Economic
Zone
Ltd.
296,995
2,940,799
Ambuja
Cements
Ltd.
66,664
358,263
Apollo
Hospitals
Enterprise
Ltd.
50,941
3,065,685
Aurobindo
Pharma
Ltd.
145,237
1,412,839
Axis
Bank
Ltd.,
GDR
*(c)
14,131
722,094
Bharat
Electronics
Ltd.
724,337
1,970,078
Cipla
Ltd.
171,502
2,267,472
Container
Corp.
of
India
Ltd.
118,212
1,115,852
Dabur
India
Ltd.
30,670
254,494
Divi's
Laboratories
Ltd.
55,973
3,613,912
Dr
Reddy's
Laboratories
Ltd.,
ADR
(1)
39,789
2,591,855
GAIL
India
Ltd.
172,365
367,177
HCL
Technologies
Ltd.
202,779
3,477,954
Hindalco
Industries
Ltd.
205,529
1,345,308
Infosys
Ltd.,
ADR
(1)
577,758
12,855,117
ITC
Ltd.
137,807
436,924
Larsen
&
Toubro
Ltd.,
GDR
(c)
14,876
345,123
NTPC
Ltd.
967,441
1,842,578
Page
Industries
Ltd.
2,847
1,212,640
Piramal
Enterprises
Ltd.
57,571
2,001,643
REC
Ltd.
340,675
720,999
Reliance
Industries
Ltd.,
GDR
(a)
32,737
2,229,390
State
Bank
of
India,
GDR
(c)
4,662
286,713
Sun
Pharmaceutical
Industries
Ltd.
45,486
500,555
Tata
Consultancy
Services
Ltd.
153,805
7,794,571
Tata
Steel
Ltd.
207,969
3,578,966
Tech
Mahindra
Ltd.
369,274
6,836,753
UPL
Ltd.
197,099
1,873,539
Vedanta
Ltd.
550,150
2,116,472
Wipro
Ltd.,
ADR
(1)
477,231
4,213,950
74,767,998
—
Indonesia
-
1.0%
Adaro
Energy
Tbk
.
PT
18,169,100
2,221,049
Astra
International
Tbk
.
PT
3,958,500
1,511,386
Bank
Negara
Indonesia
Persero
Tbk
.
PT
1,295,700
482,370
Indofood
Sukses
Makmur
Tbk
.
PT
1,528,200
676,098
United
Tractors
Tbk
.
PT
971,000
1,747,239
6,638,142
—
INVESTMENTS
SHARES
VALUE
($)
Malaysia
-
0.4%
Hartalega
Holdings
Bhd.
128,400
188,621
Hong
Leong
Bank
Bhd.
64,400
290,735
Kossan
Rubber
Industries
361,900
199,687
Malayan
Banking
Bhd.
140,500
270,160
MISC
Bhd.
462,400
759,827
RHB
Bank
Bhd.
183,500
238,600
Sime
Darby
Bhd.
1,328,700
720,446
Telekom
Malaysia
Bhd.
164,500
223,826
2,891,902
—
Mexico
-
0.8%
Cemex
SAB
de
CV,
ADR
(1)*
25,387
182,025
Grupo
Bimbo
SAB
de
CV,
Series
A
(1)
134,500
378,189
Grupo
Mexico
SAB
de
CV,
Series
B
(1)
771,900
3,081,017
Grupo
Televisa
SAB,
ADR
(1)
65,369
717,752
Industrias
Penoles
SAB
de
CV
(1)*
43,800
516,268
Orbia
Advance
Corp.
SAB
de
CV
(1)
224,100
574,432
5,449,683
—
Philippines
-
0.2%
Ayala
Land,
Inc.
344,300
226,114
International
Container
Terminal
Services,
Inc.
168,160
642,838
PLDT,
Inc.
9,420
310,245
1,179,197
—
Poland
-
1.5%
Cyfrowy
Polsat
SA
82,336
736,568
KGHM
Polska
Miedz
SA
28,324
1,115,721
PGE
Polska
Grupa
Energetyczna
SA
*
657,522
1,469,484
Polski
Koncern
Naftowy
ORLEN
SA
228,858
4,715,091
Polskie
Gornictwo
Naftowe
i
Gazownictwo
SA
1,109,258
1,802,814
9,839,678
—
Qatar
-
0.2%
Industries
Qatar
QSC
29,520
125,263
Qatar
Islamic
Bank
SAQ
27,416
137,419
Qatar
National
Bank
QPSC
241,970
1,272,652
1,535,334
—
Russia
-
3.5%
Gazprom
PJSC,
ADR
431,776
4,267,473
LUKOIL
PJSC,
ADR
29,987
2,847,996
MMC
Norilsk
Nickel
PJSC,
ADR
(1)
55,553
1,662,146
MMC
Norilsk
Nickel
PJSC,
ADR
173,404
5,150,949
Novatek
PJSC,
GDR
(c)
7,176
1,878,855
Novolipetsk
Steel
PJSC,
GDR
(c)
22,577
665,668
PhosAgro
PJSC,
GDR
(c)
13,442
299,488
Polyus
PJSC,
GDR
(c)
14,180
1,158,702
Rosneft
Oil
Co.
PJSC,
GDR
(c)
146,347
1,225,707
Severstal
PAO,
GDR
(c)
57,855
1,208,300
Surgutneftegas
PJSC,
ADR
154,146
772,141
Tatneft
PJSC,
ADR
28,138
1,221,525
22,358,950
—
50
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Saudi
Arabia
-
4.0%
Advanced
Petrochemical
Co.
15,486
308,615
Al
Rajhi
Bank
212,576
6,925,869
Alinma
Bank
263,892
1,684,278
Arab
National
Bank
80,290
490,907
Bank
AlBilad
*
74,365
808,083
Bank
Al-
Jazira
226,899
1,109,864
Banque
Saudi
Fransi
38,073
423,293
Dr
Sulaiman
Al
Habib
Medical
Services
Group
Co.
5,364
248,516
Etihad
Etisalat
Co.
223,533
1,859,447
Jarir
Marketing
Co.
12,182
679,815
Mobile
Telecommunications
Co.
Saudi
Arabia
*
369,737
1,380,094
Riyad
Bank
156,080
1,123,566
SABIC
Agri
-Nutrients
Co.
7,385
339,411
Sahara
International
Petrochemical
Co.
38,044
442,037
Saudi
Basic
Industries
Corp.
68,961
2,330,400
Saudi
British
Bank
(The)
39,236
346,782
Saudi
Electricity
Co.
37,870
270,646
Saudi
Industrial
Investment
Group
43,779
473,765
Saudi
Kayan
Petrochemical
Co.
*
45,155
245,627
Saudi
National
Bank
(The)
220,697
3,612,871
Saudi
Telecom
Co.
12,866
435,647
25,539,533
—
South
Africa
-
3.5%
Absa
Group
Ltd.
51,820
524,377
Anglo
American
Platinum
Ltd.
24,643
2,134,611
Aspen
Pharmacare
Holdings
Ltd.
49,833
896,572
Exxaro
Resources
Ltd.
164,892
1,763,264
Gold
Fields
Ltd.,
ADR
(1)
140,357
1,139,699
Harmony
Gold
Mining
Co.
Ltd.,
ADR
(1)
268,430
845,555
Impala
Platinum
Holdings
Ltd.
15,884
179,010
Kumba
Iron
Ore
Ltd.
105,832
3,477,093
Mr
Price
Group
Ltd.
65,219
871,478
MultiChoice
Group
70,062
531,185
Sasol
Ltd.
*
53,035
1,005,233
Shoprite
Holdings
Ltd.
380,803
4,520,198
Sibanye
Stillwater
Ltd.
1,444,447
4,387,062
22,275,337
—
South
Korea
-
12.9%
CJ
Corp.
14,206
1,174,194
CJ
ENM
Co.
Ltd.
2,349
297,656
CJ
Logistics
Corp.
*
1,376
177,010
DB
Insurance
Co.
Ltd.
42,600
2,279,256
Doosan
Bobcat,
Inc.
*
15,379
512,749
E-MART,
Inc.
37,490
5,161,045
Hana
Financial
Group,
Inc.
152,771
5,938,489
Hankook
Tire
&
Technology
Co.
Ltd.
12,107
438,749
Hanwha
Corp.
9,262
264,316
Hyundai
Glovis
Co.
Ltd.
33,668
4,662,992
Industrial
Bank
of
Korea
305,403
2,690,844
KB
Financial
Group,
Inc.
98,828
4,596,246
Kia
Corp.
64,971
4,387,917
Korea
Investment
Holdings
Co.
Ltd.
21,062
1,513,558
Korea
Zinc
Co.
Ltd.
3,263
1,376,604
KT&G
Corp.
5,853
400,424
INVESTMENTS
SHARES
VALUE
($)
South
Korea
-
12.9%
(continued)
Kumho
Petrochemical
Co.
Ltd.
9,785
1,537,016
LG
Electronics,
Inc.
31,834
3,384,022
LG
Innotek
Co.
Ltd.
8,895
1,542,834
LG
Uplus
Corp.
12,221
153,627
Meritz
Securities
Co.
Ltd.
256,709
1,063,882
NH
Investment
&
Securities
Co.
Ltd.
48,472
521,952
POSCO
30,232
8,324,644
S-1
Corp.
3,671
259,202
Samsung
Electronics
Co.
Ltd.
316,694
19,633,319
Samsung
Fire
&
Marine
Insurance
Co.
Ltd.
5,965
1,178,660
Samsung
Life
Insurance
Co.
Ltd.
62,810
3,853,221
Shinhan
Financial
Group
Co.
Ltd.
135,751
4,585,613
Woori
Financial
Group,
Inc.
137,202
1,339,114
83,249,155
—
Taiwan
-
13.3%
Accton
Technology
Corp.
91,000
857,636
ASE
Technology
Holding
Co.
Ltd.
742,000
2,870,660
Asia
Cement
Corp.
127,000
206,660
Asustek
Computer,
Inc.
99,000
1,149,806
AU
Optronics
Corp.
1,189,000
745,419
Catcher
Technology
Co.
Ltd.
40,000
239,109
Cathay
Financial
Holding
Co.
Ltd.
1,706,000
3,517,404
China
Life
Insurance
Co.
Ltd.
409,934
424,837
China
Steel
Corp.
302,000
390,796
Compal
Electronics,
Inc.
239,000
201,488
CTBC
Financial
Holding
Co.
Ltd.
938,480
768,043
E.Sun
Financial
Holding
Co.
Ltd.
880,726
828,776
First
Financial
Holding
Co.
Ltd.
1,272,383
1,027,803
Foxconn
Technology
Co.
Ltd.
176,000
440,149
Fubon
Financial
Holding
Co.
Ltd.
547,800
1,497,046
Hon
Hai
Precision
Industry
Co.
Ltd.
394,000
1,470,649
Innolux
Corp.
6,307,000
3,796,273
Lite-On
Technology
Corp.
110,000
245,161
MediaTek
,
Inc.
7,000
225,312
Mega
Financial
Holding
Co.
Ltd.
722,000
828,501
Nanya
Technology
Corp.
705,000
1,646,245
Novatek
Microelectronics
Corp.
19,000
276,048
Pegatron
Corp.
91,000
217,937
Phison
Electronics
Corp.
18,000
240,768
Pou
Chen
Corp.
1,570,000
1,891,606
Powertech
Technology,
Inc.
289,000
1,075,246
Realtek
Semiconductor
Corp.
63,000
1,109,928
Shin
Kong
Financial
Holding
Co.
Ltd.
3,008,067
999,520
Taishin
Financial
Holding
Co.
Ltd.
1,253,624
811,554
Taiwan
Business
Bank
2,783,351
952,880
Taiwan
Cement
Corp.
196,845
358,505
Taiwan
Cooperative
Financial
Holding
Co.
Ltd.
312,188
246,850
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.,
ADR
(1)
385,083
42,994,517
Uni
-President
Enterprises
Corp.
542,000
1,324,185
United
Microelectronics
Corp.
2,998,000
6,795,714
Winbond
Electronics
Corp.
651,000
610,428
Yang
Ming
Marine
Transport
Corp.
*
44,000
185,336
Yuanta
Financial
Holding
Co.
Ltd.
376,280
331,989
51
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Taiwan
-
13.3%
(continued)
Zhen
Ding
Technology
Holding
Ltd.
363,000
1,276,298
85,077,082
—
Tanzania,
United
Republic
of
-
0.2%
AngloGold
Ashanti
Ltd.,
ADR
(1)
95,229
1,522,712
Thailand
-
2.2%
Advanced
Info
Service
PCL,
NVDR
37,300
215,209
Charoen
Pokphand
Foods
PCL,
NVDR
1,270,800
964,581
Indorama
Ventures
PCL,
NVDR
1,292,700
1,683,784
Krung
Thai
Bank
PCL,
NVDR
564,500
182,167
PTT
Exploration
&
Production
PCL,
NVDR
186,200
641,447
PTT
Global
Chemical
PCL,
NVDR
2,499,900
4,633,326
Ratch
Group
PCL,
NVDR
244,500
326,020
Siam
Cement
PCL
(The),
NVDR
58,300
690,058
Siam
Commercial
Bank
PCL
(The),
NVDR
810,200
2,900,709
Thai
Union
Group
PCL,
NVDR
3,292,596
2,111,699
14,349,000
—
Turkey
-
0.1%
Akbank
TAS
310,285
185,969
Turkiye
Garanti
Bankasi
A/S
168,502
174,674
Turkiye
Is
Bankasi
A/S,
Class
C
775,499
450,538
811,181
—
United
Arab
Emirates
-
0.4%
Abu
Dhabi
Commercial
Bank
PJSC
96,468
196,710
Emirates
NBD
Bank
PJSC
54,523
210,780
Emirates
Telecommunications
Group
Co.
PJSC
57,006
372,643
First
Abu
Dhabi
Bank
PJSC
324,593
1,571,203
2,351,336
—
United
States
-
0.8%
JBS
SA
(1)
777,600
5,293,235
TOTAL
COMMON
STOCKS
(Cost
$434,122,526)
607,432,046
NO.
OF
RIGHTS
RIGHTS
-
0.0%
(d)
Taiwan
-
0.0%
(d)
Fubon
Financial
Holding
Co.
Ltd.,
expiring
10/18/2021
(3)*(e)
18,984
11,746
Fubon
Financial
Holding
Co.
Ltd.,
Preferred,
expiring
10/18/2021
(3)*(e)
11,547
–
TOTAL
RIGHTS
(Cost
$–)
11,746
SHARES
SHORT-TERM
INVESTMENTS
-
4.8%
INVESTMENT
COMPANIES
-
4.8%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(f)
(Cost
$30,797,264)
30,809,588
30,797,264
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
0.2%
Investment
Companies
-
0.2%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(1)(f)(g)
528,670
528,670
Limited
Purpose
Cash
Investment
Fund
0.01%
(1)(f)(g)
520,707
520,499
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$1,049,377)
1,049,169
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.4%
(Cost
$465,969,167)
639,290,225
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.6%
(h)
3,988,426
NET
ASSETS
-
100.0%
643,278,651
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
43,152,566
6.7
%
Consumer
Discretionary
79,075,957
12.3
Consumer
Staples
33,229,990
5.2
Energy
34,419,641
5.3
Financials
107,813,608
16.8
Health
Care
27,151,249
4.2
Industrials
33,406,015
5.2
Information
Technology
132,569,760
20.6
Materials
85,287,317
13.2
Real
Estate
13,569,129
2.1
Utilities
17,768,560
2.8
Short-Term
Investments
30,797,264
4.8
Securities
Lending
Collateral
1,049,169
0.2
Total
Investments
In
Securities
At
Value
639,290,225
99.4
Other
Assets
in
Excess
of
Liabilities
(h)
3,988,426
0.6
Net
Assets
$
643,278,651
100.0%
52
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EMERGING
MULTI-STYLE
II
FUND
Schedule
of
Investments
September
30,
2021
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$7,463,782,
which
represents
approximately
1.16%
of
net
assets
of
the
fund.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$995,922.
(c)
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
September
30,
2021,
the
value
of
these
securities
amounted
to
$8,055,368
or
1.25%
of
net
assets.
(d)
Represents
less
than
0.05%
of
net
assets.
(e)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$11,746,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(f)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(g)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(h)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI Emerging Markets E-Mini Index
472
12/2021
USD
$
29,396,160
$
(1,060,013)
$
(1,060,013)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
3,187,742
$
3,187,742
53
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.4%
Aerospace
&
Defense
-
0.7%
Axon
Enterprise,
Inc.
*
8,204
1,435,864
Howmet
Aerospace,
Inc.
41,204
1,285,565
Lockheed
Martin
Corp.
5,283
1,823,163
Northrop
Grumman
Corp.
5,286
1,903,753
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
16,362
723,037
Textron,
Inc.
4,899
341,999
Virgin
Galactic
Holdings,
Inc.
*(a)
20,009
506,228
8,019,609
Air
Freight
&
Logistics
-
0.3%
Expeditors
International
of
Washington,
Inc.
9,131
1,087,776
GXO
Logistics,
Inc.
*
11,790
924,808
United
Parcel
Service,
Inc.,
Class
B
7,300
1,329,330
3,341,914
Airlines
-
0.0%
(b)
Southwest
Airlines
Co.
*
11,109
571,336
Auto
Components
-
0.1%
Aptiv
plc
*
9,353
1,393,316
Automobiles
-
5.5%
Ford
Motor
Co.
*
548,735
7,770,088
General
Motors
Co.
*
79,236
4,176,530
Harley-Davidson,
Inc.
8,945
327,476
Tesla,
Inc.
*
65,171
50,538,807
Thor
Industries,
Inc.
5,757
706,729
63,519,630
Banks
-
7.9%
Bank
OZK
67,266
2,891,093
Citizens
Financial
Group,
Inc.
7,927
372,410
Comerica,
Inc.
23,436
1,886,598
Commerce
Bancshares,
Inc.
6,194
431,598
East
West
Bancorp,
Inc.
59,728
4,631,309
Fifth
Third
Bancorp
131,400
5,576,616
First
Citizens
BancShares
,
Inc.,
Class
A
3,378
2,848,228
First
Republic
Bank
10,656
2,055,329
JPMorgan
Chase
&
Co.
76,377
12,502,151
KeyCorp
59,472
1,285,785
PacWest
Bancorp
72,656
3,292,770
Pinnacle
Financial
Partners,
Inc.
45,262
4,258,249
PNC
Financial
Services
Group,
Inc.
(The)
7,907
1,546,926
Popular,
Inc.
104,076
8,083,583
Regions
Financial
Corp.
17,424
371,305
Signature
Bank
23,879
6,501,774
SVB
Financial
Group
*
8,603
5,565,109
Synovus
Financial
Corp.
8,563
375,830
Umpqua
Holdings
Corp.
17,794
360,329
Webster
Financial
Corp.
11,509
626,780
Wells
Fargo
&
Co.
337,334
15,655,671
INVESTMENTS
SHARES
VALUE
($)
Banks
-
7.9%
(continued)
Western
Alliance
Bancorp
76,963
8,375,114
Wintrust
Financial
Corp.
27,452
2,206,317
91,700,874
Beverages
-
0.2%
Constellation
Brands,
Inc.,
Class
A
4,147
873,731
Monster
Beverage
Corp.
*
11,632
1,033,271
1,907,002
Biotechnology
-
1.8%
AbbVie,
Inc.
23,949
2,583,378
Exact
Sciences
Corp.
*
4,007
382,468
Horizon
Therapeutics
plc
*
30,920
3,386,977
Moderna
,
Inc.
*
33,438
12,868,949
Seagen
,
Inc.
*
7,385
1,253,973
United
Therapeutics
Corp.
*
4,772
880,816
21,356,561
Building
Products
-
1.6%
A
O
Smith
Corp.
7,208
440,192
Advanced
Drainage
Systems,
Inc.
6,375
689,584
Builders
FirstSource
,
Inc.
*
88,963
4,602,946
Carrier
Global
Corp.
75,189
3,891,783
Fortune
Brands
Home
&
Security,
Inc.
9,231
825,436
Johnson
Controls
International
plc
30,575
2,081,546
Masco
Corp.
8,591
477,230
Owens
Corning
9,089
777,109
Trane
Technologies
plc
16,727
2,887,916
Trex
Co.,
Inc.
*
17,849
1,819,349
18,493,091
Capital
Markets
-
5.5%
Ameriprise
Financial,
Inc.
8,055
2,127,487
BlackRock,
Inc.
6,387
5,356,521
Brookfield
Asset
Management,
Inc.,
Class
A
(Canada)
3,043
162,831
Charles
Schwab
Corp.
(The)
125,273
9,124,885
CME
Group,
Inc.
4,233
818,578
Evercore
,
Inc.,
Class
A
16,055
2,146,072
FactSet
Research
Systems,
Inc.
1,562
616,646
Goldman
Sachs
Group,
Inc.
(The)
21,897
8,277,723
Intercontinental
Exchange,
Inc.
4,335
497,745
Invesco
Ltd.
185,144
4,463,822
Janus
Henderson
Group
plc
32,519
1,344,010
Jefferies
Financial
Group,
Inc.
150,959
5,605,108
LPL
Financial
Holdings,
Inc.
13,803
2,163,758
MarketAxess
Holdings,
Inc.
2,831
1,190,973
Moody's
Corp.
2,295
814,978
Morgan
Stanley
107,062
10,418,203
MSCI,
Inc.
5,391
3,279,561
Nasdaq,
Inc.
3,814
736,178
S&P
Global,
Inc.
3,044
1,293,365
T.
Rowe
Price
Group,
Inc.
9,965
1,960,116
54
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
5.5%
(continued)
Tradeweb
Markets,
Inc.,
Class
A
13,617
1,099,981
63,498,541
Chemicals
-
1.7%
Air
Products
and
Chemicals,
Inc.
1,700
435,387
Albemarle
Corp.
14,325
3,136,745
Chemours
Co.
(The)
50,220
1,459,393
Eastman
Chemical
Co.
5,523
556,387
Ecolab,
Inc.
1,833
382,401
Element
Solutions,
Inc.
38,953
844,501
FMC
Corp.
6,321
578,751
Mosaic
Co.
(The)
37,682
1,346,001
Olin
Corp.
110,053
5,310,057
Scotts
Miracle-
Gro
Co.
(The)
5,756
842,448
Sherwin-Williams
Co.
(The)
13,494
3,774,677
Westlake
Chemical
Corp.
6,148
560,329
19,227,077
Commercial
Services
&
Supplies
-
0.3%
Cintas
Corp.
5,774
2,197,931
Copart
,
Inc.
*
8,680
1,204,089
Rollins,
Inc.
14,763
521,577
3,923,597
Communications
Equipment
-
0.3%
Arista
Networks,
Inc.
*
1,206
414,430
Cisco
Systems,
Inc.
18,696
1,017,623
Ubiquiti,
Inc.
6,766
2,020,801
3,452,854
Construction
&
Engineering
-
0.5%
AECOM
*
8,308
524,650
MasTec
,
Inc.
*
21,371
1,843,890
Quanta
Services,
Inc.
22,005
2,504,609
Valmont
Industries,
Inc.
3,961
931,310
5,804,459
Consumer
Finance
-
2.2%
Ally
Financial,
Inc.
83,285
4,251,699
Capital
One
Financial
Corp.
68,066
11,024,650
Discover
Financial
Services
40,036
4,918,422
OneMain
Holdings,
Inc.
56,360
3,118,399
SLM
Corp.
95,728
1,684,813
Synchrony
Financial
23,726
1,159,727
26,157,710
Containers
&
Packaging
-
0.3%
Avery
Dennison
Corp.
4,365
904,472
Berry
Global
Group,
Inc.
*
5,515
335,753
Crown
Holdings,
Inc.
10,062
1,014,048
Packaging
Corp.
of
America
5,028
691,048
Sealed
Air
Corp.
9,773
535,463
3,480,784
INVESTMENTS
SHARES
VALUE
($)
Distributors
-
0.2%
LKQ
Corp.
*
10,484
527,555
Pool
Corp.
3,281
1,425,299
1,952,854
Diversified
Financial
Services
-
0.4%
Berkshire
Hathaway,
Inc.,
Class
B
*
19,131
5,221,615
Electric
Utilities
-
0.4%
NextEra
Energy,
Inc.
57,089
4,482,628
Electrical
Equipment
-
1.3%
AMETEK,
Inc.
6,976
865,094
Eaton
Corp.
plc
21,326
3,184,185
Emerson
Electric
Co.
22,594
2,128,355
Generac
Holdings,
Inc.
*
8,718
3,562,785
nVent
Electric
plc
25,240
816,009
Plug
Power,
Inc.
*
67,830
1,732,378
Regal
Beloit
Corp.
6,268
942,331
Rockwell
Automation,
Inc.
4,609
1,355,231
Vertiv
Holdings
Co.
14,504
349,401
14,935,769
Electronic
Equipment,
Instruments
&
Components
-
1.0%
Amphenol
Corp.,
Class
A
13,224
968,393
Cognex
Corp.
12,893
1,034,276
Corning,
Inc.
21,097
769,830
Jabil,
Inc.
8,553
499,239
Keysight
Technologies,
Inc.
*
3,157
518,664
SYNNEX
Corp.
20,347
2,118,123
Trimble,
Inc.
*
27,129
2,231,360
Zebra
Technologies
Corp.,
Class
A
*
6,550
3,376,001
11,515,886
Energy
Equipment
&
Services
-
0.0%
(b)
Baker
Hughes
Co.
19,935
492,993
Entertainment
-
0.6%
Activision
Blizzard,
Inc.
22,580
1,747,466
Electronic
Arts,
Inc.
6,096
867,156
Netflix,
Inc.
*
1,751
1,068,705
Roku,
Inc.
*
8,839
2,769,701
Take-Two
Interactive
Software,
Inc.
*
3,480
536,164
6,989,192
Equity
Real
Estate
Investment
Trusts
(REITs)
-
1.6%
American
Tower
Corp.
4,094
1,086,589
Brixmor
Property
Group,
Inc.
63,916
1,413,183
Camden
Property
Trust
5,428
800,467
CubeSmart
23,967
1,161,201
Digital
Realty
Trust,
Inc.
3,200
462,240
Extra
Space
Storage,
Inc.
8,875
1,490,911
Iron
Mountain,
Inc.
7,482
325,093
Kimco
Realty
Corp.
61,833
1,283,035
Life
Storage,
Inc.
13,250
1,520,305
Park
Hotels
&
Resorts,
Inc.
*
133,859
2,562,061
55
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
1.6%
(continued)
Regency
Centers
Corp.
4,932
332,072
Simon
Property
Group,
Inc.
33,017
4,291,219
Ventas,
Inc.
25,082
1,384,777
Welltower
,
Inc.
3,880
319,712
18,432,865
Food
&
Staples
Retailing
-
0.4%
Albertsons
Cos.,
Inc.,
Class
A
19,171
596,793
Casey's
General
Stores,
Inc.
2,884
543,490
Costco
Wholesale
Corp.
6,245
2,806,191
Walmart,
Inc.
3,001
418,279
4,364,753
Food
Products
-
0.3%
Archer-Daniels-Midland
Co.
16,988
1,019,450
Bunge
Ltd.
8,499
691,139
Darling
Ingredients,
Inc.
*
7,498
539,106
Hain
Celestial
Group,
Inc.
(The)
*
15,091
645,593
Tyson
Foods,
Inc.,
Class
A
5,543
437,564
3,332,852
Health
Care
Equipment
&
Supplies
-
3.1%
Abbott
Laboratories
15,884
1,876,377
Align
Technology,
Inc.
*
6,204
4,128,328
Boston
Scientific
Corp.
*
17,375
753,901
Danaher
Corp.
30,504
9,286,638
Dexcom
,
Inc.
*
6,820
3,729,585
Edwards
Lifesciences
Corp.
*
9,810
1,110,590
Hologic
,
Inc.
*
8,007
590,997
IDEXX
Laboratories,
Inc.
*
5,901
3,669,832
Insulet
Corp.
*
6,168
1,753,131
Intuitive
Surgical,
Inc.
*
3,924
3,901,044
Masimo
Corp.
*
4,546
1,230,648
Medtronic
plc
4,603
576,986
Novocure
Ltd.
*
3,607
419,025
Penumbra,
Inc.
*
2,785
742,202
STERIS
plc
1,626
332,159
Stryker
Corp.
2,501
659,564
Teleflex,
Inc.
1,073
404,038
West
Pharmaceutical
Services,
Inc.
3,385
1,437,068
36,602,113
Health
Care
Providers
&
Services
-
1.4%
Acadia
Healthcare
Co.,
Inc.
*
15,970
1,018,567
Anthem,
Inc.
3,564
1,328,659
DaVita,
Inc.
*
3,226
375,055
HCA
Healthcare,
Inc.
10,832
2,629,143
McKesson
Corp.
2,935
585,180
Molina
Healthcare,
Inc.
*
4,912
1,332,675
UnitedHealth
Group,
Inc.
22,699
8,869,407
16,138,686
Health
Care
Technology
-
0.3%
Veeva
Systems,
Inc.,
Class
A
*
10,531
3,034,718
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
1.3%
Boyd
Gaming
Corp.
*
34,735
2,197,336
Caesars
Entertainment,
Inc.
*
22,092
2,480,490
Chipotle
Mexican
Grill,
Inc.
*
2,068
3,758,631
Domino's
Pizza,
Inc.
1,642
783,168
Expedia
Group,
Inc.
*
4,638
760,168
McDonald's
Corp.
1,705
411,093
MGM
Resorts
International
59,828
2,581,578
Starbucks
Corp.
9,912
1,093,393
Travel
+
Leisure
Co.
17,682
964,200
15,030,057
Household
Durables
-
1.0%
DR
Horton,
Inc.
26,247
2,203,960
Garmin
Ltd.
12,895
2,004,657
Lennar
Corp.,
Class
A
23,003
2,154,921
Mohawk
Industries,
Inc.
*
1,850
328,190
Tempur
Sealy
International,
Inc.
75,246
3,492,167
Toll
Brothers,
Inc.
7,641
422,471
TopBuild
Corp.
*
2,216
453,859
Whirlpool
Corp.
1,606
327,399
11,387,624
Independent
Power
and
Renewable
Electricity
Producers
-
0.0%
(b)
AES
Corp.
(The)
23,240
530,569
Industrial
Conglomerates
-
0.2%
General
Electric
Co.
12,007
1,237,081
Honeywell
International,
Inc.
5,345
1,134,637
2,371,718
Insurance
-
1.7%
American
Financial
Group,
Inc.
25,860
3,253,964
American
International
Group,
Inc.
93,844
5,151,097
Arthur
J
Gallagher
&
Co.
7,060
1,049,469
Assured
Guaranty
Ltd.
75,029
3,512,108
Hartford
Financial
Services
Group,
Inc.
(The)
35,420
2,488,255
Lincoln
National
Corp.
41,315
2,840,406
MetLife,
Inc.
11,580
714,833
Progressive
Corp.
(The)
14,432
1,304,509
20,314,641
Interactive
Media
&
Services
-
8.8%
Alphabet,
Inc.,
Class
A
*
30,001
80,208,274
Facebook,
Inc.,
Class
A
*
33,311
11,305,420
Match
Group,
Inc.
*
23,365
3,668,071
Pinterest,
Inc.,
Class
A
*
46,188
2,353,279
Twitter,
Inc.
*
51,260
3,095,591
Zillow
Group,
Inc.,
Class
C
*
18,894
1,665,317
102,295,952
Internet
&
Direct
Marketing
Retail
-
0.6%
Amazon.com,
Inc.
*
1,028
3,377,021
eBay,
Inc.
21,316
1,485,086
Etsy,
Inc.
*
9,450
1,965,222
56
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Internet
&
Direct
Marketing
Retail
-
0.6%
(continued)
Qurate
Retail,
Inc.,
Series
A
32,970
335,964
7,163,293
IT
Services
-
4.2%
Accenture
plc,
Class
A
16,959
5,425,523
Alliance
Data
Systems
Corp.
20,455
2,063,705
Automatic
Data
Processing,
Inc.
3,597
719,112
Cloudflare
,
Inc.,
Class
A
*
31,642
3,564,471
Cognizant
Technology
Solutions
Corp.,
Class
A
4,878
361,996
DXC
Technology
Co.
*
10,115
339,965
EPAM
Systems,
Inc.
*
4,802
2,739,445
Fiserv,
Inc.
*
6,637
720,115
FleetCor
Technologies,
Inc.
*
1,395
364,472
Gartner,
Inc.
*
5,101
1,550,092
Mastercard
,
Inc.,
Class
A
11,061
3,845,688
MongoDB,
Inc.
*
3,099
1,461,210
Okta
,
Inc.
*
11,290
2,679,569
PayPal
Holdings,
Inc.
*
36,026
9,374,325
Square,
Inc.,
Class
A
*
30,947
7,422,329
Twilio
,
Inc.,
Class
A
*
3,984
1,271,095
Visa,
Inc.,
Class
A
19,736
4,396,194
48,299,306
Leisure
Products
-
0.3%
Brunswick
Corp.
8,966
854,191
Mattel,
Inc.
*
55,030
1,021,357
YETI
Holdings,
Inc.
*
21,625
1,853,046
3,728,594
Life
Sciences
Tools
&
Services
-
2.0%
Agilent
Technologies,
Inc.
9,916
1,562,068
Avantor
,
Inc.
*
43,616
1,783,894
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,328
1,736,572
Bio-
Techne
Corp.
2,153
1,043,279
Charles
River
Laboratories
International,
Inc.
*
5,732
2,365,425
Illumina,
Inc.
*
1,395
565,826
IQVIA
Holdings,
Inc.
*
4,119
986,665
PerkinElmer,
Inc.
6,856
1,188,076
Repligen
Corp.
*
3,577
1,033,717
Thermo
Fisher
Scientific,
Inc.
19,433
11,102,656
23,368,178
Machinery
-
1.7%
AGCO
Corp.
4,172
511,195
Caterpillar,
Inc.
15,455
2,966,896
Colfax
Corp.
*
7,733
354,945
Cummins,
Inc.
3,829
859,840
Deere
&
Co.
16,131
5,405,014
Gates
Industrial
Corp.
plc
*
25,556
415,796
Illinois
Tool
Works,
Inc.
9,258
1,912,980
Ingersoll
Rand,
Inc.
*
23,782
1,198,851
Middleby
Corp.
(The)
*
4,535
773,263
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
1.7%
(continued)
PACCAR,
Inc.
5,359
422,932
Parker-Hannifin
Corp.
8,462
2,366,144
Pentair
plc
14,706
1,068,097
Timken
Co.
(The)
13,787
901,946
Xylem,
Inc.
6,645
821,854
19,979,753
Media
-
1.0%
Cable
One,
Inc.
979
1,775,054
Charter
Communications,
Inc.,
Class
A
*
8,599
6,256,289
Comcast
Corp.,
Class
A
16,044
897,341
Liberty
Broadband
Corp.,
Class
C
*
5,423
936,552
News
Corp.,
Class
A
56,187
1,322,080
11,187,316
Metals
&
Mining
-
1.8%
Alcoa
Corp.
*
84,159
4,118,741
Cleveland-Cliffs,
Inc.
*
108,836
2,156,041
Freeport-McMoRan,
Inc.
124,111
4,037,331
Newmont
Corp.
11,949
648,831
Nucor
Corp.
68,041
6,701,358
Reliance
Steel
&
Aluminum
Co.
3,454
491,919
Steel
Dynamics,
Inc.
14,031
820,533
United
States
Steel
Corp.
83,732
1,839,592
20,814,346
Multiline
Retail
-
0.9%
Dollar
General
Corp.
13,481
2,859,859
Kohl's
Corp.
42,442
1,998,594
Target
Corp.
26,604
6,086,197
10,944,650
Oil,
Gas
&
Consumable
Fuels
-
4.7%
Cheniere
Energy,
Inc.
*
17,065
1,666,738
Continental
Resources,
Inc.
101,546
4,686,348
Devon
Energy
Corp.
300,177
10,659,285
Diamondback
Energy,
Inc.
40,092
3,795,510
EOG
Resources,
Inc.
14,719
1,181,494
EQT
Corp.
*
75,863
1,552,157
Exxon
Mobil
Corp.
238,302
14,016,924
Hess
Corp.
11,236
877,644
Marathon
Oil
Corp.
329,886
4,509,542
Marathon
Petroleum
Corp.
10,789
666,868
New
Fortress
Energy,
Inc.
(a)
28,450
789,487
Occidental
Petroleum
Corp.
121,580
3,596,336
ONEOK,
Inc.
46,937
2,721,877
Targa
Resources
Corp.
74,220
3,652,366
54,372,576
Paper
&
Forest
Products
-
0.2%
Louisiana-Pacific
Corp.
44,870
2,753,672
57
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Personal
Products
-
0.6%
Coty,
Inc.,
Class
A
*
250,222
1,966,745
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
15,084
4,524,144
6,490,889
Pharmaceuticals
-
0.6%
Catalent
,
Inc.
*
14,428
1,919,934
Eli
Lilly
&
Co.
16,715
3,862,001
Zoetis,
Inc.
7,738
1,502,255
7,284,190
Professional
Services
-
0.3%
Booz
Allen
Hamilton
Holding
Corp.
8,867
703,597
CoStar
Group,
Inc.
*
29,300
2,521,558
Verisk
Analytics,
Inc.
4,134
827,916
4,053,071
Real
Estate
Management
&
Development
-
0.5%
CBRE
Group,
Inc.,
Class
A
*
17,346
1,688,807
Jones
Lang
LaSalle,
Inc.
*
16,238
4,028,485
5,717,292
Road
&
Rail
-
0.7%
CSX
Corp.
31,383
933,331
JB
Hunt
Transport
Services,
Inc.
4,187
700,150
Lyft,
Inc.,
Class
A
*
13,369
716,445
Norfolk
Southern
Corp.
2,500
598,125
Old
Dominion
Freight
Line,
Inc.
11,852
3,389,435
Union
Pacific
Corp.
5,640
1,105,496
XPO
Logistics,
Inc.
*
11,790
938,248
8,381,230
Semiconductors
&
Semiconductor
Equipment
-
6.6%
Advanced
Micro
Devices,
Inc.
*
57,490
5,915,721
Analog
Devices,
Inc.
4,551
762,202
Applied
Materials,
Inc.
36,854
4,744,215
Broadcom,
Inc.
3,826
1,855,342
Enphase
Energy,
Inc.
*
19,253
2,887,372
Entegris
,
Inc.
21,118
2,658,756
KLA
Corp.
9,827
3,287,230
Lam
Research
Corp.
9,788
5,570,840
Marvell
Technology,
Inc.
54,270
3,273,024
Microchip
Technology,
Inc.
11,149
1,711,260
MKS
Instruments,
Inc.
3,053
460,728
Monolithic
Power
Systems,
Inc.
4,808
2,330,341
NVIDIA
Corp.
136,900
28,360,204
ON
Semiconductor
Corp.
*
8,612
394,171
Qorvo
,
Inc.
*
10,234
1,711,023
QUALCOMM,
Inc.
38,197
4,926,649
Skyworks
Solutions,
Inc.
5,070
835,435
Teradyne,
Inc.
19,883
2,170,627
Texas
Instruments,
Inc.
12,751
2,450,870
76,306,010
INVESTMENTS
SHARES
VALUE
($)
Software
-
8.0%
Adobe,
Inc.
*
22,401
12,896,704
ANSYS,
Inc.
*
2,671
909,342
Atlassian
Corp.
plc,
Class
A
*
5,451
2,133,630
Autodesk,
Inc.
*
5,572
1,588,967
Avalara,
Inc.
*
9,869
1,724,805
Bill.com
Holdings,
Inc.
*
19,089
5,095,809
Black
Knight,
Inc.
*
6,960
501,120
Cadence
Design
Systems,
Inc.
*
15,781
2,389,875
Ceridian
HCM
Holding,
Inc.
*
5,140
578,867
Coupa
Software,
Inc.
*
4,571
1,001,872
Crowdstrike
Holdings,
Inc.,
Class
A
*
8,891
2,185,230
DocuSign,
Inc.
*
11,186
2,879,612
Dynatrace
,
Inc.
*
17,891
1,269,724
Fair
Isaac
Corp.
*
1,436
571,427
Fortinet,
Inc.
*
2,876
839,907
HubSpot
,
Inc.
*
4,385
2,964,655
Intuit,
Inc.
3,380
1,823,544
Manhattan
Associates,
Inc.
*
2,254
344,930
Microsoft
Corp.
63,807
17,988,469
NortonLifeLock
,
Inc.
25,570
646,921
Oracle
Corp.
71,871
6,262,120
Palo
Alto
Networks,
Inc.
*
1,562
748,198
Paycom
Software,
Inc.
*
5,862
2,906,087
Paylocity
Holding
Corp.
*
4,231
1,186,372
PTC,
Inc.
*
4,332
518,930
RingCentral,
Inc.,
Class
A
*
8,768
1,907,040
salesforce.com,
Inc.
*
6,108
1,656,612
ServiceNow
,
Inc.
*
11,738
7,304,205
Synopsys,
Inc.
*
9,326
2,792,298
Teradata
Corp.
*
20,377
1,168,621
Trade
Desk,
Inc.
(The),
Class
A
*
41,120
2,890,736
Zendesk
,
Inc.
*
3,319
386,298
Zscaler
,
Inc.
*
11,446
3,001,370
93,064,297
Specialty
Retail
-
3.0%
AutoNation,
Inc.
*
16,751
2,039,602
Bath
&
Body
Works,
Inc.
64,714
4,078,923
Best
Buy
Co.,
Inc.
7,325
774,326
Burlington
Stores,
Inc.
*
2,806
795,697
Carvana
Co.
*
15,177
4,576,472
Dick's
Sporting
Goods,
Inc.
14,976
1,793,675
Five
Below,
Inc.
*
2,484
439,196
Floor
&
Decor
Holdings,
Inc.,
Class
A
*
17,120
2,067,925
GameStop
Corp.,
Class
A
*(a)
11,344
1,990,532
Gap,
Inc.
(The)
25,206
572,176
Home
Depot,
Inc.
(The)
6,141
2,015,845
Lowe's
Cos.,
Inc.
18,011
3,653,711
O'Reilly
Automotive,
Inc.
*
1,264
772,380
Penske
Automotive
Group,
Inc.
11,806
1,187,684
RH
*
2,093
1,395,843
Ross
Stores,
Inc.
6,852
745,840
TJX
Cos.,
Inc.
(The)
5,956
392,977
58
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
3.0%
(continued)
Tractor
Supply
Co.
7,711
1,562,326
Ulta
Beauty,
Inc.
*
1,053
380,049
Victoria's
Secret
&
Co.
*
21,571
1,192,013
Williams-Sonoma,
Inc.
11,148
1,976,875
34,404,067
Technology
Hardware,
Storage
&
Peripherals
-
2.1%
Apple,
Inc.
129,958
18,389,057
Dell
Technologies,
Inc.,
Class
C
*
51,877
5,397,283
HP,
Inc.
17,380
475,517
24,261,857
Textiles,
Apparel
&
Luxury
Goods
-
1.7%
Capri
Holdings
Ltd.
*
82,457
3,991,743
Deckers
Outdoor
Corp.
*
785
282,757
Lululemon
Athletica
,
Inc.
*
4,803
1,943,774
NIKE,
Inc.,
Class
B
57,863
8,403,443
PVH
Corp.
*
13,506
1,388,282
Tapestry,
Inc.
25,384
939,716
Under
Armour
,
Inc.,
Class
A
*
113,338
2,287,161
19,236,876
Thrifts
&
Mortgage
Finance
-
0.1%
MGIC
Investment
Corp.
54,135
809,860
Trading
Companies
&
Distributors
-
0.5%
Fastenal
Co.
31,130
1,606,619
United
Rentals,
Inc.
*
6,652
2,334,387
Watsco
,
Inc.
3,619
957,660
WW
Grainger,
Inc.
1,471
578,191
5,476,857
Wireless
Telecommunication
Services
-
0.4%
T-Mobile
US,
Inc.
*
33,087
4,227,195
TOTAL
COMMON
STOCKS
(Cost
$681,633,644)
1,107,601,215
PREFERRED
STOCKS
-
0.0%
(b)
Real
Estate
Management
&
Development
-
0.0%
(b)
Brookfield
Property
Preferred
LP,
6.25%,
7/26/2081
(Cost
$53,285)
2,190
53,568
SHORT-TERM
INVESTMENTS
-
4.4%
INVESTMENT
COMPANIES
-
4.4%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(c)
(Cost
$50,879,382)
50,899,742
50,879,382
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
0.3%
Investment
Companies
-
0.3%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(c)(d)
1,488,634
1,488,634
Limited
Purpose
Cash
Investment
Fund
0.01%
(c)(d)
1,466,210
1,465,623
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$2,954,844)
2,954,257
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.1%
(Cost
$735,521,155)
1,161,488,422
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(0.1)%
(e)
(795,850)
NET
ASSETS
-
100.0%
1,160,692,572
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
124,699,655
10.8
%
Consumer
Discretionary
168,760,962
14.5
Consumer
Staples
16,095,496
1.4
Energy
54,865,569
4.7
Financials
207,703,240
17.9
Health
Care
107,784,446
9.3
Industrials
95,352,404
8.2
Information
Technology
256,900,210
22.1
Materials
46,275,879
4.0
Real
Estate
24,203,724
2.1
Utilities
5,013,198
0.4
Short-Term
Investments
50,879,382
4.4
Securities
Lending
Collateral
2,954,257
0.3
Total
Investments
In
Securities
At
Value
1,161,488,422
100.1
Liabilities
in
Excess
of
Other
Assets
(e
)
(795,850)
(0.1)
Net
Assets
$
1,160,692,572
100.0%
59
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$2,890,632.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(d)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(e)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
213
12/2021
USD
$
45,771,038
$
(1,827,512)
$
(1,827,512)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
3,969,406
$
3,969,406
60
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.0%
Aerospace
&
Defense
-
0.3%
Maxar
Technologies,
Inc.
16,190
458,501
Triumph
Group,
Inc.
*
20,656
384,821
843,322
Air
Freight
&
Logistics
-
0.0%
(a)
Atlas
Air
Worldwide
Holdings,
Inc.
*
1,056
86,254
Airlines
-
0.1%
Mesa
Air
Group,
Inc.
*
38,269
293,141
Auto
Components
-
1.3%
Adient
plc
*
14,148
586,435
Fox
Factory
Holding
Corp.
*
6,442
931,127
Gentherm,
Inc.
*
6,585
532,924
LCI
Industries
1,475
198,579
Modine
Manufacturing
Co.
*
9,525
107,918
Patrick
Industries,
Inc.
3,367
280,471
Tenneco,
Inc.,
Class
A
*
25,570
364,884
Visteon
Corp.
*
2,898
273,542
XPEL,
Inc.
*(b)
6,248
473,973
3,749,853
Automobiles
-
0.1%
Winnebago
Industries,
Inc.
2,989
216,553
Banks
-
4.6%
Amerant
Bancorp,
Inc.
*
3,266
80,801
Ameris
Bancorp
4,912
254,835
Bancorp,
Inc.
(The)
*
14,323
364,520
BankUnited,
Inc.
9,644
403,312
Berkshire
Hills
Bancorp,
Inc.
27,338
737,579
Byline
Bancorp,
Inc.
4,572
112,288
Coastal
Financial
Corp.
*
4,390
139,865
ConnectOne
Bancorp,
Inc.
2,742
82,287
Customers
Bancorp,
Inc.
*
20,011
860,873
Dime
Community
Bancshares,
Inc.
2,260
73,812
Equity
Bancshares,
Inc.,
Class
A
4,963
165,665
First
Bancorp/PR
26,438
347,660
First
Bank
8,750
123,288
First
Financial
Bankshares,
Inc.
1,879
86,340
First
Foundation,
Inc.
10,500
276,150
First
Internet
Bancorp
8,096
252,433
Flushing
Financial
Corp.
17,680
399,568
Hancock
Whitney
Corp.
23,367
1,101,053
Hanmi
Financial
Corp.
33,930
680,636
HomeTrust
Bancshares,
Inc.
3,378
94,517
Lakeland
Financial
Corp.
5,832
415,472
Live
Oak
Bancshares,
Inc.
10,880
692,294
Metropolitan
Bank
Holding
Corp.
*
1,761
148,452
MVB
Financial
Corp.
7,789
333,603
Origin
Bancorp,
Inc.
3,655
154,789
Pacific
Premier
Bancorp,
Inc.
8,671
359,326
Peapack-Gladstone
Financial
Corp.
2,567
85,635
Reliant
Bancorp,
Inc.
149
4,707
ServisFirst
Bancshares,
Inc.
12,352
960,986
INVESTMENTS
SHARES
VALUE
($)
Banks
-
4.6%
(continued)
Silvergate
Capital
Corp.,
Class
A
*
6,537
755,024
Spirit
of
Texas
Bancshares,
Inc.
10,473
253,447
Stock
Yards
Bancorp,
Inc.
3,432
201,287
Texas
Capital
Bancshares,
Inc.
*
7,747
464,975
Triumph
Bancorp,
Inc.
*
7,294
730,348
UMB
Financial
Corp.
3,685
356,376
Veritex
Holdings,
Inc.
2,942
115,797
12,670,000
Beverages
-
0.8%
Celsius
Holdings,
Inc.
*
18,023
1,623,692
Coca-Cola
Consolidated,
Inc.
797
314,162
National
Beverage
Corp.
4,594
241,139
2,178,993
Biotechnology
-
7.8%
Alector,
Inc.
*
8,834
201,592
Anavex
Life
Sciences
Corp.
*
28,419
510,121
Apellis
Pharmaceuticals,
Inc.
*
8,350
275,216
Arrowhead
Pharmaceuticals,
Inc.
*
3,075
191,972
Avid
Bioservices,
Inc.
*
27,286
588,559
Beam
Therapeutics,
Inc.
*
13,716
1,193,429
BioCryst
Pharmaceuticals,
Inc.
*
54,311
780,449
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
*
4,597
638,569
Bridgebio
Pharma,
Inc.
*
12,426
582,407
CareDx,
Inc.
*
11,622
736,486
Celcuity,
Inc.
*
8,851
159,318
Celldex
Therapeutics,
Inc.
*
10,852
585,899
Chimerix,
Inc.
*
30,994
191,853
Cortexyme,
Inc.
*
916
83,961
CTI
BioPharma
Corp.
*
15,365
45,327
Curis,
Inc.
*
40,194
314,719
Cytokinetics,
Inc.
*
10,135
362,225
Denali
Therapeutics,
Inc.
*
21,621
1,090,779
DermTech,
Inc.
*
6,687
214,720
Dicerna
Pharmaceuticals,
Inc.
*
4,223
85,136
Editas
Medicine,
Inc.
*
2,850
117,078
Evelo
Biosciences,
Inc.
*(c)
24,325
171,248
Fate
Therapeutics,
Inc.
*
17,630
1,044,930
Gritstone
bio,
Inc.
*
15,781
170,435
GT
Biopharma,
Inc.
*
16,975
114,411
Halozyme
Therapeutics,
Inc.
*
20,288
825,316
ImmunoGen,
Inc.
*
39,763
225,456
Infinity
Pharmaceuticals,
Inc.
*
47,006
160,760
Intellia
Therapeutics,
Inc.
*
16,739
2,245,537
IVERIC
bio,
Inc.
*
12,921
209,837
Lexicon
Pharmaceuticals,
Inc.
*
16,513
79,427
Lineage
Cell
Therapeutics,
Inc.
*(c)
100,927
254,336
MannKind
Corp.
*(c)
49,277
214,355
Mersana
Therapeutics,
Inc.
*
12,264
115,649
Morphic
Holding,
Inc.
*
5,854
331,571
Myriad
Genetics,
Inc.
*
17,700
571,533
NeuBase
Therapeutics,
Inc.
*
380
1,372
Oncocyte
Corp.
*
44,728
159,232
61
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Biotechnology
-
7.8%
(continued)
Organogenesis
Holdings,
Inc.
*
34,468
490,824
Outlook
Therapeutics,
Inc.
*
68,646
148,962
PDL
BioPharma,
Inc.
(3)*(d)
34,242
76,881
Protagonist
Therapeutics,
Inc.
*
5,499
97,442
Prothena
Corp.
plc
(Ireland)
*
13,346
950,636
PTC
Therapeutics,
Inc.
*
2,436
90,644
Replimune
Group,
Inc.
*
5,849
173,364
Rigel
Pharmaceuticals,
Inc.
*
45,989
166,940
Rubius
Therapeutics,
Inc.
*
27,706
495,383
Scholar
Rock
Holding
Corp.
*
8,485
280,175
Sorrento
Therapeutics,
Inc.
*(c)
16,892
128,886
SpringWorks
Therapeutics,
Inc.
*
5,315
337,184
Sutro
Biopharma,
Inc.
*
9,486
179,191
Syndax
Pharmaceuticals,
Inc.
*
7,431
142,006
TG
Therapeutics,
Inc.
*
16,354
544,261
Twist
Bioscience
Corp.
*
3,293
352,252
VBI
Vaccines,
Inc.
*(c)
28,438
88,442
Veracyte,
Inc.
*
4,884
226,862
Verastem,
Inc.
*
29,592
91,143
Vericel
Corp.
*
5,975
291,580
VistaGen
Therapeutics,
Inc.
*
105,055
287,851
XBiotech,
Inc.
(c)
7,598
98,394
21,584,523
Building
Products
-
1.4%
AAON,
Inc.
6,349
414,844
Cornerstone
Building
Brands,
Inc.
*
25,386
370,889
CSW
Industrials,
Inc.
2,595
331,381
Gibraltar
Industries,
Inc.
*
6,665
464,217
Masonite
International
Corp.
*
3,005
318,921
Resideo
Technologies,
Inc.
*
29,045
720,026
Simpson
Manufacturing
Co.,
Inc.
6,166
659,577
UFP
Industries,
Inc.
7,524
511,482
3,791,337
Capital
Markets
-
2.5%
Artisan
Partners
Asset
Management,
Inc.,
Class
A
14,557
712,128
B
Riley
Financial,
Inc.
9,015
532,246
BGC
Partners,
Inc.,
Class
A
64,602
336,576
Brightsphere
Investment
Group,
Inc.
19,214
502,062
Cohen
&
Steers,
Inc.
5,364
449,342
Cowen,
Inc.,
Class
A
3,064
105,126
Donnelley
Financial
Solutions,
Inc.
*
18,373
636,073
Focus
Financial
Partners,
Inc.,
Class
A
*
9,122
477,719
Hamilton
Lane,
Inc.,
Class
A
2,303
195,340
Houlihan
Lokey,
Inc.
2,591
238,631
Moelis
&
Co.,
Class
A
8,178
505,973
Open
Lending
Corp.,
Class
A
*
10,416
375,705
Piper
Sandler
Cos.
2,886
399,596
PJT
Partners,
Inc.,
Class
A
8,644
683,827
Virtus
Investment
Partners,
Inc.
2,086
647,328
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
2.5%
(continued)
WisdomTree
Investments,
Inc.
20,897
118,486
6,916,158
Chemicals
-
1.8%
AdvanSix,
Inc.
*
10,619
422,105
Amyris,
Inc.
*
55,791
766,010
Avient
Corp.
6,688
309,989
Hawkins,
Inc.
8,382
292,364
HB
Fuller
Co.
2,017
130,218
Intrepid
Potash,
Inc.
*
10,616
328,034
Kraton
Corp.
*
5,251
239,656
Livent
Corp.
*
35,532
821,145
Quaker
Chemical
Corp.
981
233,203
Rayonier
Advanced
Materials,
Inc.
*
28,733
215,497
Stepan
Co.
1,189
134,286
Trinseo
SA
9,337
504,011
Tronox
Holdings
plc,
Class
A
29,743
733,165
5,129,683
Commercial
Services
&
Supplies
-
0.4%
Brink's
Co.
(The)
1,239
78,429
Casella
Waste
Systems,
Inc.,
Class
A
*
2,339
177,624
Pitney
Bowes,
Inc.
17,854
128,727
RR
Donnelley
&
Sons
Co.
*
24,851
127,734
Tetra
Tech,
Inc.
2,966
442,942
Viad
Corp.
*
5,172
234,861
1,190,317
Communications
Equipment
-
0.9%
ADTRAN,
Inc.
5,043
94,607
Aviat
Networks,
Inc.
*
8,018
263,472
Calix,
Inc.
*
22,547
1,114,498
Cambium
Networks
Corp.
*
2,280
82,513
Clearfield,
Inc.
*
3,744
165,298
Digi
International,
Inc.
*
7,467
156,956
DZS,
Inc.
*
8,407
103,070
EMCORE
Corp.
*
11,423
85,444
Extreme
Networks,
Inc.
*
39,659
390,641
Plantronics,
Inc.
*
2,879
74,019
2,530,518
Construction
&
Engineering
-
1.6%
Ameresco,
Inc.,
Class
A
*
15,543
908,177
Comfort
Systems
USA,
Inc.
5,107
364,231
Concrete
Pumping
Holdings,
Inc.
*
24,728
211,177
Construction
Partners,
Inc.,
Class
A
*
7,283
243,034
Dycom
Industries,
Inc.
*
1,693
120,609
Granite
Construction,
Inc.
13,841
547,412
IES
Holdings,
Inc.
*
2,983
136,293
Infrastructure
and
Energy
Alternatives,
Inc.
*(c)
21,891
250,214
INNOVATE
Corp.
*(c)
31,941
130,958
62
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Construction
&
Engineering
-
1.6%
(continued)
MYR
Group,
Inc.
*
4,059
403,870
NV5
Global,
Inc.
*
1,350
133,070
Sterling
Construction
Co.,
Inc.
*
5,513
124,980
WillScot
Mobile
Mini
Holdings
Corp.
*
24,491
776,855
4,350,880
Construction
Materials
-
0.2%
Summit
Materials,
Inc.,
Class
A
*
14,071
449,850
Consumer
Finance
-
0.9%
Atlanticus
Holdings
Corp.
*
6,181
327,964
Curo
Group
Holdings
Corp.
8,516
147,582
Encore
Capital
Group,
Inc.
*
2,051
101,053
LendingClub
Corp.
*
31,364
885,719
Navient
Corp.
29,483
581,700
Regional
Management
Corp.
6,697
389,632
World
Acceptance
Corp.
*
747
141,616
2,575,266
Containers
&
Packaging
-
0.3%
O-I
Glass,
Inc.
*
18,588
265,251
Ranpak
Holdings
Corp.
*
19,969
535,568
800,819
Distributors
-
0.1%
Funko,
Inc.,
Class
A
*
18,892
344,023
Diversified
Consumer
Services
-
0.4%
Carriage
Services,
Inc.
4,901
218,536
Graham
Holdings
Co.,
Class
B
150
88,374
Houghton
Mifflin
Harcourt
Co.
*
50,610
679,692
986,602
Diversified
Financial
Services
-
0.1%
A-Mark
Precious
Metals,
Inc.
3,611
216,732
Diversified
Telecommunication
Services
-
0.8%
Consolidated
Communications
Holdings,
Inc.
*
11,668
107,229
Globalstar,
Inc.
*(c)
361,346
603,448
IDT
Corp.,
Class
B
*
10,430
437,539
Iridium
Communications,
Inc.
*
21,319
849,562
Ooma,
Inc.
*
7,097
132,075
2,129,853
Electrical
Equipment
-
0.9%
Atkore,
Inc.
*
7,048
612,612
Babcock
&
Wilcox
Enterprises,
Inc.
*
34,699
222,421
Blink
Charging
Co.
*(c)
9,315
266,502
FuelCell
Energy,
Inc.
*(c)
58,392
390,642
Vicor
Corp.
*
8,598
1,153,508
2,645,685
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
1.3%
Advanced
Energy
Industries,
Inc.
4,399
386,012
Arlo
Technologies,
Inc.
*
25,546
163,750
Badger
Meter,
Inc.
3,605
364,610
FARO
Technologies,
Inc.
*
5,187
341,356
II-VI,
Inc.
*
14,181
841,784
Insight
Enterprises,
Inc.
*
1,123
101,160
Luna
Innovations,
Inc.
*
20,643
196,109
Methode
Electronics,
Inc.
3,694
155,333
MicroVision,
Inc.
*(c)
41,087
454,011
nLight,
Inc.
*
4,211
118,708
Novanta,
Inc.
*
1,513
233,758
PAR
Technology
Corp.
*
4,913
302,199
Rogers
Corp.
*
430
80,186
3,738,976
Energy
Equipment
&
Services
-
1.2%
Aspen
Aerogels,
Inc.
*
13,309
612,347
ChampionX
Corp.
*
44,910
1,004,188
FTS
International,
Inc.,
Class
A
*
12,269
301,818
Liberty
Oilfield
Services,
Inc.,
Class
A
*
7,710
93,522
Nabors
Industries
Ltd.
*
1,259
121,468
NexTier
Oilfield
Solutions,
Inc.
*
17,737
81,590
Oceaneering
International,
Inc.
*
13,807
183,909
Patterson-UTI
Energy,
Inc.
16,224
146,016
TETRA
Technologies,
Inc.
*
54,649
170,505
Tidewater,
Inc.
*
30,580
368,795
US
Silica
Holdings,
Inc.
*
25,816
206,270
3,290,428
Entertainment
-
1.4%
AMC
Entertainment
Holdings,
Inc.,
Class
A
*(c)
100,115
3,810,377
Lions
Gate
Entertainment
Corp.,
Class
A
*
6,028
85,537
LiveXLive
Media,
Inc.
*(c)
36,410
108,866
4,004,780
Equity
Real
Estate
Investment
Trusts
(REITs)
-
2.5%
Acadia
Realty
Trust
11,509
234,899
Alexander
&
Baldwin,
Inc.
3,591
84,173
Chatham
Lodging
Trust
*
26,732
327,467
CorePoint
Lodging,
Inc.
*
36,047
558,729
DigitalBridge
Group,
Inc.
*(c)
130,510
786,975
EastGroup
Properties,
Inc.
1,066
177,628
Essential
Properties
Realty
Trust,
Inc.
10,107
282,187
Farmland
Partners,
Inc.
9,873
118,377
Hersha
Hospitality
Trust
*
16,930
157,957
Innovative
Industrial
Properties,
Inc.
2,923
675,710
National
Storage
Affiliates
Trust
10,896
575,200
Retail
Value,
Inc.
6,940
182,730
RPT
Realty
19,010
242,568
Ryman
Hospitality
Properties,
Inc.
*
8,175
684,248
63
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Equity
Real
Estate
Investment
Trusts
(REITs)
-
2.5%
(continued)
Safehold,
Inc.
7,474
537,306
SITE
Centers
Corp.
38,601
595,999
Tanger
Factory
Outlet
Centers,
Inc.
27,188
443,164
Terreno
Realty
Corp.
2,183
138,031
Urstadt
Biddle
Properties,
Inc.,
Class
A
5,586
105,743
6,909,091
Food
&
Staples
Retailing
-
0.3%
BJ's
Wholesale
Club
Holdings,
Inc.
*
6,049
332,211
United
Natural
Foods,
Inc.
*
11,720
567,482
899,693
Food
Products
-
0.1%
B&G
Foods,
Inc.
2,720
81,301
Lancaster
Colony
Corp.
523
88,287
169,588
Health
Care
Equipment
&
Supplies
-
3.4%
Alphatec
Holdings,
Inc.
*
32,809
399,942
AngioDynamics,
Inc.
*
20,405
529,306
Asensus
Surgical,
Inc.
*(c)
112,555
208,227
Aspira
Women's
Health,
Inc.
*(c)
26,826
87,184
AtriCure,
Inc.
*
6,875
478,156
BioLife
Solutions,
Inc.
*
2,070
87,602
ClearPoint
Neuro,
Inc.
*(c)
13,614
241,649
CONMED
Corp.
648
84,778
CryoPort,
Inc.
*
12,231
813,484
Cutera,
Inc.
*
8,163
380,396
DarioHealth
Corp.
*
5,804
79,225
Glaukos
Corp.
*
1,744
84,008
Heska
Corp.
*
2,317
599,037
Inari
Medical,
Inc.
*
1,084
87,912
Inogen,
Inc.
*
6,396
275,604
LeMaitre
Vascular,
Inc.
2,370
125,823
LivaNova
plc
*
4,070
322,303
Merit
Medical
Systems,
Inc.
*
2,701
193,932
Nevro
Corp.
*
2,302
267,907
PAVmed,
Inc.
*
35,254
301,069
Retractable
Technologies,
Inc.
*
11,637
128,356
Senseonics
Holdings,
Inc.
*(c)
144,601
490,197
Shockwave
Medical,
Inc.
*
7,034
1,448,160
STAAR
Surgical
Co.
*
10,233
1,315,247
Varex
Imaging
Corp.
*
2,788
78,622
ViewRay,
Inc.
*
44,161
318,401
9,426,527
Health
Care
Providers
&
Services
-
3.2%
Addus
HomeCare
Corp.
*
5,003
398,989
AMN
Healthcare
Services,
Inc.
*
5,953
683,107
Brookdale
Senior
Living,
Inc.
*
60,584
381,679
Community
Health
Systems,
Inc.
*
52,961
619,644
Cross
Country
Healthcare,
Inc.
*
15,776
335,082
Ensign
Group,
Inc.
(The)
5,495
411,521
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Providers
&
Services
-
3.2%
(continued)
Fulgent
Genetics,
Inc.
*
6,028
542,219
InfuSystem
Holdings,
Inc.
*
7,140
93,034
Joint
Corp.
(The)
*
4,511
442,168
LHC
Group,
Inc.
*
3,210
503,681
MEDNAX,
Inc.
*
5,235
148,831
ModivCare,
Inc.
*
2,781
505,085
Owens
&
Minor,
Inc.
20,345
636,595
Patterson
Cos.,
Inc.
2,954
89,034
Progyny,
Inc.
*
9,702
543,312
R1
RCM,
Inc.
*
9,951
219,021
Select
Medical
Holdings
Corp.
25,226
912,424
Sharps
Compliance
Corp.
*
9,970
82,452
Tenet
Healthcare
Corp.
*
18,268
1,213,726
Tivity
Health,
Inc.
*
3,497
80,641
8,842,245
Health
Care
Technology
-
1.6%
Allscripts
Healthcare
Solutions,
Inc.
*
8,740
116,854
Castlight
Health,
Inc.,
Class
B
*
79,578
124,937
Evolent
Health,
Inc.,
Class
A
*
26,133
810,123
iCAD,
Inc.
*
10,683
114,842
Inovalon
Holdings,
Inc.,
Class
A
*
5,641
227,276
Inspire
Medical
Systems,
Inc.
*
6,485
1,510,227
Omnicell,
Inc.
*
4,899
727,159
OptimizeRx
Corp.
*
6,994
598,337
Phreesia,
Inc.
*
5,562
343,175
4,572,930
Hotels,
Restaurants
&
Leisure
-
4.6%
Bally's
Corp.
*
5,323
266,895
Biglari
Holdings,
Inc.,
Class
B
*
1,305
224,212
Bloomin'
Brands,
Inc.
*
6,871
171,775
Bluegreen
Vacations
Holding
Corp.
*
8,134
209,857
Brinker
International,
Inc.
*
1,590
77,990
Carrols
Restaurant
Group,
Inc.
22,596
82,701
Century
Casinos,
Inc.
*
21,971
295,949
Cheesecake
Factory,
Inc.
(The)
*
1,776
83,472
Dave
&
Buster's
Entertainment,
Inc.
*
5,361
205,487
Everi
Holdings,
Inc.
*
19,201
464,280
Fiesta
Restaurant
Group,
Inc.
*
9,844
107,890
Full
House
Resorts,
Inc.
*
40,397
428,612
Golden
Entertainment,
Inc.
*
18,738
919,849
Hilton
Grand
Vacations,
Inc.
*
9,207
437,977
International
Game
Technology
plc
*
17,186
452,336
Kura
Sushi
USA,
Inc.,
Class
A
*
4,417
192,935
Monarch
Casino
&
Resort,
Inc.
*
1,222
81,862
ONE
Group
Hospitality,
Inc.
(The)
*
34,392
367,651
Papa
John's
International,
Inc.
2,630
333,984
RCI
Hospitality
Holdings,
Inc.
8,139
557,603
Red
Rock
Resorts,
Inc.,
Class
A
*
31,169
1,596,476
Ruth's
Hospitality
Group,
Inc.
*
15,729
325,748
64
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
4.6%
(continued)
Scientific
Games
Corp.
*
19,848
1,648,773
SeaWorld
Entertainment,
Inc.
*
18,026
997,198
Target
Hospitality
Corp.
*
30,290
112,982
Texas
Roadhouse,
Inc.
13,310
1,215,602
Wingstop,
Inc.
5,324
872,763
12,732,859
Household
Durables
-
2.0%
Bassett
Furniture
Industries,
Inc.
13,696
248,035
Century
Communities,
Inc.
7,546
463,702
Ethan
Allen
Interiors,
Inc.
3,349
79,371
Flexsteel
Industries,
Inc.
6,241
192,722
GoPro,
Inc.,
Class
A
*
31,788
297,536
Green
Brick
Partners,
Inc.
*
12,087
248,025
Helen
of
Troy
Ltd.
*
1,593
357,915
Hovnanian
Enterprises,
Inc.,
Class
A
*
1,191
114,800
Installed
Building
Products,
Inc.
4,024
431,172
LGI
Homes,
Inc.
*
1,435
203,641
Lifetime
Brands,
Inc.
14,328
260,626
Lovesac
Co.
(The)
*
7,153
472,742
M/I
Homes,
Inc.
*
7,673
443,499
MDC
Holdings,
Inc.
3,574
166,977
Meritage
Homes
Corp.
*
4,535
439,895
Sonos,
Inc.
*
17,927
580,118
Tri
Pointe
Homes,
Inc.
*
3,867
81,284
Tupperware
Brands
Corp.
*
6,641
140,258
VOXX
International
Corp.
*
6,753
77,322
Vuzix
Corp.
*(c)
16,254
170,017
5,469,657
Household
Products
-
0.1%
Central
Garden
&
Pet
Co.,
Class
A
*
3,326
143,018
WD-40
Co.
527
121,990
265,008
Independent
Power
and
Renewable
Electricity
Producers
-
0.1%
Clearway
Energy,
Inc.,
Class
C
5,605
169,663
Insurance
-
0.9%
CNO
Financial
Group,
Inc.
23,012
541,702
Goosehead
Insurance,
Inc.,
Class
A
4,196
639,009
HCI
Group,
Inc.
1,879
208,137
Kinsale
Capital
Group,
Inc.
995
160,892
Maiden
Holdings
Ltd.
*
54,615
172,583
RLI
Corp.
1,057
105,985
State
Auto
Financial
Corp.
2,921
148,825
Stewart
Information
Services
Corp.
2,946
186,364
Trupanion,
Inc.
*
3,521
273,476
2,436,973
Interactive
Media
&
Services
-
0.3%
Cars.com,
Inc.
*
6,232
78,835
Eventbrite,
Inc.,
Class
A
*
6,931
131,065
INVESTMENTS
SHARES
VALUE
($)
Interactive
Media
&
Services
-
0.3%
(continued)
fuboTV,
Inc.
*(c)
28,699
687,628
897,528
Internet
&
Direct
Marketing
Retail
-
1.3%
1-800-Flowers.com,
Inc.,
Class
A
*
4,355
132,871
CarParts.com,
Inc.
*
6,399
99,889
Duluth
Holdings,
Inc.,
Class
B
*
11,382
155,137
Groupon,
Inc.
*
5,552
126,641
Lands'
End,
Inc.
*
14,735
346,862
Liquidity
Services,
Inc.
*
15,212
328,731
Revolve
Group,
Inc.
*
14,277
881,890
Shutterstock,
Inc.
7,290
826,103
Stitch
Fix,
Inc.,
Class
A
*(c)
15,193
606,960
3,505,084
IT
Services
-
1.3%
Conduent,
Inc.
*
57,479
378,787
EVERTEC,
Inc.
3,230
147,675
ExlService
Holdings,
Inc.
*
1,828
225,063
Grid
Dynamics
Holdings,
Inc.
*
18,981
554,625
MoneyGram
International,
Inc.
*
27,133
217,607
Perficient,
Inc.
*
4,657
538,815
TTEC
Holdings,
Inc.
10,336
966,726
Unisys
Corp.
*
21,898
550,516
3,579,814
Leisure
Products
-
0.9%
Acushnet
Holdings
Corp.
11,396
532,193
AMMO,
Inc.
*
36,782
226,209
Callaway
Golf
Co.
*
18,332
506,513
Clarus
Corp.
3,169
81,221
Johnson
Outdoors,
Inc.,
Class
A
1,132
119,766
Malibu
Boats,
Inc.,
Class
A
*
1,876
131,283
MasterCraft
Boat
Holdings,
Inc.
*
4,021
100,847
Smith
&
Wesson
Brands,
Inc.
3,750
77,850
Vista
Outdoor,
Inc.
*
18,666
752,426
2,528,308
Life
Sciences
Tools
&
Services
-
1.2%
Bionano
Genomics,
Inc.
*(c)
84,834
466,587
Harvard
Bioscience,
Inc.
*
19,327
134,902
Inotiv,
Inc.
*
7,551
220,791
Medpace
Holdings,
Inc.
*
1,799
340,515
NanoString
Technologies,
Inc.
*
11,121
533,919
NeoGenomics,
Inc.
*
9,963
480,615
Pacific
Biosciences
of
California,
Inc.
*
40,287
1,029,333
Quanterix
Corp.
*
4,454
221,765
3,428,427
Machinery
-
2.7%
Alamo
Group,
Inc.
1,547
215,853
Altra
Industrial
Motion
Corp.
9,332
516,526
Astec
Industries,
Inc.
2,744
147,655
Chart
Industries,
Inc.
*
7,749
1,480,911
65
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Machinery
-
2.7%
(continued)
Columbus
McKinnon
Corp.
2,492
120,488
Commercial
Vehicle
Group,
Inc.
*
20,353
192,539
Energy
Recovery,
Inc.
*
10,465
199,149
Evoqua
Water
Technologies
Corp.
*
15,260
573,166
Franklin
Electric
Co.,
Inc.
2,799
223,500
Greenbrier
Cos.,
Inc.
(The)
5,342
229,652
Helios
Technologies,
Inc.
2,429
199,445
Ideanomics,
Inc.
*(c)
91,833
180,911
Kadant,
Inc.
1,653
337,377
Lindsay
Corp.
1,848
280,508
Manitowoc
Co.,
Inc.
(The)
*
3,754
80,411
Mayville
Engineering
Co.,
Inc.
*
6,929
130,265
Omega
Flex,
Inc.
868
123,855
Park-Ohio
Holdings
Corp.
4,435
113,181
REV
Group,
Inc.
21,079
361,716
Shyft
Group,
Inc.
(The)
17,759
675,020
SPX
Corp.
*
2,755
147,255
SPX
FLOW,
Inc.
2,161
157,969
Terex
Corp.
5,310
223,551
Titan
International,
Inc.
*
54,454
389,891
Watts
Water
Technologies,
Inc.,
Class
A
1,024
172,124
7,472,918
Marine
-
0.8%
Costamare,
Inc.
(Monaco)
30,941
479,276
Eagle
Bulk
Shipping,
Inc.
*
7,022
354,049
Genco
Shipping
&
Trading
Ltd.
16,669
335,547
Matson,
Inc.
7,130
575,462
Safe
Bulkers,
Inc.
(Greece)
*
75,551
390,599
2,134,933
Media
-
1.8%
AMC
Networks,
Inc.,
Class
A
*
6,399
298,129
Boston
Omaha
Corp.,
Class
A
*
3,580
138,832
Cardlytics,
Inc.
*
4,320
362,621
Clear
Channel
Outdoor
Holdings,
Inc.
*
128,246
347,547
Emerald
Holding,
Inc.
*
20,132
87,373
Entercom
Communications
Corp.
*
49,239
181,200
Entravision
Communications
Corp.,
Class
A
61,163
434,257
Gannett
Co.,
Inc.
*
83,133
555,328
iHeartMedia,
Inc.,
Class
A
*
28,090
702,812
John
Wiley
&
Sons,
Inc.,
Class
A
1,626
84,893
Loral
Space
&
Communications,
Inc.
(Canada)
4,574
196,728
Magnite,
Inc.
*
24,692
691,376
TechTarget,
Inc.
*
9,852
812,002
4,893,098
Metals
&
Mining
-
0.9%
Allegheny
Technologies,
Inc.
*
4,756
79,092
Arconic
Corp.
*
2,498
78,787
Century
Aluminum
Co.
*
16,274
218,885
INVESTMENTS
SHARES
VALUE
($)
Metals
&
Mining
-
0.9%
(continued)
Haynes
International,
Inc.
2,137
79,603
Hecla
Mining
Co.
97,470
536,085
Ryerson
Holding
Corp.
30,784
685,560
SunCoke
Energy,
Inc.
12,889
80,943
TimkenSteel
Corp.
*
34,014
444,903
Worthington
Industries,
Inc.
6,835
360,205
2,564,063
Multiline
Retail
-
1.0%
Big
Lots,
Inc.
2,167
93,961
Dillard's,
Inc.,
Class
A
5,091
878,299
Franchise
Group,
Inc.
9,887
350,099
Macy's,
Inc.
59,132
1,336,383
2,658,742
Oil,
Gas
&
Consumable
Fuels
-
5.6%
Aemetis,
Inc.
*(c)
14,450
264,146
Alto
Ingredients,
Inc.
*
16,419
81,110
Altus
Midstream
Co.
7,781
537,122
Antero
Resources
Corp.
*
94,732
1,781,909
Bonanza
Creek
Energy,
Inc.
2,768
132,587
Callon
Petroleum
Co.
*
13,917
683,046
Centennial
Resource
Development,
Inc.,
Class
A
*
94,530
633,351
Centrus
Energy
Corp.,
Class
A
*
2,422
93,635
Clean
Energy
Fuels
Corp.
*
42,904
349,668
CNX
Resources
Corp.
*
6,593
83,204
CONSOL
Energy,
Inc.
*
17,227
448,247
Earthstone
Energy,
Inc.,
Class
A
*
21,229
195,307
Energy
Fuels,
Inc.
*(c)
52,751
370,312
Falcon
Minerals
Corp.
20,231
95,086
Gevo,
Inc.
*(c)
68,132
452,396
Green
Plains,
Inc.
*
15,330
500,524
Laredo
Petroleum,
Inc.
*
5,365
434,941
Magnolia
Oil
&
Gas
Corp.,
Class
A
35,414
630,015
Matador
Resources
Co.
28,303
1,076,646
Northern
Oil
and
Gas,
Inc.
12,501
267,521
Ovintiv,
Inc.
53,551
1,760,757
PDC
Energy,
Inc.
18,790
890,458
Peabody
Energy
Corp.
*
24,586
363,627
Penn
Virginia
Corp.
*
12,311
328,334
Range
Resources
Corp.
*
37,512
848,897
Renewable
Energy
Group,
Inc.
*
9,215
462,593
SM
Energy
Co.
32,454
856,137
Southwestern
Energy
Co.
*
59,508
329,674
Tellurian,
Inc.
*
104,739
409,529
Uranium
Energy
Corp.
*(c)
68,683
209,483
15,570,262
Personal
Products
-
0.3%
elf
Beauty,
Inc.
*
16,044
466,078
Medifast,
Inc.
1,314
253,129
Veru,
Inc.
