N-CSRS 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:  December 31
 
Date of reporting period:  January 1, 2022 to June 30, 2022
 
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.
Semi-Annual
Report
June
30,
2022
(Unaudited)
AQR
Alternative
Risk
Premia
Fund
AQR
Diversified
Arbitrage
Fund
AQR
Diversifying
Strategies
Fund
AQR
Equity
Market
Neutral
Fund
AQR
Long-Short
Equity
Fund
AQR
Macro
Opportunities
Fund
AQR
Managed
Futures
Strategy
Fund
AQR
Managed
Futures
Strategy
HV
Fund
AQR
Multi-Asset
Fund
AQR
Risk-Balanced
Commodities
Strategy
Fund
AQR
Style
Premia
Alternative
Fund
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
Table
of
Contents
Schedule
of
Investments
AQR
Alternative
Risk
Premia
Fund
...................................................................
2
AQR
Diversified
Arbitrage
Fund
.....................................................................
25
AQR
Diversifying
Strategies
Fund
...................................................................
53
AQR
Equity
Market
Neutral
Fund
....................................................................
55
AQR
Long-Short
Equity
Fund
.......................................................................
76
AQR
Macro
Opportunities
Fund
.....................................................................
103
AQR
Managed
Futures
Strategy
Fund
................................................................
118
AQR
Managed
Futures
Strategy
HV
Fund
.............................................................
144
AQR
Multi-Asset
Fund
............................................................................
169
AQR
Risk-Balanced
Commodities
Strategy
Fund
........................................................
187
AQR
Style
Premia
Alternative
Fund
..................................................................
197
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..................................................
229
Financial
Statements
and
Notes
........................................................................
251
Fund
Expense
Examples
.............................................................................
333
Board
Approval
of
Investment
Advisory
Agreements
.........................................................
336
Liquidity
Risk
Management
Program
.....................................................................
339
2
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
167.5%
COMMON
STOCKS
-
87.6%
Australia
-
1.4%
Ampol
Ltd.
(2)(a)
1,919
45,293
Aristocrat
Leisure
Ltd.
(2)(a)
13,063
310,718
Aurizon
Holdings
Ltd.
(2)(a)
5,734
15,081
BlueScope
Steel
Ltd.
(2)(a)
24,357
268,381
Fortescue
Metals
Group
Ltd.
(2)(a)
15,871
190,845
Harvey
Norman
Holdings
Ltd.
(2)(a)
90,183
231,239
JB
Hi-Fi
Ltd.
(2)(a)
5,079
135,083
Lottery
Corp.
Ltd.
(The)
*(a)
29,182
91,046
Qube
Holdings
Ltd.
(2)(a)
7,629
14,389
Santos
Ltd.
(2)(a)
3,284
16,650
Sonic
Healthcare
Ltd.
(2)(a)
1,696
38,657
Tabcorp
Holdings
Ltd.
(2)(a)
29,182
21,541
Treasury
Wine
Estates
Ltd.
(2)(a)
14,332
112,394
Woodside
Energy
Group
Ltd.
(2)
6,462
142,025
Worley
Ltd.
(2)(a)
30,900
304,674
1,938,016
—
Belgium
-
0.6%
Ageas
SA/NV
(2)(a)
5,748
253,444
KBC
Group
NV
(2)(a)
5,764
324,289
Proximus
SADP
(2)(a)
3,960
58,449
Solvay
SA
(2)(a)
2,386
194,378
830,560
—
Brazil
-
0.2%
Yara
International
ASA
(2)
8,404
352,136
Canada
-
3.8%
Atco
Ltd.,
Class
I
(a)
2,069
70,885
Bank
of
Montreal
(a)
525
50,485
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
2,752
347,207
CGI,
Inc.
*(a)
1,526
121,563
CI
Financial
Corp.
(a)
6,799
72,205
Cogeco
Communications,
Inc.
(a)
1,072
72,513
Empire
Co.
Ltd.,
Class
A
(a)
6,350
195,601
Fairfax
Financial
Holdings
Ltd.
(a)
131
69,418
Finning
International,
Inc.
(a)
648
13,638
Hydro
One
Ltd.
(a)(b)
4,360
117,231
iA
Financial
Corp.,
Inc.
(a)
2,412
119,963
IGM
Financial,
Inc.
(a)
1,918
51,407
Imperial
Oil
Ltd.
(a)
5,930
279,547
Intact
Financial
Corp.
(a)
291
41,046
Keyera
Corp.
(a)
2,274
51,939
Kinross
Gold
Corp.
(a)
17,149
61,018
Magna
International,
Inc.
(a)
4,423
242,866
Manulife
Financial
Corp.
(a)
21,828
378,497
National
Bank
of
Canada
(a)
1,664
109,197
Northland
Power,
Inc.
(a)
3,357
99,938
Quebecor,
Inc.,
Class
B
(a)
8,435
180,273
Ritchie
Bros
Auctioneers,
Inc.
(a)
897
58,362
SSR
Mining,
Inc.
(a)
1,605
26,808
Stantec,
Inc.
(a)
2,643
115,785
Suncor
Energy,
Inc.
(a)
9,012
316,176
Teck
Resources
Ltd.,
Class
B
(a)
14,186
433,779
TFI
International,
Inc.
(a)
3,445
276,547
Thomson
Reuters
Corp.
(a)
1,651
172,116
TMX
Group
Ltd.
(a)
1,368
139,223
INVESTMENTS
SHARES
VALUE
($)
Canada
-
3.8%
(continued)
Toromont
Industries
Ltd.
(a)
476
38,488
Tourmaline
Oil
Corp.
(a)
14,446
751,143
West
Fraser
Timber
Co.
Ltd.
(a)
3,534
271,172
5,346,036
—
China
-
0.7%
NXP
Semiconductors
NV
587
86,894
Wilmar
International
Ltd.
(2)
136,600
397,586
Yangzijiang
Shipbuilding
Holdings
Ltd.
(2)
795,100
532,421
1,016,901
—
Colombia
-
0.1%
Millicom
International
Cellular
SA,
SDR
(2)*
6,612
94,761
Denmark
-
1.3%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
388
910,868
Carlsberg
A/S,
Class
B
(2)(a)
1,926
246,148
Danske
Bank
A/S
(2)(a)
19,293
274,592
Genmab
A/S
(2)*(a)
88
28,551
H
Lundbeck
A/S
(a)
6,860
33,316
H
Lundbeck
A/S,
Class
A
*(a)
1,715
8,230
ISS
A/S
(2)*(a)
5,814
92,693
Jyske
Bank
A/S
(Registered)
(2)*(a)
265
13,062
Pandora
A/S
(2)(a)
4,091
259,911
ROCKWOOL
A/S,
Class
B
(2)(a)
128
29,060
1,896,431
—
Finland
-
0.3%
Kesko
OYJ,
Class
B
(2)(a)
8,792
208,070
Nokian
Renkaat
OYJ
(2)(a)
7,355
81,122
Valmet
OYJ
(2)(a)
5,750
141,699
430,891
—
France
-
3.5%
Amundi
SA
(2)(a)(b)
420
23,124
AXA
SA
(2)(a)
39,447
901,030
BNP
Paribas
SA
(2)(a)
1,820
87,054
Bouygues
SA
(2)(a)
897
27,685
Carrefour
SA
(2)(a)
23,338
414,280
Cie
de
Saint-Gobain
(2)(a)
8,901
384,606
Cie
Generale
des
Etablissements
Michelin
SCA
(2)(a)
1,048
28,622
Credit
Agricole
SA
(2)(a)
7,874
72,590
Electricite
de
France
SA
(2)(a)
64,721
531,608
Eutelsat
Communications
SA
(2)(a)
4,982
56,224
Orange
SA
(2)(a)
38,855
457,851
Publicis
Groupe
SA
(2)*(a)
974
47,902
Renault
SA
(2)*(a)
9,991
252,232
Rexel
SA
(2)(a)
9,730
150,348
Rubis
SCA
(2)(a)
3,694
86,882
Sanofi
(2)(a)
186
18,757
SCOR
SE
(2)(a)
4,795
103,280
Societe
Generale
SA
(2)(a)
21,354
472,131
Sodexo
SA
(2)(a)
231
16,340
TotalEnergies
SE
(2)(a)
17,150
902,723
5,035,269
—
3
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
3.2%
Aurubis
AG
(2)(a)
1,441
98,327
BASF
SE
(2)(a)
19,518
853,956
Bayerische
Motoren
Werke
AG
(2)
(a)
11,553
895,595
Brenntag
SE
(2)(a)
2,086
136,588
Covestro
AG
(2)(a)(b)
1,133
39,370
Deutsche
Bank
AG
(Registered)
(2)(a)
38,590
339,118
Deutsche
Post
AG
(Registered)
(2)
(a)
9,813
370,501
Freenet
AG
(2)(a)
1,628
40,599
Hannover
Rueck
SE
(2)(a)
203
29,609
HeidelbergCement
AG
(2)(a)
10,814
522,114
K+S
AG
(Registered)
(2)(a)
9,701
236,102
METRO
AG
(2)(a)
2,846
24,142
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)(a)
1,982
468,837
ProSiebenSat.1
Media
SE
(2)(a)
14,805
137,703
Rheinmetall
AG
(2)(a)
1,186
273,687
thyssenkrupp
AG
(2)*(a)
20,015
114,132
TUI
AG
(2)*
6,966
11,310
4,591,690
—
Italy
-
1.6%
Assicurazioni
Generali
SpA
(2)(a)
7,067
112,880
Banco
BPM
SpA
(2)(a)
51,404
146,742
Eni
SpA
(2)(a)
70,705
838,608
Hera
SpA
(2)(a)
35,283
102,241
Italgas
SpA
(2)(a)
9,298
54,257
Leonardo
SpA
(2)(a)
66,806
677,801
Poste
Italiane
SpA
(2)(a)(b)
19,741
184,706
UniCredit
SpA
(2)(a)
1,234
11,793
Unipol
Gruppo
SpA
(2)(a)
40,783
185,766
2,314,794
—
Japan
-
15.3%
AGC,
Inc.
(2)(a)
13,100
460,304
Air
Water,
Inc.
(2)(a)
4,500
56,705
Aisin
Corp.
(2)(a)
3,800
117,614
Amada
Co.
Ltd.
(2)(a)
13,400
98,789
Asahi
Kasei
Corp.
(2)(a)
36,200
275,387
Astellas
Pharma,
Inc.
(2)(a)
2,000
31,203
Bridgestone
Corp.
(2)(a)
3,200
116,670
Brother
Industries
Ltd.
(2)(a)
10,800
190,020
Chiba
Bank
Ltd.
(The)
(2)(a)
19,800
108,379
Chubu
Electric
Power
Co.,
Inc.
(2)
(a)
7,300
73,507
Concordia
Financial
Group
Ltd.
(2)
(a)
7,000
24,305
Dai-ichi
Life
Holdings,
Inc.
(2)(a)
3,600
66,583
Daito
Trust
Construction
Co.
Ltd.
(2)(a)
3,000
259,518
Daiwa
Securities
Group,
Inc.
(2)(a)
35,800
160,299
ENEOS
Holdings,
Inc.
(2)(a)
228,800
860,928
Fujitsu
Ltd.
(2)(a)
1,300
162,666
Fukuoka
Financial
Group,
Inc.
(2)
(a)
13,100
235,931
Haseko
Corp.
(2)(a)
12,300
144,463
Hitachi
Ltd.
(2)(a)
4,800
228,336
INVESTMENTS
SHARES
VALUE
($)
Japan
-
15.3%
(continued)
Honda
Motor
Co.
Ltd.
(2)(a)
8,300
200,122
Idemitsu
Kosan
Co.
Ltd.
(2)(a)
17,900
427,607
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
6,300
96,720
Inpex
Corp.
(2)(a)
47,600
510,286
Isuzu
Motors
Ltd.
(2)(a)
12,000
132,737
ITOCHU
Corp.
(2)(a)
16,600
447,834
Japan
Post
Bank
Co.
Ltd.
(2)(a)
1,700
13,235
Japan
Post
Holdings
Co.
Ltd.
(2)(a)
129,400
925,848
Japan
Post
Insurance
Co.
Ltd.
(2)
(a)
26,800
428,926
JFE
Holdings,
Inc.
(2)(a)
81,500
857,397
JTEKT
Corp.
(2)(a)
13,000
97,732
Kajima
Corp.
(2)(a)
25,700
294,692
Kansai
Electric
Power
Co.,
Inc.
(The)
(2)(a)
3,600
35,635
Kinden
Corp.
(2)(a)
1,100
12,696
Komatsu
Ltd.
(2)(a)
1,300
28,947
Konami
Group
Corp.
(2)(a)
500
27,701
Kuraray
Co.
Ltd.
(2)(a)
25,700
207,344
Marubeni
Corp.
(2)(a)
64,400
577,770
Mazda
Motor
Corp.
(2)(a)
52,200
426,082
Mitsubishi
Chemical
Group
Corp.
(2)(a)
52,600
285,811
Mitsubishi
Corp.
(2)(a)
2,000
59,562
Mitsubishi
Electric
Corp.
(2)(a)
12,900
138,664
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)(a)
23,200
335,610
Mitsubishi
HC
Capital,
Inc.
(2)(a)
56,100
258,923
Mitsubishi
Heavy
Industries
Ltd.
(2)(a)
5,300
185,244
Mitsui
&
Co.
Ltd.
(2)(a)
9,900
217,548
Mitsui
Chemicals,
Inc.
(2)(a)
19,400
413,792
Mizuho
Financial
Group,
Inc.
(2)(a)
81,580
928,783
MS&AD
Insurance
Group
Holdings,
Inc.
(2)(a)
19,400
594,870
NGK
Insulators
Ltd.
(2)(a)
1,100
14,820
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)(a)
3,000
163,419
Nippon
Steel
Corp.
(2)(a)
61,000
853,702
Nippon
Telegraph
&
Telephone
Corp.
(2)(a)
23,200
666,610
Nippon
Yusen
KK
(2)(a)
4,000
274,260
Nitto
Denko
Corp.
(2)(a)
500
32,339
NSK
Ltd.
(2)(a)
2,400
12,912
Obayashi
Corp.
(2)(a)
13,300
96,734
Oji
Holdings
Corp.
(2)(a)
19,100
82,747
ORIX
Corp.
(2)(a)
3,800
63,687
Osaka
Gas
Co.
Ltd.
(2)(a)
15,700
300,894
Resona
Holdings,
Inc.
(2)(a)
171,000
639,628
Rohto
Pharmaceutical
Co.
Ltd.
(2)
(a)
600
17,396
Sega
Sammy
Holdings,
Inc.
(2)(a)
3,200
51,399
Sekisui
Chemical
Co.
Ltd.
(2)(a)
4,400
60,324
Shimamura
Co.
Ltd.
(2)(a)
300
26,360
Shinsei
Bank
Ltd.
(2)(a)
9,700
146,169
Shizuoka
Bank
Ltd.
(The)
(2)(a)
11,700
70,444
Sojitz
Corp.
(2)(a)
25,120
356,054
Sompo
Holdings,
Inc.
(2)(a)
12,500
552,099
Subaru
Corp.
(2)(a)
10,900
192,804
Sumitomo
Chemical
Co.
Ltd.
(2)(a)
76,600
299,789
4
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
15.3%
(continued)
Sumitomo
Corp.
(2)(a)
23,200
315,368
Sumitomo
Heavy
Industries
Ltd.
(2)(a)
4,800
106,256
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(2)(a)
8,700
268,882
Sumitomo
Pharma
Co.
Ltd.
(2)(a)
16,600
133,320
Sumitomo
Realty
&
Development
Co.
Ltd.
(2)(a)
5,200
137,273
Suntory
Beverage
&
Food
Ltd.
(2)
(a)
1,400
52,868
T&D
Holdings,
Inc.
(2)(a)
19,100
228,638
Taisei
Corp.
(2)(a)
6,200
193,316
Teijin
Ltd.
(2)(a)
1,400
14,576
Toho
Gas
Co.
Ltd.
(2)(a)
2,800
67,636
Tokio
Marine
Holdings,
Inc.
(2)(a)
1,700
99,130
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*(a)
244,900
1,024,468
TOPPAN,
Inc.
(2)(a)
10,000
166,839
Toray
Industries,
Inc.
(2)(a)
49,700
279,753
Tosoh
Corp.
(2)(a)
27,400
340,821
Toyota
Boshoku
Corp.
(2)(a)
9,700
144,090
Toyota
Tsusho
Corp.
(2)(a)
11,400
371,672
21,759,221
—
Luxembourg
-
0.8%
APERAM
SA
(2)
3,108
86,322
ArcelorMittal
SA
(2)
35,539
796,975
Eurofins
Scientific
SE
(2)
2,382
188,126
1,071,423
—
Netherlands
-
2.0%
ABN
AMRO
Bank
NV,
CVA
(2)(a)(b)
1,133
12,731
Aegon
NV
(2)(a)
139,790
602,024
ASR
Nederland
NV
(2)(a)
6,731
271,374
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
19,645
511,340
Koninklijke
Vopak
NV
(2)(a)
3,744
94,353
NN
Group
NV
(2)(a)
5,319
240,913
Randstad
NV
(2)(a)
4,158
200,958
SBM
Offshore
NV
(2)(a)
972
13,164
Shell
plc
(2)(a)
35,595
926,993
2,873,850
—
Norway
-
0.1%
Leroy
Seafood
Group
ASA
(2)(a)
7,310
52,340
Salmar
ASA
(2)(a)
1,667
118,017
170,357
—
Singapore
-
0.2%
Genting
Singapore
Ltd.
(2)
93,800
48,649
Oversea-Chinese
Banking
Corp.
Ltd.
(2)
1,500
12,305
SATS
Ltd.
(2)*
10,200
28,618
Venture
Corp.
Ltd.
(2)
13,400
160,511
250,083
—
Spain
-
1.6%
Acciona
SA
(2)(a)
777
143,169
Banco
de
Sabadell
SA
(2)(a)
22,297
17,878
Banco
Santander
SA
(2)(a)
48,261
136,550
INVESTMENTS
SHARES
VALUE
($)
Spain
-
1.6%
(continued)
CaixaBank
SA
(2)(a)
28,760
100,719
Enagas
SA
(2)(a)
4,915
108,703
Endesa
SA
(2)(a)
7,799
147,537
Iberdrola
SA
(2)(a)
13,023
135,588
Mapfre
SA
(2)(a)
45,464
80,397
Repsol
SA
(2)(a)
61,896
912,472
Telefonica
SA
(2)(a)
93,214
475,907
2,258,920
—
Sweden
-
1.2%
Axfood
AB
(2)(a)
4,649
133,856
Boliden
AB
(2)(a)
1,895
60,603
Fastighets
AB
Balder,
Class
B
(2)*(a)
36,479
174,759
Getinge
AB,
Class
B
(2)(a)
10,830
251,000
H
&
M
Hennes
&
Mauritz
AB,
Class
B
(2)(a)
27,280
327,432
Securitas
AB,
Class
B
(2)(a)
1,434
12,398
Skanska
AB,
Class
B
(2)(a)
14,601
224,644
SKF
AB,
Class
B
(2)(a)
2,929
43,456
SSAB
AB,
Class
B
(2)(a)
79,404
329,942
Trelleborg
AB,
Class
B
(2)(a)
2,490
50,379
Volvo
AB,
Class
B
(2)(a)
8,773
136,503
1,744,972
—
Switzerland
-
1.3%
Adecco
Group
AG
(Registered)
(2)
(a)
11,107
378,579
Baloise
Holding
AG
(Registered)
(2)(a)
1,107
181,209
BKW
AG
(2)(a)
157
16,426
Bucher
Industries
AG
(Registered)
(2)(a)
82
28,622
DKSH
Holding
AG
(2)(a)
887
73,394
Geberit
AG
(Registered)
(2)(a)
57
27,423
Helvetia
Holding
AG
(Registered)
(2)(a)
557
65,416
Novartis
AG
(Registered)
(2)(a)
3,557
301,565
Sulzer
AG
(Registered)
(2)(a)
900
56,098
Swiss
Life
Holding
AG
(Registered)
(2)(a)
433
211,377
Swisscom
AG
(Registered)
(2)(a)
745
412,074
UBS
Group
AG
(Registered)
(2)(a)
9,133
147,651
1,899,834
—
United
Kingdom
-
2.8%
abrdn
plc
(2)
27,879
54,419
Aviva
plc
(2)(a)
78,547
384,744
Barclays
plc
(2)
494,514
924,721
BP
plc
(2)(a)
133,816
628,333
Britvic
plc
(2)(a)
5,019
49,750
BT
Group
plc
(2)(a)
162,438
369,182
Centrica
plc
(2)*
55,314
54,016
DS
Smith
plc
(2)(a)
31,521
106,756
Howden
Joinery
Group
plc
(2)(a)
13,817
101,851
Investec
plc
(2)(a)
17,694
96,350
Kingfisher
plc
(2)(a)
16,608
49,633
M&G
plc
(2)(a)
101,689
241,076
Man
Group
plc
(2)(a)
16,121
49,213
Marks
&
Spencer
Group
plc
(2)*
181,211
300,635
5
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
2.8%
(continued)
National
Grid
plc
(2)(a)
12,232
157,193
Royal
Mail
plc
(2)(a)
99,625
329,107
Spectris
plc
(2)(a)
709
23,489
Subsea
7
SA
(2)(a)
10,238
81,771
4,002,239
—
United
States
-
45.6%
A
O
Smith
Corp.
(a)
244
13,342
AbbVie,
Inc.
(a)
2,861
438,191
ABIOMED,
Inc.
*(a)
77
19,058
Accenture
plc,
Class
A
(a)
74
20,546
Acuity
Brands,
Inc.
(a)(c)
1,094
168,520
AGCO
Corp.
(a)
589
58,134
Agilent
Technologies,
Inc.
(a)
775
92,047
Air
Lease
Corp.
(a)
1,110
37,107
Akamai
Technologies,
Inc.
*(a)(c)
1,368
124,939
Alaska
Air
Group,
Inc.
*(a)
1,806
72,330
Albertsons
Cos.,
Inc.,
Class
A
(a)
1,048
28,003
Allison
Transmission
Holdings,
Inc.
(a)(c)
18,456
709,633
Allstate
Corp.
(The)
(a)(c)
2,295
290,845
Alphabet,
Inc.,
Class
A
*(a)
438
954,516
Amdocs
Ltd.
(a)
3,899
324,826
AMERCO
(a)
40
19,129
American
International
Group,
Inc.
(a)
243
12,425
Ameriprise
Financial,
Inc.
(a)
646
153,541
Amgen,
Inc.
(a)(c)
1,421
345,729
Amkor
Technology,
Inc.
(a)
10,495
177,890
ANSYS,
Inc.
*(a)
553
132,327
APA
Corp.
(a)(c)
10,661
372,069
Applied
Materials,
Inc.
(a)(c)
1,028
93,527
Aramark
(a)(c)
2,191
67,110
Archer-Daniels-Midland
Co.
(a)
835
64,796
Arrow
Electronics,
Inc.
*(a)
4,734
530,634
Associated
Banc-Corp.
(a)(c)
7,113
129,883
Assured
Guaranty
Ltd.
(a)
722
40,280
AutoNation,
Inc.
*(a)(c)
8,866
990,864
AutoZone,
Inc.
*(a)
81
174,079
Avient
Corp.
(a)
3,212
128,737
Avnet,
Inc.
(a)
1,008
43,223
Bank
of
New
York
Mellon
Corp.
(The)
(a)(c)
1,432
59,729
Bath
&
Body
Works,
Inc.
(a)(c)
5,569
149,917
Baxter
International,
Inc.
(a)
258
16,571
Belden,
Inc.
(a)
822
43,788
Berry
Global
Group,
Inc.
*(a)(c)
3,537
193,262
Best
Buy
Co.,
Inc.
(a)
2,687
175,166
Biogen,
Inc.
*(a)(c)
2,858
582,861
Bio-Rad
Laboratories,
Inc.,
Class
A
*(a)
509
251,955
Bio-Techne
Corp.
(a)
442
153,215
BJ's
Wholesale
Club
Holdings,
Inc.
*(a)
3,093
192,756
Blackbaud,
Inc.
*(a)(c)
2,243
130,251
Booking
Holdings,
Inc.
*(a)
9
15,741
Booz
Allen
Hamilton
Holding
Corp.
(a)(c)
2,614
236,201
BorgWarner,
Inc.
(a)(c)
3,172
105,850
Bread
Financial
Holdings,
Inc.
(a)
5,686
210,723
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
Bristol-Myers
Squibb
Co.
(a)
3,690
284,130
Broadcom,
Inc.
(a)
147
71,414
BRP,
Inc.
(a)
2,970
182,787
Brunswick
Corp.
(a)(c)
4,073
266,293
Builders
FirstSource,
Inc.
*(a)(c)
18,402
988,187
CACI
International,
Inc.,
Class
A
*(a)
1,125
317,003
Cadence
Design
Systems,
Inc.
*(a)
1,605
240,798
Callaway
Golf
Co.
*(a)(c)
7,050
143,820
Carlisle
Cos.,
Inc.
(a)
467
111,431
Carter's,
Inc.
(a)
178
12,545
Casey's
General
Stores,
Inc.
(a)
802
148,354
Cathay
General
Bancorp
(a)
1,339
52,422
CDW
Corp.
(a)
1,379
217,275
ChampionX
Corp.
(a)
7,376
146,414
Charles
River
Laboratories
International,
Inc.
*(a)
1,640
350,911
Chemed
Corp.
(a)
243
114,062
Chemours
Co.
(The)
(a)(c)
4,914
157,346
Chipotle
Mexican
Grill,
Inc.
*(a)
34
44,447
Ciena
Corp.
*(a)
2,162
98,803
Cigna
Corp.
(a)
322
84,853
Cirrus
Logic,
Inc.
*(a)
3,272
237,351
Cisco
Systems,
Inc.
(a)
21,399
912,453
Citizens
Financial
Group,
Inc.
(a)
925
33,013
Citrix
Systems,
Inc.
(a)
532
51,694
Cognizant
Technology
Solutions
Corp.,
Class
A
(a)
627
42,316
Colgate-Palmolive
Co.
(a)
170
13,624
Commercial
Metals
Co.
(a)(c)
11,408
377,605
Concentrix
Corp.
(a)
234
31,740
ConocoPhillips
(a)(c)
3,173
284,967
Cooper
Cos.,
Inc.
(The)
(a)
236
73,896
Coterra
Energy,
Inc.
(a)
680
17,537
Cracker
Barrel
Old
Country
Store,
Inc.
(a)(c)
455
37,988
Cummins,
Inc.
(a)
1,776
343,709
Curtiss-Wright
Corp.
(a)
1,120
147,907
CVS
Health
Corp.
(a)(c)
10,339
958,012
Dana,
Inc.
(a)
5,821
81,901
Darling
Ingredients,
Inc.
*(a)
178
10,644
Deckers
Outdoor
Corp.
*(a)
1,549
395,537
Dell
Technologies,
Inc.,
Class
C
(a)
19,046
880,116
Dick's
Sporting
Goods,
Inc.
(a)(c)
4,985
375,719
DISH
Network
Corp.,
Class
A
*(a)
725
12,999
DXC
Technology
Co.
*(a)(c)
5,168
156,642
Eagle
Materials,
Inc.
(a)
283
31,113
East
West
Bancorp,
Inc.
(a)
358
23,198
Eastman
Chemical
Co.
(a)
1,465
131,513
Eaton
Corp.
plc
(a)
1,489
187,599
eBay,
Inc.
(a)
4,376
182,348
Electronic
Arts,
Inc.
(a)(c)
2,545
309,599
Elevance
Health,
Inc.
(a)
694
334,911
EMCOR
Group,
Inc.
(a)
1,373
141,364
Emerson
Electric
Co.
(a)
794
63,155
EnerSys
(a)
242
14,268
EOG
Resources,
Inc.
(a)
5,646
623,544
EPAM
Systems,
Inc.
*(a)
705
207,820
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
(a)
745
189,729
6
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
Everest
Re
Group
Ltd.
(a)
636
178,258
Expedia
Group,
Inc.
*(a)
2,593
245,894
Expeditors
International
of
Washington,
Inc.
(a)(c)
3,076
299,787
F5,
Inc.
*(a)
602
92,130
Fair
Isaac
Corp.
*(a)
541
216,887
Federated
Hermes,
Inc.
(a)
5,966
189,659
First
American
Financial
Corp.
(a)
325
17,199
First
Hawaiian,
Inc.
(a)
922
20,939
Flowers
Foods,
Inc.
(a)(c)
1,638
43,112
Flowserve
Corp.
(a)
1,828
52,336
FNB
Corp.
(a)
10,949
118,906
Foot
Locker,
Inc.
(a)
8,019
202,480
Fortinet,
Inc.
*(a)
4,095
231,695
Fortune
Brands
Home
&
Security,
Inc.
(a)
208
12,455
Fulton
Financial
Corp.
(a)
2,749
39,723
Gartner,
Inc.
*(a)(c)
1,372
331,791
General
Dynamics
Corp.
(a)
595
131,644
General
Mills,
Inc.
(a)(c)
1,302
98,236
General
Motors
Co.
*(a)
3,227
102,490
Gilead
Sciences,
Inc.
(a)
16,077
993,718
Global
Payments,
Inc.
(a)
864
95,593
Globus
Medical,
Inc.,
Class
A
*(a)
(c)
2,412
135,410
GoHealth,
Inc.,
Class
A
*
9,098
5,440
Goodyear
Tire
&
Rubber
Co.
(The)
*(a)
31,445
336,776
Graham
Holdings
Co.,
Class
B
(a)
262
148,512
Grand
Canyon
Education,
Inc.
*(a)
(c)
1,943
183,011
Greif,
Inc.,
Class
A
(a)
2,109
131,559
H&R
Block,
Inc.
(a)
5,130
181,192
Halliburton
Co.
(a)(c)
5,763
180,728
Harley-Davidson,
Inc.
(a)
400
12,664
Hartford
Financial
Services
Group,
Inc.
(The)
(a)
1,737
113,652
Hasbro,
Inc.
(a)
154
12,610
HCA
Healthcare,
Inc.
(a)
513
86,215
Helen
of
Troy
Ltd.
*(a)
438
71,136
Henry
Schein,
Inc.
*(a)
207
15,885
Hewlett
Packard
Enterprise
Co.
(a)
31,186
413,526
Hexcel
Corp.
(a)(c)
2,416
126,381
HF
Sinclair
Corp.
(a)(c)
7,059
318,784
Hologic,
Inc.
*(a)
580
40,194
Horizon
Therapeutics
plc
*(a)
1,545
123,229
Howmet
Aerospace,
Inc.
(a)
7,692
241,913
HP,
Inc.
(a)(c)
26,321
862,802
Hubbell,
Inc.
(a)(c)
576
102,862
Humana,
Inc.
(a)
224
104,848
Huntsman
Corp.
(a)(c)
2,896
82,102
IAC/InterActiveCorp
*(a)
649
49,305
Ingredion,
Inc.
(a)
1,330
117,253
Intel
Corp.
(a)
24,837
929,152
Interpublic
Group
of
Cos.,
Inc.
(The)
(a)
2,347
64,613
Intuit,
Inc.
(a)
63
24,283
Invesco
Ltd.
(a)
4,207
67,859
IQVIA
Holdings,
Inc.
*(a)(c)
1,121
243,246
ITT,
Inc.
(a)(c)
2,012
135,287
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
J
M
Smucker
Co.
(The)
(a)(c)
1,367
174,990
Jabil,
Inc.
(a)
6,559
335,886
Jefferies
Financial
Group,
Inc.
(a)
1,865
51,511
JetBlue
Airways
Corp.
*(a)(c)
8,712
72,919
Johnson
Controls
International
plc
(a)
682
32,654
Juniper
Networks,
Inc.
(a)(c)
3,281
93,509
KB
Home
(a)(c)
6,214
176,850
Keysight
Technologies,
Inc.
*(a)
870
119,930
KLA
Corp.
(a)
481
153,477
Knight-Swift
Transportation
Holdings,
Inc.
(a)(c)
1,529
70,777
Kroger
Co.
(The)
(a)
10,691
506,005
L3Harris
Technologies,
Inc.
(a)
100
24,170
Laboratory
Corp.
of
America
Holdings
(a)
652
152,803
Lear
Corp.
(a)
605
76,163
Lennar
Corp.,
Class
A
(a)
4,929
347,840
Lincoln
National
Corp.
(a)(c)
3,800
177,726
Lithia
Motors,
Inc.
(a)
208
57,160
Louisiana-Pacific
Corp.
(a)
1,698
88,992
Lowe's
Cos.,
Inc.
(a)
71
12,402
LyondellBasell
Industries
NV,
Class
A
(a)
2,966
259,406
M&T
Bank
Corp.
(a)
424
67,581
Manhattan
Associates,
Inc.
*(a)(c)
1,480
169,608
ManpowerGroup,
Inc.
(a)
2,756
210,586
Marathon
Oil
Corp.
(a)
4,694
105,521
Marriott
Vacations
Worldwide
Corp.
(a)
1,209
140,486
Masimo
Corp.
*(a)
293
38,286
MasTec,
Inc.
*(a)
2,112
151,346
Match
Group,
Inc.
*(a)(c)
1,011
70,457
Mattel,
Inc.
*(a)
40,231
898,358
Maximus,
Inc.
(a)
1,980
123,770
McDonald's
Corp.
(a)
339
83,692
MDU
Resources
Group,
Inc.
(a)
8,283
223,558
Medpace
Holdings,
Inc.
*(a)
133
19,906
Medtronic
plc
(a)
882
79,160
Merck
&
Co.,
Inc.
(a)
4,753
433,331
Meta
Platforms,
Inc.,
Class
A
*(a)
5,763
929,284
MGM
Resorts
International
(a)
443
12,825
Microchip
Technology,
Inc.
(a)
213
12,371
Micron
Technology,
Inc.
(a)(c)
16,834
930,584
Microsoft
Corp.
(a)
337
86,552
MillerKnoll,
Inc.
(a)(c)
5,319
139,730
Minerals
Technologies,
Inc.
(a)
1,346
82,564
MKS
Instruments,
Inc.
(a)(c)
4,462
457,935
Moderna,
Inc.
*(a)
101
14,428
Mohawk
Industries,
Inc.
*(a)(c)
2,006
248,925
Molina
Healthcare,
Inc.
*(a)
761
212,783
Molson
Coors
Beverage
Co.,
Class
B
(a)
3,510
191,330
MSA
Safety,
Inc.
(a)
202
24,456
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
(a)(c)
588
44,165
Murphy
Oil
Corp.
(a)
2,481
74,901
Murphy
USA,
Inc.
(a)
2,685
625,256
Navient
Corp.
(a)
4,433
62,018
NCR
Corp.
*(a)
4,694
146,030
7
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
Nielsen
Holdings
plc
(a)
1,136
26,378
NortonLifeLock,
Inc.
(a)
3,279
72,007
Nu
Skin
Enterprises,
Inc.,
Class
A
(a)
5,129
222,086
Old
Republic
International
Corp.
(a)
3,133
70,054
Olin
Corp.
(a)
4,090
189,285
Omnicom
Group,
Inc.
(a)
834
53,051
ON
Semiconductor
Corp.
*(a)
735
36,978
Oracle
Corp.
(a)
1,653
115,495
O'Reilly
Automotive,
Inc.
*(a)
79
49,909
Organon
&
Co.
(a)(c)
1,948
65,745
Oshkosh
Corp.
(a)(c)
1,130
92,818
Owens
Corning
(a)
160
11,890
PACCAR,
Inc.
(a)
534
43,970
Packaging
Corp.
of
America
(a)
1,964
270,050
Papa
John's
International,
Inc.
(a)
(c)
1,671
139,562
PDC
Energy,
Inc.
(a)(c)
1,933
119,092
Penske
Automotive
Group,
Inc.
(a)
5,107
534,652
PerkinElmer,
Inc.
(a)
315
44,799
Pfizer,
Inc.
(a)(c)
4,091
214,491
Playtika
Holding
Corp.
*(a)
14,221
188,286
Polaris,
Inc.
(a)(c)
7,725
766,938
Popular,
Inc.
5,592
430,193
Procter
&
Gamble
Co.
(The)
(a)
204
29,333
PulteGroup,
Inc.
(a)(c)
17,911
709,813
PVH
Corp.
(a)(c)
3,995
227,316
Qorvo,
Inc.
*(a)(c)
4,562
430,288
QUALCOMM,
Inc.
(a)
6,681
853,431
Quanta
Services,
Inc.
(a)(c)
3,380
423,649
Quest
Diagnostics,
Inc.
(a)
368
48,937
QuidelOrtho
Corp.
*(a)
5,401
524,869
Qurate
Retail,
Inc.,
Series
A
104,413
299,665
Ralph
Lauren
Corp.
(a)
895
80,237
Regal
Rexnord
Corp.
(a)(c)
2,970
337,154
Regeneron
Pharmaceuticals,
Inc.
*(a)
390
230,541
Regions
Financial
Corp.
(a)
931
17,456
Reliance
Steel
&
Aluminum
Co.
(a)
1,225
208,079
Roche
Holding
AG
(2)(a)
597
199,577
Salesforce,
Inc.
*(a)
880
145,235
Schneider
National,
Inc.,
Class
B
(a)
4,903
109,729
Science
Applications
International
Corp.
(a)
673
62,656
Seagate
Technology
Holdings
plc
(a)
197
14,074
Semtech
Corp.
*(a)(c)
1,921
105,597
Signify
NV
(2)(a)(b)
8,951
295,296
Silgan
Holdings,
Inc.
(a)(c)
5,212
215,516
Skechers
USA,
Inc.,
Class
A
*(a)(c)
4,402
156,623
Skyworks
Solutions,
Inc.
(a)
5,985
554,450
Snap-on,
Inc.
(a)(c)
1,153
227,176
Sonoco
Products
Co.
(a)
566
32,285
Sprouts
Farmers
Market,
Inc.
*(a)
(c)
11,095
280,925
SS&C
Technologies
Holdings,
Inc.
(a)
603
35,016
Steel
Dynamics,
Inc.
(a)(c)
9,015
596,342
Stellantis
NV
(2)(a)
47,371
588,099
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
STERIS
plc
(a)
1,192
245,731
Stifel
Financial
Corp.
(a)
2,087
116,914
Stryker
Corp.
(a)
159
31,630
Swiss
Re
AG
(2)(a)
8,154
632,897
Synaptics,
Inc.
*(a)
1,595
188,290
Synchrony
Financial
(a)
711
19,638
Syneos
Health,
Inc.
*(a)
974
69,816
Synopsys,
Inc.
*(a)
1,051
319,189
Synovus
Financial
Corp.
(a)(c)
2,718
97,984
Tapestry,
Inc.
(a)
2,307
70,410
Target
Corp.
(a)
2,332
329,348
Taylor
Morrison
Home
Corp.
*(a)(c)
13,974
326,433
TD
SYNNEX
Corp.
(a)(c)
3,730
339,803
Tenet
Healthcare
Corp.
*(a)
2,564
134,764
Teradata
Corp.
*(a)
350
12,954
Teradyne,
Inc.
(a)(c)
1,698
152,056
Terex
Corp.
(a)
9,776
267,569
Texas
Roadhouse,
Inc.
(a)
2,299
168,287
Textron,
Inc.
(a)(c)
10,352
632,197
Thor
Industries,
Inc.
(a)
170
12,704
Timken
Co.
(The)
(a)(c)
2,191
116,233
Toll
Brothers,
Inc.
(a)
11,400
508,440
Tractor
Supply
Co.
(a)
79
15,314
Tri
Pointe
Homes,
Inc.
*(a)
12,617
212,849
Tyson
Foods,
Inc.,
Class
A
(a)(c)
2,353
202,499
United
Rentals,
Inc.
*(a)
361
87,691
United
States
Steel
Corp.
(a)(c)
619
11,086
United
Therapeutics
Corp.
*(a)
3,280
772,899
Universal
Display
Corp.
(a)(c)
2,029
205,213
Universal
Health
Services,
Inc.,
Class
B
(a)(c)
4,649
468,201
Unum
Group
(a)
16,840
572,897
Urban
Outfitters,
Inc.
*(a)
4,357
81,302
US
Foods
Holding
Corp.
*(a)
1,219
37,399
Valero
Energy
Corp.
(a)
209
22,213
Veeva
Systems,
Inc.,
Class
A
*(a)
5,043
998,715
VeriSign,
Inc.
*(a)
605
101,235
Vertex
Pharmaceuticals,
Inc.
*(a)
173
48,750
Viatris,
Inc.
(a)
18,256
191,140
Virtu
Financial,
Inc.,
Class
A
(a)
713
16,691
Vishay
Intertechnology,
Inc.
(a)(c)
18,580
331,096
Vontier
Corp.
(a)
12,979
298,387
Werner
Enterprises,
Inc.
(a)
2,812
108,374
Western
Digital
Corp.
*(a)
260
11,656
Westlake
Corp.
(a)
511
50,088
Westrock
Co.
(a)
4,326
172,348
Whirlpool
Corp.
(a)
(c)
373
57,767
Williams-Sonoma,
Inc.
(a)(c)
4,027
446,796
Wintrust
Financial
Corp.
(a)
880
70,532
World
Wrestling
Entertainment,
Inc.,
Class
A
(a)
959
59,928
Xerox
Holdings
Corp.
(a)
10,774
159,994
XPO
Logistics,
Inc.
*(a)
7,237
348,534
Yelp,
Inc.
*(a)(c)
8,085
224,520
YETI
Holdings,
Inc.
*(a)(c)
11,918
515,692
Zebra
Technologies
Corp.,
Class
A
*(a)
176
51,735
Ziff
Davis,
Inc.
*(a)(c)
2,502
186,474
Zimmer
Biomet
Holdings,
Inc.
(a)
125
13,133
8
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
45.6%
(continued)
Zoetis,
Inc.
(a)
759
130,465
64,645,399
—
TOTAL
COMMON
STOCKS
(Cost
$105,253,520)
124,523,783
PREFERRED
STOCKS
-
0.0%
(d)
United
States
-
0.0%
(d)
Qurate
Retail,
Inc.,
8.00%,
3/15/2031
(Cost
$51,189)
896
52,371
SHORT-TERM
INVESTMENTS
-
79.9%
INVESTMENT
COMPANIES
-
54.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(e)(f)
1,935,678
1,935,678
J.P.
Morgan
U.S.
Treasury
Plus
Money
Market
Fund
-
IM
Shares,
1.20%
(e)
30,026
30,026
Limited
Purpose
Cash
Investment
Fund,
1.15%
(e)
75,587,722
75,527,251
TOTAL
INVESTMENT
COMPANIES
(Cost
$77,508,806)
77,492,955
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
25.3%
U.S.
Treasury
Bills
0.22%,
7/7/2022
(2)(g)
$
9,166,000
9,164,854
0.28%,
7/14/2022
(2)(g)
992,000
991,618
0.38%,
7/28/2022
(2)(g)
428,000
427,654
0.49%,
8/4/2022
(2)(g)
313,000
312,650
0.71%,
8/25/2022
(2)(g)
978,000
975,856
0.67%,
9/1/2022
(2)(g)
885,000
882,679
0.70%,
9/8/2022
(2)(g)
326,000
325,037
0.82%,
9/15/2022
(2)(g)
999,000
995,668
0.87%,
9/22/2022
(2)(g)
1,284,000
1,279,187
1.06%,
9/29/2022
(2)(g)
884,000
880,376
1.12%,
10/6/2022
(2)(g)(h)
4,726,000
4,703,843
1.38%,
10/27/2022
(2)(g)
627,000
623,048
1.39%,
11/10/2022
(2)(g)
695,000
689,858
1.54%,
11/25/2022
(2)(g)
1,432,000
1,420,130
1.59%,
12/1/2022
(2)(g)
208,000
206,052
2.18%,
12/15/2022
(2)(g)
291,000
287,953
2.53%,
12/29/2022
(2)(g)
11,925,000
11,779,907
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$35,965,526)
35,946,370
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$113,474,332)
113,439,325
TOTAL
LONG
POSITIONS
(Cost
$218,779,041)
238,015,479
INVESTMENTS
SHARES
VALUE
($)
SHORT
POSITIONS
-
(88.0)%
COMMON
STOCKS
-
(88.0)%
Australia
-
(1.3)%
Alumina
Ltd.
(2)
(11,404)
(11,560)
APA
Group
(2)
(23,329)
(181,681)
Atlas
Arteria
Ltd.
(2)
(20,949)
(116,722)
Domino's
Pizza
Enterprises
Ltd.
(2)
(380)
(17,862)
Evolution
Mining
Ltd.
(2)
(17,486)
(28,571)
IDP
Education
Ltd.
(2)
(7,538)
(123,436)
Insurance
Australia
Group
Ltd.
(2)
(78,147)
(235,656)
Lynas
Rare
Earths
Ltd.
(2)*
(10,826)
(65,436)
Mineral
Resources
Ltd.
(2)
(3,422)
(114,851)
Northern
Star
Resources
Ltd.
(2)
(49,341)
(231,444)
Pilbara
Minerals
Ltd.
(2)*
(126,069)
(200,533)
QBE
Insurance
Group
Ltd.
(2)
(37,612)
(316,050)
Seven
Group
Holdings
Ltd.
(2)
(4,733)
(54,414)
Suncorp
Group
Ltd.
(2)
(1,807)
(13,780)
Transurban
Group
(2)
(7,294)
(72,570)
Woolworths
Group
Ltd.
(2)
(4,808)
(118,096)
(1,902,662)
—
Austria
–
(0.0)%
(d)
ams-OSRAM
AG
(2)*
(2,258)
(20,428)
Belgium
-
(0.3)%
Anheuser-Busch
InBev
SA/NV
(2)
(6,012)
(323,758)
Galapagos
NV
(2)*
(1,757)
(97,420)
(421,178)
—
Brazil
-
(0.3)%
MercadoLibre,
Inc.
*
(362)
(230,547)
Wheaton
Precious
Metals
Corp.
(5,009)
(180,483)
(411,030)
—
Canada
-
(3.3)%
Agnico
Eagle
Mines
Ltd.
(6,769)
(309,843)
Air
Canada
*
(17,522)
(218,344)
Alamos
Gold,
Inc.,
Class
A
(4,596)
(32,242)
AltaGas
Ltd.
(2,517)
(53,109)
Ballard
Power
Systems,
Inc.
*
(43,824)
(276,794)
Barrick
Gold
Corp.
(11,823)
(209,052)
BlackBerry
Ltd.
*
(25,823)
(139,226)
Boralex,
Inc.,
Class
A
(4,832)
(160,967)
CAE,
Inc.
*
(4,470)
(110,153)
Cameco
Corp.
(5,364)
(112,764)
Canada
Goose
Holdings,
Inc.
*
(3,293)
(59,403)
Canadian
Pacific
Railway
Ltd.
(4,602)
(321,446)
Canopy
Growth
Corp.
*
(30,919)
(87,915)
Constellation
Software,
Inc.
(233)
(345,892)
Dollarama,
Inc.
(2,761)
(158,985)
Element
Fleet
Management
Corp.
(2,401)
(25,032)
Franco-Nevada
Corp.
(2,787)
(366,605)
GFL
Environmental,
Inc.
(2,127)
(54,794)
Innergex
Renewable
Energy,
Inc.
(8,775)
(117,936)
Kinaxis,
Inc.
*
(240)
(25,909)
Lightspeed
Commerce,
Inc.
*
(6,459)
(144,013)
Loblaw
Cos.
Ltd.
(142)
(12,807)
Nuvei
Corp.
*(b)
(1,126)
(40,694)
Pan
American
Silver
Corp.
(2,320)
(45,582)
Restaurant
Brands
International,
Inc.
(2,702)
(135,541)
9
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Canada
-
(3.3)%
(continued)
Shopify,
Inc.,
Class
A
*
(29,390)
(918,322)
SNC-Lavalin
Group,
Inc.
(6,584)
(113,246)
WSP
Global,
Inc.
(815)
(92,150)
(4,688,766)
—
Chile
–
(0.0)%
(d)
Antofagasta
plc
(2)
(2,242)
(31,659)
China
-
(0.2)%
Prosus
NV
(2)*
(4,143)
(268,274)
Denmark
-
(1.4)%
Ambu
A/S,
Class
B
(2)
(7,603)
(74,290)
Coloplast
A/S,
Class
B
(2)
(512)
(58,501)
Demant
A/S
(2)*
(1,987)
(74,694)
GN
Store
Nord
A/S
(2)
(442)
(15,593)
Novo
Nordisk
A/S,
Class
B
(2)
(7,662)
(849,733)
Orsted
A/S
(2)(b)
(4,573)
(481,646)
Tryg
A/S
(2)
(656)
(14,780)
Vestas
Wind
Systems
A/S
(2)
(19,533)
(415,311)
(1,984,548)
—
Faroe
Islands
–
(0.0)%
(d)
Bakkafrost
P/F
(2)
(456)
(29,389)
Finland
-
(0.3)%
Neste
OYJ
(2)
(1,515)
(67,389)
Orion
OYJ,
Class
B
(2)
(6,474)
(289,741)
UPM-Kymmene
OYJ
(2)
(381)
(11,683)
(368,813)
—
France
-
(4.9)%
Accor
SA
(2)*
(3,298)
(89,975)
Adevinta
ASA
(2)*
(21,664)
(159,489)
Air
Liquide
SA
(2)
(3,581)
(482,013)
Airbus
SE
(2)
(2,096)
(205,010)
BioMerieux
(2)
(1,089)
(106,781)
Bollore
SE
(2)
(25,176)
(117,364)
Cie
Plastic
Omnium
SA
(2)
(1,073)
(18,664)
Dassault
Systemes
SE
(2)
(26,626)
(986,250)
Edenred
(2)
(9,021)
(427,331)
EssilorLuxottica
SA
(2)
(4,703)
(713,035)
Getlink
SE
(2)
(4,549)
(80,678)
Hermes
International
(2)
(919)
(1,034,268)
L'Oreal
SA
(2)
(136)
(47,220)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(1,652)
(1,012,474)
Orpea
SA
(2)
(1,925)
(47,223)
Remy
Cointreau
SA
(2)
(95)
(16,669)
Safran
SA
(2)
(746)
(74,276)
Sartorius
Stedim
Biotech
(2)
(1,428)
(450,559)
SEB
SA
(2)
(153)
(14,765)
SOITEC
(2)*
(896)
(128,702)
Ubisoft
Entertainment
SA
(2)*
(638)
(28,138)
Valeo
(2)
(7,408)
(144,352)
Worldline
SA
(2)*(b)
(15,517)
(578,775)
(6,964,011)
—
Germany
-
(3.2)%
Carl
Zeiss
Meditec
AG
(2)
(2,885)
(346,862)
Commerzbank
AG
(2)*
(7,883)
(55,931)
HelloFresh
SE
(2)*
(1,721)
(56,147)
INVESTMENTS
SHARES
VALUE
($)
Germany
-
(3.2)%
(continued)
Merck
KGaA
(2)
(5,269)
(893,735)
MTU
Aero
Engines
AG
(2)
(374)
(68,514)
Nemetschek
SE
(2)
(3,641)
(221,506)
Puma
SE
(2)
(3,277)
(217,417)
Rational
AG
(2)
(47)
(27,401)
SAP
SE
(2)
(2,852)
(259,961)
Sartorius
AG
(Preference)
(2)
(2,535)
(889,705)
Siemens
Healthineers
AG
(2)(b)
(15,552)
(792,940)
Symrise
AG
(2)
(896)
(97,722)
TeamViewer
AG
(2)*(b)
(5,705)
(57,051)
Telefonica
Deutschland
Holding
AG
(2)
(49,224)
(141,948)
United
Internet
AG
(Registered)
(2)
(2,660)
(76,247)
Volkswagen
AG
(Preference)
(2)
(99)
(13,329)
Zalando
SE
(2)*(b)
(10,548)
(277,862)
(4,494,278)
—
Hong
Kong
-
(0.1)%
Prudential
plc
(2)
(10,473)
(130,276)
Italy
-
(2.3)%
Amplifon
SpA
(2)
(6,675)
(205,220)
Brembo
SpA
(2)
(3,436)
(33,503)
Davide
Campari-Milano
NV
(2)
(6,439)
(67,930)
DiaSorin
SpA
(2)
(880)
(115,729)
Enel
SpA
(2)
(8,408)
(46,111)
Ferrari
NV
(2)
(5,344)
(983,498)
FinecoBank
Banca
Fineco
SpA
(2)
(3,135)
(37,609)
Interpump
Group
SpA
(2)
(1,713)
(65,588)
Moncler
SpA
(2)
(20,297)
(874,516)
Nexi
SpA
(2)*(b)
(54,654)
(453,871)
Reply
SpA
(2)
(829)
(100,849)
Terna
-
Rete
Elettrica
Nazionale
(2)
(27,994)
(220,095)
(3,204,519)
—
Japan
-
(16.1)%
Advantest
Corp.
(2)
(4,700)
(252,751)
Aeon
Co.
Ltd.
(2)
(35,900)
(623,587)
Ajinomoto
Co.,
Inc.
(2)
(2,300)
(56,087)
ANA
Holdings,
Inc.
(2)*
(6,000)
(110,830)
Asahi
Intecc
Co.
Ltd.
(2)
(13,100)
(198,346)
Asics
Corp.
(2)
(9,000)
(163,011)
Azbil
Corp.
(2)
(1,000)
(26,365)
Bandai
Namco
Holdings,
Inc.
(2)
(1,300)
(91,771)
BayCurrent
Consulting,
Inc.
(2)
(1,200)
(320,823)
Benefit
One,
Inc.
(2)
(1,200)
(16,257)
Capcom
Co.
Ltd.
(2)
(12,700)
(308,940)
Casio
Computer
Co.
Ltd.
(2)
(3,200)
(29,693)
Chugai
Pharmaceutical
Co.
Ltd.
(2)
(4,200)
(107,438)
Cosmos
Pharmaceutical
Corp.
(2)
(1,500)
(144,066)
CyberAgent,
Inc.
(2)
(13,500)
(135,250)
Daifuku
Co.
Ltd.
(2)
(800)
(45,784)
Daiichi
Sankyo
Co.
Ltd.
(2)
(12,300)
(312,820)
Daikin
Industries
Ltd.
(2)
(800)
(128,447)
East
Japan
Railway
Co.
(2)
(5,800)
(296,665)
Eisai
Co.
Ltd.
(2)
(6,100)
(257,909)
Fancl
Corp.
(2)
(3,400)
(62,487)
FANUC
Corp.
(2)
(100)
(15,674)
Fast
Retailing
Co.
Ltd.
(2)
(600)
(315,166)
Food
&
Life
Cos.
Ltd.
(2)
(2,600)
(55,781)
10
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(16.1)%
(continued)
FUJIFILM
Holdings
Corp.
(2)
(400)
(21,493)
GMO
Payment
Gateway,
Inc.
(2)
(1,100)
(78,354)
Harmonic
Drive
Systems,
Inc.
(2)
(4,700)
(137,799)
Hisamitsu
Pharmaceutical
Co.,
Inc.
(2)
(500)
(12,925)
Hoya
Corp.
(2)
(4,300)
(368,007)
Ibiden
Co.
Ltd.
(2)
(1,400)
(39,663)
Japan
Airlines
Co.
Ltd.
(2)*
(12,300)
(211,334)
Japan
Airport
Terminal
Co.
Ltd.
(2)*
(6,400)
(254,286)
JSR
Corp.
(2)
(1,300)
(33,782)
Justsystems
Corp.
(2)
(600)
(17,076)
Kadokawa
Corp.
(2)
(7,400)
(160,082)
Kakaku.com,
Inc.
(2)
(4,900)
(81,384)
Kansai
Paint
Co.
Ltd.
(2)
(1,400)
(17,873)
Kawasaki
Heavy
Industries
Ltd.
(2)
(4,600)
(86,333)
KDDI
Corp.
(2)
(6,800)
(214,434)
Keio
Corp.
(2)
(3,000)
(107,621)
Keisei
Electric
Railway
Co.
Ltd.
(2)
(3,800)
(104,926)
Keyence
Corp.
(2)
(500)
(171,469)
Kikkoman
Corp.
(2)
(3,400)
(180,937)
Kintetsu
Group
Holdings
Co.
Ltd.
(2)
(6,200)
(192,892)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(2,500)
(154,828)
Kobe
Bussan
Co.
Ltd.
(2)
(35,100)
(862,795)
Koei
Tecmo
Holdings
Co.
Ltd.
(2)
(5,250)
(170,235)
Koito
Manufacturing
Co.
Ltd.
(2)
(900)
(28,586)
Kose
Corp.
(2)
(2,500)
(227,840)
Lasertec
Corp.
(2)
(3,700)
(440,684)
M3,
Inc.
(2)
(23,300)
(670,690)
Marui
Group
Co.
Ltd.
(2)
(4,800)
(84,034)
MatsukiyoCocokara
&
Co.
(2)
(5,900)
(238,593)
Mercari,
Inc.
(2)*
(6,400)
(93,345)
Mitsubishi
Motors
Corp.
(2)*
(15,700)
(52,959)
Mitsui
High-Tec,
Inc.
(2)
(10,700)
(666,999)
Miura
Co.
Ltd.
(2)
(900)
(17,832)
MonotaRO
Co.
Ltd.
(2)
(30,400)
(453,376)
Nagoya
Railroad
Co.
Ltd.
(2)
(1,000)
(15,421)
Nexon
Co.
Ltd.
(2)
(21,600)
(443,551)
Nidec
Corp.
(2)
(1,300)
(80,557)
Nihon
M&A
Center
Holdings,
Inc.
(2)
(7,400)
(78,885)
Nintendo
Co.
Ltd.
(2)
(700)
(301,040)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(29,800)
(222,969)
Nippon
Sanso
Holdings
Corp.
(2)
(2,200)
(35,225)
Nisshin
Seifun
Group,
Inc.
(2)
(1,400)
(16,384)
Nomura
Research
Institute
Ltd.
(2)
(13,300)
(356,926)
NTT
Data
Corp.
(2)
(2,900)
(40,231)
Obic
Co.
Ltd.
(2)
(2,900)
(412,398)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(9,400)
(126,823)
Olympus
Corp.
(2)
(38,900)
(788,316)
Omron
Corp.
(2)
(300)
(15,269)
Oracle
Corp.
Japan
(2)
(300)
(17,471)
Oriental
Land
Co.
Ltd.
(2)
(6,900)
(963,598)
Pan
Pacific
International
Holdings
Corp.
(2)
(5,200)
(82,905)
Persol
Holdings
Co.
Ltd.
(2)
(1,700)
(31,039)
Pola
Orbis
Holdings,
Inc.
(2)
(7,900)
(97,785)
Rakus
Co.
Ltd.
(2)
(25,500)
(304,392)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
(16.1)%
(continued)
Rakuten
Group,
Inc.
(2)
(36,300)
(164,134)
Recruit
Holdings
Co.
Ltd.
(2)
(700)
(20,615)
Renesas
Electronics
Corp.
(2)*
(2,900)
(26,243)
Ryohin
Keikaku
Co.
Ltd.
(2)
(13,600)
(133,230)
Seven
&
i
Holdings
Co.
Ltd.
(2)
(8,800)
(341,444)
SG
Holdings
Co.
Ltd.
(2)
(4,700)
(79,477)
Sharp
Corp.
(2)
(12,300)
(95,141)
SHIFT,
Inc.
(2)*
(400)
(52,456)
Shimadzu
Corp.
(2)
(2,100)
(66,561)
Shinko
Electric
Industries
Co.
Ltd.
(2)
(6,100)
(157,549)
Shiseido
Co.
Ltd.
(2)
(6,000)
(241,843)
Showa
Denko
KK
(2)
(10,800)
(183,694)
SoftBank
Corp.
(2)
(54,400)
(603,978)
SoftBank
Group
Corp.
(2)
(9,800)
(379,833)
Sony
Group
Corp.
(2)
(11,000)
(897,125)
SUMCO
Corp.
(2)
(10,000)
(130,049)
Sundrug
Co.
Ltd.
(2)
(1,000)
(22,364)
Sysmex
Corp.
(2)
(3,100)
(187,056)
Takeda
Pharmaceutical
Co.
Ltd.
(2)
(2,900)
(81,456)
Terumo
Corp.
(2)
(16,100)
(487,042)
THK
Co.
Ltd.
(2)
(3,700)
(69,693)
TIS,
Inc.
(2)
(4,600)
(121,029)
Tobu
Railway
Co.
Ltd.
(2)
(600)
(13,696)
Tokyo
Century
Corp.
(2)
(1,100)
(36,544)
Tokyo
Electron
Ltd.
(2)
(1,800)
(587,508)
TOTO
Ltd.
(2)
(3,200)
(105,956)
Toyota
Industries
Corp.
(2)
(200)
(12,401)
Toyota
Motor
Corp.
(2)
(4,500)
(69,432)
Trend
Micro,
Inc.
(2)
(8,600)
(420,724)
Tsuruha
Holdings,
Inc.
(2)
(300)
(16,324)
Unicharm
Corp.
(2)
(24,600)
(825,508)
USS
Co.
Ltd.
(2)
(4,300)
(74,528)
Welcia
Holdings
Co.
Ltd.
(2)
(4,600)
(92,480)
West
Japan
Railway
Co.
(2)
(5,200)
(191,300)
Yakult
Honsha
Co.
Ltd.
(2)
(6,700)
(386,452)
Yamato
Holdings
Co.
Ltd.
(2)
(3,200)
(51,210)
Yaskawa
Electric
Corp.
(2)
(3,200)
(103,354)
Yokogawa
Electric
Corp.
(2)
(7,100)
(117,457)
Z
Holdings
Corp.
(2)
(61,300)
(178,265)
(22,987,750)
—
Mongolia
-
(0.1)%
Turquoise
Hill
Resources
Ltd.
*
(4,069)
(108,996)
Netherlands
-
(1.9)%
Adyen
NV
(2)*(b)
(382)
(551,277)
Argenx
SE
(2)*
(1,369)
(516,049)
ASM
International
NV
(2)
(675)
(167,945)
ASML
Holding
NV
(2)
(363)
(171,495)
Heineken
NV
(2)
(519)
(47,240)
IMCD
NV
(2)
(1,397)
(191,018)
Koninklijke
DSM
NV
(2)
(6,105)
(874,544)
Wolters
Kluwer
NV
(2)
(1,649)
(159,818)
(2,679,386)
—
New
Zealand
–
(0.0)%
(d)
Xero
Ltd.
(2)*
(301)
(16,056)
11
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Norway
-
(0.3)%
Kongsberg
Gruppen
ASA
(2)
(3,369)
(121,167)
Mowi
ASA
(2)
(8,628)
(197,302)
Schibsted
ASA,
Class
A
(2)
(2,176)
(39,307)
Telenor
ASA
(2)
(2,123)
(28,370)
TOMRA
Systems
ASA
(2)
(5,290)
(99,283)
(485,429)
—
Singapore
-
(0.9)%
City
Developments
Ltd.
(2)
(7,800)
(45,813)
Sea
Ltd.,
ADR
*
(8,045)
(537,889)
Singapore
Telecommunications
Ltd.
(2)
(345,700)
(629,197)
(1,212,899)
—
South
Korea
-
(0.4)%
Delivery
Hero
SE
(2)*(b)
(14,682)
(553,891)
Spain
-
(1.5)%
Aena
SME
SA
(2)*(b)
(370)
(47,212)
Amadeus
IT
Group
SA
(2)*
(13,403)
(750,490)
Cellnex
Telecom
SA
(2)(b)
(15,264)
(594,047)
Ferrovial
SA
(2)
(12,347)
(314,154)
Fluidra
SA
(2)
(6,690)
(136,121)
Grifols
SA
(2)*
(9,756)
(185,017)
Industria
de
Diseno
Textil
SA
(2)
(5,460)
(124,081)
Naturgy
Energy
Group
SA
(2)
(411)
(11,876)
Red
Electrica
Corp.
SA
(2)
(626)
(11,850)
(2,174,848)
—
Sweden
-
(1.3)%
Beijer
Ref
AB
(2)
(3,669)
(50,314)
Embracer
Group
AB
(2)*
(37,037)
(284,485)
Epiroc
AB,
Class
A
(2)
(3,482)
(53,989)
EQT
AB
(2)
(20,654)
(424,504)
Evolution
AB
(2)(b)
(1,009)
(92,304)
Hexagon
AB,
Class
B
(2)
(3,796)
(39,665)
Holmen
AB,
Class
B
(2)
(4,572)
(186,234)
Lifco
AB,
Class
B
(2)
(3,035)
(49,011)
Nibe
Industrier
AB,
Class
B
(2)
(43,165)
(325,388)
Saab
AB,
Class
B
(2)
(3,139)
(129,805)
Sagax
AB,
Class
B
(2)
(5,167)
(95,794)
Sweco
AB,
Class
B
(2)
(4,574)
(47,672)
(1,779,165)
—
Switzerland
-
(2.0)%
Bachem
Holding
AG
(Registered),
Class
B
(2)
(1,669)
(116,329)
Clariant
AG
(Registered)
(2)*
(7,593)
(144,786)
Dufry
AG
(Registered)
(2)*
(9,931)
(322,261)
Galenica
AG
(2)(b)
(518)
(39,848)
Givaudan
SA
(Registered)
(2)
(4)
(14,099)
Idorsia
Ltd.
(2)*
(15,157)
(217,132)
Lonza
Group
AG
(Registered)
(2)
(86)
(45,936)
OC
Oerlikon
Corp.
AG
(Registered)
(2)
(4,550)
(31,766)
Partners
Group
Holding
AG
(2)
(167)
(150,817)
SIG
Group
AG
(2)*
(4,653)
(102,748)
Sika
AG
(Registered)
(2)
(3,081)
(711,209)
Sonova
Holding
AG
(Registered)
(2)
(561)
(179,285)
INVESTMENTS
SHARES
VALUE
($)
Switzerland
-
(2.0)%
(continued)
Straumann
Holding
AG
(Registered)
(2)
(3,450)
(415,608)
Swiss
Prime
Site
AG
(Registered)
(2)
(169)
(14,849)
Temenos
AG
(Registered)
(2)
(2,551)
(218,315)
VAT
Group
AG
(2)(b)
(453)
(108,338)
(2,833,326)
—
United
Kingdom
-
(3.5)%
Associated
British
Foods
plc
(2)
(677)
(13,063)
AstraZeneca
plc
(2)
(7,825)
(1,032,289)
AVEVA
Group
plc
(2)
(5,754)
(157,962)
Beazley
plc
(2)
(7,203)
(43,920)
Bellway
plc
(2)
(961)
(25,267)
Berkeley
Group
Holdings
plc
(2)*
(1,240)
(56,376)
boohoo
Group
plc
(2)*
(112,247)
(75,576)
British
American
Tobacco
plc
(2)
(5,627)
(241,197)
ConvaTec
Group
plc
(2)(b)
(50,095)
(137,309)
Croda
International
plc
(2)
(6,857)
(541,991)
Dechra
Pharmaceuticals
plc
(2)
(2,441)
(102,926)
easyJet
plc
(2)*
(12,721)
(57,138)
Halma
plc
(2)
(17,475)
(429,049)
Hargreaves
Lansdown
plc
(2)
(9,060)
(87,415)
Hiscox
Ltd.
(2)
(9,572)
(109,808)
JD
Sports
Fashion
plc
(2)*
(47,867)
(67,445)
Legal
&
General
Group
plc
(2)
(12,859)
(37,594)
Ocado
Group
plc
(2)*
(12,643)
(120,522)
Reckitt
Benckiser
Group
plc
(2)
(12,830)
(964,974)
Rolls-Royce
Holdings
plc
(2)*
(464,551)
(472,756)
Standard
Chartered
plc
(2)
(9,193)
(69,402)
Weir
Group
plc
(The)
(2)
(2,130)
(35,500)
WH
Smith
plc
(2)*
(2,620)
(45,036)
Whitbread
plc
(2)
(602)
(18,255)
(4,942,770)
—
United
States
-
(42.4)%
10X
Genomics,
Inc.,
Class
A
*
(9,722)
(439,921)
Adaptive
Biotechnologies
Corp.
*
(12,417)
(100,454)
ADT,
Inc.
(2,783)
(17,115)
Advanced
Micro
Devices,
Inc.
*
(1,706)
(130,458)
AES
Corp.
(The)
(826)
(17,354)
Affirm
Holdings,
Inc.
*
(1,043)
(18,837)
Airbnb,
Inc.,
Class
A
*
(1,614)
(143,775)
Albemarle
Corp.
(601)
(125,597)
Alcoa
Corp.
(11,207)
(510,815)
Alliant
Energy
Corp.
(221)
(12,953)
Alnylam
Pharmaceuticals,
Inc.
*
(1,648)
(240,361)
Alteryx,
Inc.,
Class
A
*
(1,403)
(67,933)
Altria
Group,
Inc.
(1,373)
(57,350)
Amazon.com,
Inc.
*
(3,500)
(371,735)
AMC
Entertainment
Holdings,
Inc.,
Class
A
*
(31,763)
(430,389)
Amedisys,
Inc.
*
(119)
(12,509)
Ameren
Corp.
(148)
(13,373)
American
Airlines
Group,
Inc.
*
(35,978)
(456,201)
American
Express
Co.
(4,174)
(578,600)
American
Water
Works
Co.,
Inc.
(5,245)
(780,299)
Amphenol
Corp.,
Class
A
(1,688)
(108,673)
Aon
plc,
Class
A
(2,374)
(640,220)
Aptiv
plc
*
(3,494)
(311,211)
12
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(42.4)%
(continued)
Arrowhead
Pharmaceuticals,
Inc.
*
(2,574)
(90,631)
Asana,
Inc.,
Class
A
*
(2,832)
(49,787)
Atmos
Energy
Corp.
(8,882)
(995,671)
Avalara,
Inc.
*
(310)
(21,886)
Axalta
Coating
Systems
Ltd.
*
(729)
(16,118)
Axon
Enterprise,
Inc.
*
(560)
(52,175)
Baker
Hughes
Co.
(6,879)
(198,597)
Ball
Corp.
(9,658)
(664,181)
Bank
OZK
(606)
(22,743)
Bausch
Health
Cos.,
Inc.
*
(2,041)
(17,061)
Beyond
Meat,
Inc.
*
(7,831)
(187,474)
Bill.com
Holdings,
Inc.
*
(3,212)
(353,127)
BioMarin
Pharmaceutical,
Inc.
*
(653)
(54,114)
Block,
Inc.
*
(1,055)
(64,840)
Boeing
Co.
(The)
*
(3,500)
(478,520)
Boston
Beer
Co.,
Inc.
(The),
Class
A
*
(427)
(129,368)
Bright
Horizons
Family
Solutions,
Inc.
*
(2,168)
(183,239)
Brink's
Co.
(The)
(1,739)
(105,575)
Cadence
Bank
(734)
(17,234)
Caesars
Entertainment,
Inc.
*
(840)
(32,172)
Carnival
Corp.
*
(38,271)
(331,044)
Carvana
Co.
*
(9,772)
(220,652)
Catalent,
Inc.
*
(657)
(70,490)
CH
Robinson
Worldwide,
Inc.
(5,907)
(598,793)
ChargePoint
Holdings,
Inc.
*
(2,757)
(37,743)
Charles
Schwab
Corp.
(The)
(6,215)
(392,664)
Charter
Communications,
Inc.,
Class
A
*
(334)
(156,489)
Chegg,
Inc.
*
(12,030)
(225,923)
Cheniere
Energy,
Inc.
(2,612)
(347,474)
Chevron
Corp.
(4,761)
(689,298)
Chewy,
Inc.,
Class
A
*
(9,653)
(335,152)
Clarivate
plc
*
(10,619)
(147,179)
Cloudflare,
Inc.,
Class
A
*
(2,342)
(102,463)
CME
Group,
Inc.
(3,641)
(745,313)
CNX
Resources
Corp.
*
(7,786)
(128,158)
Commerce
Bancshares,
Inc.
(1,938)
(127,230)
CommScope
Holding
Co.,
Inc.
*
(6,413)
(39,248)
Copart,
Inc.
*
(183)
(19,885)
Corning,
Inc.
(540)
(17,015)
Corteva,
Inc.
(4,953)
(268,155)
CoStar
Group,
Inc.
*
(290)
(17,519)
Costco
Wholesale
Corp.
(1,464)
(701,666)
Coupa
Software,
Inc.
*
(1,735)
(99,069)
Crocs,
Inc.
*
(1,281)
(62,346)
Crowdstrike
Holdings,
Inc.,
Class
A
*
(2,055)
(346,391)
Crown
Holdings,
Inc.
(5,610)
(517,074)
Danaher
Corp.
(2,266)
(574,476)
Datadog,
Inc.,
Class
A
*
(1,200)
(114,288)
Delta
Air
Lines,
Inc.
*
(2,531)
(73,323)
Dexcom,
Inc.
*
(3,004)
(223,888)
DocuSign,
Inc.
*
(304)
(17,444)
Dollar
General
Corp.
(2,398)
(588,565)
Dollar
Tree,
Inc.
*
(6,145)
(957,697)
Dominion
Energy,
Inc.
(4,628)
(369,361)
DoorDash,
Inc.,
Class
A
*
(1,454)
(93,303)
DraftKings,
Inc.,
Class
A
*
(72,571)
(846,904)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(42.4)%
(continued)
DTE
Energy
Co.
(136)
(17,238)
Duke
Energy
Corp.
(6,327)
(678,318)
Dun
&
Bradstreet
Holdings,
Inc.
*
(17,793)
(267,429)
Edison
International
(7,920)
(500,861)
Elanco
Animal
Health,
Inc.
*
(2,338)
(45,895)
Elastic
NV
*
(478)
(32,346)
Eli
Lilly
&
Co.
(58)
(18,805)
Encompass
Health
Corp.
(240)
(13,452)
Energizer
Holdings,
Inc.
(951)
(26,961)
Enphase
Energy,
Inc.
*
(1,922)
(375,251)
EQT
Corp.
(18,939)
(651,502)
Erie
Indemnity
Co.,
Class
A
(394)
(75,723)
Essential
Utilities,
Inc.
(2,876)
(131,865)
Etsy,
Inc.
*
(887)
(64,937)
Everbridge,
Inc.
*
(488)
(13,610)
Eversource
Energy
(2,302)
(194,450)
Exact
Sciences
Corp.
*
(3,875)
(152,636)
Exelixis,
Inc.
*
(2,210)
(46,012)
Fastenal
Co.
(13,915)
(694,637)
Fastly,
Inc.,
Class
A
*
(19,084)
(221,565)
First
Citizens
BancShares,
Inc.,
Class
A
(28)
(18,306)
First
Financial
Bankshares,
Inc.
(7,555)
(296,685)
First
Republic
Bank
(451)
(65,034)
FirstEnergy
Corp.
(4,240)
(162,774)
Five9,
Inc.
*
(4,333)
(394,910)
Floor
&
Decor
Holdings,
Inc.,
Class
A
*
(374)
(23,547)
Fluor
Corp.
*
(3,227)
(78,545)
Fox
Factory
Holding
Corp.
*
(606)
(48,807)
Freeport-McMoRan,
Inc.
(1,502)
(43,949)
Freshpet,
Inc.
*
(2,772)
(143,839)
GameStop
Corp.,
Class
A
*
(3,595)
(439,669)
Garmin
Ltd.
(1,230)
(120,848)
General
Electric
Co.
(4,227)
(269,133)
Grocery
Outlet
Holding
Corp.
*
(12,304)
(524,520)
Guardant
Health,
Inc.
*
(7,385)
(297,911)
HealthEquity,
Inc.
*
(4,001)
(245,621)
Hershey
Co.
(The)
(3,535)
(760,591)
Hess
Corp.
(1,779)
(188,467)
Home
Depot,
Inc.
(The)
(63)
(17,279)
Hormel
Foods
Corp.
(5,577)
(264,127)
Howard
Hughes
Corp.
(The)
*
(2,042)
(138,958)
Illumina,
Inc.
*
(209)
(38,531)
Insulet
Corp.
*
(1,153)
(251,285)
Intercontinental
Exchange,
Inc.
(3,660)
(344,186)
International
Flavors
&
Fragrances,
Inc.
(1,631)
(194,285)
Intuitive
Surgical,
Inc.
*
(728)
(146,117)
Ionis
Pharmaceuticals,
Inc.
*
(6,634)
(245,591)
Iovance
Biotherapeutics,
Inc.
*
(44,354)
(489,668)
Iridium
Communications,
Inc.
*
(7,555)
(283,766)
Kemper
Corp.
(964)
(46,176)
Kirby
Corp.
*
(1,713)
(104,219)
Kraft
Heinz
Co.
(The)
(399)
(15,218)
Lamb
Weston
Holdings,
Inc.
(780)
(55,739)
Las
Vegas
Sands
Corp.
*
(793)
(26,637)
Lemonade,
Inc.
*
(1,009)
(18,424)
Liberty
Broadband
Corp.,
Class
C
*
(346)
(40,011)
Lucid
Group,
Inc.
*
(10,800)
(185,328)
13
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(42.4)%
(continued)
Lululemon
Athletica,
Inc.
*
(1,462)
(398,556)
Lyft,
Inc.,
Class
A
*
(44,679)
(593,337)
Madison
Square
Garden
Sports
Corp.
*
(1,175)
(177,425)
MarketAxess
Holdings,
Inc.
(1,107)
(283,403)
Marsh
&
McLennan
Cos.,
Inc.
(4,215)
(654,379)
McCormick
&
Co.,
Inc.
(Non-Voting)
(3,558)
(296,204)
Mercury
Systems,
Inc.
*
(509)
(32,744)
Mirati
Therapeutics,
Inc.
*
(10,332)
(693,587)
MongoDB,
Inc.
*
(553)
(143,504)
MSCI,
Inc.
(59)
(24,317)
Natera,
Inc.
*
(10,681)
(378,535)
Nektar
Therapeutics
*
(87,026)
(330,699)
Netflix,
Inc.
*
(879)
(153,711)
New
Fortress
Energy,
Inc.
(1,446)
(57,218)
New
Jersey
Resources
Corp.
(287)
(12,780)
New
Relic,
Inc.
*
(496)
(24,825)
Newell
Brands,
Inc.
(7,565)
(144,038)
Newmont
Corp.
(14,355)
(856,563)
News
Corp.,
Class
A
(983)
(15,315)
NextEra
Energy,
Inc.
(13,107)
(1,015,267)
NIKE,
Inc.,
Class
B
(6,362)
(650,196)
Nordstrom,
Inc.
(4,972)
(105,058)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(34,873)
(387,788)
NOV,
Inc.
(17,145)
(289,922)
Novocure
Ltd.
*
(2,669)
(185,496)
Nutanix,
Inc.,
Class
A
*
(6,212)
(90,882)
NVIDIA
Corp.
(1,543)
(233,903)
Oak
Street
Health,
Inc.
*
(5,777)
(94,974)
Occidental
Petroleum
Corp.
(1,181)
(69,537)
Okta,
Inc.
*
(1,052)
(95,101)
Ollie's
Bargain
Outlet
Holdings,
Inc.
*
(5,278)
(310,083)
ONE
Gas,
Inc.
(2,384)
(193,557)
ONEOK,
Inc.
(2,381)
(132,146)
PacWest
Bancorp
(5,555)
(148,096)
Palantir
Technologies,
Inc.,
Class
A
*
(6,940)
(62,946)
Paramount
Global,
Class
B
(4,496)
(110,961)
Peloton
Interactive,
Inc.,
Class
A
*
(40,458)
(371,404)
Penumbra,
Inc.
*
(183)
(22,787)
PG&E
Corp.
*
(22,115)
(220,708)
Philip
Morris
International,
Inc.
(124)
(12,244)
Plug
Power,
Inc.
*
(27,349)
(453,173)
Primerica,
Inc.
(153)
(18,313)
Progressive
Corp.
(The)
(8,429)
(980,039)
Progyny,
Inc.
*
(4,273)
(124,131)
Public
Service
Enterprise
Group,
Inc.
(15,744)
(996,279)
QuantumScape
Corp.
*
(26,797)
(230,186)
Range
Resources
Corp.
*
(6,521)
(161,395)
Repligen
Corp.
*
(1,233)
(200,239)
RingCentral,
Inc.,
Class
A
*
(611)
(31,931)
RLI
Corp.
(242)
(28,215)
Rocket
Cos.,
Inc.,
Class
A
(79,684)
(586,474)
Roku,
Inc.
*
(2,406)
(197,629)
Royal
Caribbean
Cruises
Ltd.
*
(4,470)
(156,048)
Royal
Gold,
Inc.
(2,249)
(240,148)
S&P
Global,
Inc.
(118)
(39,773)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(42.4)%
(continued)
Sabre
Corp.
*
(33,712)
(196,541)
Sage
Therapeutics,
Inc.
*
(10,576)
(341,605)
Schlumberger
NV
(16,586)
(593,115)
Seagen,
Inc.
*
(1,645)
(291,066)
Sherwin-Williams
Co.
(The)
(1,630)
(364,973)
Shift4
Payments,
Inc.,
Class
A
*
(625)
(20,663)
Signature
Bank
(1,669)
(299,101)
Sinch
AB
(2)*(b)
(31,079)
(101,518)
SiTime
Corp.
*
(82)
(13,368)
Six
Flags
Entertainment
Corp.
*
(5,829)
(126,489)
Smartsheet,
Inc.,
Class
A
*
(615)
(19,329)
Snap,
Inc.,
Class
A
*
(12,139)
(159,385)
Snowflake,
Inc.,
Class
A
*
(483)
(67,166)
SoFi
Technologies,
Inc.
*
(76,524)
(403,281)
SolarEdge
Technologies,
Inc.
*
(1,269)
(347,300)
Southern
Co.
(The)
(2,938)
(209,509)
Southwest
Gas
Holdings,
Inc.
(5,984)
(521,087)
Spire,
Inc.
(627)
(46,630)
Splunk,
Inc.
*
(645)
(57,057)
STAAR
Surgical
Co.
*
(1,156)
(81,995)
Sunrun,
Inc.
*
(14,768)
(344,980)
SVB
Financial
Group
*
(114)
(45,029)
Switch,
Inc.,
Class
A
(6,040)
(202,340)
Sysco
Corp.
(2,333)
(197,628)
Tandem
Diabetes
Care,
Inc.
*
(407)
(24,090)
Targa
Resources
Corp.
(1,234)
(73,633)
Teladoc
Health,
Inc.
*
(25,833)
(857,913)
Tempur
Sealy
International,
Inc.
(1,006)
(21,498)
Tesla,
Inc.
*
(583)
(392,604)
Texas
Capital
Bancshares,
Inc.
*
(672)
(35,374)
Thermo
Fisher
Scientific,
Inc.
(676)
(367,257)
T-Mobile
US,
Inc.
*
(4,169)
(560,897)
TopBuild
Corp.
*
(796)
(133,059)
Trade
Desk,
Inc.
(The),
Class
A
*
(1,381)
(57,850)
Trimble,
Inc.
*
(641)
(37,325)
TripAdvisor,
Inc.
*
(4,417)
(78,623)
Twilio,
Inc.,
Class
A
*
(1,778)
(149,014)
Twitter,
Inc.
*
(19,098)
(714,074)
Uber
Technologies,
Inc.
*
(45,379)
(928,453)
Ultragenyx
Pharmaceutical,
Inc.
*
(5,727)
(341,673)
Union
Pacific
Corp.
(3,354)
(715,341)
United
Airlines
Holdings,
Inc.
*
(7,152)
(253,324)
United
Parcel
Service,
Inc.,
Class
B
(2,781)
(507,644)
Unity
Software,
Inc.
*
(663)
(24,412)
Upstart
Holdings,
Inc.
*
(5,602)
(177,135)
Verisk
Analytics,
Inc.
(1,432)
(247,865)
Vimeo,
Inc.
*
(9,024)
(54,324)
Virgin
Galactic
Holdings,
Inc.
*
(31,382)
(188,920)
Vroom,
Inc.
*
(36,682)
(45,853)
Walmart,
Inc.
(121)
(14,711)
Walt
Disney
Co.
(The)
*
(557)
(52,581)
Waste
Connections,
Inc.
(138)
(17,106)
Waste
Management,
Inc.
(4,923)
(753,121)
Wayfair,
Inc.,
Class
A
*
(4,416)
(192,361)
WEC
Energy
Group,
Inc.
(642)
(64,611)
West
Pharmaceutical
Services,
Inc.
(1,999)
(604,438)
Westinghouse
Air
Brake
Technologies
Corp.
(909)
(74,611)
White
Mountains
Insurance
Group
Ltd.
(158)
(196,889)
14
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(42.4)%
(continued)
Williams
Cos.,
Inc.
(The)
(5,589)
(174,433)
Wolfspeed,
Inc.
*
(770)
(48,857)
Wynn
Resorts
Ltd.
*
(3,540)
(201,709)
Xcel
Energy,
Inc.
(497)
(35,168)
Zoom
Video
Communications,
Inc.,
Class
A
*
(168)
(18,139)
ZoomInfo
Technologies,
Inc.
*
(1,397)
(46,436)
Zscaler,
Inc.
*
(855)
(127,831)
(60,357,003)
—
Zambia
–
(0.0)%
(d)
First
Quantum
Minerals
Ltd.
(665)
(12,616)
TOTAL
COMMON
STOCKS
(Proceeds
$(181,415,711))
(125,063,966)
NO.
OF
WARRANTS
WARRANTS
–
(0.0)%
(d)
Canada
–
(0.0)%
(d)
Cenovus
Energy,
Inc.,
expiring
1/1/2026
*
(Proceeds
$–)
(674)
(9,378)
TOTAL
SHORT
POSITIONS
(Proceeds
$(181,415,711))
(125,073,344)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
79.5%
(Cost
$37,363,330)
112,942,135
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
20.5%
(i)
29,116,975
NET
ASSETS
-
100.0%
142,059,110
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(2,644,708)
(1.9)
%
Consumer
Discretionary
(1,540,403)
(1.1)
Consumer
Staples
(4,850,260)
(3.4)
Energy
6,426,031
4.5
Financials
9,450,865
6.6
Health
Care
(8,351,515)
(5.9)
Industrials
3,073,130
2.2
Information
Technology
(565,160)
(0.4)
Materials
3,376,266
2.4
Real
Estate
276,136
0.2
Utilities
(5,147,573)
(3.6)
Investment
Companies
77,492,955
54.6
U.S.
Treasury
Obligations
35,946,370
25.3
Total
Investments
In
Securities
At
Value
112,942,134
79.5
Other
Assets
in
Excess
of
Liabilities
(i)
29,116,976
20.5
Net
Assets
$
142,059,110
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$119,322,201.
In
addition,
$16,210,706
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$(4,236,125),
which
represents
approximately
(2.98)%
of
net
assets
of
the
fund.
(c)
All
or
a
portion
of
this
security
has
been
rehypothecated
in
connection
with
the
Fund's
Master
Securities
Loan
Agreement
with
State
Street
Bank
and
Trust
Company
with
a
total
value
of
$21,523,160.
(d)
Represents
less
than
0.05%
of
net
assets.
(e)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(f)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(g)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(h)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(i)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
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).
15
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
June
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
19,600,000
$
437,693
$
(52,204)
$
385,489
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
2,900,000
271,219
(12,447)
258,772
Receive
1D
TONAR
Annual
0.00%
Annual
9/23/2032
JPY
789,100,000
212,293
57,386
269,679
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
14,800,000
295,352
63,134
358,486
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
26,300,000
430,546
8,691
439,237
Receive
6M
BBR
Semi
3.50%
Semi
9/09/2032
AUD
1,800,000
41,822
22,690
64,512
Receive
6M
BBR
Semi
2.50%
Semi
9/09/2032
AUD
6,000,000
39,649
517,893
557,542
Receive
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
800,000
14,533
36,973
51,506
Receive
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
1,900,000
26,833
45,151
71,984
Receive
6M
EURIBOR
Semi
1.00%
Annual
9/21/2032
EUR
1,900,000
189,559
33,341
222,900
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
9,200,000
604,588
1,132,157
1,736,745
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
5,300,000
667,043
(13,978)
653,065
3,231,130
1,838,787
5,069,917
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
4,500,000
(358,937)
42,005
(316,932)
Pay
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
12,400,000
(318,504)
100,213
(218,291)
Pay
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
10,309,100,000
(107,892)
(25,259)
(133,151)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
1,804,000,000
(32,356)
2,883
(29,473)
Pay
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
3,500,000
(290,657)
(41,187)
(331,844)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
6,400,000
(491,765)
(11,919)
(503,684)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
28,200,000
(109,679)
(482,432)
(592,111)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
9/12/2024
AUD
7,600,000
(6,127)
(1,372)
(7,499)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
8,100,000
8,868
(30,149)
(21,281)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
44,500,000
(1,000,668)
(659,021)
(1,659,689)
Pay
6M
EURIBOR
Semi
0.50%
Annual
9/23/2024
EUR
6,800,000
(163,483)
15,117
(148,366)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
18,800,000
(549,776)
156,971
(392,805)
Receive
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
1,324,700,000
(76,086)
48,725
(27,361)
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
389,500,000
4,810
(5,998)
(1,188)
(3,492,252)
(891,423)
(4,383,675)
$
(261,122)
$
947,364
$
686,242
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
June
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
1.50%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
1.19%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.04%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
1.81%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
2.76%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
2.67%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
0.26%
16
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(46,800)
$
3,934
Hang
Seng
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(1,087,200)
994
KC
HRW
Wheat
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
08/26/2022
USD
(47,588)
4,000
KOSPI
200
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
09/08/2022
KRW
(307,450,000)
6,725
Live
Cattle
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(159,090)
1,802
MSCI
Singapore
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.10%)
Monthly
BANA
09/21/2022
SGD
(634,095)
24,070
41,525
DTOP
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
09/15/2022
ZAR
(117,460)
(49)
HSCEI
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(758,900)
(421)
iBovespa
Index
August
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MSCS
08/17/2022
BRL
2,994,270
(25,921)
KC
HRW
Wheat
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
08/26/2022
USD
47,588
(10,487)
SGX
NIFTY
50
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
USD
(62,890)
(27)
Swiss
Market
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
09/16/2022
CHF
(748,090)
(18,168)
TAIEX
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
07/20/2022
TWD
29,248,000
(66,869)
Tel
Aviv
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/27/2022
ILS
(731,492)
(1,377)
17
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
WIG20
Index
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
09/16/2022
PLN
67,840
$
(5)
MSCI
China
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.60%)
Monthly
BANA
09/21/2022
HKD
(1,575,305)
(3,715)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.25%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
09/21/2022
EUR
2,106,962
(211,435)
MSCI
Mexico
Net
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TIIE
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
09/21/2022
MXN
3,024,234
(4,545)
MSCI
Netherlands
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
(-0.28%)
Monthly
BANA
09/21/2022
EUR
(615,877)
(18,472)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.24%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
09/21/2022
EUR
513,946
(3,918)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
09/21/2022
CHF
1,898,119
(88,831)
18
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
BANA
09/21/2022
GBP
259,030
$
(11,994)
(466,234)
$
(424,709)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
59
7/2022
USD
$
6,432,770
$
(338,341)
CAC
40
10
Euro
Index
10
7/2022
EUR
619,758
(6,707)
FTSE
Bursa
Malaysia
KLCI
Index
4
7/2022
MYR
65,320
98
IBEX
35
Index
75
7/2022
EUR
6,318,824
(72,689)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,673
(24,062)
LME
Copper
Base
Metal
1
7/2022
USD
206,575
(51,309)
LME
Copper
Base
Metal
2
7/2022
USD
413,250
(77,249)
LME
Zinc
Base
Metal
1
7/2022
USD
79,575
(27,813)
Natural
Gas
12
7/2022
USD
650,880
(368,731)
NY
Harbor
ULSD
3
7/2022
USD
482,643
(55,229)
RBOB
Gasoline
3
7/2022
USD
445,574
(60,053)
SGX
FTSE
Taiwan
Index
71
7/2022
USD
3,601,120
(137,477)
WTI
Crude
Oil
25
7/2022
USD
2,644,000
(274,152)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,919
(8,047)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,877
(13,651)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,963
(11,215)
LME
Aluminum
Base
Metal
1
8/2022
USD
61,000
(10,378)
LME
Copper
Base
Metal
1
8/2022
USD
206,631
(24,621)
LME
Copper
Base
Metal
3
8/2022
USD
619,688
(86,060)
LME
Copper
Base
Metal
6
8/2022
USD
1,239,818
(176,919)
LME
Zinc
Base
Metal
1
8/2022
USD
79,306
(8,122)
LME
Zinc
Base
Metal
1
8/2022
USD
79,406
(21,147)
Low
Sulphur
Gasoil
3
8/2022
USD
337,200
(37,133)
3
Month
Euro
Euribor
33
9/2022
EUR
8,601,927
1,210
ASX
90
Day
Bank
Accepted
Bill
19
9/2022
AUD
13,028,016
(5,800)
Australia
10
Year
Bond
161
9/2022
AUD
13,279,518
231,530
Canada
10
Year
Bond
32
9/2022
CAD
3,084,897
24,954
Cocoa
1
9/2022
GBP
20,852
(678)
Euro-Bund
216
9/2022
EUR
33,684,215
947,549
FTSE
100
Index
156
9/2022
GBP
13,522,694
(112,674)
FTSE/MIB
Index
10
9/2022
EUR
1,111,246
(55,059)
Japan
10
Year
Bond
13
9/2022
JPY
14,263,782
71,448
LME
Aluminum
Base
Metal
1
9/2022
USD
61,125
(4,772)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,131
(11,128)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,138
(2,940)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(25,657)
19
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
9/2022
USD
$
206,600
$
(24,989)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(34,415)
LME
Copper
Base
Metal
1
9/2022
USD
206,594
(29,158)
LME
Copper
Base
Metal
4
9/2022
USD
826,375
(81,152)
LME
Copper
Base
Metal
5
9/2022
USD
1,032,125
(11,182)
LME
Copper
Base
Metal
8
9/2022
USD
1,651,600
(31,229)
LME
Copper
Base
Metal
22
9/2022
USD
4,543,000
(261,727)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(39,264)
LME
Zinc
Base
Metal
1
9/2022
USD
78,933
(5,268)
LME
Zinc
Base
Metal
1
9/2022
USD
79,019
(5,672)
S&P/TSX
60
Index
2
9/2022
CAD
355,034
(17,790)
SET50
Index
74
9/2022
THB
393,327
(5,412)
Silver
26
9/2022
USD
2,645,760
(122,561)
SPI
200
Index
33
9/2022
AUD
3,679,257
(36,463)
TOPIX
Index
112
9/2022
JPY
15,440,448
(532,471)
3
Month
Euro
Euribor
125
12/2022
EUR
32,380,018
(29,414)
ASX
90
Day
Bank
Accepted
Bill
83
12/2022
AUD
56,799,166
(15,375)
Cotton
No.
2
2
12/2022
USD
98,840
(24,706)
3
Month
Euro
Euribor
131
3/2023
EUR
33,803,841
(14,119)
ASX
90
Day
Bank
Accepted
Bill
81
3/2023
AUD
55,387,183
(950)
3
Month
Euro
Euribor
112
6/2023
EUR
28,832,039
29,861
ASX
90
Day
Bank
Accepted
Bill
69
6/2023
AUD
47,180,522
12,741
(2,113,739)
Short
Contracts
Amsterdam
Exchange
Index
(24)
7/2022
EUR
(3,314,725)
(76,180)
Hang
Seng
Index
(10)
7/2022
HKD
(1,385,533)
12,119
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,673)
23,822
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,575)
50,594
LME
Copper
Base
Metal
(2)
7/2022
USD
(413,250)
78,745
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,575)
26,997
MSCI
Singapore
Index
(187)
7/2022
SGD
(3,776,207)
110,848
OMXS30
Index
(64)
7/2022
SEK
(1,170,234)
49,274
SGX
FTSE
China
A50
Index
(12)
7/2022
USD
(178,596)
(3,652)
SGX
NIFTY
50
Index
(35)
7/2022
USD
(1,100,575)
2,523
100
oz
Gold
(77)
8/2022
USD
(13,916,210)
275,373
Lean
Hogs
(4)
8/2022
USD
(163,360)
3,655
Live
Cattle
(8)
8/2022
USD
(424,240)
5,504
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(61,000)
10,433
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,877)
13,211
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,919)
7,409
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,963)
11,110
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,631)
23,387
LME
Copper
Base
Metal
(3)
8/2022
USD
(619,688)
83,835
LME
Copper
Base
Metal
(6)
8/2022
USD
(1,239,818)
177,389
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,306)
7,999
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,406)
20,133
3
Month
Canadian
Bankers
Acceptance
(1)
9/2022
CAD
(187,510)
33
Australia
3
Year
Bond
(42)
9/2022
AUD
(3,126,048)
(16,044)
Cocoa
(6)
9/2022
USD
(140,400)
10,675
Copper
(2)
9/2022
USD
(185,500)
17,764
Corn
(206)
9/2022
USD
(6,476,125)
974,567
DAX
Index
(25)
9/2022
EUR
(8,364,606)
403,683
DJIA
CBOT
E-Mini
Index
(4)
9/2022
USD
(615,620)
(847)
EURO
STOXX
50
Index
(143)
9/2022
EUR
(5,156,574)
39,878
Euro-Bobl
(5)
9/2022
EUR
(650,777)
2,017
Euro-BTP
(5)
9/2022
EUR
(646,638)
6,608
20
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Euro-Buxl
(2)
9/2022
EUR
$
(341,883)
$
19,137
Euro-OAT
(4)
9/2022
EUR
(581,151)
15,882
Euro-Schatz
(14)
9/2022
EUR
(1,601,446)
273
FTSE/JSE
Top
40
Index
(3)
9/2022
ZAR
(110,564)
146
KOSPI
200
Index
(9)
9/2022
KRW
(532,781)
17,234
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,125)
4,144
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,138)
3,503
LME
Aluminum
Base
Metal
(5)
9/2022
USD
(305,656)
40,666
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
26,991
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
35,116
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,600)
24,569
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,594)
29,847
LME
Copper
Base
Metal
(4)
9/2022
USD
(826,375)
87,339
LME
Copper
Base
Metal
(5)
9/2022
USD
(1,032,125)
8,149
LME
Copper
Base
Metal
(8)
9/2022
USD
(1,651,600)
19,735
LME
Copper
Base
Metal
(17)
9/2022
USD
(3,510,500)
502,963
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
39,213
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,206)
39,384
LME
Zinc
Base
Metal
(1)
9/2022
USD
(78,933)
5,614
Long
Gilt
(259)
9/2022
GBP
(36,055,501)
806,006
MSCI
EAFE
E-Mini
Index
(5)
9/2022
USD
(464,150)
1,113
MSCI
Emerging
Markets
E-Mini
Index
(10)
9/2022
USD
(501,350)
(96)
NASDAQ
100
E-Mini
Index
(2)
9/2022
USD
(461,180)
26,596
Nikkei
225
Index
(2)
9/2022
JPY
(388,856)
13,676
Russell
2000
E-Mini
Index
(4)
9/2022
USD
(341,600)
18,527
S&P
500
E-Mini
Index
(79)
9/2022
USD
(14,968,525)
784,855
S&P
Midcap
400
E-Mini
Index
(2)
9/2022
USD
(453,600)
14,416
Sugar
No.
11
(8)
9/2022
USD
(165,760)
2,520
U.S.
Treasury
10
Year
Note
(270)
9/2022
USD
(31,957,031)
(732,860)
U.S.
Treasury
2
Year
Note
(20)
9/2022
USD
(4,197,188)
22,429
U.S.
Treasury
5
Year
Note
(15)
9/2022
USD
(1,682,109)
18,133
U.S.
Treasury
Long
Bond
(6)
9/2022
USD
(828,938)
17,437
U.S.
Treasury
Ultra
Bond
(5)
9/2022
USD
(765,938)
24,487
Wheat
(4)
9/2022
USD
(176,800)
40,124
Platinum
(2)
10/2022
USD
(89,530)
1,580
Soybean
(58)
11/2022
USD
(4,228,200)
294,860
3
Month
Canadian
Bankers
Acceptance
(20)
12/2022
CAD
(3,736,987)
(1,195)
3
Month
SOFR
(29)
12/2022
USD
(7,034,675)
41,456
3
Month
SONIA
(9)
12/2022
GBP
(2,675,245)
16,316
Soybean
Meal
(1)
12/2022
USD
(40,670)
(207)
Soybean
Oil
(2)
12/2022
USD
(77,352)
7,651
3
Month
Canadian
Bankers
Acceptance
(20)
3/2023
CAD
(3,738,153)
(3,369)
3
Month
SOFR
(112)
3/2023
USD
(27,057,800)
119,299
3
Month
SONIA
(66)
3/2023
GBP
(19,512,010)
175,916
3
Month
Canadian
Bankers
Acceptance
(16)
6/2023
CAD
(2,993,163)
(3,624)
3
Month
SARON
(1)
6/2023
CHF
(259,401)
736
3
Month
SOFR
(115)
6/2023
USD
(27,765,313)
75,827
3
Month
SONIA
(71)
6/2023
GBP
(20,955,622)
132,795
3
Month
Euro
Euribor
(3)
9/2023
EUR
(771,304)
(309)
3
Month
SARON
(1)
9/2023
CHF
(259,231)
118
3
Month
SOFR
(102)
9/2023
USD
(24,675,075)
(9,741)
3
Month
SONIA
(53)
9/2023
GBP
(15,656,639)
42,897
3
Month
Euro
Euribor
(4)
12/2023
EUR
(1,028,091)
18
3
Month
SOFR
(6)
12/2023
USD
(1,454,325)
4,391
3
Month
SONIA
(5)
12/2023
GBP
(1,478,487)
6,672
3
Month
Euro
Euribor
(5)
3/2024
EUR
(1,285,114)
788
21
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SOFR
(5)
3/2024
USD
$
(1,213,875)
$
(1,590)
3
Month
SONIA
(5)
3/2024
GBP
(1,479,704)
(422)
3
Month
Euro
Euribor
(5)
6/2024
EUR
(1,285,311)
(102)
3
Month
SOFR
(4)
6/2024
USD
(972,350)
(1,160)
3
Month
SONIA
(4)
6/2024
GBP
(1,184,555)
(276)
3
Month
SOFR
(5)
9/2024
USD
(1,216,625)
(2,420)
3
Month
SONIA
(3)
9/2024
GBP
(889,238)
(1,469)
5,225,566
$
3,111,827
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
488,500
USD
335,836
CITI
9/21/2022
$
1,577
AUD
488,500
USD
335,837
JPMC
9/21/2022
1,576
BRL
217,000
USD
40,487
CITI
**
9/21/2022
40
BRL
217,000
USD
40,487
JPMC
**
9/21/2022
40
CAD
1,127,768
USD
867,410
CITI
9/21/2022
8,856
CAD
1,127,767
USD
867,410
JPMC
9/21/2022
8,855
CHF
625,500
USD
650,951
CITI
9/21/2022
8,046
CHF
625,500
USD
650,952
JPMC
9/21/2022
8,044
CNY
1,546,751
USD
230,397
CITI
**
9/21/2022
575
CNY
1,546,750
USD
230,398
JPMC
**
9/21/2022
574
EUR
807,500
USD
849,335
CITI
9/21/2022
1,747
EUR
807,500
USD
849,336
JPMC
9/21/2022
1,746
HUF
1,454,000
USD
3,788
CITI
9/21/2022
5
HUF
1,454,000
USD
3,788
JPMC
9/21/2022
5
KRW
21,958,000
USD
17,045
CITI
**
9/21/2022
23
KRW
21,958,000
USD
17,045
JPMC
**
9/21/2022
23
MXN
7,847,000
USD
372,915
CITI
9/21/2022
11,551
MXN
7,847,000
USD
372,915
JPMC
9/21/2022
11,551
NOK
6,757,500
USD
676,220
CITI
9/21/2022
11,066
NOK
6,757,500
USD
676,221
JPMC
9/21/2022
11,066
SGD
497,000
USD
357,211
CITI
9/21/2022
705
SGD
497,000
USD
357,211
JPMC
9/21/2022
705
TWD
814,630
USD
27,534
CITI
**
9/21/2022
44
TWD
814,624
USD
27,531
JPMC
**
9/21/2022
47
USD
1,070,797
AUD
1,531,504
CITI
9/21/2022
12,968
USD
1,070,790
AUD
1,531,496
JPMC
9/21/2022
12,967
USD
629,395
BRL
3,172,501
CITI
**
9/21/2022
36,903
USD
629,394
BRL
3,172,499
JPMC
**
9/21/2022
36,902
USD
696,605
CAD
892,501
CITI
9/21/2022
3,140
USD
696,602
CAD
892,498
JPMC
9/21/2022
3,139
USD
159,667
CLP
136,502,003
CITI
**
9/21/2022
13,381
USD
159,667
CLP
136,501,997
JPMC
**
9/21/2022
13,381
USD
95,790
CNY
640,251
CITI
**
9/21/2022
182
USD
95,789
CNY
640,250
JPMC
**
9/21/2022
182
USD
11,191,217
EUR
10,490,383
CITI
9/21/2022
134,644
USD
11,191,188
EUR
10,490,369
JPMC
9/21/2022
134,629
USD
14,546,669
GBP
11,610,004
CITI
9/21/2022
391,956
USD
14,546,641
GBP
11,609,996
JPMC
9/21/2022
391,938
22
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
455,003
HUF
168,850,000
CITI
9/21/2022
$
14,532
USD
455,002
HUF
168,850,000
JPMC
9/21/2022
14,531
USD
3,760
IDR
55,462,000
CITI
**
9/21/2022
62
USD
3,760
IDR
55,462,000
JPMC
**
9/21/2022
62
USD
2,799,325
ILS
9,324,502
CITI
9/21/2022
114,381
USD
2,799,320
ILS
9,324,498
JPMC
9/21/2022
114,377
USD
1,393,353
INR
109,289,501
CITI
**
9/21/2022
19,518
USD
1,393,351
INR
109,289,499
JPMC
**
9/21/2022
19,516
USD
10,724,873
JPY
1,371,159,004
CITI
9/21/2022
561,722
USD
10,724,860
JPY
1,371,159,004
JPMC
9/21/2022
561,709
USD
3,808,857
KRW
4,842,430,003
CITI
**
9/21/2022
44,738
USD
3,808,852
KRW
4,842,429,997
JPMC
**
9/21/2022
44,733
USD
1,377,543
MXN
27,985,500
CITI
9/21/2022
6,385
USD
1,377,541
MXN
27,985,500
JPMC
9/21/2022
6,383
USD
78,428
NOK
762,500
CITI
9/21/2022
876
USD
78,428
NOK
762,500
JPMC
9/21/2022
876
USD
1,039,441
NZD
1,625,500
CITI
9/21/2022
25,169
USD
1,039,440
NZD
1,625,500
JPMC
9/21/2022
25,168
USD
369,094
PHP
19,521,001
CITI
**
9/21/2022
16,280
USD
369,107
PHP
19,520,999
JPMC
**
9/21/2022
16,292
USD
1,452,770
PLN
6,384,000
CITI
9/21/2022
44,011
USD
1,452,768
PLN
6,384,000
JPMC
9/21/2022
44,009
USD
1,663,992
SEK
16,631,500
CITI
9/21/2022
32,681
USD
1,663,989
SEK
16,631,500
JPMC
9/21/2022
32,678
USD
950,892
SGD
1,313,001
CITI
9/21/2022
5,331
USD
950,892
SGD
1,312,999
JPMC
9/21/2022
5,332
USD
266,028
TWD
7,803,253
CITI
**
9/21/2022
1,860
USD
266,027
TWD
7,803,247
JPMC
**
9/21/2022
1,860
USD
1,190,023
ZAR
18,914,005
CITI
9/21/2022
36,932
USD
1,190,021
ZAR
18,913,995
JPMC
9/21/2022
36,930
Total
unrealized
appreciation
3,123,713
AUD
14,428,503
USD
10,205,763
CITI
9/21/2022
(239,814)
AUD
14,428,497
USD
10,205,771
JPMC
9/21/2022
(239,827)
BRL
18,511,501
USD
3,691,283
CITI
**
9/21/2022
(234,097)
BRL
18,511,499
USD
3,691,287
JPMC
**
9/21/2022
(234,102)
CAD
4,361,235
USD
3,420,720
CITI
9/21/2022
(32,077)
CAD
4,361,230
USD
3,420,799
JPMC
9/21/2022
(32,158)
CNY
117,500
USD
17,588
CITI
**
9/21/2022
(42)
CNY
117,500
USD
17,588
JPMC
**
9/21/2022
(42)
COP
202,931,503
USD
49,870
CITI
**
9/21/2022
(1,641)
COP
202,931,497
USD
49,871
JPMC
**
9/21/2022
(1,641)
DKK
472,000
USD
67,013
CITI
9/21/2022
(118)
DKK
472,000
USD
67,013
JPMC
9/21/2022
(118)
EUR
6,048,502
USD
6,476,532
CITI
9/21/2022
(101,579)
EUR
6,048,498
USD
6,476,536
JPMC
9/21/2022
(101,587)
GBP
3,682,502
USD
4,555,342
CITI
9/21/2022
(65,700)
GBP
3,682,498
USD
4,555,343
JPMC
9/21/2022
(65,706)
HUF
423,757,001
USD
1,149,767
CITI
9/21/2022
(44,332)
HUF
423,756,999
USD
1,149,768
JPMC
9/21/2022
(44,333)
IDR
1,338,346,000
USD
92,204
CITI
**
9/21/2022
(2,967)
IDR
1,338,346,000
USD
92,204
JPMC
**
9/21/2022
(2,967)
ILS
252,000
USD
73,714
CITI
9/21/2022
(1,152)
ILS
252,000
USD
73,714
JPMC
9/21/2022
(1,152)
INR
113,629,502
USD
1,446,546
CITI
**
9/21/2022
(18,154)
INR
113,629,498
USD
1,446,546
JPMC
**
9/21/2022
(18,154)
JPY
1,621,965,001
USD
12,554,109
CITI
9/21/2022
(531,959)
JPY
1,621,964,999
USD
12,554,125
JPMC
9/21/2022
(531,975)
KRW
175,874,500
USD
140,119
CITI
**
9/21/2022
(3,409)
23
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
KRW
175,874,500
USD
140,119
JPMC
**
9/21/2022
$
(3,409)
MXN
12,216,000
USD
602,707
CITI
9/21/2022
(4,180)
MXN
12,216,000
USD
602,707
JPMC
9/21/2022
(4,180)
NOK
39,164,006
USD
4,062,438
CITI
9/21/2022
(79,176)
NOK
39,163,994
USD
4,062,442
JPMC
9/21/2022
(79,180)
NZD
3,338,500
USD
2,112,949
CITI
9/21/2022
(29,806)
NZD
3,338,500
USD
2,112,952
JPMC
9/21/2022
(29,809)
PHP
743,000
USD
13,881
CITI
**
9/21/2022
(452)
PHP
743,000
USD
13,881
JPMC
**
9/21/2022
(452)
PLN
3,060,000
USD
699,112
CITI
9/21/2022
(23,861)
PLN
3,060,000
USD
699,113
JPMC
9/21/2022
(23,862)
SEK
40,507,501
USD
4,087,905
CITI
9/21/2022
(114,703)
SEK
40,507,499
USD
4,087,910
JPMC
9/21/2022
(114,709)
SGD
384,000
USD
279,610
CITI
9/21/2022
(3,071)
SGD
384,000
USD
279,610
JPMC
9/21/2022
(3,072)
TWD
8,070,376
USD
274,796
CITI
**
9/21/2022
(1,586)
TWD
8,070,370
USD
274,839
JPMC
**
9/21/2022
(1,628)
USD
347,573
AUD
504,000
CITI
9/21/2022
(546)
USD
347,573
AUD
504,000
JPMC
9/21/2022
(547)
USD
29,853
BRL
160,000
CITI
**
9/21/2022
(29)
USD
29,853
BRL
160,000
JPMC
**
9/21/2022
(29)
USD
974,257
CAD
1,259,501
CITI
9/21/2022
(4,365)
USD
974,255
CAD
1,259,500
JPMC
9/21/2022
(4,366)
USD
6,217,408
CHF
6,000,500
CITI
9/21/2022
(104,424)
USD
6,217,400
CHF
6,000,500
JPMC
9/21/2022
(104,432)
USD
49,948
CNY
336,000
CITI
**
9/21/2022
(226)
USD
49,948
CNY
336,000
JPMC
**
9/21/2022
(226)
USD
46,021
DKK
325,000
CITI
9/21/2022
(40)
USD
46,021
DKK
325,000
JPMC
9/21/2022
(40)
USD
1,411,136
EUR
1,344,624
CITI
9/21/2022
(6,061)
USD
1,411,134
EUR
1,344,624
JPMC
9/21/2022
(6,062)
USD
316,530
GBP
262,500
CITI
9/21/2022
(3,505)
USD
316,530
GBP
262,500
JPMC
9/21/2022
(3,506)
USD
64,406
HUF
24,779,500
CITI
9/21/2022
(235)
USD
64,405
HUF
24,779,500
JPMC
9/21/2022
(235)
USD
62,664
JPY
8,479,000
CITI
9/21/2022
(183)
USD
62,664
JPY
8,479,000
JPMC
9/21/2022
(183)
USD
361,252
KRW
467,457,000
CITI
**
9/21/2022
(2,111)
USD
361,252
KRW
467,457,000
JPMC
**
9/21/2022
(2,111)
USD
36,735
MXN
750,000
CITI
9/21/2022
(11)
USD
36,735
MXN
750,000
JPMC
9/21/2022
(11)
USD
152,533
NOK
1,521,000
CITI
9/21/2022
(2,163)
USD
152,533
NOK
1,521,000
JPMC
9/21/2022
(2,164)
USD
70,010
NZD
112,500
CITI
9/21/2022
(188)
USD
70,010
NZD
112,500
JPMC
9/21/2022
(188)
USD
188,557
SEK
1,932,500
CITI
9/21/2022
(994)
USD
188,557
SEK
1,932,500
JPMC
9/21/2022
(994)
USD
32,465
TWD
959,250
CITI
**
9/21/2022
(9)
USD
32,465
TWD
959,250
JPMC
**
9/21/2022
(9)
USD
93,205
ZAR
1,539,000
CITI
9/21/2022
(620)
USD
93,205
ZAR
1,539,000
JPMC
9/21/2022
(620)
ZAR
32,161,503
USD
1,999,063
CITI
9/21/2022
(38,337)
ZAR
32,161,497
USD
1,999,065
JPMC
9/21/2022
(38,341)
Total
unrealized
depreciation
(3,396,050)
Net
unrealized
depreciation
$
(272,337)
**
Non-deliverable
forward.
24
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
3,634,561
$
3,634,561
CITG
Cash
–
347,493
347,493
CITI
Investment
Companies
798,215
–
798,215
GSCO
Cash
–
774,628
774,628
GSIN
Investment
Companies
30,026
–
30,026
JPMC
Investment
Companies
1,137,463
–
1,137,463
JPMS
Cash
–
2,044,567
2,044,567
MLIN
Cash
460,000
–
460,000
MSCS
U.S.
Treasury
Bills
69,672
–
69,672
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
2,133,742
$
2,133,742
JPPC
Cash
–
15,001
15,001
MLIN
Cash
20,000
–
20,000
MSCL
Cash
–
1,203
1,203
25
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
100.8%
COMMON
STOCKS
-
28.8%
Airlines
-
0.0%
(a)
Gol
Linhas
Aereas
Inteligentes
SA,
ADR
(Brazil)
*(b)
26,358
89,881
Banks
-
0.1%
Patriot
National
Bancorp,
Inc.
*
120,629
1,468,055
Biotechnology
-
0.0%
(a)
Precigen
,
Inc.
*(b)
17,632
23,627
Capital
Markets
-
22.6%
Accretion
Acquisition
Corp.
(2)*(c)
202,180
1,985,408
Achari
Ventures
Holdings
Corp.
I
*(c)
42,909
428,661
Aesther
Healthcare
Acquisition
Corp.,
Class
A
*(c)
40,504
411,116
Aetherium
Acquisition
Corp.,
Class
A
*(c)
175,712
1,741,306
AF
Acquisition
Corp.,
Class
A
*(c)
97,749
952,075
Alpha
Healthcare
Acquisition
Corp.
III,
Class
A
*(b)(c)
358,249
3,467,850
Alpine
Acquisition
Corp.
(2)*(c)
30,206
305,987
Alset
Capital
Acquisition
Corp.,
Class
A
(2)*(c)
122,496
1,205,361
AltC
Acquisition
Corp.,
Class
A
*(b)
(c)
131,250
1,266,562
AltEnergy
Acquisition
Corp.,
Class
A
*(c)
122,926
1,226,801
AMCI
Acquisition
Corp.
II,
Class
A
*(c)
139,000
1,358,030
American
Acquisition
Opportunity,
Inc.,
Class
A
*(c)
74,925
756,742
Anzu
Special
Acquisition
Corp.
I,
Class
A
*(b)(c)
257,365
2,522,177
Apeiron
Capital
Investment
Corp.,
Class
A
*(c)
108,048
1,078,351
Arbor
Rapha
Capital
Bioholdings
Corp.
I
*(c)
143,034
1,434,631
Arena
Fortify
Acquisition
Corp.,
Class
A
*(c)
54,024
542,401
Argus
Capital
Corp.,
Class
A
*(c)
61,482
614,820
Armada
Acquisition
Corp.
I
*(c)
128,332
1,264,070
Arogo
Capital
Acquisition
Corp.,
Class
A
(2)*(c)
96,774
962,901
Arrowroot
Acquisition
Corp.,
Class
A
(2)*(c)
37,750
368,440
Artemis
Strategic
Investment
Corp.,
Class
A
(2)*(c)
204,800
2,033,664
Astrea
Acquisition
Corp.,
Class
A
*(c)
91,190
890,926
Athena
Consumer
Acquisition
Corp.,
Class
A
*(c)
128,926
1,291,839
Athena
Technology
Acquisition
Corp.
II,
Class
A
*(c)
638,232
6,254,674
Athlon
Acquisition
Corp.,
Class
A
*(b)(c)
151,114
1,488,473
Atlantic
Coastal
Acquisition
Corp.
II,
Class
A
*(c)
413,262
4,103,692
Atlas
Crest
Investment
Corp.
II,
Class
A
*(c)
57,096
560,112
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Ault
Disruptive
Technologies
Corp.
*(c)
73,140
732,863
Aurora
Acquisition
Corp.,
Class
A
(United
Kingdom)
*(c)
37,500
367,500
Austerlitz
Acquisition
Corp.
I,
Class
A
*(c)
181,446
1,769,099
Avalon
Acquisition,
Inc.,
Class
A
*(b)(c)
173,013
1,728,400
AxonPrime
Infrastructure
Acquisition
Corp.,
Class
A
(2)*(c)
234,165
2,262,034
Banner
Acquisition
Corp.
*(c)
40,392
399,073
Bannix
Acquisition
Corp.
(2)*(c)
26,277
260,931
Banyan
Acquisition
Corp.,
Class
A
*(c)
334,458
3,331,202
Beard
Energy
Transition
Acquisition
Corp.,
Class
A
(2)*(c)
149,510
1,481,644
Belong
Acquisition
Corp.,
Class
A
(2)*(c)
128,000
1,255,680
Berenson
Acquisition
Corp.
I,
Class
A
*(c)
110,383
1,077,338
Better
World
Acquisition
Corp.
*(c)
35,583
367,572
Bite
Acquisition
Corp.
*(c)
83,200
816,192
Blockchain
Moon
Acquisition
Corp.
*(c)
71,617
708,292
BOA
Acquisition
Corp.,
Class
A
*(c)
81,963
802,418
Broad
Capital
Acquisition
Corp.
*(c)
69,739
690,765
Build
Acquisition
Corp.,
Class
A
(2)*(c)
18,151
176,972
BurTech
Acquisition
Corp.,
Class
A
*(c)
514,142
5,110,571
byNordic
Acquisition
Corp.
(Sweden)
(2)*(c)
138,414
1,371,683
C5
Acquisition
Corp.,
Class
A
*(c)
263,384
2,631,206
Canna-Global
Acquisition
Corp.,
Class
A
*(c)
188,580
1,885,800
Cascadia
Acquisition
Corp.,
Class
A
*(c)
120,606
1,179,527
CENAQ
Energy
Corp.,
Class
A
*(c)
140,000
1,408,400
CF
Acquisition
Corp.
VII,
Class
A
*(c)
146,292
1,454,142
Churchill
Capital
Corp.
V,
Class
A
*(c)
42,181
414,639
Churchill
Capital
Corp.
VI,
Class
A
*(c)
45,330
443,781
Churchill
Capital
Corp.
VII,
Class
A
*(c)
209,535
2,047,157
CIIG
Capital
Partners
II,
Inc.,
Class
A
*(c)
141,768
1,403,503
Clarim
Acquisition
Corp.,
Class
A
*(c)
100,000
982,000
Clean
Earth
Acquisitions
Corp.,
Class
A
(2)*(c)
195,348
1,912,457
Climate
Real
Impact
Solutions
II
Acquisition
Corp.,
Class
A
*(c)
33,609
330,376
Colicity
,
Inc.,
Class
A
*(c)
32,081
314,715
Compute
Health
Acquisition
Corp.,
Class
A
*(c)
24,533
240,669
Concord
Acquisition
Corp.
II,
Class
A
*(c)
76,866
741,757
26
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Conyers
Park
III
Acquisition
Corp.,
Class
A
*(c)
484,500
4,675,425
Crixus
BH3
Acquisition
Co.,
Class
A
*(c)
84,579
832,257
D
&
Z
Media
Acquisition
Corp.,
Class
A
*(c)
99,246
973,603
DA32
Life
Science
Tech
Acquisition
Corp.,
Class
A
*(c)
133,050
1,289,254
Data
Knights
Acquisition
Corp.,
Class
A
(United
Kingdom)
(2)*(c)
50,667
519,337
Deep
Medicine
Acquisition
Corp.,
Class
A
*(c)
152,927
1,524,682
DHB
Capital
Corp.,
Class
A
*(c)
147,999
1,447,430
Digital
Health
Acquisition
Corp.
*(c)
71,745
719,602
Digital
Transformation
Opportunities
Corp.,
Class
A
*(c)
115,119
1,125,864
DILA
Capital
Acquisition
Corp.,
Class
A
(2)*(c)
61,667
606,187
Direct
Selling
Acquisition
Corp.,
Class
A
*(c)
102,582
1,027,872
dMY
Technology
Group,
Inc.
VI
*(c)
82,182
803,740
DTRT
Health
Acquisition
Corp.,
Class
A
(2)*(c)
241,028
2,422,331
DUET
Acquisition
Corp.,
Class
A
(2)*(c)
73,788
726,074
Edify
Acquisition
Corp.,
Class
A
*(c)
83,100
816,042
Empowerment
&
Inclusion
Capital
I
Corp.,
Class
A
*(c)
36,572
359,868
Epiphany
Technology
Acquisition
Corp.,
Class
A
*(c)
30,213
296,692
EQ
Health
Acquisition
Corp.,
Class
A
*(c)
87,656
861,658
Everest
Consolidator
Acquisition
Corp.
*(c)
131,016
1,307,540
Evo
Acquisition
Corp.,
Class
A
*(c)
19,320
188,756
ExcelFin
Acquisition
Corp.,
Class
A
*(c)
134,786
1,348,534
FG
Merger
Corp.
*(c)
98,184
976,931
Financial
Strategies
Acquisition
Corp.
(2)*(c)
131,193
1,302,746
Fintech
Ecosystem
Development
Corp.,
Class
A
*(c)
10,730
107,300
First
Light
Acquisition
Group,
Inc.,
Class
A
*(c)
40,464
402,212
First
Reserve
Sustainable
Growth
Corp.,
Class
A
*(c)
77,513
757,302
Flame
Acquisition
Corp.,
Class
A
*(c)
100,000
979,000
Focus
Impact
Acquisition
Corp.,
Class
A
(2)*(c)
101,950
1,010,325
Forest
Road
Acquisition
Corp.
II,
Class
A
*(c)
104,286
1,021,481
Fortistar
Sustainable
Solutions
Corp.,
Class
A
*(c)
34,574
339,171
Fortress
Value
Acquisition
Corp.
IV,
Class
A
*(c)
104,676
1,022,685
Fortune
Rise
Acquisition
Corp.
*(c)
98,648
993,385
FoxWayne
Enterprises
Acquisition
Corp.,
Class
A
*(c)
34,500
349,485
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
FTAC
Emerald
Acquisition
Corp.,
Class
A
*(c)
283,096
2,768,679
FTAC
Zeus
Acquisition
Corp.,
Class
A
*(c)
320,427
3,169,023
Future
Health
ESG
Corp.