*
23,712
202,263
921,470
66
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Pharmaceuticals
-
1.4%
9
Meters
Biopharma,
Inc.
*
108,293
140,781
Aclaris
Therapeutics,
Inc.
*
27,888
501,984
Ampio
Pharmaceuticals,
Inc.
*(c)
60,116
99,793
Arvinas,
Inc.
*
8,712
715,952
Cassava
Sciences,
Inc.
*(c)
11,634
722,239
Corcept
Therapeutics,
Inc.
*
14,802
291,304
Evolus,
Inc.
*
22,286
169,819
Intra-Cellular
Therapies,
Inc.
*
8,522
317,700
Marinus
Pharmaceuticals,
Inc.
*(c)
7,764
88,354
Ocular
Therapeutix,
Inc.
*
11,928
119,280
Oramed
Pharmaceuticals,
Inc.
(Israel)
*(c)
18,849
414,301
Pacira
BioSciences,
Inc.
*
2,978
166,768
Revance
Therapeutics,
Inc.
*
9,691
269,991
4,018,266
Professional
Services
-
1.4%
ASGN,
Inc.
*
9,197
1,040,548
CRA
International,
Inc.
847
84,141
Exponent,
Inc.
1,771
200,389
Franklin
Covey
Co.
*
2,804
114,375
Heidrick
&
Struggles
International,
Inc.
5,428
242,252
Kforce,
Inc.
1,698
101,269
Korn
Ferry
13,166
952,692
Mistras
Group,
Inc.
*
18,314
186,070
Upwork,
Inc.
*
24,074
1,084,052
4,005,788
Real
Estate
Management
&
Development
-
1.4%
eXp
World
Holdings,
Inc.
26,257
1,044,241
Newmark
Group,
Inc.,
Class
A
67,926
972,021
Rafael
Holdings,
Inc.,
Class
B
*(c)
6,716
206,383
Realogy
Holdings
Corp.
*
33,062
579,907
Redfin
Corp.
*
10,385
520,289
St
Joe
Co.
(The)
14,470
609,187
3,932,028
Road
&
Rail
-
1.2%
ArcBest
Corp.
2,349
192,078
Avis
Budget
Group,
Inc.
*
10,957
1,276,600
Covenant
Logistics
Group,
Inc.
*
5,720
158,158
Daseke,
Inc.
*
17,477
160,963
HyreCar,
Inc.
*
17,850
151,725
Marten
Transport
Ltd.
11,175
175,336
Saia,
Inc.
*
5,363
1,276,555
3,391,415
Semiconductors
&
Semiconductor
Equipment
-
4.7%
Alpha
&
Omega
Semiconductor
Ltd.
*
12,257
384,502
Ambarella,
Inc.
*
7,265
1,131,451
Amkor
Technology,
Inc.
46,301
1,155,210
Atomera,
Inc.
*
14,625
337,691
Axcelis
Technologies,
Inc.
*
5,666
266,472
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
4.7%
(continued)
AXT,
Inc.
*
17,060
142,110
CMC
Materials,
Inc.
786
96,859
Cohu,
Inc.
*
7,126
227,604
Diodes,
Inc.
*
4,387
397,418
FormFactor,
Inc.
*
18,312
683,587
Kopin
Corp.
*
38,254
196,243
Kulicke
&
Soffa
Industries,
Inc.
(Singapore)
7,913
461,170
Lattice
Semiconductor
Corp.
*
29,734
1,922,303
MACOM
Technology
Solutions
Holdings,
Inc.
*
18,726
1,214,756
MaxLinear,
Inc.
*
4,280
210,790
PDF
Solutions,
Inc.
*
5,510
126,950
Power
Integrations,
Inc.
1,946
192,635
Rambus,
Inc.
*
6,433
142,813
SiTime
Corp.
*
3,891
794,426
SunPower
Corp.
*
32,590
739,141
Synaptics,
Inc.
*
7,810
1,403,691
Ultra
Clean
Holdings,
Inc.
*
13,588
578,849
Veeco
Instruments,
Inc.
*
12,035
267,297
13,073,968
Software
-
6.2%
A10
Networks,
Inc.
*
17,600
237,248
Agilysys,
Inc.
*
5,213
272,953
Alarm.com
Holdings,
Inc.
*
5,005
391,341
Altair
Engineering,
Inc.,
Class
A
*
5,223
360,074
Appfolio,
Inc.,
Class
A
*
6,561
789,944
Appian
Corp.
*(c)
1,919
177,527
Avaya
Holdings
Corp.
*
19,710
390,061
Blackline,
Inc.
*
10,226
1,207,282
Cerence,
Inc.
*
7,355
706,889
ChannelAdvisor
Corp.
*
14,025
353,851
CommVault
Systems,
Inc.
*
1,806
136,010
Digital
Turbine,
Inc.
*
21,781
1,497,444
Domo,
Inc.,
Class
B
*
7,543
636,931
J2
Global,
Inc.
*
7,435
1,015,770
LivePerson,
Inc.
*
6,236
367,612
Marathon
Digital
Holdings,
Inc.
*(c)
25,714
812,048
MicroStrategy,
Inc.,
Class
A
*(c)
2,162
1,250,501
Q2
Holdings,
Inc.
*
7,256
581,496
Rapid7,
Inc.
*
974
110,081
Rekor
Systems,
Inc.
*(c)
8,823
101,376
Rimini
Street,
Inc.
*
8,429
81,340
Riot
Blockchain,
Inc.
*(c)
23,109
593,901
Sailpoint
Technologies
Holdings,
Inc.
*
15,860
680,077
Sprout
Social,
Inc.,
Class
A
*
10,216
1,245,841
SPS
Commerce,
Inc.
*
3,472
560,068
Tenable
Holdings,
Inc.
*
2,550
117,657
Varonis
Systems,
Inc.
*
21,907
1,333,041
Veritone,
Inc.
*
10,687
255,312
VirnetX
Holding
Corp.
*
80
314
Workiva,
Inc.
*
6,061
854,358
17,118,348
67
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Specialty
Retail
-
4.4%
Abercrombie
&
Fitch
Co.,
Class
A
*
19,775
744,133
American
Eagle
Outfitters,
Inc.
3,405
87,849
America's
Car-Mart,
Inc.
*
1,513
176,688
Asbury
Automotive
Group,
Inc.
*
1,578
310,456
Barnes
&
Noble
Education,
Inc.
*
39,323
392,837
Bed
Bath
&
Beyond,
Inc.
*
17,664
305,146
Big
5
Sporting
Goods
Corp.
9,778
225,285
Boot
Barn
Holdings,
Inc.
*
5,615
499,005
Buckle,
Inc.
(The)
10,542
417,358
Caleres,
Inc.
21,180
470,619
Camping
World
Holdings,
Inc.,
Class
A
3,860
150,038
Cato
Corp.
(The),
Class
A
7,096
117,368
Chico's
FAS,
Inc.
*
55,040
247,130
Children's
Place,
Inc.
(The)
*
5,343
402,114
Citi
Trends,
Inc.
*
6,088
444,180
Conn's,
Inc.
*
7,954
181,590
Container
Store
Group,
Inc.
(The)
*
7,519
71,581
Genesco,
Inc.
*
9,082
524,304
Group
1
Automotive,
Inc.
549
103,146
GrowGeneration
Corp.
*
2,963
73,097
Guess?,
Inc.
3,699
77,716
Haverty
Furniture
Cos.,
Inc.
8,297
279,692
Hibbett,
Inc.
7,360
520,646
Kirkland's,
Inc.
*
4,347
83,506
MarineMax,
Inc.
*
7,763
376,661
National
Vision
Holdings,
Inc.
*
13,179
748,172
ODP
Corp.
(The)
*
9,471
380,355
Party
City
Holdco,
Inc.
*
16,933
120,224
Rent-A-Center,
Inc.
12,693
713,473
Shoe
Carnival,
Inc.
8,250
267,465
Signet
Jewelers
Ltd.
15,307
1,208,641
Sleep
Number
Corp.
*
5,581
521,712
Sonic
Automotive,
Inc.,
Class
A
9,147
480,583
Tilly's,
Inc.,
Class
A
10,881
152,443
Urban
Outfitters,
Inc.
*
2,417
71,761
Zumiez,
Inc.
*
4,422
175,819
12,122,793
Technology
Hardware,
Storage
&
Peripherals
-
0.5%
3D
Systems
Corp.
*
31,766
875,788
Avid
Technology,
Inc.
*
13,342
385,851
Turtle
Beach
Corp.
*
3,485
96,953
1,358,592
Textiles,
Apparel
&
Luxury
Goods
-
1.6%
Crocs,
Inc.
*
14,870
2,133,548
Fossil
Group,
Inc.
*
19,452
230,506
G-III
Apparel
Group
Ltd.
*
17,258
488,401
Kontoor
Brands,
Inc.
6,809
340,110
Movado
Group,
Inc.
10,233
322,237
Oxford
Industries,
Inc.
3,200
288,544
Steven
Madden
Ltd.
5,844
234,695
Superior
Group
of
Cos.,
Inc.
3,496
81,422
INVESTMENTS
SHARES
VALUE
($)
Textiles,
Apparel
&
Luxury
Goods
-
1.6%
(continued)
Unifi,
Inc.
*
3,758
82,413
Vera
Bradley,
Inc.
*
15,520
146,043
4,347,919
Thrifts
&
Mortgage
Finance
-
1.4%
Axos
Financial,
Inc.
*
1,756
90,504
HomeStreet,
Inc.
5,133
211,223
Merchants
Bancorp
5,107
201,573
Meta
Financial
Group,
Inc.
9,816
515,144
Mr
Cooper
Group,
Inc.
*
26,614
1,095,698
Ocwen
Financial
Corp.
*
9,105
256,124
PennyMac
Financial
Services,
Inc.
13,873
848,057
Walker
&
Dunlop,
Inc.
5,226
593,151
Waterstone
Financial,
Inc.
7,804
159,904
3,971,378
Tobacco
-
0.2%
22nd
Century
Group,
Inc.
*(c)
75,005
222,015
Turning
Point
Brands,
Inc.
6,260
298,915
520,930
Trading
Companies
&
Distributors
-
2.4%
Beacon
Roofing
Supply,
Inc.
*
6,730
321,425
BlueLinx
Holdings,
Inc.
*
5,835
285,215
Boise
Cascade
Co.
10,490
566,250
Custom
Truck
One
Source,
Inc.
*
40,234
375,383
Global
Industrial
Co.
8,468
320,853
GMS,
Inc.
*
2,005
87,819
Herc
Holdings,
Inc.
*
6,737
1,101,230
Rush
Enterprises,
Inc.,
Class
A
9,799
442,523
Textainer
Group
Holdings
Ltd.
(China)
*
13,776
480,920
Titan
Machinery,
Inc.
*
3,211
83,197
Triton
International
Ltd.
11,455
596,118
Veritiv
Corp.
*
8,095
724,988
WESCO
International,
Inc.
*
10,824
1,248,224
6,634,145
Water
Utilities
-
0.0%
(a)
Cadiz,
Inc.
*
10,859
76,447
Wireless
Telecommunication
Services
-
0.1%
Gogo,
Inc.
*(c)
22,442
388,247
TOTAL
COMMON
STOCKS
(Cost
$179,947,356)
263,723,691
SHORT-TERM
INVESTMENTS
-
4.7%
INVESTMENT
COMPANIES
-
4.7%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(e)
(Cost
$13,123,740)
13,128,991
13,123,740
68
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
3.6%
Investment
Companies
-
3.6%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(e)(f)
5,065,930
5,065,930
Limited
Purpose
Cash
Investment
Fund
0.01%
(e)(f)
4,989,620
4,987,624
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$10,055,550)
10,053,554
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
103.3%
(Cost
$203,126,646)
286,900,985
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(3.3)%
(g)
(9,287,898)
NET
ASSETS
-
100.0%
277,613,087
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
12,313,505
4.4
%
Consumer
Discretionary
48,662,394
17.5
Consumer
Staples
4,955,683
1.8
Energy
18,860,690
6.8
Financials
28,786,507
10.4
Health
Care
51,872,919
18.7
Industrials
36,840,134
13.3
Information
Technology
41,400,215
14.9
Materials
8,944,415
3.2
Real
Estate
10,841,118
3.9
Utilities
246,111
0.1
Short-Term
Investments
13,123,740
4.7
Securities
Lending
Collateral
10,053,554
3.6
Total
Investments
In
Securities
At
Value
286,900,985
103.3
Liabilities
in
Excess
of
Other
Assets
(g)
(9,287,898)
(3.3)
Net
Assets
$
277,613,087
100.0%
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
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
September
30,
2021,
the
value
of
these
securities
amounted
to
$473,973
or
0.17%
of
net
assets.
(c)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$9,647,809.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$76,881,
which
represents
approximately
0.03%
of
net
assets
of
the
fund.
(e)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(f)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(g)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Russell
2000
E-Mini
Index
102
12/2021
USD
$
11,224,080
$
(216,352)
$
(216,352)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
839,667
$
839,667
69
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
94.7%
Australia
-
7.0%
Aristocrat
Leisure
Ltd.
32,237
1,072,091
Australia
&
New
Zealand
Banking
Group
Ltd.
42,875
861,039
BHP
Group
plc
121,153
3,052,370
BlueScope
Steel
Ltd.
53,242
771,455
Commonwealth
Bank
of
Australia
54,956
4,078,304
CSL
Ltd.
9,497
1,984,220
Domino's
Pizza
Enterprises
Ltd.
12,605
1,441,739
Fortescue
Metals
Group
Ltd.
203,813
2,171,020
Glencore
plc
*
628,661
2,957,288
Goodman
Group,
REIT
106,176
1,633,739
Macquarie
Group
Ltd.
14,096
1,821,151
National
Australia
Bank
Ltd.
270,350
5,331,581
REA
Group
Ltd.
8,056
907,354
Reece
Ltd.
13,590
183,283
Rio
Tinto
plc
63,074
4,134,635
Scentre
Group,
REIT
146,505
311,816
Wesfarmers
Ltd.
71,019
2,824,669
Westpac
Banking
Corp.
327,080
6,048,852
WiseTech
Global
Ltd.
7,466
283,135
41,869,741
—
Austria
-
0.6%
Erste
Group
Bank
AG
42,354
1,859,730
OMV
AG
17,268
1,039,804
Raiffeisen
Bank
International
AG
10,431
272,817
voestalpine
AG
12,179
449,877
3,622,228
—
Belgium
-
0.1%
Sofina
SA
1,469
583,695
Brazil
-
0.1%
Wheaton
Precious
Metals
Corp.
(1)
9,333
351,333
Yara
International
ASA
5,720
283,347
634,680
—
Canada
-
15.7%
Air
Canada
(1)*
9,996
182,542
AltaGas
Ltd.
(1)
14,355
283,224
Bank
of
Montreal
(1)
68,371
6,825,764
Bank
of
Nova
Scotia
(The)
(1)
88,554
5,450,553
BlackBerry
Ltd.
(1)*
22,872
222,653
Brookfield
Asset
Management,
Inc.,
Class
A
(1)
57,530
3,082,710
CAE,
Inc.
(1)*
7,869
235,088
Cameco
Corp.
(1)
45,776
994,596
Canadian
Apartment
Properties,
REIT
(1)
3,731
174,119
Canadian
Imperial
Bank
of
Commerce
(1)
49,201
5,477,136
Canadian
National
Railway
Co.
(1)
3,249
376,511
Canadian
Natural
Resources
Ltd.
(1)
169,715
6,205,196
Canadian
Pacific
Railway
Ltd.
(1)
43,725
2,855,278
Canadian
Tire
Corp.
Ltd.,
Class
A
(1)
4,284
599,476
CCL
Industries,
Inc.,
Class
B
(1)
5,272
273,048
Cenovus
Energy,
Inc.
(1)
268,556
2,707,611
INVESTMENTS
SHARES
VALUE
($)
Canada
-
15.7%
(continued)
Constellation
Software,
Inc.
(1)
1,171
1,918,402
Dollarama
,
Inc.
(1)
9,861
427,730
Empire
Co.
Ltd.,
Class
A
(1)
8,679
264,495
Fairfax
Financial
Holdings
Ltd.
(1)
2,360
952,701
Franco-Nevada
Corp.
(1)
3,781
491,208
GFL
Environmental,
Inc.
(1)
11,446
425,543
Gildan
Activewear
,
Inc.
(1)
37,860
1,383,358
Great-West
Lifeco
,
Inc.
(1)
7,251
220,633
Hydro
One
Ltd.
(1)(a)
32,356
764,834
iA
Financial
Corp.,
Inc.
(1)
13,174
747,421
IGM
Financial,
Inc.
(1)
26,846
959,089
Imperial
Oil
Ltd.
(1)
46,898
1,482,178
Intact
Financial
Corp.
(1)
15,569
2,058,658
International
Petroleum
Corp.
*(b)
17,719
89,976
Ivanhoe
Mines
Ltd.,
Class
A
(1)*
111,802
714,982
Keyera
Corp.
(1)
50,946
1,281,896
Lightspeed
Commerce,
Inc.
(1)*
14,835
1,431,497
Loblaw
Cos.
Ltd.
(1)
2,652
181,993
Magna
International,
Inc.
(1)
21,184
1,594,236
Manulife
Financial
Corp.
(1)
34,228
658,834
National
Bank
of
Canada
(1)
53,565
4,114,009
Nutrien
Ltd.
(1)
25,261
1,639,592
Onex
Corp.
(1)
13,548
957,751
Power
Corp.
of
Canada
(1)
19,195
632,711
Quebecor,
Inc.,
Class
B
(1)
8,676
209,673
RioCan
,
REIT
(1)
47,837
817,300
Ritchie
Bros
Auctioneers,
Inc.
(1)
4,384
270,530
Royal
Bank
of
Canada
(1)
90,790
9,033,841
Shopify,
Inc.,
Class
A
(1)*
6,676
9,061,670
Sun
Life
Financial,
Inc.
(1)
27,204
1,400,364
Teck
Resources
Ltd.,
Class
B
(1)
31,161
775,704
Thomson
Reuters
Corp.
(1)
25,493
2,818,802
Toronto-Dominion
Bank
(The)
(1)
89,964
5,955,694
West
Fraser
Timber
Co.
Ltd.
(1)
14,045
1,182,947
WSP
Global,
Inc.
(1)
13,348
1,598,261
94,464,018
—
Chile
-
0.2%
Antofagasta
plc
43,118
783,573
Lundin
Mining
Corp.
(1)
66,046
475,035
1,258,608
—
China
-
0.2%
Chow
Tai
Fook
Jewellery
Group
Ltd.
332,600
632,535
ESR
Cayman
Ltd.
*(a)
73,400
221,529
Wilmar
International
Ltd.
92,000
284,225
1,138,289
—
Denmark
-
2.8%
AP
Moller
-
Maersk
A/S,
Class
B
1,087
2,942,607
Coloplast
A/S,
Class
B
1,226
191,701
DSV
A/S
17,024
4,074,932
Genmab
A/S
*
3,841
1,678,217
GN
Store
Nord
A/S
3,627
250,855
Novo
Nordisk
A/S,
Class
B
4,175
402,426
Orsted
A/S
(a)
20,453
2,696,005
Pandora
A/S
11,900
1,444,657
Tryg
A/S
9,825
222,721
70
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Denmark
-
2.8%
(continued)
Vestas
Wind
Systems
A/S
72,385
2,903,292
16,807,413
—
Finland
-
0.9%
Fortum
OYJ
9,746
295,948
Kesko
OYJ,
Class
B
7,469
257,631
Kone
OYJ,
Class
B
12,494
877,683
Neste
OYJ
35,044
1,976,915
Nordea
Bank
Abp
32,721
421,652
Stora
Enso
OYJ,
Class
R
33,944
565,386
UPM-
Kymmene
OYJ
20,621
729,864
5,125,079
—
France
-
7.9%
Adevinta
ASA
*
26,641
456,531
Air
Liquide
SA
5,667
907,628
Airbus
SE
*
30,303
4,017,448
AXA
SA
6,712
186,011
BNP
Paribas
SA
64,851
4,149,213
Capgemini
SE
2,537
526,115
Cie
de
Saint-Gobain
28,716
1,932,502
CNP
Assurances
37,285
588,474
Credit
Agricole
SA
213,806
2,938,858
Dassault
Systemes
SE
10,725
564,409
EssilorLuxottica
SA
998
190,711
Hermes
International
3,589
4,951,867
Kering
SA
4,053
2,878,688
Klepierre
SA,
REIT
10,212
228,376
Legrand
SA
2,988
320,163
L'Oreal
SA
6,501
2,690,140
LVMH
Moet
Hennessy
Louis
Vuitton
SE
16,781
12,019,630
Publicis
Groupe
SA
16,291
1,094,394
Safran
SA
1,824
230,701
Sartorius
Stedim
Biotech
4,580
2,559,327
Societe
Generale
SA
102,062
3,196,058
Teleperformance
1,125
442,502
Unibail
-
Rodamco
-Westfield,
REIT
*
8,824
649,452
47,719,198
—
Germany
-
7.4%
adidas
AG
664
208,666
Bayerische
Motoren
Werke
AG
9,712
922,436
Brenntag
SE
15,745
1,462,627
Carl
Zeiss
Meditec
AG
1,216
232,927
Daimler
AG
(Registered)
65,013
5,736,207
Deutsche
Bank
AG
(Registered)
*
185,568
2,358,151
Deutsche
Post
AG
(Registered)
80,142
5,025,690
GEA
Group
AG
6,902
315,210
Hannover
Rueck
SE
3,192
555,859
HelloFresh
SE
*
10,823
997,525
Infineon
Technologies
AG
98,224
4,017,186
KION
Group
AG
9,872
917,875
Merck
KGaA
12,662
2,740,560
Puma
SE
15,217
1,691,600
RWE
AG
38,843
1,369,930
SAP
SE
1,980
267,754
Siemens
AG
(Registered)
45,281
7,405,756
Siemens
Energy
AG
*
23,876
638,671
Symrise
AG
4,418
579,072
INVESTMENTS
SHARES
VALUE
($)
Germany
-
7.4%
(continued)
Volkswagen
AG
13,464
4,152,343
Vonovia
SE
16,103
968,086
Zalando
SE
*(a)
19,804
1,806,156
44,370,287
—
Hong
Kong
-
1.4%
AIA
Group
Ltd.
116,200
1,336,812
Hong
Kong
Exchanges
&
Clearing
Ltd.
66,100
4,061,879
Techtronic
Industries
Co.
Ltd.
121,000
2,391,149
Xinyi
Glass
Holdings
Ltd.
224,000
668,204
8,458,044
—
Italy
-
1.4%
Enel
SpA
389,082
2,986,288
Ferrari
NV
10,210
2,130,827
Intesa
Sanpaolo
SpA
647,518
1,833,115
Mediobanca
Banca
di
Credito
Finanziario
SpA
*
30,683
369,148
Moncler
SpA
11,084
676,020
Prysmian
SpA
9,142
319,317
8,314,715
—
Japan
-
20.9%
Advantest
Corp.
11,600
1,033,670
Aeon
Co.
Ltd.
8,200
215,578
Bandai
Namco
Holdings,
Inc.
11,200
841,990
Bridgestone
Corp.
10,500
496,768
Chugai
Pharmaceutical
Co.
Ltd.
62,500
2,287,118
CyberAgent
,
Inc.
27,600
532,473
Daifuku
Co.
Ltd.
8,600
806,558
Dai-ichi
Life
Holdings,
Inc.
69,600
1,522,226
Daiichi
Sankyo
Co.
Ltd.
103,100
2,740,519
Daikin
Industries
Ltd.
14,500
3,161,558
Denso
Corp.
40,900
2,670,662
Disco
Corp.
3,600
1,008,316
FANUC
Corp.
2,800
613,933
Fast
Retailing
Co.
Ltd.
300
221,255
Fuji
Electric
Co.
Ltd.
5,500
250,282
Fujitsu
Ltd.
16,000
2,891,371
GMO
Payment
Gateway,
Inc.
4,900
618,681
Hamamatsu
Photonics
KK
9,300
575,286
Hitachi
Ltd.
55,700
3,295,251
Hoya
Corp.
26,700
4,165,702
Isuzu
Motors
Ltd.
13,600
176,939
ITOCHU
Corp.
90,300
2,630,077
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
176
168,996
JFE
Holdings,
Inc.
84,600
1,268,685
JSR
Corp.
13,700
492,460
Kakaku.com,
Inc.
21,800
703,988
Keyence
Corp.
9,260
5,527,028
Kikkoman
Corp.
7,600
618,432
Konami
Holdings
Corp.
4,700
294,592
Kubota
Corp.
16,200
344,779
Kurita
Water
Industries
Ltd.
6,600
317,581
Kyowa
Kirin
Co.
Ltd.
22,400
807,526
Lasertec
Corp.
11,400
2,595,296
Lixil
Corp.
10,400
301,427
M3,
Inc.
39,600
2,822,225
71
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.9%
(continued)
Marubeni
Corp.
203,800
1,686,083
Mazda
Motor
Corp.
*
66,900
578,948
Mercari
,
Inc.
*
3,600
198,929
Mitsubishi
Gas
Chemical
Co.,
Inc.
13,500
266,215
Mitsubishi
UFJ
Financial
Group,
Inc.
518,500
3,065,027
Mitsui
&
Co.
Ltd.
33,100
723,797
Mitsui
Chemicals,
Inc.
6,800
227,181
Mitsui
Fudosan
Co.
Ltd.
7,600
180,537
MonotaRO
Co.
Ltd.
15,800
354,080
Murata
Manufacturing
Co.
Ltd.
28,000
2,476,670
Nabtesco
Corp.
6,900
260,888
Nidec
Corp.
20,600
2,270,944
Nintendo
Co.
Ltd.
5,600
2,676,144
Nippon
Paint
Holdings
Co.
Ltd.
53,400
581,535
Nippon
Prologis
REIT,
Inc.,
REIT
85
284,074
Nippon
Steel
Corp.
89,300
1,606,148
Nippon
Yusen
KK
65,200
4,885,332
Nissan
Chemical
Corp.
6,200
362,615
Nissan
Motor
Co.
Ltd.
*
122,800
613,689
Nitori
Holdings
Co.
Ltd.
2,600
512,387
Nitto
Denko
Corp.
7,300
519,662
Nomura
Holdings,
Inc.
165,500
815,899
Nomura
Research
Institute
Ltd.
49,650
1,824,971
NTT
Data
Corp.
12,500
241,678
Obic
Co.
Ltd.
9,100
1,730,438
Olympus
Corp.
81,500
1,783,871
Omron
Corp.
14,800
1,464,498
Oriental
Land
Co.
Ltd.
2,600
420,617
ORIX
Corp.
61,000
1,141,403
Pan
Pacific
International
Holdings
Corp.
31,400
647,887
Panasonic
Corp.
88,400
1,095,753
Recruit
Holdings
Co.
Ltd.
57,200
3,496,399
Renesas
Electronics
Corp.
*
73,100
899,668
Ricoh
Co.
Ltd.
17,600
180,088
SG
Holdings
Co.
Ltd.
34,800
984,528
Shimadzu
Corp.
15,500
680,700
Shimano,
Inc.
2,800
818,124
Shin-Etsu
Chemical
Co.
Ltd.
24,700
4,168,594
Shionogi
&
Co.
Ltd.
3,900
266,875
Shiseido
Co.
Ltd.
3,800
255,396
SMC
Corp.
2,000
1,247,821
SoftBank
Group
Corp.
3,200
184,913
Sony
Group
Corp.
67,800
7,527,072
Square
Enix
Holdings
Co.
Ltd.
3,500
187,060
SUMCO
Corp.
30,800
614,477
Sumitomo
Chemical
Co.
Ltd.
34,600
179,583
Sysmex
Corp.
9,900
1,229,665
Terumo
Corp.
12,200
576,064
Tokyo
Electron
Ltd.
9,900
4,373,611
Tosoh
Corp.
13,400
242,831
Toyota
Motor
Corp.
600,000
10,690,433
Toyota
Tsusho
Corp.
9,500
398,937
Unicharm
Corp.
4,400
194,973
Yamaha
Corp.
5,000
314,510
Yamaha
Motor
Co.
Ltd.
24,200
673,724
Yaskawa
Electric
Corp.
5,900
283,309
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.9%
(continued)
Z
Holdings
Corp.
102,700
657,286
125,843,769
—
Luxembourg
-
1.1%
ArcelorMittal
SA
163,384
5,001,615
Eurofins
Scientific
SE
13,280
1,705,039
6,706,654
—
Netherlands
-
6.9%
Adyen
NV
*(a)
1,859
5,196,582
Aegon
NV
290,400
1,499,002
Akzo
Nobel
NV
1,880
205,418
ASM
International
NV
6,108
2,392,005
ASML
Holding
NV
23,498
17,554,379
ING
Groep
NV
412,917
6,003,199
Koninklijke
DSM
NV
15,147
3,029,038
Koninklijke
Philips
NV
4,788
212,716
NN
Group
NV
28,834
1,510,390
Randstad
NV
3,352
225,680
Royal
Dutch
Shell
plc,
Class
A
43,517
967,782
Wolters
Kluwer
NV
26,369
2,795,022
41,591,213
—
Norway
-
0.3%
Norsk
Hydro
ASA
213,476
1,593,383
Schibsted
ASA,
Class
B
10,042
427,102
2,020,485
—
Russia
-
0.2%
Evraz
plc
148,519
1,178,349
Saudi
Arabia
-
0.3%
Delivery
Hero
SE
*(a)
16,444
2,097,518
Singapore
-
0.4%
DBS
Group
Holdings
Ltd.
61,500
1,362,754
Oversea-Chinese
Banking
Corp.
Ltd.
78,400
660,186
United
Overseas
Bank
Ltd.
15,500
293,223
2,316,163
—
South
Africa
-
0.4%
Anglo
American
plc
63,325
2,219,456
Spain
-
1.7%
Banco
Bilbao
Vizcaya
Argentaria
SA
529,021
3,491,862
Banco
Santander
SA
971,930
3,520,687
CaixaBank
SA
328,473
1,018,603
Cellnex
Telecom
SA
(a)
2,873
177,379
Ferrovial
SA
6,756
197,199
Iberdrola
SA
157,714
1,586,671
9,992,401
—
Sweden
-
5.4%
Assa
Abloy
AB,
Class
B
11,958
346,861
Atlas
Copco
AB,
Class
A
72,080
4,352,597
Boliden
AB
*
11,623
372,174
Epiroc
AB,
Class
A
81,303
1,690,252
EQT
AB
38,067
1,580,682
Evolution
AB
(a)
20,737
3,140,398
Fastighets
AB
Balder,
Class
B
*
4,311
259,077
72
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Sweden
-
5.4%
(continued)
H
&
M
Hennes
&
Mauritz
AB,
Class
B
*
13,868
280,711
Hexagon
AB,
Class
B
113,687
1,758,510
Husqvarna
AB,
Class
B
20,938
250,126
Industrivarden
AB,
Class
C
16,099
497,390
Investment
AB
Latour
,
Class
B
43,535
1,347,174
Investor
AB,
Class
B
163,308
3,511,836
L
E
Lundbergforetagen
AB,
Class
B
9,185
504,056
Nibe
Industrier
AB,
Class
B
214,016
2,689,488
Sandvik
AB
59,489
1,359,104
Sinch
AB
*(a)
63,524
1,231,857
Skandinaviska
Enskilda
Banken
AB,
Class
A
77,593
1,093,544
SKF
AB,
Class
B
41,495
978,503
Svenska
Cellulosa
AB
SCA,
Class
B
66,697
1,033,675
Swedish
Match
AB
126,660
1,109,129
Volvo
AB,
Class
B
149,495
3,337,698
32,724,842
—
Switzerland
-
5.1%
ABB
Ltd.
(Registered)
110,239
3,687,695
Chocoladefabriken
Lindt
&
Spruengli
AG
18
201,255
Cie
Financiere
Richemont
SA
(Registered)
26,567
2,754,523
Credit
Suisse
Group
AG
(Registered)
41,040
405,322
EMS-
Chemie
Holding
AG
(Registered)
1,114
1,052,533
Geberit
AG
(Registered)
2,521
1,850,924
Givaudan
SA
(Registered)
461
2,101,742
Kuehne
+
Nagel
International
AG
(Registered)
5,019
1,713,493
Logitech
International
SA
(Registered)
13,601
1,210,042
Lonza
Group
AG
(Registered)
4,266
3,199,968
Partners
Group
Holding
AG
2,044
3,189,947
Sika
AG
(Registered)
(b)
11,474
3,627,771
Sonova
Holding
AG
(Registered)
1,225
462,938
STMicroelectronics
NV
47,150
2,058,651
Straumann
Holding
AG
(Registered)
869
1,558,519
UBS
Group
AG
(Registered)
95,625
1,526,330
30,601,653
—
United
Arab
Emirates
-
0.0%
NMC
Health
plc
(3)*(c)
13,256
–
United
Kingdom
-
5.1%
3i
Group
plc
30,376
521,761
Admiral
Group
plc
14,798
618,312
Ashtead
Group
plc
46,689
3,529,379
AstraZeneca
plc
11,244
1,355,101
Auto
Trader
Group
plc
(a)
29,518
232,785
Aviva
plc
275,671
1,461,022
Barclays
plc
1,237,646
3,144,833
Barratt
Developments
plc
70,007
618,847
BT
Group
plc
*
399,990
857,503
Bunzl
plc
17,175
566,681
Burberry
Group
plc
26,807
652,393
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
5.1%
(continued)
CNH
Industrial
NV
38,386
645,233
Compass
Group
plc
*
19,750
403,911
Croda
International
plc
6,531
748,304
Diageo
plc
34,733
1,681,598
Entain
plc
*
115,637
3,302,778
Experian
plc
5,258
220,258
Intertek
Group
plc
3,758
251,287
JD
Sports
Fashion
plc
40,506
569,251
Kingfisher
plc
80,860
364,992
Melrose
Industries
plc
221,982
515,377
NatWest
Group
plc
993,004
2,993,766
Next
plc
5,417
595,875
Pearson
plc
53,477
512,856
Persimmon
plc
27,305
976,562
Rentokil
Initial
plc
57,001
447,617
Spirax-Sarco
Engineering
plc
3,450
694,160
SSE
plc
23,902
503,260
St
James's
Place
plc
64,064
1,292,319
WPP
plc
39,597
530,504
30,808,525
—
United
States
-
0.9%
Ferguson
plc
7,344
1,019,508
Jackson
Financial,
Inc.,
Class
A
(1)*
223
5,798
Schneider
Electric
SE
19,529
3,252,634
Tenaris
SA
115,125
1,211,009
5,488,949
—
Zambia
-
0.3%
First
Quantum
Minerals
Ltd.
(1)
98,197
1,818,032
TOTAL
COMMON
STOCKS
(Cost
$396,194,909)
569,774,004
SHORT-TERM
INVESTMENTS
-
4.3%
INVESTMENT
COMPANIES
-
4.3%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(d)
(Cost
$25,698,381)
25,708,665
25,698,381
SECURITIES
LENDING
COLLATERAL
-
0.6%
Investment
Companies
-
0.6%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(1)(d)(e)
1,778,588
1,778,588
Limited
Purpose
Cash
Investment
Fund
0.01%
(1)(d)(e)
1,751,796
1,751,095
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$3,530,384)
3,529,683
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.6%
(Cost
$425,423,674)
599,002,068
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.4%
(f)
2,202,881
NET
ASSETS
-
100.0%
601,204,949
73
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Schedule
of
Investments
September
30,
2021
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
10,642,538
1.8
%
Consumer
Discretionary
94,290,738
15.7
Consumer
Staples
7,954,845
1.3
Energy
17,956,963
3.0
Financials
139,854,369
23.3
Health
Care
35,214,080
5.8
Industrials
111,859,555
18.6
Information
Technology
78,431,294
13.0
Materials
57,186,359
9.5
Real
Estate
5,897,102
1.0
Utilities
10,486,161
1.7
Short-Term
Investments
25,698,
381
4.3
Securities
Lending
Collateral
3,529,683
0.6
Total
Investments
In
Securities
At
Value
599,002,068
99.6
Other
Assets
in
Excess
of
Liabilities
(f)
2,202,881
0.4
Net
Assets
$
601,204,949
100.0%
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$17,565,043,
which
represents
approximately
2.92%
of
net
assets
of
the
fund.
(b)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$3,364,513.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$0,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(e)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(f)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
214
12/2021
USD
$
24,256,900
$
(1,037,160)
$
(1,037,160)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
2,374,432
$
2,374,432
74
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
96.3%
Air
Freight
&
Logistics
-
1.6%
CH
Robinson
Worldwide,
Inc.
460,472
40,061,064
Expeditors
International
of
Washington,
Inc.
407,544
48,550,717
United
Parcel
Service,
Inc.,
Class
B
11,795
2,147,869
90,759,650
Banks
-
3.0%
Bank
of
Hawaii
Corp.
24,291
1,995,991
Commerce
Bancshares,
Inc.
36,928
2,573,143
Cullen/Frost
Bankers,
Inc.
14,776
1,752,729
East
West
Bancorp,
Inc.
275,308
21,347,382
First
Citizens
BancShares
,
Inc.,
Class
A
3,251
2,741,146
First
Hawaiian,
Inc.
100,858
2,960,182
JPMorgan
Chase
&
Co.
251,958
41,243,005
Popular,
Inc.
23,392
1,816,857
Prosperity
Bancshares,
Inc.
31,798
2,261,792
SVB
Financial
Group
*
132,112
85,460,610
Western
Alliance
Bancorp
58,080
6,320,266
170,473,103
Beverages
-
3.2%
Brown-Forman
Corp.,
Class
B
28,757
1,927,007
Coca-Cola
Co.
(The)
1,051,532
55,173,884
Monster
Beverage
Corp.
*
526,090
46,732,575
PepsiCo,
Inc.
529,535
79,647,359
183,480,825
Biotechnology
-
2.8%
AbbVie,
Inc.
29,913
3,226,715
Amgen,
Inc.
173,042
36,797,381
Biogen,
Inc.
*
116,608
32,998,898
Horizon
Therapeutics
plc
*
31,970
3,501,994
Moderna
,
Inc.
*
101,795
39,176,824
Regeneron
Pharmaceuticals,
Inc.
*
55,370
33,508,817
Seagen
,
Inc.
*
17,410
2,956,218
United
Therapeutics
Corp.
*
27,806
5,132,431
Vertex
Pharmaceuticals,
Inc.
*
11,076
2,009,076
159,308,354
Capital
Markets
-
3.9%
BlackRock,
Inc.
90,932
76,261,031
CME
Group,
Inc.
143,628
27,774,783
Intercontinental
Exchange,
Inc.
287,999
33,068,045
Northern
Trust
Corp.
19,462
2,098,198
S&P
Global,
Inc.
104,478
44,391,657
SEI
Investments
Co.
28,634
1,697,996
T.
Rowe
Price
Group,
Inc.
190,058
37,384,409
222,676,119
Chemicals
-
2.9%
Air
Products
and
Chemicals,
Inc.
114,815
29,405,269
Corteva
,
Inc.
233,910
9,842,933
INVESTMENTS
SHARES
VALUE
($)
Chemicals
-
2.9%
(continued)
Ecolab,
Inc.
154,093
32,146,882
Linde
plc
(United
Kingdom)
93,616
27,465,062
NewMarket
Corp.
6,387
2,163,724
PPG
Industries,
Inc.
121,179
17,329,809
Sherwin-Williams
Co.
(The)
168,630
47,170,870
165,524,549
Commercial
Services
&
Supplies
-
1.6%
Cintas
Corp.
43,038
16,382,845
Copart
,
Inc.
*
38,099
5,285,093
Republic
Services,
Inc.
199,929
24,003,476
Rollins,
Inc.
180,676
6,383,283
Waste
Management,
Inc.
272,924
40,763,929
92,818,626
Communications
Equipment
-
0.2%
Cisco
Systems,
Inc.
197,652
10,758,198
Ubiquiti,
Inc.
10,244
3,059,576
13,817,774
Consumer
Finance
-
0.2%
Capital
One
Financial
Corp.
44,497
7,207,179
Credit
Acceptance
Corp.
*(a)
6,721
3,933,801
11,140,980
Containers
&
Packaging
-
0.0%
(b)
AptarGroup,
Inc.
20,164
2,406,573
Distributors
-
0.1%
Pool
Corp.
7,011
3,045,649
Diversified
Telecommunication
Services
-
1.2%
Verizon
Communications,
Inc.
1,308,615
70,678,296
Electric
Utilities
-
3.1%
Alliant
Energy
Corp.
64,297
3,599,346
American
Electric
Power
Co.,
Inc.
91,812
7,453,298
Duke
Energy
Corp.
469,097
45,779,176
Evergy
,
Inc.
39,221
2,439,546
Eversource
Energy
20,643
1,687,772
Exelon
Corp.
40,444
1,955,063
IDACORP,
Inc.
64,492
6,667,183
NextEra
Energy,
Inc.
1,031,449
80,989,375
OGE
Energy
Corp.
47,407
1,562,535
Pinnacle
West
Capital
Corp.
53,030
3,837,251
Xcel
Energy,
Inc.
318,018
19,876,125
175,846,670
Electrical
Equipment
-
0.5%
Eaton
Corp.
plc
30,731
4,588,445
Emerson
Electric
Co.
24,265
2,285,763
Hubbell,
Inc.
10,449
1,887,821
Rockwell
Automation,
Inc.
59,943
17,625,640
26,387,669
75
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Electronic
Equipment,
Instruments
&
Components
-
0.6%
Amphenol
Corp.,
Class
A
145,780
10,675,469
Cognex
Corp.
201,251
16,144,355
Littelfuse
,
Inc.
9,392
2,566,552
National
Instruments
Corp.
41,890
1,643,345
31,029,721
Entertainment
-
0.6%
Electronic
Arts,
Inc.
33,731
4,798,235
Netflix,
Inc.
*
43,080
26,293,447
Spotify
Technology
SA
*
11,489
2,588,931
33,680,613
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.6%
Public
Storage
115,175
34,218,492
Food
&
Staples
Retailing
-
4.0%
Casey's
General
Stores,
Inc.
84,985
16,015,423
Costco
Wholesale
Corp.
192,477
86,489,540
Kroger
Co.
(The)
1,062,131
42,941,957
Walmart,
Inc.
575,161
80,165,940
225,612,860
Food
Products
-
4.0%
Archer-Daniels-Midland
Co.
49,290
2,957,893
Flowers
Foods,
Inc.
457,885
10,819,823
General
Mills,
Inc.
297,698
17,808,294
Hershey
Co.
(The)
370,908
62,776,179
Hormel
Foods
Corp.
829,873
34,024,793
Ingredion,
Inc.
31,009
2,760,111
J
M
Smucker
Co.
(The)
146,269
17,556,668
Kellogg
Co.
157,507
10,067,847
McCormick
&
Co.,
Inc.
(Non-Voting)
225,018
18,233,209
Mondelez
International,
Inc.,
Class
A
672,635
39,133,904
Pilgrim's
Pride
Corp.
*
68,692
1,997,563
Tyson
Foods,
Inc.,
Class
A
145,842
11,512,768
229,649,052
Gas
Utilities
-
0.1%
Atmos
Energy
Corp.
38,449
3,391,202
UGI
Corp.
41,669
1,775,933
5,167,135
Health
Care
Equipment
&
Supplies
-
6.7%
Abbott
Laboratories
463,274
54,726,558
ABIOMED,
Inc.
*
75,215
24,483,987
Align
Technology,
Inc.
*
25,808
17,173,417
Becton
Dickinson
and
Co.
9,281
2,281,455
Cooper
Cos.,
Inc.
(The)
33,784
13,963,265
Danaher
Corp.
181,447
55,239,725
Edwards
Lifesciences
Corp.
*
452,812
51,262,847
IDEXX
Laboratories,
Inc.
*
9,505
5,911,159
Intuitive
Surgical,
Inc.
*
79,607
79,141,299
Masimo
Corp.
*
40,742
11,029,267
INVESTMENTS
SHARES
VALUE
($)
Health
Care
Equipment
&
Supplies
-
6.7%
(continued)
Medtronic
plc
113,683
14,250,164
ResMed
,
Inc.
60,036
15,822,488
Stryker
Corp.
70,579
18,613,094
West
Pharmaceutical
Services,
Inc.
40,400
17,151,416
381,050,141
Health
Care
Providers
&
Services
-
1.5%
Anthem,
Inc.
10,042
3,743,658
Chemed
Corp.
19,755
9,188,446
Henry
Schein,
Inc.
*
45,500
3,465,280
Premier,
Inc.,
Class
A
58,165
2,254,475
Quest
Diagnostics,
Inc.
91,313
13,268,692
UnitedHealth
Group,
Inc.
137,321
53,656,807
85,577,358
Health
Care
Technology
-
0.2%
Cerner
Corp.
169,812
11,975,142
Hotels,
Restaurants
&
Leisure
-
0.0%
(b)
Booking
Holdings,
Inc.
*
781
1,853,992
Household
Durables
-
0.2%
Garmin
Ltd.
75,680
11,765,213
Household
Products
-
4.1%
Church
&
Dwight
Co.,
Inc.
248,880
20,550,021
Clorox
Co.
(The)
268,608
44,484,171
Colgate-Palmolive
Co.
917,958
69,379,266
Kimberly-Clark
Corp.
99,381
13,162,020
Procter
&
Gamble
Co.
(The)
595,850
83,299,830
230,875,308
Industrial
Conglomerates
-
1.2%
3M
Co.
211,414
37,086,244
Honeywell
International,
Inc.
127,725
27,113,463
Roper
Technologies,
Inc.
4,828
2,153,916
66,353,623
Insurance
-
3.8%
Alleghany
Corp.
*
3,330
2,079,285
Allstate
Corp.
(The)
240,269
30,588,646
Aon
plc,
Class
A
118,512
33,867,174
Arthur
J
Gallagher
&
Co.
96,160
14,294,184
Assurant,
Inc.
58,831
9,280,590
Brown
&
Brown,
Inc.
75,396
4,180,708
Chubb
Ltd.
69,000
11,970,120
CNA
Financial
Corp.
49,390
2,072,404
Erie
Indemnity
Co.,
Class
A
25,164
4,489,761
Everest
Re
Group
Ltd.
27,769
6,963,910
Hanover
Insurance
Group,
Inc.
(The)
19,111
2,477,168
Markel
Corp.
*
2,100
2,509,773
Marsh
&
McLennan
Cos.,
Inc.
189,064
28,629,962
Mercury
General
Corp.
36,788
2,047,988
Progressive
Corp.
(The)
403,005
36,427,622
RenaissanceRe
Holdings
Ltd.
11,737
1,636,138
Travelers
Cos.,
Inc.
(The)
107,380
16,322,834
76
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Insurance
-
3.8%
(continued)
W
R
Berkley
Corp.
39,421
2,884,829
White
Mountains
Insurance
Group
Ltd.
3,733
3,992,854
216,715,950
Interactive
Media
&
Services
-
2.9%
Alphabet,
Inc.,
Class
A
*
31,215
83,453,927
Facebook,
Inc.,
Class
A
*
236,673
80,324,449
163,778,376
Internet
&
Direct
Marketing
Retail
-
1.5%
Amazon.com,
Inc.
*
25,526
83,853,931
IT
Services
-
6.3%
Accenture
plc,
Class
A
265,943
85,080,484
Akamai
Technologies,
Inc.
*
105,026
10,984,669
Amdocs
Ltd.
50,280
3,806,699
Automatic
Data
Processing,
Inc.
118,089
23,608,353
Broadridge
Financial
Solutions,
Inc.
13,087
2,180,818
EPAM
Systems,
Inc.
*
31,704
18,086,498
Jack
Henry
&
Associates,
Inc.
28,136
4,615,992
Mastercard
,
Inc.,
Class
A
147,151
51,161,460
Paychex,
Inc.
143,944
16,186,503
PayPal
Holdings,
Inc.
*
188,292
48,995,461
VeriSign,
Inc.
*
44,991
9,223,605
Visa,
Inc.,
Class
A
362,977
80,853,127
354,783,669
Life
Sciences
Tools
&
Services
-
3.0%
Agilent
Technologies,
Inc.
138,944
21,887,848
Bio-Rad
Laboratories,
Inc.,
Class
A
*
2,807
2,093,882
Bio-
Techne
Corp.
24,584
11,912,669
Charles
River
Laboratories
International,
Inc.
*
19,595
8,086,269
Illumina,
Inc.
*
62,302
25,270,314
Mettler
-Toledo
International,
Inc.
*
26,122
35,979,398
QIAGEN
NV
*
65,417
3,380,751
Thermo
Fisher
Scientific,
Inc.
100,213
57,254,693
Waters
Corp.
*
18,651
6,664,002
172,529,826
Machinery
-
1.9%
Caterpillar,
Inc.
92,711
17,797,731
Cummins,
Inc.
80,173
18,003,649
Donaldson
Co.,
Inc.
31,947
1,834,077
Dover
Corp.
16,880
2,624,840
Fortive
Corp.
27,067
1,910,118
IDEX
Corp.
29,273
6,058,047
Illinois
Tool
Works,
Inc.
267,122
55,195,419
Lincoln
Electric
Holdings,
Inc.
19,883
2,560,732
Toro
Co.
(The)
31,020
3,021,658
109,006,271
INVESTMENTS
SHARES
VALUE
($)
Media
-
0.1%
Cable
One,
Inc.
1,135
2,057,902
John
Wiley
&
Sons,
Inc.,
Class
A
18,697
976,170
New
York
Times
Co.
(The),
Class
A
78,773
3,881,146
6,915,218
Metals
&
Mining
-
0.6%
Newmont
Corp.
570,909
31,000,359
Royal
Gold,
Inc.
36,999
3,533,034
34,533,393
Multiline
Retail
-
1.5%
Dollar
General
Corp.
36,221
7,683,923
Target
Corp.
328,761
75,210,654
82,894,577
Multi-Utilities
-
1.8%
Ameren
Corp.
240,894
19,512,414
CMS
Energy
Corp.
44,983
2,686,835
Consolidated
Edison,
Inc.
354,001
25,696,933
Dominion
Energy,
Inc.
22,108
1,614,326
DTE
Energy
Co.
95,657
10,685,843
MDU
Resources
Group,
Inc.
76,093
2,257,679
Public
Service
Enterprise
Group,
Inc.
202,067
12,305,880
Sempra
Energy
12,921
1,634,507
WEC
Energy
Group,
Inc.
275,219
24,274,316
100,668,733
Personal
Products
-
1.4%
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
263,011
78,884,889
Pharmaceuticals
-
3.9%
Bristol-Myers
Squibb
Co.
37,446
2,215,680
Eli
Lilly
&
Co.
280,018
64,698,159
Johnson
&
Johnson
483,046
78,011,929
Merck
&
Co.,
Inc.
260,959
19,600,630
Pfizer,
Inc.
312,131
13,424,754
Zoetis,
Inc.
218,092
42,340,381
220,291,533
Professional
Services
-
0.6%
CoStar
Group,
Inc.
*
227,850
19,608,771
FTI
Consulting,
Inc.
*
19,091
2,571,558
Robert
Half
International,
Inc.
40,535
4,066,876
Verisk
Analytics,
Inc.
32,852
6,579,270
32,826,475
Road
&
Rail
-
2.1%
JB
Hunt
Transport
Services,
Inc.
91,560
15,310,663
Landstar
System,
Inc.
125,621
19,825,506
Old
Dominion
Freight
Line,
Inc.
261,574
74,804,933
Union
Pacific
Corp.
36,731
7,199,643
117,140,745
77
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Semiconductors
&
Semiconductor
Equipment
-
3.4%
Analog
Devices,
Inc.
25,044
4,194,369
Broadcom,
Inc.
32,808
15,909,583
Intel
Corp.
122,296
6,515,931
Lam
Research
Corp.
19,572
11,139,404
Monolithic
Power
Systems,
Inc.
15,625
7,573,125
NVIDIA
Corp.
278,236
57,639,370
Skyworks
Solutions,
Inc.
74,010
12,195,368
Texas
Instruments,
Inc.
411,294
79,054,820
194,221,970
Software
-
5.4%
Adobe,
Inc.
*
124,061
71,424,399
ANSYS,
Inc.
*
46,957
15,986,511
Cadence
Design
Systems,
Inc.
*
142,727
21,614,577
Dolby
Laboratories,
Inc.,
Class
A
44,313
3,899,544
Intuit,
Inc.
159,387
85,990,880
Manhattan
Associates,
Inc.
*
33,515
5,128,800
Microsoft
Corp.
294,553
83,040,382
Oracle
Corp.
61,492
5,357,798
Pegasystems
,
Inc.
13,785
1,752,074
salesforce.com,
Inc.
*
19,828
5,377,750
Synopsys,
Inc.
*
16,359
4,898,048
Zoom
Video
Communications,
Inc.,
Class
A
*
6,703
1,752,834
306,223,597
Specialty
Retail
-
2.6%
AutoZone,
Inc.
*
3,226
5,477,716
Best
Buy
Co.,
Inc.
189,656
20,048,536
Home
Depot,
Inc.
(The)
212,466
69,744,089
Lowe's
Cos.,
Inc.
187,349
38,005,618
Williams-Sonoma,
Inc.
80,358
14,249,884
147,525,843
Technology
Hardware,
Storage
&
Peripherals
-
1.4%
Apple,
Inc.
576,474
81,571,071
Textiles,
Apparel
&
Luxury
Goods
-
1.5%
Lululemon
Athletica
,
Inc.
*
90,544
36,643,157
NIKE,
Inc.,
Class
B
331,073
48,081,732
84,724,889
Tobacco
-
0.8%
Altria
Group,
Inc.
433,411
19,728,869
Philip
Morris
International,
Inc.
274,627
26,031,893
45,760,762
Trading
Companies
&
Distributors
-
0.2%
Fastenal
Co.
80,827
4,171,482
WW
Grainger,
Inc.
17,520
6,886,411
11,057,893
INVESTMENTS
SHARES
VALUE
($)
Water
Utilities
-
0.2%
American
Water
Works
Co.,
Inc.
58,709
9,924,170
Essential
Utilities,
Inc.
59,677
2,749,916
12,674,086
Wireless
Telecommunication
Services
-
1.3%
T-Mobile
US,
Inc.
*
592,643
75,716,070
TOTAL
COMMON
STOCKS
(Cost
$3,284,500,622)
5,471,473,254
SHORT-TERM
INVESTMENTS
-
3.6%
INVESTMENT
COMPANIES
-
3.6%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(c)(d)
(Cost
$202,731,623)
202,812,748
202,731,623
SECURITIES
LENDING
COLLATERAL
-
0.1%
Investment
Companies
-
0.1%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(c)(e)
1,545,025
1,545,025
Limited
Purpose
Cash
Investment
Fund
0.01%
(c)(d)(e)
1,521,751
1,521,142
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$3,066,776)
3,066,167
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$3,490,299,021)
5,677,271,044
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.0%
(b)(f)
2,661,469
NET
ASSETS
-
100.0%
5,679,932,513
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
350,768,574
6.2
%
Consumer
Discretionary
415,664,093
7.3
Consumer
Staples
994,263,695
17.5
Financials
621,006,153
10.9
Health
Care
1,030,732,354
18.1
Industrials
546,350,952
9.6
Information
Technology
981,647,802
17.3
Materials
202,464,515
3.6
Real
Estate
34,218,493
0.6
Utilities
294,356,623
5.2
Short-Term
Investments
202,731,623
3.6
Securities
Lending
Collateral
3,066,167
0.1
Total
Investments
In
Securities
At
Value
5,677,271,044
100.0
Other
Assets
in
Excess
of
Liabilities
(f)
2,661,469
0.0(b)
Net
Assets
$
5,679,932,513
100.0%
78
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$3,009,000.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(d)
For
the
period
ended
September
30,
2021,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(e)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(f)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
Affiliate
Value
At
9/30/2020
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
9/30/2021
Shares
Held
At
9/30/2021
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
3.6%
INVESTMENT
COMPANIES
-
3.6%
Limited
Purpose
Cash
Investment
Fund,
0.01%
^(a)
(Cost
$202,731,623)
$265,863,029
$3,032,319,736
$(3,095,421,751)
$(65,115)
$35,724
$202,731,623
202,812,748
$44,253
$29,246
SECURITIES
LENDING
COLLATERAL
-
0.1%
Limited
Purpose
Cash
Investment
Fund,
0.01%
^(a)(b)
(Cost
$1,521,751)
$10,416,705
$917,177
$(9,812,650)
$(1,565)
$1,475
$1,521,142
1,521,751
$–
$–
TOTAL
$(66,680)
$37,199
$204,252,765
$44,253
$29,246
^    No
longer
affiliated
as
of
September
30,
2021.
(a)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(b)
Securities
lending
income
and
capital
gain
distributions
from
affiliated
issuers
amounted
to
$16,726
and
$893,
respectively,
for
the
year
ended
September
30,
2021.
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
S&P
500
E-Mini
Index
731
12/2021
USD
$
157,082,763
$
(6,780,124)
$
(6,780,124)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSCO
Cash
$
–
$
14,126,303
$
14,126,303
79
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
95.1%
Australia
-
8.2%
Aristocrat
Leisure
Ltd.
6,750
224,482
AusNet
Services
Ltd.
348,086
630,057
BlueScope
Steel
Ltd.
25,125
364,051
Brambles
Ltd.
12,956
99,625
Cochlear
Ltd.
6,115
956,769
CSL
Ltd.
13,775
2,878,028
Evolution
Mining
Ltd.
135,300
342,109
Fortescue
Metals
Group
Ltd.
54,510
580,642
Newcrest
Mining
Ltd.
32,238
534,433
REA
Group
Ltd.
16,994
1,914,048
Rio
Tinto
plc
5,572
365,256
Sonic
Healthcare
Ltd.
66,882
1,932,836
South32
Ltd.
133,924
332,337
Telstra
Corp.
Ltd.
1,159,658
3,249,477
Treasury
Wine
Estates
Ltd.
192,314
1,695,822
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(a)
26,419
734,211
Wesfarmers
Ltd.
60,380
2,401,519
Woolworths
Group
Ltd.
101,929
2,863,009
22,098,711
—
Austria
-
0.2%
Mondi
plc
24,674
604,661
Belgium
-
1.0%
Ageas
SA/NV
4,538
224,724
Etablissements
Franz
Colruyt
NV
23,615
1,204,650
Groupe
Bruxelles
Lambert
SA
6,816
749,731
Proximus
SADP
17,730
351,843
UCB
SA
1,727
193,385
2,724,333
—
Brazil
-
0.7%
Wheaton
Precious
Metals
Corp.
(1)
29,207
1,099,471
Yara
International
ASA
15,382
761,967
1,861,438
—
Canada
-
11.5%
Agnico
Eagle
Mines
Ltd.
(1)
1,457
75,588
Algonquin
Power
&
Utilities
Corp.
(1)
8,358
122,539
Alimentation
Couche-Tard,
Inc.,
Class
B
(1)
30,946
1,183,991
Atco
Ltd.,
Class
I
(1)
5,393
172,997
Bank
of
Montreal
(1)
1,972
196,873
Bank
of
Nova
Scotia
(The)
(1)
11,152
686,412
BCE,
Inc.
(1)
62,251
3,118,447
Canadian
Imperial
Bank
of
Commerce
(1)
19,115
2,127,913
Canadian
National
Railway
Co.
(1)
8,138
943,073
Canadian
Pacific
Railway
Ltd.
(1)
12,615
823,770
Canadian
Utilities
Ltd.,
Class
A
(1)
21,854
588,881
CGI,
Inc.
(1)*
10,547
895,904
Constellation
Software,
Inc.
(1)
965
1,580,921
Emera
,
Inc.
(1)
14,915
675,450
Fortis,
Inc.
(1)
36,326
1,611,525
Franco-Nevada
Corp.
(1)
13,943
1,811,401
George
Weston
Ltd.
(1)
1,315
141,841
Hydro
One
Ltd.
(1)(b)
106,210
2,510,600
INVESTMENTS
SHARES
VALUE
($)
Canada
-
11.5%
(continued)
Intact
Financial
Corp.
(1)
11,764
1,555,530
Loblaw
Cos.
Ltd.
(1)
54,756
3,757,611
Magna
International,
Inc.
(1)
10,855
816,910
Manulife
Financial
Corp.
(1)
6,431
123,786
Metro,
Inc.
(1)
32,581
1,592,009
Rogers
Communications,
Inc.,
Class
B
(1)
10,711
500,202
Royal
Bank
of
Canada
(1)
12,411
1,234,927
Saputo,
Inc.
(1)
19,303
490,881
Sun
Life
Financial,
Inc.
(1)
4,802
247,190
Thomson
Reuters
Corp.
(1)
5,469
604,716
Toromont
Industries
Ltd.
(1)
2,069
172,711
Toronto-Dominion
Bank
(The)
(1)
14,183
938,927
31,303,526
—
China
-
1.0%
BOC
Hong
Kong
Holdings
Ltd.
330,000
994,428
Chow
Tai
Fook
Jewellery
Group
Ltd.
488,800
929,595
Wilmar
International
Ltd.
290,100
896,235
2,820,258
—
Denmark
-
3.9%
Carlsberg
A/S,
Class
B
1,027
167,548
Coloplast
A/S,
Class
B
16,045
2,508,838
DSV
A/S
1,792
428,940
Genmab
A/S
*
3,209
1,402,082
Novo
Nordisk
A/S,
Class
B
40,596
3,913,032
Novozymes
A/S,
Class
B
14,044
962,734
Orsted
A/S
(b)
5,278
695,718
Pandora
A/S
3,271
397,098
10,475,990
—
Finland
-
2.0%
Elisa
OYJ
13,266
824,268
Fortum
OYJ
8,088
245,601
Kesko
OYJ,
Class
B
2,402
82,853
Kone
OYJ,
Class
B
15,949
1,120,391
Neste
OYJ
21,566
1,216,590
Nokia
OYJ
*
79,412
437,981
Orion
OYJ,
Class
B
31,477
1,246,200
UPM-
Kymmene
OYJ
10,003
354,048
5,527,932
—
France
-
5.5%
Air
Liquide
SA
7,557
1,210,330
AXA
SA
2,978
82,530
BioMerieux
926
105,367
Bouygues
SA
5,251
217,220
Cie
Generale
des
Etablissements
Michelin
SCA
679
104,118
Danone
SA
9,242
630,101
Dassault
Systemes
SE
23,300
1,226,175
Electricite
de
France
SA
40,913
514,119
Engie
SA
45,243
591,923
Hermes
International
1,908
2,632,533
Ipsen
SA
4,087
389,450
La
Francaise
des
Jeux
SAEM
(b)
13,490
693,618
L'Oreal
SA
8,687
3,594,717
Pernod
Ricard
SA
3,085
680,129
80
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
France
-
5.5%
(continued)
Remy
Cointreau
SA
3,386
656,964
Sanofi
6,859
660,275
Sartorius
Stedim
Biotech
800
447,044
Teleperformance
320
125,867
Vivendi
SE
5,853
73,689
Worldline
SA
*(b)
3,261
248,573
14,884,742
—
Germany
-
4.6%
Allianz
SE
(Registered)
1,588
355,785
Beiersdorf
AG
20,602
2,222,959
Carl
Zeiss
Meditec
AG
2,018
386,552
Evonik
Industries
AG
4,769
149,543
Fresenius
Medical
Care
AG
&
Co.
KGaA
15,082
1,057,917
FUCHS
PETROLUB
SE
(Preference)
12,997
608,526
Hannover
Rueck
SE
1,051
183,022
HelloFresh
SE
*
1,567
144,426
Henkel
AG
&
Co.
KGaA
(Preference)
12,741
1,178,652
Infineon
Technologies
AG
6,057
247,720
Merck
KGaA
1,663
359,939
SAP
SE
12,082
1,633,839
Scout24
AG
(b)
1,507
104,668
Siemens
Healthineers
AG
(b)
18,124
1,175,441
Symrise
AG
4,892
641,200
Telefonica
Deutschland
Holding
AG
343,791
978,850
Uniper
SE
22,257
926,550
12,355,589
—
Hong
Kong
-
3.8%
CLP
Holdings
Ltd.
249,500
2,402,293
Hang
Seng
Bank
Ltd.
15,900
272,348
HK
Electric
Investments
&
HK
Electric
Investments
Ltd.
(c)
1,616,000
1,604,655
HKT
Trust
&
HKT
Ltd.
77,000
105,283
Hong
Kong
&
China
Gas
Co.
Ltd.
1,169,487
1,766,972
MTR
Corp.
Ltd.
149,500
804,597
Power
Assets
Holdings
Ltd.
556,500
3,262,256
10,218,404
—
Italy
-
1.1%
Assicurazioni
Generali
SpA
13,836
293,035
Davide
Campari-Milano
NV
6,211
87,247
DiaSorin
SpA
9,203
1,927,215
Enel
SpA
84,730
650,321
2,957,818
—
Japan
-
26.2%
ABC-Mart,
Inc.
9,900
556,112
Ajinomoto
Co.,
Inc.
16,800
496,437
Asahi
Group
Holdings
Ltd.
3,700
178,545
Astellas
Pharma,
Inc.
91,100
1,499,420
Bandai
Namco
Holdings,
Inc.
13,200
992,346
Bridgestone
Corp.
17,600
832,677
Calbee
,
Inc.
2,600
63,274
Canon,
Inc.
42,400
1,037,446
Capcom
Co.
Ltd.
20,900
580,730
Casio
Computer
Co.
Ltd.
4,800
79,469
INVESTMENTS
SHARES
VALUE
($)
Japan
-
26.2%
(continued)
Chiba
Bank
Ltd.
(The)
15,300
99,147
Chugai
Pharmaceutical
Co.
Ltd.
23,400
856,297
Cosmos
Pharmaceutical
Corp.
6,100
1,035,977
CyberAgent
,
Inc.
5,500
106,109
Disco
Corp.
1,600
448,140
Eisai
Co.
Ltd.
5,600
419,482
Fast
Retailing
Co.
Ltd.
200
147,503
FUJIFILM
Holdings
Corp.
20,000
1,726,995
Fujitsu
Ltd.
3,800
686,701
Hakuhodo
DY
Holdings,
Inc.
16,400
282,227
Hamamatsu
Photonics
KK
10,300
637,145
Hino
Motors
Ltd.
8,700
80,787
Hitachi
Metals
Ltd.
*
7,400
142,904
Hoya
Corp.
18,700
2,917,552
Iida
Group
Holdings
Co.
Ltd.
3,700
95,170
ITOCHU
Corp.
22,500
655,335
Japan
Post
Bank
Co.
Ltd.
154,200
1,322,649
Japan
Tobacco,
Inc.
79,800
1,563,622
Kakaku.com,
Inc.
19,900
642,632
Kansai
Paint
Co.
Ltd.
12,200
302,642
Kao
Corp.
6,000
357,082
KDDI
Corp.
100,100
3,295,603
Keyence
Corp.
2,200
1,313,116
Kikkoman
Corp.
12,500
1,017,159
Kirin
Holdings
Co.
Ltd.
8,900
165,183
Kobayashi
Pharmaceutical
Co.
Ltd.
5,700
451,912
Koei
Tecmo
Holdings
Co.
Ltd.
12,100
574,354
Koito
Manufacturing
Co.
Ltd.
2,100
126,280
Kose
Corp.
1,800
215,272
Kubota
Corp.
8,500
180,902
Kyocera
Corp.
10,900
681,373
Kyowa
Kirin
Co.
Ltd.
51,800
1,867,403
Lawson,
Inc.
1,600
78,596
Lion
Corp.
10,700
173,065
Makita
Corp.
2,200
120,962
McDonald's
Holdings
Co.
Japan
Ltd.
9,900
467,066
Medipal
Holdings
Corp.
81,700
1,537,603
MEIJI
Holdings
Co.
Ltd.
6,400
413,776
MISUMI
Group,
Inc.
2,400
102,118
Mitsubishi
Electric
Corp.
10,200
141,755
Mitsui
&
Co.
Ltd.
7,900
172,749
Murata
Manufacturing
Co.
Ltd.
1,500
132,679
Nexon
Co.
Ltd.
57,100
916,486
NH
Foods
Ltd.
3,500
132,175
Nintendo
Co.
Ltd.
2,300
1,099,131
Nippon
Telegraph
&
Telephone
Corp.
101,900
2,823,564
Nissan
Chemical
Corp.
5,200
304,129
Nisshin
Seifun
Group,
Inc.
16,900
280,045
Nissin
Foods
Holdings
Co.
Ltd.
7,100
569,737
Nitori
Holdings
Co.
Ltd.
4,900
965,652
Nitto
Denko
Corp.
11,100
790,171
Nomura
Research
Institute
Ltd.
27,461
1,009,376
Obic
Co.
Ltd.
3,700
703,585
Omron
Corp.
12,600
1,246,803
Ono
Pharmaceutical
Co.
Ltd.
5,900
134,542
Oracle
Corp.
Japan
5,800
509,508
Osaka
Gas
Co.
Ltd.
72,000
1,315,661
Otsuka
Corp.
12,900
663,354
81
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Japan
-
26.2%
(continued)
Otsuka
Holdings
Co.
Ltd.
13,800
590,125
PeptiDream
,
Inc.
*
2,300
75,082
Pola
Orbis
Holdings,
Inc.
24,300
559,332
Recruit
Holdings
Co.
Ltd.
13,300
812,974
Renesas
Electronics
Corp.
*
72,700
894,745
Rinnai
Corp.
11,800
1,295,536
Ryohin
Keikaku
Co.
Ltd.
7,000
155,702
SCSK
Corp.
4,200
88,833
Secom
Co.
Ltd.
7,800
564,159
Seven
&
i
Holdings
Co.
Ltd.
31,600
1,438,572
Shin-Etsu
Chemical
Co.
Ltd.
600
101,261
Shionogi
&
Co.
Ltd.
14,300
978,540
Shizuoka
Bank
Ltd.
(The)
124,400
1,022,093
SMC
Corp.
500
311,955
SoftBank
Corp.
154,200
2,091,692
Square
Enix
Holdings
Co.
Ltd.
10,800
577,214
Sumitomo
Dainippon
Pharma
Co.
Ltd.
7,400
132,268
Suntory
Beverage
&
Food
Ltd.
51,100
2,118,369
Suzuki
Motor
Corp.
1,800
80,422
Sysmex
Corp.
10,700
1,329,032
Taisho
Pharmaceutical
Holdings
Co.
Ltd.
4,900
285,615
TIS,
Inc.
29,700
810,635
Toho
Gas
Co.
Ltd.
10,200
443,638
Tokyo
Electron
Ltd.
400
176,712
Tokyo
Gas
Co.
Ltd.
5,000
93,036
Toyo
Suisan
Kaisha
Ltd.
38,200
1,691,487
Toyota
Motor
Corp.
19,000
338,530
Trend
Micro,
Inc.
9,200
512,331
Tsuruha
Holdings,
Inc.
3,800
468,624
Unicharm
Corp.
31,500
1,395,828
USS
Co.
Ltd.
24,500
417,047
Yakult
Honsha
Co.
Ltd.
20,300
1,027,607
Yamada
Holdings
Co.
Ltd.
72,900
306,149
70,720,544
—
Luxembourg
-
0.1%
Eurofins
Scientific
SE
2,861
367,328
Netherlands
-
2.2%
Adyen
NV
*(b)
338
944,833
Akzo
Nobel
NV
3,253
355,438
ASML
Holding
NV
2,274
1,698,810
Koninklijke
Ahold
Delhaize
NV
41,543
1,383,305
Randstad
NV
9,566
644,051
Universal
Music
Group
NV
(1)*
5,853
156,716
Wolters
Kluwer
NV
6,389
677,212
5,860,365
—
Norway
-
1.5%
Gjensidige
Forsikring
ASA
32,786
726,149
Mowi
ASA
23,298
591,928
Norsk
Hydro
ASA
35,780
267,062
Orkla
ASA
138,354
1,269,840
Telenor
ASA
68,402
1,151,342
4,006,321
—
Portugal
-
0.2%
Jeronimo
Martins
SGPS
SA
23,093
460,364
INVESTMENTS
SHARES
VALUE
($)
Russia
-
0.3%
Coca-Cola
HBC
AG
*
28,120
906,144
Singapore
-
3.1%
DBS
Group
Holdings
Ltd.
76,300
1,690,703
Genting
Singapore
Ltd.
440,800
232,412
Oversea-Chinese
Banking
Corp.
Ltd.
313,200
2,637,374
Singapore
Technologies
Engineering
Ltd.
75,400
210,475
Singapore
Telecommunications
Ltd.
504,500
908,235
United
Overseas
Bank
Ltd.
117,300
2,219,032
Venture
Corp.
Ltd.
47,200
620,382
8,518,613
—
Spain
-
0.8%
Endesa
SA
11,031
222,468
Iberdrola
SA
72,838
732,782
Red
Electrica
Corp.
SA
54,683
1,097,066
2,052,316
—
Sweden
-
3.3%
Atlas
Copco
AB,
Class
A
8,423
508,628
Boliden
AB
*
3,375
108,069
Essity
AB,
Class
B
57,317
1,777,629
ICA
Gruppen
AB
8,828
405,025
Industrivarden
AB,
Class
A
30,809
984,247
Investor
AB,
Class
B
91,004
1,956,985
L
E
Lundbergforetagen
AB,
Class
B
13,052
716,270
Securitas
AB,
Class
B
28,881
457,117
Svenska
Cellulosa
AB
SCA,
Class
B
9,174
142,179
Swedish
Match
AB
104,080
911,401
Tele2
AB,
Class
B
22,824
337,949
Telia
Co.
AB
91,481
376,328
Volvo
AB,
Class
B
17,019
379,975
9,061,802
—
Switzerland
-
6.9%
Barry
Callebaut
AG
(Registered)
152
344,745
Chocoladefabriken
Lindt
&
Spruengli
AG
93
1,039,820
EMS-
Chemie
Holding
AG
(Registered)
677
639,645
Geberit
AG
(Registered)
569
417,761
Givaudan
SA
(Registered)
31
141,332
Kuehne
+
Nagel
International
AG
(Registered)
4,123
1,407,597
Lonza
Group
AG
(Registered)
588
441,065
Nestle
SA
(Registered)
30,134
3,630,847
Novartis
AG
(Registered)
10,651
873,374
Partners
Group
Holding
AG
671
1,047,189
Roche
Holding
AG
6,493
2,369,750
Schindler
Holding
AG
2,397
643,522
SGS
SA
(Registered)
161
468,645
Sika
AG
(Registered)
(a)
1,671
528,325
Sonova
Holding
AG
(Registered)
3,148
1,189,655
Straumann
Holding
AG
(Registered)
322
577,495
Swisscom
AG
(Registered)
4,852
2,792,234
82
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
6.9%
(continued)
Zurich
Insurance
Group
AG
603
246,579
18,799,580
—
United
Kingdom
-
6.7%
Admiral
Group
plc
43,723
1,826,899
Ashtead
Group
plc
2,439
184,372
Associated
British
Foods
plc
4,968
123,667
AstraZeneca
plc
12,923
1,557,451
Auto
Trader
Group
plc
(b)
192,799
1,520,452
Aviva
plc
105,018
556,582
British
American
Tobacco
plc
9,648
337,241
Croda
International
plc
991
113,546
Diageo
plc
41,987
2,032,801
Direct
Line
Insurance
Group
plc
341,810
1,333,767
GlaxoSmithKline
plc
17,766
335,301
Halma
plc
12,825
489,191
Intertek
Group
plc
1,716
114,744
J
Sainsbury
plc
230,061
881,774
Kingfisher
plc
115,906
523,185
National
Grid
plc
71,175
848,101
Next
plc
5,272
579,925
Persimmon
plc
19,831
709,255
Reckitt
Benckiser
Group
plc
18,546
1,456,978
Sage
Group
plc
(The)
125,322
1,193,273
Smith
&
Nephew
plc
27,031
465,686
Tesco
plc
69,105
235,346
Unilever
plc
11,413
617,881
18,037,418
—
United
States
-
0.3%
Ferguson
plc
3,146
436,734
QIAGEN
NV
*
9,673
501,859
938,593
—
TOTAL
COMMON
STOCKS
(Cost
$204,798,638)
257,562,790
SHORT-TERM
INVESTMENTS
-
4.1%
INVESTMENT
COMPANIES
-
4.1%
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(d)
(Cost
$11,151,177)
11,155,639
11,151,177
INVESTMENTS
SHARES
VALUE
($)
SECURITIES
LENDING
COLLATERAL
-
0.4%
Investment
Companies
-
0.4%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(1)(d)(e)
605,375
605,375
Limited
Purpose
Cash
Investment
Fund
0.01%
(1)(d)(e)
596,256
596,018
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$1,201,631)
1,201,393
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
99.6%
(Cost
$217,151,446)
269,915,360
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.4%
(f)
1,133,825
NET
ASSETS
-
100.0%
271,049,185
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
31,453,773
11.6
%
Consumer
Discretionary
17,244,740
6.4
Consumer
Staples
57,425,631
21.2
Energy
1,950,800
0.7
Financials
28,652,828
10.6
Health
Care
42,842,290
15.8
Industrials
15,035,439
5.5
Information
Technology
24,497,079
9.0
Materials
14,735,000
5.5
Utilities
23,725,210
8.8
Short-Term
Investments
11,151,177
4.1
Securities
Lending
Collateral
1,201,393
0.4
Total
Investments
In
Securities
At
Value
269,915,360
99.6
Other
Assets
in
Excess
of
Liabilities
(f
)
1,133,825
0.4
Net
Assets
$
271,049,185
100.0%
*
Non-income
producing
security.
(a)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$1,145,171.
(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
September
30,
2021
amounted
to
$7,893,903,
which
represents
approximately
2.91%
of
net
assets
of
the
fund.
(c)
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
September
30,
2021,
the
value
of
these
securities
amounted
to
$1,604,655
or
0.59%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(e)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(f)
Includes
appreciation/(depreciation)
on
futures
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
83
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Schedule
of
Investments
September
30,
2021
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
MSCI
EAFE
E-Mini
Index
104
12/2021
USD
$
11,788,400
$
(509,545)
$
(509,545)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
JPMS
Cash
$
–
$
1,160,279
$
1,160,279
84
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
87.0%
Australia
-
3.5%
ASX
Ltd.
(2)
891
51,443
Aurizon
Holdings
Ltd.
(2)
250,511
678,244
BHP
Group
Ltd.
(2)
14,837
396,265
BHP
Group
plc
(2)
91,879
2,314,831
BlueScope
Steel
Ltd.
(2)
35,899
520,162
Dexus
,
REIT
(2)
14,068
108,276
Fortescue
Metals
Group
Ltd.
(2)
118,063
1,257,609
Goodman
Group,
REIT
(2)
25,367
390,324
GPT
Group
(The),
REIT
(2)
42,925
154,612
Lendlease
Corp.
Ltd.
(2)
2,927
22,504
Mirvac
Group,
REIT
(2)
95,677
202,956
Newcrest
Mining
Ltd.
(2)
4,984
82,623
Rio
Tinto
plc
(2)
54,241
3,555,612
Scentre
Group,
REIT
(2)
90,560
192,745
South32
Ltd.
(2)
489,664
1,215,118
Stockland,
REIT
(2)
49,658
157,474
Suncorp
Group
Ltd.
(2)
12,973
115,356
Vicinity
Centres
,
REIT
(2)
97,628
115,419
11,531,573
—
Austria
-
0.0%
(a)
Mondi
plc
(2)
5,437
133,239
Belgium
-
0.2%
Proximus
SADP
(2)
29,846
592,278
Canada
-
2.5%
Agnico
Eagle
Mines
Ltd.
6,018
312,208
Barrick
Gold
Corp.
53,006
957,088
Canadian
Tire
Corp.
Ltd.,
Class
A
815
114,046
CGI,
Inc.
*
4,058
344,703
Great-West
Lifeco
,
Inc.
1,345
40,926
Kinross
Gold
Corp.
405,135
2,171,850
Manulife
Financial
Corp.
20,097
386,835
Onex
Corp.
14,503
1,025,263
Power
Corp.
of
Canada
7,139
235,318
RioCan
,
REIT
11,451
195,642
Ritchie
Bros
Auctioneers,
Inc.
7,174
442,697
Shopify,
Inc.,
Class
A
*
76
103,159
Teck
Resources
Ltd.,
Class
B
24,962
621,389
Thomson
Reuters
Corp.
1,658
183,328
Yamana
Gold,
Inc.
307,145
1,212,477
8,346,929
—
China
-
0.0%
(a)
Chow
Tai
Fook
Jewellery
Group
Ltd.
(2)
66,600
126,659
Denmark
-
0.7%
AP
Moller
-
Maersk
A/S,
Class
B
(2)
487
1,318,353
Danske
Bank
A/S
(2)
5,712
96,225
Pandora
A/S
(2)
7,501
910,619
2,325,197
—
Finland
-
0.3%
Kone
OYJ,
Class
B
(2)
8,575
602,379
Orion
OYJ,
Class
B
(2)
2,228
88,208
UPM-
Kymmene
OYJ
(2)
9,164
324,353
INVESTMENTS
SHARES
VALUE
($)
Finland
-
0.3%
(continued)
Wartsila
OYJ
Abp
(2)
7,603
90,547
1,105,487
—
France
-
3.1%
Atos
SE
(2)
28,910
1,535,752
BNP
Paribas
SA
(2)
9,012
576,594
Carrefour
SA
(2)
163,889
2,937,128
Cie
de
Saint-Gobain
(2)
18,387
1,237,391
CNP
Assurances
(2)
27,150
428,512
Electricite
de
France
SA
(2)
31,197
392,026
Ipsen
SA
(2)
2,260
215,356
La
Francaise
des
Jeux
SAEM
(2)(b)
2,429
124,892
Orange
SA
(2)
105,800
1,144,213
Publicis
Groupe
SA
(2)
12,172
817,688
SEB
SA
(2)
2,146
301,911
Societe
Generale
SA
(2)
5,908
185,008
Sodexo
SA
(2)*
1,704
148,922
Unibail
-
Rodamco
-Westfield,
REIT
(2)*
3,473
255,615
10,301,008
—
Germany
-
1.9%
Bayerische
Motoren
Werke
AG
(2)
15,458
1,468,186
Brenntag
SE
(2)
4,127
383,376
Commerzbank
AG
(2)*
19,998
132,461
Covestro
AG
(2)(b)
6,362
433,575
Daimler
AG
(Registered)
(2)
3,032
267,519
Deutsche
Bank
AG
(Registered)
(2)*
60,455
768,247
Deutsche
Post
AG
(Registered)
(2)
7,471
468,505
E.ON
SE
(2)
11,082
135,264
Fresenius
SE
&
Co.
KGaA
(2)
1,365
65,336
HelloFresh
SE
(2)*
16,979
1,564,905
Porsche
Automobil
Holding
SE
(Preference)
(2)
865
85,540
Uniper
SE
(2)
9,935
413,590
6,186,504
—
Hong
Kong
-
0.3%
CK
Infrastructure
Holdings
Ltd.
(2)
2,749
15,333
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
5,269
323,783
Link,
REIT
(2)
18,329
156,958
WH
Group
Ltd.
(2)(b)
654,000
465,679
961,753
—
Italy
-
0.7%
Atlantia
SpA
(2)*
7,593
143,293
Prysmian
SpA
(2)
6,750
235,768
Telecom
Italia
SpA
(2)
3,700,088
1,446,776
UniCredit
SpA
(2)
26,178
346,431
2,172,268
—
Japan
-
5.2%
Aisin
Corp.
(2)
19,000
688,499
Brother
Industries
Ltd.
(2)
32,400
712,970
Chubu
Electric
Power
Co.,
Inc.
(2)
20,200
238,739
Daito
Trust
Construction
Co.
Ltd.
(2)
486
57,012
Daiwa
House
Industry
Co.
Ltd.
(2)
2,451
81,704
85
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Japan
-
5.2%
(continued)
Disco
Corp.
(2)
800
224,070
ENEOS
Holdings,
Inc.
(2)
104,300
423,704
Hitachi
Metals
Ltd.
(2)*
7,900
152,560
Honda
Motor
Co.
Ltd.
(2)
17,200
528,794
Hulic
Co.
Ltd.
(2)
1,500
16,705
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
(2)
214
205,484
Japan
Post
Holdings
Co.
Ltd.
(2)*
20,900
175,679
Japan
Post
Insurance
Co.
Ltd.
(2)
16,200
293,838
Japan
Real
Estate
Investment
Corp.,
REIT
(2)
30
179,947
Kajima
Corp.
(2)
65,100
834,229
Lion
Corp.
(2)
6,700
108,368
Marubeni
Corp.
(2)
64,200
531,141
Mitsubishi
Corp.
(2)
8,800
276,341
Mitsubishi
Estate
Co.
Ltd.
(2)
5,764
91,779
Mitsui
Fudosan
Co.
Ltd.
(2)
4,598
109,225
Mizuho
Financial
Group,
Inc.
(2)
64,600
913,907
Nabtesco
Corp.
(2)
5,300
200,392
Nintendo
Co.
Ltd.
(2)
5,600
2,676,143
Nippon
Building
Fund,
Inc.,
REIT
(2)
21
136,432
Nippon
Express
Co.
Ltd.
(2)
2,200
151,515
Nippon
Telegraph
&
Telephone
Corp.
(2)
7,792
215,910
Nitto
Denko
Corp.
(2)
2,300
163,729
Nomura
Holdings,
Inc.
(2)
26,600
131,135
Nomura
Real
Estate
Holdings,
Inc.
(2)
1,000
25,999
Nomura
Real
Estate
Master
Fund,
Inc.,
REIT
(2)
117
168,395
Obayashi
Corp.
(2)
131,900
1,087,220
Renesas
Electronics
Corp.
(2)*
37,900
466,449
Resona
Holdings,
Inc.
(2)
237,100
948,404
Rohm
Co.
Ltd.
(2)
6,000
565,816
Sekisui
House
Ltd.
(2)
6,900
144,493
Shimizu
Corp.
(2)
56,000
419,180
Shinsei
Bank
Ltd.
(2)
5,300
88,864
Subaru
Corp.
(2)
21,100
389,922
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
2,700
94,984
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)
2,624
95,910
Taisei
Corp.
(2)
18,100
579,956
Tohoku
Electric
Power
Co.,
Inc.
(2)
11,500
84,539
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
253,200
720,934
Tosoh
Corp.
(2)
9,100
164,908
Yamada
Holdings
Co.
Ltd.
(2)
139,500
585,841
Yamato
Holdings
Co.
Ltd.
(2)
5,100
129,083
17,280,848
—
Malta
-
0.0%
BGP
Holdings
plc
(3)*(c)
96,388
–
Netherlands
-
2.2%
ASML
Holding
NV
(2)
2,917
2,179,170
ING
Groep
NV
(2)
19,668
285,943
Koninklijke
Ahold
Delhaize
NV
(2)
117,742
3,920,589
NN
Group
NV
(2)
10,105
529,323
INVESTMENTS
SHARES
VALUE
($)
Netherlands
-
2.2%
(continued)
Royal
Dutch
Shell
plc,
Class
B
(2)
22,741
503,864
7,418,889
—
Russia
-
0.5%
Evraz
plc
(2)
191,913
1,522,637
Singapore
-
0.0%
(a)
Singapore
Exchange
Ltd.
(2)
4,067
29,774
South
Africa
-
0.2%
Anglo
American
plc
(2)
17,775
622,990
Spain
-
1.4%
Banco
Santander
SA
(2)
97,211
352,134
Enagas
SA
(2)
73,722
1,638,408
Endesa
SA
(2)
64,401
1,298,808
Red
Electrica
Corp.
SA
(2)
16,022
321,438
Repsol
SA
(2)
49,910
651,503
Telefonica
SA
(2)
64,970
304,877
4,567,168
—
Sweden
-
2.0%
Autoliv
,
Inc.
18,127
1,553,846
Electrolux
AB,
Series
B
(2)
55,504
1,282,349
Husqvarna
AB,
Class
B
(2)
40,854
488,044
Investor
AB,
Class
B
(2)
8,816
189,583
Kinnevik
AB,
Class
B
(2)*
1,380
48,513
Skanska
AB,
Class
B
(2)
7,160
179,627
Svenska
Handelsbanken
AB,
Class
A
(2)
174,233
1,951,307
Swedbank
AB,
Class
A
(2)
30,705
619,157
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
12,011
135,567
6,447,993
—
Switzerland
-
1.6%
Adecco
Group
AG
(Registered)
(2)
11,559
579,172
Holcim
Ltd.
(2)*
24,036
1,158,175
Logitech
International
SA
(Registered)
(2)
1,350
120,106
Novartis
AG
(Registered)
(2)
9,718
796,868
Roche
Holding
AG
(2)
2,413
880,673
SGS
SA
(Registered)
(2)
37
107,701
STMicroelectronics
NV
(2)
2,632
114,918
Swiss
Life
Holding
AG
(Registered)
(2)
1,546
778,979
UBS
Group
AG
(Registered)
(2)
47,078
751,441
5,288,033
—
United
Kingdom
-
2.5%
3i
Group
plc
(2)
9,545
163,952
Aviva
plc
(2)
424,933
2,252,092
Barratt
Developments
plc
(2)
15,225
134,586
CK
Hutchison
Holdings
Ltd.
(2)
398,500
2,658,446
Direct
Line
Insurance
Group
plc
(2)
34,622
135,097
Entain
plc
(2)*
17,579
502,085
Imperial
Brands
plc
(2)
7,109
148,696
Kingfisher
plc
(2)
217,487
981,709
M&G
plc
(2)
325,895
890,413
Sage
Group
plc
(The)
(2)
47,699
454,174
8,321,250
—
86
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
United
States
-
58.2%
Accenture
plc,
Class
A
412
131,807
AES
Corp.
(The)
3,831
87,462
Alleghany
Corp.
*
2,403
1,500,457
Allegion
plc
2,764
365,346
Allstate
Corp.
(The)
26,237
3,340,232
Ally
Financial,
Inc.
10,788
550,727
Alphabet,
Inc.,
Class
A
*
218
582,827
Alphabet,
Inc.,
Class
C
*
1,481
3,947,324
Altria
Group,
Inc.
23,219
1,056,929
Amazon.com,
Inc.
*
1,175
3,859,922
AMERCO
269
173,782
American
Tower
Corp.,
REIT
4,396
1,166,742
AmerisourceBergen
Corp.
21,996
2,627,422
AMETEK,
Inc.
1,964
243,556
Anthem,
Inc.
7,851
2,926,853
Apple,
Inc.
105,796
14,970,133
Applied
Materials,
Inc.
15,008
1,931,980
Arch
Capital
Group
Ltd.
*
16,903
645,357
Arrow
Electronics,
Inc.
*
18,729
2,103,079
AutoZone,
Inc.
*
1,663
2,823,757
AvalonBay
Communities,
Inc.,
REIT
811
179,750
Bank
of
New
York
Mellon
Corp.
(The)
22,705
1,177,027
Bath
&
Body
Works,
Inc.
23,131
1,457,947
Berkshire
Hathaway,
Inc.,
Class
B
*
6,896
1,882,194
Best
Buy
Co.,
Inc.
7,146
755,404
BlackRock,
Inc.
612
513,260
Booz
Allen
Hamilton
Holding
Corp.
9,159
726,767
Broadcom,
Inc.
3,369
1,633,729
Capital
One
Financial
Corp.
16,598
2,688,378
Cardinal
Health,
Inc.
5,317
262,979
Carrier
Global
Corp.
3,559
184,214
CDW
Corp.
5,135
934,673
Chubb
Ltd.
12,278
2,129,987
Cigna
Corp.
6,635
1,328,062
Cisco
Systems,
Inc.
78,978
4,298,773
Citigroup,
Inc.
8,815
618,637
Citizens
Financial
Group,
Inc.
5,622
264,122
Cognizant
Technology
Solutions
Corp.,
Class
A
5,516
409,342
Costco
Wholesale
Corp.
2,398
1,077,541
Crown
Castle
International
Corp.,
REIT
1,970
341,440
Crown
Holdings,
Inc.
11,042
1,112,813
Cummins,
Inc.
2,957
664,024
Deere
&
Co.
5,668
1,899,177
Dell
Technologies,
Inc.,
Class
C
*
10,900
1,134,036
Digital
Realty
Trust,
Inc.,
REIT
849
122,638
Dollar
General
Corp.
4,100
869,774
Dollar
Tree,
Inc.
*
24,042
2,301,300
Dover
Corp.
1,210
188,155
DR
Horton,
Inc.
6,945
583,172
DuPont
de
Nemours,
Inc.
3,061
208,117
Eaton
Corp.
plc
988
147,518
Equinix
,
Inc.,
REIT
222
175,409
Equity
Residential,
REIT
2,048
165,724
Everest
Re
Group
Ltd.
4,736
1,187,694
Facebook,
Inc.,
Class
A
*
14,511
4,924,888
FedEx
Corp.
6,898
1,512,662
Fidelity
National
Financial,
Inc.
11,722
531,475
INVESTMENTS
SHARES
VALUE
($)
United
States
-
58.2%
(continued)
Ford
Motor
Co.
*
50,234
711,313
Garmin
Ltd.
4,939
767,817
Gartner,
Inc.
*
318
96,634
Generac
Holdings,
Inc.
*
4,441
1,814,903
General
Dynamics
Corp.
1,888
370,105
General
Motors
Co.
*
38,042
2,005,194
Genuine
Parts
Co.
9,693
1,175,082
Global
Payments,
Inc.
5,733
903,406
Goldman
Sachs
Group,
Inc.
(The)
9,757
3,688,439
Hartford
Financial
Services
Group,
Inc.
(The)
4,364
306,571
Hologic
,
Inc.
*
14,407
1,063,381
Humana,
Inc.
587
228,431
Huntington
Ingalls
Industries,
Inc.
1,359
262,369
Intel
Corp.
84,966
4,526,988
International
Business
Machines
Corp.
9,863
1,370,267
Johnson
&
Johnson
9,714
1,568,811
JPMorgan
Chase
&
Co.
14,159
2,317,687
KLA
Corp.
6,300
2,107,413
Knight-Swift
Transportation
Holdings,
Inc.
17,533
896,813
Lam
Research
Corp.
2,699
1,536,136
Lennar
Corp.,
Class
A
16,492
1,544,971
Lennox
International,
Inc.
1,903
559,806
LKQ
Corp.
*
1,926
96,916
Lockheed
Martin
Corp.
5,055
1,744,481
Lowe's
Cos.,
Inc.
12,003
2,434,929
LyondellBasell
Industries
NV,
Class
A
956
89,721
M&T
Bank
Corp.
670
100,058
Markel
Corp.
*
1,960
2,342,455
Masco
Corp.
2,812
156,207
Mastercard
,
Inc.,
Class
A
2,452
852,511
McDonald's
Corp.
3,118
751,781
McKesson
Corp.
10,972
2,187,597
Merck
&
Co.,
Inc.
29,193
2,192,686
Microsoft
Corp.
34,492
9,723,984
Mohawk
Industries,
Inc.
*
4,831
857,019
Mosaic
Co.
(The)
25,446
908,931
Newmont
Corp.
44,857
2,435,735
NIKE,
Inc.,
Class
B
3,062
444,694
Nordson
Corp.
5,437
1,294,822
Northrop
Grumman
Corp.
2,246
808,897
NVIDIA
Corp.
3,835
794,459
NVR,
Inc.
*
211
1,011,551
Old
Dominion
Freight
Line,
Inc.
1,277
365,196
Oracle
Corp.
13,977
1,217,816
O'Reilly
Automotive,
Inc.
*
4,674
2,856,094
Owens
Corning
3,291
281,381
PACCAR,
Inc.
12,549
990,367
Packaging
Corp.
of
America
893
122,734
PayPal
Holdings,
Inc.
*
4,531
1,179,012
Pfizer,
Inc.
40,451
1,739,798
Philip
Morris
International,
Inc.
4,113
389,871
Procter
&
Gamble
Co.
(The)
7,698
1,076,180
Prologis,
Inc.,
REIT
2,980
373,781
Public
Storage,
REIT
2,484
737,996
PulteGroup,
Inc.
56,687
2,603,067
Qorvo
,
Inc.
*
4,672
781,112
87
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
United
States
-
58.2%
(continued)
QUALCOMM,
Inc.
13,591
1,752,967
Republic
Services,
Inc.
1,680
201,701
Sealed
Air
Corp.
7,350
402,707
Sensata
Technologies
Holding
plc
*
7,222
395,188
Simon
Property
Group,
Inc.,
REIT
1,723
223,938
Skyworks
Solutions,
Inc.
8,080
1,331,422
SS&C
Technologies
Holdings,
Inc.
2,165
150,251
Stanley
Black
&
Decker,
Inc.
2,509
439,853
State
Street
Corp.
5,445
461,300
Stellantis
NV
(2)
10,244
195,233
Stellantis
NV
(2)
36,378
692,315
Synopsys,
Inc.
*
6,881
2,060,240
Target
Corp.
17,045
3,899,385
Tesla,
Inc.
*
1,226
950,738
Texas
Instruments,
Inc.
10,893
2,093,744
Thermo
Fisher
Scientific,
Inc.
5,510
3,148,028
Tractor
Supply
Co.
887
179,715
Travelers
Cos.,
Inc.
(The)
6,320
960,703
Tyson
Foods,
Inc.,
Class
A
13,970
1,102,792
United
Parcel
Service,
Inc.,
Class
B
5,366
977,149
US
Bancorp
5,456
324,305
VeriSign,
Inc.
*
1,371
281,069
Vertex
Pharmaceuticals,
Inc.
*
1,347
244,332
W
R
Berkley
Corp.
10,401
761,145
Walgreens
Boots
Alliance,
Inc.
9,151
430,555
Walmart,
Inc.
33,728
4,701,009
Wells
Fargo
&
Co.
20,482
950,570
Welltower
,
Inc.,
REIT
3,001
247,282
Westrock
Co.
12,438
619,786
Whirlpool
Corp.
1,553
316,595
Zebra
Technologies
Corp.,
Class
A
*
333
171,635
192,062,524
—
Zambia
-
0.0%
(a)
First
Quantum
Minerals
Ltd.
8,347
154,537
TOTAL
COMMON
STOCKS
(Cost
$228,148,295)
287,499,538
SHORT-TERM
INVESTMENTS
-
9.5%
INVESTMENT
COMPANIES
-
9.5%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.01%
(d)(e)
7,876,270
7,876,270
Limited
Purpose
Cash
Investment
Fund,
0.01%
(d)
23,438,330
23,428,955
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$31,305,225)
31,305,225
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
96.5%
(Cost
$259,453,520)
318,804,763
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.5%
(f)
11,489,656
NET
ASSETS
-
100.0%
330,294,419
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
16,652,926
5.0
%
Consumer
Discretionary
48,539,053
14.7
Consumer
Staples
17,415,337
5.3
Energy
1,579,070
0.5
Financials
45,579,700
13.8
Health
Care
21,564,820
6.5
Industrials
31,182,319
9.4
Information
Technology
67,435,471
20.4
Materials
25,348,482
7.7
Real
Estate
6,855,819
2.1
Utilities
5,346,541
1.6
Short-Term
Investments
31,305,225
9.5
Total
Investments
In
Securities
At
Value
318,804,763
96.5
Other
Assets
in
Excess
of
Liabilities
(f)
11,489,656
3.5
Net
Assets
$
330,294,419
100.0%
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$1,024,146,
which
represents
approximately
0.31%
of
net
assets
of
the
fund.
(c)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$0,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(d)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
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).
88
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
Total
return
swap
contracts
outstanding
as
of
September
30,
2021
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/28/2021
HKD
41,690,800
$
30,352
MSCI
Spain
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.49%)
Monthly
JPMC
12/15/2021
EUR
(7,094,769)
89,339
119,691
Swiss
Market
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
12/17/2021
CHF
4,524,390
(189,478)
Tel
Aviv
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/27/2021
ILS
1,982,486
(2,852)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.40%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/15/2021
EUR
325,984
(2,899)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.10%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/15/2021
JPY
552,433,561
(88,289)
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.02%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/15/2021
EUR
2,686,977
(212,869)
(496,387)
$
(376,696)
89
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
14
10/2021
EUR
$
2,498,473
$
(79,237)
CAC
40
10
Euro
Index
241
10/2021
EUR
18,195,802
(283,150)
Hang
Seng
Index
36
10/2021
HKD
5,670,544
40,538
MSCI
Singapore
Index
42
10/2021
SGD
1,093,460
(13,261)
OMXS30
Index
64
10/2021
SEK
1,647,263
(58,593)
DAX
Index
1
12/2021
EUR
442,721
(11,889)
FTSE/MIB
Index
31
12/2021
EUR
4,555,576
(35,497)
FTSE/MIB
Index
61
12/2021
EUR
8,964,198
(87,597)
S&P
500
E-Mini
Index
11
12/2021
USD
2,363,763
(88,851)
TOPIX
Index
198
12/2021
JPY
36,123,726
(672,866)
(1,290,403)
Short
Contracts
IBEX
35
Index
(132)
10/2021
EUR
(13,480,470)
(112,596)
FTSE
100
Index
(265)
12/2021
GBP
(25,256,710)
(220,435)
S&P/TSX
60
Index
(35)
12/2021
CAD
(6,610,374)
162,858
SPI
200
Index
(49)
12/2021
AUD
(6,458,781)
95,778
(74,395)
$
(1,364,798)
Forward
foreign
currency
contracts
outstanding
as
of
September
30,
2021:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
19,976,752
USD
14,330,574
CITG
12/15/2021
$
116,764
AUD
19,976,748
USD
14,330,589
JPMC
12/15/2021
116,747
CAD
1,273,875
USD
987,951
CITG
12/15/2021
17,776
CAD
1,273,874
USD
987,952
JPMC
12/15/2021
17,775
HKD
1,484,500
USD
190,654
CITG
12/15/2021
77
HKD
1,484,500
USD
190,655
JPMC
12/15/2021
76
ILS
376,937
USD
116,571
CITG
12/15/2021
428
ILS
376,936
USD
116,571
JPMC
12/15/2021
428
JPY
47,468,000
USD
425,665
CITG
12/15/2021
1,126
JPY
47,468,000
USD
425,666
JPMC
12/15/2021
1,126
NOK
66,738,500
USD
7,530,440
CITG
12/15/2021
99,312
NOK
66,738,500
USD
7,530,449
JPMC
12/15/2021
99,303
SEK
35,534,624
USD
4,023,007
CITG
12/15/2021
38,958
SEK
35,534,625
USD
4,023,012
JPMC
12/15/2021
38,953
SGD
85,562
USD
62,708
CITG
12/15/2021
297
SGD
85,562
USD
62,708
JPMC
12/15/2021
297
USD
6,762,700
AUD
9,281,000
CITG
12/15/2021
50,610
USD
6,762,692
AUD
9,281,000
JPMC
12/15/2021
50,601
USD
9,350,953
CAD
11,807,001
CITG
12/15/2021
29,295
USD
9,350,940
CAD
11,806,999
JPMC
12/15/2021
29,284
USD
21,491,107
CHF
19,721,500
CITG
12/15/2021
288,982
USD
21,491,080
CHF
19,721,500
JPMC
12/15/2021
288,955
USD
336,154
DKK
2,113,500
CITG
12/15/2021
6,462
USD
336,153
DKK
2,113,500
JPMC
12/15/2021
6,462
USD
2,059,467
EUR
1,742,000
CITG
12/15/2021
38,466
USD
2,059,464
EUR
1,742,000
JPMC
12/15/2021
38,463
USD
16,849,353
GBP
12,296,503
CITG
12/15/2021
278,988
90
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
16,849,327
GBP
12,296,500
JPMC
12/15/2021
$
278,967
USD
613,601
HKD
4,774,750
CITG
12/15/2021
131
USD
583,536
HKD
4,540,750
JPMC
12/15/2021
131
USD
11,070
ILS
35,500
CITG
12/15/2021
50
USD
11,070
ILS
35,500
JPMC
12/15/2021
50
USD
2,519,698
JPY
276,515,500
CITG
12/15/2021
33,509
USD
2,520,018
JPY
276,515,500
JPMC
12/15/2021
33,829
USD
3,822,626
NOK
33,229,626
CITG
12/15/2021
23,713
USD
3,822,621
NOK
33,229,624
JPMC
12/15/2021
23,708
USD
4,819,419
NZD
6,922,250
CITG
12/15/2021
43,416
USD
4,819,412
NZD
6,922,250
JPMC
12/15/2021
43,410
USD
4,642,396
SEK
40,399,000
CITG
12/15/2021
24,384
USD
4,642,391
SEK
40,399,000
JPMC
12/15/2021
24,379
USD
41,539
SGD
56,000
CITG
12/15/2021
303
USD
41,539
SGD
56,000
JPMC
12/15/2021
303
Total
unrealized
appreciation
2,186,294
AUD
20,325,251
USD
14,926,252
CITG
12/15/2021
(226,875)
AUD
20,325,249
USD
14,926,088
JPMC
12/15/2021
(226,714)
CAD
3,823,125
USD
3,030,484
CITG
12/15/2021
(12,118)
CAD
3,823,124
USD
3,030,487
JPMC
12/15/2021
(12,120)
DKK
2,429,500
USD
385,087
CITG
12/15/2021
(6,100)
DKK
2,429,500
USD
385,087
JPMC
12/15/2021
(6,101)
EUR
10,176,004
USD
11,953,787
CITG
12/15/2021
(147,984)
EUR
10,175,996
USD
11,953,793
JPMC
12/15/2021
(147,998)
HKD
3,962,000
USD
509,373
CITG
12/15/2021
(326)
HKD
3,962,000
USD
509,374
JPMC
12/15/2021
(328)
ILS
638,564
USD
198,412
CITG
12/15/2021
(204)
ILS
638,562
USD
198,412
JPMC
12/15/2021
(204)
JPY
1,710,701,000
USD
15,547,454
CITG
12/15/2021
(166,306)
JPY
1,710,701,000
USD
15,547,474
JPMC
12/15/2021
(166,325)
NOK
163,651,003
USD
18,898,808
CITG
12/15/2021
(189,721)
NOK
163,650,997
USD
18,898,831
JPMC
12/15/2021
(189,744)
NZD
9,418,500
USD
6,575,898
CITG
12/15/2021
(77,609)
NZD
9,418,500
USD
6,575,906
JPMC
12/15/2021
(77,618)
SEK
106,603,878
USD
12,289,521
CITG
12/15/2021
(103,624)
SEK
106,603,872
USD
12,289,536
JPMC
12/15/2021
(103,641)
SGD
717,941
USD
532,451
CITG
12/15/2021
(3,784)
SGD
717,935
USD
532,447
JPMC
12/15/2021
(3,785)
USD
2,399,611
AUD
3,337,000
CITG
12/15/2021
(13,732)
USD
2,399,608
AUD
3,337,000
JPMC
12/15/2021
(13,735)
USD
1,232,313
CAD
1,562,500
CITG
12/15/2021
(1,284)
USD
1,232,311
CAD
1,562,500
JPMC
12/15/2021
(1,286)
USD
5,459,494
CHF
5,083,000
CITG
12/15/2021
(5,121)
USD
5,459,487
CHF
5,083,000
JPMC
12/15/2021
(5,128)
USD
513,781
HKD
4,001,750
CITG
12/15/2021
(371)
USD
543,845
HKD
4,235,750
JPMC
12/15/2021
(372)
USD
2,316
ILS
7,500
CITG
12/15/2021
(12)
USD
2,316
ILS
7,500
JPMC
12/15/2021
(12)
USD
11,114,898
NOK
99,688,876
CITG
12/15/2021
(281,842)
USD
11,114,884
NOK
99,688,873
JPMC
12/15/2021
(281,855)
USD
4,730,499
NZD
6,922,250
CITG
12/15/2021
(45,503)
USD
4,732,193
NZD
6,922,249
JPMC
12/15/2021
(43,809)
USD
515,963
SEK
4,533,500
CITG
12/15/2021
(2,262)
USD
515,962
SEK
4,533,500
JPMC
12/15/2021
(2,263)
USD
7,330
SGD
10,000
CITG
12/15/2021
(33)
91
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
GLOBAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
7,330
SGD
10,000
JPMC
12/15/2021
$
(33)
Total
unrealized
depreciation
(2,567,882)
Net
unrealized
depreciation
$
(381,588)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
9,298,863
$
9,298,863
CITG
Investment
Companies
2,155,997
–
2,155,997
GSCO
Cash
–
2,721,930
2,721,930
GSIN
Cash
120,002
–
120,002
JPMC
Investment
Companies
5,720,273
–
5,720,273
92
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
COMMON
STOCKS
-
85.4%
Australia
-
7.8%
Afterpay
Ltd.
*
1,237
107,465
ASX
Ltd.
1,526
88,105
Aurizon
Holdings
Ltd.
339,646
919,571
Australia
&
New
Zealand
Banking
Group
Ltd.
9,154
183,836
BHP
Group
Ltd.
16,708
446,235
BHP
Group
plc
50,229
1,265,486
BlueScope
Steel
Ltd.
56,306
815,851
Dexus
,
REIT
17,710
136,307
Fortescue
Metals
Group
Ltd.
47,694
508,037
Goodman
Group,
REIT
28,321
435,778
GPT
Group
(The),
REIT
36,710
132,226
Lendlease
Corp.
Ltd.
7,936
61,016
Mirvac
Group,
REIT
27,977
59,347
Newcrest
Mining
Ltd.
1,585
26,276
Rio
Tinto
Ltd.
2,066
147,081
Rio
Tinto
plc
21,966
1,439,917
Sonic
Healthcare
Ltd.
2,174
62,827
South32
Ltd.
371,518
921,934
Stockland,
REIT
13,009
41,254
Suncorp
Group
Ltd.
39,874
354,559
Westpac
Banking
Corp.
2,480
45,864
8,198,972
—
Belgium
-
1.2%
Ageas
SA/NV
10,000
495,204
Groupe
Bruxelles
Lambert
SA
853
93,826
KBC
Group
NV
1,452
130,977
Proximus
SADP
29,420
583,825
1,303,832
—
Chile
-
0.4%
Antofagasta
plc
24,340
442,325
China
-
0.5%
BOC
Hong
Kong
Holdings
Ltd.
129,500
390,238
Chow
Tai
Fook
Jewellery
Group
Ltd.
76,600
145,677
535,915
—
Denmark
-
2.6%
AP
Moller
-
Maersk
A/S,
Class
B
280
757,985
Coloplast
A/S,
Class
B
5,627
879,852
Danske
Bank
A/S
5,540
93,328
Genmab
A/S
*
639
279,193
GN
Store
Nord
A/S
1,679
116,125
Novo
Nordisk
A/S,
Class
B
5,440
524,359
Pandora
A/S
718
87,165
2,738,007
—
Finland
-
1.3%
Fortum
OYJ
3,919
119,005
Kesko
OYJ,
Class
B
1,051
36,253
Kone
OYJ,
Class
B
9,234
648,674
Sampo
OYJ,
Class
A
2,861
141,450
Stora
Enso
OYJ,
Class
R
1,547
25,767
Wartsila
OYJ
Abp
33,290
396,461
1,367,610
—
INVESTMENTS
SHARES
VALUE
($)
France
-
8.9%
Atos
SE
15,112
802,777
BioMerieux
1,860
211,644
BNP
Paribas
SA
7,293
466,611
Bouygues
SA
6,313
261,152
Carrefour
SA
71,063
1,273,552
Cie
de
Saint-Gobain
16,871
1,135,368
Cie
Generale
des
Etablissements
Michelin
SCA
1,441
220,964
CNP
Assurances
17,452
275,447
Credit
Agricole
SA
10,568
145,262
Electricite
de
France
SA
6,938
87,184
Ipsen
SA
5,979
569,739
La
Francaise
des
Jeux
SAEM
(a)
7,684
395,090
Orange
SA
107,844
1,166,319
Publicis
Groupe
SA
13,300
893,465
SEB
SA
7,394
1,040,227
Societe
Generale
SA
4,462
139,727
Ubisoft
Entertainment
SA
*
897
53,714
Unibail
-
Rodamco
-Westfield,
REIT
*
1,341
98,698
Veolia
Environnement
SA
3,263
99,704
9,336,644
—
Germany
-
8.6%
Bayerische
Motoren
Werke
AG
9,790
929,845
Brenntag
SE
7,340
681,847
Covestro
AG
(a)
2,884
196,547
Daimler
AG
(Registered)
7,033
620,534
Deutsche
Bank
AG
(Registered)
*
57,771
734,139
Deutsche
Boerse
AG
1,518
246,321
Deutsche
Post
AG
(Registered)
12,833
804,755
Deutsche
Wohnen
SE
(1)*
3,297
202,029
Fresenius
SE
&
Co.
KGaA
4,053
193,998
GEA
Group
AG
10,036
458,338
HelloFresh
SE
*
12,447
1,147,204
Henkel
AG
&
Co.
KGaA
(Preference)
447
41,351
Porsche
Automobil
Holding
SE
(Preference)
1,278
126,382
RWE
AG
24,932
879,311
Telefonica
Deutschland
Holding
AG
29,367
83,614
Uniper
SE
25,182
1,048,316
Volkswagen
AG
(Preference)
2,258
503,314
Vonovia
SE
3,122
187,690
9,085,535
—
Hong
Kong
-
1.1%
CK
Infrastructure
Holdings
Ltd.
11,797
65,799
CLP
Holdings
Ltd.
11,000
105,913
Hong
Kong
Exchanges
&
Clearing
Ltd.
7,729
474,950
Kerry
Properties
Ltd.
4,777
12,566
Link,
REIT
24,239
207,567
Swire
Pacific
Ltd.,
Class
A
34,500
204,138
WH
Group
Ltd.
(a)
131,735
93,802
Xinyi
Glass
Holdings
Ltd.
13,000
38,780
1,203,515
—
93
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Italy
-
1.8%
Assicurazioni
Generali
SpA
8,357
176,995
DiaSorin
SpA
523
109,522
Prysmian
SpA
15,728
549,356
Telecom
Italia
SpA
2,151,664
841,324
UniCredit
SpA
19,114
252,949
1,930,146
—
Japan
-
20.0%
Aisin
Corp.
19,500
706,618
Brother
Industries
Ltd.
50,675
1,115,116
Canon,
Inc.
4,500
110,106
Chubu
Electric
Power
Co.,
Inc.
5,300
62,639
Daito
Trust
Construction
Co.
Ltd.
520
61,000
Daiwa
House
Industry
Co.
Ltd.
5,555
185,176
Disco
Corp.
2,200
616,193
ENEOS
Holdings,
Inc.
111,729
453,883
Hikari
Tsushin,
Inc.
200
33,804
Hirose
Electric
Co.
Ltd.
800
132,949
Hitachi
Metals
Ltd.
*
4,500
86,901
Honda
Motor
Co.
Ltd.
11,000
338,182
Hoya
Corp.
672
104,845
Hulic
Co.
Ltd.
5,293
58,946
Iida
Group
Holdings
Co.
Ltd.
2,200
56,588
Japan
Metropolitan
Fund
Investment
Corp.,
REIT
96
92,180
Japan
Post
Holdings
Co.
Ltd.
*
14,000
117,679
Japan
Post
Insurance
Co.
Ltd.
7,900
143,291
Japan
Real
Estate
Investment
Corp.,
REIT
17
101,970
Kajima
Corp.
79,379
1,017,209
Kyowa
Kirin
Co.
Ltd.
2,300
82,916
Lion
Corp.
15,430
249,569
Marubeni
Corp.
8,700
71,977
McDonald's
Holdings
Co.
Japan
Ltd.
2,900
136,817
Medipal
Holdings
Corp.
5,864
110,361
Mitsubishi
Corp.
10,412
326,962
Mitsubishi
Estate
Co.
Ltd.
8,284
131,905
Mitsubishi
Gas
Chemical
Co.,
Inc.
2,061
40,642
Mitsui
Fudosan
Co.
Ltd.
6,356
150,986
Mizuho
Financial
Group,
Inc.
48,400
684,723
MS&AD
Insurance
Group
Holdings,
Inc.
1,100
36,791
Nabtesco
Corp.
6,600
249,545
NH
Foods
Ltd.
4,400
166,163
Nintendo
Co.
Ltd.
3,043
1,454,197
Nippon
Building
Fund,
Inc.,
REIT
23
149,426
Nippon
Express
Co.
Ltd.
600
41,322
Nippon
Telegraph
&
Telephone
Corp.
21,500
595,747
Nitto
Denko
Corp.
1,733
123,366
Nomura
Holdings,
Inc.
47,500
234,171
Nomura
Real
Estate
Holdings,
Inc.
2,581
67,102
Obayashi
Corp.
130,023
1,071,750
Olympus
Corp.
4,445
97,292
Ono
Pharmaceutical
Co.
Ltd.
3,555
81,067
Otsuka
Holdings
Co.
Ltd.
1,300
55,592
Panasonic
Corp.
6,116
75,810
Renesas
Electronics
Corp.
*
52,800
649,829
Resona
Holdings,
Inc.
179,216
716,867
INVESTMENTS
SHARES
VALUE
($)
Japan
-
20.0%
(continued)
Ricoh
Co.
Ltd.
8,400
85,951
Rinnai
Corp.
860
94,420
Rohm
Co.
Ltd.
7,301
688,504
Ryohin
Keikaku
Co.
Ltd.
8,300
184,618
SCSK
Corp.
6,600
139,595
Sekisui
House
Ltd.
15,037
314,889
Seven
&
i
Holdings
Co.
Ltd.
4,700
213,965
Shimizu
Corp.
94,647
708,466
Shionogi
&
Co.
Ltd.
1,200
82,115
Sony
Group
Corp.
2,000
222,038
Square
Enix
Holdings
Co.
Ltd.
7,429
397,048
Subaru
Corp.
38,000
702,229
Sumitomo
Corp.
4,800
67,617
Sumitomo
Dainippon
Pharma
Co.
Ltd.
3,100
55,410
Sumitomo
Mitsui
Financial
Group,
Inc.
7,600
267,363
Sumitomo
Realty
&
Development
Co.
Ltd.
3,746
136,921
Taisei
Corp.
21,671
694,378
Terumo
Corp.
5,100
240,814
Tohoku
Electric
Power
Co.,
Inc.
6,000
44,107
Tokyo
Electric
Power
Co.
Holdings,
Inc.
*
196,500
559,493
Toshiba
Corp.
2,400
101,019
Toyota
Tsusho
Corp.
684
28,723
Tsuruha
Holdings,
Inc.
800
98,658
Yamada
Holdings
Co.
Ltd.
272,600
1,144,805
Yamato
Holdings
Co.
Ltd.
16,700
422,683
21,143,999
—
Luxembourg
-
0.1%
Eurofins
Scientific
SE
489
62,783
Malta
-
0.0%
BGP
Holdings
plc
(3)*(b)
143,427
–
Netherlands
-
6.0%
ASM
International
NV
1,312
513,803
ASML
Holding
NV
3,293
2,460,065
ING
Groep
NV
26,302
382,392
Koninklijke
Ahold
Delhaize
NV
40,996
1,365,090
Koninklijke
KPN
NV
9,193
28,928
NN
Group
NV
5,183
271,497
Royal
Dutch
Shell
plc,
Class
A
38,785
862,546
Royal
Dutch
Shell
plc,
Class
B
19,710
436,707
6,321,028
—
Russia
-
1.1%
Evraz
plc
139,763
1,108,879
Singapore
-
0.3%
Ascendas
,
REIT
54,022
119,074
CapitaLand
Integrated
Commercial
Trust,
REIT
69,542
103,552
Singapore
Exchange
Ltd.
10,221
74,827
297,453
—
South
Africa
-
1.1%
Anglo
American
plc
32,869
1,152,014
94
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
SHARES
VALUE
($)
Spain
-
2.9%
Banco
Bilbao
Vizcaya
Argentaria
SA
45,656
301,357
Banco
Santander
SA
114,882
416,145
Enagas
SA
38,040
845,406
Endesa
SA
38,137
769,129
Iberdrola
SA
5,790
58,250
Telefonica
SA
138,630
650,532
3,040,819
—
Sweden
-
4.0%
Atlas
Copco
AB,
Class
B
2,369
120,408
Electrolux
AB,
Series
B
45,695
1,055,726
Husqvarna
AB,
Class
B
54,843
655,157
ICA
Gruppen
AB
1,683
77,215
Investor
AB,
Class
B
10,897
234,333
Svenska
Handelsbanken
AB,
Class
A
83,382
933,829
Swedbank
AB,
Class
A
26,807
540,555
Tele2
AB,
Class
B
8,364
123,843
Telefonaktiebolaget
LM
Ericsson,
Class
B
46,656
526,603
4,267,669
—
Switzerland
-
8.1%
Adecco
Group
AG
(Registered)
7,412
371,384
Baloise
Holding
AG
(Registered)
752
114,071
Geberit
AG
(Registered)
48
35,242
Holcim
Ltd.
*
16,067
774,189
Logitech
International
SA
(Registered)
7,043
626,595
Nestle
SA
(Registered)
9,308
1,121,522
Novartis
AG
(Registered)
23,001
1,886,063
Roche
Holding
AG
3,743
1,366,083
SGS
SA
(Registered)
182
529,773
STMicroelectronics
NV
16,232
708,717
Swatch
Group
AG
(The)
1,106
288,535
Swiss
Life
Holding
AG
(Registered)
277
139,571
Swisscom
AG
(Registered)
211
121,426
UBS
Group
AG
(Registered)
26,320
420,110
8,503,281
—
United
Arab
Emirates
-
0.0%
NMC
Health
plc
(3)*(b)
5,443
–
United
Kingdom
-
7.0%
3i
Group
plc
7,980
137,070
Abrdn
plc
32,189
110,085
Ashtead
Group
plc
909
68,714
Aviva
plc
197,466
1,046,545
BAE
Systems
plc
16,517
125,101
Barratt
Developments
plc
4,908
43,386
BP
plc
137,034
624,170
Bunzl
plc
2,470
81,496
CK
Hutchison
Holdings
Ltd.
177,474
1,183,953
DCC
plc
1,326
110,543
Entain
plc
*
36,075
1,030,360
HSBC
Holdings
plc
11,839
61,902
Kingfisher
plc
240,290
1,084,640
London
Stock
Exchange
Group
plc
2,475
248,015
M&G
plc
211,101
576,772
Persimmon
plc
4,378
156,579
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
7.0%
(continued)
Sage
Group
plc
(The)
72,147
686,959
7,376,290
—
United
States
-
0.6%
QIAGEN
NV
*
570
29,573
Stellantis
NV
34,195
650,770
680,343
—
TOTAL
COMMON
STOCKS
(Cost
$78,507,035)
90,097,059
SHORT-TERM
INVESTMENTS
-
9.5%
INVESTMENT
COMPANIES
-
9.5%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.01%
(1)(c)(d)
2,014,497
2,014,497
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(c)
7,988,871
7,985,675
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$10,000,172)
10,000,172
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
94.9%
(Cost
$88,507,207)
100,097,231
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
5.1%
(e)
5,372,559
NET
ASSETS
-
100.0%
105,469,790
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
6,993,985
6.6
%
Consumer
Discretionary
14,192,369
13.5
Consumer
Staples
4,737,139
4.5
Energy
2,377,306
2.2
Financials
13,139,751
12.5
Health
Care
7,202,173
6.8
Industrials
14,080,552
13.3
Information
Technology
9,971,226
9.5
Materials
9,521,451
9.0
Real
Estate
3,136,851
3.0
Utilities
4,744,256
4.5
Short-Term
Investments
10,000,172
9.5
Total
Investments
In
Securities
At
Value
100,097,231
94.9
Other
Assets
in
Excess
of
Liabilities
(e
)
5,372,559
5.1
Net
Assets
$
105,469,790
100.0%
95
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
*
Non-income
producing
security.
(a)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$685,439,
which
represents
approximately
0.65%
of
net
assets
of
the
fund.
(b)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
September
30,
2021
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$0,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
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).
(3)
Level
3
security
(See
Note
5).
Total
return
swap
contracts
outstanding
as
of
September
30,
2021
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Hang
Seng
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/28/2021
HKD
8,583,400
$
6,348
Hang
Seng
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
10/28/2021
HKD
15,940,600
7,319
MSCI
Australia
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
BBR
plus
or
minus
a
specified
spread
(0.05%)
Monthly
JPMC
12/15/2021
AUD
(451,645)
1,881
MSCI
Spain
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.49%)
Monthly
JPMC
12/15/2021
EUR
(177,119)
3,013
18,561
Swiss
Market
Index
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
12/17/2021
CHF
580,050
(21,689)
Tel
Aviv
Index
October
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/27/2021
ILS
2,162,712
(3,111)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.40%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
12/15/2021
EUR
2,239,561
(19,913)
(44,713)
$
(26,152)
96
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
7
10/2021
EUR
$
1,249,236
$
(11,292)
CAC
40
10
Euro
Index
76
10/2021
EUR
5,738,095
(89,065)
Hang
Seng
Index
13
10/2021
HKD
2,047,696
15,353
MSCI
Singapore
Index
36
10/2021
SGD
937,251
(11,682)
FTSE/MIB
Index
7
12/2021
EUR
1,028,679
(10,053)
FTSE/MIB
Index
8
12/2021
EUR
1,175,633
(10,117)
TOPIX
Index
100
12/2021
JPY
18,244,306
(328,128)
(444,984)
Short
Contracts
IBEX
35
Index
(10)
10/2021
EUR
(1,021,248)
(5,813)
IBEX
35
Index
(15)
10/2021
EUR
(1,531,872)
(9,231)
OMXS30
Index
(68)
10/2021
SEK
(1,750,217)
42,819
DAX
Index
(12)
12/2021
EUR
(5,312,656)
110,096
FTSE
100
Index
(112)
12/2021
GBP
(10,674,534)
(84,178)
SPI
200
Index
(18)
12/2021
AUD
(2,372,613)
34,693
88,386
$
(356,598)
Forward
foreign
currency
contracts
outstanding
as
of
September
30,
2021:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
8,480,776
USD
6,082,620
CITG
12/15/2021
$
50,743
AUD
8,480,773
USD
6,082,626
JPMC
12/15/2021
50,736
HKD
1,533,000
USD
196,858
CITG
12/15/2021
105
HKD
1,533,000
USD
196,858
JPMC
12/15/2021
105
ILS
426,624
USD
131,930
CITG
12/15/2021
493
ILS
426,623
USD
131,930
JPMC
12/15/2021
493
NOK
11,414,125
USD
1,293,029
CITG
12/15/2021
11,869
NOK
11,414,124
USD
1,293,030
JPMC
12/15/2021
11,868
NZD
84,001
USD
57,442
CITG
12/15/2021
514
NZD
83,999
USD
57,441
JPMC
12/15/2021
514
SEK
12,342,876
USD
1,397,482
CITG
12/15/2021
13,433
SEK
12,342,874
USD
1,397,484
JPMC
12/15/2021
13,431
SGD
96,375
USD
70,648
CITG
12/15/2021
320
SGD
96,374
USD
70,647
JPMC
12/15/2021
319
USD
4,072,969
AUD
5,586,000
CITG
12/15/2021
33,131
USD
4,072,964
AUD
5,586,000
JPMC
12/15/2021
33,126
USD
3,622,876
CHF
3,313,402
CITG
12/15/2021
60,715
USD
3,622,868
CHF
3,313,398
JPMC
12/15/2021
60,711
USD
198,979
DKK
1,253,000
CITG
12/15/2021
3,520
USD
198,979
DKK
1,253,000
JPMC
12/15/2021
3,520
USD
2,286,444
EUR
1,942,000
CITG
12/15/2021
33,412
USD
2,286,441
EUR
1,942,000
JPMC
12/15/2021
33,409
USD
6,041,830
GBP
4,414,351
CITG
12/15/2021
93,195
USD
6,041,819
GBP
4,414,349
JPMC
12/15/2021
93,187
USD
284,429
HKD
2,212,000
CITG
12/15/2021
225
USD
253,593
HKD
1,972,000
JPMC
12/15/2021
225
USD
24,954
ILS
80,000
CITG
12/15/2021
121
97
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
24,954
ILS
80,000
JPMC
12/15/2021
$
121
USD
3,332,179
JPY
365,871,100
CITG
12/15/2021
42,581
USD
3,332,626
JPY
365,871,100
JPMC
12/15/2021
43,029
USD
2,247
NOK
19,500
CITG
12/15/2021
17
USD
2,247
NOK
19,500
JPMC
12/15/2021
17
USD
4,546
NZD
6,500
CITG
12/15/2021
61
USD
4,546
NZD
6,500
JPMC
12/15/2021
61
USD
1,392,750
SEK
12,046,000
CITG
12/15/2021
15,771
USD
1,392,748
SEK
12,046,000
JPMC
12/15/2021
15,771
USD
47,808
SGD
64,500
CITG
12/15/2021
312
USD
47,808
SGD
64,500
JPMC
12/15/2021
312
Total
unrealized
appreciation
721,493
AUD
8,517,277
USD
6,253,658
CITG
12/15/2021
(93,898)
AUD
8,517,274
USD
6,253,589
JPMC
12/15/2021
(93,832)
CHF
392,500
USD
426,582
CITG
12/15/2021
(4,615)
CHF
392,500
USD
426,583
JPMC
12/15/2021
(4,615)
DKK
1,216,000
USD
192,549
CITG
12/15/2021
(2,862)
DKK
1,216,000
USD
192,549
JPMC
12/15/2021
(2,862)
EUR
1,076,703
USD
1,268,814
CITG
12/15/2021
(19,665)
EUR
1,076,697
USD
1,268,808
JPMC
12/15/2021
(19,666)
GBP
484,000
USD
665,000
CITG
12/15/2021
(12,778)
GBP
484,000
USD
665,001
JPMC
12/15/2021
(12,779)
HKD
2,422,000
USD
311,344
CITG
12/15/2021
(162)
HKD
2,422,000
USD
311,345
JPMC
12/15/2021
(162)
ILS
749,377
USD
232,861
CITG
12/15/2021
(256)
ILS
749,376
USD
232,861
JPMC
12/15/2021
(256)
JPY
594,926,000
USD
5,408,656
CITG
12/15/2021
(59,593)
JPY
594,926,000
USD
5,408,663
JPMC
12/15/2021
(59,601)
NOK
12,929,876
USD
1,494,550
CITG
12/15/2021
(16,367)
NOK
12,929,875
USD
1,494,552
JPMC
12/15/2021
(16,369)
NZD
85,499
USD
59,526
CITG
12/15/2021
(537)
NZD
85,501
USD
59,528
JPMC
12/15/2021
(537)
SEK
35,863,628
USD
4,134,685
CITG
12/15/2021
(35,111)
SEK
35,863,622
USD
4,134,690
JPMC
12/15/2021
(35,117)
SGD
619,129
USD
459,205
CITG
12/15/2021
(3,299)
SGD
619,122
USD
459,201
JPMC
12/15/2021
(3,300)
USD
671,324
AUD
932,000
CITG
12/15/2021
(2,705)
USD
671,323
AUD
932,000
JPMC
12/15/2021
(2,706)
USD
34,306
CHF
32,000
CITG
12/15/2021
(97)
USD
34,306
CHF
32,000
JPMC
12/15/2021
(97)
USD
36,945
GBP
27,500
CITG
12/15/2021
(113)
USD
36,945
GBP
27,500
JPMC
12/15/2021
(113)
USD
105,120
HKD
818,500
CITG
12/15/2021
(41)
USD
135,956
HKD
1,058,500
JPMC
12/15/2021
(41)
USD
8,197
ILS
26,500
CITG
12/15/2021
(28)
USD
8,197
ILS
26,500
JPMC
12/15/2021
(28)
USD
2,892
NOK
26,000
CITG
12/15/2021
(80)
USD
2,892
NOK
26,000
JPMC
12/15/2021
(80)
USD
4,437
NZD
6,500
CITG
12/15/2021
(47)
USD
4,437
NZD
6,500
JPMC
12/15/2021
(47)
USD
799,637
SEK
7,026,000
CITG
12/15/2021
(3,506)
USD
799,636
SEK
7,026,000
JPMC
12/15/2021
(3,507)
USD
15,397
SGD
21,000
CITG
12/15/2021
(67)
USD
15,397
SGD
21,000
JPMC
12/15/2021
(67)
Total
unrealized
depreciation
(511,609)
Net
unrealized
appreciation
$
209,884
98
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
INTERNATIONAL
EQUITY
FUND
Schedule
of
Investments
September
30,
2021
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
BARC
Cash
$
–
$
2,829,662
$
2,829,662
CITG
Cash
(60,002)
–
(60,002)
Investment
Companies
460,031
–
460,031
GSCO
Cash
–
1,041,948
1,041,948
GSIN
Cash
300,175
–
300,175
JPMC
Investment
Companies
1,554,466
–
1,554,466
99
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
LONG
POSITIONS
-
124.0%
CORPORATE
BONDS
-
28.0%
Air
Freight
&
Logistics
-
0.0%
(a)
United
Parcel
Service,
Inc.
5.30%,
4/1/2050
$
9,000
12,997
Automobiles
-
0.3%
Hyundai
Capital
America
1.80%,
10/15/2025
(b)
200,000
201,963
Banks
-
3.1%
Bangko
Sentral
ng
Pilipinas
International
Bond
(Philippines)
Series
A,
8.60%,
6/15/2027
60,000
80,121
Bank
of
America
Corp.
3.50%,
4/19/2026
27,000
29,482
5.88%,
2/7/2042
29,000
41,310
5.00%,
1/21/2044
50,000
65,591
Bank
of
Montreal
(Canada)
(USD
Swap
Semi
5
Year
+
1.43%),
3.80%,
12/15/2032
(c)
287,000
314,452
BNP
Paribas
SA
(France)
3.38%,
1/9/2025
(b)
260,000
277,218
Santander
Holdings
USA,
Inc.
3.45%,
6/2/2025
200,000
214,150
SVB
Financial
Group
3.50%,
1/29/2025
390,000
418,718
Truist
Bank
2.25%,
3/11/2030
430,000
432,283
Vnesheconombank
(Russia)
6.80%,
11/22/2025
(b)
140,000
164,366
2,037,691
Biotechnology
-
0.4%
Regeneron
Pharmaceuticals,
Inc.
1.75%,
9/15/2030
293,000
278,739
Capital
Markets
-
2.4%
Ameriprise
Financial,
Inc.
3.00%,
4/2/2025
200,000
212,460
Blackstone
Holdings
Finance
Co.
LLC
2.85%,
8/5/2051
(b)
139,000
132,099
Goldman
Sachs
Group,
Inc.
(The)
6.25%,
2/1/2041
276,000
402,295
KKR
Group
Finance
Co.
III
LLC
5.13%,
6/1/2044
(b)
190,000
245,619
Morgan
Stanley
3.63%,
1/20/2027
469,000
516,997
6.38%,
7/24/2042
41,000
62,077
1,571,547
Chemicals
-
1.4%
Eastman
Chemical
Co.
3.80%,
3/15/2025
70,000
75,741
RPM
International,
Inc.
3.75%,
3/15/2027
800,000
875,266
951,007
Communications
Equipment
-
0.5%
Cisco
Systems,
Inc.
5.90%,
2/15/2039
212,000
306,219
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Construction
&
Engineering
-
0.2%
Quanta
Services,
Inc.
2.90%,
10/1/2030
$
140,000
144,820
Containers
&
Packaging
-
0.4%
International
Paper
Co.
7.30%,
11/15/2039
159,000
244,614
Diversified
Telecommunication
Services
-
1.1%
AT&T,
Inc.
3.65%,
9/15/2059
40,000
39,877
Bell
Telephone
Co.
of
Canada
or
Bell
Canada
(The)
(Canada)
Series
US-5,
2.15%,
2/15/2032
217,000
212,381
Series
US-6,
3.20%,
2/15/2052
71,000
71,106
British
Telecommunications
plc
(United
Kingdom)
9.63%,
12/15/2030
(d)
190,000
290,796
Level
3
Financing,
Inc.
3.40%,
3/1/2027
(b)
40,000
42,134
3.88%,
11/15/2029
(b)
93,000
99,445
755,739
Electric
Utilities
-
1.7%
Duke
Energy
Carolinas
LLC
3.20%,
8/15/2049
137,000
142,108
Duke
Energy
Progress
LLC
2.50%,
8/15/2050
151,000
136,912
Georgia
Power
Co.
Series
A,
3.25%,
3/15/2051
260,000
261,715
NRG
Energy,
Inc.
3.75%,
6/15/2024
(b)
400,000
426,666
Southern
California
Edison
Co.
Series
B,
4.88%,
3/1/2049
160,000
191,037
1,158,438
Electronic
Equipment,
Instruments
&
Components
-
0.5%
SYNNEX
Corp.
2.38%,
8/9/2028
(b)
140,000
138,623
Trimble,
Inc.
4.90%,
6/15/2028
140,000
161,882
300,505
Energy
Equipment
&
Services
-
0.0%
(a)
NOV,
Inc.
3.95%,
12/1/2042
20,000
19,836
Entertainment
-
0.5%
TWDC
Enterprises
18
Corp.
4.13%,
6/1/2044
301,000
361,076
Equity
Real
Estate
Investment
Trusts
(REITs)
-
0.2%
Camden
Property
Trust
3.15%,
7/1/2029
27,000
29,165
ERP
Operating
LP
1.85%,
8/1/2031
78,000
75,289
104,454
Food
&
Staples
Retailing
-
0.1%
Alimentation
Couche-Tard,
Inc.
(Canada)
3.44%,
5/13/2041
(b)
97,000
99,743
100
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Gas
Utilities
-
0.5%
National
Fuel
Gas
Co.
4.75%,
9/1/2028
$
298,000
333,562
Health
Care
Equipment
&
Supplies
-
1.3%
DENTSPLY
SIRONA,
Inc.
3.25%,
6/1/2030
140,000
149,173
Edwards
Lifesciences
Corp.
4.30%,
6/15/2028
620,000
710,456
859,629
Health
Care
Providers
&
Services
-
2.1%
Aetna,
Inc.
6.63%,
6/15/2036
188,000
271,625
HCA,
Inc.
5.00%,
3/15/2024
210,000
230,471
5.25%,
6/15/2049
130,000
165,925
Montefiore
Obligated
Group
4.29%,
9/1/2050
60,000
62,345
UnitedHealth
Group,
Inc.
3.05%,
5/15/2041
210,000
217,038
4.25%,
4/15/2047
140,000
172,670
Universal
Health
Services,
Inc.
2.65%,
10/15/2030
(b)
300,000
301,362
1,421,436
Hotels,
Restaurants
&
Leisure
-
0.1%
Darden
Restaurants,
Inc.
3.85%,
5/1/2027
28,000
31,060
Marriott
International,
Inc.
Series
EE,
5.75%,
5/1/2025
9,000
10,292
41,352
Household
Durables
-
0.6%
Lennar
Corp.
4.75%,
5/30/2025
200,000
222,838
MDC
Holdings,
Inc.
6.00%,
1/15/2043
140,000
176,260
399,098
Life
Sciences
Tools
&
Services
-
0.7%
Agilent
Technologies,
Inc.
2.10%,
6/4/2030
52,000
51,475
PerkinElmer,
Inc.
3.30%,
9/15/2029
400,000
431,256
482,731
Machinery
-
0.0%
(a)
Stanley
Black
&
Decker,
Inc.
2.30%,
3/15/2030
10,000
10,262
Media
-
0.5%
Comcast
Corp.
5.65%,
6/15/2035
48,000
64,111
6.50%,
11/15/2035
50,000
71,762
2.99%,
11/1/2063
(b)
51,000
47,792
Time
Warner
Cable
LLC
5.88%,
11/15/2040
135,000
170,289
353,954
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Metals
&
Mining
-
0.5%
ArcelorMittal
SA
(Luxembourg)
7.00%,
10/15/2039
(d)
$
132,000
186,285
Corp.
Nacional
del
Cobre
de
Chile
(Chile)
6.15%,
10/24/2036
(b)
110,000
146,261
332,546
Multiline
Retail
-
0.7%
Kohl's
Corp.
3.38%,
5/1/2031
190,000
195,525
Nordstrom,
Inc.
4.38%,
4/1/2030
(e)
220,000
224,947
5.00%,
1/15/2044
20,000
19,613
440,085
Oil,
Gas
&
Consumable
Fuels
-
2.5%
Canadian
Natural
Resources
Ltd.
(Canada)
6.25%,
3/15/2038
40,000
53,195
Cenovus
Energy,
Inc.
(Canada)
5.38%,
7/15/2025
100,000
113,906
ConocoPhillips
6.50%,
2/1/2039
180,000
262,474
Devon
Energy
Corp.
4.50%,
1/15/2030
(b)
140,000
152,584
5.00%,
6/15/2045
110,000
128,961
Hess
Corp.
4.30%,
4/1/2027
210,000
233,238
5.80%,
4/1/2047
80,000
104,185
Marathon
Oil
Corp.
6.60%,
10/1/2037
118,000
156,100
ONEOK,
Inc.
4.95%,
7/13/2047
100,000
118,212
Petroleos
Mexicanos
(Mexico)
6.63%,
6/15/2035
110,000
104,362
6.63%,
6/15/2038
10,000
9,186
6.50%,
6/2/2041
30,000
26,551
6.35%,
2/12/2048
90,000
76,047
7.69%,
1/23/2050
140,000
132,566
1,671,567
Professional
Services
-
0.2%
CoStar
Group,
Inc.
2.80%,
7/15/2030
(b)
140,000
142,390
Road
&
Rail
-
0.3%
Canadian
National
Railway
Co.
(Canada)
4.45%,
1/20/2049
140,000
177,359
Semiconductors
&
Semiconductor
Equipment
-
1.2%
Broadcom,
Inc.
3.14%,
11/15/2035
(b)
289,000
288,091
Lam
Research
Corp.
4.00%,
3/15/2029
410,000
470,596
NVIDIA
Corp.
3.20%,
9/16/2026
57,000
62,390
821,077
Specialty
Retail
-
0.6%
AutoNation,
Inc.
4.75%,
6/1/2030
242,000
282,150
Best
Buy
Co.,
Inc.
4.45%,
10/1/2028
130,000
149,599
431,749
101
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Technology
Hardware,
Storage
&
Peripherals
-
1.6%
Dell
International
LLC
6.02%,
6/15/2026
$
490,000
582,868
Seagate
HDD
Cayman
4.09%,
6/1/2029
100,000
105,000
Xerox
Corp.
4.38%,
3/15/2023
(d)
340,000
351,686
1,039,554
Textiles,
Apparel
&
Luxury
Goods
-
0.8%
PVH
Corp.
4.63%,
7/10/2025
200,000
220,253
Tapestry,
Inc.
4.25%,
4/1/2025
140,000
151,272
4.13%,
7/15/2027
150,000
163,958
535,483
Tobacco
-
0.3%
Philip
Morris
International,
Inc.
4.13%,
3/4/2043
203,000
226,729
Trading
Companies
&
Distributors
-
0.1%
WW
Grainger,
Inc.
4.60%,
6/15/2045
62,000
79,350
Wireless
Telecommunication
Services
-
0.6%
Sprint
Spectrum
Co.
LLC
4.74%,
3/20/2025
(b)
350,000
373,800
TOTAL
CORPORATE
BONDS
(Cost
$18,314,547)
18,723,101
MORTGAGE-BACKED
SECURITIES
-
30.1%
UMBS,
15
Year,
Single
Family
TBA,
1.50%,
10/25/2036
450,000
454,448
TBA,
2.00%,
10/25/2036
1,800,000
1,853,789
UMBS,
30
Year,
Single
Family
TBA,
1.50%,
10/25/2051
650,000
631,414
TBA,
2.00%,
10/25/2051
4,800,000
4,812,938
TBA,
2.50%,
10/25/2051
3,850,000
3,969,561
TBA,
3.00%,
10/25/2051
2,950,000
3,086,783
TBA,
3.50%,
10/25/2051
2,400,000
2,539,359
TBA,
4.00%,
10/25/2051
1,500,000
1,607,080
TBA,
4.50%,
10/25/2051
1,050,000
1,135,559
TOTAL
MORTGAGE-BACKED
SECURITIES
(Cost
$20,173,965)
20,090,931
FOREIGN
GOVERNMENT
SECURITIES
-
31.2%
Buoni
Poliennali
del
Tesoro
6.00%,
5/1/2031
(f)
EUR
20,000
34,340
4.00%,
2/1/2037
(f)
10,000
15,887
Canada
Government
Bond
2.25%,
6/1/2029
CAD
10,000
8,435
1.25%,
6/1/2030
7,000,000
5,455,314
1.50%,
6/1/2031
2,140,000
1,687,400
Commonwealth
of
Australia
2.75%,
11/21/2029
(f)
AUD
10,000
8,046
2.50%,
5/21/2030
(f)
5,340,000
4,223,035
1.50%,
6/21/2031
(f)
1,900,000
1,379,263
Dominican
Republic
Government
Bond
7.45%,
4/30/2044
(b)
$
100,000
119,151
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
FOREIGN
GOVERNMENT
SECURITIES
-
31.2%
(continued)
Federative
Republic
of
Brazil
10.13%,
5/15/2027
$
120,000
168,457
7.13%,
1/20/2037
10,000
12,023
Finance
Department
Government
of
Sharjah
4.38%,
3/10/2051
(b)
200,000
188,250
Japan
Government
Bond
0.10%,
6/20/2028
JPY
5,500,000
49,906
0.10%,
9/20/2028
8,600,000
78,024
0.10%,
12/20/2028
9,400,000
85,239
0.10%,
3/20/2029
8,450,000
76,637
0.10%,
6/20/2029
16,600,000
150,531
2.10%,
3/20/2030
15,300,000
161,881
0.60%,
12/20/2036
3,150,000
29,652
2.50%,
3/20/2038
122,500,000
1,483,340
2.40%,
9/20/2038
120,700,000
1,451,491
2.30%,
3/20/2039
2,400,000
28,522
2.30%,
3/20/2040
76,100,000
913,583
2.00%,
9/20/2040
61,600,000
712,384
2.20%,
3/20/2041
47,450,000
565,640
Kingdom
of
Saudi
Arabia
2.90%,
10/22/2025
(b)
$
200,000
212,676
Republic
of
Colombia
8.13%,
5/21/2024
180,000
207,614
Republic
of
Ecuador
1.00%,
7/31/2035
(b)(d)
20,000
13,175
Republic
of
El
Salvador
6.38%,
1/18/2027
(b)
50,000
37,125
8.63%,
2/28/2029
(b)
60,000
45,751
8.25%,
4/10/2032
(b)
40,000
29,808
Republic
of
Indonesia
2.95%,
1/11/2023
200,000
205,823
Republic
of
Panama
8.88%,
9/30/2027
110,000
149,848
6.70%,
1/26/2036
20,000
26,582
Republic
of
Turkey
6.88%,
3/17/2036
220,000
213,400
Romania
Government
Bond
6.75%,
2/7/2022
(b)
100,000
102,036
4.88%,
1/22/2024
(b)
20,000
21,720
4.00%,
2/14/2051
(b)
30,000
29,880
State
of
Qatar
9.75%,
6/15/2030
(b)
160,000
254,006
Ukraine
Government
Bond
7.75%,
9/1/2027
(b)
150,000
162,481
TOTAL
FOREIGN
GOVERNMENT
SECURITIES
(Cost
$21,478,629)
20,798,356
U.S.
TREASURY
OBLIGATIONS
-
23.4%
U.S.
Treasury
Bonds
3.13%,
2/15/2043
70,000
83,412
2.88%,
5/15/2043
290,000
332,809
3.63%,
8/15/2043
50,000
64,178
3.13%,
8/15/2044
100,000
119,676
2.50%,
2/15/2045
260,000
280,780
3.00%,
5/15/2045
320,000
376,500
2.75%,
8/15/2047
170,000
192,956
2.75%,
11/15/2047
360,000
409,022
3.13%,
5/15/2048
540,000
657,028
102
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
23.4%
(continued)
2.88%,
5/15/2049
$
1,420,000
1,661,178
U.S.
Treasury
Notes
0.25%,
11/15/2023
2,100,000
2,097,047
2.75%,
11/15/2023
1,310,000
1,377,445
0.13%,
1/15/2024
20,000
19,893
0.13%,
2/15/2024
1,390,000
1,382,018
0.25%,
3/15/2024
980,000
976,593
2.25%,
4/30/2024
940,000
983,952
0.50%,
10/31/2027
290,000
278,321
0.63%,
12/31/2027
1,080,000
1,041,947
0.75%,
1/31/2028
100,000
97,105
1.00%,
7/31/2028
470,000
460,894
1.50%,
2/15/2030
250,000
251,592
0.63%,
5/15/2030
2,630,000
2,454,735
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$15,605,338)
15,599,081
SHARES
SHORT-TERM
INVESTMENTS
-
11.0%
INVESTMENT
COMPANIES
-
11.0%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
0.01%
(1)(g)(h)
240,016
240,015
Limited
Purpose
Cash
Investment
Fund,
0.01%
(1)(g)
7,119,638
7,116,790
TOTAL
SHORT-TERM
INVESTMENTS
(COST
$7,356,805)
7,356,805
SECURITIES
LENDING
COLLATERAL
-
0.3%
Investment
Companies
-
0.3%
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
Citibank
NA
BlackRock
Liquidity
Funds
T-Fund
Portfolio,
Institutional
Shares
0.01%
(1)(g)(i)
106,401
106,401
Limited
Purpose
Cash
Investment
Fund
0.01%
(1)(g)(i)
104,798
104,756
TOTAL
SECURITIES
LENDING
COLLATERAL
(Cost
$211,199)
211,157
TOTAL
INVESTMENTS
BEFORE
TBA
SALE
COMMITMENTS
(Cost
$83,140,483)
82,779,431
PRINCIPAL
AMOUNT
TBA
SALE
COMMITMENTS
-
(0.9)%
MORTGAGE-BACKED
SECURITIES
-
(0.9)%
UMBS,
15
Year,
Single
Family
TBA,
2.00%,
10/25/2036
$
(50,000)
(51,494)
UMBS,
30
Year,
Single
Family
TBA,
1.50%,
10/25/2051
(50,000)
(48,570)
TBA,
3.00%,
10/25/2051
(100,000)
(104,637)
TBA,
3.50%,
10/25/2051
(150,000)
(158,710)
TBA,
4.00%,
10/25/2051
(100,000)
(107,139)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
MORTGAGE-BACKED
SECURITIES
-
(0.9)%
(continued)
TBA,
4.50%,
10/25/2051
$
(100,000)
(108,148)
TOTAL
TBA
SALE
COMMITMENTS
(Proceeds
$(578,238))
(578,698)
TOTAL
INVESTMENTS
NET
OF
TBA
SALE
COMMITMENTS
-
123.1%
(Cost
$82,562,245)
82,200,733
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(23.1)%
(j)
(15,427,030)
NET
ASSETS
-
100.0%
66,773,703
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
1,844,570
2.8
%
Consumer
Discretionary
2,049,729
3.1
Consumer
Staples
326,472
0.5
Energy
1,691,403
2.5
Financials
3,609,238
5.4
Foreign
Government
Securities
20,798,356
31.2
Health
Care
3,042,535
4.5
Industrials
567,178
0.8
Information
Technology
2,467,355
3.7
Materials
1,528,167
2.3
Mortgage-Backed
Securities
19,512,233
29.2
Real
Estate
104,454
0.2
U.S.
Treasury
Obligations
15,599,081
23.4
Utilities
1,492,000
2.2
Short-Term
Investments
7,356,805
11.0
Securities
Lending
Collateral
211,157
0.3
Total
Investments
In
Securities
At
Value
82,200,733
123.1
Liabilities
in
Excess
of
Other
Assets
(j
)
(15,427,030)
(23.1)
Net
Assets
$
66,773,703
100.0%
103
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
September
30,
2021
amounted
to
$4,496,215,
which
represents
approximately
6.73%
of
net
assets
of
the
fund.
(c)
Variable
or
floating
rate
security,
linked
to
the
referenced
benchmark.
The
interest
rate
shown
was
the
current
rate
as
of
September
30,
2021.
(d)
Step
bond.
Coupon
rate
is
a
fixed
rate
for
an
initial
period
that
either
resets
at
a
specific
date
or
may
reset
in
the
future
contingent
upon
a
rating
change
made
by
a
rating
agency.
The
interest
rate
shown
was
the
current
rate
as
of
September
30,
2021.
(e)
The
security
or
a
portion
of
this
security
is
on
loan
at
September
30,
2021.
The
total
value
of
securities
on
loan
at
September
30,
2021
was
$206,887.
(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
September
30,
2021,
the
value
of
these
securities
amounted
to
$5,660,571
or
8.48%
of
net
assets.
(g)
Represents
7-day
effective
yield
as
of
September
30,
2021.
(h)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(i)
Represents
security
purchased
with
the
cash
collateral
received
for
securities
on
loan.
(j)
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).
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
September
30,
2021:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PAYMENTS
(RECEIPTS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Federative
Republic
of
Brazil,
4.25%,
1/7/2025
1.00
%
Quarterly
12/20/2026
2.04
%
USD
700,000
$
33,900
$
1,937
$
35,837
Markit
CDX
Emerging
Markets
Index
Series
36.V1
1.00
Quarterly
12/20/2026
1.82
USD
3,760,000
127,965
21,097
149,062
Republic
of
Colombia,
10.38%,
1/28/2033
1.00
Quarterly
12/20/2026
1.69
USD
1,300,000
32,078
12,159
44,237
Republic
of
Peru,
8.75%,
11/21/2033
1.00
Quarterly
12/20/2026
1.06
USD
1,000,000
(3,019)
5,977
2,958
190,924
41,170
232,094
Kingdom
of
Thailand,  
1.45%,
5/20/2015
1.00
%
Quarterly
12/20/2026
0.41
%
USD
2,900,000
$
(88,141)
$
(1,392)
$
(89,533)
Markit
CDX
North
America
High
Yield
Index
Series
37.V1
5.00
Quarterly
12/20/2026
3.01
USD
670,000
(64,821)
1,618
(63,203)
Markit
CDX
North
America
Investment
Grade
Index
Series
37.V1
1.00
Quarterly
12/20/2026
0.53
USD
7,330,000
(173,605)
(3,675)
(177,280)
Republic
of
Philippines,  
10.63%,
3/16/2025
1.00
Quarterly
12/20/2026
0.53
USD
2,200,000
(57,101)
2,955
(54,146)
(383,668)
(494)
(384,162)
$
(192,744)
$
40,676
$
(152,068)
Credit
default
swap
contracts
outstanding
-
sell
protection
as
of
September
30,
2021
:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
RECEIVED