(2)*(c)
91,822
907,201
FutureTech
II
Acquisition
Corp.,
Class
A
*(c)
38,964
390,419
Gaming
&
Hospitality
Acquisition
Corp.,
Class
A
*(c)
32,425
317,117
Gardiner
Healthcare
Acquisitions
Corp.
*(c)
52,651
524,930
Genesis
Unicorn
Capital
Corp.,
Class
A
(2)*(c)
67,549
671,437
GigCapital5,
Inc.
(2)*(c)
123,100
1,239,617
Gladstone
Acquisition
Corp.,
Class
A
(2)*(c)
139,000
1,399,730
Glass
Houses
Acquisition
Corp.
*(c)
137,666
1,350,503
Glenfarne
Merger
Corp.,
Class
A
*(c)
164,664
1,603,827
Global
Blockchain
Acquisition
Corp.
*(c)
161,196
1,589,393
Globalink
Investment,
Inc.
*(c)
74,843
741,694
Goal
Acquisitions
Corp.
*(c)
84,630
829,374
Goldenstone
Acquisition
Ltd.
*(c)
32,200
318,458
Gores
Holdings
IX,
Inc.,
Class
A
*(c)
1,656,294
15,933,548
Gores
Holdings
VII,
Inc.,
Class
A
*(c)
83,328
814,948
Gores
Technology
Partners
II,
Inc.,
Class
A
*(c)
43,955
430,319
Group
Nine
Acquisition
Corp.,
Class
A
*(c)
82,812
814,456
GSR
II
Meteora
Acquisition
Corp.
*(c)
15,261
23,044
GSR
II
Meteora
Acquisition
Corp.,
Class
A
*(c)
244,186
2,405,232
GX
Acquisition
Corp.
II,
Class
A
*(c)
245,504
2,403,484
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
Class
A
*(c)
82,749
812,595
Hawks
Acquisition
Corp.,
Class
A
*(c)
74,351
725,666
Heartland
Media
Acquisition
Corp.,
Class
A
*(c)
400,846
3,988,418
Hennessy
Capital
Investment
Corp.
V,
Class
A
*(c)
18,151
178,243
HNR
Acquisition
Corp.
*(c)
49,014
488,179
Home
Plate
Acquisition
Corp.,
Class
A
(2)*(c)
41,016
399,496
Hudson
Executive
Investment
Corp.
II
*(c)
198,838
1,956,566
Hudson
Executive
Investment
Corp.
III,
Class
A
*(c)
110,264
1,080,587
HumanCo
Acquisition
Corp.,
Class
A
*(c)
60,324
594,191
Ignyte
Acquisition
Corp.
*(c)
35,000
345,450
Inception
Growth
Acquisition
Ltd.
(2)*(c)
112,518
1,110,553
Industrial
Human
Capital,
Inc.
*(c)
89,858
901,276
27
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Industrial
Tech
Acquisitions
II,
Inc.,
Class
A
(2)*(c)
126,008
1,252,520
Insight
Acquisition
Corp.,
Class
A
*(c)
50,340
494,339
INSU
Acquisition
Corp.
III,
Class
A
*(c)
50,107
493,554
Integral
Acquisition
Corp.
1,
Class
A
*(c)
107,616
1,067,551
Integrated
Rail
and
Resources
Acquisition
Corp.,
Class
A
(2)*(c)
108,438
1,078,958
Intelligent
Medicine
Acquisition
Corp.,
Class
A
*(c)
210,236
2,106,565
InterPrivate
II
Acquisition
Corp.,
Class
A
*(c)
82,500
807,675
InterPrivate
III
Financial
Partners,
Inc.,
Class
A
*(c)
82,500
808,500
InterPrivate
IV
InfraTech
Partners,
Inc.,
Class
A
*(c)
83,000
813,400
Jackson
Acquisition
Co.,
Class
A
*(c)
367,922
3,620,352
Jaws
Hurricane
Acquisition
Corp.,
Class
A
*(c)
137,000
1,334,380
JOFF
Fintech
Acquisition
Corp.,
Class
A
*(c)
83,181
815,174
Juniper
II
Corp.,
Class
A
*(c)
107,616
1,068,627
Jupiter
Acquisition
Corp.,
Class
A
(2)*(c)
210,000
2,026,500
JUPITER
WELLNESS
ACQUISITION
Corp.,
Class
A
(2)*(c)
149,929
1,490,294
Khosla
Ventures
Acquisition
Co.
III,
Class
A
*(c)
156,081
1,520,229
Kimbell
Tiger
Acquisition
Corp.,
Class
A
*(c)
371,544
3,722,871
KKR
Acquisition
Holdings
I
Corp.,
Class
A
*(c)
86,562
847,442
KL
Acquisition
Corp.,
Class
A
*(c)
20,111
197,892
KnightSwan
Acquisition
Corp.,
Class
A
*(c)
334,038
3,347,061
Larkspur
Health
Acquisition
Corp.,
Class
A
*(c)
52,524
521,563
LAVA
Medtech
Acquisition
Corp.,
Class
A
*(c)
63,464
632,101
Learn
CW
Investment
Corp.,
Class
A
*(c)
26,704
265,438
Legato
Merger
Corp.
II
*(c)
154,414
1,531,787
Lerer
Hippeau
Acquisition
Corp.,
Class
A
*(c)
100,616
984,024
LF
Capital
Acquisition
Corp.
II
*(c)
108,792
1,086,832
Lionheart
III
Corp.,
Class
A
*(c)
89,680
896,800
Live
Oak
Crestview
Climate
Acquisition
Corp.,
Class
A
*(c)
164,130
1,577,289
Live
Oak
Mobility
Acquisition
Corp.,
Class
A
*(c)
88,800
870,240
LMF
Acquisition
Opportunities,
Inc.,
Class
A
*(c)
27,333
277,703
Logistics
Innovation
Technologies
Corp.,
Class
A
*(c)
15,368
149,377
Longview
Acquisition
Corp.
II,
Class
A
*(c)
133,383
1,303,152
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Lux
Health
Tech
Acquisition
Corp.,
Class
A
*(c)
36,573
361,707
Mana
Capital
Acquisition
Corp.
*(c)
39,048
388,137
Maxpro
Capital
Acquisition
Corp.,
Class
A
(Taiwan)
(2)*(c)
9,347
93,844
McLaren
Technology
Acquisition
Corp.,
Class
A
*(c)
179,362
1,795,414
MDH
Acquisition
Corp.,
Class
A
*(c)
84,000
825,720
Mercato
Partners
Acquisition
Corp.,
Class
A
*(c)
143,490
1,429,160
Metal
Sky
Star
Acquisition
Corp.
(2)*(c)
103,342
1,013,785
Minority
Equality
Opportunities
Acquisition,
Inc.,
Class
A
(2)*(c)
40,202
405,236
Monterey
Bio
Acquisition
Corp.
(2)*(c)
8,700
87,087
Monument
Circle
Acquisition
Corp.,
Class
A
*(c)
82,750
812,605
Mount
Rainier
Acquisition
Corp.
(2)*(c)
84,937
848,521
Murphy
Canyon
Acquisition
Corp.,
Class
A
*(c)
162,516
1,630,035
Music
Acquisition
Corp.
(The),
Class
A
*(c)
46,650
457,170
New
Providence
Acquisition
Corp.
II,
Class
A
*(c)
145,550
1,440,945
Newbury
Street
Acquisition
Corp.
*(c)
100,000
976,000
NewHold
Investment
Corp.
II,
Class
A
*(c)
134,732
1,329,805
Northern
Lights
Acquisition
Corp.,
Class
A
*(c)
91,332
941,633
Northern
Star
Investment
Corp.
III,
Class
A
*(c)
82,662
810,088
Northern
Star
Investment
Corp.
IV,
Class
A
*(c)
82,662
810,088
NorthView
Acquisition
Corp.
(2)*(c)
154,598
1,524,336
Nubia
Brand
International
Corp.,
Class
A
(2)*(c)
284,300
2,834,471
OCA
Acquisition
Corp.,
Class
A
*(c)
111,538
1,118,726
OmniLit
Acquisition
Corp.,
Class
A
*(c)
106,059
1,059,529
OPY
Acquisition
Corp.
I,
Class
A
*(c)
82,572
812,508
Orion
Acquisition
Corp.,
Class
A
*(c)
144,851
1,419,540
Oyster
Enterprises
Acquisition
Corp.,
Class
A
*(c)
83,000
814,230
Pacifico
Acquisition
Corp.
(2)*(c)
20,252
202,723
Panacea
Acquisition
Corp.
II,
Class
A
(2)*(c)
100,000
976,000
Papaya
Growth
Opportunity
Corp.
I,
Class
A
*(c)
413,288
4,128,747
Parabellum
Acquisition
Corp.,
Class
A
*(c)
32,371
318,531
Parsec
Capital
Acquisitions
Corp.,
Class
A
*(c)
12,741
128,174
Periphas
Capital
Partnering
Corp.,
Class
A
(2)*(c)
76,164
1,869,065
28
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Phoenix
Biotech
Acquisition
Corp.,
Class
A
*(c)
212,345
2,129,820
PHP
Ventures
Acquisition
Corp.,
Class
A
(Malaysia)
*(c)
29,400
295,470
Pine
Technology
Acquisition
Corp.,
Class
A
*(c)
8,343
81,511
Pono
Capital
Corp.,
Class
A
*(c)
119,700
1,210,167
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
Class
A
*(c)
604,151
5,944,846
PowerUp
Acquisition
Corp.,
Class
A
*(c)
452,924
4,520,182
Priveterra
Acquisition
Corp.,
Class
A
*(c)
110,949
1,087,300
PROOF
Acquisition
Corp.
I,
Class
A
*(c)
150,864
1,492,045
PWP
Forward
Acquisition
Corp.
I,
Class
A
*(c)
161,665
1,577,850
Redwoods
Acquisition
Corp.
*(c)
74,885
739,115
Relativity
Acquisition
Corp.,
Class
A
*(c)
89,748
903,762
Research
Alliance
Corp.
II,
Class
A
*(c)
70,585
691,733
Revolution
Healthcare
Acquisition
Corp.,
Class
A
*(c)
113,920
1,111,859
RF
Acquisition
Corp.,
Class
A
(Singapore)
*(c)
114,573
1,129,690
Riverview
Acquisition
Corp.,
Class
A
*(c)
210,000
2,089,500
ROC
Energy
Acquisition
Corp.
*(c)
149,375
1,487,775
Rosecliff
Acquisition
Corp.
I,
Class
A
*(c)
82,665
810,944
Roth
Ch
Acquisition
IV
Co.
(2)*(c)
184,602
1,836,790
Roth
CH
Acquisition
V
Co.
*(c)
28,286
282,577
Sagaliam
Acquisition
Corp.,
Class
A
(2)*(c)
70,003
692,330
Sanaby
Health
Acquisition
Corp.
I,
Class
A
(2)*(c)
64,384
645,772
Sandbridge
X2
Corp.,
Class
A
*(c)
213,609
2,082,688
Schultze
Special
Purpose
Acquisition
Corp.
II,
Class
A
*(c)
63,730
627,103
Science
Strategic
Acquisition
Corp.
Alpha,
Class
A
*(c)
92,555
907,965
SCP
&
CO
Healthcare
Acquisition
Co.,
Class
A
*(c)
98,764
966,900
Seaport
Calibre
Materials
Acquisition
Corp.
(2)*(c)
45,366
450,938
Seaport
Global
Acquisition
II
Corp.,
Class
A
*(c)
81,696
816,143
Shelter
Acquisition
Corp.
I,
Class
A
*(c)
147,619
1,451,095
ShoulderUp
Technology
Acquisition
Corp.,
Class
A
*(c)
299,987
2,975,871
Sierra
Lake
Acquisition
Corp.,
Class
A
*(c)
81,011
804,439
Signal
Hill
Acquisition
Corp.,
Class
A
(2)*(c)
89,860
889,614
Silver
Spike
Acquisition
Corp.
II,
Class
A
*(c)
80,000
783,600
Simon
Property
Group
Acquisition
Holdings,
Inc.,
Class
A
*(c)
79,357
777,699
INVESTMENTS
SHARES
VALUE
($)
Capital
Markets
-
22.6%
(continued)
Sizzle
Acquisition
Corp.
(2)*(c)
71,744
716,723
Social
Leverage
Acquisition
Corp.
I,
Class
A
*(c)
198,620
1,952,435
Software
Acquisition
Group,
Inc.
III,
Class
A
*(c)
185,000
1,850,000
Southport
Acquisition
Corp.
*(c)
365,972
3,630,442
Spindletop
Health
Acquisition
Corp.,
Class
A
(2)*(c)
143,704
1,432,729
SportsMap
Tech
Acquisition
Corp.
(2)*(c)
176,600
1,757,170
SportsTek
Acquisition
Corp.,
Class
A
*(c)
100,000
978,000
Springwater
Special
Situations
Corp.
*(c)
40,212
397,295
TCW
Special
Purpose
Acquisition
Corp.,
Class
A
*(c)
410,439
4,001,780
TG
Venture
Acquisition
Corp.
*(c)
215,235
2,135,131
TLG
Acquisition
One
Corp.,
Class
A
*(c)
83,181
815,174
Trajectory
Alpha
Acquisition
Corp.,
Class
A
(2)*(c)
109,920
1,075,018
Twelve
Seas
Investment
Co.
II,
Class
A
*(c)
98,799
966,254
VectoIQ
Acquisition
Corp.
II,
Class
A
*(c)
21,452
211,088
Velocity
Acquisition
Corp.,
Class
A
*(c)
82,623
808,879
Viscogliosi
Brothers
Acquisition
Corp.
(2)*(c)
52,960
521,656
Vision
Sensing
Acquisition
Corp.,
Class
A
*(c)
51,216
512,672
VMG
Consumer
Acquisition
Corp.,
Class
A
*(c)
236,497
2,360,240
Warrior
Technologies
Acquisition
Co.,
Class
A
*(c)
82,832
823,350
Welsbach
Technology
Metals
Acquisition
Corp.
*(c)
9,289
91,961
Western
Acquisition
Ventures
Corp.
*(c)
67,539
673,364
Zimmer
Energy
Transition
Acquisition
Corp.,
Class
A
(2)*(c)
481,998
4,675,381
Z-Work
Acquisition
Corp.,
Class
A
*(c)
82,665
812,597
319,148,034
Containers
&
Packaging
-
0.6%
Intertape
Polymer
Group,
Inc.
(Canada)
245,680
7,726,170
Hotels,
Restaurants
&
Leisure
-
0.3%
Booking
Holdings,
Inc.
*(b)
2,103
3,678,126
Media
-
1.7%
Paramount
Global,
Class
B
107,063
2,642,315
Shaw
Communications,
Inc.,
Class
B
(Canada)
723,611
21,322,689
23,965,004
Pharmaceuticals
-
0.7%
Vifor
Pharma
AG
(Switzerland)
(2)
58,885
10,208,419
29
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Professional
Services
-
0.5%
Intertrust
NV
(Netherlands)
(2)*(d)
103,027
2,066,491
LifeWorks
,
Inc.
(Canada)
183,769
4,408,629
6,475,120
Software
-
1.0%
Vonage
Holdings
Corp.
*
782,796
14,747,877
Tobacco
-
1.3%
Swedish
Match
AB
(Sweden)
(2)
1,754,628
17,901,661
Wireless
Telecommunication
Services
-
0.0%
(a)
Cleveland
Unlimited
(acquired
3/18/2010,
Cost
$1,793,400)
(3)*(e)(f)
1
275,539
TOTAL
COMMON
STOCKS
(Cost
$410,541,735)
405,707,513
CLOSED
END
FUNDS
-
1.7%
Aberdeen
Global
Dynamic
Dividend
Fund
7,083
66,368
Aberdeen
Total
Dynamic
Dividend
Fund
4,352
35,164
Adams
Diversified
Equity
Fund,
Inc.
(b)
42,489
651,781
Adams
Natural
Resources
Fund,
Inc.
(b)
673
13,103
AllianceBernstein
National
Municipal
Income
Fund,
Inc.
(b)
22,186
256,692
Allspring
Multi-Sector
Income
14,146
135,377
Apollo
Tactical
Income
Fund,
Inc.
(b)
453
5,454
Ares
Dynamic
Credit
Allocation
Fund,
Inc.
(b)
3,045
37,149
Bancroft
Fund
Ltd.
6,245
112,785
Barings
Global
Short
Duration
High
Yield
Fund
9,351
121,656
BlackRock
California
Municipal
Income
Trust
3,152
35,712
BlackRock
Core
Bond
Trust
32,899
372,417
BlackRock
Credit
Allocation
Income
Trust
68,803
749,265
BlackRock
Debt
Strategies
Fund,
Inc.
31,235
285,488
BlackRock
Energy
and
Resources
Trust
34,633
379,924
BlackRock
Enhanced
Global
Dividend
Trust
12,576
122,867
BlackRock
Enhanced
International
Dividend
Trust
20,387
103,158
BlackRock
Floating
Rate
Income
Strategies
Fund,
Inc.
1,058
12,051
BlackRock
Floating
Rate
Income
Trust
2,093
23,065
BlackRock
Ltd.
Duration
Income
Trust
3,343
42,289
BlackRock
Multi-Sector
Income
Trust
1,782
25,322
BlackRock
Municipal
Income
Fund,
Inc.
26,279
312,983
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.7%
(continued)
BlackRock
Municipal
Income
Quality
Trust
3,568
44,207
BlackRock
Municipal
Income
Trust
11,081
118,899
BlackRock
Municipal
Income
Trust
II
51,685
571,119
BlackRock
MuniHoldings
California
Quality
Fund,
Inc.
38,627
462,365
BlackRock
MuniHoldings
Fund,
Inc.
29,742
377,426
BlackRock
MuniHoldings
New
York
Quality
Fund,
Inc.
7,031
77,271
BlackRock
MuniHoldings
Quality
Fund
II,
Inc.
10,316
113,682
BlackRock
MuniVest
Fund
II,
Inc.
4,791
54,426
BlackRock
MuniVest
Fund,
Inc.
25,026
186,444
BlackRock
MuniYield
Fund,
Inc.
52,936
589,707
BlackRock
MuniYield
New
York
Quality
Fund,
Inc.
8,081
86,224
BlackRock
MuniYield
Quality
Fund
II,
Inc.
2,582
29,590
BlackRock
MuniYield
Quality
Fund
III,
Inc.
8,024
93,560
BlackRock
MuniYield
Quality
Fund,
Inc.
32,881
417,260
BlackRock
New
York
Municipal
Income
Trust
24,697
272,161
Blackstone
Long-Short
Credit
Income
Fund
8,931
102,706
Blackstone
Strategic
Credit
Fund
7,730
86,344
BNY
Mellon
Alcentra
Global
Credit
Income
2024
Target
Term
Fund,
Inc.
900
6,642
BNY
Mellon
Municipal
Bond
Infrastructure
Fund,
Inc.
12,342
160,569
BNY
Mellon
Municipal
Income,
Inc.
37,114
250,519
BNY
Mellon
Strategic
Municipal
Bond
Fund,
Inc.
16,675
103,718
BNY
Mellon
Strategic
Municipals,
Inc.
66,370
436,715
Cohen
&
Steers
Ltd.
Duration
Preferred
and
Income
Fund,
Inc.
13,930
275,675
Cohen
&
Steers
REIT
and
Preferred
and
Income
Fund,
Inc.
4,285
91,442
Cohen
&
Steers
Select
Preferred
and
Income
Fund,
Inc.
6,426
130,898
Delaware
Enhanced
Global
Dividend
&
Income
Fund
5,593
42,563
Delaware
Ivy
High
Income
Opportunities
Fund
12,688
129,925
DoubleLine
Income
Solutions
Fund
73,781
894,964
DWS
Municipal
Income
Trust
5,829
54,793
Eaton
Vance
California
Municipal
Bond
Fund
47,652
441,734
Eaton
Vance
Floating-Rate
Income
Trust
2,423
28,543
Eaton
Vance
Ltd.
Duration
Income
Fund
5,466
56,464
Eaton
Vance
Municipal
Bond
Fund
53,901
576,741
Eaton
Vance
Municipal
Income
Trust
3,200
35,008
30
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.7%
(continued)
Eaton
Vance
National
Municipal
Opportunities
Trust
4,072
72,848
Eaton
Vance
New
York
Municipal
Bond
Fund
24,515
228,235
Eaton
Vance
Senior
Floating-Rate
Trust
405
4,969
Eaton
Vance
Senior
Income
Trust
5,385
29,402
Ellsworth
Growth
and
Income
Fund
Ltd.
31,656
269,709
Federated
Hermes
Premier
Municipal
Income
Fund
16,740
185,144
First
Trust
High
Income
Long
4,736
53,990
Franklin
Ltd.
Duration
Income
Trust
68,935
466,001
Gabelli
Dividend
&
Income
Trust
(The)
10,982
224,582
General
American
Investors
Co.,
Inc.
2,305
81,505
Insight
Select
Income
Fund
8,791
141,271
Invesco
Advantage
Municipal
Income
Trust
II
8,149
76,927
Invesco
Bond
Fund
2,062
33,549
Invesco
California
Value
Municipal
Income
Trust
26,434
279,143
Invesco
Municipal
Opportunity
Trust
46,557
480,934
Invesco
Municipal
Trust
45,716
464,475
Invesco
Pennsylvania
Value
Municipal
Income
Trust
13,346
139,599
Invesco
Quality
Municipal
Income
Trust
43,083
439,877
Invesco
Trust
for
Investment
Grade
Municipals
29,101
306,433
Invesco
Trust
for
Investment
Grade
New
York
Municipals
6,174
66,494
Invesco
Value
Municipal
Income
Trust
6,242
80,335
John
Hancock
Income
Securities
Trust
1,671
19,016
KKR
Income
Opportunities
Fund
21,707
252,669
Macquarie
Global
Infrastructure
Total
Return
Fund,
Inc.
1,917
44,474
MFS
Multimarket
Income
Trust
5,297
24,154
MFS
Municipal
Income
Trust
41,373
225,069
Neuberger
Berman
High
Yield
Strategies
Fund,
Inc.
22,062
184,880
Neuberger
Berman
Municipal
Fund,
Inc.
12,066
135,019
Nuveen
AMT-Free
Municipal
Credit
Income
Fund
3,803
49,857
Nuveen
AMT-Free
Municipal
Value
Fund
7,337
103,819
Nuveen
AMT-Free
Quality
Municipal
Income
Fund
53,684
630,787
Nuveen
California
AMT-Free
Quality
Municipal
Income
Fund
2,169
27,937
Nuveen
California
Municipal
Value
Fund
19,783
172,706
Nuveen
California
Quality
Municipal
Income
Fund
36,791
453,633
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.7%
(continued)
Nuveen
Credit
Strategies
Income
Fund
82,935
431,262
Nuveen
Floating
Rate
Income
Opportunity
Fund
917
7,492
Nuveen
Massachusetts
Quality
Municipal
Income
Fund
2,051
24,222
Nuveen
Municipal
Credit
Income
Fund
70,138
880,933
Nuveen
New
York
AMT-Free
Quality
Municipal
Income
Fund
4,413
48,764
Nuveen
New
York
Municipal
Value
Fund
652
5,548
Nuveen
New
York
Quality
Municipal
Income
Fund
19,126
224,348
Nuveen
Ohio
Quality
Municipal
Income
Fund
20,161
255,440
Nuveen
Pennsylvania
Quality
Municipal
Income
Fund
15,084
183,874
Nuveen
Preferred
&
Income
Opportunities
Fund
83,577
639,364
Nuveen
Preferred
&
Income
Securities
Fund
120,662
876,006
Nuveen
Preferred
&
Income
Term
Fund
171
3,285
Nuveen
Select
Maturities
Municipal
Fund
1,306
11,989
Nuveen
Senior
Income
Fund
2,113
10,121
Nuveen
Short
Duration
Credit
Opportunities
Fund
3,487
41,949
PGIM
Global
High
Yield
Fund,
Inc.
2,132
24,454
PGIM
High
Yield
Bond
Fund,
Inc.
4,486
55,223
Pioneer
Diversified
High
Income
Fund,
Inc.
115
1,247
Pioneer
Floating
Rate
Fund,
Inc.
17,180
152,558
Pioneer
High
Income
Fund,
Inc.
25,452
179,691
Pioneer
Municipal
High
Income
Advantage
Fund,
Inc.
15,410
134,529
Pioneer
Municipal
High
Income
Fund
Trust
30,376
281,889
RiverNorth
Opportunistic
Municipal
Income
Fund,
Inc.
472
8,260
Royce
Global
Value
Trust,
Inc.
1,331
11,872
Saba
Capital
Income
&
Opportunities
Fund
11,622
93,325
Tekla
Healthcare
Opportunities
Fund
52
1,037
Templeton
Emerging
Markets
Fund
4,507
53,994
Tri-Continental
Corp.
7,724
202,137
Virtus
Diversified
Income
&
Convertible
Fund
200
3,904
Virtus
Dividend
Interest
&
Premium
Strategy
Fund
13,692
158,006
Virtus
Equity
&
Convertible
Income
Fund
20,305
421,329
Voya
Emerging
Markets
High
Income
Dividend
Equity
Fund
15,310
88,186
Voya
Infrastructure
Industrials
and
Materials
Fund
718
7,015
Western
Asset
Global
High
Income
Fund,
Inc.
21,981
154,966
31
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
CLOSED
END
FUNDS
-
1.7%
(continued)
Western
Asset
High
Income
Fund
II,
Inc.
47,631
234,821
Western
Asset
High
Yield
Defined
Opportunity
Fund,
Inc.
1,739
21,181
Western
Asset
Intermediate
Muni
Fund,
Inc.
4,367
35,198
Western
Asset
Investment
Grade
Defined
Opportunity
Trust,
Inc.
187
3,155
Western
Asset
Investment
Grade
Income
Fund,
Inc.
2,693
32,504
Western
Asset
Managed
Municipals
Fund,
Inc.
25,514
269,683
Western
Asset
Municipal
High
Income
Fund,
Inc.
11,842
77,802
Western
Asset
Municipal
Partners
Fund,
Inc.
2,225
27,835
Western
Asset
Premier
Bond
Fund
10,419
110,233
TOTAL
CLOSED
END
FUNDS
(Cost
$25,493,797)
24,240,447
PRINCIPAL
AMOUNT
CORPORATE
BONDS
-
0.0%
(a)
Independent
Power
and
Renewable
Electricity
Producers
-
0.0%
(a)
Aegean
Marine
Petroleum
Network,
Inc.
Escrow
0.00%,
12/15/2022
(3)(e)(g)
$
2,375,000
71,250
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Black
Elk
Energy
Escrow
13.75%,
12/1/2015
(3)(e)(g)
2,833,436
145,210
TOTAL
CORPORATE
BONDS
(Cost
$880,000)
216,460
CONVERTIBLE
BONDS
-
18.6%
Aerospace
&
Defense
-
0.2%
Virgin
Galactic
Holdings,
Inc.
2.50%,
2/1/2027
(2)(b)(d)
4,067,000
2,591,195
Airlines
-
0.2%
GOL
Equity
Finance
SA
(Brazil)
3.75%,
7/15/2024
(2)(b)(d)
1,025,000
747,486
JetBlue
Airways
Corp.
0.50%,
4/1/2026
(2)
2,550,000
1,875,525
2,623,011
Auto
Components
-
0.1%
Luminar
Technologies,
Inc.
1.25%,
12/15/2026
(2)(b)(d)
3,325,000
1,875,300
Automobiles
-
0.1%
Arrival
SA
(Luxembourg)
3.50%,
12/1/2026
(2)(b)(d)
4,567,000
1,767,429
Biotechnology
-
0.9%
Inovio
Pharmaceuticals,
Inc.
6.50%,
3/1/2024
(2)(b)
2,075,000
1,141,250
Ironwood
Pharmaceuticals,
Inc.
0.75%,
6/15/2024
(2)(b)
1,400,000
1,463,000
Precigen
,
Inc.
3.50%,
7/1/2023
(2)(b)
2,550,000
2,019,644
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Biotechnology
-
0.9%
(continued)
PTC
Therapeutics,
Inc.
1.50%,
9/15/2026
(2)(b)
$
7,850,000
8,191,475
12,815,369
Chemicals
-
0.2%
Danimer
Scientific,
Inc.
3.25%,
12/15/2026
(2)(b)(d)
3,494,000
2,466,764
Communications
Equipment
-
1.0%
Infinera
Corp.
2.50%,
3/1/2027
(2)(b)
2,925,000
2,931,550
Lumentum
Holdings,
Inc.
0.50%,
6/15/2028
(2)(b)(d)
13,131,000
11,253,267
14,184,817
Consumer
Finance
-
0.6%
EZCORP,
Inc.
2.88%,
7/1/2024
(2)(b)
2,250,000
2,327,625
2.38%,
5/1/2025
(2)(b)
1,025,000
907,637
LendingTree
,
Inc.
0.50%,
7/15/2025
(2)(b)
7,500,000
5,055,000
8,290,262
Diversified
Consumer
Services
-
0.2%
2U,
Inc.
2.25%,
5/1/2025
(2)
3,425,000
2,902,688
Diversified
Telecommunication
Services
-
0.1%
Bandwidth,
Inc.
0.25%,
3/1/2026
(2)(b)
1,875,000
1,290,000
Electrical
Equipment
-
0.6%
Array
Technologies,
Inc.
1.00%,
12/1/2028
(2)(b)(d)
12,850,000
9,020,700
Energy
Equipment
&
Services
-
0.1%
Helix
Energy
Solutions
Group,
Inc.
4.13%,
9/15/2023
(2)(b)
1,125,000
1,055,391
Entertainment
-
0.4%
Sea
Ltd.
(Singapore)
0.25%,
9/15/2026
(2)(b)
8,250,000
6,022,500
Health
Care
Equipment
&
Supplies
-
1.1%
Cutera
,
Inc.
2.25%,
6/1/2028
(2)(b)(d)
10,581,000
9,999,108
Novocure
Ltd.
0.00%,
11/1/2025
(2)(b)
1,925,000
1,646,837
Varex
Imaging
Corp.
4.00%,
6/1/2025
(2)(b)
3,100,000
3,752,884
15,398,829
Health
Care
Providers
&
Services
-
0.2%
Guardant
Health,
Inc.
0.00%,
11/15/2027
(2)(b)
3,954,000
2,441,595
Health
Care
Technology
-
0.1%
Health
Catalyst,
Inc.
2.50%,
4/15/2025
(2)(b)
2,525,000
2,233,047
Hotels,
Restaurants
&
Leisure
-
1.7%
Airbnb,
Inc.
0.00%,
3/15/2026
(2)(b)
8,800,000
7,312,800
DraftKings
Holdings,
Inc.
0.00%,
3/15/2028
(2)(b)
8,800,000
5,394,400
32
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
1.7%
(continued)
MakeMyTrip
Ltd.
(India)
0.00%,
2/15/2028
(2)(b)
$
2,875,000
2,827,562
NCL
Corp.
Ltd.
2.50%,
2/15/2027
(2)(b)(d)
1,585,000
1,089,687
1.13%,
2/15/2027
(2)(b)(d)
12,113,000
7,843,168
24,467,617
Household
Durables
-
0.1%
GoPro,
Inc.
1.25%,
11/15/2025
(2)(b)
1,225,000
1,107,395
Independent
Power
and
Renewable
Electricity
Producers
-
0.7%
Ormat
Technologies,
Inc.
2.50%,
7/15/2027
(2)(b)(d)
9,686,000
10,286,532
Interactive
Media
&
Services
-
1.0%
Eventbrite,
Inc.
0.75%,
9/15/2026
(2)(b)
7,400,000
5,775,700
Snap,
Inc.
0.00%,
5/1/2027
(2)(b)
1,175,000
813,687
0.13%,
3/1/2028
(2)(b)(d)
11,097,000
7,717,964
14,307,351
Internet
&
Direct
Marketing
Retail
-
2.1%
Etsy,
Inc.
0.25%,
6/15/2028
(2)(b)
12,100,000
8,863,250
Farfetch
Ltd.
(United
Kingdom)
3.75%,
5/1/2027
(2)(b)
5,525,000
4,897,912
Fiverr
International
Ltd.
0.00%,
11/1/2025
(2)(b)
3,239,000
2,438,967
Groupon,
Inc.
0.00%,
3/15/2026
(2)(b)
4,250,000
2,688,125
Porch
Group,
Inc.
0.75%,
9/15/2026
(2)(b)(d)
3,400,000
1,774,375
Xometry
,
Inc.
1.00%,
2/1/2027
(2)(b)(d)
9,972,000
8,406,396
29,069,025
IT
Services
-
1.1%
Edgio
,
Inc.
3.50%,
8/1/2025
(2)(b)
725,000
613,152
Fastly
,
Inc.
0.00%,
3/15/2026
(2)(b)
2,975,000
2,161,338
Repay
Holdings
Corp.
0.00%,
2/1/2026
(2)(b)(d)
8,300,000
6,401,375
Shift4
Payments,
Inc.
0.50%,
8/1/2027
(2)(b)(d)
8,575,000
5,981,062
15,156,927
Leisure
Products
-
0.2%
Peloton
Interactive,
Inc.
0.00%,
2/15/2026
(2)(b)
4,875,000
3,070,982
Machinery
-
0.8%
Greenbrier
Cos.,
Inc.
(The)
2.88%,
4/15/2028
(2)(b)
11,535,000
10,727,550
Media
-
1.0%
Cable
One,
Inc.
1.13%,
3/15/2028
(2)(b)
2,339,000
1,960,082
DISH
Network
Corp.
3.38%,
8/15/2026
(2)(b)
6,225,000
4,204,987
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
Media
-
1.0%
(continued)
TechTarget
,
Inc.
0.00%,
12/15/2026
(2)(b)(d)
$
9,825,000
7,835,013
14,000,082
Metals
&
Mining
-
0.0%
(a)
Ivanhoe
Mines
Ltd.
(Canada)
2.50%,
4/15/2026
(2)(b)(d)
575,000
590,813
Oil,
Gas
&
Consumable
Fuels
-
0.2%
Scorpio
Tankers,
Inc.
(Monaco)
3.00%,
5/15/2025
(2)(b)(d)
2,100,000
2,490,246
Pharmaceuticals
-
0.8%
Innoviva
,
Inc.
2.13%,
3/15/2028
(2)(b)(d)
13,373,000
11,340,304
Tilray
Brands,
Inc.
(Canada)
5.00%,
10/1/2023
(2)(b)
400,000
363,910
11,704,214
Real
Estate
Management
&
Development
-
0.6%
Opendoor
Technologies,
Inc.
0.25%,
8/15/2026
(2)(b)(d)
4,975,000
2,824,088
Realogy
Group
LLC
0.25%,
6/15/2026
(2)(b)
4,425,000
3,219,187
Redfin
Corp.
0.50%,
4/1/2027
(2)(b)
4,535,000
2,115,578
8,158,853
Road
&
Rail
-
0.5%
Lyft,
Inc.
1.50%,
5/15/2025
(2)(b)
7,675,000
6,496,888
Software
-
1.2%
8x8,
Inc.
0.50%,
2/1/2024
(2)(b)
2,450,000
2,076,260
Confluent,
Inc.
0.00%,
1/15/2027
(2)(b)(d)
5,825,000
4,234,047
Coupa
Software,
Inc.
0.38%,
6/15/2026
(2)(b)
3,350,000
2,512,500
Five9,
Inc.
0.50%,
6/1/2025
(2)(b)
2,025,000
1,975,387
InterDigital
,
Inc.
3.50%,
6/1/2027
(2)(b)(d)
775,000
784,300
Marathon
Digital
Holdings,
Inc.
1.00%,
12/1/2026
(2)(b)(d)
6,855,000
1,773,756
Splunk
,
Inc.
1.13%,
6/15/2027
(2)(b)
2,775,000
2,289,375
Veritone
,
Inc.
1.75%,
11/15/2026
(2)(b)(d)
1,091,000
693,727
16,339,352
Technology
Hardware,
Storage
&
Peripherals
-
0.5%
3D
Systems
Corp.
0.00%,
11/15/2026
(2)(b)(d)
9,900,000
6,860,700
TOTAL
CONVERTIBLE
BONDS
(Cost
$323,027,916)
261,813,424
33
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
RIGHTS
VALUE
($)
RIGHTS
-
0.1%
Biotechnology
-
0.0%
(a)
Ambit
Biosciences
Corp.,
CVR
(3)*(e)
146,272
124,064
Tobira
Therapeutics,
Inc.,
CVR
(3)*(e)
11,880
145,095
269,159
Capital
Markets
-
0.1%
Accretion
Acquisition
Corp.,
expiring
3/1/2028
*(c)
202,180
24,363
Alset
Capital
Acquisition
Corp.,
expiring
2/3/2025
*(c)
122,496
11,025
Bannix
Acquisition
Corp.,
expiring
8/30/2026
*(c)
26,277
3,416
Benessere
Capital
Acquisition
Corp.,
expiring
12/23/2025
*(c)
55,000
8,250
Blockchain
Moon
Acquisition
Corp.,
expiring
10/21/2026
*(c)
44,844
4,009
Breeze
Holdings
Acquisition
Corp.
*(c)
55,000
5,775
Broad
Capital
Acquisition
Corp.,
expiring
1/13/2027
*(c)
69,739
7,448
Clean
Earth
Acquisitions
Corp.,
expiring
8/28/2028
(2)*(c)
195,348
37,116
Deep
Medicine
Acquisition
Corp.,
expiring
9/30/2028
*(c)
152,927
16,853
Edoc
Acquisition
Corp.,
expiring
11/30/2027
*(c)
55,000
9,933
Financial
Strategies
Acquisition
Corp.,
expiring
1/7/2023
*(c)
131,193
13,119
Fintech
Ecosystem
Development
Corp.,
expiring
1/4/2026
*(c)
10,730
1,062
Global
Blockchain
Acquisition
Corp.
*(c)
161,196
12,090
Globalink
Investment,
Inc.,
expiring
12/9/2026
(2)*(c)
74,843
8,083
Goldenstone
Acquisition
Ltd.,
expiring
7/15/2026
*(c)
32,200
7,580
Inception
Growth
Acquisition
Ltd.
*(c)
112,518
14,627
JUPITER
WELLNESS
ACQUISITION
Corp.
*(c)
149,929
18,007
Mana
Capital
Acquisition
Corp.,
expiring
1/6/2024
(2)*(c)
39,048
9,176
Metal
Sky
Star
Acquisition
Corp.,
expiring
12/31/2023
(2)*(c)
103,342
12,050
NorthView
Acquisition
Corp.,
expiring
8/2/2027
(2)*(c)
154,598
18,134
Pacifico
Acquisition
Corp.,
expiring
7/25/2026
*(c)
20,252
2,633
PHP
Ventures
Acquisition
Corp.,
expiring
8/11/2026
(2)*(c)
29,400
1,764
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
(2)*(c)
74,885
7,496
RF
Acquisition
Corp.,
expiring
3/29/2024
(2)*(c)
114,573
11,469
ROC
Energy
Acquisition
Corp.,
expiring
11/30/2028
*(c)
149,375
23,900
Sagaliam
Acquisition
Corp.,
expiring
5/31/2028
(2)*(c)
70,003
10,577
INVESTMENTS
NO.
OF
RIGHTS
VALUE
($)
Capital
Markets
-
0.1%
(continued)
Welsbach
Technology
Metals
Acquisition
Corp.,
expiring
3/31/2023
*(c)
9,289
1,091
301,046
TOTAL
RIGHTS
(Cost
$–)
570,205
NO.
OF
WARRANTS
WARRANTS
-
0.5%
Aerospace
&
Defense
-
0.0%
(a)
Archer
Aviation,
Inc.,
expiring
9/16/2026
*(b)
10,436
5,949
Eve
Holding,
Inc.,
expiring
10/8/2025
*
103,721
52,939
58,888
Auto
Components
-
0.0%
(a)
REE
Automotive
Ltd.,
expiring
7/22/2026
(Israel)
*
51,857
9,702
Biotechnology
-
0.0%
(a)
180
Life
Sciences
Corp.,
expiring
11/7/2025
*
502,252
75,338
Comera
Life
Sciences
Holdings,
Inc.,
expiring
5/19/2027
*
28,380
3,973
DermTech
,
Inc.,
expiring
8/29/2024
(2)*
207,877
74,087
Ensysce
Biosciences,
Inc.,
expiring
2/1/2026
*
196,256
19,626
173,024
Capital
Markets
-
0.3%
26
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
74,200
22,260
7GC
&
Co.
Holdings,
Inc.,
expiring
12/31/2026
*(c)
67,750
3,272
Accelerate
Acquisition
Corp.,
expiring
12/31/2027
*(c)
156,666
25,223
Accretion
Acquisition
Corp.,
expiring
2/19/2023
*(c)
101,090
6,571
Achari
Ventures
Holdings
Corp.
I,
expiring
8/5/2026
(2)*(c)
42,909
6,007
Ackrell
Spac
Partners
I
Co.,
expiring
12/1/2026
*(c)
36,787
3,679
Acropolis
Infrastructure
Acquisition
Corp.,
expiring
3/31/2026
(2)*(b)(c)
140,333
28,067
Adit
EdTech
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
41,250
2,063
Advanced
Merger
Partners,
Inc.,
expiring
6/30/2026
(2)*(b)(c)
13,733
3,845
Aequi
Acquisition
Corp.,
expiring
11/30/2027
*(c)
107,000
7,276
Aesther
Healthcare
Acquisition
Corp.,
expiring
1/19/2023
*(c)
20,252
2,430
34
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Aetherium
Acquisition
Corp.,
expiring
1/21/2028
(2)*(c)
175,712
13,881
AF
Acquisition
Corp.,
expiring
3/31/2028
(2)*(c)
126,194
17,667
Alpha
Healthcare
Acquisition
Corp.
III,
expiring
4/12/2027
(2)*(b)(c)
52,000
20,275
Alpine
Acquisition
Corp.,
expiring
1/21/2023
*(c)
15,103
1,661
Alset
Capital
Acquisition
Corp.,
expiring
2/2/2027
*(c)
61,248
4,900
AltEnergy
Acquisition
Corp.,
expiring
2/6/2023
*(c)
61,463
10,313
Altitude
Acquisition
Corp.,
expiring
11/30/2027
*(b)(c)
96,300
8,667
AMCI
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*(c)
69,500
18,939
American
Acquisition
Opportunity,
Inc.,
expiring
5/28/2026
*(b)(c)
58,500
9,301
Anzu
Special
Acquisition
Corp.
I,
expiring
12/31/2027
*(b)(c)
68,889
8,604
Apeiron
Capital
Investment
Corp.,
expiring
6/24/2023
*(c)
54,024
4,322
Arbor
Rapha
Capital
Bioholdings
Corp.
I,
expiring
3/14/2023
*(c)
47,678
2,918
Arena
Fortify
Acquisition
Corp.,
expiring
12/31/2028
*(c)
27,012
2,701
Argus
Capital
Corp.,
expiring
7/22/2023
*(c)
30,741
5,841
Armada
Acquisition
Corp.
I,
expiring
1/2/2023
*(c)
64,166
10,915
Arogo
Capital
Acquisition
Corp.,
expiring
3/23/2028
(2)*(c)
96,774
5,332
Arrowroot
Acquisition
Corp.,
expiring
3/2/2026
*(b)(c)
41,500
2,116
Artemis
Strategic
Investment
Corp.,
expiring
2/12/2023
*(c)
102,400
9,216
Astrea
Acquisition
Corp.,
expiring
1/13/2026
(3)*(b)
(c)(e)
41,333
3,352
Athena
Consumer
Acquisition
Corp.,
expiring
7/20/2023
*(c)
64,463
9,025
Athena
Technology
Acquisition
Corp.
II,
expiring
10/17/2028
(3)*(c)(e)
319,116
43,049
Athlon
Acquisition
Corp.,
expiring
3/5/2026
*(b)(c)
41,333
4,778
Atlantic
Avenue
Acquisition
Corp.,
expiring
10/6/2027
*(b)(c)
146,000
11,665
Atlantic
Coastal
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
228,472
18,278
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Atlantic
Coastal
Acquisition
Corp.
II,
expiring
6/2/2028
*(c)
206,631
20,456
Atlas
Crest
Investment
Corp.
II,
expiring
2/28/2026
*(b)(c)
20,616
2,886
Ault
Disruptive
Technologies
Corp.,
expiring
6/20/2028
(2)*(c)
54,855
5,485
Aurora
Acquisition
Corp.,
expiring
12/31/2028
(United
Kingdom)
(2)*(c)
9,375
1,437
Authentic
Equity
Acquisition
Corp.,
expiring
12/31/2027
*(b)(c)
41,266
4,127
Avalon
Acquisition,
Inc.,
expiring
2/26/2023
*(c)
79,701
6,376
AxonPrime
Infrastructure
Acquisition
Corp.,
expiring
7/8/2023
*(c)
78,055
17,953
B
Riley
Principal
150
Merger
Corp.,
expiring
3/1/2028
*(c)
27,777
9,166
B
Riley
Principal
250
Merger
Corp.,
expiring
12/31/2027
*(c)
117,289
32,841
Banner
Acquisition
Corp.,
expiring
1/15/2023
(2)*(c)
20,196
2,127
Bannix
Acquisition
Corp.,
expiring
2/19/2023
*(c)
26,277
2,021
Banyan
Acquisition
Corp.,
expiring
9/30/2028
*(c)
167,229
21,740
Beard
Energy
Transition
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
74,755
11,213
Belong
Acquisition
Corp.,
expiring
12/31/2027
*(c)
64,000
6,957
Benessere
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,250
9,900
Berenson
Acquisition
Corp.
I,
expiring
8/1/2026
*(c)
15,392
2,155
Better
World
Acquisition
Corp.,
expiring
11/15/2027
*(c)
49,500
2,970
Big
Sky
Growth
Partners,
Inc.,
expiring
2/26/2023
*(c)
83,121
18,095
Bilander
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
60,416
19,937
Bite
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,600
3,644
Black
Mountain
Acquisition
Corp.,
expiring
10/15/2027
*(c)
183,774
33,079
Blockchain
Moon
Acquisition
Corp.,
expiring
3/23/2024
(2)*(c)
44,844
5,381
BOA
Acquisition
Corp.,
expiring
2/22/2028
*(c)
27,321
4,363
Breeze
Holdings
Acquisition
Corp.,
expiring
5/25/2027
*(c)
55,000
8,794
35
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Bright
Lights
Acquisition
Corp.,
expiring
12/31/2027
*(c)
32,000
2,563
Broadscale
Acquisition
Corp.,
expiring
2/2/2026
*(c)
20,666
4,894
Build
Acquisition
Corp.,
expiring
4/29/2023
*(c)
135,000
13,500
BurTech
Acquisition
Corp.,
expiring
12/18/2026
*(c)
447,209
46,286
byNordic
Acquisition
Corp.,
expiring
2/9/2027
(2)*(c)
69,207
7,191
C5
Acquisition
Corp.,
expiring
5/19/2028
*(c)
131,692
26,338
Canna-Global
Acquisition
Corp.,
expiring
2/9/2028
*(c)
188,580
15,086
Carney
Technology
Acquisition
Corp.
II,
expiring
11/30/2027
*(c)
163,143
26,103
Cascadia
Acquisition
Corp.,
expiring
2/5/2023
*(c)
60,303
10,849
CC
Neuberger
Principal
Holdings
II,
expiring
7/29/2025
*(c)
127,050
58,443
CENAQ
Energy
Corp.,
expiring
12/31/2027
*(c)
105,000
9,944
CF
Acquisition
Corp.
IV,
expiring
12/14/2025
*(c)
78,500
6,853
CF
Acquisition
Corp.
VI,
expiring
2/18/2028
*(c)
27,750
37,463
CF
Acquisition
Corp.
VII,
expiring
3/15/2026
*(c)
48,764
7,485
CF
Acquisition
Corp.
VIII,
expiring
12/31/2027
(2)*(c)
48,500
12,746
Churchill
Capital
Corp.
V,
expiring
10/29/2027
*(c)
10,350
3,416
Churchill
Capital
Corp.
VI,
expiring
12/31/2027
*(c)
16,600
5,644
Churchill
Capital
Corp.
VII,
expiring
2/29/2028
*(c)
16,600
5,771
CIIG
Capital
Partners
II,
Inc.,
expiring
2/28/2028
*(c)
70,884
9,215
Clarim
Acquisition
Corp.,
expiring
12/31/2027
*(c)
59,111
6,502
Class
Acceleration
Corp.,
expiring
3/31/2028
*(c)
41,666
3,125
Clean
Earth
Acquisitions
Corp.,
expiring
2/24/2028
(2)*(c)
97,674
13,684
Climate
Real
Impact
Solutions
II
Acquisition
Corp.,
expiring
12/31/2027
*(c)
16,647
2,830
Colicity
,
Inc.,
expiring
12/31/2027
*(c)
22,909
4,971
Colombier
Acquisition
Corp.,
expiring
12/31/2028
*(c)
78,300
8,613
Compute
Health
Acquisition
Corp.,
expiring
12/31/2027
*(c)
23,100
5,082
Concord
Acquisition
Corp.,
expiring
11/28/2025
*(c)
190,333
203,637
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Concord
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*(c)
95,464
21,002
Concord
Acquisition
Corp.
III,
expiring
12/31/2028
*(c)
215,234
47,158
Conx
Corp.,
expiring
10/30/2027
*(c)
92,500
14,800
Conyers
Park
III
Acquisition
Corp.,
expiring
8/12/2028
(2)*(c)
161,500
46,835
Corner
Growth
Acquisition
Corp.,
expiring
12/31/2027
*(c)
110,400
5,586
Crixus
BH3
Acquisition
Co.,
expiring
11/23/2026
*(c)
42,289
5,920
Crucible
Acquisition
Corp.,
expiring
12/26/2025
*(c)
26,565
2,657
D
&
Z
Media
Acquisition
Corp.,
expiring
12/31/2027
*(c)
27,453
2,745
Data
Knights
Acquisition
Corp.,
expiring
12/31/2028
*(c)
50,667
638
Delwinds
Insurance
Acquisition
Corp.,
expiring
8/1/2027
*(c)
47,500
9,975
DHB
Capital
Corp.,
expiring
3/15/2028
*(c)
49,333
5,920
DiamondHead
Holdings
Corp.,
expiring
1/28/2028
(2)*(c)
20,700
2,070
Digital
Health
Acquisition
Corp.,
expiring
10/14/2023
*(c)
71,745
7,892
Digital
Transformation
Opportunities
Corp.,
expiring
3/31/2028
*(c)
20,733
2,339
DILA
Capital
Acquisition
Corp.,
expiring
12/31/2028
*(c)
61,667
7,400
Direct
Selling
Acquisition
Corp.,
expiring
11/23/2023
*(c)
51,291
5,180
dMY
Technology
Group,
Inc.
VI,
expiring
6/25/2023
*(c)
41,091
14,706
DPCM
Capital,
Inc.,
expiring
10/14/2027
*(c)
127,866
44,753
DTRT
Health
Acquisition
Corp.,
expiring
11/12/2022
*(c)
60,408
3,685
DUET
Acquisition
Corp.,
expiring
7/19/2028
(2)*(c)
73,788
8,486
Dune
Acquisition
Corp.,
expiring
10/29/2027
*(c)
22,884
1,030
E.Merge
Technology
Acquisition
Corp.,
expiring
7/30/2025
*(c)
121,666
15,817
East
Resources
Acquisition
Co.,
expiring
7/1/2027
*(c)
219,000
48,180
Edify
Acquisition
Corp.,
expiring
12/31/2027
(3)*(c)(e)
41,550
4,774
36
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Edoc
Acquisition
Corp.,
expiring
11/30/2027
*(c)
55,000
1,645
EdtechX
Holdings
Acquisition
Corp.
II,
expiring
6/15/2027
*(c)
40,875
2,698
EG
Acquisition
Corp.,
expiring
5/28/2028
*(c)
155,666
24,362
Empowerment
&
Inclusion
Capital
I
Corp.,
expiring
12/31/2027
*(c)
58,119
4,789
Epiphany
Technology
Acquisition
Corp.,
expiring
12/31/2027
*(c)
65,416
4,913
EQ
Health
Acquisition
Corp.,
expiring
2/2/2028
*(c)
43,828
4,124
Equity
Distribution
Acquisition
Corp.,
expiring
9/9/2025
*(c)
94,933
9,731
Everest
Consolidator
Acquisition
Corp.,
expiring
7/19/2028
*(c)
65,508
6,551
Evo
Acquisition
Corp.,
expiring
12/31/2027
*(c)
9,660
677
ExcelFin
Acquisition
Corp.,
expiring
7/5/2023
*(c)
67,393
13,236
Executive
Network
Partnering
Corp.,
expiring
9/25/2028
*(c)
95,000
86,887
Fast
Acquisition
Corp.,
expiring
8/25/2027
*(c)
44,033
21,312
FAST
Acquisition
Corp.
II,
expiring
3/16/2026
(2)*(c)
24,250
3,029
FG
Merger
Corp.,
expiring
6/17/2027
*(c)
73,638
7,364
Figure
Acquisition
Corp.
I,
expiring
12/31/2027
(2)*(c)
29,700
5,346
Financial
Strategies
Acquisition
Corp.,
expiring
3/31/2028
*(c)
131,193
9,184
FinServ
Acquisition
Corp.
II,
expiring
2/17/2026
*(c)
20,791
3,327
Fintech
Acquisition
Corp.
V,
expiring
10/31/2025
*(c)
33,727
3,035
FinTech
Acquisition
Corp.
VI,
expiring
12/31/2027
(2)*(c)
37,676
5,275
Fintech
Ecosystem
Development
Corp.,
expiring
12/31/2028
*(c)
5,365
537
First
Light
Acquisition
Group,
Inc.,
expiring
10/7/2023
*(c)
20,232
1,821
First
Reserve
Sustainable
Growth
Corp.,
expiring
12/31/2027
(2)*(c)
20,625
2,065
Flame
Acquisition
Corp.,
expiring
12/31/2028
*(c)
65,866
10,539
Focus
Impact
Acquisition
Corp.,
expiring
4/23/2023
*(c)
50,975
4,078
Forest
Road
Acquisition
Corp.
II,
expiring
1/15/2026
(2)*(c)
16,622
4,985
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Fortistar
Sustainable
Solutions
Corp.,
expiring
12/31/2027
*(c)
22,283
2,850
Fortress
Value
Acquisition
Corp.
III,
expiring
12/31/2027
*(c)
15,939
2,869
Fortress
Value
Acquisition
Corp.
IV,
expiring
3/18/2028
*(c)
36,166
6,727
Fortune
Rise
Acquisition
Corp.,
expiring
11/26/2023
*(c)
49,324
7,339
Forum
Merger
IV
Corp.,
expiring
12/31/2027
*(c)
117,500
26,120
FoxWayne
Enterprises
Acquisition
Corp.,
expiring
12/31/2026
(2)*(c)
34,500
1,725
FTAC
Emerald
Acquisition
Corp.,
expiring
8/22/2028
*(c)
118,863
19,018
FTAC
Parnassus
Acquisition
Corp.,
expiring
3/10/2026
(3)*(c)(e)
44,034
8,807
FTAC
Zeus
Acquisition
Corp.,
expiring
12/31/2027
*(c)
127,515
20,402
Fusion
Acquisition
Corp.
II,
expiring
12/31/2027
*(c)
27,666
2,628
Future
Health
ESG
Corp.,
expiring
2/19/2023
*(c)
45,911
13,314
FutureTech
II
Acquisition
Corp.,
expiring
2/16/2027
*(c)
38,964
3,503
G&P
Acquisition
Corp.,
expiring
3/5/2027
(2)*(c)
161,666
14,550
Gaming
&
Hospitality
Acquisition
Corp.,
expiring
2/4/2028
*(c)
8,207
984
Gardiner
Healthcare
Acquisitions
Corp.,
expiring
7/30/2028
*(c)
52,651
5,265
Genesis
Unicorn
Capital
Corp.,
expiring
6/30/2026
*(c)
67,549
9,119
GigCapital5,
Inc.,
expiring
12/31/2028
(2)*(c)
123,100
8,358
GigInternational1,
Inc.,
expiring
12/31/2028
*(c)
149,500
8,223
Gladstone
Acquisition
Corp.,
expiring
12/31/2027
*(c)
69,500
18,946
Glass
Houses
Acquisition
Corp.,
expiring
12/31/2027
*(c)
68,833
8,356
Glenfarne
Merger
Corp.,
expiring
12/31/2027
*(c)
54,888
9,880
Global
Blockchain
Acquisition
Corp.,
expiring
5/10/2027
*(c)
161,196
9,672
Global
Consumer
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
106,500
20,235
Globalink
Investment,
Inc.,
expiring
12/3/2026
*(c)
74,843
3,248
GO
Acquisition
Corp.,
expiring
8/31/2027
*(c)
178,273
107
37
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Goal
Acquisitions
Corp.,
expiring
2/11/2026
*(c)
84,630
8,040
Golden
Arrow
Merger
Corp.,
expiring
7/31/2026
(2)*(c)
131,733
10,539
Golden
Falcon
Acquisition
Corp.,
expiring
11/4/2026
*(c)
64,925
5,993
Goldenstone
Acquisition
Ltd.,
expiring
6/21/2026
*(c)
32,200
2,576
Good
Works
II
Acquisition
Corp.,
expiring
2/1/2028
*(c)
126,000
5,670
Gores
Holdings
IX,
Inc.,
expiring
1/14/2029
(2)*(c)
552,098
270,528
Gores
Holdings
VII,
Inc.,
expiring
12/31/2027
*(c)
10,416
4,688
Gores
Holdings
VIII,
Inc.,
expiring
12/31/2027
(2)*(c)
10,416
5,833
Gores
Technology
Partners
II,
Inc.,
expiring
12/31/2027
*(c)
25,404
10,162
Gores
Technology
Partners,
Inc.,
expiring
12/31/2027
(2)*(c)
16,560
8,611
Graf
Acquisition
Corp.
IV,
expiring
5/31/2028
*(c)
73,000
18,980
Group
Nine
Acquisition
Corp.,
expiring
1/14/2026
*(c)
27,604
4,141
GSR
II
Meteora
Acquisition
Corp.,
expiring
7/22/2023
(2)*(c)
244,186
22,001
GX
Acquisition
Corp.
II,
expiring
12/31/2028
(2)*(c)
137,666
19,273
Hamilton
Lane
Alliance
Holdings
I,
Inc.,
expiring
1/8/2026
*(c)
27,583
2,372
Hawks
Acquisition
Corp.,
expiring
1/29/2023
*(c)
37,175
5,948
Health
Assurance
Acquisition
Corp.,
expiring
11/12/2025
*(c)
95,166
12,828
Healthcare
Services
Acquisition
Corp.,
expiring
12/31/2027
*(c)
55,650
5,565
Healthwell
Acquisition
Corp.
I,
expiring
8/5/2028
(2)*(c)
139,600
25,868
Heartland
Media
Acquisition
Corp.,
expiring
10/21/2027
*(c)
200,423
29,182
Hennessy
Capital
Investment
Corp.
V,
expiring
1/11/2026
*(c)
20,630
4,002
Hennessy
Capital
Investment
Corp.
VI,
expiring
12/31/2027
(2)*(c)
232,490
60,447
HNR
Acquisition
Corp.,
expiring
7/29/2028
(3)*(c)(e)
49,014
4,901
Home
Plate
Acquisition
Corp.,
expiring
3/3/2023
(3)*(c)(e)
20,508
3,683
Hudson
Executive
Investment
Corp.
II,
expiring
1/31/2027
(2)*(c)
20,775
2,493
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Hudson
Executive
Investment
Corp.
III,
expiring
12/31/2028
(2)*(c)
41,333
4,323
HumanCo
Acquisition
Corp.,
expiring
12/31/2027
*(c)
33,563
3,836
IG
Acquisition
Corp.,
expiring
10/5/2027
*(c)
182,500
24,528
Ignyte
Acquisition
Corp.,
expiring
12/31/2027
(3)*(c)(e)
17,500
3,675
Inception
Growth
Acquisition
Ltd.,
expiring
10/15/2026
*(c)
56,259
6,470
Industrial
Human
Capital,
Inc.,
expiring
12/31/2028
*(c)
89,858
3,599
Industrial
Tech
Acquisitions
II,
Inc.,
expiring
12/31/2028
(2)*(c)
63,004
9,451
Insight
Acquisition
Corp.,
expiring
2/11/2023
*(c)
25,170
4,528
INSU
Acquisition
Corp.
III,
expiring
12/31/2026
*(c)
24,733
2,211
Integral
Acquisition
Corp.
1,
expiring
12/14/2028
*(c)
53,808
7,017
Integrated
Rail
and
Resources
Acquisition
Corp.,
expiring
5/21/2023
*(c)
54,219
15,724
Intelligent
Medicine
Acquisition
Corp.,
expiring
1/13/2023
*(c)
62,785
8,162
InterPrivate
II
Acquisition
Corp.,
expiring
12/31/2028
*(c)
16,500
1,650
InterPrivate
III
Financial
Partners,
Inc.,
expiring
12/31/2027
(3)*(c)(e)
16,500
6,765
InterPrivate
IV
InfraTech
Partners,
Inc.,
expiring
12/31/2027
*(c)
16,600
4,150
Isleworth
Healthcare
Acquisition
Corp.,
expiring
8/2/2027
*(c)
64,666
2,140
Jackson
Acquisition
Co.,
expiring
12/31/2028
*(c)
183,961
27,594
Jaws
Hurricane
Acquisition
Corp.,
expiring
2/23/2023
*(c)
34,250
12,333
JOFF
Fintech
Acquisition
Corp.,
expiring
12/31/2027
(2)*(c)
27,727
3,050
Juniper
II
Corp.,
expiring
12/31/2028
*(c)
53,808
10,224
Jupiter
Acquisition
Corp.,
expiring
8/25/2022
*(c)
105,000
15,750
Kadem
Sustainable
Impact
Corp.,
expiring
3/16/2026
*(c)
151,547
15,882
Kimbell
Tiger
Acquisition
Corp.,
expiring
9/15/2028
*(c)
185,772
33,439
Kingswood
Acquisition
Corp.,
expiring
5/1/2027
*(c)
112,062
7,844
KINS
Technology
Group,
Inc.,
expiring
12/31/2025
*(c)
78,500
9,420
38
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
KKR
Acquisition
Holdings
I
Corp.,
expiring
12/31/2027
*(c)
31,000
11,160
KL
Acquisition
Corp.,
expiring
1/12/2028
(2)*(c)
26,355
3,948
KludeIn
I
Acquisition
Corp.,
expiring
7/8/2027
*(c)
28,833
2,275
KnightSwan
Acquisition
Corp.,
expiring
7/21/2028
(3)*(c)(e)
167,019
20,059
Landcadia
Holdings
IV,
Inc.,
expiring
12/31/2028
(2)*(c)
84,500
27,040
Larkspur
Health
Acquisition
Corp.,
expiring
12/20/2026
*(c)
39,393
4,294
LAVA
Medtech
Acquisition
Corp.,
expiring
4/1/2023
(2)*(c)
31,732
3,494
Learn
CW
Investment
Corp.,
expiring
12/31/2028
*(c)
13,352
1,068
Lefteris
Acquisition
Corp.,
expiring
10/23/2025
*(c)
185,333
18,533
Legato
Merger
Corp.
II,
expiring
2/5/2023
*(c)
77,207
19,302
LF
Capital
Acquisition
Corp.
II,
expiring
1/7/2026
*(c)
54,396
5,445
Liberty
Media
Acquisition
Corp.,
expiring
12/31/2027
*(c)
5,355
2,570
LightJump
Acquisition
Corp.,
expiring
12/31/2027
*(c)
27,000
1,620
Lionheart
III
Corp.,
expiring
3/19/2023
*(c)
44,840
7,623
Live
Oak
Crestview
Climate
Acquisition
Corp.,
expiring
3/12/2026
(2)*(c)
54,710
14,772
Live
Oak
Mobility
Acquisition
Corp.,
expiring
3/4/2028
*(c)
17,760
3,112
LMF
Acquisition
Opportunities,
Inc.,
expiring
1/31/2027
*(c)
27,333
3,075
Logistics
Innovation
Technologies
Corp.,
expiring
6/15/2028
*(c)
81,857
13,097
Longview
Acquisition
Corp.
II,
expiring
5/10/2026
*(c)
37,000
4,810
Lux
Health
Tech
Acquisition
Corp.,
expiring
11/30/2027
*(c)
166,857
24,978
M3-Brigade
Acquisition
II
Corp.,
expiring
12/31/2027
(2)*(c)
413,333
41,375
M3-Brigade
Acquisition
III
Corp.,
expiring
5/11/2023
(2)*(c)
149,671
17,961
Mana
Capital
Acquisition
Corp.,
expiring
12/1/2026
*(c)
19,524
3,124
Maquia
Capital
Acquisition
Corp.,
expiring
12/31/2027
*(c)
113,500
11,339
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Marblegate
Acquisition
Corp.,
expiring
12/9/2022
*(c)
573,387
57,339
Mason
Industrial
Technology,
Inc.,
expiring
12/31/2027
*(c)
50,518
7,062
Maxpro
Capital
Acquisition
Corp.,
expiring
1/22/2023
*(c)
9,347
888
McLaren
Technology
Acquisition
Corp.,
expiring
3/3/2023
(2)*(c)
89,681
10,529
MDH
Acquisition
Corp.,
expiring
2/2/2028
*(c)
42,000
3,528
MedTech
Acquisition
Corp.,
expiring
12/18/2025
*(c)
45,166
3,794
Mercato
Partners
Acquisition
Corp.,
expiring
12/28/2026
(2)*(c)
71,745
10,755
Metal
Sky
Star
Acquisition
Corp.,
expiring
4/1/2027
(2)*(c)
103,342
8,267
Minority
Equality
Opportunities
Acquisition,
Inc.,
expiring
4/29/2023
*(c)
40,202
3,015
Mission
Advancement
Corp.,
expiring
12/31/2028
*(c)
37,000
3,053
Monterey
Bio
Acquisition
Corp.,
expiring
6/7/2023
*(c)
8,700
826
Monument
Circle
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,375
3,724
Mount
Rainier
Acquisition
Corp.,
expiring
12/4/2022
(2)*(c)
84,937
12,732
Mudrick
Capital
Acquisition
Corp.
II,
expiring
9/10/2027
*(c)
119,007
33,334
Murphy
Canyon
Acquisition
Corp.,
expiring
2/3/2027
*(c)
97,859
9,786
Music
Acquisition
Corp.
(The),
expiring
2/5/2028
*(c)
23,325
2,076
Nabors
Energy
Transition
Corp.,
expiring
11/17/2026
*(c)
127,094
33,044
New
Providence
Acquisition
Corp.
II,
expiring
12/31/2027
(2)*(c)
41,859
5,860
Newbury
Street
Acquisition
Corp.,
expiring
12/31/2027
*(c)
88,000
11,440
NewHold
Investment
Corp.
II,
expiring
10/21/2023
*(c)
67,366
13,473
NightDragon
Acquisition
Corp.,
expiring
12/31/2027
*(c)
16,666
4,500
North
Mountain
Merger
Corp.,
expiring
9/16/2025
*(c)
77,010
7,709
Northern
Genesis
Acquisition
Corp.
III,
expiring
12/31/2027
(2)*(c)
57,500
18,975
Northern
Lights
Acquisition
Corp.,
expiring
12/2/2022
*(c)
45,666
10,503
39
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Northern
Star
Investment
Corp.
II,
expiring
1/31/2028
*(c)
16,500
1,679
Northern
Star
Investment
Corp.
III,
expiring
2/25/2028
(2)*(c)
13,777
3,036
Northern
Star
Investment
Corp.
IV,
expiring
12/31/2027
*(c)
13,777
2,618
NorthView
Acquisition
Corp.,
expiring
8/2/2027
*(c)
77,299
8,503
Nubia
Brand
International
Corp.,
expiring
11/16/2026
*(c)
142,150
15,565
OCA
Acquisition
Corp.,
expiring
12/31/2027
*(c)
55,769
2,794
OceanTech
Acquisitions
I
Corp.,
expiring
5/10/2026
*(c)
104,000
10,400
OmniLit
Acquisition
Corp.,
expiring
11/8/2026
*(c)
40,496
4,860
One
Equity
Partners
Open
Water
I
Corp.,
expiring
12/31/2027
*(c)
27,441
3,194
OPY
Acquisition
Corp.
I,
expiring
4/8/2023
*(c)
41,286
10,317
Orion
Acquisition
Corp.,
expiring
2/19/2026
*(c)
20,833
1,779
Osiris
Acquisition
Corp.,
expiring
5/1/2028
*(c)
254,000
49,352
Oyster
Enterprises
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,500
5,312
Papaya
Growth
Opportunity
Corp.
I,
expiring
12/31/2028
(2)*(c)
206,644
20,664
Parabellum
Acquisition
Corp.,
expiring
3/26/2023
*(c)
24,278
3,156
Parsec
Capital
Acquisitions
Corp.,
expiring
1/8/2023
(2)*(c)
12,741
1,705
Periphas
Capital
Partnering
Corp.,
expiring
12/10/2028
*(c)
19,041
8,549
Pershing
Square
Tontine
Holdings
Ltd.,
expiring
7/24/2025
*(c)
22,500
9,677
Phoenix
Biotech
Acquisition
Corp.,
expiring
9/1/2026
*(c)
106,172
10,628
PHP
Ventures
Acquisition
Corp.,
expiring
12/4/2023
*(c)
14,700
1,122
Pine
Island
Acquisition
Corp.,
expiring
10/29/2027
*(c)
190,333
57,043
Pine
Technology
Acquisition
Corp.,
expiring
3/31/2028
(2)*(c)
213,333
19,733
Pivotal
Investment
Corp.
III,
expiring
12/31/2027
(2)*(c)
16,566
1,844
PMV
Consumer
Acquisition
Corp.,
expiring
8/31/2027
*(c)
146,000
16,060
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Pono
Capital
Corp.,
expiring
12/16/2022
(2)*(c)
89,775
5,467
Population
Health
Investment
Co.,
Inc.,
expiring
10/1/2025
*(c)
38,400
3,840
Post
Holdings
Partnering
Corp.,
expiring
2/9/2023
*(c)
64,630
17,780
Power
&
Digital
Infrastructure
Acquisition
II
Corp.,
expiring
12/14/2028
*(c)
159,558
30,316
PowerUp
Acquisition
Corp.,
expiring
2/18/2027
*(c)
226,462
27,175
Priveterra
Acquisition
Corp.,
expiring
12/31/2027
*(c)
31,100
4,668
Progress
Acquisition
Corp.,
expiring
12/31/2027
*(c)
41,500
4,461
PROOF
Acquisition
Corp.
I,
expiring
12/3/2028
*(c)
75,432
7,543
Property
Solutions
Acquisition
Corp.
II,
expiring
3/1/2026
*(c)
74,100
5,409
PropTech
Investment
Corp.
II,
expiring
12/31/2027
(2)*(c)
57,659
5,766
PWP
Forward
Acquisition
Corp.
I,
expiring
3/9/2026
(2)*(c)
32,333
5,820
Recharge
Acquisition
Corp.,
expiring
10/5/2027
*(c)
139,000
9,716
Redwoods
Acquisition
Corp.,
expiring
3/15/2027
*(c)
74,885
5,242
Relativity
Acquisition
Corp.,
expiring
2/11/2027
(2)*(c)
89,748
8,077
Revolution
Healthcare
Acquisition
Corp.,
expiring
12/31/2028
*(c)
16,506
4,127
RF
Acquisition
Corp.,
expiring
5/1/2028
*(c)
114,573
10,312
Riverview
Acquisition
Corp.,
expiring
4/8/2023
*(c)
105,000
103,446
Rosecliff
Acquisition
Corp.
I,
expiring
12/31/2027
(2)*(c)
27,555
2,755
Roth
Ch
Acquisition
IV
Co.,
expiring
1/9/2023
(2)*(c)
49,182
10,328
Roth
CH
Acquisition
V
Co.,
expiring
12/10/2026
*(c)
14,143
2,546
RXR
Acquisition
Corp.,
expiring
3/8/2026
(3)*(c)(e)
18,500
2,777
Sanaby
Health
Acquisition
Corp.
I,
expiring
7/30/2028
*(c)
32,192
3,702
Sandbridge
X2
Corp.,
expiring
12/31/2027
(2)*(c)
27,500
2,203
Schultze
Special
Purpose
Acquisition
Corp.
II,
expiring
3/25/2028
*(c)
31,865
6,688
Science
Strategic
Acquisition
Corp.
Alpha,
expiring
12/31/2027
*(c)
27,494
2,491
40
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
SCP
&
CO
Healthcare
Acquisition
Co.,
expiring
1/27/2028
*(c)
41,562
3,283
Seaport
Calibre
Materials
Acquisition
Corp.,
expiring
1/19/2023
*(c)
22,683
3,176
Seaport
Global
Acquisition
II
Corp.,
expiring
11/1/2023
*(c)
40,848
10,212
Senior
Connect
Acquisition
Corp.
I,
expiring
12/31/2027
*(c)
78,500
5,495
Shelter
Acquisition
Corp.
I,
expiring
12/31/2027
*(c)
98,333
17,700
ShoulderUp
Technology
Acquisition
Corp.,
expiring
7/26/2023
*(c)
108,870
14,153
Sierra
Lake
Acquisition
Corp.,
expiring
3/31/2028
*(c)
40,505
4,832
Signal
Hill
Acquisition
Corp.,
expiring
2/11/2027
(2)*(c)
44,930
6,066
Silver
Spike
Acquisition
Corp.
II,
expiring
2/26/2026
*(c)
20,000
1,200
Simon
Property
Group
Acquisition
Holdings,
Inc.,
expiring
2/4/2026
*(c)
16,600
3,058
Sizzle
Acquisition
Corp.,
expiring
3/12/2026
(2)*(c)
35,872
4,305
Social
Leverage
Acquisition
Corp.
I,
expiring
12/31/2027
*(c)
20,666
3,100
Software
Acquisition
Group,
Inc.
III,
expiring
12/31/2027
*(c)
92,500
21,275
Southport
Acquisition
Corp.,
expiring
5/24/2028
*(c)
182,986
25,563
Spindletop
Health
Acquisition
Corp.,
expiring
12/31/2028
(2)*(c)
62,776
6,905
SportsMap
Tech
Acquisition
Corp.,
expiring
9/1/2027
*(c)
64,363
10,298
SportsTek
Acquisition
Corp.,
expiring
12/31/2027
*(c)
68,700
2,755
Springwater
Special
Situations
Corp.,
expiring
4/12/2026
*(c)
20,106
5,789
Stratim
Cloud
Acquisition
Corp.,
expiring
3/5/2026
(2)*(c)
148,000
13,320
Sustainable
Development
Acquisition
I
Corp.,
expiring
12/31/2028
*(c)
41,836
3,242
Tailwind
Acquisition
Corp.,
expiring
9/7/2027
*(c)
313,280
31,547
Tastemaker
Acquisition
Corp.,
expiring
12/31/2025
*(c)
72,083
5,702
TCW
Special
Purpose
Acquisition
Corp.,
expiring
12/31/2028
*(c)
136,813
30,099
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Tech
and
Energy
Transition
Corp.,
expiring
12/31/2027
*(c)
123,333
18,500
TG
Venture
Acquisition
Corp.,
expiring
8/13/2023
*(c)
215,235
25,828
Thunder
Bridge
Capital
Partners
III,
Inc.,
expiring
2/15/2028
*(c)
16,818
3,868
Thunder
Bridge
Capital
Partners
IV,
Inc.,
expiring
3/12/2023
*(c)
64,400
17,388
Tishman
Speyer
Innovation
Corp.
II,
expiring
12/31/2027
*(c)
16,633
2,179
TLG
Acquisition
One
Corp.,
expiring
1/25/2028
*(c)
27,727
2,218
Trajectory
Alpha
Acquisition
Corp.,
expiring
12/31/2027
*(c)
54,960
5,903
Tribe
Capital
Growth
Corp.
I,
expiring
3/5/2026
*(c)
63,888
8,625
Tuscan
Holdings
Corp.
II,
expiring
7/16/2025
(2)*(c)
95,000
15,200
Twelve
Seas
Investment
Co.
II,
expiring
3/2/2028
*(c)
32,933
2,635
USHG
Acquisition
Corp.,
expiring
12/31/2028
*(c)
27,533
10,837
VectoIQ
Acquisition
Corp.
II,
expiring
12/31/2027
(2)*(c)
31,400
6,905
Velocity
Acquisition
Corp.,
expiring
2/26/2027
(2)*(c)
27,541
2,757
Viscogliosi
Brothers
Acquisition
Corp.,
expiring
3/18/2027
(3)*(c)(e)
26,480
3,969
Vision
Sensing
Acquisition
Corp.,
expiring
3/24/2023
*(c)
38,412
3,841
VMG
Consumer
Acquisition
Corp.,
expiring
7/3/2023
(2)*(c)
90,393
13,559
VPC
Impact
Acquisition
Holdings
II,
expiring
12/31/2027
(2)*(c)
26,666
5,333
Warburg
Pincus
Capital
Corp.
I-B,
expiring
3/9/2026
*(c)
12,000
3,240
Warrior
Technologies
Acquisition
Co.,
expiring
3/31/2028
*(c)
41,416
2,129
Western
Acquisition
Ventures
Corp.,
expiring
1/12/2027
*(c)
67,539
7,429
Williams
Rowland
Acquisition
Corp.,
expiring
12/25/2022
*(c)
115,833
9,846
Zimmer
Energy
Transition
Acquisition
Corp.,
expiring
5/14/2023
*(c)
160,666
51,413
Z-Work
Acquisition
Corp.,
expiring
1/4/2026
*(c)
27,555
3,858
4,336,204
41
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Consumer
Finance
-
0.0%
(a)
Moneylion
,
Inc.,
expiring
9/22/2026
*
132,375
22,636
Diversified
Consumer
Services
-
0.0%
(a)
OneSpaWorld
Holdings
Ltd.,
expiring
3/19/2024
(Bahamas)
*
168,966
197,690
Diversified
Telecommunication
Services
-
0.0%
(a)
Starry
Group
Holdings,
Inc.,
expiring
9/26/2025
*
7,044
2,905
Electrical
Equipment
-
0.0%
(a)
Eos
Energy
Enterprises,
Inc.,
expiring
5/6/2026
*
112,983
30,935
Fusion
Fuel
Green
plc,
expiring
12/10/2025
(Ireland)
(2)*
15,293
24,316
55,251
Electronic
Equipment,
Instruments
&
Components
-
0.0%
(a)
Arbe
Robotics
Ltd.,
expiring
10/7/2026
(Israel)
*
23,560
17,140
Innoviz
Technologies
Ltd.,
expiring
4/5/2026
(Israel)
*
104,990
184,783
Velodyne
Lidar,
Inc.,
expiring
9/29/2025
*
107,241
52,537
254,460
Energy
Equipment
&
Services
-
0.0%
(a)
National
Energy
Services
Reunited
Corp.,
expiring
6/6/2023
*
309,961
61,527
Health
Care
Providers
&
Services
-
0.1%
DocGo
,
Inc.,
expiring
10/2/2027
*
63,364
105,818
MSP
Recovery,
Inc.,
expiring
2/14/2026
*
253,704
535,315
641,133
Hotels,
Restaurants
&
Leisure
-
0.0%
(a)
Codere
Online
Luxembourg
SA,
expiring
12/30/2026
(Luxembourg)
(2)*
5,122
1,588
Hall
of
Fame
Resort
&
Entertainment
Co.,
expiring
7/1/2025
*
117,959
15,335
16,923
Household
Durables
-
0.0%
(a)
Landsea
Homes
Corp.,
expiring
1/7/2026
*
182,824
38,448
Household
Products
-
0.0%
(a)
Greenrose
Holding
Co.,
Inc.
(The),
expiring
8/11/2026
(2)*
23,556
3,062
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Insurance
-
0.0%
(a)
International
General
Insurance
Holdings
Ltd.,
expiring
3/17/2025
(Jordan)
*
194,013
97,045
Sagicor
Financial
Co.
Ltd.,
expiring
12/5/2024
(Canada)
(3)*(e)
124,500
4,353
101,398
Interactive
Media
&
Services
-
0.0%
(a)
Leafly
Holdings,
Inc.,
expiring
11/7/2026
*
38,977
26,504
Internet
&
Direct
Marketing
Retail
-
0.0%
(a)
BARK,
Inc.,
expiring
8/29/2025
*
171,976
32,675
IT
Services
-
0.1%
American
Virtual
Cloud
Technologies,
Inc.,
expiring
4/7/2025
*(b)
132,403
4,502
Verra
Mobility
Corp.,
expiring
10/17/2023
(2)*
61,433
311,465
315,967
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.0%
(a)
Broadmark
Realty
Capital,
Inc.,
expiring
11/15/2024
*
269,620
20,222
Oil,
Gas
&
Consumable
Fuels
-
0.0%
(a)
Brooge
Energy
Ltd.,
expiring
12/20/2024
(United
Arab
Emirates)
*
83,767
28,481
NextDecade
Corp.,
expiring
7/24/2022
*
546,520
6,176
NextDecade
Corp.,
expiring
7/24/2022
*
493,203
5,573
Sitio
Royalties
Corp.,
expiring
8/23/2023
*
334,620
63,578
103,808
Pharmaceuticals
-
0.0%
(a)
4d
pharma
plc,
expiring
3/9/2026
(United
Kingdom)
(2)*
55,653
2,460
Biote
Corp.,
expiring
2/12/2027
*
8,882
3,816
Reviva
Pharmaceuticals
Holdings,
Inc.,
expiring
12/25/2025
*
55,839
10,057
16,333
Real
Estate
Management
&
Development
-
0.0%
(a)
Doma
Holdings,
Inc.,
expiring
7/28/2026
*
44,068
5,092
Offerpad
Solutions,
Inc.,
expiring
9/1/2026
*
36,475
9,363
14,455
42
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
NO.
OF
WARRANTS
VALUE
($)
Software
-
0.0%
(a)
GTY
Technology
Holdings,
Inc.,
expiring
2/19/2024
(2)*
127,944
81,884
NextNav
,
Inc.,
expiring
10/28/2026
*
61,246
26,336
Otonomo
Technologies
Ltd.,
expiring
8/13/2026
(Israel)
*
256,123
20,490
Rimini
Street,
Inc.,
expiring
10/22/2022
(3)*(e)
268,367
2,683
SoundHound
AI,
Inc.,
expiring
12/31/2027
*
7,031
1,798
133,191
Specialty
Retail
-
0.0%
(a)
Kaixin
Auto
Holdings,
expiring
4/30/2024
(Hong
Kong)
*
40,739
1,507
Technology
Hardware,
Storage
&
Peripherals
-
0.0%
(a)
CompoSecure
,
Inc.,
expiring
10/31/2025
*
123,870
90,425
Transportation
Infrastructure
-
0.0%
(a)
Sky
Harbour
Group
Corp.,
expiring
10/21/2025
*
11,448
5,152
TOTAL
WARRANTS
(Cost
$1,889,298)
6,733,490
NO.
OF
UNITS
SECURITIES
IN
LITIGATION
-
0.0%
Health
Care
Equipment
&
Supplies
-
0.0%
DEMC
Ltd.,
Class
A
(acquired
1/24/2014
-
10/29/2015,
Cost
$129,686)
(3)*(e)(f)
12,969
–
DEMC
Ltd.,
Class
A-2
(acquired
3/10/2016
-
12/18/2018,
Cost
$369,930)
(3)*(e)(f)
368,190,309
–
DEMC
Ltd.,
Class
A-3
(acquired
8/6/2019
-
7/16/2021,
Cost
$293,744)
(3)*(e)(f)
292,030,544,028
–
DEMC
Ltd.,
Class
A-4
(acquired
1/31/2022,
Cost
$4,032)
(3)*(e)(f)
40,321,771,424,070
–
DEMC
Ltd.,
Class
B
(acquired
1/27/2014,
Cost
$11)
(3)*(e)(f)
10,488
–
DEMC
Ltd.,
Class
B-2
(acquired
4/12/2017,
Cost
$–)
(3)*(e)(f)
513,897,326
–
DEMC
Ltd.,
Class
B-3
(acquired
9/5/2019,
Cost
$–)
(3)*(e)(f)
489,352,292,604
–
DEMC
Ltd.,
Class
B-4
(acquired
1/31/2022,
Cost
$–)
(3)*(e)(f)
40,321,771,424,070
–
TOTAL
SECURITIES
IN
LITIGATION
(Cost
$797,403)
–
UNITS
-
0.3%
Capital
Markets
-
0.3%
Ackrell
Spac
Partners
I
Co.
(2)*(c)
1
10
Ackrell
Spac
Partners
I
Co.
*(c)
73,574
757,077
Acri
Capital
Acquisition
Corp.
*(c)
54,996
548,860
Alset
Capital
Acquisition
Corp.
*(c)
1
10
Atlantic
Coastal
Acquisition
Corp.
II
(2)*(c)
1
10
INVESTMENTS
NO.
OF
UNITS
VALUE
($)
Capital
Markets
-
0.3%
(continued)
Banyan
Acquisition
Corp.
(2)*(c)
1
10
byNordic
Acquisition
Corp.
(Sweden)
*(c)
1
10
C5
Acquisition
Corp.
*(c)
1
10
CF
Acquisition
Corp.
VII
(2)*(c)
1
10
Clean
Earth
Acquisitions
Corp.
*(c)
1
10
Feutune
Light
Acquisition
Corp.
*(c)
94,079
940,790
FG
Merger
Corp.
*(c)
1
10
Gores
Holdings
IX,
Inc.
(2)*(c)
1
10
HumanCo
Acquisition
Corp.
(2)*(c)
61,724
609,833
Kimbell
Tiger
Acquisition
Corp.
*(c)
1
10
Larkspur
Health
Acquisition
Corp.
(2)*(c)
2
20
Monterey
Capital
Acquisition
Corp.
*(c)
71,394
711,084
PowerUp
Acquisition
Corp.
*(c)
1
10
Prime
Number
Acquisition
I
Corp.
*(c)
35,700
357,000
Signal
Hill
Acquisition
Corp.
(2)*(c)
1
10
Yotta
Acquisition
Corp.
*(c)
68,693
686,930
TOTAL
UNITS
(Cost
$4,594,932)
4,611,724
SHARES
SHORT-TERM
INVESTMENTS
-
50.8%
INVESTMENT
COMPANIES
-
25.8%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(h)(
i
)
5,646,576
5,646,576
Limited
Purpose
Cash
Investment
Fund,
1.15%
(h)(j)
357,696,038
357,409,881
TOTAL
INVESTMENT
COMPANIES
(Cost
$363,139,649)
363,056,457
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
25.0%
U.S.
Treasury
Bills
0.28%,
7/14/2022
(2)(k)
$
46,101,000
46,083,266
0.38%,
7/28/2022
(2)(k)
12,272,000
12,262,083
0.53%,
8/4/2022
(2)(k)(l)
34,509,000
34,470,460
0.77%,
8/18/2022
(2)(k)(l)
11,143,000
11,123,227
0.87%,
9/22/2022
(2)(k)(l)
60,809,000
60,581,061
1.06%,
9/29/2022
(2)(k)(l)
60,715,000
60,466,068
1.12%,
10/6/2022
(2)(b)(k)(l)
65,284,000
64,977,927
1.23%,
10/13/2022
(2)(k)(l)
20,288,000
20,178,678
1.39%,
11/10/2022
(2)(k)(l)
12,487,000
12,394,616
1.54%,
11/25/2022
(2)(k)(l)
13,336,000
13,225,456
1.59%,
12/1/2022
(2)(k)(l)
14,168,000
14,035,303
1.72%,
12/8/2022
(2)(k)(l)
3,352,000
3,318,365
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$353,611,921)
353,116,510
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$716,751,570)
716,172,967
TOTAL
LONG
POSITIONS
(Cost
$1,483,976,651)
1,420,066,230
43
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT
POSITIONS
-
(4.4)%
COMMON
STOCKS
-
(3.9)%
Aerospace
&
Defense
-
(0.1)%
Virgin
Galactic
Holdings,
Inc.
*
(147,774)
(889,599)
Airlines
–
(
0.0
)
%
(a)
JetBlue
Airways
Corp.
*
(29,512)
(247,015)
Auto
Components
–
(
0.0
)
%
(a)
Luminar
Technologies,
Inc.
*
(41,937)
(248,686)
Automobiles
–
(
0.0
)
%
(a)
Arrival
SA
(Luxembourg)
*
(26,662)
(42,126)
Biotechnology
-
(0.3)%
Inovio
Pharmaceuticals,
Inc.
*
(33,834)
(58,533)
Ironwood
Pharmaceuticals,
Inc.
*
(52,686)
(607,470)
PTC
Therapeutics,
Inc.
*
(85,957)
(3,443,437)
(4,109,440)
Capital
Markets
–
(
0.0
)
%
Penson
Worldwide,
Inc.
(3)*(e)
(212,307)
–
Chemicals
–
(
0.0
)
%
(a)
Danimer
Scientific,
Inc.
*
(74,711)
(340,682)
Communications
Equipment
-
(0.4)%
Infinera
Corp.
*
(233,728)
(1,252,782)
Lumentum
Holdings,
Inc.
*
(52,304)
(4,153,984)
(5,406,766)
Consumer
Finance
-
(0.1)%
EZCORP,
Inc.,
Class
A
*
(109,188)
(820,002)
Diversified
Consumer
Services
–
(
0.0
)
%
(a)
2U,
Inc.
*
(24,310)
(254,526)
Diversified
Telecommunication
Services
-
(0.2)%
Bandwidth,
Inc.,
Class
A
*
(2,036)
(38,318)
TELUS
Corp.
(Canada)
(96,677)
(2,153,301)
(2,191,619)
Electrical
Equipment
-
(0.2)%
Array
Technologies,
Inc.
*
(280,930)
(3,093,039)
Energy
Equipment
&
Services
–
(
0.0
)
%
(a)
Helix
Energy
Solutions
Group,
Inc.
*
(3,216)
(9,970)
Entertainment
–
(
0.0
)
%
(a)
Sea
Ltd.,
ADR
(Singapore)
*
(934)
(62,447)
Health
Care
Equipment
&
Supplies
-
(0.5)%
Cutera
,
Inc.
*
(131,929)
(4,947,338)
Novocure
Ltd.
*
(3,609)
(250,825)
Varex
Imaging
Corp.
*
(97,628)
(2,088,263)
(7,286,426)
Health
Care
Providers
&
Services
–
(
0.0
)
%
(a)
Guardant
Health,
Inc.
*
(11,841)
(477,666)
Health
Care
Technology
–
(
0.0
)
%
(a)
Health
Catalyst,
Inc.
*
(23,767)
(344,384)
INVESTMENTS
SHARES
VALUE
($)
Hotels,
Restaurants
&
Leisure
-
(0.2)%
Airbnb,
Inc.,
Class
A
*
(5,818)
(518,267)
DraftKings
,
Inc.,
Class
A
*
(11,690)
(136,422)
MakeMyTrip
Ltd.
(India)
*
(32,482)
(834,138)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(160,491)
(1,784,660)
(3,273,487)
Household
Durables
–
(
0.0
)
%
(a)
GoPro,
Inc.,
Class
A
*
(59,227)
(327,525)
Interactive
Media
&
Services
-
(0.1)%
Eventbrite,
Inc.,
Class
A
*
(79,548)
(816,958)
Snap,
Inc.,
Class
A
*
(47,152)
(619,106)
(1,436,064)
Internet
&
Direct
Marketing
Retail
-
(0.4)%
Etsy,
Inc.
*
(14,561)
(1,066,011)
Farfetch
Ltd.,
Class
A
(United
Kingdom)
*
(138,771)
(993,600)
Fiverr
International
Ltd.
*
(1,061)
(36,488)
Groupon,
Inc.
*
(4,391)
(49,618)
Porch
Group,
Inc.
*
(2,889)
(7,396)
Xometry
,
Inc.,
Class
A
*
(89,590)
(3,039,789)
(5,192,902)
IT
Services
–
(
0.0
)
%
(a)
Edgio
,
Inc.
*
(11,518)
(26,607)
Fastly
,
Inc.,
Class
A
*
(781)
(9,067)
Shift4
Payments,
Inc.,
Class
A
*
(15,095)
(499,041)
(534,715)
Machinery
-
(0.3)%
Greenbrier
Cos.,
Inc.
(The)
(96,513)
(3,473,503)
Media
-
(0.4)%
Cable
One,
Inc.
(314)
(404,846)
DISH
Network
Corp.,
Class
A
*
(12,661)
(227,012)
Paramount
Global,
Class
A
(104,295)
(2,843,082)
TechTarget
,
Inc.
*
(30,842)
(2,026,936)
(5,501,876)
Metals
&
Mining
–
(
0.0
)
%
(a)
Ivanhoe
Mines
Ltd.,
Class
A
(Canada)
*
(40,116)
(230,935)
Oil,
Gas
&
Consumable
Fuels
-
(0.1)%
Scorpio
Tankers,
Inc.
(Monaco)
(19,617)
(676,983)
Pharmaceuticals
-
(0.3)%
Innoviva
,
Inc.
*
(256,448)
(3,785,173)
Real
Estate
Management
&
Development
-
(0.1)%
Anywhere
Real
Estate,
Inc.
*
(55,916)
(549,654)
Opendoor
Technologies,
Inc.
*
(53,459)
(251,792)
Redfin
Corp.
*
(1,888)
(15,557)
(817,003)
Road
&
Rail
–
(
0.0
)
%
(a)
Lyft,
Inc.,
Class
A
*
(38,389)
(509,806)
44
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets.
(b)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$269,061,879.
In
addition,
$5,477,917
of
cash
collateral
was
pledged.
(c)
Special
Purpose
Acquisition
Company.
(d)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$130,715,293,
which
represents
approximately
9.27%
of
net
assets
of
the
fund.
(e)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
June
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$874,005,
which
represents
approximately
0.06%
of
net
assets
of
the
fund.
(f)
Restricted
securities. 
Securities
acquired
through
a
private
placement
transaction
exempt
from
registration
under
the
Securities
Act
of 1933
and/
or may
be
subject
to
legal
or
contractual
restrictions
on
resale
(excluding
144A
securities). 
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$275,539,
which
represents
approximately
0.02%
of
net
assets
of
the
fund.
(g)
Defaulted
security.
(h)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(i)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(j)
For
the
period
ended
June
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
INVESTMENTS
SHARES
VALUE
($)
Software
-
(0.1)%
Confluent,
Inc.,
Class
A
*
(10,483)
(243,625)
Coupa
Software,
Inc.
*
(1,469)
(83,880)
Five9,
Inc.
*
(6,675)
(608,359)
InterDigital
,
Inc.
(4,664)
(283,571)
Marathon
Digital
Holdings,
Inc.
*
(1,620)
(8,651)
NortonLifeLock
,
Inc.
(18,954)
(416,230)
Splunk
,
Inc.
*
(2,716)
(240,257)
Veritone
,
Inc.
*
(2,488)
(16,247)
(1,900,820)
Technology
Hardware,
Storage
&
Peripherals
-
(0.1)%
3D
Systems
Corp.
*
(61,933)
(600,750)
TOTAL
COMMON
STOCKS
(Proceeds
$(75,117,713))
(54,085,935)
PRINCIPAL
AMOUNT
CONVERTIBLE
BONDS
-
(0.5)%
Hotels,
Restaurants
&
Leisure
-
(0.5)%
Booking
Holdings,
Inc.
0.75%,
5/1/2025
(2)
(Proceeds
$(7,042,010))
$
(6,200,000)
(7,432,560)
TOTAL
SHORT
POSITIONS
(Proceeds
$(82,159,723))
(61,518,495)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
96.4%
(Cost
$1,401,816,928)
1,358,547,735
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
3.6%
(m)
50,868,616
NET
ASSETS
-
100.0%
1,409,416,351
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
50,697,880
3.6
%
Consumer
Discretionary
51,463,697
3.7
Consumer
Staples
17,904,724
1.3
Energy
3,169,228
0.2
Financials
361,720,025
25.7
Health
Care
39,921,662
2.8
Industrials
29,930,671
2.1
Information
Technology
59,640,665
4.2
Materials
10,212,129
0.7
Real
Estate
7,356,305
0.5
Utilities
10,357,782
0.8
Investment
Companies
363,056,457
25.8
U.S.
Treasury
Obligations
353,116,510
25.0
Total
Investments
In
Securities
At
Value
1,358,547,735
96.4
Other
Assets
in
Excess
of
Liabilities
(m)
50,868,616
3.6
Net
Assets
$
1,409,416,351
100.0%
45
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
(k)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(l)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(m)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
6/30/2022
Shares
Held
At
6/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
25.4%
INVESTMENT
COMPANIES
-
25.4%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(a)
(Cost
$357,493,073)
$382,197,517
$718,913,963
$(743,518,171)
$(100,202)
$(83,226)
$357,409,881
357,696,038
$691,157
$84
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
All
bonds
are
denominated
in
US
dollars,
unless
noted
otherwise.
All
securities
are
United
States
companies,
unless
noted
otherwise
in
parentheses.
All
securities
are
Level
1
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(2)
Level
2
security
(See
Note
5).
(3)
Level
3
security
(See
Note
5).
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
June
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Markit
CDX
North
America
High
Yield
Index
Series
38.V2
5.00
%
Quarterly
6/20/2027
5.76
%
USD
87,325,000
$
(2,868,352)
$
5,272,207
$
2,403,855
$
(2,868,352)
$
5,272,207
$
2,403,855
Futures
contracts
outstanding
as
of
June
30,
2022:
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
39
9/2022
USD
$
7,389,525
$
(444,728)
(444,728)
Short
Contracts
S&P
500
E-Mini
Index
(151)
9/2022
USD
(28,610,725)
690,629
U.S.
Treasury
10
Year
Note
(143)
9/2022
USD
(16,925,391)
171,270
U.S.
Treasury
5
Year
Note
(1,191)
9/2022
USD
(133,559,484)
766,748
1,628,647
$
1,183,919
46
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
11,851,624
CAD
15,185,722
CITI
9/21/2022
$
52,443
USD
11,612,587
CAD
14,878,237
JPMC
9/21/2022
52,320
USD
2,114,002
EUR
1,979,571
CITI
9/21/2022
27,590
USD
2,113,996
EUR
1,979,568
JPMC
9/21/2022
27,586
USD
13,445,847
SEK
134,553,962
CITI
9/21/2022
248,037
USD
2,769,232
SEK
27,527,670
JPMC
9/21/2022
69,163
Total
unrealized
appreciation
477,139
CAD
419,013
USD
327,086
CITI
9/21/2022
(1,516)
EUR
1,574,933
USD
1,676,225
CITI
9/21/2022
(16,289)
EUR
1,232,093
USD
1,311,337
JPMC
9/21/2022
(12,745)
USD
5,990,250
CAD
7,724,531
CITI
9/21/2022
(11,646)
USD
3,853,271
CAD
4,959,413
JPMC
9/21/2022
(152)
USD
656,521
EUR
625,633
CITI
9/21/2022
(2,880)
USD
296,731
EUR
282,794
JPMC
9/21/2022
(1,327)
USD
2,344,856
SEK
23,908,936
CITI
9/21/2022
(267)
Total
unrealized
depreciation
(46,822)
Net
unrealized
appreciation
$
430,317
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-32
months
maturity
ranging
from
01/25/2023
-
07/11/2024
$127,855
$14,623
$88,810
$103,433
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
03/16/2027
$1,688,211
$37,410
$(10,067)
$27,343
47
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-57
months
maturity
ranging
from
12/29/2026
-
02/17/2027
$2,595,272
$(326,000)
$81,377
$(244,623)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.05%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
57-61
months
maturity
ranging
from
09/06/2024
-
10/15/2026
$8,143,228
$(2,871,156)
$538,013
$(2,333,143)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Floating
Rate
plus
or
minus
a
specified
spread
(-1.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
40-61
months
maturity
07/03/2023
$146,031
$2,180
$(9,243)
$(7,063)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
fixed
income
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.02%
to
0.07%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
43
months
maturity
06/25/2025
$279,268,186
$(56,638,146)
$8,821,222
$(47,816,924)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Convertible
Bonds
Canada
Canadian
Solar,
Inc.,
2.50%,
10/1/2025
3,450,000
3,697,420
(226,717)
0.5
48
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PRINCIPAL
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Hong
Kong
Seaspan
Corp.,
3.75%,
12/15/2025
5,725,000
5,874,648
(1,123,518)
2.3
United
States
1Life
Healthcare,
Inc.,
3.00%,
6/15/2025
6,925,000
5,691,044
(1,859,566)
3.9
Alteryx
,
Inc.,
1.00%,
8/1/2026
3,610,000
2,872,274
(905,577)
1.9
American
Airlines
Group,
Inc.,
6.50%,
7/1/2025
15,500,000
16,789,298
(5,073,000)
10.6
Artivion
,
Inc.,
4.25%,
7/1/2025
1,950,000
2,115,262
79,400
(0.2)
Bandwidth,
Inc.,
0.50%,
4/1/2028
9,255,000
5,490,465
(2,689,354)
5.6
Blackline,
Inc.,
0.00%,
3/15/2026
9,550,000
7,563,600
(1,485,025)
3.1
Cable
One,
Inc.,
0.00%,
3/15/2026
7,050,000
5,809,200
(1,420,575)
3.0
Ceridian
HCM
Holding,
Inc.,
0.25%,
3/15/2026
7,523,000
5,937,405
(1,449,135)
3.0
Chegg
,
Inc.,
0.00%,
9/1/2026
12,745,000
9,412,182
(5,014,762)
10.5
Coherus
Biosciences,
Inc.,
1.50%,
4/15/2026
7,600,000
4,979,184
(3,844,667)
8.0
Dropbox,
Inc.,
0.00%,
3/1/2028
5,500,000
4,809,062
(1,331,688)
2.8
Dropbox,
Inc.,
0.00%,
3/1/2026
4,395,000
3,957,698
(586,731)
1.2
Exact
Sciences
Corp.,
0.38%,
3/1/2028
11,850,000
8,155,682
(3,120,275)
6.5
Exact
Sciences
Corp.,
0.38%,
3/15/2027
2,650,000
1,934,104
(924,651)
1.9
GEO
Corrections
Holdings,
Inc.,
6.50%,
2/23/2026
8,500,000
8,360,166
41,197
(0.1)
Granite
Point
Mortgage
Trust,
Inc.,
6.38%,
10/1/2023
1,900,000
1,856,586
383,318
(0.8)
Green
Plains,
Inc.,
2.25%,
3/15/2027
5,650,000
6,379,433
(1,323,562)
2.8
Inotiv
,
Inc.,
3.25%,
10/15/2027
4,750,000
2,915,774
(2,604,524)
5.4
Ironwood
Pharmaceuticals,
Inc.,
1.50%,
6/15/2026
5,400,000
5,835,541
(681,044)
1.4
Liberty
TripAdvisor
Holdings,
Inc.,
0.50%,
6/30/2051
2,550,000
1,609,085
(884,249)
1.8
MACOM
Technology
Solutions
Holdings,
Inc.,
0.25%,
3/15/2026
11,950,000
10,405,268
(2,081,574)
4.4
Magnite
,
Inc.,
0.25%,
3/15/2026
7,450,000
5,406,716
(1,074,426)
2.2
MannKind
Corp.,
2.50%,
3/1/2026
3,125,000
3,163,641
(506,650)
1.1
Oak
Street
Health,
Inc.,
0.00%,
3/15/2026
10,250,000
7,236,500
(2,746,283)
5.7
Okta
,
Inc.,
0.38%,
6/15/2026
6,120,000
5,092,843
(139,937)
0.3
Opendoor
Technologies,
Inc.,
0.25%,
8/15/2026
6,750,000
3,838,017
(1,814,765)
3.8
PetIQ
,
Inc.,
4.00%,
6/1/2026
2,975,000
2,844,929
(1,419,799)
3.0
PROS
Holdings,
Inc.,
2.25%,
9/15/2027
5,425,000
4,912,898
(1,893,915)
4.0
Prospect
Capital
Corp.,
6.38%,
3/1/2025
2,443,000
2,548,072
77,691
(0.2)
Redfin
Corp.,
0.00%,
10/15/2025
8,050,000
4,713,053
(3,453,672)
7.2
RingCentral,
Inc.,
0.00%,
3/15/2026
4,475,000
3,360,725
(971,523)
2.0
Splunk
,
Inc.,
1.13%,
6/15/2027
5,725,000
4,725,941
(1,575,421)
3.3
Spotify
USA,
Inc.,
0.00%,
3/15/2026
9,000,000
7,101,000
(1,179,000)
2.5
Stride,
Inc.,
1.13%,
9/1/2027
15,750,000
15,611,952
657,055
(1.4)
Vonage
Holdings
Corp.,
1.75%,
6/1/2024
11,600,000
14,551,439
(998,131)
2.1
Wayfair,
Inc.,
0.63%,
10/1/2025
13,000,000
8,606,701
(5,209,469)
10.9
WisdomTree
Investments,
Inc.,
4.25%,
6/15/2023
4,400,000
4,570,425
223,850
(0.5)
SHARES
Short
Positions
Common
Stocks
Canada
Atlas
Corp.
(210,385)
(2,253,223)
705,943
(1.5)
Canadian
Solar,
Inc.
(60,967)
(1,898,512)
43,743
(0.1)
United
States
American
Airlines
Group,
Inc.
(516,667)
(6,551,338)
1,721,180
(3.6)
Dropbox,
Inc.
(108,649)
(2,280,543)
103,015
(0.2)
Exact
Sciences
Corp.
(41,954)
(1,652,568)
494,877
(1.0)
GEO
Group,
Inc.
(The)
(534,823)
(3,529,832)
476
(0.0)
Green
Plains,
Inc.
(122,201)
(3,320,201)
716,460
(1.5)
Ironwood
Pharmaceuticals,
Inc.
(243,136)
(2,803,358)
148,529
(0.3)
MACOM
Technology
Solutions
Holdings,
Inc.
(60,232)
(2,776,695)
609,167
(1.3)
PROS
Holdings,
Inc.
(69,891)
(1,833,241)
297,022
(0.6)
Stride,
Inc.
(182,282)
(7,435,283)
(745,157)
1.6
49
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
51-61
months
maturity
ranging
from
08/05/2026
-
06/23/2027
$30,350,127
$861,875
$(16,121)
$845,754
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
Kingdom
Brewin
Dolphin
Holdings
plc
154,498
962,921
6,476
0.8
EMIS
Group
plc
64,621
1,466,281
(3,834)
(0.5)
HomeServe
plc
402,917
5,748,319
25,851
3.1
Ideagen
plc
297,900
1,265,592
10,879
1.3
Meggitt
plc
1,326,569
12,751,028
281,292
33.3
Ultra
Electronics
Holdings
plc
105,880
4,462,403
289,019
34.2
United
States
Avast
plc
586,894
3,693,583
252,192
29.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.43%
to
0.03%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/23/2025
-
06/28/2027
$795,395,621
$(11,688,059)
$263,951
$(11,424,108)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Yamana
Gold,
Inc.
1,896,105
8,816,888
(1,648,380)
14.4
China
Atotech
Ltd.
458,352
8,869,111
(2,408,047)
21.1
Israel
Tower
Semiconductor
Ltd.
312,084
14,412,039
(250,026)
2.2
50
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Taiwan
Silicon
Motion
Technology
Corp.,
ADR
204,787
17,140,672
(1,536,827)
13.5
United
States
Activision
Blizzard,
Inc.
304,986
23,746,210
(740,505)
6.5
Alleghany
Corp.
31,026
25,847,761
(90,310)
0.8
American
Campus
Communities,
Inc.
265,796
17,135,868
(79,504)
0.7
Biohaven
Pharmaceutical
Holding
Co.
Ltd.
53,881
7,851,001
236,275
(2.1)
Black
Knight,
Inc.
237,207
15,510,966
(901,093)
7.9
CDK
Global,
Inc.
323,675
17,727,680
99,159
(0.9)
Change
Healthcare,
Inc.
952,733
21,970,023
628,113
(5.5)
Citrix
Systems,
Inc.
166,704
16,198,628
(811,686)
7.1
CMC
Materials,
Inc.
141,786
24,740,239
(1,744,479)
15.3
Coherent,
Inc.
72,711
19,357,122
2,470,378
(21.6)
Cornerstone
Building
Brands,
Inc.
503,757
12,337,009
139,710
(1.2)
Covetrus
,
Inc.
434,365
9,013,074
63,689
(0.6)
Duke
Realty
Corp.
268,746
14,767,593
416,350
(3.6)
First
Horizon
Corp.
1,272,130
27,808,762
(2,163,995)
18.9
Flagstar
Bancorp,
Inc.
336,516
11,929,492
(3,678,737)
32.2
GCP
Applied
Technologies,
Inc.
206,427
6,457,037
(4,322)
0.0
Healthcare
Trust
of
America,
Inc.
578,070
16,133,934
(1,667,465)
14.6
LHC
Group,
Inc.
175,671
27,359,002
(1,881,084)
16.5
Mandiant
Corp.
1,269,682
27,704,461
(164,482)
1.4
ManTech
International
Corp.
74,669
7,127,156
75,353
(0.7)
Meritor,
Inc.
357,775
12,997,966
273,148
(2.4)
MoneyGram
International,
Inc.
1,214,200
12,142,000
(835,004)
7.3
NeoPhotonics
Corp.
448,941
7,061,842
132,982
(1.2)
Nielsen
Holdings
plc
588,130
13,656,379
(2,349,151)
20.6
PNM
Resources,
Inc.
374,371
17,887,446
(189,168)
1.7
PS
Business
Parks,
Inc.
66,146
12,379,224
(5,586)
0.0
Rogers
Corp.
57,781
15,143,822
(462,105)
4.0
Sailpoint
Technologies
Holdings,
Inc.
270,882
16,978,884
(406,854)
3.6
Sanderson
Farms,
Inc.
67,221
14,488,142
2,125,180
(18.6)
Sierra
Oncology,
Inc.
151,562
8,334,394
62,875
(0.6)
South
Jersey
Industries,
Inc.
488,815
16,688,144
39,059
(0.3)
Switch,
Inc.
558,436
18,707,606
15,968
(0.1)
TEGNA,
Inc.
762,469
15,988,975
(1,246,655)
10.9
Tenneco,
Inc.
509,434
8,741,887
(1,060,666)
9.3
Turning
Point
Therapeutics,
Inc.
172,809
13,003,877
132,495
(1.2)
Twitter,
Inc.
268,044
10,022,165
(3,237,370)
28.3
Umpqua
Holdings
Corp.
446,632
7,490,019
(1,216,073)
10.6
VMware,
Inc.
189,758
21,628,617
(1,763,049)
15.4
Welbilt
,
Inc.
993,971
23,666,450
1,362,718
(11.9)
Zendesk
,
Inc.
161,813
11,985,489
(57,583)
0.5
Short
Positions
Common
Stocks
South
Africa
Gold
Fields
Ltd.,
ADR
(1,137,895)
(10,377,602)
546,873
(4.8)
United
States
Broadcom,
Inc.
(22,189)
(10,779,638)
1,116,959
(9.8)
Columbia
Banking
System,
Inc.
(266,103)
(7,623,851)
1,223,293
(10.7)
Healthcare
Realty
Trust,
Inc.
(578,070)
(15,723,504)
(6,734)
0.1
New
York
Community
Bancorp,
Inc.
(1,351,145)
(12,335,954)
3,915,873
(34.3)
Prologis,
Inc.
(127,654)
(15,018,493)
(442,400)
3.9
51
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(0.10%
to
0.11%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
ranging
from
10/16/2025
-
03/12/2027
$188,554,836
$730,382
$(2,041,969)
$(1,311,587)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Accelerate
Acquisition
Corp.
232,414
2,268,361
30,214
(2.3)
Acropolis
Infrastructure
Acquisition
Corp.
420,999
4,071,060
–
0.0
Aequi
Acquisition
Corp.
321,000
3,171,480
12,000
(0.9)
AF
Acquisition
Corp.
278,582
2,713,389
33,430
(2.5)
Atlantic
Coastal
Acquisition
Corp.
404,654
3,957,516
60,698
(4.6)
Big
Sky
Growth
Partners,
Inc.
332,484
3,238,394
11,637
(0.9)
Bilander
Acquisition
Corp.
241,664
2,339,308
14,500
(1.1)
Black
Mountain
Acquisition
Corp.
245,032
2,438,068
7,351
(0.6)
Build
Acquisition
Corp.
305,000
2,973,750
27,450
(2.1)
Concord
Acquisition
Corp.
II
286,392
2,763,683
2,864
(0.2)
Concord
Acquisition
Corp.
III
430,468
4,270,243
–
0.0
Conx
Corp.
175,300
1,731,964
(38,566)
2.9
Conyers
Park
III
Acquisition
Corp.
196,419
1,895,443
(49,105)
3.7
Corner
Growth
Acquisition
Corp.
181,200
1,786,632
(16,308)
1.2
DPCM
Capital,
Inc.
214,298
2,123,693
(60,003)
4.6
East
Resources
Acquisition
Co.
338,000
3,373,240
81,120
(6.2)
EG
Acquisition
Corp.
366,998
3,572,726
1,835
(0.1)
Epiphany
Technology
Acquisition
Corp.
196,248
1,927,155
23,550
(1.8)
Forum
Merger
IV
Corp.
233,634
2,282,604
9,345
(0.7)
FTAC
Zeus
Acquisition
Corp.
255,030
2,522,247
28,053
(2.1)
GigInternational1,
Inc.
299,000
3,007,940
77,740
(5.9)
GO
Acquisition
Corp.
219,598
2,191,588
(48,312)
3.7
Golden
Arrow
Merger
Corp.
382,886
3,744,625
11,487
(0.9)
Graf
Acquisition
Corp.
IV
365,000
3,544,150
(18,250)
1.4
GX
Acquisition
Corp.
II
412,998
4,043,250
53,690
(4.1)
Healthwell
Acquisition
Corp.
I
279,200
2,699,864
19,544
(1.5)
Hennessy
Capital
Investment
Corp.
VI
697,470
6,702,687
6,975
(0.5)
IG
Acquisition
Corp.
265,000
2,623,500
15,900
(1.2)
IRON
SPARK
I,
Inc.
289,000
2,846,650
(23,120)
1.8
Kadem
Sustainable
Impact
Corp.
303,094
2,964,259
48,495
(3.7)
Khosla
Ventures
Acquisition
Co.
III
250,500
2,439,870
(34,120)
2.6
Landcadia
Holdings
IV,
Inc.
329,046
3,221,360
29,614
(2.3)
Lefteris
Acquisition
Corp.
168,297
1,667,823
(48,806)
3.7
Logistics
Innovation
Technologies
Corp.
245,571
2,386,950
17,190
(1.3)
Lux
Health
Tech
Acquisition
Corp.
176,951
1,750,045
(118,557)
9.0
M3-Brigade
Acquisition
II
Corp.
1,225,099
12,018,221
98,008
(7.5)
M3-Brigade
Acquisition
III
Corp.
449,013
4,476,660
26,941
(2.1)
Marblegate
Acquisition
Corp.
1,146,775
11,330,137
51,605
(3.9)
52
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
DIVERSIFIED
ARBITRAGE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Nabors
Energy
Transition
Corp.
254,188
2,541,880
12,709
(1.0)
Osiris
Acquisition
Corp.
408,000
3,973,920
44,880
(3.4)
Pine
Island
Acquisition
Corp.
185,620
1,832,069
(94,666)
7.2
Pine
Technology
Acquisition
Corp.
639,999
6,252,790
73,600
(5.6)
PMV
Consumer
Acquisition
Corp.
200,000
1,984,000
–
0.0
Property
Solutions
Acquisition
Corp.
II
296,400
2,901,756
27,604
(2.1)
PropTech
Investment
Corp.
II
172,977
1,707,283
(10,379)
0.8
Stratim
Cloud
Acquisition
Corp.
444,000
4,337,880
57,720
(4.4)
Tech
and
Energy
Transition
Corp.
367,499
3,594,140
33,075
(2.5)
Thunder
Bridge
Capital
Partners
IV,
Inc.
322,000
3,162,040
32,200
(2.5)
Tribe
Capital
Growth
Corp.
I
255,552
2,499,299
12,778
(1.0)
Williams
Rowland
Acquisition
Corp.
231,666
2,314,343
6,950
(0.5)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BANA
Investment
Companies
$
34,229
$
–
$
34,229
BARC
Cash
–
439,071
439,071
BNPP
Cash
90,650,000
–
90,650,000
CITG
Cash
–
3,578,781
3,578,781
CITI
Cash
(180,477)
–
(180,477)
Investment
Companies
1,457,378
–
1,457,378
GSIN
U.S.
Treasury
Bills
182,124,845
–
182,124,845
JPMC
Investment
Companies
4,154,968
–
4,154,968
JPMS
Cash
–
997,825
997,825
53
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.

AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
(a)
For
the
period
ended
June
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(b)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(c)
Represents
less
than
0.05%
of
net
assets.
INVESTMENTS
SHARES
VALUE
($)
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
78.0%
AQR
Diversified
Arbitrage
Fund,
Class
R6
(a)
1,481,604
17,142,158
AQR
Equity
Market
Neutral
Fund,
Class
R6
(a)
2,882,650
25,713,238
AQR
Macro
Opportunities
Fund,
Class
R6
(a)
1,631,033
17,142,158
AQR
Managed
Futures
Strategy
HV
Fund,
Class
R6
(a)
1,881,686
17,142,158
AQR
Style
Premia
Alternative
Fund,
Class
R6
(a)
2,912,031
25,713,238
TOTAL
ALTERNATIVE
FUNDS
(Cost
$96,657,571)
102,852,950
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund,
Class
R6
(a)
(Cost
$27,538,025)
2,799,634
26,372,551
TOTAL
INVESTMENT
COMPANIES
(Cost
$124,195,596)
129,225,501
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
2.0%
INVESTMENT
COMPANIES
-
2.0%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(b)
(Cost
$2,624,480)
2,625,810
2,623,710
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
100.0%
(Cost
$126,820,076)
131,849,211
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
0.0%
(c)
18,484
NET
ASSETS
-
100.0%
131,867,695
SECTOR
VALUE
%
OF
NET
ASSETS
Equity
Market
Neutral
$
25,713,238
19.5
%
Global
Flex
Allocation
26,372,551
20.0
Global
Macro
17,142,158
13.0
Multi-Strategy
25,713,238
19.5
Relative
Value
Arbitrage
17,142,158
13.0
Systematic
Trend
17,142,158
13.0
Investment
Companies
2,623,710
2.0
Total
Investments
In
Securities
At
Value
131,849,211
100.0
Other
Assets
in
Excess
of
Liabilities
18,484
0.0(c)
Net
Assets
$
131,867,695
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
6/30/2022
Shares
Held
At
6/30/2022
Dividend
Income
Capital
Gain
Distributions
INVESTMENT
COMPANIES
-
98.0%
ALTERNATIVE
FUNDS
-
78.0%
AQR
Diversified
Arbitrage
Fund
$
5,060,167
$
13,608,760
$
(1,064,757)
$
(53,218)
$
(408,794)
$
17,142,158
1,481,604
$
–
$
–
AQR
Equity
Market
Neutral
Fund
5,060,167
20,188,031
(797,058)
(52,482)
1,314,580
25,713,238
2,882,650
–
–
AQR
Macro
Opportunities
Fund
3,719,726
13,303,563
(839,148)
(11,200)
969,217
17,142,158
1,631,033
–
–
AQR
Managed
Futures
Strategy
HV
Fund
3,719,726
12,451,274
(1,652,111)
1,365
2,621,904
17,142,158
1,881,686
–
–
AQR
Style
Premia
Alternative
Fund
4,389,946
21,050,764
(1,169,581)
(115,971)
1,558,080
25,713,238
2,912,031
–
–
(231,506)
6,054,987
102,852,950
–
–
ASSET
ALLOCATION
FUNDS
-
20.0%
AQR
Multi-Asset
Fund
10,891,089
21,368,089
(3,569,075)
(171,787)
(2,145,765)
26,372,551
2,799,634
–
–
TOTAL
$(403,293)
$3,909,222
$129,225,501
$–
$–
All
securities
are
Level
1
with
respect
to
ASC
820
(See
Note
5).
54
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
DIVERSIFYING
STRATEGIES
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
The
Schedule
of
Investments
of
the
affiliated
investment
funds
held
by
the
AQR
Diversifying
Strategies
Fund
can
be
found
within
the
annual/semi-annual
reports
for
the
AQR
Funds
as
well
as
on
Form
N-CSR
and
Form
N-PORT
(Part
F)
which
is
filed
with
the
Securities
and
Exchange
Commission.
55
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
101.2%
COMMON
STOCKS
-
3.7%
Italy
-
3.1%
A2A
SpA
216,908
276,023
Assicurazioni
Generali
SpA
4,794
76,573
Azimut
Holding
SpA
(a)
18,139
315,727
Banco
BPM
SpA
81,028
231,309
Buzzi
Unicem
SpA
25,781
423,180
Davide
Campari-Milano
NV
12,804
135,078
Hera
SpA
87,578
253,778
Italgas
SpA
43,884
256,078
Leonardo
SpA
(a)
89,174
904,743
Pirelli
&
C
SpA
(b)
1,420
5,779
Poste
Italiane
SpA
(b)
27,417
256,527
Prysmian
SpA
(a)
4,400
120,881
UniCredit
SpA
74,608
712,980
Unipol
Gruppo
SpA
160,869
732,756
4,701,412
—
Spain
-
0.0%
(c)
Enagas
SA
(a)
988
21,851
United
States
-
0.6%
Stellantis
NV
72,127
895,438
TOTAL
COMMON
STOCKS
(Cost
$6,111,369)
5,618,701
SHORT-TERM
INVESTMENTS
-
97.5%
INVESTMENT
COMPANIES
-
47.9%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(d)(e)
5,054,450
5,054,450
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(d)
67,349,550
67,295,670
TOTAL
INVESTMENT
COMPANIES
(Cost
$72,356,909)
72,350,120
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
49.6%
U.S.
Treasury
Bills
0.37%,
7/21/2022
(f)
$
2,709,000
2,707,472
0.38%,
7/28/2022
(f)
617,000
616,501
0.49%,
8/4/2022
(f)
2,551,000
2,548,151
0.71%,
8/25/2022
(f)(g)
14,893,000
14,860,350
0.82%,
9/15/2022
(f)(g)
12,625,000
12,582,889
0.87%,
9/22/2022
(f)(g)
2,629,000
2,619,145
1.06%,
9/29/2022
(f)(g)
4,674,000
4,654,837
1.12%,
10/6/2022
(f)(g)
3,603,000
3,586,108
1.23%,
10/13/2022
(f)(g)
605,000
601,740
1.38%,
10/27/2022
(f)(g)
1,664,000
1,653,513
1.42%,
11/3/2022
(f)(g)
2,035,000
2,020,999
1.40%,
11/10/2022
(f)(g)
218,000
216,387
1.50%,
11/17/2022
(f)(g)
13,072,000
12,968,468
1.54%,
11/25/2022
(f)(g)
3,091,000
3,065,378
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
49.6%
(continued)
2.53%,
12/29/2022
(f)
$
10,335,000
10,209,252
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$75,007,672)
74,911,190
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$147,364,581)
147,261,310
TOTAL
LONG
POSITIONS
(Cost
$153,475,950)
152,880,011
SHARES
SHORT
POSITIONS
-
(3.5)%
COMMON
STOCKS
-
(3.5)%
Italy
-
(3.3)%
Amplifon
SpA
(2,639)
(81,135)
Banca
Generali
SpA
(10,858)
(307,423)
Brembo
SpA
(12,585)
(122,710)
DiaSorin
SpA
(2,738)
(360,076)
Enel
SpA
(39,397)
(216,062)
Ferrari
NV
(3,214)
(591,497)
FinecoBank
Banca
Fineco
SpA
(46,348)
(556,017)
Infrastrutture
Wireless
Italiane
SpA
(b)
(25,932)
(263,632)
Interpump
Group
SpA
(3,461)
(132,516)
Intesa
Sanpaolo
SpA
(393,136)
(735,742)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(13,691)
(118,737)
Moncler
SpA
(6,239)
(268,814)
Nexi
SpA
*(b)
(54,514)
(452,708)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(1,686)
(73,525)
Reply
SpA
(102)
(12,408)
Salvatore
Ferragamo
SpA
(707)
(10,922)
Snam
SpA
(17,610)
(92,389)
Telecom
Italia
SpA
*
(123,649)
(32,422)
Terna
-
Rete
Elettrica
Nazionale
(64,315)
(505,660)
(4,934,395)
—
United
Kingdom
-
(0.2)%
CNH
Industrial
NV
(21,430)
(247,846)
United
States
–
(0.0)
%
(c)
Tenaris
SA
(5,247)
(67,393)
TOTAL
COMMON
STOCKS
(Proceeds
$(6,682,402))
(5,249,634)
TOTAL
SHORT
POSITIONS
(Proceeds
$(6,682,402))
(5,249,634)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
97.7%
(Cost
$146,793,548)
147,630,377
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
2.3%
(h)
3,459,765
NET
ASSETS
-
100.0%
151,090,142
56
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(296,054)
(0.2)
%
Consumer
Discretionary
(92,725)
(0.1)
Consumer
Staples
135,078
0.1
Energy
(67,393)
(0.1)
Financials
607,953
0.4
Health
Care
(514,736)
(0.3)
Industrials
645,261
0.4
Information
Technology
(465,117)
(0.3)
Materials
423,180
0.3
Utilities
(6,380)
(0.0
)
(c)
Investment
Companies
72,350,120
47.9
U.S.