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PAYMENTS
(RECEIPTS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Penerbangan
Malaysia
Bhd.,  
5.63%,
3/15/2016
1.00
%
Quarterly
12/20/2026
0.52
%
USD
600,000
$
15,573
$
(510)
$
15,063
People's
Republic
of
China,  
7.50%,
10/28/2027
1.00
Quarterly
12/20/2026
0.47
USD
2,000,000
56,601
(1,258)
55,343
Republic
of
Indonesia,  
4.13%,
1/15/2025
1.00
Quarterly
12/20/2026
0.82
USD
1,600,000
16,068
(796)
15,272
104
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
REFERENCE
ENTITY
FINANCING
RATE
RECEIVED
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PAYMENTS
(RECEIPTS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Republic
of
Italy,  
6.88%,
9/27/2023
1.00
%
Quarterly
12/20/2026
0.74
%
USD
1,700,000
$
21,386
$
1,907
$
23,293
Russian
Federation,  
2.25%,
3/31/2030
1.00
Quarterly
12/20/2026
0.89
USD
1,700,000
13,734
(3,566)
10,168
123,362
(4,223)
119,139
Republic
of
South
Africa,
5.88%,
9/16/2025
1.00
%
Quarterly
12/20/2026
2.10
%
USD
500,000
$
(24,957)
$
(2,141)
$
(27,098)
Republic
of
Turkey,
11.88%,
1/15/2030
1.00
Quarterly
12/20/2026
4.28
USD
400,000
(53,583)
(5,996)
(59,579)
United
Mexican
States,
4.15%,
3/28/2027
1.00
Quarterly
12/20/2026
1.02
USD
1,700,000
5,132
(6,175)
(1,043)
(73,408)
(14,312)
(87,720)
$
49,954
$
(18,535)
$
31,419
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
September
30,
2021:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
3M
LIBOR
Qtrly
1.25%
Semi
12/15/2026
USD
9,200,000
$
61,532
$
(8,895)
$
52,637
Pay
3M
LIBOR
Qtrly
1.25%
Semi
3/16/2027
USD
3,100,000
28,008
(23,970)
4,038
Pay
6M
BBR
Semi
2.00%
Semi
12/11/2031
AUD
2,200,000
25,884
18,768
44,652
Pay
6M
EURIBOR
Semi
0.25%
Annual
3/16/2032
EUR
9,000,000
259,130
(224,341)
34,789
Pay
6M
LIBOR
Semi
0.00%
Annual
12/16/2026
CHF
2,300,000
37,424
(4,859)
32,565
Receive
1D
SONIA
Annual
0.50%
Annual
3/16/2027
GBP
3,700,000
78,803
–
78,803
Receive
1D
SONIA
Annual
0.75%
Annual
12/15/2031
GBP
6,700,000
(134,622)
298,354
163,732
Receive
3M
BA
Qtrly
2.00%
Semi
12/15/2031
CAD
1,200,000
(7,056)
8,223
1,167
Receive
3M
BA
Qtrly
2.00%
Semi
3/15/2032
CAD
1,800,000
(28,928)
38,090
9,162
Receive
3M
BBR
Qtrly
1.50%
Semi
12/16/2026
NZD
1,300,000
10,247
8,919
19,166
Receive
3M
BBR
Qtrly
2.00%
Semi
3/10/2027
NZD
3,100,000
(24,483)
26,640
2,157
Receive
3M
HIBOR
Qtrly
0.50%
Qtrly
3/20/2024
HKD
2,500,000
18
701
719
Receive
3M
STIBOR
Qtrly
0.50%
Annual
3/17/2027
SEK
25,500,000
(19,087)
37,131
18,044
Receive
6M
BBR
Semi
1.50%
Semi
12/11/2031
AUD
100,000
(1,271)
2,623
1,352
Receive
6M
BBR
Semi
1.50%
Semi
3/11/2032
AUD
2,300,000
1,989
38,870
40,859
Receive
6M
BUBOR
Semi
2.50%
Annual
12/20/2023
HUF
15,700,000
(297)
563
266
Receive
6M
BUBOR
Semi
2.50%
Annual
3/20/2024
HUF
955,500,000
5,363
20,408
25,771
Receive
6M
EURIBOR
Semi
0.50%
Annual
12/15/2023
EUR
6,300,000
2,181
12,023
14,204
Receive
6M
EURIBOR
Semi
0.50%
Annual
3/18/2024
EUR
16,000,000
21,247
29,849
51,096
Receive
6M
EURIBOR
Semi
0.25%
Annual
12/15/2026
EUR
3,900,000
12,836
6,446
19,282
Receive
6M
EURIBOR
Semi
0.25%
Annual
3/16/2027
EUR
11,100,000
(27,404)
107,386
79,982
Receive
6M
LIBOR
Semi
0.00%
Semi
12/16/2026
JPY
961,500,000
10,917
3,169
14,086
Receive
6M
LIBOR
Semi
0.00%
Semi
3/17/2027
JPY
1,145,900,000
(6,603)
26,963
20,360
Receive
6M
NIBOR
Semi
1.50%
Annual
3/17/2027
NOK
44,600,000
12,157
70,681
82,838
Receive
6M
PRIBOR
Semi
2.50%
Annual
3/20/2024
CZK
37,300,000
6,434
9,946
16,380
Receive
6M
WIBOR
Semi
1.00%
Annual
12/20/2023
PLN
7,000,000
386
14,732
15,118
Receive
6M
WIBOR
Semi
1.00%
Annual
3/20/2024
PLN
2,800,000
4,205
5,021
9,226
329,010
523,441
852,451
Pay
1D
SONIA
Annual
0.25%
Annual
12/15/2023
GBP
32,400,000
(77,164)
(210,145)
(287,309)
Pay
1D
SONIA
Annual
0.25%
Annual
3/18/2024
GBP
5,900,000
(64,199)
(1,955)
(66,154)
Pay
1D
SONIA
Annual
0.75%
Annual
3/16/2032
GBP
700,000
(19,106)
111
(18,995)
Pay
1M
TIIE
Monthly
6.50%
Monthly
12/13/2023
MXN
32,600,000
4,627
(8,542)
(3,915)
Pay
1M
TIIE
Monthly
6.50%
Monthly
3/13/2024
MXN
35,200,000
3,370
(14,791)
(11,421)
Pay
3M
BA
Qtrly
1.00%
Semi
12/13/2023
CAD
15,000,000
6,370
(25,990)
(19,620)
Pay
3M
BA
Qtrly
1.00%
Semi
3/14/2024
CAD
12,000,000
(12,643)
(31,566)
(44,209)
Pay
3M
BBR
Qtrly
1.00%
Semi
12/13/2023
NZD
1,000,000
(2,828)
(4,731)
(7,559)
105
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
3M
BBR
Qtrly
1.50%
Semi
12/13/2023
NZD
1,500,000
$
1,701
$
(2,905)
$
(1,204)
Pay
3M
BBR
Qtrly
1.50%
Semi
3/13/2024
NZD
5,100,000
(7,771)
(5,767)
(13,538)
Pay
3M
BBR
Qtrly
1.50%
Semi
3/10/2027
NZD
600,000
(5,576)
(4,667)
(10,243)
Pay
3M
BBR
Qtrly
2.00%
Semi
12/10/2031
NZD
200,000
(3,671)
14
(3,657)
Pay
3M
BBR
Qtrly
2.00%
Semi
3/10/2032
NZD
200,000
(1,485)
(2,835)
(4,320)
Pay
3M
CD_KSDA
Qtrly
1.50%
Qtrly
12/20/2023
KRW
2,248,200,000
1,078
(6,996)
(5,918)
Pay
3M
CD_KSDA
Qtrly
1.50%
Qtrly
3/20/2024
KRW
1,264,100,000
(555)
(4,482)
(5,037)
Pay
3M
JIBAR
Qtrly
5.00%
Qtrly
12/20/2023
ZAR
43,900,000
(1,380)
(7,392)
(8,772)
Pay
3M
JIBAR
Qtrly
5.00%
Qtrly
3/20/2024
ZAR
19,100,000
(3,706)
(7,357)
(11,063)
Pay
3M
LIBOR
Qtrly
0.50%
Semi
3/18/2024
USD
3,100,000
(6,118)
(422)
(6,540)
Pay
3M
STIBOR
Qtrly
0.00%
Annual
3/20/2024
SEK
74,700,000
(32,947)
(4,162)
(37,109)
Pay
3M
STIBOR
Qtrly
0.50%
Annual
3/17/2032
SEK
6,800,000
(12,520)
(23,256)
(35,776)
Pay
6M
BBR
Semi
1.00%
Semi
12/10/2026
AUD
2,800,000
(3,830)
(4,154)
(7,984)
Pay
6M
BBR
Semi
1.00%
Semi
3/11/2027
AUD
8,700,000
3,837
(59,417)
(55,580)
Pay
6M
EURIBOR
Semi
0.00%
Annual
12/15/2031
EUR
3,200,000
(39,153)
(29,759)
(68,912)
Pay
6M
LIBOR
Semi
0.00%
Semi
12/20/2023
JPY
736,400,000
2,458
(4,567)
(2,109)
Pay
6M
LIBOR
Semi
0.00%
Semi
3/21/2024
JPY
1,017,800,000
1,462
(6,238)
(4,776)
Pay
6M
LIBOR
Semi
0.50%
Annual
3/17/2027
CHF
400,000
(2,528)
(3,876)
(6,404)
Pay
6M
LIBOR
Semi
0.00%
Semi
12/17/2031
JPY
334,900,000
(31,097)
(5,431)
(36,528)
Pay
6M
LIBOR
Semi
0.00%
Annual
12/17/2031
CHF
700,000
9,876
(20,143)
(10,267)
Pay
6M
LIBOR
Semi
0.00%
Semi
3/17/2032
JPY
375,200,000
(26,527)
(17,749)
(44,276)
Pay
6M
LIBOR
Semi
0.00%
Annual
3/17/2032
CHF
500,000
1,599
(11,201)
(9,602)
Pay
6M
NIBOR
Semi
1.50%
Annual
3/20/2024
NOK
28,400,000
8,945
(16,113)
(7,168)
Pay
6M
NIBOR
Semi
1.50%
Annual
3/17/2032
NOK
17,600,000
(45,052)
(35,892)
(80,944)
Receive
3M
BA
Qtrly
1.75%
Semi
12/14/2026
CAD
3,900,000
(60,251)
41,132
(19,119)
Receive
3M
BA
Qtrly
1.75%
Semi
3/15/2027
CAD
1,500,000
(13,961)
11,542
(2,419)
Receive
3M
BBR
Qtrly
0.50%
Qtrly
12/07/2023
AUD
17,300,000
(54,660)
15,039
(39,621)
Receive
3M
BBR
Qtrly
0.50%
Qtrly
3/07/2024
AUD
10,600,000
(16,261)
9,508
(6,753)
Receive
3M
LIBOR
Qtrly
0.50%
Semi
12/15/2023
USD
11,000,000
(29,668)
19,629
(10,039)
Receive
3M
LIBOR
Qtrly
1.75%
Semi
12/15/2031
USD
2,400,000
(80,064)
39,934
(40,130)
Receive
3M
LIBOR
Qtrly
1.75%
Semi
3/16/2032
USD
2,300,000
(45,093)
18,873
(26,220)
Receive
3M
STIBOR
Qtrly
1.00%
Annual
3/17/2032
SEK
9,000,000
(6,078)
(633)
(6,711)
Receive
6M
LIBOR
Semi
0.50%
Annual
12/20/2023
CHF
8,900,000
(28,392)
18,003
(10,389)
Receive
6M
LIBOR
Semi
0.50%
Annual
3/20/2024
CHF
3,700,000
(8,416)
7,778
(638)
Receive
6M
WIBOR
Semi
1.50%
Annual
12/20/2023
PLN
6,700,000
(8,529)
6,331
(2,198)
(705,906)
(395,240)
(1,101,146)
$
(376,896)
$
128,201
$
(248,695)
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
106
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
(a)
Floating
rate
indices
at
September
30,
2021
were
as
follows:
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
0.05%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
4.75%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.02%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
0.45%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
0.14%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
3.68%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
1.04%
3
Month
London
Interbank
Offered
Rate
(''LIBOR''):
0.13%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
-0.07%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
0.05%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
1.85%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
-0.53%
6
Month
London
Interbank
Offered
Rate
(''LIBOR''):
0.16%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
0.74%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
1.50%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
0.21%
Futures
contracts
outstanding
as
of
September
30,
2021:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
U.S.
Treasury
10
Year
Note
66
12/2021
USD
$
8,694,469
$
(93,352)
U.S.
Treasury
2
Year
Note
1
12/2021
USD
220,078
(88)
(93,440)
Short
Contracts
Euro-BTP
(2)
12/2021
EUR
(352,254)
428
Euro-Bund
(34)
12/2021
EUR
(6,694,869)
103,620
Euro-OAT
(25)
12/2021
EUR
(4,807,153)
64,969
Long
Gilt
(43)
12/2021
GBP
(7,266,030)
200,015
U.S.
Treasury
5
Year
Note
(15)
12/2021
USD
(1,842,070)
11,155
380,187
$
286,747
Forward
foreign
currency
contracts
outstanding
as
of
September
30,
2021:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
1,003,250
USD
719,694
CITI
12/15/2021
$
5,864
AUD
1,003,248
USD
719,693
JPMC
12/15/2021
5,863
BRL
405,188
USD
73,322
CITI
**
12/15/2021
149
BRL
405,186
USD
73,322
JPMC
**
12/15/2021
149
CAD
201,625
USD
157,844
CITI
12/15/2021
1,339
CAD
49,624
USD
38,486
JPMC
12/15/2021
692
COP
420,000,001
USD
108,317
CITI
**
12/15/2021
1,433
COP
419,999,999
USD
108,317
JPMC
**
12/15/2021
1,433
CZK
250,000
USD
11,338
CITI
12/15/2021
63
CZK
250,000
USD
11,338
JPMC
12/15/2021
63
INR
12,051,751
USD
160,347
CITI
**
12/15/2021
659
INR
12,051,746
USD
160,347
JPMC
**
12/15/2021
659
JPY
3,035,500
USD
27,220
CITI
12/15/2021
73
107
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
JPY
3,035,500
USD
27,220
JPMC
12/15/2021
$
73
NOK
3,722,499
USD
421,587
CITI
12/15/2021
3,980
NOK
3,722,501
USD
421,588
JPMC
12/15/2021
3,980
RUB
32,750,003
USD
436,774
CITI
**
12/15/2021
7,369
RUB
32,749,997
USD
436,775
JPMC
**
12/15/2021
7,369
SEK
1,902,126
USD
215,347
CITI
12/15/2021
2,085
SEK
1,902,124
USD
215,347
JPMC
12/15/2021
2,085
SGD
30,000
USD
22,057
CITI
12/15/2021
34
SGD
30,000
USD
22,057
JPMC
12/15/2021
34
USD
2,870,906
AUD
3,919,137
CITI
12/15/2021
36,557
USD
1,716,795
AUD
2,343,134
JPMC
12/15/2021
22,223
USD
41,368
BRL
221,500
CITI
**
12/15/2021
1,204
USD
41,368
BRL
221,500
JPMC
**
12/15/2021
1,204
USD
3,099,553
CAD
3,908,599
CITI
12/15/2021
13,705
USD
2,946,186
CAD
3,714,595
JPMC
12/15/2021
13,505
USD
1,398,268
CHF
1,285,503
CITI
12/15/2021
16,254
USD
1,398,260
CHF
1,285,497
JPMC
12/15/2021
16,252
USD
25,473
CLP
20,000,000
CITI
**
12/15/2021
972
USD
25,472
CLP
20,000,000
JPMC
**
12/15/2021
971
USD
34,351
COP
130,000,002
CITI
**
12/15/2021
381
USD
34,351
COP
130,000,000
JPMC
**
12/15/2021
381
USD
296,294
CZK
6,450,001
CITI
12/15/2021
2,161
USD
296,293
CZK
6,449,999
JPMC
12/15/2021
2,161
USD
1,718,376
EUR
1,451,558
CITI
12/15/2021
34,335
USD
678,287
EUR
575,546
JPMC
12/15/2021
10,561
USD
837,796
GBP
611,502
CITI
12/15/2021
13,756
USD
837,790
GBP
611,498
JPMC
12/15/2021
13,755
USD
26,451
HUF
8,028,500
CITI
12/15/2021
642
USD
26,451
HUF
8,028,500
JPMC
12/15/2021
642
USD
6,069
IDR
87,500,001
CITI
**
12/15/2021
10
USD
6,069
IDR
87,500,000
JPMC
**
12/15/2021
10
USD
182,677
ILS
588,000
CITI
12/15/2021
163
USD
182,677
ILS
588,000
JPMC
12/15/2021
164
USD
2,152
INR
159,500
CITI
**
12/15/2021
22
USD
2,152
INR
159,500
JPMC
**
12/15/2021
22
USD
3,482,216
JPY
382,285,738
CITI
12/15/2021
45,032
USD
3,117,413
JPY
342,243,730
JPMC
12/15/2021
40,252
USD
303,392
KRW
353,684,500
CITI
**
12/15/2021
5,066
USD
303,392
KRW
353,684,500
JPMC
**
12/15/2021
5,066
USD
255,615
MXN
5,232,500
CITI
12/15/2021
4,819
USD
255,614
MXN
5,232,500
JPMC
12/15/2021
4,818
USD
194,714
NOK
1,692,626
CITI
12/15/2021
1,208
USD
194,714
NOK
1,692,626
JPMC
12/15/2021
1,208
USD
247,333
NZD
355,251
CITI
12/15/2021
2,228
USD
247,332
NZD
355,249
JPMC
12/15/2021
2,228
USD
335,181
PHP
16,950,002
CITI
**
12/15/2021
6,322
USD
335,180
PHP
16,949,998
JPMC
**
12/15/2021
6,322
USD
113,317
PLN
437,000
CITI
12/15/2021
3,468
USD
113,316
PLN
437,000
JPMC
12/15/2021
3,468
USD
263,876
SEK
2,292,500
CITI
12/15/2021
1,821
USD
263,876
SEK
2,292,500
JPMC
12/15/2021
1,820
USD
625,784
SGD
844,378
CITI
12/15/2021
4,011
USD
625,779
SGD
844,372
JPMC
12/15/2021
4,011
USD
65,342
TWD
1,800,000
CITI
**
12/15/2021
369
USD
65,342
TWD
1,800,000
JPMC
**
12/15/2021
369
USD
15,967
ZAR
232,500
CITI
12/15/2021
683
USD
15,967
ZAR
232,500
JPMC
12/15/2021
683
ZAR
1,391,001
USD
89,846
CITI
12/15/2021
1,587
108
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
ZAR
1,390,998
USD
89,846
JPMC
12/15/2021
$
1,587
Total
unrealized
appreciation
395,907
AUD
1,669,252
USD
1,219,351
CITI
12/15/2021
(12,135)
AUD
1,003,250
USD
736,788
JPMC
12/15/2021
(11,230)
BRL
2,926,818
USD
546,806
CITI
**
12/15/2021
(16,099)
BRL
2,926,808
USD
546,805
JPMC
**
12/15/2021
(16,099)
CAD
158,876
USD
125,916
CITI
12/15/2021
(483)
CAD
148,875
USD
118,009
JPMC
12/15/2021
(472)
CLP
75,000,000
USD
95,320
CITI
**
12/15/2021
(3,442)
CLP
75,000,000
USD
95,321
JPMC
**
12/15/2021
(3,442)
COP
65,000,000
USD
17,064
CITI
**
12/15/2021
(79)
COP
65,000,000
USD
17,064
JPMC
**
12/15/2021
(79)
EUR
1,290,502
USD
1,517,239
CITI
12/15/2021
(20,048)
EUR
509,498
USD
598,480
JPMC
12/15/2021
(7,380)
HUF
60,813,500
USD
203,540
CITI
12/15/2021
(8,043)
HUF
60,813,500
USD
203,541
JPMC
12/15/2021
(8,044)
ILS
25,000
USD
7,786
CITI
12/15/2021
(26)
ILS
25,000
USD
7,786
JPMC
12/15/2021
(26)
INR
4,017,253
USD
54,366
CITI
**
12/15/2021
(697)
INR
4,017,250
USD
54,366
JPMC
**
12/15/2021
(697)
JPY
83,830,502
USD
761,941
CITI
12/15/2021
(8,210)
JPY
83,830,498
USD
761,942
JPMC
12/15/2021
(8,211)
KRW
199,205,501
USD
170,460
CITI
**
12/15/2021
(2,434)
KRW
199,205,499
USD
170,460
JPMC
**
12/15/2021
(2,434)
MXN
17,924,503
USD
871,101
CITI
12/15/2021
(11,972)
MXN
17,924,497
USD
871,102
JPMC
12/15/2021
(11,973)
NOK
7,770,500
USD
896,847
CITI
12/15/2021
(8,499)
NOK
7,770,500
USD
896,848
JPMC
12/15/2021
(8,501)
NZD
474,000
USD
331,041
CITI
12/15/2021
(4,005)
NZD
474,000
USD
331,041
JPMC
12/15/2021
(4,005)
PLN
451,500
USD
117,025
CITI
12/15/2021
(3,532)
PLN
451,500
USD
117,025
JPMC
12/15/2021
(3,532)
SEK
5,706,377
USD
657,843
CITI
12/15/2021
(5,547)
SEK
5,706,373
USD
657,844
JPMC
12/15/2021
(5,548)
SGD
200,000
USD
148,550
CITI
12/15/2021
(1,276)
SGD
200,000
USD
148,550
JPMC
12/15/2021
(1,277)
USD
1,347,698
AUD
1,878,664
CITI
12/15/2021
(10,967)
USD
1,347,695
AUD
1,878,662
JPMC
12/15/2021
(10,968)
USD
1,561,944
CAD
1,995,032
CITI
12/15/2021
(13,139)
USD
821,289
CAD
1,055,032
JPMC
12/15/2021
(11,662)
USD
61,647
CHF
57,500
CITI
12/15/2021
(170)
USD
61,647
CHF
57,500
JPMC
12/15/2021
(170)
USD
100,319
COP
390,000,000
CITI
**
12/15/2021
(1,592)
USD
100,318
COP
389,999,998
JPMC
**
12/15/2021
(1,593)
USD
18,071
IDR
262,499,999
CITI
**
12/15/2021
(106)
USD
18,071
IDR
262,500,000
JPMC
**
12/15/2021
(106)
USD
164,546
ILS
532,000
CITI
12/15/2021
(585)
USD
164,546
ILS
532,000
JPMC
12/15/2021
(586)
USD
47,912
INR
3,598,000
CITI
**
12/15/2021
(156)
USD
47,912
INR
3,598,000
JPMC
**
12/15/2021
(156)
USD
8,418
KRW
10,000,000
CITI
**
12/15/2021
(17)
USD
8,418
KRW
10,000,000
JPMC
**
12/15/2021
(17)
USD
566,162
NOK
5,077,873
CITI
12/15/2021
(14,356)
USD
566,161
NOK
5,077,875
JPMC
12/15/2021
(14,357)
USD
242,848
NZD
355,251
CITI
12/15/2021
(2,257)
USD
242,893
NZD
355,249
JPMC
12/15/2021
(2,212)
USD
16,905
SEK
148,500
CITI
12/15/2021
(70)
USD
16,905
SEK
148,500
JPMC
12/15/2021
(70)
109
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
CORE
PLUS
BOND
FUND
Schedule
of
Investments
September
30,
2021
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
88,401
SGD
120,626
CITI
12/15/2021
$
(424)
USD
88,399
SGD
120,624
JPMC
12/15/2021
(424)
USD
21,560
TWD
600,000
CITI
**
12/15/2021
(97)
USD
21,560
TWD
600,000
JPMC
**
12/15/2021
(97)
USD
22,152
ZAR
339,000
CITI
12/15/2021
(131)
USD
22,152
ZAR
339,000
JPMC
12/15/2021
(131)
ZAR
3,060,002
USD
207,457
CITI
12/15/2021
(6,314)
ZAR
3,059,999
USD
207,472
JPMC
12/15/2021
(6,329)
Total
unrealized
depreciation
(298,736)
Net
unrealized
appreciation
$
97,171
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
September
30,
2021
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
CITG
Cash
$
–
$
1,131,203
$
1,131,203
CITI
Cash
(100,000)
–
(100,000)
Investment
Companies
240,016
–
240,016
CRSU
Cash
–
125,757
125,757
JPMC
Cash
476,325
–
476,325
JPMS
Cash
–
2,074,501
2,074,501
MSCS
Cash
110,028
–
110,028
110
Schedule
of
Investments
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Abbreviations
ADR
-
American
Depositary
Receipt
GDR
-
Global
Depositary
Receipt
NVDR
-
Non-Voting
Depositary
Receipt
PJSC
-
Public
Joint
Stock
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference.  Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
TBA
-
To
Be
Announced;
Security
is
subject
to
delayed
delivery.
UMBS
-
Uniform
Mortgage-Backed
Securities
Currencies
AUD
-
Australian
Dollar
BRL
-
Brazilian
Real
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
CLP
-
Chilean
Peso
COP
-
Colombian
Peso
CZK
-
Czech
Republic
Koruna
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
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
PHP
-
Philippine
Peso
PLN
-
Poland
Zloty
RUB
-
Russian
Ruble
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
TWD
-
New
Taiwan
Dollar
USD
-
United
States
Dollar
ZAR
-
South
African
Rand
The
following
abbreviations
are
used
for
counterparty
descriptions:
BARC
-
Barclays
Capital,
Inc.
CITG
-
Citigroup
Global
Markets,
Inc.
CITI
-
Citibank
NA
CRSU
-
Credit
Suisse
Securities
(USA)
LLC
GSCO
-
Goldman
Sachs
&
Co.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
MSCS
-
Morgan
Stanley
Capital
Services
LLC
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
3
Month
London
Interbank
Offered
Rate
(“LIBOR”)
-
USD:
0.13%
6
Month
London
Interbank
Offered
Rate
(“LIBOR”)
-
CHF:
-0.71%
6
Month
London
Interbank
Offered
Rate
(“LIBOR”)
-
JPY:
-0.04%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
0.01%
Euro
Short-Term
Rate
("ESTR"):
-0.58%
Tokyo
Overnight
Average
Rate
(“TONAR”): -0.05%
Statements
of
Assets
and
Liabilities
111
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
745,124,597
$
82,739,633
$
378,702,450
$
465,969,167
Investments
in
securities
of
unaffiliated
issuers,
at
value*
..........
$
1,298,932,206
$
131,284,296
$
497,727,238
$
639,290,225
Cash
.................................................
—
—
8,891
—
Cash
denominated
in
foreign
currencies
‡
......................
—
—
1,754,685
3,128,860
Deposits
with
brokers
for
futures
contracts
.....................
2,668,156
292,579
1,366,792
1,895,532
Variation
margin
on
futures
contracts
.........................
—
—
—
232,197
Receivables:
Foreign
tax
reclaims
...................................
—
—
1,453,934
10,010
Dividends
...........................................
1,014,833
55,243
2,057,735
1,822,079
Capital
shares
sold
....................................
463,973
152,869
167,597
148,593
Prepaid
expenses
.......................................
39,445
25,524
30,145
22,071
Total
Assets
1,303,118,613
131,810,511
504,567,017
646,549,567
LIABILITIES:
Due
to
custodian
........................................
—
—
—
1,978
Variation
margin
on
futures
contracts
.........................
547,999
42,482
253,680
—
Payables:
–
–
–
–
Securities
purchased
...................................
—
—
647
604
Collateral
received
on
securities
loaned
.....................
1,017,901
1,057,300
—
1,049,169
Accrued
investment
advisory
fees
.........................
296,198
42,546
122,123
207,644
Accrued
distribution
fees—Class
N
........................
1,856
1,688
891
824
Capital
shares
redeemed
...............................
832,292
52,709
73,373
184,506
Deferred
foreign
capital
gains
tax
.........................
—
—
—
1,622,361
Other
accrued
expenses
and
liabilities
........................
146,313
54,268
92,475
203,830
Total
Liabilities
2,842,559
1,250,993
543,189
3,270,916
Net
Assets
$
1,300,276,054
$
130,559,518
$
504,023,828
$
643,278,651
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
611,804,394
$
75,624,055
$
391,001,942
$
480,471,894
Total
distributable
earnings
(loss)
...........................
688,471,660
54,935,463
113,021,886
162,806,757
Net
Assets
$
1,300,276,054
$
130,559,518
$
504,023,828
$
643,278,651
NET
ASSETS:
Class
I
...............................................
$
283,305,495
$
67,829,417
$
81,680,100
$
66,600,733
Class
N
...............................................
8,726,129
8,122,839
4,184,110
3,884,476
Class
R6
..............................................
1,008,244,430
54,607,262
418,159,618
572,793,442
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
13,594,164
3,689,600
6,225,267
5,460,518
Class
N
...............................................
416,504
443,339
319,890
317,900
Class
R6
..............................................
48,411,191
2,966,042
31,912,193
46,939,594
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
20.84
$
18.38
$
13.12
$
12.20
Class
N
...............................................
$
20.95
$
18.32
$
13.08
$
12.22
Class
R6
..............................................
$
20.83
$
18.41
$
13.10
$
12.20
*
Includes
market
value
of
securities
out
on
loan
................
$
997,496
$
1,016,504
$
—
$
995,922
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
—
$
—
$
1,763,043
$
3,141,890
Statements
of
Assets
and
Liabilities
112
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
735,521,155
$
203,126,646
$
425,423,674
$
3,490,299,021
Investments
in
securities
of
unaffiliated
issuers,
at
value*
..........
$
1,161,488,422
$
286,900,985
$
599,002,068
$
5,677,271,044
Cash
.................................................
31
21,271
15,753
—
Cash
denominated
in
foreign
currencies
‡
......................
398
—
2,121,218
—
Deposits
with
brokers
for
futures
contracts
.....................
2,695,447
729,956
1,425,298
9,246,159
Receivables:
Foreign
tax
reclaims
...................................
—
—
1,374,941
—
Dividends
...........................................
487,545
82,288
1,146,923
3,849,542
Capital
shares
sold
....................................
450,291
288,353
132,828
1,916,110
Prepaid
expenses
.......................................
40,396
30,460
34,238
117,179
Total
Assets
1,165,162,530
288,053,313
605,253,267
5,692,400,034
LIABILITIES:
Variation
margin
on
futures
contracts
.........................
553,553
106,641
88,026
1,899,980
Payables:
–
–
–
–
Securities
purchased
...................................
—
21,273
993
—
Collateral
received
on
securities
loaned
.....................
2,954,257
10,053,554
3,529,683
3,066,167
Accrued
investment
advisory
fees
.........................
281,745
87,754
156,953
1,266,364
Accrued
distribution
fees—Class
N
........................
12,359
1,241
14,730
93,011
Capital
shares
redeemed
...............................
482,935
91,074
117,539
5,319,455
Other
accrued
expenses
and
liabilities
........................
185,109
78,689
140,394
822,544
Total
Liabilities
4,469,958
10,440,226
4,048,318
12,467,521
Net
Assets
$
1,160,692,572
$
277,613,087
$
601,204,949
$
5,679,932,513
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
564,913,842
$
139,770,400
$
438,777,920
$
3,371,040,510
Total
distributable
earnings
(loss)
...........................
595,778,730
137,842,687
162,427,029
2,308,892,003
Net
Assets
$
1,160,692,572
$
277,613,087
$
601,204,949
$
5,679,932,513
NET
ASSETS:
Class
I
...............................................
$
794,697,790
$
210,181,224
$
332,293,276
$
3,903,176,333
Class
N
...............................................
58,375,929
5,907,912
68,274,871
432,165,298
Class
R6
..............................................
307,618,853
61,523,951
200,636,802
1,344,590,882
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
29,516,085
8,105,017
17,386,714
131,882,887
Class
N
...............................................
2,168,791
228,039
3,584,618
14,651,144
Class
R6
..............................................
11,466,385
2,380,310
10,513,011
45,467,132
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
26.92
$
25.93
$
19.11
$
29.60
Class
N
...............................................
$
26.92
$
25.91
$
19.05
$
29.50
Class
R6
..............................................
$
26.83
$
25.85
$
19.08
$
29.57
*
Includes
market
value
of
securities
out
on
loan
................
$
2,890,632
$
9,647,809
$
3,364,513
$
3,009,000
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
417
$
—
$
2,126,175
$
—
Statements
of
Assets
and
Liabilities
113
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
217,151,446
$
259,453,520
$
88,507,207
$
83,140,483
Investments
in
securities
of
unaffiliated
issuers,
at
value*
..........
$
269,915,360
$
318,804,763
$
100,097,231
$
82,779,431
Cash
.................................................
28,788
—
825
—
Cash
denominated
in
foreign
currencies
‡
......................
906,750
971,153
523,187
47,846
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
—
2,186,294
721,493
395,907
Unrealized
appreciation
on
OTC
swaps
.......................
—
119,691
18,561
—
Due
from
broker
........................................
—
8,028
257,805
586,353
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
(receipts)
$—,
$—,
$—
and
$(519,686),
respectively)
............
—
—
—
2,725,211
Deposits
with
brokers
for
futures
contracts
.....................
693,426
10,462,577
3,704,950
410,024
Variation
margin
on
centrally
cleared
swaps
....................
—
—
—
64,797
Variation
margin
on
futures
contracts
.........................
—
193,418
—
48,832
Receivables:
Securities
sold
.......................................
—
99,935
10,404
1,496,623
Securities
sold—delayed
delivery
securities
..................
—
—
—
578,238
Foreign
tax
reclaims
...................................
485,019
437,520
840,472
—
Dividends
and
interest
..................................
796,064
486,625
297,234
346,921
Capital
shares
sold
....................................
190,135
49,135
1,327
5,932
Due
from
Investment
Adviser
.............................
—
—
—
280
Prepaid
expenses
.......................................
33,834
19,032
30,609
22,979
Total
Assets
273,049,376
333,838,171
106,504,098
89,509,374
LIABILITIES:
TBA
sale
commitments,
at
value
(proceeds  $–,
$–,
$–
and
$578,238)
—
—
—
578,698
Due
to
broker
..........................................
—
102,578
134,436
100,000
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
—
2,567,882
511,609
298,736
Unrealized
depreciation
on
OTC
swaps
.......................
—
496,387
44,713
—
Variation
margin
on
futures
contracts
.........................
42,692
—
189,938
—
Payables:
–
–
–
–
Securities
purchased
...................................
599
135,153
19,790
1,297,483
Securities
purchased—delayed
delivery
securities
.............
—
—
—
20,173,965
Collateral
received
on
securities
loaned
.....................
1,201,393
—
—
211,157
Accrued
investment
advisory
fees
.........................
57,401
151,920
26,902
—
Accrued
distribution
fees—Class
N
........................
1,962
1,627
138
130
Capital
shares
redeemed
...............................
613,099
64
19,068
2,969
Other
accrued
expenses
and
liabilities
........................
83,045
88,141
87,714
72,533
Total
Liabilities
2,000,191
3,543,752
1,034,308
22,735,671
Net
Assets
$
271,049,185
$
330,294,419
$
105,469,790
$
66,773,703
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
220,159,803
$
238,102,787
$
100,235,651
$
65,674,945
Total
distributable
earnings
(loss)
...........................
50,889,382
92,191,632
5,234,139
1,098,758
Net
Assets
$
271,049,185
$
330,294,419
$
105,469,790
$
66,773,703
NET
ASSETS:
Class
I
...............................................
$
117,802,874
$
16,256,024
$
56,319,043
$
38,995,314
Class
N
...............................................
9,129,164
7,706,118
639,602
624,680
Class
R6
..............................................
144,117,147
306,332,277
48,511,145
27,153,709
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
7,810,200
1,555,962
5,255,403
3,861,797
Class
N
...............................................
585,280
746,740
58,215
61,967
Class
R6
..............................................
9,556,811
29,121,791
4,216,645
2,688,745
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
15.08
$
10.45
$
10.72
$
10.10
Class
N
...............................................
$
15.60
$
10.32
$
10.99
$
10.08
Class
R6
..............................................
$
15.08
$
10.52
$
11.50
$
10.10
*
Includes
market
value
of
securities
out
on
loan
................
$
1,145,171
$
—
$
—
$
206,887
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
912,197
$
973,454
$
525,615
$
48,316
Statements
of
Operations
114
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MULTI-
STYLE
FUND
AQR
SMALL
CAP
MULTI-
STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
19,888,023
$
1,342,489
$
13,679,772
$
16,818,291
Securities
lending
income,
net
..............................
11,074
47,615
2,232
16,339
Other
income
(Note
3)
....................................
—
266,684
17,082
25,805
Total
Income
19,899,097
1,656,788
13,699,086
16,860,435
EXPENSES:
Investment
advisory
fees
..................................
3,230,442
615,133
1,653,328
3,066,320
Custody
fees
...........................................
46,572
30,214
77,591
313,233
Administration
&
accounting
fees
............................
268,663
28,605
84,553
111,497
Legal
fees
.............................................
43,804
3,720
13,171
18,674
Audit
&
tax
fees
.........................................
52,718
62,805
88,344
97,416
Shareholder
reporting
fees
................................
66,437
21,245
50,232
44,154
Transfer
agent
fees
......................................
294,579
84,477
98,169
75,400
Trustee
fees
...........................................
64,431
7,162
20,452
26,895
Distribution
fees—Class
N
.................................
28,610
20,862
13,029
7,258
Interest
expense
........................................
63,005
9,912
18,327
24,559
Interfund
lending
expense
.................................
532
—
—
—
Recoupment
of
waiver
and/or
reimbursement
..................
28,290
—
—
—
Registration
fees
........................................
88,114
59,030
67,538
58,718
Reorganization
expense
(Note
2)
...........................
50,212
5,204
12,167
47,764
Tax
expense
(Note
3)
....................................
—
150,861
3,097
8,260
Other
expenses
........................................
31,826
—
11,834
29,954
Total
Expenses
4,358,235
1,099,230
2,211,832
3,930,102
Less
expense
reimbursements
.............................
(63,815)
(153,798)
(220,291)
(445,061)
Net
Expenses
4,294,420
945,432
1,991,541
3,485,041
Net
Investment
Income
(Loss)
15,604,677
711,356
11,707,545
13,375,394
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
145,153,872
49,017,443
15,073,542
3,505,358
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
89,875
(352,813)
Expiration
or
closing
of
futures
contracts
....................
18,937,232
771,491
4,169,192
5,662,756
Net
realized
gain
(loss)
164,091,104
49,788,934
19,332,609
8,815,301
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
(net
changes
in
deferred
capital
gain
country
tax
accrual
s
of
$—,
$—,
$—
and
$
1,622,361
)
162,567,018
7,728,239
42,486,107
25,996,833
Foreign
currency
and
foreign
currency
transactions
............
—
—
(76,616)
(39,486)
Futures
contracts
.....................................
(1,648,199)
19,966
(838,823)
(993,042)
Net
change
in
unrealized
appreciation
(depreciation)
160,918,819
7,748,205
41,570,668
24,964,305
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
325,009,923
57,537,139
60,903,277
33,779,606
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
340,614,600
$
58,248,495
$
72,610,822
$
47,155,000
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
24,356
$
5,100
$
1,352,613
$
1,925,307
Statements
of
Operations
115
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
8,090,800
$
1,357,282
$
10,501,035
$
90,577,335
Affiliated
issuers
......................................
—
—
—
44,253
Securities
lending
income,
net
..............................
20,300
242,568
4,700
19,816
Other
income
(Note
3)
....................................
—
—
—
43,940
Non-cash
dividend
income
from
non-affiliates
..................
—
—
764,356
—
Total
Income
8,111,100
1,599,850
11,270,091
90,685,344
EXPENSES:
Investment
advisory
fees
..................................
2,480,301
1,178,820
2,135,488
15,078,989
Custody
fees
...........................................
41,281
33,325
99,401
162,862
Administration
&
accounting
fees
............................
205,514
54,489
110,835
1,269,490
Legal
fees
.............................................
39,568
15,736
18,528
229,705
Audit
&
tax
fees
.........................................
54,146
59,339
83,497
48,375
Shareholder
reporting
fees
................................
57,418
37,074
50,923
262,944
Transfer
agent
fees
......................................
769,752
215,261
394,637
3,595,998
Trustee
fees
...........................................
49,246
13,712
27,090
304,507
Distribution
fees—Class
N
.................................
140,215
14,648
170,703
1,154,696
Interest
expense
........................................
44,867
12,472
23,875
269,965
Recoupment
of
waiver
and/or
reimbursement
..................
37,588
—
—
110,257
Registration
fees
........................................
73,023
60,194
61,494
186,201
Reorganization
expense
(Note
2)
...........................
42,542
10,910
21,170
—
Tax
expense
(Note
3)
....................................
—
—
—
19,146
Other
expenses
........................................
11,794
1,788
19,104
163,711
Total
Expenses
4,047,255
1,707,768
3,216,745
22,856,846
Less
expense
reimbursements
.............................
(67,214)
(158,046)
(227,818)
(14,701)
Net
Expenses
3,980,041
1,549,722
2,988,927
22,842,145
Net
Investment
Income
(Loss)
4,131,059
50,128
8,281,164
67,843,199
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
186,617,519
61,106,621
30,497,630
117,789,135
Transactions
in
investment
securities
of
affiliated
issuers
........
—
—
—
(66,680)
Distributions
of
capital
gains
received
from
affiliated
issuers
......
—
—
—
29,246
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
—
—
(28,122)
—
Expiration
or
closing
of
futures
contracts
....................
7,813,111
2,409,241
4,082,216
68,185,633
Net
realized
gain
(loss)
194,430,630
63,515,862
34,551,724
185,937,334
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
.................
49,934,702
12,385,791
44,394,631
886,700,367
Investment
securities
of
affiliated
issuers
...................
—
—
—
37,199
Foreign
currency
and
foreign
currency
transactions
............
(4)
—
(52,705)
—
Futures
contracts
.....................................
(1,846,125)
(35,883)
(627,066)
(11,597,714)
Net
change
in
unrealized
appreciation
(depreciation)
48,088,573
12,349,908
43,714,860
875,139,852
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
242,519,203
75,865,770
78,266,584
1,061,077,186
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
246,650,262
$
75,915,898
$
86,547,748
$
1,128,920,385
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
556
$
5,630
$
1,056,356
$
7,545
Statements
of
Operations
116
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
6,473,852
$
7,249,912
$
3,492,266
$
2,141
Interest
income
†
........................................
—
—
—
1,250,303
Securities
lending
income,
net
..............................
988
2,615
887
1,325
European
U
nion
tax
reclaims
...............................
—
—
186,726
—
Total
Income
6,474,840
7,252,527
3,679,879
1,253,769
EXPENSES:
Investment
advisory
fees
..................................
1,009,243
2,078,756
781,614
286,327
Custody
fees
...........................................
43,167
61,146
73,981
22,900
Administration
&
accounting
fees
............................
52,577
72,468
25,313
19,237
Legal
fees
.............................................
8,733
32,800
13,343
7,891
Audit
&
tax
fees
.........................................
78,589
95,614
98,700
91,107
Shareholder
reporting
fees
................................
21,931
22,395
17,515
17,674
Transfer
agent
fees
......................................
163,722
45,772
76,510
67,031
Trustee
fees
...........................................
13,446
18,230
6,911
5,803
Distribution
fees—Class
N
.................................
24,359
17,311
6,857
1,590
Interest
expense
........................................
11,096
15,897
5,787
4,362
Interfund
lending
expense
.................................
12
2,710
—
79
Recoupment
of
waiver
and/or
reimbursement
..................
—
—
689
—
Registration
fees
........................................
78,507
74,408
52,181
58,278
Other
expenses
........................................
12,115
13,085
9,216
28,937
Total
Expenses
1,517,497
2,550,592
1,168,617
611,216
Less
expense
reimbursements
.............................
(200,091)
(65,326)
(184,515)
(218,340)
Net
Expenses
1,317,406
2,485,266
984,102
392,876
Net
Investment
Income
(Loss)
5,157,434
4,767,261
2,695,777
860,893
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
397,577
55,848,019
20,029,924
2,864,928
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
85,168
69,094
49,745
(54,867)
Settlement
of
forward
foreign
currency
contracts
..............
—
(3,681,779)
(1,740,367)
387,472
Expiration
or
closing
of
futures
contracts
....................
2,261,807
5,684,571
2,196,550
(326,377)
TBA
sale
commitments
.................................
—
—
—
181,373
Expiration
or
closing
of
swap
contracts
.....................
—
1,474,955
302,940
(1,442,965)
Net
realized
gain
(loss)
2,744,552
59,394,860
20,838,792
1,609,564
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
.................
26,866,536
9,398,480
(1,195,097)
(5,167,329)
Foreign
currency
and
foreign
currency
transactions
............
(29,584)
(61,610)
(109,679)
(24,102)
Forward
foreign
currency
exchange
contracts
................
—
(344,037)
825,996
(161,743)
Futures
contracts
.....................................
(276,815)
(1,984,652)
(622,932)
532,431
TBA
sale
commitments
.................................
—
—
—
(236)
Swap
contracts
.......................................
—
(725,880)
(208,858)
62,296
Net
change
in
unrealized
appreciation
(depreciation)
26,560,137
6,282,301
(1,310,570)
(4,758,683)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
29,304,689
65,677,161
19,528,222
(3,149,119)
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
34,462,123
$
70,444,422
$
22,223,999
$
(2,288,226)
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
663,243
$
325,303
$
273,848
$
5,864
Statements
of
Changes
in
Net
Assets
(Continued)
118
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
15,604,677
$
17,393,006
$
711,356
$
2,701,748
Net
realized
gain
(loss)
.............................
164,091,104
102,362,594
49,788,934
(30,755,716)
Net
change
in
unrealized
appreciation
(depreciation)
.......
160,918,819
(16,484,239)
7,748,205
(22,838,880)
Net increase
(decrease)
in
net
assets
resulting
from
operations
340,614,600
103,271,361
58,248,495
(50,892,848)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(20,406,150)
(16,769,547)
(834,038)
(421,558)
Class
N
.........................................
(977,346)
(476,407)
(105,567)
(38,224)
Class
R6
........................................
(84,221,823)
(54,431,358)
(1,134,309)
(5,527,052)
Total
distributions
(105,605,319)
(71,677,312)
(2,073,914)
(5,986,834)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
38,512,425
99,827,688
12,193,955
24,434,199
Issued
in
reorganization
(Note
2)
......................
91,755,938
—
18,721,330
—
Reinvestment
of
distributions
.........................
18,768,314
15,867,380
832,673
421,047
Cost
of
shares
redeemed
...........................
(131,560,263)
(264,274,096)
(20,700,020)
(28,771,236)
Net
increase
(decrease)
from
capital
transactions
17,476,414
(148,579,028)
11,047,938
(3,915,990)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
2,425,945
3,094,023
1,319,667
1,357,442
Issued
in
reorganization
(Note
2)
......................
2,638,888
—
4,711,660
—
Reinvestment
of
distributions
.........................
974,523
475,237
104,211
37,767
Cost
of
shares
redeemed
...........................
(10,226,973)
(53,004,632)
(5,753,012)
(4,625,405)
Net
increase
(decrease)
from
capital
transactions
(4,187,617)
(49,435,372)
382,526
(3,230,196)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
135,009,131
181,590,919
2,799,317
55,627,123
Issued
in
reorganization
(Note
2)
......................
219,637,808
—
3,460,988
—
Reinvestment
of
distributions
.........................
83,717,640
54,151,298
1,067,293
5,486,249
Cost
of
shares
redeemed
...........................
(479,568,452)
(423,192,553)
(202,360,598)
(291,256,624)
Net
increase
(decrease)
from
capital
transactions
(41,203,873)
(187,450,336)
(195,033,000)
(230,143,252)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(27,915,076)
(385,464,736)
(183,602,536)
(237,289,438)
Total
increase
(decrease)
in
net
assets
207,094,205
(353,870,687)
(127,427,955)
(294,169,120)
NET
ASSETS:
Beginning
of
period
................................
1,093,181,849
1,447,052,536
257,987,473
552,156,593
End
of
period
...................................
$
1,300,276,054
$
1,093,181,849
$
130,559,518
$
257,987,473
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
119
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MULTI-STYLE
FUND
AQR
SMALL
CAP
MULTI-STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
12,397,274
21,495,275
3,161,294
3,421,056
Shares
sold
.....................................
1,954,097
5,987,637
727,423
2,225,182
Shares
issued
in
reorganization
(Note
2)
................
4,921,526
—
983,402
—
Shares
issued
on
reinvestment
of
distributions
...........
1,056,180
920,916
53,429
31,421
Shares
redeemed
.................................
(6,734,913)
(16,006,554)
(1,235,948)
(2,516,365)
Shares
outstanding,
end
of
period
13,594,164
12,397,274
3,689,600
3,161,294
CLASS
N
Shares
outstanding,
beginning
of
period
................
602,833
3,426,131
440,172
675,817
Shares
sold
.....................................
124,349
189,856
75,058
128,713
Shares
issued
in
reorganization
(Note
2)
................
140,591
—
247,991
—
Shares
issued
on
reinvestment
of
distributions
...........
54,443
27,391
6,692
2,823
Shares
redeemed
.................................
(505,712)
(3,040,545)
(326,574)
(367,181)
Shares
outstanding,
end
of
period
416,504
602,833
443,339
440,172
CLASS
R6
Shares
outstanding,
beginning
of
period
................
49,015,867
61,063,089
17,263,343
40,608,465
Shares
sold
.....................................
7,074,389
11,401,642
180,312
4,860,257
Shares
issued
in
reorganization
(Note
2)
................
11,795,167
—
181,631
—
Shares
issued
on
reinvestment
of
distributions
...........
4,719,145
3,146,502
68,492
409,116
Shares
redeemed
.................................
(24,193,377)
(26,595,366)
(14,727,736)
(28,614,495)
Shares
outstanding,
end
of
period
48,411,191
49,015,867
2,966,042
17,263,343
Statements
of
Changes
in
Net
Assets
(Continued)
120
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
11,707,545
$
5,192,007
$
13,375,394
$
6,068,360
Net
realized
gain
(loss)
.............................
19,332,609
1,436,369
8,815,301
(
11,035,221
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
41,570,668
(
4,575,590
)
24,964,305
37,215,968
Net increase
(decrease)
in
net
assets
resulting
from
operations
72,610,822
2,052,786
47,155,000
32,249,107
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
941,639
)
(
1,291,631
)
(
268,251
)
(
849,596
)
Class
N
.........................................
(
73,097
)
(
120,637
)
(
13,670
)
(
14,694
)
Class
R6
........................................
(
3,966,559
)
(
6,615,889
)
(
6,077,241
)
(
8,051,401
)
Total
distributions
(
4,981,295
)
(
8,028,157
)
(
6,359,162
)
(
8,915,691
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
19,134,903
24,429,111
15,122,529
13,394,755
Issued
in
reorganization
(Note
2)
......................
21,564,516
—
45,381,580
—
Reinvestment
of
distributions
.........................
939,906
1,289,616
268,251
847,261
Cost
of
shares
redeemed
...........................
(
22,220,170
)
(
25,792,113
)
(
14,438,032
)
(
30,828,714
)
Net
increase
(decrease)
from
capital
transactions
19,419,155
(
73,386
)
46,334,328
(
16,586,698
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
605,767
1,163,714
431,443
350,085
Issued
in
reorganization
(Note
2)
......................
1,430,851
—
3,778,398
—
Reinvestment
of
distributions
.........................
72,458
119,425
13,670
14,694
Cost
of
shares
redeemed
...........................
(
3,156,898
)
(
1,286,609
)
(
1,191,148
)
(
246,880
)
Net
increase
(decrease)
from
capital
transactions
(
1,047,822
)
(
3,470
)
3,032,363
117,899
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
34,485,809
76,702,692
48,563,950
41,933,645
Issued
in
reorganization
(Note
2)
......................
189,245,491
—
204,896,221
—
Reinvestment
of
distributions
.........................
3,916,431
6,524,144
5,980,271
7,997,480
Cost
of
shares
redeemed
...........................
(
55,398,505
)
(
103,741,371
)
(
47,892,850
)
(
57,821,480
)
Net
increase
(decrease)
from
capital
transactions
172,249,226
(
20,514,535
)
211,547,592
(
7,890,355
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
190,620,559
(
20,591,391
)
260,914,283
(
24,359,154
)
Total
increase
(decrease)
in
net
assets
258,250,086
(
26,566,762
)
301,710,121
(
1,025,738
)
NET
ASSETS:
Beginning
of
period
................................
245,773,742
272,340,504
341,568,530
342,594,268
End
of
period
...................................
$
504,023,828
$
245,773,742
$
643,278,651
$
341,568,530
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
121
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
4,646,854
4,539,084
1,823,270
3,766,704
Shares
sold
.....................................
1,523,503
2,391,136
1,210,655
1,395,627
Shares
issued
in
reorganization
(Note
2)
................
1,734,332
—
3,558,865
—
Shares
issued
on
reinvestment
of
distributions
...........
79,721
111,655
22,947
80,845
Shares
redeemed
.................................
(
1,759,143
)
(
2,395,021
)
(
1,155,219
)
(
3,419,906
)
Shares
outstanding,
end
of
period
6,225,267
4,646,854
5,460,518
1,823,270
CLASS
N
Shares
outstanding,
beginning
of
period
................
389,023
386,367
81,779
69,305
Shares
sold
.....................................
47,365
125,128
34,177
37,451
Shares
issued
in
reorganization
(Note
2)
................
115,272
—
295,342
—
Shares
issued
on
reinvestment
of
distributions
...........
6,151
10,349
1,165
1,395
Shares
redeemed
.................................
(
237,921
)
(
132,821
)
(
94,563
)
(
26,372
)
Shares
outstanding,
end
of
period
319,890
389,023
317,900
81,779
CLASS
R6
Shares
outstanding,
beginning
of
period
................
17,983,584
19,726,567
30,383,517
31,270,615
Shares
sold
.....................................
2,729,631
7,668,265
3,803,849
4,775,683
Shares
issued
in
reorganization
(Note
2)
................
15,248,944
—
16,069,284
—
Shares
issued
on
reinvestment
of
distributions
...........
332,747
565,841
511,572
763,118
Shares
redeemed
.................................
(
4,382,713
)
(
9,977,089
)
(
3,828,628
)
(
6,425,899
)
Shares
outstanding,
end
of
period
31,912,193
17,983,584
46,939,594
30,383,517
Statements
of
Changes
in
Net
Assets
(Continued)
122
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MOMENT
UM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
4,131,059
$
7,854,867
$
50,128
$
1,155,336
Net
realized
gain
(loss)
.............................
194,430,630
120,431,503
63,515,862
8,360,593
Net
change
in
unrealized
appreciation
(depreciation)
.......
48,088,573
11,918,793
12,349,908
6,196,536
Net increase
(decrease)
in
net
assets
resulting
from
operations
246,650,262
140,205,163
75,915,898
15,712,465
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(91,796,791)
(63,057,396)
(10,072,275)
(8,734,431)
Class
N
.........................................
(7,669,340)
(5,693,899)
(266,221)
(195,066)
Class
R6
........................................
(22,346,322)
(19,940,890)
(3,705,630)
(2,547,311)
Total
distributions
(121,812,453)
(88,692,185)
(14,044,126)
(11,476,808)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
91,508,816
98,819,498
22,484,037
25,062,536
Issued
in
reorganization
(Note
2)
......................
156,869,586
—
54,888,450
—
Reinvestment
of
distributions
.........................
91,699,560
62,672,243
10,061,786
8,728,270
Cost
of
shares
redeemed
...........................
(249,384,346)
(267,572,521)
(82,966,538)
(79,646,866)
Net
increase
(decrease)
from
capital
transactions
90,693,616
(106,080,780)
4,467,735
(45,856,060)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
9,064,424
9,037,147
825,407
1,593,835
Issued
in
reorganization
(Note
2)
......................
6,361,522
—
3,793,173
—
Reinvestment
of
distributions
.........................
7,669,310
5,693,193
266,221
195,066
Cost
of
shares
redeemed
...........................
(17,549,529)
(37,651,246)
(3,706,845)
(2,764,537)
Net
increase
(decrease)
from
capital
transactions
5,545,727
(22,920,906)
1,177,956
(975,636)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
71,143,856
29,011,109
17,333,896
19,971,971
Issued
in
reorganization
(Note
2)
......................
117,196,343
—
5,853,310
—
Reinvestment
of
distributions
.........................
22,131,319
19,918,037
3,641,462
2,547,310
Cost
of
shares
redeemed
...........................
(50,179,894)
(140,085,323)
(23,533,340)
(33,489,848)
Net
increase
(decrease)
from
capital
transactions
160,291,624
(91,156,177)
3,295,328
(10,970,567)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
256,530,967
(220,157,863)
8,941,019
(57,802,263)
Total
increase
(decrease)
in
net
assets
381,368,776
(168,644,885)
70,812,791
(53,566,606)
NET
ASSETS:
Beginning
of
period
................................
779,323,796
947,968,681
206,800,296
260,366,902
End
of
period
...................................
$
1,160,692,572
$
779,323,796
$
277,613,087
$
206,800,296
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
123
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
LARGE
CAP
MOMENT
UM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
25,183,797
30,048,212
8,249,096
10,802,837
Shares
sold
.....................................
3,633,447
4,624,629
876,631
1,498,212
Shares
issued
in
reorganization
(Note
2)
................
6,723,107
—
2,003,046
—
Shares
issued
on
reinvestment
of
distributions
...........
3,883,287
2,901,493
418,962
448,754
Shares
redeemed
.................................
(9,907,553)
(12,390,537)
(3,442,718)
(4,500,707)
Shares
outstanding,
end
of
period
29,516,085
25,183,797
8,105,017
8,249,096
CLASS
N
Shares
outstanding,
beginning
of
period
................
1,912,932
2,998,876
193,339
235,513
Shares
sold
.....................................
352,417
437,611
32,331
105,994
Shares
issued
in
reorganization
(Note
2)
................
272,334
—
138,366
—
Shares
issued
on
reinvestment
of
distributions
...........
324,298
263,208
11,068
10,019
Shares
redeemed
.................................
(693,190)
(1,786,763)
(147,065)
(158,187)
Shares
outstanding,
end
of
period
2,168,791
1,912,932
228,039
193,339
CLASS
R6
Shares
outstanding,
beginning
of
period
................
4,765,416
8,974,959
2,187,452
2,924,829
Shares
sold
.....................................
2,708,275
1,404,275
768,388
1,245,764
Shares
issued
in
reorganization
(Note
2)
................
5,043,566
—
214,425
—
Shares
issued
on
reinvestment
of
distributions
...........
939,906
925,559
152,326
131,508
Shares
redeemed
.................................
(1,990,778)
(6,539,377)
(942,281)
(2,114,649)
Shares
outstanding,
end
of
period
11,466,385
4,765,416
2,380,310
2,187,452
Statements
of
Changes
in
Net
Assets
(Continued)
124
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
8,281,164
$
5,991,094
$
67,843,199
$
81,805,775
Net
realized
gain
(loss)
.............................
34,551,724
(
2,839,051
)
185,937,334
(
97,772,202
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
43,714,860
39,049,874
875,139,852
535,658,825
Net increase
(decrease)
in
net
assets
resulting
from
operations
86,547,748
42,201,917
1,128,920,385
519,692,398
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,925,291
)
(
6,385,255
)
(
55,799,506
)
(
42,653,314
)
Class
N
.........................................
(
631,114
)
(
809,276
)
(
5,034,562
)
(
3,352,374
)
Class
R6
........................................
(
1,660,841
)
(
3,320,455
)
(
21,166,797
)
(
17,886,160
)
Total
distributions
(
5,217,246
)
(
10,514,986
)
(
82,000,865
)
(
63,891,848
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
43,595,217
50,451,284
959,422,458
2,173,041,958
Issued
in
reorganization
(Note
2)
......................
66,687,281
—
—
—
Reinvestment
of
distributions
.........................
2,897,383
6,308,931
54,849,296
41,906,995
Cost
of
shares
redeemed
...........................
(
83,581,267
)
(
88,413,185
)
(
2,074,105,707
)
(
1,529,787,473
)
Net
increase
(decrease)
from
capital
transactions
29,598,614
(
31,652,970
)
(
1,059,833,953
)
685,161,480
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
7,166,402
29,422,157
56,132,285
234,774,953
Issued
in
reorganization
(Note
2)
......................
3,203,657
—
—
—
Reinvestment
of
distributions
.........................
631,098
809,238
5,030,510
3,349,208
Cost
of
shares
redeemed
...........................
(
13,816,803
)
(
12,942,284
)
(
172,640,993
)
(
209,895,519
)
Net
increase
(decrease)
from
capital
transactions
(
2,815,646
)
17,289,111
(
111,478,198
)
28,228,642
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
48,690,693
26,300,021