Treasury
Obligations
74,911,190
49.6
Total
Investments
In
Securities
At
Value
147,630,377
97.7
Other
Assets
in
Excess
of
Liabilities
(h)
3,459,765
2.3
Net
Assets
$
151,090,142
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$953,290;
additional
securities
sold
but
not
yet
settled
totaling
$487,938
were
also
segregated.
In
addition,
$4,772,179
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$(454,034),
which
represents
approximately
(0.30)%
of
net
assets
of
the
fund.
(c)
Represents
less
than
0.05%
of
net
assets.
(d)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange
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).
57
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CHF
500
USD
518
CITI
9/21/2022
$
9
CHF
500
USD
518
JPMC
9/21/2022
9
EUR
191,000
USD
201,091
CITI
9/21/2022
217
EUR
191,000
USD
201,092
JPMC
9/21/2022
217
USD
115
CAD
147
CITI
9/21/2022
–
USD
115
CAD
147
JPMC
9/21/2022
–
USD
284
DKK
2,000
CITI
9/21/2022
–
USD
284
DKK
2,000
JPMC
9/21/2022
–
USD
289,397
EUR
270,381
CITI
9/21/2022
4,423
USD
289,384
EUR
270,369
JPMC
9/21/2022
4,422
USD
25,549
HKD
200,000
CITI
9/21/2022
3
USD
25,549
HKD
200,000
JPMC
9/21/2022
3
USD
156
NOK
1,502
CITI
9/21/2022
3
USD
155
NOK
1,498
JPMC
9/21/2022
3
Total
unrealized
appreciation
9,309
EUR
1,000
USD
1,079
CITI
9/21/2022
(25)
EUR
1,000
USD
1,079
JPMC
9/21/2022
(25)
SEK
501
USD
50
CITI
9/21/2022
(2)
SEK
499
USD
50
JPMC
9/21/2022
(2)
SGD
193,500
USD
140,086
CITI
9/21/2022
(735)
SGD
193,500
USD
140,086
JPMC
9/21/2022
(736)
USD
30,037
EUR
28,626
CITI
9/21/2022
(134)
USD
30,035
EUR
28,624
JPMC
9/21/2022
(134)
Total
unrealized
depreciation
(1,793)
Net
unrealized
appreciation
$
7,516
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%
to
0.00%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
57
months
maturity
02/25/2027
$24,796
$(1,030)
$(1,471)
$(2,501)
58
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.60%
to
0.23%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
04/23/2025
-
07/01/2027
$14,899,317
$(10,436)
$(15,867)
$(26,303)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
7,553
202,558
(1,438)
5.5
Baloise
Holding
AG
(Registered)
318
52,054
256
(1.0)
Barry
Callebaut
AG
(Registered)
186
416,160
8,174
(31.1)
Belimo
Holding
AG
(Registered)
236
83,091
2,994
(11.4)
Bucher
Industries
AG
(Registered)
1,006
351,142
(10,308)
39.2
DKSH
Holding
AG
5,186
429,108
13,404
(51.0)
dormakaba
Holding
AG
427
186,355
5,652
(21.5)
Galenica
AG
4,890
376,171
36,306
(138.0)
Geberit
AG
(Registered)
265
127,492
(1,781)
6.8
Georg
Fischer
AG
(Registered)
1,717
84,800
(2,120)
8.1
Helvetia
Holding
AG
(Registered)
2,123
249,332
811
(3.1)
Julius
Baer
Group
Ltd.
6,201
287,665
(5,935)
22.6
Kuehne
+
Nagel
International
AG
(Registered)
1,128
268,016
5,586
(21.2)
Novartis
AG
(Registered)
13,482
1,143,012
27,381
(104.1)
OC
Oerlikon
Corp.
AG
(Registered)
25,874
180,643
(7,859)
29.9
Schindler
Holding
AG
329
60,161
212
(0.8)
Stadler
Rail
AG
1,141
37,177
(1,978)
7.5
Sulzer
AG
(Registered)
1,621
101,040
(7,548)
28.7
Swatch
Group
AG
(The)
2,056
488,379
10,265
(39.0)
Swisscom
AG
(Registered)
537
297,026
5,034
(19.1)
Temenos
AG
(Registered)
7,845
671,376
25,652
(97.5)
UBS
Group
AG
(Registered)
2,551
41,241
704
(2.7)
United
States
Roche
Holding
AG
2,040
681,972
32,954
(125.3)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(4,427)
(40,051)
961
(3.7)
Switzerland
Alcon,
Inc.
(3,990)
(279,785)
(9,900)
37.6
Bachem
Holding
AG
(Registered)
(6,326)
(440,923)
28,566
(108.6)
BKW
AG
(396)
(41,431)
295
(1.1)
Chocoladefabriken
Lindt
&
Spruengli
AG
(9)
(91,638)
(5,659)
21.5
Cie
Financiere
Richemont
SA
(1,144)
(123,052)
(4,388)
16.7
Clariant
AG
(Registered)
(18,345)
(349,808)
(5,898)
22.4
59
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Credit
Suisse
Group
AG
(Registered)
(70,671)
(403,379)
18,205
(69.2)
Dufry
AG
(Registered)
(8,833)
(286,631)
3,994
(15.2)
EMS-Chemie
Holding
AG
(Registered)
(367)
(273,893)
(9,817)
37.3
Flughafen
Zurich
AG
(Registered)
(770)
(116,674)
6,652
(25.3)
Givaudan
SA
(Registered)
(327)
(1,152,581)
(87,469)
332.5
Holcim
AG
(4,106)
(176,105)
14,303
(54.4)
Idorsia
Ltd.
(25,559)
(366,146)
5,659
(21.5)
Logitech
International
SA
(Registered)
(13,419)
(699,737)
14,963
(56.9)
Lonza
Group
AG
(Registered)
(52)
(27,775)
(693)
2.6
Partners
Group
Holding
AG
(93)
(83,988)
(696)
2.6
SIG
Group
AG
(31,140)
(687,634)
(59,440)
226.0
Sika
AG
(Registered)
(2,224)
(513,382)
(2,913)
11.1
Sonova
Holding
AG
(Registered)
(422)
(134,863)
(10,383)
39.5
Straumann
Holding
AG
(Registered)
(1,577)
(189,975)
(24,040)
91.4
Swiss
Life
Holding
AG
(Registered)
(310)
(151,332)
8,888
(33.8)
Tecan
Group
AG
(Registered)
(986)
(287,112)
1,098
(4.2)
VAT
Group
AG
(1,206)
(288,423)
2,016
(7.7)
Zurich
Insurance
Group
AG
(393)
(171,377)
(3,210)
12.2
United
States
Nestle
SA
(Registered)
(5,035)
(588,454)
(26,226)
99.7
Swiss
Re
AG
(952)
(73,892)
(257)
1.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.85%
to
0.23%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
04/24/2025
-
06/14/2027
$6,456,274
$3,025
$8,540
$11,565
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
337
791,140
3,252
28.1
Carlsberg
A/S
3,684
470,825
14,010
121.1
Demant
A/S
1,870
70,296
2,938
25.4
DSV
A/S
952
133,868
(1,261)
(10.9)
Genmab
A/S
687
222,894
30,612
264.7
H
Lundbeck
A/S
44,245
214,881
7,605
65.8
H
Lundbeck
A/S
13,471
64,645
1,822
15.8
ISS
A/S
34,850
555,614
(8,250)
(71.3)
Novo
Nordisk
A/S
4,200
465,790
19,657
170.0
Pandora
A/S
8,988
571,030
(17,911)
(154.9)
60
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(10,766)
(105,195)
2,805
24.3
Chr
Hansen
Holding
A/S
(1,847)
(134,827)
(9,057)
(78.3)
Coloplast
A/S
(3,429)
(391,796)
(24,249)
(209.7)
GN
Store
Nord
A/S
(8,173)
(288,320)
(33,079)
(286.0)
Novozymes
A/S
(3,700)
(222,677)
(14,519)
(125.5)
Orsted
A/S
(1,994)
(210,016)
(13,765)
(119.0)
ROCKWOOL
A/S
(195)
(44,272)
827
7.2
Royal
Unibrew
A/S
(1,583)
(140,884)
(3,481)
(30.1)
SimCorp
A/S
(2,434)
(177,932)
(4,750)
(41.1)
Tryg
A/S
(17,248)
(388,596)
(9,981)
(86.3)
Vestas
Wind
Systems
A/S
(37,192)
(790,776)
59,800
517.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.75%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-63
months
maturity
ranging
from
04/23/2025
-
07/01/2027
$25,025,401
$(503,797)
$(449,742)
$(953,539)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Anheuser-Busch
InBev
SA/NV
2,905
156,440
(1,055)
0.1
Etablissements
Franz
Colruyt
NV
6,821
185,492
(6,362)
0.7
Proximus
SADP
30,172
445,334
(39,431)
4.1
Finland
Nokia
OYJ
92,282
427,732
(2,876)
0.3
Nokian
Renkaat
OYJ
44,229
487,825
(36,499)
3.8
Wartsila
OYJ
Abp
19,153
150,136
8,070
(0.8)
Luxembourg
ArcelorMittal
SA
21,478
481,652
(70,455)
7.4
Netherlands
Aalberts
NV
6,879
267,131
(25,122)
2.6
Aegon
NV
184,146
793,049
(38,936)
4.1
ASR
Nederland
NV
15,323
617,777
1,787
(0.2)
Koninklijke
Ahold
Delhaize
NV
22,641
589,323
(4,199)
0.4
NN
Group
NV
13,394
606,653
(22,451)
2.4
OCI
NV
14,551
478,665
465
(0.0)
Randstad
NV
6,647
321,252
(3,119)
0.3
61
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Spain
Acerinox
SA
39,036
379,020
(33,944)
3.6
Banco
Bilbao
Vizcaya
Argentaria
SA
75,186
341,538
1,450
(0.2)
Banco
de
Sabadell
SA
504,464
404,489
(16,811)
1.8
Banco
Santander
SA
201,486
570,088
(817)
0.1
Enagas
SA
18,128
400,929
(1,345)
0.1
Endesa
SA
19,334
365,749
(20,933)
2.2
Industria
de
Diseno
Textil
SA
32,321
734,510
(1,841)
0.2
Mapfre
SA
276,148
488,331
710
(0.1)
Red
Electrica
Corp.
SA
21,792
412,513
(12,596)
1.3
Repsol
SA
78,123
1,151,690
20,521
(2.2)
Telefonica
SA
159,694
815,323
79,313
(8.3)
Short
Positions
Common
Stocks
Belgium
D'ieteren
Group
(1,418)
(208,369)
(4,850)
0.5
China
Prosus
NV
(17,764)
(1,150,284)
(240,343)
25.2
Finland
Huhtamaki
OYJ
(7,404)
(294,541)
(11,026)
1.2
Kone
OYJ
(5,263)
(251,546)
(5,453)
0.6
Neste
OYJ
(7,187)
(319,685)
(1,531)
0.2
UPM-Kymmene
OYJ
(9,396)
(288,112)
11,813
(1.2)
Luxembourg
APERAM
SA
(5,921)
(164,450)
20,771
(2.2)
Netherlands
Adyen
NV
(285)
(411,293)
(40,731)
4.3
Akzo
Nobel
NV
(3,383)
(221,241)
17,777
(1.9)
Argenx
SE
(1,993)
(751,268)
(59,953)
6.3
ASM
International
NV
(2,352)
(585,195)
(8,081)
0.8
IMCD
NV
(1,157)
(158,202)
(6,218)
0.7
Koninklijke
DSM
NV
(2,823)
(404,396)
5,485
(0.6)
Koninklijke
KPN
NV
(95,214)
(338,784)
(4,351)
0.5
Spain
Acciona
SA
(2,341)
(431,349)
1,128
(0.1)
Aena
SME
SA
(1,497)
(191,019)
23,591
(2.5)
Amadeus
IT
Group
SA
(6,649)
(372,305)
(6,495)
0.7
Bankinter
SA
(76,336)
(477,471)
(16,052)
1.7
CaixaBank
SA
(275,585)
(965,113)
22,651
(2.4)
Cellnex
Telecom
SA
(28,244)
(1,099,206)
40,329
(4.2)
Ferrovial
SA
(26,327)
(669,858)
(18,541)
1.9
Fluidra
SA
(12,850)
(261,458)
22,947
(2.4)
Grifols
SA
(7,761)
(147,183)
(2,063)
0.2
Iberdrola
SA
(38,226)
(397,987)
(279)
0.0
Naturgy
Energy
Group
SA
(10,343)
(298,868)
(5,024)
0.5
62
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-62
months
maturity
ranging
from
04/24/2025
-
07/01/2027
$2,915,065
$(88,338)
$(13,181)
$(101,519)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
5,257
220,274
(15,538)
15.3
Norway
Equinor
ASA
22,395
780,363
(17,037)
16.8
Gjensidige
Forsikring
ASA
596
12,132
436
(0.4)
Leroy
Seafood
Group
ASA
28,947
207,262
3,175
(3.1)
Mowi
ASA
1,312
30,002
(1,939)
1.9
Norsk
Hydro
ASA
39,115
221,049
(22,518)
22.2
Orkla
ASA
11,915
95,447
5,254
(5.2)
Telenor
ASA
2,943
39,328
1,053
(1.0)
TOMRA
Systems
ASA
2,533
47,539
2,678
(2.6)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(3,374)
(217,454)
(8,500)
8.4
France
Adevinta
ASA
(43,410)
(319,581)
(30,466)
30.0
Norway
Kongsberg
Gruppen
ASA
(4,256)
(153,068)
(6,243)
6.1
Salmar
ASA
(5,189)
(367,362)
1,938
(1.9)
Schibsted
ASA
(1,735)
(31,341)
(3,510)
3.5
United
Kingdom
Subsea
7
SA
(21,643)
(172,863)
2,879
(2.8)
63
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-2.75%
to
0.23%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
34-61
months
maturity
ranging
from
04/23/2025
-
07/01/2027
$11,931,674
$(44,668)
$8,475
$(36,193)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
15,015
215,191
(5,628)
15.5
Finland
Nordea
Bank
Abp
19,457
171,874
(6,268)
17.3
Sweden
BillerudKorsnas
AB
2,924
34,285
1,085
(3.0)
Boliden
AB
10,945
350,026
(19,480)
53.8
Elekta
AB
61,135
423,694
22,213
(61.4)
Essity
AB
7,594
198,511
3,076
(8.5)
Evolution
AB
578
52,876
694
(1.9)
Getinge
AB
12,225
283,331
22,520
(62.2)
H
&
M
Hennes
&
Mauritz
AB
16,149
193,831
(2,867)
7.9
Hexpol
AB
2,561
21,931
(156)
0.4
Indutrade
AB
855
15,688
(682)
1.9
Saab
AB
12,430
514,010
48,633
(134.4)
Securitas
AB
45,386
392,399
5,522
(15.3)
Skandinaviska
Enskilda
Banken
AB
25,285
249,104
(7,213)
19.9
Skanska
AB
21,833
335,912
(2,538)
7.0
SSAB
AB
159,766
663,864
(40,806)
112.7
Svenska
Handelsbanken
AB
24,702
212,040
(4,148)
11.5
Swedbank
AB
41,746
529,448
(20,486)
56.6
Swedish
Orphan
Biovitrum
AB
2,806
60,947
1,129
(3.1)
Telefonaktiebolaget
LM
Ericsson
130,102
971,734
8,473
(23.4)
Telia
Co.
AB
140,508
539,284
9,953
(27.5)
Trelleborg
AB
1,506
30,470
(2,050)
5.7
Volvo
AB
19,864
309,072
(11,109)
30.7
Short
Positions
Common
Stocks
Sweden
AAK
AB
(19,115)
(311,898)
(19,158)
52.9
Alfa
Laval
AB
(18,993)
(460,430)
6,424
(17.8)
Assa
Abloy
AB
(3,406)
(72,684)
(201)
0.6
Atlas
Copco
AB
(4,837)
(45,275)
468
(1.3)
Axfood
AB
(12,312)
(354,494)
(33,628)
92.9
Beijer
Ref
AB
(18,558)
(254,492)
(6,502)
18.0
Electrolux
AB
(9,418)
(127,208)
(2,368)
6.5
64
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Embracer
Group
AB
(33,239)
(255,312)
9,307
(25.7)
Epiroc
AB
(20,956)
(324,924)
18,339
(50.7)
EQT
AB
(24,265)
(498,720)
12,022
(33.2)
Hexagon
AB
(58,772)
(614,112)
(10,291)
28.4
Holmen
AB
(4,337)
(176,662)
9,499
(26.2)
Husqvarna
AB
(15,273)
(112,575)
1,759
(4.9)
Lifco
AB
(10,008)
(161,615)
1,486
(4.1)
Nibe
Industrier
AB
(73,311)
(552,636)
(48,835)
134.9
Sandvik
AB
(5,735)
(93,464)
7,420
(20.5)
SKF
AB
(22,399)
(332,318)
12,685
(35.0)
Svenska
Cellulosa
AB
SCA
(8,172)
(122,785)
1,676
(4.6)
Sweco
AB
(15,381)
(160,306)
(11,680)
32.3
Tele2
AB
(7,127)
(81,268)
(2,403)
6.6
United
States
Sinch
AB
(14,993)
(48,974)
9,446
(26.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.17%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
07/25/2022
-
08/25/2023
$23,965,766
$196,514
$(671,631)
$(475,117)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
17,479
598,838
10,693
(2.3)
Bank
of
Montreal
2,943
283,005
(1,206)
0.3
Canadian
Natural
Resources
Ltd.
4,553
244,664
(251)
0.1
Canadian
Tire
Corp.
Ltd.
3,479
438,929
(15,406)
3.2
Capital
Power
Corp.
9,193
321,455
(6,856)
1.4
CI
Financial
Corp.
32,087
340,762
(15,197)
3.2
Empire
Co.
Ltd.
10,926
336,557
(1,783)
0.4
Fairfax
Financial
Holdings
Ltd.
1,118
592,439
31,832
(6.7)
Finning
International,
Inc.
13,609
286,411
(3,094)
0.7
iA
Financial
Corp.,
Inc.
6,517
324,129
11,138
(2.3)
Imperial
Oil
Ltd.
10,451
492,671
(13,397)
2.8
Loblaw
Cos.
Ltd.
2,990
269,662
3,520
(0.7)
Magna
International,
Inc.
4,301
236,167
(14,134)
3.0
Manulife
Financial
Corp.
38,909
674,681
5,743
(1.2)
Nutrien
Ltd.
2,975
236,923
(12,249)
2.6
Onex
Corp.
7,879
392,359
(4,811)
1.0
Open
Text
Corp.
7,329
277,229
(10,477)
2.2
65
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Suncor
Energy,
Inc.
16,976
595,584
(10,985)
2.3
Teck
Resources
Ltd.
12,443
380,482
(24,314)
5.1
Toromont
Industries
Ltd.
3,225
260,766
4,192
(0.9)
West
Fraser
Timber
Co.
Ltd.
6,742
517,330
(367)
0.1
Whitecap
Resources,
Inc.
57,602
400,064
(12,657)
2.7
Chile
Lundin
Mining
Corp.
49,234
312,111
(20,254)
4.3
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(8,755)
(315,458)
24,214
(5.1)
Canada
Agnico
Eagle
Mines
Ltd.
(5,530)
(253,129)
21,713
(4.6)
Algonquin
Power
&
Utilities
Corp.
(21,353)
(286,985)
9,694
(2.0)
Ballard
Power
Systems,
Inc.
(72,347)
(456,946)
30,913
(6.5)
BCE,
Inc.
(5,651)
(277,765)
1,141
(0.2)
Boralex,
Inc.
(12,140)
(404,415)
(660)
0.1
Brookfield
Asset
Management,
Inc.
(11,519)
(512,413)
14,676
(3.1)
CAE,
Inc.
(22,053)
(543,444)
1,524
(0.3)
Cameco
Corp.
(16,274)
(342,118)
31,039
(6.5)
Canadian
Pacific
Railway
Ltd.
(6,671)
(465,965)
5,813
(1.2)
Dollarama,
Inc.
(6,417)
(369,506)
8,176
(1.7)
Element
Fleet
Management
Corp.
(28,824)
(300,511)
(1,736)
0.4
Enbridge,
Inc.
(5,549)
(234,341)
(129)
0.0
Franco-Nevada
Corp.
(3,775)
(496,569)
30,940
(6.5)
GFL
Environmental,
Inc.
(10,494)
(270,340)
16,061
(3.4)
Innergex
Renewable
Energy,
Inc.
(17,371)
(233,467)
6,343
(1.3)
Intact
Financial
Corp.
(3,072)
(433,307)
2,792
(0.6)
Metro,
Inc.
(4,959)
(266,173)
(771)
0.2
Restaurant
Brands
International,
Inc.
(5,831)
(292,501)
997
(0.2)
Ritchie
Bros
Auctioneers,
Inc.
(3,847)
(250,300)
(9,773)
2.1
Royal
Bank
of
Canada
(4,379)
(424,020)
442
(0.1)
Saputo,
Inc.
(10,669)
(232,659)
4,322
(0.9)
TC
Energy
Corp.
(8,136)
(421,464)
7,633
(1.6)
TMX
Group
Ltd.
(3,680)
(374,518)
(3,574)
0.8
Toronto-Dominion
Bank
(The)
(5,463)
(358,244)
1,799
(0.4)
United
States
Brookfield
Renewable
Corp.
(10,370)
(369,379)
8,263
(1.7)
BRP,
Inc.
(4,059)
(249,809)
7,342
(1.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.50%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
08/25/2023
-
06/28/2024
$2,741,837
$8,782
$57,935
$66,717
66
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
13,000
37,838
(995)
(1.5)
Yangzijiang
Shipbuilding
Holdings
Ltd.
1,310,916
877,827
9,733
14.6
Singapore
Genting
Singapore
Ltd.
258,719
134,183
(4,553)
(6.8)
Oversea-Chinese
Banking
Corp.
Ltd.
53,500
438,863
(594)
(0.9)
Singapore
Airlines
Ltd.
25,900
95,169
(1,021)
(1.5)
Singapore
Technologies
Engineering
Ltd.
91,794
270,225
1,405
2.1
Singapore
Telecommunications
Ltd.
19,200
34,945
(762)
(1.1)
United
Overseas
Bank
Ltd.
2,600
49,120
(673)
(1.0)
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(45,438)
(266,880)
1,306
2.0
DBS
Group
Holdings
Ltd.
(8,835)
(189,046)
3,069
4.6
Keppel
Corp.
Ltd.
(53,900)
(251,800)
3,093
4.6
UOL
Group
Ltd.
(18,100)
(95,941)
(1,226)
(1.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
RBACR
plus
or
minus
a
specified
spread
(-0.88%
to
0.45%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-24
months
maturity
07/20/2023
$14,513,342
$(66,112)
$(6,887)
$(72,999)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
14,069
104,081
(1,964)
2.7
Ampol
Ltd.
3,806
89,831
4,477
(6.1)
Aristocrat
Leisure
Ltd.
8,465
201,349
9,933
(13.6)
Aurizon
Holdings
Ltd.
208,678
548,830
(11,432)
15.7
Australia
&
New
Zealand
Banking
Group
Ltd.
24,782
377,447
8,639
(11.8)
BHP
Group
Ltd.
21,211
607,348
(15,183)
20.8
BlueScope
Steel
Ltd.
67,839
747,494
13,198
(18.1)
Brambles
Ltd.
27,636
204,349
7,105
(9.7)
67
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Coles
Group
Ltd.
15,518
190,970
10,114
(13.9)
Computershare
Ltd.
5,694
97,101
4,739
(6.5)
Harvey
Norman
Holdings
Ltd.
107,962
276,826
8,791
(12.0)
Incitec
Pivot
Ltd.
178,001
409,634
(3,420)
4.7
JB
Hi-Fi
Ltd.
28,268
751,824
24,615
(33.7)
Origin
Energy
Ltd.
32,578
129,320
365
(0.5)
QBE
Insurance
Group
Ltd.
22,761
191,258
14,921
(20.4)
Santos
Ltd.
37,698
191,136
(8,314)
11.4
Sonic
Healthcare
Ltd.
19,865
452,789
6,606
(9.0)
South32
Ltd.
185,495
502,634
(29,535)
40.5
Suncorp
Group
Ltd.
40,980
312,503
13,233
(18.1)
Telstra
Corp.
Ltd.
145,065
385,840
5,342
(7.3)
Westpac
Banking
Corp.
13,697
184,758
1,955
(2.7)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(20,879)
(149,337)
(7,381)
10.1
APA
Group
(19,225)
(149,720)
(299)
0.4
Cochlear
Ltd.
(968)
(132,899)
(6,630)
9.1
Commonwealth
Bank
of
Australia
(8,135)
(508,247)
(17,202)
23.6
CSL
Ltd.
(1,839)
(341,456)
(16,510)
22.6
Domino's
Pizza
Enterprises
Ltd.
(8,691)
(408,527)
(44,870)
61.5
Evolution
Mining
Ltd.
(90,006)
(147,066)
79,777
(109.3)
IDP
Education
Ltd.
(26,277)
(430,289)
(33,727)
46.2
Insurance
Australia
Group
Ltd.
(69,276)
(208,905)
(10,940)
15.0
Lendlease
Corp.
Ltd.
(55,524)
(349,742)
(214)
0.3
Lynas
Rare
Earths
Ltd.
(65,546)
(396,184)
(2,949)
4.0
Macquarie
Group
Ltd.
(2,209)
(251,508)
(8,003)
11.0
Medibank
Pvt
Ltd.
(64,883)
(145,933)
(8,442)
11.6
Mineral
Resources
Ltd.
(4,293)
(144,084)
7,977
(10.9)
NEXTDC
Ltd.
(14,213)
(104,607)
(6,796)
9.3
Northern
Star
Resources
Ltd.
(38,142)
(178,913)
35,729
(48.9)
Orica
Ltd.
(11,914)
(130,347)
(6,170)
8.5
OZ
Minerals
Ltd.
(19,004)
(233,618)
29,873
(40.9)
Pilbara
Minerals
Ltd.
(121,888)
(193,883)
(15,877)
21.8
Pro
Medicus
Ltd.
(9,863)
(288,233)
(28,168)
38.6
Qantas
Airways
Ltd.
(40,578)
(125,582)
(3,463)
4.7
REA
Group
Ltd.
(1,900)
(146,719)
(21,749)
29.8
Reece
Ltd.
(31,943)
(303,421)
(4,907)
6.7
SEEK
Ltd.
(7,616)
(110,477)
(7,178)
9.8
Transurban
Group
(34,642)
(344,664)
(18,748)
25.7
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(7,448)
(121,297)
(714)
1.0
Wesfarmers
Ltd.
(8,317)
(240,561)
(2,549)
3.5
Woolworths
Group
Ltd.
(7,654)
(188,000)
(13,338)
18.3
Worley
Ltd.
(25,805)
(254,437)
(7,541)
10.3
68
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-2.22%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-24
months
maturity
08/21/2023
$36,234,396
$(489,007)
$(523,596)
$(1,012,603)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Atos
SE
44,701
606,011
(7,572)
0.7
AXA
SA
17,758
405,620
(7,201)
0.7
Cie
de
Saint-Gobain
12,852
555,325
(46,738)
4.6
Dassault
Aviation
SA
2,709
423,045
(6,632)
0.7
Eiffage
SA
5,789
523,673
(13,948)
1.4
Electricite
de
France
SA
68,231
560,439
(15,842)
1.6
Eutelsat
Communications
SA
28,855
325,638
(4,567)
0.5
Ipsen
SA
5,720
541,588
43,391
(4.3)
Orange
SA
54,898
646,895
17,628
(1.7)
Renault
SA
16,077
405,879
940
(0.1)
Rexel
SA
24,025
371,234
(60,216)
5.9
TotalEnergies
SE
7,715
406,094
7,184
(0.7)
Germany
BASF
SE
12,735
557,185
(37,155)
3.7
Bayer
AG
(Registered)
7,089
423,330
(25,113)
2.5
Bayerische
Motoren
Werke
AG
4,990
386,828
(16,250)
1.6
Covestro
AG
16,442
571,338
(44,304)
4.4
Deutsche
Bank
AG
(Registered)
89,345
785,137
(70,028)
6.9
Deutsche
Post
AG
(Registered)
9,924
374,692
8,357
(0.8)
Freenet
AG
14,227
354,796
4,537
(0.4)
GEA
Group
AG
13,181
456,959
(12,367)
1.2
HUGO
BOSS
AG
7,550
399,799
13,929
(1.4)
ProSiebenSat.1
Media
SE
78,214
727,476
(20,700)
2.0
thyssenkrupp
AG
62,394
355,789
(74,706)
7.4
Singapore
STMicroelectronics
NV
13,886
439,146
(22,220)
2.2
Short
Positions
Common
Stocks
France
Aeroports
de
Paris
(3,351)
(427,187)
27,049
(2.7)
Air
Liquide
SA
(6,637)
(893,359)
6,650
(0.7)
Alstom
SA
(18,470)
(421,754)
51,298
(5.1)
Cie
Generale
des
Etablissements
Michelin
SCA
(14,720)
(402,018)
19,917
(2.0)
EssilorLuxottica
SA
(6,452)
(978,205)
(35,772)
3.5
Hermes
International
(315)
(354,510)
(33,054)
3.3
69
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
L'Oreal
SA
(1,617)
(561,431)
(40,108)
4.0
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(924)
(566,299)
(38,863)
3.8
Sartorius
Stedim
Biotech
(1,125)
(354,958)
(15,422)
1.5
Valeo
(16,695)
(325,318)
4,997
(0.5)
Germany
adidas
AG
(4,492)
(797,918)
(15,660)
1.5
Allianz
SE
(Registered)
(2,144)
(411,027)
1,127
(0.1)
Carl
Zeiss
Meditec
AG
(2,762)
(332,074)
(23,406)
2.3
Continental
AG
(7,521)
(527,890)
20,903
(2.1)
Deutsche
Lufthansa
AG
(Registered)
(59,183)
(348,603)
21,642
(2.1)
Deutsche
Telekom
AG
(Registered)
(37,274)
(741,352)
(30,362)
3.0
Fresenius
Medical
Care
AG
&
Co.
KGaA
(10,513)
(526,713)
12,328
(1.2)
Puma
SE
(6,280)
(416,656)
11,012
(1.1)
Rheinmetall
AG
(1,415)
(326,532)
(5,118)
0.5
SAP
SE
(4,251)
(387,481)
9,089
(0.9)
Sartorius
AG
(928)
(325,699)
(23,755)
2.3
Siemens
AG
(Registered)
(4,809)
(494,348)
20,834
(2.1)
Symrise
AG
(3,563)
(388,600)
(24,044)
2.4
Zalando
SE
(14,295)
(376,568)
2,828
(0.3)
South
Korea
Delivery
Hero
SE
(12,223)
(461,123)
(11,011)
1.1
United
States
Schneider
Electric
SE
(9,256)
(1,102,904)
20,142
(2.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-24
months
maturity
07/19/2023
$27,375,653
$(169,170)
$28,622
$(140,548)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
9,944
594,518
(31,149)
22.2
Italy
Coca-Cola
HBC
AG
11,255
250,780
57
(0.0)
Jordan
Hikma
Pharmaceuticals
plc
17,059
336,584
25,822
(18.4)
Netherlands
Shell
plc
38,928
1,013,793
18,564
(13.2)
Nigeria
Airtel
Africa
plc
225,480
374,582
4,600
(3.3)
70
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Africa
Anglo
American
plc
10,117
361,668
(50,221)
35.7
United
Kingdom
abrdn
plc
246,585
481,323
(8,546)
6.1
Associated
British
Foods
plc
32,736
631,660
(10,056)
7.2
Aviva
plc
47,636
233,334
(5,110)
3.6
BAE
Systems
plc
27,754
280,981
10,349
(7.4)
Barclays
plc
314,981
589,001
(9,370)
6.7
Barratt
Developments
plc
87,034
486,839
(13,486)
9.6
BP
plc
76,006
356,886
2,456
(1.7)
British
American
Tobacco
plc
6,013
257,743
6,314
(4.5)
Centrica
plc
761,491
743,625
20,611
(14.7)
Direct
Line
Insurance
Group
plc
82,677
253,772
5,386
(3.8)
Howden
Joinery
Group
plc
45,054
332,113
(1,031)
0.7
Imperial
Brands
plc
32,969
738,101
22,527
(16.0)
Inchcape
plc
28,397
241,318
(6,194)
4.4
InterContinental
Hotels
Group
plc
7,083
376,447
4,213
(3.0)
JD
Sports
Fashion
plc
216,231
304,673
23,233
(16.5)
Kingfisher
plc
106,101
317,081
5,943
(4.2)
Marks
&
Spencer
Group
plc
264,883
439,450
(7,356)
5.2
National
Grid
plc
18,213
234,054
4,920
(3.5)
Persimmon
plc
11,510
261,874
(8,186)
5.8
Royal
Mail
plc
198,994
657,369
(1,143)
0.8
Smiths
Group
plc
15,908
272,041
(6,191)
4.4
Spectris
plc
10,267
340,141
(11,178)
8.0
Travis
Perkins
plc
17,985
213,180
(9,279)
6.6
Vodafone
Group
plc
334,200
519,645
2,982
(2.1)
United
States
GSK
plc
35,755
770,578
37,161
(26.4)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(26,765)
(332,936)
(20,796)
14.8
United
Kingdom
AstraZeneca
plc
(10,402)
(1,372,251)
(105,976)
75.4
AVEVA
Group
plc
(21,622)
(593,579)
46,798
(33.3)
B&M
European
Value
Retail
SA
(81,793)
(366,046)
9,519
(6.8)
BT
Group
plc
(106,452)
(241,940)
(1,818)
1.3
Compass
Group
plc
(21,981)
(451,301)
(2,444)
1.7
ConvaTec
Group
plc
(128,577)
(352,427)
(26,349)
18.7
Croda
International
plc
(3,325)
(262,815)
(23,525)
16.7
Experian
plc
(9,261)
(271,910)
(14,313)
10.2
Halma
plc
(13,076)
(321,044)
(18,852)
13.4
Informa
plc
(66,399)
(428,978)
(2,532)
1.8
Ocado
Group
plc
(36,133)
(344,446)
21,067
(15.0)
Pennon
Group
plc
(28,212)
(328,279)
20,665
(14.7)
Reckitt
Benckiser
Group
plc
(2,801)
(210,670)
(5,476)
3.9
Rentokil
Initial
plc
(55,435)
(321,354)
(20,794)
14.8
Rolls-Royce
Holdings
plc
(222,533)
(226,463)
11,134
(7.9)
Severn
Trent
plc
(18,199)
(604,210)
28,720
(20.4)
St
James's
Place
plc
(23,341)
(314,061)
3,880
(2.8)
Tate
&
Lyle
plc
(23,281)
(213,350)
5,214
(3.7)
71
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-1.13%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
19-24
months
maturity
07/20/2023
$8,711,790
$(167,987)
$(24,509)
$(192,496)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
13,500
53,608
1,049
(0.5)
SITC
International
Holdings
Co.
Ltd.
19,000
54,039
(2,028)
1.1
Xinyi
Glass
Holdings
Ltd.
65,000
156,830
14,795
(7.7)
Hong
Kong
ASM
Pacific
Technology
Ltd.
35,000
297,894
(2,515)
1.3
CK
Asset
Holdings
Ltd.
43,228
307,149
25,088
(13.0)
CLP
Holdings
Ltd.
21,000
174,516
(19,515)
10.1
Henderson
Land
Development
Co.
Ltd.
16,000
60,134
149
(0.1)
HKT
Trust
&
HKT
Ltd.
55,000
73,867
1,813
(0.9)
Man
Wah
Holdings
Ltd.
192,800
208,186
32,752
(17.0)
New
World
Development
Co.
Ltd.
68,250
245,846
3,200
(1.7)
Sino
Land
Co.
Ltd.
172,000
253,988
11,916
(6.2)
Sun
Hung
Kai
Properties
Ltd.
69,500
822,884
19,144
(9.9)
Swire
Pacific
Ltd.
9,500
56,736
2,558
(1.3)
WH
Group
Ltd.
725,000
561,140
41,883
(21.8)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
128,000
868,352
24,568
(12.8)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(122,500)
(367,586)
(51,454)
26.7
Chow
Tai
Fook
Jewellery
Group
Ltd.
(28,600)
(54,022)
(5,401)
2.8
ESR
Group
Ltd.
(174,000)
(471,828)
(7,269)
3.8
Hong
Kong
AIA
Group
Ltd.
(64,200)
(701,486)
(52,270)
27.2
Hang
Lung
Properties
Ltd.
(34,000)
(64,696)
(2,301)
1.2
Hang
Seng
Bank
Ltd.
(15,300)
(271,130)
(2,832)
1.5
Hong
Kong
&
China
Gas
Co.
Ltd.
(6,000)
(6,475)
(19)
0.0
MTR
Corp.
Ltd.
(56,500)
(296,215)
(3,159)
1.6
Power
Assets
Holdings
Ltd.
(29,500)
(185,847)
(2,008)
1.0
Swire
Properties
Ltd.
(12,000)
(29,876)
(1,951)
1.0
Techtronic
Industries
Co.
Ltd.
(50,500)
(527,329)
6,455
(3.4)
Wharf
Real
Estate
Investment
Co.
Ltd.
(141,000)
(673,307)
(78,351)
40.7
72
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Macau
Galaxy
Entertainment
Group
Ltd.
(108,000)
(646,982)
(85,427)
44.4
Sands
China
Ltd.
(7,200)
(17,321)
(3,649)
1.9
SJM
Holdings
Ltd.
(45,000)
(20,458)
(2,336)
1.2
Wynn
Macau
Ltd.
(267,200)
(182,063)
(30,872)
16.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-1.13%
to
0.28%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-24
months
maturity
07/20/2023
$129,232,927
$(2,040,211)
$110,727
$(1,929,484)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Amada
Co.
Ltd.
109,700
808,742
(12,675)
0.7
Dai-ichi
Life
Holdings,
Inc.
42,000
776,806
(13,421)
0.7
Iida
Group
Holdings
Co.
Ltd.
66,000
1,013,256
40,591
(2.1)
Japan
Post
Insurance
Co.
Ltd.
59,100
945,878
(14,599)
0.8
Japan
Tobacco,
Inc.
52,200
904,563
(14,939)
0.8
Kyushu
Electric
Power
Co.,
Inc.
121,100
778,609
33,337
(1.7)
Lawson,
Inc.
25,100
835,345
32,982
(1.7)
Mazda
Motor
Corp.
163,300
1,332,934
(3,378)
0.2
Mitsubishi
HC
Capital,
Inc.
182,800
843,691
2,983
(0.2)
Mizuho
Financial
Group,
Inc.
232,530
2,647,335
29,500
(1.5)
NGK
Insulators
Ltd.
57,100
769,279
(1,972)
0.1
NGK
Spark
Plug
Co.
Ltd.
53,500
970,466
(29,461)
1.5
NIPPON
EXPRESS
HOLDINGS,
Inc.
14,700
800,755
(984)
0.1
Nippon
Steel
Corp.
61,200
856,501
(28,082)
1.5
Ricoh
Co.
Ltd.
101,700
793,988
(13,809)
0.7
SCREEN
Holdings
Co.
Ltd.
15,100
1,024,571
(81,402)
4.2
Seiko
Epson
Corp.
51,500
728,570
(61,204)
3.2
Shimamura
Co.
Ltd.
12,700
1,115,888
58,179
(3.0)
Sohgo
Security
Services
Co.
Ltd.
31,500
874,715
24,682
(1.3)
Taisei
Corp.
28,575
890,968
39,067
(2.0)
Tosoh
Corp.
73,400
913,003
(36,715)
1.9
Yamada
Holdings
Co.
Ltd.
246,300
885,731
41,454
(2.1)
73
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(57,400)
(997,045)
(52,066)
2.7
ANA
Holdings,
Inc.
(39,800)
(735,172)
(24,115)
1.2
Asahi
Intecc
Co.
Ltd.
(50,900)
(770,671)
(102,535)
5.3
Daiichi
Sankyo
Co.
Ltd.
(33,000)
(839,272)
(92,740)
4.8
Daikin
Industries
Ltd.
(7,900)
(1,268,417)
(117,594)
6.1
Denso
Corp.
(24,100)
(1,272,058)
17,314
(0.9)
Fast
Retailing
Co.
Ltd.
(1,600)
(840,443)
(32,896)
1.7
JSR
Corp.
(58,000)
(1,507,199)
(12,631)
0.7
Keyence
Corp.
(2,600)
(891,639)
(7,361)
0.4
Kikkoman
Corp.
(16,000)
(851,470)
(67,272)
3.5
Kobe
Bussan
Co.
Ltd.
(38,400)
(943,912)
(41,988)
2.2
Kubota
Corp.
(54,600)
(818,241)
19,592
(1.0)
Kurita
Water
Industries
Ltd.
(20,500)
(742,067)
(5,269)
0.3
Lasertec
Corp.
(9,500)
(1,131,485)
(30,845)
1.6
Mercari,
Inc.
(49,500)
(721,967)
(19,671)
1.0
Mitsubishi
UFJ
Financial
Group,
Inc.
(201,400)
(1,077,501)
7,726
(0.4)
MonotaRO
Co.
Ltd.
(72,700)
(1,084,226)
(132,450)
6.9
Nidec
Corp.
(18,800)
(1,164,977)
(45,402)
2.4
Nippon
Paint
Holdings
Co.
Ltd.
(151,100)
(1,130,559)
(128,218)
6.6
Nomura
Research
Institute
Ltd.
(35,400)
(950,014)
16,536
(0.9)
Oriental
Land
Co.
Ltd.
(7,100)
(991,529)
(47,252)
2.4
Pan
Pacific
International
Holdings
Corp.
(58,600)
(934,274)
(98,433)
5.1
Sekisui
House
Ltd.
(53,900)
(946,234)
(24,098)
1.2
Sony
Group
Corp.
(14,500)
(1,182,573)
16,856
(0.9)
Tokio
Marine
Holdings,
Inc.
(13,800)
(804,705)
(47,068)
2.4
Toyota
Motor
Corp.
(103,300)
(1,593,847)
(20,064)
1.0
Unicharm
Corp.
(28,300)
(949,670)
(50,726)
2.6
Yaskawa
Electric
Corp.
(25,400)
(820,373)
(16,606)
0.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-32.53%
to
0.33%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
1-12
months
maturity
07/20/2022
$324,367,912
$(2,095,372)
$(108,715)
$(2,204,087)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
74
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Alaska
Air
Group,
Inc.
29,086
1,164,894
(9,731)
0.4
American
International
Group,
Inc.
15,871
811,484
(3,388)
0.2
Arrow
Electronics,
Inc.
10,092
1,131,212
39,573
(1.8)
Cisco
Systems,
Inc.
26,540
1,131,666
(18,279)
0.8
Citigroup,
Inc.
27,921
1,284,087
(14,798)
0.7
Coca-Cola
Co.
(The)
13,361
840,541
30,578
(1.4)
CVS
Health
Corp.
12,526
1,160,659
37,685
(1.7)
Douglas
Emmett,
Inc.
37,517
839,630
(11,146)
0.5
Expedia
Group,
Inc.
9,347
886,376
(37,713)
1.7
General
Dynamics
Corp.
4,403
974,164
50,502
(2.3)
Gilead
Sciences,
Inc.
17,159
1,060,598
42,104
(1.9)
Intel
Corp.
23,950
895,970
10,538
(0.5)
Kraft
Heinz
Co.
(The)
30,053
1,146,221
54,637
(2.5)
Lennar
Corp.
12,081
852,556
71,761
(3.3)
Lockheed
Martin
Corp.
2,630
1,130,795
51,352
(2.3)
LyondellBasell
Industries
NV
10,979
960,223
(22,456)
1.0
ManpowerGroup,
Inc.
14,918
1,139,884
6,612
(0.3)
Meta
Platforms,
Inc.
10,517
1,695,866
(25,095)
1.1
Owens
Corning
12,612
937,198
(18,934)
0.9
Pfizer,
Inc.
15,751
825,825
92,932
(4.2)
Tractor
Supply
Co.
5,894
1,142,552
8,660
(0.4)
Tyson
Foods,
Inc.
15,642
1,346,151
46,770
(2.1)
Ulta
Beauty,
Inc.
3,748
1,444,779
(34,294)
1.6
Vail
Resorts,
Inc.
3,820
832,951
(22,333)
1.0
Vishay
Intertechnology,
Inc.
57,967
1,032,972
525
(0.0)
Walmart,
Inc.
7,231
879,145
18,336
(0.8)
Wells
Fargo
&
Co.
26,392
1,033,775
10,586
(0.5)
Westrock
Co.
25,536
1,017,354
(25,778)
1.2
Short
Positions
Common
Stocks
United
States
American
Airlines
Group,
Inc.
(69,328)
(879,079)
17,694
(0.8)
American
Tower
Corp.
(3,517)
(898,910)
(68,300)
3.1
Apple,
Inc.
(6,198)
(847,391)
(31,982)
1.5
Clorox
Co.
(The)
(9,693)
(1,366,519)
(155,665)
7.1
Commerce
Bancshares,
Inc.
(14,576)
(956,914)
(25,800)
1.2
Constellation
Brands,
Inc.
(4,572)
(1,065,550)
(2,330)
0.1
Dominion
Energy,
Inc.
(13,010)
(1,038,328)
(83,263)
3.8
First
Financial
Bankshares,
Inc.
(25,578)
(1,004,448)
(25,457)
1.2
Floor
&
Decor
Holdings,
Inc.
(13,145)
(827,609)
27,192
(1.2)
Honeywell
International,
Inc.
(8,600)
(1,494,766)
35,083
(1.6)
Hormel
Foods
Corp.
(24,072)
(1,140,050)
(64,185)
2.9
Insulet
Corp.
(4,013)
(874,593)
(67,420)
3.1
International
Business
Machines
Corp.
(6,291)
(888,226)
(27,184)
1.2
Lowe's
Cos.,
Inc.
(5,203)
(908,808)
(11,447)
0.5
M&T
Bank
Corp.
(8,040)
(1,281,496)
24,113
(1.1)
McCormick
&
Co.,
Inc.
(Non-Voting)
(18,361)
(1,528,553)
(4,384)
0.2
NextEra
Energy,
Inc.
(10,982)
(850,666)
(71,056)
3.2
Principal
Financial
Group,
Inc.
(15,359)
(1,025,828)
(35,352)
1.6
Progressive
Corp.
(The)
(10,144)
(1,179,443)
(68,066)
3.1
Realty
Income
Corp.
(20,165)
(1,376,463)
(59,132)
2.7
SVB
Financial
Group
(2,641)
(1,043,169)
12,059
(0.5)
75
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
EQUITY
MARKET
NEUTRAL
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Welltower,
Inc.
(16,453)
(1,354,905)
(77,328)
3.5
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
CITI
Investment
Companies
$
174,119
$
–
$
174,119
JPMC
Investment
Companies
4,880,331
–
4,880,331
MLIN
Cash
520,000
–
520,000
MSIP
Cash
(5,220)
–
(5,220)
U.S.
Treasury
Bills
38,099,546
–
38,099,546
76
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
7
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
93.4%
INVESTMENT
COMPANIES
-
28.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(a)(b)
7,780,102
7,780,102
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
163,674,215
163,543,275
TOTAL
INVESTMENT
COMPANIES
(Cost
$171,339,233)
171,323,377
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
64.7%
U.S.
Treasury
Bills
0.28%,
7/14/2022
(c)
$
15,982,000
15,975,852
0.37%,
7/21/2022
(c)
30,202,000
30,184,969
0.52%,
8/4/2022
(c)
42,732,000
42,684,276
0.77%,
8/18/2022
(c)
2,368,000
2,363,798
0.71%,
8/25/2022
(c)
19,922,000
19,878,324
0.67%,
9/1/2022
(c)
5,398,000
5,383,846
0.70%,
9/8/2022
(c)
3,054,000
3,044,978
0.82%,
9/15/2022
(c)(d)
12,583,000
12,541,029
0.87%,
9/22/2022
(c)
6,980,000
6,953,836
1.12%,
10/6/2022
(c)(d)
8,184,000
8,145,631
1.26%,
10/20/2022
(c)
407,000
404,545
1.38%,
10/27/2022
(c)(d)
45,125,000
44,840,607
1.42%,
11/3/2022
(c)(d)
11,014,000
10,938,221
1.39%,
11/10/2022
(c)(d)
9,395,000
9,325,492
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
64.7%
(continued)
1.50%,
11/17/2022
(c)(d)
$
34,777,000
34,501,563
1.54%,
11/25/2022
(c)(d)
35,094,000
34,803,100
1.59%,
12/1/2022
(c)(d)
44,794,000
44,374,462
1.72%,
12/8/2022
(c)(d)
21,209,000
20,996,180
2.42%,
12/22/2022
(c)(d)
8,483,000
8,384,387
2.53%,
12/29/2022
(c)
29,764,000
29,401,855
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$385,684,501)
385,126,951
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$557,023,734)
556,450,328
TOTAL
INVESTMEN
TS
IN
SECURITIES
AT
VALUE
-
93.4%
(Cost
$557,023,734)
556,450,328
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
6.6%
(e)
39,474,208
NET
ASSETS
-
100.0%
595,924,536
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
171,323,377
28.7
U.S.
Treasury
Obligations
385,126,951
64.7
Total
Investments
In
Securities
At
Value
$
556,450,328
93.4
Other
Assets
in
Excess
of
Liabilities
(e)
39,474,208
6.6
Net
Assets
$
595,924,536
100.0%
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Hong
Kong
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
HIBOR
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
HKD
2,173,362
$
1,261
1,261
77
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
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
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
07/28/2022
HKD
4,348,800
$
(2,101)
Hang
Seng
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
JPMC
07/28/2022
HKD
4,348,800
(780)
Swiss
Market
Index
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
09/16/2022
CHF
7,160,290
(97,308)
MSCI
Australia
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BBR
plus
or
minus
a
specified
spread
(0.00%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
AUD
2,465,394
(104,087)
MSCI
Canada
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
BA
plus
or
minus
a
specified
spread
(-1.00%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
CAD
1,361,677
(82,974)
MSCI
France
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
EUR
761,917
(52,955)
MSCI
Germany
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.10%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
EUR
458,599
(48,122)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
EUR
162,627
(16,327)
78
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Japan
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TONAR
plus
or
minus
a
specified
spread
(0.00%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
JPY
1,016,993,949
$
(407,681)
MSCI
Netherlands
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.05%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
EUR
1,537,751
(106,123)
MSCI
Singapore
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SORA
plus
or
minus
a
specified
spread
(0.30%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
SGD
175,841
(6,697)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
EUR
1,065,844
(69,324)
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(-0.10%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
SEK
8,712,505
(84,595)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(-0.15%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
CHF
1,244,086
(58,223)
79
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.20%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
GBP
777,091
$
(36,010)
(1,173,307)
$
(1,172,046)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
18
7/2022
EUR
$
2,486,043
$
(14,213)
CAC
40
10
Euro
Index
69
7/2022
EUR
4,276,328
(58,192)
Hang
Seng
Index
3
7/2022
HKD
415,660
(4,482)
IBEX
35
Index
31
7/2022
EUR
2,611,781
(37,012)
MSCI
Singapore
Index
45
7/2022
SGD
908,713
(26,122)
OMXS30
Index
109
7/2022
SEK
1,993,055
(64,742)
DAX
Index
7
9/2022
EUR
2,342,090
(97,219)
FTSE
100
Index
65
9/2022
GBP
5,634,456
(28,529)
FTSE/MIB
Index
7
9/2022
EUR
777,872
(27,828)
S&P
500
E-Mini
Index
671
9/2022
USD
127,137,724
(6,307,453)
S&P/TSX
60
Index
40
9/2022
CAD
7,100,683
(385,779)
SPI
200
Index
22
9/2022
AUD
2,452,838
(40,960)
TOPIX
Index
34
9/2022
JPY
4,687,279
(126,512)
$
(7,219,043)
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
479,044
USD
372,193
CITI
9/21/2022
$
20
CAD
479,044
USD
372,193
JPMC
9/21/2022
20
CHF
4,190,293
USD
4,349,633
CITI
9/21/2022
65,054
CHF
4,190,289
USD
4,349,635
JPMC
9/21/2022
65,047
EUR
1,234,367
USD
1,295,936
CITI
9/21/2022
5,053
EUR
1,234,366
USD
1,295,937
JPMC
9/21/2022
5,051
USD
282,961
CAD
356,500
CITI
9/21/2022
5,964
USD
282,961
CAD
356,500
JPMC
9/21/2022
5,963
USD
144,328
DKK
998,500
CITI
9/21/2022
2,814
USD
144,328
DKK
998,500
JPMC
9/21/2022
2,813
USD
42,156
HKD
330,000
CITI
9/21/2022
5
USD
42,156
HKD
330,000
JPMC
9/21/2022
5
USD
16,953
NOK
160,500
CITI
9/21/2022
629
USD
16,953
NOK
160,500
JPMC
9/21/2022
629
USD
5,817
NZD
9,000
CITI
9/21/2022
201
USD
5,817
NZD
9,000
JPMC
9/21/2022
201
80
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
73,004
SEK
717,621
CITI
9/21/2022
$
2,615
USD
73,003
SEK
717,618
JPMC
9/21/2022
2,615
USD
58,448
SGD
80,500
CITI
9/21/2022
475
USD
58,448
SGD
80,500
JPMC
9/21/2022
475
Total
unrealized
appreciation
165,649
AUD
4,791,501
USD
3,388,000
CITI
9/21/2022
(78,450)
AUD
4,791,499
USD
3,388,003
JPMC
9/21/2022
(78,454)
CAD
7,102,666
USD
5,560,528
CITI
9/21/2022
(41,816)
CAD
7,102,656
USD
5,560,828
JPMC
9/21/2022
(42,123)
DKK
9,002,722
USD
1,285,488
CITI
9/21/2022
(9,559)
DKK
9,002,721
USD
1,285,490
JPMC
9/21/2022
(9,561)
EUR
11,345,078
USD
12,134,356
CITI
9/21/2022
(176,959)
EUR
11,345,069
USD
12,134,362
JPMC
9/21/2022
(176,971)
GBP
5,314,502
USD
6,666,746
CITI
9/21/2022
(187,399)
GBP
5,314,499
USD
6,666,750
JPMC
9/21/2022
(187,406)
HKD
10,066,000
USD
1,285,898
CITI
9/21/2022
(146)
HKD
10,066,000
USD
1,285,900
JPMC
9/21/2022
(147)
ILS
1,004,502
USD
301,961
CITI
9/21/2022
(12,720)
ILS
1,004,498
USD
301,960
JPMC
9/21/2022
(12,720)
JPY
1,210,869,503
USD
9,524,909
CITI
9/21/2022
(549,836)
JPY
1,210,869,498
USD
9,524,921
JPMC
9/21/2022
(549,854)
NOK
3,337,758
USD
347,987
CITI
9/21/2022
(8,512)
NOK
3,337,757
USD
347,987
JPMC
9/21/2022
(8,512)
NZD
126,000
USD
80,522
CITI
9/21/2022
(1,900)
NZD
125,999
USD
80,521
JPMC
9/21/2022
(1,900)
SEK
15,714,501
USD
1,590,821
CITI
9/21/2022
(49,454)
SEK
15,714,500
USD
1,590,823
JPMC
9/21/2022
(49,456)
SGD
2,924,359
USD
2,128,220
CITI
9/21/2022
(22,234)
SGD
2,924,356
USD
2,128,220
JPMC
9/21/2022
(22,236)
USD
76,888
CHF
74,500
CITI
9/21/2022
(1,602)
USD
76,888
CHF
74,500
JPMC
9/21/2022
(1,602)
Total
unrealized
depreciation
(2,281,529)
Net
unrealized
depreciation
$
(2,115,880)
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-0.20%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
09/26/2022
-
08/25/2023
$142,538,524
$(381,854)
$(4,771,104)
$(5,152,958)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
81
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
AT&T,
Inc.
108,996
2,284,556
18,067
(0.4)
Berry
Global
Group,
Inc.
24,486
1,337,915
(65,867)
1.3
BJ's
Wholesale
Club
Holdings,
Inc.
30,457
1,898,080
(83,684)
1.6
Celanese
Corp.
11,238
1,321,701
(68,591)
1.3
CF
Industries
Holdings,
Inc.
26,227
2,248,441
(28,587)
0.6
Dow,
Inc.
35,959
1,855,844
(19,913)
0.4
Eagle
Materials,
Inc.
15,944
1,752,883
(22,807)
0.4
Greif,
Inc.
23,197
1,447,029
(73,071)
1.4
Huntsman
Corp.
51,520
1,460,592
(16,537)
0.3
International
Paper
Co.
50,029
2,092,713
(49,028)
1.0
Kroger
Co.
(The)
53,149
2,515,542
(67,412)
1.3
Lennar
Corp.
46,379
3,272,966
(65,858)
1.3
LyondellBasell
Industries
NV
44,299
3,874,391
(31,196)
0.6
Mattel,
Inc.
100,174
2,236,885
(119,218)
2.3
Mosaic
Co.
(The)
51,788
2,445,947
(76,833)
1.5
Olin
Corp.
42,711
1,976,665
(39,314)
0.8
Packaging
Corp.
of
America
11,249
1,546,738
(25,065)
0.5
Ralph
Lauren
Corp.
17,068
1,530,146
(77,489)
1.5
Reliance
Steel
&
Aluminum
Co.
8,259
1,402,874
(31,170)
0.6
Skechers
USA,
Inc.
36,921
1,313,649
(94,997)
1.8
Tapestry,
Inc.
67,550
2,061,626
(137,127)
2.7
Toll
Brothers,
Inc.
53,214
2,373,344
(40,784)
0.8
Walmart,
Inc.
33,759
4,104,419
(75,862)
1.5
Westrock
Co.
102,067
4,066,349
(97,241)
1.9
Short
Positions
Common
Stocks
United
Kingdom
Linde
plc
(4,529)
(1,302,223)
38,814
(0.8)
United
States
Air
Products
and
Chemicals,
Inc.
(10,448)
(2,512,535)
43,598
(0.8)
Albemarle
Corp.
(7,302)
(1,525,972)
128,807
(2.5)
Amcor
plc
(151,818)
(1,887,098)
(9,109)
0.2
AptarGroup,
Inc.
(13,026)
(1,344,413)
4,689
(0.1)
Avery
Dennison
Corp.
(8,417)
(1,362,460)
31,882
(0.6)
Ball
Corp.
(37,590)
(2,585,064)
63,967
(1.2)
Cabot
Corp.
(21,554)
(1,374,930)
36,828
(0.7)
Carter's,
Inc.
(25,265)
(1,780,677)
62,321
(1.2)
Costco
Wholesale
Corp.
(3,536)
(1,694,734)
2,874
(0.1)
Ecolab,
Inc.
(8,853)
(1,361,237)
27,887
(0.5)
Graphic
Packaging
Holding
Co.
(139,890)
(2,867,745)
51,759
(1.0)
Grocery
Outlet
Holding
Corp.
(50,007)
(2,131,798)
36,505
(0.7)
Hanesbrands,
Inc.
(176,912)
(1,820,424)
65,873
(1.3)
Helen
of
Troy
Ltd.
(17,501)
(2,842,337)
24,415
(0.5)
International
Flavors
&
Fragrances,
Inc.
(16,839)
(2,005,862)
(3,486)
0.1
Iridium
Communications,
Inc.
(37,696)
(1,415,862)
10,178
(0.2)
Newmont
Corp.
(23,833)
(1,422,115)
93,980
(1.8)
Peloton
Interactive,
Inc.
(221,410)
(2,032,544)
328,632
(6.4)
RPM
International,
Inc.
(27,394)
(2,156,456)
64,527
(1.3)
Scotts
Miracle-Gro
Co.
(The)
(31,729)
(2,506,274)
83,695
(1.6)
Sherwin-Williams
Co.
(The)
(11,576)
(2,591,982)
37,622
(0.7)
Sysco
Corp.
(31,145)
(2,638,293)
43,292
(0.8)
T-Mobile
US,
Inc.
(10,622)
(1,429,084)
21,244
(0.4)
TopBuild
Corp.
(17,818)
(2,978,457)
54,523
(1.1)
82
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Vulcan
Materials
Co.
(12,408)
(1,763,177)
36,467
(0.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.08%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$65,737,784
$(251,999)
$(90,105)
$(342,104)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
36,715
873,304
43,083
(12.6)
Aurizon
Holdings
Ltd.
884,369
2,325,918
(48,380)
14.1
Australia
&
New
Zealand
Banking
Group
Ltd.
132,488
2,017,886
60,052
(17.6)
BHP
Group
Ltd.
90,978
2,605,029
(65,123)
19.0
BlueScope
Steel
Ltd.
275,460
3,035,197
54,010
(15.8)
Brambles
Ltd.
112,590
832,524
28,948
(8.5)
Coles
Group
Ltd.
80,539
991,141
55,114
(16.1)
Computershare
Ltd.
32,090
547,236
26,708
(7.8)
Harvey
Norman
Holdings
Ltd.
481,372
1,234,291
42,274
(12.4)
Incitec
Pivot
Ltd.
719,336
1,655,411
(12,902)
3.8
JB
Hi-Fi
Ltd.
116,304
3,093,254
102,855
(30.1)
Origin
Energy
Ltd.
156,021
619,334
5,605
(1.6)
QBE
Insurance
Group
Ltd.
97,020
815,247
61,782
(18.1)
Santos
Ltd.
178,667
905,874
(37,179)
10.9
Sonic
Healthcare
Ltd.
90,547
2,063,864
30,111
(8.8)
South32
Ltd.
757,968
2,053,859
(121,471)
35.5
Suncorp
Group
Ltd.
171,641
1,308,891
55,423
(16.2)
Telstra
Corp.
Ltd.
724,243
1,926,323
26,670
(7.8)
Westpac
Banking
Corp.
55,169
744,170
8,289
(2.4)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(82,700)
(591,511)
(29,237)
8.5
Alumina
Ltd.
(421,727)
(427,496)
18,338
(5.4)
APA
Group
(93,465)
(727,884)
(1,454)
0.4
Cleanaway
Waste
Management
Ltd.
(248,666)
(432,849)
22,002
(6.4)
Cochlear
Ltd.
(4,001)
(549,308)
(27,404)
8.0
Commonwealth
Bank
of
Australia
(36,492)
(2,279,894)
(81,937)
24.0
CSL
Ltd.
(9,280)
(1,723,062)
(83,313)
24.4
Domino's
Pizza
Enterprises
Ltd.
(37,281)
(1,752,423)
(192,476)
56.3
83
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Evolution
Mining
Ltd.
(398,124)
(650,516)
363,515
(106.3)
IDP
Education
Ltd.
(108,265)
(1,772,853)
(142,247)
41.6
Insurance
Australia
Group
Ltd.
(314,271)
(947,701)
(49,629)
14.5
Lendlease
Corp.
Ltd.
(252,433)
(1,590,061)
(975)
0.3
Lynas
Rare
Earths
Ltd.
(265,288)
(1,603,500)
(13,376)
3.9
Macquarie
Group
Ltd.
(10,501)
(1,195,601)
(38,045)
11.1
Medibank
Pvt
Ltd.
(307,192)
(690,930)
(39,969)
11.7
Mineral
Resources
Ltd.
(18,561)
(622,956)
33,956
(9.9)
National
Australia
Bank
Ltd.
(29,566)
(560,655)
(31,682)
9.3
NEXTDC
Ltd.
(58,387)
(429,725)
(27,918)
8.2
Northern
Star
Resources
Ltd.
(161,473)
(757,423)
177,751
(52.0)
Orica
Ltd.
(48,369)
(529,190)
(25,051)
7.3
OZ
Minerals
Ltd.
(86,940)
(1,068,760)
135,370
(39.6)
Pilbara
Minerals
Ltd.
(508,153)
(808,299)
(66,802)
19.5
Pro
Medicus
Ltd.
(33,771)
(986,912)
(96,974)
28.3
Qantas
Airways
Ltd.
(178,522)
(552,496)
(15,236)
4.5
REA
Group
Ltd.
(11,869)
(916,531)
(135,861)
39.7
Reece
Ltd.
(139,581)
(1,325,855)
(21,432)
6.3
SEEK
Ltd.
(37,439)
(543,087)
(35,286)
10.3
Transurban
Group
(207,246)
(2,061,954)
(112,161)
32.8
Wesfarmers
Ltd.
(50,130)
(1,449,959)
(19,661)
5.7
Woolworths
Group
Ltd.
(36,719)
(901,904)
(63,989)
18.7
Worley
Ltd.
(113,162)
(1,115,777)
(33,325)
9.7
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.43%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$110,760,748
$(714,007)
$(21,072)
$(735,079)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
39,756
2,376,878
(125,467)
17.1
Jordan
Hikma
Pharmaceuticals
plc
72,594
1,432,322
109,885
(14.9)
Netherlands
Shell
plc
152,965
3,983,634
85,929
(11.7)
Nigeria
Airtel
Africa
plc
855,385
1,421,021
17,216
(2.3)
South
Africa
Anglo
American
plc
39,397
1,408,386
(195,568)
26.6
84
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
abrdn
plc
1,025,451
2,001,635
(35,416)
4.8
Associated
British
Foods
plc
132,463
2,555,950
(40,768)
5.5
Aviva
plc
203,444
996,523
(21,824)
3.0
BAE
Systems
plc
106,249
1,075,664
24,095
(3.3)
Barclays
plc
1,248,007
2,333,720
(37,305)
5.1
Barratt
Developments
plc
345,388
1,931,984
(53,177)
7.2
BP
plc
292,907
1,375,343
4,380
(0.6)
British
American
Tobacco
plc
23,462
1,005,682
24,636
(3.4)
Centrica
plc
3,070,798
2,998,753
85,986
(11.7)
Direct
Line
Insurance
Group
plc
291,131
893,609
18,965
(2.6)
DS
Smith
plc
280,025
948,395
(11,848)
1.6
Howden
Joinery
Group
plc
164,675
1,213,894
(3,789)
0.5
Imperial
Brands
plc
139,577
3,124,812
95,369
(13.0)
Inchcape
plc
105,854
899,548
(22,966)
3.1
InterContinental
Hotels
Group
plc
28,512
1,515,356
12,885
(1.8)
JD
Sports
Fashion
plc
879,188
1,238,791
99,525
(13.5)
Kingfisher
plc
427,614
1,277,918
23,951
(3.3)
Marks
&
Spencer
Group
plc
1,007,626
1,671,686
(28,104)
3.8
National
Grid
plc
68,576
881,266
18,525
(2.5)
Persimmon
plc
41,246
938,425
(27,675)
3.8
Royal
Mail
plc
789,330
2,607,521
(5,129)
0.7
Smiths
Group
plc
66,456
1,136,456
(28,772)
3.9
Spectris
plc
36,895
1,222,316
(40,169)
5.5
Unilever
plc
22,002
1,002,847
40,532
(5.5)
Vodafone
Group
plc
1,413,137
2,197,276
12,608
(1.7)
United
States
GSK
plc
147,790
3,185,111
156,234
(21.3)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(109,900)
(1,367,072)
(84,288)
11.5
United
Kingdom
AstraZeneca
plc
(43,273)
(5,708,652)
(447,417)
60.9
AVEVA
Group
plc
(63,757)
(1,750,291)
137,994
(18.8)
B&M
European
Value
Retail
SA
(353,922)
(1,583,900)
41,188
(5.6)
BT
Group
plc
(424,739)
(965,329)
13,056
(1.8)
Compass
Group
plc
(88,788)
(1,822,941)
(9,872)
1.3
ConvaTec
Group
plc
(541,006)
(1,482,888)
(115,703)
15.7
Croda
International
plc
(14,353)
(1,134,490)
(101,551)
13.8
Experian
plc
(41,809)
(1,227,546)
(64,616)
8.8
Halma
plc
(63,175)
(1,551,082)
(91,080)
12.4
Informa
plc
(256,849)
(1,659,402)
(9,796)
1.3
Ocado
Group
plc
(184,455)
(1,758,358)
107,545
(14.6)
Pennon
Group
plc
(115,096)
(1,339,274)
85,724
(11.7)
Reckitt
Benckiser
Group
plc
(12,883)
(968,960)
(25,188)
3.4
Rentokil
Initial
plc
(223,750)
(1,297,070)
(83,930)
11.4
Severn
Trent
plc
(81,391)
(2,702,195)
128,442
(17.5)
St
James's
Place
plc
(97,610)
(1,313,375)
16,228
(2.2)
Tate
&
Lyle
plc
(106,912)
(979,755)
22,754
(3.1)
United
Utilities
Group
plc
(69,300)
(862,666)
18,041
(2.5)
85
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-0.15%
to
0.04%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/19/2026
$34,510,719
$(729,551)
$293,262
$(436,289)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
167,500
665,139
13,010
(3.0)
SITC
International
Holdings
Co.
Ltd.
94,000
267,353
(11,168)
2.6
Xinyi
Glass
Holdings
Ltd.
257,000
620,081
61,329
(14.1)
Hong
Kong
ASM
Pacific
Technology
Ltd.
120,900
1,029,011
(8,688)
2.0
CK
Asset
Holdings
Ltd.
151,997
1,079,987
88,214
(20.2)
CLP
Holdings
Ltd.
79,000
656,512
(72,403)
16.6
Henderson
Land
Development
Co.
Ltd.
122,000
458,522
11,832
(2.7)
HKT
Trust
&
HKT
Ltd.
242,000
325,016
7,975
(1.8)
Hong
Kong
&
China
Gas
Co.
Ltd.
25,955
28,011
722
(0.2)
Man
Wah
Holdings
Ltd.
771,600
833,175
131,076
(30.0)
New
World
Development
Co.
Ltd.
259,250
933,853
12,199
(2.8)
Sino
Land
Co.
Ltd.
678,000
1,001,187
47,802
(11.0)
Sun
Hung
Kai
Properties
Ltd.
241,000
2,853,455
66,309
(15.2)
Swire
Pacific
Ltd.
47,000
280,696
12,657
(2.9)
WH
Group
Ltd.
2,499,500
1,934,577
144,396
(33.1)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
476,000
3,229,184
91,192
(20.9)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(476,400)
(1,429,533)
(200,102)
45.9
Chow
Tai
Fook
Jewellery
Group
Ltd.
(113,800)
(214,956)
(21,489)
4.9
ESR
Group
Ltd.
(668,800)
(1,813,553)
(27,939)
6.4
Hong
Kong
AIA
Group
Ltd.
(263,600)
(2,880,244)
(214,614)
49.2
Hang
Lung
Properties
Ltd.
(130,000)
(247,367)
(8,798)
2.0
Hang
Seng
Bank
Ltd.
(64,200)
(1,137,682)
(11,883)
2.7
MTR
Corp.
Ltd.
(199,026)
(1,043,441)
(11,127)
2.6
Power
Assets
Holdings
Ltd.
(129,500)
(815,839)
(8,815)
2.0
Swire
Properties
Ltd.
(38,200)
(95,104)
(6,210)
1.4
Techtronic
Industries
Co.
Ltd.
(197,500)
(2,062,325)
25,460
(5.8)
Wharf
Real
Estate
Investment
Co.
Ltd.
(550,000)
(2,626,374)
(303,730)
69.6
86
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Macau
Galaxy
Entertainment
Group
Ltd.
(484,000)
(2,899,438)
(372,508)
85.4
Sands
China
Ltd.
(5,600)
(13,472)
(2,838)
0.7
SJM
Holdings
Ltd.
(564,000)
(256,411)
(29,281)
6.7
Wynn
Macau
Ltd.
(1,143,600)
(779,221)
(132,131)
30.3
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BNPP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-0.30%
to
0.03%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
61
months
maturity
11/10/2026
$514,550,186
$(8,097,151)
$242,437
$(7,854,714)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Amada
Co.
Ltd.
443,000
3,265,932
(50,895)
0.6
Dai-ichi
Life
Holdings,
Inc.
165,900
3,068,385
(53,525)
0.7
Iida
Group
Holdings
Co.
Ltd.
255,900
3,928,671
157,403
(2.0)
Japan
Post
Insurance
Co.
Ltd.
236,500
3,785,114
(58,400)
0.7
Japan
Tobacco,
Inc.
210,600
3,649,443
(60,271)
0.8
Kyushu
Electric
Power
Co.,
Inc.
484,400
3,114,436
133,348
(1.7)
Lawson,
Inc.
101,400
3,374,662
135,995
(1.7)
Mazda
Motor
Corp.
642,400
5,243,581
(11,192)
0.1
Mitsubishi
HC
Capital,
Inc.
735,300
3,393,686
11,999
(0.2)
Mizuho
Financial
Group,
Inc.
922,500
10,502,587
123,470
(1.6)
NGK
Insulators
Ltd.
227,200
3,060,949
(7,405)
0.1
NGK
Spark
Plug
Co.
Ltd.
209,400
3,798,421
(114,751)
1.5
NIPPON
EXPRESS
HOLDINGS,
Inc.
57,100
3,110,417
(3,822)
0.0
Nippon
Steel
Corp.
239,100
3,346,230
(108,307)
1.4
Ricoh
Co.
Ltd.
404,300
3,156,432
(55,035)
0.7
SCREEN
Holdings
Co.
Ltd.
59,600
4,044,002
(326,854)
4.2
Seiko
Epson
Corp.
200,200
2,832,226
(235,872)
3.0
Shimamura
Co.
Ltd.
49,900
4,384,475
228,594
(2.9)
Sohgo
Security
Services
Co.
Ltd.
124,900
3,468,314
98,574
(1.3)
Taisei
Corp.
107,600
3,354,966
147,109
(1.9)
Tosoh
Corp.
293,500
3,650,768
(149,330)
1.9
Yamada
Holdings
Co.
Ltd.
976,600
3,511,999
165,854
(2.1)
87
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(230,800)
(4,009,025)
(209,704)
2.7
Asahi
Intecc
Co.
Ltd.
(204,900)
(3,102,369)
(417,998)
5.3
BayCurrent
Consulting,
Inc.
(10,600)
(2,833,933)
(144,993)
1.8
Daiichi
Sankyo
Co.
Ltd.
(129,400)
(3,290,964)
(367,025)
4.7
Daikin
Industries
Ltd.
(32,300)
(5,186,060)
(480,801)
6.1
Denso
Corp.
(97,600)
(5,151,570)
70,116
(0.9)
Fast
Retailing
Co.
Ltd.
(6,400)
(3,361,772)
(131,584)
1.7
JSR
Corp.
(232,000)
(6,028,798)
(53,824)
0.7
Keyence
Corp.
(10,300)
(3,532,264)
(31,460)
0.4
Kikkoman
Corp.
(65,400)
(3,480,384)
(274,974)
3.5
Kobe
Bussan
Co.
Ltd.
(152,300)
(3,743,692)
(167,979)
2.1
Kubota
Corp.
(217,100)
(3,253,484)
77,900
(1.0)
Kurita
Water
Industries
Ltd.
(80,800)
(2,924,830)
(20,494)
0.3
Lasertec
Corp.
(37,400)
(4,454,478)
(130,820)
1.7
Mitsubishi
UFJ
Financial
Group,
Inc.
(787,100)
(4,211,026)
30,194
(0.4)
MonotaRO
Co.
Ltd.
(289,100)
(4,311,549)
(540,705)
6.9
Nidec
Corp.
(73,300)
(4,542,172)
(177,019)
2.3
Nippon
Paint
Holdings
Co.
Ltd.
(600,700)
(4,494,553)
(524,742)
6.7
Nomura
Research
Institute
Ltd.
(138,500)
(3,716,862)
67,459
(0.9)
Oriental
Land
Co.
Ltd.
(28,200)
(3,938,185)
(187,676)
2.4
Pan
Pacific
International
Holdings
Corp.
(233,400)
(3,721,154)
(405,879)
5.2
Sekisui
House
Ltd.
(225,000)
(3,949,955)
(103,112)
1.3
Sony
Group
Corp.
(57,700)
(4,705,826)
63,525
(0.8)
Tokio
Marine
Holdings,
Inc.
(55,800)
(3,253,807)
(190,318)
2.4
Toyota
Motor
Corp.
(418,400)
(6,455,622)
(82,801)
1.1
Unicharm
Corp.
(112,700)
(3,781,901)
(210,542)
2.7
West
Japan
Railway
Co.
(79,200)
(2,913,646)
(140,315)
1.8
Yaskawa
Electric
Corp.
(96,700)
(3,123,232)
(64,222)
0.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.10%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/13/2025
-
07/01/2027
$75,061,684
$(1,972,286)
$32,920
$(1,939,366)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
88
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Amundi
SA
18,466
1,016,684
11,376
(0.6)
Arkema
SA
5,560
497,356
(129,141)
6.7
Atos
SE
180,156
2,442,375
(1,262,956)
65.1
AXA
SA
72,601
1,658,319
(53,328)
2.7
BioMerieux
10,969
1,075,560
23,541
(1.2)
Bouygues
SA
43,419
1,340,063
(96,856)
5.0
Carrefour
SA
32,093
569,693
(57,373)
3.0
Cie
de
Saint-Gobain
51,456
2,223,375
(584,052)
30.1
Dassault
Aviation
SA
9,498
1,483,234
(67,715)
3.5
Dassault
Systemes
SE
10,360
383,743
(23,737)
1.2
Eiffage
SA
24,780
2,241,599
(199,412)
10.3
Electricite
de
France
SA
276,570
2,271,704
(204,446)
10.5
Eutelsat
Communications
SA
112,276
1,267,072
(17,771)
0.9
Ipsen
SA
23,684
2,242,475
(4,931)
0.3
Korian
SA
22,629
341,056
(49,514)
2.6
La
Francaise
des
Jeux
SAEM
33,401
1,159,825
(26,762)
1.4
Orange
SA
228,592
2,693,631
94,002
(4.8)
Orpea
SA
26,130
641,009
(4,955)
0.3
Publicis
Groupe
SA
24,909
1,225,038
(59,510)
3.1
Renault
SA
65,019
1,641,464
(215,260)
11.1
Rexel
SA
98,157
1,516,722
(413,107)
21.3
Rubis
SCA
50,887
1,196,853
(322,968)
16.7
Sodexo
SA
14,823
1,048,495
(33,587)
1.7
Thales
SA
10,444
1,282,284
10,590
(0.5)
TotalEnergies
SE
32,007
1,684,751
(183,859)
9.5
Luxembourg
Eurofins
Scientific
SE
10,813
853,991
(102,839)
5.3
SES
SA
135,740
1,188,142
(36,822)
1.9
Singapore
STMicroelectronics
NV
55,775
1,763,888
(339,122)
17.5
Short
Positions
Common
Stocks
France
Accor
SA
(28,834)
(786,636)
120,163
(6.2)
Aeroports
de
Paris
(13,185)
(1,680,828)
103,666
(5.3)
Air
Liquide
SA
(29,092)
(3,915,866)
409,624
(21.1)
Airbus
SE
(11,856)
(1,159,634)
149,908
(7.7)
Alstom
SA
(64,630)
(1,475,797)
315,636
(16.3)
Bureau
Veritas
SA
(13,703)
(352,552)
24,831
(1.3)
Cie
Generale
des
Etablissements
Michelin
SCA
(55,709)
(1,521,467)
176,011
(9.1)
Edenred
(10,180)
(482,233)
(10,382)
0.5
EssilorLuxottica
SA
(25,935)
(3,932,076)
(42,847)
2.2
Getlink
SE
(32,933)
(584,078)
15,398
(0.8)
Hermes
International
(1,256)
(1,413,538)
88
(0.0)
L'Oreal
SA
(6,497)
(2,255,794)
(61,064)
3.1
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(3,591)
(2,200,845)
10,405
(0.5)
Pernod
Ricard
SA
(2,473)
(457,195)
1,126
(0.1)
Remy
Cointreau
SA
(3,421)
(600,254)
6,693
(0.3)
Safran
SA
(5,561)
(553,684)
(55)
0.0
Sanofi
(10,880)
(1,097,205)
23,125
(1.2)
Sartorius
Stedim
Biotech
(4,333)
(1,367,139)
86,815
(4.5)
SOITEC
(8,254)
(1,185,605)
336,756
(17.4)
Valeo
(56,837)
(1,107,524)
166,514
(8.6)
89
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
Vivendi
SE
(42,110)
(429,728)
57,458
(3.0)
United
States
Schneider
Electric
SE
(38,549)
(4,593,328)
537,145
(27.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-3.29%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/13/2025
-
07/01/2027
$793,232,688
$(5,323,248)
$660,841
$(4,662,407)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Adobe,
Inc.
8,199
3,001,326
(419,630)
9.0
Alaska
Air
Group,
Inc.
113,537
4,547,157
(454,390)
9.7
American
International
Group,
Inc.
59,798
3,057,472
(204,852)
4.4
Booking
Holdings,
Inc.
1,685
2,947,048
(876,700)
18.8
Citigroup,
Inc.
108,869
5,006,885
(433,299)
9.3
CNO
Financial
Group,
Inc.
166,754
3,016,580
(216,538)
4.6
Coca-Cola
Co.
(The)
51,544
3,242,633
36,038
(0.8)
Colgate-Palmolive
Co.
48,029
3,849,044
134,037
(2.9)
Douglas
Emmett,
Inc.
148,929
3,333,031
(375,941)
8.1
DTE
Energy
Co.
24,654
3,124,894
(14,290)
0.3
Expedia
Group,
Inc.
37,132
3,521,228
(724,585)
15.5
Fidelity
National
Financial,
Inc.
82,371
3,044,432
(302,287)
6.5
General
Motors
Co.
98,986
3,143,795
(439,737)
9.4
Global
Payments,
Inc.
29,789
3,295,855
(341,084)
7.3
Intel
Corp.
94,817
3,547,104
(246,524)
5.3
Kraft
Heinz
Co.
(The)
119,540
4,559,256
83,164
(1.8)
ManpowerGroup,
Inc.
59,166
4,520,874
(547,175)
11.7
Meta
Platforms,
Inc.
41,551
6,700,099
(705,978)
15.1
Old
Republic
International
Corp.
130,153
2,910,221
(105,424)
2.3
PepsiCo,
Inc.
18,192
3,031,879
46,679
(1.0)
PPL
Corp.
113,004
3,065,799
(209,022)
4.5
Simon
Property
Group,
Inc.
33,047
3,136,821
(268,806)
5.8
Starbucks
Corp.
41,373
3,160,483
(104,260)
2.2
Tractor
Supply
Co.
22,876
4,434,513
(112,177)
2.4
Tyson
Foods,
Inc.
65,026
5,596,138
48,770
(1.0)
Ulta
Beauty,
Inc.
15,094
5,818,435
(446,561)
9.6
Vail
Resorts,
Inc.
14,456
3,152,131
(116,007)
2.5
Wells
Fargo
&
Co.
94,947
3,719,074
(277,618)
6.0
90
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
American
Airlines
Group,
Inc.
(268,984)
(3,410,717)
333,083
(7.1)
American
Tower
Corp.
(13,654)
(3,489,826)
62,945
(1.4)
Clorox
Co.
(The)
(39,200)
(5,526,416)
(325,587)
7.0
Commerce
Bancshares,
Inc.
(57,861)
(3,798,575)
81,005
(1.7)
Constellation
Brands,
Inc.
(17,761)
(4,139,379)
164,225
(3.5)
Dominion
Energy,
Inc.
(52,278)
(4,172,307)
(24,571)
0.5
Etsy,
Inc.
(40,623)
(2,974,010)
394,208
(8.5)
First
Financial
Bankshares,
Inc.
(100,464)
(3,945,221)
45,044
(1.0)
Floor
&
Decor
Holdings,
Inc.
(51,252)
(3,226,826)
290,025
(6.2)
Hormel
Foods
Corp.
(94,884)
(4,493,706)
(195,461)
4.2
International
Business
Machines
Corp.
(26,016)
(3,673,199)
(65,112)
1.4
Lowe's
Cos.,
Inc.
(19,921)
(3,479,601)
390,651
(8.4)
M&T
Bank
Corp.
(31,273)
(4,984,603)
317,370
(6.8)
McCormick
&
Co.,
Inc.
(Non-Voting)
(76,443)
(6,363,880)
291,661
(6.3)
NextEra
Energy,
Inc.
(42,405)
(3,284,691)
(6,110)
0.1
NVIDIA
Corp.
(20,808)
(3,154,285)
481,778
(10.3)
Principal
Financial
Group,
Inc.
(61,005)
(4,074,524)
191,403
(4.1)
Progressive
Corp.
(The)
(40,980)
(4,764,745)
(29,915)
0.6
Realty
Income
Corp.
(78,859)
(5,382,915)
(140,760)
3.0
SVB
Financial
Group
(10,467)
(4,134,360)
697,961
(15.0)
TransUnion
(37,145)
(2,971,229)
47,552
(1.0)
Welltower,
Inc.
(64,753)
(5,332,410)
56,983
(1.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-0.95%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
31-62
months
maturity
ranging
from
01/21/2025
-
07/02/2027
$89,836,905
$(497,708)
$3,072
$(494,636)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
66,740
2,286,540
111,765
(22.6)
Bank
of
Montreal
10,284
988,932
(4,017)
0.8
Canadian
Natural
Resources
Ltd.
17,240
926,422
1,051
(0.2)
Canadian
Tire
Corp.
Ltd.
13,894
1,752,941
(1,187)
0.2
Capital
Power
Corp.
27,252
952,931
23,712
(4.8)
CI
Financial
Corp.
129,798
1,378,448
(38,923)
7.9
Empire
Co.
Ltd.
45,575
1,403,860
(26,201)
5.3
91
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Fairfax
Financial
Holdings
Ltd.
3,993
2,115,930
150,451
(30.4)
Finning
International,
Inc.
57,067
1,201,014
(61,464)
12.4
George
Weston
Ltd.
8,536
997,171
44,503
(9.0)
iA
Financial
Corp.,
Inc.
25,297
1,258,168
59,548
(12.0)
Imperial
Oil
Ltd.
41,081
1,936,603
(80,745)
16.3
Loblaw
Cos.
Ltd.
11,079
999,193
50,909
(10.3)
Magna
International,
Inc.
15,581
855,551
(10,047)
2.0
Manulife
Financial
Corp.
156,704
2,717,242
105,914
(21.4)
Nutrien
Ltd.
11,195
891,547
(49,313)
10.0
Onex
Corp.
31,014
1,544,436
(23,365)
4.7
Open
Text
Corp.
32,690
1,236,541
20,825
(4.2)
Suncor
Energy,
Inc.
65,373
2,293,540
4,961
(1.0)
Teck
Resources
Ltd.
48,454
1,481,626
(220,879)
44.7
TFI
International,
Inc.
10,758
863,599
68,141
(13.8)
Toromont
Industries
Ltd.
12,414
1,003,767
49,641
(10.0)
West
Fraser
Timber
Co.
Ltd.
26,634
2,043,692
(60,212)
12.2
Whitecap
Resources,
Inc.
227,274
1,578,488
(146,549)
29.6
Chile
Lundin
Mining
Corp.
193,339
1,225,642
(148,510)
30.0
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(34,125)
(1,229,582)
95,970
(19.4)
Canada
Agnico
Eagle
Mines
Ltd.
(18,928)
(866,406)
95,050
(19.2)
Algonquin
Power
&
Utilities
Corp.
(67,927)
(912,941)
(20,459)
4.1
Ballard
Power
Systems,
Inc.
(275,153)
(1,737,876)
(17,101)
3.5
BlackBerry
Ltd.
(186,354)
(1,004,736)
(16,439)
3.3
Boralex,
Inc.
(44,379)
(1,478,381)
(64,817)
13.1
Brookfield
Asset
Management,
Inc.
(45,373)
(2,018,379)
(26,085)
5.3
CAE,
Inc.
(84,096)
(2,072,347)
(95,538)
19.3
Cameco
Corp.
(61,296)
(1,288,587)
(5,757)
1.2
Canadian
Pacific
Railway
Ltd.
(24,821)
(1,733,729)
(34,521)
7.0
Dollarama,
Inc.
(25,415)
(1,463,455)
(42,056)
8.5
Element
Fleet
Management
Corp.
(107,045)
(1,116,022)
(41,355)
8.4
Emera,
Inc.
(19,957)
(934,903)
(40,156)
8.1
Franco-Nevada
Corp.
(14,821)
(1,949,574)
134,831
(27.3)
GFL
Environmental,
Inc.
(34,236)
(881,965)
(18,910)
3.8
Innergex
Renewable
Energy,
Inc.
(66,011)
(887,189)
3,590
(0.7)
Intact
Financial
Corp.
(12,799)
(1,805,303)
(50,611)
10.2
Metro,
Inc.
(18,672)
(1,002,213)
(25,966)
5.2
Restaurant
Brands
International,
Inc.
(23,010)
(1,154,254)
(41,115)
8.3
Royal
Bank
of
Canada
(11,400)
(1,103,866)
(974)
0.2
Shopify,
Inc.
(29,040)
(907,387)
24,004
(4.9)
TC
Energy
Corp.
(29,850)
(1,546,300)
4,445
(0.9)
TMX
Group
Ltd.
(11,083)
(1,127,931)
21,009
(4.2)
Toronto-Dominion
Bank
(The)
(22,517)
(1,476,585)
26,292
(5.3)
United
States
Brookfield
Renewable
Corp.
(38,100)
(1,357,120)
(36,171)
7.3
92
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
31-61
months
maturity
ranging
from
01/21/2025
-
05/31/2027
$40,280,512
$(955,441)
$(509,136)
$(1,464,577)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Italy
A2A
SpA
965,099
1,228,120
(128,134)
8.7
Assicurazioni
Generali
SpA
24,708
394,655
(9,773)
0.7
Azimut
Holding
SpA
72,578
1,263,291
(33,119)
2.3
Banco
BPM
SpA
314,604
898,095
(6,314)
0.4
Buzzi
Unicem
SpA
95,053
1,560,240
(143,104)
9.8
Davide
Campari-Milano
NV
58,155
613,518
19,318
(1.3)
Hera
SpA
327,750
949,734
(30,173)
2.1
Italgas
SpA
150,029
875,471
(2,619)
0.2
Leonardo
SpA
358,116
3,633,375
(10,016)
0.7
Pirelli
&
C
SpA
54,404
221,426
(20,308)
1.4
Poste
Italiane
SpA
93,049
870,611
(6,595)
0.5
Prysmian
SpA
14,403
395,692
(23,608)
1.6
Salvatore
Ferragamo
SpA
1,840
28,425
1,179
(0.1)
UniCredit
SpA
290,478
2,775,908
(208,189)
14.2
Unipol
Gruppo
SpA
647,645
2,950,014
(30,345)
2.1
United
States
Stellantis
NV
287,417
3,568,208
(115,586)
7.9
Short
Positions
Common
Stocks
Italy
Amplifon
SpA
(15,100)
(464,243)
(48,071)
3.3
Banca
Generali
SpA
(23,043)
(652,418)
15,272
(1.0)
Brembo
SpA
(40,735)
(397,187)
18,170
(1.2)
DiaSorin
SpA
(8,816)
(1,159,397)
(62,298)
4.3
Enel
SpA
(168,696)
(925,166)
36,897
(2.5)
Ferrari
NV
(12,859)
(2,366,541)
(112,075)
7.7
FinecoBank
Banca
Fineco
SpA
(167,556)
(2,010,096)
(106,697)
7.3
Infrastrutture
Wireless
Italiane
SpA
(60,992)
(620,063)
(23,082)
1.6
Interpump
Group
SpA
(11,105)
(425,193)
16,101
(1.1)
Intesa
Sanpaolo
SpA
(1,540,214)
(2,882,466)
72,090
(4.9)
Mediobanca
Banca
di
Credito
Finanziario
SpA
(37,457)
(324,851)
8,015
(0.5)
Moncler
SpA
(24,184)
(1,041,992)
(99,462)
6.8
Nexi
SpA
(177,690)
(1,475,617)
33,431
(2.3)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(9,318)
(406,351)
(19,607)
1.3
Reply
SpA
(284)
(34,549)
(3,091)
0.2
93
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
(continued)
Snam
SpA
(4,797)
(25,167)
401
(0.0)
Telecom
Italia
SpA
(440,296)
(115,449)
(881)
0.1
Terna
-
Rete
Elettrica
Nazionale
(210,452)
(1,654,623)
(13,341)
0.9
United
Kingdom
CNH
Industrial
NV
(70,567)
(816,132)
65,360
(4.5)
United
States
Tenaris
SA
(19,949)
(256,228)
14,813
(1.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
31-61
months
maturity
ranging
from
01/21/2025
-
07/01/2027
$10,824,263
$(194,442)
$(45,868)
$(240,310)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
162,800
473,843
3,946
(1.6)
Yangzijiang
Shipbuilding
Holdings
Ltd.
5,162,100
3,456,689
(221,767)
92.3
Singapore
Genting
Singapore
Ltd.
977,200
506,819
(6,973)
2.9
Oversea-Chinese
Banking
Corp.
Ltd.
227,200
1,863,732
(5,968)
2.5
Singapore
Airlines
Ltd.
106,000
389,493
(3,969)
1.7
Singapore
Technologies
Engineering
Ltd.
260,500
766,864
22,889
(9.5)
Singapore
Telecommunications
Ltd.
45,800
83,359
1,932
(0.8)
United
Overseas
Bank
Ltd.
12,100
228,595
(4,433)
1.8
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(163,100)
(957,969)
(2,356)
1.0
DBS
Group
Holdings
Ltd.
(30,300)
(648,342)
8,283
(3.4)
Keppel
Corp.
Ltd.
(39,400)
(184,062)
1,593
(0.7)
SATS
Ltd.
(138,600)
(388,868)
2,474
(1.0)
Venture
Corp.
Ltd.
(73,100)
(875,628)
9,907
(4.1)
94
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-6.45%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
31-62
months
maturity
ranging
from
01/22/2025
-
07/01/2027
$353,588,715
$(1,984,879)
$30,034
$(1,954,845)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
19,363
2,103,790
85,518
(4.4)
Allison
Transmission
Holdings,
Inc.
79,745
3,066,195
53,607
(2.7)
APA
Corp.
59,686
2,083,041
(257,844)
13.2
Arrow
Electronics,
Inc.
41,119
4,609,029
163,066
(8.3)
Builders
FirstSource,
Inc.
53,708
2,884,120
172,940
(8.8)
Cisco
Systems,
Inc.
109,967
4,688,993
(77,898)
4.0
CVS
Health
Corp.
48,373
4,482,242
151,522
(7.8)
Danaher
Corp.
8,370
2,121,962
72,405
(3.7)
EMCOR
Group,
Inc.
23,266
2,395,467
151,960
(7.8)
Emerson
Electric
Co.
25,292
2,011,726
22,510
(1.2)
General
Dynamics
Corp.
17,774
3,932,498
203,868
(10.4)
Gilead
Sciences,
Inc.
69,460
4,293,323
172,823
(8.8)
IPG
Photonics
Corp.
24,747
2,329,435
83,260
(4.3)
IQVIA
Holdings,
Inc.
9,378
2,034,932
187,935
(9.6)
Jabil,
Inc.
47,249
2,419,621
(113,398)
5.8
Kennametal,
Inc.
136,976
3,181,952
(22,956)
1.2
Lennox
International,
Inc.
10,148
2,096,475
150,841
(7.7)
Lockheed
Martin
Corp.
10,690
4,596,272
212,033
(10.8)
Marathon
Oil
Corp.
106,586
2,396,053
(172,315)
8.8
Medtronic
plc
28,245
2,534,989
35,865
(1.8)
Merck
&
Co.,
Inc.
22,053
2,010,572
119,767
(6.1)
Owens
Corning
50,173
3,728,356
(76,572)
3.9
Pfizer,
Inc.
64,250
3,368,628
379,075
(19.4)
Syneos
Health,
Inc.
34,843
2,497,546
249,298
(12.8)
Textron,
Inc.
45,070
2,752,425
100,777
(5.2)
Viatris,
Inc.
202,946
2,124,845
1,878
(0.1)
Vishay
Intertechnology,
Inc.
231,255
4,120,964
1,877
(0.1)
Western
Digital
Corp.
61,574
2,760,362
(78,106)
4.0
95
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
United
States
Amgen,
Inc.
(9,838)
(2,393,585)
(84,410)
4.3
Apple,
Inc.
(20,419)
(2,791,686)
(105,362)
5.4
Boeing
Co.
(The)
(20,616)
(2,818,620)
4,143
(0.2)
Catalent,
Inc.
(26,676)
(2,862,068)
(117,234)
6.0
Caterpillar,
Inc.
(13,137)
(2,348,370)
172,254
(8.8)
Eli
Lilly
&
Co.
(6,709)
(2,175,259)
(222,777)
11.4
HealthEquity,
Inc.
(33,970)
(2,085,418)
242,546
(12.4)
HEICO
Corp.
(18,171)
(2,382,582)
(27,620)
1.4
Honeywell
International,
Inc.
(33,968)
(5,903,978)
144,420
(7.4)
II-VI,
Inc.
(52,065)
(2,652,712)
42,693
(2.2)
Illinois
Tool
Works,
Inc.
(14,574)
(2,656,112)
(58,296)
3.0
Insulet
Corp.
(16,086)
(3,505,783)
(271,656)
13.9
Jazz
Pharmaceuticals
plc
(13,689)
(2,135,621)
(179,326)
9.2
Novocure
Ltd.
(31,826)
(2,211,907)
(352,696)
18.0
PerkinElmer,
Inc.
(16,472)
(2,342,648)
(84,015)
4.3
Quanta
Services,
Inc.
(24,138)
(3,025,457)
(236,366)
12.1
Repligen
Corp.
(13,691)
(2,223,418)
(214,234)
11.0
Stanley
Black
&
Decker,
Inc.
(20,187)
(2,116,809)
(18,325)
0.9
STERIS
plc
(10,685)
(2,202,713)
(136,794)
7.0
Teledyne
Technologies,
Inc.
(8,607)
(3,228,572)
(191,989)
9.8
Thermo
Fisher
Scientific,
Inc.
(4,486)
(2,437,154)
(187,152)
9.6
Williams
Cos.,
Inc.
(The)
(74,585)
(2,327,798)
(105,819)
5.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.25%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
11-64
months
maturity
05/12/2023
$52,980,746
$28,261
$(48,220)
$(19,959)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
19,442
521,399
(3,873)
19.4
Baloise
Holding
AG
(Registered)
788
128,990
635
(3.2)
Barry
Callebaut
AG
(Registered)
638
1,427,474
28,038
(140.5)
Belimo
Holding
AG
(Registered)
1,104
388,695
14,007
(70.2)
Bucher
Industries
AG
(Registered)
3,967
1,384,670
(40,649)
203.7
DKSH
Holding
AG
18,341
1,517,601
47,001
(235.5)
dormakaba
Holding
AG
1,567
683,882
20,741
(103.9)
96
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Galenica
AG
14,553
1,119,512
108,051
(541.4)
Georg
Fischer
AG
(Registered)
3,333
164,613
(3,896)
19.5
Helvetia
Holding
AG
(Registered)
6,506
764,086
2,590
(13.0)
Julius
Baer
Group
Ltd.
22,092
1,024,850
(21,145)
105.9
Kuehne
+
Nagel
International
AG
(Registered)
4,471
1,062,321
22,139
(110.9)
Novartis
AG
(Registered)
48,850
4,141,534
99,069
(496.4)
OC
Oerlikon
Corp.
AG
(Registered)
104,683
730,860
(31,797)
159.3
Schindler
Holding
AG
1,173
214,494
757
(3.8)
Stadler
Rail
AG
5,916
192,761
(10,254)
51.4
Sulzer
AG
(Registered)
6,435
401,104
(29,963)
150.1
Swatch
Group
AG
(The)
7,951
1,888,669
39,696
(198.9)
Swisscom
AG
(Registered)
1,767
977,364
16,286
(81.6)
Temenos
AG
(Registered)
30,344
2,596,841
100,589
(504.0)
UBS
Group
AG
(Registered)
13,886
224,491
3,834
(19.2)
United
States
Roche
Holding
AG
7,238
2,419,662
119,712
(599.8)
Swiss
Re
AG
1,727
134,046
(848)
4.2
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(17,269)
(156,233)
3,750
(18.8)
Switzerland
Adecco
Group
AG
(Registered)
(3,747)
(127,716)
920
(4.6)
Alcon,
Inc.
(13,368)
(937,385)
(30,617)
153.4
Bachem
Holding
AG
(Registered)
(25,705)
(1,791,641)
112,247
(562.4)
BKW
AG
(1,423)
(148,878)
(42)
0.2
Chocoladefabriken
Lindt
&
Spruengli
AG
(36)
(366,554)
(22,637)
113.4
Cie
Financiere
Richemont
SA
(3,223)
(346,676)
(12,394)
62.1
Clariant
AG
(Registered)
(72,556)
(1,383,519)
(19,034)
95.4
Credit
Suisse
Group
AG
(Registered)
(274,145)
(1,564,778)
71,752
(359.5)
Dufry
AG
(Registered)
(32,033)
(1,039,470)
14,483
(72.6)
EMS-Chemie
Holding
AG
(Registered)
(1,278)
(953,773)
(36,087)
180.8
Flughafen
Zurich
AG
(Registered)
(3,170)
(480,333)
27,385
(137.2)
Givaudan
SA
(Registered)
(1,186)
(4,180,309)
(303,158)
1518.9
Holcim
AG
(14,219)
(609,847)
49,531
(248.2)
Idorsia
Ltd.
(105,877)
(1,516,743)
22,734
(113.9)
Logitech
International
SA
(Registered)
(49,953)
(2,604,811)
56,489
(283.0)
Lonza
Group
AG
(Registered)
(298)
(159,173)
(3,969)
19.9
Partners
Group
Holding
AG
(393)
(354,917)
(2,940)
14.7
SIG
Group
AG
(106,683)
(2,355,777)
(205,210)
1028.2
Sika
AG
(Registered)
(7,402)
(1,708,658)
(9,838)
49.3
Sonova
Holding
AG
(Registered)
(1,355)
(433,033)
(33,339)
167.0
Straumann
Holding
AG
(Registered)
(6,110)
(736,048)
(93,143)
466.7
Swiss
Life
Holding
AG
(Registered)
(1,288)
(628,760)
36,928
(185.0)
Tecan
Group
AG
(Registered)
(3,266)
(951,021)
4,880
(24.5)
VAT
Group
AG
(4,360)
(1,042,722)
6,520
(32.7)
Zurich
Insurance
Group
AG
(1,225)
(534,190)
(10,006)
50.1
United
States
Nestle
SA
(Registered)
(14,835)
(1,733,807)
(77,273)
387.2
97
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.70%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
21-25
months
maturity
02/21/2024
$23,393,255
$239
$825
$1,064
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
1,275
2,993,187
1,773
166.6
Carlsberg
A/S
12,405
1,585,393
45,070
4235.9
Demant
A/S
2,935
110,331
5,751
540.5
DSV
A/S
3,991
561,204
(3,815)
(358.6)
Genmab
A/S
2,351
762,770
104,759
9845.8
H
Lundbeck
A/S
151,759
737,034
26,086
2451.7
H
Lundbeck
A/S
49,636
238,195
6,714
631.0
ISS
A/S
119,257
1,901,315
(28,300)
(2659.8)
Novo
Nordisk
A/S
16,907
1,875,027
71,623
6731.5
Pandora
A/S
33,774
2,145,746
(66,455)
(6245.8)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(55,173)
(539,100)
14,375
1351.1
Chr
Hansen
Holding
A/S
(7,693)
(561,572)
(37,725)
(3545.6)
Coloplast
A/S
(11,718)
(1,338,895)
(77,611)
(7294.3)
GN
Store
Nord
A/S
(28,118)
(991,924)
(122,249)
(11489.5)
Novozymes
A/S
(13,084)
(787,434)
(51,343)
(4825.5)
Orsted
A/S
(6,690)
(704,617)
(46,346)
(4355.9)
ROCKWOOL
A/S
(645)
(146,437)
2,737
257.2
Royal
Unibrew
A/S
(5,374)
(478,274)
(11,206)
(1053.2)
SimCorp
A/S
(8,696)
(635,701)
(16,969)
(1594.8)
Tryg
A/S
(61,315)
(1,381,421)
(35,481)
(3334.7)
Vestas
Wind
Systems
A/S
(137,225)
(2,917,678)
218,851
20568.7
98
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-2.20%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
6-61
months
maturity
12/16/2022
$161,692,735
$(3,468,384)
$(1,975,014)
$(5,443,398)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Proximus
SADP
114,136
1,684,630
(147,621)
2.7
Finland
Nokia
OYJ
352,331
1,633,073
(9,968)
0.2
Nokian
Renkaat
OYJ
170,960
1,885,610
(136,008)
2.5
Germany
BASF
SE
48,748
2,132,835
(150,650)
2.8
Bayer
AG
(Registered)
26,566
1,586,426
(100,257)
1.8
Bayerische
Motoren
Werke
AG
19,352
1,500,179
(65,515)
1.2
Covestro
AG
64,559
2,243,342
(173,957)
3.2
Deutsche
Bank
AG
(Registered)
350,741
3,082,208
(275,998)
5.1
Deutsche
Post
AG
(Registered)
38,481
1,452,895
32,406
(0.6)
Freenet
AG
58,071
1,448,188
20,802
(0.4)
GEA
Group
AG
50,975
1,767,202
(47,667)
0.9
HUGO
BOSS
AG
30,202
1,599,302
56,534
(1.0)
ProSiebenSat.1
Media
SE
304,370
2,830,975
(80,537)
1.5
thyssenkrupp
AG
245,232
1,398,386
(299,179)
5.5
Luxembourg
ArcelorMittal
SA
81,291
1,822,982
(273,258)
5.0
Netherlands
Aegon
NV
703,981
3,031,786
(149,150)
2.7
ASR
Nederland
NV
54,135
2,182,560
6,256
(0.1)
Koninklijke
Ahold
Delhaize
NV
81,815
2,129,564
(15,173)
0.3
NN
Group
NV
50,860
2,303,596
(85,253)
1.6
OCI
NV
56,110
1,845,777
1,794
(0.0)
Spain
Banco
de
Sabadell
SA
1,943,835
1,558,603
(64,284)
1.2
Banco
Santander
SA
765,482
2,165,867
(1,480)
0.0
Enagas
SA
69,524
1,537,631
(3,553)
0.1
Industria
de
Diseno
Textil
SA
120,921
2,747,987
(6,888)
0.1
Mapfre
SA
1,030,135
1,821,658
2,650
(0.0)
Red
Electrica
Corp.
SA
75,083
1,421,290
(43,399)
0.8
Repsol
SA
291,890
4,303,044
76,537
(1.4)
Telefonica
SA
534,434
2,728,572
265,428
(4.9)
99
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
China
Prosus
NV
(69,285)
(4,486,456)
(937,417)
17.2
Germany
adidas
AG
(17,390)
(3,089,003)
(62,830)
1.2
Allianz
SE
(Registered)
(8,237)
(1,579,118)
4,330
(0.1)
Continental
AG
(30,155)
(2,116,542)
83,817
(1.5)
Deutsche
Telekom
AG
(Registered)
(140,591)
(2,796,251)
(118,115)
2.2
Fresenius
Medical
Care
AG
&
Co.
KGaA
(42,112)
(2,109,858)
51,819
(1.0)
Puma
SE
(24,521)
(1,626,882)
43,922
(0.8)
SAP
SE
(16,390)
(1,493,956)
35,043
(0.6)
Siemens
AG
(Registered)
(19,023)
(1,955,498)
83,552
(1.5)
Symrise
AG
(14,182)
(1,546,764)
(94,580)
1.7
Zalando
SE
(54,725)
(1,441,600)
13,942
(0.3)
Netherlands
Adyen
NV
(1,085)
(1,565,799)
(155,659)
2.9
Argenx
SE
(7,775)
(2,930,813)
(233,887)
4.3
ASM
International
NV
(8,945)
(2,225,581)
(32,079)
0.6
Koninklijke
DSM
NV
(9,721)
(1,392,539)
18,887
(0.3)
South
Korea
Delivery
Hero
SE
(43,174)
(1,628,775)
(38,894)
0.7
Spain
Acciona
SA
(8,513)
(1,568,592)
3,603
(0.1)
Bankinter
SA
(260,611)
(1,630,085)
(54,802)
1.0
CaixaBank
SA
(1,064,699)
(3,728,633)
88,993
(1.6)
Cellnex
Telecom
SA
(109,077)
(4,245,080)
155,748
(2.9)
Ferrovial
SA
(100,136)
(2,547,837)
(71,817)
1.3
Iberdrola
SA
(133,744)
(1,392,464)
(2,310)
0.0
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.70%
to
0.35%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
20-25
months
maturity
02/21/2024
$10,400,231
$(348,720)
$(51,602)
$(400,322)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
17,559
735,740
(51,319)
12.8
100
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Norway
Equinor
ASA
81,667
2,845,719
(62,970)
15.7
Leroy
Seafood
Group
ASA
99,431
711,931
10,828
(2.7)
Norsk
Hydro
ASA
141,411
799,150
(81,231)
20.3
Orkla
ASA
22,214
177,950
9,795
(2.4)
Telenor
ASA
9,346
124,893
3,344
(0.8)
TOMRA
Systems
ASA
6,941
130,268
3,359
(0.8)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(13,475)
(868,463)
(33,945)
8.5
France
Adevinta
ASA
(162,996)
(1,199,965)
(114,395)
28.6
Norway
Gjensidige
Forsikring
ASA
(2,079)
(42,321)
(1,141)
0.3
Kongsberg
Gruppen
ASA
(15,828)
(569,257)
(23,841)
6.0
Salmar
ASA
(18,740)
(1,326,721)
6,999
(1.7)
Schibsted
ASA
(12,332)
(222,765)
(24,946)
6.2
United
Kingdom
Subsea
7
SA
(80,767)
(645,088)
10,743
(2.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-2.13%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
20-25
months
maturity
02/21/2024
$43,713,518
$(138,259)
$40,713
$(97,546)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
42,078
603,050
(16,780)
17.2
Finland
Nordea
Bank
Abp
79,138
699,067
(25,492)
26.1
Sweden
Boliden
AB
38,854
1,242,570
(68,937)
70.7
Elekta
AB
217,511
1,507,454
79,033
(81.0)
Essity
AB
16,197
423,399
(1,471)
1.5
Evolution
AB
2,405
220,012
2,942
(3.0)
Getinge
AB
44,011
1,020,015
80,586
(82.6)
H
&
M
Hennes
&
Mauritz
AB
66,159
794,083
(11,744)
12.0
Saab
AB
46,626
1,928,097
182,428
(187.0)
101
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Securitas
AB
160,376
1,386,582
19,512
(20.0)
Skandinaviska
Enskilda
Banken
AB
81,777
805,654
(23,328)
23.9
Skanska
AB
76,738
1,180,655
(9,428)
9.7
SSAB
AB
614,797
2,554,622
(158,314)
162.3
Svenska
Handelsbanken
AB
75,346
646,763
(12,379)
12.7
Swedbank
AB
152,341
1,932,079
(74,918)
76.8
Swedish
Orphan
Biovitrum
AB
11,050
240,008
4,071
(4.2)
Telefonaktiebolaget
LM
Ericsson
498,592
3,723,993
32,470
(33.3)
Telia
Co.
AB
447,790
1,718,665
31,709
(32.5)
Volvo
AB
60,479
941,016
(33,910)
34.8
Short
Positions
Common
Stocks
Sweden
AAK
AB
(70,768)
(1,154,717)
(66,470)
68.1
Alfa
Laval
AB
(69,497)
(1,684,754)
23,301
(23.9)
Assa
Abloy
AB
(7,491)
(159,858)
(442)
0.5
Atlas
Copco
AB
(16,929)
(158,456)
1,637
(1.7)
Axfood
AB
(53,892)
(1,551,687)
(147,195)
150.9
Beijer
Ref
AB
(65,555)
(898,979)
(22,968)
23.5
BillerudKorsnas
AB
(8,668)
(101,635)
2,029
(2.1)
Electrolux
AB
(47,322)
(639,172)
(11,897)
12.2
Embracer
Group
AB
(177,075)
(1,360,130)
49,581
(50.8)
Epiroc
AB
(86,035)
(1,333,978)
81,428
(83.5)
EQT
AB
(93,128)
(1,914,065)
46,658
(47.8)
Hexagon
AB
(219,218)
(2,290,621)
(38,385)
39.4
Holmen
AB
(14,655)
(596,952)
32,097
(32.9)
Husqvarna
AB
(46,616)
(343,598)
5,369
(5.5)
Indutrade
AB
(1,197)
(21,963)
99
(0.1)
Lifco
AB
(43,784)
(707,051)
6,644
(6.8)
Nibe
Industrier
AB
(282,354)
(2,128,454)
(188,085)
192.8
Sandvik
AB
(14,955)
(243,723)
19,348
(19.8)
SKF
AB
(90,986)
(1,349,895)
62,550
(64.1)
Svenska
Cellulosa
AB
SCA
(29,682)
(445,974)
6,086
(6.2)
Sweco
AB
(50,835)
(529,821)
(38,602)
39.6
Tele2
AB
(23,405)
(266,884)
(7,890)
8.1
United
States
Sinch
AB
(80,628)
(263,367)
50,798
(52.1)
102
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
LONG-SHORT
EQUITY
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BANA
Investment
Companies
$
4,900,077
$
–
$
4,900,077
BARC
Cash
–
16,061,814
16,061,814
BNPP
Cash
47,073,585
–
47,073,585
CITI
Investment
Companies
2,880,024
–
2,880,024
GSIN
Cash
4,060,819
–
4,060,819
U.S.
Treasury
Bills
50,079,598
–
50,079,598
JPMC
U.S.
Treasury
Bills
38,828,476
–
38,828,476
MSIP
U.S.
Treasury
Bills
24,267,605
–
24,267,605
103
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
120.6%
COMMON
STOCKS
-
7.7%
Auto
Components
-
0.8%
Aisin
Corp.
(Japan)
2,700
83,568
Bridgestone
Corp.
(Japan)
3,900
142,192
Denso
Corp.
(Japan)
2,500
131,956
Koito
Manufacturing
Co.
Ltd.
(Japan)
1,900
60,347
Stanley
Electric
Co.
Ltd.
(Japan)
3,700
60,742
Sumitomo
Electric
Industries
Ltd.
(Japan)
8,500
93,929
572,734
Automobiles
-
2.1%
Honda
Motor
Co.
Ltd.
(Japan)
8,400
202,533
Isuzu
Motors
Ltd.
(Japan)
8,600
95,128
Mazda
Motor
Corp.
(Japan)
12,200
99,582
Nissan
Motor
Co.
Ltd.
(Japan)
24,500
95,957
Subaru
Corp.
(Japan)
6,700
118,513
Suzuki
Motor
Corp.
(Japan)
3,300
103,745
Toyota
Motor
Corp.
(Japan)
38,100
587,857
Yamaha
Motor
Co.
Ltd.
(Japan)
4,500
82,632
1,385,947
Banks
-
2.7%
Chiba
Bank
Ltd.
(The)
(Japan)
20,900
114,400
Concordia
Financial
Group
Ltd.
(Japan)
33,700
117,012
Japan
Post
Bank
Co.
Ltd.
(Japan)
14,800
115,225
Mitsubishi
UFJ
Financial
Group,
Inc.
(Japan)
87,700
469,199
Mizuho
Financial
Group,
Inc.
(Japan)
22,200
252,745
Resona
Holdings,
Inc.
(Japan)
38,400
143,636
Shizuoka
Bank
Ltd.
(The)
(Japan)
17,200
103,559
Sumitomo
Mitsui
Financial
Group,
Inc.
(Japan)
10,400
309,141
Sumitomo
Mitsui
Trust
Holdings,
Inc.
(Japan)
5,000
154,530
1,779,447
Household
Durables
-
2.1%
DR
Horton,
Inc.
(1)
2,926
193,672
Garmin
Ltd.
(1)
1,501
147,473
Leggett
&
Platt,
Inc.
(1)
2,637
91,188
Lennar
Corp.,
Class
A
(1)
2,390
168,662
Mohawk
Industries,
Inc.
(1)*
835
103,615
Newell
Brands,
Inc.
(1)
5,283
100,588
NVR,
Inc.
(1)*
33
132,137
PulteGroup,
Inc.
(1)
3,024
119,841
Tempur
Sealy
International,
Inc.
(1)
3,332
71,205
Toll
Brothers,
Inc.
(1)
2,023
90,226
TopBuild
Corp.
(1)*
532
88,929
INVESTMENTS
SHARES
VALUE
($)
Household
Durables
-
2.1%
(continued)
Whirlpool
Corp.
(1)
725
112,281
1,419,817
TOTAL
COMMON
STOCKS
(Cost
$6,466,612)
5,157,945
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
17.1%
U.S.
Treasury
Inflation
Linked
Notes
0.13%,
7/15/2031
(a)
(Cost
$11,652,207)  
$
11,100,000
11,384,191
SHORT-TERM
INVESTMENTS
-
95.8%
REPURCHASE
AGREEMENTS
-
18.3%
JPMS,
1.22%,
dated
6/13/2022,
due
7/14/2022,
repurchase
price
$168,176,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
168,000
168,000
JPMS,
1.22%,
dated
6/13/2022,
due
7/14/2022,
repurchase
price
$588,618,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
588,000
588,000
JPMS,
1.47%,
dated
6/30/2022,
due
7/14/2022,
repurchase
price
$3,471,984,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
3,470,000
3,470,000
JPMS,
1.44%,
dated
6/24/2022,
due
7/14/2022,
repurchase
price
$2,999,273,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
2,996,875
2,996,875
JPMS,
1.15%,
dated
6/6/2022,
due
7/14/2022,
repurchase
price
$5,015,831,
collateralized
by
U.S.
Treasury
Notes,
1.25%,
due
8/15/2031
5,009,750
5,009,750
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$12,232,625)
12,232,625
SHARES
INVESTMENT
COMPANIES
-
44.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(b)(c)
1,746,431
1,746,431
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(b)
28,141,460
28,118,947
TOTAL
INVESTMENT
COMPANIES
(Cost
$29,869,415)
29,865,378
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
32.8%
U.S.
Treasury
Bills
0.22%,
7/7/2022
(d)(e)
$
2,484,000
2,483,690
0.28%,
7/14/2022
(d)(e)
644,000
643,752
0.82%,
9/15/2022
(d)
1,709,000
1,703,300
104
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
32.8%
(continued)
0.87%,
9/22/2022
(d)
$
622,000
619,668
1.06%,
9/29/2022
(d)
1,790,000
1,782,661
1.38%,
10/27/2022
(d)(e)
2,086,000
2,072,853
1.42%,
11/3/2022
(d)
1,140,000
1,132,157
1.39%,
11/10/2022
(d)
4,623,000
4,588,797
1.50%,
11/17/2022
(d)
1,225,000
1,215,298
1.54%,
11/25/2022
(d)
2,293,000
2,273,993
2.18%,
12/15/2022
(d)
1,125,000
1,113,219
2.42%,
12/22/2022
(d)(e)
2,298,000
2,271,286
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$21,932,321)
21,900,674
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$64,034,361)
63,998,677
TOTAL
LONG
POSITIONS
(Cost
$82,153,180)
80,540,813
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
SHORT
POSITIONS
-
(18.3)%
U.S.
TREASURY
OBLIGATIONS
-
(18.3)%
U.S.
Treasury
Notes
1.25%,
8/15/2031
(f)
(Proceeds
$(12,213,236))  
$
(14,200,000)
(12,224,203)
TOTAL
SHORT
POSITIONS
(Proceeds
$(12,213,236))
(12,224,203)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
102.3%
(Cost
$69,939,944)
68,316,610
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(2.3)%
(g)
(1,510,991)
NET
ASSETS
-
100.0%
66,805,619
SECTOR
VALUE
%
OF
NET
ASSETS
Consumer
Discretionary
$
3,378,498
5.0
%
Financials
1,779,447
2.7
Investment
Companies
29,865,378
44.7
Repurchase
Agreements
12,232,625
18.3
U.S.
Treasury
Obligations
21,060,662
31.6
Total
Investments
In
Securities
At
Value
68,316,610
102.3
Liabilities
in
Excess
of
Other
Assets
(g)
(1,510,991)
(2.3)
Net
Assets
$
66,805,619
100.0%
*
Non-income
producing
security.
(a)
On
June
30,
2022,
securities
valued
at
$11,384,191
were
pledged
as
collateral
for
reverse
repurchase
agreements
outstanding.
(b)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(c)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(d)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(e)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(f)
On
June
30,
2022,
securities
valued
at
$(12,224,203)
were
pledged
as
collateral
for
repurchase
agreements
outstanding.
(g)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts,
and
value
of
reverse
repurchase
agreements.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Reverse
repurchase
agreements
at
June
30,
2022:
Over
the
Counter
COUNTERPARTY
TRADE
DATE
RATE
DUE
DATE
CURRENCY
PRINCIPAL
AMOUNT
AND
VALUE
OF
REVERSE
REPURCHASE
AGREEMENT
JPMS
6/6/2022
1.22%
7/14/2022
USD
$
4,803,750
JPMS
6/13/2022
1.30%
7/14/2022
USD
620,250
JPMS
6/24/2022
1.51%
7/14/2022
USD
2,901,500
JPMS
6/30/2022
1.55%
7/14/2022
USD
3,308,000
$
11,633,500
The
weighted
average
daily
balance
of
the
reverse
repurchase
agreements
during
the
period
ended
June
30,
2022
was
$6,872,575
at
a
net
weighted
average
interest
rate
of
0.411%.