390,159,729
718,695,155
Issued
in
reorganization
(Note
2)
......................
56,530,409
—
—
—
Reinvestment
of
distributions
.........................
1,656,212
3,320,455
21,040,427
17,775,808
Cost
of
shares
redeemed
...........................
(
45,133,714
)
(
51,587,510
)
(
695,891,947
)
(
745,107,260
)
Net
increase
(decrease)
from
capital
transactions
61,743,600
(
21,967,034
)
(
284,691,791
)
(
8,636,297
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
88,526,568
(
36,330,893
)
(
1,456,003,942
)
704,753,825
Total
increase
(decrease)
in
net
assets
169,857,070
(
4,643,962
)
(
409,084,422
)
1,160,554,375
NET
ASSETS:
Beginning
of
period
................................
431,347,879
435,991,841
6,089,016,935
4,928,462,560
End
of
period
...................................
$
601,204,949
$
431,347,879
$
5,679,932,513
$
6,089,016,935
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
125
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
15,819,338
18,029,990
170,746,021
142,901,883
Shares
sold
.....................................
2,365,993
3,454,316
34,876,376
96,100,559
Shares
issued
in
reorganization
(Note
2)
................
3,686,702
—
—
—
Shares
issued
on
reinvestment
of
distributions
...........
164,793
405,719
2,092,686
1,765,248
Shares
redeemed
.................................
(
4,650,112
)
(
6,070,687
)
(
75,832,196
)
(
70,021,669
)
Shares
outstanding,
end
of
period
17,386,714
15,819,338
131,882,887
170,746,021
CLASS
N
Shares
outstanding,
beginning
of
period
................
3,737,181
2,455,631
18,663,666
17,129,740
Shares
sold
.....................................
387,168
2,107,859
2,060,270
10,820,024
Shares
issued
in
reorganization
(Note
2)
................
177,475
—
—
—
Shares
issued
on
reinvestment
of
distributions
...........
35,956
52,075
192,151
141,198
Shares
redeemed
.................................
(
753,162
)
(
878,384
)
(
6,264,943
)
(
9,427,296
)
Shares
outstanding,
end
of
period
3,584,618
3,737,181
14,651,144
18,663,666
CLASS
R6
Shares
outstanding,
beginning
of
period
................
7,111,272
8,642,014
55,378,100
55,947,519
Shares
sold
.....................................
2,626,098
1,887,946
14,293,606
31,593,797
Shares
issued
in
reorganization
(Note
2)
................
3,131,428
—
—
—
Shares
issued
on
reinvestment
of
distributions
...........
94,413
213,947
803,990
749,718
Shares
redeemed
.................................
(
2,450,200
)
(
3,632,635
)
(
25,008,564
)
(
32,912,934
)
Shares
outstanding,
end
of
period
10,513,011
7,111,272
45,467,132
55,378,100
Statements
of
Changes
in
Net
Assets
(Continued)
126
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
5,157,434
$
4,183,120
$
4,767,261
$
3,835,317
Net
realized
gain
(loss)
.............................
2,744,552
(
6,438,237
)
59,394,860
(
6,236,771
)
Net
change
in
unrealized
appreciation
(depreciation)
.......
26,560,137
6,375,095
6,282,301
21,495,840
Net increase
(decrease)
in
net
assets
resulting
from
operations
34,462,123
4,119,978
70,444,422
19,094,386
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,438,608
)
(
4,509,399
)
(
187,131
)
(
2,836,271
)
Class
N
.........................................
(
142,507
)
(
163,390
)
(
64,019
)
(
69,554
)
Class
R6
........................................
(
1,397,870
)
(
1,379,852
)
(
4,226,634
)
(
1,706,786
)
Total
distributions
(
3,978,985
)
(
6,052,641
)
(
4,477,784
)
(
4,612,611
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
24,505,392
42,450,760
702,116
6,768,638
Reinvestment
of
distributions
.........................
2,433,745
4,503,368
187,131
2,834,532
Cost
of
shares
redeemed
...........................
(
59,530,294
)
(
119,894,228
)
(
3,715,845
)
(
196,641,412
)
Net
increase
(decrease)
from
capital
transactions
(
32,591,157
)
(
72,940,100
)
(
2,826,598
)
(
187,038,242
)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
1,789,081
7,537,787
2,324,119
3,213,333
Reinvestment
of
distributions
.........................
142,507
163,390
64,019
69,554
Cost
of
shares
redeemed
...........................
(
3,654,713
)
(
5,497,209
)
(
971,910
)
(
2,592,940
)
Net
increase
(decrease)
from
capital
transactions
(
1,723,125
)
2,203,968
1,416,228
689,947
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
82,961,179
98,010,945
31,631,055
204,753,363
Reinvestment
of
distributions
.........................
1,391,743
1,379,852
4,224,178
1,706,786
Cost
of
shares
redeemed
...........................
(
16,016,301
)
(
61,120,252
)
(
81,200,705
)
(
22,362,997
)
Net
increase
(decrease)
from
capital
transactions
68,336,621
38,270,545
(
45,345,472
)
184,097,152
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
34,022,339
(
32,465,587
)
(
46,755,842
)
(
2,251,143
)
Total
increase
(decrease)
in
net
assets
64,505,477
(
34,398,250
)
19,210,796
12,230,632
NET
ASSETS:
Beginning
of
period
................................
206,543,708
240,941,958
311,083,623
298,852,991
End
of
period
...................................
$
271,049,185
$
206,543,708
$
330,294,419
$
311,083,623
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
127
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
9,957,462
15,447,857
1,844,523
22,854,497
Shares
sold
.....................................
1,672,341
3,461,484
68,892
797,064
Shares
issued
on
reinvestment
of
distributions
...........
172,240
332,597
20,035
321,740
Shares
redeemed
.................................
(
3,991,843
)
(
9,284,476
)
(
377,488
)
(
22,128,778
)
Shares
outstanding,
end
of
period
7,810,200
9,957,462
1,555,962
1,844,523
CLASS
N
Shares
outstanding,
beginning
of
period
................
700,109
533,988
601,865
562,804
Shares
sold
.....................................
119,665
568,346
236,669
404,649
Shares
issued
on
reinvestment
of
distributions
...........
9,734
11,654
6,921
7,958
Shares
redeemed
.................................
(
244,228
)
(
413,879
)
(
98,715
)
(
373,546
)
Shares
outstanding,
end
of
period
585,280
700,109
746,740
601,865
CLASS
R6
Shares
outstanding,
beginning
of
period
................
4,986,241
2,406,271
33,446,503
12,930,642
Shares
sold
.....................................
5,551,380
7,641,356
3,135,104
23,246,605
Shares
issued
on
reinvestment
of
distributions
...........
98,565
101,985
449,381
192,206
Shares
redeemed
.................................
(
1,079,375
)
(
5,163,371
)
(
7,909,197
)
(
2,922,950
)
Shares
outstanding,
end
of
period
9,556,811
4,986,241
29,121,791
33,446,503
Statements
of
Changes
in
Net
Assets
(Continued)
128
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
OPERATIONS:
Net
investment
income
(loss)
........................
$
2,695,777
$
2,940,702
$
860,893
$
1,669,258
Net
realized
gain
(loss)
.............................
20,838,792
363,641
1,609,564
5,216,951
Net
change
in
unrealized
appreciation
(depreciation)
.......
(
1,310,570
)
(
2,142,790
)
(
4,758,683
)
1,155,532
Net increase
(decrease)
in
net
assets
resulting
from
operations
22,223,999
1,161,553
(
2,288,226
)
8,041,741
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
(
2,053,796
)
(
5,428,873
)
(
4,054,364
)
(
765,024
)
Class
N
.........................................
(
161,344
)
(
222,825
)
(
31,153
)
(
23,253
)
Class
R6
........................................
(
1,481,353
)
(
1,327,220
)
(
1,849,022
)
(
2,330,408
)
Total
distributions
(
3,696,493
)
(
6,978,918
)
(
5,934,539
)
(
3,118,685
)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
3,795,314
22,848,703
47,608,965
60,593,105
Reinvestment
of
distributions
.........................
1,625,870
4,720,831
3,895,102
723,066
Cost
of
shares
redeemed
...........................
(
27,894,946
)
(
146,579,693
)
(
68,266,284
)
(
20,382,854
)
Net
increase
(decrease)
from
capital
transactions
(
22,473,762
)
(
119,010,159
)
(
16,762,217
)
40,933,317
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
22,257
2,015,171
9,122
124,214
Reinvestment
of
distributions
.........................
20,855
41,475
5,849
10,500
Cost
of
shares
redeemed
...........................
(
5,553,837
)
(
4,424,951
)
(
1,816
)
(
570,328
)
Net
increase
(decrease)
from
capital
transactions
(
5,510,725
)
(
2,368,305
)
13,155
(
435,614
)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
13,083,415
9,047,494
—
37,332
Reinvestment
of
distributions
.........................
1,476,693
1,327,220
13,059
269,719
Cost
of
shares
redeemed
...........................
(
12,657,910
)
(
9,038,548
)
(
25,642,692
)
(
42,452,072
)
Net
increase
(decrease)
from
capital
transactions
1,902,198
1,336,166
(
25,629,633
)
(
42,145,021
)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(
26,082,289
)
(
120,042,298
)
(
42,378,695
)
(
1,647,318
)
Total
increase
(decrease)
in
net
assets
(
7,554,783
)
(
125,859,663
)
(
50,601,460
)
3,275,738
NET
ASSETS:
Beginning
of
period
................................
113,024,573
238,884,236
117,375,163
114,099,425
End
of
period
...................................
$
105,469,790
$
113,024,573
$
66,773,703
$
117,375,163
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
129
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
7,366,557
20,115,445
5,630,280
1,696,267
Shares
sold
.....................................
356,904
2,686,155
4,476,839
5,795,197
Shares
issued
on
reinvestment
of
distributions
...........
162,414
470,202
372,863
68,596
Shares
redeemed
.................................
(
2,630,472
)
(
15,905,245
)
(
6,618,185
)
(
1,929,780
)
Shares
outstanding,
end
of
period
5,255,403
7,366,557
3,861,797
5,630,280
CLASS
N
Shares
outstanding,
beginning
of
period
................
552,521
815,866
60,740
102,082
Shares
sold
.....................................
2,037
226,897
845
11,903
Shares
issued
on
reinvestment
of
distributions
...........
2,028
4,019
562
1,011
Shares
redeemed
.................................
(
498,371
)
(
494,261
)
(
180
)
(
54,256
)
Shares
outstanding,
end
of
period
58,215
552,521
61,967
60,740
CLASS
R6
Shares
outstanding,
beginning
of
period
................
4,002,124
3,921,532
5,117,171
9,163,620
Shares
sold
.....................................
1,173,240
887,022
—
3,480
Shares
issued
on
reinvestment
of
distributions
...........
137,461
123,462
1,232
25,847
Shares
redeemed
.................................
(
1,096,180
)
(
929,892
)
(
2,429,658
)
(
4,075,776
)
Shares
outstanding,
end
of
period
4,216,645
4,002,124
2,688,745
5,117,171
130
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.63
0.22
7
4.78
5.00
(0.23)
(1.56)
(1.79)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.84
0.23
1.48
1.71
(0.21)
(0.71)
(0.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.21
10
(1.06)
(0.85)
(0.27)
(0.87)
(1.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.23
2.13
2.36
(0.22)
(0.18)
(0.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
14.00
0.22
2.84
3.06
(0.19)
—
(0.19)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.72
0.17
7
4.81
4.98
(0.19)
(1.56)
(1.75)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.76
0.20
1.47
1.67
—
(0.71)
(0.71)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.74
0.17
10
(1.06)
(0.89)
(0.22)
(0.87)
(1.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.79
0.18
2.13
2.31
(0.18)
(0.18)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.94
0.18
2.82
3.00
(0.15)
—
(0.15)
AQR
LARGE
CAP
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
17.62
0.24
7
4.78
5.02
(0.25)
(1.56)
(1.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
16.83
0.25
1.48
1.73
(0.23)
(0.71)
(0.94)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
18.83
0.23
10
(1.07)
(0.84)
(0.29)
(0.87)
(1.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.87
0.25
2.13
2.38
(0.24)
(0.18)
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
14.00
0.24
2.84
3.08
(0.21)
—
(0.21)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.35
0.07
7,11
6.24
6.31
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.33
0.08
0.07
12
0.15
(0.12)
(0.01)
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.88
0.11
10
(2.14)
(2.03)
(0.08)
(1.44)
(1.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.09
0.10
1.27
1.37
(0.12)
(1.46)
(1.58)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.96
0.12
13
2.39
2.51
(0.14)
(0.24)
(0.38)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.32
0.03
7,11
6.22
6.25
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.29
0.04
0.08
12
0.12
(0.08)
(0.01)
(0.09)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.08
10
(2.12)
(2.04)
(0.05)
(1.44)
(1.49)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.01
0.06
1.28
1.34
(0.07)
(1.46)
(1.53)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.90
0.08
13
2.37
2.45
(0.10)
(0.24)
(0.34)
AQR
SMALL
CAP
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
12.37
0.10
7,11
6.23
6.33
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
12.35
0.08
0.08
12
0.16
(0.13)
(0.01)
(0.14)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.91
0.13
10
(2.15)
(2.02)
(0.10)
(1.44)
(1.54)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
16.11
0.11
1.29
1.40
(0.14)
(1.46)
(1.60)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.98
0.13
13
2.39
2.52
(0.15)
(0.24)
(0.39)
131
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
20.84
30.10%
$
283,306
0.41%
8
0.41%
8
0.40%
8
1.13%
7
59%
9
$
17.63
10.30%
$
218,609
0.45%
0.44%
0.44%
1.38%
48%
$
16.84
(3.55)%
$
361,920
0.44%
0.44%
0.44%
1.29%
10
55%
$
18.83
14.11%
$
507,109
0.44%
0.44%
0.44%
1.28%
64%
$
16.87
22.01%
$
457,339
0.45%
0.44%
0.44%
1.46%
61%
$
20.95
29.73%
$
8,726
0.66%
8
0.66%
8
0.65%
8
0.87%
7
59%
9
$
17.72
10.07%
$
10,681
0.71%
0.69%
0.69%
1.17%
48%
$
16.76
(3.84)%
$
57,421
0.70%
0.70%
0.70%
1.02%
10
55%
$
18.74
13.83%
$
71,104
0.70%
0.70%
0.70%
1.02%
64%
$
16.79
21.69%
$
62,679
0.71%
0.70%
0.70%
1.19%
61%
$
20.83
30.26%
$
1,008,244
0.31%
8
0.31%
8
0.30%
8
1.23%
7
59%
9
$
17.62
10.43%
$
863,892
0.35%
0.34%
0.34%
1.51%
48%
$
16.83
(3.50)%
$
1,027,712
0.35%
0.35%
0.35%
1.38%
10
55%
$
18.83
14.20%
$
1,366,762
0.35%
0.35%
0.35%
1.37%
64%
$
16.87
22.18%
$
1,246,028
0.36%
0.35%
0.35%
1.54%
61%
$
18.38
51.47%
$
67,830
0.83%
8
0.72%
8
0.71%
8
0.43%
7,11
60%
9
$
12.35
1.13%
$
39,049
0.70%
0.65%
0.64%
0.63%
51%
$
12.33
(11.74)%
$
42,197
0.66%
0.64%
0.64%
0.92%
10
70%
$
15.88
9.18%
$
61,690
0.66%
0.65%
0.64%
0.63%
64%
$
16.09
18.12%
$
55,115
0.69%
0.65%
0.65%
0.79%
13
61%
$
18.32
51.05%
$
8,123
1.08%
8
0.97%
8
0.96%
8
0.16%
7,11
60%
9
$
12.32
0.87%
$
5,421
0.95%
0.90%
0.89%
0.36%
51%
$
12.29
(11.94)%
$
8,304
0.92%
0.90%
0.90%
0.66%
10
70%
$
15.82
8.94%
$
7,795
0.92%
0.90%
0.90%
0.38%
64%
$
16.01
17.79%
$
8,624
0.94%
0.90%
0.90%
0.53%
13
61%
$
18.41
51.60%
$
54,607
0.74%
8
0.63%
8
0.62%
8
0.64%
7,11
60%
9
$
12.37
1.22%
$
213,517
0.60%
0.55%
0.54%
0.70%
51%
$
12.35
(11.66)%
$
501,656
0.57%
0.55%
0.55%
1.02%
10
70%
$
15.91
9.34%
$
675,945
0.57%
0.55%
0.55%
0.73%
64%
$
16.11
18.17%
$
733,984
0.59%
0.55%
0.55%
0.89%
13
61%
132
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.69
0.34
7
2.31
2.65
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.06
0.22
(0.25)
(0.03)
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.76
0.28
(0.60)
(0.32)
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.95
0.28
(0.18)
0.10
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.23
0.24
1.74
1.98
(0.26)
—
(0.26)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.66
0.28
7
2.33
2.61
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.03
0.19
(0.25)
(0.06)
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.73
0.24
(0.59)
(0.35)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.92
0.24
(0.17)
0.07
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.20
0.21
1.75
1.96
(0.24)
—
(0.24)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.67
0.37
7
2.29
2.66
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
11.05
0.23
(0.26)
(0.03)
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.75
0.28
(0.59)
(0.31)
(0.39)
—
(0.39)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.94
0.29
(0.18)
0.11
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.22
0.26
1.73
1.99
(0.27)
—
(0.27)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.57
0.34
7,11
1.48
1.82
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.14
0.92
1.06
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.58
0.25
10
(0.86)
(0.61)
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.23
16
(0.59)
(0.36)
(0.18)
—
(0.18)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.27
0.18
1.88
2.06
(0.21)
—
(0.21)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.60
0.33
7,11
1.46
1.79
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.77
0.14
0.90
1.04
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.57
0.16
10
(0.79)
(0.63)
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.12
0.19
16
(0.59)
(0.40)
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.28
0.15
1.89
2.04
(0.20)
—
(0.20)
AQR
EMERGING
MULTI-STYLE
II
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.58
0.31
7,11
1.51
1.82
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.76
0.18
0.89
1.07
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.59
0.23
10
(0.83)
(0.60)
(0.23)
—
(0.23)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.13
0.24
16
(0.59)
(0.35)
(0.19)
—
(0.19)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
9.28
0.19
1.88
2.07
(0.22)
—
(0.22)
133
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
13.12
24.97%
$
81,680
0.61%
8
0.56%
8
0.56%
8
2.61%
7
62%
9
$
10.69
(0.51)%
$
49,672
0.67%
0.60%
0.59%
2.04%
74%
$
11.06
(2.37)%
$
50,189
0.67%
0.60%
0.60%
2.56%
57%
$
11.76
0.81%
$
82,661
0.64%
0.60%
0.60%
2.36%
61%
$
11.95
19.91%
$
76,307
0.65%
0.60%
14
0.60%
14
2.26%
15
55%
$
13.08
24.67%
$
4,184
0.86%
8
0.81%
8
0.81%
8
2.17%
7
62%
9
$
10.66
(0.75)%
$
4,147
0.92%
0.85%
0.84%
1.82%
74%
$
11.03
(2.62)%
$
4,261
0.92%
0.85%
0.85%
2.25%
57%
$
11.73
0.51%
$
6,892
0.89%
0.85%
0.85%
2.04%
61%
$
11.92
19.69%
$
8,836
0.91%
0.85%
14
0.85%
14
1.95%
15
55%
$
13.10
25.13%
$
418,160
0.51%
8
0.46%
8
0.46%
8
2.89%
7
62%
9
$
10.67
(0.47)%
$
191,955
0.57%
0.50%
0.49%
2.16%
74%
$
11.05
(2.27)%
$
217,891
0.57%
0.50%
0.50%
2.54%
57%
$
11.75
0.90%
$
329,854
0.54%
0.50%
0.50%
2.44%
61%
$
11.94
20.04%
$
385,126
0.56%
0.50%
14
0.50%
14
2.41%
15
55%
$
12.20
17.26%
$
66,601
0.80%
8
0.72%
8
0.72%
8
2.68%
7,11
61%
9
$
10.57
10.94%
$
19,271
0.86%
0.75%
0.75%
1.48%
58%
$
9.75
(5.68)%
$
36,722
0.84%
0.75%
0.75%
2.51%
10
62%
$
10.58
(3.35)%
$
17,266
0.85%
0.74%
0.74%
2.01%
16
54%
$
11.12
22.99%
$
17,013
0.86%
0.74%
0.74%
1.89%
51%
$
12.22
16.96%
$
3,885
1.05%
8
0.96%
8
0.96%
8
2.56%
7,11
61%
9
$
10.60
10.65%
$
867
1.12%
1.00%
1.00%
1.47%
58%
$
9.77
(5.92)%
$
677
1.09%
1.00%
1.00%
1.64%
10
62%
$
10.57
(3.70)%
$
1,675
1.11%
1.00%
1.00%
1.63%
16
54%
$
11.12
22.64%
$
2,301
1.12%
1.00%
1.00%
1.58%
51%
$
12.20
17.32%
$
572,793
0.71%
8
0.63%
8
0.63%
8
2.44%
7,11
61%
9
$
10.58
11.03%
$
321,431
0.77%
0.65%
0.65%
1.82%
58%
$
9.76
(5.59)%
$
305,195
0.74%
0.65%
0.65%
2.32%
10
62%
$
10.59
(3.27)%
$
313,070
0.76%
0.65%
0.65%
2.07%
16
54%
$
11.13
23.05%
$
333,540
0.77%
0.65%
0.65%
1.94%
51%
134
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.47
0.10
7
6.30
6.40
(0.17)
(3.78)
(3.95)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.57
0.20
3.92
4.12
(0.25)
(1.97)
(2.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.99
0.26
10
(0.44)
(0.18)
(0.22)
(2.02)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
22.00
0.19
4.77
4.96
(0.21)
(1.76)
(1.97)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.44
0.24
2.88
3.12
(0.32)
(1.24)
(1.56)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.46
0.04
7
6.31
6.35
(0.11)
(3.78)
(3.89)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.56
0.15
3.90
4.05
(0.18)
(1.97)
(2.15)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.96
0.21
10
(0.43)
(0.22)
(0.16)
(2.02)
(2.18)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.98
0.13
4.77
4.90
(0.16)
(1.76)
(1.92)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.42
0.19
2.87
3.06
(0.26)
(1.24)
(1.50)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.40
0.13
7
6.28
6.41
(0.20)
(3.78)
(3.98)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.51
0.23
3.90
4.13
(0.27)
(1.97)
(2.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
24.94
0.29
10
(0.45)
(0.16)
(0.25)
(2.02)
(2.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
21.96
0.22
4.75
4.97
(0.23)
(1.76)
(1.99)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.41
0.26
2.87
3.13
(0.34)
(1.24)
(1.58)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.47
(0.00)
7,17
7.92
7.92
(0.15)
(1.31)
(1.46)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.09
1.56
1.65
(0.10)
(0.74)
(0.84)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.09
10
(3.83)
(3.74)
(0.04)
(4.70)
(4.74)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.83
0.05
16
4.58
4.63
(0.06)
(2.26)
(2.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.80
0.10
13
4.10
4.20
(0.17)
—
(0.17)
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.45
(0.07)
7
7.93
7.86
(0.09)
(1.31)
(1.40)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.66
0.04
1.56
1.60
(0.07)
(0.74)
(0.81)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.14
0.05
10
(3.83)
(3.78)
(0.00)
17
(4.70)
(4.70)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.82
(0.00)
16,17
4.58
4.58
—
(2.26)
(2.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.68
0.05
13
4.09
4.14
—
—
—
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
19.41
0.03
7
7.89
7.92
(0.17)
(1.31)
(1.48)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
18.61
0.11
1.56
1.67
(0.13)
(0.74)
(0.87)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
27.10
0.13
10
(3.85)
(3.72)
(0.07)
(4.70)
(4.77)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
24.79
0.08
16
4.58
4.66
(0.09)
(2.26)
(2.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
20.77
0.12
13
4.09
4.21
(0.19)
—
(0.19)
135
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
26.92
28.54%
$
794,698
0.42%
8
0.41%
8
0.40%
8
0.41%
7
102%
9
$
24.47
19.52%
$
616,263
0.42%
0.40%
0.40%
0.91%
75%
$
22.57
1.38%
$
678,252
0.41%
0.40%
0.40%
1.21%
10
61%
$
24.99
23.94%
$
986,458
0.40%
0.39%
0.39%
0.84%
66%
$
22.00
16.37%
$
869,688
0.41%
0.40%
0.40%
1.19%
88%
$
26.92
28.27%
$
58,376
0.67%
8
0.66%
8
0.65%
8
0.15%
7
102%
9
$
24.46
19.20%
$
46,797
0.67%
0.65%
0.65%
0.69%
75%
$
22.56
1.14%
$
67,654
0.66%
0.65%
0.65%
0.97%
10
61%
$
24.96
23.61%
$
77,381
0.65%
0.65%
0.65%
0.58%
66%
$
21.98
16.07%
$
59,044
0.66%
0.65%
0.65%
0.94%
88%
$
26.83
28.68%
$
307,619
0.31%
8
0.31%
8
0.30%
8
0.51%
7
102%
9
$
24.40
19.66%
$
116,264
0.32%
0.30%
0.30%
1.05%
75%
$
22.51
1.48%
$
202,063
0.31%
0.30%
0.30%
1.33%
10
61%
$
24.94
24.06%
$
101,971
0.30%
0.30%
0.30%
0.93%
66%
$
21.96
16.47%
$
65,920
0.31%
0.30%
0.30%
1.28%
88%
$
25.93
41.25%
$
210,181
0.67%
8
0.61%
8
0.60%
8
0.00%
7
103%
9
$
19.47
8.89%
$
160,586
0.67%
0.60%
0.60%
0.48%
86%
$
18.66
(10.90)%
$
201,555
0.66%
0.60%
0.60%
0.46%
10
79%
$
27.14
20.11%
$
346,665
0.63%
0.60%
0.60%
0.21%
16
73%
$
24.83
20.30%
$
359,470
0.64%
0.60%
0.60%
0.46%
13
86%
$
25.91
40.98%
$
5,908
0.92%
8
0.86%
8
0.85%
8
(0.28)%
7
103%
9
$
19.45
8.59%
$
3,761
0.92%
0.85%
0.85%
0.23%
86%
$
18.66
(11.09)%
$
4,395
0.91%
0.85%
0.85%
0.28%
10
79%
$
27.14
19.84%
$
2,835
0.85%
0.83%
0.83%
(0.02)%
16
73%
$
24.82
20.02%
$
1,720
0.86%
0.82%
0.82%
0.24%
13
86%
$
25.85
41.41%
$
61,524
0.57%
8
0.51%
8
0.50%
8
0.11%
7
103%
9
$
19.41
8.99%
$
42,453
0.57%
0.50%
0.50%
0.60%
86%
$
18.61
(10.80)%
$
54,417
0.56%
0.50%
0.50%
0.67%
10
79%
$
27.10
20.26%
$
21,162
0.53%
0.50%
0.50%
0.31%
16
73%
$
24.79
20.39%
$
11,914
0.54%
0.50%
0.50%
0.54%
13
86%
136
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.19
0.29
7
2.83
3.12
(0.20)
—
(0.20)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.98
0.21
1.37
1.58
(0.37)
—
(0.37)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.82
0.31
(0.87)
(0.56)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.50
0.29
0.37
0.66
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.86
0.31
1.65
1.96
(0.32)
—
(0.32)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.14
0.23
7
2.85
3.08
(0.17)
—
(0.17)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.94
0.18
1.35
1.53
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.77
0.27
(0.86)
(0.59)
(0.24)
—
(0.24)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.46
0.26
0.36
0.62
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.82
0.28
1.65
1.93
(0.29)
—
(0.29)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
16.16
0.31
7
2.83
3.14
(0.22)
—
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
14.96
0.23
1.35
1.58
(0.38)
—
(0.38)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
15.80
0.33
(0.87)
(0.54)
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
15.49
0.32
0.35
0.67
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
13.85
0.33
1.65
1.98
(0.34)
—
(0.34)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.88
0.31
7
4.75
5.06
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.83
0.33
1.99
2.32
(0.26)
(0.01)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.18
0.34
1.62
1.96
(0.23)
(0.08)
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.23
0.30
3.10
3.40
(0.27)
(0.18)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.71
0.29
2.55
2.84
(0.23)
(0.09)
(0.32)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.81
0.24
7
4.73
4.97
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.76
0.27
1.99
2.26
(0.20)
(0.01)
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.11
0.28
1.62
1.90
(0.17)
(0.08)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.18
0.25
3.09
3.34
(0.23)
(0.18)
(0.41)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.68
0.25
2.54
2.79
(0.20)
(0.09)
(0.29)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
24.87
0.33
7
4.73
5.06
(0.36)
—
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
22.81
0.36
1.99
2.35
(0.28)
(0.01)
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
21.15
0.35
1.63
1.98
(0.24)
(0.08)
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
18.21
0.32
3.09
3.41
(0.29)
(0.18)
(0.47)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
15.69
0.30
2.55
2.85
(0.24)
(0.09)
(0.33)
137
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
19.11
19.40%
$
332,293
0.60%
8
0.56%
8
0.55%
8
1.54%
7
84%
9
$
16.19
10.62%
$
256,067
0.60%
0.55%
0.55%
1.41%
72%
$
14.98
(3.26)%
$
270,031
0.61%
0.55%
0.55%
2.12%
70%
$
15.82
4.31%
$
348,643
0.60%
0.55%
0.55%
1.84%
65%
$
15.50
14.67%
$
326,526
0.63%
0.55%
14
0.55%
14
2.26%
15
84%
$
19.05
19.18%
$
68,275
0.85%
8
0.81%
8
0.80%
8
1.24%
7
84%
9
$
16.14
10.33%
$
60,332
0.86%
0.80%
0.80%
1.18%
72%
$
14.94
(3.51)%
$
36,694
0.86%
0.80%
0.80%
1.86%
70%
$
15.77
4.02%
$
40,452
0.85%
0.80%
0.80%
1.61%
65%
$
15.46
14.38%
$
34,030
0.88%
0.80%
14
0.80%
14
1.99%
15
84%
$
19.08
19.55%
$
200,637
0.50%
8
0.46%
8
0.45%
8
1.69%
7
84%
9
$
16.16
10.68%
$
114,949
0.50%
0.45%
0.45%
1.50%
72%
$
14.96
(3.15)%
$
129,267
0.51%
0.45%
0.45%
2.25%
70%
$
15.80
4.34%
$
63,978
0.50%
0.45%
0.45%
1.99%
65%
$
15.49
14.80%
$
45,913
0.53%
0.45%
14
0.45%
14
2.35%
15
84%
$
29.60
20.53%
$
3,903,177
0.37%
8
0.37%
8
0.37%
8
1.13%
7
17%
$
24.88
10.21%
$
4,248,841
0.40%
0.40%
0.40%
1.44%
35%
$
22.83
9.59%
$
3,262,596
0.39%
0.38%
0.38%
1.60%
20%
$
21.18
18.92%
$
1,502,430
0.39%
0.39%
0.39%
1.52%
18%
$
18.23
18.32%
$
793,828
0.41%
0.40%
0.40%
1.69%
16%
$
29.50
20.17%
$
432,165
0.66%
8
0.65%
8
0.65%
8
0.85%
7
17%
$
24.81
9.95%
$
463,060
0.66%
0.65%
0.65%
1.18%
35%
$
22.76
9.30%
$
389,897
0.66%
0.65%
0.65%
1.33%
20%
$
21.11
18.58%
$
309,274
0.65%
0.64%
0.64%
1.27%
18%
$
18.18
17.99%
$
239,074
0.67%
0.65%
0.65%
1.46%
16%
$
29.57
20.55%
$
1,344,591
0.31%
8
0.30%
8
0.30%
8
1.20%
7
17%
$
24.87
10.32%
$
1,377,116
0.31%
0.30%
0.30%
1.55%
35%
$
22.81
9.72%
$
1,275,970
0.31%
0.30%
0.30%
1.61%
20%
$
21.15
18.99%
$
309,211
0.30%
0.30%
0.30%
1.61%
18%
$
18.21
18.43%
$
197,705
0.32%
0.30%
0.30%
1.79%
16%
138
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.29
1.86
2.15
(0.25)
—
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.23
0.20
12
0.43
(0.34)
—
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.34
(0.35)
(0.01)
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.27
0.32
16
0.10
0.42
(0.29)
(0.02)
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.10
0.30
13
1.04
1.34
(0.17)
—
(0.17)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.63
0.26
1.92
2.18
(0.21)
—
(0.21)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.52
0.24
0.18
12
0.42
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.71
0.33
(0.36)
(0.03)
(0.16)
—
(0.16)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.58
0.26
16
0.14
0.40
(0.25)
(0.02)
(0.27)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.40
0.28
13
1.06
1.34
(0.16)
—
(0.16)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
13.18
0.33
1.83
2.16
(0.26)
—
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
13.09
0.28
0.16
12
0.44
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
13.38
0.33
(0.33)
0.00
17
(0.29)
—
(0.29)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
13.26
0.34
16
0.10
0.44
(0.30)
(0.02)
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
12.09
0.31
13
1.03
1.34
(0.17)
—
(0.17)
AQR
GLOBAL
EQUITY
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.61
0.13
1.82
1.95
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.20
0.06
0.47
0.53
(0.12)
—
(0.12)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.11
0.15
(0.72)
(0.57)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.89
0.13
0.54
0.67
(0.08)
(0.37)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.12
0.11
1.43
1.54
(0.18)
(0.59)
(0.77)
AQR
GLOBAL
EQUITY
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.52
0.11
1.79
1.90
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.12
0.08
0.43
0.51
(0.11)
—
(0.11)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.06
0.13
(0.73)
(0.60)
(0.13)
(0.21)
(0.34)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.84
0.09
0.55
0.64
(0.05)
(0.37)
(0.42)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.07
0.09
1.43
1.52
(0.16)
(0.59)
(0.75)
AQR
GLOBAL
EQUITY
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
8.67
0.14
1.84
1.98
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
8.27
0.12
0.41
0.53
(0.13)
—
(0.13)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.19
0.14
(0.70)
(0.56)
(0.15)
(0.21)
(0.36)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
8.96
0.13
0.55
0.68
(0.08)
(0.37)
(0.45)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
8.18
0.12
1.45
1.57
(0.20)
(0.59)
(0.79)
139
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
15.08
16.44%
$
117,803
0.63%
0.55%
0.55%
1.94%
30%
$
13.18
3.21%
$
131,283
0.64%
0.55%
0.55%
1.79%
27%
$
13.09
0.18%
$
202,228
0.64%
0.55%
0.55%
2.64%
24%
$
13.38
3.15%
$
173,932
0.63%
0.55%
0.55%
2.41%
16
21%
$
13.27
11.29%
$
145,091
0.67%
0.55%
14
0.55%
14
2.43%
13,15
3%
$
15.60
16.13%
$
9,129
0.88%
0.80%
0.80%
1.69%
30%
$
13.63
3.04%
$
9,541
0.90%
0.80%
0.80%
1.79%
27%
$
13.52
(0.10)%
$
7,221
0.89%
0.80%
0.80%
2.51%
24%
$
13.71
2.90%
$
4,266
0.88%
0.80%
0.80%
1.84%
16
21%
$
13.58
11.01%
$
30,102
0.92%
0.80%
14
0.80%
14
2.21%
13,15
3%
$
15.08
16.54%
$
144,117
0.54%
0.45%
0.45%
2.21%
30%
$
13.18
3.32%
$
65,720
0.55%
0.45%
0.45%
2.20%
27%
$
13.09
0.26%
$
31,493
0.54%
0.45%
0.45%
2.58%
24%
$
13.38
3.32%
$
28,741
0.53%
0.45%
0.45%
2.54%
16
21%
$
13.26
11.38%
$
19,716
0.57%
0.45%
14
0.45%
14
2.57%
13,15
3%
$
10.45
22.81%
$
16,256
0.82%
0.80%
0.80%
1.28%
95%
$
8.61
6.48%
$
15,876
0.82%
0.80%
0.80%
0.76%
94%
$
8.20
(5.78)%
$
187,408
0.81%
0.80%
0.80%
1.82%
122%
$
9.11
7.65%
$
198,954
0.82%
0.80%
0.80%
1.42%
87%
$
8.89
20.70%
$
41,551
0.89%
0.82%
0.82%
1.37%
88%
$
10.32
22.46%
$
7,706
1.07%
1.05%
1.05%
1.10%
95%
$
8.52
6.24%
$
5,126
1.07%
1.05%
1.05%
0.94%
94%
$
8.12
(6.17)%
$
4,573
1.06%
1.05%
1.05%
1.59%
122%
$
9.06
7.36%
$
2,120
1.07%
1.05%
1.05%
1.02%
87%
$
8.84
20.57%
$
2,254
1.14%
1.07%
1.07%
1.09%
88%
$
10.52
23.00%
$
306,332
0.72%
0.70%
0.70%
1.39%
95%
$
8.67
6.40%
$
290,082
0.72%
0.70%
0.70%
1.47%
94%
$
8.27
(5.67)%
$
106,872
0.72%
0.70%
0.70%
1.72%
122%
$
9.19
7.74%
$
173,425
0.72%
0.70%
0.70%
1.39%
87%
$
8.96
20.98%
$
146,167
0.77%
0.70%
0.70%
1.48%
88%
140
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Total
Distributions
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.25
0.23
18
1.56
1.79
(0.32)
—
(0.32)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.50
0.13
19
(0.08)
0.05
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.49
0.23
(0.97)
(0.74)
(0.17)
(0.08)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.66
0.22
16
(0.32)
(0.10)
(0.25)
(0.82)
(1.07)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.17
0.20
1.73
1.93
(0.30)
(0.14)
(0.44)
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.48
0.04
18
1.77
1.81
(0.30)
—
(0.30)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
9.75
0.12
19
(0.11)
0.01
(0.28)
—
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
10.74
0.22
(0.99)
(0.77)
(0.14)
(0.08)
(0.22)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
11.88
0.21
16
(0.33)
(0.12)
(0.20)
(0.82)
(1.02)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.35
0.18
1.77
1.95
(0.28)
(0.14)
(0.42)
AQR
INTERNATIONAL
EQUITY
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
9.91
0.28
18
1.64
1.92
(0.33)
—
(0.33)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
10.16
0.16
19
(0.10)
0.06
(0.31)
—
(0.31)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
11.20
0.26
(1.04)
(0.78)
(0.18)
(0.08)
(0.26)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2018
$
12.39
0.24
16
(0.35)
(0.11)
(0.26)
(0.82)
(1.08)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2017
$
10.77
0.27
1.81
2.08
(0.32)
(0.14)
(0.46)
AQR
CORE
PLUS
BOND
FUND
CLASS
I
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.86
0.10
(0.34)
(0.24)
(0.16)
(0.36)
(0.52)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
10.41
0.13
0.60
0.73
(0.17)
(0.11)
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.88
0.21
0.69
0.90
(0.37)
—
(0.37)
FOR
THE
PERIOD
4/05/18
21
-9/30/18
$
10.00
0.11
(0.11)
—
(0.12)
—
(0.12)
AQR
CORE
PLUS
BOND
FUND
CLASS
N
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.85
0.07
(0.34)
(0.27)
(0.14)
(0.36)
(0.50)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
10.41
0.13
0.56
0.69
(0.14)
(0.11)
(0.25)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.88
0.19
0.68
0.87
(0.34)
—
(0.34)
FOR
THE
PERIOD
4/05/18
21
-9/30/18
$
10.00
0.10
(0.11)
(0.01)
(0.11)
—
(0.11)
AQR
CORE
PLUS
BOND
FUND
CLASS
R6
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2021
$
10.86
0.11
(0.34)
(0.23)
(0.17)
(0.36)
(0.53)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2020
$
10.41
0.16
0.57
0.73
(0.17)
(0.11)
(0.28)
FOR
THE
YEAR
ENDED
SEPTEMBER
30,
2019
$
9.88
0.22
0.68
0.90
(0.37)
—
(0.37)
FOR
THE
PERIOD
4/05/18
21
-9/30/18
$
10.00
0.11
(0.11)
—
(0.12)
—
(0.12)
141
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5,6
$
10.72
19.55%
$
56,319
1.00%
0.85%
0.85%
2.18%
18
92%
$
9.25
0.23%
$
68,121
0.91%
0.86%
0.85%
1.42%
19
84%
$
9.50
(6.86)%
$
191,080
0.88%
0.84%
0.84%
2.43%
91%
$
10.49
(1.24)%
$
391,509
0.88%
0.86%
0.86%
1.97%
16
87%
$
11.66
19.96%
$
346,078
0.98%
0.91%
14
0.91%
14
1.89%
15
83%
$
10.99
19.32%
$
640
1.18%
1.10%
1.10%
0.41%
18
92%
$
9.48
(0.12)%
$
5,238
1.14%
1.11%
1.10%
1.29%
19
84%
$
9.75
(7.03)%
$
7,951
1.05%
1.01%
1.01%
2.20%
91%
$
10.74
(1.41)%
$
13,090
1.10%
1.09%
1.09%
1.85%
16
87%
$
11.88
19.68%
$
14,873
1.24%
1.16%
14
1.16%
14
1.71%
15
83%
$
11.50
19.63%
$
48,511
0.92%
0.75%
0.75%
2.41%
18
92%
$
9.91
0.34%
$
39,666
0.82%
0.76%
0.75%
1.68%
19
84%
$
10.16
(6.80)%
$
39,853
0.80%
0.76%
0.76%
2.56%
91%
$
11.20
(1.23)%
$
44,742
0.79%
0.77%
0.77%
2.04%
16
87%
$
12.39
20.20%
$
44,105
0.85%
0.81%
14
0.81%
14
2.39%
15
83%
$
10.10
(2.27)%
$
38,995
0.71%
0.47%
0.47%
0.92%
1243%
$
10.86
7.10%
$
61,152
0.66%
0.48%
0.47%
1.19%
1029%
$
10.41
9.31%
$
17,659
0.72%
20
0.43%
0.43%
2.04%
1004%
$
9.88
(0.02)%
$
3,707
0.60%
20
0.42%
0.42%
2.26%
439%
$
10.08
(2.54)%
$
625
0.91%
0.72%
0.72%
0.69%
1243%
$
10.85
6.79%
$
659
0.87%
0.73%
0.72%
1.19%
1029%
$
10.41
9.09%
$
1,062
0.95%
20
0.66%
0.66%
1.88%
1004%
$
9.88
(0.12)%
$
560
0.79%
20
0.62%
0.62%
2.04%
439%
$
10.10
(2.18)%
$
27,154
0.63%
0.37%
0.37%
1.03%
1243%
$
10.86
7.19%
$
55,564
0.56%
0.38%
0.37%
1.56%
1029%
$
10.41
9.38%
$
95,378
0.68%
20
0.37%
0.37%
2.21%
1004%
$
9.88
0.00%
$
96,961
0.54%
20
0.37%
0.37%
2.29%
439%
142
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
PERIOD/YEAR
ENDED
PORTFOLIO
TURNOVER
RATE
For
the
year
ended
September
30,
2021
........................................
231%
For
the
year
ended
September
30,
2020
........................................
210%
For
the
year
ended
September
30,
2019
........................................
262%
For
the
period
4/05/18-9/30/18
...............................................
110%
FUND
NET
INVESTMENT
INCOME
(LOSS)
PER
SHARE
NET
INVESTMENT
INCOME
(LOSS)
RATIO
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0
.23
1
.13%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0
.17
0
.87
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.24
1
.23
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0
.06
0
.36
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0
.02
0
.09
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0
.09
0
.56
AQR
International
Multi-Style
Fund
–
Class
I
......................................
0
.34
2
.61
AQR
International
Multi-Style
Fund
–
Class
N
.....................................
0
.28
2
.17
AQR
International
Multi-Style
Fund
–
Class
R6
....................................
0
.37
2
.89
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0
.34
2
.69
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0
.33
2
.56
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0
.31
2
.45
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0
.11
0
.41
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0
.04
0
.16
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0
.13
0
.51
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0
.00
0
.00
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
(0
.07)
(0
.27)
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0
.03
0
.12
AQR
International
Momentum
Style
Fund
–
Class
I
.................................
0
.29
1
.55
AQR
International
Momentum
Style
Fund
–
Class
N
................................
0
.23
1
.24
AQR
International
Momentum
Style
Fund
–
Class
R6
...............................
0
.31
1
.70
AQR
Large
Cap
Defensive
Style
Fund
–
Class
I
...................................
0
.31
1
.13
AQR
Large
Cap
Defensive
Style
Fund
–
Class
N
...................................
0
.24
0
.85
AQR
Large
Cap
Defensive
Style
Fund
–
Class
R6
..................................
0
.33
1
.20
*
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
invest.
5
Portfolio
turnover
is
not
annualized.
6
The
following
table
represents
what
the
portfolio
turnover
rate
excluding
TBAs
would
have
been
for
AQR
Core
Plus
Bond
Fund
for
each
period
or
year
ended:
7
Includes
extraordinary
non-recurring
expenses
related
to
the
Funds’
reorganizations
and/or
the
closing
agreement
with
the
Internal
Revenue
Service
(“IRS”)
and
reimbursement
related
to
such
closing
agreement
(Note
3).
Without
these
costs
and
reimbursement,
the
Net
Investment
Income
(Loss)
Per
Share
and
Net
Investment
Income
(Loss)
Ratio
would
have
been:
143
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
FUND
TOTAL
EXPENSES
TOTAL
EXPENSES
AFTER
FEES
REIMBURSED
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
0.41
%
0.40%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.66
0.65
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.31
0.30
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0.72
0.61
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.97
0.86
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.62
0.51
AQR
International
Multi-Style
Fund
–
Class
I
......................................
0.60
0.55
AQR
International
Multi-Style
Fund
–
Class
N
.....................................
0.86
0.80
AQR
International
Multi-Style
Fund
–
Class
R6
....................................
0.51
0.45
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.79
0.71
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
1.04
0.96
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.70
0.62
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0.41
0.40
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.66
0.65
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.31
0.30
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.66
0.60
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.92
0.85
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.57
0.50
AQR
International
Momentum
Style
Fund
–
Class
I
.................................
0.60
0.55
AQR
International
Momentum
Style
Fund
–
Class
N
................................
0.85
0.80
AQR
International
Momentum
Style
Fund
–
Class
R6
...............................
0.50
0.45
AQR
Large
Cap
Defensive
Style
Fund
–
Class
I
...................................
0.37
0.37
AQR
Large
Cap
Defensive
Style
Fund
–
Class
N
...................................
0.65
0.65
AQR
Large
Cap
Defensive
Style
Fund
–
Class
R6
..................................
0.31
0.30
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Large
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.19
1.18%
AQR
Large
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.15
0.90
AQR
Large
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.21
1.27
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
0.09
0.77
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.06
0.51
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.11
0.87
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.23
2.28
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.14
1.41
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.21
2.09
AQR
Large
Cap
Momentum
Style
Fund
–
Class
I
..................................
0.23
1.09
AQR
Large
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.18
0.85
AQR
Large
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.26
1.21
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.07
0.34
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.03
0.16
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.11
0.55
8
Includes
extraordinary
non-recurring
expenses
related
to
the
Funds'
reorganizations
and/or
the
closing
agreement
with
the
IRS
(Note
3).
Without
these
costs,
the
Expenses,
Before
Reimbursements
and/or
Waivers
and
Expenses,
Net
of
Reimbursements
and/or
Waivers
would
have
been:
9
Excludes
activity
related
to
Funds’
reorganizations.
10
For
the
period
ended
September
30,
2019
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
144
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.04
0.27%
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.00
0.00
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.07
0.48
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
0.31
2.43
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.30
2.31
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.28
2.19
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Small
Cap
Multi-Style
Fund
–
Class
I
.......................................
$
0.10
0.63%
AQR
Small
Cap
Multi-Style
Fund
–
Class
N
.......................................
0.06
0.37
AQR
Small
Cap
Multi-Style
Fund
–
Class
R6
......................................
0.11
0.73
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.08
0.35
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
0.03
0.13
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.10
0.43
AQR
International
Defensive
Style
Fund
–
Class
I
..................................
0.28
2.24
AQR
International
Defensive
Style
Fund
–
Class
N
.................................
0.26
2.02
AQR
International
Defensive
Style
Fund
–
Class
R6
................................
0.29
2.38
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Emerging
Multi-Style
II
Fund
–
Class
I
.......................................
$
0.22
1.90%
AQR
Emerging
Multi-Style
II
Fund
–
Class
N
......................................
0.18
1.52
AQR
Emerging
Multi-Style
II
Fund
–
Class
R6
.....................................
0.23
1.96
AQR
Small
Cap
Momentum
Style
Fund
–
Class
I
...................................
0.03
0.12
AQR
Small
Cap
Momentum
Style
Fund
–
Class
N
..................................
(0.02)
(0.11)
AQR
Small
Cap
Momentum
Style
Fund
–
Class
R6
.................................
0.06
0.22
AQR
International
Defensive
Style
Fund
–
Class
I
..................................
0.28
2.14
AQR
International
Defensive
Style
Fund
–
Class
N
.................................
0.22
1.57
AQR
International
Defensive
Style
Fund
–
Class
R6
................................
0.30
2.27
AQR
International
Equity
Fund
–
Class
I
.........................................
0.21
1.86
AQR
International
Equity
Fund
–
Class
N
........................................
0.20
1.74
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.23
1.93
11
For
the
period
ended
September
30,
2021
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
12
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.
13
For
the
period
ended
September
30,
2017
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
14
Excludes
impact
of
IRS
closing
agreement
tax
expense.
15
Includes
impact
of
IRS
closing
agreement
reimbursement.
16
For
the
period
ended
September
30,
2018
certain
Funds
received
special
dividends.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
17
Amount
is
less
than
$.005
per
share.
145
Financial
Highlights
AQR
Funds
|
Annual
Report
|
September
2021
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
September
30,
2021
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
International
Equity
Fund
–
Class
I
.........................................
$
0.21
2.02%
AQR
International
Equity
Fund
–
Class
N
........................................
0.02
0.25
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.26
2.25
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
International
Equity
Fund
–
Class
I
.........................................
$
0.12
1.32%
AQR
International
Equity
Fund
–
Class
N
........................................
0.11
1.19
AQR
International
Equity
Fund
–
Class
R6
.......................................
0.15
1.58
18
For
the
period
ended
September
30,
2021
the
AQR
International
Equity
Fund
received
European
Union
("EU")
tax
reclaims.
Had
these
EU
tax
reclaims
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
19
For
the
period
ended
September
30,
2020
the
AQR
International
Equity
Fund
received
European
Union
("EU")
tax
reclaims.
Had
these
EU
tax
reclaims
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
20
Certain
expenses
incurred
by
the
Fund
were
not
annualized
for
the
period.
21
Commencement
of
operations.
146
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
1.
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
September
30,
2021,
the
Trust
consists
of
twenty-
four
active
series, twelve
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund,
AQR
Global
Equity
Fund,
AQR
International
Equity
Fund
and
AQR
Core
Plus
Bond
Fund.
The
remaining
active
series
are
reported
in
a
separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
investment
objective
for
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Global
Equity
Fund,
AQR
International
Equity
Fund
and AQR
Emerging
Multi-Style
II
Fund is
to
seek
long-term
capital
appreciation.
The
investment
objective
for
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund
and AQR
Core
Plus
Bond
Fund
is
to
seek
total
return.
Each
Fund
offers
Class
I,
Class
N
and
Class
R6
shares.
2.
Reorganization
On
March
8
and
March
15,
2021,
certain
Funds
(each,
an
“Acquiring
Fund”)
acquired
all
of
the
net
assets
of
another
existing
AQR
Fund
(each,
a
“Target
Fund”),
indicated
below,
pursuant
to
the
Agreement
and
Plan
of
Reorganization
approved
by
the
Funds’
Board
of
Trustees
in
November
2020.
Each
transaction
is
referred
to
as
a
“Reorganization”
and
the
transactions
are
referred
to
collectively
as
the
“Reorganizations.”
The
purpose
of
the
Reorganizations
was
to
combine
two
funds
with
comparable
investment
objectives
in
an
effort
to
achieve
operating
efficiencies
and
economies
of
scale.
The
securities
(and
cash)
held
by
the
Target
Funds
were
the
principal
amounts
acquired
by
the
Acquiring
Funds.
As
a
result
of
the
Reorganizations,
the
Acquiring
Funds
are
the
legal
and
accounting
survivors.
The
Acquiring
Fund
and
Target
Fund
for
each
Reorganization
are
shown
in
the
table
below:
ACQUIRING
FUNDS
TARGET
FUNDS
REORGANIZATION
DATE
AQR
Large
Cap
Multi-Style
Fund
AQR
TM
Large
Cap
Multi-Style
Fund
March
8,
2021
AQR
Small
Cap
Multi-Style
Fund
AQR
TM
Small
Cap
Multi-Style
Fund
March
15,
2021
AQR
International
Multi-Style
Fund
AQR
TM
International
Multi-Style
Fund
March
8,
2021
AQR
TM
Emerging
Multi-Style
Fund*
AQR
Emerging
Multi-Style
Fund
March
8,
2021
AQR
Large
Cap
Momentum
Style
Fund
AQR
TM
Large
Cap
Momentum
Style
Fund
March
8,
2021
AQR
Small
Cap
Momentum
Style
Fund
AQR
TM
Small
Cap
Momentum
Style
Fund
March
15,
2021
AQR
International
Momentum
Style
Fund
AQR
TM
International
Momentum
Style
Fund
March
15,
2021
*
Effective
upon
the
closing
of
this
Reorganization,
the
name
of
the
“AQR
TM
Emerging
Multi-Style
Fund”
was
changed
to
“AQR
Emerging
Multi-Style
II
Fund.”
147
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
The
Reorganizations
were
accomplished
by
a
tax-free
exchange
of
shares
then
outstanding
of
the
same
share
class
of
the
Target
Funds
at
their
respective
net
asset
values
on
March
5
and
March
12,
2021,
respectively,
in
the
following
amounts
and
at
the
following
conversion
ratios:
Distributable
amounts
of
net
income
and
realized
gains
from
the
Target
Funds
were
distributed
prior
to
the
Reorganizations.
Certain
of
the Acquiring
Funds
distributed
additional
amounts
as
described
in
Note
6.
As
a
result
of
the
Reorganizations,
the
Acquiring
Funds’
net
assets
were
combined
with
the
Target
Funds’
net
assets,
including
unrealized
appreciation
amounts,
resulting
in
the
combined
net
assets
post
Reorganizations
shown
in
the
table
below.
ACQUIRING
FUND
SHARES
PRIOR
TO
TARGET
FUND
REORGANIZATION
CONVERSION
RATIO
SHARES
OF
ACQUIRING
FUND
ISSUED
IN
REORGANIZATION
AQR
Large
Cap
Multi-Style
Fund
Class
I
.................................................................
5,525,902
0.890629
4,921,526
Class
N
................................................................
158,844
0.885088
140,591
Class
R6
...............................................................
13,217,657
0.892380
11,795,167
AQR
Small
Cap
Multi-Style
Fund
Class
I
.................................................................
1,143,630
0.859896
983,40
2
Class
N
................................................................
288,094
0.860800
247,991
Class
R6
...............................................................
211,107
0.860378
181,631
AQR
International
Multi-Style
Fund
Class
I
.................................................................
1,796,579
0.965353
1,734,332
Class
N
................................................................
119,349
0.965842
115,272
Class
R6
...............................................................
15,749,851
0.968196
15,248,944
AQR
Emerging
Multi-Style
II
Fund
Class
I
.................................................................
3,756,878
0.947293
3,558,865
Class
N
................................................................
312,280
0.945761
295,342
Class
R6
...............................................................
16,944,635
0.948341
16,069,284
AQR
Large
Cap
Momentum
Style
Fund
Class
I
.................................................................
5,216,293
1.288867
6,723,107
Class
N
................................................................
212,216
1.283283
272,334
Class
R6
...............................................................
3,903,981
1.291903
5,043,566
AQR
Small
Cap
Momentum
Style
Fund
Class
I
.................................................................
1,942,933
1.030939
2,003,04
6
Class
N
................................................................
135,347
1.022310
138,366
Class
R6
...............................................................
207,334
1.034201
214,425
AQR
International
Momentum
Style
Fund
Class
I
.................................................................
4,199,742
0.877840
3,686,702
Class
N
................................................................
202,661
0.875726
177,475
Class
R6
...............................................................
3,571,928
0.876677
3,131,428
ACQUIRING
FUND/TARGET
FUND
ACQUIRING
FUND
NET
ASSETS
PRIOR
TO
REORGANIZATION
TARGET
FUND
NET
ASSETS
PRIOR
TO
REORGANIZATION
COMBINED
FUND
NET
ASSETS
POST
REORGANIZATION
TARGET
FUND
NET
UNREALIZED
APPRECIATION
AQR
Large
Cap
Multi-Style
Fund/
AQR
TM
Large
Cap
Multi-Style
Fund
.............
$
1,150,816,072
$
314,032,634
$
1,464,848,706
$
124,523,993
AQR
Small
Cap
Multi-Style
Fund/
AQR
TM
Small
Cap
Multi-Style
Fund
.............
130,315,750
26,893,978
157,209,728
10,894,639
AQR
International
Multi-Style
Fund/
AQR
TM
International
Multi-Style
Fund
...........
279,407,628
212,240,858
491,648,486
58,223,609
AQR
Emerging
Multi-Style
II
Fund/
AQR
Emerging
Multi-Style
Fund
................
402,853,427
254,056,199
656,909,626
61,233,335
AQR
Large
Cap
Momentum
Style
Fund/
AQR
TM
Large
Cap
Momentum
Fund
............
788,109,755
280,427,451
1,068,537,206
133,119,654
AQR
Small
Cap
Momentum
Style
Fund/
AQR
TM
Small
Cap
Momentum
Fund
............
251,959,787
64,534,933
316,494,720
30,188,500
AQR
International
Momentum
Style
Fund/
AQR
TM
International
Momentum
Fund
...........
456,914,126
126,421,347