105
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Credit
default
swap
contracts
outstanding
-
buy
protection
as
of
June
30,
2022:
Exchange
Cleared
REFERENCE
ENTITY
FINANCING
RATE
PAID
PAYMENT
FREQUENCY
MATURITY
DATE
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
iTraxx
Europe
Crossover
Index
Series
37.V1
5.00
%
Quarterly
6/20/2027
5.80
%
EUR
1,254,000
$
13,402
$
25,617
$
39,019
Markit
CDX
North
America
High
Yield
Index
Series
38.V2
5.00
Quarterly
6/20/2027
5.76
USD
3,693,000
(90,252)
191,911
101,659
$
(76,850)
$
217,528
$
140,678
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
June
30,
2022:
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
1D
SARON
Annual
1.50%
Annual
12/23/2024
CHF
1,500,000
$
(3,153)
$
21,769
$
18,616
Pay
1D
SARON
Annual
1.50%
Annual
12/21/2027
CHF
6,200,000
(48,881)
93,869
44,988
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
1,056,800,000
(32,376)
35,600
3,224
Pay
3M
BBR
Qtrly
4.50%
Qtrly
12/12/2024
AUD
3,200,000
17,334
16,554
33,888
Pay
3M
CD_KSDA
Qtrly
4.00%
Qtrly
12/18/2024
KRW
3,059,800,000
7,701
2,499
10,200
Pay
3M
HIBOR
Qtrly
3.50%
Qtrly
12/18/2024
HKD
5,400,000
3,436
(1,091)
2,345
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
60,300,000
(21,184)
25,249
4,065
Receive
1D
SARON
Annual
1.00%
Annual
9/21/2032
CHF
100,000
5,583
1,786
7,369
Receive
1D
SARON
Annual
1.50%
Annual
12/21/2032
CHF
1,100,000
38,955
(5,674)
33,281
Receive
1D
SOFR
Annual
2.00%
Annual
9/23/2024
USD
23,700,000
221,277
269,219
490,496
Receive
1D
SOFR
Annual
1.00%
Annual
9/23/2024
USD
5,800,000
83,149
149,034
232,183
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
65,900,000
1,464,669
(169,330)
1,295,339
Receive
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
1,400,000
97,034
(1,119)
95,915
Receive
1D
SONIA
Annual
2.00%
Annual
9/23/2024
GBP
34,300,000
239,536
340,587
580,123
Receive
1D
SONIA
Annual
1.00%
Annual
9/23/2024
GBP
22,000,000
491,222
401,469
892,691
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
45,300,000
1,005,713
(208,248)
797,465
Receive
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
2,660,400,000
58,437
(15,839)
42,598
Receive
1D
TONAR
Annual
0.00%
Annual
9/21/2027
JPY
969,800,000
79,562
(8,961)
70,601
Receive
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
288,000,000
17,914
5,725
23,639
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
19,500,000
365,647
106,470
472,117
Receive
3M
BA
Qtrly
2.50%
Semi
12/20/2027
CAD
15,800,000
535,078
36,881
571,959
Receive
3M
BBR
Qtrly
3.00%
Semi
9/11/2024
NZD
5,100,000
10,491
61,920
72,411
Receive
3M
BBR
Qtrly
3.50%
Semi
9/11/2024
NZD
1,800,000
4,410
10,539
14,949
Receive
3M
BBR
Qtrly
3.50%
Qtrly
9/12/2024
AUD
12,300,000
3,911
6,687
10,598
Receive
3M
BBR
Qtrly
3.00%
Qtrly
9/12/2024
AUD
900,000
2,755
4,136
6,891
Receive
3M
BBR
Qtrly
4.00%
Semi
12/11/2024
NZD
300,000
659
197
856
Receive
3M
BBR
Qtrly
4.00%
Semi
12/15/2032
NZD
100,000
614
174
788
Receive
3M
STIBOR
Qtrly
2.00%
Annual
9/18/2024
SEK
65,400,000
72,206
25,250
97,456
Receive
3M
STIBOR
Qtrly
2.50%
Annual
9/18/2024
SEK
2,900,000
(654)
4,332
3,678
Receive
3M
STIBOR
Qtrly
2.50%
Annual
12/18/2024
SEK
28,000,000
6,552
17,706
24,258
Receive
3M
STIBOR
Qtrly
1.50%
Annual
9/15/2032
SEK
12,000,000
(696)
141,836
141,140
Receive
3M
STIBOR
Qtrly
2.50%
Annual
9/15/2032
SEK
14,600,000
7,154
35,200
42,354
Receive
3M
STIBOR
Qtrly
2.50%
Annual
12/15/2032
SEK
7,900,000
12,710
12,668
25,378
Receive
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
1,300,000
42,701
6,551
49,252
Receive
6M
BUBOR
Semi
8.00%
Annual
12/18/2024
HUF
494,200,000
1,759
40,059
41,818
Receive
6M
EURIBOR
Semi
0.00%
Annual
9/21/2027
EUR
2,900,000
111,772
161,960
273,732
Receive
6M
EURIBOR
Semi
0.75%
Annual
9/21/2027
EUR
6,100,000
161,158
185,298
346,456
Receive
6M
EURIBOR
Semi
0.75%
Annual
12/21/2027
EUR
10,200,000
699,751
(68,854)
630,897
106
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
500,000
$
40,221
$
54,167
$
94,388
Receive
6M
EURIBOR
Semi
1.00%
Annual
9/21/2032
EUR
5,300,000
397,196
224,579
621,775
Receive
6M
NIBOR
Semi
3.00%
Annual
9/18/2024
NOK
66,200,000
(6,729)
51,477
44,748
Receive
6M
NIBOR
Semi
3.00%
Annual
12/18/2024
NOK
9,400,000
2,299
6,211
8,510
Receive
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
13,300,000
1,237
–
1,237
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
2,200,000
2,517
3,165
5,682
Receive
6M
PRIBOR
Semi
4.50%
Annual
9/18/2024
CZK
3,500,000
(246)
5,548
5,302
Receive
6M
PRIBOR
Semi
5.50%
Annual
9/18/2024
CZK
14,200,000
2,347
8,130
10,477
Receive
6M
PRIBOR
Semi
4.00%
Annual
9/18/2024
CZK
7,500,000
1,315
12,984
14,299
Receive
6M
PRIBOR
Semi
5.50%
Annual
12/18/2024
CZK
32,500,000
12,714
2,355
15,069
Receive
6M
WIBOR
Semi
4.50%
Annual
9/18/2024
PLN
2,500,000
5,691
26,668
32,359
Receive
6M
WIBOR
Semi
6.50%
Annual
9/18/2024
PLN
3,500,000
516
17,285
17,801
Receive
6M
WIBOR
Semi
7.00%
Annual
9/18/2024
PLN
600,000
(108)
1,986
1,878
Receive
6M
WIBOR
Semi
7.00%
Annual
12/18/2024
PLN
4,500,000
8,613
3,393
12,006
6,231,489
2,160,056
8,391,545
Pay
1D
SARON
Annual
0.50%
Annual
9/23/2024
CHF
5,700,000
(39,751)
(4,851)
(44,602)
Pay
1D
SARON
Annual
0.00%
Annual
9/23/2024
CHF
600,000
(16,185)
5,168
(11,017)
Pay
1D
SARON
Annual
0.50%
Annual
12/23/2024
CHF
5,700,000
(73,785)
3,495
(70,290)
Pay
1D
SARON
Annual
1.00%
Annual
12/21/2027
CHF
100,000
(1,268)
(568)
(1,836)
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2027
USD
15,100,000
(654,243)
97,877
(556,366)
Pay
1D
SOFR
Annual
2.00%
Annual
9/21/2032
USD
4,700,000
(343,512)
10,343
(333,169)
Pay
1D
SOFR
Annual
1.50%
Annual
9/21/2032
USD
1,100,000
(33,643)
(92,031)
(125,674)
Pay
1D
SOFR
Annual
1.75%
Annual
9/23/2052
USD
400,000
(71,195)
(1,196)
(72,391)
Pay
1D
SOFR
Annual
1.75%
Annual
12/23/2052
USD
2,000,000
(365,401)
11,808
(353,593)
Pay
1D
SONIA
Annual
1.00%
Annual
9/21/2027
GBP
4,800,000
(217,297)
(189,390)
(406,687)
Pay
1D
SONIA
Annual
1.75%
Annual
9/21/2027
GBP
7,900,000
(202,144)
(134,204)
(336,348)
Pay
1D
SONIA
Annual
1.75%
Annual
12/21/2027
GBP
8,100,000
(501,829)
162,575
(339,254)
Pay
1D
SONIA
Annual
1.50%
Annual
9/21/2032
GBP
800,000
(87,952)
16,066
(71,886)
Pay
1D
SONIA
Annual
0.75%
Annual
9/21/2032
GBP
1,100,000
(112,550)
(74,196)
(186,746)
Pay
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
2,400,000
(282,477)
68,321
(214,156)
Pay
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
3,842,000,000
(59,744)
9,202
(50,542)
Pay
1M
TIIE
Monthly
9.50%
Monthly
9/18/2024
MXN
8,700,000
2,904
(3,737)
(833)
Pay
1M
TIIE
Monthly
8.50%
Monthly
9/18/2024
MXN
15,900,000
(7,546)
(8,185)
(15,731)
Pay
1M
TIIE
Monthly
9.00%
Monthly
9/18/2024
MXN
11,500,000
(467)
(5,773)
(6,240)
Pay
1M
TIIE
Monthly
8.00%
Monthly
9/18/2024
MXN
14,500,000
(13,947)
(6,877)
(20,824)
Pay
1M
TIIE
Monthly
9.00%
Monthly
12/18/2024
MXN
17,100,000
(1,964)
(6,085)
(8,049)
Pay
1M
TIIE
Monthly
9.50%
Monthly
12/18/2024
MXN
10,100,000
(1,056)
714
(342)
Pay
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
8,500,000
(157,908)
19,939
(137,969)
Pay
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
2,300,000
(188,923)
(29,147)
(218,070)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
4,700,000
(349,349)
(21,500)
(370,849)
Pay
3M
BBR
Qtrly
4.00%
Semi
9/11/2024
NZD
4,400,000
(21,930)
11,422
(10,508)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
100,000
(3,000)
901
(2,099)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
3,200,000
(32,112)
23,705
(8,407)
Pay
3M
BBR
Qtrly
4.00%
Semi
12/15/2027
NZD
500,000
(1,169)
(314)
(1,483)
Pay
3M
BBR
Qtrly
3.50%
Semi
9/15/2032
NZD
1,200,000
1,730
(41,185)
(39,455)
Pay
3M
BBR
Qtrly
3.00%
Semi
9/15/2032
NZD
400,000
(2,068)
(21,289)
(23,357)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
9/19/2024
KRW
603,500,000
1,198
(2,661)
(1,463)
Pay
3M
CD_KSDA
Qtrly
3.00%
Qtrly
9/19/2024
KRW
171,400,000
(1,150)
(544)
(1,694)
Pay
3M
CD_KSDA
Qtrly
3.50%
Qtrly
12/18/2024
KRW
915,600,000
3,819
(7,537)
(3,718)
Pay
3M
HIBOR
Qtrly
2.00%
Qtrly
9/19/2024
HKD
3,800,000
(1,639)
(10,166)
(11,805)
Pay
3M
HIBOR
Qtrly
3.00%
Qtrly
12/18/2024
HKD
5,500,000
(8,983)
4,683
(4,300)
Pay
3M
JIBAR
Qtrly
6.00%
Qtrly
9/18/2024
ZAR
200,000
(49)
(322)
(371)
Pay
3M
JIBAR
Qtrly
6.50%
Qtrly
9/18/2024
ZAR
10,200,000
(764)
(12,550)
(13,314)
Pay
3M
JIBAR
Qtrly
7.00%
Qtrly
9/18/2024
ZAR
3,700,000
(969)
(1,800)
(2,769)
Pay
3M
JIBAR
Qtrly
7.00%
Qtrly
12/18/2024
ZAR
39,700,000
(18,101)
(24,506)
(42,607)
Pay
3M
STIBOR
Qtrly
1.00%
Annual
9/18/2024
SEK
35,600,000
(51,403)
(68,591)
(119,994)
Pay
3M
STIBOR
Qtrly
1.50%
Annual
9/18/2024
SEK
32,400,000
(8,948)
(72,213)
(81,161)
107
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Pay
3M
STIBOR
Qtrly
2.50%
Annual
9/15/2027
SEK
8,400,000
$
(5,066)
$
(6,550)
$
(11,616)
Pay
3M
STIBOR
Qtrly
2.50%
Annual
12/15/2027
SEK
14,600,000
(16,694)
(7,254)
(23,948)
Pay
6M
BBR
Semi
3.50%
Semi
9/09/2032
AUD
400,000
(10,402)
(3,934)
(14,336)
Pay
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
100,000
(2,738)
(3,700)
(6,438)
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2032
AUD
500,000
(12,561)
7,751
(4,810)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
14,500,000
(247,485)
(293,312)
(540,797)
Pay
6M
EURIBOR
Semi
0.50%
Annual
9/23/2024
EUR
45,100,000
(895,512)
(88,504)
(984,016)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
29,800,000
(771,459)
148,821
(622,638)
Pay
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
1,400,000
(201,910)
29,403
(172,507)
Pay
6M
NIBOR
Semi
2.50%
Annual
9/18/2024
NOK
24,700,000
(43,899)
3,329
(40,570)
Pay
6M
NIBOR
Semi
3.00%
Annual
12/15/2027
NOK
7,900,000
(4,981)
(6,941)
(11,922)
Pay
6M
NIBOR
Semi
3.00%
Annual
9/15/2032
NOK
10,900,000
(5,562)
(22,007)
(27,569)
Pay
6M
NIBOR
Semi
2.50%
Annual
9/15/2032
NOK
5,200,000
(37,289)
1,612
(35,677)
Receive
1D
SARON
Annual
1.00%
Annual
12/23/2024
CHF
3,100,000
31,061
(31,301)
(240)
Receive
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
1,900,000
22,974
(58,247)
(35,273)
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2027
JPY
693,100,000
(36,793)
(33,393)
(70,186)
Receive
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
151,500,000
(18,032)
14,903
(3,129)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
12/18/2024
SEK
4,800,000
(4,801)
–
(4,801)
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
14,800,000
10,523
(25,491)
(14,968)
Receive
6M
BBR
Semi
4.00%
Semi
12/09/2027
AUD
1,600,000
19,436
(19,675)
(239)
Receive
6M
PRIBOR
Semi
6.50%
Annual
12/18/2024
CZK
10,200,000
(1,293)
(1,825)
(3,118)
Receive
6M
WIBOR
Semi
8.00%
Annual
12/18/2024
PLN
2,700,000
1,809
(4,991)
(3,182)
(6,157,444)
(796,505)
(6,953,949)
$
74,045
$
1,363,551
$
1,437,596
Abbreviations:
1D:
1
Day
1M:
1
Month
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
June
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
1.50%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
1.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
-0.20%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.04%
1
Month
Mexico
Equilibrium
Interbank
Interest
Rate
(''TIIE''):
8.03%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
1.81%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
2.76%
3
Month
Hong
Kong
Interbank
Offered
Rate
(''HIBOR''):
1.75%
3
Month
Johannesburg
Interbank
Agreed
Rate
(''JIBAR''):
5.01%
3
Month
Korean
Certificate
of
Deposit
(''CD_KSDA''):
2.04%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
0.80%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
2.67%
6
Month
Budapest
Interbank
Offered
Rate
(''BUBOR''):
9.03%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
0.26%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
2.31%
6
Month
Prague
Interbank
Offered
Rate
(''PRIBOR''):
7.35%
6
Month
Warsaw
Interbank
Offered
Rate
(''WIBOR''):
7.25%
108
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
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)
HSCEI
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(3,035,600)
$
3,070
iBovespa
Index
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
08/17/2022
BRL
(4,990,450)
28,551
Live
Cattle
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(265,150)
3,822
Soybean
November
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
(1,166,400)
77,484
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
650,720
13,496
Tel
Aviv
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
07/27/2022
ILS
2,011,603
3,009
MSCI
Brazil
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
CDI
plus
or
minus
a
specified
spread
(-0.90%)
Monthly
GSIN
09/21/2022
BRL
(605,823)
9,212
MSCI
China
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
HIBOR
plus
or
minus
a
specified
spread
(-0.40%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
09/21/2022
HKD
1,569,892
57
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
(-0.40%)
Monthly
GSIN
09/21/2022
EUR
(127,752)
8,874
147,575
DTOP
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
09/15/2022
ZAR
(117,460)
(49)
Live
Cattle
August
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
265,150
(2,425)
Swiss
Market
Index
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
Monthly
MLIN
09/16/2022
CHF
534,350
(2,269)
109
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
TAIEX
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
07/20/2022
TWD
5,849,600
$
(13,434)
TAIEX
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
07/20/2022
TWD
8,774,400
(18,451)
WIG20
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
09/16/2022
PLN
(271,360)
(220)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.07%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
09/21/2022
EUR
670,318
(40,743)
MSCI
Sweden
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
STIBOR
plus
or
minus
a
specified
spread
(0.01%)
Increases
in
total
return
of
reference
entity
Monthly
GSIN
09/21/2022
SEK
1,168,751
(11,354)
(88,945)
$
58,630
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Amsterdam
Exchange
Index
4
7/2022
EUR
$
552,454
$
1,611
Brent
Crude
Oil
52
7/2022
USD
5,669,560
(255,789)
CAC
40
10
Euro
Index
10
7/2022
EUR
619,758
(7,526)
FTSE
Bursa
Malaysia
KLCI
Index
6
7/2022
MYR
97,981
(86)
HSCEI
11
7/2022
HKD
531,930
(2,272)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,673
(24,062)
LME
Aluminum
Base
Metal
1
7/2022
USD
61,250
(26,678)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,661
(25,560)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,833
(16,920)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,806
(21,422)
LME
Aluminum
Base
Metal
2
7/2022
USD
121,678
(32,766)
LME
Aluminum
Base
Metal
2
7/2022
USD
121,300
(52,730)
LME
Aluminum
Base
Metal
4
7/2022
USD
242,966
(84,441)
LME
Copper
Base
Metal
1
7/2022
USD
206,504
(49,866)
LME
Copper
Base
Metal
1
7/2022
USD
206,409
(50,732)
LME
Copper
Base
Metal
1
7/2022
USD
206,625
(40,565)
LME
Copper
Base
Metal
1
7/2022
USD
206,576
(52,033)
LME
Copper
Base
Metal
1
7/2022
USD
206,356
(52,665)
110
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
7/2022
USD
$
206,625
$
(38,624)
LME
Copper
Base
Metal
1
7/2022
USD
206,552
(52,310)
LME
Copper
Base
Metal
3
7/2022
USD
619,725
(153,927)
LME
Lead
Base
Metal
1
7/2022
USD
47,773
(9,198)
LME
Lead
Base
Metal
1
7/2022
USD
47,740
(13,039)
LME
Lead
Base
Metal
1
7/2022
USD
47,768
(9,360)
LME
Lead
Base
Metal
1
7/2022
USD
47,588
(12,645)
LME
Lead
Base
Metal
2
7/2022
USD
95,446
(25,770)
LME
Zinc
Base
Metal
1
7/2022
USD
79,544
(31,397)
LME
Zinc
Base
Metal
1
7/2022
USD
79,494
(31,470)
LME
Zinc
Base
Metal
1
7/2022
USD
79,473
(28,462)
LME
Zinc
Base
Metal
1
7/2022
USD
79,419
(24,108)
LME
Zinc
Base
Metal
1
7/2022
USD
79,452
(26,070)
LME
Zinc
Base
Metal
1
7/2022
USD
79,425
(25,070)
LME
Zinc
Base
Metal
1
7/2022
USD
79,575
(32,082)
LME
Zinc
Base
Metal
2
7/2022
USD
159,150
(55,626)
LME
Zinc
Base
Metal
2
7/2022
USD
159,138
(61,549)
LME
Zinc
Base
Metal
4
7/2022
USD
318,275
(120,762)
OMXS30
Index
8
7/2022
SEK
146,279
(5,046)
RBOB
Gasoline
2
7/2022
USD
297,049
(16,149)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,919
(8,047)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,978
(13,290)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,981
(12,347)
LME
Aluminum
Base
Metal
2
8/2022
USD
122,000
(20,756)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,775
(25,228)
LME
Aluminum
Base
Metal
3
8/2022
USD
182,888
(31,326)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,507
(54,605)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,650
(36,062)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,850
(46,797)
LME
Copper
Base
Metal
1
8/2022
USD
206,550
(30,771)
LME
Copper
Base
Metal
1
8/2022
USD
206,550
(27,578)
LME
Copper
Base
Metal
2
8/2022
USD
413,263
(46,871)
LME
Copper
Base
Metal
2
8/2022
USD
413,283
(62,968)
LME
Lead
Base
Metal
1
8/2022
USD
47,763
(3,815)
LME
Lead
Base
Metal
1
8/2022
USD
47,800
(4,328)
LME
Lead
Base
Metal
1
8/2022
USD
47,838
(5,053)
LME
Lead
Base
Metal
1
8/2022
USD
47,800
(8,950)
LME
Lead
Base
Metal
1
8/2022
USD
47,800
(8,833)
LME
Nickel
Base
Metal
1
8/2022
USD
136,056
(22,389)
LME
Nickel
Base
Metal
1
8/2022
USD
136,020
(41,163)
LME
Zinc
Base
Metal
1
8/2022
USD
79,244
(14,009)
LME
Zinc
Base
Metal
1
8/2022
USD
79,406
(15,408)
LME
Zinc
Base
Metal
2
8/2022
USD
158,613
(16,118)
LME
Zinc
Base
Metal
6
8/2022
USD
476,438
(126,880)
Low
Sulphur
Gasoil
1
8/2022
USD
112,400
(14,163)
Australia
10
Year
Bond
100
9/2022
AUD
8,248,148
158,822
EURO
STOXX
50
Index
4
9/2022
EUR
144,240
(2,594)
Euro-Bobl
2
9/2022
EUR
260,311
3,823
Euro-Bund
89
9/2022
EUR
13,879,144
(90,404)
Euro-Schatz
8
9/2022
EUR
915,112
3,196
FTSE
100
Index
19
9/2022
GBP
1,646,995
(25,512)
FTSE/MIB
Index
11
9/2022
EUR
1,222,371
(49,661)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,094
(8,166)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,138
(315)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,119
(4,394)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,138
(2,940)
111
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
2
9/2022
USD
$
122,250
$
(9,543)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,272
(5,969)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,200
(15,519)
LME
Aluminum
Base
Metal
3
9/2022
USD
183,281
(2,728)
LME
Aluminum
Base
Metal
7
9/2022
USD
427,919
(2,598)
LME
Aluminum
Base
Metal
8
9/2022
USD
489,050
(85,209)
LME
Copper
Base
Metal
1
9/2022
USD
206,450
(2,678)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(35,706)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(26,865)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(33,646)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(36,617)
LME
Copper
Base
Metal
2
9/2022
USD
413,200
(50,105)
LME
Copper
Base
Metal
2
9/2022
USD
412,850
(16,487)
LME
Copper
Base
Metal
5
9/2022
USD
1,032,500
(121,396)
LME
Lead
Base
Metal
1
9/2022
USD
47,688
(454)
LME
Lead
Base
Metal
1
9/2022
USD
47,700
(1,804)
LME
Lead
Base
Metal
1
9/2022
USD
47,778
(7,006)
LME
Lead
Base
Metal
1
9/2022
USD
47,688
(765)
LME
Lead
Base
Metal
1
9/2022
USD
47,764
(6,430)
LME
Lead
Base
Metal
2
9/2022
USD
95,425
(8,896)
LME
Lead
Base
Metal
7
9/2022
USD
333,988
(38,743)
LME
Nickel
Base
Metal
1
9/2022
USD
136,230
(40,773)
LME
Nickel
Base
Metal
1
9/2022
USD
136,223
(19,180)
LME
Nickel
Base
Metal
1
9/2022
USD
136,179
(2,304)
LME
Nickel
Base
Metal
1
9/2022
USD
136,206
(17,037)
LME
Zinc
Base
Metal
1
9/2022
USD
79,186
(11,923)
LME
Zinc
Base
Metal
1
9/2022
USD
78,925
(1,487)
LME
Zinc
Base
Metal
1
9/2022
USD
79,173
(10,766)
LME
Zinc
Base
Metal
5
9/2022
USD
394,646
(25,389)
LME
Zinc
Base
Metal
8
9/2022
USD
631,700
(55,139)
LME
Zinc
Base
Metal
28
9/2022
USD
2,212,525
(287,923)
S&P
Midcap
400
E-Mini
Index
29
9/2022
USD
6,577,200
(313,515)
S&P/TSX
60
Index
12
9/2022
CAD
2,130,205
(89,830)
SET50
Index
141
9/2022
THB
749,448
(10,563)
Silver
7
9/2022
USD
712,320
(35,401)
SPI
200
Index
11
9/2022
AUD
1,226,419
(12,216)
TOPIX
Index
26
9/2022
JPY
3,584,390
16,450
U.S.
Treasury
Ultra
Bond
13
9/2022
USD
1,991,438
(14,904)
Brent
Crude
Oil
16
10/2022
USD
1,609,280
(15,968)
Soybean
22
11/2022
USD
1,603,800
(116,277)
Soybean
Meal
17
12/2022
USD
691,390
16,535
Soybean
Oil
8
12/2022
USD
309,408
(59,037)
(3,898,877)
Short
Contracts
Hang
Seng
Index
(29)
7/2022
HKD
(4,018,046)
36,226
IBEX
35
Index
(17)
7/2022
EUR
(1,432,267)
11,313
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,661)
26,168
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,806)
21,344
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(61,250)
26,210
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,673)
23,822
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,833)
16,841
LME
Aluminum
Base
Metal
(2)
7/2022
USD
(121,300)
52,388
LME
Aluminum
Base
Metal
(2)
7/2022
USD
(121,678)
33,418
LME
Aluminum
Base
Metal
(4)
7/2022
USD
(242,966)
81,868
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,409)
50,126
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,552)
51,194
112
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(1)
7/2022
USD
$
(206,576)
$
51,307
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,504)
50,168
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,625)
39,372
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,625)
40,126
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,356)
51,266
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,725)
151,782
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,740)
12,808
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,768)
9,048
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,588)
12,759
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,773)
8,933
LME
Lead
Base
Metal
(2)
7/2022
USD
(95,446)
26,049
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,452)
25,420
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,494)
31,787
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,419)
24,778
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,575)
32,172
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,473)
27,074
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,544)
31,878
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,425)
26,497
LME
Zinc
Base
Metal
(2)
7/2022
USD
(159,150)
53,994
LME
Zinc
Base
Metal
(2)
7/2022
USD
(159,138)
61,657
LME
Zinc
Base
Metal
(4)
7/2022
USD
(318,275)
125,113
MSCI
Singapore
Index
(1)
7/2022
SGD
(20,194)
585
NY
Harbor
ULSD
(6)
7/2022
USD
(965,286)
97,975
SGX
FTSE
China
A50
Index
(6)
7/2022
USD
(89,298)
(1,271)
SGX
FTSE
Taiwan
Index
(8)
7/2022
USD
(405,760)
16,704
SGX
NIFTY
50
Index
(73)
7/2022
USD
(2,295,485)
15,085
WTI
Crude
Oil
(29)
7/2022
USD
(3,067,040)
127,777
100
oz
Gold
(7)
8/2022
USD
(1,265,110)
26,910
Lean
Hogs
(7)
8/2022
USD
(285,880)
6,738
Live
Cattle
(29)
8/2022
USD
(1,537,870)
16,852
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,978)
13,532
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,981)
11,804
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,919)
7,409
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,775)
23,556
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(122,000)
20,865
LME
Aluminum
Base
Metal
(3)
8/2022
USD
(182,888)
29,335
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,507)
52,843
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,850)
46,989
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,650)
33,382
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,550)
29,722
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,550)
27,661
LME
Copper
Base
Metal
(2)
8/2022
USD
(413,263)
47,772
LME
Copper
Base
Metal
(2)
8/2022
USD
(413,283)
65,212
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,800)
9,005
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,800)
9,197
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,763)
3,429
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,800)
4,234
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,838)
4,962
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,020)
36,267
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,056)
22,452
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,406)
16,591
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,244)
14,084
LME
Zinc
Base
Metal
(2)
8/2022
USD
(158,613)
15,997
LME
Zinc
Base
Metal
(6)
8/2022
USD
(476,438)
120,799
Australia
3
Year
Bond
(7)
9/2022
AUD
(521,008)
(2,674)
Canada
10
Year
Bond
(8)
9/2022
CAD
(771,224)
(11,172)
113
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Cocoa
(14)
9/2022
USD
$
(327,600)
$
23,821
Coffee
'C'
(4)
9/2022
USD
(345,150)
(3,196)
Corn
(61)
9/2022
USD
(1,917,688)
307,389
DAX
Index
(14)
9/2022
EUR
(4,684,179)
251,058
DJIA
CBOT
E-Mini
Index
(6)
9/2022
USD
(923,430)
9,460
Euro-BTP
(27)
9/2022
EUR
(3,491,843)
(38,628)
Euro-Buxl
(4)
9/2022
EUR
(683,766)
51,362
FTSE/JSE
Top
40
Index
(27)
9/2022
ZAR
(995,077)
2,933
KOSPI
200
Index
(29)
9/2022
KRW
(1,716,738)
168,189
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,138)
(160)
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,138)
3,503
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,119)
4,310
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,094)
8,404
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,272)
4,889
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,200)
16,144
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,250)
8,288
LME
Aluminum
Base
Metal
(3)
9/2022
USD
(183,281)
4,159
LME
Aluminum
Base
Metal
(7)
9/2022
USD
(427,919)
5,046
LME
Aluminum
Base
Metal
(34)
9/2022
USD
(2,078,463)
223,593
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,450)
3,833
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
36,491
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
36,716
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
34,333
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
25,641
LME
Copper
Base
Metal
(2)
9/2022
USD
(412,850)
18,045
LME
Copper
Base
Metal
(2)
9/2022
USD
(413,200)
49,137
LME
Copper
Base
Metal
(10)
9/2022
USD
(2,065,000)
260,117
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,778)
6,720
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,764)
6,796
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,688)
175
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,688)
955
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,700)
2,422
LME
Lead
Base
Metal
(2)
9/2022
USD
(95,425)
9,157
LME
Lead
Base
Metal
(2)
9/2022
USD
(95,425)
1,142
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,206)
18,067
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,179)
(747)
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,230)
39,818
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,223)
17,349
LME
Nickel
Base
Metal
(5)
9/2022
USD
(681,030)
100,749
LME
Zinc
Base
Metal
(1)
9/2022
USD
(78,925)
3,141
LME
Zinc
Base
Metal
(1)
9/2022
USD
(79,173)
12,074
LME
Zinc
Base
Metal
(1)
9/2022
USD
(79,019)
14,129
LME
Zinc
Base
Metal
(1)
9/2022
USD
(79,186)
11,387
LME
Zinc
Base
Metal
(5)
9/2022
USD
(394,646)
22,639
LME
Zinc
Base
Metal
(8)
9/2022
USD
(631,700)
63,101
Long
Gilt
(94)
9/2022
GBP
(13,085,780)
317,764
MEX
BOLSA
Index
(4)
9/2022
MXN
(94,936)
2,064
MSCI
Emerging
Markets
E-Mini
Index
(7)
9/2022
USD
(350,945)
463
NASDAQ
100
E-Mini
Index
(16)
9/2022
USD
(3,689,440)
233,930
Russell
2000
E-Mini
Index
(29)
9/2022
USD
(2,476,600)
96,501
S&P
500
E-Mini
Index
(77)
9/2022
USD
(14,589,575)
552,912
Sugar
No.
11
(8)
9/2022
USD
(165,760)
2,154
U.S.
Treasury
10
Year
Note
(112)
9/2022
USD
(13,256,250)
(123,365)
U.S.
Treasury
2
Year
Note
(87)
9/2022
USD
(18,257,767)
(16,021)
U.S.
Treasury
5
Year
Note
(72)
9/2022
USD
(8,074,125)
40,221
U.S.
Treasury
Long
Bond
(6)
9/2022
USD
(828,938)
7,653
114
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Wheat
(49)
9/2022
USD
$
(2,165,800)
$
326,803
Cotton
No.
2
(1)
12/2022
USD
(49,420)
2,406
Platinum
(4)
4/2023
JPY
(58,800)
254
Platinum
(1)
6/2023
JPY
(14,597)
18
5,573,222
$
1,674,345
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
AUD
214,500
USD
148,048
CITI
9/21/2022
$
110
AUD
214,500
USD
148,048
JPMC
9/21/2022
110
BRL
2,203,000
USD
411,027
CITI
**
9/21/2022
403
BRL
2,203,000
USD
411,027
JPMC
**
9/21/2022
402
CAD
1,645,424
USD
1,272,856
CITI
9/21/2022
5,624
CAD
1,645,424
USD
1,272,858
JPMC
9/21/2022
5,623
CHF
6,832,000
USD
7,128,203
CITI
9/21/2022
69,657
CHF
6,832,000
USD
7,128,211
JPMC
9/21/2022
69,648
CNY
28,531,314
USD
4,220,846
CITI
**
9/21/2022
39,654
CNY
28,531,311
USD
4,220,850
JPMC
**
9/21/2022
39,648
COP
1,000
USD
–
CITI
**
9/21/2022
–
COP
1,000
USD
–
JPMC
**
9/21/2022
–
EUR
1,255,736
USD
1,319,965
CITI
9/21/2022
3,547
EUR
1,255,731
USD
1,319,961
JPMC
9/21/2022
3,544
HUF
252,071,503
USD
655,260
CITI
9/21/2022
2,308
HUF
252,071,497
USD
655,260
JPMC
9/21/2022
2,306
JPY
23,370,500
USD
172,012
CITI
9/21/2022
1,213
JPY
23,370,500
USD
172,012
JPMC
9/21/2022
1,212
KRW
896,124,500
USD
691,045
CITI
**
9/21/2022
5,530
KRW
896,124,500
USD
691,046
JPMC
**
9/21/2022
5,529
MXN
9,438,000
USD
451,640
CITI
9/21/2022
10,778
MXN
9,438,000
USD
451,641
JPMC
9/21/2022
10,777
NOK
9,560,000
USD
961,026
CITI
9/21/2022
11,295
NOK
9,560,000
USD
961,027
JPMC
9/21/2022
11,294
SEK
36,000
USD
3,524
CITI
9/21/2022
7
SEK
36,000
USD
3,524
JPMC
9/21/2022
7
SGD
27,500
USD
19,790
CITI
9/21/2022
15
SGD
27,500
USD
19,790
JPMC
9/21/2022
15
TWD
165,816
USD
5,605
CITI
**
9/21/2022
9
TWD
165,816
USD
5,604
JPMC
**
9/21/2022
10
USD
229,613
AUD
325,518
CITI
9/21/2022
4,774
USD
229,610
AUD
325,514
JPMC
9/21/2022
4,773
USD
2,438,809
BRL
12,843,001
CITI
**
9/21/2022
40,266
USD
2,438,806
BRL
12,842,999
JPMC
**
9/21/2022
40,264
USD
518,463
CAD
665,025
CITI
9/21/2022
1,745
USD
518,461
CAD
665,023
JPMC
9/21/2022
1,743
USD
862,781
CLP
725,718,506
CITI
**
9/21/2022
85,042
USD
862,780
CLP
725,718,494
JPMC
**
9/21/2022
85,040
USD
4,271,583
CNY
28,565,812
CITI
**
9/21/2022
5,934
USD
4,271,578
CNY
28,565,813
JPMC
**
9/21/2022
5,929
USD
2,928,560
COP
11,955,839,502
CITI
**
9/21/2022
87,052
115
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
2,928,557
COP
11,955,839,498
JPMC
**
9/21/2022
$
87,048
USD
1,940,308
CZK
45,218,852
CITI
9/21/2022
45,389
USD
1,940,305
CZK
45,218,851
JPMC
9/21/2022
45,387
USD
8,256,364
EUR
7,741,170
CITI
9/21/2022
97,385
USD
8,256,338
EUR
7,741,155
JPMC
9/21/2022
97,375
USD
3,242,017
GBP
2,594,704
CITI
9/21/2022
78,600
USD
3,241,994
GBP
2,594,689
JPMC
9/21/2022
78,595
USD
2,309,124
HUF
861,132,503
CITI
9/21/2022
62,729
USD
2,309,121
HUF
861,132,497
JPMC
9/21/2022
62,727
USD
10,789
IDR
160,466,000
CITI
**
9/21/2022
89
USD
10,789
IDR
160,466,000
JPMC
**
9/21/2022
89
USD
3,250,216
ILS
10,934,484
CITI
9/21/2022
101,685
USD
3,250,211
ILS
10,934,482
JPMC
9/21/2022
101,681
USD
25,110
INR
1,974,000
CITI
**
9/21/2022
295
USD
25,110
INR
1,974,000
JPMC
**
9/21/2022
295
USD
6,006,022
JPY
777,693,003
CITI
9/21/2022
241,693
USD
6,006,015
JPY
777,692,997
JPMC
9/21/2022
241,685
USD
3,496,096
KRW
4,439,071,001
CITI
**
9/21/2022
45,518
USD
3,496,092
KRW
4,439,070,999
JPMC
**
9/21/2022
45,513
USD
2,720,558
MXN
54,938,921
CITI
9/21/2022
28,809
USD
2,720,554
MXN
54,938,920
JPMC
9/21/2022
28,806
USD
2,458,540
NOK
23,709,404
CITI
9/21/2022
47,122
USD
2,458,537
NOK
23,709,402
JPMC
9/21/2022
47,119
USD
7,031,305
NZD
11,053,108
CITI
9/21/2022
134,434
USD
7,031,295
NZD
11,053,106
JPMC
9/21/2022
134,424
USD
928,069
PHP
49,668,000
CITI
**
9/21/2022
30,389
USD
928,068
PHP
49,668,000
JPMC
**
9/21/2022
30,388
USD
2,876,267
PLN
12,804,500
CITI
9/21/2022
50,694
USD
2,876,263
PLN
12,804,500
JPMC
9/21/2022
50,690
USD
2,434,648
SEK
24,311,000
CITI
9/21/2022
50,089
USD
2,434,645
SEK
24,311,000
JPMC
9/21/2022
50,086
USD
6,112
THB
212,500
CITI
9/21/2022
79
USD
6,112
THB
212,500
JPMC
9/21/2022
79
USD
1,645,959
TWD
48,294,065
CITI
**
9/21/2022
11,035
USD
1,645,957
TWD
48,294,060
JPMC
**
9/21/2022
11,033
USD
1,308,268
ZAR
21,026,000
CITI
9/21/2022
26,419
USD
1,308,266
ZAR
21,026,000
JPMC
9/21/2022
26,417
ZAR
1,505,500
USD
91,436
CITI
9/21/2022
347
ZAR
1,505,500
USD
91,436
JPMC
9/21/2022
346
Total
unrealized
appreciation
2,855,420
AUD
10,272,842
USD
7,263,448
CITI
9/21/2022
(167,867)
AUD
10,272,835
USD
7,263,452
JPMC
9/21/2022
(167,876)
BRL
11,514,708
USD
2,302,841
CITI
**
9/21/2022
(152,369)
BRL
11,514,703
USD
2,302,843
JPMC
**
9/21/2022
(152,371)
CAD
5,243,443
USD
4,128,307
CITI
9/21/2022
(54,195)
CAD
5,243,438
USD
4,128,148
JPMC
9/21/2022
(54,040)
CLP
1,475,381,364
USD
1,717,302
CITI
**
9/21/2022
(136,162)
CLP
1,475,381,340
USD
1,717,304
JPMC
**
9/21/2022
(136,165)
CNY
1,434,500
USD
214,627
CITI
**
9/21/2022
(418)
CNY
1,434,500
USD
214,627
JPMC
**
9/21/2022
(418)
COP
13,176,110,843
USD
3,303,153
CITI
**
9/21/2022
(171,626)
COP
13,176,110,837
USD
3,303,157
JPMC
**
9/21/2022
(171,630)
CZK
21,574,500
USD
924,607
CITI
9/21/2022
(20,516)
CZK
21,574,500
USD
924,608
JPMC
9/21/2022
(20,518)
EUR
6,550,149
USD
7,002,310
CITI
9/21/2022
(98,634)
EUR
6,550,142
USD
7,002,311
JPMC
9/21/2022
(98,642)
GBP
590,895
USD
729,993
CITI
9/21/2022
(9,584)
GBP
590,891
USD
729,989
JPMC
9/21/2022
(9,585)
116
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
(Continued)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
HUF
953,053,672
USD
2,552,498
CITI
9/21/2022
$
(66,313)
HUF
953,053,672
USD
2,552,501
JPMC
9/21/2022
(66,315)
IDR
2,233,913,500
USD
151,291
CITI
**
9/21/2022
(2,339)
IDR
2,233,913,500
USD
151,292
JPMC
**
9/21/2022
(2,339)
ILS
3,619,500
USD
1,082,658
CITI
9/21/2022
(40,441)
ILS
3,619,500
USD
1,082,660
JPMC
9/21/2022
(40,443)
INR
82,069,868
USD
1,043,672
CITI
**
9/21/2022
(12,004)
INR
82,069,868
USD
1,043,673
JPMC
**
9/21/2022
(12,005)
JPY
913,900,689
USD
7,049,414
CITI
9/21/2022
(275,502)
JPY
913,900,684
USD
7,049,423
JPMC
9/21/2022
(275,510)
KRW
1,468,776,540
USD
1,152,785
CITI
**
9/21/2022
(11,075)
KRW
1,468,776,540
USD
1,152,797
JPMC
**
9/21/2022
(11,087)
MXN
70,058,506
USD
3,454,928
CITI
9/21/2022
(22,392)
MXN
70,058,504
USD
3,454,932
JPMC
9/21/2022
(22,396)
NOK
38,709,373
USD
4,017,913
CITI
9/21/2022
(80,890)
NOK
38,709,362
USD
4,017,917
JPMC
9/21/2022
(80,895)
NZD
265,601
USD
169,455
CITI
9/21/2022
(3,727)
NZD
265,600
USD
169,455
JPMC
9/21/2022
(3,727)
PHP
13,535,500
USD
255,797
CITI
**
9/21/2022
(11,162)
PHP
13,535,500
USD
255,805
JPMC
**
9/21/2022
(11,169)
PLN
2,374,500
USD
532,477
CITI
9/21/2022
(8,495)
PLN
2,374,500
USD
532,478
JPMC
9/21/2022
(8,496)
SEK
44,332,303
USD
4,467,201
CITI
9/21/2022
(118,840)
SEK
44,332,302
USD
4,467,207
JPMC
9/21/2022
(118,845)
SGD
2,102,627
USD
1,524,685
CITI
9/21/2022
(10,471)
SGD
2,102,627
USD
1,524,686
JPMC
9/21/2022
(10,473)
THB
2,521,501
USD
73,494
CITI
9/21/2022
(1,906)
THB
2,521,499
USD
73,495
JPMC
9/21/2022
(1,906)
TWD
1,160,712
USD
39,582
CITI
**
9/21/2022
(288)
TWD
1,160,712
USD
39,587
JPMC
**
9/21/2022
(293)
USD
509,080
BRL
2,728,500
CITI
**
9/21/2022
(491)
USD
509,080
BRL
2,728,500
JPMC
**
9/21/2022
(492)
USD
475,076
CAD
616,342
CITI
9/21/2022
(3,817)
USD
475,074
CAD
616,341
JPMC
9/21/2022
(3,817)
USD
5,026,955
CHF
4,849,491
CITI
9/21/2022
(82,231)
USD
5,026,945
CHF
4,849,488
JPMC
9/21/2022
(82,237)
USD
3,735,215
CNY
25,137,000
CITI
**
9/21/2022
(18,421)
USD
3,735,211
CNY
25,137,000
JPMC
**
9/21/2022
(18,426)
USD
310,935
COP
1,310,541,000
CITI
**
9/21/2022
(538)
USD
310,934
COP
1,310,541,000
JPMC
**
9/21/2022
(538)
USD
2,792,260
EUR
2,656,309
CITI
9/21/2022
(7,416)
USD
2,792,255
EUR
2,656,307
JPMC
9/21/2022
(7,420)
USD
510,296
HUF
196,825,000
CITI
9/21/2022
(3,152)
USD
510,295
HUF
196,825,000
JPMC
9/21/2022
(3,153)
USD
1,381,843
JPY
186,789,500
CITI
9/21/2022
(2,657)
USD
1,381,841
JPY
186,789,500
JPMC
9/21/2022
(2,659)
USD
459,838
KRW
595,358,500
CITI
**
9/21/2022
(2,947)
USD
459,837
KRW
595,358,500
JPMC
**
9/21/2022
(2,947)
USD
800,109
MXN
16,464,000
CITI
9/21/2022
(6,549)
USD
800,108
MXN
16,464,000
JPMC
9/21/2022
(6,550)
USD
1,049,057
NOK
10,454,500
CITI
9/21/2022
(14,242)
USD
1,049,055
NOK
10,454,500
JPMC
9/21/2022
(14,243)
USD
682,564
NZD
1,096,000
CITI
9/21/2022
(1,314)
USD
682,563
NZD
1,096,000
JPMC
9/21/2022
(1,314)
USD
283,046
SGD
394,000
CITI
9/21/2022
(694)
USD
283,046
SGD
394,000
JPMC
9/21/2022
(694)
USD
65,264
THB
2,309,001
CITI
9/21/2022
(292)
USD
65,264
THB
2,308,999
JPMC
9/21/2022
(292)
117
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MACRO
OPPORTUNITIES
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
222,845
TWD
6,584,438
CITI
**
9/21/2022
$
(61)
USD
222,845
TWD
6,584,437
JPMC
**
9/21/2022
(61)
ZAR
41,344,743
USD
2,576,343
CITI
9/21/2022
(55,764)
ZAR
41,344,739
USD
2,576,346
JPMC
9/21/2022
(55,766)
Total
unrealized
depreciation
(3,355,555)
Net
unrealized
depreciation
$
(500,135)
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
2,115,375
$
2,115,375
CITG
Cash
–
176,608
176,608
CITI
Investment
Companies
704,440
–
704,440
GSCO
Cash
–
383,270
383,270
GSIN
U.S.
Treasury
Bills
238,446
–
238,446
JPMC
Investment
Companies
1,041,991
–
1,041,991
JPMS
Cash
–
(231,290)
(231,290)
U.S.
Treasury
Inflation
Linked
Notes
11,384,191
–
11,384,191
U.S.
Treasury
Notes
(12,224,203)
–
(12,224,203)
MLIN
Cash
120,000
–
120,000
MSCL
Cash
–
548,869
548,869
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
742,883
$
742,883
GSIN
Cash
260,169
–
260,169
JPPC
Cash
–
511,793
511,793
MACQ
U.S.
Treasury
Bills
109,307
–
109,307
MSCL
Cash
–
428,928
428,928
118
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
92.4%
INVESTMENT
COMPANIES
-
16.2%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(a)(b)
12,331,330
12,331,330
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
234,164,545
233,977,213
TOTAL
INVESTMENT
COMPANIES
(Cost
$246,302,835)
246,308,543
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
76.2%
U.S.
Treasury
Bills
0.37%,
7/21/2022
(c)
$
35,201,000
35,181,150
0.38%,
7/28/2022
(c)
69,559,000
69,502,787
0.49%,
8/4/2022
(c)
112,580,000
112,454,270
0.77%,
8/18/2022
(c)(d)
19,817,000
19,781,836
0.70%,
9/8/2022
(c)(d)
181,613,000
181,076,504
0.82%,
9/15/2022
(c)
242,107,000
241,299,438
0.87%,
9/22/2022
(c)(d)
114,014,000
113,586,624
1.06%,
9/29/2022
(c)
122,069,000
121,568,517
1.12%,
10/6/2022
(c)
3,772,000
3,754,316
1.23%,
10/13/2022
(c)
16,853,000
16,762,188
1.26%,
10/20/2022
(c)
20,822,000
20,696,406
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
76.2%
(continued)
1.38%,
10/27/2022
(c)(d)
$
52,369,000
52,038,952
1.42%,
11/3/2022
(c)(d)
36,328,000
36,078,056
1.39%,
11/10/2022
(c)(d)
39,082,000
38,792,855
1.50%,
11/17/2022
(c)(d)
16,278,000
16,149,077
2.18%,
12/15/2022
(c)(d)
24,722,000
24,463,104
2.42%,
12/22/2022
(c)(d)
59,237,000
58,548,383
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$1,163,324,036)
1,161,734,463
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$1,409,626,871)
1,408,043,006
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
92.4%
(Cost
$1,409,626,871)
1,408,043,006
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
7.6%
(e)
115,219,753
NET
ASSETS
-
100.0%
1,523,262,759
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
246,308,543
16.2
U.S.
Treasury
Obligations
1,161,734,463
76.2
Total
Investments
In
Securities
At
Value
$
1,408,043,006
92.4
Other
Assets
in
Excess
of
Liabilities
(e)
115,219,753
7.6
Net
Assets
$
1,523,262,759
100.0%
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
June
30,
2022:
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
1D
SARON
Annual
1.50%
Annual
12/21/2027
CHF
169,300,000
$
(2,073,661)
$
3,302,120
$
1,228,459
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
5,779,800,000
(138,029)
155,659
17,630
Pay
3M
BBR
Qtrly
4.50%
Semi
12/15/2027
NZD
127,100,000
149,359
1,233,639
1,382,998
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2027
SEK
1,071,700,000
(367,235)
1,020,002
652,767
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2027
AUD
80,000,000
(1,492,390)
1,504,340
11,950
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2027
AUD
168,000,000
1,462,447
1,168,485
2,630,932
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2032
AUD
4,700,000
(58,998)
146,636
87,638
Pay
6M
NIBOR
Semi
3.50%
Annual
12/15/2027
NOK
822,700,000
282,009
307,284
589,293
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
1,147,800,000
28,810,603
(6,244,961)
22,565,642
Receive
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
65,100,000
5,483,794
(887,373)
4,596,421
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
917,700,000
22,840,365
(6,588,337)
16,252,028
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
22,700,000
2,440,192
(507,494)
1,932,698
Receive
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
18,703,900,000
1,808,970
(273,712)
1,535,258
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
383,100,000
7,435,392
(1,037,227)
6,398,165
Receive
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
1,094,300,000
32,713,851
(9,849,660)
22,864,191
119
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
62,000,000
$
8,803,261
$
(1,163,641)
$
7,639,620
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
110,300,000
257,204
43,468
300,672
108,357,134
(17,670,772)
90,686,362
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2027
USD
604,500,000
(27,286,756)
4,876,383
(22,410,373)
Pay
1D
SONIA
Annual
1.75%
Annual
12/21/2027
GBP
430,500,000
(21,906,744)
3,876,002
(18,030,742)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
49,086,800,000
(964,069)
162,110
(801,959)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2027
CAD
77,300,000
(3,407,783)
617,994
(2,789,789)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
48,700,000
(4,302,008)
469,287
(3,832,721)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/21/2027
EUR
575,400,000
(42,836,067)
7,246,053
(35,590,014)
Receive
1D
SARON
Annual
1.50%
Annual
12/23/2024
CHF
204,000,000
(211,518)
(1,948,068)
(2,159,586)
Receive
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
44,600,000
433,970
(1,261,951)
(827,981)
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2027
JPY
12,438,500,000
(839,329)
(420,236)
(1,259,565)
Receive
3M
BBR
Qtrly
4.50%
Semi
12/11/2024
NZD
151,100,000
212,266
(662,535)
(450,269)
Receive
3M
BBR
Qtrly
4.50%
Qtrly
12/12/2024
AUD
604,100,000
(2,013,384)
(4,384,048)
(6,397,432)
Receive
3M
BBR
Qtrly
4.50%
Semi
12/15/2032
NZD
34,900,000
(98,869)
(507,719)
(606,588)
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
620,800,000
212,232
(254,080)
(41,848)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
12/18/2024
SEK
667,000,000
(555,376)
(112,415)
(667,791)
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
284,700,000
240,164
(528,091)
(287,927)
Receive
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
988,400,000
113,178
(126,479)
(13,301)
Receive
6M
NIBOR
Semi
3.50%
Annual
12/15/2032
NOK
114,200,000
48,959
(228,829)
(179,870)
(103,161,134)
6,813,378
(96,347,756)
$
5,196,000
$
(10,857,394)
$
(5,661,394)
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
June
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
1.50%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
1.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
-0.20%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.04%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
1.81%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
2.76%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
0.80%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
2.67%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
0.26%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
2.31%
120
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(187,200)
$
14,249
Hang
Seng
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(63,057,600)
31,161
HSCEI
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
07/28/2022
HKD
(19,351,950)
28,618
HSCEI
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(2,656,150)
1,131
iBovespa
Index
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MSCS
08/17/2022
BRL
(151,709,680)
1,275,573
KOSPI
200
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
09/08/2022
KRW
(76,862,500)
7,808
Lean
Hogs
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
07/15/2022
USD
261,900
6,043
Lean
Hogs
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/12/2022
USD
(245,040)
5,959
Live
Cattle
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(7,052,990)
101,174
Swiss
Market
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
09/16/2022
CHF
(34,091,530)
394,355
TAIEX
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/20/2022
TWD
(52,646,400)
117,688
1,983,759
Lean
Hogs
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
07/15/2022
USD
(261,900)
(16,380)
(16,380)
$
1,967,379
121
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
114
7/2022
USD
$
12,429,420
$
(817,716)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,673
(24,062)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,673
(24,874)
LME
Aluminum
Base
Metal
2
7/2022
USD
121,613
(42,843)
LME
Aluminum
Base
Metal
3
7/2022
USD
183,750
(80,034)
LME
Aluminum
Base
Metal
3
7/2022
USD
182,435
(63,048)
LME
Aluminum
Base
Metal
8
7/2022
USD
485,200
(211,710)
LME
Aluminum
Base
Metal
33
7/2022
USD
2,007,679
(540,637)
LME
Copper
Base
Metal
1
7/2022
USD
206,433
(52,695)
LME
Copper
Base
Metal
1
7/2022
USD
206,588
(50,662)
LME
Copper
Base
Metal
1
7/2022
USD
206,356
(52,665)
LME
Copper
Base
Metal
3
7/2022
USD
619,728
(156,099)
LME
Copper
Base
Metal
3
7/2022
USD
619,875
(115,695)
LME
Copper
Base
Metal
3
7/2022
USD
619,875
(124,110)
LME
Copper
Base
Metal
3
7/2022
USD
619,657
(154,008)
LME
Copper
Base
Metal
4
7/2022
USD
839,925
(184,085)
LME
Copper
Base
Metal
5
7/2022
USD
1,032,522
(249,332)
LME
Copper
Base
Metal
9
7/2022
USD
1,859,625
(365,086)
LME
Copper
Base
Metal
20
7/2022
USD
4,131,500
(1,031,303)
LME
Lead
Base
Metal
2
7/2022
USD
95,615
(24,954)
LME
Lead
Base
Metal
2
7/2022
USD
95,585
(22,236)
LME
Lead
Base
Metal
3
7/2022
USD
142,819
(37,972)
LME
Lead
Base
Metal
3
7/2022
USD
143,468
(37,116)
LME
Lead
Base
Metal
3
7/2022
USD
142,875
(37,575)
LME
Lead
Base
Metal
5
7/2022
USD
238,839
(46,799)
LME
Lead
Base
Metal
9
7/2022
USD
429,959
(82,783)
LME
Lead
Base
Metal
10
7/2022
USD
477,625
(105,151)
LME
Lead
Base
Metal
15
7/2022
USD
717,319
(195,835)
LME
Lead
Base
Metal
18
7/2022
USD
865,485
(231,892)
LME
Nickel
Base
Metal
1
7/2022
USD
135,923
(66,430)
LME
Nickel
Base
Metal
2
7/2022
USD
271,687
(131,819)
LME
Nickel
Base
Metal
2
7/2022
USD
271,716
(131,490)
LME
Nickel
Base
Metal
2
7/2022
USD
271,716
(130,266)
LME
Nickel
Base
Metal
4
7/2022
USD
570,024
(207,828)
LME
Zinc
Base
Metal
3
7/2022
USD
238,706
(92,323)
LME
Zinc
Base
Metal
4
7/2022
USD
318,275
(112,182)
LME
Zinc
Base
Metal
5
7/2022
USD
397,875
(137,665)
LME
Zinc
Base
Metal
7
7/2022
USD
593,653
(154,237)
LME
Zinc
Base
Metal
9
7/2022
USD
716,175
(250,317)
Natural
Gas
10
7/2022
EUR
1,126,739
491,200
Natural
Gas
47
7/2022
USD
2,549,280
(1,647,685)
NY
Harbor
ULSD
131
7/2022
USD
21,075,411
(2,287,681)
Rapeseed
18
7/2022
EUR
654,550
(92,511)
RBOB
Gasoline
144
7/2022
USD
21,387,542
(2,759,197)
WTI
Crude
Oil
60
7/2022
USD
6,345,600
(712,517)
Ethanol
65
8/2022
USD
6,934,200
(783,192)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,955
(26,601)
LME
Aluminum
Base
Metal
3
8/2022
USD
182,630
(40,954)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,850
(44,221)
LME
Aluminum
Base
Metal
5
8/2022
USD
304,813
(52,210)
LME
Aluminum
Base
Metal
6
8/2022
USD
365,588
(48,055)
LME
Aluminum
Base
Metal
13
8/2022
USD
792,756
(160,507)
LME
Aluminum
Base
Metal
13
8/2022
USD
791,944
(104,607)
122
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
13
8/2022
USD
$
791,863
$
(117,201)
LME
Aluminum
Base
Metal
16
8/2022
USD
976,000
(166,047)
LME
Aluminum
Base
Metal
16
8/2022
USD
974,200
(188,342)
LME
Aluminum
Base
Metal
26
8/2022
USD
1,585,025
(306,703)
LME
Copper
Base
Metal
1
8/2022
USD
206,550
(29,878)
LME
Copper
Base
Metal
4
8/2022
USD
826,525
(98,486)
LME
Copper
Base
Metal
4
8/2022
USD
826,250
(102,032)
LME
Copper
Base
Metal
4
8/2022
USD
826,525
(106,086)
LME
Copper
Base
Metal
4
8/2022
USD
826,545
(122,501)
LME
Copper
Base
Metal
6
8/2022
USD
1,239,300
(165,466)
LME
Copper
Base
Metal
9
8/2022
USD
1,859,513
(179,686)
LME
Copper
Base
Metal
9
8/2022
USD
1,859,063
(270,568)
LME
Copper
Base
Metal
9
8/2022
USD
1,859,771
(283,356)
LME
Lead
Base
Metal
1
8/2022
USD
47,815
(6,726)
LME
Lead
Base
Metal
4
8/2022
USD
191,300
(24,711)
LME
Lead
Base
Metal
4
8/2022
USD
191,200
(36,111)
LME
Lead
Base
Metal
15
8/2022
USD
717,000
(130,871)
LME
Lead
Base
Metal
16
8/2022
USD
765,300
(95,142)
LME
Lead
Base
Metal
16
8/2022
USD
764,800
(143,200)
LME
Lead
Base
Metal
20
8/2022
USD
956,000
(86,553)
LME
Lead
Base
Metal
21
8/2022
USD
1,004,588
(106,105)
LME
Lead
Base
Metal
21
8/2022
USD
1,004,588
(78,543)
LME
Lead
Base
Metal
28
8/2022
USD
1,338,519
(187,555)
LME
Lead
Base
Metal
44
8/2022
USD
2,101,550
(197,791)
LME
Nickel
Base
Metal
1
8/2022
USD
136,038
(28,845)
LME
Nickel
Base
Metal
1
8/2022
USD
136,026
(31,767)
LME
Nickel
Base
Metal
2
8/2022
USD
271,967
(98,419)
LME
Nickel
Base
Metal
3
8/2022
USD
408,351
(72,258)
LME
Nickel
Base
Metal
3
8/2022
USD
407,961
(135,978)
LME
Nickel
Base
Metal
4
8/2022
USD
544,503
(82,749)
LME
Zinc
Base
Metal
1
8/2022
USD
79,344
(12,609)
LME
Zinc
Base
Metal
2
8/2022
USD
158,663
(23,693)
LME
Zinc
Base
Metal
2
8/2022
USD
158,538
(22,543)
LME
Zinc
Base
Metal
3
8/2022
USD
237,731
(44,666)
LME
Zinc
Base
Metal
8
8/2022
USD
635,250
(143,049)
LME
Zinc
Base
Metal
8
8/2022
USD
635,250
(169,174)
LME
Zinc
Base
Metal
18
8/2022
USD
1,429,313
(331,591)
LME
Zinc
Base
Metal
36
8/2022
USD
2,855,025
(290,381)
Low
Sulphur
Gasoil
136
8/2022
USD
15,286,400
(1,625,923)
Milk
7
8/2022
USD
315,420
(28,394)
Natural
Gas
10
8/2022
USD
591,150
(11,356)
Cocoa
36
9/2022
GBP
750,685
(23,065)
Coffee
'C'
1
9/2022
USD
86,288
15
FCOJ-A
61
9/2022
USD
1,583,408
(60,574)
KC
HRW
Wheat
14
9/2022
USD
666,225
(147,107)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,275
(481)
LME
Aluminum
Base
Metal
9
9/2022
USD
550,125
(12,852)
LME
Aluminum
Base
Metal
11
9/2022
USD
672,031
(3,444)
LME
Aluminum
Base
Metal
11
9/2022
USD
672,444
(4,083)
LME
Aluminum
Base
Metal
13
9/2022
USD
794,219
(109,970)
LME
Aluminum
Base
Metal
15
9/2022
USD
916,781
(65,913)
LME
Aluminum
Base
Metal
16
9/2022
USD
978,176
(35,031)
LME
Aluminum
Base
Metal
20
9/2022
USD
1,222,750
(58,809)
LME
Aluminum
Base
Metal
41
9/2022
USD
2,506,381
(352,458)
LME
Aluminum
Base
Metal
41
9/2022
USD
2,506,125
(195,640)
LME
Copper
Base
Metal
1
9/2022
USD
206,450
(2,678)
123
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
3
9/2022
USD
$
619,894
$
(103,195)
LME
Copper
Base
Metal
4
9/2022
USD
826,525
(107,461)
LME
Copper
Base
Metal
4
9/2022
USD
826,525
(143,420)
LME
Copper
Base
Metal
4
9/2022
USD
826,375
(85,358)
LME
Copper
Base
Metal
6
9/2022
USD
1,238,550
(9,741)
LME
Copper
Base
Metal
7
9/2022
USD
1,446,419
(240,907)
LME
Copper
Base
Metal
10
9/2022
USD
2,066,000
(250,208)
LME
Copper
Base
Metal
13
9/2022
USD
2,685,881
(356,153)
LME
Copper
Base
Metal
21
9/2022
USD
4,339,256
(768,955)
LME
Copper
Base
Metal
48
9/2022
USD
9,912,000
(1,622,955)
LME
Lead
Base
Metal
3
9/2022
USD
143,252
(15,089)
LME
Lead
Base
Metal
4
9/2022
USD
191,083
(32,153)
LME
Lead
Base
Metal
5
9/2022
USD
238,923
(36,010)
LME
Lead
Base
Metal
5
9/2022
USD
238,888
(35,031)
LME
Lead
Base
Metal
8
9/2022
USD
382,112
(56,383)
LME
Lead
Base
Metal
8
9/2022
USD
382,384
(51,637)
LME
Lead
Base
Metal
10
9/2022
USD
477,125
(49,339)
LME
Lead
Base
Metal
20
9/2022
USD
953,750
(50,653)
LME
Lead
Base
Metal
25
9/2022
USD
1,192,188
(11,347)
LME
Lead
Base
Metal
25
9/2022
USD
1,192,188
(19,128)
LME
Lead
Base
Metal
28
9/2022
USD
1,335,950
(127,224)
LME
Lead
Base
Metal
58
9/2022
USD
2,767,325
(398,446)
LME
Lead
Base
Metal
67
9/2022
USD
3,195,900
(93,545)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(37,494)
LME
Nickel
Base
Metal
2
9/2022
USD
272,478
(59,928)
LME
Nickel
Base
Metal
3
9/2022
USD
408,717
(117,792)
LME
Nickel
Base
Metal
4
9/2022
USD
544,824
(68,988)
LME
Nickel
Base
Metal
4
9/2022
USD
544,890
(76,722)
LME
Nickel
Base
Metal
5
9/2022
USD
681,030
(85,185)
LME
Nickel
Base
Metal
6
9/2022
USD
817,434
(137,304)
LME
Nickel
Base
Metal
9
9/2022
USD
1,226,073
(366,954)
LME
Zinc
Base
Metal
4
9/2022
USD
315,700
(12,212)
LME
Zinc
Base
Metal
6
9/2022
USD
475,233
(106,560)
LME
Zinc
Base
Metal
9
9/2022
USD
710,363
(45,701)
LME
Zinc
Base
Metal
11
9/2022
USD
870,903
(118,442)
LME
Zinc
Base
Metal
12
9/2022
USD
947,199
(63,211)
LME
Zinc
Base
Metal
13
9/2022
USD
1,029,412
(141,283)
LME
Zinc
Base
Metal
19
9/2022
USD
1,500,288
(132,540)
LME
Zinc
Base
Metal
56
9/2022
USD
4,425,050
(451,924)
Rough
Rice
5
9/2022
USD
167,450
121
Wheat
21
9/2022
ZAR
481,798
(2,095)
White
Sugar
307
9/2022
USD
8,206,110
71,871
Soybean
95
11/2022
USD
6,925,500
(403,045)
WTI
Crude
Oil
245
11/2022
JPY
7,398,032
(232,562)
Cotton
No.
2
79
12/2022
USD
3,904,180
(975,893)
French
Base
Electricity
1
12/2022
EUR
3,356,866
2,268,988
Italian
Base
Electricity
2
12/2022
EUR
4,947,125
1,754,675
Milling
Wheat
No.
2
119
12/2022
EUR
2,148,062
(183,099)
Phelix
De
Base
Electricity
2
12/2022
EUR
5,420,448
2,464,390
White
Maize
51
12/2022
ZAR
1,397,514
22,731
Yellow
Maize
68
12/2022
ZAR
1,871,293
(23,052)
(24,224,965)
Short
Contracts
Amsterdam
Exchange
Index
(87)
7/2022
EUR
(12,015,876)
(79,876)
CAC
40
10
Euro
Index
(142)
7/2022
EUR
(8,800,558)
43,280
Hang
Seng
Index
(37)
7/2022
HKD
(5,126,472)
71,169
124
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
HSCEI
(44)
7/2022
HKD
$
(2,127,721)
$
43,505
IBEX
35
Index
(112)
7/2022
EUR
(9,436,111)
62,406
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,673)
23,822
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,673)
24,450
LME
Aluminum
Base
Metal
(2)
7/2022
USD
(121,613)
42,688
LME
Aluminum
Base
Metal
(3)
7/2022
USD
(183,750)
78,764
LME
Aluminum
Base
Metal
(3)
7/2022
USD
(182,435)
62,436
LME
Aluminum
Base
Metal
(8)
7/2022
USD
(485,200)
210,657
LME
Aluminum
Base
Metal
(33)
7/2022
USD
(2,007,679)
551,392
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,356)
51,266
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,433)
52,889
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,588)
48,879
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,657)
155,712
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,875)
116,208
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,875)
120,325
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,728)
153,922
LME
Copper
Base
Metal
(4)
7/2022
USD
(839,925)
185,059
LME
Copper
Base
Metal
(5)
7/2022
USD
(1,032,522)
250,839
LME
Copper
Base
Metal
(9)
7/2022
USD
(1,859,625)
361,136
LME
Copper
Base
Metal
(20)
7/2022
USD
(4,131,500)
1,011,878
LME
Lead
Base
Metal
(2)
7/2022
USD
(95,585)
22,110
LME
Lead
Base
Metal
(2)
7/2022
USD
(95,615)
24,317
LME
Lead
Base
Metal
(3)
7/2022
USD
(142,819)
37,473
LME
Lead
Base
Metal
(3)
7/2022
USD
(142,875)
37,342
LME
Lead
Base
Metal
(3)
7/2022
USD
(143,468)
36,750
LME
Lead
Base
Metal
(5)
7/2022
USD
(238,839)
45,240
LME
Lead
Base
Metal
(9)
7/2022
USD
(429,959)
80,397
LME
Lead
Base
Metal
(10)
7/2022
USD
(477,625)
100,970
LME
Lead
Base
Metal
(15)
7/2022
USD
(717,319)
201,392
LME
Lead
Base
Metal
(18)
7/2022
USD
(865,485)
230,668
LME
Nickel
Base
Metal
(1)
7/2022
USD
(135,923)
66,704
LME
Nickel
Base
Metal
(2)
7/2022
USD
(271,716)
127,568
LME
Nickel
Base
Metal
(2)
7/2022
USD
(271,716)
128,838
LME
Nickel
Base
Metal
(2)
7/2022
USD
(271,687)
133,070
LME
Nickel
Base
Metal
(4)
7/2022
USD
(570,024)
204,316
LME
Zinc
Base
Metal
(3)
7/2022
USD
(238,706)
92,485
LME
Zinc
Base
Metal
(4)
7/2022
USD
(318,275)
113,713
LME
Zinc
Base
Metal
(5)
7/2022
USD
(397,875)
135,048
LME
Zinc
Base
Metal
(7)
7/2022
USD
(593,653)
143,514
LME
Zinc
Base
Metal
(9)
7/2022
USD
(716,175)
242,973
MSCI
Singapore
Index
(517)
7/2022
SGD
(10,440,103)
342,916
Natural
Gas
(15)
7/2022
GBP
(1,405,488)
(76,607)
OMXS30
Index
(475)
7/2022
SEK
(8,685,330)
332,601
SGX
FTSE
China
A50
Index
(504)
7/2022
USD
(7,501,032)
(124,289)
SGX
FTSE
Taiwan
Index
(269)
7/2022
USD
(13,643,680)
512,975
SGX
NIFTY
50
Index
(205)
7/2022
USD
(6,446,225)
42,603
100
oz
Gold
(72)
8/2022
USD
(13,012,560)
155,889
Feeder
Cattle
(208)
8/2022
USD
(18,054,400)
(159,844)
Lean
Hogs
(178)
8/2022
USD
(7,269,520)
198,624
Live
Cattle
(357)
8/2022
USD
(18,931,710)
230,184
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,955)
27,364
LME
Aluminum
Base
Metal
(3)
8/2022
USD
(182,630)
39,632
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,850)
44,438
LME
Aluminum
Base
Metal
(5)
8/2022
USD
(304,813)
48,892
LME
Aluminum
Base
Metal
(6)
8/2022
USD
(365,588)
49,635
LME
Aluminum
Base
Metal
(13)
8/2022
USD
(791,944)
96,317
125
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(13)
8/2022
USD
$
(791,863)
$
108,493
LME
Aluminum
Base
Metal
(13)
8/2022
USD
(792,756)
153,457
LME
Aluminum
Base
Metal
(16)
8/2022
USD
(976,000)
166,922
LME
Aluminum
Base
Metal
(16)
8/2022
USD
(974,200)
176,718
LME
Aluminum
Base
Metal
(26)
8/2022
USD
(1,585,025)
307,405
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,550)
30,834
LME
Copper
Base
Metal
(4)
8/2022
USD
(826,250)
101,939
LME
Copper
Base
Metal
(4)
8/2022
USD
(826,525)
106,009
LME
Copper
Base
Metal
(4)
8/2022
USD
(826,545)
123,528
LME
Copper
Base
Metal
(4)
8/2022
USD
(826,525)
93,547
LME
Copper
Base
Metal
(6)
8/2022
USD
(1,239,300)
165,969
LME
Copper
Base
Metal
(9)
8/2022
USD
(1,859,063)
265,386
LME
Copper
Base
Metal
(9)
8/2022
USD
(1,859,771)
290,955
LME
Copper
Base
Metal
(9)
8/2022
USD
(1,859,513)
184,751
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,815)
6,526
LME
Lead
Base
Metal
(4)
8/2022
USD
(191,200)
35,062
LME
Lead
Base
Metal
(4)
8/2022
USD
(191,300)
22,313
LME
Lead
Base
Metal
(15)
8/2022
USD
(717,000)
133,546
LME
Lead
Base
Metal
(16)
8/2022
USD
(764,800)
147,158
LME
Lead
Base
Metal
(16)
8/2022
USD
(765,300)
86,638
LME
Lead
Base
Metal
(20)
8/2022
USD
(956,000)
84,672
LME
Lead
Base
Metal
(21)
8/2022
USD
(1,004,588)
81,700
LME
Lead
Base
Metal
(21)
8/2022
USD
(1,004,588)
104,207
LME
Lead
Base
Metal
(28)
8/2022
USD
(1,338,519)
184,931
LME
Lead
Base
Metal
(44)
8/2022
USD
(2,101,550)
196,044
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,038)
28,598
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,026)
31,272
LME
Nickel
Base
Metal
(2)
8/2022
USD
(271,967)
94,618
LME
Nickel
Base
Metal
(3)
8/2022
USD
(407,961)
134,425
LME
Nickel
Base
Metal
(3)
8/2022
USD
(408,351)
69,169
LME
Nickel
Base
Metal
(4)
8/2022
USD
(544,503)
88,714
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,344)
12,060
LME
Zinc
Base
Metal
(2)
8/2022
USD
(158,538)
24,985
LME
Zinc
Base
Metal
(2)
8/2022
USD
(158,663)
22,052
LME
Zinc
Base
Metal
(3)
8/2022
USD
(237,731)
41,747
LME
Zinc
Base
Metal
(8)
8/2022
USD
(635,250)
134,732
LME
Zinc
Base
Metal
(8)
8/2022
USD
(635,250)
161,065
LME
Zinc
Base
Metal
(18)
8/2022
USD
(1,429,313)
334,961
LME
Zinc
Base
Metal
(36)
8/2022
USD
(2,855,025)
287,947
Milk
(5)
8/2022
USD
(228,200)
3,319
Mont
Belvieu
(40)
8/2022
USD
(2,029,306)
28,128
SGX
Iron
Ore
(382)
8/2022
USD
(4,544,654)
(257,452)
Australia
10
Year
Bond
(663)
9/2022
AUD
(54,685,221)
(614,957)
Australia
3
Year
Bond
(1,945)
9/2022
AUD
(144,765,804)
(712,190)
Canada
10
Year
Bond
(832)
9/2022
CAD
(80,207,333)
2,734,011
Cocoa
(375)
9/2022
USD
(8,775,000)
588,878
Copper
(79)
9/2022
USD
(7,327,250)
674,854
Corn
(516)
9/2022
USD
(16,221,750)
2,441,381
Crude
Palm
Oil
(2)
9/2022
MYR
(55,701)
277
DAX
Index
(72)
9/2022
EUR
(24,090,065)
1,225,923
DJIA
CBOT
E-Mini
Index
(164)
9/2022
USD
(25,240,420)
277,584
EURO
STOXX
50
Index
(587)
9/2022
EUR
(21,167,196)
438,987
Euro-Bobl
(237)
9/2022
EUR
(30,846,827)
91,746
Euro-BTP
(229)
9/2022
EUR
(29,616,000)
250,490
Euro-Bund
(186)
9/2022
EUR
(29,005,852)
274,317
Euro-Buxl
(101)
9/2022
EUR
(17,265,102)
914,786
126
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Euro-OAT
(181)
9/2022
EUR
$
(26,297,090)
$
720,623
Euro-Schatz
(631)
9/2022
EUR
(72,179,448)
9,587
FTSE
100
Index
(206)
9/2022
GBP
(17,856,890)
56,767
FTSE/JSE
Top
40
Index
(101)
9/2022
ZAR
(3,722,325)
13,182
FTSE/MIB
Index
(102)
9/2022
EUR
(11,334,711)
377,210
Japan
10
Year
Bond
(57)
9/2022
JPY
(62,541,200)
52,743
KOSPI
200
Index
(230)
9/2022
KRW
(13,615,508)
1,381,906
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,275)
(320)
LME
Aluminum
Base
Metal
(9)
9/2022
USD
(550,125)
15,469
LME
Aluminum
Base
Metal
(11)
9/2022
USD
(672,444)
7,930
LME
Aluminum
Base
Metal
(11)
9/2022
USD
(672,031)
586
LME
Aluminum
Base
Metal
(13)
9/2022
USD
(794,219)
105,867
LME
Aluminum
Base
Metal
(15)
9/2022
USD
(916,781)
64,655
LME
Aluminum
Base
Metal
(16)
9/2022
USD
(978,176)
24,222
LME
Aluminum
Base
Metal
(20)
9/2022
USD
(1,222,750)
70,068
LME
Aluminum
Base
Metal
(41)
9/2022
USD
(2,506,125)
169,896
LME
Aluminum
Base
Metal
(223)
9/2022
USD
(13,632,269)
1,576,871
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,450)
3,833
LME
Copper
Base
Metal
(3)
9/2022
USD
(619,894)
99,348
LME
Copper
Base
Metal
(4)
9/2022
USD
(826,525)
102,564
LME
Copper
Base
Metal
(4)
9/2022
USD
(826,375)
92,765
LME
Copper
Base
Metal
(4)
9/2022
USD
(826,525)
145,964
LME
Copper
Base
Metal
(6)
9/2022
USD
(1,238,550)
11,734
LME
Copper
Base
Metal
(7)
9/2022
USD
(1,446,419)
243,563
LME
Copper
Base
Metal
(10)
9/2022
USD
(2,066,000)
245,685
LME
Copper
Base
Metal
(13)
9/2022
USD
(2,685,881)
334,127
LME
Copper
Base
Metal
(21)
9/2022
USD
(4,339,256)
769,539
LME
Copper
Base
Metal
(63)
9/2022
USD
(13,009,500)
1,582,224
LME
Lead
Base
Metal
(3)
9/2022
USD
(143,252)
14,353
LME
Lead
Base
Metal
(4)
9/2022
USD
(191,083)
31,906
LME
Lead
Base
Metal
(5)
9/2022
USD
(238,923)
37,064
LME
Lead
Base
Metal
(5)
9/2022
USD
(238,888)
33,599
LME
Lead
Base
Metal
(8)
9/2022
USD
(382,112)
58,117
LME
Lead
Base
Metal
(8)
9/2022
USD
(382,384)
50,350
LME
Lead
Base
Metal
(10)
9/2022
USD
(477,125)
46,914
LME
Lead
Base
Metal
(20)
9/2022
USD
(953,750)
43,323
LME
Lead
Base
Metal
(25)
9/2022
USD
(1,192,188)
23,863
LME
Lead
Base
Metal
(25)
9/2022
USD
(1,192,188)
4,383
LME
Lead
Base
Metal
(28)
9/2022
USD
(1,335,950)
123,632
LME
Lead
Base
Metal
(67)
9/2022
USD
(3,195,900)
69,866
LME
Lead
Base
Metal
(237)
9/2022
USD
(11,307,863)
734,209
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
37,383
LME
Nickel
Base
Metal
(2)
9/2022
USD
(272,478)
58,383
LME
Nickel
Base
Metal
(3)
9/2022
USD
(408,717)
117,639
LME
Nickel
Base
Metal
(4)
9/2022
USD
(544,890)
69,397
LME
Nickel
Base
Metal
(4)
9/2022
USD
(544,824)
66,837
LME
Nickel
Base
Metal
(5)
9/2022
USD
(681,030)
90,337
LME
Nickel
Base
Metal
(6)
9/2022
USD
(817,434)
126,544
LME
Nickel
Base
Metal
(9)
9/2022
USD
(1,226,073)
358,361
LME
Nickel
Base
Metal
(43)
9/2022
USD
(5,856,858)
1,151,042
LME
Zinc
Base
Metal
(4)
9/2022
USD
(315,700)
5,638
LME
Zinc
Base
Metal
(6)
9/2022
USD
(475,233)
106,320
LME
Zinc
Base
Metal
(9)
9/2022
USD
(710,363)
40,610
LME
Zinc
Base
Metal
(11)
9/2022
USD
(870,903)
103,858
LME
Zinc
Base
Metal
(12)
9/2022
USD
(947,199)
67,366
LME
Zinc
Base
Metal
(13)
9/2022
USD
(1,029,412)
142,175
127
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Zinc
Base
Metal
(19)
9/2022
USD
$
(1,500,288)
$
152,750
LME
Zinc
Base
Metal
(31)
9/2022
USD
(2,449,581)
384,402
Long
Gilt
(202)
9/2022
GBP
(28,120,506)
954,442
Lumber
(21)
9/2022
USD
(1,472,163)
(136,407)
MSCI
EAFE
E-Mini
Index
(236)
9/2022
USD
(21,907,880)
68,250
MSCI
Emerging
Markets
E-Mini
Index
(452)
9/2022
USD
(22,661,020)
19,810
NASDAQ
100
E-Mini
Index
(72)
9/2022
USD
(16,602,480)
744,732
Nikkei
225
Index
(94)
9/2022
JPY
(18,276,238)
345,669
Palladium
(6)
9/2022
USD
(1,149,660)
(30,024)
Robusta
Coffee
(205)
9/2022
USD
(4,167,650)
5,543
Russell
2000
E-Mini
Index
(180)
9/2022
USD
(15,372,000)
714,223
S&P
500
E-Mini
Index
(98)
9/2022
USD
(18,568,550)
746,855
S&P
Midcap
400
E-Mini
Index
(75)
9/2022
USD
(17,010,000)
763,282
S&P/TSX
60
Index
(50)
9/2022
CAD
(8,875,855)
191,272
Silver
(106)
9/2022
USD
(10,786,560)
541,912
SPI
200
Index
(298)
9/2022
AUD
(33,224,804)
228,242
Sugar
No.
11
(343)
9/2022
USD
(7,106,960)
123,824
TOPIX
Index
(89)
9/2022
JPY
(12,269,642)
(48,038)
U.S.
Treasury
10
Year
Note
(514)
9/2022
USD
(60,836,719)
655,960
U.S.
Treasury
2
Year
Note
(890)
9/2022
USD
(186,774,843)
990,784
U.S.
Treasury
5
Year
Note
(678)
9/2022
USD
(76,031,343)
638,108
U.S.
Treasury
Long
Bond
(265)
9/2022
USD
(36,611,406)
628,169
U.S.
Treasury
Ultra
Bond
(218)
9/2022
USD
(33,394,875)
984,054
Wheat
(175)
9/2022
USD
(7,735,000)
1,718,847
Platinum
(83)
10/2022
USD
(3,715,495)
105,551
Rapeseed
(75)
10/2022
EUR
(2,730,237)
73
Canola
(196)
11/2022
CAD
(2,675,357)
26,345
Rubber
(49)
11/2022
JPY
(461,181)
2,033
3
Month
Canadian
Bankers
Acceptance
(306)
12/2022
CAD
(57,175,905)
227,422
3
Month
Euro
Euribor
(21)
12/2022
EUR
(5,439,843)
(1,098)
3
Month
Euro
Euribor
(114)
12/2022
EUR
(29,530,576)
478,773
ASX
90
Day
Bank
Accepted
Bill
(123)
12/2022
AUD
(84,172,256)
112,319
ECX
Emission
(10)
12/2022
EUR
(944,832)
(75,525)
Soybean
Meal
(44)
12/2022
USD
(1,789,480)
(10,237)
Soybean
Oil
(76)
12/2022
USD
(2,939,376)
461,597
3
Month
Canadian
Bankers
Acceptance
(163)
3/2023
CAD
(30,465,944)
62,720
3
Month
Euro
Euribor
(9)
3/2023
EUR
(2,322,401)
(730)
3
Month
Euro
Euribor
(128)
3/2023
EUR
(33,029,707)
655,565
3
Month
SARON
(17)
3/2023
CHF
(4,422,956)
6,268
3
Month
SOFR
(153)
3/2023
USD
(36,962,888)
219,173
3
Month
SONIA
(140)
3/2023
GBP
(41,389,113)
110,527
ASX
90
Day
Bank
Accepted
Bill
(107)
3/2023
AUD
(73,165,785)
19,657
3
Month
Euro
Euribor
(17)
6/2023
EUR
(4,376,292)
(1,609)
3
Month
Euro
Euribor
(112)
6/2023
EUR
(28,832,039)
635,186
3
Month
SARON
(23)
6/2023
CHF
(5,966,231)
7,754
3
Month
SOFR
(217)
6/2023
USD
(52,391,938)
184,291
3
Month
SONIA
(115)
6/2023
GBP
(33,942,204)
57,268
3
Month
Euro
Euribor
(13)
9/2023
EUR
(3,342,319)
(1,117)
3
Month
Euro
Euribor
(123)
9/2023
EUR
(31,623,476)
731,611
3
Month
SARON
(29)
9/2023
CHF
(7,517,703)
(2,665)
3
Month
SOFR
(281)
9/2023
USD
(67,977,413)
266,373
3
Month
SONIA
(118)
9/2023
GBP
(34,858,177)
80,746
3
Month
Euro
Euribor
(187)
12/2023
EUR
(48,063,271)
(42,665)
3
Month
SOFR
(271)
12/2023
USD
(65,687,013)
97,362
3
Month
SONIA
(3)
12/2023
GBP
(887,092)
15,839
3
Month
SONIA
(212)
12/2023
GBP
(62,687,846)
113,744
128
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
Euro
Euribor
(223)
3/2024
EUR
$
(57,316,093)
$
23,625
3
Month
SOFR
(235)
3/2024
USD
(57,052,125)
(60,065)
3
Month
SONIA
(32)
3/2024
GBP
(9,470,107)
161,647
3
Month
SONIA
(200)
3/2024
GBP
(59,188,169)
(46,185)
3
Month
Euro
Euribor
(232)
6/2024
EUR
(59,638,415)
(9,928)
3
Month
SOFR
(180)
6/2024
USD
(43,755,750)
(60,550)
3
Month
SONIA
(185)
6/2024
GBP
(54,785,652)
7,209
3
Month
SOFR
(224)
9/2024
USD
(54,504,800)
(109,094)
3
Month
SONIA
(149)
9/2024
GBP
(44,165,470)
(84,223)
48,637,886
$
24,412,921
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
7,581,980
USD
5,890,815
CITI
9/21/2022
$
321
CAD
7,581,980
USD
5,890,822
JPMC
9/21/2022
314
CHF
6,570,000
USD
6,807,094
CITI
9/21/2022
114,735
CHF
6,570,000
USD
6,807,102
JPMC
9/21/2022
114,726
EUR
26,199,500
USD
27,435,588
CITI
9/21/2022
177,961
EUR
26,199,500
USD
27,435,623
JPMC
9/21/2022
177,927
KRW
211,500
USD
164
CITI
**
9/21/2022
–
KRW
211,500
USD
164
JPMC
**
9/21/2022
–
SGD
15,277,500
USD
10,980,781
CITI
9/21/2022
21,359
SGD
15,277,500
USD
10,980,794
JPMC
9/21/2022
21,345
USD
36,834,247
AUD
52,629,500
CITI
9/21/2022
482,388
USD
36,834,201
AUD
52,629,500
JPMC
9/21/2022
482,342
USD
6,850,607
BRL
34,846,999
CITI
**
9/21/2022
342,625
USD
6,850,597
BRL
34,846,993
JPMC
**
9/21/2022
342,616
USD
8,506,710
CLP
7,345,537,834
CITI
**
9/21/2022
634,629
USD
8,506,699
CLP
7,345,537,822
JPMC
**
9/21/2022
634,619
USD
255,634,874
EUR
239,520,842
CITI
9/21/2022
3,186,516
USD
255,634,547
EUR
239,520,835
JPMC
9/21/2022
3,186,197
USD
31,595,910
GBP
25,771,500
CITI
9/21/2022
175,751
USD
31,595,871
GBP
25,771,500
JPMC
9/21/2022
175,712
USD
7,392,937
HUF
2,730,244,860
CITI
9/21/2022
270,678
USD
7,392,927
HUF
2,730,244,858
JPMC
9/21/2022
270,669
USD
137,930
IDR
2,034,478,144
CITI
**
9/21/2022
2,276
USD
137,925
IDR
2,034,478,144
JPMC
**
9/21/2022
2,270
USD
5,875,912
ILS
19,564,500
CITI
9/21/2022
242,411
USD
5,875,905
ILS
19,564,500
JPMC
9/21/2022
242,404
USD
70,888,031
INR
5,562,038,353
CITI
**
9/21/2022
969,844
USD
70,887,943
INR
5,562,038,351
JPMC
**
9/21/2022
969,755
USD
323,539,701
JPY
41,228,415,723
CITI
9/21/2022
17,951,055
USD
323,539,296
JPY
41,228,415,717
JPMC
9/21/2022
17,950,651
USD
19,286,584
KRW
24,512,777,083
CITI
**
9/21/2022
232,312
USD
19,286,560
KRW
24,512,777,077
JPMC
**
9/21/2022
232,288
USD
3,095,503
NOK
30,377,500
CITI
9/21/2022
5,891
USD
3,095,499
NOK
30,377,500
JPMC
9/21/2022
5,887
USD
37,225,664
NZD
58,310,032
CITI
9/21/2022
841,615
USD
37,225,616
NZD
58,310,030
JPMC
9/21/2022
841,569
129
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
16,747,026
PHP
886,918,097
CITI
**
9/21/2022
$
717,222
USD
16,747,557
PHP
886,918,095
JPMC
**
9/21/2022
717,753
USD
38,752,128
PLN
170,360,492
CITI
9/21/2022
1,158,633
USD
38,752,079
PLN
170,360,492
JPMC
9/21/2022
1,158,584
USD
19,860,496
SEK
200,776,000
CITI
9/21/2022
167,256
USD
19,860,471
SEK
200,776,000
JPMC
9/21/2022
167,232
USD
23,305,780
SGD
32,181,500
CITI
9/21/2022
130,172
USD
23,305,907
SGD
32,181,500
JPMC
9/21/2022
130,299
USD
10,909,466
TWD
320,005,460
CITI
**
9/21/2022
76,155
USD
10,909,452
TWD
320,005,458
JPMC
**
9/21/2022
76,142
USD
21,521,530
ZAR
345,804,452
CITI
9/21/2022
439,579
USD
21,521,502
ZAR
345,804,444
JPMC
9/21/2022
439,552
Total
unrealized
appreciation
56,682,237
AUD
150,203,548
USD
105,912,310
CITI
9/21/2022
(2,164,827)
AUD
150,203,540
USD
105,912,437
JPMC
9/21/2022
(2,164,959)
CAD
128,915,502
USD
101,153,435
CITI
9/21/2022
(987,157)
CAD
128,915,497
USD
101,158,643
JPMC
9/21/2022
(992,369)
COP
9,108,711,191
USD
2,235,214
CITI
**
9/21/2022
(70,374)
COP
9,108,711,185
USD
2,235,217
JPMC
**
9/21/2022
(70,376)
EUR
113,419,000
USD
120,825,168
CITI
9/21/2022
(1,284,672)
EUR
113,419,000
USD
120,825,319
JPMC
9/21/2022
(1,284,823)
GBP
61,624,495
USD
77,220,947
CITI
9/21/2022
(2,089,447)
GBP
61,624,489
USD
77,221,035
JPMC
9/21/2022
(2,089,543)
IDR
77,361,626,000
USD
5,304,770
CITI
**
9/21/2022
(146,452)
IDR
77,361,626,000
USD
5,304,777
JPMC
**
9/21/2022
(146,458)
ILS
2,300,000
USD
675,441
CITI
9/21/2022
(13,167)
ILS
2,300,000
USD
675,442
JPMC
9/21/2022
(13,168)
INR
914,375,500
USD
11,599,817
CITI
**
9/21/2022
(105,564)
INR
914,375,500
USD
11,599,831
JPMC
**
9/21/2022
(105,578)
JPY
9,279,984,000
USD
69,618,280
CITI
9/21/2022
(834,222)
JPY
9,279,984,000
USD
69,618,367
JPMC
9/21/2022
(834,309)
KRW
8,535,437,000
USD
6,799,962
CITI
**
9/21/2022
(165,196)
KRW
8,535,437,000
USD
6,799,970
JPMC
**
9/21/2022
(165,204)
MXN
235,074,124
USD
11,572,295
CITI
9/21/2022
(54,771)
MXN
235,074,124
USD
11,572,310
JPMC
9/21/2022
(54,786)
NOK
500,812,504
USD
51,946,980
CITI
9/21/2022
(1,010,725)
NOK
500,812,500
USD
51,947,045
JPMC
9/21/2022
(1,010,790)
PHP
45,170,000
USD
844,343
CITI
**
9/21/2022
(27,959)
PHP
45,170,000
USD
844,344
JPMC
**
9/21/2022
(27,960)
PLN
115,002,000
USD
26,348,470
CITI
9/21/2022
(970,948)
PLN
115,002,000
USD
26,348,503
JPMC
9/21/2022
(970,981)
SEK
461,570,625
USD
46,987,068
CITI
9/21/2022
(1,713,623)
SEK
461,570,624
USD
46,987,126
JPMC
9/21/2022
(1,713,682)
SGD
15,679,500
USD
11,413,682
CITI
9/21/2022
(122,041)
SGD
15,679,500
USD
11,413,697
JPMC
9/21/2022
(122,055)
TWD
108,128,500
USD
3,667,450
CITI
**
9/21/2022
(6,920)
TWD
108,128,500
USD
3,667,455
JPMC
**
9/21/2022
(6,925)
USD
22,153,561
AUD
32,120,500
CITI
9/21/2022
(32,473)
USD
22,153,533
AUD
32,120,500
JPMC
9/21/2022
(32,501)
USD
23,794,022
CAD
30,812,500
CITI
9/21/2022
(147,036)
USD
23,793,992
CAD
30,812,500
JPMC
9/21/2022
(147,065)
USD
26,905,654
EUR
25,639,120
CITI
9/21/2022
(117,270)
USD
26,905,619
EUR
25,639,119
JPMC
9/21/2022
(117,304)
USD
13,552,331
GBP
11,231,000
CITI
9/21/2022
(140,306)
USD
13,552,314
GBP
11,231,000
JPMC
9/21/2022
(140,323)
USD
895,789
HUF
344,340,000
CITI
9/21/2022
(2,475)
USD
895,787
HUF
344,340,000
JPMC
9/21/2022
(2,476)
USD
1,296,948
JPY
175,649,000
CITI
9/21/2022
(4,978)
130
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,296,946
JPY
175,649,000
JPMC
9/21/2022
$
(4,980)
USD
1,006,417
KRW
1,306,938,000
CITI
**
9/21/2022
(9,492)
USD
1,006,416
KRW
1,306,938,000
JPMC
**
9/21/2022
(9,493)
USD
2,550,438
MXN
53,369,500
CITI
9/21/2022
(64,416)
USD
2,550,435
MXN
53,369,500
JPMC
9/21/2022
(64,419)
USD
1,159,188
NOK
11,561,500
CITI
9/21/2022
(16,700)
USD
1,159,186
NOK
11,561,500
JPMC
9/21/2022
(16,702)
USD
6,825,752
NZD
10,967,500
CITI
9/21/2022
(17,703)
USD
6,825,743
NZD
10,967,500
JPMC
9/21/2022
(17,712)
USD
6,774,504
SEK
69,107,500
CITI
9/21/2022
(3,948)
USD
6,774,496
SEK
69,107,500
JPMC
9/21/2022
(3,957)
USD
1,301,348
TWD
38,451,066
CITI
**
9/21/2022
(356)
USD
1,301,346
TWD
38,451,065
JPMC
**
9/21/2022
(358)
USD
3,185,081
ZAR
52,582,000
CITI
9/21/2022
(20,578)
USD
3,185,077
ZAR
52,582,000
JPMC
9/21/2022
(20,582)
Total
unrealized
depreciation
(24,697,634)
Net
unrealized
appreciation
$
31,984,603
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
05/27/2024
$12,974,864
$128,280
$(404,598)
$(276,318)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-1.25%
to
0.23%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
06/27/2024
$14,461,019
$(165,362)
$(278,086)
$(443,448)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
06/25/2024
$5,713,849
$(100,357)
$(284,081)
$(384,438)
131
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.55%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
06/06/2024
$3,513,130
$31,114
$41,360
$72,474
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.30%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/24/2026
-
06/09/2027
$137,793,599
$(828,098)
$358,174
$(469,924)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Asics
Corp.
70,800
1,282,350
(105,680)
22.5
ENEOS
Holdings,
Inc.
212,500
799,594
(106,601)
22.7
Inpex
Corp.
127,600
1,367,908
(331,482)
70.5
Japan
Post
Insurance
Co.
Ltd.
61,700
987,491
(13,861)
2.9
Japan
Tobacco,
Inc.
102,500
1,776,201
(50,487)
10.7
Kyushu
Electric
Power
Co.,
Inc.
153,600
987,567
40,020
(8.5)
Marubeni
Corp.
112,800
1,011,995
(208,869)
44.4
MISUMI
Group,
Inc.
43,300
914,474
(49,309)
10.5
Mitsubishi
Corp.
31,100
926,195
(179,084)
38.1
Mitsubishi
Electric
Corp.
85,400
917,978
(17,344)
3.7
Mitsubishi
UFJ
Financial
Group,
Inc.
152,300
814,813
(24,700)
5.3
Mitsui
&
Co.
Ltd.
63,300
1,390,988
(247,030)
52.6
Mizuho
Financial
Group,
Inc.
81,200
924,455
9,998
(2.1)
Nabtesco
Corp.
34,200
802,510
(29,301)
6.2
Nagoya
Railroad
Co.
Ltd.
61,400
946,834
(54,174)
11.5
Nippon
Yusen
KK
14,000
959,909
(56,453)
12.0
Osaka
Gas
Co.
Ltd.
45,900
879,685
4,513
(1.0)
Square
Enix
Holdings
Co.
Ltd.
19,100
847,787
(34,856)
7.4
Sumitomo
Corp.
77,400
1,052,133
(84,223)
17.9
Yamada
Holdings
Co.
Ltd.
231,900
833,947
32,347
(6.9)
132
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(58,500)
(1,016,152)
(14,564)
3.1
Bridgestone
Corp.
(23,400)
(853,150)
57,119
(12.2)
Central
Japan
Railway
Co.
(9,900)
(1,137,835)
56,250
(12.0)
Daikin
Industries
Ltd.
(5,700)
(915,187)
10,097
(2.1)
East
Japan
Railway
Co.
(21,800)
(1,115,052)
17,205
(3.7)
Fast
Retailing
Co.
Ltd.
(2,300)
(1,208,137)
(24,403)
5.2
Food
&
Life
Cos.
Ltd.
(38,400)
(823,837)
78,993
(16.8)
Isuzu
Motors
Ltd.
(73,100)
(808,587)
81,996
(17.4)
Japan
Airlines
Co.
Ltd.
(53,200)
(914,061)
13,253
(2.8)
Kao
Corp.
(28,200)
(1,143,495)
(39,439)
8.4
KDDI
Corp.
(27,600)
(870,349)
40,972
(8.7)
Kose
Corp.
(11,300)
(1,029,836)
9,551
(2.0)
Kubota
Corp.
(55,200)
(827,233)
213,666
(45.5)
Lasertec
Corp.
(16,000)
(1,905,659)
245,874
(52.3)
M3,
Inc.
(41,400)
(1,191,698)
25,159
(5.4)
Makita
Corp.
(46,700)
(1,157,532)
112,193
(23.9)
MatsukiyoCocokara
&
Co.
(29,100)
(1,176,788)
(82,964)
17.7
MonotaRO
Co.
Ltd.
(86,700)
(1,293,017)
36,110
(7.7)
Nidec
Corp.
(17,600)
(1,090,617)
63,345
(13.5)
Nippon
Paint
Holdings
Co.
Ltd.
(173,600)
(1,298,909)
(16,868)
3.6
Nitori
Holdings
Co.
Ltd.
(8,700)
(827,917)
(10,689)
2.3
Oriental
Land
Co.
Ltd.
(12,800)
(1,787,545)
663
(0.1)
Rakuten
Group,
Inc.
(325,200)
(1,470,427)
269,661
(57.4)
Sekisui
House
Ltd.
(54,600)
(958,522)
(31,353)
6.7
Seven
&
i
Holdings
Co.
Ltd.
(42,500)
(1,649,017)
87,569
(18.6)
SoftBank
Corp.
(83,700)
(929,283)
(20,600)
4.4
Sony
Group
Corp.
(28,800)
(2,348,835)
259,891
(55.3)
Tokyo
Electron
Ltd.
(2,900)
(946,541)
282,668
(60.2)
Toyota
Motor
Corp.
(66,400)
(1,024,506)
71,231
(15.2)
Yaskawa
Electric
Corp.
(25,900)
(836,522)
82,615
(17.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.71%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/09/2027
$603,770,421
$(10,685,473)
$2,954,278
$(7,731,195)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
133
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Abbott
Laboratories
15,911
1,728,730
(64,599)
0.8
Altria
Group,
Inc.
49,158
2,053,330
(338,699)
4.4
Bristol-Myers
Squibb
Co.
20,713
1,594,901
21,127
(0.3)
CF
Industries
Holdings,
Inc.
20,780
1,781,469
(65,665)
0.8
Cisco
Systems,
Inc.
36,685
1,564,248
(59,430)
0.8
Coca-Cola
Co.
(The)
26,303
1,654,722
29,196
(0.4)
CVS
Health
Corp.
19,905
1,844,397
(1,592)
0.0
Emerson
Electric
Co.
21,113
1,679,328
(219,575)
2.8
Exxon
Mobil
Corp.
22,715
1,945,313
(379,113)
4.9
Gartner,
Inc.
7,707
1,863,784
(110,595)
1.4
General
Dynamics
Corp.
7,839
1,734,379
(44,212)
0.6
General
Electric
Co.
29,119
1,854,007
(323,512)
4.2
Gilead
Sciences,
Inc.
33,451
2,067,606
21,074
(0.3)
Intel
Corp.
54,217
2,028,258
(140,964)
1.8
IQVIA
Holdings,
Inc.
7,138
1,548,875
2,427
(0.0)
Keurig
Dr
Pepper,
Inc.
45,886
1,623,906
(14,684)
0.2
Microsoft
Corp.
6,167
1,583,871
(49,089)
0.6
Pfizer,
Inc.
52,135
2,733,438
33,888
(0.4)
Procter
&
Gamble
Co.
(The)
10,772
1,548,906
14,004
(0.2)
Starbucks
Corp.
22,186
1,694,789
(55,909)
0.7
Short
Positions
Common
Stocks
United
States
American
Express
Co.
(12,119)
(1,679,936)
270,981
(3.5)
Amgen,
Inc.
(6,700)
(1,630,110)
(10,385)
0.1
Avangrid,
Inc.
(34,183)
(1,576,520)
6,837
(0.1)
CarMax,
Inc.
(19,048)
(1,723,463)
180,004
(2.3)
Dollar
General
Corp.
(7,186)
(1,763,732)
(55,548)
0.7
Exelon
Corp.
(34,052)
(1,543,237)
45,630
(0.6)
General
Mills,
Inc.
(21,678)
(1,635,605)
(163,019)
2.1
Graphic
Packaging
Holding
Co.
(82,325)
(1,687,662)
140,776
(1.8)
Grocery
Outlet
Holding
Corp.
(43,772)
(1,866,000)
(247,750)
3.2
Hewlett
Packard
Enterprise
Co.
(126,440)
(1,676,594)
179,545
(2.3)
Honeywell
International,
Inc.
(11,824)
(2,055,129)
215,197
(2.8)
Hormel
Foods
Corp.
(50,668)
(2,399,636)
(104,376)
1.4
Illinois
Tool
Works,
Inc.
(13,573)
(2,473,679)
286,526
(3.7)
Insulet
Corp.
(9,889)
(2,155,209)
13,548
(0.2)
Jazz
Pharmaceuticals
plc
(14,112)
(2,201,613)
(112,190)
1.5
Kimberly-Clark
Corp.
(11,617)
(1,570,038)
(89,335)
1.2
M&T
Bank
Corp.
(16,871)
(2,689,069)
201,946
(2.6)
Mercury
Systems,
Inc.
(27,855)
(1,791,912)
(84,122)
1.1
Ollie's
Bargain
Outlet
Holdings,
Inc.
(30,929)
(1,817,079)
(94,643)
1.2
Performance
Food
Group
Co.
(33,735)
(1,551,135)
(140,000)
1.8
Principal
Financial
Group,
Inc.
(30,228)
(2,018,928)
105,798
(1.4)
Progressive
Corp.
(The)
(22,201)
(2,581,310)
(16,207)
0.2
RPM
International,
Inc.
(19,367)
(1,524,570)
111,941
(1.4)
Seagen,
Inc.
(10,001)
(1,769,577)
(351,935)
4.6
Stanley
Black
&
Decker,
Inc.
(22,933)
(2,404,754)
299,505
(3.9)
STERIS
plc
(9,401)
(1,938,016)
145,151
(1.9)
Teledyne
Technologies,
Inc.
(4,153)
(1,557,832)
77,329
(1.0)
Thermo
Fisher
Scientific,
Inc.
(3,839)
(2,085,652)
(13,283)
0.2
T-Mobile
US,
Inc.
(14,668)
(1,973,433)
(22,295)
0.3
134
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
US
Bancorp
(34,895)
(1,605,868)
150,397
(1.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-0.55%
to
0.30%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
09/18/2023
-
06/24/2024
$42,993,561
$487,146
$149,770
$636,916
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
42,283
302,429
(13,070)
(2.1)
ALS
Ltd.
89,068
658,918
(33,953)
(5.3)
Ampol
Ltd.
18,719
441,815
1,732
0.3
Aristocrat
Leisure
Ltd.
50,726
1,206,570
(11,904)
(1.9)
Aurizon
Holdings
Ltd.
383,550
1,008,748
2,716
0.4
Australia
&
New
Zealand
Banking
Group
Ltd.
18,461
281,174
(6,429)
(1.0)
BHP
Group
Ltd.
96,735
2,769,873
18,894
3.0
BlueScope
Steel
Ltd.
72,292
796,560
(10,815)
(1.7)
Brambles
Ltd.
69,891
516,795
(8,081)
(1.3)
Coles
Group
Ltd.
66,442
817,659
(4,181)
(0.7)
Incitec
Pivot
Ltd.
474,209
1,091,299
(31,418)
(4.9)
JB
Hi-Fi
Ltd.
53,145
1,413,459
(75,517)
(11.9)
Macquarie
Group
Ltd.
3,234
368,210
(2,927)
(0.5)
Medibank
Pvt
Ltd.
132,262
297,481
(137)
(0.0)
Origin
Energy
Ltd.
189,644
752,802
1,426
0.2
QBE
Insurance
Group
Ltd.
69,429
583,403
5,447
0.9
Sonic
Healthcare
Ltd.
51,294
1,169,159
(1,707)
(0.3)
South32
Ltd.
456,931
1,238,142
(36,061)
(5.7)
Suncorp
Group
Ltd.
71,992
548,993
(9,054)
(1.4)
Telstra
Corp.
Ltd.
735,348
1,955,860
(38,905)
(6.1)
United
States
James
Hardie
Industries
plc
17,912
392,145
(13,634)
(2.1)
Short
Positions
Common
Stocks
Australia
APA
Group
(160,392)
(1,249,096)
28,504
4.5
Atlas
Arteria
Ltd.
(75,129)
(418,599)
931
0.1
carsales.com
Ltd.
(36,337)
(461,839)
58,855
9.2
Cochlear
Ltd.
(10,416)
(1,430,041)
28,666
4.5
Commonwealth
Bank
of
Australia
(16,564)
(1,034,861)
36,896
5.8
135
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
CSL
Ltd.
(11,962)
(2,221,042)
33,056
5.2
Domino's
Pizza
Enterprises
Ltd.
(8,261)
(388,315)
8,498
1.3
Evolution
Mining
Ltd.
(517,967)
(846,333)
97,537
15.3
Fortescue
Metals
Group
Ltd.
(23,182)
(278,758)
7,347
1.2
IDP
Education
Ltd.
(53,006)
(867,980)
34,631
5.4
Insurance
Australia
Group
Ltd.
(157,220)
(474,105)
3,388
0.5
Lendlease
Corp.
Ltd.
(205,450)
(1,294,118)
24,732
3.9
National
Australia
Bank
Ltd.
(37,547)
(711,998)
11,859
1.9
Newcrest
Mining
Ltd.
(59,331)
(845,242)
45,081
7.1
NEXTDC
Ltd.
(109,638)
(806,929)
60,336
9.5
Northern
Star
Resources
Ltd.
(154,901)
(726,595)
23,986
3.8
Orica
Ltd.
(76,802)
(840,267)
9,525
1.5
Pro
Medicus
Ltd.
(23,503)
(686,843)
44,487
7.0
Qantas
Airways
Ltd.
(140,319)
(434,264)
15,144
2.4
Reece
Ltd.
(65,326)
(620,520)
41,420
6.5
SEEK
Ltd.
(37,877)
(549,440)
31,754
5.0
Seven
Group
Holdings
Ltd.
(65,566)
(753,791)
1,547
0.2
Transurban
Group
(123,881)
(1,232,530)
3,928
0.6
Treasury
Wine
Estates
Ltd.
(64,957)
(509,406)
2,628
0.4
Wesfarmers
Ltd.
(25,319)
(732,326)
39,258
6.2
Westpac
Banking
Corp.
(49,937)
(673,596)
12,067
1.9
Woolworths
Group
Ltd.
(36,585)
(898,613)
12,255
1.9
Worley
Ltd.
(29,401)
(289,894)
(4,965)
(0.8)
New
Zealand
Xero
Ltd.
(10,056)
(536,394)
40,625
6.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
14-25
months
maturity
ranging
from
11/25/2022
-
06/25/2024
$64,124,390
$659,039
$(1,654,271)
$(995,232)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Alimentation
Couche-Tard,
Inc.
15,999
624,075
(63,762)
6.4
ARC
Resources
Ltd.
49,657
626,113
8,873
(0.9)
Atco
Ltd.
22,626
775,176
14,414
(1.4)
Bank
of
Montreal
5,492
528,123
(3,669)
0.4
Canadian
Natural
Resources
Ltd.
25,735
1,382,916
8,597
(0.9)
Canadian
Tire
Corp.
Ltd.
4,447
561,057
(19,692)
2.0
Cenovus
Energy,
Inc.
39,089
743,699
(23,079)
2.3
136
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Empire
Co.
Ltd.
29,761
916,737
(4,855)
0.5
Fairfax
Financial
Holdings
Ltd.
2,634
1,395,783
74,997
(7.5)
Finning
International,
Inc.
34,219
720,162
(9,304)
0.9
iA
Financial
Corp.,
Inc.
13,090
651,042
22,373
(2.2)
Imperial
Oil
Ltd.
32,510
1,532,557
(41,673)
4.2
Loblaw
Cos.
Ltd.
12,328
1,111,838
16,090
(1.6)
Metro,
Inc.
10,550
566,267
1,639
(0.2)
National
Bank
of
Canada
21,866
1,434,914
2,378
(0.2)
Nutrien
Ltd.
19,076
1,519,174
(78,545)
7.9
Onex
Corp.
13,198
657,234
(8,818)
0.9
Pembina
Pipeline
Corp.
28,301
1,000,385
3,078
(0.3)
SNC-Lavalin
Group,
Inc.
29,044
499,560
(12,184)
1.2
Stantec,
Inc.
14,614
640,214
4,995
(0.5)
Suncor
Energy,
Inc.
42,163
1,479,243
(26,204)
2.6
TFI
International,
Inc.
6,581
528,290
3,272
(0.3)
Thomson
Reuters
Corp.
5,638
587,759
(788)
0.1
Toromont
Industries
Ltd.
8,763
708,556
12,050
(1.2)
Toronto-Dominion
Bank
(The)
14,954
980,630
(5,112)
0.5
Tourmaline
Oil
Corp.
14,158
736,168
(11,879)
1.2
Whitecap
Resources,
Inc.
91,539
635,767
(19,912)
2.0
Chile
Lundin
Mining
Corp.
84,515
535,769
(42,021)
4.2
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(16,442)
(752,612)
71,276
(7.2)
Algonquin
Power
&
Utilities
Corp.
(168,215)
(2,260,814)
81,023
(8.1)
Ballard
Power
Systems,
Inc.
(225,249)
(1,422,681)
96,245
(9.7)
BCE,
Inc.
(41,807)
(2,054,948)
8,445
(0.8)
BlackBerry
Ltd.
(101,531)
(547,409)
41,805
(4.2)
CAE,
Inc.
(70,311)
(1,732,648)
18,026
(1.8)
Canadian
Imperial
Bank
of
Commerce
(24,388)
(1,184,349)
8,905
(0.9)
Canadian
Pacific
Railway
Ltd.
(24,094)
(1,682,949)
19,841
(2.0)
Canadian
Utilities
Ltd.
(33,544)
(1,000,431)
(13,290)
1.3
Emera,
Inc.
(30,216)
(1,415,495)
(704)
0.1
Enbridge,
Inc.
(21,835)
(922,118)
(509)
0.1
Fortis,
Inc.
(19,282)
(911,521)
(1,198)
0.1
GFL
Environmental,
Inc.
(21,038)
(541,967)
32,198
(3.2)
Keyera
Corp.
(21,782)
(497,507)
6,600
(0.7)
Lightspeed
Commerce,
Inc.
(27,787)
(619,552)
58,933
(5.9)
Northland
Power,
Inc.
(19,444)
(578,849)
(2,870)
0.3
Restaurant
Brands
International,
Inc.
(17,031)
(854,329)
2,911
(0.3)
Ritchie
Bros
Auctioneers,
Inc.
(16,655)
(1,083,636)
(42,310)
4.3
Rogers
Communications,
Inc.
(27,074)
(1,297,331)
2,945
(0.3)
Royal
Bank
of
Canada
(14,428)
(1,397,068)
1,457
(0.1)
Shopify,
Inc.
(43,240)
(1,351,082)
263,699
(26.5)
TC
Energy
Corp.
(29,364)
(1,521,125)
36,500
(3.7)
137
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.65%
to
0.30%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
05/27/2024
$28,577,501
$385,827
$(396,729)
$(10,902)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
18,180
487,555
(6,437)
59.0
Baloise
Holding
AG
(Registered)
3,696
605,011
6,852
(62.9)
Barry
Callebaut
AG
(Registered)
274
613,053
(6,902)
63.3
Belimo
Holding
AG
(Registered)
741
260,891
(6,122)
56.2
BKW
AG
4,043
422,989
(3,905)
35.8
Bucher
Industries
AG
(Registered)
928
323,916
(13,203)
121.1
Chocoladefabriken
Lindt
&
Spruengli
AG
16
162,913
2,016
(18.5)
Credit
Suisse
Group
AG
(Registered)
15,359
87,667
(4,682)
42.9
DKSH
Holding
AG
6,464
534,855
279
(2.6)
dormakaba
Holding
AG
275
120,018
(1,401)
12.9
Galenica
AG
844
64,926
2,818
(25.9)
Geberit
AG
(Registered)
1,322
636,019
(20,100)
184.4
Georg
Fischer
AG
(Registered)
3,820
188,665
(8,847)
81.2
Helvetia
Holding
AG
(Registered)
649
76,221
352
(3.2)
Julius
Baer
Group
Ltd.
6,177
286,552
(9,988)
91.6
Kuehne
+
Nagel
International
AG
(Registered)
7,867
1,869,219
(32,739)
300.3
Lonza
Group
AG
(Registered)
1,949
1,041,034
(6,300)
57.8
Novartis
AG
(Registered)
22,375
1,896,967
(25,879)
237.4
OC
Oerlikon
Corp.
AG
(Registered)
10,498
73,293
(2,364)
21.7
Partners
Group
Holding
AG
424
382,913
(17,969)
164.8
Schindler
Holding
AG
1,182
216,140
(289)
2.7
SGS
SA
(Registered)
33
75,691
(807)
7.4
Straumann
Holding
AG
(Registered)
2,160
260,207
9,736
(89.3)
Swiss
Life
Holding
AG
(Registered)
191
93,240
(1,135)
10.4
Swisscom
AG
(Registered)
1,690
934,774
10,332
(94.8)
Temenos
AG
(Registered)
11,592
992,044
(36,440)
334.3
UBS
Group
AG
(Registered)
21,631
349,703
(16,007)
146.8
United
States
Swiss
Re
AG
4,423
343,304
(2,233)
20.5
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(78,998)
(714,695)
63,824
(585.4)
Switzerland
Alcon,
Inc.
(7,659)
(537,061)
(2,580)
23.7
138
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Bachem
Holding
AG
(Registered)
(7,410)
(516,478)
52,865
(484.9)
Banque
Cantonale
Vaudoise
(Registered)
(6,277)
(493,298)
5,430
(49.8)
Cie
Financiere
Richemont
SA
(2,188)
(235,348)
1,065
(9.8)
Dufry
AG
(Registered)
(39,910)
(1,295,079)
174,816
(1603.5)
Flughafen
Zurich
AG
(Registered)
(5,523)
(836,871)
54,075
(496.0)
Givaudan
SA
(Registered)
(528)
(1,861,048)
(36,983)
339.2
Holcim
AG
(23,255)
(997,397)
45,443
(416.8)
Idorsia
Ltd.
(65,791)
(942,491)
59,553
(546.3)
Logitech
International
SA
(Registered)
(14,358)
(748,701)
45,715
(419.3)
SIG
Group
AG
(51,029)
(1,126,824)
35,247
(323.3)
Sika
AG
(Registered)
(3,187)
(735,678)
17,464
(160.2)
Sonova
Holding
AG
(Registered)
(1,378)
(440,383)
883
(8.1)
Sulzer
AG
(Registered)
(5,144)
(320,634)
15,061
(138.1)
Tecan
Group
AG
(Registered)
(1,458)
(424,552)
14,688
(134.7)
VAT
Group
AG
(243)
(58,115)
4,503
(41.3)
United
States
Nestle
SA
(Registered)
(24,754)
(2,893,068)
26,122
(239.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.00%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
07/25/2024
$149,737,250
$396,017
$(4,310,143)
$(3,914,126)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Airbus
SE
9,688
947,582
1,264
(0.0)
Cie
de
Saint-Gobain
25,100
1,084,552
(40,845)
1.0
Orange
SA
228,504
2,692,594
26,438
(0.7)
Renault
SA
44,715
1,128,871
(55,258)
1.4
TotalEnergies
SE
31,832
1,675,540
7,623
(0.2)
Vinci
SA
10,719
962,153
(5,792)
0.1
Germany
BASF
SE
21,810
954,236
(24,220)
0.6
Bayerische
Motoren
Werke
AG
15,638
1,212,267
(28,784)
0.7
Deutsche
Bank
AG
(Registered)
109,961
966,305
(58,122)
1.5
Freenet
AG
35,793
892,614
(5,358)
0.1
Italy
Eni
SpA
215,515
2,556,152
(25,302)
0.6
Leonardo
SpA
162,358
1,647,252
30,893
(0.8)
139
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Netherlands
Aegon
NV
281,258
1,211,274
(53,179)
1.4
ASR
Nederland
NV
32,071
1,293,006
7,469
(0.2)
Koninklijke
Ahold
Delhaize
NV
49,043
1,276,541
(7,296)
0.2
NN
Group
NV
24,543
1,111,623
8,242
(0.2)
OCI
NV
45,098
1,483,530
44,921
(1.1)
Wolters
Kluwer
NV
9,390
910,060
11,842
(0.3)
Spain
Acerinox
SA
97,855
950,123
(56,479)
1.4
Industria
de
Diseno
Textil
SA
65,360
1,485,337
(9,203)
0.2
Repsol
SA
204,002
3,007,399
56,112
(1.4)
Telefonica
SA
197,716
1,009,446
28,785
(0.7)
Short
Positions
Common
Stocks
China
Prosus
NV
(64,092)
(4,150,191)
(25,575)
0.7
Finland
Neste
OYJ
(22,176)
(986,410)
52,621
(1.3)
Orion
OYJ
(23,694)
(1,060,415)
(82,605)
2.1
UPM-Kymmene
OYJ
(42,918)
(1,316,007)
24,275
(0.6)
France
Air
Liquide
SA
(6,604)
(888,917)
36,652
(0.9)
Alstom
SA
(75,032)
(1,713,322)
164,358
(4.2)
L'Oreal
SA
(5,357)
(1,859,980)
18,139
(0.5)
Germany
adidas
AG
(8,049)
(1,429,752)
20,047
(0.5)
Continental
AG
(19,879)
(1,395,282)
27,140
(0.7)
Deutsche
Telekom
AG
(Registered)
(73,636)
(1,464,566)
(10,588)
0.3
Fresenius
Medical
Care
AG
&
Co.
KGaA
(44,139)
(2,211,413)
(5,490)
0.1
SAP
SE
(16,210)
(1,477,549)
90,376
(2.3)
Italy
DiaSorin
SpA
(9,212)
(1,211,475)
15,994
(0.4)
Nexi
SpA
(206,010)
(1,710,798)
27,965
(0.7)
Netherlands
ABN
AMRO
Bank
NV
(112,078)
(1,259,371)
64,901
(1.7)
Argenx
SE
(4,101)
(1,545,886)
(32,686)
0.8
ASM
International
NV
(4,031)
(1,002,942)
61,578
(1.6)
Koninklijke
Philips
NV
(84,203)
(1,806,031)
33,784
(0.9)
Portugal
EDP
-
Energias
de
Portugal
SA
(248,164)
(1,156,528)
8,557
(0.2)
South
Korea
Delivery
Hero
SE
(36,364)
(1,371,862)
103,666
(2.6)
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(41,996)
(1,023,512)
9,395
(0.2)
Aena
SME
SA
(7,149)
(912,220)
66,958
(1.7)
Amadeus
IT
Group
SA
(28,007)
(1,568,229)
(1,529)
0.0
CaixaBank
SA
(363,439)
(1,272,783)
26,732
(0.7)
Cellnex
Telecom
SA
(38,389)
(1,494,031)
70,907
(1.8)
Ferrovial
SA
(50,656)
(1,288,879)
(8,470)
0.2
Grifols
SA
(57,562)
(1,091,628)
63,842
(1.6)
United
States
Schneider
Electric
SE
(19,509)
(2,324,606)
72,302
(1.8)
140
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.30%
to
0.30%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
06/25/2024
$48,181,522
$41,215
$(1,351,239)
$(1,310,024)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
226,892
1,228,946
(21,530)
1.6
Rio
Tinto
plc
33,639
2,011,163
(57,159)
4.4
Netherlands
Shell
plc
66,959
1,743,799
21,917
(1.7)
Nigeria
Airtel
Africa
plc
353,668
587,536
(5,720)
0.4
South
Africa
Anglo
American
plc
31,043
1,109,743
(74,364)
5.7
United
Kingdom
Associated
British
Foods
plc
22,044
425,352
(16,473)
1.3
Aviva
plc
72,860
356,888
(8,703)
0.7
Barclays
plc
625,156
1,169,015
(38,239)
2.9
BP
plc
257,744
1,210,236
(18,416)
1.4
British
American
Tobacco
plc
25,747
1,103,626
(15,747)
1.2
Centrica
plc
432,136
421,997
(10,407)
0.8
Diageo
plc
32,877
1,420,047
(42,927)
3.3
DS
Smith
plc
118,631
401,782
(21,915)
1.7
Howden
Joinery
Group
plc
70,239
517,763
(14,230)
1.1
Inchcape
plc
49,550
421,076
(12,906)
1.0
InterContinental
Hotels
Group
plc
11,466
609,395
(12,135)
0.9
Johnson
Matthey
plc
19,062
449,494
(20,390)
1.6
M&G
plc
247,066
585,724
(18,790)
1.4
Man
Group
plc
303,940
927,847
(9,697)
0.7
Marks
&
Spencer
Group
plc
235,021
389,908
(24,781)
1.9
National
Grid
plc
89,217
1,146,522
(4,679)
0.4
NatWest
Group
plc
199,576
531,224
(6,654)
0.5
Royal
Mail
plc
108,444
358,241
(12,572)
1.0
Spectris
plc
19,875
658,450
(33,735)
2.6
Spirax-Sarco
Engineering
plc
3,805
458,916
6,294
(0.5)
SSE
plc
35,627
703,111
(12,907)
1.0
Travis
Perkins
plc
32,292
382,764
(16,223)
1.2
Vodafone
Group
plc
297,890
463,187
1,860
(0.1)
United
States
GSK
plc
23,999
517,217
1,824
(0.1)
141
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(45,476)
(565,687)
(7,125)
0.5
United
Kingdom
ASOS
plc
(40,229)
(412,298)
16,931
(1.3)
AstraZeneca
plc
(25,463)
(3,359,125)
(9,685)
0.7
AVEVA
Group
plc
(55,596)
(1,526,251)
131,159
(10.0)
BAE
Systems
plc
(59,345)
(600,808)
(23,894)
1.8
Berkeley
Group
Holdings
plc
(9,709)
(441,415)
9,117
(0.7)
boohoo
Group
plc
(703,444)
(473,631)
31,074
(2.4)
BT
Group
plc
(397,074)
(902,454)
(8,483)
0.6
Compass
Group
plc
(24,783)
(508,829)
7,200
(0.5)
ConvaTec
Group
plc
(182,568)
(500,416)
(3,042)
0.2
Croda
International
plc
(5,610)
(443,426)
(7,732)
0.6
Informa
plc
(94,438)
(610,127)
19,620
(1.5)
Ocado
Group
plc
(143,588)
(1,368,784)
134,407
(10.3)
Reckitt
Benckiser
Group
plc
(10,094)
(759,193)
3,611
(0.3)
Rentokil
Initial
plc
(72,260)
(418,888)
11,158
(0.9)
Severn
Trent
plc
(39,227)
(1,302,343)
59,994
(4.6)
Taylor
Wimpey
plc
(581,159)
(827,827)
16,155
(1.2)
Unilever
plc
(9,902)
(451,331)
(1,246)
0.1
United
Utilities
Group
plc
(35,566)
(442,736)
5,362
(0.4)
Weir
Group
plc
(The)
(31,652)
(527,539)
26,907
(2.1)
Whitbread
plc
(21,512)
(652,344)
23,008
(1.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.35%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
09/25/2023
-
05/27/2024
$23,477,623
$170,328
$(438,333)
$(268,005)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
74,243
655,827
(26,673)
10.0
Sweden
Atlas
Copco
AB
66,936
626,524
(25,055)
9.3
Axfood
AB
12,350
355,588
13,449
(5.0)
BillerudKorsnas
AB
52,349
613,806
2,285
(0.9)
Boliden
AB
22,847
730,658
(31,374)
11.7
Elekta
AB
11,818
81,904
(1,852)
0.7
142
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Evolution
AB
1,015
92,853
(4,244)
1.6
Getinge
AB
35,603
825,148
3,092
(1.2)
H
&
M
Hennes
&
Mauritz
AB
52,671
632,191
(4,098)
1.5
Hexpol
AB
13,244
113,414
(2,976)
1.1
Indutrade
AB
18,004
330,338
(6,871)
2.6
Saab
AB
46,565
1,925,574
133,029
(49.6)
Securitas
AB
79,338
685,942
(4,307)
1.6
Skandinaviska
Enskilda
Banken
AB
9,947
97,996
(2,497)
0.9
Skanska
AB
8,379
128,915
1,098
(0.4)
SSAB
AB
158,787
659,796
(17,743)
6.6
Svenska
Cellulosa
AB
SCA
13,921
209,164
(3,331)
1.2
Svenska
Handelsbanken
AB
53,053
455,402
(7,825)
2.9
Swedbank
AB
22,399
284,077
(6,591)
2.5
Tele2
AB
24,122
275,060
1,883
(0.7)
Telefonaktiebolaget
LM
Ericsson
146,220
1,092,120
(68,664)
25.6
Telia
Co.
AB
311,589
1,195,911
(9,660)
3.6
Trelleborg
AB
18,977
383,953
(25,092)
9.4
Volvo
AB
21,363
332,395
(12,679)
4.7
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(12,315)
(176,495)
9,017
(3.4)
Sweden
AAK
AB
(21,973)
(358,532)
(7,127)
2.7
Alfa
Laval
AB
(20,466)
(496,139)
19,825
(7.4)
Assa
Abloy
AB
(16,286)
(347,544)
5,248
(2.0)
Beijer
Ref
AB
(32,656)
(447,823)
(907)
0.3
Electrolux
AB
(39,795)
(537,506)
3,844
(1.4)
Embracer
Group
AB
(155,708)
(1,196,008)
35,835
(13.4)
Epiroc
AB
(31,134)
(482,735)
13,809
(5.2)
EQT
AB
(21,570)
(443,329)
42,482
(15.9)
Essity
AB
(71,573)
(1,870,959)
(27,367)
10.2
Hexagon
AB
(150,466)
(1,572,227)
42,049
(15.7)
Holmen
AB
(10,108)
(411,736)
10,380
(3.9)
Husqvarna
AB
(58,928)
(434,348)
23,378
(8.7)
Nibe
Industrier
AB
(31,703)
(238,985)
(4,011)
1.5
Sandvik
AB
(43,606)
(710,652)
35,954
(13.4)
SKF
AB
(32,757)
(485,992)
21,866
(8.2)
Sweco
AB
(10,434)
(108,747)
185
(0.1)
United
States
Sinch
AB
(114,286)
(373,310)
52,564
(19.6)
143
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MANAGED
FUTURES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
15,912,028
$
15,912,028
CITI
Cash
(17,727,663)
–
(17,727,663)
Investment
Companies
12,331,246
–
12,331,246
GSCO
Cash
–
(72,984)
(72,984)
GSIN
U.S.
Treasury
Bills
50,920,703
–
50,920,703
JPMC
U.S.
Treasury
Bills
5,384,188
–
5,384,188
JPMS
Cash
–
22,853,386
22,853,386
MLIN
Cash
27,078,222
–
27,078,222
MSCL
Cash
–
3,535,003
3,535,003
MSCS
Cash
(641,752)
–
(641,752)
U.S.
Treasury
Bills
4,882,316
–
4,882,316
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
8,537,271
$
8,537,271
JPPC
Cash
–
1,067,924
1,067,924
MACQ
U.S.
Treasury
Bills
359,394
–
359,394
MSCL
Cash
–
13,489,263
13,489,263
SOCG
Cash
340,334
–
340,334
144
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
90.3%
INVESTMENT
COMPANIES
-
17.4%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(a)(b)
10,059,806
10,059,806
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
15,908,223
15,895,497
TOTAL
INVESTMENT
COMPANIES
(Cost
$25,950,674)
25,955,303
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
72.9%
U.S.
Treasury
Bills
0.22%,
7/7/2022
(c)
$
473,000
472,941
0.28%,
7/14/2022
(c)
2,955,000
2,953,863
0.37%,
7/21/2022
(c)
1,081,000
1,080,390
0.38%,
7/28/2022
(c)(d)
4,006,000
4,002,763
0.50%,
8/4/2022
(c)(d)
5,698,000
5,691,636
0.77%,
8/18/2022
(c)
4,449,000
4,441,106
0.71%,
8/25/2022
(c)(d)
1,885,000
1,880,867
0.67%,
9/1/2022
(c)
14,016,000
13,979,249
0.70%,
9/8/2022
(c)(d)
3,381,000
3,371,012
0.82%,
9/15/2022
(c)(d)
4,918,000
4,901,596
0.87%,
9/22/2022
(c)
6,065,000
6,042,266
1.06%,
9/29/2022
(c)(d)
6,412,000
6,385,711
1.12%,
10/6/2022
(c)
1,308,000
1,301,868
1.23%,
10/13/2022
(c)
618,000
614,670
1.26%,
10/20/2022
(c)
2,267,000
2,253,326
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
72.9%
(continued)
1.38%,
10/27/2022
(c)(d)
$
4,979,000
4,947,621
1.42%,
11/3/2022
(c)
7,327,000
7,276,589
1.39%,
11/10/2022
(c)(d)
6,871,000
6,820,165
1.50%,
11/17/2022
(c)(d)
1,121,000
1,112,122
1.72%,
12/8/2022
(c)
4,229,000
4,186,564
2.18%,
12/15/2022
(c)(d)
6,038,000
5,974,768
2.42%,
12/22/2022
(c)(d)
19,331,000
19,106,281
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$108,928,355)
108,797,374
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$134,879,029)
134,752,677
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
90.3%
(Cost
$134,879,029)
134,752,677
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
9.7%
(e)
14,485,636
NET
ASSETS
-
100.0%
149,238,313
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
25,955,303
17.4
U.S.
Treasury
Obligations
108,797,374
72.9
Total
Investments
In
Securities
At
Value
$
134,752,677
90.3
Other
Assets
in
Excess
of
Liabilities
(e)
14,485,636
9.7
Net
Assets
$
149,238,313
100.0%
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(b)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(e)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
June
30,
2022:
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
1D
SARON
Annual
1.50%
Annual
12/21/2027
CHF
25,300,000
$
(305,234)
$
488,814
$
183,580
Pay
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
859,800,000
(20,286)
22,908
2,622
Pay
3M
BBR
Qtrly
4.50%
Semi
12/15/2027
NZD
18,800,000
23,950
180,616
204,566
Pay
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2027
SEK
159,400,000
(53,881)
150,971
97,090
Pay
6M
BBR
Semi
4.00%
Semi
12/09/2027
AUD
11,700,000
(218,262)
220,010
1,748
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2027
AUD
25,200,000
219,048
175,592
394,640
Pay
6M
BBR
Semi
4.50%
Semi
12/09/2032
AUD
800,000
(10,042)
24,959
14,917
Pay
6M
NIBOR
Semi
3.50%
Annual
12/15/2027
NOK
122,000,000
40,427
46,960
87,387
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
169,200,000
4,241,544
(914,984)
3,326,560
Receive
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
10,100,000
854,071
(141,416)
712,655
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
132,900,000
3,315,359
(975,776)
2,339,583
Receive
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
4,400,000
476,176
(83,557)
392,619
Receive
1D
TONAR
Annual
0.00%
Annual
12/21/2027
JPY
2,819,000,000
272,643
(41,253)
231,390
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
57,800,000
1,118,362
(153,042)
965,320
145
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
162,600,000
$
4,857,636
$
(1,460,288)
$
3,397,348
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
9,300,000
1,318,822
(172,879)
1,145,943
Receive
6M
NIBOR
Semi
3.00%
Annual
12/15/2032
NOK
16,100,000
37,542
6,346
43,888
16,167,875
(2,626,019)
13,541,856
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2027
USD
90,000,000
(4,057,330)
720,798
(3,336,532)
Pay
1D
SONIA
Annual
1.75%
Annual
12/21/2027
GBP
64,000,000
(3,257,439)
576,911
(2,680,528)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
7,291,800,000
(143,085)
23,955
(119,130)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2027
CAD
11,700,000
(513,157)
90,899
(422,258)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
7,300,000
(642,526)
68,012
(574,514)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/21/2027
EUR
85,600,000
(6,369,670)
1,075,082
(5,294,588)
Receive
1D
SARON
Annual
1.50%
Annual
12/23/2024
CHF
30,500,000
(33,686)
(289,193)
(322,879)
Receive
1D
SARON
Annual
2.00%
Annual
12/21/2032
CHF
6,700,000
61,666
(186,049)
(124,383)
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2027
JPY
1,810,200,000
(122,149)
(61,158)
(183,307)
Receive
3M
BBR
Qtrly
4.50%
Semi
12/11/2024
NZD
22,300,000
30,511
(96,963)
(66,452)
Receive
3M
BBR
Qtrly
4.50%
Qtrly
12/12/2024
AUD
90,400,000
(307,623)
(649,715)
(957,338)
Receive
3M
BBR
Qtrly
4.50%
Semi
12/15/2032
NZD
5,200,000
(15,959)
(74,421)
(90,380)
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/18/2024
SEK
90,400,000
30,905
(36,999)
(6,094)
Receive
3M
STIBOR
Qtrly
3.50%
Annual
12/18/2024
SEK
101,200,000
(84,264)
(17,056)
(101,320)
Receive
3M
STIBOR
Qtrly
3.00%
Annual
12/15/2032
SEK
42,400,000
35,550
(78,430)
(42,880)
Receive
6M
NIBOR
Semi
3.50%
Annual
12/18/2024
NOK
146,600,000
17,466
(19,439)
(1,973)
Receive
6M
NIBOR
Semi
3.50%
Annual
12/15/2032
NOK
17,200,000
7,374
(34,465)
(27,091)
(15,363,416)
1,011,769
(14,351,647)
$
804,459
$
(1,614,250)
$
(809,791)
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
June
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
1.50%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
1.19%
1
Day
Swiss
Average
Rate
Overnight
(“SARON”):
-0.20%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.04%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
1.81%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
2.76%
3
Month
Stockholm
Interbank
Offered
Rate
(''STIBOR''):
0.80%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
2.67%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
0.26%
6
Month
Norwegian
Interbank
Offered
Rate
(''NIBOR''):
2.31%
146
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Cocoa
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(23,400)
$
1,884
Hang
Seng
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(6,523,200)
4,945
HSCEI
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
HKD
(1,897,250)
1,098
iBovespa
Index
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
08/17/2022
BRL
(22,457,025)
177,100
Lean
Hogs
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
07/15/2022
USD
43,650
1,370
Lean
Hogs
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/12/2022
USD
(40,840)
641
Live
Cattle
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(742,420)
10,319
Swiss
Market
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
09/16/2022
CHF
(5,664,110)
34,872
TAIEX
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/20/2022
TWD
(5,849,600)
12,225
244,454
Lean
Hogs
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
07/15/2022
USD
(43,650)
(4,117)
(4,117)
$
240,337
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
20
7/2022
USD
$
2,180,600
$
(145,808)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,650
(26,497)
LME
Aluminum
Base
Metal
4
7/2022
USD
243,355
(65,532)
LME
Copper
Base
Metal
1
7/2022
USD
206,552
(51,336)
LME
Copper
Base
Metal
1
7/2022
USD
206,625
(40,565)
LME
Copper
Base
Metal
3
7/2022
USD
619,725
(154,439)
LME
Lead
Base
Metal
1
7/2022
USD
47,823
(12,372)
147
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Lead
Base
Metal
1
7/2022
USD
$
47,768
$
(9,360)
LME
Lead
Base
Metal
1
7/2022
USD
47,773
(9,198)
LME
Lead
Base
Metal
1
7/2022
USD
47,821
(13,056)
LME
Lead
Base
Metal
1
7/2022
USD
47,625
(12,525)
LME
Lead
Base
Metal
2
7/2022
USD
96,165
(25,766)
LME
Zinc
Base
Metal
1
7/2022
USD
79,575
(27,533)
LME
Zinc
Base
Metal
1
7/2022
USD
79,575
(27,813)
LME
Zinc
Base
Metal
1
7/2022
USD
84,808
(22,034)
Natural
Gas
5
7/2022
USD
271,200
(175,721)
NY
Harbor
ULSD
19
7/2022
USD
3,056,739
(334,038)
Rapeseed
3
7/2022
EUR
109,092
(12,379)
RBOB
Gasoline
20
7/2022
USD
2,970,492
(375,063)
WTI
Crude
Oil
9
7/2022
USD
951,840
(106,141)
Ethanol
10
8/2022
USD
1,066,800
(116,881)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,877
(13,651)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,913
(9,015)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,838
(16,093)
LME
Aluminum
Base
Metal
2
8/2022
USD
122,000
(20,756)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,775
(22,981)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,963
(24,693)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,850
(46,797)
LME
Copper
Base
Metal
1
8/2022
USD
206,641
(31,484)
LME
Copper
Base
Metal
1
8/2022
USD
206,563
(30,063)
LME
Copper
Base
Metal
1
8/2022
USD
206,613
(19,965)
LME
Copper
Base
Metal
1
8/2022
USD
206,631
(24,621)
LME
Lead
Base
Metal
1
8/2022
USD
47,825
(6,178)
LME
Lead
Base
Metal
2
8/2022
USD
95,663
(11,893)
LME
Lead
Base
Metal
2
8/2022
USD
95,609
(13,397)
LME
Lead
Base
Metal
2
8/2022
USD
95,600
(16,763)
LME
Lead
Base
Metal
2
8/2022
USD
95,600
(17,900)
LME
Lead
Base
Metal
3
8/2022
USD
143,513
(15,158)
LME
Lead
Base
Metal
3
8/2022
USD
143,513
(11,220)
LME
Lead
Base
Metal
3
8/2022
USD
143,400
(12,983)
LME
Lead
Base
Metal
5
8/2022
USD
238,813
(23,351)
LME
Nickel
Base
Metal
1
8/2022
USD
136,117
(24,086)
LME
Nickel
Base
Metal
1
8/2022
USD
135,983
(49,209)
LME
Zinc
Base
Metal
1
8/2022
USD
79,406
(16,597)
LME
Zinc
Base
Metal
1
8/2022
USD
79,406
(21,147)
LME
Zinc
Base
Metal
2
8/2022
USD
158,813
(36,843)
LME
Zinc
Base
Metal
4
8/2022
USD
317,225
(32,237)
Low
Sulphur
Gasoil
16
8/2022
USD
1,798,400
(189,827)
Milk
1
8/2022
USD
45,060
(3,303)
Natural
Gas
10
8/2022
USD
591,150
(11,356)
Cocoa
3
9/2022
GBP
62,557
(2,002)
Coffee
'C'
3
9/2022
USD
258,863
46
FCOJ-A
9
9/2022
USD
233,618
(7,914)
KC
HRW
Wheat
1
9/2022
USD
47,588
(10,508)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,188
(1,818)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,250
(2,856)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,272
(4,379)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,263
(742)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,188
(16,918)
LME
Aluminum
Base
Metal
3
9/2022
USD
183,356
(13,183)
LME
Aluminum
Base
Metal
4
9/2022
USD
244,525
(47,036)
LME
Aluminum
Base
Metal
5
9/2022
USD
305,625
(23,859)
LME
Aluminum
Base
Metal
5
9/2022
USD
305,688
(14,702)
148
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
9/2022
USD
$
206,450
$
(2,678)
LME
Copper
Base
Metal
1
9/2022
USD
206,606
(27,396)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(26,865)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(34,415)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(35,855)
LME
Copper
Base
Metal
1
9/2022
USD
206,594
(21,339)
LME
Copper
Base
Metal
1
9/2022
USD
206,425
(9,603)
LME
Copper
Base
Metal
2
9/2022
USD
413,263
(73,234)
LME
Copper
Base
Metal
2
9/2022
USD
413,200
(50,042)
LME
Copper
Base
Metal
6
9/2022
USD
1,239,000
(198,209)
LME
Lead
Base
Metal
1
9/2022
USD
47,778
(7,006)
LME
Lead
Base
Metal
1
9/2022
USD
47,713
(4,934)
LME
Lead
Base
Metal
1
9/2022
USD
47,785
(7,202)
LME
Lead
Base
Metal
1
9/2022
USD
47,764
(7,666)
LME
Lead
Base
Metal
1
9/2022
USD
47,798
(6,455)
LME
Lead
Base
Metal
3
9/2022
USD
143,063
(7,598)
LME
Lead
Base
Metal
4
9/2022
USD
190,850
(18,036)
LME
Lead
Base
Metal
4
9/2022
USD
190,750
(1,816)
LME
Lead
Base
Metal
4
9/2022
USD
190,750
(3,061)
LME
Lead
Base
Metal
6
9/2022
USD
286,275
(42,278)
LME
Lead
Base
Metal
11
9/2022
USD
524,700
(15,560)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(39,264)
LME
Nickel
Base
Metal
1
9/2022
USD
136,230
(40,773)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(22,884)
LME
Nickel
Base
Metal
1
9/2022
USD
136,206
(17,037)
LME
Nickel
Base
Metal
1
9/2022
USD
136,179
(9,084)
LME
Nickel
Base
Metal
1
9/2022
USD
136,223
(19,180)
LME
Zinc
Base
Metal
1
9/2022
USD
79,206
(17,760)
LME
Zinc
Base
Metal
2
9/2022
USD
158,371
(21,736)
LME
Zinc
Base
Metal
2
9/2022
USD
157,859
(10,156)
LME
Zinc
Base
Metal
2
9/2022
USD
157,867
(10,535)
LME
Zinc
Base
Metal
2
9/2022
USD
158,346
(21,535)
LME
Zinc
Base
Metal
2
9/2022
USD
157,850
(6,106)
LME
Zinc
Base
Metal
4
9/2022
USD
315,850
(27,569)
LME
Zinc
Base
Metal
10
9/2022
USD
790,188
(75,174)
Wheat
2
9/2022
ZAR
45,886
(200)
White
Sugar
45
9/2022
USD
1,202,850
10,394
Soybean
15
11/2022
USD
1,093,500
(66,709)
WTI
Crude
Oil
36
11/2022
JPY
1,087,058
(32,474)
Cotton
No.
2
9
12/2022
USD
444,780
(111,178)
Milling
Wheat
No.
2
18
12/2022
EUR
324,917
(35,189)
White
Maize
6
12/2022
ZAR
164,413
2,674
Yellow
Maize
8
12/2022
ZAR
220,152
(2,712)
(3,858,930)
Short
Contracts
Amsterdam
Exchange
Index
(15)
7/2022
EUR
(2,071,703)
(20,708)
CAC
40
10
Euro
Index
(23)
7/2022
EUR
(1,425,443)
6,712
Hang
Seng
Index
(10)
7/2022
HKD
(1,385,533)
16,404
HSCEI
(11)
7/2022
HKD
(531,930)
11,179
IBEX
35
Index
(20)
7/2022
EUR
(1,685,020)
8,068
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,650)
26,378
LME
Aluminum
Base
Metal
(4)
7/2022
USD
(243,355)
66,835
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,625)
40,126
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,552)
51,904
LME
Copper
Base
Metal
(3)
7/2022
USD
(619,725)
151,782
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,823)
12,250
149
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(1)
7/2022
USD
$
(47,625)
$
12,447
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,768)
9,048
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,773)
8,933
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,821)
13,426
LME
Lead
Base
Metal
(2)
7/2022
USD
(96,165)
25,630
LME
Zinc
Base
Metal
(1)
7/2022
USD
(84,808)
20,502
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,575)
26,997
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,575)
27,010
MSCI
Singapore
Index
(82)
7/2022
SGD
(1,655,877)
54,107
OMXS30
Index
(79)
7/2022
SEK
(1,444,507)
50,812
SGX
FTSE
China
A50
Index
(88)
7/2022
USD
(1,309,704)
(28,917)
SGX
FTSE
Taiwan
Index
(48)
7/2022
USD
(2,434,560)
91,055
SGX
NIFTY
50
Index
(34)
7/2022
USD
(1,069,130)
6,885
100
oz
Gold
(12)
8/2022
USD
(2,168,760)
26,383
Feeder
Cattle
(31)
8/2022
USD
(2,690,800)
(18,869)
Lean
Hogs
(25)
8/2022
USD
(1,021,000)
26,128
Live
Cattle
(55)
8/2022
USD
(2,916,650)
44,761
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,877)
13,211
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,913)
8,346
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,963)
23,609
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(122,000)
20,865
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,838)
14,818
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,775)
21,601
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,850)
46,989
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,563)
29,487
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,613)
20,528
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,641)
32,606
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,631)
23,387
LME
Lead
Base
Metal
(1)
8/2022
USD
(47,825)
5,578
LME
Lead
Base
Metal
(2)
8/2022
USD
(95,609)
13,209
LME
Lead
Base
Metal
(2)
8/2022
USD
(95,600)
17,410
LME
Lead
Base
Metal
(2)
8/2022
USD
(95,663)
10,830
LME
Lead
Base
Metal
(2)
8/2022
USD
(95,600)
18,395
LME
Lead
Base
Metal
(3)
8/2022
USD
(143,400)
12,701
LME
Lead
Base
Metal
(3)
8/2022
USD
(143,513)
14,887
LME
Lead
Base
Metal
(3)
8/2022
USD
(143,513)
11,671
LME
Lead
Base
Metal
(5)
8/2022
USD
(238,813)
23,597
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,117)
23,056
LME
Nickel
Base
Metal
(1)
8/2022
USD
(135,983)
47,309
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,406)
15,409
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,406)
20,133
LME
Zinc
Base
Metal
(2)
8/2022
USD
(158,813)
37,218
LME
Zinc
Base
Metal
(4)
8/2022
USD
(317,225)
31,994
Milk
(1)
8/2022
USD
(45,640)
664
SGX
Iron
Ore
(58)
8/2022
USD
(690,026)
(40,309)
Australia
10
Year
Bond
(110)
9/2022
AUD
(9,072,963)
(114,336)
Australia
3
Year
Bond
(299)
9/2022
AUD
(22,254,486)
(102,178)
Canada
10
Year
Bond
(139)
9/2022
CAD
(13,400,023)
313,953
Cocoa
(55)
9/2022
USD
(1,287,000)
67,891
Copper
(14)
9/2022
USD
(1,298,500)
102,900
Corn
(76)
9/2022
USD
(2,389,250)
355,377
DAX
Index
(12)
9/2022
EUR
(4,015,011)
216,554
DJIA
CBOT
E-Mini
Index
(28)
9/2022
USD
(4,309,340)
32,792
EURO
STOXX
50
Index
(100)
9/2022
EUR
(3,605,996)
40,394
Euro-Bobl
(39)
9/2022
EUR
(5,076,060)
4,912
Euro-BTP
(38)
9/2022
EUR
(4,914,445)
36,808
150
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
Euro-Bund
(32)
9/2022
EUR
$
(4,990,254)
$
38,945
Euro-Buxl
(17)
9/2022
EUR
(2,906,007)
129,383
Euro-OAT
(30)
9/2022
EUR
(4,358,634)
117,240
Euro-Schatz
(102)
9/2022
EUR
(11,667,676)
2,009
FTSE
100
Index
(35)
9/2022
GBP
(3,033,938)
8,128
FTSE/JSE
Top
40
Index
(17)
9/2022
ZAR
(626,530)
3,634
FTSE/MIB
Index
(16)
9/2022
EUR
(1,777,994)
60,144
Japan
10
Year
Bond
(10)
9/2022
JPY
(10,972,140)
(22,095)
KOSPI
200
Index
(39)
9/2022
KRW
(2,308,717)
222,045
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,250)
3,437
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,188)
2,773
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,263)
1,442
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,188)
16,287
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,272)
3,028
LME
Aluminum
Base
Metal
(3)
9/2022
USD
(183,356)
12,931
LME
Aluminum
Base
Metal
(5)
9/2022
USD
(305,625)
20,719
LME
Aluminum
Base
Metal
(5)
9/2022
USD
(305,688)
17,517
LME
Aluminum
Base
Metal
(35)
9/2022
USD
(2,139,594)
214,714
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
25,641
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,594)
23,191
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,606)
25,702
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
35,116
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,450)
3,833
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
36,491
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,425)
9,143
LME
Copper
Base
Metal
(2)
9/2022
USD
(413,263)
73,157
LME
Copper
Base
Metal
(2)
9/2022
USD
(413,200)
49,137
LME
Copper
Base
Metal
(9)
9/2022
USD
(1,858,500)
206,621
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,785)
7,413
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,798)
6,294
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,713)
4,691
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,764)
7,733
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,778)
6,720
LME
Lead
Base
Metal
(3)
9/2022
USD
(143,063)
6,498
LME
Lead
Base
Metal
(4)
9/2022
USD
(190,850)
17,685
LME
Lead
Base
Metal
(4)
9/2022
USD
(190,750)
3,818
LME
Lead
Base
Metal
(4)
9/2022
USD
(190,750)
701
LME
Lead
Base
Metal
(11)
9/2022
USD
(524,700)
11,612
LME
Lead
Base
Metal
(34)
9/2022
USD
(1,622,225)
92,834
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,230)
39,818
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
21,091
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,223)
17,349
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
39,213
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,179)
9,211
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,206)
18,067
LME
Nickel
Base
Metal
(7)
9/2022
USD
(953,442)
172,704
LME
Zinc
Base
Metal
(1)
9/2022
USD
(79,206)
17,720
LME
Zinc
Base
Metal
(2)
9/2022
USD
(158,346)
18,883
LME
Zinc
Base
Metal
(2)
9/2022
USD
(157,850)
2,819
LME
Zinc
Base
Metal
(2)
9/2022
USD
(157,859)
8,986
LME
Zinc
Base
Metal
(2)
9/2022
USD
(158,371)
21,873
LME
Zinc
Base
Metal
(2)
9/2022
USD
(157,867)
11,228
LME
Zinc
Base
Metal
(4)
9/2022
USD
(315,850)
31,794
LME
Zinc
Base
Metal
(6)
9/2022
USD
(474,113)
60,345
Long
Gilt
(33)
9/2022
GBP
(4,593,944)
135,096
Lumber
(4)
9/2022
USD
(280,412)
(30,153)
151
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
MSCI
EAFE
E-Mini
Index
(39)
9/2022
USD
$
(3,620,370)
$
10,734
MSCI
Emerging
Markets
E-Mini
Index
(77)
9/2022
USD
(3,860,395)
9,245
NASDAQ
100
E-Mini
Index
(12)
9/2022
USD
(2,767,080)
118,565
Nikkei
225
Index
(16)
9/2022
JPY
(3,110,849)
46,873
Palladium
(1)
9/2022
USD
(191,610)
(10,862)
Robusta
Coffee
(30)
9/2022
USD
(609,900)
1,159
Russell
2000
E-Mini
Index
(31)
9/2022
USD
(2,647,400)
110,549
S&P
500
E-Mini
Index
(17)
9/2022
USD
(3,221,075)
75,928
S&P
Midcap
400
E-Mini
Index
(12)
9/2022
USD
(2,721,600)
116,748
S&P/TSX
60
Index
(9)
9/2022
CAD
(1,597,654)
29,898
Silver
(19)
9/2022
USD
(1,933,440)
90,722
SPI
200
Index
(51)
9/2022
AUD
(5,686,124)
24,167
Sugar
No.
11
(64)
9/2022
USD
(1,326,080)
19,387
TOPIX
Index
(15)
9/2022
JPY
(2,067,917)
(12,945)
U.S.
Treasury
10
Year
Note
(87)
9/2022
USD
(10,297,266)
102,299
U.S.
Treasury
2
Year
Note
(148)
9/2022
USD
(31,059,187)
168,255
U.S.
Treasury
5
Year
Note
(112)
9/2022
USD
(12,559,750)
30,235
U.S.
Treasury
Long
Bond
(45)
9/2022
USD
(6,217,031)
81,650
U.S.
Treasury
Ultra
Bond
(37)
9/2022
USD
(5,667,938)
117,614
Wheat
(32)
9/2022
USD
(1,414,400)
278,317
Platinum
(15)
10/2022
USD
(671,475)
16,382
Rapeseed
(12)
10/2022
EUR
(436,838)
(20)
Canola
(31)
11/2022
CAD
(423,143)
4,394
Rubber
(9)
11/2022
JPY
(84,707)
202
3
Month
Canadian
Bankers
Acceptance
(53)
12/2022
CAD
(9,903,016)
39,310
3
Month
Euro
Euribor
(23)
12/2022
EUR
(5,957,923)
14,742
ASX
90
Day
Bank
Accepted
Bill
(21)
12/2022
AUD
(14,370,873)
23,623
ECX
Emission
(2)
12/2022
EUR
(188,966)
(14,393)
Soybean
Meal
(5)
12/2022
USD
(203,350)
(1,037)
Soybean
Oil
(14)
12/2022
USD
(541,464)
64,281
3
Month
Canadian
Bankers
Acceptance
(28)
3/2023
CAD
(5,233,414)
6,800
3
Month
Euro
Euribor
(24)
3/2023
EUR
(6,193,070)
5,587
3
Month
SARON
(3)
3/2023
CHF
(780,522)
1,835
3
Month
SOFR
(25)
3/2023
USD
(6,039,688)
35,154
3
Month
SONIA
(24)
3/2023
GBP
(7,095,277)
14,985
ASX
90
Day
Bank
Accepted
Bill
(17)
3/2023
AUD
(11,624,470)
1,718
3
Month
Euro
Euribor
(22)
6/2023
EUR
(5,663,436)
(1,389)
3
Month
SARON
(4)
6/2023
CHF
(1,037,605)
1,855
3
Month
SOFR
(37)
6/2023
USD
(8,933,188)
21,587
3
Month
SONIA
(20)
6/2023
GBP
(5,902,992)
7,556
3
Month
Euro
Euribor
(23)
9/2023
EUR
(5,913,333)
(6,427)
3
Month
SARON
(5)
9/2023
CHF
(1,296,156)
99
3
Month
SOFR
(47)
9/2023
USD
(11,369,888)
45,240
3
Month
SONIA
(20)
9/2023
GBP
(5,908,166)
9,188
3
Month
Euro
Euribor
(32)
12/2023
EUR
(8,224,731)
(10,216)
3
Month
SOFR
(45)
12/2023
USD
(10,907,438)
23,023
3
Month
SONIA
(36)
12/2023
GBP
(10,645,106)
12,401
3
Month
Euro
Euribor
(38)
3/2024
EUR
(9,766,868)
4,245
3
Month
SOFR
(39)
3/2024
USD
(9,468,225)
(5,093)
3
Month
SONIA
(39)
3/2024
GBP
(11,541,693)
(10,756)
3
Month
Euro
Euribor
(39)
6/2024
EUR
(10,025,423)
(623)
3
Month
SOFR
(30)
6/2024
USD
(7,292,625)
(11,362)
3
Month
SONIA
(32)
6/2024
GBP
(9,476,437)
(3,765)
3
Month
SOFR
(37)
9/2024
USD
(9,003,025)
(19,423)
152
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
3
Month
SONIA
(26)
9/2024
GBP
$
(7,706,726)
$
(16,985)
6,005,146
$
2,146,216
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
1,464,590
USD
1,136,385
CITI
9/21/2022
$
1,589
CAD
1,464,590
USD
1,136,387
JPMC
9/21/2022
1,587
CHF
699,001
USD
724,226
CITI
9/21/2022
12,207
CHF
698,999
USD
724,225
JPMC
9/21/2022
12,206
EUR
3,409,500
USD
3,574,153
CITI
9/21/2022
19,366
EUR
3,409,500
USD
3,574,158
JPMC
9/21/2022
19,362
JPY
20,550,500
USD
151,256
CITI
9/21/2022
1,066
JPY
20,550,500
USD
151,256
JPMC
9/21/2022
1,066
NOK
693,500
USD
69,775
CITI
9/21/2022
759
NOK
693,500
USD
69,775
JPMC
9/21/2022
759
SGD
2,049,500
USD
1,472,297
CITI
9/21/2022
3,656
SGD
2,049,500
USD
1,472,299
JPMC
9/21/2022
3,654
USD
4,288,333
AUD
6,132,000
CITI
9/21/2022
52,883
USD
4,288,327
AUD
6,132,000
JPMC
9/21/2022
52,878
USD
1,093,597
BRL
5,615,001
CITI
**
9/21/2022
44,946
USD
1,093,595
BRL
5,614,999
JPMC
**
9/21/2022
44,945
USD
1,253,464
CLP
1,082,634,539
CITI
**
9/21/2022
93,224
USD
1,253,462
CLP
1,082,634,525
JPMC
**
9/21/2022
93,222
USD
34,357,246
EUR
32,227,943
CITI
9/21/2022
389,882
USD
34,357,194
EUR
32,227,935
JPMC
9/21/2022
389,840
USD
4,097,480
GBP
3,336,000
CITI
9/21/2022
30,288
USD
4,097,475
GBP
3,336,000
JPMC
9/21/2022
30,282
USD
917,700
HUF
338,532,516
CITI
9/21/2022
34,587
USD
917,699
HUF
338,532,516
JPMC
9/21/2022
34,585
USD
14,663
IDR
216,277,844
CITI
**
9/21/2022
242
USD
14,662
IDR
216,277,844
JPMC
**
9/21/2022
241
USD
668,997
ILS
2,227,500
CITI
9/21/2022
27,600
USD
668,996
ILS
2,227,500
JPMC
9/21/2022
27,599
USD
10,441,188
INR
819,760,984
CITI
**
9/21/2022
136,297
USD
10,441,175
INR
819,760,984
JPMC
**
9/21/2022
136,284
USD
44,956,918
JPY
5,759,444,075
CITI
9/21/2022
2,267,412
USD
44,956,862
JPY
5,759,444,073
JPMC
9/21/2022
2,267,356
USD
2,602,787
KRW
3,311,332,125
CITI
**
9/21/2022
28,823
USD
2,602,784
KRW
3,311,332,122
JPMC
**
9/21/2022
28,820
USD
5,366,366
NZD
8,421,000
CITI
9/21/2022
111,866
USD
5,366,359
NZD
8,421,000
JPMC
9/21/2022
111,859
USD
2,340,061
PHP
124,295,500
CITI
**
9/21/2022
93,594
USD
2,340,125
PHP
124,295,500
JPMC
**
9/21/2022
93,658
USD
5,657,361
PLN
24,964,000
CITI
9/21/2022
148,548
USD
5,657,353
PLN
24,963,999
JPMC
9/21/2022
148,541
USD
2,548,402
SEK
25,752,500
CITI
9/21/2022
22,452
USD
2,548,399
SEK
25,752,500
JPMC
9/21/2022
22,449
USD
2,880,312
SGD
3,977,500
CITI
9/21/2022
15,903
USD
2,880,328
SGD
3,977,500
JPMC
9/21/2022
15,918
153
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
1,324,839
TWD
38,862,441
CITI
**
9/21/2022
$
9,209
USD
1,324,837
TWD
38,862,434
JPMC
**
9/21/2022
9,207
USD
3,805,613
ZAR
61,164,006
CITI
9/21/2022
76,752
USD
3,805,607
ZAR
61,163,994
JPMC
9/21/2022
76,747
Total
unrealized
appreciation
7,246,216
AUD
20,366,002
USD
14,341,436
CITI
9/21/2022
(274,382)
AUD
20,365,998
USD
14,341,451
JPMC
9/21/2022
(274,400)
CAD
17,040,910
USD
13,375,056
CITI
9/21/2022
(134,410)
CAD
17,040,910
USD
13,374,131
JPMC
9/21/2022
(133,484)
COP
1,638,532,000
USD
401,847
CITI
**
9/21/2022
(12,422)
COP
1,638,531,992
USD
401,848
JPMC
**
9/21/2022
(12,423)
EUR
10,458,500
USD
11,142,362
CITI
9/21/2022
(119,392)
EUR
10,458,500
USD
11,142,376
JPMC
9/21/2022
(119,407)
GBP
8,431,001
USD
10,555,546
CITI
9/21/2022
(276,618)
GBP
8,430,997
USD
10,555,554
JPMC
9/21/2022
(276,631)
IDR
13,239,893,000
USD
906,208
CITI
**
9/21/2022
(23,398)
IDR
13,239,893,000
USD
906,209
JPMC
**
9/21/2022
(23,399)
ILS
363,000
USD
106,602
CITI
9/21/2022
(2,078)
ILS
363,000
USD
106,602
JPMC
9/21/2022
(2,078)
INR
38,931,000
USD
493,853
CITI
**
9/21/2022
(4,466)
INR
38,931,000
USD
493,853
JPMC
**
9/21/2022
(4,467)
JPY
594,078,000
USD
4,472,143
CITI
9/21/2022
(68,785)
JPY
594,078,000
USD
4,472,149
JPMC
9/21/2022
(68,791)
KRW
993,039,500
USD
789,621
CITI
**
9/21/2022
(17,712)
KRW
993,039,500
USD
789,622
JPMC
**
9/21/2022
(17,713)
MXN
25,828,005
USD
1,271,468
CITI
9/21/2022
(6,018)
MXN
25,828,003
USD
1,271,470
JPMC
9/21/2022
(6,019)
NOK
68,356,503
USD
7,083,602
CITI
9/21/2022
(131,250)
NOK
68,356,497
USD
7,083,610
JPMC
9/21/2022
(131,259)
PHP
228,000
USD
4,253
CITI
**
9/21/2022
(132)
PHP
228,000
USD
4,253
JPMC
**
9/21/2022
(132)
PLN
14,149,500
USD
3,245,642
CITI
9/21/2022
(123,268)
PLN
14,149,500
USD
3,245,646
JPMC
9/21/2022
(123,272)
SEK
59,726,000
USD
6,081,853
CITI
9/21/2022
(223,591)
SEK
59,726,000
USD
6,081,860
JPMC
9/21/2022
(223,598)
SGD
1,979,000
USD
1,440,913
CITI
9/21/2022
(15,730)
SGD
1,979,000
USD
1,440,915
JPMC
9/21/2022
(15,732)
TWD
13,869,000
USD
470,415
CITI
**
9/21/2022
(901)
TWD
13,869,000
USD
470,416
JPMC
**
9/21/2022
(902)
USD
2,177,733
AUD
3,157,500
CITI
9/21/2022
(3,192)
USD
2,177,730
AUD
3,157,500
JPMC
9/21/2022
(3,195)
USD
450,699
CAD
587,500
CITI
9/21/2022
(5,784)
USD
450,698
CAD
587,500
JPMC
9/21/2022
(5,785)
USD
3,093,735
EUR
2,948,063
CITI
9/21/2022
(13,441)
USD
3,093,730
EUR
2,948,062
JPMC
9/21/2022
(13,446)
USD
1,116,933
GBP
926,500
CITI
9/21/2022
(12,640)
USD
1,116,931
GBP
926,500
JPMC
9/21/2022
(12,641)
USD
297,646
HUF
114,620,000
CITI
9/21/2022
(1,358)
USD
297,646
HUF
114,620,000
JPMC
9/21/2022
(1,358)
USD
2,661,010
JPY
359,442,000
CITI
9/21/2022
(3,206)
USD
2,661,006
JPY
359,442,000
JPMC
9/21/2022
(3,209)
USD
831,685
KRW
1,079,887,000
CITI
**
9/21/2022
(7,733)
USD
831,684
KRW
1,079,887,000
JPMC
**
9/21/2022
(7,734)
USD
988,537
NZD
1,588,500
CITI
9/21/2022
(2,648)
USD
988,536
NZD
1,588,500
JPMC
9/21/2022
(2,649)
USD
234,464
SEK
2,403,000
CITI
9/21/2022
(1,236)
USD
234,464
SEK
2,403,000
JPMC
9/21/2022
(1,236)
USD
162,793
TWD
4,810,063
CITI
**
9/21/2022
(45)
154
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
162,793
TWD
4,810,062
JPMC
**
9/21/2022
$
(45)
USD
439,529
ZAR
7,257,500
CITI
9/21/2022
(2,924)
USD
439,529
ZAR
7,257,500
JPMC
9/21/2022
(2,924)
Total
unrealized
depreciation
(2,976,689)
Net
unrealized
appreciation
$
4,269,527
**
Non-deliverable
forward.
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-0.08%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/10/2027
$1,325,258
$1,783
$(5,012)
$(3,229)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NOWA
plus
or
minus
a
specified
spread
(-0.04%
to
0.03%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-60
months
maturity
ranging
from
09/21/2026
-
05/05/2027
$627,647
$(37,359)
$(2,437)
$(39,796)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.10%
to
0.04%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-57
months
maturity
ranging
from
09/21/2026
-
02/25/2027
$463,263
$(9,768)
$(88)
$(9,856)
155
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.04%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/09/2027
$4,401,497
$11,139
$(1,160)
$9,979
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Allkem
Ltd.
5,009
35,827
(2,689)
(26.9)
ALS
Ltd.
8,357
61,824
(9,762)
(97.8)
Ampol
Ltd.
2,009
47,417
(2,712)
(27.2)
Aristocrat
Leisure
Ltd.
5,858
139,339
(768)
(7.7)
Aurizon
Holdings
Ltd.
31,355
82,465
(8,002)
(80.2)
BHP
Group
Ltd.
12,123
347,125
(39,806)
(398.9)
BlueScope
Steel
Ltd.
8,534
94,033
(12,645)
(126.7)
Brambles
Ltd.
4,285
31,685
(318)
(3.2)
Coles
Group
Ltd.
3,848
47,355
581
5.8
Incitec
Pivot
Ltd.
53,739
123,670
(6,899)
(69.1)
JB
Hi-Fi
Ltd.
5,605
149,072
(20,035)
(200.8)
Origin
Energy
Ltd.
20,351
80,784
(6,449)
(64.6)
QBE
Insurance
Group
Ltd.
7,142
60,013
(278)
(2.8)
Sonic
Healthcare
Ltd.
4,125
94,022
(3,298)
(33.0)
South32
Ltd.
52,936
143,440
(39,621)
(397.0)
Suncorp
Group
Ltd.
5,801
44,237
432
4.3
Telstra
Corp.
Ltd.
67,479
179,479
(310)
(3.1)
Woodside
Energy
Group
Ltd.
1,799
39,539
(4,407)
(44.2)
United
States
James
Hardie
Industries
plc
1,861
40,743
(3,318)
(33.2)
Short
Positions
Common
Stocks
Australia
APA
Group
(13,034)
(101,506)
2,946
29.5
carsales.com
Ltd.
(3,419)
(43,455)
1,880
18.8
Cochlear
Ltd.
(1,041)
(142,922)
12,501
125.3
Commonwealth
Bank
of
Australia
(2,408)
(150,444)
7,375
73.9
CSL
Ltd.
(1,541)
(286,125)
2,865
28.7
Domino's
Pizza
Enterprises
Ltd.
(1,026)
(48,228)
(3,116)
(31.2)
Evolution
Mining
Ltd.
(63,113)
(103,124)
52,835
529.5
Fortescue
Metals
Group
Ltd.
(2,416)
(29,052)
6,903
69.2
IDP
Education
Ltd.
(6,163)
(100,920)
(1,291)
(12.9)
Insurance
Australia
Group
Ltd.
(13,320)
(40,167)
(724)
(7.3)
Lendlease
Corp.
Ltd.
(22,440)
(141,348)
16,642
166.8
National
Australia
Bank
Ltd.
(2,726)
(51,693)
1,463
14.7
156
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Newcrest
Mining
Ltd.
(6,949)
(98,997)
14,969
150.0
NEXTDC
Ltd.
(9,356)
(68,860)
1,016
10.2
Northern
Star
Resources
Ltd.
(15,897)
(74,568)
18,482
185.2
Orica
Ltd.
(6,599)
(72,198)
1,729
17.3
OZ
Minerals
Ltd.
(3,105)
(38,170)
13,375
134.0
Pro
Medicus
Ltd.
(2,547)
(74,433)
(1,807)
(18.1)
Qantas
Airways
Ltd.
(15,880)
(49,146)
7,962
79.8
Ramsay
Health
Care
Ltd.
(511)
(25,882)
1,443
14.5
REA
Group
Ltd.
(592)
(45,715)
(2,809)
(28.1)
Reece
Ltd.
(7,746)
(73,578)
1,703
17.1
SEEK
Ltd.
(3,156)
(45,781)
2,864
28.7
Seven
Group
Holdings
Ltd.
(8,325)
(95,710)
11,689
117.1
Transurban
Group
(10,667)
(106,129)
(1,576)
(15.8)
Treasury
Wine
Estates
Ltd.
(8,763)
(68,721)
(1,763)
(17.7)
Washington
H
Soul
Pattinson
&
Co.
Ltd.
(2,884)
(46,968)
3,177
31.8
Wesfarmers
Ltd.
(2,199)
(63,604)
4,381
43.9
Westpac
Banking
Corp.
(2,256)
(30,431)
2,535
25.4
Woolworths
Group
Ltd.
(3,445)
(84,617)
(2,556)
(25.6)
New
Zealand
Xero
Ltd.
(998)
(53,234)
1,683
16.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CORRA
plus
or
minus
a
specified
spread
(-0.09%
to
0.02%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/09/2027
$8,030,894
$(169,608)
$(1,449)
$(171,057)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Alimentation
Couche-Tard,
Inc.
2,977
116,124
(14,894)
8.7
ARC
Resources
Ltd.
5,555
70,042
(22,614)
13.2
Atco
Ltd.
3,021
103,501
(3,685)
2.2
Bank
of
Montreal
1,186
114,048
(9,997)
5.8
Canadian
Natural
Resources
Ltd.
3,313
178,030
(39,894)
23.3
Canadian
Tire
Corp.
Ltd.
639
80,620
(4,110)
2.4
Cenovus
Energy,
Inc.
4,444
84,551
(21,440)
12.5
Empire
Co.
Ltd.
2,807
86,465
(1,679)
1.0
Fairfax
Financial
Holdings
Ltd.
305
161,623
(671)
0.4
Finning
International,
Inc.
3,291
69,261
(17,744)
10.4
Imperial
Oil
Ltd.
3,673
173,149
(30,475)
17.8
Loblaw
Cos.
Ltd.
1,684
151,877
2,289
(1.3)
157
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
National
Bank
of
Canada
2,296
150,671
(18,408)
10.8
Nutrien
Ltd.
2,279
181,495
(19,122)
11.2
Onex
Corp.
1,583
78,830
(12,421)
7.3
Pembina
Pipeline
Corp.
3,575
126,369
(19,191)
11.2
SNC-Lavalin
Group,
Inc.
3,830
65,876
(6,963)
4.1
Suncor
Energy,
Inc.
5,833
204,644
(35,754)
20.9
Thomson
Reuters
Corp.
696
72,558
4,347
(2.5)
Toromont
Industries
Ltd.
1,108
89,590
(2,952)
1.7
Toronto-Dominion
Bank
(The)
2,117
138,825
(14,572)
8.5
Tourmaline
Oil
Corp.
2,075
107,893
(16,765)
9.8
West
Fraser
Timber
Co.
Ltd.
897
68,829
(9,554)
5.6
Whitecap
Resources,
Inc.
13,574
94,276
(34,694)
20.3
Chile
Lundin
Mining
Corp.
11,355
71,983
(24,524)
14.3
Short
Positions
Common
Stocks
Canada
Agnico
Eagle
Mines
Ltd.
(2,638)
(120,751)
12,850
(7.5)
Algonquin
Power
&
Utilities
Corp.
(14,880)
(199,988)
10,057
(5.9)
Ballard
Power
Systems,
Inc.
(28,600)
(180,639)
16,886
(9.9)
Bank
of
Nova
Scotia
(The)
(1,304)
(77,174)
7,233
(4.2)
BCE,
Inc.
(3,418)
(168,006)
11,657
(6.8)
Boyd
Group
Services,
Inc.
(701)
(75,513)
(3,431)
2.0
CAE,
Inc.
(8,221)
(202,587)
6,067
(3.5)
Canadian
Imperial
Bank
of
Commerce
(2,422)
(117,619)
11,327
(6.6)
Canadian
Pacific
Railway
Ltd.
(3,415)
(238,535)
7,588
(4.4)
Canadian
Utilities
Ltd.
(3,077)
(91,770)
2,964
(1.7)
Constellation
Software,
Inc.
(55)
(81,648)
797
(0.5)
Emera,
Inc.
(3,111)
(145,737)
3,988
(2.3)
Enbridge,
Inc.
(2,510)
(106,000)
8,365
(4.9)
Fortis,
Inc.
(2,290)
(108,256)
1,405
(0.8)
GFL
Environmental,
Inc.
(2,748)
(70,792)
9,393
(5.5)
Intact
Financial
Corp.
(610)
(86,041)
1,535
(0.9)
Lightspeed
Commerce,
Inc.
(3,524)
(78,573)
9,062
(5.3)
Restaurant
Brands
International,
Inc.
(2,023)
(101,480)
1,163
(0.7)
Ritchie
Bros
Auctioneers,
Inc.
(2,025)
(131,754)
(10,729)
6.3
Rogers
Communications,
Inc.
(2,622)
(125,641)
224
(0.1)
Royal
Bank
of
Canada
(2,543)
(246,240)
12,427
(7.3)
Saputo,
Inc.
(3,133)
(68,321)
(4,405)
2.6
Shopify,
Inc.
(5,570)
(174,041)
29,996
(17.5)
TC
Energy
Corp.
(3,656)
(189,389)
17,127
(10.0)
WSP
Global,
Inc.
(803)
(90,793)
518
(0.3)
158
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.11%
to
0.03%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-60
months
maturity
ranging
from
09/21/2026
-
05/05/2027
$3,711,292
$44,128
$(1,309)
$42,819
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
2,846
76,325
(12,008)
(28.0)
Adecco
Group
AG
(Registered)
459
15,645
(2,073)
(4.8)
Baloise
Holding
AG
(Registered)
341
55,819
(868)
(2.0)
Barry
Callebaut
AG
(Registered)
34
76,072
497
1.2
Belimo
Holding
AG
(Registered)
77
27,110
(2,975)
(6.9)
BKW
AG
406
42,477
(3,624)
(8.5)
Bucher
Industries
AG
(Registered)
114
39,791
(4,798)
(11.2)
Chocoladefabriken
Lindt
&
Spruengli
AG
3
30,546
629
1.5
Credit
Suisse
Group
AG
(Registered)
2,079
11,867
(2,450)
(5.7)
DKSH
Holding
AG
722
59,741
(536)
(1.3)
dormakaba
Holding
AG
36
15,711
(1,522)
(3.6)
Geberit
AG
(Registered)
164
78,901
(9,846)
(23.0)
Georg
Fischer
AG
(Registered)
380
18,768
(3,444)
(8.0)
Julius
Baer
Group
Ltd.
940
43,607
(4,878)
(11.4)
Kuehne
+
Nagel
International
AG
(Registered)
786
186,756
(142)
(0.3)
Lonza
Group
AG
(Registered)
269
143,683
(13,268)
(31.0)
Novartis
AG
(Registered)
2,923
247,814
(13,454)
(31.4)
OC
Oerlikon
Corp.
AG
(Registered)
1,468
10,249
(1,269)
(3.0)
Partners
Group
Holding
AG
52
46,961
(6,812)
(15.9)
Schindler
Holding
AG
161
29,440
(2,038)
(4.8)
SGS
SA
(Registered)
7
16,056
(479)
(1.1)
Straumann
Holding
AG
(Registered)
270
32,526
(126)
(0.3)
Swatch
Group
AG
(The)
51
12,114
(963)
(2.2)
Swiss
Life
Holding
AG
(Registered)
25
12,204
(1,937)
(4.5)
Swisscom
AG
(Registered)
243
134,408
(6,558)
(15.3)
Temenos
AG
(Registered)
1,334
114,164
(4,501)
(10.5)
UBS
Group
AG
(Registered)
2,492
40,287
(4,676)
(10.9)
Zurich
Insurance
Group
AG
205
89,395
(3,544)
(8.3)
United
States
Swiss
Re
AG
527
40,905
(2,640)
(6.2)
159
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(8,304)
(75,126)
17,556
41.0
Switzerland
Alcon,
Inc.
(1,064)
(74,609)
5,705
13.3
Bachem
Holding
AG
(Registered)
(905)
(63,079)
7,499
17.5
Banque
Cantonale
Vaudoise
(Registered)
(577)
(45,345)
(438)
(1.0)
Cie
Financiere
Richemont
SA
(321)
(34,528)
1,737
4.1
Dufry
AG
(Registered)
(4,486)
(145,571)
26,511
61.9
Flughafen
Zurich
AG
(Registered)
(510)
(77,278)
6,543
15.3
Givaudan
SA
(Registered)
(68)
(239,680)
2,503
5.8
Helvetia
Holding
AG
(Registered)
(202)
(23,724)
991
2.3
Holcim
AG
(2,869)
(123,050)
23,608
55.1
Idorsia
Ltd.
(7,381)
(105,737)
9,078
21.2
Logitech
International
SA
(Registered)
(1,891)
(98,607)
14,618
34.1
SIG
Group
AG
(5,217)
(115,202)
1,308
3.1
Sika
AG
(Registered)
(508)
(117,265)
18,960
44.3
Sonova
Holding
AG
(Registered)
(208)
(66,473)
6,212
14.5
Sulzer
AG
(Registered)
(546)
(34,033)
5,945
13.9
Tecan
Group
AG
(Registered)
(204)
(59,402)
6,543
15.3
VAT
Group
AG
(39)
(9,327)
1,523
3.6
Vifor
Pharma
AG
(342)
(59,290)
1,720
4.0
United
States
Nestle
SA
(Registered)
(2,881)
(336,710)
(3,116)
(7.3)
Roche
Holding
AG
(128)
(42,790)
(146)
(0.3)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Denmark
Tomorrow/Next
plus
or
minus
a
specified
spread
(-0.14%
to
0.03%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-59
months
maturity
ranging
from
09/21/2026
-
04/14/2027
$1,590,506
$8,569
$(172)
$8,397
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
135
316,926
(47,320)
(563.5)
Carlsberg
A/S
816
104,287
4,862
57.9
Danske
Bank
A/S
2,976
42,357
(6,345)
(75.6)
DSV
A/S
385
54,138
(2,168)
(25.8)
Genmab
A/S
250
81,111
7,036
83.8
H
Lundbeck
A/S
1,432
6,955
(1,756)
(20.9)
160
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Denmark
(continued)
H
Lundbeck
A/S
358
1,718
1,717
20.5
ISS
A/S
5,560
88,643
(10,336)
(123.1)
Jyske
Bank
A/S
(Registered)
293
14,442
(2,546)
(30.3)
Novo
Nordisk
A/S
1,398
155,042
(1,352)
(16.1)
Orsted
A/S
134
14,113
(184)
(2.2)
Pandora
A/S
224
14,231
(2,496)
(29.7)
Royal
Unibrew
A/S
359
31,950
894
10.6
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(544)
(5,315)
1,301
15.5
Chr
Hansen
Holding
A/S
(482)
(35,185)
(1,494)
(17.8)
Coloplast
A/S
(202)
(23,080)
(141)
(1.7)
Demant
A/S
(994)
(37,366)
4,705
56.0
GN
Store
Nord
A/S
(1,997)
(70,449)
3,691
44.0
Novozymes
A/S
(829)
(49,892)
(298)
(3.5)
ROCKWOOL
A/S
(336)
(76,283)
13,048
155.4
SimCorp
A/S
(1,175)
(85,896)
5,256
62.6
Tryg
A/S
(2,533)
(57,068)
(342)
(4.1)
Vestas
Wind
Systems
A/S
(10,538)
(224,059)
42,837
510.2
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-0.25%
to
0.03%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/09/2027
$19,273,516
$(388,811)
$20,234
$(368,577)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
France
Airbus
SE
1,463
143,096
(18,498)
5.0
Eiffage
SA
1,470
132,976
(11,830)
3.2
Orange
SA
26,909
317,084
11,066
(3.0)
Renault
SA
5,558
140,317
(18,401)
5.0
TotalEnergies
SE
5,238
275,712
(30,089)
8.2
Germany
BASF
SE
3,274
143,245
(34,721)
9.4
Bayerische
Motoren
Werke
AG
2,189
169,693
(19,926)
5.4
Deutsche
Bank
AG
(Registered)
14,783
129,909
(25,227)
6.8
161
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Italy
Eni
SpA
27,561
326,892
(78,215)
21.2
Leonardo
SpA
21,728
220,448
(17,952)
4.9
Netherlands
Aegon
NV
37,783
162,717
(30,267)
8.2
ASR
Nederland
NV
3,270
131,837
(11,746)
3.2
Koninklijke
Ahold
Delhaize
NV
6,197
161,302
(3,357)
0.9
NN
Group
NV
2,861
129,583
(9,293)
2.5
OCI
NV
5,635
185,367
(3,363)
0.9
Wolters
Kluwer
NV
1,463
141,791
8,744
(2.4)
Spain
Industria
de
Diseno
Textil
SA
8,826
200,575
(19,094)
5.2
Repsol
SA
22,232
327,744
(38,384)
10.4
Telefonica
SA
23,995
122,507
7,894
(2.1)
Short
Positions
Common
Stocks
China
Prosus
NV
(8,046)
(521,008)
(91,239)
24.8
Finland
Neste
OYJ
(2,757)
(122,634)
7,698
(2.1)
Orion
OYJ
(2,840)
(127,103)
(18,026)
4.9
UPM-Kymmene
OYJ
(5,635)
(172,788)
21,198
(5.8)
France
Air
Liquide
SA
(1,080)
(145,371)
15,207
(4.1)
Alstom
SA
(6,951)
(158,723)
33,947
(9.2)
EssilorLuxottica
SA
(1,077)
(163,287)
(315)
0.1
L'Oreal
SA
(683)
(237,141)
(6,419)
1.7
Germany
adidas
AG
(1,168)
(207,473)
14,562
(4.0)
Allianz
SE
(Registered)
(728)
(139,565)
4,914
(1.3)
Continental
AG
(2,430)
(170,559)
21,347
(5.8)
Deutsche
Telekom
AG
(Registered)
(11,866)
(236,006)
(5,213)
1.4
Fresenius
Medical
Care
AG
&
Co.
KGaA
(5,723)
(286,729)
20,819
(5.6)
SAP
SE
(2,175)
(198,252)
12,240
(3.3)
Zalando
SE
(4,678)
(123,231)
31,633
(8.6)
Italy
Assicurazioni
Generali
SpA
(7,720)
(123,310)
10,057
(2.7)
DiaSorin
SpA
(1,137)
(149,528)
(7,558)
2.1
Nexi
SpA
(22,067)
(183,254)
19,507
(5.3)
Netherlands
ABN
AMRO
Bank
NV
(12,824)
(144,098)
707
(0.2)
Argenx
SE
(416)
(156,813)
(21,800)
5.9
ASM
International
NV
(500)
(124,404)
23,305
(6.3)
Koninklijke
Philips
NV
(12,373)
(265,383)
32,323
(8.8)
Portugal
EDP
-
Energias
de
Portugal
SA
(44,345)
(206,663)
12,310
(3.3)
South
Korea
Delivery
Hero
SE
(3,916)
(147,734)
11,451
(3.1)
Spain
ACS
Actividades
de
Construccion
y
Servicios
SA
(5,485)
(133,679)
13,700
(3.7)
Amadeus
IT
Group
SA
(3,036)
(169,998)
7,406
(2.0)
CaixaBank
SA
(48,952)
(171,433)
6,422
(1.7)
Cellnex
Telecom
SA
(4,827)
(187,858)
20,449
(5.5)
Ferrovial
SA
(5,011)
(127,499)
3,783
(1.0)
Grifols
SA
(8,317)
(157,727)
4,649
(1.3)
162
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Schneider
Electric
SE
(2,866)
(341,500)
39,935
(10.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.03%
to
0.03%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-61
months
maturity
ranging
from
09/21/2026
-
06/09/2027
$6,070,166
$(160,349)
$6,293
$(154,056)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Glencore
plc
26,326
142,593
(28,280)
18.4
Rio
Tinto
plc
3,475
207,759
(41,818)
27.1
Netherlands
Shell
plc
8,357
217,640
(26,054)
16.9
Nigeria
Airtel
Africa
plc
43,822
72,800
(5,030)
3.3
South
Africa
Anglo
American
plc
4,013
143,459
(47,277)
30.7
United
Kingdom
Associated
British
Foods
plc
3,962
76,449
(3,226)
2.1
Aviva
plc
9,327
45,686
(2,318)
1.5
Barclays
plc
72,430
135,441
(10,849)
7.0
BP
plc
26,043
122,285
(19,836)
12.9
British
American
Tobacco
plc
3,826
163,999
1,176
(0.8)
Burberry
Group
plc
2,901
58,198
(1,288)
0.8
Centrica
plc
76,109
74,323
(1,592)
1.0
Diageo
plc
3,813
164,694
(2,333)
1.5
Howden
Joinery
Group
plc
6,988
51,512
(4,818)
3.1
HSBC
Holdings
plc
7,602
49,660
2,299
(1.5)
InterContinental
Hotels
Group
plc
1,585
84,240
(10,746)
7.0
Johnson
Matthey
plc
2,504
59,046
(3,288)
2.1
M&G
plc
23,777
56,369
(5,513)
3.6
Man
Group
plc
30,184
92,144
690
(0.4)
Marks
&
Spencer
Group
plc
31,171
51,714
(2,964)
1.9
National
Grid
plc
10,377
133,354
(3,639)
2.4
NatWest
Group
plc
25,410
67,635
(2,981)
1.9
Spectris
plc
1,748
57,910
(6,776)
4.4
SSE
plc
4,778
94,295
(8,332)
5.4
Tesco
plc
18,846
58,736
878
(0.6)
Travis
Perkins
plc
4,146
49,143
(10,915)
7.1
Vodafone
Group
plc
55,751
86,687
1,176
(0.8)
163
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
GSK
plc
4,669
100,624
3,447
(2.2)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(4,252)
(52,892)
447
(0.3)
United
Kingdom
ASOS
plc
(4,621)
(47,360)
29,986
(19.5)
AstraZeneca
plc
(3,129)
(412,783)
(29,757)
19.3
AVEVA
Group
plc
(6,234)
(171,139)
9,319
(6.0)
B&M
European
Value
Retail
SA
(11,611)
(51,962)
122
(0.1)
BAE
Systems
plc
(6,844)
(69,289)
(4,522)
2.9
boohoo
Group
plc
(71,405)
(48,077)
15,845
(10.3)
BT
Group
plc
(42,452)
(96,483)
(2,819)
1.8
Compass
Group
plc
(3,533)
(72,537)
3,865
(2.5)
ConvaTec
Group
plc
(27,936)
(76,572)
(5,499)
3.6
Croda
International
plc
(1,032)
(81,571)
(242)
0.2
Entain
plc
(3,413)
(51,938)
8,304
(5.4)
Informa
plc
(12,032)
(77,734)
3,115
(2.0)
Ocado
Group
plc
(15,073)
(143,687)
24,274
(15.8)
Reckitt
Benckiser
Group
plc
(1,312)
(98,678)
(1,767)
1.1
Rentokil
Initial
plc
(8,291)
(48,063)
1,523
(1.0)
Severn
Trent
plc
(3,362)
(111,619)
7,147
(4.6)
Smith
&
Nephew
plc
(3,932)
(54,988)
3,981
(2.6)
Taylor
Wimpey
plc
(66,573)
(94,829)
9,590
(6.2)
Unilever
plc
(2,449)
(111,625)
(3,170)
2.1
Weir
Group
plc
(The)
(3,736)
(62,267)
10,930
(7.1)
Whitbread
plc
(2,325)
(70,505)
7,213
(4.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.03%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
52-60
months
maturity
ranging
from
09/21/2026
-
05/05/2027
$2,862,149
$(32,295)
$(496)
$(32,791)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nordea
Bank
Abp
9,173
81,030
(7,492)
22.8
Sweden
Atlas
Copco
AB
6,672
62,450
(8,811)
26.9
164
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
Axfood
AB
1,298
37,373
1,896
(5.8)
BillerudKorsnas
AB
5,879
68,933
(893)
2.7
Boliden
AB
2,916
93,255
(21,763)
66.4
Elekta
AB
1,373
9,516
(846)
2.6
Evolution
AB
153
13,997
(1,190)
3.6
Getinge
AB
4,278
99,148
(16,189)
49.4
H
&
M
Hennes
&
Mauritz
AB
6,715
80,598
(11,156)
34.0
Hexpol
AB
2,473
21,177
(1,523)
4.6
Indutrade
AB
1,674
30,715
(6,006)
18.3
Lifco
AB
1,311
21,171
(2,660)
8.1
Saab
AB
5,336
220,656
(874)
2.7
Securitas
AB
8,689
75,124
(7,997)
24.4
Skandinaviska
Enskilda
Banken
AB
1,422
14,009
(1,545)
4.7
Skanska
AB
888
13,662
(873)
2.7
SSAB
AB
18,684
77,636
(23,658)
72.1
Svenska
Cellulosa
AB
SCA
1,851
27,811
(3,057)
9.3
Svenska
Handelsbanken
AB
6,225
53,435
(6,103)
18.6
Swedbank
AB
3,231
40,977
(8,152)
24.9
Tele2
AB
2,397
27,333
(774)
2.4
Telefonaktiebolaget
LM
Ericsson
16,650
124,359
(7,998)
24.4
Telia
Co.
AB
39,881
153,067
(925)
2.8
Trelleborg
AB
2,501
50,602
(6,216)
19.0
Volvo
AB
3,450
53,680
(5,521)
16.8
Short
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
(1,709)
(24,493)
2,905
(8.9)
Sweden
AAK
AB
(3,121)
(50,925)
(3,255)
9.9
Alfa
Laval
AB
(3,069)
(74,399)
2,853
(8.7)
Assa
Abloy
AB
(2,919)
(62,292)
6,105
(18.6)
Beijer
Ref
AB
(3,093)
(42,415)
1,517
(4.6)
Electrolux
AB
(5,762)
(77,827)
3,317
(10.1)
Embracer
Group
AB
(12,492)
(95,952)
16,149
(49.2)
Epiroc
AB
(3,798)
(58,888)
11,393
(34.7)
EQT
AB
(2,315)
(47,580)
10,285
(31.4)
Essity
AB
(7,201)
(188,238)
(8,737)
26.6
Hexagon
AB
(18,727)
(195,679)
17,956
(54.8)
Holmen
AB
(1,468)
(59,797)
8,137
(24.8)
Husqvarna
AB
(8,062)
(59,424)
8,195
(25.0)
Nibe
Industrier
AB
(4,735)
(35,694)
3,493
(10.7)
Sandvik
AB
(6,226)
(101,466)
20,927
(63.8)
SKF
AB
(4,978)
(73,855)
10,476
(31.9)
Sweco
AB
(728)
(7,587)
269
(0.8)
Swedish
Match
AB
(2,167)
(22,109)
(714)
2.2
United
States
Sinch
AB
(9,740)
(31,815)
6,760
(20.6)
165
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
MUTSC
plus
or
minus
a
specified
spread
(-1.00%
to
0.30%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
4-13
months
maturity
ranging
from
10/19/2022
-
07/10/2023
$18,730,633
$(393,098)
$31,671
$(361,427)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Asics
Corp.
8,800
159,388
5,998
(1.7)
ENEOS
Holdings,
Inc.
29,400
110,626
(6,016)
1.7
Inpex
Corp.
14,700
157,588
(19,120)
5.3
Japan
Post
Insurance
Co.
Ltd.
7,000
112,033
(1,831)
0.5
Japan
Tobacco,
Inc.
14,000
242,603
(4,007)
1.1
Marubeni
Corp.
15,600
139,957
(12,617)
3.5
Mitsubishi
Corp.
5,200
154,862
(14,536)
4.0
Mitsubishi
Electric
Corp.
10,300
110,716
4,285
(1.2)
Mitsubishi
UFJ
Financial
Group,
Inc.
22,600
120,911
(867)
0.2
Mitsui
&
Co.
Ltd.
9,300
204,363
(14,565)
4.0
Mizuho
Financial
Group,
Inc.
11,800
134,342
2,149
(0.6)
Nikon
Corp.
9,300
107,246
(7,976)
2.2
Nippon
Yusen
KK
1,800
123,417
(227)
0.1
Osaka
Gas
Co.
Ltd.
6,100
116,908
4,286
(1.2)
Sumitomo
Corp.
11,100
150,887
888
(0.2)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(7,000)
(121,591)
(6,360)
1.8
ANA
Holdings,
Inc.
(6,600)
(121,913)
(4,681)
1.3
Bridgestone
Corp.
(3,200)
(116,670)
2,528
(0.7)
Central
Japan
Railway
Co.
(1,000)
(114,933)
(1,320)
0.4
Daikin
Industries
Ltd.
(900)
(144,503)
(13,397)
3.7
East
Japan
Railway
Co.
(2,200)
(112,528)
(3,744)
1.0
Fast
Retailing
Co.
Ltd.
(300)
(157,583)
(6,168)
1.7
Food
&
Life
Cos.
Ltd.
(5,300)
(113,707)
(13,511)
3.7
ITOCHU
Corp.
(4,700)
(126,796)
(186)
0.1
Japan
Airlines
Co.
Ltd.
(8,500)
(146,044)
(6,215)
1.7
JSR
Corp.
(4,300)
(111,741)
(1,293)
0.4
Kao
Corp.
(4,300)
(174,363)
(10,863)
3.0
KDDI
Corp.
(3,700)
(116,677)
1,757
(0.5)
Kose
Corp.
(1,500)
(136,704)
(14,763)
4.1
Kubota
Corp.
(7,700)
(115,393)
2,763
(0.8)
Lasertec
Corp.
(2,100)
(250,118)
(9,983)
2.8
M3,
Inc.
(5,200)
(149,682)
(16,118)
4.5
166
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Makita
Corp.
(6,100)
(151,198)
763
(0.2)
MatsukiyoCocokara
&
Co.
(4,300)
(173,890)
(16,696)
4.6
MonotaRO
Co.
Ltd.
(11,600)
(172,999)
(23,639)
6.5
Nidec
Corp.
(2,400)
(148,721)
(5,796)
1.6
Nippon
Paint
Holdings
Co.
Ltd.
(22,800)
(170,594)
(21,540)
6.0
Nitori
Holdings
Co.
Ltd.
(1,200)
(114,195)
(7,135)
2.0
Oriental
Land
Co.
Ltd.
(1,500)
(209,478)
(9,983)
2.8
Pan
Pacific
International
Holdings
Corp.
(6,500)
(103,631)
(13,135)
3.6
Rakuten
Group,
Inc.
(43,400)
(196,238)
(157)
0.0
Sekisui
House
Ltd.
(9,800)
(172,042)
(5,880)
1.6
Seven
&
i
Holdings
Co.
Ltd.
(5,800)
(225,042)
(3,439)
1.0
SoftBank
Corp.
(10,700)
(118,797)
(3,304)
0.9
Sony
Group
Corp.
(3,900)
(318,071)
4,294
(1.2)
Tokyo
Electron
Ltd.
(400)
(130,557)
11,070
(3.1)
Toyota
Motor
Corp.
(11,300)
(174,351)
(2,536)
0.7
Unicharm
Corp.
(3,600)
(120,806)
(7,722)
2.1
West
Japan
Railway
Co.
(3,100)
(114,044)
(5,882)
1.6
Zensho
Holdings
Co.
Ltd.
(4,400)
(105,652)
(3,986)
1.1
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-18.20%
to
0.25%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
4-13
months
maturity
ranging
from
10/19/2022
-
07/26/2023
$76,798,828
$(702,824)
$(428,946)
$(1,131,770)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
NXP
Semiconductors
NV
1,357
200,877
(13,299)
1.2
United
States
Abbott
Laboratories
2,148
233,380
13,146
(1.2)
Altria
Group,
Inc.
6,172
257,804
(21,849)
1.9
Arrow
Electronics,
Inc.
1,719
192,683
7,564
(0.7)
Bristol-Myers
Squibb
Co.
2,906
223,762
9,386
(0.8)
CF
Industries
Holdings,
Inc.
2,627
225,213
(3,152)
0.3
Cisco
Systems,
Inc.
4,718
201,176
(3,539)
0.3
CVS
Health
Corp.
2,310
214,045
9,240
(0.8)
Emerson
Electric
Co.
2,474
196,782
2,202
(0.2)
Exxon
Mobil
Corp.
2,937
251,525
(1,410)
0.1
Gartner,
Inc.
925
223,693
10,637
(0.9)
General
Electric
Co.
3,836
244,238
(8,938)
0.8
Gilead
Sciences,
Inc.
3,952
244,273
12,963
(1.1)
167
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
(Continued)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Intel
Corp.
7,086
265,087
3,118
(0.3)
IQVIA
Holdings,
Inc.
957
207,659
19,178
(1.7)
Keurig
Dr
Pepper,
Inc.
6,425
227,381
6,682
(0.6)
Microsoft
Corp.
949
243,732
8,712
(0.8)
Pfizer,
Inc.
6,764
354,637
39,908
(3.5)
Procter
&
Gamble
Co.
(The)
1,394
200,443
15,933
(1.4)
Starbucks
Corp.
2,976
227,337
13,452
(1.2)
Short
Positions
Common
Stocks
United
States
American
Express
Co.
(1,621)
(224,703)
9,013
(0.8)
Amgen,
Inc.
(819)
(199,263)
(7,027)
0.6
CarMax,
Inc.
(2,282)
(206,475)
(7,964)
0.7
Dollar
General
Corp.
(806)
(197,825)
(11,800)
1.0
Dominion
Energy,
Inc.
(2,466)
(196,811)
(15,782)
1.4
Exelon
Corp.
(4,701)
(213,049)
(20,731)
1.8
General
Mills,
Inc.
(2,876)
(216,994)
(26,517)
2.3
Graphic
Packaging
Holding
Co.
(10,250)
(210,125)
(13,120)
1.2
Grocery
Outlet
Holding
Corp.
(4,814)
(205,221)
(11,939)
1.1
Hewlett
Packard
Enterprise
Co.
(17,056)
(226,163)
2,729
(0.2)
Honeywell
International,
Inc.
(1,794)
(311,815)
10,567
(0.9)
Hormel
Foods
Corp.
(4,672)
(221,266)
(12,474)
1.1
Illinois
Tool
Works,
Inc.
(1,509)
(275,015)
(6,036)
0.5
Insulet
Corp.
(1,262)
(275,040)
(21,631)
1.9
Jazz
Pharmaceuticals
plc
(1,806)
(281,754)
(23,659)
2.1
M&T
Bank
Corp.
(2,126)
(338,863)
6,272
(0.6)
Mercury
Systems,
Inc.
(3,325)
(213,897)
(26,467)
2.3
Monster
Beverage
Corp.
(2,063)
(191,240)
(9,449)
0.8
Ollie's
Bargain
Outlet
Holdings,
Inc.
(3,734)
(219,372)
(2,913)
0.3
Principal
Financial
Group,
Inc.
(4,173)
(278,715)
(12,227)
1.1
Progressive
Corp.
(The)
(3,032)
(352,531)
(20,345)
1.8
Seagen,
Inc.
(1,357)
(240,108)
(15,592)
1.4
Stanley
Black
&
Decker,
Inc.
(2,616)
(274,314)
(4,212)
0.4
STERIS
plc
(1,018)
(209,861)
(13,611)
1.2
Teledyne
Technologies,
Inc.
(573)
(214,938)
(14,187)
1.3
Thermo
Fisher
Scientific,
Inc.
(521)
(283,049)
(22,080)
2.0
T-Mobile
US,
Inc.
(1,939)
(260,873)
(13,476)
1.2
US
Bancorp
(4,334)
(199,451)
(2,644)
0.2
Veeva
Systems,
Inc.
(1,019)
(201,803)
(14,663)
1.3
Visa,
Inc.
(1,014)
(199,646)
(6,976)
0.6
168
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
3,317,166
$
3,317,166
CITI
Cash
(2,423,438)
–
(2,423,438)
Investment
Companies
1,982,343
–
1,982,343
GSCO
Cash
–
93,310
93,310
GSIN
U.S.
Treasury
Bills
3,348,461
–
3,348,461
JPMC
Investment
Companies
8,077,463
–
8,077,463
JPMS
Cash
–
4,214,601
4,214,601
MLIN
Cash
119,777
–
119,777
MSCL
Cash
–
177,662
177,662
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
1,196,901
$
1,196,901
JPPC
Cash
–
237,308
237,308
MSCL
Cash
–
2,453,308
2,453,308
169
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
118.5%
COMMON
STOCKS
-
53.2%
Australia
-
1.2%
Aristocrat
Leisure
Ltd.
(2)(a)
3,670
87,295
Aurizon
Holdings
Ltd.
(2)
75,327
198,112
Australia
&
New
Zealand
Banking
Group
Ltd.
(2)
2,347
35,746
BHP
Group
Ltd.
(2)(a)
8,858
253,637
BlueScope
Steel
Ltd.
(2)
30,706
338,338
Boral
Ltd.
(2)
10,101
18,069
Brambles
Ltd.
(2)(a)
1,554
11,491
CSL
Ltd.
(2)(a)
173
32,122
Harvey
Norman
Holdings
Ltd.
(2)
24,069
61,716
Incitec
Pivot
Ltd.
(2)
56,753
130,606
JB
Hi-Fi
Ltd.
(2)
6,920
184,046
Origin
Energy
Ltd.
(2)
1,484
5,891
QBE
Insurance
Group
Ltd.
(2)
5,132
43,124
Rio
Tinto
plc
(2)(a)
2,435
145,580
Sonic
Healthcare
Ltd.
(2)
3,762
85,748
South32
Ltd.
(2)
39,269
106,407
Suncorp
Group
Ltd.
(2)
7,145
54,486
1,792,414
—
Austria
-
0.0%
(b)
Mondi
plc
(2)
353
6,266
Belgium
-
0.1%
Ageas
SA/NV
(2)
1,598
70,460
Etablissements
Franz
Colruyt
NV
(2)
858
23,333
Proximus
SADP
(2)
6,952
102,610
196,403
—
Brazil
-
0.1%
Yara
International
ASA
(2)
2,529
105,968
Canada
-
2.7%
Agnico
Eagle
Mines
Ltd.
314
14,373
Alimentation
Couche-Tard,
Inc.
(a)
510
19,894
AltaGas
Ltd.
395
8,335
Bank
of
Montreal
61
5,866
Bank
of
Nova
Scotia
(The)
489
28,940
Barrick
Gold
Corp.
(a)
5,936
104,959
Canadian
National
Railway
Co.
(a)
534
60,067
Canadian
Natural
Resources
Ltd.
3,075
165,241
Canadian
Tire
Corp.
Ltd.,
Class
A
(a)
823
103,834
Empire
Co.
Ltd.,
Class
A
357
10,997
Fairfax
Financial
Holdings
Ltd.
507
268,664
Gildan
Activewear,
Inc.
(a)
465
13,384
iA
Financial
Corp.,
Inc.
178
8,853
IGM
Financial,
Inc.
839
22,487
Imperial
Oil
Ltd.
5,690
268,233
Kinross
Gold
Corp.
13,375
47,590
Loblaw
Cos.
Ltd.
(a)
964
86,941
Manulife
Financial
Corp.
21,882
379,433
National
Bank
of
Canada
149
9,778
Nutrien
Ltd.
70
5,575
Onex
Corp.
5,835
290,571
Open
Text
Corp.
(a)
775
29,315
Parkland
Corp.
1,105
30,012
INVESTMENTS
SHARES
VALUE
($)
Canada
-
2.7%
(continued)
Pembina
Pipeline
Corp.
481
17,002
Quebecor,
Inc.,
Class
B
3,615
77,260
Ritchie
Bros
Auctioneers,
Inc.
(a)
405
26,351
Shaw
Communications,
Inc.,
Class
B
964
28,406
Shopify,
Inc.,
Class
A
*(a)
320
9,999
Suncor
Energy,
Inc.
20,355
714,132
Teck
Resources
Ltd.,
Class
B
8,543
261,228
TFI
International,
Inc.
1,371
110,057
Toromont
Industries
Ltd.
1,601
129,453
Toronto-Dominion
Bank
(The)
(a)
555
36,395
Tourmaline
Oil
Corp.
133
6,916
West
Fraser
Timber
Co.
Ltd.
6,869
527,074
3,927,615
—
Chile
-
0.1%
Lundin
Mining
Corp.
11,951
75,761
China
-
0.2%
BOC
Hong
Kong
Holdings
Ltd.
(2)
2,000
7,942
NXP
Semiconductors
NV
343
50,774
SITC
International
Holdings
Co.
Ltd.
(2)
51,000
145,052
Wilmar
International
Ltd.
(2)
11,200
32,599
Xinyi
Glass
Holdings
Ltd.
(2)
32,000
77,209
313,576
—
Colombia
-
0.0%
(b)
Millicom
International
Cellular
SA,
SDR
(2)*
994
14,246
Denmark
-
0.7%
AP
Moller
-
Maersk
A/S,
Class
B
(2)(a)
339
795,836
Genmab
A/S
(2)*
218
70,729
H
Lundbeck
A/S
3,580
17,387
H
Lundbeck
A/S,
Class
A
*
895
4,295
ISS
A/S
(2)*
3,714
59,212
947,459
—
Finland
-
0.1%
Nokia
OYJ
(2)
12,770
59,190
Nokian
Renkaat
OYJ
(2)
7,382
81,420
Nordea
Bank
Abp
(2)
1,162
10,265
Wartsila
OYJ
Abp
(2)
4,531
35,517
186,392
—
France
-
1.2%
Airbus
SE
(2)(a)
537
52,524
Atos
SE
(2)*
4,169
56,519
AXA
SA
(2)
1,779
40,635
BNP
Paribas
SA
(2)
836
39,988
Bouygues
SA
(2)(a)
1,573
48,548
Carrefour
SA
(2)
6,225
110,502
Casino
Guichard
Perrachon
SA
(2)*
411
5,327
Cie
de
Saint-Gobain
(2)(a)
3,460
149,505
Dassault
Aviation
SA
(2)(a)
138
21,550
Eiffage
SA
(2)
152
13,750
Electricite
de
France
SA
(2)
10,234
84,061
Eutelsat
Communications
SA
(2)
6,108
68,931
Ipsen
SA
(2)
1,024
96,956
170
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
France
-
1.2%
(continued)
La
Francaise
des
Jeux
SAEM
(2)(c)
523
18,161
Orange
SA
(2)
12,469
146,929
Publicis
Groupe
SA
(2)*
900
44,262
Renault
SA
(2)*
746
18,833
Rexel
SA
(2)
6,810
105,228
Rubis
SCA
(2)
2,523
59,340
Sanofi
(2)(a)
836
84,307
SEB
SA
(2)(a)
191
18,433
Sodexo
SA
(2)(a)
322
22,776
TotalEnergies
SE
(2)(a)
7,313
384,935
1,692,000
—
Germany
-
1.1%
Allianz
SE
(Registered)
(2)(a)
239
45,819
Aurubis
AG
(2)
873
59,570
BASF
SE
(2)
4,926
215,524
Bayer
AG
(Registered)
(2)
502
29,978
Bayerische
Motoren
Werke
AG
(2)
(a)
2,743
212,639
Covestro
AG
(2)(c)
1,294
44,965
Deutsche
Bank
AG
(Registered)
(2)
20,396
179,234
Deutsche
Post
AG
(Registered)
(2)
(a)
4,412
166,580
Freenet
AG
(2)
926
23,093
GEA
Group
AG
(2)
1,433
49,679
HeidelbergCement
AG
(2)
118
5,697
HOCHTIEF
AG
(2)
774
37,944
Mercedes-Benz
Group
AG
(2)(a)
94
5,459
METRO
AG
(2)
8,552
72,545
Muenchener
Rueckversicherungs-
Gesellschaft
AG
in
Muenchen
(Registered)
(2)
324
76,641
ProSiebenSat.1
Media
SE
(2)
9,450
87,895
SAP
SE
(2)(a)
1,929
175,829
thyssenkrupp
AG
(2)*
5,062
28,865
Volkswagen
AG
(Preference)
(2)(a)
264
35,545
1,553,501
—
Hong
Kong
-
0.3%
CK
Asset
Holdings
Ltd.
(2)
1,915
13,607
CLP
Holdings
Ltd.
(2)
2,500
20,776
Hong
Kong
Exchanges
&
Clearing
Ltd.
(2)
800
39,565
Sun
Hung
Kai
Properties
Ltd.
(2)
17,000
201,281
Swire
Pacific
Ltd.,
Class
A
(2)
12,500
74,653
WH
Group
Ltd.
(2)(c)
74,500
57,662
407,544
—
Italy
-
0.8%
Buzzi
Unicem
SpA
(2)
7,283
119,546
Enel
SpA
(2)(a)
1,952
10,705
Eni
SpA
(2)
42,310
501,825
Italgas
SpA
(2)
1,537
8,969
Leonardo
SpA
(2)
13,361
135,558
Mediobanca
Banca
di
Credito
Finanziario
SpA
(2)
6,720
58,280
Poste
Italiane
SpA
(2)(c)
687
6,428
UniCredit
SpA
(2)
17,476
167,007
INVESTMENTS
SHARES
VALUE
($)
Italy
-
0.8%
(continued)
Unipol
Gruppo
SpA
(2)
30,523
139,032
1,147,350
—
Japan
-
4.1%
AGC,
Inc.
(2)
1,900
66,762
Aisin
Corp.
(2)
800
24,761
Alfresa
Holdings
Corp.
(2)
600
8,067
Amada
Co.
Ltd.
(2)
2,400
17,694
Brother
Industries
Ltd.
(2)
400
7,038
Dai-ichi
Life
Holdings,
Inc.
(2)
8,700
160,910
Eisai
Co.
Ltd.
(2)
200
8,456
ENEOS
Holdings,
Inc.
(2)
18,600
69,988
Fukuoka
Financial
Group,
Inc.
(2)
700
12,607
Haseko
Corp.
(2)(a)
2,100
24,664
Hino
Motors
Ltd.
(2)
13,400
68,977
Hitachi
Transport
System
Ltd.
(2)
200
12,638
Idemitsu
Kosan
Co.
Ltd.
(2)
300
7,167
Iida
Group
Holdings
Co.
Ltd.
(2)(a)
4,000
61,409
Inpex
Corp.
(2)
5,100
54,673
Japan
Post
Holdings
Co.
Ltd.
(2)
35,900
256,862
Japan
Post
Insurance
Co.
Ltd.
(2)
19,500
312,092
Japan
Tobacco,
Inc.
(2)
2,300
39,856
JFE
Holdings,
Inc.
(2)
28,400
298,774
JTEKT
Corp.
(2)
3,200
24,057
Kajima
Corp.
(2)
8,400
96,320
Kawasaki
Kisen
Kaisha
Ltd.
(2)
2,400
146,855
Kinden
Corp.
(2)
3,000
34,626
Kuraray
Co.
Ltd.
(2)
7,300
58,895
Kyushu
Electric
Power
Co.,
Inc.
(2)
3,900
25,075
Marubeni
Corp.
(2)(a)
5,800
52,035
Mazda
Motor
Corp.
(2)
18,100
147,741
Mitsubishi
Gas
Chemical
Co.,
Inc.
(2)
1,100
15,913
Mitsubishi
HC
Capital,
Inc.
(2)
4,700
21,692
Mitsui
Chemicals,
Inc.
(2)
1,900
40,526
Mitsui
OSK
Lines
Ltd.
(2)
22,400
515,301
Mizuho
Financial
Group,
Inc.
(2)
28,900
329,024
Nabtesco
Corp.
(2)
1,700
39,891
NGK
Insulators
Ltd.
(2)
800
10,778
NGK
Spark
Plug
Co.
Ltd.
(2)
4,500
81,628
NIPPON
EXPRESS
HOLDINGS,
Inc.
(2)
1,500
81,710
Nippon
Steel
Corp.
(2)
31,600
442,245
Nippon
Yusen
KK
(2)
6,300
431,959
Nitto
Denko
Corp.
(2)
1,100
71,146
NOF
Corp.
(2)
200
7,422
Nomura
Holdings,
Inc.
(2)
10,100
36,694
Obayashi
Corp.
(2)
20,000
145,465
ORIX
Corp.
(2)
400
6,704
Osaka
Gas
Co.
Ltd.
(2)
1,700
32,581
Renesas
Electronics
Corp.
(2)*
4,600
41,627
Resona
Holdings,
Inc.
(2)
19,100
71,444
Rohm
Co.
Ltd.
(2)
100
7,010
Ryohin
Keikaku
Co.
Ltd.
(2)
800
7,837
SCREEN
Holdings
Co.
Ltd.
(2)
100
6,785
Shimamura
Co.
Ltd.
(2)(a)
1,300
114,225
Shimizu
Corp.
(2)
5,500
30,384
SoftBank
Group
Corp.
(2)
1,600
62,014
Sojitz
Corp.
(2)
6,580
93,266
Sompo
Holdings,
Inc.
(2)
300
13,250
171
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Japan
-
4.1%
(continued)
Subaru
Corp.
(2)
1,600
28,302
Sumitomo
Forestry
Co.
Ltd.
(2)(a)
800
11,377
Sumitomo
Heavy
Industries
Ltd.
(2)
900
19,923
Sumitomo
Mitsui
Financial
Group,
Inc.
(2)
600
17,835
Sumitomo
Pharma
Co.
Ltd.
(2)
1,800
14,456
Taisei
Corp.
(2)
4,900
152,782
Tohoku
Electric
Power
Co.,
Inc.
(2)
4,900
26,301
Tokyo
Century
Corp.
(2)
200
6,644
Tokyo
Electric
Power
Co.
Holdings,
Inc.
(2)*
134,000
560,549
Tosoh
Corp.
(2)
5,100
63,438
Toyo
Suisan
Kaisha
Ltd.
(2)
200
7,809
Toyota
Boshoku
Corp.
(2)
3,800
56,448
Toyota
Tsusho
Corp.
(2)(a)
600
19,562
Yamada
Holdings
Co.
Ltd.
(2)(a)
21,300
76,598
Yamaha
Motor
Co.
Ltd.
(2)
1,100
20,199
Yamato
Holdings
Co.
Ltd.
(2)
800
12,803
Yamazaki
Baking
Co.
Ltd.
(2)
1,100
13,456
5,966,002
—
Luxembourg
-
0.5%
ArcelorMittal
SA
(2)
26,958
604,544
Eurofins
Scientific
SE
(2)
216
17,059
SES
SA,
ADR
(2)
4,843
42,391
663,994
—
Macau
-
0.0%
(b)
Sands
China
Ltd.
(2)*
10,400
25,019
Netherlands
-
1.0%
Aegon
NV
(2)
41,979
180,788
ASR
Nederland
NV
(2)
2,447
98,656
ING
Groep
NV
(2)
5,135
50,588
Koninklijke
Ahold
Delhaize
NV
(2)
(a)
11,223
292,123
Koninklijke
KPN
NV
(2)
1,779
6,330
Koninklijke
Vopak
NV
(2)
259
6,527
NN
Group
NV
(2)
3,489
158,027
OCI
NV
(2)
3,484
114,609
Shell
plc
(2)(a)
18,571
483,640
1,391,288
—
New
Zealand
-
0.0%
(b)
Xero
Ltd.
(2)*
120
6,401
Nigeria
-
0.0%
(b)
Airtel
Africa
plc
(2)(c)
3,740
6,213
Norway
-
0.1%
Equinor
ASA
(2)(a)
4,929
171,753
Norsk
Hydro
ASA
(2)
2,014
11,382
183,135
—
Panama
-
0.0%
(b)
Copa
Holdings
SA,
Class
A
*
1,050
66,539
Russia
-
0.0%
Evraz
plc
(3)(d)
27,473
–
INVESTMENTS
SHARES
VALUE
($)
Singapore
-
0.1%
Singapore
Technologies
Engineering
Ltd.
(2)
24,700
72,712
STMicroelectronics
NV
(2)
4,556
144,084
216,796
—
South
Africa
-
0.0%
(b)
Anglo
American
plc
(2)
1,972
70,496
Spain
-
1.1%
Acerinox
SA
(2)*
5,058
49,111
Banco
de
Sabadell
SA
(2)
45,962
36,853
Banco
Santander
SA
(2)
104,715
296,282
Enagas
SA
(2)
6,935
153,378
Endesa
SA
(2)
3,420
64,698
Industria
de
Diseno
Textil
SA
(2)(a)
1,745
39,656
Mapfre
SA
(2)
53,625
94,829
Repsol
SA
(2)
43,036
634,436
Siemens
Gamesa
Renewable
Energy
SA
(2)*(a)
188
3,545
Telefonica
SA
(2)(a)
39,236
200,321
1,573,109
—
Sweden
-
0.6%
Elekta
AB,
Class
B
(2)
2,498
17,312
H
&
M
Hennes
&
Mauritz
AB,
Class
B
(2)(a)
3,522
42,273
Husqvarna
AB,
Class
B
(2)
963
7,098
Saab
AB,
Class
B
(2)
2,642
109,253
Securitas
AB,
Class
B
(2)(a)
2,590
22,393
Skanska
AB,
Class
B
(2)
652
10,031
SKF
AB,
Class
B
(2)
1,558
23,115
SSAB
AB,
Class
B
(2)
63,970
265,811
Svenska
Handelsbanken
AB,
Class
A
(2)
22,159
190,211
Telefonaktiebolaget
LM
Ericsson,
Class
B
(2)
28,530
213,091
Telia
Co.
AB
(2)
9,152
35,126
Trelleborg
AB,
Class
B
(2)
279
5,645
941,359
—
Switzerland
-
0.9%
Adecco
Group
AG
(Registered)
(2)
(a)
1,784
60,807
Barry
Callebaut
AG
(Registered)
(2)
3
6,712
BKW
AG
(2)
278
29,085
Bucher
Industries
AG
(Registered)
(2)
25
8,726
DKSH
Holding
AG
(2)(a)
839
69,422
dormakaba
Holding
AG
(2)
25
10,911
Galenica
AG
(2)(c)
352
27,078
Holcim
AG
(2)*(a)
645
27,664
Novartis
AG
(Registered)
(2)(a)
8,899
754,463
OC
Oerlikon
Corp.
AG
(Registered)
(2)
1,426
9,956
Swiss
Life
Holding
AG
(Registered)
(2)
71
34,660
Temenos
AG
(Registered)
(2)
1,561
133,590
UBS
Group
AG
(Registered)
(2)
5,846
94,511
Zurich
Insurance
Group
AG
(2)
75
32,706
1,300,291
—
172
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
Kingdom
-
1.6%
abrdn
plc
(2)
9,167
17,894
Aviva
plc
(2)
34,633
169,642
BAE
Systems
plc
(2)(a)
13,806
139,772
Barclays
plc
(2)
138,223
258,471
BP
plc
(2)
52,751
247,692
British
American
Tobacco
plc
(2)
1,625
69,654
Bunzl
plc
(2)(a)
998
33,144
CK
Hutchison
Holdings
Ltd.
(2)(a)
37,500
254,400
DCC
plc
(2)
2,233
138,930
Direct
Line
Insurance
Group
plc
(2)
4,135
12,692
Entain
plc
(2)*
376
5,722
HSBC
Holdings
plc
(2)(a)
5,324
34,779
IMI
plc
(2)
973
13,955
Imperial
Brands
plc
(2)
1,843
41,261
Inchcape
plc
(2)(a)
12,432
105,647
InterContinental
Hotels
Group
plc
(2)
695
36,938
Kingfisher
plc
(2)
31,443
93,967
Liberty
Global
plc,
Class
C
*
269
5,942
Lloyds
Banking
Group
plc
(2)
87,680
45,112
M&G
plc
(2)
44,646
105,843
Man
Group
plc
(2)
30,187
92,153
Marks
&
Spencer
Group
plc
(2)*
17,160
28,469
Royal
Mail
plc
(2)
34,505
113,986
Sage
Group
plc
(The)
(2)
8,143
63,058
Standard
Chartered
plc
(2)
1,906
14,389
Vodafone
Group
plc
(2)(a)
72,216
112,288
2,255,800
—
United
States
-
34.6%
3M
Co.
(a)
45
5,823
A
O
Smith
Corp.
1,039
56,813
Abbott
Laboratories
(a)
2,370
257,501
AbbVie,
Inc.
(a)
1,655
253,480
Accenture
plc,
Class
A
(a)
439
121,888
ACI
Worldwide,
Inc.
*
2,636
68,246
Activision
Blizzard,
Inc.
705
54,891
Adobe,
Inc.
*(a)
828
303,098
Advanced
Micro
Devices,
Inc.
*(a)
2,670
204,175
AES
Corp.
(The)
2,692
56,559
AGCO
Corp.
208
20,530
Air
Lease
Corp.
262
8,759
Alaska
Air
Group,
Inc.
*
2,146
85,947
Align
Technology,
Inc.
*
334
79,048
Alleghany
Corp.
*
48
39,989
Allison
Transmission
Holdings,
Inc.
9,370
360,277
Allstate
Corp.
(The)
1,367
173,240
Ally
Financial,
Inc.
3,078
103,144
Alphabet,
Inc.,
Class
A
*(a)
349
760,561
Alphabet,
Inc.,
Class
C
*(a)
330
721,858
Altice
USA,
Inc.,
Class
A
*
17,180
158,915
Altria
Group,
Inc.
475
19,841
Amazon.com,
Inc.
*(a)
7,280
773,208
Amdocs
Ltd.
(a)
1,430
119,133
American
International
Group,
Inc.
5,252
268,535
American
Tower
Corp.,
REIT
324
82,811
Amkor
Technology,
Inc.
8,273
140,227
APA
Corp.
13,242
462,146
Apple,
Inc.
(a)
15,037
2,055,859
Applied
Materials,
Inc.
1,352
123,005
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
Arch
Capital
Group
Ltd.
*
1,142
51,950
Archer-Daniels-Midland
Co.
459
35,618
Armstrong
World
Industries,
Inc.
333
24,962
Arrow
Electronics,
Inc.
*
1,676
187,863
Associated
Banc-Corp.
5,613
102,493
AT&T,
Inc.
(a)
7,959
166,821
Autodesk,
Inc.
*(a)
764
131,377
Automatic
Data
Processing,
Inc.
(a)
42
8,822
AutoNation,
Inc.
*
4,580
511,861
Axis
Capital
Holdings
Ltd.
1,096
62,571
Axon
Enterprise,
Inc.
*
198
18,448
Baker
Hughes
Co.
2,090
60,338
Bank
of
America
Corp.
(a)
5,253
163,526
Bank
of
New
York
Mellon
Corp.
(The)
1,382
57,643
Bath
&
Body
Works,
Inc.
1,075
28,939
Bausch
Health
Cos.,
Inc.
*
819
6,846
Berkshire
Hathaway,
Inc.,
Class
B
*(a)
1,592
434,648
Biogen,
Inc.
*
1,294
263,898
Bio-Rad
Laboratories,
Inc.,
Class
A
*
140
69,300
BJ's
Wholesale
Club
Holdings,
Inc.
*
383
23,869
Boeing
Co.
(The)
*(a)
822
112,384
Booking
Holdings,
Inc.
*(a)
134
234,365
Booz
Allen
Hamilton
Holding
Corp.
(a)
97
8,765
Bread
Financial
Holdings,
Inc.
15,378
569,909
Bristol-Myers
Squibb
Co.
(a)
2,808
216,216
Broadcom,
Inc.
(a)
366
177,806
Brunswick
Corp.
(a)
1,310
85,648
Builders
FirstSource,
Inc.
*
2,569
137,955
BWX
Technologies,
Inc.
3,144
173,203
CACI
International,
Inc.,
Class
A
*(a)
71
20,006
Capital
One
Financial
Corp.
1,815
189,105
Cardinal
Health,
Inc.
1,758
91,891
Cathay
General
Bancorp
1,416
55,436
CF
Industries
Holdings,
Inc.
2,845
243,902
ChampionX
Corp.
3,323
65,962
Change
Healthcare,
Inc.
*
326
7,518
Chegg,
Inc.
*
3,045
57,185
Chemours
Co.
(The)
1,858
59,493
Cheniere
Energy,
Inc.
670
89,130
Chevron
Corp.
(a)
1,077
155,928
Chubb
Ltd.
858
168,666
Cigna
Corp.
(a)
791
208,444
Cisco
Systems,
Inc.
(a)
5,498
234,435
Citigroup,
Inc.
23,412
1,076,717
Citizens
Financial
Group,
Inc.
171
6,103
Clean
Harbors,
Inc.
*(a)
404
35,419
Cleveland-Cliffs,
Inc.
*
343
5,272
CMC
Materials,
Inc.
86
15,006
CMS
Energy
Corp.
784
52,920
Coca-Cola
Co.
(The)
4,731
297,627
Colgate-Palmolive
Co.
(a)
700
56,098
Comcast
Corp.,
Class
A
(a)
6,171
242,150
Comerica,
Inc.
1,019
74,774
Commercial
Metals
Co.
204
6,752
173
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
CommScope
Holding
Co.,
Inc.
*
4,917
30,092
CommVault
Systems,
Inc.
*
411
25,852
ConocoPhillips
1,674
150,342
Corning,
Inc.
308
9,705
Cracker
Barrel
Old
Country
Store,
Inc.
(a)(e)
353
29,472
Crane
Holdings
Co.
75
6,567
Crocs,
Inc.
*(a)
1,589
77,337
Crown
Castle
International
Corp.,
REIT
311
52,366
Cummins,
Inc.
(a)
435
84,186
CVS
Health
Corp.
(a)
6,863
635,925
Darling
Ingredients,
Inc.
*
1,174
70,205
Dell
Technologies,
Inc.,
Class
C
3,066
141,680
Delta
Air
Lines,
Inc.
*
2,865
82,999
DENTSPLY
SIRONA,
Inc.
1,105
39,482
Devon
Energy
Corp.
1,052
57,976
Digital
Realty
Trust,
Inc.,
REIT
191
24,798
Digital
Turbine,
Inc.
*
1,059
18,501
Discover
Financial
Services
173
16,362
DocuSign,
Inc.
*
1,378
79,070
Dolby
Laboratories,
Inc.,
Class
A
336
24,044
Donaldson
Co.,
Inc.
2,181
104,993
Dow,
Inc.
(a)
1,090
56,255
DR
Horton,
Inc.
(a)
805
53,283
Dropbox,
Inc.,
Class
A
*
2,862
60,073
DuPont
de
Nemours,
Inc.
(a)
1,207
67,085
DXC
Technology
Co.
*
979
29,673
Dycom
Industries,
Inc.
*
691
64,291
Dynatrace,
Inc.
*
1,052
41,491
Elevance
Health,
Inc.
(a)
454
219,091
EMCOR
Group,
Inc.
714
73,513
Emerson
Electric
Co.
(a)
1,913
152,160
Encompass
Health
Corp.
884
49,548
Enovis
Corp.
*
101
5,555
EOG
Resources,
Inc.
2,491
275,106
Equinix,
Inc.,
REIT
61
40,078
Everbridge,
Inc.
*
203
5,662
Evercore,
Inc.,
Class
A
409
38,286
Everest
Re
Group
Ltd.
128
35,876
Expedia
Group,
Inc.
*
2,825
267,895
Exxon
Mobil
Corp.
6,894
590,401
Fidelity
National
Financial,
Inc.
1,533
56,660
Fidelity
National
Information
Services,
Inc.
(a)
521
47,760
First
American
Financial
Corp.
1,907
100,918
FirstEnergy
Corp.
645
24,762
FleetCor
Technologies,
Inc.
*(a)
106
22,272
Flowserve
Corp.
1,931
55,285
FNB
Corp.
4,104
44,569
Foot
Locker,
Inc.
4,742
119,736
Ford
Motor
Co.
(a)
9,405
104,678
Freeport-McMoRan,
Inc.
580
16,971
Frontdoor,
Inc.
*
1,392
33,519
Fulton
Financial
Corp.
8,824
127,507
Gap,
Inc.
(The)
12,801
105,480
Gartner,
Inc.
*
628
151,869
Gates
Industrial
Corp.
plc
*
648
7,005
General
Dynamics
Corp.
(a)
375
82,969
General
Electric
Co.
(a)
1,129
71,883
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
General
Motors
Co.
*
7,990
253,762
Gilead
Sciences,
Inc.
(a)
8,189
506,162
Global
Payments,
Inc.
(a)
2,572
284,566
GoDaddy,
Inc.,
Class
A
*
1,269
88,272
Goldman
Sachs
Group,
Inc.
(The)
925
274,744
Goodyear
Tire
&
Rubber
Co.
(The)
*
3,709
39,723
Grand
Canyon
Education,
Inc.
*
478
45,023
GSK
plc
(2)(a)
2,260
48,707
Halliburton
Co.
4,526
141,935
Hancock
Whitney
Corp.
423
18,752
Hartford
Financial
Services
Group,
Inc.
(The)
652
42,660
HCA
Healthcare,
Inc.
(a)
460
77,308
Henry
Schein,
Inc.
*
129
9,899
Hess
Corp.
509
53,923
HF
Sinclair
Corp.
856
38,657
Hologic,
Inc.
*
694
48,094
Home
Depot,
Inc.
(The)
(a)
592
162,368
HubSpot,
Inc.
*
324
97,411
Humana,
Inc.
(a)
15
7,021
Huntington
Ingalls
Industries,
Inc.
1,569
341,760
IAA,
Inc.
*(a)
1,021
33,458
Incyte
Corp.
*
1,997
151,712
Intel
Corp.
(a)
13,046
488,051
International
Bancshares
Corp.
3,558
142,605
International
Paper
Co.
1,558
65,171
Intuit,
Inc.
(a)
184
70,921
Invesco
Ltd.
3,573
57,632
IPG
Photonics
Corp.
*
147
13,837
IQVIA
Holdings,
Inc.
*
33
7,161
Jabil,
Inc.
2,078
106,414
Janus
Henderson
Group
plc
1,570
36,911
Jefferies
Financial
Group,
Inc.
1,861
51,401
Johnson
&
Johnson
(a)
1,547
274,608
JPMorgan
Chase
&
Co.
(a)
3,437
387,041
KB
Home
(a)
4,538
129,151
Kennametal,
Inc.
2,054
47,714
Keurig
Dr
Pepper,
Inc.
415
14,687
KLA
Corp.
614
195,915
Knight-Swift
Transportation
Holdings,
Inc.
1,227
56,798
Kohl's
Corp.
6,429
229,451
Kraft
Heinz
Co.
(The)
4,490
171,249
L3Harris
Technologies,
Inc.
(a)
137
33,113
Laboratory
Corp.
of
America
Holdings
(a)
290
67,964
Lam
Research
Corp.
380
161,937
Lattice
Semiconductor
Corp.
*
206
9,991
Lennar
Corp.,
Class
A
(a)
6,016
424,549
Lennox
International,
Inc.
680
140,481
Lincoln
National
Corp.
7,751
362,514
Lithia
Motors,
Inc.
(a)
97
26,657
Lockheed
Martin
Corp.
(a)
524
225,299
Louisiana-Pacific
Corp.
1,479
77,514
Lumen
Technologies,
Inc.
907
9,895
LyondellBasell
Industries
NV,
Class
A
3,805
332,785
Macy's,
Inc.
3,268
59,870
Manhattan
Associates,
Inc.
*
395
45,267
174
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
ManpowerGroup,
Inc.
(a)
2,199
168,026
Marathon
Oil
Corp.
9,758
219,360
Marathon
Petroleum
Corp.
1,110
91,253
Markel
Corp.
*
51
65,956
Marriott
Vacations
Worldwide
Corp.
182
21,148
Masimo
Corp.
*
882
115,251
Mattel,
Inc.
*(a)
4,924
109,953
Maximus,
Inc.
176
11,002
McKesson
Corp.
(a)
52
16,963
Medtronic
plc
(a)
2,798
251,121
Merck
&
Co.,
Inc.
(a)
3,765
343,255
Meta
Platforms,
Inc.,
Class
A
*(a)
5,793
934,120
MetLife,
Inc.
1,048
65,804
MGM
Resorts
International
(a)
683
19,773
Microchip
Technology,
Inc.
1,787
103,789
Micron
Technology,
Inc.
4,667
257,992
Microsoft
Corp.
(a)
7,154
1,837,361
Minerals
Technologies,
Inc.
259
15,887
MKS
Instruments,
Inc.
147
15,087
Moderna,
Inc.
*
3,175
453,549
Mohawk
Industries,
Inc.
*(a)
436
54,103
Molina
Healthcare,
Inc.
*
357
99,821
Mondelez
International,
Inc.,
Class
A
(a)
746
46,319
Monster
Beverage
Corp.
*
754
69,896
Morgan
Stanley
610
46,397
Mosaic
Co.
(The)
4,971
234,780
Murphy
Oil
Corp.
703
21,224
Navient
Corp.
17,259
241,453
Netflix,
Inc.
*(a)
2,084
364,429
Nexstar
Media
Group,
Inc.,
Class
A
287
46,747
NRG
Energy,
Inc.
7,204
274,977
Nucor
Corp.
(a)
220
22,970
nVent
Electric
plc
1,279
40,071
NVIDIA
Corp.
(a)
1,307
198,128
NVR,
Inc.
*(a)
9
36,037
Occidental
Petroleum
Corp.
2,604
153,324
OGE
Energy
Corp.
1,050
40,488
Old
Republic
International
Corp.
5,308
118,687
Olin
Corp.
4,049
187,388
ON
Semiconductor
Corp.
*
2,520
126,781
OneMain
Holdings,
Inc.
1,182
44,183
Option
Care
Health,
Inc.
*
665
18,480
Oracle
Corp.
(a)
1,824
127,443
Organon
&
Co.
619
20,891
Owens
Corning
2,328
172,994
PACCAR,
Inc.
(a)
1,000
82,340
PacWest
Bancorp
2,571
68,543
Paycom
Software,
Inc.
*
115
32,214
PayPal
Holdings,
Inc.
*(a)
1,112
77,662
Paysafe
Ltd.
*
7,508
14,641
PDC
Energy,
Inc.
2,623
161,603
Penske
Automotive
Group,
Inc.
(a)
1,049
109,820
PepsiCo,
Inc.
(a)
515
85,830
Pfizer,
Inc.
13,664
716,403
Philip
Morris
International,
Inc.
(a)
989
97,654
Phillips
66
2,108
172,835
Pilgrim's
Pride
Corp.
*
495
15,459
Pinnacle
West
Capital
Corp.
90
6,581
Pioneer
Natural
Resources
Co.
246
54,878
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
Playtika
Holding
Corp.
*
2,511
33,246
Popular,
Inc.
2,229
171,477
Prologis,
Inc.,
REIT
(a)
514
60,472
Prosperity
Bancshares,
Inc.
1,572
107,320
Prudential
Financial,
Inc.
880
84,198
Public
Storage,
REIT
111
34,706
PulteGroup,
Inc.
(a)
4,516
178,969
Pure
Storage,
Inc.,
Class
A
*
1,310
33,680
PVH
Corp.
(a)
1,010
57,469
Qorvo,
Inc.
*
838
79,040
QUALCOMM,
Inc.
2,735
349,369
QuidelOrtho
Corp.
*
3,246
315,446
Qurate
Retail,
Inc.,
Series
A
182,575
523,990
Ralph
Lauren
Corp.
(a)
501
44,915
Range
Resources
Corp.
*
1,015
25,121
Raytheon
Technologies
Corp.
(a)
980
94,188
Regeneron
Pharmaceuticals,
Inc.
*
154
91,034
Reinsurance
Group
of
America,
Inc.
105
12,315
Reliance
Steel
&
Aluminum
Co.
843
143,192
Republic
Services,
Inc.
(a)
179
23,426
RingCentral,
Inc.,
Class
A
*
2,101
109,798
Roche
Holding
AG
(2)(a)
653
218,298
Salesforce,
Inc.
*(a)
1,498
247,230
Sanderson
Farms,
Inc.
67
14,441
Schlumberger
NV
9,391
335,822
Schneider
National,
Inc.,
Class
B
5,719
127,991
Science
Applications
International
Corp.
(a)
566
52,695
Seagate
Technology
Holdings
plc
368
26,290
Sealed
Air
Corp.
199
11,486
SEI
Investments
Co.
659
35,599
Sempra
Energy
(a)
903
135,694
Semtech
Corp.
*
455
25,011
ServiceNow,
Inc.
*(a)
227
107,943
Signify
NV
(2)(c)
322
10,623
Simon
Property
Group,
Inc.,
REIT
376
35,690
Six
Flags
Entertainment
Corp.
*
1,433
31,096
Skyworks
Solutions,
Inc.
535
49,562
Snap-on,
Inc.
(a)
62
12,216
SolarWinds
Corp.
5,191
53,208
Spirit
AeroSystems
Holdings,
Inc.,
Class
A
839
24,583
SS&C
Technologies
Holdings,
Inc.
3,099
179,959
Starbucks
Corp.
(a)
3,440
262,782
State
Street
Corp.
853
52,587
Steel
Dynamics,
Inc.
3,062
202,551
Stellantis
NV
(2)(a)
18,941
235,148
Stifel
Financial
Corp.
962
53,891
Swiss
Re
AG
(2)
1,091
84,681
Synchrony
Financial
2,197
60,681
Syneos
Health,
Inc.
*
925
66,304
Synopsys,
Inc.
*(a)
358
108,725
Tapestry,
Inc.
(a)
400
12,208
Teleflex,
Inc.
47
11,555
Tenet
Healthcare
Corp.
*
4,350
228,636
Teradata
Corp.
*
570
21,096
Terex
Corp.
1,294
35,417
Tesla,
Inc.
*(a)
826
556,245
Texas
Capital
Bancshares,
Inc.
*
1,773
93,331
Texas
Instruments,
Inc.
(a)
279
42,868
175
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
34.6%
(continued)
Texas
Roadhouse,
Inc.
2,520
184,464
Textron,
Inc.
(a)
12,705
775,893
T-Mobile
US,
Inc.
*(a)
202
27,177
Toll
Brothers,
Inc.
(a)
2,483
110,742
TransDigm
Group,
Inc.
*(a)
12
6,440
Travel
+
Leisure
Co.
1,556
60,404
Tri
Pointe
Homes,
Inc.
*(a)
17,926
302,412
Tyson
Foods,
Inc.,
Class
A
5,037
433,484
Ulta
Beauty,
Inc.
*(a)
380
146,482
UMB
Financial
Corp.
1,745
150,245
Umpqua
Holdings
Corp.
5,212
87,405
United
Rentals,
Inc.
*
139
33,764
United
States
Steel
Corp.
16,558
296,554
United
Therapeutics
Corp.
*
59
13,903
UnitedHealth
Group,
Inc.
(a)
650
333,860
Univar
Solutions,
Inc.
*
3,923
97,565
Universal
Display
Corp.
344
34,792
Unum
Group
2,987
101,618
Urban
Outfitters,
Inc.
*
3,304
61,653
US
Foods
Holding
Corp.
*
732
22,458
Vail
Resorts,
Inc.
399
87,002
Valero
Energy
Corp.
207
22,000
Veeva
Systems,
Inc.,
Class
A
*(a)
42
8,318
VeriSign,
Inc.
*(a)
393
65,761
Verizon
Communications,
Inc.
(a)
1,666
84,550
Vertex
Pharmaceuticals,
Inc.
*
192
54,104
Vertiv
Holdings
Co.
4,685
38,511
Viatris,
Inc.
24,001
251,290
Vicor
Corp.
*
858
46,958
Virtu
Financial,
Inc.,
Class
A
2,565
60,047
Vishay
Intertechnology,
Inc.
4,803
85,589
VMware,
Inc.,
Class
A
(a)
248
28,267
Vontier
Corp.
1,800
41,382
Walgreens
Boots
Alliance,
Inc.
(a)
6,277
237,898
WEC
Energy
Group,
Inc.
(a)
345
34,721
Wells
Fargo
&
Co.
(a)
13,608
533,025
Western
Digital
Corp.
*
11,407
511,376
Western
Union
Co.
(The)
2,772
45,655
Westlake
Corp.
852
83,513
Westrock
Co.
620
24,701
WEX,
Inc.
*
361
56,157
Whirlpool
Corp.
(a)
43
6,659
Workday,
Inc.,
Class
A
*(a)
1,242
173,358
XPO
Logistics,
Inc.
*
977
47,052
Yelp,
Inc.
*
496
13,774
Yum!
Brands,
Inc.
(a)
561
63,679
Zions
Bancorp
NA
1,040
52,936
Zoom
Video
Communications,
Inc.,
Class
A
*(a)
649
70,073
50,103,389
—
TOTAL
COMMON
STOCKS
(Cost
$79,049,934)
77,136,326
PRINCIPAL
AMOUNT
FOREIGN
GOVERNMENT
SECURITIES
-
9.0%
Federal
Republic
of
Germany
0.50%,
4/15/2030
(2)(f)(g)
EUR
1,698,000
2,302,628
0.10%,
4/15/2033
(2)(f)(g)
600,000
748,976
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
FOREIGN
GOVERNMENT
SECURITIES
-
9.0%
(continued)
French
Republic
1.85%,
7/25/2027
(2)(f)(g)
EUR
1,300,000
1,925,977
0.10%,
3/1/2028
(2)(f)(g)
1,000,000
1,224,907
0.70%,
7/25/2030
(2)(f)(g)
1,600,000
2,131,514
0.10%,
7/25/2031
(2)(f)(g)
1,000,000
1,198,434
United
Kingdom
Gilt
Inflation
Linked
0.13%,
8/10/2028
(2)(f)(g)
GBP
400,000
645,330
0.13%,
3/22/2029
(2)(f)(g)
300,000
575,115
0.13%,
8/10/2031
(2)(f)(g)
200,000
320,907
1.25%,
11/22/2032
(2)(f)(g)
400,000
966,818
0.75%,
3/22/2034
(2)(f)(g)
500,000
1,094,323
Cost:
$14,746,100
$–
TOTAL
FOREIGN
GOVERNMENT
SECURITIES
(Cost
$14,746,100)
13,134,929
U.S.
TREASURY
OBLIGATIONS
-
11.5%
U.S.
Treasury
Inflation
Linked
Notes
0.13%,
1/15/2030
(2)
$
2,500,000
2,681,407
0.13%,
7/15/2030
(2)
2,900,000
3,118,488
0.13%,
1/15/2031
(2)(h)
3,100,000
3,274,691
0.13%,
7/15/2031
(2)(h)
3,500,000
3,589,610
0.13%,
1/15/2032
(2)(h)
4,100,000
4,058,866
Cost:
$17,991,930
$–
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$17,991,930)
16,723,062
SHORT-TERM
INVESTMENTS
-
44.8%
REPURCHASE
AGREEMENTS
-
9.3%
BNPP,
1.19%,
dated
6/7/2022,
due
7/14/2022,
repurchase
price
$1,281,065,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
$
1,279,500
1,279,500
BNPP,
1.20%,
dated
6/10/2022,
due
7/14/2022,
repurchase
price
$3,802,304,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
7/15/2031
(2)
3,798,000
3,798,000
BNPP,
1.20%,
dated
6/10/2022,
due
7/14/2022,
repurchase
price
$4,273,087,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2032
(2)
4,268,250
4,268,250
CITI,
1.19%,
dated
6/7/2022,
due
7/14/2022,
repurchase
price
$658,554,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2031
(2)
657,750
657,750
176
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
REPURCHASE
AGREEMENTS
-
9.3%
(continued)
CITI,
1.19%,
dated
6/10/2022,
due
7/14/2022,
repurchase
price
$3,475,902,
collateralized
by
U.S.
Treasury
Inflation
Linked
Notes,
0.13%,
due
1/15/2031
(2)
$
3,472,000
3,472,000
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$13,475,500)
13,475,500
—
SHARES
INVESTMENT
COMPANIES
-
21.6%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(i)(j)
3,066,219
3,066,219
Limited
Purpose
Cash
Investment
Fund,
1.15%
(i)
28,426,280
28,403,539
TOTAL
INVESTMENT
COMPANIES
(Cost
$31,468,939)
31,469,758
—
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
13.9%
U.S.
Treasury
Bills
1.06%,
9/29/2022
(2)(k)
$
3,686,000
3,670,887
1.12%,
10/6/2022
(2)(k)
1,178,000
1,172,477
1.26%,
10/20/2022
(2)(k)
756,000
751,440
1.38%,
10/27/2022
(2)(k)
713,000
708,506
1.39%,
11/10/2022
(2)(k)
6,069,000
6,024,099
1.50%,
11/17/2022
(2)(k)
6,856,000
6,801,701
2.53%,
12/29/2022
(2)(k)
1,045,000
1,032,285
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$20,200,288)
20,161,395
—
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$65,144,727)
65,106,653
TOTAL
LONG
POSITIONS
(Cost
$176,932,691)
172,100,970
SHARES
SHORT
POSITIONS
-
(13.0)%
COMMON
STOCKS
-
(13.0)%
Australia
-
(0.3)%
Cleanaway
Waste
Management
Ltd.
(2)
(3,218)
(5,602)
Cochlear
Ltd.
(2)
(76)
(10,434)
Domino's
Pizza
Enterprises
Ltd.
(2)
(864)
(40,613)
Evolution
Mining
Ltd.
(2)
(38,008)
(62,103)
IDP
Education
Ltd.
(2)
(3,416)
(55,937)
Lendlease
Corp.
Ltd.
(2)
(1,996)
(12,573)
Lynas
Rare
Earths
Ltd.
(2)*
(14,021)
(84,748)
Mineral
Resources
Ltd.
(2)
(169)
(5,672)
Northern
Star
Resources
Ltd.
(2)
(2,504)
(11,746)
OZ
Minerals
Ltd.
(2)
(4,967)
(61,060)
Pro
Medicus
Ltd.
(2)
(1,064)
(31,094)
Worley
Ltd.
(2)
(3,290)
(32,439)
(414,021)
—
INVESTMENTS
SHARES
VALUE
($)
Austria
–
(
0.0
)
%
(b)
ams-OSRAM
AG
(2)*
(2,141)
(19,370)
Belgium
–
(
0.0
)
%
(b)
Elia
Group
SA/NV
(2)
(85)
(12,072)
Canada
-
(0.9)%
Air
Canada
*
(8,129)
(101,297)
Ballard
Power
Systems,
Inc.
*
(38,353)
(242,238)
BlackBerry
Ltd.
*
(27,662)
(149,141)
CAE,
Inc.
*
(585)
(14,416)
Cameco
Corp.
(15,899)
(334,234)
Constellation
Software,
Inc.
(55)
(81,648)
Dollarama,
Inc.
(2,010)
(115,741)
Franco-Nevada
Corp.
(248)
(32,622)
GFL
Environmental,
Inc.
(227)
(5,848)
Lightspeed
Commerce,
Inc.
*
(3,926)
(87,536)
Pan
American
Silver
Corp.
(1,467)
(28,823)
Restaurant
Brands
International,
Inc.
(2,701)
(135,491)
(1,329,035)
—
China
-
(0.1)%
Prosus
NV
(2)*
(1,523)
(98,620)
Denmark
-
(0.2)%
Ambu
A/S,
Class
B
(2)
(3,500)
(34,199)
Coloplast
A/S,
Class
B
(2)
(548)
(62,614)
Vestas
Wind
Systems
A/S
(2)
(8,660)
(184,129)
(280,942)
—
Faroe
Islands
–
(
0.0
)
%
(b)
Bakkafrost
P/F
(2)
(980)
(63,161)
France
-
(1.1)%
Adevinta
ASA
(2)*
(16,713)
(123,040)
Aeroports
de
Paris
(2)*
(996)
(126,970)
Alstom
SA
(2)
(5,572)
(127,234)
EssilorLuxottica
SA
(2)
(250)
(37,903)
Faurecia
SE
(2)*
(1,143)
(22,906)
Hermes
International
(2)
(637)
(716,898)
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(2)
(390)
(239,022)
Remy
Cointreau
SA
(2)
(42)
(7,369)
SOITEC
(2)*
(557)
(80,008)
Valeo
(2)
(4,592)
(89,480)
(1,570,830)
—
Germany
-
(0.4)%
Carl
Zeiss
Meditec
AG
(2)
(342)
(41,118)
CTS
Eventim
AG
&
Co.
KGaA
(2)*
(1,371)
(72,319)
Evotec
SE
(2)*
(2,441)
(59,167)
Fresenius
Medical
Care
AG
&
Co.