583,335,473
37,884,254
148
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
For
financial
reporting
purposes,
net
asset
received
and
shares
issued
by
the
Acquiring
Funds
were
recorded
at
fair
value.
However,
the
cost
basis
of
the
investments
received
from
the
Target
Funds
was
carried
forward
to
align
ongoing
reporting
of
the
Acquiring
Funds’
realized
and
unrealized
gains
and
losses
with
amounts
distributable
to
shareholders
for
tax
purposes.
Assuming
that
the
Reorganizations
had
been
completed
on
October
1,
2020,
the
beginning
of
the
Acquiring
Funds’
reporting
period,
the
Acquiring
Funds’
pro
forma
results
of
operations
for
the year
ended
September
30,
2021 would
be:
Because
the
combined
funds
have
been
managed
as
a
single
integrated
fund
since
the
Reorganizations
were
completed,
it
is
not
practical
to
separate
the
results
of
operations
of
the
Target
Funds
that
have
been
included
in
the
Acquiring
Funds’
Statement
of
Operations
since
the
Reorganization
Dates.
Reorganization
costs
incurred
by
the
Funds
were paid
by
the
Funds
up
to
a
threshold
approved
by
the
Fund’s
Board.
3.
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.
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.
FUND
NET
INVESTMENT
INCOME
(LOSS)
NET
REALIZED
GAIN
(LOSS)
NET
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
INCREASE
(DECREASE)
IN
NET
ASSETS
RESULTING
FROM
OPERATIONS
AQR
Large
Cap
Multi-Style
Fund
..........................
$
16,937,572
$
169,738,277
$
200,744,209
$
387,420,058
AQR
Small
Cap
Multi-Style
Fund
...........................
778,116
50,640,330
16,927,698
68,346,144
AQR
International
Multi-Style
Fund
.........................
12,506,032
21,503,968
74,533,998
108,543,998
AQR
Emerging
Multi-Style
II
Fund
..........................
14,058,353
43,491,654
35,340,951
92,890,958
AQR
Large
Cap
Momentum
Style
Fund
......................
4,719,215
205,320,739
63,127,339
273,167,293
AQR
Small
Cap
Momentum
Style
Fund
......................
98,933
65,598,117
32,090,407
97,787,457
AQR
International
Momentum
Style
Fund
....................
8,798,484
35,498,278
57,034,742
101,331,504
149
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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.
Non-cash
dividends
included
in
dividend
income,
if
any,
are
recorded
at
the
fair
value
of
the
securities
received.
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.
Certain
fixed-income
investments
may
pay
interest
in-kind,
which
represents
contractual
interest
accrued
and
increases
the
principal
balance.
For
inflation-linked
bonds,
interest
income
(expense)
is
earned
on
the
principal
amount
and
adjusted
for
the
changes
in
the
relevant
consumer
price
index.
The
Funds
may
be
subject
to
foreign
taxes
on
income,
capital
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
Dividend
income
(expense)
net
of
foreign
taxes
withheld,
if
any,
is
recorded
on
the
ex-dividend
date
or
when
the
Fund
first
learns
of
the
ex-date
dividend
notification.
The
Funds
may
file
withholding
tax
reclaims
in
certain
jurisdictions
to
recover
a
portion
of
amounts
withheld,
including
amounts
withheld
in
prior
years
which
may
be
reclaimable
based
upon
certain
provisions
in
the
Treaty
on
the
Functioning
of
the
European
Union
(“EU”)
and
subsequent
rulings
by
the
European
Court
of
Justice
(“ECJ”).
Income
recognized,
if
any,
for
reclaims
is
reflected
as
dividend
income
in
the
Statements
of
Operations.
Income
recognized
related
to
EU
reclaims
pursuant
to
the
ECJ
rulings
are
reflected
as
European
Union
tax
reclaims
on
the
Statements
of
Operations.
These
reclaims
are
recorded
when
the
amount
is
known
and
there
are
no
significant
uncertainties
on
collectability.
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. 
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,
and
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.
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”
("RIC")
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
the 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
September
30,
2021,
the
Funds
had
no
examinations
in
progress.
Certain
Funds
have
agreed
to
the
terms
of
a
closing
agreement
with
the
Internal
Revenue
Service
(“IRS”)
as
a
result
of
overstated
qualified
dividend
income
(QDI)
reported
to
shareholders
for
the
tax
year
ended
September
30,
2017.
The
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
and
AQR
Large
Cap
Defensive
Style
Fund
recorded
a
tax
expense
of $150,861,
$3,097,
$8,261,
and
$19,146,
respectively,
of
which,
all
amounts
have
been
reimbursed
by
an
independent
third-party
service
provider
to
the
Trust.
Amounts
reimbursed
were
recorded
in
Other
Income
on
the
Statements
of
Operations.
Distributions
to
Shareholders:
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
The
AQR
Core
Plus
Bond
Fund's
distributions
from
net
investment
income
are
generally
declared
and
distributed
monthly.
For
all
other
Funds,
distributions
from
net
investment
income,
if
any,
are
generally
declared
and
distributed
at
least
annually.
All
of
the
Funds
generally
declare
and
distribute
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.
150
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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.
4.
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
a
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.
A
summary
of
transactions
with
each
affiliated issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
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. 
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
creates
additional
risks
beyond
those
that
would
exist
if
the
Funds
invested
in
the
underlying
positions
directly.
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.
151
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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.
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. 
Delayed
Delivery
Securities:
During
the
period, Certain
Funds
transacted
in
securities
on
a
delayed
delivery
basis.
Payment
and
delivery
may
take
place
after
the
customary
settlement
period
for
that
security.
The
price
of
the
underlying
securities
and
the
date
when
the
securities
will
be
delivered
and
paid
for
are
fixed
at
the
time
the
transaction
is
negotiated.
The
securities
purchased
on
a
delayed
delivery
basis
are
identified
as
such
in
the
Fund's
Schedule
of
Investments.
The
Funds
may
receive
compensation
for
interest
forgone
in
the
purchase
of
a
delayed
delivery
security.
With
respect
to
purchase
commitments,
the
Funds
identified
securities
as
segregated
in
their
records
with
a
value
at
least
equal
to
the
amount
of
the
commitment.
Losses
may
arise
due
to
changes
in
the
value
of
the
underlying
securities
or
if
the
counterparty
does
not
perform
under
the
contract
terms. 
To-Be-Announced
Commitments:
Certain Funds
may
invest
in
To-Be-Announced
(“TBA”)
commitments.
TBA
commitments
are
forward
agreements
for
the
purchase
or
sale
of
mortgage-backed
securities
for
a
fixed
price,
with
payment
and
delivery
on
an
agreed
upon
future
settlement
date.
The
term
TBA
is
derived
from
the
fact
that
the
actual
mortgage-backed
securities
that
will
be
delivered
to
fulfill
a
TBA
commitment
are
not
designated
at
the
time
the
trade
is
made
and
settlement
of
the
securities
often
takes
place
after
the
customary
settlement
period
for
mortgage-backed
securities.
The
price
and
specified
terms,
including
issuer,
rate
and
mortgage
terms
of
the
underlying
securities,
as
well
as
the
date
when
the
securities
will
be
delivered
and
paid
for
are
fixed
at
the
time
the
transaction
is
negotiated.
The
actual
pool
of
mortgage-backed
securities
to
be
delivered
is
announced
48
hours
prior
to
the
established
trade
settlement
date.
Settlement
of
TBA
commitments
can
occur
in
two
ways:
i
)
taking
or
making
delivery
of
mortgage
pools/securities;
or
ii)
pairing-off
with
an
offsetting
trade
for
cash
settlement.
The
Funds
may
receive
compensation
for
interest
forgone
in
the
purchase
of
a
delayed
delivery
security.
Investing
in
TBA
commitments,
which
are
accounted
for
as
purchases
and
sales
transactions,
involve
a
risk
of
loss
due
to
changes
in
the
value
of
the
security
prior
to
the
settlement
date
as
well
as
the
risk
that
the
counterparty
to
the
transaction
will
not
perform
its
obligations.
The
Funds
is
subject
to
this
risk
whether
or
not
the
Funds
take
delivery
of
the
positions
on
the
settlement
date
for
a
transaction.
TBA
commitments
outstanding
at
period
end,
if
any,
are
disclosed
in
the
Fund’s
Schedule
of
Investments.
Securities
Lending:
Certain
Funds
may
lend
securities
to
qualified
borrowers
approved
by
the
Adviser
in
order
to
generate
additional
income.
Securities
loaned
are
collateralized
by
cash
or
securities
issued
by
the
U.S.
Treasury
valued
at
102%
to
105%
of
the
market
value
of
the
securities
on
loan.
The
Funds
may
invest
cash
collateral
in
money
market
funds
as
indicated
on
the
Schedule
of
Investments.
The
Funds
bear
the
risk
of
loss
associated
with
the
collateral
investments
and
are
not
entitled
to
additional
collateral
from
the
borrower
to
cover
any
such
losses.
152
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
Daily
market
fluctuations
could
cause
the
value
of
loaned
securities
to
be
more
or
less
than
the
value
of
the
collateral
received.
When
this
occurs,
the
collateral
is
adjusted
and
settled
on
the
next
business
day.
Securities
lending
also
involves
counterparty
risks,
including
the
risk
that
the
loaned
securities
may
not
be
returned
in
a
timely
manner
or
at
all.
In
the
event
of
a
default
by
a
borrower
with
respect
to
any
loan,
the
lending
agent
will
exercise
any
and
all
remedies
provided
under
the
applicable
borrower
agreement
to
make
the
Funds
whole.
If,
despite
such
efforts
by
the
lending
agent
to
exercise
these
remedies,
the
Funds
sustain
losses
as
a
result
of
a
borrower’s
default,
the
lending
agent
indemnifies
the
Funds
by
purchasing
replacement
securities
at
its
expense,
or
paying
the
Funds
an
amount
equal
to
the
market
value
of
the
replacement
securities,
subject
to
certain
limitations
which
are
set
forth
in
the
Securities
Lending
Agency
Agreement
between
the
Funds
and
the
lending
agent.
Non-cash
collateral
received,
if
any,
is
disclosed
in
a
footnote
to
the
Schedules
of
Investments
for
each
Fund.
Securities
lending
income,
net
on
the
Statements
of
Operations
represents
fees
charged
to
borrowers
plus
income
earned
on
invested
cash
collateral
and
non-cash
collateral,
less
expenses
associated
with
the
loan.
Certain
of
the
securities
on
loan
may
have
been
sold
prior
to
the
close
of
the
reporting
period
and
are
included
in
Receivables
for
Securities
Sold
on
the
Statements
of
Assets
and
Liabilities.
Security
loans
can
be
terminated
at
the
discretion
of
either
the
lending
agent
or
the
Fund
and
the
related
securities
must
be
returned
within
the
earlier
of
the
standard
trade
settlement
period
for
such
securities
or
within
three
business
days.
At
period
end,
Funds
with
investments
securities
on
loan
disclose
the
balance
of
such
securities
on
loan
in
the
footnotes
to
the
Schedule
of
Investments. The
fair
value
of
the
Funds'
investment
securities
on
loan
and
a
related
liability
for
collateral
received
on
securities
loaned
are
both
presented
gross
on
the
Statements
of
Assets
and
Liabilities.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
i)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
ii)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
options
or
short
sales
of
securities
between
certain
Funds
and
selected
counterparties.
These
arrangements
provide
financing
terms
for
such
transactions
and
include
guidelines
surrounding
the
rights,
obligations,
and
other
events,
including,
but
not
limited
to,
margin,
execution,
and
settlement.
These
agreements
maintain
provisions
for
payments,
maintenance
of
collateral,
events
of
default,
and
termination.
Margin
and
other
assets
delivered
as
collateral
are
typically
held
by
the
prime
broker
and
offset
any
obligations
due
to
the
prime
broker.
Customer
Account
Agreements
govern
cleared
derivatives
transactions
and
exchange-traded
futures
and
options
transactions.
Upon
entering
into
an
exchange-traded
or
centrally
cleared
derivative
contract,
the
Funds
are
required
to
deposit
with
the
relevant
clearing
organization
cash
or
securities,
which
are
referred
to
as
the
initial
margin.
Securities
deposited
as
initial
margin
are
designated
on
the
Schedules
of
Investments
and
cash
deposited
is
recorded
as
Deposits
with
brokers
for
centrally
cleared
swaps
and
Deposits
with
brokers
for
futures
contracts
on
the
Statements
of
Assets
and
Liabilities.
For
exchange-traded
futures
or
centrally
cleared
swaps,
initial
margin
is
posted,
and
daily
changes
in
fair
value
are
recorded
as
a
payable
or
receivable
on
the
Statements
of
Assets
and
Liabilities
as
Variation
margin
on
centrally
cleared
swaps
and
Variation
margin
on
futures
contracts.
Variation
margin
is
determined
separately
for
exchange-traded
futures
and
centrally
cleared
swaps
and
cannot
be
netted.
International
Swaps
and
Derivatives
Association,
Inc.
Master
Agreements
and
Credit
Support
Annexes
(“ISDA
Master
Agreements”)
govern
OTC
derivative
transactions
entered
into
between
certain
Funds
and
a
counterparty.
ISDA
Master
Agreements
maintain
provisions
for
general
obligations,
representations,
netting
of
settlement
payments,
agreements
to
deliver
supporting
documents,
collateral
transfer
and
events
of
default
or
termination.
Events
of
termination
include
a
decline
in
the
Fund’s
net
assets
below
a
specified
threshold
over
a
certain
period
of
time
or
a
decline
in
the
counterparty’s
long-term
and
short-term
credit
ratings
below
a
specified
level.
In
each
case,
upon
occurrence,
the
other
party
may
elect
to
terminate
early
and
cause
settlement
of
all
OTC
contracts
outstanding,
including
the
payment
of
any
losses
and
costs
resulting
from
such
early
termination,
as
reasonably
determined
by
the
terminating
party.
Any
decision
by
a
party
to
elect
early
termination
could
be
material
to
the
financial
statements
and
impact
a
Fund’s
future
derivative
activity.
Collateral
pledged
by
a
Fund
for
OTC
derivatives
pursuant
to
a
Master
Agreement
is
segregated
by
the
Fund’s
custodian
and
identified
as
an
asset
in
the
Statements
of
Assets
and
Liabilities
either
as
a
component
of
Investments
in
securities,
at
value
(securities)
or
in
Due
from
brokers
(cash).
Collateral
and
margin
requirements
differ
according
to
the
terms
of
each
type
of
Master
Agreement.
Collateral
is
routinely
transferred
if
the
total
net
exposure
net
of
existing
collateral
already
in
place
governed
under
the
relevant
Master
Agreement
with
a
counterparty
in
a
given
account
exceeds
a
specified
threshold.
Collateral
can
be
in
the
form
of
cash,
debt
securities
issued
by
the
U.S.
government,
money
market
funds
and
other
securities
as
agreed
to
by
the
Fund
and
the
applicable
counterparty,
or
as
permitted
by
the
clearing
house
or
exchange.
Collateral
posted
for
the
benefit
of
a
Fund
pursuant
to
a
Master
Agreement
is
held
by
a
custodian
of
the
Fund.
Amounts
which
can
be
invested
or
repledged,
are
presented
in
the
Fund’s
Schedule
of
Investments.
Segregation
of
a
fund’s
collateral
in
the
custodian
account
helps
mitigate
counterparty
risk.
Collateral
received
is
reflected
as
a
liability
within
Due
to
brokers
in
the
Statements
of
Assets
and
Liabilities.
As
governed
by
the
relevant
Master
Agreements,
interest
expense
may
be
incurred
if
a
counterparty
charges
the
Fund
interest
on
collateral
posted
directly
to
a
Fund’s
custodian
account.
153
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
The
collateral
requirements
for
TBA
commitments
are
typically
calculated
by
netting
the
mark-to-market
amount
for
each
transaction
under
such
agreement
and
comparing
that
amount
to
the
value
of
the
collateral
currently
pledged
by
the
Fund
and
the
counterparty.
Typically,
the
Fund
is
permitted
to
sell,
re-pledge
or
use
the
collateral
it
receives;
however,
the
counterparty
is
not
permitted
to
do
so.
For
financial
reporting
purposes,
the
Funds
do
not
offset
derivative
assets
and
derivative
liabilities
subject
to
master
netting
agreements
on
the
Statements
of
Assets
and
Liabilities.
5.
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
of
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.
154
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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,
or
in
foreign
markets
that
close
at
4:00pm
Eastern
time
where
the
market
is
closed
due
to
a
holiday,
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
that
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
a
daily
basis
using
quotations
provided
by
an
independent
pricing
service. 
OTC
derivatives,
including
forward
contracts
and
swap
contracts,
are
valued
by
the
Funds
on
a
daily
basis
using
observable
inputs,
such
as
quotations
provided
by
an
independent
pricing
service,
the
counterparty,
dealers
or
brokers,
whenever
available
and
considered
reliable.
The
value
of
each
total
return
swap
contract
and
total
return
basket
swap
contract
is
derived
from
a
combination
of
(i)
the
net
value
of
the
underlying
positions,
which
are
valued
daily
using
the
last
sale
or
closing
price
on
the
principal
exchange
on
which
the
securities
are
traded;
(ii)
financing
costs;
(iii)
the
value
of
dividends
or
accrued
interest;
(iv)
cash
balances
within
the
swap;
and
(v)
other
factors,
as
applicable. 
The
U.S.
Dollar
value
of
forward
foreign
currency
exchange
contracts
is
determined
using
current
forward
currency
exchange
rates
supplied
by
an
independent
pricing
service. 
Credit
default
swap
contracts
and
interest
rate
swap
contracts
are
marked
to
market
daily
based
on
quotations
as
provided
by
an
independent
pricing
service.
The
independent
pricing
services
aggregate
valuation
information
from
various
market
participants
to
create
a
single
reference
value
for
each
credit
default
swap
contract
and
interest
rate
swap
contract. 
Generally,
a
valuation
model
is
used
consistently
for
similar
derivative
types.
In
instances
where
models
are
used,
the
value
of
an
OTC
derivative
depends
upon
the
contractual
terms
of,
and
specific
risks
inherent
in,
the
instrument
as
well
as
the
availability
and
reliability
of
observable
inputs.
Such
inputs
typically
may
include
market
prices
for
reference
securities,
yield
curves,
credit
spreads,
measures
of
volatility,
prepayment
rates
and
implied
correlations
of
such
inputs
which
are
obtained
from
outside
brokers
and/or
pricing
services
when
available.
Certain
OTC
derivatives,
such
as
generic
forwards,
swaps
and
options,
have
inputs
which
can
generally
be
corroborated
by
market
data
and
are
therefore
classified
within
Level
2.
Those
OTC
derivatives
that
have
less
liquidity
or
for
which
inputs
are
unobservable
are
classified
within
Level
3.
While
the
valuations
of
less
liquid
OTC
derivatives
may
utilize
some
Level
1
and/or
Level
2
inputs,
they
also
may
include
other
unobservable
inputs
which
may
be
considered
significant
to
the
fair
value
determination. 
155
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
Quantitative
Information
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments.
AQR
LARGE
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,242,558,407
$
–
$
–
$
1,242,558,407
Preferred
Stocks
................................
526,150
–
–
526,150
Securities
Lending
Collateral
.......................
1,017,901
–
–
1,017,901
Short-Term
Investments
...........................
54,829,748
–
–
54,829,748
Total
Assets
$
1,298,932,206
$
–
$
–
$
1,298,932,206
LIABILITIES
Futures
Contracts*
...............................
$
(1,226,217)
$
–
$
–
$
(1,226,217)
Total
Liabilities
$
(1,226,217)
$
–
$
–
$
(1,226,217)
AQR
SMALL
CAP
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
124,316,879
$
–
$
73,367
$
124,390,246
Preferred
Stocks
................................
172,980
–
–
172,980
Securities
Lending
Collateral
.......................
1,057,300
–
–
1,057,300
Short-Term
Investments
...........................
5,663,770
–
–
5,663,770
Total
Assets
$
131,210,929
$
–
$
73,367
$
131,284,296
LIABILITIES
Futures
Contracts*
...............................
$
(74,349)
$
–
$
–
$
(74,349)
Total
Liabilities
$
(74,349)
$
–
$
–
$
(74,349)
AQR
INTERNATIONAL
MULTI-STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
54,165,431
$
421,931,748
$
–
$
476,097,179
Short-Term
Investments
...........................
21,630,059
–
–
21,630,059
Total
Assets
$
75,795,490
$
421,931,748
$
–
$
497,727,238
LIABILITIES
Futures
Contracts*
...............................
$
(1,023,711)
$
–
$
–
$
(1,023,711)
Total
Liabilities
$
(1,023,711)
$
–
$
–
$
(1,023,711)
AQR
EMERGING
MULTI-STYLE
II
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
128,095,415
$
479,336,631
$
–
$
607,432,046
Rights
†
........................................
–
–
11,746
11,746
Securities
Lending
Collateral
.......................
1,049,169
–
–
1,049,169
Short-Term
Investments
...........................
30,797,264
–
–
30,797,264
Total
Assets
$
159,941,848
$
479,336,631
$
11,746
$
639,290,225
LIABILITIES
Futures
Contracts*
...............................
$
(1,060,013)
$
–
$
–
$
(1,060,013)
Total
Liabilities
$
(1,060,013)
$
–
$
–
$
(1,060,013)
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,107,601,215
$
–
$
–
$
1,107,601,215
Preferred
Stocks
................................
53,568
–
–
53,568
Securities
Lending
Collateral
.......................
2,954,257
–
–
2,954,257
Short-Term
Investments
...........................
50,879,382
–
–
50,879,382
Total
Assets
$
1,161,488,422
$
–
$
–
$
1,161,488,422
LIABILITIES
Futures
Contracts*
...............................
$
(1,827,512)
$
–
$
–
$
(1,827,512)
Total
Liabilities
$
(1,827,512)
$
–
$
–
$
(1,827,512)
156
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
263,646,810
$
–
$
76,881
$
263,723,691
Securities
Lending
Collateral
.......................
10,053,554
–
–
10,053,554
Short-Term
Investments
...........................
13,123,740
–
–
13,123,740
Total
Assets
$
286,824,104
$
–
$
76,881
$
286,900,985
LIABILITIES
Futures
Contracts*
...............................
$
(216,352)
$
–
$
–
$
(216,352)
Total
Liabilities
$
(216,352)
$
–
$
–
$
(216,352)
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
97,024,240
$
472,749,764
$
–
(a)
$
569,774,004
Securities
Lending
Collateral
.......................
3,529,683
–
–
3,529,683
Short-Term
Investments
...........................
25,698,381
–
–
25,698,381
Total
Assets
$
126,252,304
$
472,749,764
$
–
(a)
$
599,002,068
LIABILITIES
Futures
Contracts*
...............................
$
(1,037,160)
$
–
$
–
$
(1,037,160)
Total
Liabilities
$
(1,037,160)
$
–
$
–
$
(1,037,160)
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
5,471,473,254
$
–
$
–
$
5,471,473,254
Securities
Lending
Collateral
.......................
3,066,167
–
–
3,066,167
Short-Term
Investments
...........................
202,731,623
–
–
202,731,623
Total
Assets
$
5,677,271,044
$
–
$
–
$
5,677,271,044
LIABILITIES
Futures
Contracts*
...............................
$
(6,780,124)
$
–
$
–
$
(6,780,124)
Total
Liabilities
$
(6,780,124)
$
–
$
–
$
(6,780,124)
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
32,559,713
$
225,003,077
$
–
$
257,562,790
Securities
Lending
Collateral
.......................
1,201,393
–
–
1,201,393
Short-Term
Investments
...........................
11,151,177
–
–
11,151,177
Total
Assets
$
44,912,283
$
225,003,077
$
–
$
269,915,360
LIABILITIES
Futures
Contracts*
...............................
$
(509,545)
$
–
$
–
$
(509,545)
Total
Liabilities
$
(509,545)
$
–
$
–
$
(509,545)
AQR
GLOBAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
201,230,288
$
86,269,250
$
–
(a)
$
287,499,538
Short-Term
Investments
...........................
31,305,225
–
–
31,305,225
Futures
Contracts*
...............................
299,174
–
–
299,174
Forward
Foreign
Currency
Exchange
Contracts*
........
–
2,186,294
–
2,186,294
Total
Return
Swaps
Contracts*
......................
–
119,691
–
119,691
Total
Assets
$
232,834,687
$
88,575,235
$
–
(a)
$
321,409,922
LIABILITIES
Futures
Contracts*
...............................
$
(1,663,972)
$
–
$
–
$
(1,663,972)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,567,882)
–
(2,567,882)
Total
Return
Swaps
Contracts*
......................
–
(496,387)
–
(496,387)
Total
Liabilities
$
(1,663,972)
$
(3,064,269)
$
–
$
(4,728,241)
157
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price. 
The
fair
values
of
Level
3
investments
are
based
on
significant
unobservable
inputs
that
reflect
the
Adviser’s
determination
of
assumptions
that
market
participants
might
reasonably
use
in
valuing
the
securities.
Changes
in
significant
unobservable
inputs
could
cause
significant
changes
in
valuation
to
individual
securities
and
in
aggregate.
Fair
value
determinations
and
valuation
of
investments
that
are
not
actively
trading
involve
judgment
and
may
differ
materially
from
valuations
that
would
have
been
used
had
greater
market
activity
occurred.
The
significant
unobservable
inputs
used
in
the
fair
value
measurement
of
a
Fund’s
investments
in
common
stocks,
corporate
bonds,
convertible
bonds,
convertible
preferred
stocks
and
warrants
potentially
include
credit
spread,
liquidity
discount,
earnings
multiples
and
volatility.
Significant
increases
in
the
credit
spread
or
liquidity
discount
inputs
in
isolation
would
potentially
result
in
a
significantly
lower
fair
value
measurement,
whereas
an
increase
in
volatility
generally
results
in
a
higher
fair
value
measurement.
Generally,
a
change
in
the
assumption
used
for
the
credit
spread
would
be
accompanied
by
a
directionally-similar
change
in
the
assumptions
used
for
the
volatility
and
liquidity
discount.
Investments
in
common
stocks
potentially
include
liquidity
discounts,
theoretical
values,
book
to
value
analysis
and/or
broker
quotes.
Significant
changes
in
any
of
these
inputs
would
significantly
change
the
fair
value
measurement
of
the
position.
There
were
no
other
Level
3
securities
held
at
period
end,
except
those
securities
classified
as
Level
3
in
the
Schedules
of
Investments
of
AQR
Small
Cap
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Global
Equity
Fund
and
AQR
International
Equity
Fund
which
are
considered
quantitatively
insignificant
for
additional
disclosure.
AQR
INTERNATIONAL
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
202,029
$
89,895,030
$
–
(a)
$
90,097,059
Short-Term
Investments
...........................
10,000,172
–
–
10,000,172
Futures
Contracts*
...............................
202,961
–
–
202,961
Forward
Foreign
Currency
Exchange
Contracts*
........
–
721,493
–
721,493
Total
Return
Swaps
Contracts*
......................
–
18,561
–
18,561
Total
Assets
$
10,405,162
$
90,635,084
$
–
(a)
$
101,040,246
LIABILITIES
Futures
Contracts*
...............................
$
(559,559)
$
–
$
–
$
(559,559)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(511,609)
–
(511,609)
Total
Return
Swaps
Contracts*
......................
–
(44,713)
–
(44,713)
Total
Liabilities
$
(559,559)
$
(556,322)
$
–
$
(1,115,881)
AQR
CORE
PLUS
BOND
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Corporate
Bonds
................................
$
–
$
18,723,101
$
–
$
18,723,101
Foreign
Government
Securities
.....................
–
20,798,356
–
20,798,356
Mortgage-Backed
Securities
.......................
–
20,090,931
–
20,090,931
U.S.
Treasury
Obligations
.........................
–
15,599,081
–
15,599,081
Securities
Lending
Collateral
.......................
211,157
–
–
211,157
Short-Term
Investments
...........................
7,356,805
–
–
7,356,805
Futures
Contracts*
...............................
380,187
–
–
380,187
Forward
Foreign
Currency
Exchange
Contracts*
........
–
395,907
–
395,907
Interest
Rate
Swap
Contracts*
......................
–
852,451
–
852,451
Credit
Default
Swap
Contracts*
.....................
–
351,233
–
351,233
Total
Assets
$
7,948,149
$
76,811,060
$
–
$
84,759,209
LIABILITIES
Mortgage-Backed
Securities(Sold
Short)
..............
$
–
$
(578,698)
$
–
$
(578,698)
Futures
Contracts*
...............................
(93,440)
–
–
(93,440)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(298,736)
–
(298,736)
Interest
Rate
Swap
Contracts*
......................
–
(1,101,146)
–
(1,101,146)
Credit
Default
Swap
Contracts*
.....................
–
(471,882)
–
(471,882)
Total
Liabilities
$
(93,440)
$
(2,450,462)
$
–
$
(2,543,902)
*
Derivative
instruments,
including
futures,
forward
foreign
currency
exchange
and
total
return
swap
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/
(depreciation)
of
the
instrument
within
the
Funds
Schedule
of
Investments.
Credit
default
swaps
and
interest
rate
swaps
contracts
are
reported
at
market
value.
Only
current
day’s
variation
margin
is
reported
within
the
Statement
of
Assets
and
Liabilities
for
exchange-
traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
158
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
6.
Federal
Income
Tax
Matters
At
September
30,
2021,
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,
mark
to
market
on
passive
foreign
investment
companies
(“PFIC”),
non-taxable
dividends
from
fund
investments
including
Real
Estate
Investment
Trusts
(“REITs”),
corporate
actions
and
differences
in
the
tax
treatment
of
certain
swap
contracts.
As
of
September
30,
2021,
the
components
of
distributable
earnings
on
a
tax
basis
were
as
follows:  
The
differences
between
book
basis
and
tax
basis
components
of
distributable
earnings
are
primarily
attributable
to
wash
sales
loss
deferrals,
mark
to
market
on
forward
foreign
currency
exchange
contracts,
mark
to
market
on
regulated
futures
contracts,
mark
to
market
on
PFIC
investments,
mark
to
market
on
equity
swaps,
non-taxable
dividends
from
fund
investments
including
REITs,
loss
deferrals
from
tax
straddles,
capital
loss
carry
forwards
and
corporate
actions.
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Large
Cap
Multi-Style
Fund
...........................
$
744,497,210
$
560,610,709
$
(7,401,930)
$
553,208,779
AQR
Small
Cap
Multi-Style
Fund
............................
83,361,790
48,933,166
(1,085,009)
47,848,157
AQR
International
Multi-Style
Fund
..........................
380,813,077
126,023,901
(10,133,451)
115,890,450
AQR
Emerging
Multi-Style
II
Fund
...........................
465,698,085
182,662,918
(10,130,791)
172,532,127
AQR
Large
Cap
Momentum
Style
Fund
.......................
733,831,676
429,847,616
(4,018,382)
425,829,234
AQR
Small
Cap
Momentum
Style
Fund
.......................
203,157,175
88,264,103
(4,736,645)
83,527,458
AQR
International
Momentum
Style
Fund
.....................
427,163,928
173,935,287
(3,134,307)
170,800,980
AQR
Large
Cap
Defensive
Style
Fund
........................
3,484,927,222
2,193,241,244
(7,677,546)
2,185,563,698
AQR
International
Defensive
Style
Fund
......................
218,509,982
55,562,724
(4,666,891)
50,895,833
AQR
Global
Equity
Fund
..................................
261,175,517
66,196,391
(10,690,227)
55,506,164
AQR
International
Equity
Fund
.............................
91,104,108
13,168,886
(4,348,629)
8,820,257
AQR
Core
Plus
Bond
Fund
................................
83,597,210
1,077,108
(1,510,969)
(433,861)
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
Large
Cap
Multi-Style
Fund
$
45,042,225
$
90,220,656
$
553,208,779
$
—
$
—
$
688,471,660
AQR
Small
Cap
Multi-Style
Fund
.
171,213
6,916,093
47,848,157
—
—
54,935,463
AQR
International
Multi-Style
Fund
12,621,248
(15,482,189)
115,882,827
—
—
113,021,886
AQR
Emerging
Multi-Style
II
Fund
12,474,453
(20,563,685)
170,895,989
—
—
162,806,757
AQR
Large
Cap
Momentum
Style
Fund
....................
23,351,960
146,597,555
425,829,215
—
—
595,778,730
AQR
Small
Cap
Momentum
Style
Fund
....................
10,357,880
43,957,349
83,527,458
—
—
137,842,687
AQR
International
Momentum
Style
Fund
....................
9,998,614
(18,380,000)
170,808,415
—
—
162,427,029
AQR
Large
Cap
Defensive
Style
Fund
....................
44,799,560
79,227,564
2,185,563,698
—
(698,819)
2,308,892,003
AQR
International
Defensive
Style
Fund
....................
6,395,057
(6,394,223)
50,888,548
—
—
50,889,382
AQR
Global
Equity
Fund
.......
11,729,099
25,405,554
55,482,416
—
(425,437)
92,191,632
AQR
International
Equity
Fund
..
3,800,300
(5,747,419)
8,822,462
—
(1,641,204)
5,234,139
AQR
Core
Plus
Bond
Fund
.....
—
1,487,598
(293,038)
(46,620)
(46,802)
1,101,138
159
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
As
of
September
30,
2021,
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
capital
losses
permanently
lost
due
to
limitation
and
redemptions
utilized
as
distributions.
The
result
of
operations
and
net
assets
were
not
affected
by
the
reclassifications.
.
The
tax
character
of
distributions
paid
during
the
fiscal
year-ends September
30,
2021
and
September
30,
2020 were
as
follows:
During
the
year
ended
September
30,
2021,
the
Funds
utilized
capital
loss
carryforwards
in
the
amounts
listed
below:
FUND
TOTAL
DISTRIBUTABLE
EARNINGS
(LOSS)
PAID-IN
CAPITAL
AQR
Large
Cap
Multi-Style
Fund
..................................................
$
(23,904,962)
$
23,904,962
AQR
Small
Cap
Multi-Style
Fund
...................................................
(354,063)
354,063
AQR
International
Multi-Style
Fund
.................................................
(12,673,533)
12,673,533
AQR
Emerging
Multi-Style
II
Fund
..................................................
(3,583,252)
3,583,252
AQR
Large
Cap
Momentum
Style
Fund
..............................................
(9,717,005)
9,717,005
AQR
Small
Cap
Momentum
Style
Fund
..............................................
(4,250,847)
4,250,847
AQR
International
Momentum
Style
Fund
............................................
(21,047,508)
21,047,508
AQR
Large
Cap
Defensive
Style
Fund
...............................................
(2,721,601)
2,721,601
AQR
Global
Equity
Fund
.........................................................
(1,988,331)
1,988,331
AQR
International
Equity
Fund
....................................................
32,374
(32,374)
AQR
Core
Plus
Bond
Fund
.......................................................
(8,082)
8,082
SEPTEMBER
30,
2021
SEPTEMBER
30,
2020
FUND
ORDINARY
INCOME
CAPITAL
GAINS
ORDINARY
INCOME
CAPITAL
GAINS
AQR
Large
Cap
Multi-Style
Fund
...................................
$
15,172,346
$
90,432,973
$
17,174,906
$
54,502,406
AQR
Small
Cap
Multi-Style
Fund
....................................
2,073,914
—
5,648,012
338,822
AQR
International
Multi-Style
Fund
..................................
4,981,295
—
8,028,157
—
AQR
Emerging
Multi-Style
II
Fund
...................................
6,359,162
—
8,915,691
—
AQR
Large
Cap
Momentum
Style
Fund
...............................
9,727,763
105,959,643
9,953,497
78,738,688
AQR
Small
Cap
Momentum
Style
Fund
...............................
3,717,396
9,874,931
1,463,078
10,013,730
AQR
International
Momentum
Style
Fund
.............................
5,217,246
—
10,514,986
—
AQR
Large
Cap
Defensive
Style
Fund
................................
82,000,865
—
63,891,848
—
AQR
International
Defensive
Style
Fund
..............................
3,978,985
—
6,052,641
—
AQR
Global
Equity
Fund
..........................................
4,477,784
—
4,612,611
—
AQR
International
Equity
Fund
.....................................
3,696,493
—
6,978,918
—
AQR
Core
Plus
Bond
Fund
........................................
4,367,250
1,567,289
3,007,150
111,535
FUND
SHORT-TERM
LONG-TERM
AQR
Large
Cap
Multi-Style
Fund
..........................................................
$
2,969,309
$
–
AQR
Small
Cap
Multi-Style
Fund
...........................................................
41,210,747
–
AQR
International
Multi-Style
Fund
.........................................................
16,332,586
1,259,120
AQR
Emerging
Multi-Style
II
Fund
..........................................................
8,218,478
–
AQR
International
Momentum
Style
Fund
....................................................
33,279,767
–
AQR
Large
Cap
Defensive
Style
Fund
.......................................................
92,161,993
–
AQR
International
Defensive
Style
Fund
.....................................................
750,444
1,164,455
AQR
Global
Equity
Fund
.................................................................
23,314,265
–
AQR
International
Equity
Fund
............................................................
18,620,172
–
160
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
As
of
September
30,
2021,
for
federal
income
tax
purposes,
the
following
Funds
have
capital
loss
carryforwards,
with
no
expiration,
available
to
offset
future
capital
gains,
if
any,
to
the
extent
provided
by
the
U.S.
Treasury
regulations.
The
ability
to
utilize
capital
loss
carryforwards
in
the
future
may
be
limited
under
the
Internal
Revenue
Code
and
related
regulations
based
on
the
results
of
future
transactions. 
In
connection
with
the
Reorganizations
described
in
Note
2,
certain
of
the
Acquiring
Funds
acquired
capital
loss
carryforwards
as
noted
in
the
table
below.
In
addition
to
the
acquired
capital
loss
carryforwards,
the
Acquiring
Funds
also
acquired
unrealized
capital
losses.
The
yearly
utilization
of
the
acquired
capital
loss
carryforwards
and unrealized
capital
losses
may
be
limited
by
the
Internal
Revenue
Code.
In
conjunction
with
the
Reorganizations
described
in
Note
2,
certain
Target
Funds
inadvertently
failed
to
distribute
to
their
respective
shareholders
sufficient
investment
company
taxable
income
or
net capital
gains
for
the
tax
years
ending
on
the
Reorganization
dates
of
March
8,
2021 and
March
15,
2021,
respectively,
as
required
by
Subchapter
M
of
the
Internal
Revenue
Code.
In
order
to
meet
the
distribution
requirements
under
Subchapter
M
to
maintain
'RIC"
status,
the
respective Acquiring
Funds
each
paid
a
“deficiency
dividend,”
as
described
in
Section
860(f)
of
the
Internal
Revenue
Code,
in
the
amounts
below
on
May
27,
2021:
The
payments
of
these
dividends
fulfill
each
Fund's
distribution
requirements
for
RIC
qualification
purposes,
thereby
preserving
each
Fund's
RIC
status.
7.
Investment
Transactions
During
the year
ended
September
30,
2021,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
FUND
SHORT-TERM
LONG
TERM
AQR
International
Multi-Style
Fund
*
.................................................
$
15,482,189
$
—
AQR
Emerging
Multi-Style
II
Fund
..................................................
20,563,685
—
AQR
International
Momentum
Style
Fund
*
............................................
18,380,000
—
AQR
International
Defensive
Style
Fund
.............................................
—
6,394,223
AQR
International
Equity
Fund
....................................................
5,747,419
—
*
Capital
loss
carryforwards
are
reduced
for
limitations
to
the
extent
required
by
the
Internal
Revenue
Code
and
may
be
further
limited
depending
upon
a
variety
of
factors,
including
the
realization
of
net
unrealized
gains
or
losses
as
of
the
date
of
any
reorganization.
ACQUIRING FUND 
TARGET
FUND 
SHORT-TERM 
LONG
TERM 
AQR
Large
Cap
Multi-Style
Fund 
AQR
TM
Large
Cap
Multi-Style
Fund 
$2,969,309
$—
AQR
Small
Cap
Multi-Style
Fund 
AQR
TM
Small
Cap
Multi-Style
Fund 
108,184
—
AQR
International
Multi-Style
Fund 
AQR
TM
International
Multi-Style
Fund 
10,761,920
1,259,120
AQR
Emerging
Multi-Style
II
Fund 
AQR
Emerging
Multi-Style
Fund 
3,183,710
—
AQR
International
Momentum
Style
Fund 
AQR
TM
International
Momentum
Style
Fund 
20,673,082
—
ACQUIRING FUND 
TARGET
FUND 
ORDINARY
INCOME 
CAPITAL
GAINS 
AQR
Large
Cap
Momentum
Style
Fund 
AQR
TM
Large
Cap
Momentum
Style
Fund 
—
$
6,125,047 
AQR
Small
Cap
Momentum
Style
Fund 
AQR
TM
Small
Cap
Momentum
Style
Fund 
—
451,801 
FUND
PURCHASES
SALES
SECURITIES
SOLD
SHORT
COVERS
ON
SECURITIES
SOLD
SHORT
AQR
Large
Cap
Multi-Style
Fund
...........................
$
715,462,858
$
1,097,185,215
$
—
$
—
AQR
Small
Cap
Multi-Style
Fund
............................
79,603,660
277,539,972
—
—
AQR
International
Multi-Style
Fund
..........................
234,766,356
236,757,268
—
—
AQR
Emerging
Multi-Style
II
Fund
...........................
395,372,589
303,990,226
—
—
AQR
Large
Cap
Momentum
Style
Fund
.......................
957,776,516
1,097,876,692
—
—
AQR
Small
Cap
Momentum
Style
Fund
.......................
254,714,138
322,393,964
—
—
AQR
International
Momentum
Style
Fund
.....................
419,638,901
450,914,034
—
—
AQR
Large
Cap
Defensive
Style
Fund
........................
960,647,073
2,294,276,930
—
—
AQR
International
Defensive
Style
Fund
......................
107,643,525
70,542,614
—
—
AQR
Global
Equity
Fund
..................................
281,255,470
304,510,647
—
—
AQR
International
Equity
Fund
.............................
91,796,566
117,113,532
—
—
AQR
Core
Plus
Bond
Fund
................................
734,647,303
794,815,298
578,082,311
578,375,946
161
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
During
the year
ended
September
30,
2021,
the
Funds
had
purchases
and
sales
of
long-term
U.S.
Government
obligations,
which
are
included
in
the
table
above,
as
follows:
8.
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
derivative
instruments
held
by
the
Funds,
by
primary
underlying
risk
and
contract
type,
as
included
in
the
Statements
of
Assets
and
Liabilities
at
September
30,
2021.
FUND
PURCHASES
SALES
AQR
Core
Plus
Bond
Fund
...............................................................
$
122,244,414
$
146,995,320
AQR
LARGE
CAP
MULTI-
STYLE
FUND
AQR
SMALL
CAP
MULTI-
STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Equity
Risk
Exposure:
1,226,217
74,349
1,023,711
1,060,013
Unrealized
Depreciation
on
Futures
Contracts
*
.................
$
(1,226,217)
$
(74,349)
$
(1,023,711)
$
(1,060,013)
1,226,217
74,349
1,023,711
1,060,013
Net
Fair
Value
of
Derivative
Contracts:
(2,452,434)
(148,698)
(2,047,422)
(2,120,026)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(1,226,217)
(74,349)
(1,023,711)
(1,060,013)
2,452,434
148,698
2,047,422
2,120,026
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Equity
Risk
Exposure:
1,827,512
216,352
1,037,160
6,780,124
Unrealized
Depreciation
on
Futures
Contracts
*
.................
$
(1,827,512)
$
(216,352)
$
(1,037,160)
$
(6,780,124)
1,827,512
216,352
1,037,160
6,780,124
Net
Fair
Value
of
Derivative
Contracts:
(3,655,024)
(432,704)
(2,074,320)
(13,560,248)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(1,827,512)
(216,352)
(1,037,160)
(6,780,124)
3,655,024
432,704
2,074,320
13,560,248
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
Equity
Risk
Exposure:
509,545
2,579,224
825,795
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
–
$
299,174
$
202,961
$
–
Swaps
at
Value
(Assets)
..................................
–
119,691
18,561
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(509,545)
(1,663,972)
(559,559)
–
Swaps
at
Value
(Liabilities)
................................
–
(496,387)
(44,713)
–
509,545
2,579,224
825,795
–
Foreign
Exchange
Rate
Risk
Exposure:
–
4,754,176
1,233,092
694,643
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
–
2,186,294
721,493
395,907
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
–
(2,567,882)
(511,609)
(298,736)
–
4,754,176
1,233,092
694,643
Interest
Rate
Risk
Exposure:
–
–
–
2,427,220
Unrealized
Appreciation
on
Futures
Contracts
*
..................
–
–
–
380,187
Swaps
at
Value
(Assets)
..................................
–
–
–
852,451
Unrealized
Depreciation
on
Futures
Contracts
*
.................
–
–
–
(93,440)
Swaps
at
Value
(Liabilities)
................................
–
–
–
(1,101,146)
–
–
–
2,427,220
Credit
Risk
Exposure:
–
–
–
823,116
Swaps
at
Value
(Assets)
..................................
–
–
–
351,233
Swaps
at
Value
(Liabilities)
................................
–
–
–
(471,882)
162
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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
September
30,
2021
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
–
–
–
823,116
Net
Fair
Value
of
Derivative
Contracts:
(1,019,090)
(4,246,164)
(555,618)
(354,772)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(509,545)
(1,364,798)
(356,598)
286,747
Swaps
at
Value
.........................................
–
(376,696)
(26,152)
(369,344)
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
.....................................
–
(381,588)
209,884
97,171
1,019,090
4,246,164
555,618
354,772
*
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.
*
AQR
LARGE
CAP
MULTI-
STYLE
FUND
AQR
SMALL
CAP
MULTI-
STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
18,937,232
771,491
4,169,192
5,662,756
Futures
Contracts
.......................................
$
18,937,232
$
771,491
$
4,169,192
$
5,662,756
18,937,232.48
771,490.85
4,169,192.46
5,662,755.55
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
(1,648,199)
19,966
(838,823)
(993,042)
Futures
Contracts
.......................................
(1,648,199
)
19,966
(838,823
)
(993,042
)
1,648,199
19,966
838,823
993,042
*
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
7,813,111
2,409,241
4,082,216
68,185,633
Futures
Contracts
.......................................
$
7,813,111
$
2,409,241
$
4,082,216
$
68,185,633
7,813,111.37
2,409,241.37
4,082,215.85
68,185,632.51
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
(1,846,125)
(35,883)
(627,066)
(11,597,714)
Futures
Contracts
.......................................
(1,846,125
)
(35,883
)
(627,066
)
(11,597,714
)
1,846,125
35,883
627,066
11,597,714
*
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
2,261,807
7,159,527
2,499,490
–
Futures
Contracts
.......................................
$
2,261,807
$
5,684,571
$
2,196,550
$
–
Swap
Contracts
........................................
–
1,474,955
302,940
–
2,261,806.78
7,159,526.59
2,499,489.97
–
Foreign
Exchange
Rate
Risk
Exposure:
–
(3,681,779)
(1,740,367)
387,472
Forward
Foreign
Currency
Exchange
Contracts
.................
–
(3,681,779
)
(1,740,367
)
387,472
–
(3,681,779)
(1,740,367)
387,472
Interest
Rate
Risk
Exposure:
–
–
–
(1,741,298)
Futures
Contracts
.......................................
–
–
–
(326,377
)
Swap
Contracts
........................................
–
–
–
(1,414,921
)
–
–
–
(1,741,297.55)
Credit
Risk
Exposure:
–
–
–
(28,044)
163
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
*
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
Swap
Contracts
........................................
–
–
–
(28,044
)
–
–
–
(28,043.72)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
(276,815)
(2,710,532)
(831,792)
–
Futures
Contracts
.......................................
(276,815
)
(1,984,652
)
(622,932
)
–
Swap
Contracts
........................................
–
(725,880
)
(208,858
)
–
276,815
2,710,532
831,792
–
Foreign
Exchange
Rate
Risk
Exposure:
–
344,037
825,996
161,743
Forward
Foreign
Currency
Exchange
Contracts
.................
–
(344,037
)
825,996
(161,743
)
–
344,037
825,996
161,743
Interest
Rate
Risk
Exposure:
–
–
–
550,007
Futures
Contracts
.......................................
–
–
–
532,431
Swap
Contracts
........................................
–
–
–
17,575
–
–
–
550,007
Credit
Risk
Exposure:
–
–
–
44,719
Swap
Contracts
........................................
–
–
–
44,721
–
–
–
44,719
164
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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
September
30,
2021:
AQR
Global
Equity
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$7,399,966.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
.........
Forward
Foreign
Currency
Exchange
Contracts
$
1,093,047
$
(1,093,047)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Swap
Contracts
30,352
(2,852)
27,500
–
–
27,500
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
1,093,247
(1,093,247)
–
JPMC
.........
Total
Return
Swap
Contracts
89,339
(89,339)
–
Total
JPMC
1,182,586
(1,182,586)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
2,305,985
(2,278,485)
27,500
–
–
27,500
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
1,284,811
$
(1,093,047)
$
191,764
$
–
$
(191,764)
$
–
CITI
...........
Total
Return
Swap
Contracts
189,478
–
189,478
–
–
189,478
GSIN
..........
Total
Return
Swap
Contracts
2,852
(2,852)
–
–
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,283,071
(1,093,247)
189,824
JPMC
..........
Total
Return
Swap
Contracts
304,057
(89,339)
214,718
Total
JPMC
1,587,128
(1,182,586)
404,542
–
(404,542)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,064,269
(2,278,485)
785,784
–
(596,306)
189,478
165
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
AQR
International
Equity
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
$2,288,520.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITG
.........
Forward
Foreign
Currency
Exchange
Contracts
$
360,538
$
(255,827)
$
104,711
$
–
$
(60,002)
$
44,709
GSIN
.........
Total
Return
Swap
Contracts
6,348
(6,348)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
360,955
(255,782)
105,173
JPMC
.........
Total
Return
Swap
Contracts
12,213
(12,213)
–
Total
JPMC
373,168
(267,995)
105,173
–
–
105,173
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
740,054
(530,170)
209,884
–
(60,002)
149,882
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITG
..........
Forward
Foreign
Currency
Exchange
Contracts
$
255,827
$
(255,827)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Swap
Contracts
24,800
(6,348)
18,452
–
(18,452)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
255,782
(255,782)
–
JPMC
..........
Total
Return
Swap
Contracts
19,913
(12,213)
7,700
Total
JPMC
275,695
(267,995)
7,700
–
(7,700)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
556,322
(530,170)
26,152
–
(26,152)
–
166
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
AQR
Core
Plus
Bond
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
$
37,084
and
total
additional
collateral
pledged
was
$
826,369.
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
$
219,824
$
(156,908)
$
62,916
$
–
$
(62,916)
$
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
176,083
(141,828)
34,255
–
–
34,255
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
395,907
(298,736)
97,171
–
(62,916)
34,255
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
$
156,908
$
(156,908)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
141,828
(141,828)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
298,736
(298,736)
–
–
–
–
167
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
For
the year
ended
September
30,
2021,
the
quarterly
average
notional
values
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
*
AQR
LARGE
CAP
MULTI-
STYLE
FUND
AQR
SMALL
CAP
MULTI-
STYLE
FUND
AQR
INTERNATIONAL
MULTI-STYLE
FUND
AQR
EMERGING
MULTI-STYLE
II
FUND
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
66,739,279
$
5,538,485
$
18,090,917
$
23,973,846
$
28,782,244
Average
Notional
Balance
-
Short
–
–
–
–
–
Ending
Notional
Balance
-
Long
45,341,263
4,511,640
23,236,750
29,396,160
45,771,038
Ending
Notional
Balance
-
Short
–
–
–
–
–
*
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
AQR
GLOBAL
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
8,683,264
$
19,805,052
$
164,866,379
$
13,475,984
$
89,499,090
Average
Notional
Balance
-
Short
–
–
–
–
56,498,127
Ending
Notional
Balance
-
Long
11,224,080
24,256,900
157,082,763
11,788,400
81,555,526
Ending
Notional
Balance
-
Short
–
–
–
–
51,806,335
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
–
–
–
–
232,822,390
Average
Settlement
Value
-
Sold
–
–
–
–
196,320,562
Ending
Value
-
Purchased
–
–
–
–
225,030,134
Ending
Value
-
Sold
–
–
–
–
198,594,467
Total
Return
Swaps:
Average
Notional
Balance
-
Long
–
–
–
–
17,519,899
Average
Notional
Balance
-
Short
–
–
–
–
10,812,559
Ending
Notional
Balance
-
Long
–
–
–
–
19,278,945
Ending
Notional
Balance
-
Short
–
–
–
–
8,218,226
168
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
9.
Investment
Advisory
and
Other
Agreements
The
Adviser
serves
as
the
investment
adviser
to
each
of
the
Funds,
pursuant
to
an
investment
management
agreement
entered
into
by
the
Trust,
on
behalf
of
the
Funds
(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:
*
AQR
INTERNATIONAL
EQUITY
FUND
AQR
CORE
PLUS
BOND
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
35,079,504
$
31,554,887
Average
Notional
Balance
-
Short
21,259,916
25,803,536
Ending
Notional
Balance
-
Long
30,420,896
8,914,547
Ending
Notional
Balance
-
Short
22,663,140
20,962,376
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
71,404,606
27,848,326
Average
Settlement
Value
-
Sold
54,151,985
42,494,682
Ending
Value
-
Purchased
60,274,825
19,258,126
Ending
Value
-
Sold
45,980,948
37,969,096
Credit
Default
Swaps:
Average
Notional
Balance
-
Buy
Protection
–
18,790,000
Average
Notional
Balance
-
Sell
Protection
–
15,938,000
Ending
Notional
Balance
-
Buy
Protection
–
19,860,000
Ending
Notional
Balance
-
Sell
Protection
–
10,200,000
Total
Return
Swaps:
Average
Notional
Balance
-
Long
8,241,418
–
Average
Notional
Balance
-
Short
5,462,566
–
Ending
Notional
Balance
-
Long
7,037,729
–
Ending
Notional
Balance
-
Short
531,683
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
–
248,207,602
Average
Notional
Balance
-
Receives
Fixed
Rate
–
228,751,443
Ending
Notional
Balance
-
Pays
Fixed
Rate
–
155,297,358
Ending
Notional
Balance
-
Receives
Fixed
Rate
–
170,572,073
*
Notional
values
as
of
each
quarter
end
are
used
to
calculate
the
average
represented.
FUND
RATIO
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
0.25%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
0.45
AQR
International
Multi-Style
Fund
........................................................................
0.40
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