KGaA
(2)
(1,065)
(53,358)
Nemetschek
SE
(2)
(616)
(37,475)
Puma
SE
(2)
(1,698)
(112,657)
Rheinmetall
AG
(2)
(407)
(93,922)
Sartorius
AG
(Preference)
(2)
(204)
(71,598)
Siemens
Healthineers
AG
(2)(c)
(118)
(6,016)
TeamViewer
AG
(2)*(c)
(1,466)
(14,660)
(562,290)
—
177
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
Italy
-
(0.8)%
Brembo
SpA
(2)
(78)
(761)
DiaSorin
SpA
(2)
(983)
(129,275)
Ferrari
NV
(2)
(3,288)
(605,116)
Moncler
SpA
(2)
(4,747)
(204,529)
Nexi
SpA
(2)*(c)
(22,621)
(187,855)
Reply
SpA
(2)
(94)
(11,435)
Telecom
Italia
SpA
(2)*
(282,184)
(73,991)
(1,212,962)
—
Japan
-
(1.3)%
Aeon
Co.
Ltd.
(2)
(3,300)
(57,321)
ANA
Holdings,
Inc.
(2)*
(900)
(16,625)
Asahi
Intecc
Co.
Ltd.
(2)
(500)
(7,570)
Azbil
Corp.
(2)
(400)
(10,546)
BayCurrent
Consulting,
Inc.
(2)
(500)
(133,676)
Benefit
One,
Inc.
(2)
(2,000)
(27,095)
Capcom
Co.
Ltd.
(2)
(1,800)
(43,787)
East
Japan
Railway
Co.
(2)
(900)
(46,034)
Fancl
Corp.
(2)
(400)
(7,351)
Harmonic
Drive
Systems,
Inc.
(2)
(2,400)
(70,365)
Japan
Airlines
Co.
Ltd.
(2)*
(4,500)
(77,317)
Japan
Airport
Terminal
Co.
Ltd.
(2)*
(300)
(11,920)
JSR
Corp.
(2)
(400)
(10,394)
Keio
Corp.
(2)
(1,000)
(35,874)
Kobayashi
Pharmaceutical
Co.
Ltd.
(2)
(600)
(37,159)
Kobe
Bussan
Co.
Ltd.
(2)
(4,500)
(110,615)
Lasertec
Corp.
(2)
(1,000)
(119,104)
M3,
Inc.
(2)
(11,800)
(339,664)
MonotaRO
Co.
Ltd.
(2)
(11,700)
(174,490)
Nexon
Co.
Ltd.
(2)
(4,900)
(100,620)
Nippon
Paint
Holdings
Co.
Ltd.
(2)
(8,300)
(62,102)
Obic
Co.
Ltd.
(2)
(1,000)
(142,206)
Odakyu
Electric
Railway
Co.
Ltd.
(2)
(3,600)
(48,570)
Olympus
Corp.
(2)
(1,700)
(34,451)
Pan
Pacific
International
Holdings
Corp.
(2)
(5,300)
(84,499)
Rakuten
Group,
Inc.
(2)
(8,800)
(39,790)
West
Japan
Railway
Co.
(2)
(900)
(33,110)
Yaskawa
Electric
Corp.
(2)
(1,500)
(48,447)
(1,930,702)
—
Netherlands
-
(0.2)%
Argenx
SE
(2)*
(726)
(273,668)
ASM
International
NV
(2)
(124)
(30,852)
(304,520)
—
Norway
–
(0.0)%
(b)
Kongsberg
Gruppen
ASA
(2)
(554)
(19,925)
Salmar
ASA
(2)
(416)
(29,451)
(49,376)
—
South
Korea
-
(0.1)%
Delivery
Hero
SE
(2)*(c)
(2,756)
(103,972)
Spain
-
(0.4)%
Acciona
SA
(2)
(33)
(6,081)
ACS
Actividades
de
Construccion
y
Servicios
SA
(2)
(1,532)
(37,337)
Amadeus
IT
Group
SA
(2)*
(2,932)
(164,175)
INVESTMENTS
SHARES
VALUE
($)
Spain
-
(0.4)%
(continued)
Bankinter
SA
(2)
(1,082)
(6,768)
CaixaBank
SA
(2)
(14,054)
(49,218)
Cellnex
Telecom
SA
(2)(c)
(8,723)
(339,483)
(603,062)
—
Sweden
-
(0.2)%
Beijer
Ref
AB
(2)
(2,591)
(35,531)
Embracer
Group
AB
(2)*
(13,264)
(101,883)
Epiroc
AB,
Class
A
(2)
(492)
(7,628)
EQT
AB
(2)
(4,731)
(97,237)
Hexagon
AB,
Class
B
(2)
(7,432)
(77,657)
Nibe
Industrier
AB,
Class
B
(2)
(5,405)
(40,744)
(360,680)
—
Switzerland
-
(0.3)%
Bachem
Holding
AG
(Registered),
Class
B
(2)
(1,084)
(75,555)
Dufry
AG
(Registered)
(2)*
(2,853)
(92,580)
Flughafen
Zurich
AG
(Registered)
(2)*
(79)
(11,970)
Givaudan
SA
(Registered)
(2)
(11)
(38,772)
Idorsia
Ltd.
(2)*
(6,983)
(100,035)
SIG
Group
AG
(2)*
(1,558)
(34,404)
Sika
AG
(Registered)
(2)
(87)
(20,083)
Tecan
Group
AG
(Registered)
(2)
(142)
(41,349)
(414,748)
—
United
Kingdom
-
(0.3)%
AVEVA
Group
plc
(2)
(3,712)
(101,904)
B&M
European
Value
Retail
SA
(2)
(6,448)
(28,857)
boohoo
Group
plc
(2)*
(10,065)
(6,777)
ConvaTec
Group
plc
(2)(c)
(19,418)
(53,224)
Informa
plc
(2)*
(5,413)
(34,971)
Ocado
Group
plc
(2)*
(11,278)
(107,511)
Rolls-Royce
Holdings
plc
(2)*
(69,214)
(70,436)
St
James's
Place
plc
(2)
(2,357)
(31,714)
WH
Smith
plc
(2)*
(2,299)
(39,518)
(474,912)
—
United
States
-
(6.3)%
10X
Genomics,
Inc.,
Class
A
*
(4,807)
(217,517)
Advanced
Drainage
Systems,
Inc.
(294)
(26,481)
Affirm
Holdings,
Inc.
*
(4,742)
(85,641)
Alteryx,
Inc.,
Class
A
*
(496)
(24,016)
American
Airlines
Group,
Inc.
*
(468)
(5,934)
Aon
plc,
Class
A
(25)
(6,742)
Asana,
Inc.,
Class
A
*
(3,686)
(64,800)
Aspen
Technology,
Inc.
*
(103)
(18,919)
Avalara,
Inc.
*
(195)
(13,767)
Azenta,
Inc.
(929)
(66,981)
Bentley
Systems,
Inc.,
Class
B
(1,701)
(56,643)
Bill.com
Holdings,
Inc.
*
(1,667)
(183,270)
Boston
Beer
Co.,
Inc.
(The),
Class
A
*
(86)
(26,055)
Brookfield
Renewable
Corp.
(1,961)
(69,851)
C3.ai,
Inc.,
Class
A
*
(6,616)
(120,808)
Cable
One,
Inc.
(31)
(39,969)
Cabot
Corp.
(510)
(32,533)
Caesars
Entertainment,
Inc.
*
(519)
(19,878)
Callaway
Golf
Co.
*
(1,558)
(31,783)
178
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(6.3)%
(continued)
Carvana
Co.
*
(89)
(2,010)
Ceridian
HCM
Holding,
Inc.
*
(260)
(12,241)
CH
Robinson
Worldwide,
Inc.
(373)
(37,811)
Chewy,
Inc.,
Class
A
*
(272)
(9,444)
Clarivate
plc
*
(6,068)
(84,102)
Cloudflare,
Inc.,
Class
A
*
(148)
(6,475)
CNX
Resources
Corp.
*
(3,558)
(58,565)
Commerce
Bancshares,
Inc.
(723)
(47,465)
DraftKings,
Inc.,
Class
A
*
(4,528)
(52,842)
Duck
Creek
Technologies,
Inc.
*
(1,471)
(21,844)
Dun
&
Bradstreet
Holdings,
Inc.
*
(2,288)
(34,389)
Enphase
Energy,
Inc.
*
(220)
(42,953)
Entegris,
Inc.
(360)
(33,167)
Envestnet,
Inc.
*
(555)
(29,287)
EQT
Corp.
(399)
(13,726)
Etsy,
Inc.
*
(2,288)
(167,504)
Exact
Sciences
Corp.
*
(2,190)
(86,264)
Fastly,
Inc.,
Class
A
*
(1,356)
(15,743)
First
Citizens
BancShares,
Inc.,
Class
A
(53)
(34,650)
First
Financial
Bankshares,
Inc.
(4,327)
(169,921)
Five9,
Inc.
*
(2,066)
(188,295)
Fox
Factory
Holding
Corp.
*
(174)
(14,014)
Freshpet,
Inc.
*
(179)
(9,288)
FTI
Consulting,
Inc.
*
(438)
(79,212)
Generac
Holdings,
Inc.
*
(71)
(14,951)
Glacier
Bancorp,
Inc.
(448)
(21,244)
Graphic
Packaging
Holding
Co.
(1,959)
(40,160)
Grocery
Outlet
Holding
Corp.
*
(5,258)
(224,149)
HealthEquity,
Inc.
*
(1,688)
(103,626)
Helen
of
Troy
Ltd.
*
(453)
(73,572)
Hormel
Foods
Corp.
(389)
(18,423)
IAC/InterActiveCorp
*
(1,080)
(82,048)
II-VI,
Inc.
*
(2,239)
(114,077)
Insulet
Corp.
*
(909)
(198,107)
Ionis
Pharmaceuticals,
Inc.
*
(1,497)
(55,419)
Iovance
Biotherapeutics,
Inc.
*
(5,932)
(65,489)
Jamf
Holding
Corp.
*
(3,224)
(79,858)
Jazz
Pharmaceuticals
plc
*
(804)
(125,432)
KBR,
Inc.
(151)
(7,307)
Kyndryl
Holdings,
Inc.
*
(1,491)
(14,582)
Las
Vegas
Sands
Corp.
*
(1,885)
(63,317)
Leslie's,
Inc.
*
(2,084)
(31,635)
Lululemon
Athletica,
Inc.
*
(988)
(269,338)
M&T
Bank
Corp.
(243)
(38,732)
Maravai
LifeSciences
Holdings,
Inc.,
Class
A
*
(325)
(9,233)
Match
Group,
Inc.
*
(640)
(44,602)
McCormick
&
Co.,
Inc.
(Non-Voting)
(443)
(36,880)
Middleby
Corp.
(The)
*
(128)
(16,046)
MillerKnoll,
Inc.
(3,865)
(101,534)
Mirati
Therapeutics,
Inc.
*
(2,596)
(174,269)
Natera,
Inc.
*
(572)
(20,272)
nCino,
Inc.
*
(4,911)
(151,848)
New
York
Times
Co.
(The),
Class
A
(266)
(7,421)
Nordstrom,
Inc.
(2,946)
(62,249)
Norwegian
Cruise
Line
Holdings
Ltd.
*
(6,060)
(67,387)
Novocure
Ltd.
*
(3,291)
(228,725)
Oak
Street
Health,
Inc.
*
(3,583)
(58,905)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(6.3)%
(continued)
Okta,
Inc.
*
(81)
(7,322)
Ollie's
Bargain
Outlet
Holdings,
Inc.
*
(2,415)
(141,881)
Palantir
Technologies,
Inc.,
Class
A
*
(2,224)
(20,172)
Palo
Alto
Networks,
Inc.
*
(159)
(78,536)
Papa
John's
International,
Inc.
(560)
(46,771)
Paramount
Global,
Class
B
(1,544)
(38,106)
Peloton
Interactive,
Inc.,
Class
A
*
(32,774)
(300,864)
PerkinElmer,
Inc.
(567)
(80,639)
Petco
Health
&
Wellness
Co.,
Inc.
*
(1,897)
(27,962)
PG&E
Corp.
*
(605)
(6,038)
Plug
Power,
Inc.
*
(13,049)
(216,222)
Pool
Corp.
(147)
(51,631)
Progyny,
Inc.
*
(734)
(21,323)
QuantumScape
Corp.
*
(30,722)
(263,901)
Regal
Rexnord
Corp.
(626)
(71,064)
Repligen
Corp.
*
(96)
(15,590)
Rockwell
Automation,
Inc.
(119)
(23,718)
Roku,
Inc.
*
(1,526)
(125,346)
Royal
Caribbean
Cruises
Ltd.
*
(905)
(31,594)
RPM
International,
Inc.
(488)
(38,415)
Sabre
Corp.
*
(6,396)
(37,289)
Schneider
Electric
SE
(2)
(187)
(22,282)
Shift4
Payments,
Inc.,
Class
A
*
(3,681)
(121,694)
Shoals
Technologies
Group,
Inc.,
Class
A
*
(6,347)
(104,599)
Sinch
AB
(2)*(c)
(10,586)
(34,579)
SiteOne
Landscape
Supply,
Inc.
*
(202)
(24,012)
Skechers
USA,
Inc.,
Class
A
*
(2,058)
(73,224)
Skillz,
Inc.
*
(116,166)
(144,046)
Snap,
Inc.,
Class
A
*
(2,401)
(31,525)
Snowflake,
Inc.,
Class
A
*
(322)
(44,777)
SolarEdge
Technologies,
Inc.
*
(372)
(101,809)
Sotera
Health
Co.
*
(1,088)
(21,314)
Southwest
Airlines
Co.
*
(564)
(20,372)
STERIS
plc
(389)
(80,192)
SunPower
Corp.
*
(2,224)
(35,161)
Sunrun,
Inc.
*
(2,676)
(62,511)
SVB
Financial
Group
*
(67)
(26,464)
Switch,
Inc.,
Class
A
(4,633)
(155,206)
Take-Two
Interactive
Software,
Inc.
*
(118)
(14,459)
Target
Corp.
(398)
(56,210)
Teladoc
Health,
Inc.
*
(7,402)
(245,820)
Teledyne
Technologies,
Inc.
*
(25)
(9,378)
TopBuild
Corp.
*
(940)
(157,130)
Trade
Desk,
Inc.
(The),
Class
A
*
(542)
(22,704)
Trex
Co.,
Inc.
*
(759)
(41,305)
Twitter,
Inc.
*
(941)
(35,184)
Ultragenyx
Pharmaceutical,
Inc.
*
(531)
(31,679)
United
Airlines
Holdings,
Inc.
*
(818)
(28,974)
Unity
Software,
Inc.
*
(2,988)
(110,018)
VF
Corp.
(425)
(18,772)
Viasat,
Inc.
*
(774)
(23,708)
Vroom,
Inc.
*
(9,924)
(12,405)
Wayfair,
Inc.,
Class
A
*
(1,388)
(60,461)
Webster
Financial
Corp.
(1,436)
(60,527)
Wingstop,
Inc.
(1,999)
(149,465)
Wolfspeed,
Inc.
*
(1,239)
(78,615)
179
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
United
States
-
(6.3)%
(continued)
World
Wrestling
Entertainment,
Inc.,
Class
A
(414)
(25,871)
Wynn
Resorts
Ltd.
*
(702)
(40,000)
(8,954,473)
—
Zambia
-
(0.1)%
First
Quantum
Minerals
Ltd.
(6,205)
(117,718)
TOTAL
COMMON
STOCKS
(Proceeds
$(24,533,807))
(18,877,466)
TOTAL
SHORT
POSITIONS
(Proceeds
$(24,533,807))
(18,877,466)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
105.5%
(Cost
$152,398,884)
153,223,504
LIABILITIES
IN
EXCESS
OF
OTHER
ASSETS
-
(5.5)%
(l)
(7,936,296)
NET
ASSETS
-
100.0%
145,287,208
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
3,204,725
2.2
%
Consumer
Discretionary
3,853,410
2.7
Consumer
Staples
1,897,039
1.3
Energy
6,724,472
4.7
Financials
11,955,158
8.2
Foreign
Government
Securities
13,134,929
9.0
Health
Care
5,168,088
3.6
Industrials
7,406,234
5.1
Information
Technology
9,589,000
6.6
Materials
6,230,441
4.3
Real
Estate
607,890
0.4
Utilities
1,622,403
1.1
Investment
Companies
31,469,758
21.6
Repurchase
Agreements
13,475,500
9.3
U.S.
Treasury
Obligations
36,884,457
25.4
Total
Investments
In
Securities
At
Value
153,223,504
105.5
Liabilities
in
Excess
of
Other
Assets
(l)
(7,936,296)
(5.5)
Net
Assets
$
145,287,208
100.0%
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$20,755,860.
(b)
Represents
less
than
0.05%
of
net
assets.
(c)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$(568,659),
which
represents
approximately
(0.39)%
of
net
assets
of
the
fund.
(d)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
June
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$0,
which
represents
approximately
0.00%
of
net
assets
of
the
fund.
(e)
All
or
a
portion
of
this
security
has
been
rehypothecated
in
connection
with
the
Fund's
Master
Securities
Loan
Agreement
with
State
Street
Bank
and
Trust
Company
with
a
total
value
of
$29,472.
(f)
Inflation
protected
security.
(g)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
direct
selling
efforts
in
the
United
States.
At
June
30,
2022,
the
value
of
these
securities
amounted
to
$13,134,929
or
9.04%
of
net
assets.
(h)
On
June
30,
2022,
securities
valued
at
$10,923,167
were
pledged
as
collateral
for
repurchase
and
reverse
repurchase
agreements
outstanding.
(i)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(j)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(k)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(l)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts,
and
value
of
reverse
repurchase
agreements.
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).
180
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Reverse
repurchase
agreements
at
June
30,
2022:
Over
the
Counter
COUNTERPARTY
TRADE
DATE
RATE
DUE
DATE
CURRENCY
PRINCIPAL
AMOUNT
AND
VALUE
OF
REVERSE
REPURCHASE
AGREEMENT
BNPP
6/6/2022
1.26%
7/14/2022
USD
$
3,476,500
BNPP
6/8/2022
1.26%
7/14/2022
USD
507,500
BNPP
6/8/2022
1.26%
7/14/2022
USD
316,125
BNPP
6/6/2022
1.26%
7/14/2022
USD
4,563,375
BNPP
6/9/2022
1.27%
7/14/2022
USD
303,750
BNPP
6/9/2022
1.28%
7/14/2022
USD
210,000
CITI
6/9/2022
1.24%
7/14/2022
USD
214,000
CITI
6/6/2022
1.25%
7/14/2022
USD
3,865,500
$
13,456,750
The
weighted
average
daily
balance
of
the
reverse
repurchase
agreements
during
the
period
ended
June
30,
2022
was
$24,761,657
at
a
net
weighted
average
interest
rate
of
0.056%.
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Corn
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
08/26/2022
USD
(377,250)
$
78,790
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
11/25/2022
USD
40,670
460
Soybean
Meal
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
81,340
893
Swiss
Market
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
Monthly
MLIN
09/16/2022
CHF
(1,389,310)
17,499
97,642
Corn
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
08/26/2022
USD
377,250
(82,056)
Cotton
No.
2
December
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
11/11/2022
USD
49,420
(16,570)
Soybean
Meal
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
11/25/2022
USD
(81,340)
(2,600)
Soybean
Meal
December
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
11/25/2022
USD
(40,670)
(1,230)
(102,456)
$
(4,814)
181
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
1
7/2022
USD
$
60,661
$
(25,560)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,650
(26,497)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,742
(20,478)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,752
(21,018)
LME
Copper
Base
Metal
1
7/2022
USD
206,625
(40,378)
LME
Copper
Base
Metal
1
7/2022
USD
206,575
(50,328)
LME
Copper
Base
Metal
1
7/2022
USD
206,600
(55,678)
LME
Copper
Base
Metal
1
7/2022
USD
206,625
(40,753)
LME
Nickel
Base
Metal
1
7/2022
USD
135,962
(62,041)
LME
Zinc
Base
Metal
1
7/2022
USD
79,575
(32,081)
LME
Zinc
Base
Metal
1
7/2022
USD
79,519
(31,086)
LME
Zinc
Base
Metal
1
7/2022
USD
79,550
(32,284)
LME
Zinc
Base
Metal
1
7/2022
USD
79,419
(24,441)
LME
Zinc
Base
Metal
2
7/2022
USD
159,150
(55,897)
LME
Zinc
Base
Metal
2
7/2022
USD
158,863
(52,812)
LME
Zinc
Base
Metal
2
7/2022
USD
159,138
(58,158)
Natural
Gas
4
7/2022
USD
216,960
(127,935)
OMXS30
Index
3
7/2022
SEK
54,855
(1,440)
RBOB
Gasoline
2
7/2022
USD
297,049
2,741
WTI
Crude
Oil
8
7/2022
USD
846,080
(63,677)
100
oz
Gold
2
8/2022
USD
361,460
(3,883)
Brent
Crude
Oil
58
8/2022
USD
6,124,220
(435,887)
Live
Cattle
9
8/2022
USD
477,270
(3,523)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,888
(13,265)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,913
(9,290)
LME
Aluminum
Base
Metal
2
8/2022
USD
121,925
(25,568)
LME
Aluminum
Base
Metal
3
8/2022
USD
182,630
(41,404)
LME
Copper
Base
Metal
1
8/2022
USD
206,641
(31,469)
LME
Copper
Base
Metal
1
8/2022
USD
206,639
(30,746)
LME
Copper
Base
Metal
1
8/2022
USD
206,631
(25,097)
LME
Copper
Base
Metal
1
8/2022
USD
206,613
(20,803)
LME
Copper
Base
Metal
1
8/2022
USD
206,550
(28,273)
LME
Zinc
Base
Metal
1
8/2022
USD
79,244
(14,009)
LME
Zinc
Base
Metal
1
8/2022
USD
79,406
(20,026)
Low
Sulphur
Gasoil
6
8/2022
USD
674,400
(22,351)
Natural
Gas
10
8/2022
USD
539,200
(145,780)
RBOB
Gasoline
3
8/2022
USD
428,639
(16,552)
Australia
10
Year
Bond
85
9/2022
AUD
7,010,926
65,444
Australia
3
Year
Bond
31
9/2022
AUD
2,307,321
10,196
Coffee
'C'
7
9/2022
USD
604,013
8,841
Euro-Bobl
265
9/2022
EUR
34,491,177
(161,864)
Euro-BTP
29
9/2022
EUR
3,750,498
(18,304)
Euro-Bund
88
9/2022
EUR
13,723,199
(134,689)
Euro-Buxl
4
9/2022
EUR
683,766
(52,493)
Euro-OAT
36
9/2022
EUR
5,230,360
(116,123)
Euro-Schatz
64
9/2022
EUR
7,320,895
(3,561)
Feeder
Cattle
1
9/2022
USD
88,113
1,479
FTSE
100
Index
13
9/2022
GBP
1,126,891
(11,063)
FTSE/MIB
Index
24
9/2022
EUR
2,666,991
(100,208)
Japan
10
Year
Bond
7
9/2022
JPY
7,680,498
(3,747)
KC
HRW
Wheat
3
9/2022
USD
142,763
(34,688)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,113
(7,280)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,119
(4,518)
182
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
1
9/2022
USD
$
61,119
$
(647)
LME
Aluminum
Base
Metal
1
9/2022
USD
61,094
(72)
LME
Aluminum
Base
Metal
2
9/2022
USD
122,263
(742)
LME
Aluminum
Base
Metal
3
9/2022
USD
183,281
(24,597)
LME
Aluminum
Base
Metal
16
9/2022
USD
978,100
(252,038)
LME
Copper
Base
Metal
1
9/2022
USD
206,600
(25,053)
LME
Copper
Base
Metal
1
9/2022
USD
206,631
(34,322)
LME
Copper
Base
Metal
10
9/2022
USD
2,065,000
(373,294)
LME
Lead
Base
Metal
3
9/2022
USD
143,138
(37,564)
LME
Nickel
Base
Metal
1
9/2022
USD
136,179
(2,304)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(22,884)
LME
Nickel
Base
Metal
2
9/2022
USD
272,412
(120,906)
LME
Zinc
Base
Metal
1
9/2022
USD
79,206
(17,760)
LME
Zinc
Base
Metal
1
9/2022
USD
78,925
(1,487)
LME
Zinc
Base
Metal
2
9/2022
USD
157,859
(10,156)
LME
Zinc
Base
Metal
3
9/2022
USD
236,813
(15,536)
LME
Zinc
Base
Metal
3
9/2022
USD
236,888
(18,009)
LME
Zinc
Base
Metal
25
9/2022
USD
1,975,469
(488,765)
Low
Sulphur
Gasoil
5
9/2022
USD
551,000
(27,431)
Silver
8
9/2022
USD
814,080
(50,584)
Sugar
No.
11
63
9/2022
USD
1,305,360
(65,518)
TOPIX
Index
25
9/2022
JPY
3,446,529
(66,929)
U.S.
Treasury
10
Year
Note
23
9/2022
USD
2,722,266
(43,486)
U.S.
Treasury
2
Year
Note
99
9/2022
USD
20,776,077
(135,527)
U.S.
Treasury
5
Year
Note
170
9/2022
USD
19,063,905
(209,903)
U.S.
Treasury
Long
Bond
28
9/2022
USD
3,868,375
(70,960)
U.S.
Treasury
Ultra
Bond
13
9/2022
USD
1,991,438
(80,774)
Wheat
1
9/2022
USD
44,200
(9,393)
Lean
Hogs
2
10/2022
USD
70,940
(833)
Soybean
26
11/2022
USD
1,895,400
(91,741)
Cotton
No.
2
8
12/2022
USD
395,360
(90,606)
Soybean
Meal
16
12/2022
USD
650,720
13,331
Soybean
Oil
18
12/2022
USD
696,168
(120,411)
(4,767,206)
Short
Contracts
Amsterdam
Exchange
Index
(2)
7/2022
EUR
(276,227)
(1,289)
CAC
40
10
Euro
Index
(16)
7/2022
EUR
(991,612)
11,226
Hang
Seng
Index
(19)
7/2022
HKD
(2,632,513)
29,894
IBEX
35
Index
(13)
7/2022
EUR
(1,095,263)
9,204
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,752)
20,896
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,742)
20,856
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,661)
25,640
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,650)
26,093
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,625)
38,291
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,625)
40,506
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,575)
49,982
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,600)
55,303
LME
Nickel
Base
Metal
(1)
7/2022
USD
(135,962)
60,655
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,519)
30,453
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,550)
32,072
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,419)
24,566
LME
Zinc
Base
Metal
(1)
7/2022
USD
(79,575)
32,097
LME
Zinc
Base
Metal
(2)
7/2022
USD
(158,863)
52,932
LME
Zinc
Base
Metal
(2)
7/2022
USD
(159,138)
59,707
LME
Zinc
Base
Metal
(2)
7/2022
USD
(159,150)
53,844
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,913)
8,566
183
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Aluminum
Base
Metal
(1)
8/2022
USD
$
(60,888)
$
13,311
LME
Aluminum
Base
Metal
(2)
8/2022
USD
(121,925)
25,470
LME
Aluminum
Base
Metal
(3)
8/2022
USD
(182,630)
41,490
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,641)
32,356
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,631)
23,816
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,613)
19,729
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,639)
31,109
LME
Copper
Base
Metal
(1)
8/2022
USD
(206,550)
28,522
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,406)
20,591
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,244)
14,037
NY
Harbor
ULSD
(1)
8/2022
USD
(158,126)
15,164
WTI
Crude
Oil
(17)
8/2022
USD
(1,752,700)
42,247
Cocoa
(18)
9/2022
USD
(421,200)
28,411
Corn
(4)
9/2022
USD
(125,750)
16,167
DAX
Index
(9)
9/2022
EUR
(3,011,258)
138,258
EURO
STOXX
50
Index
(19)
9/2022
EUR
(685,139)
3,483
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,119)
564
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,113)
7,260
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,094)
289
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,119)
4,328
LME
Aluminum
Base
Metal
(2)
9/2022
USD
(122,263)
1,442
LME
Aluminum
Base
Metal
(3)
9/2022
USD
(183,281)
25,211
LME
Aluminum
Base
Metal
(9)
9/2022
USD
(550,181)
64,460
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,600)
24,651
LME
Copper
Base
Metal
(1)
9/2022
USD
(206,631)
33,116
LME
Copper
Base
Metal
(5)
9/2022
USD
(1,032,500)
213,020
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,179)
(1,082)
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
25,788
LME
Nickel
Base
Metal
(3)
9/2022
USD
(408,618)
87,153
LME
Zinc
Base
Metal
(1)
9/2022
USD
(78,925)
3,141
LME
Zinc
Base
Metal
(1)
9/2022
USD
(79,206)
18,892
LME
Zinc
Base
Metal
(2)
9/2022
USD
(158,038)
32,032
LME
Zinc
Base
Metal
(2)
9/2022
USD
(157,859)
8,986
LME
Zinc
Base
Metal
(3)
9/2022
USD
(236,888)
19,641
LME
Zinc
Base
Metal
(3)
9/2022
USD
(236,813)
15,779
Long
Gilt
(120)
9/2022
GBP
(16,705,251)
431,891
S&P
500
E-Mini
Index
(54)
9/2022
USD
(10,231,650)
328,403
S&P
Midcap
400
E-Mini
Index
(2)
9/2022
USD
(453,600)
14,416
S&P/TSX
60
Index
(5)
9/2022
CAD
(887,585)
52,813
SPI
200
Index
(10)
9/2022
AUD
(1,114,926)
21,058
100
oz
Gold
(1)
12/2022
USD
(182,750)
535
2,609,442
$
(2,157,764)
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
228,845
USD
177,410
CITI
9/21/2022
$
401
CAD
228,844
USD
177,409
JPMC
9/21/2022
401
CHF
200,000
USD
210,509
CITI
9/21/2022
202
CHF
200,000
USD
210,509
JPMC
9/21/2022
201
184
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CNY
13,448,001
USD
2,004,037
CITI
**
9/21/2022
$
4,114
CNY
13,447,999
USD
2,004,040
JPMC
**
9/21/2022
4,111
DKK
150,500
USD
21,213
CITI
9/21/2022
118
DKK
150,500
USD
21,213
JPMC
9/21/2022
117
EUR
1,365,500
USD
1,437,067
CITI
9/21/2022
2,132
EUR
1,123,500
USD
1,182,644
JPMC
9/21/2022
1,494
GBP
195,000
USD
236,889
CITI
9/21/2022
852
JPY
20,600,000
USD
151,559
CITI
9/21/2022
1,130
JPY
20,600,000
USD
151,559
JPMC
9/21/2022
1,130
KRW
66,322,000
USD
51,175
CITI
**
9/21/2022
378
KRW
66,322,000
USD
51,175
JPMC
**
9/21/2022
378
MXN
2,436,500
USD
119,196
CITI
9/21/2022
181
MXN
2,436,500
USD
119,196
JPMC
9/21/2022
181
NOK
11,397,000
USD
1,146,734
CITI
9/21/2022
12,425
NOK
11,397,000
USD
1,146,735
JPMC
9/21/2022
12,422
USD
874,148
AUD
1,241,500
CITI
9/21/2022
16,628
USD
874,147
AUD
1,241,500
JPMC
9/21/2022
16,627
USD
758,606
BRL
4,018,502
CITI
**
9/21/2022
8,116
USD
758,605
BRL
4,018,498
JPMC
**
9/21/2022
8,115
USD
901,049
CAD
1,154,251
CITI
9/21/2022
4,206
USD
901,047
CAD
1,154,249
JPMC
9/21/2022
4,205
USD
5,223
CLP
4,824,000
CITI
**
9/21/2022
53
USD
5,223
CLP
4,824,000
JPMC
**
9/21/2022
53
USD
12,941
CZK
308,000
CITI
9/21/2022
35
USD
12,941
CZK
308,000
JPMC
9/21/2022
35
USD
181,599
DKK
1,263,000
CITI
9/21/2022
2,598
USD
181,599
DKK
1,263,000
JPMC
9/21/2022
2,597
USD
13,607,642
EUR
12,734,781
CITI
9/21/2022
185,534
USD
13,286,782
EUR
12,433,760
JPMC
9/21/2022
181,943
USD
8,734,685
GBP
6,978,808
CITI
9/21/2022
226,246
USD
8,727,144
GBP
6,972,801
JPMC
9/21/2022
226,028
USD
668,431
HKD
5,232,500
CITI
9/21/2022
72
USD
668,430
HKD
5,232,500
JPMC
9/21/2022
72
USD
192,026
HUF
70,706,500
CITI
9/21/2022
7,578
USD
192,026
HUF
70,706,500
JPMC
9/21/2022
7,578
USD
86,079
INR
6,776,000
CITI
**
9/21/2022
900
USD
86,079
INR
6,776,000
JPMC
**
9/21/2022
900
USD
5,107,424
JPY
661,965,501
CITI
9/21/2022
200,878
USD
5,107,418
JPY
661,965,499
JPMC
9/21/2022
200,871
USD
418,792
KRW
535,865,500
CITI
**
9/21/2022
2,252
USD
418,791
KRW
535,865,500
JPMC
**
9/21/2022
2,253
USD
317,757
MXN
6,437,000
CITI
9/21/2022
2,375
USD
317,757
MXN
6,437,000
JPMC
9/21/2022
2,374
USD
4,635,157
NZD
7,250,000
CITI
9/21/2022
111,333
USD
4,635,152
NZD
7,250,000
JPMC
9/21/2022
111,327
USD
470,590
PLN
2,129,000
CITI
9/21/2022
783
USD
470,589
PLN
2,129,000
JPMC
9/21/2022
782
USD
1,007,268
SEK
10,160,501
CITI
9/21/2022
10,669
USD
1,007,267
SEK
10,160,499
JPMC
9/21/2022
10,668
USD
274,842
SGD
379,501
CITI
9/21/2022
1,544
USD
274,839
SGD
379,499
JPMC
9/21/2022
1,542
USD
358,559
ZAR
5,776,500
CITI
9/21/2022
6,395
USD
358,558
ZAR
5,776,500
JPMC
9/21/2022
6,394
Total
unrealized
appreciation
1,614,927
AUD
9,160,002
USD
6,472,456
CITI
9/21/2022
(145,527)
AUD
9,159,998
USD
6,472,461
JPMC
9/21/2022
(145,535)
BRL
12,778,502
USD
2,561,367
CITI
**
9/21/2022
(174,870)
BRL
12,778,498
USD
2,561,369
JPMC
**
9/21/2022
(174,873)
185
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
3,023,657
USD
2,382,800
CITI
9/21/2022
$
(33,444)
CAD
3,023,654
USD
2,382,460
JPMC
9/21/2022
(33,106)
CLP
660,947,507
USD
773,879
CITI
**
9/21/2022
(65,553)
CLP
660,947,493
USD
773,880
JPMC
**
9/21/2022
(65,554)
CNY
61,500
USD
9,192
CITI
**
9/21/2022
(9)
CNY
61,500
USD
9,192
JPMC
**
9/21/2022
(9)
CZK
17,020,500
USD
729,748
CITI
9/21/2022
(16,495)
CZK
17,020,500
USD
729,749
JPMC
9/21/2022
(16,496)
DKK
2,000
USD
284
CITI
9/21/2022
(1)
DKK
2,000
USD
284
JPMC
9/21/2022
–
EUR
1,904,500
USD
2,034,056
CITI
9/21/2022
(26,766)
EUR
1,273,500
USD
1,364,728
JPMC
9/21/2022
(22,494)
GBP
1,484,000
USD
1,823,650
CITI
9/21/2022
(14,383)
GBP
950,000
USD
1,169,278
JPMC
9/21/2022
(11,054)
HUF
198,189,502
USD
534,183
CITI
9/21/2022
(17,175)
HUF
198,189,498
USD
534,184
JPMC
9/21/2022
(17,176)
INR
192,668,000
USD
2,455,575
CITI
**
9/21/2022
(33,622)
INR
192,668,000
USD
2,455,574
JPMC
**
9/21/2022
(33,621)
JPY
647,097,500
USD
4,994,208
CITI
9/21/2022
(197,865)
JPY
647,097,500
USD
4,994,214
JPMC
9/21/2022
(197,871)
KRW
2,928,362,001
USD
2,305,769
CITI
**
9/21/2022
(29,494)
KRW
2,928,361,998
USD
2,306,213
JPMC
**
9/21/2022
(29,938)
MXN
92,335,501
USD
4,546,338
CITI
9/21/2022
(22,334)
MXN
92,335,499
USD
4,546,344
JPMC
9/21/2022
(22,340)
NOK
17,407,503
USD
1,801,625
CITI
9/21/2022
(31,157)
NOK
17,407,497
USD
1,801,627
JPMC
9/21/2022
(31,158)
PLN
5,658,001
USD
1,296,623
CITI
9/21/2022
(48,071)
PLN
5,657,999
USD
1,296,624
JPMC
9/21/2022
(48,072)
SEK
23,438,000
USD
2,358,738
CITI
9/21/2022
(59,807)
SEK
23,438,000
USD
2,358,741
JPMC
9/21/2022
(59,810)
SGD
62,500
USD
45,434
CITI
9/21/2022
(424)
SGD
62,500
USD
45,434
JPMC
9/21/2022
(424)
USD
280,289
CAD
360,750
CITI
9/21/2022
(11)
USD
280,289
CAD
360,750
JPMC
9/21/2022
(11)
USD
3,250,443
CHF
3,135,500
CITI
9/21/2022
(52,966)
USD
3,250,439
CHF
3,135,500
JPMC
9/21/2022
(52,970)
USD
289,648
CNY
1,954,500
CITI
**
9/21/2022
(2,212)
USD
289,647
CNY
1,954,500
JPMC
**
9/21/2022
(2,213)
USD
19,724
CZK
474,500
CITI
9/21/2022
(160)
USD
19,724
CZK
474,500
JPMC
9/21/2022
(160)
USD
7,842,824
EUR
7,476,110
CITI
9/21/2022
(36,789)
USD
7,417,608
EUR
7,071,107
JPMC
9/21/2022
(35,144)
USD
2,450,542
GBP
2,016,500
CITI
9/21/2022
(7,940)
USD
2,450,539
GBP
2,016,500
JPMC
9/21/2022
(7,943)
USD
495,733
KRW
641,306,000
CITI
**
9/21/2022
(2,766)
USD
495,732
KRW
641,306,000
JPMC
**
9/21/2022
(2,768)
USD
885,327
MXN
18,563,500
CITI
9/21/2022
(24,197)
USD
885,326
MXN
18,563,500
JPMC
9/21/2022
(24,198)
USD
100
NOK
1,000
CITI
9/21/2022
(2)
USD
100
NOK
1,000
JPMC
9/21/2022
(2)
USD
404,763
NZD
650,000
CITI
9/21/2022
(822)
USD
404,762
NZD
650,000
JPMC
9/21/2022
(822)
ZAR
39,071,505
USD
2,434,822
CITI
9/21/2022
(52,830)
ZAR
39,071,497
USD
2,434,825
JPMC
9/21/2022
(52,833)
Total
unrealized
depreciation
(2,186,287)
Net
unrealized
depreciation
$
(571,360)
186
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
MULTI-ASSET
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
**
Non-deliverable
forward.
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BARC
Cash
$
–
$
1,763,045
$
1,763,045
BNPP
Cash
90,170
–
90,170
U.S.
Treasury
Inflation
Linked
Notes
7,648,476
–
7,648,476
CITI
Cash
32,169
–
32,169
Investment
Companies
1,247,259
–
1,247,259
U.S.
Treasury
Inflation
Linked
Notes
3,274,691
–
3,274,691
GSCO
Cash
–
611,892
611,892
JPMC
Investment
Companies
1,818,960
–
1,818,960
JPMS
Cash
–
3,281,504
3,281,504
MSCL
Cash
–
109,673
109,673
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
886,300
$
886,300
GSIN
Cash
6,976
–
6,976
JPPC
Cash
–
816,587
816,587
MLIN
Cash
10,067
–
10,067
MSCL
Cash
–
1,565,282
1,565,282
SOCG
Cash
(60,183)
–
(60,183)
187
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
6/30/2022
Shares
Held
At
6/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
47.4%
INVESTMENT
COMPANIES
-
47.4%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
(Cost
$275,998,356)
$116,359,401
$999,012,565
$(839,322,466)
$(51,150)
$(61,885)
$275,936,465
276,157,390
$478,846
$–
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
93.4%
INVESTMENT
COMPANIES
-
47.4%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)(b)
(Cost
$275,998,356)
276,157,390
275,936,465
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
46.0%
U.S.
Treasury
Bills
0.22%,
7/7/2022
(c)
$
1,007,000
1,006,874
0.28%,
7/14/2022
(c)
1,917,000
1,916,262
0.37%,
7/21/2022
(c)
8,106,000
8,101,429
0.38%,
7/28/2022
(c)
5,619,000
5,614,459
0.51%,
8/4/2022
(c)
16,126,000
16,107,990
0.77%,
8/18/2022
(c)
12,045,000
12,023,627
0.71%,
8/25/2022
(c)
7,400,000
7,383,776
0.67%,
9/1/2022
(c)
15,821,000
15,779,516
0.70%,
9/8/2022
(c)
27,252,000
27,171,496
0.82%,
9/15/2022
(c)
41,942,000
41,802,100
1.06%,
9/29/2022
(c)
21,633,000
21,544,305
1.12%,
10/6/2022
(c)
1,784,000
1,775,636
1.23%,
10/13/2022
(c)
3,197,000
3,179,773
1.26%,
10/20/2022
(c)
19,996,000
19,875,389
1.38%,
10/27/2022
(c)
3,486,000
3,464,030
1.42%,
11/3/2022
(c)
19,847,000
19,710,448
1.39%,
11/10/2022
(c)
2,502,000
2,483,489
1.50%,
11/17/2022
(c)
2,217,000
2,199,441
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
46.0%
(continued)
1.54%,
11/25/2022
(c)
$
19,228,000
19,068,616
1.59%,
12/1/2022
(c)
11,716,000
11,606,269
1.72%,
12/8/2022
(c)
13,686,000
13,548,669
2.18%,
12/15/2022
(c)
8,681,000
8,590,090
2.53%,
12/29/2022
(c)
3,803,000
3,756,728
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$268,125,594)
267,710,412
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$544,123,950)
543,646,877
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
93.4%
(Cost
$544,123,950)
543,646,877
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
6.6%
(d)
38,695,279
NET
ASSETS
-
100.0%
582,342,156
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
275,936,465
47.4
U.S.
Treasury
Obligations
267,710,412
46.0
Total
Investments
In
Securities
At
Value
$
543,646,877
93.4
Other
Assets
in
Excess
of
Liabilities
(d)
38,695,279
6.6
Net
Assets
$
582,342,156
100.0%
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(b)
For
the
period
ended
June
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(c)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(d)
Includes
appreciation/(depreciation)
on
futures
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
188
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
Over
the
Counter
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RE
CEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Corn
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
08/26/2022
USD
(31,438)
$
6,469
Live
Cattle
August
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
(1,590,900)
12,160
Soybean
November
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
(145,800)
6,056
Wheat
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
CITI
08/26/2022
USD
(44,200)
11,313
35,998
Corn
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
08/26/2022
USD
31,438
(7,244)
Live
Cattle
August
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MACQ
08/05/2022
USD
1,590,900
(20,922)
Soybean
November
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
10/21/2022
USD
145,800
(6,107)
Wheat
September
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
CITI
08/26/2022
USD
44,200
(11,769)
(46,042)
$
(10,044)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
LME
Aluminum
Base
Metal
1
7/2022
USD
$
60,812
$
(21,091)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,828
(17,075)
LME
Aluminum
Base
Metal
1
7/2022
USD
61,250
(26,228)
LME
Aluminum
Base
Metal
1
7/2022
USD
60,717
(21,561)
LME
Aluminum
Base
Metal
2
7/2022
USD
121,689
(32,500)
LME
Aluminum
Base
Metal
4
7/2022
USD
242,690
(99,722)
LME
Aluminum
Base
Metal
6
7/2022
USD
364,814
(135,379)
LME
Aluminum
Base
Metal
31
7/2022
USD
1,880,499
(792,366)
LME
Aluminum
Base
Metal
31
7/2022
USD
1,886,001
(517,365)
LME
Aluminum
Base
Metal
45
7/2022
USD
2,730,263
(1,059,903)
LME
Aluminum
Base
Metal
52
7/2022
USD
3,158,558
(1,064,849)
LME
Aluminum
Base
Metal
69
7/2022
USD
4,195,631
(1,468,230)
LME
Aluminum
Base
Metal
70
7/2022
USD
4,245,500
(1,854,242)
189
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Copper
Base
Metal
1
7/2022
USD
$
206,433
$
(52,320)
LME
Copper
Base
Metal
1
7/2022
USD
206,385
(53,506)
LME
Copper
Base
Metal
1
7/2022
USD
206,588
(49,115)
LME
Copper
Base
Metal
2
7/2022
USD
419,963
(92,043)
LME
Copper
Base
Metal
4
7/2022
USD
826,018
(198,993)
LME
Copper
Base
Metal
23
7/2022
USD
4,751,248
(1,200,062)
LME
Copper
Base
Metal
24
7/2022
USD
4,959,000
(969,063)
LME
Copper
Base
Metal
31
7/2022
USD
6,404,600
(1,726,007)
LME
Copper
Base
Metal
32
7/2022
USD
6,610,400
(1,618,659)
LME
Copper
Base
Metal
33
7/2022
USD
6,811,497
(1,674,014)
LME
Copper
Base
Metal
34
7/2022
USD
7,016,113
(1,794,249)
LME
Copper
Base
Metal
47
7/2022
USD
9,707,956
(2,442,267)
LME
Lead
Base
Metal
1
7/2022
USD
47,588
(13,176)
LME
Lead
Base
Metal
1
7/2022
USD
47,641
(12,561)
LME
Lead
Base
Metal
2
7/2022
USD
96,165
(25,766)
LME
Lead
Base
Metal
3
7/2022
USD
143,378
(33,354)
LME
Lead
Base
Metal
7
7/2022
USD
334,413
(66,268)
LME
Lead
Base
Metal
9
7/2022
USD
429,910
(83,676)
LME
Lead
Base
Metal
9
7/2022
USD
428,456
(112,467)
LME
Lead
Base
Metal
15
7/2022
USD
714,375
(187,232)
LME
Lead
Base
Metal
25
7/2022
USD
1,195,563
(307,278)
LME
Lead
Base
Metal
29
7/2022
USD
1,384,446
(378,123)
LME
Lead
Base
Metal
48
7/2022
USD
2,290,704
(618,536)
LME
Nickel
Base
Metal
1
7/2022
USD
135,858
(65,265)
LME
Nickel
Base
Metal
2
7/2022
USD
285,012
(103,914)
LME
Nickel
Base
Metal
3
7/2022
USD
407,876
(187,933)
LME
Nickel
Base
Metal
3
7/2022
USD
407,768
(202,710)
LME
Nickel
Base
Metal
4
7/2022
USD
543,288
(244,044)
LME
Nickel
Base
Metal
4
7/2022
USD
543,849
(248,163)
LME
Nickel
Base
Metal
7
7/2022
USD
951,401
(465,327)
LME
Nickel
Base
Metal
7
7/2022
USD
951,006
(457,246)
LME
Nickel
Base
Metal
9
7/2022
USD
1,222,528
(550,859)
LME
Nickel
Base
Metal
39
7/2022
USD
5,298,181
(2,500,502)
LME
Zinc
Base
Metal
2
7/2022
USD
159,150
(52,314)
LME
Zinc
Base
Metal
2
7/2022
USD
158,946
(56,923)
LME
Zinc
Base
Metal
4
7/2022
USD
318,300
(110,132)
LME
Zinc
Base
Metal
8
7/2022
USD
678,460
(175,944)
LME
Zinc
Base
Metal
8
7/2022
USD
636,150
(248,686)
LME
Zinc
Base
Metal
9
7/2022
USD
716,119
(258,845)
LME
Zinc
Base
Metal
10
7/2022
USD
794,938
(314,701)
LME
Zinc
Base
Metal
15
7/2022
USD
1,193,531
(461,617)
LME
Zinc
Base
Metal
22
7/2022
USD
1,747,213
(530,366)
LME
Zinc
Base
Metal
25
7/2022
USD
1,985,781
(660,127)
LME
Zinc
Base
Metal
40
7/2022
USD
3,183,000
(1,283,267)
LME
Zinc
Base
Metal
49
7/2022
USD
3,897,950
(1,574,138)
LME
Zinc
Base
Metal
57
7/2022
USD
4,527,225
(1,428,995)
LME
Zinc
Base
Metal
62
7/2022
USD
4,933,650
(1,724,407)
Natural
Gas
63
7/2022
USD
3,417,120
(2,002,096)
NY
Harbor
ULSD
9
7/2022
USD
1,447,929
(79,895)
RBOB
Gasoline
24
7/2022
USD
3,564,590
(68,649)
WTI
Crude
Oil
7
7/2022
USD
740,320
(61,616)
100
oz
Gold
503
8/2022
USD
90,907,190
(3,162,493)
Brent
Crude
Oil
833
8/2022
USD
87,956,470
(7,168,405)
Lean
Hogs
110
8/2022
USD
4,492,400
(137,349)
Live
Cattle
202
8/2022
USD
10,712,060
(70,229)
LME
Aluminum
Base
Metal
1
8/2022
USD
60,963
(11,055)
190
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Aluminum
Base
Metal
1
8/2022
USD
$
60,919
$
(7,509)
LME
Aluminum
Base
Metal
3
8/2022
USD
183,000
(31,346)
LME
Aluminum
Base
Metal
4
8/2022
USD
243,528
(48,984)
LME
Aluminum
Base
Metal
10
8/2022
USD
609,625
(104,420)
LME
Aluminum
Base
Metal
12
8/2022
USD
731,730
(159,480)
LME
Aluminum
Base
Metal
16
8/2022
USD
974,900
(131,336)
LME
Aluminum
Base
Metal
35
8/2022
USD
2,131,063
(458,653)
LME
Aluminum
Base
Metal
74
8/2022
USD
4,507,525
(687,493)
LME
Aluminum
Base
Metal
98
8/2022
USD
5,974,325
(1,255,064)
LME
Aluminum
Base
Metal
153
8/2022
USD
9,314,143
(2,090,271)
LME
Copper
Base
Metal
3
8/2022
USD
619,688
(76,524)
LME
Copper
Base
Metal
3
8/2022
USD
619,650
(90,319)
LME
Copper
Base
Metal
5
8/2022
USD
1,032,813
(138,826)
LME
Copper
Base
Metal
6
8/2022
USD
1,239,833
(182,829)
LME
Copper
Base
Metal
6
8/2022
USD
1,239,375
(176,249)
LME
Copper
Base
Metal
7
8/2022
USD
1,445,850
(196,537)
LME
Copper
Base
Metal
13
8/2022
USD
2,685,963
(267,423)
LME
Copper
Base
Metal
16
8/2022
USD
3,304,800
(492,335)
LME
Copper
Base
Metal
17
8/2022
USD
3,512,816
(557,716)
LME
Copper
Base
Metal
55
8/2022
USD
11,364,719
(1,288,949)
LME
Copper
Base
Metal
72
8/2022
USD
14,878,170
(2,266,483)
LME
Lead
Base
Metal
2
8/2022
USD
95,650
(14,656)
LME
Lead
Base
Metal
5
8/2022
USD
239,125
(29,316)
LME
Lead
Base
Metal
5
8/2022
USD
239,000
(48,836)
LME
Lead
Base
Metal
10
8/2022
USD
478,000
(43,276)
LME
Lead
Base
Metal
15
8/2022
USD
717,563
(75,602)
LME
Lead
Base
Metal
17
8/2022
USD
812,600
(152,150)
LME
Lead
Base
Metal
23
8/2022
USD
1,099,498
(154,063)
LME
Lead
Base
Metal
29
8/2022
USD
1,385,113
(135,014)
LME
Lead
Base
Metal
30
8/2022
USD
1,434,000
(264,540)
LME
Lead
Base
Metal
30
8/2022
USD
1,435,125
(117,196)
LME
Nickel
Base
Metal
1
8/2022
USD
136,117
(26,516)
LME
Nickel
Base
Metal
2
8/2022
USD
272,052
(65,154)
LME
Nickel
Base
Metal
2
8/2022
USD
272,251
(43,354)
LME
Nickel
Base
Metal
5
8/2022
USD
679,935
(230,964)
LME
Nickel
Base
Metal
6
8/2022
USD
815,880
(299,748)
LME
Nickel
Base
Metal
7
8/2022
USD
951,884
(345,936)
LME
Nickel
Base
Metal
7
8/2022
USD
952,266
(200,865)
LME
Nickel
Base
Metal
7
8/2022
USD
952,514
(216,367)
LME
Nickel
Base
Metal
10
8/2022
USD
1,360,200
(410,130)
LME
Nickel
Base
Metal
12
8/2022
USD
1,632,672
(272,483)
LME
Zinc
Base
Metal
1
8/2022
USD
79,306
(7,947)
LME
Zinc
Base
Metal
1
8/2022
USD
79,244
(14,889)
LME
Zinc
Base
Metal
3
8/2022
USD
238,031
(35,661)
LME
Zinc
Base
Metal
3
8/2022
USD
237,715
(43,182)
LME
Zinc
Base
Metal
4
8/2022
USD
317,325
(46,737)
LME
Zinc
Base
Metal
7
8/2022
USD
555,844
(131,537)
LME
Zinc
Base
Metal
13
8/2022
USD
1,032,281
(242,512)
LME
Zinc
Base
Metal
31
8/2022
USD
2,457,331
(357,560)
LME
Zinc
Base
Metal
35
8/2022
USD
2,773,531
(487,461)
LME
Zinc
Base
Metal
41
8/2022
USD
3,255,656
(824,969)
Low
Sulphur
Gasoil
67
8/2022
USD
7,530,800
(221,409)
Natural
Gas
87
8/2022
USD
4,691,040
(912,979)
RBOB
Gasoline
75
8/2022
USD
10,715,985
(519,829)
Coffee
'C'
262
9/2022
USD
22,607,325
1,117,891
Corn
455
9/2022
USD
14,304,063
(960,850)
191
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
Feeder
Cattle
217
9/2022
USD
$
19,120,413
$
29,072
LME
Aluminum
Base
Metal
1
9/2022
USD
61,106
(8,222)
LME
Aluminum
Base
Metal
15
9/2022
USD
916,688
(109,005)
LME
Aluminum
Base
Metal
16
9/2022
USD
978,000
(22,847)
LME
Aluminum
Base
Metal
17
9/2022
USD
1,039,338
(49,988)
LME
Aluminum
Base
Metal
21
9/2022
USD
1,283,494
(90,970)
LME
Aluminum
Base
Metal
24
9/2022
USD
1,467,264
(59,325)
LME
Aluminum
Base
Metal
27
9/2022
USD
1,649,700
(209,513)
LME
Aluminum
Base
Metal
28
9/2022
USD
1,711,850
(6,733)
LME
Aluminum
Base
Metal
30
9/2022
USD
1,833,750
(143,151)
LME
Aluminum
Base
Metal
48
9/2022
USD
2,932,500
(40,661)
LME
Aluminum
Base
Metal
50
9/2022
USD
3,054,688
(408,325)
LME
Aluminum
Base
Metal
62
9/2022
USD
3,786,263
(484,473)
LME
Aluminum
Base
Metal
85
9/2022
USD
5,196,156
(31,552)
LME
Aluminum
Base
Metal
804
9/2022
USD
49,149,525
(12,745,077)
LME
Copper
Base
Metal
2
9/2022
USD
413,263
(68,831)
LME
Copper
Base
Metal
3
9/2022
USD
619,350
(2,427)
LME
Copper
Base
Metal
6
9/2022
USD
1,239,788
(199,102)
LME
Copper
Base
Metal
7
9/2022
USD
1,446,419
(249,945)
LME
Copper
Base
Metal
8
9/2022
USD
1,651,600
(21,421)
LME
Copper
Base
Metal
12
9/2022
USD
2,479,575
(322,382)
LME
Copper
Base
Metal
13
9/2022
USD
2,683,795
(70,414)
LME
Copper
Base
Metal
16
9/2022
USD
3,305,700
(438,342)
LME
Copper
Base
Metal
19
9/2022
USD
3,925,281
(403,346)
LME
Copper
Base
Metal
21
9/2022
USD
4,338,600
(525,468)
LME
Copper
Base
Metal
24
9/2022
USD
4,959,150
(878,806)
LME
Copper
Base
Metal
26
9/2022
USD
5,367,050
(191,810)
LME
Copper
Base
Metal
44
9/2022
USD
9,090,146
(1,322,005)
LME
Copper
Base
Metal
534
9/2022
USD
110,270,999
(18,911,319)
LME
Lead
Base
Metal
1
9/2022
USD
47,688
(2,533)
LME
Lead
Base
Metal
2
9/2022
USD
95,501
(10,060)
LME
Lead
Base
Metal
7
9/2022
USD
334,492
(50,414)
LME
Lead
Base
Metal
10
9/2022
USD
476,875
(4,539)
LME
Lead
Base
Metal
12
9/2022
USD
572,250
(9,182)
LME
Lead
Base
Metal
14
9/2022
USD
668,791
(112,536)
LME
Lead
Base
Metal
14
9/2022
USD
668,696
(93,724)
LME
Lead
Base
Metal
19
9/2022
USD
906,538
(89,600)
LME
Lead
Base
Metal
24
9/2022
USD
1,144,800
(29,499)
LME
Lead
Base
Metal
27
9/2022
USD
1,288,238
(120,590)
LME
Lead
Base
Metal
40
9/2022
USD
1,911,920
(258,185)
LME
Lead
Base
Metal
463
9/2022
USD
22,090,888
(4,542,559)
LME
Nickel
Base
Metal
1
9/2022
USD
136,239
(22,884)
LME
Nickel
Base
Metal
1
9/2022
USD
136,188
(3,304)
LME
Nickel
Base
Metal
1
9/2022
USD
136,187
(7,201)
LME
Nickel
Base
Metal
2
9/2022
USD
272,461
(81,545)
LME
Nickel
Base
Metal
2
9/2022
USD
272,371
(11,735)
LME
Nickel
Base
Metal
2
9/2022
USD
272,478
(67,668)
LME
Nickel
Base
Metal
2
9/2022
USD
272,445
(38,361)
LME
Nickel
Base
Metal
3
9/2022
USD
408,717
(112,482)
LME
Nickel
Base
Metal
4
9/2022
USD
544,824
(75,738)
LME
Nickel
Base
Metal
7
9/2022
USD
953,442
(119,259)
LME
Nickel
Base
Metal
20
9/2022
USD
2,723,735
(677,124)
LME
Nickel
Base
Metal
22
9/2022
USD
2,995,938
(111,707)
LME
Nickel
Base
Metal
134
9/2022
USD
18,251,604
(7,581,449)
LME
Zinc
Base
Metal
2
9/2022
USD
158,371
(21,736)
LME
Zinc
Base
Metal
2
9/2022
USD
158,371
(23,960)
192
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
(continued)
LME
Zinc
Base
Metal
3
9/2022
USD
$
237,587
$
(47,960)
LME
Zinc
Base
Metal
5
9/2022
USD
395,928
(79,712)
LME
Zinc
Base
Metal
5
9/2022
USD
395,928
(74,525)
LME
Zinc
Base
Metal
6
9/2022
USD
473,600
(31,606)
LME
Zinc
Base
Metal
7
9/2022
USD
554,299
(83,458)
LME
Zinc
Base
Metal
9
9/2022
USD
712,557
(96,890)
LME
Zinc
Base
Metal
10
9/2022
USD
792,055
(179,925)
LME
Zinc
Base
Metal
24
9/2022
USD
1,894,200
(35,682)
LME
Zinc
Base
Metal
41
9/2022
USD
3,248,246
(736,050)
LME
Zinc
Base
Metal
51
9/2022
USD
4,025,392
(258,972)
LME
Zinc
Base
Metal
111
9/2022
USD
8,764,838
(766,633)
LME
Zinc
Base
Metal
750
9/2022
USD
59,264,063
(15,706,486)
Low
Sulphur
Gasoil
42
9/2022
USD
4,628,400
(155,510)
Silver
505
9/2022
USD
51,388,800
(3,301,683)
Sugar
No.
11
2,085
9/2022
USD
43,201,200
(1,990,916)
Lean
Hogs
41
10/2022
USD
1,454,270
(17,912)
Live
Cattle
6
10/2022
USD
333,060
(184)
Soybean
1,025
11/2022
USD
74,722,500
(3,486,760)
100
oz
Gold
133
12/2022
USD
24,305,750
(66,493)
Cotton
No.
2
193
12/2022
USD
9,538,060
(1,767,700)
Soybean
Meal
821
12/2022
USD
33,390,070
510,670
Soybean
Oil
583
12/2022
USD
22,548,108
(4,013,466)
Platinum
4
6/2023
JPY
58,387
(61)
(149,685,877)
Short
Contracts
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(61,250)
26,585
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,812)
20,812
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,828)
18,251
LME
Aluminum
Base
Metal
(1)
7/2022
USD
(60,717)
21,702
LME
Aluminum
Base
Metal
(2)
7/2022
USD
(121,689)
34,456
LME
Aluminum
Base
Metal
(4)
7/2022
USD
(242,690)
97,798
LME
Aluminum
Base
Metal
(6)
7/2022
USD
(364,814)
131,107
LME
Aluminum
Base
Metal
(31)
7/2022
USD
(1,886,001)
517,975
LME
Aluminum
Base
Metal
(31)
7/2022
USD
(1,880,499)
811,212
LME
Aluminum
Base
Metal
(45)
7/2022
USD
(2,730,263)
1,066,539
LME
Aluminum
Base
Metal
(52)
7/2022
USD
(3,158,558)
1,084,489
LME
Aluminum
Base
Metal
(69)
7/2022
USD
(4,195,631)
1,467,678
LME
Aluminum
Base
Metal
(70)
7/2022
USD
(4,245,500)
1,845,740
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,385)
53,262
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,433)
52,690
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,588)
50,676
LME
Copper
Base
Metal
(2)
7/2022
USD
(419,963)
92,517
LME
Copper
Base
Metal
(4)
7/2022
USD
(826,018)
201,229
LME
Copper
Base
Metal
(23)
7/2022
USD
(4,751,248)
1,180,072
LME
Copper
Base
Metal
(24)
7/2022
USD
(4,959,000)
925,803
LME
Copper
Base
Metal
(31)
7/2022
USD
(6,404,600)
1,657,306
LME
Copper
Base
Metal
(32)
7/2022
USD
(6,610,400)
1,608,045
LME
Copper
Base
Metal
(33)
7/2022
USD
(6,811,497)
1,652,916
LME
Copper
Base
Metal
(34)
7/2022
USD
(7,016,113)
1,749,061
LME
Copper
Base
Metal
(47)
7/2022
USD
(9,707,956)
2,439,148
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,641)
12,181
LME
Lead
Base
Metal
(1)
7/2022
USD
(47,588)
13,159
LME
Lead
Base
Metal
(2)
7/2022
USD
(96,165)
25,630
LME
Lead
Base
Metal
(3)
7/2022
USD
(143,378)
33,540
LME
Lead
Base
Metal
(7)
7/2022
USD
(334,413)
62,531
193
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(9)
7/2022
USD
$
(428,456)
$
113,448
LME
Lead
Base
Metal
(9)
7/2022
USD
(429,910)
81,432
LME
Lead
Base
Metal
(15)
7/2022
USD
(714,375)
187,031
LME
Lead
Base
Metal
(25)
7/2022
USD
(1,195,563)
307,544
LME
Lead
Base
Metal
(29)
7/2022
USD
(1,384,446)
369,978
LME
Lead
Base
Metal
(48)
7/2022
USD
(2,290,704)
619,170
LME
Nickel
Base
Metal
(1)
7/2022
USD
(135,858)
63,632
LME
Nickel
Base
Metal
(2)
7/2022
USD
(285,012)
102,181
LME
Nickel
Base
Metal
(3)
7/2022
USD
(407,768)
200,111
LME
Nickel
Base
Metal
(3)
7/2022
USD
(407,876)
188,614
LME
Nickel
Base
Metal
(4)
7/2022
USD
(543,288)
242,340
LME
Nickel
Base
Metal
(4)
7/2022
USD
(543,849)
237,782
LME
Nickel
Base
Metal
(7)
7/2022
USD
(951,006)
459,459
LME
Nickel
Base
Metal
(7)
7/2022
USD
(951,401)
455,582
LME
Nickel
Base
Metal
(9)
7/2022
USD
(1,222,528)
543,111
LME
Nickel
Base
Metal
(39)
7/2022
USD
(5,298,181)
2,488,864
LME
Zinc
Base
Metal
(2)
7/2022
USD
(158,946)
54,548
LME
Zinc
Base
Metal
(2)
7/2022
USD
(159,150)
50,644
LME
Zinc
Base
Metal
(4)
7/2022
USD
(318,300)
108,038
LME
Zinc
Base
Metal
(8)
7/2022
USD
(678,460)
164,016
LME
Zinc
Base
Metal
(8)
7/2022
USD
(636,150)
243,626
LME
Zinc
Base
Metal
(9)
7/2022
USD
(716,119)
264,405
LME
Zinc
Base
Metal
(10)
7/2022
USD
(794,938)
314,283
LME
Zinc
Base
Metal
(15)
7/2022
USD
(1,193,531)
454,549
LME
Zinc
Base
Metal
(22)
7/2022
USD
(1,747,213)
540,448
LME
Zinc
Base
Metal
(25)
7/2022
USD
(1,985,781)
661,645
LME
Zinc
Base
Metal
(40)
7/2022
USD
(3,183,000)
1,283,882
LME
Zinc
Base
Metal
(49)
7/2022
USD
(3,897,950)
1,571,530
LME
Zinc
Base
Metal
(57)
7/2022
USD
(4,527,225)
1,508,907
LME
Zinc
Base
Metal
(62)
7/2022
USD
(4,933,650)
1,669,167
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,963)
11,110
LME
Aluminum
Base
Metal
(1)
8/2022
USD
(60,919)
7,409
LME
Aluminum
Base
Metal
(3)
8/2022
USD
(183,000)
30,741
LME
Aluminum
Base
Metal
(4)
8/2022
USD
(243,528)
50,874
LME
Aluminum
Base
Metal
(10)
8/2022
USD
(609,625)
97,845
LME
Aluminum
Base
Metal
(12)
8/2022
USD
(731,730)
162,385
LME
Aluminum
Base
Metal
(16)
8/2022
USD
(974,900)
122,253
LME
Aluminum
Base
Metal
(35)
8/2022
USD
(2,131,063)
447,119
LME
Aluminum
Base
Metal
(74)
8/2022
USD
(4,507,525)
617,573
LME
Aluminum
Base
Metal
(98)
8/2022
USD
(5,974,325)
1,236,182
LME
Aluminum
Base
Metal
(153)
8/2022
USD
(9,314,143)
2,045,648
LME
Copper
Base
Metal
(3)
8/2022
USD
(619,650)
90,067
LME
Copper
Base
Metal
(3)
8/2022
USD
(619,688)
77,130
LME
Copper
Base
Metal
(5)
8/2022
USD
(1,032,813)
135,771
LME
Copper
Base
Metal
(6)
8/2022
USD
(1,239,375)
172,297
LME
Copper
Base
Metal
(6)
8/2022
USD
(1,239,833)
186,652
LME
Copper
Base
Metal
(7)
8/2022
USD
(1,445,850)
199,657
LME
Copper
Base
Metal
(13)
8/2022
USD
(2,685,963)
256,472
LME
Copper
Base
Metal
(16)
8/2022
USD
(3,304,800)
475,558
LME
Copper
Base
Metal
(17)
8/2022
USD
(3,512,816)
568,564
LME
Copper
Base
Metal
(55)
8/2022
USD
(11,364,719)
1,309,887
LME
Copper
Base
Metal
(72)
8/2022
USD
(14,878,170)
2,329,641
LME
Lead
Base
Metal
(2)
8/2022
USD
(95,650)
14,595
LME
Lead
Base
Metal
(5)
8/2022
USD
(239,125)
28,737
LME
Lead
Base
Metal
(5)
8/2022
USD
(239,000)
49,373
LME
Lead
Base
Metal
(10)
8/2022
USD
(478,000)
42,336
194
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Lead
Base
Metal
(15)
8/2022
USD
$
(717,563)
$
74,433
LME
Lead
Base
Metal
(17)
8/2022
USD
(812,600)
153,805
LME
Lead
Base
Metal
(23)
8/2022
USD
(1,099,498)
151,908
LME
Lead
Base
Metal
(29)
8/2022
USD
(1,385,113)
136,003
LME
Lead
Base
Metal
(30)
8/2022
USD
(1,435,125)
116,546
LME
Lead
Base
Metal
(30)
8/2022
USD
(1,434,000)
272,171
LME
Nickel
Base
Metal
(1)
8/2022
USD
(136,117)
24,860
LME
Nickel
Base
Metal
(2)
8/2022
USD
(272,251)
40,643
LME
Nickel
Base
Metal
(2)
8/2022
USD
(272,052)
62,545
LME
Nickel
Base
Metal
(5)
8/2022
USD
(679,935)
232,470
LME
Nickel
Base
Metal
(6)
8/2022
USD
(815,880)
315,715
LME
Nickel
Base
Metal
(7)
8/2022
USD
(952,514)
219,746
LME
Nickel
Base
Metal
(7)
8/2022
USD
(952,266)
204,183
LME
Nickel
Base
Metal
(7)
8/2022
USD
(951,884)
331,162
LME
Nickel
Base
Metal
(10)
8/2022
USD
(1,360,200)
362,670
LME
Nickel
Base
Metal
(12)
8/2022
USD
(1,632,672)
269,422
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,306)
7,998
LME
Zinc
Base
Metal
(1)
8/2022
USD
(79,244)
13,916
LME
Zinc
Base
Metal
(3)
8/2022
USD
(238,031)
38,185
LME
Zinc
Base
Metal
(3)
8/2022
USD
(237,715)
42,401
LME
Zinc
Base
Metal
(4)
8/2022
USD
(317,325)
44,105
LME
Zinc
Base
Metal
(7)
8/2022
USD
(555,844)
131,124
LME
Zinc
Base
Metal
(13)
8/2022
USD
(1,032,281)
239,405
LME
Zinc
Base
Metal
(31)
8/2022
USD
(2,457,331)
387,262
LME
Zinc
Base
Metal
(35)
8/2022
USD
(2,773,531)
489,947
LME
Zinc
Base
Metal
(41)
8/2022
USD
(3,255,656)
844,223
NY
Harbor
ULSD
(8)
8/2022
USD
(1,265,006)
80,952
WTI
Crude
Oil
(283)
8/2022
USD
(29,177,300)
1,312,346
Cocoa
(190)
9/2022
USD
(4,446,000)
332,306
LME
Aluminum
Base
Metal
(1)
9/2022
USD
(61,106)
9,266
LME
Aluminum
Base
Metal
(15)
9/2022
USD
(916,688)
108,893
LME
Aluminum
Base
Metal
(16)
9/2022
USD
(978,000)
27,500
LME
Aluminum
Base
Metal
(17)
9/2022
USD
(1,039,338)
59,558
LME
Aluminum
Base
Metal
(21)
9/2022
USD
(1,283,494)
90,894
LME
Aluminum
Base
Metal
(24)
9/2022
USD
(1,467,264)
71,788
LME
Aluminum
Base
Metal
(27)
9/2022
USD
(1,649,700)
217,945
LME
Aluminum
Base
Metal
(28)
9/2022
USD
(1,711,850)
(4,475)
LME
Aluminum
Base
Metal
(30)
9/2022
USD
(1,833,750)
124,314
LME
Aluminum
Base
Metal
(48)
9/2022
USD
(2,932,500)
59,876
LME
Aluminum
Base
Metal
(50)
9/2022
USD
(3,054,688)
420,190
LME
Aluminum
Base
Metal
(62)
9/2022
USD
(3,786,263)
538,055
LME
Aluminum
Base
Metal
(85)
9/2022
USD
(5,196,156)
61,275
LME
Aluminum
Base
Metal
(547)
9/2022
USD
(33,438,794)
5,007,516
LME
Copper
Base
Metal
(2)
9/2022
USD
(413,263)
69,482
LME
Copper
Base
Metal
(3)
9/2022
USD
(619,350)
4,867
LME
Copper
Base
Metal
(6)
9/2022
USD
(1,239,788)
198,697
LME
Copper
Base
Metal
(7)
9/2022
USD
(1,446,419)
255,438
LME
Copper
Base
Metal
(8)
9/2022
USD
(1,651,600)
30,668
LME
Copper
Base
Metal
(12)
9/2022
USD
(2,479,575)
307,692
LME
Copper
Base
Metal
(13)
9/2022
USD
(2,683,795)
74,365
LME
Copper
Base
Metal
(16)
9/2022
USD
(3,305,700)
411,234
LME
Copper
Base
Metal
(19)
9/2022
USD
(3,925,281)
437,923
LME
Copper
Base
Metal
(21)
9/2022
USD
(4,338,600)
515,939
LME
Copper
Base
Metal
(24)
9/2022
USD
(4,959,150)
879,712
LME
Copper
Base
Metal
(26)
9/2022
USD
(5,367,050)
206,925
LME
Copper
Base
Metal
(44)
9/2022
USD
(9,090,146)
1,286,038
195
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(176)
9/2022
USD
$
(36,344,000)
$
7,232,845
LME
Lead
Base
Metal
(1)
9/2022
USD
(47,688)
2,166
LME
Lead
Base
Metal
(2)
9/2022
USD
(95,501)
9,569
LME
Lead
Base
Metal
(7)
9/2022
USD
(334,492)
51,890
LME
Lead
Base
Metal
(10)
9/2022
USD
(476,875)
1,753
LME
Lead
Base
Metal
(12)
9/2022
USD
(572,250)
11,454
LME
Lead
Base
Metal
(14)
9/2022
USD
(668,696)
97,955
LME
Lead
Base
Metal
(14)
9/2022
USD
(668,791)
111,673
LME
Lead
Base
Metal
(19)
9/2022
USD
(906,538)
91,862
LME
Lead
Base
Metal
(24)
9/2022
USD
(1,144,800)
39,574
LME
Lead
Base
Metal
(27)
9/2022
USD
(1,288,238)
120,754
LME
Lead
Base
Metal
(40)
9/2022
USD
(1,911,920)
251,750
LME
Lead
Base
Metal
(183)
9/2022
USD
(8,731,388)
1,171,761
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,188)
4,809
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,239)
21,091
LME
Nickel
Base
Metal
(1)
9/2022
USD
(136,187)
400
LME
Nickel
Base
Metal
(2)
9/2022
USD
(272,478)
63,516
LME
Nickel
Base
Metal
(2)
9/2022
USD
(272,461)
79,636
LME
Nickel
Base
Metal
(2)
9/2022
USD
(272,445)
34,699
LME
Nickel
Base
Metal
(2)
9/2022
USD
(272,371)
8,723
LME
Nickel
Base
Metal
(3)
9/2022
USD
(408,717)
112,149
LME
Nickel
Base
Metal
(4)
9/2022
USD
(544,824)
67,909
LME
Nickel
Base
Metal
(7)
9/2022
USD
(953,442)
126,472
LME
Nickel
Base
Metal
(20)
9/2022
USD
(2,723,735)
646,052
LME
Nickel
Base
Metal
(22)
9/2022
USD
(2,995,938)
73,191
LME
Nickel
Base
Metal
(155)
9/2022
USD
(21,111,930)
6,074,584
LME
Zinc
Base
Metal
(2)
9/2022
USD
(158,371)
23,490
LME
Zinc
Base
Metal
(2)
9/2022
USD
(158,371)
21,873
LME
Zinc
Base
Metal
(3)
9/2022
USD
(237,587)
47,836
LME
Zinc
Base
Metal
(5)
9/2022
USD
(395,928)
73,933
LME
Zinc
Base
Metal
(5)
9/2022
USD
(395,928)
81,558
LME
Zinc
Base
Metal
(6)
9/2022
USD
(473,600)
33,683
LME
Zinc
Base
Metal
(7)
9/2022
USD
(554,299)
79,706
LME
Zinc
Base
Metal
(9)
9/2022
USD
(712,557)
108,666
LME
Zinc
Base
Metal
(10)
9/2022
USD
(792,055)
178,065
LME
Zinc
Base
Metal
(24)
9/2022
USD
(1,894,200)
75,379
LME
Zinc
Base
Metal
(41)
9/2022
USD
(3,248,246)
733,896
LME
Zinc
Base
Metal
(51)
9/2022
USD
(4,025,392)
229,308
LME
Zinc
Base
Metal
(111)
9/2022
USD
(8,764,838)
883,535
LME
Zinc
Base
Metal
(114)
9/2022
USD
(9,008,138)
1,685,483
Wheat
(211)
9/2022
USD
(9,326,200)
652,409
Platinum
(7)
4/2023
JPY
(102,900)
136
85,091,173
$
(64,594,704)
196
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
13,292,512
$
13,292,512
GSIN
Cash
15,796
–
15,796
JPPC
Cash
–
27,409,327
27,409,327
MSCL
Cash
–
65,039,089
65,039,089
197
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
LONG
POSITIONS
-
95.8%
COMMON
STOCKS
-
4.8%
Italy
-
4.1%
A2A
SpA
(a)
2,380,215
3,028,902
Assicurazioni
Generali
SpA
(a)
232,797
3,718,414
Azimut
Holding
SpA
(a)
58,813
1,023,698
Banco
BPM
SpA
(a)
281,913
804,772
Buzzi
Unicem
SpA
(a)
223,441
3,667,655
Eni
SpA
(a)
448,129
5,315,109
Hera
SpA
(a)
779,602
2,259,084
Intesa
Sanpaolo
SpA
(a)
47,051
88,055
Italgas
SpA
(a)
55,356
323,021
Leonardo
SpA
(a)
679,235
6,891,386
Mediobanca
Banca
di
Credito
Finanziario
SpA
(a)
15,498
134,408
Pirelli
&
C
SpA
(a)(b)
60,112
244,658
Poste
Italiane
SpA
(a)(b)
46,469
434,786
Prysmian
SpA
(a)
56,738
1,558,758
UniCredit
SpA
(a)
1,570
15,003
Unipol
Gruppo
SpA
(a)
867,616
3,951,978
33,459,687
—
United
States
-
0.7%
Stellantis
NV
(a)
305,036
3,786,944
Tenaris
SA
(a)
167,325
2,149,145
5,936,089
—
TOTAL
COMMON
STOCKS
(Cost
$44,154,162)
39,395,776
SHORT-TERM
INVESTMENTS
-
91.0%
INVESTMENT
COMPANIES
-
38.7%
Goldman
Sachs
Financial
Square
Funds
-
Treasury
Instruments
Fund,
Institutional
Shares,
1.11%
(1)(c)(d)
24,281,829
24,281,829
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(c)(e)
296,459,149
296,221,982
TOTAL
INVESTMENT
COMPANIES
(Cost
$320,531,131)
320,503,811
—
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
52.3%
U.S.
Treasury
Bills
0.22%,
7/7/2022
(f)
$
13,491,000
13,489,314
0.28%,
7/14/2022
(f)(g)
29,610,000
29,598,610
0.49%,
8/4/2022
(f)(g)
16,508,000
16,489,564
0.71%,
8/25/2022
(f)
1,947,000
1,942,731
0.67%,
9/1/2022
(f)(g)
12,857,000
12,823,288
0.70%,
9/8/2022
(f)(g)
49,872,000
49,724,675
0.82%,
9/15/2022
(f)(g)
53,349,000
53,171,051
0.87%,
9/22/2022
(f)(g)
15,372,000
15,314,379
1.06%,
9/29/2022
(f)(g)
1,670,000
1,663,153
1.12%,
10/6/2022
(f)(g)
33,169,000
33,013,493
1.23%,
10/13/2022
(f)(g)
23,862,000
23,733,420
1.38%,
10/27/2022
(f)(g)
56,468,000
56,112,119
1.42%,
11/3/2022
(f)(g)
7,809,000
7,755,272
1.39%,
11/10/2022
(f)(g)
30,207,000
29,983,516
1.50%,
11/17/2022
(f)(g)
3,490,000
3,462,359
1.59%,
12/1/2022
(f)(g)
9,850,000
9,757,745
1.72%,
12/8/2022
(f)(g)
39,538,000
39,141,257
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
52.3%
(continued)
2.18%,
12/15/2022
(f)
$
125,000
123,691
2.53%,
12/29/2022
(f)
36,077,000
35,638,043
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$433,578,764)
432,937,680
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$754,109,895)
753,441,491
TOTAL
LONG
POSITIONS
(Cost
$798,264,057)
792,837,267
SHARES
SHORT
POSITIONS
-
(4.7)%
COMMON
STOCKS
-
(4.7)%
Canada
-
(0.2)%
SNC-Lavalin
Group,
Inc.
(1)
(76,793)
(1,320,849)
Italy
-
(4.4)%
Amplifon
SpA
(55,731)
(1,713,426)
Banca
Generali
SpA
(29,313)
(829,941)
Brembo
SpA
(93,321)
(909,927)
Davide
Campari-Milano
NV
(571,529)
(6,029,459)
DiaSorin
SpA
(10,843)
(1,425,969)
Enel
SpA
(85,073)
(466,559)
Ferrari
NV
(19,126)
(3,519,905)
FinecoBank
Banca
Fineco
SpA
(47,953)
(575,271)
Infrastrutture
Wireless
Italiane
SpA
(b)
(237,695)
(2,416,478)
Interpump
Group
SpA
(29,282)
(1,121,161)
Moncler
SpA
(73,651)
(3,173,327)
Nexi
SpA
*(b)
(312,597)
(2,595,944)
Recordati
Industria
Chimica
e
Farmaceutica
SpA
(70,710)
(3,083,610)
Reply
SpA
(5,988)
(728,447)
Salvatore
Ferragamo
SpA
(61,646)
(952,319)
Snam
SpA
(640,937)
(3,362,592)
Telecom
Italia
SpA
*
(2,471,204)
(647,969)
Terna
-
Rete
Elettrica
Nazionale
(451,578)
(3,550,412)
(37,102,716)
—
Portugal
–
(0.0)
%
(h)
Banco
Espirito
Santo
SA
(Registered)
(3)*(i)
(216,618)
(2)
United
Kingdom
-
(0.1)%
CNH
Industrial
NV
(71,324)
(824,887)
TOTAL
COMMON
STOCKS
(Proceeds
$(48,386,206))
(39,248,454)
TOTAL
SHORT
POSITIONS
(Proceeds
$(48,386,206))
(39,248,454)
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
91.1%
(Cost
$749,877,851)
753,588,813
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
8.9%
(j)
74,040,413
NET
ASSETS
-
100.0%
827,629,226
198
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
*
Non-income
producing
security.
(a)
All
or
a
portion
of
this
security
is
segregated
in
connection
with
obligations
for
securities
sold
short
with
a
total
value
of
$39,700,511.
In
addition,
$2,808,823
of
cash
collateral
was
pledged.
(b)
Securities
exempt
from
registration
under
Rule
144A
or
section
4(2),
of
the
Securities
Act
of
1933.
Under
procedures
approved
by
the
Board
of
Trustees,
such
securities
have
been
determined
to
be
liquid
by
the
investment
adviser
and
may
be
resold,
normally
to
qualified
institutional
buyers
in
transactions
exempt
from
registration.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$(4,332,978),
which
represents
approximately
(0.52)%
of
net
assets
of
the
fund.
(c)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(d)
All
or
a
portion
of
the
security
pledged
as
collateral
for
forward
foreign
currency
exchange
and
swap
contracts.
(e)
For
the
period
ended
June
30,
2022,
transactions
in
and
earnings
from
issuers
considered
to
be
an
affiliated
issuer
were
as
follows:
(f)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(g)
All
or
a
portion
of
the
security
pledged
as
collateral
for
swap
contracts.
(h)
Represents
less
than
0.05%
of
net
assets.
(i)
Security
fair
valued
using
significant
unobservable
inputs
(Level
3)
as
of
June
30,
2022
in
accordance
with
procedures
approved
by
the
Board
of
Trustees.
Total
value
of
all
such
securities
at
June
30,
2022
amounted
to
$(2),
which
represents
approximately
(0.00)%
of
net
assets
of
the
fund.
(j)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange,
futures
and
swap
contracts.
SECTOR
VALUE
%
OF
NET
ASSETS
Communication
Services
$
(3,064,446)
(0.4)
%
Consumer
Discretionary
(4,523,877)
(0.5)
Consumer
Staples
(6,029,459)
(0.7)
Energy
7,464,254
0.9
Financials
8,765,900
1.1
Health
Care
(6,223,004)
(0.7)
Industrials
5,183,246
0.6
Information
Technology
(3,324,391)
(0.4)
Materials
3,667,655
0.4
Utilities
(1,768,556)
(0.2)
Investment
Companies
320,503,811
38.7
U.S.
Treasury
Obligations
432,937,680
52.3
Total
Investments
In
Securities
At
Value
753,588,813
91.1
Other
Assets
in
Excess
of
Liabilities
(j)
74,040,413
8.9
Net
Assets
$
827,629,226
100.0%
Affiliate
Value
At
12/31/2021
Purchases
At
Cost
Proceeds
From
Sales
Net
Realized
Gain
(Loss)
Net
Change
In
Unrealized
App/Dep
Value
At
6/30/2022
Shares
Held
At
6/30/2022
Dividend
Income
Capital
Gain
Distributions
SHORT-TERM
INVESTMENTS
-
35.8%
INVESTMENT
COMPANIES
-
35.8%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
(Cost
$296,249,302)
$255,575,499
$1,127,014,534
$(1,086,244,328)
$(96,390)
$(27,333)
$296,221,982
296,459,149
$436,372
$–
(1)
Level
1
security
(See
Note
5).
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
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).
199
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Forward
effective
interest
rate
swap
contracts
outstanding
as
of
June
30,
2022:
Exchange
Cleared
PAY/
RECEIVE
FLOATING
RATE
FLOATING
RATE
INDEX
(a)
FIXED
RATE
MATURITY
DATE
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
PAID
(RECEIVED)
UNREALIZED
APPRECIATION
(DEPRECIATION)
VALUE
Receive
1D
SOFR
Annual
2.00%
Annual
12/23/2024
USD
215,300,000
$
4,783,254
$
(548,778)
$
4,234,476
Receive
1D
SONIA
Annual
2.00%
Annual
12/23/2024
GBP
2,700,000
58,598
(11,067)
47,531
Receive
1D
TONAR
Annual
0.00%
Annual
9/23/2032
JPY
14,232,600,000
3,484,157
1,379,905
4,864,062
Receive
3M
BA
Qtrly
2.00%
Semi
9/19/2024
CAD
93,300,000
1,785,919
473,991
2,259,910
Receive
3M
BA
Qtrly
2.50%
Semi
12/19/2024
CAD
202,400,000
2,751,585
628,704
3,380,289
Receive
6M
BBR
Semi
3.50%
Semi
9/09/2032
AUD
17,700,000
412,112
222,259
634,371
Receive
6M
BBR
Semi
3.00%
Semi
9/09/2032
AUD
6,400,000
116,264
295,781
412,045
Receive
6M
BBR
Semi
2.50%
Semi
9/09/2032
AUD
45,600,000
293,167
3,944,149
4,237,316
Receive
6M
BBR
Semi
3.50%
Semi
12/09/2032
AUD
19,800,000
413,235
336,923
750,158
Receive
6M
EURIBOR
Semi
1.00%
Annual
9/21/2032
EUR
24,900,000
2,164,549
756,620
2,921,169
Receive
6M
EURIBOR
Semi
0.25%
Annual
9/21/2032
EUR
71,700,000
4,499,259
9,036,036
13,535,295
Receive
6M
EURIBOR
Semi
1.00%
Annual
12/21/2032
EUR
44,800,000
5,036,128
484,113
5,520,241
25,798,227
16,998,636
42,796,863
Pay
1D
SOFR
Annual
2.00%
Annual
12/21/2032
USD
49,600,000
(3,852,230)
358,940
(3,493,290)
Pay
1D
SONIA
Annual
1.50%
Annual
12/21/2032
GBP
600,000
(61,165)
7,626
(53,539)
Pay
1D
TONAR
Annual
0.00%
Annual
9/24/2024
JPY
102,022,500,000
(1,035,590)
(282,115)
(1,317,705)
Pay
1D
TONAR
Annual
0.00%
Annual
12/23/2024
JPY
1,082,900,000
(17,885)
193
(17,692)
Pay
3M
BA
Qtrly
2.25%
Semi
9/20/2032
CAD
21,600,000
(1,812,324)
(235,630)
(2,047,954)
Pay
3M
BA
Qtrly
2.50%
Semi
12/20/2032
CAD
49,000,000
(3,260,143)
(596,189)
(3,856,332)
Pay
3M
BBR
Qtrly
2.00%
Qtrly
9/12/2024
AUD
215,800,000
(825,710)
(3,705,410)
(4,531,120)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
9/12/2024
AUD
70,900,000
(58,336)
(11,625)
(69,961)
Pay
3M
BBR
Qtrly
3.50%
Qtrly
12/12/2024
AUD
86,900,000
(77,770)
(150,534)
(228,304)
Pay
6M
EURIBOR
Semi
0.25%
Annual
9/23/2024
EUR
365,800,000
(8,166,889)
(5,476,135)
(13,643,024)
Pay
6M
EURIBOR
Semi
0.50%
Annual
9/23/2024
EUR
94,000,000
(1,680,640)
(370,300)
(2,050,940)
Pay
6M
EURIBOR
Semi
0.75%
Annual
12/23/2024
EUR
144,700,000
(3,799,531)
776,184
(3,023,347)
Receive
1D
TONAR
Annual
0.50%
Annual
9/23/2032
JPY
6,879,800,000
(461,982)
319,884
(142,098)
Receive
1D
TONAR
Annual
0.50%
Annual
12/21/2032
JPY
221,000,000
(1,226)
552
(674)
(25,111,421)
(9,364,559)
(34,475,980)
$
686,806
$
7,634,077
$
8,320,883
Abbreviations:
1D:
1
Day
3M:
3
Month
6M:
6
Month
Qtrly:
Quarterly
Semi:
Semi-Annually
Annual:
Annually
(a)
Floating
rate
indices
at
June
30,
2022
were
as
follows:
1
Day
Secured
Overnight
Financing
Rate
(''SOFR''):
1.50%
1
Day
Sterling
Overnight
Index
Average
(''SONIA''):
1.19%
1
Day
Tokyo
Overnight
Average
Rate
(“TONAR”):
-0.04%
3
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
1.81%
3
Month
Canadian
Bankers’
Acceptance
Rate
(''BA''):
2.76%
6
Month
Australian
Bank-Bill
Reference
Rate
(''BBR''):
2.67%
6
Month
Euro
Interbank
Offered
Rate
(''EURIBOR''):
0.26%
200
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
return
swap
contracts
outstanding
as
of
June
30,
2022
:
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)
SGX
NIFTY
50
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/28/2022
USD
(1,666,585)
$
3,482
MSCI
Daily
TR
Net
Israel
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.05%)
Monthly
JPMC
09/21/2022
USD
(234,868)
16,519
MSCI
Singapore
Net
Return
Index
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
and
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.45%)
Monthly
CITI
09/21/2022
SGD
(4,396,037)
166,404
186,405
DTOP
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
09/15/2022
ZAR
(234,920)
(98)
iBovespa
Index
August
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
08/17/2022
BRL
40,422,645
(324,233)
TAIEX
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
MLIN
07/20/2022
TWD
201,811,200
(464,694)
TAIEX
Index
July
Futures
Decreases
in
total
return
of
reference
entity
Increases
in
total
return
of
reference
entity
At
termination
GSIN
07/20/2022
TWD
272,006,400
(656,208)
Tel
Aviv
Index
July
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
MLIN
07/27/2022
ILS
(4,754,698)
(8,952)
WIG20
Index
September
Futures
Increases
in
total
return
of
reference
entity
Decreases
in
total
return
of
reference
entity
At
termination
GSIN
09/16/2022
PLN
(2,713,600)
(3,004)
MSCI
Emerging
Markets
Taiwan
Net
Total
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
OBFR
plus
or
minus
a
specified
spread
(-0.50%)
Increases
in
total
return
of
reference
entity
Monthly
JPMC
09/21/2022
USD
1,894,786
(212,365)
201
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
PAYMENTS
MADE
BY
FUND
PAYMENTS
RECEIVED
BY
FUND
PAYMENT
FREQUENCY
COUNTERPARTY
MATURITY
DATE
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
MSCI
Italy
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(-0.25%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
09/21/2022
EUR
13,100,682
$
(1,314,661)
MSCI
Mexico
Net
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
TIIE
plus
or
minus
a
specified
spread
(0.15%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
09/21/2022
MXN
19,382,230
(28,946)
MSCI
Netherlands
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
(-0.30%)
Monthly
CITI
09/21/2022
EUR
(5,227,035)
(161,672)
MSCI
Spain
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
ESTR
plus
or
minus
a
specified
spread
(0.25%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
09/21/2022
EUR
6,226,609
(50,004)
MSCI
Switzerland
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SARON
plus
or
minus
a
specified
spread
(0.30%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
09/21/2022
CHF
9,096,042
(427,595)
MSCI
United
Kingdom
Net
Return
Index
Decreases
in
total
return
of
reference
entity
and
pays
the
SONIA
plus
or
minus
a
specified
spread
(0.25%)
Increases
in
total
return
of
reference
entity
Monthly
CITI
09/21/2022
GBP
3,176,529
(147,250)
(3,799,682)
$
(3,613,277)
202
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Futures
contracts
outstanding
as
of
June
30,
2022:
Exchange
Traded
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Long
Contracts
Brent
Crude
Oil
531
7/2022
USD
$
57,894,930
$
(3,433,995)
CAC
40
10
Euro
Index
146
7/2022
EUR
9,048,461
(97,916)
HSCEI
9
7/2022
HKD
435,216
(6,052)
IBEX
35
Index
627
7/2022
EUR
52,825,370
(524,565)
LME
Copper
Base
Metal
1
7/2022
USD
206,588
(49,315)
LME
Copper
Base
Metal
4
7/2022
USD
825,425
(225,180)
LME
Copper
Base
Metal
5
7/2022
USD
1,033,125
(200,962)
LME
Copper
Base
Metal
9
7/2022
USD
1,859,625
(372,331)
LME
Copper
Base
Metal
18
7/2022
USD
3,719,250
(695,240)
LME
Copper
Base
Metal
26
7/2022
USD
5,370,950
(1,340,693)
Natural
Gas
103
7/2022
USD
5,586,720
(3,150,566)
SGX
FTSE
Taiwan
Index
538
7/2022
USD
27,287,360
(1,032,654)
WTI
Crude
Oil
218
7/2022
USD
23,055,680
(2,502,064)
LME
Copper
Base
Metal
8
8/2022
USD
1,653,050
(196,971)
LME
Copper
Base
Metal
20
8/2022
USD
4,131,250
(568,226)
LME
Copper
Base
Metal
61
8/2022
USD
12,604,811
(1,798,674)
3
Month
Euro
Euribor
340
9/2022
EUR
88,625,917
6,253
ASX
90
Day
Bank
Accepted
Bill
57
9/2022
AUD
39,084,047
(239,676)
ASX
90
Day
Bank
Accepted
Bill
102
9/2022
AUD
69,939,873
(119,382)
Australia
10
Year
Bond
1,375
9/2022
AUD
113,412,034
2,624,331
Canada
10
Year
Bond
447
9/2022
CAD
43,092,161
278,319
Euro-Bund
1,886
9/2022
EUR
294,113,099
8,388,456
FTSE
100
Index
1,419
9/2022
GBP
123,004,501
(463,968)
FTSE/MIB
Index
124
9/2022
EUR
13,779,453
(623,159)
Japan
10
Year
Bond
132
9/2022
JPY
144,832,252
11,146
LME
Copper
Base
Metal
4
9/2022
USD
826,400
(100,083)
LME
Copper
Base
Metal
7
9/2022
USD
1,446,419
(179,601)
LME
Copper
Base
Metal
15
9/2022
USD
3,099,469
(516,230)
LME
Copper
Base
Metal
26
9/2022
USD
5,371,438
(527,486)
LME
Copper
Base
Metal
54
9/2022
USD
11,146,950
(159,810)
LME
Copper
Base
Metal
64
9/2022
USD
13,212,800
(249,834)
LME
Copper
Base
Metal
186
9/2022
USD
38,409,000
(2,129,178)
S&P/TSX
60
Index
4
9/2022
CAD
710,068
(46,020)
SET50
Index
754
9/2022
THB
4,007,684
(52,501)
Silver
136
9/2022
USD
13,839,360
(600,107)
SPI
200
Index
271
9/2022
AUD
30,214,503
(300,309)
TOPIX
Index
1,047
9/2022
JPY
144,340,618
(5,007,034)
3
Month
Euro
Euribor
1,205
12/2022
EUR
312,143,370
(505,084)
ASX
90
Day
Bank
Accepted
Bill
676
12/2022
AUD
462,605,248
(300,894)
3
Month
Euro
Euribor
1,253
3/2023
EUR
323,329,869
(344,358)
ASX
90
Day
Bank
Accepted
Bill
685
3/2023
AUD
468,397,781
(274,772)
3
Month
Euro
Euribor
1,063
6/2023
EUR
273,646,939
215,212
ASX
90
Day
Bank
Accepted
Bill
562
6/2023
AUD
384,281,930
28,273
(17,382,900)
Short
Contracts
Amsterdam
Exchange
Index
(204)
7/2022
EUR
(28,175,159)
(702,800)
FTSE
Bursa
Malaysia
KLCI
Index
(6)
7/2022
MYR
(97,981)
909
Hang
Seng
Index
(86)
7/2022
HKD
(11,915,583)
121,963
LME
Copper
Base
Metal
(1)
7/2022
USD
(206,588)
50,676
LME
Copper
Base
Metal
(4)
7/2022
USD
(825,425)
229,114
LME
Copper
Base
Metal
(5)
7/2022
USD
(1,033,125)
205,487
LME
Copper
Base
Metal
(9)
7/2022
USD
(1,859,625)
360,976
LME
Copper
Base
Metal
(18)
7/2022
USD
(3,719,250)
708,703
203
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
DESCRIPTION
NUMBER
OF
CONTRACTS
EXPIRATION
DATE
TRADING
CURRENCY
NOTIONAL
AMOUNT
VALUE
AND
UNREALIZED
APPRECIATION
(DEPRECIATION)
Short
Contracts
(continued)
LME
Copper
Base
Metal
(26)
7/2022
USD
$
(5,370,950)
$
1,315,441
MSCI
Singapore
Index
(1,551)
7/2022
SGD
(31,320,309)
980,964
OMXS30
Index
(476)
7/2022
SEK
(8,703,614)
370,950
SGX
NIFTY
50
Index
(242)
7/2022
USD
(7,609,690)
50,261
100
oz
Gold
(633)
8/2022
USD
(114,402,090)
2,300,679
LME
Copper
Base
Metal
(8)
8/2022
USD
(1,653,050)
187,094
LME
Copper
Base
Metal
(20)
8/2022
USD
(4,131,250)
552,727
LME
Copper
Base
Metal
(61)
8/2022
USD
(12,604,811)
1,803,286
3
Month
Canadian
Bankers
Acceptance
(17)
9/2022
CAD
(3,187,665)
536
Corn
(1,781)
9/2022
USD
(55,990,188)
8,442,118
DAX
Index
(194)
9/2022
EUR
(64,909,342)
3,145,507
EURO
STOXX
50
Index
(1,064)
9/2022
EUR
(38,367,797)
908,038
FTSE/JSE
Top
40
Index
(21)
9/2022
ZAR
(773,949)
1,025
KOSPI
200
Index
(107)
9/2022
KRW
(6,334,171)
172,826
LME
Copper
Base
Metal
(4)
9/2022
USD
(826,400)
98,274
LME
Copper
Base
Metal
(7)
9/2022
USD
(1,446,419)
188,938
LME
Copper
Base
Metal
(15)
9/2022
USD
(3,099,469)
522,242
LME
Copper
Base
Metal
(26)
9/2022
USD
(5,371,438)
567,707
LME
Copper
Base
Metal
(54)
9/2022
USD
(11,146,950)
134,195
LME
Copper
Base
Metal
(64)
9/2022
USD
(13,212,800)
158,125
LME
Copper
Base
Metal
(161)
9/2022
USD
(33,246,500)
4,802,653
Long
Gilt
(2,180)
9/2022
GBP
(303,478,733)
7,038,778
S&P
500
E-Mini
Index
(631)
9/2022
USD
(119,558,725)
2,482,688
U.S.
Treasury
10
Year
Note
(2,209)
9/2022
USD
(261,455,859)
(6,564,410)
Soybean
(460)
11/2022
USD
(33,534,000)
2,494,762
3
Month
Canadian
Bankers
Acceptance
(158)
12/2022
CAD
(29,522,199)
(10,922)
3
Month
SOFR
(273)
12/2022
USD
(66,222,975)
390,670
3
Month
SONIA
(112)
12/2022
GBP
(33,291,938)
478,849
3
Month
Canadian
Bankers
Acceptance
(187)
3/2023
CAD
(34,951,727)
(23,170)
3
Month
SOFR
(1,007)
3/2023
USD
(243,278,613)
981,572
3
Month
SONIA
(520)
3/2023
GBP
(153,730,991)
2,935,342
3
Month
Canadian
Bankers
Acceptance
(151)
6/2023
CAD
(28,247,980)
(31,230)
3
Month
SOFR
(1,013)
6/2023
USD
(244,576,188)
725,219
3
Month
SONIA
(540)
6/2023
GBP
(159,380,785)
971,921
3
Month
SOFR
(886)
9/2023
USD
(214,334,475)
(181,955)
3
Month
SONIA
(398)
9/2023
GBP
(117,572,494)
446,007
39,812,735
$
22,429,835
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
BRL
4,011,000
USD
747,955
CITI
**
9/21/2022
$
1,134
BRL
4,011,000
USD
747,956
JPMC
**
9/21/2022
1,133
CAD
2,064,906
USD
1,604,327
CITI
9/21/2022
87
CAD
2,064,906
USD
1,604,329
JPMC
9/21/2022
85
CHF
13,331,500
USD
13,917,497
CITI
9/21/2022
127,916
CHF
13,331,500
USD
13,917,514
JPMC
9/21/2022
127,898
CLP
4,004,500
USD
4,239
CITI
**
9/21/2022
53
CLP
4,004,500
USD
4,239
JPMC
**
9/21/2022
53
CNY
16,120,250
USD
2,398,831
CITI
**
9/21/2022
8,359
204
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CNY
16,120,250
USD
2,398,834
JPMC
**
9/21/2022
$
8,355
GBP
6,254,000
USD
7,622,530
CITI
9/21/2022
2,237
GBP
6,254,000
USD
7,622,540
JPMC
9/21/2022
2,227
HUF
82,003,500
USD
212,665
CITI
9/21/2022
1,254
HUF
82,003,500
USD
212,665
JPMC
9/21/2022
1,254
KRW
20,728,000
USD
16,102
CITI
**
9/21/2022
10
KRW
20,728,000
USD
16,103
JPMC
**
9/21/2022
10
MXN
138,084,000
USD
6,630,852
CITI
9/21/2022
134,613
MXN
138,084,000
USD
6,630,861
JPMC
9/21/2022
134,604
TWD
5,106,082
USD
172,613
CITI
**
9/21/2022
244
TWD
5,106,082
USD
172,597
JPMC
**
9/21/2022
261
USD
11,416,735
BRL
58,048,001
CITI
**
9/21/2022
575,763
USD
11,416,721
BRL
58,047,999
JPMC
**
9/21/2022
575,749
USD
1,204,427
CLP
1,033,993,501
CITI
**
9/21/2022
96,315
USD
1,204,426
CLP
1,033,993,499
JPMC
**
9/21/2022
96,313
USD
2,083,793
CNY
13,934,000
CITI
**
9/21/2022
3,069
USD
2,083,790
CNY
13,934,000
JPMC
**
9/21/2022
3,065
USD
764,458
DKK
5,386,212
CITI
9/21/2022
1,086
USD
764,457
DKK
5,386,211
JPMC
9/21/2022
1,085
USD
98,675,297
EUR
92,633,543
CITI
9/21/2022
1,042,099
USD
98,675,163
EUR
92,633,533
JPMC
9/21/2022
1,041,976
USD
149,565,921
GBP
119,265,879
CITI
9/21/2022
4,159,060
USD
149,565,725
GBP
119,265,872
JPMC
9/21/2022
4,158,873
USD
884,737
HUF
330,546,500
CITI
9/21/2022
22,456
USD
884,736
HUF
330,546,500
JPMC
9/21/2022
22,454
USD
23,708,219
ILS
78,940,546
CITI
9/21/2022
977,680
USD
23,708,189
ILS
78,940,545
JPMC
9/21/2022
977,650
USD
26,326,848
JPY
3,464,126,000
CITI
9/21/2022
650,441
USD
26,326,815
JPY
3,464,126,000
JPMC
9/21/2022
650,408
USD
38,105,874
KRW
48,412,321,483
CITI
**
9/21/2022
474,009
USD
38,105,826
KRW
48,412,321,477
JPMC
**
9/21/2022
473,960
USD
7,529,732
MXN
152,904,331
CITI
9/21/2022
38,142
USD
7,529,723
MXN
152,904,328
JPMC
9/21/2022
38,132
USD
9,011,302
NZD
13,946,500
CITI
9/21/2022
309,023
USD
9,011,291
NZD
13,946,500
JPMC
9/21/2022
309,012
USD
8,309,540
PLN
36,444,500
CITI
9/21/2022
267,322
USD
8,309,528
PLN
36,444,496
JPMC
9/21/2022
267,312
USD
22,381,792
SEK
224,022,227
CITI
9/21/2022
408,431
USD
22,381,764
SEK
224,022,226
JPMC
9/21/2022
408,403
USD
3,155,922
SGD
4,357,750
CITI
9/21/2022
17,674
USD
3,155,938
SGD
4,357,749
JPMC
9/21/2022
17,692
USD
2,893,084
TWD
84,704,758
CITI
**
9/21/2022
25,529
USD
2,893,080
TWD
84,704,744
JPMC
**
9/21/2022
25,526
USD
7,228,095
ZAR
114,195,000
CITI
9/21/2022
266,202
USD
7,228,086
ZAR
114,195,000
JPMC
9/21/2022
266,193
ZAR
5,000
USD
304
CITI
9/21/2022
–
ZAR
5,000
USD
304
JPMC
9/21/2022
–
Total
unrealized
appreciation
19,219,891
AUD
118,165,496
USD
83,640,677
CITI
9/21/2022
(2,022,282)
AUD
118,165,493
USD
83,640,779
JPMC
9/21/2022
(2,022,384)
BRL
201,896,983
USD
40,268,386
CITI
**
9/21/2022
(2,562,357)
BRL
201,896,983
USD
40,268,436
JPMC
**
9/21/2022
(2,562,406)
CAD
35,676,771
USD
28,043,041
CITI
9/21/2022
(322,484)
CAD
35,676,767
USD
28,041,116
JPMC
9/21/2022
(320,563)
CLP
8,712,000
USD
10,480
CITI
**
9/21/2022
(1,144)
CLP
8,712,000
USD
10,480
JPMC
**
9/21/2022
(1,144)
CNY
2,218,000
USD
332,287
CITI
**
9/21/2022
(1,080)
CNY
2,218,000
USD
332,288
JPMC
**
9/21/2022
(1,081)
205
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
EUR
61,632,000
USD
65,888,178
CITI
9/21/2022
$
(929,752)
EUR
61,632,000
USD
65,888,261
JPMC
9/21/2022
(929,834)
GBP
29,778,500
USD
36,590,048
CITI
9/21/2022
(284,624)
GBP
29,778,500
USD
36,590,094
JPMC
9/21/2022
(284,669)
HUF
3,711,102,504
USD
10,058,793
CITI
9/21/2022
(377,818)
HUF
3,711,102,496
USD
10,058,805
JPMC
9/21/2022
(377,830)
ILS
4,265,500
USD
1,251,644
CITI
9/21/2022
(23,415)
ILS
4,265,500
USD
1,251,646
JPMC
9/21/2022
(23,416)
INR
933,338,846
USD
11,893,663
CITI
**
9/21/2022
(161,027)
INR
933,338,844
USD
11,893,666
JPMC
**
9/21/2022
(161,032)
JPY
8,386,174,681
USD
66,152,111
CITI
9/21/2022
(3,993,047)
JPY
8,386,174,675
USD
66,152,194
JPMC
9/21/2022
(3,993,125)
KRW
1,811,981,000
USD
1,415,654
CITI
**
9/21/2022
(7,165)
KRW
1,811,981,000
USD
1,415,656
JPMC
**
9/21/2022
(7,167)
MXN
83,716,503
USD
4,134,756
CITI
9/21/2022
(33,042)
MXN
83,716,497
USD
4,134,760
JPMC
9/21/2022
(33,047)
NOK
247,062,804
USD
25,627,711
CITI
9/21/2022
(499,635)
NOK
247,062,798
USD
25,627,743
JPMC
9/21/2022
(499,669)
NZD
28,884,929
USD
18,355,786
CITI
9/21/2022
(332,289)
NZD
28,884,928
USD
18,355,809
JPMC
9/21/2022
(332,313)
PLN
1,459,500
USD
322,502
CITI
9/21/2022
(434)
PLN
1,459,500
USD
322,502
JPMC
9/21/2022
(434)
SEK
279,923,094
USD
28,196,753
CITI
9/21/2022
(740,320)
SEK
279,923,091
USD
28,196,788
JPMC
9/21/2022
(740,356)
SGD
8,732,000
USD
6,328,738
CITI
9/21/2022
(40,360)
SGD
8,732,000
USD
6,328,746
JPMC
9/21/2022
(40,369)
TWD
82,401,578
USD
2,807,063
CITI
**
9/21/2022
(17,480)
TWD
82,401,574
USD
2,807,093
JPMC
**
9/21/2022
(17,510)
USD
742,584
BRL
3,980,000
CITI
**
9/21/2022
(716)
USD
742,583
BRL
3,980,000
JPMC
**
9/21/2022
(717)
USD
57,616,292
CHF
55,697,166
CITI
9/21/2022
(1,063,502)
USD
57,616,219
CHF
55,697,165
JPMC
9/21/2022
(1,063,574)
USD
217,354
CLP
204,880,500
CITI
**
9/21/2022
(2,213)
USD
217,353
CLP
204,880,500
JPMC
**
9/21/2022
(2,213)
USD
883,704
CNY
5,936,750
CITI
**
9/21/2022
(2,814)
USD
883,703
CNY
5,936,750
JPMC
**
9/21/2022
(2,814)
USD
11,949,791
EUR
11,391,649
CITI
9/21/2022
(56,693)
USD
11,949,774
EUR
11,391,647
JPMC
9/21/2022
(56,708)
USD
1,617,747
HUF
622,717,500
CITI
9/21/2022
(6,707)
USD
1,617,745
HUF
622,717,500
JPMC
9/21/2022
(6,708)
USD
5,592,665
KRW
7,226,844,500
CITI
**
9/21/2022
(24,906)
USD
5,592,658
KRW
7,226,844,500
JPMC
**
9/21/2022
(24,912)
USD
346,154
MXN
7,098,500
CITI
9/21/2022
(1,640)
USD
346,153
MXN
7,098,500
JPMC
9/21/2022
(1,640)
USD
338,770
TWD
10,009,750
CITI
**
9/21/2022
(94)
USD
338,770
TWD
10,009,748
JPMC
**
9/21/2022
(95)
USD
106,550
ZAR
1,750,500
CITI
9/21/2022
(169)
USD
106,550
ZAR
1,750,500
JPMC
9/21/2022
(169)
ZAR
287,437,009
USD
17,882,089
CITI
9/21/2022
(358,507)
ZAR
287,436,991
USD
17,882,110
JPMC
9/21/2022
(358,531)
Total
unrealized
depreciation
(27,734,146)
Net
unrealized
depreciation
$
(8,514,255)
**
Non-deliverable
forward.
206
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TIIE
plus
or
minus
a
specified
spread
(-0.50%
to
0.50%),
which
is
denominated
in
MXN
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-56
months
maturity
ranging
from
04/17/2026
-
12/18/2026
$3,853,769
$(63,232)
$(15,273)
$(78,505)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
WIBOR
plus
or
minus
a
specified
spread
(-1.60%
to
0.70%),
which
is
denominated
in
PLN
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
04/17/2026
-
07/01/2027
$8,157,492
$(240,431)
$(22,778)
$(263,209)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-7.00%
to
0.70%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
46-61
months
maturity
ranging
from
04/17/2026
-
07/01/2027
$6,057,279
$(78,285)
$(512)
$(78,797)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
BANA
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-5.20%
to
0.20%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
09/26/2022
-
07/25/2023
$646,355,615
$7,429,643
$(13,660,704)
$(6,231,061)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
207
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Acuity
Brands,
Inc.
20,397
3,141,954
(56,500)
0.9
Alphabet,
Inc.
1,728
3,765,761
(237,444)
3.8
Amdocs
Ltd.
40,287
3,356,310
(55,193)
0.9
Amkor
Technology,
Inc.
188,814
3,200,397
(147,275)
2.4
APA
Corp.
103,933
3,627,262
(267,108)
4.3
AutoNation,
Inc.
37,150
4,151,884
(193,180)
3.1
Builders
FirstSource,
Inc.
116,097
6,234,409
30,185
(0.5)
Cognizant
Technology
Solutions
Corp.
46,400
3,131,536
(112,288)
1.8
General
Dynamics
Corp.
17,520
3,876,300
(39,420)
0.6
Genuine
Parts
Co.
26,848
3,570,784
(111,151)
1.8
Huntington
Ingalls
Industries,
Inc.
18,714
4,076,283
(10,293)
0.2
Intel
Corp.
92,084
3,444,862
(112,342)
1.8
LKQ
Corp.
84,386
4,142,509
(154,426)
2.5
Macy's,
Inc.
172,285
3,156,261
(323,896)
5.2
Meta
Platforms,
Inc.
28,805
4,644,806
(237,353)
3.8
Micron
Technology,
Inc.
72,864
4,027,922
(255,024)
4.1
Molina
Healthcare,
Inc.
12,080
3,377,689
61,004
(1.0)
Owens
Corning
65,477
4,865,596
(175,478)
2.8
PDC
Energy,
Inc.
61,546
3,791,849
(129,862)
2.1
Playtika
Holding
Corp.
301,390
3,990,404
(346,599)
5.6
QuidelOrtho
Corp.
37,287
3,623,551
(156,605)
2.5
Teradata
Corp.
105,218
3,894,118
(89,435)
1.4
Textron,
Inc.
87,377
5,336,113
24,466
(0.4)
Yelp,
Inc.
166,080
4,612,042
(300,605)
4.8
Ziff
Davis,
Inc.
64,480
4,805,694
(19,344)
0.3
Short
Positions
Common
Stocks
Singapore
Sea
Ltd.,
ADR
(69,915)
(4,674,517)
572,604
(9.2)
United
States
Advanced
Drainage
Systems,
Inc.
(38,126)
(3,434,009)
(46,132)
0.7
Bill.com
Holdings,
Inc.
(30,927)
(3,400,114)
460,194
(7.4)
Boeing
Co.
(The)
(37,430)
(5,117,430)
74,860
(1.2)
Cheniere
Energy,
Inc.
(35,999)
(4,788,947)
(72,358)
1.2
Dollar
General
Corp.
(13,731)
(3,370,137)
18,125
(0.3)
Enphase
Energy,
Inc.
(17,320)
(3,381,557)
189,308
(3.0)
EQT
Corp.
(113,191)
(3,893,770)
254,680
(4.1)
Fastly,
Inc.
(251,990)
(2,925,604)
377,985
(6.1)
Five9,
Inc.
(34,096)
(3,107,509)
309,251
(5.0)
Guardant
Health,
Inc.
(103,482)
(4,174,464)
421,172
(6.8)
HealthEquity,
Inc.
(53,625)
(3,292,039)
287,430
(4.6)
Hess
Corp.
(57,292)
(6,069,514)
58,438
(0.9)
Honeywell
International,
Inc.
(37,283)
(6,480,158)
167,028
(2.7)
Insulet
Corp.
(21,883)
(4,769,181)
224,738
(3.6)
New
Fortress
Energy,
Inc.
(94,060)
(3,721,954)
136,387
(2.2)
NOV,
Inc.
(211,033)
(3,568,568)
(46,427)
0.7
Novocure
Ltd.
(42,264)
(2,937,348)
219,350
(3.5)
Oak
Street
Health,
Inc.
(291,755)
(4,796,452)
986,131
(15.8)
Ollie's
Bargain
Outlet
Holdings,
Inc.
(63,356)
(3,722,165)
260,393
(4.2)
Plug
Power,
Inc.
(226,893)
(3,759,617)
347,146
(5.6)
Quanta
Services,
Inc.
(27,966)
(3,505,258)
71,873
(1.2)
Shoals
Technologies
Group,
Inc.
(217,532)
(3,584,927)
358,928
(5.8)
Williams
Cos.,
Inc.
(The)
(105,279)
(3,285,758)
(65,273)
1.0
208
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
Wolfspeed,
Inc.
(58,906)
(3,737,586)
420,000
(6.7)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
AOISR
plus
or
minus
a
specified
spread
(-0.13%
to
0.04%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/13/2025
-
06/09/2027
$87,051,087
$34,158
$(133,639)
$(99,481)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Aristocrat
Leisure
Ltd.
121,790
2,896,901
(15,971)
16.1
Atlas
Arteria
Ltd.
406,270
2,263,629
(21,858)
22.0
Aurizon
Holdings
Ltd.
1,394,204
3,666,800
(355,820)
357.7
BHP
Group
Ltd.
34,358
983,794
(112,816)
113.4
BlueScope
Steel
Ltd.
222,928
2,456,366
(330,330)
332.1
Brambles
Ltd.
330,993
2,447,460
(24,563)
24.7
Cleanaway
Waste
Management
Ltd.
365,293
635,859
(80,228)
80.6
Computershare
Ltd.
36,590
623,975
30,201
(30.4)
Domino's
Pizza
Enterprises
Ltd.
11,991
563,646
36,415
(36.6)
Fortescue
Metals
Group
Ltd.
67,590
812,753
(193,107)
194.1
Harvey
Norman
Holdings
Ltd.
452,022
1,159,034
(160,760)
161.6
Incitec
Pivot
Ltd.
763,435
1,756,896
(98,007)
98.5
JB
Hi-Fi
Ltd.
166,953
4,440,329
(596,781)
599.9
Qube
Holdings
Ltd.
1,817,867
3,428,778
(335,570)
337.3
Sonic
Healthcare
Ltd.
29,261
666,954
(23,393)
23.5
South32
Ltd.
593,193
1,607,370
(443,982)
446.3
Tabcorp
Holdings
Ltd.
734,251
541,985
30,100
(30.3)
Telstra
Corp.
Ltd.
554,701
1,475,380
(2,546)
2.6
Treasury
Wine
Estates
Ltd.
66,871
524,416
13,450
(13.5)
Worley
Ltd.
157,830
1,556,203
(118,238)
118.9
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(152,106)
(1,087,937)
81,665
(82.1)
Alumina
Ltd.
(1,007,920)
(1,021,708)
126,225
(126.9)
APA
Group
(589,095)
(4,587,736)
133,155
(133.9)
Cochlear
Ltd.
(8,730)
(1,198,565)
104,833
(105.4)
Commonwealth
Bank
of
Australia
(9,182)
(573,660)
28,122
(28.3)
CSL
Ltd.
(7,703)
(1,430,253)
14,321
(14.4)
209
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Australia
(continued)
Evolution
Mining
Ltd.
(636,554)
(1,040,099)
532,886
(535.7)
IDP
Education
Ltd.
(256,782)
(4,204,839)
(53,789)
54.1
IGO
Ltd.
(110,968)
(760,624)
135,545
(136.3)
Insurance
Australia
Group
Ltd.
(666,487)
(2,009,827)
(36,244)
36.4
Lendlease
Corp.
Ltd.
(249,243)
(1,569,967)
184,840
(185.8)
Lynas
Rare
Earths
Ltd.
(310,860)
(1,878,954)
71,498
(71.9)
Macquarie
Group
Ltd.
(7,939)
(903,902)
75,245
(75.6)
Medibank
Pvt
Ltd.
(1,448,242)
(3,257,354)
(78,470)
78.9
Newcrest
Mining
Ltd.
(47,279)
(673,547)
101,845
(102.4)
NEXTDC
Ltd.
(106,814)
(786,145)
11,596
(11.7)
Northern
Star
Resources
Ltd.
(141,668)
(664,523)
164,705
(165.6)
Pilbara
Minerals
Ltd.
(1,036,838)
(1,649,258)
(10,357)
10.4
Qantas
Airways
Ltd.
(705,141)
(2,182,294)
353,535
(355.4)
QBE
Insurance
Group
Ltd.
(153,725)
(1,291,732)
5,977
(6.0)
Ramsay
Health
Care
Ltd.
(33,931)
(1,718,625)
95,790
(96.3)
REA
Group
Ltd.
(14,506)
(1,120,162)
(68,822)
69.2
Reece
Ltd.
(144,720)
(1,374,669)
31,824
(32.0)
Santos
Ltd.
(111,569)
(565,675)
101,236
(101.8)
SEEK
Ltd.
(73,457)
(1,065,561)
66,653
(67.0)
Wesfarmers
Ltd.
(29,322)
(848,109)
58,419
(58.7)
Woodside
Energy
Group
Ltd.
(126,405)
(2,778,195)
309,620
(311.2)
Woolworths
Group
Ltd.
(66,778)
(1,640,224)
(49,536)
49.8
New
Zealand
Xero
Ltd.
(27,964)
(1,491,618)
47,150
(47.4)
United
States
James
Hardie
Industries
plc
(42,181)
(923,462)
75,198
(75.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HONIX
plus
or
minus
a
specified
spread
(-1.25%
to
0.02%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/13/2025
-
07/02/2027
$200,291,933
$(4,124,030)
$1,287,350
$(2,836,680)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Bank
of
Communications
Co.
Ltd.
2,116,000
1,466,705
66,970
(2.4)
Beijing
Enterprises
Holdings
Ltd.
420,000
1,493,288
10,646
(0.4)
BOC
Hong
Kong
Holdings
Ltd.
602,500
2,392,514
115,901
(4.1)
China
CITIC
Bank
Corp.
Ltd.
5,270,000
2,360,511
(179,964)
6.3
China
Coal
Energy
Co.
Ltd.
1,959,000
1,655,363
(314,422)
11.1
China
Hongqiao
Group
Ltd.
2,202,500
2,481,214
(219,689)
7.7
210
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
China
(continued)
China
Medical
System
Holdings
Ltd.
890,000
1,387,520
105,851
(3.7)
China
Minsheng
Banking
Corp.
Ltd.
4,608,500
1,645,275
(127,537)
4.5
China
National
Building
Material
Co.
Ltd.
1,448,000
1,551,043
(28,896)
1.0
China
Resources
Power
Holdings
Co.
Ltd.
728,000
1,503,724
113,930
(4.0)
China
Taiping
Insurance
Holdings
Co.
Ltd.
1,358,000
1,677,365
81,714
(2.9)
CITIC
Ltd.
1,552,000
1,582,135
(152,463)
5.4
CSPC
Pharmaceutical
Group
Ltd.
1,330,000
1,329,368
58,458
(2.1)
Dongyue
Group
Ltd.
1,191,000
1,494,074
(121,484)
4.3
Kunlun
Energy
Co.
Ltd.
2,392,000
1,961,557
(39,091)
1.4
New
China
Life
Insurance
Co.
Ltd.
777,500
2,188,087
72,622
(2.6)
PetroChina
Co.
Ltd.
3,100,000
1,453,919
(268,566)
9.5
Sinopharm
Group
Co.
Ltd.
692,800
1,677,361
56,342
(2.0)
Topsports
International
Holdings
Ltd.
2,148,000
1,956,216
203,155
(7.2)
Xinyi
Glass
Holdings
Ltd.
1,037,000
2,502,039
96,804
(3.4)
Hong
Kong
ASM
Pacific
Technology
Ltd.
265,600
2,260,590
(237,407)
8.4
CK
Asset
Holdings
Ltd.
573,872
4,077,543
245,294
(8.6)
Sino
Land
Co.
Ltd.
952,000
1,405,796
44,548
(1.6)
Sun
Hung
Kai
Properties
Ltd.
218,000
2,581,134
(94,276)
3.3
Swire
Pacific
Ltd.
307,000
1,833,484
(81,647)
2.9
WH
Group
Ltd.
8,509,000
6,585,843
339,751
(12.0)
United
Kingdom
CK
Hutchison
Holdings
Ltd.
1,279,500
8,680,129
(35,433)
1.2
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(792,400)
(2,377,754)
(201,552)
7.1
China
Mengniu
Dairy
Co.
Ltd.
(273,000)
(1,368,591)
(52,091)
1.8
China
Merchants
Bank
Co.
Ltd.
(478,000)
(3,228,616)
(198,017)
7.0
China
Southern
Airlines
Co.
Ltd.
(2,260,000)
(1,310,410)
(98,997)
3.5
CITIC
Securities
Co.
Ltd.
(832,000)
(1,864,996)
(70,393)
2.5
ESR
Group
Ltd.
(1,084,600)
(2,941,059)
210,402
(7.4)
Flat
Glass
Group
Co.
Ltd.
(402,000)
(1,415,181)
215,768
(7.6)
Ganfeng
Lithium
Co.
Ltd.
(210,000)
(2,314,535)
(230,883)
8.1
Meituan
(57,500)
(1,434,872)
43,884
(1.5)
Microport
Scientific
Corp.
(466,237)
(1,353,948)
(293,940)
10.4
Postal
Savings
Bank
of
China
Co.
Ltd.
(2,698,000)
(2,150,088)
(114,659)
4.0
Shenzhou
International
Group
Holdings
Ltd.
(108,100)
(1,319,426)
127,257
(4.5)
Xiaomi
Corp.
(816,400)
(1,428,430)
(147,482)
5.2
Yihai
International
Holding
Ltd.
(458,000)
(1,652,227)
(218,172)
7.7
ZhongAn
Online
P&C
Insurance
Co.
Ltd.
(643,500)
(2,101,647)
128,970
(4.5)
Hong
Kong
AIA
Group
Ltd.
(632,600)
(6,912,148)
(269,155)
9.5
Hong
Kong
&
China
Gas
Co.
Ltd.
(4,103,716)
(4,428,796)
37,450
(1.3)
Man
Wah
Holdings
Ltd.
(1,663,200)
(1,795,925)
(180,798)
6.4
Power
Assets
Holdings
Ltd.
(281,500)
(1,773,425)
31,062
(1.1)
Techtronic
Industries
Co.
Ltd.
(271,500)
(2,835,045)
638,805
(22.5)
Wharf
Real
Estate
Investment
Co.
Ltd.
(894,000)
(4,269,051)
(99,148)
3.5
Macau
Galaxy
Entertainment
Group
Ltd.
(341,000)
(2,042,786)
(130,669)
4.6
Sands
China
Ltd.
(1,040,400)
(2,502,891)
(370,859)
13.1
211
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.30%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/14/2025
-
06/09/2027
$603,754,539
$749,951
$1,714,170
$2,464,121
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
AGC,
Inc.
163,400
5,741,498
(520,885)
(21.1)
ENEOS
Holdings,
Inc.
1,038,200
3,906,532
(520,815)
(21.1)
Iida
Group
Holdings
Co.
Ltd.
262,000
4,022,320
(7,706)
(0.3)
Japan
Post
Insurance
Co.
Ltd.
274,400
4,391,693
(61,644)
(2.5)
Kajima
Corp.
307,200
3,522,543
221,411
9.0
Lion
Corp.
390,300
4,321,032
178,697
7.3
Mazda
Motor
Corp.
456,300
3,724,543
(260,684)
(10.6)
Medipal
Holdings
Corp.
230,600
3,252,972
226,007
9.2
Mitsubishi
Electric
Corp.
462,100
4,967,185
(93,846)
(3.8)
Mitsubishi
HC
Capital,
Inc.
849,400
3,920,300
(55,002)
(2.2)
NIPPON
EXPRESS
HOLDINGS,
Inc.
79,900
4,352,405
(252,680)
(10.3)
Nippon
Yusen
KK
53,000
3,633,942
(213,714)
(8.7)
Obayashi
Corp.
471,900
3,432,252
27,254
1.1
Osaka
Gas
Co.
Ltd.
351,100
6,728,916
34,520
1.4
Shimamura
Co.
Ltd.
40,500
3,558,542
191,502
7.8
Sohgo
Security
Services
Co.
Ltd.
134,500
3,734,894
220,724
9.0
Sojitz
Corp.
252,700
3,581,798
(450,450)
(18.3)
Sumitomo
Heavy
Industries
Ltd.
146,900
3,251,878
(315,600)
(12.8)
Suntory
Beverage
&
Food
Ltd.
112,200
4,237,008
197,378
8.0
Taisei
Corp.
141,800
4,421,322
84,131
3.4
Tokyo
Electric
Power
Co.
Holdings,
Inc.
1,107,100
4,631,230
363,739
14.8
Tokyo
Gas
Co.
Ltd.
212,600
4,405,933
220,684
9.0
TOPPAN,
Inc.
282,800
4,718,213
(261,218)
(10.6)
Tosoh
Corp.
291,500
3,625,890
(228,407)
(9.3)
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(223,600)
(3,883,960)
(55,667)
(2.3)
ANA
Holdings,
Inc.
(265,200)
(4,898,687)
98,246
4.0
Daiichi
Sankyo
Co.
Ltd.
(192,900)
(4,905,927)
88,602
3.6
Daikin
Industries
Ltd.
(38,400)
(6,165,471)
68,020
2.8
Denso
Corp.
(72,800)
(3,842,565)
522,323
21.2
East
Japan
Railway
Co.
(74,100)
(3,790,154)
58,480
2.4
Fast
Retailing
Co.
Ltd.
(7,800)
(4,097,160)
(82,758)
(3.4)
Japan
Airlines
Co.
Ltd.
(213,800)
(3,673,427)
53,261
2.2
212
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Japan
Airport
Terminal
Co.
Ltd.
(141,900)
(5,638,001)
176,887
7.2
Kakaku.com,
Inc.
(221,200)
(3,673,926)
233,919
9.5
Keio
Corp.
(88,800)
(3,185,583)
(158,608)
(6.4)
Keyence
Corp.
(13,200)
(4,526,785)
494,235
20.1
Kikkoman
Corp.
(61,700)
(3,283,481)
(132,088)
(5.4)
Kobe
Bussan
Co.
Ltd.
(230,300)
(5,661,014)
(170,002)
(6.9)
Lasertec
Corp.
(39,100)
(4,656,955)
600,854
24.4
M3,
Inc.
(263,400)
(7,581,963)
160,071
6.5
Marui
Group
Co.
Ltd.
(236,500)
(4,140,416)
175,430
7.1
MonotaRO
Co.
Ltd.
(346,800)
(5,172,069)
144,440
5.9
Nidec
Corp.
(89,500)
(5,546,036)
322,124
13.1
Odakyu
Electric
Railway
Co.
Ltd.
(236,000)
(3,184,060)
(63,600)
(2.6)
Oriental
Land
Co.
Ltd.
(52,900)
(7,387,588)
2,739
0.1
Pan
Pacific
International
Holdings
Corp.
(247,600)
(3,947,548)
(89,747)
(3.6)
Sony
Group
Corp.
(73,600)
(6,002,579)
664,166
27.0
Toyota
Motor
Corp.
(235,700)
(3,636,687)
252,849
10.3
Unicharm
Corp.
(226,800)
(7,610,782)
(409,614)
(16.6)
West
Japan
Railway
Co.
(101,600)
(3,737,707)
31,857
1.3
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-1.83%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/13/2025
-
07/01/2027
$1,047,239,184
$(13,575,609)
$466,488
$(13,109,121)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Archer-Daniels-Midland
Co.
53,999
4,190,322
(452,512)
3.5
Arrow
Electronics,
Inc.
41,733
4,677,852
(405,645)
3.1
Brunswick
Corp.
60,494
3,955,098
(392,001)
3.0
Cracker
Barrel
Old
Country
Store,
Inc.
47,530
3,968,280
(508,096)
3.9
Essential
Utilities,
Inc.
85,332
3,912,472
8,533
(0.1)
Exelixis,
Inc.
196,612
4,093,462
381,427
(2.9)
Gilead
Sciences,
Inc.
70,445
4,354,205
44,380
(0.3)
Greif,
Inc.
65,777
4,103,169
(146,025)
1.1
International
Paper
Co.
112,701
4,714,283
(501,519)
3.8
Jabil,
Inc.
78,362
4,012,918
(764,814)
5.8
Knight-Swift
Transportation
Holdings,
Inc.
97,875
4,530,634
(46,001)
0.4
ManpowerGroup,
Inc.
64,472
4,926,306
(673,732)
5.1
Moderna,
Inc.
31,094
4,441,778
273,938
(2.1)
Molson
Coors
Beverage
Co.
150,331
8,194,543
315,695
(2.4)
213
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
NRG
Energy,
Inc.
121,204
4,626,357
(890,850)
6.8
Nu
Skin
Enterprises,
Inc.
112,217
4,858,996
(272,687)
2.1
PepsiCo,
Inc.
28,969
4,827,974
112,400
(0.9)
Pfizer,
Inc.
133,621
7,005,749
86,854
(0.7)
Regeneron
Pharmaceuticals,
Inc.
8,681
5,131,600
135,858
(1.0)
Schneider
National,
Inc.
228,055
5,103,871
(223,494)
1.7
Syneos
Health,
Inc.
68,827
4,933,519
31,660
(0.2)
Texas
Roadhouse,
Inc.
55,802
4,084,706
(378,896)
2.9
Toll
Brothers,
Inc.
89,946
4,011,592
(437,138)
3.3
Tyson
Foods,
Inc.
58,245
5,012,565
43,684
(0.3)
UGI
Corp.
144,749
5,588,759
(665,845)
5.1
United
Therapeutics
Corp.
18,805
4,431,210
272,296
(2.1)
Werner
Enterprises,
Inc.
124,779
4,808,983
(137,257)
1.0
Westrock
Co.
138,014
5,498,478
(1,030,966)
7.9
Short
Positions
Common
Stocks
Singapore
Grab
Holdings
Ltd.
(1,591,558)
(4,026,642)
572,961
(4.4)
United
States
10X
Genomics,
Inc.
(121,812)
(5,511,993)
(334,983)
2.6
American
Airlines
Group,
Inc.
(353,526)
(4,482,710)
986,337
(7.5)
Aon
plc
(14,557)
(3,925,732)
(153,867)
1.2
AptarGroup,
Inc.
(38,452)
(3,968,631)
100,744
(0.8)
Aptiv
plc
(44,935)
(4,002,360)
815,569
(6.2)
Ball
Corp.
(88,599)
(6,092,953)
146,188
(1.1)
Cable
One,
Inc.
(3,360)
(4,332,115)
79,464
(0.6)
Charter
Communications,
Inc.
(8,561)
(4,011,085)
117,543
(0.9)
Dominion
Energy,
Inc.
(79,722)
(6,362,613)
(37,469)
0.3
Globe
Life,
Inc.
(43,310)
(4,221,426)
(88,352)
0.7
Grocery
Outlet
Holding
Corp.
(133,020)
(5,670,643)
(752,893)
5.7
Liberty
Broadband
Corp.
(54,787)
(6,335,569)
288,727
(2.2)
NextEra
Energy,
Inc.
(81,936)
(6,346,763)
(9,832)
0.1
Progressive
Corp.
(The)
(35,224)
(4,095,494)
(25,714)
0.2
Public
Service
Enterprise
Group,
Inc.
(98,469)
(6,231,118)
185,122
(1.4)
QuantumScape
Corp.
(463,883)
(3,984,755)
1,117,957
(8.5)
Repligen
Corp.
(26,249)
(4,262,838)
(80,059)
0.6
Seagen,
Inc.
(22,271)
(3,940,631)
(783,717)
6.0
Tesla,
Inc.
(7,465)
(5,027,080)
341,151
(2.6)
T-Mobile
US,
Inc.
(30,334)
(4,081,136)
(46,108)
0.4
Uber
Technologies,
Inc.
(243,002)
(4,971,821)
1,210,149
(9.2)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Rand
Overnight
Deposit
Rate
plus
or
minus
a
specified
spread
(-0.08%
to
0.06%),
which
is
denominated
in
ZAR
based
on
the
local
currencies
of
the
positions
within
the
swap.
47-61
months
maturity
ranging
from
04/20/2026
-
07/02/2027
$18,525,807
$(828,805)
$(27,936)
$(856,741)
214
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Luxembourg
Reinet
Investments
SCA
22,277
391,349
(452)
0.1
South
Africa
Absa
Group
Ltd.
108,260
1,033,701
(42,807)
5.0
African
Rainbow
Minerals
Ltd.
80,120
1,052,672
(140,582)
16.4
Anglo
American
Platinum
Ltd.
3,047
266,891
(13,865)
1.6
Aspen
Pharmacare
Holdings
Ltd.
151,200
1,299,684
(12,241)
1.4
Exxaro
Resources
Ltd.
84,665
1,028,646
(73,557)
8.6
Foschini
Group
Ltd.
(The)
40,178
301,296
(4,361)
0.5
Impala
Platinum
Holdings
Ltd.
70,788
785,353
(9,759)
1.1
Kumba
Iron
Ore
Ltd.
20,733
672,146
(63,569)
7.4
Mr
Price
Group
Ltd.
2,351
25,780
(2,365)
0.3
MTN
Group
Ltd.
6,321
51,438
(5,386)
0.6
MultiChoice
Group
128,607
915,496
(113,123)
13.2
Nedbank
Group
Ltd.
4,095
52,414
(1,193)
0.1
Old
Mutual
Ltd.
357,960
242,614
(15,399)
1.8
Pepkor
Holdings
Ltd.
257,630
302,782
(22,804)
2.7
Shoprite
Holdings
Ltd.
24,146
294,195
(17,991)
2.1
Sibanye
Stillwater
Ltd.
735,756
1,827,232
(180,502)
21.1
SPAR
Group
Ltd.
(The)
31,695
269,087
(3,634)
0.4
Standard
Bank
Group
Ltd.
14,850
141,680
(4,917)
0.6
Vodacom
Group
Ltd.
15,430
124,952
(4,065)
0.5
Woolworths
Holdings
Ltd.
103,034
343,579
6,523
(0.8)
Short
Positions
Common
Stocks
South
Africa
Bidvest
Group
Ltd.
(The)
(33,614)
(433,049)
13,409
(1.6)
Capitec
Bank
Holdings
Ltd.
(18,465)
(2,263,076)
91,884
(10.7)
Clicks
Group
Ltd.
(38,771)
(651,341)
12,893
(1.5)
Discovery
Ltd.
(138,692)
(1,096,921)
61,122
(7.1)
FirstRand
Ltd.
(124,915)
(480,726)
33,100
(3.9)
Naspers
Ltd.
(10,629)
(1,552,754)
(353,827)
41.3
Northam
Platinum
Holdings
Ltd.
(25,892)
(272,611)
(3,338)
0.4
Sasol
Ltd.
(15,280)
(352,342)
42,001
(4.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.33%
to
0.20%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
33-61
months
maturity
ranging
from
02/25/2025
-
06/09/2027
$178,216,741
$(1,398,718)
$70,434
$(1,328,284)
215
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
ARC
Resources
Ltd.
198,445
2,502,146
(155,710)
11.7
Atco
Ltd.
97,734
3,348,407
176,911
(13.3)
Bank
of
Montreal
19,199
1,846,218
(22,671)
1.7
Bank
of
Nova
Scotia
(The)
37,884
2,242,078
(91,531)
6.9
Canadian
Imperial
Bank
of
Commerce
39,562
1,921,240
(50,405)
3.8
Canadian
Natural
Resources
Ltd.
69,248
3,721,165
44,114
(3.3)
Canadian
Tire
Corp.
Ltd.
17,398
2,195,024
(1,487)
0.1
Capital
Power
Corp.
97,458
3,407,850
84,799
(6.4)
CI
Financial
Corp.
196,977
2,091,886
(59,681)
4.5
Empire
Co.
Ltd.
56,391
1,737,029
(32,419)
2.4
Fairfax
Financial
Holdings
Ltd.
7,011
3,715,198
264,165
(19.9)
iA
Financial
Corp.,
Inc.
41,141
2,046,183
96,844
(7.3)
Imperial
Oil
Ltd.
62,258
2,934,909
(122,369)
9.2
Loblaw
Cos.
Ltd.
25,813
2,328,023
127,340
(9.6)
Manulife
Financial
Corp.
201,967
3,502,100
136,507
(10.3)
National
Bank
of
Canada
25,996
1,705,937
(24,841)
1.9
Northland
Power,
Inc.
77,996
2,321,944
89,678
(6.8)
Nutrien
Ltd.
34,892
2,778,728
(153,696)
11.6
Onex
Corp.
42,717
2,127,222
(35,177)
2.6
Open
Text
Corp.
45,854
1,734,487
29,211
(2.2)
Suncor
Energy,
Inc.
89,651
3,145,307
30,645
(2.3)
Teck
Resources
Ltd.
64,254
1,964,759
(406,330)
30.6
TFI
International,
Inc.
30,229
2,426,633
194,215
(14.6)
West
Fraser
Timber
Co.
Ltd.
93,799
7,197,426
(212,053)
16.0
Whitecap
Resources,
Inc.
552,924
3,840,227
(356,531)
26.8
United
States
BRP,
Inc.
31,909
1,963,821
(47,844)
3.6
Short
Positions
Common
Stocks
Brazil
Wheaton
Precious
Metals
Corp.
(59,753)
(2,153,002)
168,044
(12.7)
Canada
Agnico
Eagle
Mines
Ltd.
(60,245)
(2,757,641)
335,579
(25.3)
Air
Canada
(196,740)
(2,451,608)
187,997
(14.2)
Algonquin
Power
&
Utilities
Corp.
(391,682)
(5,264,216)
(127,802)
9.6
Ballard
Power
Systems,
Inc.
(443,645)
(2,802,077)
(27,573)
2.1
Boralex,
Inc.
(93,458)
(3,113,331)
(136,499)
10.3
Brookfield
Infrastructure
Corp.
(44,107)
(1,871,943)
46,259
(3.5)
CAE,
Inc.
(103,399)
(2,548,024)
(161,461)
12.2
Cameco
Corp.
(154,060)
(3,238,707)
(16,756)
1.3
Canadian
Pacific
Railway
Ltd.
(26,590)
(1,857,292)
(42,141)
3.2
Element
Fleet
Management
Corp.
(206,767)
(2,155,697)
(80,317)
6.0
Emera,
Inc.
(43,533)
(2,039,341)
(87,594)
6.6
Enbridge,
Inc.
(74,228)
(3,134,737)
(95,149)
7.2
Franco-Nevada
Corp.
(14,270)
(1,877,095)
129,818
(9.8)
GFL
Environmental,
Inc.
(115,953)
(2,987,105)
(69,363)
5.2
Innergex
Renewable
Energy,
Inc.
(182,476)
(2,452,482)
9,923
(0.7)
Pembina
Pipeline
Corp.
(58,223)
(2,058,069)
(5,880)
0.4
Ritchie
Bros
Auctioneers,
Inc.
(46,397)
(3,018,761)
(224,560)
16.9
Rogers
Communications,
Inc.
(49,654)
(2,379,318)
(102,996)
7.8
216
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Shopify,
Inc.
(106,560)
(3,329,586)
88,083
(6.6)
TC
Energy
Corp.
(40,320)
(2,088,671)
(42,600)
3.2
Thomson
Reuters
Corp.
(24,445)
(2,548,380)
(109,577)
8.2
WSP
Global,
Inc.
(36,817)
(4,162,792)
(171,042)
12.9
United
States
Brookfield
Renewable
Corp.
(90,609)
(3,227,488)
(92,214)
6.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-2.20%
to
0.35%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
32-61
months
maturity
ranging
from
01/22/2025
-
06/09/2027
$185,433,680
$(1,264,386)
$397,004
$(867,382)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
42,985
2,569,929
(138,969)
16.0
Germany
TUI
AG
926,366
1,504,021
(217,924)
25.1
Italy
Coca-Cola
HBC
AG
307,273
6,846,561
1,566
(0.2)
Jordan
Hikma
Pharmaceuticals
plc
94,368
1,861,936
142,844
(16.5)
Netherlands
Shell
plc
219,753
5,722,980
255,171
(29.4)
Nigeria
Airtel
Africa
plc
997,323
1,656,818
31,217
(3.6)
South
Africa
Anglo
American
plc
64,774
2,315,578
(321,540)
37.1
United
Kingdom
abrdn
plc
733,483
1,431,726
(24,543)
2.8
Associated
British
Foods
plc
164,008
3,164,629
(46,692)
5.4
BAE
Systems
plc
247,508
2,505,770
232,827
(26.8)
Barclays
plc
744,525
1,392,230
(20,889)
2.4
Barratt
Developments
plc
255,793
1,430,820
(38,567)
4.4
BP
plc
597,660
2,806,310
45,691
(5.3)
British
American
Tobacco
plc
79,998
3,429,056
83,999
(9.7)
Britvic
plc
172,841
1,713,243
1,644
(0.2)
BT
Group
plc
2,254,359
5,123,615
178,510
(20.6)
Centrica
plc
3,239,907
3,163,894
109,708
(12.6)
DCC
plc
75,655
4,706,994
(8,261)
1.0
DS
Smith
plc
1,488,863
5,042,514
(62,996)
7.3
217
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
Imperial
Brands
plc
222,207
4,974,711
151,828
(17.5)
Inchcape
plc
271,406
2,306,411
(60,780)
7.0
J
Sainsbury
plc
689,175
1,715,123
(11,400)
1.3
Kingfisher
plc
622,847
1,861,370
34,886
(4.0)
Man
Group
plc
514,937
1,571,965
78,849
(9.1)
Marks
&
Spencer
Group
plc
1,281,576
2,126,178
(30,608)
3.5
Royal
Mail
plc
1,499,204
4,952,562
(11,386)
1.3
Tesco
plc
764,903
2,383,900
40,280
(4.6)
Travis
Perkins
plc
211,317
2,504,783
(112,596)
13.0
Vodafone
Group
plc
1,561,944
2,428,655
13,935
(1.6)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(572,199)
(7,117,718)
(464,388)
53.5
United
Kingdom
AstraZeneca
plc
(30,699)
(4,049,868)
(341,279)
39.3
Croda
International
plc
(26,409)
(2,087,420)
(186,850)
21.5
Diageo
plc
(80,889)
(3,493,816)
(49,961)
5.8
Experian
plc
(58,200)
(1,708,799)
(89,948)
10.4
Halma
plc
(123,727)
(3,037,763)
(178,378)
20.6
Hargreaves
Lansdown
plc
(191,407)
(1,846,781)
(44,295)
5.1
Informa
plc
(453,395)
(2,929,210)
(17,292)
2.0
InterContinental
Hotels
Group
plc
(36,909)
(1,961,639)
(51,244)
5.9
National
Grid
plc
(299,717)
(3,851,644)
(80,966)
9.3
Pearson
plc
(183,170)
(1,677,376)
6,961
(0.8)
Pennon
Group
plc
(113,160)
(1,316,747)
146,155
(16.9)
Reckitt
Benckiser
Group
plc
(102,395)
(7,701,359)
(200,197)
23.1
RELX
plc
(57,623)
(1,564,543)
(100,628)
11.6
Rentokil
Initial
plc
(554,267)
(3,213,064)
(207,909)
24.0
Rightmove
plc
(240,771)
(1,668,504)
(79,953)
9.2
Rolls-Royce
Holdings
plc
(2,932,506)
(2,984,299)
146,720
(16.9)
Spirax-Sarco
Engineering
plc
(12,990)
(1,566,707)
(123,005)
14.2
St
James's
Place
plc
(110,616)
(1,488,376)
18,390
(2.1)
Weir
Group
plc
(The)
(91,801)
(1,530,033)
162,411
(18.7)
United
States
Ferguson
plc
(12,476)
(1,397,593)
(38,353)
4.4
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
JPMC
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-1.00%
to
0.25%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
33-59
months
maturity
ranging
from
02/25/2025
-
04/26/2027
$27,849,405
$(732,502)
$(4,146)
$(736,648)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
218
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
470,200
1,368,557
11,397
(1.5)
Yangzijiang
Shipbuilding
Holdings
Ltd.
11,948,200
8,000,855
(513,301)
69.7
Singapore
DBS
Group
Holdings
Ltd.
47,900
1,024,936
(5,605)
0.8
Genting
Singapore
Ltd.
2,994,100
1,552,872
(20,361)
2.8
Oversea-Chinese
Banking
Corp.
Ltd.
145,900
1,196,825
(2,469)
0.3
Singapore
Airlines
Ltd.
270,500
993,943
4,855
(0.7)
United
Overseas
Bank
Ltd.
66,400
1,254,438
(27,871)
3.8
Venture
Corp.
Ltd.
40,500
485,129
(5,489)
0.7
Yangzijiang
Financial
Holding
Ltd.
1,589,300
469,023
(45,758)
6.2
Short
Positions
Common
Stocks
Singapore
City
Developments
Ltd.
(582,400)
(3,420,732)
(8,412)
1.1
Keppel
Corp.
Ltd.
(454,400)
(2,122,783)
26,074
(3.5)
SATS
Ltd.
(169,200)
(474,722)
2,687
(0.4)
Singapore
Technologies
Engineering
Ltd.
(351,900)
(1,035,929)
(43,020)
5.8
Singapore
Telecommunications
Ltd.
(2,342,300)
(4,263,140)
(98,827)
13.4
UOL
Group
Ltd.
(35,000)
(185,521)
(6,402)
0.9
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-5.90%
to
0.45%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
08/25/2023
-
06/28/2024
$75,918,536
$24,962
$(2,824,065)
$(2,799,103)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
South
Korea
CJ
Corp.
10,885
653,584
(7,190)
0.3
CJ
ENM
Co.
Ltd.
16,614
1,202,245
(58,123)
2.1
DB
Insurance
Co.
Ltd.
16,420
777,902
24,896
(0.9)
E-MART,
Inc.
13,593
1,108,312
(1,062)
0.0
GS
Holdings
Corp.
24,391
788,062
1,286
(0.0)
Hana
Financial
Group,
Inc.
35,646
1,083,415
(19,310)
0.7
Hankook
Tire
&
Technology
Co.
Ltd.
47,452
1,209,703
(68,297)
2.4
HMM
Co.
Ltd.
48,150
916,705
(37,650)
1.3
219
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
South
Korea
(continued)
Hyundai
Glovis
Co.
Ltd.
6,268
871,385
(12,873)
0.5
Hyundai
Mobis
Co.
Ltd.
8,095
1,247,740
(32,687)
1.2
Industrial
Bank
of
Korea
192,450
1,429,276
(57,609)
2.1
Kia
Corp.
46,217
2,758,487
(147,700)
5.3
Korea
Investment
Holdings
Co.
Ltd.
22,941
1,093,572
(18,998)
0.7
Kumho
Petrochemical
Co.
Ltd.
21,594
2,322,615
(102,734)
3.7
LG
Corp.
14,866
894,180
(24,438)
0.9
LG
Display
Co.
Ltd.
81,821
918,031
(64,546)
2.3
LG
Electronics,
Inc.
16,606
1,132,466
(25,326)
0.9
Lotte
Chemical
Corp.
7,739
1,078,937
(66,980)
2.4
Lotte
Shopping
Co.
Ltd.
10,528
846,158
(795)
0.0
NH
Investment
&
Securities
Co.
Ltd.
125,657
878,995
(37,147)
1.3
POSCO
Holdings,
Inc.
12,571
2,241,876
(82,914)
3.0
Samsung
Life
Insurance
Co.
Ltd.
21,020
1,015,797
(41,289)
1.5
Samsung
Securities
Co.
Ltd.
34,555
893,236
(34,730)
1.2
Seegene,
Inc.
35,627
993,581
(34,689)
1.2
SK
Hynix,
Inc.
25,299
1,786,466
(81,634)
2.9
SK
Telecom
Co.
Ltd.
17,384
697,639
(33,366)
1.2
Woori
Financial
Group,
Inc.
389,599
3,646,936
(133,260)
4.8
Short
Positions
Common
Stocks
South
Korea
Alteogen,
Inc.
(20,535)
(968,574)
(1,319)
0.0
Celltrion
Healthcare
Co.
Ltd.
(40,390)
(2,143,860)
6,632
(0.2)
Hanon
Systems
(102,386)
(795,986)
(178)
0.0
Hanwha
Solutions
Corp.
(34,361)
(1,006,122)
(21,623)
0.8
HD
Hyundai
Co.
Ltd.
(14,735)
(677,017)
21,680
(0.8)
Hyundai
Motor
Co.
(11,564)
(1,616,041)
19,331
(0.7)
Iljin
Materials
Co.
Ltd.
(24,765)
(1,340,418)
157,167
(5.6)
Kakao
Corp.
(26,318)
(1,426,044)
38,253
(1.4)
KakaoBank
Corp.
(37,500)
(876,054)
119,902
(4.3)
Korea
Aerospace
Industries
Ltd.
(21,720)
(898,202)
(20,319)
0.7
L&F
Co.
Ltd.
(6,347)
(1,034,669)
144,401
(5.2)
LG
Chem
Ltd.
(2,477)
(984,067)
65,223
(2.3)
LG
H&H
Co.
Ltd.
(1,385)
(727,674)
(10,710)
0.4
NAVER
Corp.
(12,236)
(2,282,340)
85,826
(3.1)
Netmarble
Corp.
(12,788)
(679,728)
31,958
(1.1)
POSCO
Chemical
Co.
Ltd.
(32,581)
(2,698,215)
239,406
(8.6)
Samsung
Biologics
Co.
Ltd.
(2,361)
(1,443,438)
35,685
(1.3)
Samsung
C&T
Corp.
(10,519)
(1,001,455)
(72,743)
2.6
Samsung
Heavy
Industries
Co.
Ltd.
(265,045)
(1,239,723)
(20,130)
0.7
Samsung
SDI
Co.
Ltd.
(3,547)
(1,462,730)
105,995
(3.8)
SK
Innovation
Co.
Ltd.
(12,220)
(1,814,149)
71,258
(2.5)
SK,
Inc.
(5,763)
(959,071)
35,361
(1.3)
SKC
Co.
Ltd.
(15,295)
(1,572,819)
252,048
(9.0)
220
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-1.25%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
11-64
months
maturity
05/19/2023
$77,854,538
$(1,377,343)
$26,901
$(1,350,442)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Austria
ams-OSRAM
AG
192,174
1,738,597
(41,727)
3.1
Switzerland
Adecco
Group
AG
(Registered)
128,700
4,386,719
(205,040)
15.2
Baloise
Holding
AG
(Registered)
7,891
1,291,704
6,363
(0.5)
BKW
AG
11,708
1,224,920
342
(0.0)
Bucher
Industries
AG
(Registered)
3,331
1,162,676
(34,132)
2.5
Cie
Financiere
Richemont
SA
2,490
267,832
19,576
(1.4)
DKSH
Holding
AG
21,202
1,754,330
59,769
(4.4)
dormakaba
Holding
AG
1,870
816,120
24,751
(1.8)
Flughafen
Zurich
AG
(Registered)
11,782
1,785,264
(101,781)
7.5
Georg
Fischer
AG
(Registered)
18,297
903,666
(24,361)
1.8
Helvetia
Holding
AG
(Registered)
10,096
1,185,707
5,470
(0.4)
Julius
Baer
Group
Ltd.
12,901
598,478
(12,348)
0.9
Kuehne
+
Nagel
International
AG
(Registered)
4,316
1,025,492
21,372
(1.6)
Novartis
AG
(Registered)
26,218
2,222,779
53,714
(4.0)
OC
Oerlikon
Corp.
AG
(Registered)
58,548
408,761
(17,784)
1.3
SGS
SA
(Registered)
325
745,446
43,802
(3.2)
Sulzer
AG
(Registered)
12,451
776,091
(57,975)
4.3
Swatch
Group
AG
(The)
13,622
3,235,750
68,009
(5.0)
Swiss
Life
Holding
AG
(Registered)
577
281,673
(16,543)
1.2
Swisscom
AG
(Registered)
1,339
740,628
13,797
(1.0)
Tecan
Group
AG
(Registered)
6,525
1,900,003
1,250
(0.1)
Temenos
AG
(Registered)
999
85,494
4,729
(0.4)
UBS
Group
AG
(Registered)
115,645
1,869,602
31,928
(2.4)
Zurich
Insurance
Group
AG
2,483
1,082,770
20,281
(1.5)
United
States
Roche
Holding
AG
288
96,278
4,763
(0.4)
Swiss
Re
AG
631
48,977
171
(0.0)
221
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
(12,673)
(339,867)
6,080
(0.5)
Alcon,
Inc.
(8,509)
(596,664)
(27,645)
2.0
Bachem
Holding
AG
(Registered)
(24,512)
(1,708,489)
110,686
(8.2)
Banque
Cantonale
Vaudoise
(Registered)
(12,216)
(960,033)
(9,907)
0.7
Barry
Callebaut
AG
(Registered)
(337)
(754,011)
(14,810)
1.1
Belimo
Holding
AG
(Registered)
(4,151)
(1,461,480)
(52,667)
3.9
Chocoladefabriken
Lindt
&
Spruengli
AG
(201)
(2,046,591)
(126,389)
9.4
Clariant
AG
(Registered)
(74,355)
(1,417,823)
(15,853)
1.2
Credit
Suisse
Group
AG
(Registered)
(87,163)
(497,513)
24,561
(1.8)
Dufry
AG
(Registered)
(85,356)
(2,769,801)
38,592
(2.9)
EMS-Chemie
Holding
AG
(Registered)
(2,177)
(1,624,698)
(61,473)
4.6
Geberit
AG
(Registered)
(4,851)
(2,333,834)
32,595
(2.4)
Givaudan
SA
(Registered)
(990)
(3,489,466)
(315,119)
23.3
Holcim
AG
(21,168)
(907,886)
73,738
(5.5)
Idorsia
Ltd.
(169,346)
(2,425,970)
36,212
(2.7)
Logitech
International
SA
(Registered)
(59,213)
(3,087,675)
76,885
(5.7)
Lonza
Group
AG
(Registered)
(2,896)
(1,546,862)
(38,570)
2.9
Partners
Group
Holding
AG
(2,059)
(1,859,477)
(15,403)
1.1
Schindler
Holding
AG
(6,920)
(1,265,385)
(4,469)
0.3
SIG
Group
AG
(335,162)
(7,401,056)
(670,782)
49.7
Sika
AG
(Registered)
(9,285)
(2,143,324)
(12,341)
0.9
Straumann
Holding
AG
(Registered)
(9,798)
(1,180,327)
(149,364)
11.1
VAT
Group
AG
(5,788)
(1,384,238)
6,604
(0.5)
United
States
Nestle
SA
(Registered)
(25,298)
(2,956,647)
(131,772)
9.8
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-1.70%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
21-24
months
maturity
02/21/2024
$41,747,620
$(527,995)
$(24,222)
$(552,217)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
2,332
5,474,598
50,005
(9.1)
Carlsberg
A/S
26,751
3,418,851
112,643
(20.4)
GN
Store
Nord
A/S
2,850
100,540
12,922
(2.3)
H
Lundbeck
A/S
290,504
1,410,863
49,935
(9.0)
222
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Denmark
(continued)
H
Lundbeck
A/S
72,626
348,520
9,823
(1.8)
ISS
A/S
193,762
3,089,149
(29,858)
5.4
Novo
Nordisk
A/S
4,280
474,662
24,142
(4.4)
Pandora
A/S
14,104
896,062
(24,591)
4.5
ROCKWOOL
A/S
1,757
398,899
(7,455)
1.3
Royal
Unibrew
A/S
14,488
1,289,401
49,127
(8.9)
Short
Positions
Common
Stocks
Denmark
Ambu
A/S
(45,872)
(448,219)
11,952
(2.2)
Chr
Hansen
Holding
A/S
(25,748)
(1,879,546)
(126,264)
22.9
Coloplast
A/S
(10,565)
(1,207,154)
(83,007)
15.0
Danske
Bank
A/S
(23,499)
(334,455)
18,318
(3.3)
Demant
A/S
(477)
(17,931)
(935)
0.2
DSV
A/S
(22,643)
(3,183,998)
(79,879)
14.5
Genmab
A/S
(4,266)
(1,384,082)
(190,091)
34.4
Jyske
Bank
A/S
(Registered)
(4,715)
(232,401)
(17,628)
3.2
Novozymes
A/S
(33,115)
(1,992,959)
(129,947)
23.5
Orsted
A/S
(47,474)
(5,000,148)
(384,885)
69.7
SimCorp
A/S
(10,809)
(790,167)
(21,092)
3.8
Tryg
A/S
(177,251)
(3,993,448)
(102,570)
18.6
Vestas
Wind
Systems
A/S
(206,075)
(4,381,567)
331,340
(60.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-2.20%
to
0.35%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
5-61
months
maturity
11/11/2022
$386,038,328
$(9,458,772)
$(2,287,262)
$(11,746,034)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Belgium
Proximus
SADP
246,753
3,642,037
(372,492)
3.2
Finland
Nokia
OYJ
562,062
2,605,187
8,818
(0.1)
France
AXA
SA
121,143
2,767,093
(88,053)
0.7
Bouygues
SA
142,180
4,388,175
(248,628)
2.1
Cie
de
Saint-Gobain
99,406
4,295,258
(476,885)
4.1
Electricite
de
France
SA
798,098
6,555,456
(153,879)
1.3
223
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
France
(continued)
Engie
SA
446,382
5,168,641
(95,823)
0.8
Orange
SA
333,619
3,931,224
107,124
(0.9)
Rexel
SA
167,527
2,588,627
(518,783)
4.4
TotalEnergies
SE
126,188
6,642,154
117,496
(1.0)
Veolia
Environnement
SA
117,197
2,872,887
18,629
(0.2)
Germany
Deutsche
Bank
AG
(Registered)
355,142
3,120,883
(377,897)
3.2
Deutsche
Post
AG
(Registered)
71,690
2,706,739
60,371
(0.5)
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
(Registered)
12,178
2,880,674
87,087
(0.7)
ProSiebenSat.1
Media
SE
452,103
4,205,054
(120,570)
1.0
Netherlands
Aegon
NV
819,828
3,530,697
(197,106)
1.7
ASR
Nederland
NV
117,673
4,744,220
57,000
(0.5)
Koninklijke
Ahold
Delhaize
NV
221,934
5,776,725
(41,157)
0.4
NN
Group
NV
94,870
4,296,936
(159,024)
1.4
Randstad
NV
69,397
3,353,985
(34,253)
0.3
Spain
Acerinox
SA
356,525
3,461,681
(310,017)
2.6
Mapfre
SA
2,015,506
3,564,156
5,184
(0.0)
Repsol
SA
552,875
8,150,487
189,732
(1.6)
Telefonica
SA
696,692
3,556,986
346,014
(2.9)
United
States
Signify
NV
99,576
3,285,042
(222,184)
1.9
Short
Positions
Common
Stocks
China
Prosus
NV
(100,166)
(6,486,114)
(1,355,232)
11.5
Finland
Elisa
OYJ
(63,164)
(3,555,963)
(149,686)
1.3
France
Dassault
Systemes
SE
(77,494)
(2,870,445)
(130,019)
1.1
Edenred
(59,029)
(2,796,242)
31,971
(0.3)
EssilorLuxottica
SA
(17,863)
(2,708,258)
(101,563)
0.9
Getlink
SE
(189,224)
(3,355,952)
80,540
(0.7)
Hermes
International
(2,414)
(2,716,784)
(253,312)
2.2
L'Oreal
SA
(12,084)
(4,195,632)
(299,728)
2.6
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(5,439)
(3,333,444)
(228,763)
1.9
Pernod
Ricard
SA
(18,934)
(3,500,419)
(134,243)
1.1
Remy
Cointreau
SA
(20,364)
(3,573,100)
(250,392)
2.1
Safran
SA
(40,354)
(4,017,866)
(163,649)
1.4
Sartorius
Stedim
Biotech
(21,751)
(6,862,829)
(298,168)
2.5
Germany
Merck
KGaA
(16,539)
(2,805,367)
(64,304)
0.5
RWE
AG
(82,999)
(3,069,806)
182,332
(1.6)
Sartorius
AG
(9,578)
(3,361,577)
(269,095)
2.3
Netherlands
Adyen
NV
(2,017)
(2,910,798)
(289,369)
2.5
Argenx
SE
(13,716)
(5,170,293)
(412,604)
3.5
ASML
Holding
NV
(5,536)
(2,615,416)
(9,695)
0.1
IMCD
NV
(27,156)
(3,713,163)
(145,936)
1.2
Spain
Amadeus
IT
Group
SA
(81,506)
(4,563,860)
(79,614)
0.7
Cellnex
Telecom
SA
(185,285)
(7,210,958)
264,564
(2.3)
Ferrovial
SA
(280,229)
(7,130,081)
(220,121)
1.9
Naturgy
Energy
Group
SA
(133,302)
(3,851,851)
(64,751)
0.6
224
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
Schneider
Electric
SE
(25,238)
(3,007,248)
54,920
(0.5)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.70%
to
0.35%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
21-24
months
maturity
02/21/2024
$23,406,528
$(1,168,578)
$84,451
$(1,084,127)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
58,311
2,443,291
(170,424)
15.7
Norway
Equinor
ASA
192,334
6,701,955
(144,173)
13.3
Leroy
Seafood
Group
ASA
36,205
259,230
4,317
(0.4)
Norsk
Hydro
ASA
274,544
1,551,520
(157,673)
14.5
Orkla
ASA
22,118
177,181
9,752
(0.9)
United
Kingdom
Subsea
7
SA
234,446
1,872,526
(31,186)
2.9
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(12,488)
(804,851)
(31,459)
2.9
France
Adevinta
ASA
(71,792)
(528,528)
(50,386)
4.6
Norway
DNB
Bank
ASA
(26)
(471)
(5)
0.0
Gjensidige
Forsikring
ASA
(57,155)
(1,163,477)
(31,367)
2.9
Mowi
ASA
(50,015)
(1,143,727)
73,934
(6.8)
Salmar
ASA
(16,359)
(1,158,155)
6,110
(0.6)
Schibsted
ASA
(101,392)
(1,831,543)
(205,104)
18.9
Telenor
ASA
(68,828)
(919,764)
(24,624)
2.3
TOMRA
Systems
ASA
(151,871)
(2,850,309)
(416,290)
38.4
225
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-2.13%
to
0.35%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
21-24
months
maturity
02/21/2024
$66,643,783
$(232,719)
$33,140
$(199,579)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
128,444
1,840,822
(55,751)
27.9
Finland
Nordea
Bank
Abp
37,580
331,964
(12,105)
6.1
Sweden
BillerudKorsnas
AB
222,484
2,608,684
82,570
(41.4)
Boliden
AB
49,624
1,587,000
(108,892)
54.6
Electrolux
AB
22,703
306,646
5,708
(2.9)
Elekta
AB
106,399
737,395
38,660
(19.4)
Essity
AB
118,202
3,089,867
94,881
(47.5)
Getinge
AB
67,431
1,562,805
142,962
(71.6)
H
&
M
Hennes
&
Mauritz
AB
102,830
1,234,232
(18,254)
9.1
Hexpol
AB
29,323
251,105
(1,859)
0.9
Saab
AB
66,429
2,746,999
259,909
(130.2)
Securitas
AB
546,200
4,722,348
66,453
(33.3)
Skandinaviska
Enskilda
Banken
AB
33,507
330,106
(9,558)
4.8
Skanska
AB
65,371
1,005,767
(10,288)
5.2
SKF
AB
64,901
962,890
(85,829)
43.0
SSAB
AB
775,582
3,222,720
(221,615)
111.0
Svenska
Handelsbanken
AB
2,413
20,713
(441)
0.2
Swedbank
AB
37,937
481,140
(21,362)
10.7
Telefonaktiebolaget
LM
Ericsson
396,057
2,958,157
25,793
(12.9)
Telia
Co.
AB
360,501
1,383,641
27,940
(14.0)
Trelleborg
AB
49,944
1,010,494
(67,990)
34.1
Volvo
AB
67,185
1,045,358
(41,056)
20.6
Short
Positions
Common
Stocks
Sweden
AAK
AB
(46,069)
(751,705)
(48,944)
24.5
Alfa
Laval
AB
(41,061)
(995,405)
12,882
(6.5)
Assa
Abloy
AB
(91,968)
(1,962,601)
(5,424)
2.7
Atlas
Copco
AB
(123,076)
(1,151,997)
11,900
(6.0)
Axfood
AB
(29,906)
(861,069)
(81,682)
40.9
Beijer
Ref
AB
(98,605)
(1,352,205)
(34,548)
17.3
Embracer
Group
AB
(84,684)
(650,466)
23,711
(11.9)
Epiroc
AB
(109,324)
(1,695,075)
109,402
(54.8)
226
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Sweden
(continued)
EQT
AB
(165,767)
(3,407,019)
88,271
(44.2)
Evolution
AB
(14,408)
(1,318,059)
(52,293)
26.2
Hexagon
AB
(236,170)
(2,467,753)
(41,353)
20.7
Holmen
AB
(50,152)
(2,042,874)
109,842
(55.0)
Husqvarna
AB
(6,156)
(45,375)
709
(0.4)
Indutrade
AB
(49,984)
(917,108)
39,843
(20.0)
Lifco
AB
(144,520)
(2,333,798)
22,656
(11.4)
Nibe
Industrier
AB
(591,056)
(4,455,525)
(393,721)
197.3
Sandvik
AB
(38,134)
(621,474)
49,336
(24.7)
Svenska
Cellulosa
AB
SCA
(165,955)
(2,493,483)
34,026
(17.0)
Sweco
AB
(108,818)
(1,134,140)
(82,633)
41.4
Swedish
Match
AB
(163,945)
(1,672,655)
(62,814)
31.5
Tele2
AB
(74,975)
(854,930)
(25,274)
12.7
United
States
Sinch
AB
(5,576)
(18,214)
3,513
(1.8)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MSIP
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
Federal
Funds
Effective
Rate
plus
or
minus
a
specified
spread
(-26.25%
to
0.40%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
10-24
months
maturity
ranging
from
04/19/2023
-
04/20/2023
$57,392,668
$(2,348,300)
$1,114,418
$(1,233,882)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Banco
do
Brasil
SA
347,800
2,218,339
(93,871)
7.6
Klabin
SA
96,100
370,925
(8,131)
0.7
Petroleo
Brasileiro
SA
606,800
3,238,385
10,451
(0.8)
Telefonica
Brasil
SA
41,400
372,275
5,678
(0.5)
TIM
SA
668,300
1,629,424
8,729
(0.7)
Vibra
Energia
SA
360,400
1,150,729
(31,700)
2.6
Taiwan
ASE
Technology
Holding
Co.
Ltd.
167,000
430,111
(116,981)
9.5
AUO
Corp.
3,783,000
2,071,317
(121,310)
9.8
Catcher
Technology
Co.
Ltd.
300,000
1,673,547
10,347
(0.8)
Cathay
Financial
Holding
Co.
Ltd.
341,000
583,919
(23,334)
1.9
Evergreen
Marine
Corp.
Taiwan
Ltd.
447,000
1,270,494
(524,300)
42.5
Formosa
Plastics
Corp.
104,000
379,750
7,596
(0.6)
Innolux
Corp.
4,894,000
1,991,424
(204,024)
16.5
Micro-Star
International
Co.
Ltd.
96,000
366,737
(38,076)
3.1
Nanya
Technology
Corp.
1,076,000
1,790,750
(382,124)
31.0
Novatek
Microelectronics
Corp.
113,000
1,149,678
(178,665)
14.5
227
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Taiwan
(continued)
Pegatron
Corp.
607,000
1,163,881
(261,719)
21.2
Pou
Chen
Corp.
742,000
736,941
(29,693)
2.4
United
Microelectronics
Corp.
290,000
387,639
(76,651)
6.2
Wan
Hai
Lines
Ltd.
88,000
351,858
(35,482)
2.9
Winbond
Electronics
Corp.
1,325,000
969,463
(126,808)
10.3
Yang
Ming
Marine
Transport
Corp.
457,000
1,263,972
(570,974)
46.3
United
States
JBS
SA
297,300
1,794,554
(99,840)
8.1
Short
Positions
Common
Stocks
Brazil
B3
SA
-
Brasil
Bolsa
Balcao
(458,800)
(960,829)
62,433
(5.1)
Banco
BTG
Pactual
SA
(273,700)
(1,166,773)
(22,679)
1.8
Cosan
SA
(305,200)
(1,061,373)
28,924
(2.3)
Equatorial
Energia
SA
(146,906)
(641,132)
50,222
(4.1)
Localiza
Rent
a
Car
SA
(135,000)
(1,351,948)
(26,612)
2.2
Rumo
SA
(341,300)
(1,041,485)
81,392
(6.6)
Suzano
SA
(107,300)
(1,018,781)
7,233
(0.6)
WEG
SA
(177,600)
(897,595)
(107,808)
8.7
China
Airtac
International
Group
(9,467)
(315,988)
(9,667)
0.8
Silergy
Corp.
(6,000)
(485,156)
(29,541)
2.4
Taiwan
Advantech
Co.
Ltd.
(96,000)
(1,117,181)
(54,346)
4.4
ASMedia
Technology,
Inc.
(25,000)
(941,490)
121,107
(9.8)
Chailease
Holding
Co.
Ltd.
(224,130)
(1,572,596)
(4,766)
0.4
China
Development
Financial
Holding
Corp.
(685,000)
(339,223)
9,442
(0.8)
China
Steel
Corp.
(860,000)
(823,450)
134,418
(10.9)
Chunghwa
Telecom
Co.
Ltd.
(280,000)
(1,149,801)
26,199
(2.1)
Delta
Electronics,
Inc.
(170,000)
(1,267,563)
29,061
(2.4)
E
Ink
Holdings,
Inc.
(101,000)
(644,912)
49,079
(4.0)
E.Sun
Financial
Holding
Co.
Ltd.
(2,502,318)
(2,442,684)
4,083
(0.3)
Formosa
Petrochemical
Corp.
(229,000)
(721,847)
16,816
(1.4)
Hon
Hai
Precision
Industry
Co.
Ltd.
(121,000)
(444,208)
4,732
(0.4)
Hotai
Motor
Co.
Ltd.
(16,000)
(326,396)
(21,041)
1.7
Mega
Financial
Holding
Co.
Ltd.
(765,000)
(909,037)
(1,670)
0.1
Taiwan
Cement
Corp.
(297,000)
(395,231)
(43)
0.0
Taiwan
Cooperative
Financial
Holding
Co.
Ltd.
(596,000)
(538,913)
(3,228)
0.3
Win
Semiconductors
Corp.
(152,000)
(986,835)
49,927
(4.0)
Wiwynn
Corp.
(20,000)
(468,647)
38,711
(3.1)
228
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Consolidated
Schedule
of
Investments
June
30,
2022
(Unaudited)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
BANA
Cash
$
(13,566)
$
–
$
(13,566)
Investment
Companies
7,831,278
–
7,831,278
BARC
Cash
–
38,215,514
38,215,514
CITG
Cash
–
(437,527)
(437,527)
CITI
Cash
(11,183)
–
(11,183)
Investment
Companies
16,450,492
–
16,450,492
GSCO
Cash
–
3,456,958
3,456,958
GSIN
U.S.
Treasury
Bills
122,660,580
–
122,660,580
JPMC
U.S.
Treasury
Bills
43,411,824
–
43,411,824
JPMS
Cash
–
128,846
128,846
MLIN
Cash
7,030,000
–
7,030,000
MSCL
Cash
–
20,215,740
20,215,740
MSIP
U.S.
Treasury
Bills
54,158,168
–
54,158,168
Collateral
pledged
to,
or
(received
from),
each
counterparty
for
the
Subsidiary
(See
Note
2)
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED/
EXCHANGE
CLEARED
TOTAL
GSCO
Cash
$
–
$
7,175,580
$
7,175,580
MSCL
Cash
–
9,317,923
9,317,923
229
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
INVESTMENTS
SHARES
VALUE
($)
SHORT-TERM
INVESTMENTS
-
76.0%
INVESTMENT
COMPANIES
-
39.6%
Limited
Purpose
Cash
Investment
Fund,
1.15%
(1)(a)
(Cost
$9,245,681)
9,252,302
9,244,901
PRINCIPAL
AMOUNT
U.S.
TREASURY
OBLIGATIONS
-
36.4%
U.S.
Treasury
Bills
0.37%,
7/21/2022
(b)
$
212,000
211,880
0.77%,
8/18/2022
(b)
482,000
481,145
1.06%,
9/29/2022
(b)
171,000
170,299
1.39%,
11/10/2022
(b)
235,000
233,261
1.50%,
11/17/2022
(b)
3,119,000
3,094,297
1.54%,
11/25/2022
(b)
406,000
402,635
1.59%,
12/1/2022
(b)
1,506,000
1,491,895
INVESTMENTS
PRINCIPAL
AMOUNT
VALUE
($)
U.S.
TREASURY
OBLIGATIONS
-
36.4%
(continued)
2.53%,
12/29/2022
(b)
$
2,464,000
2,434,020
TOTAL
U.S.
TREASURY
OBLIGATIONS
(Cost
$8,531,256)
8,519,432
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$17,776,937)
17,764,333
TOTAL
INVESTMENTS
IN
SECURITIES
AT
VALUE
-
76.0%
(Cost
$17,776,937)
17,764,333
OTHER
ASSETS
IN
EXCESS
OF
LIABILITIES
-
24.0%
(c)
5,613,942
NET
ASSETS
-
100.0%
23,378,275
SECURITY
TYPE
VALUE
%
OF
NET
ASSETS
Investment
Companies
9,244,901
39.6
U.S.
Treasury
Obligations
8,519,432
36.4
Total
Investments
In
Securities
At
Value
$
17,764,333
76.0
Other
Assets
in
Excess
of
Liabilities
(c)
5,613,942
24.0
Net
Assets
$
23,378,275
100.0%
(a)
Represents
7-day
effective
yield
as
of
June
30,
2022.
(b)
The
rate
shown
was
the
effective
yield
at
the
date
of
purchase.
(c)
Includes
appreciation/(depreciation)
on
forward
foreign
currency
exchange
and
swap
contracts.
All
securities
are
Level
2
with
respect
to
ASC
820,
unless
otherwise
noted
in
parentheses.
(1)
Level
1
security
(See
Note
5).
Forward
foreign
currency
contracts
outstanding
as
of
June
30,
2022:
Over
the
Counter
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CAD
19,346
USD
15,031
CITI
9/21/2022
$
1
CAD
19,345
USD
15,030
JPMC
9/21/2022
1
CHF
162,000
USD
167,935
CITI
9/21/2022
2,741
CHF
162,000
USD
167,935
JPMC
9/21/2022
2,740
EUR
50,000
USD
52,494
CITI
9/21/2022
205
EUR
49,999
USD
52,493
JPMC
9/21/2022
205
HKD
190,500
USD
24,331
CITI
9/21/2022
2
HKD
190,500
USD
24,331
JPMC
9/21/2022
2
JPY
4,719,500
USD
34,898
CITI
9/21/2022
84
JPY
4,719,500
USD
34,898
JPMC
9/21/2022
84
USD
12,222
AUD
17,000
CITI
9/21/2022
480
USD
12,222
AUD
17,000
JPMC
9/21/2022
480
USD
12,303
CAD
15,500
CITI
9/21/2022
259
USD
12,303
CAD
15,500
JPMC
9/21/2022
259
USD
19,349
EUR
18,000
CITI
9/21/2022
378
USD
19,349
EUR
18,000
JPMC
9/21/2022
377
USD
11,633
HKD
91,000
CITI
9/21/2022
9
USD
11,633
HKD
91,000
JPMC
9/21/2022
9
USD
8,905
JPY
1,171,000
CITI
9/21/2022
225
USD
8,905
JPY
1,171,000
JPMC
9/21/2022
225
USD
323
NZD
500
CITI
9/21/2022
11
230
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
CURRENCY
PURCHASED
CURRENCY
SOLD
COUNTERPARTY
SETTLEMENT
DATE
UNREALIZED
APPRECIATION
(DEPRECIATION)
USD
323
NZD
500
JPMC
9/21/2022
$
11
USD
2,178
SGD
3,000
CITI
9/21/2022
18
USD
2,178
SGD
3,000
JPMC
9/21/2022
18
Total
unrealized
appreciation
8,824
AUD
205,503
USD
144,975
CITI
9/21/2022
(3,032)
AUD
205,497
USD
144,971
JPMC
9/21/2022
(3,032)
CAD
271,158
USD
211,507
CITI
9/21/2022
(820)
CAD
271,151
USD
211,515
JPMC
9/21/2022
(833)
DKK
317,000
USD
45,071
CITI
9/21/2022
(143)
DKK
317,000
USD
45,071
JPMC
9/21/2022
(143)
EUR
456,006
USD
487,257
CITI
9/21/2022
(6,640)
EUR
455,995
USD
487,246
JPMC
9/21/2022
(6,640)
GBP
216,002
USD
270,419
CITI
9/21/2022
(7,073)
GBP
215,998
USD
270,414
JPMC
9/21/2022
(7,074)
HKD
326,000
USD
41,641
CITI
9/21/2022
–
HKD
326,000
USD
41,641
JPMC
9/21/2022
–
ILS
43,000
USD
12,874
CITI
9/21/2022
(492)
ILS
43,000
USD
12,874
JPMC
9/21/2022
(492)
JPY
46,101,000
USD
363,671
CITI
9/21/2022
(21,966)
JPY
46,101,000
USD
363,671
JPMC
9/21/2022
(21,967)
NOK
137,003
USD
14,211
CITI
9/21/2022
(277)
NOK
136,997
USD
14,210
JPMC
9/21/2022
(277)
NZD
5,000
USD
3,196
CITI
9/21/2022
(76)
NZD
5,000
USD
3,196
JPMC
9/21/2022
(76)
SEK
570,001
USD
57,495
CITI
9/21/2022
(1,586)
SEK
569,999
USD
57,495
JPMC
9/21/2022
(1,587)
SGD
131,500
USD
95,295
CITI
9/21/2022
(595)
SGD
131,500
USD
95,295
JPMC
9/21/2022
(595)
Total
unrealized
depreciation
(85,416)
Net
unrealized
depreciation
$
(76,592)
Total
Return
Basket
Swaps
Outstanding
at
June
30,
2022
Over
the
Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
TONAR
plus
or
minus
a
specified
spread
(-0.63%
to
0.01%),
which
is
denominated
in
JPY
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
12/18/2026
-
07/01/2027
$20,295,271
$55,144
$56,784
$111,928
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
231
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Japan
Amada
Co.
Ltd.
17,300
127,541
(11,441)
(10
.2)
Dai-ichi
Life
Holdings,
Inc.
8,700
160,910
(7,518)
(6
.7)
Fukuoka
Financial
Group,
Inc.
7,800
140,478
4,066
3
.6
Honda
Motor
Co.
Ltd.
6,500
156,722
(6,344)
(5
.7)
Japan
Post
Holdings
Co.
Ltd.
19,900
142,383
1,742
1
.6
Japan
Post
Insurance
Co.
Ltd.
10,000
160,047
(2,301)
(2
.1)
KDDI
Corp.
4,700
148,212
(3,496)
(3
.1)
Mazda
Motor
Corp.
29,400
239,977
(15,547)
(13
.9)
Mitsubishi
HC
Capital,
Inc.
27,900
128,769
(1,807)
(1
.6)
Mizuho
Financial
Group,
Inc.
40,800
464,505
3,064
2
.7
NGK
Insulators
Ltd.
10,300
138,767
(10,550)
(9
.4)
NGK
Spark
Plug
Co.
Ltd.
9,700
175,954
(12,149)
(10
.9)
NIPPON
EXPRESS
HOLDINGS,
Inc.
2,600
141,630
(8,222)
(7
.3)
Nippon
Telegraph
&
Telephone
Corp.
4,400
126,426
(828)
(0
.7)
Nippon
Yusen
KK
2,000
137,130
(7,035)
(6
.3)
Resona
Holdings,
Inc.
39,800
148,872
3,436
3
.1
Ricoh
Co.
Ltd.
17,500
136,625
(11,428)
(10
.2)
SCREEN
Holdings
Co.
Ltd.
2,500
169,631
(36,074)
(32
.2)
Seiko
Epson
Corp.
8,600
121,664
(15,084)
(13
.5)
Shimamura
Co.
Ltd.
2,200
193,304
10,403
9
.3
Sohgo
Security
Services
Co.
Ltd.
5,400
149,951
6,733
6
.0
Sumitomo
Mitsui
Financial
Group,
Inc.
4,500
133,763
733
0
.7
Taisei
Corp.
5,100
159,018
3,026
2
.7
Tosoh
Corp.
11,200
139,314
(7,409)
(6
.6)
Yamada
Holdings
Co.
Ltd.
45,300
162,906
5,881
5
.3
Short
Positions
Common
Stocks
Japan
Aeon
Co.
Ltd.
(8,300)
(144,172)
(2,070)
(1
.8)
ANA
Holdings,
Inc.
(8,400)
(155,162)
2,725
2
.4
Asahi
Intecc
Co.
Ltd.
(8,600)
(130,212)
(6,048)
(5
.4)
Daikin
Industries
Ltd.
(1,000)
(160,559)
1,771
1
.6
Denso
Corp.
(3,700)
(195,295)
26,547
23
.7
Fast
Retailing
Co.
Ltd.
(300)
(157,583)
(3,183)
(2
.8)
Japan
Airlines
Co.
Ltd.
(7,100)
(121,989)
1,769
1
.6
JSR
Corp.
(8,500)
(220,883)
34,742
31
.0
Keyence
Corp.
(500)
(171,469)
14,938
13
.3
Kikkoman
Corp.
(2,400)
(127,720)
(5,138)
(4
.6)
Kobe
Bussan
Co.
Ltd.
(6,100)
(149,944)
(4,003)
(3
.6)
Lasertec
Corp.
(1,600)
(190,566)
19,666
17
.6
Mitsubishi
UFJ
Financial
Group,
Inc.
(26,500)
(141,776)
4,298
3
.8
MonotaRO
Co.
Ltd.
(11,900)
(177,473)
3,561
3
.2
Nexon
Co.
Ltd.
(5,700)
(117,048)
17,217
15
.4
232
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Japan
(continued)
Nidec
Corp.
(3,200)
(198,294)
11,517
10
.3
Nippon
Paint
Holdings
Co.
Ltd.
(23,200)
(173,587)
(1,248)
(1
.1)
Nomura
Research
Institute
Ltd.
(4,500)
(120,764)
783
0
.7
Obic
Co.
Ltd.
(900)
(127,986)
382
0
.3
Oriental
Land
Co.
Ltd.
(1,000)
(139,652)
52
0
.0
Pan
Pacific
International
Holdings
Corp.
(9,900)
(157,838)
(3,364)
(3
.0)
SMC
Corp.
(300)
(133,542)
24,042
21
.5
Sony
Group
Corp.
(1,600)
(130,491)
13,797
12
.3
Toyota
Motor
Corp.
(14,200)
(219,096)
15,233
13
.6
Unicharm
Corp.
(4,800)
(161,075)
(6,866)
(6
.1)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
GSIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
OBFR
plus
or
minus
a
specified
spread
(-3.29%
to
0.02%),
which
is
denominated
in
USD
based
on
the
local
currencies
of
the
positions
within
the
swap.
55-61
months
maturity
ranging
from
12/18/2026
-
07/01/2027
$56,876,778
$(1,000,386)
$(215,062)
$(1,215,448)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
United
States
Adobe,
Inc.
596
218,172
(32,041)
2
.6
Alaska
Air
Group,
Inc.
4,962
198,728
(18,610)
1
.5
Alphabet,
Inc.
84
183,058
(9,617)
0
.8
Amazon.com,
Inc.
2,313
245,664
(16,081)
1
.3
American
International
Group,
Inc.
3,197
163,463
(11,323)
0
.9
Apple,
Inc.
2,940
401,957
(16,052)
1
.3
Arrow
Electronics,
Inc.
1,903
213,307
(12,277)
1
.0
Bank
of
America
Corp.
6,375
198,454
(10,458)
0
.9
Booking
Holdings,
Inc.
90
157,409
(46,155)
3
.8
Cisco
Systems,
Inc.
6,309
269,016
(9,649)
0
.8
Citigroup,
Inc.
5,292
243,379
(21,062)
1
.7
Coca-Cola
Co.
(The)
4,717
296,746
3,762
(0
.3)
Colgate-Palmolive
Co.
3,312
265,424
10,000
(0
.8)
CVS
Health
Corp.
2,614
242,213
(623)
0
.1
Douglas
Emmett,
Inc.
6,800
152,184
(16,409)
1
.4
Expedia
Group,
Inc.
1,671
158,461
(37,130)
3
.1
233
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
States
(continued)
General
Motors
Co.
4,785
151,972
(20,962)
1
.7
Gilead
Sciences,
Inc.
4,220
260,838
1,667
(0
.1)
Intel
Corp.
5,883
220,083
(14,658)
1
.2
Keurig
Dr
Pepper,
Inc.
4,480
158,547
(1,468)
0
.1
Kraft
Heinz
Co.
(The)
6,038
230,289
3,705
(0
.3)
LyondellBasell
Industries
NV
2,023
176,932
(36,444)
3
.0
ManpowerGroup,
Inc.
2,623
200,423
(22,429)
1
.8
Merck
&
Co.,
Inc.
2,188
199,480
6,229
(0
.5)
Microsoft
Corp.
1,859
477,447
(13,871)
1
.1
Owens
Corning
2,213
164,448
(33,150)
2
.7
PepsiCo,
Inc.
1,837
306,154
5,399
(0
.4)
Starbucks
Corp.
2,186
166,989
(5,509)
0
.5
Tractor
Supply
Co.
1,016
196,952
(5,101)
0
.4
Tyson
Foods,
Inc.
2,885
248,283
2,107
(0
.2)
Ulta
Beauty,
Inc.
635
244,780
(19,245)
1
.6
Vail
Resorts,
Inc.
780
170,079
(8,384)
0
.7
Verizon
Communications,
Inc.
3,657
185,593
(695)
0
.1
Vishay
Intertechnology,
Inc.
8,981
160,041
(14,204)
1
.2
Wells
Fargo
&
Co.
4,964
194,440
(14,407)
1
.2
Westrock
Co.
4,269
170,077
(23,163)
1
.9
Short
Positions
Common
Stocks
United
States
American
Airlines
Group,
Inc.
(13,087)
(165,943)
22,339
(1
.8)
Americold
Realty
Trust,
Inc.
(5,083)
(152,693)
335
(0
.0)
Clorox
Co.
(The)
(1,353)
(190,746)
(10,137)
0
.8
Commerce
Bancshares,
Inc.
(2,468)
(162,024)
3,455
(0
.3)
Constellation
Brands,
Inc.
(892)
(207,890)
8,467
(0
.7)
First
Financial
Bankshares,
Inc.
(4,272)
(167,761)
1,965
(0
.2)
Honeywell
International,
Inc.
(1,242)
(215,872)
15,220
(1
.3)
M&T
Bank
Corp.
(1,592)
(253,749)
16,118
(1
.3)
McCormick
&
Co.,
Inc.
(Non-Voting)
(2,308)
(192,141)
8,100
(0
.7)
Principal
Financial
Group,
Inc.
(2,329)
(155,554)
6,543
(0
.5)
Progressive
Corp.
(The)
(1,650)
(191,846)
(1,205)
0
.1
Realty
Income
Corp.
(3,690)
(251,879)
(5,771)
0
.5
SVB
Financial
Group
(392)
(154,836)
25,386
(2
.1)
Welltower,
Inc.
(2,312)
(190,393)
2,035
(0
.2)
234
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
BBR
plus
or
minus
a
specified
spread
(-2.00%
to
0.35%),
which
is
denominated
in
AUD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
06/28/2024
$2,544,786
$1,976
$(28,562)
$(26,586)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
ALS
Ltd.
2,929
21,668
(1,117)
4
.2
Ampol
Ltd.
1,445
34,106
81
(0
.3)
APA
Group
3,074
23,940
(630)
2
.4
Aristocrat
Leisure
Ltd.
2,670
63,509
(627)
2
.4
Atlas
Arteria
Ltd.
6,427
35,810
(80)
0
.3
Aurizon
Holdings
Ltd.
40,897
107,560
(184)
0
.7
Australia
&
New
Zealand
Banking
Group
Ltd.
10,119
154,120
(3,516)
13
.2
BlueScope
Steel
Ltd.
11,065
121,921
(1,570)
5
.9
Boral
Ltd.
12,893
23,064
(2,121)
8
.0
Brambles
Ltd.
10,659
78,816
(1,232)
4
.6
Coles
Group
Ltd.
7,745
95,313
(531)
2
.0
Computershare
Ltd.
2,773
47,288
842
(3
.2)
Fortescue
Metals
Group
Ltd.
1,406
16,907
(608)
2
.3
Harvey
Norman
Holdings
Ltd.
23,761
60,926
(2,354)
8
.9
Incitec
Pivot
Ltd.
36,188
83,280
(2,424)
9
.1
JB
Hi-Fi
Ltd.
5,260
139,896
(6,321)
23
.8
QBE
Insurance
Group
Ltd.
7,081
59,501
422
(1
.6)
Qube
Holdings
Ltd.
7,592
14,320
(298)
1
.1
Ramsay
Health
Care
Ltd.
790
40,014
(79)
0
.3
Sonic
Healthcare
Ltd.
5,176
117,978
(86)
0
.3
Suncorp
Group
Ltd.
10,395
79,270
(1,307)
4
.9
Telstra
Corp.
Ltd.
35,501
94,425
(1,878)
7
.1
Westpac
Banking
Corp.
4,231
57,072
(1,077)
4
.1
United
States
James
Hardie
Industries
plc
625
13,683
91
(0
.3)
235
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Australia
Allkem
Ltd.
(1,812)
(12,960)
560
(2
.1)
Cleanaway
Waste
Management
Ltd.
(18,758)
(32,652)
1,012
(3
.8)
Commonwealth
Bank
of
Australia
(868)
(54,230)
1,933
(7
.3)
CSL
Ltd.
(245)
(45,490)
677
(2
.5)
Domino's
Pizza
Enterprises
Ltd.
(1,699)
(79,863)
1,748
(6
.6)
Evolution
Mining
Ltd.
(12,844)
(20,986)
2,401
(9
.0)
IDP
Education
Ltd.
(3,599)
(58,934)
1,961
(7
.4)
Insurance
Australia
Group
Ltd.
(5,598)
(16,881)
121
(0
.5)
Lendlease
Corp.
Ltd.
(8,365)
(52,691)
1,007
(3
.8)
Lynas
Rare
Earths
Ltd.
(8,396)
(50,749)
2,394
(9
.0)
Macquarie
Group
Ltd.
(392)
(44,632)
355
(1
.3)
Medibank
Pvt
Ltd.
(14,299)
(32,161)
15
(0
.1)
Mineral
Resources
Ltd.
(355)
(11,915)
21
(0
.1)
NEXTDC
Ltd.
(1,559)
(11,474)
858
(3
.2)
Northern
Star
Resources
Ltd.
(4,602)
(21,587)
751
(2
.8)
Orica
Ltd.
(1,440)
(15,755)
155
(0
.6)
OZ
Minerals
Ltd.
(1,466)
(18,022)
658
(2
.5)
Pilbara
Minerals
Ltd.
(10,077)
(16,029)
108
(0
.4)
Pro
Medicus
Ltd.
(1,857)
(54,268)
3,267
(12
.3)
Qantas
Airways
Ltd.
(13,877)
(42,947)
1,498
(5
.6)
REA
Group
Ltd.
(447)
(34,518)
1,530
(5
.8)
Reece
Ltd.
(6,128)
(58,209)
3,680
(13
.8)
SEEK
Ltd.
(820)
(11,895)
687
(2
.6)
Seven
Group
Holdings
Ltd.
(2,082)
(23,936)
4
(0
.0)
Wesfarmers
Ltd.
(775)
(22,416)
467
(1
.8)
Woolworths
Group
Ltd.
(1,608)
(39,496)
539
(2
.0)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CDOR
plus
or
minus
a
specified
spread
(-1.17%
to
0.23%),
which
is
denominated
in
CAD
based
on
the
local
currencies
of
the
positions
within
the
swap.
13-14
months
maturity
ranging
from
01/25/2023
-
08/25/2023
$3,449,402
$19,565
$(126,362)
$(106,797)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
236
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Canada
Atco
Ltd.
2,273
77,874
1,448
(1
.4)
Bank
of
Montreal
1,447
139,147
(682)
0
.6
Bank
of
Nova
Scotia
(The)
1,671
98,894
(922)
0
.9
Canadian
Imperial
Bank
of
Commerce
925
44,921
(338)
0
.3
Canadian
National
Railway
Co.
460
51,743
(440)
0
.4
Canadian
Tire
Corp.
Ltd.
527
66,489
(2,334)
2
.2
CGI,
Inc.
389
30,988
(171)
0
.2
CI
Financial
Corp.
4,440
47,153
(2,007)
1
.9
Cogeco
Communications,
Inc.
455
30,778
(1,311)
1
.2
Empire
Co.
Ltd.
1,160
35,732
(189)
0
.2
Enbridge,
Inc.
2,155
91,008
(167)
0
.2
Finning
International,
Inc.
2,545
53,561
(576)
0
.5
George
Weston
Ltd.
805
94,040
1,501
(1
.4)
iA
Financial
Corp.,
Inc.
1,016
50,532
1,616
(1
.5)
Loblaw
Cos.
Ltd.
948
85,498
1,237
(1
.2)
Magna
International,
Inc.
696
38,217
(2,272)
2
.1
Metro,
Inc.
591
31,722
92
(0
.1)
National
Bank
of
Canada
835
54,795
91
(0
.1)
Nutrien
Ltd.
1,027
81,788
(4,229)
4
.0
Onex
Corp.
1,311
65,285
(789)
0
.7
Open
Text
Corp.
1,197
45,278
(1,711)
1
.6
Parkland
Corp.
2,147
58,312
1,051
(1
.0)
Pembina
Pipeline
Corp.
2,716
96,005
295
(0
.3)
SSR
Mining,
Inc.
2,070
34,575
(2,221)
2
.1
TFI
International,
Inc.
389
31,227
227
(0
.2)
Toromont
Industries
Ltd.
811
65,576
1,024
(1
.0)
West
Fraser
Timber
Co.
Ltd.
1,426
109,420
82
(0
.1)
Chile
Lundin
Mining
Corp.
10,261
65,048
(4,180)
3
.9
Short
Positions
Common
Stocks
Canada
Air
Canada
(3,308)
(41,222)
3,167
(3
.0)
Algonquin
Power
&
Utilities
Corp.
(2,088)
(28,063)
1,006
(0
.9)
Ballard
Power
Systems,
Inc.
(14,338)
(90,559)
6,126
(5
.7)
BlackBerry
Ltd.
(5,512)
(29,718)
2,194
(2
.1)
Boralex,
Inc.
(1,916)
(63,827)
(104)
0
.1
Brookfield
Asset
Management,
Inc.
(1,153)
(51,290)
1,469
(1
.4)
CAE,
Inc.
(1,848)
(45,540)
93
(0
.1)
Cameco
Corp.
(1,278)
(26,867)
2,492
(2
.3)
Canadian
Pacific
Railway
Ltd.
(912)
(63,703)
751
(0
.7)
Capital
Power
Corp.
(1,049)
(36,681)
782
(0
.7)
Constellation
Software,
Inc.
(28)
(41,566)
767
(0
.7)
237
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Canada
(continued)
Dollarama,
Inc.
(1,343)
(77,333)
1,711
(1
.6)
Element
Fleet
Management
Corp.
(3,649)
(38,043)
(257)
0
.2
Emera,
Inc.
(1,151)
(53,920)
(27)
0
.0
Franco-Nevada
Corp.
(433)
(56,957)
3,549
(3
.3)
GFL
Environmental,
Inc.
(2,046)
(52,708)
3,131
(2
.9)
Intact
Financial
Corp.
(369)
(52,048)
335
(0
.3)
Lightspeed
Commerce,
Inc.
(1,222)
(27,246)
2,457
(2
.3)
Restaurant
Brands
International,
Inc.
(1,381)
(69,275)
236
(0
.2)
Royal
Bank
of
Canada
(867)
(83,952)
88
(0
.1)
TMX
Group
Ltd.
(381)
(38,775)
(370)
0
.3
United
States
Brookfield
Renewable
Corp.
(1,917)
(68,283)
1,522
(1
.4)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SARON
plus
or
minus
a
specified
spread
(-0.65%
to
0.35%),
which
is
denominated
in
CHF
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$2,663,002
$18,382
$(16,243)
$2,139
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Switzerland
ABB
Ltd.
(Registered)
2,997
80,374
(647)
(30
.3)
Adecco
Group
AG
(Registered)
902
30,745
(757)
(35
.4)
Baloise
Holding
AG
(Registered)
101
16,533
187
8
.8
Barry
Callebaut
AG
(Registered)
20
44,748
(504)
(23
.6)
Belimo
Holding
AG
(Registered)
10
3,521
(83)
(3
.9)
Bucher
Industries
AG
(Registered)
144
50,263
(2,017)
(94
.3)
DKSH
Holding
AG
528
43,689
(7)
(0
.3)
dormakaba
Holding
AG
37
16,148
(189)
(8
.8)
Galenica
AG
402
30,924
1,342
62
.8
Geberit
AG
(Registered)
36
17,320
(547)
(25
.6)
Georg
Fischer
AG
(Registered)
141
6,964
(228)
(10
.7)
Helvetia
Holding
AG
(Registered)
300
35,233
137
6
.4
Julius
Baer
Group
Ltd.
762
35,349
(1,232)
(57
.6)
Kuehne
+
Nagel
International
AG
(Registered)
297
70,568
(1,236)
(57
.8)
238
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Switzerland
(continued)
Lonza
Group
AG
(Registered)
53
28,309
458
21
.4
Novartis
AG
(Registered)
3,897
330,390
(3,687)
(172
.4)
OC
Oerlikon
Corp.
AG
(Registered)
4,385
30,615
(963)
(45
.0)
SGS
SA
(Registered)
19
43,580
(464)
(21
.7)
Sulzer
AG
(Registered)
149
9,287
(436)
(20
.4)
Swisscom
AG
(Registered)
189
104,540
1,338
62
.6
Temenos
AG
(Registered)
1,210
103,552
(2,955)
(138
.1)
UBS
Group
AG
(Registered)
2,612
42,228
(1,933)
(90
.4)
United
States
Roche
Holding
AG
522
174,505
(337)
(15
.8)
Swiss
Re
AG
847
65,742
(534)
(25
.0)
Short
Positions
Common
Stocks
Austria
ams-OSRAM
AG
(1,904)
(17,225)
1,538
71
.9
Switzerland
Alcon,
Inc.
(670)
(46,981)
(482)
(22
.5)
Bachem
Holding
AG
(Registered)
(790)
(55,063)
4,567
213
.5
BKW
AG
(194)
(20,297)
194
9
.1
Chocoladefabriken
Lindt
&
Spruengli
AG
(2)
(20,364)
(252)
(11
.8)
Cie
Financiere
Richemont
SA
(149)
(16,027)
73
3
.4
Clariant
AG
(Registered)
(1,351)
(25,761)
(741)
(34
.6)
Credit
Suisse
Group
AG
(Registered)
(8,322)
(47,501)
1,611
75
.3
Dufry
AG
(Registered)
(1,313)
(42,607)
5,751
268
.9
EMS-Chemie
Holding
AG
(Registered)
(98)
(73,138)
979
45
.8
Flughafen
Zurich
AG
(Registered)
(149)
(22,577)
1,459
68
.2
Givaudan
SA
(Registered)
(34)
(119,840)
(2,040)
(95
.4)
Holcim
AG
(2,990)
(128,240)
5,071
237
.1
Idorsia
Ltd.
(4,283)
(61,356)
3,540
165
.5
Logitech
International
SA
(Registered)
(1,849)
(96,417)
3,960
185
.1
Partners
Group
Holding
AG
(36)
(32,511)
1,526
71
.3
Schindler
Holding
AG
(260)
(47,543)
24
1
.1
SIG
Group
AG
(3,722)
(82,189)
2,278
106
.5
Sika
AG
(Registered)
(358)
(82,640)
1,688
78
.9
Sonova
Holding
AG
(Registered)
(65)
(20,773)
42
1
.9
Straumann
Holding
AG
(Registered)
(266)
(32,044)
(1,166)
(54
.5)
Swiss
Life
Holding
AG
(Registered)
(9)
(4,394)
53
2
.5
Tecan
Group
AG
(Registered)
(142)
(41,349)
1,128
52
.7
VAT
Group
AG
(196)
(46,875)
2,296
107
.3
United
States
Nestle
SA
(Registered)
(549)
(64,163)
579
27
.1
239
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
CIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.35%),
which
is
denominated
in
DKK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$1,062,467
$(2,209)
$(5,348)
$(7,557)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Denmark
AP
Moller
-
Maersk
A/S
67
157,289
(6,886)
91
.1
Carlsberg
A/S
770
98,408
(149)
2
.0
DSV
A/S
153
21,514
(234)
3
.1
Genmab
A/S
199
64,565
950
(12
.6)
H
Lundbeck
A/S
6,393
31,048
(2,819)
37
.3
H
Lundbeck
A/S
2,113
10,140
(1,084)
14
.3
ISS
A/S
5,298
84,466
(2,488)
32
.9
Novo
Nordisk
A/S
1,263
140,070
(457)
6
.0
Pandora
A/S
1,374
87,294
(3,129)
41
.4
Short
Positions
Common
Stocks
Denmark
Chr
Hansen
Holding
A/S
(192)
(14,016)
484
(6
.4)
Coloplast
A/S
(618)
(70,612)
2,002
(26
.5)
GN
Store
Nord
A/S
(1,178)
(41,557)
(1,071)
14
.2
Novozymes
A/S
(401)
(24,133)
65
(0
.9)
Orsted
A/S
(198)
(20,854)
(406)
5
.4
ROCKWOOL
A/S
(20)
(4,541)
444
(5
.9)
Royal
Unibrew
A/S
(204)
(18,156)
(212)
2
.8
SimCorp
A/S
(106)
(7,749)
400
(5
.3)
Tryg
A/S
(2,414)
(54,387)
(326)
4
.3
Vestas
Wind
Systems
A/S
(5,252)
(111,668)
12,707
(168
.1)
240
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
ESTR
plus
or
minus
a
specified
spread
(-1.50%
to
0.30%),
which
is
denominated
in
EUR
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$11,342,445
$(14,157)
$(296,664)
$(310,821)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Finland
Nokia
OYJ
20,252
93,869
(3,319)
1
.1
Nokian
Renkaat
OYJ
7,199
79,402
(5,350)
1
.7
France
Atos
SE
7,400
100,322
(5,613)
1
.8
AXA
SA
5,243
119,758
(1,357)
0
.4
Bouygues
SA
2,794
86,233
(2,514)
0
.8
Cie
de
Saint-Gobain
2,057
88,881
(2,799)
0
.9
Eiffage
SA
1,354
122,483
(2,161)
0
.7
Ipsen
SA
899
85,120
4,313
(1
.4)
Orange
SA
17,361
204,575
1,923
(0
.6)
Germany
Bayer
AG
(Registered)
1,703
101,697
(3,198)
1
.0
Bayerische
Motoren
Werke
AG
1,327
102,870
(2,049)
0
.7
Covestro
AG
2,702
93,891
(3,087)
1
.0
Deutsche
Bank
AG
(Registered)
15,442
135,700
(6,611)
2
.1
GEA
Group
AG
2,748
95,268
(2,014)
0
.6
ProSiebenSat.1
Media
SE
12,808
119,128
(6,233)
2
.0
Italy
Leonardo
SpA
14,324
145,328
2,198
(0
.7)
UniCredit
SpA
12,878
123,067
(7,975)
2
.6
Unipol
Gruppo
SpA
29,042
132,286
(1,089)
0
.4
Netherlands
Aegon
NV
33,163
142,821
(5,713)
1
.8
ASR
Nederland
NV
2,756
111,114
197
(0
.1)
Koninklijke
Ahold
Delhaize
NV
5,963
155,211
(887)
0
.3
NN
Group
NV
2,981
135,018
996
(0
.3)
OCI
NV
2,367
77,864
2,358
(0
.8)
Singapore
STMicroelectronics
NV
2,509
79,347
(4,383)
1
.4
241
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Spain
Banco
Santander
SA
41,683
117,939
(2,889)
0
.9
Enagas
SA
4,125
91,231
(176)
0
.1
Industria
de
Diseno
Textil
SA
5,728
130,172
(806)
0
.3
Red
Electrica
Corp.
SA
5,523
104,548
(1,803)
0
.6
Telefonica
SA
30,576
156,107
4,412
(1
.4)
United
States
Stellantis
NV
11,857
147,202
(4,486)
1
.4
Short
Positions
Common
Stocks
China
Prosus
NV
(2,770)
(179,368)
(1,105)
0
.4
France
Air
Liquide
SA
(1,032)
(138,910)
5,585
(1
.8)
EssilorLuxottica
SA
(1,053)
(159,648)
(1,673)
0
.5
LVMH
Moet
Hennessy
Louis
Vuitton
SE
(178)
(109,092)
(865)
0
.3
Germany
adidas
AG
(645)
(114,572)
1,574
(0
.5)
Continental
AG
(1,564)
(109,775)
2,389
(0
.8)
Deutsche
Lufthansa
AG
(Registered)
(14,509)
(85,462)
4,647
(1
.5)
Deutsche
Telekom
AG
(Registered)
(6,501)
(129,300)
(314)
0
.1
Fresenius
Medical
Care
AG
&
Co.
KGaA
(2,108)
(105,613)
(125)
0
.0
Puma
SE
(1,191)
(79,019)
3,150
(1
.0)
RWE
AG
(3,259)
(120,538)
5,198
(1
.7)
Symrise
AG
(727)
(79,290)
1,216
(0
.4)
Italy
Ferrari
NV
(711)
(130,851)
1,428
(0
.5)
Intesa
Sanpaolo
SpA
(42,238)
(79,047)
4,507
(1
.4)
Netherlands
Argenx
SE
(271)
(102,154)
(2,160)
0
.7
ASM
International
NV
(403)
(100,269)
5,817
(1
.9)
Spain
CaixaBank
SA
(40,263)
(141,003)
3,757
(1
.2)
Cellnex
Telecom
SA
(4,510)
(175,521)
8,330
(2
.7)
Ferrovial
SA
(4,316)
(109,815)
(757)
0
.2
United
States
Schneider
Electric
SE
(1,272)
(151,566)
4,630
(1
.5)
242
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SONIA
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
GBP
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$3,866,748
$(23,370)
$(85,758)
$(109,128)
The
following
table
represents
disclosures
associated
with
a
subset
of
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Australia
Rio
Tinto
plc
2,874
171,827
(5,234)
4
.8
Austria
Mondi
plc
1,738
30,850
(1,078)
1
.0
Italy
Coca-Cola
HBC
AG
2,312
51,515
138
(0
.1)
Jordan
Hikma
Pharmaceuticals
plc
3,242
63,967
(1,746)
1
.6
Nigeria
Airtel
Africa
plc
38,838
64,520
(622)
0
.6
United
Kingdom
abrdn
plc
46,586
90,934
(3,447)
3
.2
Associated
British
Foods
plc
5,849
112,860
(4,305)
3
.9
Aviva
plc
12,377
60,626
(1,478)
1
.4
BAE
Systems
plc
6,563
66,444
1,803
(1
.7)
Barclays
plc
64,325
120,285
(3,864)
3
.5
Barratt
Developments
plc
13,584
75,984
(2,721)
2
.5
Burberry
Group
plc
1,580
31,697
(527)
0
.5
DCC
plc
741
46,102
280
(0
.3)
Diageo
plc
766
33,086
(1,000)
0
.9
Direct
Line
Insurance
Group
plc
15,446
47,411
(648)
0
.6
Howden
Joinery
Group
plc
8,949
65,967
(1,592)
1
.5
Inchcape
plc
3,787
32,182
(899)
0
.8
InterContinental
Hotels
Group
plc
1,473
78,287
(1,324)
1
.2
Intertek
Group
plc
574
29,503
(1,108)
1
.0
J
Sainsbury
plc
14,921
37,133
(1,300)
1
.2
JD
Sports
Fashion
plc
20,237
28,514
(398)
0
.4
Johnson
Matthey
plc
1,286
30,325
(1,376)
1
.3
Kingfisher
plc
26,833
80,190
(1,045)
1
.0
Legal
&
General
Group
plc
16,628
48,613
(1,322)
1
.2
Lloyds
Banking
Group
plc
96,905
49,858
(1,226)
1
.1
Marks
&
Spencer
Group
plc
48,274
80,088
(4,798)
4
.4
243
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
United
Kingdom
(continued)
National
Grid
plc
6,816
87,592
(357)
0
.3
Royal
Mail
plc
29,929
98,869
(3,118)
2
.9
Smiths
Group
plc
3,985
68,147
(1,038)
1
.0
Spectris
plc
1,141
37,801
(1,937)
1
.8
Travis
Perkins
plc
3,512
41,628
(1,637)
1
.5
Unilever
plc
971
44,258
122
(0
.1)
Vodafone
Group
plc
79,301
123,305
495
(0
.5)
WPP
plc
5,878
59,375
243
(0
.2)
United
States
GSK
plc
9,248
199,309
677
(0
.6)
Short
Positions
Common
Stocks
Hong
Kong
Prudential
plc
(2,745)
(34,146)
(317)
0
.3
United
Kingdom
Admiral
Group
plc
(1,526)
(41,782)
144
(0
.1)
AstraZeneca
plc
(1,276)
(168,332)
(225)
0
.2
AVEVA
Group
plc
(1,817)
(49,881)
4,287
(3
.9)
B&M
European
Value
Retail
SA
(17,268)
(77,279)
4,133
(3
.8)
Compass
Group
plc
(3,512)
(72,106)
1,020
(0
.9)
ConvaTec
Group
plc
(23,027)
(63,117)
(363)
0
.3
Experian
plc
(1,751)
(51,411)
(148)
0
.1
Halma
plc
(3,548)
(87,111)
823
(0
.8)
Hargreaves
Lansdown
plc
(3,753)
(36,211)
831
(0
.8)
Ocado
Group
plc
(2,991)
(28,512)
2,800
(2
.6)
Reckitt
Benckiser
Group
plc
(488)
(36,704)
175
(0
.2)
Severn
Trent
plc
(2,171)
(72,078)
3,320
(3
.0)
St
James's
Place
plc
(2,801)
(37,688)
1,608
(1
.5)
Tate
&
Lyle
plc
(3,608)
(33,064)
1,027
(0
.9)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
HIBOR
plus
or
minus
a
specified
spread
(-1.25%
to
0.30%),
which
is
denominated
in
HKD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
06/28/2024
$1,114,364
$(9,477)
$(5,527)
$(15,004)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
244
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
BOC
Hong
Kong
Holdings
Ltd.
25,000
99,274
(926)
6
.2
Hong
Kong
ASM
Pacific
Technology
Ltd.
4,300
36,598
(1,399)
9
.3
CK
Asset
Holdings
Ltd.
7,000
49,737
(162)
1
.1
Hang
Lung
Properties
Ltd.
5,000
9,514
11
(0
.1)
Hang
Seng
Bank
Ltd.
2,100
37,214
656
(4
.4)
HKT
Trust
&
HKT
Ltd.
5,000
6,715
(4)
0
.0
Hong
Kong
Exchanges
&
Clearing
Ltd.
100
4,946
(155)
1
.0
Man
Wah
Holdings
Ltd.
29,600
31,962
49
(0
.3)
MTR
Corp.
Ltd.
7,500
39,321
(166)
1
.1
New
World
Development
Co.
Ltd.
7,000
25,215
(201)
1
.3
Power
Assets
Holdings
Ltd.
2,000
12,600
74
(0
.5)
Sino
Land
Co.
Ltd.
24,000
35,440
375
(2
.5)
Sun
Hung
Kai
Properties
Ltd.
13,500
159,841
(125)
0
.8
Swire
Properties
Ltd.
6,200
15,436
300
(2
.0)
WH
Group
Ltd.
107,000
82,816
3,864
(25
.8)
Macau
Sands
China
Ltd.
1,600
3,849
187
(1
.2)
Short
Positions
Common
Stocks
China
Budweiser
Brewing
Co.
APAC
Ltd.
(11,600)
(34,808)
(1,694)
11
.3
Chow
Tai
Fook
Jewellery
Group
Ltd.
(8,800)
(16,622)
(608)
4
.0
ESR
Group
Ltd.
(22,200)
(60,199)
(1,210)
8
.1
SITC
International
Holdings
Co.
Ltd.
(2,000)
(5,688)
365
(2
.4)
Hong
Kong
AIA
Group
Ltd.
(4,400)
(48,077)
(1,620)
10
.8
Henderson
Land
Development
Co.
Ltd.
(1,000)
(3,758)
14
(0
.1)
Techtronic
Industries
Co.
Ltd.
(6,500)
(67,874)
3,697
(24
.6)
Wharf
Real
Estate
Investment
Co.
Ltd.
(15,000)
(71,628)
(1,952)
13
.0
Macau
Galaxy
Entertainment
Group
Ltd.
(22,000)
(131,793)
(6,977)
46
.5
Wynn
Macau
Ltd.
(34,400)
(23,439)
(1,870)
12
.5
245
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
NIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
NOK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$433,736
$(7,230)
$(18,921)
$(26,151)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Brazil
Yara
International
ASA
1,119
46,887
(2,426)
9
.3
Norway
Gjensidige
Forsikring
ASA
1,267
25,792
1,164
(4
.5)
Leroy
Seafood
Group
ASA
4,834
34,612
480
(1
.8)
Mowi
ASA
964
22,044
(84)
0
.3
Norsk
Hydro
ASA
9,356
52,873
(5,449)
20
.8
Orkla
ASA
4,841
38,780
831
(3
.2)
Telenor
ASA
3,910
52,250
188
(0
.7)
TOMRA
Systems
ASA
208
3,904
99
(0
.4)
Short
Positions
Common
Stocks
Faroe
Islands
Bakkafrost
P/F
(145)
(9,345)
(270)
1
.0
France
Adevinta
ASA
(7,071)
(52,056)
2,539
(9
.7)
Norway
Kongsberg
Gruppen
ASA
(457)
(16,436)
(681)
2
.6
Salmar
ASA
(1,011)
(71,575)
(3,574)
13
.7
Schibsted
ASA
(188)
(3,396)
(62)
0
.2
United
Kingdom
Subsea
7
SA
(474)
(3,786)
15
(0
.1)
246
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
STIBOR
plus
or
minus
a
specified
spread
(-0.23%
to
0.30%),
which
is
denominated
in
SEK
based
on
the
local
currencies
of
the
positions
within
the
swap.
24-25
months
maturity
ranging
from
12/27/2023
-
07/25/2024
$1,938,347
$(10,682)
$(23,861)
$(34,543)
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
Colombia
Millicom
International
Cellular
SA
907
12,999
(351)
1
.0
Finland
Nordea
Bank
Abp
5,696
50,316
(2,046)
5
.9
Sweden
Assa
Abloy
AB
303
6,466
(98)
0
.3
BillerudKorsnas
AB
439
5,147
19
(0
.1)
Boliden
AB
2,465
78,832
(3,588)
10
.4
Elekta
AB
7,037
48,770
(1,103)
3
.2
Essity
AB
619
16,181
(49)
0
.1
Evolution
AB
87
7,959
104
(0
.3)
Getinge
AB
1,318
30,546
311
(0
.9)
H
&
M
Hennes
&
Mauritz
AB
3,632
43,594
(283)
0
.8
Saab
AB
1,877
77,618
5,162
(14
.9)
Sandvik
AB
306
4,987
(203)
0
.6
Securitas
AB
5,084
43,955
(299)
0
.9
Skandinaviska
Enskilda
Banken
AB
6,441
63,456
(1,617)
4
.7
Skanska
AB
3,534
54,372
583
(1
.7)
SSAB
AB
27,311
113,483
(3,639)
10
.5
Svenska
Cellulosa
AB
SCA
805
12,095
(375)
1
.1
Svenska
Handelsbanken
AB
5,877
50,448
(747)
2
.2
Swedbank
AB
7,992
101,359
(2,236)
6
.5
Swedish
Orphan
Biovitrum
AB
526
11,425
210
(0
.6)
Tele2
AB
2,804
31,974
(147)
0
.4
Telefonaktiebolaget
LM
Ericsson
22,457
167,732
(10,384)
30
.1
Telia
Co.
AB
44,873
172,227
(1,278)
3
.7
Trelleborg
AB
163
3,298
(216)
0
.6
Volvo
AB
4,837
75,261
(2,690)
7
.8
247
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
(Continued)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Short
Positions
Common
Stocks
Sweden
AAK
AB
(2,076)
(33,874)
(702)
2
.0
Alfa
Laval
AB
(2,549)
(61,793)
2,148
(6
.2)
Atlas
Copco
AB
(1,164)
(10,895)
229
(0
.7)
Axfood
AB
(664)
(19,118)
(723)
2
.1
Beijer
Ref
AB
(1,662)
(22,792)
(46)
0
.1
Electrolux
AB
(1,394)
(18,829)
135
(0
.4)
Embracer
Group
AB
(8,204)
(63,016)
1,888
(5
.5)
Epiroc
AB
(3,132)
(48,562)
1,362
(3
.9)
EQT
AB
(3,443)
(70,764)
5,321
(15
.4)
Hexagon
AB
(10,103)
(105,567)
2,679
(7
.8)
Hexpol
AB
(395)
(3,383)
89
(0
.3)
Holmen
AB
(291)
(11,853)
299
(0
.9)
Husqvarna
AB
(1,000)
(7,371)
397
(1
.1)
Indutrade
AB
(597)
(10,954)
139
(0
.4)
Lifco
AB
(2,268)
(36,625)
365
(1
.1)
Nibe
Industrier
AB
(8,668)
(65,342)
(1,445)
4
.2
SKF
AB
(2,447)
(36,304)
871
(2
.5)
Sweco
AB
(1,726)
(17,989)
31
(0
.1)
United
States
Sinch
AB
(2,699)
(8,816)
1,241
(3
.6)
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
ABSOLUTE
NOTIONAL
VALUE
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
NET
CASH
AND
OTHER
RECEIVABLES
(PAYABLES)
VALUE
(Note
5)
MLIN
The
Fund
receives
the
total
return
on
a
portfolio
of
long
and
short
equity
positions
and
pays
or
receives
the
SORA
plus
or
minus
a
specified
spread
(-0.30%
to
0.23%),
which
is
denominated
in
SGD
based
on
the
local
currencies
of
the
positions
within
the
swap.
24
months
maturity
ranging
from
12/18/2023
-
06/28/2024
$562,176
$(1,424)
$5,460
$4,036
The
following
table
represents
disclosures
associated
with
the
underlying
components
of
the
total
return
basket
swap
as
of
period
end.
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Long
Positions
Common
Stocks
China
Wilmar
International
Ltd.
11,100
32,307
(850)
(21
.0)
Yangzijiang
Shipbuilding
Holdings
Ltd.
230,600
154,416
1,712
42
.4
248
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Schedule
of
Investments
June
30,
2022
(Unaudited)
REFERENCE
ENTITY
SHARES
NOTIONAL
VALUE
($)
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
PERCENTAGE
OF
SWAP
VALUE
(%)
Singapore
Genting
Singapore
Ltd.
7,300
3,786
(128)
(3
.2)
Oversea-Chinese
Banking
Corp.
Ltd.
17,900
146,835
13
0
.3
Singapore
Technologies
Engineering
Ltd.
19,300
56,816
316
7
.8
Singapore
Telecommunications
Ltd.
39,500
71,893
(1,655)
(41
.0)
United
Overseas
Bank
Ltd.
3,900
73,679
(875)
(21
.7)
Short
Positions
Common
Stocks
Singapore
Singapore
Airlines
Ltd.
(3,800)
(13,963)
151
3
.7
UOL
Group
Ltd.
(1,600)
(8,481)
(108)
(2
.7)
Collateral
pledged
to,
or
(received
from),
each
counterparty
at
June
30,
2022
was
as
follows:
COUNTERPARTY
OVER
THE
COUNTER
EXCHANGE
TRADED
TOTAL
GSIN
Cash
$
5,420,000
$
–
$
5,420,000
MLIN
Cash
1,880,000
–
1,880,000
249
Schedule
of
Investments
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
Abbreviations
ADR
-
American
Depositary
Receipt
CVA
-
Dutch
Certification
CVR
-
Contingent
Value
Rights
OYJ
-
Public
Traded
Company
Preference
-
A
special
type
of
equity
investment
that
shares
in
the
earnings
of
the
company,
has
limited
voting
rights,
and
may
have
a
dividend
preference.  Preference
shares
may
also
have
liquidation
preference.
REIT
-
Real
Estate
Investment
Trust
SCA
-
Limited
partnership
with
share
capital
SDR
-
Swedish
Depositary
Receipt
Currencies
AUD
-
Australian
Dollar
BRL
-
Brazilian
Real
CAD
-
Canadian
Dollar
CHF
-
Swiss
Franc
CLP
-
Chilean
Peso
CNY
-
Chinese
Renminbi
COP
-
Colombian
Peso
CZK
-
Czech
Republic
Koruna
DKK
-
Danish
Krone
EUR
-
Euro
GBP
-
British
Pound
HKD
-
Hong
Kong
Dollar
HUF
-
Hungarian
Forint
IDR
-
Indonesian
Rupiah
ILS
-
Israeli
Shekel
INR
-
Indian
Rupee
JPY
-
Japanese
Yen
KRW
-
Korean
Won
MXN
-
Mexican
Peso
MYR
-
Malaysian
Ringgit
NOK
-
Norwegian
Krone
NZD
-
New
Zealand
Dollar
PHP
-
Philippine
Peso
PLN
-
Poland
Zloty
SEK
-
Swedish
Krona
SGD
-
Singapore
Dollar
THB
-
Thai
Baht
TWD
-
New
Taiwan
Dollar
USD
-
United
States
Dollar
ZAR
-
South
African
Rand
The
following
abbreviations
are
used
for
counterparty
descriptions:
BANA
-
Bank
of
America,
NA
BARC
-
Barclays
Capital,
Inc.
BNPP
-
BNP
Paribas
SA
CITG
-
Citigroup
Global
Markets,
Inc.
CITI
-
Citibank
NA
GSCO
-
Goldman
Sachs
&
Co.
GSIN
-
Goldman
Sachs
International
JPMC
-
J.P.
Morgan
Chase
Bank,
NA
JPMS
-
J.P.
Morgan
Securities
LLC
JPPC
-
J.P.
Morgan
Securities
plc
MACQ
-
Macquarie
Bank
Ltd.
MLIN
-
Merrill
Lynch
International
MSCL
-
Morgan
Stanley
&
Co.
LLC
MSCS
-
Morgan
Stanley
Capital
Services
LLC
MSIP
-
Morgan
Stanley
&
Co.
International
plc
SOCG
-
Societe
Generale
250
Schedule
of
Investments
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
1
Month
Stockholm
Interbank
Offered
Rate
(“STIBOR”):
0.52%
Australian
Bank-Bill
Reference
Rate
(“BBR”):
1.14%
Australian
Overnight
Indexed
Swap
Rate
(“AOISR”):
0.81%
Bank
of
Japan
Estimate
Unsecured
Overnight
Call
Rate
(
“MUTSC”):
-0.04%
Brazilian
Interbank
Certificate
of
Deposit
(“CDI”):
13.15%
Canadian
Bankers’
Acceptance
Rate
("BA"):
2.23%
Canadian
Dollar
Offered
Rate
(“CDOR”):
2.23%
Canadian
Overnight
Repo
Rate
Average
("CORRA"):
1.46%
Copenhagen
Interbank
Offered
Rate(“CIBOR”):
-0.28%
Denmark
Tomorrow/Next
:
-0.47%
Euro
Short-Term
Rate
("ESTR"):
-0.59%
Federal
Funds
Floating
Rate:
1.58%
Hong
Kong
Interbank
Offered
Rate
(“HIBOR”):
0.87%
Hong
Kong
Overnight
Index
Average
(“HONIX”):
1.13%
Mexico
Equilibrium
Interbank
Interest
Rate
("TIIE"):
8.03%
Norway
Interbank
Offered
Rate
("NIBOR"):
1.37%
Norwegian
Overnight
Weighted
Average
("NOWA"):
1.25%
Overnight
Bank
Funding
Rate
("OBFR"):
1.57%
Rand
Overnight
Deposit
Rate:
4.57%
Reserve
Bank
of
Australia
Cash
Rate  (“RBACR”):  0.81%
Singapore
Overnight
Rate
Average
(“SORA”):
1.66%
Sterling
Overnight
Index
Average
(“SONIA”):
1.19%
Swiss
Average
Rate
Overnight
(“SARON”):
-0.20%
Tokyo
Overnight
Average
Rate
(“TONAR”):  -0.04%
Warsaw
Interbank
Offered
Rate(“WIBOR”):
6.49%
Statements
of
Assets
and
Liabilities
251
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
**
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
218,779,041
$
1,126,483,578
$
2,624,480
$
153,475,950
Investments
in
securities
of
affiliated
issuers,
at
cost
.............
—
357,493,073
124,195,596
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
238,015,479
$
1,062,656,349
$
2,623,710
$
152,880,011
Investments
in
securities
of
affiliated
issuers,
at
value
............
—
357,409,881
129,225,501
—
Cash
.................................................
—
15,604,523
—
—
Cash
denominated
in
foreign
currencies
‡
......................
472,024
1,194,952
—
3,830,442
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
3,123,713
477,139
—
9,309
Unrealized
appreciation
on
OTC
swaps
.......................
41,525
976,530
—
78,282
Deposits
for
securities
sold
short
............................
16,210,706
5,477,917
—
4,772,179
Due
from
broker
........................................
484,465
102,006,635
—
520,000
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
premium
(received)
$(261,122),
$(2,868,352),
$—
and
$—,
respectively)
...........................................
972,912
5,793,274
—
—
Deposits
with
brokers
for
futures
contracts
.....................
12,349,911
4,244,150
—
—
Variation
margin
on
centrally
cleared
swaps
....................
73,794
189,362
—
—
Variation
margin
on
futures
contracts
.........................
4,090
—
—
1
Receivables:
Securities
sold
.......................................
—
1,120,609
3,020,565
1,811,035
Foreign
tax
reclaims
...................................
235,326
39,581
—
383,238
Dividends
and
interest
..................................
194,460
1,310,548
1,934
68,421
Capital
shares
sold
....................................
832
8,806,141
309,566
1,374,477
Due
from
Investment
Adviser
.............................
—
—
5,296
—
Prepaid
expenses
.......................................
28,184
64,329
45,636
31,673
Total
Assets
272,207,421
1,567,371,920
135,232,208
165,759,068
LIABILITIES:
Securities
sold
short,
at
value
(proceeds  $181,415,711,
$82,159,723,
$–
and
$6,682,402,
respectively)
............................
125,073,344
61,518,495
—
5,249,634
Due
to
custodian
........................................
22,591
—
—
9,602
Due
to
broker
..........................................
18,404
420,483
—
5,220
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
3,396,050
46,822
—
1,793
Unrealized
depreciation
on
OTC
swaps
.......................
466,234
63,137,448
—
7,147,389
Deposits
from
brokers
for
futures
contracts
....................
—
—
—
322
Variation
margin
on
futures
contracts
.........................
638,473
1,623,335
—
—
Payables:
–
–
–
–
Securities
purchased
...................................
163
27,495,775
3,120,071
1,413,974
Accrued
investment
advisory
fees
.........................
122,743
1,134,652
—
121,837
Accrued
distribution
fees—Class
N
........................
1,249
10,304
1,432
4,252
Capital
shares
redeemed
...............................
171,077
1,994,657
197,204
609,778
Dividends
and
interest
payable
on
securities
sold
short
.........
146,991
93,557
—
1,588
Other
accrued
expenses
and
liabilities
........................
90,992
480,041
45,806
103,537
Total
Liabilities
130,148,311
157,955,569
3,364,513
14,668,926
Net
Assets
$
142,059,110
$
1,409,416,351
$
131,867,695
$
151,090,142
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
184,856,316
$
1,608,609,028
$
127,391,775
$
132,320,400
Total
distributable
earnings
(loss)
...........................
(42,797,206)
(199,192,677)
4,475,920
18,769,742
Net
Assets
$
142,059,110
$
1,409,416,351
$
131,867,695
$
151,090,142
Statements
of
Assets
and
Liabilities
252
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
**
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
NET
ASSETS:
Class
I
...............................................
$
38,717,816
$
944,635,759
$
119,827,480
$
103,546,412
Class
N
...............................................
5,951,333
50,297,803
6,871,613
20,429,488
Class
R6
..............................................
97,389,961
414,482,789
5,168,602
27,114,242
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
4,351,825
81,576,440
10,018,596
11,656,051
Class
N
...............................................
672,792
4,341,693
576,126
2,338,369
Class
R6
..............................................
10,910,530
35,829,656
431,533
3,039,343
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
8.90
$
11.58
$
11.96
$
8.88
Class
N
...............................................
$
8.85
$
11.58
$
11.93
$
8.74
Class
R6
..............................................
$
8.93
$
11.57
$
11.98
$
8.92
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
472,456
$
1,326,423
$
—
$
3,828,149
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Assets
and
Liabilities
253
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
**
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
557,023,734
$
69,920,555
$
1,409,626,871
$
134,879,029
Repurchase
agreements,
at
cost
............................
—
12,232,625
—
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
556,450,328
$
68,308,188
$
1,408,043,006
$
134,752,677
Repurchase
agreements,
at
value
...........................
—
12,232,625
—
—
Cash
.................................................
—
1,642
663,804
—
Cash
denominated
in
foreign
currencies
‡
......................
13,695,848
83,036
3,316,436
499,876
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
165,649
2,855,420
56,682,237
7,246,216
Unrealized
appreciation
on
OTC
swaps
.......................
2,325
147,575
2,693,149
305,649
Due
from
broker
........................................
51,184,431
454,170
27,364,607
106,410
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
payments
(receipts)
premium
(received)
$—,
$(2,805),
$5,196,000
and
$804,459,
respectively)
...................................
—
1,863,055
17,402,008
2,549,096
Deposits
with
brokers
for
futures
contracts
.....................
10,421,592
6,473,647
74,461,519
11,648,636
Variation
margin
on
centrally
cleared
swaps
....................
—
9,133
—
—
Variation
margin
on
futures
contracts
.........................
—
453,644
3,693,027
729,771
Receivables:
Securities
sold
.......................................
1,771
6,747,144
77,478
3,657
Foreign
tax
reclaims
...................................
129,742
—
—
—
Dividends
and
interest
..................................
156,187
58,469
218,060
29,898
Capital
shares
sold
....................................
1,710,357
2,069,087
2,389,860
1,319,796
Prepaid
expenses
.......................................
81,098
40,015
118,863
39,193
Total
Assets
633,999,328
101,796,850
1,597,124,054
159,230,875
LIABILITIES:
Securities
sold
short,
at
value
(proceeds  $–,
$12,213,236,
$–
and
$–,
respectively)
...........................................
—
12,224,203
—
—
Reverse
repurchase
agreements,
at
value
(proceeds  $–,
$11,633,500,
$–
and
$–,
respectively)
..................................
—
11,633,500
—
—
Due
to
custodian
........................................
145,074
—
—
51,724
Due
to
broker
..........................................
—
19,879
19,025,495
2,455,957
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
2,281,529
3,355,555
24,697,634
2,976,689
Unrealized
depreciation
on
OTC
swaps
.......................
32,411,817
88,945
15,819,992
2,276,676
Deposits
from
brokers
for
futures
contracts
....................
—
5
—
—
Variation
margin
on
centrally
cleared
swaps
....................
—
332,209
2,999,437
404,061
Variation
margin
on
futures
contracts
.........................
1,578,821
402,384
8,320,717
1,512,960
Payables:
–
–
–
–
Securities
purchased
...................................
4,836
6,767,545
100,522
7,296
Accrued
investment
advisory
fees
.........................
537,373
27,415
1,299,319
147,063
Accrued
distribution
fees—Class
N
........................
3,376
1,229
14,149
1,934
Capital
shares
redeemed
...............................
853,596
1,430
1,032,346
72,220
Dividends
and
interest
payable
on
securities
sold
short
.........
—
73,257
715
56
Other
accrued
expenses
and
liabilities
........................
258,370
63,675
550,969
85,926
Total
Liabilities
38,074,792
34,991,231
73,861,295
9,992,562
Net
Assets
$
595,924,536
$
66,805,619
$
1,523,262,759
$
149,238,313
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
512,123,276
$
62,038,934
$
2,315,492,921
$
223,851,667
Total
distributable
earnings
(loss)
...........................
83,801,260
4,766,685
(792,230,162)
(74,613,354)
Net
Assets
$
595,924,536
$
66,805,619
$
1,523,262,759
$
149,238,313
Statements
of
Assets
and
Liabilities
254
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
**
NET
ASSETS:
Class
I
...............................................
$
571,556,382
$
25,389,919
$
1,352,439,437
$
96,802,054
Class
N
...............................................
17,750,966
6,067,646
68,883,391
12,652,476
Class
R6
..............................................
6,617,188
35,348,054
101,939,931
39,783,783
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
41,197,347
2,422,952
141,263,946
10,654,067
Class
N
...............................................
1,303,837
589,756
7,262,080
1,388,710
Class
R6
..............................................
473,921
3,364,943
10,628,605
4,366,158
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
13.87
$
10.48
$
9.57
$
9.09
Class
N
...............................................
$
13.61
$
10.29
$
9.49
$
9.11
Class
R6
..............................................
$
13.96
$
10.50
$
9.59
$
9.11
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
13,698,564
$
85,883
$
3,329,542
$
503,376
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Assets
and
Liabilities
255
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MULTI-
ASSET
FUND
**
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
**
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
**
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
ASSETS:
Investments
in
securities
of
unaffiliated
issuers,
at
cost
...........
$
176,932,691
$
268,125,594
$
502,014,755
$
17,776,937
Investments
in
securities
of
affiliated
issuers,
at
cost
.............
—
275,998,356
296,249,302
—
Investments
in
securities
of
unaffiliated
issuers,
at
value
..........
$
172,100,970
$
267,710,412
$
496,615,285
$
17,764,333
Investments
in
securities
of
affiliated
issuers,
at
value
............
—
275,936,465
296,221,982
—
Cash
.................................................
—
—
5,185,642
—
Cash
denominated
in
foreign
currencies
‡
......................
656,980
—
7,395,712
63,642
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
..............................................
1,614,927
—
19,219,891
8,824
Unrealized
appreciation
on
OTC
swaps
.......................
97,642
35,998
2,650,526
118,103
Deposits
for
securities
sold
short
............................
—
—
2,808,823
—
Due
from
broker
........................................
271,339
287,421
6,799,459
7,300,000
Deposits
with
brokers
for
centrally
cleared
swaps
(unamortized
upfront
premium
(received)
$—,
$—,
$686,806
and
$—,
respectively)
......
—
—
7,522,890
—
Deposits
with
brokers
for
futures
contracts
.....................
6,688,013
54,467,981
105,689,472
—
Variation
margin
on
centrally
cleared
swaps
....................
—
—
360,466
—
Variation
margin
on
futures
contracts
.........................
783,478
—
2,983,629
—
Receivables:
Securities
sold
.......................................
131,974
—
19,676
—
Foreign
tax
reclaims
...................................
93,035
—
443,108
—
Dividends
and
interest
..................................
145,970
239,706
268,616
4,667
Capital
shares
sold
....................................
389,703
1,504,344
1,596,872
—
Due
from
Investment
Adviser
.............................
—
—
—
4,470
Prepaid
expenses
.......................................
60,412
113,424
71,326
108,797
Total
Assets
183,034,443
600,295,751
955,853,375
25,372,836
LIABILITIES:
Securities
sold
short,
at
value
(proceeds  $24,533,807,
$–,
$48,386,206
and
$–,
respectively)
...........................
18,877,466
—
39,248,454
—
Reverse
repurchase
agreements,
at
value
(proceeds  $13,456,750,
$–,
$–
and
$–,
respectively)
..................................
13,456,750
—
—
—
Due
to
custodian
........................................
648,955
—
—
—
Due
to
broker
..........................................
99,688
1,752,248
66,656
—
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
..............................................
2,186,287
—
27,734,146
85,416
Unrealized
depreciation
on
OTC
swaps
.......................
102,456
46,042
49,250,975
1,852,035
Deposits
from
brokers
for
futures
contracts
....................
—
—
—
21
Variation
margin
on
futures
contracts
.........................
594,972
13,321,757
7,732,705
5
Payables:
–
–
–
–
Securities
purchased
...................................
516,390
—
12,295
58
Accrued
investment
advisory
fees
.........................
53,756
411,537
962,563
—
Accrued
distribution
fees—Class
N
........................
1,256
9,414
6,907
677
Capital
shares
redeemed
...............................
1,089,209
2,407,225
2,937,376
—
Dividends
and
interest
payable
on
securities
sold
short
.........
13,043
—
18,402
—
Other
accrued
expenses
and
liabilities
........................
107,007
5,372
253,670
56,349
Total
Liabilities
37,747,235
17,953,595
128,224,149
1,994,561
Net
Assets
$
145,287,208
$
582,342,156
$
827,629,226
$
23,378,275
NET
ASSETS
CONSIST
OF:
Paid-in
capital
($0.001
par
value
common
stock,
unlimited
authorized
shares)
...............................................
$
143,321,196
$
532,559,630
$
1,064,879,145
$
23,063,140
Total
distributable
earnings
(loss)
...........................
1,966,012
49,782,526
(237,249,919)
315,135
Net
Assets
$
145,287,208
$
582,342,156
$
827,629,226
$
23,378,275
Statements
of
Assets
and
Liabilities
256
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MULTI-
ASSET
FUND
**
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
**
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
**
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
NET
ASSETS:
Class
I
...............................................
$
111,200,949
$
515,750,206
$
326,340,413
$
7,723,644
Class
N
...............................................
5,923,064
41,600,044
30,798,895
5,631,913
Class
R6
..............................................
28,163,195
24,991,906
470,489,918
10,022,718
SHARES
OUTSTANDING:
–
–
–
–
Class
I
...............................................
11,798,110
54,454,790
37,118,282
694,973
Class
N
...............................................
630,828
4,477,924
3,533,761
507,431
Class
R6
..............................................
2,989,867
2,625,621
53,294,646
901,150
NET
ASSET
VALUE:
–
–
–
–
Class
I
...............................................
$
9.43
$
9.47
$
8.79
$
11.11
Class
N
...............................................
$
9.39
$
9.29
$
8.72
$
11.10
Class
R6
..............................................
$
9.42
$
9.52
$
8.83
$
11.12
‡
Cash
denominated
in
foreign
currencies,
at
cost
...............
$
681,084
$
—
$
7,404,536
$
64,204
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
257
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
**
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
2,251,249
$
295,576
$
3,344
$
313,565
Affiliated
issuers
......................................
—
691,157
—
—
Interest
income
.........................................
44,774
3,284,841
16
147,843
Total
Income
2,296,023
4,271,574
3,360
461,408
EXPENSES:
Investment
advisory
fees
..................................
836,099
6,755,740
—
612,629
Custody
fees
...........................................
6,680
37,373
5,186
2,271
Administration
&
accounting
fees
............................
33,096
320,898
14,644
26,455
Legal
fees
.............................................
2,148
76,738
998
2,002
Audit
&
tax
fees
.........................................
64,537
97,466
16,405
50,070
Shareholder
reporting
fees
................................
9,638
46,175
5,709
10,296
Transfer
agent
fees
......................................
33,374
498,964
43,016
58,251
Trustee
fees
...........................................
7,016
41,944
2,134
5,772
Distribution
fees—Class
N
.................................
8,155
57,703
4,965
23,820
Dividends
and
interest
on
securities
sold
short
.................
1,011,592
608,430
—
124,101
Interest
expense
........................................
4,299
50,499
—
13,438
Recoupment
of
waiver
and/or
reimbursement
..................
—
3,108
—
—
Registration
fees
........................................
29,545
39,003
28,064
26,014
Other
expenses
........................................
17,282
67,221
411
14,048
Total
Expenses
2,063,461
8,701,262
121,532
969,167
Less
expense
reimbursements
.............................
(110,340)
(31,965)
(47,004)
(91,224)
Net
Expenses
1,953,121
8,669,297
74,528
877,943
Net
Investment
Income
(Loss)
342,902
(4,397,723)
(71,168)
(416,535)
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
(5,810,900)
3,673,511
(19)
(305,009)
Transactions
in
investment
securities
of
affiliated
issuers
........
—
(100,202)
(403,293)
—
Distributions
of
capital
gains
received
from
affiliated
issuers
......
—
84
—
—
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
(39,443)
92,599
—
(62,899)
Settlement
of
forward
foreign
currency
contracts
..............
608,958
426,906
—
11,604
Expiration
or
closing
of
futures
contracts
....................
10,955,756
13,104,199
—
(844,470)
Closed
short
positions
in
securities
........................
(1,028,895)
12,859,620
—
106,667
Expiration
or
closing
of
swap
contracts
.....................
(3,898,107)
55,070,179
—
22,266,570
Expiration
or
closing
of
written
option
contracts
(premium-style)
...
—
100
—
—
Net
realized
gain
(loss)
787,369
85,126,996
(403,312)
21,172,463
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(15,872,909)
(83,031,758)
(640)
(1,227,786)
Investment
securities
of
affiliated
issuers
...................
—
(83,226)
3,909,222
—
Foreign
currency
and
foreign
currency
transactions
............
(5,987)
(38,913)
—
(42,032)
Forward
foreign
currency
exchange
contracts
................
(227,587)
543,413
—
8,060
Futures
contracts
.....................................
2,281,175
2,166,012
—
(107,319)
Short
positions
in
securities
..............................
35,480,680
22,359,886
—
1,475,611
Swap
contracts
.......................................
37,176
(83,196,457)
—
(7,600,149)
Net
change
in
unrealized
appreciation
(depreciation)
21,692,548
(141,281,043)
3,908,582
(7,493,615)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
22,479,917
(56,154,047)
3,505,270
13,678,848
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
22,822,819
$
(60,551,770)
$
3,434,102
$
13,262,313
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
238,545
$
526,294
$
—
$
60,690
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
258
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
INVESTMENT
INCOME:
Dividend
income
†
.......................................
$
293,930
$
120,103
$
993,657
$
98,592
Interest
income
.........................................
715,618
129,132
2,033,585
153,049
Total
Income
1,009,548
249,235
3,027,242
251,641
EXPENSES:
Investment
advisory
fees
..................................
2,367,655
212,448
6,583,774
674,856
Custody
fees
...........................................
28,982
11,882
42,943
16,390
Administration
&
accounting
fees
............................
102,240
10,091
297,837
22,107
Legal
fees
.............................................
9,388
313
37,509
5,175
Audit
&
tax
fees
.........................................
53,116
53,036
62,795
61,678
Shareholder
reporting
fees
................................
15,792
8,223
95,186
8,022
Transfer
agent
fees
......................................
221,363
18,367
597,941
42,126
Trustee
fees
...........................................
14,433
4,091
40,250
5,524
Distribution
fees—Class
N
.................................
16,827
2,656
74,439
5,387
Dividends
and
interest
on
securities
sold
short
and/or
reverse
repurchase
agreements
................................
—
47,754
—
—
Interest
expense
........................................
34,379
1,105
75,922
7,150
Registration
fees
........................................
29,963
23,604
37,401
29,676
Other
expenses
........................................
22,065
13,286
27,977
9,580
Total
Expenses
2,916,203
406,856
7,973,974
887,671
Less
expense
reimbursements
.............................
(72,336)
(112,784)
(32,655)
(121,406)
Net
Expenses
2,843,867
294,072
7,941,319
766,265
Net
Investment
Income
(Loss)
(1,834,319)
(44,837)
(4,914,077)
(514,624)
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
192,437
(376,839)
(44,475)
(8,350)
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
(669,651)
41,222
2,073,941
80,144
Settlement
of
forward
foreign
currency
contracts
..............
(3,670,702)
(328,734)
3,695,073
833,187
Expiration
or
closing
of
futures
contracts
....................
(17,550,611)
4,048,430
260,883,415
24,549,440
Closed
short
positions
in
securities
........................
—
610,603
—
—
Expiration
or
closing
of
swap
contracts
.....................
101,070,310
581,914
52,158,315
4,961,322
Net
realized
gain
(loss)
79,371,783
4,576,596
318,766,269
30,415,743
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(571,643)
(1,612,054)
(1,583,937)
(126,343)
Foreign
currency
and
foreign
currency
transactions
............
(52,462)
6,367
218,976
8,362
Forward
foreign
currency
exchange
contracts
................
(2,417,899)
(198,425)
37,257,545
4,867,899
Futures
contracts
.....................................
(9,714,650)
1,760,596
13,804,893
1,346,202
Short
positions
in
securities
..............................