0.55(a)
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
0.25
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
0.45
AQR
International
Momentum
Style
Fund
...................................................................
0.40
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
0.25
AQR
International
Defensive
Style
Fund
....................................................................
0.40
AQR
Global
Equity
Fund
................................................................................
0.60
AQR
International
Equity
Fund
...........................................................................
0.65
AQR
Core
Plus
Bond
Fund
..............................................................................
0.32
(a)
Effective
March
8,
2021,
the
Advisory
Fee
was
reduced
from
0.60%
to
0.55%
169
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
January
28,
2022
for
Class
I,
N,
and
R6
shares(a).
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
each
Fund's
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
expense
reimbursement
to
the
Adviser
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.
Allowable
repayment
amounts
for
the
Acquiring
Funds
were
not
impacted
as
a
result
of
the
Reorganizations.
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
.....................................................
0.15
%
0.15
%
0.05
%
AQR
Small
Cap
Multi-Style
Fund
......................................................
0.15
0.15
0.05
AQR
International
Multi-Style
Fund
....................................................
0.15
0.15
0.05
AQR
Emerging
Multi-Style
II
Fund
.....................................................
0.15
0.15
0.05
AQR
Large
Cap
Momentum
Style
Fund
.................................................
0.15
0.15
0.05
AQR
Small
Cap
Momentum
Style
Fund
.................................................
0.15
0.15
0.05
AQR
International
Momentum
Style
Fund
...............................................
0.15
0.15
0.05
AQR
Large
Cap
Defensive
Style
Fund
..................................................
0.15
0.15
0.05
AQR
International
Defensive
Style
Fund
................................................
0.15
0.15
0.05
AQR
Global
Equity
Fund
............................................................
0.20
0.20
0.10
AQR
International
Equity
Fund
.......................................................
0.20
0.20
0.10
AQR
Core
Plus
Bond
Fund
..........................................................
0.15
0.15
0.05
170
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
For
the year
ended
September
30,
2021,
the
amounts reimbursed
by
the
Adviser,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at September
30,
2021
are
as
follows:
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
SEPTEMBER
30
,
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER
30
,
POTENTIAL
RECOUPMENT
AMOUNTS
EXPIRING
SEPTEMBER
30
,
2021
2021
20
22
20
23
20
24
AQR
LARGE
CAP
MULTI-STYLE
FUND
Class
I
...........
$
12,221
$
20,377
$
–
$
8,156
$
12,221
Class
N
...........
607
4,554
2,300
1,647
607
Class
R6
..........
50,987
148,987
29,243
68,757
50,987
Totals
$
63,815
$
173,918
$
31,543
$
78,560
$
63,815
AQR
SMALL
CAP
MULTI-STYLE
FUND
Class
I
...........
$
66,045
$
97,531
$
9,987
$
21,499
$
66,045
Class
N
...........
9,708
14,468
1,673
3,087
9,708
Class
R6
..........
78,045
361,234
121,142
162,047
78,045
Totals
$
153,798
$
473,233
$
132,802
$
186,633
$
153,798
AQR
INTERNATIONAL
MULTI-STYLE
FUND
Class
I
...........
$
36,313
$
116,873
$
48,136
$
32,424
$
36,313
Class
N
...........
2,758
9,643
3,854
3,031
2,758
Class
R6
..........
181,220
502,360
177,061
144,079
181,220
Totals
$
220,291
$
628,876
$
229,051
$
179,534
$
220,291
AQR
EMERGING
MULTI-STYLE
II
FUND
Class
I
...........
$
38,023
$
95,012
$
25,888
$
31,101
$
38,023
Class
N
...........
2,289
4,021
985
747
2,289
Class
R6
..........
404,749
1,022,117
279,500
337,868
404,749
Totals
$
445,061
$
1,121,150
$
306,373
$
369,716
$
445,061
AQR
LARGE
CAP
MOMENTUM
STYLE
FUND
Class
I
...........
$
50,356
$
184,311
$
38,435
$
95,520
$
50,356
Class
N
...........
4,053
18,820
6,398
8,369
4,053
Class
R6
..........
12,805
49,392
10,380
26,207
12,805
Totals
$
67,214
$
252,523
$
55,213
$
130,096
$
67,214
AQR
SMALL
CAP
MOMENTUM
STYLE
FUND
Class
I
...........
$
116,031
$
381,768
$
144,457
$
121,280
$
116,031
Class
N
...........
3,634
8,579
1,986
2,959
3,634
Class
R6
..........
38,381
83,357
12,412
32,564
38,381
Totals
$
158,046
$
473,704
$
158,855
$
156,803
$
158,046
AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND
Class
I
...........
$
128,506
$
433,676
$
174,075
$
131,095
$
128,506
Class
N
...........
28,868
72,085
20,137
23,080
28,868
Class
R6
..........
70,444
171,718
40,397
60,877
70,444
Totals
$
227,818
$
677,479
$
234,609
$
215,052
$
227,818
AQR
LARGE
CAP
DEFENSIVE
STYLE
FUND
Class
I
...........
$
–
$
–
$
–
$
–
$
–
Class
N
...........
3,185
40,081
6,286
30,610
3,185
Class
R6
..........
11,516
119,177
–
107,661
11,516
Totals
$
14,701
$
159,258
$
6,286
$
138,271
$
14,701
AQR
INTERNATIONAL
DEFENSIVE
STYLE
FUND
Class
I
...........
$
105,567
$
404,030
$
174,650
$
123,813
$
105,567
Class
N
...........
7,842
21,507
5,488
8,177
7,842
Class
R6
..........
86,682
176,936
28,846
61,408
86,682
Totals
$
200,091
$
602,473
$
208,984
$
193,398
$
200,091
AQR
GLOBAL
EQUITY
FUND
Class
I
...........
$
3,168
$
30,884
$
20,145
$
7,571
$
3,168
Class
N
...........
1,304
2,534
507
723
1,304
Class
R6
..........
60,854
120,507
20,740
38,913
60,854
Totals
$
65,326
$
153,925
$
41,392
$
47,207
$
65,326
171
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
During
the year
ended
September
30,
2021,
the
Funds
repaid
to
the
Advisor
amounts
previously
waived
or
reimbursed as
follows:
10.
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.
11.
Principal
Risks
and
Concentrations
The
Core
Plus
Bond
Fund
is
non-diversified.
Because
the
Fund
may
invest
in
securities
of
a
smaller
number
of
issuers,
the
Fund
may
be
more
exposed
to
the
risks
associated
with
and
developments
affecting
an
individual
issuer
than
a
fund
that
invests
more
widely,
which
may,
therefore,
have
a
greater
impact
on
the
Fund’s
performance.
The
investment
techniques
and
strategies
utilized
by
the
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.
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).
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
SEPTEMBER
30,
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER
30,
POTENTIAL
RECOUPMENT
AMOUNTS
EXPIRING
SEPTEMBER
30,
2021
2021
2022
2023
2024
AQR
INTERNATIONAL
EQUITY
FUND
Class
I
...........
$
97,911
$
292,637
$
116,191
$
78,535
$
97,911
Class
N
...........
2,183
8,022
3,711
2,128
2,183
Class
R6
..........
84,421
128,922
18,088
26,413
84,421
Totals
$
184,515
$
429,581
$
137,990
$
107,076
$
184,515
AQR
CORE
PLUS
BOND
FUND
Class
I
...........
$
129,509
$
224,733
$
20,579
$
74,645
$
129,509
Class
N
...........
1,169
4,300
1,908
1,223
1,169
Class
R6
..........
87,662
473,776
246,235
139,879
87,662
Totals
$
218,340
$
702,809
$
268,722
$
215,747
$
218,340
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Large
Cap
Multi-Style
Fund
...........................................
$
16,971
$
104
$
11,215
AQR
Large
Cap
Momentum
Style
Fund
.......................................
36,590
145
853
AQR
Large
Cap
Defensive
Style
Fund
........................................
–
26,721
83,536
AQR
International
Equity
Fund
.............................................
–
689
–
172
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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
deposits
between
major
international
banks
(LIBOR
rates
are
available
for
five
currencies
-
CHF,
EUR,
GBP,
JPY,
USD
-
across
a
range
of
tenors).
On
July
27,
2017,
the
head
of
the United
Kingdom
("UK")
Financial
Conduct
Authority
("FCA") announced
a
desire
to
phase
out
the
use
of
LIBOR.
The
FCA
has
confirmed
that
all
LIBOR
settings
will
either
cease
to
be
provided
by
any
administrator
or
no
longer
be
representative:
(1)
immediately
after
December
31,
2021,
in
the
case
of
all
British
Pound,
Euro,
Swiss
Franc
and
Japanese
Yen
settings,
and
the
1-week
and
2-month
USD
settings;
and
(2)
immediately
after
June
30,
2023,
in
the
case
of
the
remaining
USD
settings.
Regulators
and
industry
working
groups
have
suggested
alternative
reference
rates, and global
consensus
is
growing
around
the
process
for
amending
existing
contracts
or
instruments
to
transition
away
from
LIBOR.
There
does
remain
some
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. 
Mortgage-related
and
other
mortgage-backed
securities
are
subject
to
certain
risks,
including
“extension
risk”
(i.e.,
in
periods
of
rising
interest
rates,
issuers
may
pay
principal
later
than
expected)
and
“prepayment
risk”
(i.e.,
in
periods
of
declining
interest
rates,
issuers
may
pay
principal
more
quickly
than
expected,
causing
the
Funds
to
reinvest
proceeds
at
lower
prevailing
interest
rates).
Exposure
to
mortgage-backed
securities
offered
by
non-
governmental
issuers
are
subject
to
other
risks
as
well,
including
failures
of
private
insurers
to
meet
their
obligations
and
unexpectedly
high
rates
of
default
on
the
mortgages
backing
the
securities. 
Sovereign
debt
investments
are
subject
to
the
risk
that
a
governmental
entity
may
delay
or
refuse
to
pay
interest
or
repay
principal
on
its
sovereign
debt,
due,
for
example,
to
cash
flow
problems,
insufficient
foreign
currency
reserves,
political
considerations,
the
relative
size
of
the
governmental
entity’s
debt
position
in
relation
to
the
economy
or
the
failure
to
put
in
place
economic
reforms
required
by
the
International
Monetary
Fund
or
other
multilateral
agencies.
If
a
governmental
entity
defaults,
it
may
ask
for
more
time
in
which
to
pay
or
for
further
loans.
There
is
no
legal
process
for
collecting
sovereign
debt
that
a
government
does
not
pay
nor
are
there
bankruptcy
proceedings
through
which
all
or
part
of
the
sovereign
debt
that
a
governmental
entity
has
not
repaid
may
be
collected.
Investment
in
securities
of
foreign
issuers
may
involve
certain
risks
that
are
greater
than
those
associated
with
investments
in
securities
of
U.S.
issuers.
These
include
risks
of
adverse
changes
in
foreign
economic,
political,
regulatory
and
other
conditions;
changes
in
currency
exchange
rates
or
exchange
control
regulations
(including
limitations
on
currency
movements
and
exchanges);
the
imposition
of
economic
sanctions
or
other
government
restrictions;
differing
accounting,
auditing,
financial
reporting
and
legal
standards
and
practices;
differing
securities
market
structures;
and
higher
transaction
costs.
To
the
extent
a
fund’s
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. 
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
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.
173
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
net
asset
value
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
Similar
to
credit
risk,
a
Fund
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Fund
has
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose
a
Fund
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
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,
may
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.
174
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
12.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies.
This
program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
No
Fund
may
borrow
or
lend
money
through
the
program
unless
it
receives
a
more
favorable
rate
than
is
typically
available
for
comparable
borrowings
from
a
bank
or
investments
in
U.S.
Treasury
bills,
respectively.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program. Interest
expense
paid,
as
a
result
of
borrowing
under
this
agreement
is
included
in
Interfund
lending
expense
in
the
Statements
of
Operations.
During
the
reporting
period,
average
borrowings
under
the
Interfund
Lending
Program
were
as
follows:
There
were
no
open
borrowings
as
of
September
30,
2021
by
any
of
the
Funds.
13.
Line
of
Credit
Effective
March
20,
2021
and
terminating
on
March
19,
2022,
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)
1.25%
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
and
allocated
to
each
participating
fund,
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
the
Agreement,
and
each
Fund's
allocated
commitment
fee,
is
included
in
Interest
expense
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of September
30,
2021
by
any
of
the
Funds.
The
Funds
had
the
following
borrowings
during
the
period:
FUND
AVERAGE
LOANS
WEIGHTED
AVERAGE
INTEREST
RATE
INTEREST
PAID
AQR
Large
Cap
Multi-Style
Fund
.......................................
$
6,900,000
0.56%
$
532
AQR
International
Defensive
Style
Fund
..................................
400,000
0.55
12
AQR
Global
Equity
Fund
..............................................
22,375,000
0.55
2,710
AQR
Core
Plus
Bond
Fund
............................................
5,000,000
0.58
79
FUND
AVERAGE
BORROWINGS
AVERAGE
INTEREST
RATE
NUMBER
OF
DAYS
OUTSTANDING
INTEREST
PAID
AQR
Large
Cap
Multi-Style
Fund
......................................
$22,000,000
1.09
%
6
$3,997
AQR
Small
Cap
Multi-Style
Fund
.......................................
14,400,000
1.09
5
2,180
AQR
Small
Cap
Momentum
Style
Fund
..................................
1,500,000
1.09
6
273
AQR
Core
Plus
Bond
Fund
...........................................
8,000,000
1.08
1
240
175
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
14.
Principal
Ownership
As
of
September
30,
2021,
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.
15.
New
Accounting
Pronouncements
and
Regulations 
In
March
2020,
the
Financial
Accounting
Standards
Board
("FASB") issued
Accounting
Standards
Update
("ASU")
No.
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.
In
January
2021,
the
FASB
issued
ASU
No.
2021-01
with
further
amendments
to
Topic
848.
Together,
the
ASUs
provide
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. The
ASUs are
elective
and are
effective
for
certain
reference
rate-related
contract
modifications
that
occur
during
the
period
March
12,
2020
through
December
31,
2022.
Management
has
reviewed
the
requirements
and
believes
the
adoption
of
these
ASUs
will
not
have
a
material
impact
on
the
financial
statements.
In
October
2020,
the
Securities
and
Exchange
Commission
(the
“SEC”)
adopted
new
regulations
governing
the
use
of
derivatives
by
registered
investment
companies
(“Rule
18f-4”).
The
Trust
will
be
required
to
implement
and
comply
with
Rule
18f-4
by
August
19,
2022.
Once
implemented,
Rule
18f-4
will
replace
the
current
requirements
on
funds
to
“set
aside”
(often
referred
to
as
“asset
segregation”)
liquid
assets,
or
engage
in
other
SEC
or
staff-approved
measures,
to
“cover”
open
positions
with
respect
to
certain
kinds
of
derivative
instruments
with
a
requirement
to
ensure
a
Fund
has
a
derivatives
risk
management
program
consistent
with
Rule
18f-4,
along
with
other
requirements
such
as
compliance
with
a
specific
value-at-risk
(“VaR”)
based
limit
on
leverage
risk.
The
Board
of
Trustees
will
have
an
oversight
role
in
ensuring
these
new
requirements
are
being
taken
into
account
and
will
appoint
a
derivatives
risk
manager
to
handle
the
day-to-day
responsibilities
of
the
derivatives
risk
management
program.
In
December
2020,
the
SEC
voted
to
adopt
a
new
rule
providing
a
framework
for
fund
valuation
practices.
New
Rule
2a-5
(“Rule
2a-5”)
under
the
1940
Act
establishes
requirements
for
determining
fair
value
in
good
faith
for
purposes
of
the
1940
Act.
Rule
2a-5
will
permit
boards,
subject
to
board
oversight
and
certain
other
conditions,
to
designate
certain
parties
to
perform
fair
value
determinations.
Rule
2a-5
also
defines
when
market
quotations
are
“readily
available”
for
purposes
of
the
1940
Act
and
the
threshold
for
determining
whether
a
fund
must
fair
value
a
security.
The
SEC
also
adopted
new
Rule
31a-4
(“Rule
31a-4”),
which
provides
the
recordkeeping
requirements
associated
with
fair
value
determinations.
Finally,
the
SEC
is
rescinding
previously
issued
guidance
on
related
issues,
including
the
role
of
the
board
in
determining
fair
value
and
the
accounting
and
auditing
of
fund
investments,
effective
as
of
the
2a-5
compliance
date.
Rule
2a-5
and
Rule
31a-4 became
effective
on
March
8,
2021.
The
compliance
date
for
Rule
2a-5
and
Rule
31a-4
is
September
8,
2022.
A
fund
is
not
required
to
comply
with
the
rules until
the
compliance
date.
Management
is
currently
assessing
the
impact
of
these
provisions
on
the
Funds’
financial
statements
and
various
filings.
16.
Subsequent
Events 
At
a
meeting
held
on
November
9,
2021,
the
Board
of
Trustees
of
the
AQR
Funds
approved
a
proposal
to
liquidate
the
AQR
Core
Plus
Bond
Fund.
Prior
to
the
Liquidation
Date
(as
defined
below),
in
addition
to
the
Fund's
typical
monthly
income
distributions
and
scheduled
December
2021
annual
capital
gains
distribution,
the
Fund
may
declare
one
or
more
additional
dividends
to
all
holders
of
record
as
of
a
date
or
dates
to
be
determined
consisting
of
any
undistributed
income
and
capital
gains
(net
of
available
capital
loss
carryovers)
of
the
Fund.
Prior
notice
of
such
dividends
will
be
posted
to
the
AQR
Funds
website
at
https://funds.aqr.com.
On
or
about
January
7,
2022
(the
"Liquidation
Date"),
the
Fund
will
make
a
liquidating
distribution
of
its
remaining
assets
proportionately
to
any
shareholders
holding
shares
on
the
Liquidation
Date.
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Large
Cap
Multi-Style
Fund
...........................................
4
92.58
%
AQR
Small
Cap
Multi-Style
Fund
............................................
3
89.08
AQR
International
Multi-Style
Fund
..........................................
4
94.53
AQR
Emerging
Multi-Style
II
Fund
...........................................
4
96.63
AQR
Large
Cap
Momentum
Style
Fund
.......................................
3
93.03
AQR
Small
Cap
Momentum
Style
Fund
.......................................
3
91.98
AQR
International
Momentum
Style
Fund
.....................................
3
97.24
AQR
Large
Cap
Defensive
Style
Fund
........................................
6
82.68
AQR
International
Defensive
Style
Fund
......................................
5
92.81
AQR
Global
Equity
Fund
..................................................
3
95.35
AQR
International
Equity
Fund
.............................................
4
78.43
AQR
Core
Plus
Bond
Fund*
...............................................
5
90.95
*
The
percentage
held
by
the
Adviser
and/or
affiliates
is
43.13%.
176
Notes
to
Financial
Statements
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events
other
than
those
disclosed
above.
177
Report
of
Independent
Registered
Public
Accounting
Firm
AQR
Funds
|
Annual
Report
|
September
2021
To
the
Board
of
Trustees
of
AQR
Funds
and
Shareholders
of
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund,
AQR
Global
Equity
Fund,
AQR
International
Equity
Fund
and
AQR
Core
Plus
Bond
Fund
Opinions
on
the
Financial
Statements
We
have
audited
the
accompanying
statements
of
assets
and
liabilities,
including
the
schedules
of
investments,
of
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Multi-Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Emerging
Multi-Style
II
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
International
Momentum
Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
International
Defensive
Style
Fund,
AQR
Global
Equity
Fund,
AQR
International
Equity
Fund
and
AQR
Core
Plus
Bond
Fund
(twelve
of
the
funds
constituting
AQR
Funds,
hereafter
collectively
referred
to
as
the
"Funds")
as
of
September
30,
2021,
the
related
statements
of
operations
for
the
year
ended
September
30,
2021,
the
statements
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
September
30,
2021,
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
September
30,
2021,
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
September
30,
2021,
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
September
30,
2021
by
correspondence
with
the
custodian,
transfer
agent
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
November
22,
2021
We
have
served
as
the
auditor
of
one
or
more
investment
companies
in
AQR
Funds
since
2008.
178
Other
Federal
Tax
Information
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
For
the
fiscal
year
ended
September
30,
2021,
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
September
30,
2021,
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 September
30,
2021:
Certain
Funds
have
derived
net
income
from
sources
within
foreign
countries.
For
the
year
ended
September
30,
2021,
the
foreign
source
income
for
each
Fund
was
as
follows:
Certain
Funds
intend
to
elect
to
pass
through
to
shareholders
the
credit
for
taxes
paid
to
foreign
countries.
For
the
year
ended
September
30,
2021,
the
foreign
taxes
paid
for
each
Fund
was
as
follows:
FUND
PERCENTAGE
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
81.60%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
100.00%
AQR
International
Multi-Style
Fund
........................................................................
99.49%
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
70.59%
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
56.65%
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
33.12%
AQR
International
Momentum
Style
Fund
...................................................................
89.59%
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
100.00%
AQR
International
Defensive
Style
Fund
....................................................................
99.37%
AQR
Global
Equity
Fund
................................................................................
96.05%
AQR
International
Equity
Fund
...........................................................................
99.83%
FUND
PERCENTAGE
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
81.46%
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
100.00%
AQR
Emerging
Multi-Style
II
Fund
.........................................................................
0.12%
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
56.38%
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
33.08%
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
100.00%
AQR
Global
Equity
Fund
................................................................................
62.33%
FUND
TOTAL
AQR
Large
Cap
Multi-Style
Fund
.........................................................................
$
111,402,124
AQR
Small
Cap
Multi-Style
Fund
..........................................................................
215,327
AQR
Large
Cap
Momentum
Style
Fund
.....................................................................
121,849,698
AQR
Small
Cap
Momentum
Style
Fund
.....................................................................
14,570,525
AQR
Large
Cap
Defensive
Style
Fund
......................................................................
2,721,601
AQR
Global
Equity
Fund
................................................................................
1,987,974
AQR
Core
Plus
Bond
Fund
..............................................................................
1,567,289
FUND
TOTAL
PER
SHARE
AQR
International
Multi-Style
Fund
.........................................................
$16,058,889
$0.4176
AQR
Emerging
Multi-Style
II
Fund
..........................................................
19,434,018
0.3686
AQR
International
Momentum
Style
Fund
....................................................
13,026,848
0.4138
AQR
International
Defensive
Style
Fund
.....................................................
7,596,639
0.4232
AQR
International
Equity
Fund
............................................................
3,722,081
0.0353
FUND
TOTAL
PER
SHARE
AQR
International
Multi-Style
Fund
.........................................................
$1,032,431
$0.0268
AQR
Emerging
Multi-Style
II
Fund
..........................................................
1,903,717
0.0361
AQR
International
Momentum
Style
Fund
....................................................
701,849
0.0223
AQR
International
Defensive
Style
Fund
.....................................................
625,282
0.0348
AQR
International
Equity
Fund
............................................................
41,957
0.0004
179
Other
Federal
Tax
Information
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
On
March
3,
2021,
the
AQR
Emerging
Multi-Style
Fund,
AQR
TM
Large
Cap
Multi-Style
Fund
and
AQR
TM
International
Multi-Style
Fund
each
paid
a
distribution
to
shareholders.
It
has
been
subsequently
determined
that
a
portion
of
each
distribution
is
estimated
to
be
a
return
of
capital
(“ROC”)
as
described
in
the
table
below.
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.
Please
note
that
each
of
these
funds
were
Target
Funds
in
the
March
8,
2021
Reorganizations
described
in
Note
2.
FUND
AMOUNT
OF
THE
ORIGINAL
DISTRIBUTION
AMOUNT
SUBSEQUENTLY
DETERMINED
TO
BE
ROC
PERCENTAGE
OF
DISTRIBUTION
SUBSEQUENTLY
DETERMINED
TO
BE
ROC
AQR
Emerging
Multi-Style
Fund
.................................
$  
4,024,514
$  
486,503
12%
AQR
TM
Large
Cap
Multi-Style
Fund
..............................
4,679,428
35,387
1%
AQR
TM
International
Multi-Style
Fund
............................
    4,842,924
    129,278
3%
180
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
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
9/30/2021”
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
  9/30/21
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        9/30/21
AQR
Large
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,064.40
0.41%
$2.12
Hypothetical
Return
$1,000.00
$1,023.01
0.41%
$2.08
Class
N
Actual
Return
$1,000.00
$1,063.50
0.66%
$3.41
Hypothetical
Return
$1,000.00
$1,021.76
0.66%
$3.35
Class
R6
Actual
Return
$1,000.00
$1,065.50
0.31%
$1.61
Hypothetical
Return
$1,000.00
$1,023.51
0.31%
$1.57
AQR
Small
Cap
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,010.60
0.61%
$3.07
Hypothetical
Return
$1,000.00
$1,022.01
0.61%
$3.09
Class
N
Actual
Return
$1,000.00
$1,009.50
0.86%
$4.33
Hypothetical
Return
$1,000.00
$1,020.76
0.86%
$4.36
Class
R6
Actual
Return
$1,000.00
$1,011.70
0.51%
$2.57
Hypothetical
Return
$1,000.00
$1,022.51
0.51%
$2.59
AQR
International
Multi-Style
Fund
Class
I
Actual
Return
$1,000.00
$1,024.20
0.56%
$2.84
Hypothetical
Return
$1,000.00
$1,022.26
0.56%
$2.84
Class
N
Actual
Return
$1,000.00
$1,022.70
0.81%
$4.11
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
R6
Actual
Return
$1,000.00
$1,024.20
0.46%
$2.33
Hypothetical
Return
$1,000.00
$1,022.76
0.46%
$2.33
181
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  9/30/21
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        9/30/21
AQR
Emerging
Multi-Style
II
Fund
Class
I
Actual
Return
$1,000.00
$953.10
0.71%
$3.48
Hypothetical
Return
$1,000.00
$1,021.51
0.71%
$3.60
Class
N
Actual
Return
$1,000.00
$951.70
0.96%
$4.70
Hypothetical
Return
$1,000.00
$1,020.26
0.96%
$4.86
Class
R6
Actual
Return
$1,000.00
$953.10
0.61%
$2.99
Hypothetical
Return
$1,000.00
$1,022.01
0.61%
$3.09
AQR
Large
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,123.20
0.40%
$2.13
Hypothetical
Return
$1,000.00
$1,023.06
0.40%
$2.03
Class
N
Actual
Return
$1,000.00
$1,121.80
0.65%
$3.46
Hypothetical
Return
$1,000.00
$1,021.81
0.65%
$3.29
Class
R6
Actual
Return
$1,000.00
$1,123.70
0.30%
$1.60
Hypothetical
Return
$1,000.00
$1,023.56
0.30%
$1.52
AQR
Small
Cap
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,010.20
0.61%
$3.07
Hypothetical
Return
$1,000.00
$1,022.01
0.61%
$3.09
Class
N
Actual
Return
$1,000.00
$1,009.00
0.86%
$4.33
Hypothetical
Return
$1,000.00
$1,020.76
0.86%
$4.36
Class
R6
Actual
Return
$1,000.00
$1,010.60
0.51%
$2.57
Hypothetical
Return
$1,000.00
$1,022.51
0.51%
$2.59
AQR
International
Momentum
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,059.40
0.55%
$2.84
Hypothetical
Return
$1,000.00
$1,022.31
0.55%
$2.79
Class
N
Actual
Return
$1,000.00
$1,058.40
0.81%
$4.18
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
R6
Actual
Return
$1,000.00
$1,059.50
0.45%
$2.32
Hypothetical
Return
$1,000.00
$1,022.81
0.45%
$2.28
AQR
Large
Cap
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,078.70
0.34%
$1.77
Hypothetical
Return
$1,000.00
$1,023.36
0.34%
$1.72
Class
N
Actual
Return
$1,000.00
$1,077.00
0.65%
$3.38
Hypothetical
Return
$1,000.00
$1,021.81
0.65%
$3.29
Class
R6
Actual
Return
$1,000.00
$1,078.80
0.30%
$1.56
Hypothetical
Return
$1,000.00
$1,023.56
0.30%
$1.52
182
Fund
Expense
Examples
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
Expenses
are
calculated
using
each
Class’
annualized
expense
ratio,
multiplied
by
the
average
account
value
for
the
period,
multiplied
by
183/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  9/30/21
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        9/30/21
AQR
International
Defensive
Style
Fund
Class
I
Actual
Return
$1,000.00
$1,032.90
0.55%
$2.80
Hypothetical
Return
$1,000.00
$1,022.31
0.55%
$2.79
Class
N
Actual
Return
$1,000.00
$1,031.70
0.80%
$4.07
Hypothetical
Return
$1,000.00
$1,021.06
0.80%
$4.05
Class
R6
Actual
Return
$1,000.00
$1,033.60
0.45%
$2.29
Hypothetical
Return
$1,000.00
$1,022.81
0.45%
$2.28
AQR
Global
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,020.50
0.81%
$4.10
Hypothetical
Return
$1,000.00
$1,021.01
0.81%
$4.10
Class
N
Actual
Return
$1,000.00
$1,018.80
1.06%
$5.36
Hypothetical
Return
$1,000.00
$1,019.75
1.06%
$5.37
Class
R6
Actual
Return
$1,000.00
$1,020.40
0.71%
$3.60
Hypothetical
Return
$1,000.00
$1,021.51
0.71%
$3.60
AQR
International
Equity
Fund
Class
I
Actual
Return
$1,000.00
$979.30
0.86%
$4.27
Hypothetical
Return
$1,000.00
$1,020.76
0.86%
$4.36
Class
N
Actual
Return
$1,000.00
$978.00
1.10%
$5.45
Hypothetical
Return
$1,000.00
$1,019.55
1.10%
$5.57
Class
R6
Actual
Return
$1,000.00
$979.00
0.76%
$3.77
Hypothetical
Return
$1,000.00
$1,021.26
0.76%
$3.85
AQR
Core
Plus
Bond
Fund
Class
I
Actual
Return
$1,000.00
$1,017.60
0.47%
$2.38
Hypothetical
Return
$1,000.00
$1,022.71
0.47%
$2.38
Class
N
Actual
Return
$1,000.00
$1,016.60
0.72%
$3.64
Hypothetical
Return
$1,000.00
$1,021.46
0.72%
$3.65
Class
R6
Actual
Return
$1,000.00
$1,018.00
0.37%
$1.87
Hypothetical
Return
$1,000.00
$1,023.21
0.37%
$1.88
183
Trustees
and
Officers
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
September
30,
2021
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.
_________
1
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.
2
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.
3
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
PRESENTOR
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)
34
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)
34
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)
34
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)
34
Mark
A.
Zurack,
M.B.A.,
CFA
1957
Trustee,
since
2014
Professor,
Columbia
Business
School
(since
2002)
34
Exchange
Traded
Concepts
Trust
(since
2011)
Interested
Trustees
3
David
Kabiller,
CFA,
1963
Trustee,
since
2010
Founding
Principal,
AQR
Capital
Management,
LLC
(since
1998)
34
None
Officers
Ted
Pyne,
M.B.A.,
Ph.D.,
1966
Chief
Executive
Officer
and
President,
since
2020
Principal,
AQR
Capital
Management,
LLC
(since
2016)
34
None
H.J.
Willcox,
J.D.,
1966
Chief
Compliance
Officer,
since
2013;
Anti-Money
Laundering
Officer,
since
2017
Principal,
Chief
Legal
Officer
and
Global
Head
of
Compliance,
AQR
Capital
Management,
LLC
(since
2013)
N/A
N/A
Heather
Bonner,
CPA,
1977
Chief
Financial
Officer,
since
2014;
Treasurer,
since
2018
Managing
Director,
AQR
Capital
Management,
LLC
(since
2013)
N/A
N/A
Bradley Asness, J.D.,
M.B.A.,
1969
Vice
President,
since 2009
Principal
and
Co-Chief
Operating
Officer,
AQR
Capital
Management,
LLC
(since
1998)
N/A
N/A
Nicole
DonVito,
J.D.,
1979
Chief
Legal
Officer,
since
2014;
Vice
President,
since 2009
Managing
Director,
Senior
Counsel
&
Head
of
Registered
Products,
AQR
Capital
Management,
LLC
(since
2007)
N/A
N/A
John
Hadermayer,
J.D.,
1977
Secretary,
since
2018
AQR
Capital
Management,
LLC
(since
2013)
N/A
N/A
Patrick
Ryan,
CPA
1965
Assistant
Treasurer,
since
2020
Principal,
AQR
Capital
Management,
LLC
(since
2012)
N/A
N/A
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
184
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
The
Board
of
Trustees
(the
“Board,”
and
the
members
of
which
are
referred
to
as
“Board
Members”)
of
the
AQR
Funds
(the
“Trust”)
held
a
telephonic
meeting
on
May
17-18
and
20,
2021
(the
“Meeting”)
to
consider
the
continuation
of
the
(i)
Third
Amended
and
Restated
Investment
Management
Agreement
between
AQR
Capital
Management,
LLC
(“AQR”)
and
the
Trust,
on
behalf
of
the
AQR
Global
Equity
Fund,
AQR
International
Defensive
Style
Fund,
AQR
International
Equity
Fund,
AQR
International
Momentum
Style
Fund,
AQR
International
Multi-Style
Fund,
AQR
Large
Cap
Defensive
Style
Fund,
AQR
Large
Cap
Momentum
Style
Fund,
AQR
Large
Cap
Multi-Style
Fund,
AQR
Small
Cap
Momentum
Style
Fund,
AQR
Small
Cap
Multi-
Style
Fund
and
AQR
Emerging
Multi-Style
II
Fund,
and
certain
other
series
of
the
Trust
(the
“Investment
Management
Agreement”);
and
(ii)
Investment
Management
Agreement
II,
as
amended,
between
AQR
and
the
Trust,
on
behalf
of
the
AQR
Core
Plus
Bond
Fund
and
certain
other
series
of
the
Trust
(the
“Investment
Management
Agreement
II”).
Each
of
the
aforementioned
series
of
the
Trust
may
be
referred
to
herein
as
a
“Fund”
and
collectively,
the
“Funds.”
The
Investment
Management
Agreement
and
the
Investment
Management
Agreement
II
are
referred
to
together
herein
as
the
“Management
Agreement,”
as
applicable
and
as
the
context
suggests.
During
the
Meeting,
the
Board
Members
who
are
not
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”)
(the
“Independent
Board
Members”),
met
with
independent
legal
counsel
and
representatives
of
AQR
to
review
the
materials
provided
and
the
relevant
legal
considerations.
In
accordance
with
Section
15(c)
of
the
1940
Act,
the
Board
requested
and
considered
materials
furnished
by
AQR
relevant
to
the
Board’s
consideration
of
whether
to
approve
the
continuation
of
the
Management
Agreement.
These
materials
included:
(i)
memoranda
and
materials
provided
by
AQR
describing
the
personnel
and
services
provided
to
the
Funds;
(ii)
performance
information
for
the
Funds
relevant
to
the
consideration
of
the
Management
Agreement;
(iii)
information
independently
compiled
and
prepared
by
Broadridge
relating
to
the
Funds’
fees
and
expenses
and
performance
relative
to
peers
within
Morningstar
fund
categories;
(iv)
financial
information
for
AQR
and
a
profitability
analysis
showing
AQR’s
profitability
from
providing
services
to
the
Funds;
and
(v)
a
discussion
of
the
compliance
program
of
AQR
and
the
regulatory
exam
history
of
AQR.
At
the
Meeting
the
Board,
including
the
Independent
Board
Members,
unanimously
approved
the
continuation
of
the
Management
Agreement
for
an
additional
one-year
period
for
each
Fund.
In
approving
the
continuation
of
the
Management
Agreement
for
a
Fund,
the
Board
considered
all
factors
it
believed
to
be
relevant
with
respect
to
the
Fund,
including,
among
other
factors:
(a)
the
nature,
extent
and
quality
of
the
services
provided
by
AQR;
(b)
the
investment
performance
of
the
Fund
and
AQR’s
portfolio
management;
(c)
the
management
fee
and
the
cost
of
the
services
provided
and
profits
realized
by
AQR
from
the
relationship
with
the
Funds
and
the
fund
complex;
(d)
economies
of
scale;
(e)
fall-out
benefits;
and
(f)
other
factors.
The
Board
also
considered
other
matters
it
deemed
important
to
the
approval
process,
such
as
AQR’s
services
related
to
the
valuation
and
pricing
of
the
Funds’
portfolio
holdings,
direct
and
indirect
benefits
to
AQR
and
its
affiliates
from
their
relationship
with
the
Funds
and
advice
from
independent
legal
counsel
with
respect
to
the
review
process
and
materials
submitted
for
the
Board’s
consideration.
The
Board
did
not
identify
any
particular
information
as
controlling,
and
each
Board
Member
may
have
attributed
different
weightings
to
the
various
items
considered.
In
considering
the
renewal
of
the
Management
Agreement
for
each
Fund,
the
Board
did
not
view
the
Management
Agreement
as
creating
third-party
beneficiary
rights
in
shareholders
to
enforce
the
terms
of
the
Management
Agreement
against
AQR.
The
following
is
a
summary
of
the
Board’s
discussion
and
views
regarding
the
factors
it
considered
in
evaluating
the
Management
Agreement:
The
Nature,
Extent
and
Quality
of
the
Services
Provided
by
AQR
.
The
Board
Members
reviewed
the
services
that
AQR
provided
to
the
Funds
under
the
Management
Agreement,
including
certain
administrative
services.
The
Board
considered
the
size
and
experience
of
AQR’s
staff,
its
use
of
technology,
and
the
Funds’
stated
investment
objectives,
strategies
and
processes.
In
connection
with
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
took
into
account
discussions
they
had
regularly
as
part
of
quarterly
Board
meetings
with
representatives
of
AQR
regarding
the
management
of
each
Fund’s
investments
in
accordance
with
the
Fund’s
stated
investment
objectives
and
policies
and
the
types
of
transactions
that
are
entered
into
on
behalf
of
each
Fund.
During
these
discussions,
the
Board
Members
asked
questions
of,
and
received
answers
from,
representatives
of
AQR
regarding
the
formulation
and
implementation
of
the
Funds’
investment
strategies,
their
efficacy
and
potential
risks.
In
addition
to
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
considered
that
AQR
also
provides
shareholder
and
administrative
services,
provides
oversight
of
Fund
accounting,
provides
risk
management,
provides
compliance
oversight,
administers
the
Funds’
liquidity
risk
management
program,
oversees
third
party
service
providers
and
provides
assistance
in
meeting
legal
and
regulatory
requirements
and
other
services
necessary
for
the
operation
of
the
Funds.
In
particular,
the
Board
Members
considered
the
compliance,
shareholder
and
administrative
services
provided
to
the
Funds
by
AQR
under
the
Management
Agreement.
The
Board
Members
recognized
the
enterprise
risk
involved
in
providing
services
to
the
Funds
over
time.
Finally,
the
Independent
Board
Members
had
several
opportunities
to
meet
outside
the
presence
of
Fund
management
in
executive
session
separately
with
independent
legal
counsel
to
discuss
and
consider
the
Management
Agreement.
Based
on
the
presentations
and
materials
at
the
Meeting
and
their
familiarity
gained
through
regular
Board
presentations
over
time,
the
Board
concluded
that
the
services
provided
to
the
Funds
by
AQR
pursuant
to
the
Management
Agreement
were
of
a
high
quality
and
benefit
the
Funds.
Investment
Performance
of
the
Funds
and
AQR
’s
Portfolio
Management.
The
Board
considered
the
investment
performance
of
each
Fund.
In
particular,
the
Independent
Board
Members
considered
the
investment
performance
of
the
Funds
relative
to
their
stated
objectives
and
AQR’s
efforts
to
achieve
such
goals
as
well
as
the
performance
of
the
Funds
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Performance
Peers”).
The
Board
was
cognizant
of
the
fact
that
in
some
cases,
Fund
performance
was
challenged
over
certain
measurement
periods
in
comparison
to
a
Fund’s
Performance
Peers,
and
considered
AQR’s
views
regarding
the
factors
contributing
to
such
underperformance
on
a
Fund-by-Fund
basis.
Representatives
from
AQR
noted
the
underperformance
of
the
value
factor,
which
tends
to
favor
cheaper
companies
with
modest
future
growth
forecasts,
which
contributed
to
the
relative
underperformance
of
certain
of
the
Funds
that
utilize
the
value
factor
in
their
strategies.
The
Board
also
noted
the
recent
rebound
in
value
stocks
that
contributed
to
outperformance
for
certain
strategies
during
the
first
quarter
of
2021.
AQR
indicated
it
remains
confident
in
its
fundamentally-oriented
philosophy
and
disciplined
systematic
investment
approach
to
managing
the
Funds.
185
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
The
Board
considered
that
Broadridge
comparisons
may
be
of
limited
use
in
some
cases
due
to
the
differences
between
the
ways
in
which
a
Fund
is
managed
from
other
Performance
Peers.
In
other
cases,
underperformance
in
relation
to
Performance
Peers
may
be
due
to
differences
in
a
Fund’s
investment
parameters
compared
to
its
Performance
Peers,
including
risk
limits,
volatility
targets,
model
limits
on
exposure
to
a
particular
country,
and
the
Fund’s
investment
universe.
Finally,
the
use
of
drawdown
control
and
internal
risk
protections
may
affect
a
Fund’s
performance
in
relation
to
its
Performance
Peers
or
benchmark.
The
Board
discussed
the
performance
of
the
Funds
with
AQR
at
Board
meetings
throughout
the
year.
AQR’s
presentations
to
the
Board
at
such
Board
meetings,
which
addressed
in
detail
the
drivers
of
underperformance
or
outperformance,
as
applicable,
supported
a
conclusion
that
the
Funds
were
being
managed
consistent
with
their
stated
policies
and
strategies.
The
Board
considered
AQR’s
performance
in
managing
other
registered
investment
companies
and
private
funds,
noting
that
other
funds
AQR
manages
might
have
investment
objectives,
policies
or
restrictions
different
from
those
of
the
Funds.
Based
on
these
factors,
the
Board
Members
determined
that
the
performance
of
each
Fund
is
consistent
with
its
stated
objectives
and
strategies
and
AQR’s
investment
process.
The
Management
Fee
and
the
Cost
of
the
Services
and
Profits
Realized
by
AQR
from
the
Relationship
with
the
Funds.
The
Board,
including
the
Independent
Board
Members,
received
information
regarding
the
management
fees
paid
by
the
Funds
to
AQR
pursuant
to
the
Management
Agreement.
The
Board
examined
this
information
in
order
to
determine
the
reasonableness
of
the
fees
in
light
of
the
nature
and
quality
of
services
provided
to
the
Funds
and
the
costs
incurred
by
and
benefits
to
AQR
in
providing
those
services,
and
other
relevant
factors.
To
assist
in
this
analysis,
the
Board
reviewed
comparative
fee
and
expense
information
for
each
Fund
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Expense
Peers”),
including
comparisons
of
contractual
management
fees
and
actual
net
expenses.
The
first
quartile
is
the
most
desirable
quartile
(i.e.,
relatively
lower
fees
or
expenses)
and
the
fourth
is
the
least
desirable
(i.e.,
relatively
higher
fees
or
expenses).
AQR
also
provided
a
supplemental
report
prepared
by
Broadridge
comparing
the
fee
components
of
the
Multi-Style,
Momentum
Style
and
Defensive
Style
Funds
to
the
fee
components
of
exchange-traded
funds
with
comparable
investment
strategies.
The
Board
noted
that,
as
of
December
31,
2020,
net
expenses
and
contractual
management
fees
for
each
of
the
Multi-Style,
Momentum
Style
and
Defensive
Style
Funds,
as
well
as
the
AQR
Core
Plus
Bond
Fund,
were
below
the
median
compared
to
their
Expense
Peers.
The
Board
noted
the
contractual
management
fee
reductions
for
the
Multi-Style
Funds
that
took
effect
on
July
1,
2020.
The
Board
further
recognized
that
seven
recent
fund
reorganizations
combined
Multi-Style
Funds
and
Momentum
Style
Funds
with
similar
investment
strategies,
resulting
in
fixed
costs
being
spread
across
a
larger
asset
base
for
each
surviving
Fund.
These
reorganizations
are
expected
to
result
in
lower
gross
expense
ratios,
and
the
same
or
lower
net
expense
ratios,
for
shareholders
of
the
Funds
involved
in
the
reorganizations.
The
Board
also
reviewed
information
regarding
the
fees
AQR
charges
for
other
funds
and
accounts
managed
by
AQR,
including
sub-advised
mutual
funds,
with
similar
investment
strategies
to
certain
of
the
Funds.
The
Board
noted
the
greater
services
provided
by
AQR
to
the
Funds
in
contrast
to
the
limited
role
of
AQR
when
it
sub-advises
third
party
mutual
funds
or
advises
separate
accounts
or
hedge
funds.
The
Board
also
received
and
reviewed
information
regarding
the
profitability
of
AQR
with
respect
to
Fund-related
activities.
AQR
provided
the
Board
Members
with
a
detailed
description
of
the
methodology
and
inputs
used
to
determine
profitability.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
including,
among
other
things,
fee
waivers
and
expense
reimbursements
by
AQR,
the
types
of
funds
managed,
costs
of
recruiting
and
retaining
personnel,
taxes,
expense
allocations
and
business
mix.
The
Board
reviewed
AQR’s
unaudited
financial
information.
The
purpose
of
the
review
was
to
help
the
Independent
Board
Members
determine
whether
the
firm
has
the
necessary
resources
to
continue
to
provide
high
quality
services
to
the
Funds
and
attract
and
retain
high
quality
employees.
Based
on
their
review
of
the
materials
presented
at
the
Meeting
and
discussions
of
these
materials,
the
Board
concluded
that
the
management
fees
under
the
Management
Agreement
are
reasonable
and
AQR’s
profitability
was
not
excessive.
Economies
of
Scale
AQR
provided
the
Board
with
information
concerning
the
extent
to
which
economies
of
scale
were
realized
as
the
Funds
grew
and
whether
fee
levels
were
reflective
of
such
economies
of
scale.
To
show
that
economies
are
being
shared,
AQR
presented
information
regarding
each
Fund’s
management
fees
relative
to
comparable
funds
of
similar
and/or
larger
sizes.
It
also
provided
Morningstar
data
for
the
purpose
of
showing
the
management
fee
for
each
Fund
at
higher
asset
levels
relative
to
its
peers,
some
of
which
have
breakpoints.
The
Board
considered
this
information
in
determining
the
reasonableness
of
continuing
to
operate
each
Fund
without
management
fee
breakpoints
at
the
Fund’s
current
asset
level.
The
Board
recognized
that
economies
were
also
being
shared
through
the
expense
limitation
agreements
for
the
Funds.
The
Board
noted
that,
under
the
Management
Agreement,
none
of
the
Funds
have
breakpoints
in
their
management
fees
that
would
allow
investors
to
benefit
directly
in
the
form
of
lower
fees
as
fund
assets
grew.
The
Board
considered
that
the
funds
in
the
AQR
fund
complex
share
some
common
resources
and,
as
a
result,
an
increase
in
the
overall
size
of
the
complex
could
permit
each
Fund
to
incur
lower
expenses
than
it
would
otherwise
as
a
stand-alone
entity.
The
Board
also
considered
AQR’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
further
enhance
the
quality
of,
its
operations,
which
could
ultimately
benefit
Fund
shareholders.
AQR
advised
that
its
size
as
a
firm
has
resulted
in
additional
benefits
to
the
AQR
Funds,
such
as
the
ability
to
negotiate
better
terms
with
service
providers,
to
undertake
securities
lending
activities
and
to
establish
a
dedicated
money
market
fund
for
the
AQR
Funds.
The
principals
of
AQR
have
also
provided
seed
capital
in
excess
of
regulatory
minimums
for
extended
periods.
AQR
also
discussed
that
the
Funds
had
undertaken
to
rely
on
Rule
30e-3
under
the
1940
Act
to
potentially
reduce
charges
related
to
printing
and
mailing
costs
for
shareholder
reports.
186
Board
Approval
of
Investment
Advisory
Agreements
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
Other
Factors.
The
Board
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
AQR
or
its
affiliates
may
derive
from
its
relationship
with
the
Funds,
both
tangible
and
intangible,
noting
that
no
payments
are
received
by
AQR
from
the
Funds
beyond
the
fees
under
the
Management
Agreement.
The
Board
was
advised
by
AQR
that
AQR
may
obtain
greater
exposure
to
the
public
as
a
result
of
managing
the
AQR
Funds,
which
could
lead
to
additional
business
opportunities,
such
as
unregistered
fund
investments,
separately
managed
account
opportunities
or
sub-advisory
mandates.
AQR
may
also
obtain
reputational
benefits.
AQR
may
also
obtain
economic
benefit
from
its
sponsorship/management
of
both
the
Funds
and
other
funds
or
accounts
with
respect
to
the
potential
economic
leverage
of
its
service
provider
relationships.
The
Board
also
received
information
regarding
AQR’s
brokerage
and
soft
dollar
practices,
noting
that
AQR
does
not
presently
intend
to
make
use
of
soft
dollars
to
acquire
third-party
research.
The
Board
considered
that
AQR
is
responsible
for
decisions
to
buy
and
sell
securities
for
the
Funds,
selection
of
broker-dealers
and
best
execution,
and
aggregation
and
allocation
of
trade
orders
among
the
firm’s
various
advisory
clients.
Conclusion.
Counsel
advised
the
Board
concerning
the
statutory
and
regulatory
requirements
for
approval
and
disclosure
of
investment
management
agreements.
No
single
factor
was
determinative
to
the
decision
of
the
Board.
Based
on
the
foregoing
and
such
other
matters
as
were
deemed
relevant,
all
of
the
Board
Members,
including
all
of
the
Independent
Board
Members,
concluded
that
the
management
fee
rates
under
the
Management
Agreement
are
reasonable
in
relation
to
the
services
provided
by
AQR
to
the
Funds,
as
well
as
the
costs
incurred
and
benefits
to
be
gained
by
AQR
in
providing
such
services,
including
the
investment
advisory
and
administrative
components.
The
Board
also
found
the
investment
management
fees
to
be
reasonable
in
comparison
to
the
fees
charged
by
advisers
to
other
comparable
funds
of
similar
size.
As
a
result,
all
of
the
Board
Members,
including
the
Independent
Board
Members
voting
separately,
approved
the
continuation
of
the
Management
Agreement
with
respect
to
each
Fund.
The
Independent
Board
Members
were
represented
by
independent
legal
counsel
who
assisted
them
in
their
deliberations.
187
Liquidity
Risk
Management
Program
(Unaudited)
AQR
Funds
|
Annual
Report
|
September
2021
The
U.S.
Securities
and
Exchange
Commission
adopted
Rule
22e-4
under
the
Investment
Company
Act
of
1940
(the
“Liquidity
Rule”),
which
requires
the
AQR
Funds
(the
“Trust”)
to
adopt
and
implement
a
program
reasonably
designed
to
assess
and
manage
the
“liquidity
risk”
of
each
series
of
the
Trust
(the
“Funds”).
Pursuant
to
the
Liquidity
Rule,
“liquidity
risk”
is
defined
as
the
risk
that
a
Fund
could
not
meet
requests
to
redeem
shares
issued
by
the
Fund
without
significant
dilution
of
remaining
investors’
interests
in
the
Fund.
The
Trust,
on
behalf
of
each
Fund,
has
adopted
and
implemented
a
liquidity
risk
management
program
in
accordance
with
the
Liquidity
Rule
(the
“Program”).
The
Trust’s
Board
of
Trustees
(the
“Board”)
has
designated
AQR
Capital
Management,
LLC,
investment
adviser
to
each
Fund
(“AQR”),
as
the
administrator
of
the
Program
(“Program
Administrator”)
for
each
Fund.
The
Program
Administrator
is
responsible
for
overseeing
the
day-to-day
operations
of
the
Program.
As
part
of
the
Program,
the
Program
Administrator
identifies
illiquid
investments,
categorizes
the
relative
liquidity
of
the
Funds’
investments
in
accordance
with
the
Liquidity
Rule
and
assesses,
manages,
and
periodically
reviews
the
Funds’
liquidity
risk.
Among
other
things,
the
Liquidity
Rule
requires
that
a
written
report
be
provided
by
the
Program
Administrator
to
the
Board
on
an
annual
basis
that
addresses
the
operation
of
the
Program
and
assesses
the
adequacy
and
effectiveness
of
its
implementation,
including
the
operation
of
any
Highly
Liquidity
Investment
Minimum
(“HLIM”)
established
for
a
Fund,
if
any,
and
any
material
changes
to
the
Program.
At
a
meeting
of
the
Board
held
on
May
18,
2021,
the
Board
reviewed
AQR’s
written
report
(the
“Report”)
concerning
the
operation,
adequacy
and
effectiveness
of
the
Program
for
the
period
from
April
1,
2020
through
March
31,
2021
(the
“Reporting
Period”).
The
Report
summarized
the
operation
of
the
Program
and
the
practices
implemented,
and
the
information
and
factors
considered
by
AQR
in
assessing
whether
the
Program
has
been
adequately
and
effectively
implemented
with
respect
to
each
Fund.
Such
practices,
information
and
factors
included,
among
other
things:
1)
An
overview
of
AQR’s
practices
with
respect
to
the
assessment,
management
and
periodic
review
of
each
Fund’s
liquidity
risk;
2)
A
summary
of
material
changes
or
findings
with
respect
to
the
Program,
if
any,
during
the
Reporting
Period;
3)
A
review
of
the
inputs
and
outputs
utilized
in
connection
with
the
Program,
particularly
the
methodologies
used
and
metrics
analyzed;
4)
A
summary
of
the
Funds’
compliance
with
the
requirements
under
the
Liquidity
Rule
and
the
Program,
including,
among
other
things,
the
15%
limit
on
investments
in
illiquid
investments
and
monitoring
of
highly
liquid
investments
to
determine
whether
a
Fund
is
required
to
set
a
highly
liquid
investment
minimum;
5)
An
overview
of
the
Funds’
other
sources
of
liquidity
(e.g.,
credit
facility
and
inter-fund
borrowing);
and
6)
An
overall
assessment
of
the
effectiveness
of
the
Program
with
respect
to
managing
each
Fund’s
liquidity
risk,
including,
among
other
things
assessing
whether
the
Fund’s
strategy
remains
appropriate
for
an
open-end
fund
structure.
The
Report
stated
that
there
were
no
material
changes
in
the
liquidity
profile
of
the
Funds
during
the
Reporting
Period.
While
the
COVID-19
market
crisis
did
not
materially
impact
the
liquidity
profile
of
the
Funds,
the
Program
Administrator
adopted
enhancements
to
the
Program
during
the
Reporting
Period.
Based
on
the
above
information
and
factors,
among
others,
the
Program
Administrator
has
concluded,
and
reported
to
the
Board,
that
the
Program
is
adequate
and
operating
effectively
for
the
assessment,
monitoring
and
management
of
liquidity
risks
for
each
Fund.
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
1000
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, September 30
, 2021
,
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 September 30, 2021 (“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 September 30, 2020 and September 30, 2021 were:
 
 
2020
2021
Audit Fees (a)
$671,787
$539,520
Audit Related Fees (b)
$77,000
$0
Tax Fees (c)
$24,610
$195,000
All Other Fees (d)
$675
$2,061
Total:
$774,072
$736,581
 
(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 September 30, 2020 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 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 and review of the N-14 filing. There were no audit-related services provided by PricewaterhouseCoopers LLP for the year ended September 30, 2021.
 
(c)           Tax Fees: The September 30, 2020 and September 30, 2021 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.  The September 30, 2020 fees relate to services provided with respect to tax reclaims. The September 30, 2021 fees relate to services provided with respect to tax compliance and tax reclaims.
 
(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 September 30, 2020 and September 30, 2021: $1,350 and $3,950, respectively.
 
(h)           Not Applicable.
 
(i)            The Registrant is not a foreign issuer, as identified by the Securities and Exchange Commission (“Commission”) pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N- CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (“PCAOB”) has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the Registrant is not owned or controlled by a governmental entity in the foreign jurisdiction.
 
(j)            The Registrant is not a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the PCAOB has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the Registrant is so identified.
 
(1) Not Applicable.
 
(2) Not Applicable.
 
(3) Not Applicable.
 
(4) Not Applicable.
 
(5) 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 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.
 (a)(2)     Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)      Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.
(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.
 

SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
AQR Funds
 
 
 
By: /s/ Ted Pyne
-----------------------------------
Ted Pyne,
Principal Executive Officer
November 23, 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
November 23, 2021
 
 
 
By: /s/ Heather Bonner
---------------------------------
Heather Bonner,
Principal Financial Officer
November 23, 2021