—
(10,967)
—
—
Swap
contracts
.......................................
(38,338,774)
1,263,325
(32,675,632)
(3,898,157)
Net
change
in
unrealized
appreciation
(depreciation)
(51,095,428)
1,208,842
17,021,845
2,197,963
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
28,276,355
5,785,438
335,788,114
32,613,706
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
26,442,036
$
5,740,601
$
330,874,037
$
32,099,082
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
—
$
7,928
$
—
$
—
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Operations
259
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MULTI-
ASSET
FUND
**
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
**
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
**
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
INVESTMENT
INCOME:
Dividend
income:
Unaffiliated
issuers
†
...................................
$
1,108,406
$
—
$
1,909,253
$
9,573
Affiliated
issuers
......................................
—
478,846
436,372
—
Interest
income
.........................................
1,401,999
594,522
841,484
15,557
Total
Income
2,510,405
1,073,368
3,187,109
25,130
EXPENSES:
Investment
advisory
fees
..................................
416,975
1,899,598
5,550,691
77,116
Custody
fees
...........................................
13,821
6,380
13,611
3,811
Administration
&
accounting
fees
............................
33,010
112,789
195,303
3,330
Legal
fees
.............................................
5,597
10,089
22,703
423
Audit
&
tax
fees
.........................................
68,004
50,876
66,285
52,347
Shareholder
reporting
fees
................................
7,321
19,846
24,708
5,179
Transfer
agent
fees
......................................
68,309
243,872
184,384
9,802
Trustee
fees
...........................................
7,129
14,985
26,597
2,981
Offering
costs
..........................................
—
—
—
71,762
Distribution
fees—Class
N
.................................
8,391
50,834
34,125
1,382
Dividends
and
interest
on
securities
sold
short
and/or
reverse
repurchase
agreements
................................
171,422
—
698,076
—
Interest
expense
........................................
4,752
10,529
80,696
604
Registration
fees
........................................
28,657
46,546
44,709
34,756
Other
expenses
........................................
7,035
3,823
60,933
6
Total
Expenses
840,423
2,470,167
7,002,821
263,499
Less
expense
reimbursements
.............................
(111,224)
(38,924)
(263,022)
(175,475)
Net
Expenses
729,199
2,431,243
6,739,799
88,024
Net
Investment
Income
(Loss)
1,781,206
(1,357,875)
(3,552,690)
(62,894)
REALIZED
GAIN
(LOSS)
AND
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION):
–
–
–
–
Net
realized
gain
(loss)
from:
Transactions
in
investment
securities
of
unaffiliated
issuers
......
(79,335)
203,714
1,323,949
(1,578)
Transactions
in
investment
securities
of
affiliated
issuers
........
—
(51,150)
(96,390)
—
Maturity
of
reverse
repurchase
agreements
..................
1,061,632
—
—
—
Settlement
of
foreign
currency
and
foreign
currency
transactions
..
162,226
4,197
140,763
(20)
Settlement
of
forward
foreign
currency
contracts
..............
1,560,394
—
1,715,541
(96,888)
Expiration
or
closing
of
futures
contracts
....................
(2,593,412)
103,054,188
26,896,339
(169,399)
Closed
short
positions
in
securities
........................
2,235,525
—
(257,350)
—
Expiration
or
closing
of
swap
contracts
.....................
552,611
654,628
216,095,549
2,474,860
Net
realized
gain
(loss)
2,899,641
103,865,577
245,818,401
2,206,975
Net
change
in
unrealized
appreciation
(depreciation)
on:
Investment
securities
of
unaffiliated
issuers
..................
(20,423,032)
(414,636)
(9,459,235)
(13,199)
Investment
securities
of
affiliated
issuers
...................
—
(61,885)
(27,333)
—
Reverse
repurchase
agreements
..........................
3,164
—
—
—
Foreign
currency
and
foreign
currency
transactions
............
(27,809)
43
191,643
(1,360)
Forward
foreign
currency
exchange
contracts
................
(241,456)
—
(8,683,203)
(86,271)
Futures
contracts
.....................................
(3,246,421)
(75,429,474)
15,240,689
—
Short
positions
in
securities
..............................
3,321,389
—
12,187,917
—
Swap
contracts
.......................................
(156,184)
(276,432)
(80,654,434)
(1,805,527)
Net
change
in
unrealized
appreciation
(depreciation)
(20,770,349)
(76,182,384)
(71,203,956)
(1,906,357)
Net
realized
gain
(loss)
and
net
change
in
unrealized
appreciation
(depreciation)
(17,870,708)
27,683,193
174,614,445
300,618
Net
increase
(decrease)
in
net
assets
resulting
from
operations
$
(16,089,502)
$
26,325,318
$
171,061,755
$
237,724
________________
†
Net
of
foreign
taxes
withheld
of
............................
$
82,589
$
—
$
66,464
$
—
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
260
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
**
AQR
DIVERSIFIED
ARBITRAGE
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
342,902
$
(590,657)
$
(4,397,723)
$
(10,577,252)
Net
realized
gain
(loss)
.............................
787,369
2,193,307
85,126,996
143,102,943
Net
change
in
unrealized
appreciation
(depreciation)
.......
21,692,548
13,321,675
(141,281,043)
(77,764,992)
Net increase
(decrease)
in
net
assets
resulting
from
operations
22,822,819
14,924,325
(60,551,770)
54,760,699
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
—
(1,866,399)
—
(5,849,858)
Class
N
.........................................
—
(257,017)
—
(173,385)
Class
R6
........................................
—
(2,367,059)
—
(2,583,028)
Total
distributions
—
(4,490,475)
—
(8,606,271)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
11,239,098
16,967,266
295,351,682
495,692,139
Reinvestment
of
distributions
.........................
—
1,832,945
—
4,577,191
Cost
of
shares
redeemed
...........................
(26,134,973)
(37,098,888)
(232,018,690)
(221,272,814)
Net
increase
(decrease)
from
capital
transactions
(14,895,875)
(18,298,677)
63,332,992
278,996,516
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
1,406,309
720,520
14,359,929
24,408,599
Reinvestment
of
distributions
.........................
—
252,376
—
166,515
Cost
of
shares
redeemed
...........................
(4,009,332)
(680,743)
(6,673,952)
(16,357,046)
Net
increase
(decrease)
from
capital
transactions
(2,603,023)
292,153
7,685,977
8,218,068
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
13,158,632
45,932,684
112,123,937
181,737,377
Reinvestment
of
distributions
.........................
—
2,351,570
—
1,591,943
Cost
of
shares
redeemed
...........................
(13,175,583)
(26,401,664)
(38,726,160)
(69,687,969)
Net
increase
(decrease)
from
capital
transactions
(16,951)
21,882,590
73,397,777
113,641,351
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(17,515,849)
3,876,066
144,416,746
400,855,935
Total
increase
(decrease)
in
net
assets
5,306,970
14,309,916
83,864,976
447,010,363
NET
ASSETS:
Beginning
of
period
................................
136,752,140
122,442,224
1,325,551,375
878,541,012
End
of
period
...................................
$
142,059,110
$
136,752,140
$
1,409,416,351
$
1,325,551,375
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
261
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
**
AQR
DIVERSIFIED
ARBITRAGE
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
6,189,769
8,863,505
76,251,849
53,386,837
Shares
sold
.....................................
1,291,983
2,275,795
24,970,919
40,690,127
Shares
issued
on
reinvestment
of
distributions
...........
—
245,046
—
378,907
Shares
redeemed
.................................
(3,129,927)
(5,194,577)
(19,646,328)
(18,204,022)
Shares
outstanding,
end
of
period
4,351,825
6,189,769
81,576,440
76,251,849
CLASS
N
Shares
outstanding,
beginning
of
period
................
985,910
947,658
3,685,631
3,014,424
Shares
sold
.....................................
162,393
97,055
1,219,918
1,999,493
Shares
issued
on
reinvestment
of
distributions
...........
—
33,921
—
13,762
Shares
redeemed
.................................
(475,511)
(92,724)
(563,856)
(1,342,048)
Shares
outstanding,
end
of
period
672,792
985,910
4,341,693
3,685,631
CLASS
R6
Shares
outstanding,
beginning
of
period
................
10,881,765
7,938,571
29,636,579
20,297,549
Shares
sold
.....................................
1,548,013
6,187,254
9,487,023
14,876,727
Shares
issued
on
reinvestment
of
distributions
...........
—
313,543
—
131,893
Shares
redeemed
.................................
(1,519,248)
(3,557,603)
(3,293,946)
(5,669,590)
Shares
outstanding,
end
of
period
10,910,530
10,881,765
35,829,656
29,636,579
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
262
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
(71,168)
$
1,263,619
$
(416,535)
$
(702,101)
Net
realized
gain
(loss)
.............................
(403,312)
61,747
21,172,463
8,444,249
Net
change
in
unrealized
appreciation
(depreciation)
.......
3,908,582
1,006,378
(7,493,615)
1,134,372
Net increase
(decrease)
in
net
assets
resulting
from
operations
3,434,102
2,331,744
13,262,313
8,876,520
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
—
(1,379,468)
—
(460,474)
Class
N
.........................................
—
(104,319)
—
(219,447)
Class
R6
........................................
—
(290,208)
—
(74,096)
Total
distributions
—
(1,773,995)
—
(754,017)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
95,717,083
12,789,016
90,905,193
12,013,276
Reinvestment
of
distributions
.........................
—
1,338,578
—
435,194
Cost
of
shares
redeemed
...........................
(5,654,411)
(3,110,804)
(29,046,252)
(23,764,184)
Net
increase
(decrease)
from
capital
transactions
90,062,672
11,016,790
61,858,941
(11,315,714)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
4,894,205
1,264,460
14,177,146
14,168,246
Reinvestment
of
distributions
.........................
—
71,979
—
214,006
Cost
of
shares
redeemed
...........................
(50,409)
(53,236)
(12,649,335)
(10,238,462)
Net
increase
(decrease)
from
capital
transactions
4,843,796
1,283,203
1,527,811
4,143,790
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
394,973
35,260
20,844,281
2,422,643
Reinvestment
of
distributions
.........................
—
24,120
—
73,570
Cost
of
shares
redeemed
...........................
(433,047)
(21,986)
(1,090,688)
(2,055,050)
Net
increase
(decrease)
from
capital
transactions
(38,074)
37,394
19,753,593
441,163
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
94,868,394
12,337,387
83,140,345
(6,730,761)
Total
increase
(decrease)
in
net
assets
98,302,496
12,895,136
96,402,658
1,391,742
NET
ASSETS:
Beginning
of
period
................................
33,565,199
20,670,063
54,687,484
53,295,742
End
of
period
...................................
$
131,867,695
$
33,565,199
$
151,090,142
$
54,687,484
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
263
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
DIVERSIFYING
STRATEGIES
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
2,500,544
1,509,380
4,481,423
6,103,292
Shares
sold
.....................................
7,994,811
1,146,092
10,497,615
1,737,094
Shares
issued
on
reinvestment
of
distributions
...........
—
123,485
—
60,193
Shares
redeemed
.................................
(476,759)
(278,413)
(3,322,987)
(3,419,156)
Shares
outstanding,
end
of
period
10,018,596
2,500,544
11,656,051
4,481,423
CLASS
N
Shares
outstanding,
beginning
of
period
................
165,948
51,473
2,215,198
1,612,139
Shares
sold
.....................................
414,509
112,719
1,622,716
2,016,912
Shares
issued
on
reinvestment
of
distributions
...........
—
6,652
—
30,057
Shares
redeemed
.................................
(4,331)
(4,896)
(1,499,545)
(1,443,910)
Shares
outstanding,
end
of
period
576,126
165,948
2,338,369
2,215,198
CLASS
R6
Shares
outstanding,
beginning
of
period
................
436,452
433,047
805,243
752,319
Shares
sold
.....................................
32,293
3,212
2,357,631
337,969
Shares
issued
on
reinvestment
of
distributions
...........
—
2,223
—
10,134
Shares
redeemed
.................................
(37,212)
(2,030)
(123,531)
(295,179)
Shares
outstanding,
end
of
period
431,533
436,452
3,039,343
805,243
Statements
of
Changes
in
Net
Assets
(Continued)
264
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
LONG-SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
(1,834,319)
$
(3,750,432)
$
(44,837)
$
(343,758)
Net
realized
gain
(loss)
.............................
79,371,783
72,656,523
4,576,596
(643,688)
Net
change
in
unrealized
appreciation
(depreciation)
.......
(51,095,428)
9,173,540
1,208,842
(395,344)
Net increase
(decrease)
in
net
assets
resulting
from
operations
26,442,036
78,079,631
5,740,601
(1,382,790)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Distributable
earnings
—
—
—
—
Class
I
.........................................
—
—
—
(110,636)
Class
N
.........................................
—
—
—
(8,267)
Class
R6
........................................
—
—
—
(300,419)
Total
—
—
—
(419,322)
Total
distributions
—
—
—
(419,322)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
364,685,106
98,668,089
18,192,225
4,917,986
Reinvestment
of
distributions
.........................
—
—
—
109,839
Cost
of
shares
redeemed
...........................
(95,554,126)
(241,227,711)
(2,004,646)
(5,780,955)
Net
increase
(decrease)
from
capital
transactions
269,130,980
(142,559,622)
16,187,579
(753,130)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
7,535,536
8,735,206
5,246,661
261,432
Reinvestment
of
distributions
.........................
—
—
—
7,580
Cost
of
shares
redeemed
...........................
(1,988,126)
(7,208,924)
(31,995)
(122,035)
Net
increase
(decrease)
from
capital
transactions
5,547,410
1,526,282
5,214,666
146,977
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
3,275,752
2,956,081
13,307,108
1,768,718
Reinvestment
of
distributions
.........................
—
—
—
82,806
Cost
of
shares
redeemed
...........................
(13,409,617)
(8,393,296)
(861,747)
(343,303)
Net
increase
(decrease)
from
capital
transactions
(10,133,865)
(5,437,215)
12,445,361
1,508,221
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
264,544,525
(146,470,555)
33,847,606
902,068
Total
increase
(decrease)
in
net
assets
290,986,561
(68,390,924)
39,588,207
(900,044)
NET
ASSETS:
Beginning
of
period
................................
304,937,975
373,328,899
27,217,412
28,117,456
End
of
period
...................................
$
595,924,536
$
304,937,975
$
66,805,619
$
27,217,412
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
265
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
LONG-SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
22,660,129
37,323,213
798,180
888,298
Shares
sold
.....................................
25,312,055
8,955,898
1,823,747
510,946
Shares
issued
on
reinvestment
of
distributions
...........
—
—
—
12,286
Shares
redeemed
.................................
(6,774,837)
(23,618,982)
(198,975)
(613,350)
Shares
outstanding,
end
of
period
41,197,347
22,660,129
2,422,952
798,180
CLASS
N
Shares
outstanding,
beginning
of
period
................
913,522
749,475
72,073
57,047
Shares
sold
.....................................
536,126
822,939
520,942
27,192
Shares
issued
on
reinvestment
of
distributions
...........
—
—
—
862
Shares
redeemed
.................................
(145,811)
(658,892)
(3,259)
(13,028)
Shares
outstanding,
end
of
period
1,303,837
913,522
589,756
72,073
CLASS
R6
Shares
outstanding,
beginning
of
period
................
1,207,353
1,686,829
2,147,926
1,985,904
Shares
sold
.....................................
234,195
261,108
1,302,945
188,379
Shares
issued
on
reinvestment
of
distributions
...........
—
—
—
9,242
Shares
redeemed
.................................
(967,627)
(740,584)
(85,928)
(35,599)
Shares
outstanding,
end
of
period
473,921
1,207,353
3,364,943
2,147,926
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
266
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
(4,914,077)
$
(18,918,450)
$
(514,624)
$
(1,677,053)
Net
realized
gain
(loss)
.............................
318,766,269
80,523,328
30,415,743
4,379,467
Net
change
in
unrealized
appreciation
(depreciation)
.......
17,021,845
(58,148,727)
2,197,963
(5,217,323)
Net increase
(decrease)
in
net
assets
resulting
from
operations
330,874,037
3,456,151
32,099,082
(2,514,909)
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
—
(60,400,347)
—
(4,180,219)
Class
N
.........................................
—
(3,113,556)
—
(237,747)
Class
R6
........................................
—
(7,636,294)
—
(2,001,524)
Total
distributions
—
(71,150,197)
—
(6,419,490)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
450,133,413
328,131,780
56,960,328
23,862,052
Reinvestment
of
distributions
.........................
—
47,020,849
—
4,127,343
Cost
of
shares
redeemed
...........................
(258,048,966)
(886,099,012)
(17,890,811)
(74,693,533)
Net
increase
(decrease)
from
capital
transactions
192,084,447
(510,946,383)
39,069,517
(46,704,138)
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
19,017,029
13,334,036
11,833,747
1,421,435
Reinvestment
of
distributions
.........................
—
3,036,104
—
237,522
Cost
of
shares
redeemed
...........................
(14,718,595)
(336,195,400)
(2,455,476)
(2,157,096)
Net
increase
(decrease)
from
capital
transactions
4,298,434
(319,825,260)
9,378,271
(498,139)
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
23,861,190
90,464,467
16,135,509
7,802,731
Reinvestment
of
distributions
.........................
—
5,667,632
—
1,999,161
Cost
of
shares
redeemed
...........................
(47,658,553)
(427,501,150)
(7,003,111)
(12,676,074)
Net
increase
(decrease)
from
capital
transactions
(23,797,363)
(331,369,051)
9,132,398
(2,874,182)
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
172,585,518
(1,162,140,694)
57,580,186
(50,076,459)
Total
increase
(decrease)
in
net
assets
503,459,555
(1,229,834,740)
89,679,268
(59,010,858)
NET
ASSETS:
Beginning
of
period
................................
1,019,803,204
2,249,637,944
59,559,045
118,569,903
End
of
period
...................................
$
1,523,262,759
$
1,019,803,204
$
149,238,313
$
59,559,045
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
267
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
**
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
119,912,936
184,061,144
6,090,044
13,033,808
Shares
sold
.....................................
51,129,773
41,746,669
6,768,920
3,409,999
Shares
issued
on
reinvestment
of
distributions
...........
—
6,521,616
—
684,468
Shares
redeemed
.................................
(29,778,763)
(112,416,493)
(2,204,897)
(11,038,231)
Shares
outstanding,
end
of
period
141,263,946
119,912,936
10,654,067
6,090,044
CLASS
N
Shares
outstanding,
beginning
of
period
................
6,791,239
47,202,273
380,076
452,751
Shares
sold
.....................................
2,167,342
1,701,088
1,298,315
198,971
Shares
issued
on
reinvestment
of
distributions
...........
—
424,629
—
39,195
Shares
redeemed
.................................
(1,696,501)
(42,536,751)
(289,681)
(310,841)
Shares
outstanding,
end
of
period
7,262,080
6,791,239
1,388,710
380,076
CLASS
R6
Shares
outstanding,
beginning
of
period
................
13,840,246
55,630,961
3,296,965
3,657,794
Shares
sold
.....................................
2,644,076
11,425,370
1,949,004
1,142,740
Shares
issued
on
reinvestment
of
distributions
...........
—
784,991
—
330,440
Shares
redeemed
.................................
(5,855,717)
(54,001,076)
(879,811)
(1,834,009)
Shares
outstanding,
end
of
period
10,628,605
13,840,246
4,366,158
3,296,965
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
268
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MULTI-ASSET
FUND
**
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
OPERATIONS:
Net
investment
income
(loss)
........................
$
1,781,206
$
1,816,726
$
(1,357,875)
$
(1,765,481)
Net
realized
gain
(loss)
.............................
2,899,641
11,220,709
103,865,577
45,624,121
Net
change
in
unrealized
appreciation
(depreciation)
.......
(20,770,349)
4,727,867
(76,182,384)
3,965,649
Net increase
(decrease)
in
net
assets
resulting
from
operations
(16,089,502)
17,765,302
26,325,318
47,824,289
DISTRIBUTIONS
TO
SHAREHOLDERS:
Class
I
.........................................
—
(6,565,161)
—
(34,748,130)
Class
N
.........................................
—
(343,784)
—
(5,277,938)
Class
R6
........................................
—
(959,104)
—
(487,714)
Total
distributions
—
(7,868,049)
—
(40,513,782)
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
44,847,812
15,594,074
428,205,849
232,827,893
Reinvestment
of
distributions
.........................
—
4,670,202
—
34,473,488
Cost
of
shares
redeemed
...........................
(25,653,319)
(44,606,195)
(149,823,007)
(95,519,548)
Net
increase
(decrease)
from
capital
transactions
19,194,493
(24,341,919)
278,382,842
171,781,833
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
3,918,003
1,976,625
22,683,686
22,008,305
Reinvestment
of
distributions
.........................
—
296,427
—
5,277,938
Cost
of
shares
redeemed
...........................
(3,069,473)
(2,282,264)
(15,660,881)
(16,240,342)
Net
increase
(decrease)
from
capital
transactions
848,530
(9,212)
7,022,805
11,045,901
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
21,804,907
5,306,569
24,198,101
3,333,019
Reinvestment
of
distributions
.........................
—
955,684
—
476,176
Cost
of
shares
redeemed
...........................
(7,917,930)
(2,435,755)
(1,686,160)
(1,383,589)
Net
increase
(decrease)
from
capital
transactions
13,886,977
3,826,498
22,511,941
2,425,606
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
33,930,000
(20,524,633)
307,917,588
185,253,340
Total
increase
(decrease)
in
net
assets
17,840,498
(10,627,380)
334,242,906
192,563,847
NET
ASSETS:
Beginning
of
period
................................
127,446,710
138,074,090
248,099,250
55,535,403
End
of
period
...................................
$
145,287,208
$
127,446,710
$
582,342,156
$
248,099,250
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
269
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
MULTI-ASSET
FUND
**
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
**
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
9,928,770
12,265,365
26,596,501
5,631,966
Shares
sold
.....................................
4,385,631
1,477,644
42,933,822
27,913,051
Shares
issued
on
reinvestment
of
distributions
...........
—
445,205
—
4,293,087
Shares
redeemed
.................................
(2,516,291)
(4,259,444)
(15,075,533)
(11,241,603)
Shares
outstanding,
end
of
period
11,798,110
9,928,770
54,454,790
26,596,501
CLASS
N
Shares
outstanding,
beginning
of
period
................
556,832
570,487
3,735,120
2,399,584
Shares
sold
.....................................
374,443
180,312
2,333,058
2,637,058
Shares
issued
on
reinvestment
of
distributions
...........
—
28,339
—
669,789
Shares
redeemed
.................................
(300,447)
(222,306)
(1,590,254)
(1,971,311)
Shares
outstanding,
end
of
period
630,828
556,832
4,477,924
3,735,120
CLASS
R6
Shares
outstanding,
beginning
of
period
................
1,609,210
1,245,435
430,409
114,907
Shares
sold
.....................................
2,158,565
500,818
2,365,550
414,638
Shares
issued
on
reinvestment
of
distributions
...........
—
91,191
—
59,079
Shares
redeemed
.................................
(777,908)
(228,234)
(170,338)
(158,215)
Shares
outstanding,
end
of
period
2,989,867
1,609,210
2,625,621
430,409
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Changes
in
Net
Assets
(Continued)
270
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
**
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
PERIOD
12/16/21
*
-
12/31/21
OPERATIONS:
Net
investment
income
(loss)
........................
$
(3,552,690)
$
(9,477,690)
$
(62,894)
$
(4,936)
Net
realized
gain
(loss)
.............................
245,818,401
126,371,766
2,206,975
(115)
Net
change
in
unrealized
appreciation
(depreciation)
.......
(71,203,956)
33,550,456
(1,906,357)
81,983
Net increase
(decrease)
in
net
assets
resulting
from
operations
171,061,755
150,444,532
237,724
76,932
DISTRIBUTIONS
TO
SHAREHOLDERS:
Distributable
earnings
—
—
—
—
Class
I
.........................................
—
(27,925,373)
—
—
Class
N
.........................................
—
(2,257,265)
—
—
Class
R6
........................................
—
(46,587,791)
—
—
Total
—
(76,770,429)
—
—
Total
distributions
—
(76,770,429)
—
—
CAPITAL
TRANSACTIONS:
CLASS
I
—
—
—
—
Proceeds
from
shares
sold
..........................
136,043,982
158,057,194
7,779,544
500,000
Reinvestment
of
distributions
.........................
—
25,637,051
—
—
Cost
of
shares
redeemed
...........................
(116,052,435)
(203,683,304)
(12,455)
—
Net
increase
(decrease)
from
capital
transactions
19,991,547
(19,989,059)
7,767,089
500,000
CLASS
N
—
—
—
—
Proceeds
from
shares
sold
..........................
15,726,306
9,682,806
5,298,896
500,000
Reinvestment
of
distributions
.........................
—
2,069,523
—
—
Cost
of
shares
redeemed
...........................
(9,214,392)
(9,305,147)
(13,866)
—
Net
increase
(decrease)
from
capital
transactions
6,511,914
2,447,182
5,285,030
500,000
CLASS
R6
—
—
—
—
Proceeds
from
shares
sold
..........................
89,857,636
85,955,708
—
9,011,500
Reinvestment
of
distributions
.........................
—
44,723,437
—
—
Cost
of
shares
redeemed
...........................
(117,998,544)
(170,969,347)
—
—
Net
increase
(decrease)
from
capital
transactions
(28,140,908)
(40,290,202)
—
9,011,500
Net
increase
(decrease)
in
net
assets
resulting
from
capital
transactions
(1,637,447)
(57,832,079)
13,052,119
10,011,500
Total
increase
(decrease)
in
net
assets
169,424,308
15,842,024
13,289,843
10,088,432
NET
ASSETS:
Beginning
of
period
................................
658,204,918
642,362,894
10,088,432
—
End
of
period
...................................
$
827,629,226
$
658,204,918
$
23,378,275
$
10,088,432
$
—
$
—
$
—
$
—
Statements
of
Changes
in
Net
Assets
271
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
**
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
FOR
THE
SIX
MONTHS
ENDED
JUNE
30,
2022
FOR
THE
PERIOD
12/16/21
*
-
12/31/21
CHANGES
IN
SHARES
OUTSTANDING:
CLASS
I
Shares
outstanding,
beginning
of
period
................
34,514,139
37,337,857
50,000
—
Shares
sold
.....................................
16,052,402
21,549,285
646,037
50,000
Shares
issued
on
reinvestment
of
distributions
...........
—
3,688,784
—
—
Shares
redeemed
.................................
(13,448,259)
(28,061,787)
(1,064)
—
Shares
outstanding,
end
of
period
37,118,282
34,514,139
694,973
50,000
CLASS
N
Shares
outstanding,
beginning
of
period
................
2,732,084
2,352,158
50,000
—
Shares
sold
.....................................
1,824,954
1,341,245
458,662
50,000
Shares
issued
on
reinvestment
of
distributions
...........
—
299,931
—
—
Shares
redeemed
.................................
(1,023,277)
(1,261,250)
(1,231)
—
Shares
outstanding,
end
of
period
3,533,761
2,732,084
507,431
50,000
CLASS
R6
Shares
outstanding,
beginning
of
period
................
56,170,219
61,159,132
901,150
—
Shares
sold
.....................................
10,602,211
11,791,726
—
901,150
Shares
issued
on
reinvestment
of
distributions
...........
—
6,407,369
—
—
Shares
redeemed
.................................
(13,477,784)
(23,188,008)
—
—
Shares
outstanding,
end
of
period
53,294,646
56,170,219
901,150
901,150
*
Commencement
of
operations.
**
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Cash
Flows
272
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
AQR
ALTERNATIVE
RISK
PREMIA
FUND
***
AQR
MACRO
OPPORTUNITIES
FUND
***
AQR
MULTI-
ASSET
FUND
***
CASH
FLOWS
FROM
(USED
IN)
OPERATING
ACTIVITIES:
Net
increase
(decrease)
in
net
assets
resulting
from
operations
...............
$
22,822,819
$
5,740,601
$
(16,089,502)
Adjustments
to
reconcile
net
increase
(decrease)
in
net
assets
resulting
from
operations
to
net
cash
provided
by
(used
in)
operating
activities:
—
—
—
Payments
to
purchase
securities
....................................
(78,062,964)
(25,846,890)
(86,486
,
596
)
Payments
to
cover
short
positions
in
securities
..........................
(40,107,654)
—
(13,938,261)
Proceeds
from
sale
of
securities
.....................................
46,257,898
541,546
68,908,
256
Proceeds
from
short
positions
in
securities
.............................
92,613,210
19,716,457
21,641,549
(Purchases)
sales
of
short-term
investments,
net
........................
(4,507,390)
(28,828,231)
4,743,924
Realized
(gain)
loss
on
investments
in
securities
........................
5,810,900
376,839
79,335
Realized
(gain)
loss
on
reverse
repurchase
agreements
...................
—
—
(1,061,632)
Realized
(gain)
loss
on
short
positions
in
securities
.......................
1,028,895
(610,603)
(2,235,525)
Change
in
unrealized
(appreciation)
depreciation
on
investments
in
securities
...
15,872,909
1,612,054
20,423,032
Change
in
unrealized
(appreciation)
depreciation
on
short
positions
in
securities
.
(35,480,680)
10,967
(3,321,389)
Amortization
(accretion)
of
bond
premium
(discount)
......................
(46,366)
(98,376)
(1,301,335)
(Increases)
decreases
in
operating
assets:
–
–
–
Due
from
brokers
................................................
(393,248)
(444,194)
222,661
Deposits
with
brokers
for
futures
contracts
.............................
(2,509,475)
(2,913,094)
(1,418,108)
Repurchase
Agreements
..........................................
—
(12,232,625)
(12,470,628)
Unrealized
appreciation
on
forward
foreign
currency
exchange
contracts
......
(1,483,737)
(2,076,371)
(637,680)
Unrealized
appreciation
on
OTC
swaps
...............................
477,656
27,514
56,553
Deposits
for
securities
sold
short
....................................
(9,916,018)
—
—
Deposits
with
brokers
for
centrally
cleared
swaps
.......................
184,513
(1,136,077)
—
Variation
margin
on
centrally
cleared
swaps
............................
(67,888)
(6,849)
—
Variation
margin
on
futures
contracts
.................................
8,299
(425,806)
(636,080)
Foreign
tax
reclaim
..............................................
(42,940)
—
(26,782)
Dividends
and
Interest
............................................
(72,949)
(58,350)
(37,487)
Due
from
Investment
Adviser
.......................................
—
37,638
—
Prepaid
expenses
...............................................
1,053
(22,273)
(29,586)
Increases
(decreases)
in
operating
liabilities
–
–
–
Due
to
broker
...................................................
(118,003)
(82,968)
(48,010)
Unrealized
depreciation
on
forward
foreign
currency
exchange
contracts
......
1,711,324
2,274,796
879,136
Unrealized
depreciation
on
OTC
swaps
...............................
254,881
50,753
99,631
Deposits
from
brokers
for
futures
contracts
.............................
—
5
—
Variation
margin
on
centrally
cleared
swaps
............................
—
332,209
—
Variation
margin
on
futures
contracts
.................................
2,263
307,159
341,022
Accrued
investment
advisory
fees
...................................
31,449
27,415
12,052
Accrued
distribution
fees—Class
N
...................................
(211)
1,092
6
Dividends
and
Interest
payable
on
securities
sold
short
...................
20,101
73,257
5,162
Other
accrued
expenses
and
liabilities
................................
(1,154)
(23,612)
10,840
Net
cash
provided
by
(used
in)
operating
activities
$
14,287,493
$
(43,676,017)
$
(22,315,442)
—
—
—
CASH
FLOWS
FROM
(USED
IN)
FINANCING
ACTIVITIES
—
—
—
Proceeds
from
shares
sold
.........................................
25,825,949
34,860,200
70,240,552
Net
change
in
reverse
repurchase
agreements
..........................
—
11,633,500
(12,749,680)
Payments
on
shares
redeemed
.....................................
(43,174,071)
(2,902,958)
(35,738,194)
Due
to
custodian
................................................
22,591
—
648,608
Net
cash
provided
by
(used
in)
financing
activities
.......................
$
(17,325,531)
$
43,590,742
$
22,401,286
Net
change
in
cash
and
cash
denominated
in
foreign
currencies
..............
(3,038,038)
(85,275)
85,844
Cash,
beginning
of
period
.........................................
3,510,062
169,953
571,136
Cash,
end
of
period**
.............................................
$
472,024
$
84,678
$
656,980
Supplemental
disclosure
of
cash
flow
information:
Cash
paid
during
the
period
for
interest
in
the
amount
of
$402,580,
$–
and
$59,119.
***
Consolidated
financial
statement,
see
Note
2
in
the
Notes
to
Financial
Statements
for
additional
information.
Statements
of
Cash
Flows
273
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
**
The
following
is
a
reconciliation
of
cash
and
cash
held
in
foreign
currencies
reported
within
the
Statements
of
Assets
and
Liabilities
that
sum
to
the
total
of
the
same
such
amounts
disclosed
in
the
Statement
of
Cash
Flows:
FUND
CASH
CASH
DENOMINATED
IN
FOREIGN
CURRENCIES
TOTAL
CASH
AND
CASH
DENOMINATED
IN
FOREIGN
CURRENCIES
AQR
Alternative
Risk
Premia
Fund
..........................................
$
—
$
472,024
$
472,024
AQR
Macro
Opportunities
Fund
.............................................
1,642
83,036
84,678
AQR
Multi-Asset
Fund
...................................................
—
656,980
656,980
274
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.56
0.01
1.33
1.34
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.89
(0.05)
1.03
0.98
(0.31)
—
—
(0.31)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.89
(0.02)
(1.84)
(1.86)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.25
0.05
6
(0.33)
(0.28)
(0.08)
—
—
(0.08)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.01
(0.00)
7
(0.75)
(0.75)
(0.01)
—
—
(0.01)
FOR
THE
PERIOD
9/19/17
9
-12/31/17
$
10.00
(0.01)
0.02
10
0.01
—
—
—
—
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.53
0.00
7
1.32
1.32
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.86
(0.06)
1.02
0.96
(0.29)
—
—
(0.29)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.88
(0.04)
(1.84)
(1.88)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.23
0.03
6
(0.33)
(0.30)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.01
(0.03)
(0.74)
(0.77)
(0.01)
—
—
(0.01)
FOR
THE
PERIOD
9/19/17
9
-12/31/17
$
10.00
(0.01)
0.02
10
0.01
—
—
—
—
AQR
ALTERNATIVE
RISK
PREMIA
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.58
0.03
1.32
1.35
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.91
(0.03)
1.02
0.99
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.91
(0.02)
(1.84)
(1.86)
(0.14)
—
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.27
0.05
6
(0.32)
(0.27)
(0.09)
—
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.02
0.01
(0.75)
(0.74)
(0.01)
—
—
(0.01)
FOR
THE
PERIOD
9/19/17
9
-12/31/17
$
10.00
(0.01)
0.03
10
0.02
—
—
—
—
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.10
(0.04)
(0.48)
(0.52)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.46
(0.12)
0.84
0.72
(0.08)
—
—
(0.08)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.30
(0.03)
2.37
2.34
(0.15)
—
(0.03)
(0.18)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.75
0.08
0.67
0.75
(0.20)
—
—
(0.20)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.12
0.06
0.14
0.20
(0.57)
—
—
(0.57)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.23
0.02
0.52
0.54
(0.65)
—
—
(0.65)
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.12
(0.05)
(0.49)
(0.54)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.48
(0.15)
0.84
0.69
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.31
(0.06)
2.38
2.32
(0.12)
—
(0.03)
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.76
0.05
0.67
0.72
(0.17)
—
—
(0.17)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.12
0.04
0.14
0.18
(0.54)
—
—
(0.54)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.23
0.00
7
0.51
0.51
(0.62)
—
—
(0.62)
AQR
DIVERSIFIED
ARBITRAGE
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.08
(0.03)
(0.48)
(0.51)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
11.44
(0.11)
0.84
0.73
(0.09)
—
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.28
(0.01)
2.36
2.35
(0.15)
—
(0.04)
(0.19)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.73
0.12
0.63
0.75
(0.20)
—
—
(0.20)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.10
0.08
0.13
0.21
(0.58)
—
—
(0.58)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.21
0.03
0.52
0.55
(0.66)
—
—
(0.66)
275
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
8.90
17.72%
$
38,718
3.02%
2.86%
1.40%
0.21%
98%
$
7.56
14.25%
$
46,808
3.09%
2.79%
1.40%
(0.62)%
179%
$
6.89
(20.95)%
$
61,080
3.31%
3.20%
1.41%
(0.31)%
232%
$
8.89
(3.08)%
$
144,245
3.60%
3.55%
1.40%
0.58%
6
192%
$
9.25
(7.51)%
$
260,990
3.40%
8
3.32%
1.40%
(0.00)%
253%
$
10.01
0.10%
$
26,852
3.06%
8
2.65%
1.40%
(0.25)%
293%
$
8.85
17.53%
$
5,951
3.27%
3.11%
1.65%
0.05%
98%
$
7.53
14.03%
$
7,422
3.35%
3.04%
1.65%
(0.78)%
179%
$
6.86
(21.20)%
$
6,503
3.57%
3.45%
1.66%
(0.51)%
232%
$
8.88
(3.24)%
$
8,989
3.85%
3.80%
1.65%
0.28%
6
192%
$
9.23
(7.72)%
$
11,467
3.64%
8
3.55%
1.63%
(0.27)%
253%
$
10.01
0.10%
$
1,538
3.70%
8
2.90%
1.65%
(0.44)%
293%
$
8.93
17.81%
$
97,390
2.91%
2.76%
1.30%
0.64%
98%
$
7.58
14.31%
$
82,522
3.00%
2.69%
1.30%
(0.43)%
179%
$
6.91
(20.90)%
$
54,859
3.22%
3.10%
1.31%
(0.24)%
232%
$
8.91
(2.93)%
$
82,300
3.51%
3.45%
1.30%
0.53%
6
192%
$
9.27
(7.41)%
$
98,967
3.31%
8
3.23%
1.30%
0.06%
253%
$
10.02
0.20%
$
49,818
3.14%
8
2.55%
1.30%
(0.22)%
293%
$
11.58
(4.30)%
$
944,635
1.31%
8
1.30%
8
1.20%
8
(0.67)%
63%
$
12.10
6.27%
$
922,765
1.51%
1.47%
1.20%
(0.98)%
518%
$
11.46
25.21%
$
611,741
2.10%
2.04%
1.20%
(0.29)%
598%
$
9.30
8.53%
$
464,186
2.06%
1.98%
1.20%
0.88%
361%
$
8.75
2.19%
$
319,152
1.96%
1.92%
1.20%
0.66%
390%
$
9.12
5.92%
$
386,972
2.08%
2.02%
1.19%
0.25%
205%
$
11.58
(4.46)%
$
50,298
1.56%
8
1.55%
8
1.45%
8
(0.92)%
63%
$
12.12
5.99%
$
44,676
1.76%
1.72%
1.45%
(1.22)%
518%
$
11.48
24.96%
$
34,599
2.35%
2.29%
1.45%
(0.60)%
598%
$
9.31
8.21%
$
55,694
2.30%
2.22%
1.44%
0.52%
361%
$
8.76
2.01%
$
66,251
2.21%
2.17%
1.45%
0.44%
390%
$
9.12
5.58%
$
76,774
2.34%
2.28%
1.44%
0.01%
205%
$
11.57
(4.22)%
$
414,483
1.21%
8
1.20%
8
1.10%
8
(0.56)%
63%
$
12.08
6.37%
$
358,110
1.42%
1.37%
1.10%
(0.88)%
518%
$
11.44
25.36%
$
232,201
2.00%
1.94%
1.10%
(0.10)%
598%
$
9.28
8.64%
$
19,077
1.96%
1.88%
1.10%
1.27%
361%
$
8.73
2.41%
$
13,654
1.87%
1.82%
1.10%
0.79%
390%
$
9.10
6.02%
$
8,416
1.98%
1.93%
1.10%
0.36%
205%
276
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.82
(0.01)
1.15
1.14
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.57
0.54
1.11
(0.51)
(0.15)
—
(0.66)
FOR
THE
PERIOD
6/08/20
9
-12/31/20
$
10.00
0.23
0.34
0.57
(0.20)
—
—
(0.20)
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.80
(0.03)
1.16
1.13
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.75
0.33
1.08
(0.50)
(0.15)
—
(0.65)
FOR
THE
PERIOD
6/08/20
9
-12/31/20
$
10.00
0.15
0.41
0.56
(0.19)
—
—
(0.19)
AQR
DIVERSIFYING
STRATEGIES
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.83
(0.01)
1.16
1.15
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
10.37
0.51
0.62
1.13
(0.52)
(0.15)
—
(0.67)
FOR
THE
PERIOD
6/08/20
9
-12/31/20
$
10.00
0.18
0.39
0.57
(0.20)
—
—
(0.20)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.32
(0.03)
1.59
1.56
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.31
(0.09)
1.20
1.11
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.20
(0.02)
(1.77)
(1.79)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.76
0.13
(1.34)
(1.21)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.25
0.04
(1.48)
(1.44)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
11.97
(0.08)
0.79
0.71
(0.43)
—
—
(0.43)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.21
(0.05)
1.58
1.53
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.23
(0.10)
1.18
1.08
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.12
(0.03)
(1.76)
(1.79)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.70
0.12
(1.35)
(1.23)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.21
0.00
7
(1.46)
(1.46)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
11.95
(0.11)
0.78
0.67
(0.41)
—
—
(0.41)
AQR
EQUITY
MARKET
NEUTRAL
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.35
(0.02)
1.59
1.57
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.32
(0.08)
1.21
1.13
—
(0.10)
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.22
(0.00)
7
(1.80)
(1.80)
—
(1.10)
—
(1.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.77
0.11
(1.31)
(1.20)
—
(0.35)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
12.25
0.05
(1.48)
(1.43)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
11.97
(0.08)
0.79
0.71
(0.43)
—
—
(0.43)
277
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
11.96
10.54%
$
119,827
0.33%
0.20%
0.20%
(0.19)%
13%
$
10.82
10.66%
$
27,048
1.03%
8
0.20%
0.20%
5.11%
14%
$
10.37
5.71%
$
15,645
1.31%
8
0.20%
0.20%
3.91%
14%
$
11.93
10.46%
$
6,872
0.57%
0.45%
0.45%
(0.44)%
13%
$
10.80
10.37%
$
1,792
1.15%
8
0.45%
0.45%
6.69%
14%
$
10.37
5.61%
$
533
1.87%
8
0.45%
0.45%
2.56%
14%
$
11.98
10.62%
$
5,169
0.26%
0.10%
0.10%
(0.09)%
13%
$
10.83
10.84%
$
4,725
0.93%
8
0.10%
0.10%
4.55%
14%
$
10.37
5.75%
$
4,492
1.62%
8
0.10%
0.10%
3.06%
14%
$
8.88
21.31%
$
103,546
1.71%
1.55%
1.30%
(0.70)%
234%
$
7.32
17.64%
$
32,802
1.87%
1.48%
1.30%
(1.22)%
282%
$
6.31
(19.52)%
$
38,498
1.73%
1.63%
1.30%
(0.20)%
312%
$
9.20
(11.27)%
$
208,679
2.23%
2.21%
1.27%
1.31%
263%
$
10.76
(11.73)%
$
708,592
1.99%
1.99%
1.24%
0.32%
175%
$
12.25
5.84%
$
1,552,269
2.07%
2.07%
1.27%
(0.66)%
237%
$
8.74
21.22%
$
20,430
1.98%
1.80%
1.55%
(1.12)%
234%
$
7.21
17.38%
$
15,968
2.13%
1.73%
1.55%
(1.45)%
282%
$
6.23
(19.70)%
$
10,040
2.03%
1.88%
1.55%
(0.33)%
312%
$
9.12
(11.52)%
$
14,129
2.50%
2.49%
1.55%
1.20%
263%
$
10.70
(11.94)%
$
209,290
2.27%
2.27%
1.53%
0.02%
175%
$
12.21
5.56%
$
357,839
2.35%
2.35%
1.55%
(0.92)%
237%
$
8.92
21.36%
$
27,114
1.61%
1.45%
1.20%
(0.50)%
234%
$
7.35
17.93%
$
5,917
1.79%
1.38%
1.20%
(1.13)%
282%
$
6.32
(19.61)%
$
4,758
1.67%
1.53%
1.20%
(0.01)%
312%
$
9.22
(11.17)%
$
38,112
2.15%
2.14%
1.20%
1.05%
263%
$
10.77
(11.65)%
$
206,044
1.93%
1.93%
1.18%
0.44%
175%
$
12.25
5.91%
$
326,927
2.00%
2.00%
1.20%
(0.61)%
237%
278
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
LONG-SHORT
EQUITY
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.31
(0.06)
1.62
1.56
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.39
(0.14)
3.06
2.92
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
11.08
(0.04)
(1.50)
(1.54)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.94
0.10
0.04
10
0.14
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.88
0.04
(2.32)
(2.28)
(0.04)
(0.62)
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
13.07
(0.08)
2.15
2.07
(0.56)
(0.70)
—
(1.26)
AQR
LONG-SHORT
EQUITY
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.09
(0.08)
1.60
1.52
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.25
(0.17)
3.01
2.84
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
10.95
(0.08)
(1.47)
(1.55)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.84
0.07
0.04
10
0.11
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.80
(0.01)
(2.29)
(2.30)
(0.04)
(0.62)
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
13.00
(0.11)
2.13
2.02
(0.52)
(0.70)
—
(1.22)
AQR
LONG-SHORT
EQUITY
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
12.38
(0.06)
1.64
1.58
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.44
(0.13)
3.07
2.94
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
11.12
(0.02)
(1.51)
(1.53)
—
(0.15)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
10.97
0.10
0.05
10
0.15
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
13.91
0.04
(2.32)
(2.28)
(0.04)
(0.62)
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
13.08
(0.07)
2.17
2.10
(0.57)
(0.70)
—
(1.27)
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
9.01
(0.01)
1.48
1.47
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.58
(0.12)
(0.31)
(0.43)
(0.08)
(0.06)
—
(0.14)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.52
(0.07)
0.22
0.15
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.08
0.06
0.38
0.44
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.75
0.03
0.65
0.68
(0.15)
(0.20)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.06
(0.06)
(0.25)
(0.31)
(0.00)
7
—
—
(0.00)
7
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
8.86
(0.02)
1.45
1.43
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.42
(0.14)
(0.30)
(0.44)
(0.06)
(0.06)
—
(0.12)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.39
(0.10)
0.22
0.12
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.97
0.03
0.39
0.42
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.66
(0.00)
7
0.66
0.66
(0.15)
(0.20)
—
(0.35)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
8.99
(0.08)
(0.25)
(0.33)
—
—
—
—
AQR
MACRO
OPPORTUNITIES
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
9.03
(0.01)
1.48
1.47
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.60
(0.11)
(0.31)
(0.42)
(0.09)
(0.06)
—
(0.15)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.53
(0.07)
0.23
0.16
—
(0.09)
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.08
0.06
0.39
0.45
(0.00)
7
—
—
(0.00)
7
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
8.75
0.04
0.65
0.69
(0.16)
(0.20)
—
(0.36)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.07
(0.03)
(0.28)
(0.31)
(0.01)
—
—
(0.01)
279
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
13.87
12.67%
$
571,557
1.35%
1.32%
1.30%
(0.84)%
0%
$
12.31
31.10%
$
278,938
1.36%
1.31%
1.30%
(1.26)%
0%
$
9.39
(13.91)%
$
350,475
1.32%
1.31%
1.30%
(0.42)%
269%
$
11.08
1.28%
$
901,269
2.06%
2.06%
1.26%
0.92%
292%
$
10.94
(16.40)%
$
1,697,554
1.73%
1.73%
1.24%
0.28%
462%
$
13.88
15.73%
$
4,144,436
2.01%
2.01%
1.27%
(0.60)%
249%
$
13.61
12.57%
$
17,751
1.60%
1.57%
1.55%
(1.13)%
0%
$
12.09
30.70%
$
11,049
1.62%
1.56%
1.55%
(1.52)%
0%
$
9.25
(14.17)%
$
6,934
1.57%
1.56%
1.55%
(0.79)%
269%
$
10.95
1.01%
$
28,689
2.33%
2.33%
1.53%
0.60%
292%
$
10.84
(16.64)%
$
117,289
2.01%
2.01%
1.51%
(0.04)%
462%
$
13.80
15.47%
$
385,302
2.27%
2.27%
1.53%
(0.80)%
249%
$
13.96
12.76%
$
6,617
1.25%
1.22%
1.20%
(0.92)%
0%
$
12.38
31.14%
$
14,951
1.27%
1.21%
1.20%
(1.16)%
0%
$
9.44
(13.77)%
$
15,920
1.23%
1.21%
1.20%
(0.25)%
269%
$
11.12
1.37%
$
76,285
1.99%
1.99%
1.19%
0.87%
292%
$
10.97
(16.36)%
$
206,247
1.66%
1.66%
1.16%
0.32%
462%
$
13.91
15.95%
$
965,972
1.92%
1.92%
1.17%
(0.46)%
249%
$
10.48
16.32%
$
25,390
1.95%
1.43%
1.20%
(0.23)%
364%
$
9.01
(4.54)%
$
7,190
2.32%
11
1.26%
11
1.25%
(1.23)%
0%
$
9.58
1.61%
$
8,510
2.22%
1.35%
1.34%
(0.77)%
0%
$
9.52
4.90%
$
14,985
2.15%
1.45%
1.45%
0.59%
0%
$
9.08
7.80%
$
20,230
1.93%
1.42%
1.42%
0.29%
0%
$
8.75
(3.38)%
$
9,199
2.30%
1.40%
1.40%
(0.65)%
0%
$
10.29
16.14%
$
6,068
2.17%
1.68%
1.45%
(0.49)%
364%
$
8.86
(4.72)%
$
638
2.60%
11
1.50%
11
1.50%
(1.47)%
0%
$
9.42
1.31%
$
537
2.47%
1.60%
1.59%
(1.04)%
0%
$
9.39
4.73%
$
1,173
2.23%
1.70%
1.70%
0.37%
0%
$
8.97
7.57%
$
17,074
2.11%
1.68%
1.68%
(0.04)%
0%
$
8.66
(3.67)%
$
2,892
2.63%
1.70%
1.70%
(0.89)%
0%
$
10.50
16.28%
$
35,348
1.87%
1.33%
1.10%
(0.17)%
364%
$
9.03
(4.41)%
$
19,389
2.24%
11
1.16%
11
1.15%
(1.13)%
0%
$
9.60
1.71%
$
19,070
2.12%
1.23%
1.22%
(0.71)%
0%
$
9.53
5.01%
$
11,841
2.08%
1.35%
1.35%
0.67%
0%
$
9.08
7.84%
$
12,073
1.91%
1.35%
1.35%
0.41%
0%
$
8.75
(3.41)%
$
13,970
2.32%
1.35%
1.35%
(0.34)%
0%
280
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.26
(0.03)
2.34
2.31
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.85
(0.09)
0.00
7
(0.09)
(0.50)
—
—
(0.50)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.30
(0.04)
0.01
10
(0.03)
(0.42)
—
—
(0.42)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.41
0.09
0.06
0.15
(0.26)
—
—
(0.26)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.23
0.06
(0.88)
(0.82)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.32
(0.03)
(0.06)
(0.09)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.20
(0.04)
2.33
2.29
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.78
(0.11)
0.00
7
(0.11)
(0.47)
—
—
(0.47)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.16
(0.06)
0.00
7,10
(0.06)
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.27
0.06
0.07
0.13
(0.24)
—
—
(0.24)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.10
0.03
(0.86)
(0.83)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.21
(0.06)
(0.05)
(0.11)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.27
(0.03)
2.35
2.32
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
7.86
(0.09)
0.01
(0.08)
(0.51)
—
—
(0.51)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.32
(0.03)
0.00
7,10
(0.03)
(0.43)
—
—
(0.43)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.42
0.09
0.08
0.17
(0.27)
—
—
(0.27)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.24
0.06
(0.88)
(0.82)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.32
(0.02)
(0.06)
(0.08)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
6.09
(0.04)
3.04
3.00
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.91
(0.12)
(0.03)
(0.15)
(0.67)
—
—
(0.67)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.64
(0.06)
(0.01)
(0.07)
(0.66)
—
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.82
0.04
0.10
0.14
(0.32)
—
—
(0.32)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.14
0.00
7
(1.32)
(1.32)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.29
(0.08)
(0.07)
(0.15)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
6.12
(0.05)
3.04
2.99
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.94
(0.13)
(0.04)
(0.17)
(0.65)
—
—
(0.65)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.56
(0.07)
(0.01)
(0.08)
(0.54)
—
—
(0.54)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.73
0.02
0.10
0.12
(0.29)
—
—
(0.29)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.06
(0.02)
(1.31)
(1.33)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.23
(0.10)
(0.07)
(0.17)
—
—
—
—
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
6.11
(0.04)
3.04
3.00
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.93
(0.11)
(0.03)
(0.14)
(0.68)
—
—
(0.68)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
7.66
(0.05)
(0.01)
(0.06)
(0.67)
—
—
(0.67)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
7.84
0.05
0.10
0.15
(0.33)
—
—
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.15
0.01
(1.32)
(1.31)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.30
(0.07)
(0.08)
(0.15)
—
—
—
—
281
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
9.57
31.82%
$
1,352,440
1.27%
1.26%
1.25%
(0.78)%
0%
$
7.26
(1.06)%
$
870,337
1.24%
1.24%
1.23%
(1.18)%
0%
$
7.85
(0.29)%
$
1,445,072
1.22%
1.22%
1.22%
(0.46)%
0%
$
8.30
1.80%
$
2,315,083
1.21%
1.21%
1.20%
1.00%
0%
$
8.41
(8.88)%
$
4,254,642
1.16%
1.16%
1.16%
0.62%
0%
$
9.23
(0.97)%
$
5,956,726
1.19%
1.19%
1.19%
(0.38)%
0%
$
9.49
31.81%
$
68,883
1.51%
1.51%
1.50%
(1.03)%
0%
$
7.20
(1.31)%
$
48,894
1.47%
1.47%
1.47%
(1.41)%
0%
$
7.78
(0.60)%
$
367,278
1.49%
1.49%
1.49%
(0.72)%
0%
$
8.16
1.56%
$
1,506,755
1.49%
1.49%
1.48%
0.71%
0%
$
8.27
(9.12)%
$
1,811,668
1.45%
1.45%
1.45%
0.30%
0%
$
9.10
(1.19)%
$
3,325,717
1.46%
1.46%
1.46%
(0.63)%
0%
$
9.59
31.91%
$
101,940
1.17%
1.16%
1.15%
(0.70)%
0%
$
7.27
(0.94)%
$
100,572
1.15%
1.15%
1.15%
(1.09)%
0%
$
7.86
(0.30)%
$
437,288
1.14%
1.14%
1.14%
(0.37)%
0%
$
8.32
2.03%
$
580,587
1.14%
1.14%
1.13%
1.07%
0%
$
8.42
(8.87)%
$
971,992
1.11%
1.11%
1.11%
0.66%
0%
$
9.24
(0.86)%
$
1,840,901
1.11%
1.11%
1.11%
(0.27)%
0%
$
9.09
49.26%
$
96,802
1.92%
1.66%
1.65%
(1.12)%
0%
$
6.09
(2.11)%
$
37,100
1.94%
1.71%
1.70%
(1.65)%
0%
$
6.91
(0.65)%
$
90,075
1.76%
1.66%
1.65%
(0.83)%
0%
$
7.64
1.81%
$
159,510
1.70%
1.64%
1.64%
0.50%
0%
$
7.82
(14.44)%
$
244,569
1.65%
1.64%
1.64%
0.00%
0%
$
9.14
(1.61)%
$
463,124
1.64%
1.64%
1.64%
(0.85)%
0%
$
9.11
48.86%
$
12,652
2.16%
1.91%
1.90%
(1.31)%
0%
$
6.12
(2.34)%
$
2,325
2.20%
1.96%
1.95%
(1.91)%
0%
$
6.94
(0.80)%
$
3,141
1.99%
1.91%
1.90%
(0.87)%
0%
$
7.56
1.55%
$
31,794
1.96%
1.90%
1.90%
0.26%
0%
$
7.73
(14.68)%
$
59,231
1.91%
1.90%
1.90%
(0.24)%
0%
$
9.06
(1.84)%
$
97,440
1.90%
1.90%
1.90%
(1.13)%
0%
$
9.11
49.10%
$
39,784
1.83%
1.56%
1.55%
(1.05)%
0%
$
6.11
(1.92)%
$
20,134
1.84%
1.60%
1.59%
(1.55)%
0%
$
6.93
(0.49)%
$
25,354
1.65%
1.56%
1.55%
(0.65)%
0%
$
7.66
1.93%
$
95,310
1.61%
1.55%
1.55%
0.59%
0%
$
7.84
(14.32)%
$
181,404
1.56%
1.55%
1.55%
0.12%
0%
$
9.15
(1.61)%
$
261,636
1.55%
1.55%
1.55%
(0.75)%
0%
282
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
MULTI-ASSET
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.54
0.13
(1.24)
(1.11)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.81
0.14
1.27
1.41
(0.57)
(0.11)
—
(0.68)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.66
0.01
0.25
0.26
(0.11)
—
—
(0.11)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.51
0.12
1.67
1.79
(0.64)
—
—
(0.64)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.82
0.09
(0.78)
(0.69)
(0.28)
(0.34)
—
(0.62)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.34
0.02
1.49
1.51
(0.19)
(0.84)
—
(1.03)
AQR
MULTI-ASSET
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.51
0.11
(1.23)
(1.12)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.79
0.11
1.27
1.38
(0.55)
(0.11)
—
(0.66)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.63
(0.01)
0.24
0.23
(0.07)
—
—
(0.07)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.49
0.11
1.65
1.76
(0.62)
—
—
(0.62)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.80
0.06
(0.77)
(0.71)
(0.26)
(0.34)
—
(0.60)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.32
(0.01)
1.50
1.49
(0.17)
(0.84)
—
(1.01)
AQR
MULTI-ASSET
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.53
0.14
(1.25)
(1.11)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
9.80
0.16
1.26
1.42
(0.58)
(0.11)
—
(0.69)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
9.65
0.02
0.25
0.27
(0.12)
—
—
(0.12)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
8.51
0.04
1.75
1.79
(0.65)
—
—
(0.65)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
9.83
0.09
(0.78)
(0.69)
(0.29)
(0.34)
—
(0.63)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.34
0.02
1.51
1.53
(0.20)
(0.84)
—
(1.04)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
8.08
(0.03)
1.42
1.39
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.85
(0.08)
2.78
2.70
(1.47)
—
—
(1.47)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.33
(0.01)
0.54
10
0.53
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.65
0.06
0.95
1.01
(0.33)
—
(0.00)
7
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.90
0.05
(1.26)
(1.21)
(0.04)
—
—
(0.04)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
6.25
(0.02)
0.67
0.65
(0.00)
7
—
—
(0.00)
7
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.94
(0.04)
1.39
1.35
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.75
(0.10)
2.74
2.64
(1.45)
—
—
(1.45)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.25
(0.03)
0.54
10
0.51
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.58
0.05
0.93
0.98
(0.31)
—
(0.00)
7
(0.31)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.81
0.03
(1.24)
(1.21)
(0.02)
—
—
(0.02)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
6.18
(0.03)
0.66
0.63
(0.00)
7
—
—
(0.00)
7
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
8.12
(0.02)
1.42
1.40
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.87
(0.08)
2.81
2.73
(1.48)
—
—
(1.48)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
6.35
(0.01)
0.54
10
0.53
—
(0.01)
—
(0.01)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
5.66
0.07
0.95
1.02
(0.33)
—
(0.00)
7
(0.33)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
6.92
0.05
(1.27)
(1.22)
(0.04)
—
—
(0.04)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
6.26
(0.01)
0.67
0.66
(0.00)
7
—
—
(0.00)
7
283
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
9.43
(10.53)%
$
111,201
1.21%
1.05%
0.80%
2.54%
83%
$
10.54
14.34%
$
104,649
1.15%
0.97%
0.80%
1.35%
125%
$
9.81
2.68%
$
120,287
1.20%
1.04%
0.87%
0.10%
187%
$
9.66
21.05%
$
119,488
1.47%
1.34%
0.93%
1.31%
233%
$
8.51
(6.96)%
$
217,406
0.93%
0.92%
0.92%
0.96%
21%
$
9.82
16.36%
$
415,799
0.94%
0.93%
0.93%
0.19%
48%
$
9.39
(10.66)%
$
5,923
1.46%
1.30%
1.05%
2.22%
83%
$
10.51
14.06%
$
5,855
1.40%
1.22%
1.05%
1.03%
125%
$
9.79
2.41%
$
5,585
1.46%
1.31%
1.14%
(0.08)%
187%
$
9.63
20.67%
$
11,366
1.74%
1.61%
1.20%
1.13%
233%
$
8.49
(7.23)%
$
12,303
1.20%
1.18%
1.18%
0.68%
21%
$
9.80
16.13%
$
16,673
1.21%
1.20%
1.20%
(0.06)%
48%
$
9.42
(10.54)%
$
28,163
1.11%
0.95%
0.70%
2.79%
83%
$
10.53
14.48%
$
16,943
1.05%
0.87%
0.70%
1.51%
125%
$
9.80
2.78%
$
12,202
1.08%
0.92%
0.75%
0.20%
187%
$
9.65
21.07%
$
4,691
1.38%
1.26%
0.85%
0.48%
233%
$
8.51
(6.94)%
$
24,925
0.86%
0.85%
0.85%
0.98%
21%
$
9.83
16.56%
$
40,256
0.87%
0.85%
0.85%
0.24%
48%
$
9.47
17.20%
$
515,750
1.02%
1.01%
1.00%
(0.55)%
0%
$
8.08
39.60%
$
214,957
1.11%
1.01%
1.00%
(0.98)%
0%
$
6.85
8.32%
$
38,558
1.10%
1.00%
1.00%
(0.13)%
0%
$
6.33
17.96%
$
105,145
1.06%
0.99%
0.99%
1.05%
0%
$
5.65
(17.58)%
$
96,393
0.99%
0.97%
0.97%
0.71%
0%
$
6.90
10.41%
$
87,863
1.05%
0.99%
0.99%
(0.27)%
0%
$
9.29
17.00%
$
41,600
1.27%
1.26%
1.25%
(0.84)%
0%
$
7.94
39.33%
$
29,648
1.37%
1.26%
1.25%
(1.23)%
0%
$
6.75
8.11%
$
16,188
1.39%
1.25%
1.25%
(0.63)%
0%
$
6.25
17.67%
$
13,586
1.32%
1.25%
1.25%
0.79%
0%
$
5.58
(17.82)%
$
17,457
1.27%
1.25%
1.25%
0.45%
0%
$
6.81
10.20%
$
7,559
1.31%
1.25%
1.25%
(0.50)%
0%
$
9.52
17.24%
$
24,992
0.92%
0.91%
0.90%
(0.32)%
0%
$
8.12
39.89%
$
3,494
1.02%
0.91%
0.90%
(0.88)%
0%
$
6.87
8.29%
$
789
1.02%
0.90%
0.90%
(0.14)%
0%
$
6.35
18.20%
$
148,682
0.97%
0.90%
0.90%
1.12%
0%
$
5.66
(17.60)%
$
156,433
0.93%
0.90%
0.90%
0.80%
0%
$
6.92
10.55%
$
110,467
0.96%
0.90%
0.90%
(0.16)%
0%
284
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
PER
SHARE
OPERATING
PERFORMANCE
Change
in
Net
Assets
Resulting
from
Operations
1
Less
Dividends
and
Distributions
*,1
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
AAA
Net
Realized
and
Unrealized
Gain
(Loss)
AA
Net
Increase
(Decrease)
in
Net
Asset
Value
from
Operations
Distributions
from
Net
Investment
Income
Distributions
from
Net
Realized
Gains
Return
of
Capital
Total
Distributions
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.03
(0.04)
1.80
1.76
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.36
(0.10)
1.67
1.57
(0.90)
—
—
(0.90)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.15
(0.06)
(1.73)
(1.79)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.02
0.02
6
(0.76)
(0.74)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.38
0.01
(1.28)
(1.27)
(0.09)
—
—
(0.09)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.92
(0.07)
1.27
1.20
(0.74)
—
—
(0.74)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
6.98
(0.05)
1.79
1.74
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.32
(0.12)
1.66
1.54
(0.88)
—
—
(0.88)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.12
(0.08)
(1.72)
(1.80)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.00
0.00
6,7
(0.75)
(0.75)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.35
(0.02)
(1.28)
(1.30)
(0.05)
—
—
(0.05)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.89
(0.13)
1.30
1.17
(0.71)
—
—
(0.71)
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
7.06
(0.03)
1.80
1.77
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2021
$
6.38
(0.10)
1.69
1.59
(0.91)
—
—
(0.91)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2020
$
8.17
(0.05)
(1.74)
(1.79)
—
—
—
—
FOR
THE
YEAR
ENDED
DECEMBER
31,
2019
$
9.03
0.03
6
(0.76)
(0.73)
(0.13)
—
(0.00)
7
(0.13)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2018
$
10.41
0.02
(1.30)
(1.28)
(0.10)
—
—
(0.10)
FOR
THE
YEAR
ENDED
DECEMBER
31,
2017
$
9.94
(0.07)
1.28
1.21
(0.74)
—
—
(0.74)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
I
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.08
(0.04)
1.07
1.03
—
—
—
—
FOR
THE
PERIOD
12/16/21
9
-12/31/21
$
10.00
(0.01)
0.09
0.08
—
—
—
—
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
N
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.08
(0.06)
1.08
1.02
—
—
—
—
FOR
THE
PERIOD
12/16/21
9
-12/31/21
$
10.00
(0.01)
0.09
0.08
—
—
—
—
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
CLASS
R6
SIX
MONTHS
ENDED
JUNE
30,
2022
$
10.08
(0.05)
1.09
1.04
—
—
—
—
FOR
THE
PERIOD
12/16/21
9
-12/31/21
$
10.00
(0.00)
7
0.08
0.08
—
—
—
—
285
AQR
Funds
|
Semi-Annual
Report
|
June
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Financial
Highlights
June
30,
2022
(Unaudited)
RATIOS/SUPPLEMENTAL
DATA
Ratios
to
Average
Net
Assets
of:*
Net
Asset
Value,
End
of
Period
Total
Return
2,3
Net
Assets,
End
of
Period
(000’s)
Expenses,
Before
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
4
Expenses,
Net
of
Reimbursements
and/or
Waivers
(Excluding
Dividend
Short
Expense
&
Interest
Expense)
4
Net
Investment
Income
(Loss)
Portfolio
Turnover
Rate
5
$
8.79
25.04%
$
326,340
1.76%
1.69%
1.50%
(0.91)%
108%
$
7.03
24.83%
$
242,712
1.67%
1.60%
1.50%
(1.38)%
194%
$
6.36
(21.96)%
$
237,379
1.84%
1.78%
1.50%
(0.80)%
544%
$
8.15
(8.20)%
$
866,804
2.51%
2.48%
1.49%
0.28%
6
170%
$
9.02
(12.26)%
$
1,759,075
2.25%
2.24%
1.47%
0.09%
345%
$
10.38
11.94%
$
2,956,926
2.22%
2.21%
1.49%
(0.70)%
140%
$
8.72
24.93%
$
30,799
2.00%
1.94%
1.75%
(1.13)%
108%
$
6.98
24.53%
$
19,068
1.92%
1.85%
1.75%
(1.63)%
194%
$
6.32
(22.17)%
$
14,857
2.08%
2.03%
1.75%
(1.06)%
544%
$
8.12
(8.33)%
$
40,665
2.77%
2.74%
1.75%
0.02%
6
170%
$
9.00
(12.60)%
$
82,850
2.51%
2.50%
1.74%
(0.22)%
345%
$
10.35
11.67%
$
177,319
2.49%
2.47%
1.75%
(1.23)%
140%
$
8.83
25.07%
$
470,490
1.65%
1.59%
1.40%
(0.82)%
108%
$
7.06
25.04%
$
396,425
1.57%
1.50%
1.40%
(1.28)%
194%
$
6.38
(21.91)%
$
390,127
1.74%
1.68%
1.40%
(0.68)%
544%
$
8.17
(8.08)%
$
1,163,852
2.42%
2.39%
1.40%
0.33%
6
170%
$
9.03
(12.32)%
$
1,459,422
2.18%
2.17%
1.40%
0.21%
345%
$
10.41
12.10%
$
1,613,182
2.14%
2.12%
1.40%
(0.65)%
140%
$
11.11
10.22%
$
7,723
2.54%
8
1.31%
1.30%
(0.76)%
0%
$
10.08
0.80%
$
504
3.45%
8
1.30%
1.30%
(1.29)%
0%
$
11.10
10.12%
$
5,632
3.12%
8
1.56%
1.55%
(1.06)%
0%
$
10.08
0.80%
$
503
3.70%
8
1.55%
1.55%
(1.54)%
0%
$
11.12
10.32%
$
10,023
3.44%
8
1.21%
1.20%
(0.92)%
0%
$
10.08
0.80%
$
9,081
3.43%
8
1.20%
1.20%
(1.19)%
0%
286
Financial
Highlights
AQR
Funds
|
Semi-Annual
Report
|
June
30,
2022
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
June
30,
2022
(Unaudited)
FUND
NET
INVESTMENT
INCOME
PER
SHARE
NET
INVESTMENT
INCOME
RATIO
AQR
Alternative
Risk
Premia
Fund
–
Class
I
......................................
$
0.04
0.47%
AQR
Alternative
Risk
Premia
Fund
–
Class
N
.....................................
0.02
0.17
AQR
Alternative
Risk
Premia
Fund
–
Class
R6
....................................
0.04
0.42
AQR
Style
Premia
Alternative
Fund
–
Class
I
......................................
0.01
0.16
AQR
Style
Premia
Alternative
Fund
–
Class
N
.....................................
(0.01)
(0.10)
AQR
Style
Premia
Alternative
Fund
–
Class
R6
....................................
0.02
0.21
FUND
TOTAL
EXPENSES
TOTAL
EXPENSES
AFTER
FEES
REIMBURSED
AQR
Macro
Opportunities
Fund
–
Class
I
........................................
2.10%
1.04%
AQR
Macro
Opportunities
Fund
–
Class
N
........................................
2.38
1.28
AQR
Macro
Opportunities
Fund
–
Class
R6
.......................................
2.02
0.94
*
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
rate
excludes
derivatives,
if
any,
and
is
not
annualized.
6
For
the
period
ended
December
31,
2019
certain
Funds
received
special
dividends
which
materially
impacted
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio.
These
dividends
are
not
expected
to
continue
in
the
future.
Had
these
special
dividends
not
been
received
the
Net
Investment
Income
Per
Share
and
Net
Investment
Income
Ratio
would
have
been
as
follows:
7
Amount
is
less
than
$.005
per
share.
8
Certain
expenses
incurred
by
the
Fund
were
not
annualized
for
the
period.
9
Commencement
of
operations.
10
The
amount
shown
for
a
share
outstanding
throughout
the
period
is
not
indicative
of
the
aggregate
net
realized
and
unrealized
gain
(loss)
for
that
period
because
of
the
timing
of
sales
and
repurchases
of
the
Fund
shares
in
relation
to
fluctuating
market
value
of
the
investments
in
the
Fund.
11
Includes
certain
non-recurring
professional
service
expenses.
Without
these
costs
the
"Expenses,
Before
Reimbursements
and/or
Waivers"
would
have
been:
287
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
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
June
30,
2022,
the
Trust
consists
of
twenty-three
active
series, twelve
of
which
are
presented
in
this
book
(collectively,
the
“Funds”
and
each
individually
a
“Fund”):
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversified
Arbitrage
Fund,
AQR
Diversifying
Strategies
Fund,
AQR
Equity
Market
Neutral
Fund,
AQR
Macro Opportunities Fund,
AQR
Long-
Short
Equity
Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund,
AQR
Style
Premia
Alternative
Fund
and
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund.
The
remaining
active
series
have
a
different
fiscal
year
end
and
are
reported
in
a separate
book.
AQR
Capital
Management,
LLC
(the
“Adviser”)
serves
as
the
investment
adviser
of
each
Fund.
The
Adviser
has
retained
AQR
Arbitrage,
LLC
(the
“Sub-Adviser”),
an
affiliate
of
the
Adviser,
to
serve
as
an
investment
sub-adviser
to
AQR
Diversified
Arbitrage
Fund.
The
investment
objective
of
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversified
Arbitrage
Fund, AQR
Equity
Market
Neutral
Fund,
AQR
Macro
Opportunities Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund
and
AQR
Style
Premia
Alternative
Fund
is
to
seek
positive
absolute
returns.
The
investment
objective
of
the
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund
is
to
seek
total
return.
The
investment
objective
of
AQR
Diversifying
Strategies
Fund,
AQR
Long-Short
Equity
Fund
and
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
is
to
seek
capital
appreciation.
The
AQR
Diversifying
Strategies
Fund
pursues
its
investment
objective
by
investing
in
a
portfolio
of
mutual
funds
that
are
each
managed
by
the
Adviser.
Each
fund
offers
Class
I,
Class
N
and
Class
R6
shares.
2.
Consolidation
of
Subsidiaries
The
Consolidated
Schedules
of
Investments,
Statements
of
Assets
and
Liabilities,
of
Operations,
of
Changes
in
Net
Assets,
of
Cash
Flows
(as
applicable)
and
the
Financial
Highlights
of
AQR
Alternative
Risk
Premia
Fund,
AQR
Macro
Opportunities Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund
and
AQR
Style
Premia
Alternative
Fund
(“Consolidated
Funds”)
include
the
accounts
of
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.,
AQR
Macro
Opportunities
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.,
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.,
AQR
Multi-Asset
Offshore
Fund
Ltd.,
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
and
AQR
Style
Premia
Alternative
Offshore
Fund
Ltd.,
respectively,
which
are
wholly-
owned
and
controlled
subsidiaries
(the
“Subsidiaries”).
All
intercompany
accounts
and
transactions
have
been
eliminated
in
consolidation.
Subsequent
references
to
the
Funds
within
the
Notes
to
Financial
Statements
collectively
refer
to
the
Consolidated
Funds
and
their
Subsidiaries.
Each
Consolidated
Fund
may
invest
up
to
25%
of
its
total
assets
(on
a
tax
basis)
in
its
respective
Subsidiary,
which
acts
as
an
investment
vehicle
in
order
to
affect
certain
investment
strategies
consistent
with
the
Fund’s
investment
objectives
and
policies.
The
Funds
expect
that
they
will
achieve
a
significant
portion
of
their
exposure
to
commodities
and
commodities-related
investments
through
investment
in
the
Subsidiaries.
Unlike
the
Funds,
the
Subsidiaries
may
invest
without
limitation
in
commodities
and
commodities-related
investments.
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.
SUBSIDIARY
NET
ASSETS
AT
JUNE
30,
2022
%
OF
TOTAL
ASSETS
AT
JUNE
30,
2022
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.
...............................................
$
32,574,483
8.0%
AQR
Macro
Opportunities
Offshore
Fund
Ltd.
.................................................
15,363,446
11.2%
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.
............................................
344,466,058
19.2%
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.
.........................................
34,482,007
18.8%
AQR
Multi-Asset
Offshore
Fund
Ltd.
........................................................
14,523,757
6.6%
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
....................................
133,680,081
22.5%
AQR
Style
Premia
Alternative
Offshore
Fund
Ltd.
..............................................
193,678,777
14.7%
288
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Due
to/from
Brokers:
Due
to/from
brokers
represents
cash
balances
on
deposit
with,
or
cash
balances
owed
to,
the
Funds’
prime
brokers
and
counterparties.
The
Funds
are
subject
to
credit
risk
should
the
prime
brokers
and
counterparties
be
unable
to
meet
their
obligations
to
the
Funds.
Foreign
Currency
Translation:
The
books
and
records
of
the
Funds
are
maintained
in
U.S.
dollars.
Foreign
denominated
assets
and
liabilities
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
at
the
valuation
date.
Transactions
denominated
in
foreign
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
the
transaction.
The
Funds’
income
earned
and
expense
incurred
in
foreign
denominated
currencies
are
translated
into
U.S.
dollars
at
the
prevailing
exchange
rate
on
the
date
of
such
activity.
The
Funds
do
not
separately
disclose
that
portion
of
the
results
of
operations
arising
from
changes
in
the
foreign
exchange
rates
on
investments
and
derivatives
from
the
fluctuations
that
result
from
changes
in
the
market
prices
of
investments
and
derivatives
held
or
sold
during
the
period.
Accordingly,
such
foreign
currency
gains
(losses)
are
included
in
the
reported
net
realized
gain
(loss)
from
transactions
in
investment
securities
and
derivatives
and
net
change
in
unrealized
appreciation
(depreciation)
on
investment
securities
and
derivatives
on
the
Statements
of
Operations.
Realized
gains
(losses)
from
settlement
of
foreign
currency
and
foreign
currency
transactions
reported
on
the
Statements
of
Operations
arise
from
the
disposition
of
foreign
currency
and
a
change
between
the
amounts
of
dividends,
interest
and
foreign
withholding
taxes
recorded
on
the
Funds’
books
on
the
transaction
date
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Changes
in
unrealized
appreciation
(depreciation)
on
foreign
currency
and
foreign
currency
translations
reported
on
the
Statements
of
Operations
arise
from
changes
(due
to
the
changes
in
the
exchange
rate)
in
the
value
of
foreign
currency
and
assets
and
liabilities
(other
than
investments)
denominated
in
foreign
currencies,
which
are
held
at
period
end.
Investment
Transactions
and
Related
Income:
Investment
transactions
are
accounted
for
on
trade
date
(the
date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
investment
transactions
are
calculated
on
a
specifically
identified
cost
basis.
Interest
income
is
recorded
on
an
accrual
basis
using
the
effective
interest
method,
which
results
in
coupon
interest
being
adjusted
for
amortization
of
premiums
and
accretion
of
discounts,
when
applicable.
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.
The
Funds
record
distributions
received
in
excess
of
income
from
underlying
investments
as
a
reduction
of
cost
of
investments
and/or
realized
gain.
Such
amounts
are
based
on
estimates
(if
actual
amounts
are
not
available)
and
actual
amounts
of
income,
realized
gain
and
return
of
capital
may
differ
from
the
estimated
amounts.
The
Funds
adjust
the
estimated
amounts
of
components
of
distributions
(and
consequently
net
investment
income)
as
necessary
once
the
issuers
provide
information
about
the
actual
composition
of
the
distributions.
The
Funds
may
be
subject
to
foreign
taxes
on
income,
capital
gains
on
investments
or
currency
repatriation,
a
portion
of
which
may
be
recoverable.
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.
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
gain
(loss)
and
change
in
unrealized
appreciation
(depreciation)
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.
Offering
Costs:
Offering
costs,
including
professional
fees,
printing
fees
and
initial
registration,
are
amortized
over
a
period
not
longer
than
twelve
months
from
the
date
the
Funds
commenced
operations. 
Federal
Income
Taxes:
Each
Fund
is
treated
as
a
separate
taxable
entity
for
federal
income
tax
purposes.
Each
Fund
intends
to
qualify
as
a
“regulated
investment
company” 
("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
June
30,
2022,
the
Funds
had
no
examinations
in
progress.
289
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
For
Federal
tax
purposes,
taxable
income
for
each
Consolidated
Fund
and
its
Subsidiary
are
calculated
separately.
The
Subsidiaries
are
classified
as
controlled
foreign
corporations
(“CFCs”)
under
the
Code
and
each
CFCs
taxable
income
is
included
in
the
calculation
of
the
relevant
Consolidated
Fund’s
taxable
income.
Net
losses
of
the
Subsidiaries
are
not
deductible
by
the
Consolidated
Funds
either
in
the
current
period
or
future
periods.
Each
of
the
CFCs
has
a
fiscal
year
end
of
December
31st
for
financial
statement
consolidation
purposes
and
a
nonconforming
tax
year
end
of
November
30th. 
Distributions
to
Shareholders:
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
The
Funds
intend
to
declare
and
distribute
substantially
all
of
their
net
investment
income
and
net
realized
capital
gains,
if
any,
at
least
annually.
Income
and
capital
gain
distributions
will
be
determined
in
accordance
with
federal
income
tax
regulations
which
may
differ
from
GAAP.
Differences
may
be
permanent
or
temporary.
Permanent
differences
are
reclassified
among
capital
accounts
in
the
financial
statements
to
reflect
their
tax
character.
Temporary
differences
arise
when
certain
items
of
income,
expense,
gain,
or
loss
are
recognized
in
different
periods
for
financial
statement
and
tax
purposes.
These
differences
will
reverse
at
some
time
in
the
future.
Differences
in
classification
may
also
result
from
the
treatment
of
short-term
gains
as
ordinary
income
for
tax
purposes.
As
a
result,
income,
dividends
and
capital
gain
distributions
declared
during
a
fiscal
period
may
differ
significantly
from
the
net
investment
income
(loss)
and
realized
gain
(loss)
reported
on
the
Funds’
financial
statements
presented
under
GAAP.
Distributions
classified
as
a
tax
basis
return
of
capital,
if
any,
are
reflected
on
the
Statements
of
Changes
in
Net
Assets
and
have
been
recorded
to
paid
in
capital.
Indemnification:
In
the
normal
course
of
business,
the
Funds
may
enter
into
various
agreements
that
provide
for
general
indemnifications.
The
Funds’
maximum
exposure
under
these
arrangements
is
unknown
as
any
potential
exposure
involves
future
claims
that
may
be
made
against
the
Funds.
However,
based
on
experience,
the
Funds
expect
the
risk
of
loss
to
be
remote.
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.
The
AQR
Diversifying
Strategies
Fund
invests
in
funds
which
are
managed
by
the
Adviser,
and
as
such
assumes
the
AQR
Funds
in
which
it
invests
to
be
affiliated
issuers.
A
summary
of
transactions
with
each
affiliated
issuer
is
included
in
the
Schedules
of
Investments,
if
applicable.
Convertible
Securities:
Certain
Funds
invest
in
preferred
stocks
and
fixed-income
securities
which
are
convertible
into
common
stock.
Convertible
securities
may
be
converted
either
at
a
stated
price
or
rate
within
a
specified
period
of
time
into
a
specified
number
of
shares
of
common
stock.
By
investing
in
a
convertible
security,
the
Funds
may
participate
in
any
capital
appreciation
or
depreciation
of
a
company’s
stock,
but
to
a
lesser
degree
than
if
they
had
invested
in
that
company’s
common
stock.
Convertible
securities
rank
senior
to
common
stock
in
a
corporation’s
capital
structure
and,
therefore,
entail
less
risk
than
the
corporation’s
common
stock.
The
Funds
may
attempt
to
hedge
some
of
their
investments
in
convertible
debt
securities
by
selling
short
the
issuer’s
common
stock.
The
premiums
attributable
to
the
conversion
feature
are
not
amortized. 
High
Yield
Securities:
Certain
Funds
invest
in
lower-quality
debt
securities.
Investments
in
lower-rated
securities
or
unrated
securities
of
comparable
quality
tend
to
be
more
sensitive
to
economic
conditions
than
higher
rated
securities
causing
greater
price
volatility.
These
instruments
involve
a
greater
risk
of
loss
due
to
default
by
the
issuer
because
such
securities
are
generally
unsecured
and
are
often
subordinated
to
other
creditors’
claims. 
Inflation-Indexed
Bonds:
Certain
Funds
may
invest
in
inflation-indexed
bonds
which
are
adjusted
for
inflation
through
periodic
increases
or
decreases
in
the
security’s
interest
accruals,
face
amount,
or
principal
redemption
value,
by
amounts
corresponding
to
the
rate
of
inflation
as
measured
by
an
index.
Inflation-indexed
bonds
typically
pay
a
fixed
rate
of
interest
but
that
fixed
rate
is
applied
to
an
inflation
adjusted
principal
amount.
If
the
index
measuring
inflation
rises
or
falls,
the
principal
value
of
inflation-indexed
bonds
will
be
adjusted
upward
or
downward,
and
consequently
the
interest
payable
on
these
securities
(calculated
with
respect
to
a
larger
or
smaller
principal
amount)
will
be
increased
or
reduced,
respectively.
Any
upward
or
downward
adjustment
in
the
principal
amount
of
an
inflation-indexed
bond
will
be
included
as
interest
income
in
the
Statement
of
Operations,
even
though
investors
do
not
receive
their
principal
until
maturity.
Repayment
of
the
original
bond
principal
upon
maturity
(as
adjusted
for
inflation)
is
guaranteed
in
the
case
of
U.S.
Treasury
inflation-indexed
bonds.
For
bonds
that
do
not
provide
a
similar
guarantee,
the
adjusted
principal
value
of
the
bond
repaid
at
maturity
may
be
less
than
the
original
principal.
Loan
Participations
and
Assignments:
Certain
Funds
invest
in
loan
participations
and
assignments.
When
a
Fund
purchases
a
loan
participation,
the
Fund
enters
into
a
contractual
relationship
with
the
lender
or
a
third
party
selling
such
participations
(“Selling
Participant”),
but
not
the
borrower.
In
this
case,
the
Fund
assumes
the
credit
risk
of
the
borrower
and
the
Selling
Participant
and
any
other
persons
inter-positioned
between
the
Fund
and
the
borrower
(“Intermediate
Participants”).
In
contrast,
when
one
of
the
Funds
purchases
an
assignment,
the
contractual
relationship
is
with
the
borrower
and
the
credit
risk
assumed
by
the
Fund
is
only
with
the
borrower.
Although
certain
loan
participations
or
assignments
are
secured
by
collateral,
the
Fund
could
experience
delays
or
limitations
in
realizing
such
collateral
or
have
its
interest
subordinated
to
other
indebtedness
of
the
obligor.
290
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Defaulted
Securities
and
Distressed
Investments:
Certain
Funds
held
defaulted
securities
or
other
securities
which
were
placed
in
non-accrual
status
as
the
collection
of
a
portion
or
all
of
the
interest
has
been
deemed
to
be
uncollectible.
The
securities
have
been
identified
on
the
Schedules
of
Investments.
Debt
obligations
may
be
placed
on
non-accrual
status
and
related
interest
income
may
be
reduced
by
ceasing
current
accruals
and
writing
off
interest
receivable
when
the
collection
of
a
portion
of
interest
has
become
doubtful
based
on
consistently
applied
procedures.
A
debt
obligation
is
removed
from
non-accrual
status
when
the
issuer
resumes
interest
payments
or
when
collectability
of
interest
is
probable.
The
Funds
may
invest
in
distressed
investments,
which
are
issued
by
companies
that
are,
or
might
be,
involved
in
reorganizations
or
financial
restructurings,
either
out
of
court
or
in
bankruptcy. 
Special
Purpose
Acquisition
Companies
(“SPACs”):
 Certain
Funds may
invest
in
common
stock,
rights,
units,
warrants,
and
other
securities
of
SPACs
or
similar
special
purpose
entities
that
pool
funds
to
seek
potential
acquisition
opportunities.
The
securities
of
a
SPAC
are
often
issued
in
“units”
that
include
one
share
of
common
stock
and
one
right
or
warrant
(or
partial
right
or
warrant)
conveying
the
right
to
purchase
additional
shares
or
partial
shares.
Unless
and
until
a
transaction
is
completed,
a
SPAC
generally
invests
its
assets
(less
a
portion
retained
to
cover
expenses)
in
U.S.
Government
securities,
money
market
fund
securities
and
cash.
If
an
acquisition
that
meets
the
requirements
for
the
SPAC
is
not
completed
within
a
pre-established
period
of
time
the
invested
funds
are
returned
to
the
entity’s
shareholders,
less
certain
permitted
expenses,
and
any
rights
or
warrants
issued
by
the
SPAC
may
expire
worthless.
Because
SPACs
and
similar
entities
have
no
operating
history
or
ongoing
business
other
than
seeking
acquisitions,
the
value
of
their
securities
is
particularly
dependent
on
the
ability
of
the
entity’s
management
to
identify
and
complete
a
suitable
acquisition.
Some
SPACs
may
pursue
acquisitions
only
within
certain
industries
or
regions,
which
may
increase
the
volatility
of
their
securities’
prices.
Securities
Sold
Short:
Certain
Funds
may
engage
in
short
sales,
which
is
when
a
Fund
sells
securities
it
does
not
own
as
a
hedge
against
some
of
its
long
positions
and/or
in
anticipation
of
a
decline
in
the
market
value
of
that
security.
When
one
of
the
Funds
makes
a
short
sale,
it
must
borrow
the
security
sold
short
and
deliver
it
to
the
broker
through
which
it
made
the
short
sale.
The
Fund
may
have
to
pay
a
fee
to
borrow
the
particular
security
and
may
be
obligated
to
remit
any
interest
or
dividends
received
on
such
borrowed
securities.
Dividends
declared
on
short
positions
are
recorded
on
the
ex-date
as
an
expense.
A
gain,
limited
to
the
price
at
which
the
Fund
sold
the
security
short,
or
a
loss,
which
could
be
unlimited
in
magnitude,
will
be
recognized
upon
the
termination
of
a
short
sale
if
the
market
price
at
termination
is
less
than
or
greater
than,
respectively,
the
proceeds
originally
received.
The
Fund
is
also
subject
to
the
risk
that
it
may
be
unable
to
reacquire
a
security
to
terminate
a
short
position
except
at
a
price
substantially
in
excess
of
the
last
quoted
price.
The
Fund
is
also
subject
to
risk
of
loss
if
the
broker
were
to
fail
to
perform
its
obligations
under
the
contractual
terms.
Liabilities
for
securities
sold
short
are
reported
at
market
value
on
the
Statements
of
Assets
and
Liabilities
and
the
change
in
market
value
is
recorded
as
unrealized
gain
or
loss
on
the
Statements
of
Operations.
The
Funds
are
required
to
pledge
cash
or
liquid
securities
to
the
broker
as
collateral
for
securities
sold
short.
Collateral
requirements
are
calculated
daily
based
on
the
current
market
value
of
the
short
positions.
Daily
market
fluctuations
and
trading
activity
could
cause
the
value
of
securities
sold
short
to
be
more
or
less
than
the
value
of
the
collateral
segregated.
Cash
deposited
with
the
broker
for
collateral
for
securities
sold
short
is
recorded
as
an
asset
on
the
Statements
of
Assets
and
Liabilities
and
securities
segregated
as
collateral
are
denoted
in
the
Schedules
of
Investments.
The
Funds
may
receive
or
pay
the
net
of
the
following
amounts:
(i)
a
portion
of
the
income
from
the
investment
of
cash
collateral;
(ii)
the
broker’s
fee
on
the
borrowed
securities;
and
(iii)
a
financing
charge
for
the
difference
in
the
market
value
of
the
short
position
and
cash
collateral
deposited
with
the
broker.
This
income
or
fee
is
calculated
daily
based
upon
the
market
value
of
each
borrowed
security
and
a
variable
rate
that
is
dependent
on
the
availability
of
the
security.
Pursuant
to
a
Master
Securities
Loan
Agreement
("MSLA"),
State
Street
Bank
and
Trust
Company
(“SSB”)
is
permitted,
subject
to
certain
conditions,
to
rehypothecate
up
to
30%
of
portfolio
securities
pledged
by certain
Funds
as
collateral
for
securities
sold
short.
The
Funds
continue
to
receive
dividends
and
interest
on
rehypothecated
securities.
The
Funds
also
have
the
right
under
the
MSLA
to
recall
the
rehypothecated
securities
from
SSB
on
demand.
If
SSB
fails
to
deliver
the
recalled
security
in
a
timely
manner,
the
Funds
will
be
compensated
by
SSB
for
any
fees
or
losses
related
to
the
failed
delivery
or,
in
the
event
a
recalled
security
will
not
be
returned
by
SSB,
the
Fund
may
reduce
the
loan
balance
outstanding
by
the
amount
of
the
recalled
security. 
The
net
amount
of
fees
incurred
are
included
in
the
dividend
and
interest
on
securities
sold
short
in
the
Statements
of
Operations
and
are
as
follows:
Futures
Contracts:
Certain
Funds
invest
in
futures
contracts
as
part
of
their
primary
investment
strategy
and
to
equitize
its
cash
flows.
Investments
in
futures
may
increase
or
decrease
exposure
to
a
particular
market.
In
the
event
of
a
bankruptcy
or
insolvency
of
a
futures
commission
merchant
that
holds
margin
on
behalf
of
the
Funds,
the
Funds
may
not
receive
the
return
of
the
entire
margin
owed
to
the
Funds,
potentially
resulting
in
a
loss.
A
change
in
market
value
of
an
open
futures
contract
is
recorded
in
the
Statements
of
Operations
as
net
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts.
A
realized
gain
(loss)
represents
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed
or
expired,
and
is
reported
in
the
Statements
of
Operations.
The
use
of
long
futures
contracts
subjects
the
Funds
to
risk
of
loss
in
excess
of
the
variation
margin
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
futures
contracts
subjects
the
Funds
to
unlimited
risk
of
loss.
Futures
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Fund
FEES
AQR
Alternative
Risk
Premia
Fund
........................................................................
$
402,580
AQR
Diversified
Arbitrage
Fund
...........................................................................
394,378
AQR
Equity
Market
Neutral
Fund
.........................................................................
1,800
AQR
Multi-Asset
Fund
.................................................................................
59,119
AQR
Style
Premia
Alternative
Fund
........................................................................
95,776
291
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
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.
Total
Return
Swap
Contracts:
Certain
Funds
invest
in
total
return
swaps
to
obtain
exposure
to
the
underlying
referenced
instruments,
obtain
leverage
or
attain
the
returns
from
ownership
without
actually
owning
the
underlying
position.
Total
return
swaps
are
two-party
contracts
that
generally
obligate
one
party
to
pay
the
positive
return
and
the
other
party
to
pay
the
negative
return
on
a
specified
reference
security,
security
index
or
index
component
during
the
period
of
the
swap.
Total
return
swap
contracts
are
marked
to
market
daily
and
the
change,
if
any,
is
recorded
as
net
change
in
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Total
return
swaps
normally
do
not
involve
the
delivery
of
securities
or
other
underlying
assets.
If
the
counterparty
to
a
total
return
swap
contract
defaults,
a
Fund’s
risk
of
loss
consists
of
the
net
amount
of
payments
the
Fund
is
contractually
entitled
to
receive,
if
any.
The
use
of
long
total
return
swap
contracts
subject
the
Funds
to
risk
of
loss
in
excess
of
the
amounts
shown
on
the
Statements
of
Assets
and
Liabilities.
The
use
of
short
total
return
swaps
subject
the
Funds
to
potential
unlimited
loss.
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
from
the
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments. 
Total
Return
Basket
Swaps:
Certain
Funds
may
enter
into
a
total
return
basket
swap
agreement
to
obtain
exposure
to
a
portfolio
of
long
and/or
short
securities.
Under
the
terms
of
the
agreement,
the
swap
is
designed
to
function
as
a
portfolio
of
direct
investments
in
long
and
short
equity
or
fixed
income
positions.
The
absolute
notional
value
of
the
total
return
basket
swap
represents
the
accumulated
notional
value
of
the
underlying
long
components
and
absolute
notional
value
of
the
short
components
held
within
the
total
return
basket
swap
at
period
end.
The
notional
value
of
each
component
represents
the
market
value
at
period
end.
The
Funds
have
the
ability
to
trade
in
and
out
of
long
and
short
positions
within
the
swap
and
will
receive
all
of
the
economic
benefits
and
risks
equivalent
to
direct
investments
in
these
positions
such
as:
capital
appreciation
(depreciation),
corporate
actions,
and
dividends
and
interest
received
and
paid,
all
of
which
are
reflected
in
the
swap
value.
The
swap
value
also
includes
financing
charges
and
credits
related
to
the
notional
values
of
the
long
and
short
positions
and
cash
balances
within
the
swap.
Finance
charges
and
credits
are
based
on
defined
market
rates
plus
or
minus
a
specified
spread.
Positions
within
the
swap
are
reset
periodically,
and
financing
costs
are
reset
generally
monthly.
During
a
reset,
any
realized
gains
(losses)
from
positions,
income,
proceeds
from
corporate
actions
and
accrued
financing
costs
may
become
available
for
cash
settlement
between
the
Funds
and
the
swap
counterparty.
Prior
to
the
reset,
these
amounts
are
included
as
a
component
of
the
swap
value
in
Net
cash
and
other
receivables
(payables).
Cash
settlement
in
and
out
of
the
swap
may
occur
at
a
reset
date
or
any
other
date,
at
the
discretion
of
the
Funds
and
the
counterparty,
over
the
life
of
the
agreement,
and
is
generally
determined
based
on
limits
and
thresholds
established
as
part
of
the
Master
Agreement
between
the
Funds
and
the
counterparty.
The
maturity
dates
are
measured
from
the
commencement
of
investment
in
each
underlying
portfolio
swap
positions.
A
change
in
the
market
value
of
a
total
return
basket
swap
contract
is
recognized
as
net
change
in
unrealized
appreciation
(depreciation)
on
swap
contracts
in
the
Statements
of
Operations.
Cash
settlements
between
a
Fund
and
the
counterparty
are
recognized
as
net
realized
gain
(loss)
from
expiration
or
closing
of
swap
contracts
in
the
Statements
of
Operations.
Total
return
basket
swap
contracts
outstanding
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments. 
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.
292
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Implied
credit
spreads
are
used
to
determine
the
value
of
credit
default
swap
contracts
and
reflect
the
cost
of
buying/selling
protection,
which
may
include
upfront
payments
made
to
enter
into
the
contract.
Therefore,
higher
spreads
indicate
a
greater
likelihood
that
a
seller
will
be
obligated
to
perform
(i.e.,
make
payment)
under
the
swap
contract.
Implied
credit
spreads
for
credit
default
swaps
on
credit
indexes
are
linked
to
the
weighted
average
spread
across
the
underlying
reference
obligations
included
in
a
particular
index.
Risks
of
loss
may
exceed
amounts
recognized
on
the
Statements
of
Assets
and
Liabilities.
A
Fund’s
maximum
risk
of
loss
from
counterparty
risk,
either
as
the
protection
seller
or
as
the
protection
buyer,
is
the
fair
value
of
the
contract.
This
risk
may
be
mitigated
by
having
a
master
netting
arrangement
between
the
specific
Fund
and
the
counterparty.
The
central
clearing
house
acts
as
the
counterparty
to
each
centrally
cleared
swap
transaction,
therefore
credit
risk
is
limited
to
the
failure
of
the
clearing
house.
Where
a
Fund
is
a
seller
of
protection,
the
maximum
potential
amount
of
future
payments
the
Fund
may
be
required
to
make
is
equal
to
the
notional
amount
of
the
relevant
credit
default
contract.
The
Fund’s
risk
of
loss
associated
with
these
instruments
may
exceed
their
value,
as
recorded
in
the
Statements
of
Assets
and
Liabilities.
Credit
default
contracts
outstanding,
including
their
respective
notional
amounts
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Interest
Rate
Swaps:
Certain
Funds
enter
into
interest
rate
swaps
as
part
of
their
investment
strategy.
Interest
rate
swaps
generally
involve
agreements
to
exchange
fixed
and
floating
payment
obligations,
without
the
exchange
of
the
underlying
notional
amounts.
Interest
rate
swap
agreements
are
privately
negotiated
in
the
OTC
market
or
may
be
executed
in
a
multilateral
or
other
trade
facility
platform,
such
as
a
registered
exchange
(centrally
cleared
swaps).
Periodic
payments
received
(paid)
by
the
Funds
are
recorded
as
realized
gains
(losses)
on
derivatives
in
the
Statements
of
Operations.
Interest
rate
swaps
are
marked
to
market
daily
and
the
change
is
recorded
as
unrealized
gain
(loss)
on
swap
contracts
in
the
Statements
of
Operations.
The
Funds’
risk
of
loss
associated
with
these
instruments
may
exceed
their
value,
as
recorded
in
the
Schedule
of
Investments.
Non-deliverable
interest
rate
swap
contracts
are
settled
with
the
counterparty
in
U.S.
dollars
without
the
delivery
of
foreign
currency.
Centrally
cleared
interest
rate
swaps
may
have
forward
effective
dates.
The
amortization
of
the
upfront
premiums
(if
applicable)
and
payments
related
to
these
swap
contracts
begin
on
the
effective
date
of
the
contract.
Interest
rate
contracts
outstanding,
including
their
respective
notional
amounts
at
period
end,
if
any,
are
listed
after
each
Fund’s
Schedule
of
Investments.
Repurchase
Agreements:
Certain
Funds
may
enter
into
repurchase
agreements.
In
a
repurchase
agreement,
a
Fund
takes
possession
of
an
underlying
debt
obligation
(collateral)
subject
to
an
obligation
of
the
seller
to
repurchase,
and
a
Fund
to
resell,
the
obligation
at
an
agreed-upon
price
and
time.
Under
the
terms
of
a
master
repurchase
agreement,
the
underlying
securities
for
all
repurchase
agreements
are
held
in
safekeeping
at
the
Fund’s
custodian
or
designated
sub-custodians
under
tri-party
repurchase
agreements.
Investments
in
repurchase
agreements
are
reflected
as
assets
on
the
Statements
of
Assets
and
Liabilities.
Interest
earned
is
recorded
as
a
component
of
interest
income
on
the
Statements
of
Operations.
In
periods
of
increased
demand
for
collateral,
a
Fund
may
pay
a
fee
for
receipt
of
collateral,
which
may
result
in
interest
expense
to
the
Fund.
Generally,
in
the
event
of
counterparty
default,
a
Fund
has
the
right
to
use
the
collateral
to
offset
losses
incurred.
If
the
counterparty
should
default,
a
Fund
may
seek
to
sell
the
securities
which
it
holds
as
collateral.
This
could
involve
procedural
costs
or
delays
in
addition
to
a
loss
on
the
securities
if
their
value
should
fall
below
their
repurchase
price.
Repurchase
agreements
outstanding
at
period
end
are
included
within
each
Fund’s
Schedule
of
Investments. 
Reverse
Repurchase
Agreements:
Certain
Funds
may
enter
into
reverse
repurchase
agreements
under
the
terms
of
a
master
repurchase
agreement.
A
Fund
sells
a
security
that
it
holds
to
a
counterparty
with
a
contemporaneous
agreement
to
repurchase
the
same
security
at
an
agreed-upon
price
and
date.
Reverse
repurchase
agreements
are
accounted
for
as
secured
borrowings
and
are
reflected
as
a
liability
on
the
Statements
of
Assets
and
Liabilities.
Interest
payments
made
on
reverse
repurchase
agreements
are
recorded
as
a
component
of
interest
expense
on
the
Statements
of
Operations.
In
periods
of
increased
demand
for
the
security,
a
Fund
may
receive
a
fee
for
use
of
the
security
by
the
counterparty,
which
may
result
in
interest
income
to
the
Fund.
A
Fund
monitors
collateral
market
value
for
the
reverse
repurchase
agreement,
including
accrued
interest,
throughout
the
lives
of
the
agreements,
and
when
necessary,
delivers
or
receives
cash
or
securities
in
order
to
manage
credit
exposure
and
liquidity.
If
the
counterparty
defaults
or
enters
insolvency
proceeding,
realization
or
return
of
the
collateral
to
the
Fund
may
be
delayed
or
limited.
Reverse
repurchase
agreements
outstanding
at
period
end,
if
any,
including
the
underlying
debt
obligation
(collateral)
assigned
to
each
agreement,
are
listed
after
each
Fund’s
Schedule
of
Investments.
The
collateral
held
in
relation
to
the
repurchase
agreements
and
reverse
repurchase
agreements
was
in
U.S.
Treasury
Inflation
Protected
Securities
and
Foreign
Government
Securities
with
a
maturity
greater
than
90
days
in
the
amount
of
$10,923,167
for
AQR
Multi-Asset
Fund.
Master
Agreements:
Certain
Funds
are
parties
to
master
netting
arrangements
with
counterparties
(“Master
Agreements”).
Master
Agreements
govern
the
terms
of
certain
like
transactions,
and
reduce
the
counterparty
risk
associated
with
relevant
transactions
by
specifying
payment
netting
mechanisms
across
multiple
transactions
and
providing
standardization
that
improves
legal
certainty.
Since
different
types
of
transactions
have
different
mechanics
and
are
sometimes
traded
by
different
legal
entities
of
a
particular
counterparty
organization,
each
type
of
transaction
may
be
covered
by
a
different
Master
Agreement,
resulting
in
the
need
for
multiple
Master
Agreements
with
a
counterparty
and
its
affiliates.
As
the
Master
Agreements
are
specific
to
unique
operations
of
different
asset
types,
they
allow
the
Funds
to
i.)
close
out
and
net
their
total
exposure
to
a
counterparty
in
the
event
of
a
default
with
respect
to
all
the
transactions
governed
under
a
single
Master
Agreement
with
a
counterparty,
ii.)
exit
transactions
through
means
other
than
sale,
such
as
through
a
negotiated
agreement
with
the
Funds’
counterparty,
a
transfer
to
another
party,
or
close
out
of
the
position
through
execution
of
an
offsetting
transaction.
Master
Repurchase
Agreements
govern
repurchase,
or
reverse
repurchase
transactions,
relating
to
government
bonds
between
certain
Funds
and
select
counterparties.
Master
Repurchase
Agreements
maintain
provisions
for
initiation,
income
payments,
events
of
default,
and
maintenance
of
collateral.
293
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Prime
Broker
Arrangements
may
be
entered
into
to
facilitate
execution
and/or
clearing
of
equities,
bonds,
equity
options
or
short
sales
of
securities
between
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.
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.
294
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
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
into
three
broad
levels
as
follows:
Level
1
—
Inputs
using
unadjusted
quoted
prices
in
active
markets
or
exchanges
for
identical
assets
and
liabilities.
Level
2
—
Other
significant
observable
inputs,
which
may
include,
but
are
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
credit
risks
and
default
rates)
or
other
market
corroborated
inputs.
Level
3
—
Significant
unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available,
which
may
include
assumptions
made
by
the
Board
or
persons
acting
at
their
direction
that
are
used
in
determining
the
fair
value
of
investments.
An
investment
asset’s
or
liability’s
level
within
the
fair
value
hierarchy
is
based
on
the
lowest
level
input,
individually
or
in
aggregate,
that
is
significant
to
fair
value
measurement.
The
objective
of
fair
value
measurement
remains
the
same
even
when
there
is
a
significant
decrease
in
the
volume
and
level
of
activity
for
an
asset
or
liability
and
regardless
of
the
valuation
technique
used.
The
valuation
techniques
used
by
the
Funds
to
measure
fair
value
maximize
the
use
of
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
Changes
in
valuation
techniques
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
hierarchy.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
Valuation
Techniques:
The
following
inputs
and
techniques
may
be
used
by
the
Funds
to
evaluate
how
to
classify
each
major
category
of
assets
and
liabilities
into
the
appropriate
fair
value
hierarchy
in
accordance
with
GAAP.
Equity
securities,
including
securities
sold
short,
rights,
exchange
options,
warrants,
Exchange-Traded
Funds
(“ETFs”)
and
closed-end
investment
companies,
are
valued
at
the
last
quoted
sales
prices
or
official
closing
prices
taken
from
the
primary
market,
or
composite
in
which
each
security
trades
and
are
therefore
classified
Level
1.
Investments
in
mutual
funds
are
valued
daily
at
their
NAVs
which
are
also
classified
as
Level
1.
An
equity
for
which
no
sales
are
reported,
as
in
the
case
of
a
security
that
is
traded
in
the
over-the-counter
market
or
a
less
liquid
listed
equity,
is
valued
at
its
last
bid
price
(in
the
case
of
short
sales,
at
the
ask
price)
and
is
therefore
classified
Level
2.
In
addition,
equities
traded
outside
of
the
Western
Hemisphere,
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. 
295
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Exchange-traded
derivatives,
such
as
futures
contracts
and
exchange-traded
option
contracts,
are
typically
classified
within
Level
1
or
Level
2
of
the
fair
value
hierarchy
depending
on
whether
or
not
they
are
deemed
to
be
actively
traded.
Futures
and
option
contracts
that
are
listed
on
national
exchanges
and
are
freely
transferable
are
valued
at
fair
value
based
on
their
last
sales
price
on
the
date
of
determination
on
the
exchange
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. 
The
Funds
value
the
repurchase
agreements
and
reverse
repurchase
agreements
they
have
entered
based
on
the
respective
contract
amounts,
which
approximate
fair
value.
As
such,
repurchase
agreements
are
carried
at
the
amount
of
cash
paid
plus
accrued
interest
receivable
(or
interest
payable
in
periods
of
increased
demand
for
collateral),
and
reverse
repurchase
agreements
are
carried
at
the
amount
of
cash
received
plus
accrued
interest
payable
(or
interest
receivable
in
periods
of
increased
demand
for
collateral).These
investments
are
categorized
as
Level
2
within
the
fair
value
hierarchy. 
296
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Quantitative
Information
The
following
tables
represent
each
Fund’s
valuation
inputs
as
presented
on
the
Schedule
of
Investments:
AQR
ALTERNATIVE
RISK
PREMIA
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
68,495,052
$
56,028,731
$
–
$
124,523,783
Preferred
Stocks
†
................................
52,371
–
–
52,371
Short-Term
Investments
...........................
77,492,955
35,946,370
–
113,439,325
Futures
Contracts*
...............................
7,400,520
–
–
7,400,520
Forward
Foreign
Currency
Exchange
Contracts*
........
–
3,123,713
–
3,123,713
Interest
Rate
Swap
Contracts*
......................
–
5,069,917
–
5,069,917
Total
Return
Swaps
Contracts*
......................
–
41,525
–
41,525
Total
Assets
$
153,440,898
$
100,210,256
$
–
$
253,651,154
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(66,014,782)
$
(59,049,184)
$
–
$
(125,063,966)
Warrants
(Sold
Short)
†
............................
(9,378)
–
–
(9,378)
Futures
Contracts*
...............................
(4,288,693)
–
–
(4,288,693)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(3,396,050)
–
(3,396,050)
Interest
Rate
Swap
Contracts*
......................
–
(4,383,675)
–
(4,383,675)
Total
Return
Swaps
Contracts*
......................
–
(466,234)
–
(466,234)
Total
Liabilities
$
(70,312,853)
$
(67,295,143)
$
–
$
(137,607,996)
AQR
DIVERSIFIED
ARBITRAGE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
316,959,746
$
88,472,228
$
275,539
$
405,707,513
Corporate
Bonds
................................
–
–
216,460
216,460
Convertible
Bonds
...............................
–
261,813,424
–
261,813,424
Closed
End
Funds
...............................
24,240,447
–
–
24,240,447
Rights
........................................
185,181
115,865
269,159
570,205
Securities
in
Litigation
............................
–
–
–
(a)
–
(a)
Warrants
......................................
5,004,733
1,615,910
112,847
6,733,490
Units
.........................................
4,001,811
609,913
–
4,611,724
Short-Term
Investments
...........................
363,056,457
353,116,510
–
716,172,967
Futures
Contracts*
...............................
1,628,647
–
–
1,628,647
Credit
Default
Swap
Contracts*
.....................
–
2,403,855
–
2,403,855
Forward
Foreign
Currency
Exchange
Contracts*
........
–
477,139
–
477,139
Total
Return
Basket
Swaps
Contracts*
................
–
976,530
–
976,530
Total
Assets
$
715,077,022
$
709,601,374
$
874,005
$
1,425,552,401
LIABILITIES
Common
Stocks
(Sold
Short)
......................
$
(54,085,935)
$
–
$
–
(a)
$
(54,085,935)
Convertible
Bonds
(Sold
Short)
.....................
–
(7,432,560)
–
(7,432,560)
Futures
Contracts*
...............................
(444,728)
–
–
(444,728)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(46,822)
–
(46,822)
Total
Return
Basket
Swaps
Contracts*
................
–
(63,137,448)
–
(63,137,448)
Total
Liabilities
$
(54,530,663)
$
(70,616,830)
$
–
(a)
$
(125,147,493)
AQR
DIVERSIFYING
STRATEGIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Investment
Companies
...........................
$
129,225,501
$
–
$
–
$
129,225,501
Short-Term
Investments
...........................
2,623,710
–
–
2,623,710
Total
Assets
$
131,849,211
$
–
$
–
$
131,849,211
297
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
EQUITY
MARKET
NEUTRAL
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
5,618,701
$
–
$
5,618,701
Short-Term
Investments
...........................
72,350,120
74,911,190
–
147,261,310
Forward
Foreign
Currency
Exchange
Contracts*
........
–
9,309
–
9,309
Total
Return
Basket
Swaps
Contracts*
................
–
78,282
–
78,282
Total
Assets
$
72,350,120
$
80,617,482
$
–
$
152,967,602
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
–
$
(5,249,634)
$
–
$
(5,249,634)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(1,793)
–
(1,793)
Total
Return
Basket
Swaps
Contracts*
................
–
(7,147,389)
–
(7,147,389)
Total
Liabilities
$
–
$
(12,398,816)
$
–
$
(12,398,816)
AQR
LONG-SHORT
EQUITY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
171,323,377
$
385,126,951
$
–
$
556,450,328
Forward
Foreign
Currency
Exchange
Contracts*
........
–
165,649
–
165,649
Total
Return
Basket
Swaps
Contracts*
................
–
1,064
–
1,064
Total
Return
Swaps
Contracts*
......................
–
1,261
–
1,261
Total
Assets
$
171,323,377
$
385,294,925
$
–
$
556,618,302
LIABILITIES
Futures
Contracts*
...............................
$
(7,219,043)
$
–
$
–
$
(7,219,043)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,281,529)
–
(2,281,529)
Total
Return
Basket
Swaps
Contracts*
................
–
(31,238,510)
–
(31,238,510)
Total
Return
Swaps
Contracts*
......................
–
(1,173,307)
–
(1,173,307)
Total
Liabilities
$
(7,219,043)
$
(34,693,346)
$
–
$
(41,912,389)
AQR
MACRO
OPPORTUNITIES
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
................................
$
1,419,817
$
3,738,128
$
–
$
5,157,945
U.S.
Treasury
Obligations
.........................
–
11,384,191
–
11,384,191
Short-Term
Investments
...........................
29,865,378
34,133,299
–
63,998,677
Futures
Contracts*
...............................
5,970,893
–
–
5,970,893
Interest
Rate
Swap
Contracts*
......................
–
8,391,545
–
8,391,545
Credit
Default
Swap
Contracts*
.....................
–
140,678
–
140,678
Forward
Foreign
Currency
Exchange
Contracts*
........
–
2,855,420
–
2,855,420
Total
Return
Swaps
Contracts*
......................
–
147,575
–
147,575
Total
Assets
$
37,256,088
$
60,790,836
$
–
$
98,046,924
LIABILITIES
U.S.
Treasury
Obligations
(Sold
Short)
...............
$
–
$
(12,224,203)
$
–
$
(12,224,203)
Reverse
Repurchase
Agreements
...................
–
(11,633,500)
–
(11,633,500)
Futures
Contracts*
...............................
(4,296,548)
–
–
(4,296,548)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(3,355,555)
–
(3,355,555)
Interest
Rate
Swap
Contracts*
......................
–
(6,953,949)
–
(6,953,949)
Total
Return
Swaps
Contracts*
......................
–
(88,945)
–
(88,945)
Total
Liabilities
$
(4,296,548)
$
(34,256,152)
$
–
$
(38,552,700)
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
246,308,543
$
1,161,734,463
$
–
$
1,408,043,006
Futures
Contracts*
...............................
58,457,572
–
–
58,457,572
Interest
Rate
Swap
Contracts*
......................
–
90,686,362
–
90,686,362
Forward
Foreign
Currency
Exchange
Contracts*
........
–
56,682,237
–
56,682,237
Total
Return
Basket
Swaps
Contracts*
................
–
709,390
–
709,390
Total
Return
Swaps
Contracts*
......................
–
1,983,759
–
1,983,759
Total
Assets
$
304,766,115
$
1,311,796,211
$
–
$
1,616,562,326
298
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
MANAGED
FUTURES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
LIABILITIES
Futures
Contracts*
...............................
$
(34,044,651)
$
–
$
–
$
(34,044,651)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(24,697,634)
–
(24,697,634)
Interest
Rate
Swap
Contracts*
......................
–
(96,347,756)
–
(96,347,756)
Total
Return
Basket
Swaps
Contracts*
................
–
(15,803,612)
–
(15,803,612)
Total
Return
Swaps
Contracts*
......................
–
(16,380)
–
(16,380)
Total
Liabilities
$
(34,044,651)
$
(136,865,382)
$
–
$
(170,910,033)
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
25,955,303
$
108,797,374
$
–
$
134,752,677
Futures
Contracts*
...............................
6,521,121
–
–
6,521,121
Forward
Foreign
Currency
Exchange
Contracts*
........
–
7,246,216
–
7,246,216
Interest
Rate
Swap
Contracts*
......................
–
13,541,856
–
13,541,856
Total
Return
Basket
Swaps
Contracts*
................
–
61,195
–
61,195
Total
Return
Swaps
Contracts*
......................
–
244,454
–
244,454
Total
Assets
$
32,476,424
$
129,891,095
$
–
$
162,367,519
LIABILITIES
Futures
Contracts*
...............................
$
(4,374,905)
$
–
$
–
$
(4,374,905)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,976,689)
–
(2,976,689)
Interest
Rate
Swap
Contracts*
......................
–
(14,351,647)
–
(14,351,647)
Total
Return
Basket
Swaps
Contracts*
................
–
(2,272,559)
–
(2,272,559)
Total
Return
Swaps
Contracts*
......................
–
(4,117)
–
(4,117)
Total
Liabilities
$
(4,374,905)
$
(19,605,012)
$
–
$
(23,979,917)
AQR
MULTI-ASSET
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
53,654,245
$
23,482,081
$
–
(a)
$
77,136,326
Foreign
Government
Securities
.....................
–
13,134,929
–
13,134,929
U.S.
Treasury
Obligations
.........................
–
16,723,062
–
16,723,062
Short-Term
Investments
...........................
31,469,758
33,636,895
–
65,106,653
Futures
Contracts*
...............................
2,713,845
–
–
2,713,845
Forward
Foreign
Currency
Exchange
Contracts*
........
–
1,614,927
–
1,614,927
Total
Return
Swaps
Contracts*
......................
–
97,642
–
97,642
Total
Assets
$
87,837,848
$
88,689,536
$
–
(a)
$
176,527,384
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(10,344,365)
$
(8,533,101)
$
–
$
(18,877,466)
Reverse
Repurchase
Agreements
...................
–
(13,456,750)
–
(13,456,750)
Futures
Contracts*
...............................
(4,871,609)
–
–
(4,871,609)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(2,186,287)
–
(2,186,287)
Total
Return
Swaps
Contracts*
......................
–
(102,456)
–
(102,456)
Total
Liabilities
$
(15,215,974)
$
(24,278,594)
$
–
$
(39,494,568)
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
275,936,465
$
267,710,412
$
–
$
543,646,877
Futures
Contracts*
...............................
86,753,281
–
–
86,753,281
Total
Return
Swaps
Contracts*
......................
–
35,998
–
35,998
Total
Assets
$
362,689,746
$
267,746,410
$
–
$
630,436,156
LIABILITIES
Futures
Contracts*
...............................
$
(151,347,985)
$
–
$
–
$
(151,347,985)
Total
Return
Swaps
Contracts*
......................
–
(46,042)
–
(46,042)
Total
Liabilities
$
(151,347,985)
$
(46,042)
$
–
$
(151,394,027)
299
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Transfers
to
Level
3
or
from
Level
3
are
generally
due
to
a
decline
or
an
increase
in
market
activity
(e.g.,
frequency
of
trades),
which
resulted
in
a
lack
of
or
increase
in
available
market
inputs
to
determine
price. 
The
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
Diversified
Arbitrage,
AQR
Multi-Asset
Fund
and
AQR
Style
Premia
Alternative
Fund
which
are
considered
quantitatively
insignificant
for
additional
disclosure. 
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Common
Stocks
†
................................
$
–
$
39,395,776
$
–
$
39,395,776
Short-Term
Investments
...........................
320,503,811
432,937,680
–
753,441,491
Futures
Contracts*
...............................
58,879,212
–
–
58,879,212
Forward
Foreign
Currency
Exchange
Contracts*
........
–
19,219,891
–
19,219,891
Interest
Rate
Swap
Contracts*
......................
–
42,796,863
–
42,796,863
Total
Return
Basket
Swaps
Contracts*
................
–
2,464,121
–
2,464,121
Total
Return
Swaps
Contracts*
......................
–
186,405
–
186,405
Total
Assets
$
379,383,023
$
537,000,736
$
–
$
916,383,759
LIABILITIES
Common
Stocks
(Sold
Short)
†
......................
$
(1,320,849)
$
(37,927,603)
$
(2)
$
(39,248,454)
Futures
Contracts*
...............................
(36,449,377)
–
–
(36,449,377)
Forward
Foreign
Currency
Exchange
Contracts*
........
–
(27,734,146)
–
(27,734,146)
Interest
Rate
Swap
Contracts*
......................
–
(34,475,980)
–
(34,475,980)
Total
Return
Basket
Swaps
Contracts*
................
–
(45,451,293)
–
(45,451,293)
Total
Return
Swaps
Contracts*
......................
–
(3,799,682)
–
(3,799,682)
Total
Liabilities
$
(37,770,226)
$
(149,388,704)
$
(2)
$
(187,158,932)
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTALS
ASSETS
Short-Term
Investments
...........................
$
9,244,901
$
8,519,432
$
–
$
17,764,333
Forward
Foreign
Currency
Exchange
Contracts*
........
–
8,824
–
8,824
Total
Return
Basket
Swaps
Contracts*
................
–
118,103
–
118,103
Total
Assets
$
9,244,901
$
8,646,359
$
–
$
17,891,260
LIABILITIES
Forward
Foreign
Currency
Exchange
Contracts*
........
$
–
$
(85,416)
$
–
$
(85,416)
Total
Return
Basket
Swaps
Contracts*
................
–
(1,852,035)
–
(1,852,035)
Total
Liabilities
$
–
$
(1,937,451)
$
–
$
(1,937,451)
*
Derivative
instruments,
including
futures,
total
return
swap,
total
return
basket
swap
and
forward
foreign
currency
exchange
contracts,
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instrument
within
the
Funds’
Schedule
of
Investments.
Credit
default
swaps,
interest
rate
swaps
and
purchased
options
and
written
options
are
reported
at
market
value.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities
for
exchange-traded
and
cleared
derivatives.
†
Please
refer
to
the
Schedule
of
Investments
to
view
securities
segregated
by
country.
(a)
Security
has
zero
value.
300
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
6.
Federal
Income
Tax
Matters
At
June
30,
2022,
the
cost
and
aggregate
gross
unrealized
appreciation
(depreciation)
of
long
security
positions,
short
security
positions
and
derivative
instruments
for
federal
income
tax
purposes
were
as
follows:
The
differences
between
book
basis
and
tax
basis
appreciation
(depreciation)
on
investments
is
primarily
attributable
to
wash
sale
loss
deferrals,
and
differences
in
the
tax
treatment
of
passive
foreign
investment
companies
(“PFIC”),
gain/(loss)
recognition
on
constructive
sales,
investments
in
partnerships,
convertible
securities,
contingent
payment
debt
instruments
(“CPDI”)
and
certain
forward
foreign
currency,
swap,
option, and
futures
contracts. 
As
of
December
31,
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.
7.
Investment
Transactions
During
the period
ended
June
30,
2022,
the
cost
of
purchases
and
the
proceeds
from
sales
of
investments
(excluding
swap
contracts,
forward
foreign
currency
exchange
contracts,
futures
contracts
and
short-term
investments)
were
as
follows:
During
the period
ended
June
30,
2022,
the
Funds
had
purchases
and
sales
of
long-term
U.S.
Government
obligations,
which
are
included
in
the
table
above,
as
follows:
FUND
COST
OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
AQR
Alternative
Risk
Premia
Fund
..........................
$
37,146,938
$
92,187,594
$
(13,291,374)
$
78,896,220
AQR
Diversified
Arbitrage
Fund
.............................
1,400,294,351
39,977,356
(139,866,799)
(99,889,443)
AQR
Diversifying
Strategies
Fund
...........................
127,400,633
5,614,821
(1,166,243)
4,448,578
AQR
Equity
Market
Neutral
Fund
...........................
146,986,911
1,513,842
(7,931,967)
(6,418,125)
AQR
Long-Short
Equity
Fund
..............................
557,081,982
121,698
(42,497,767)
(42,376,069)
AQR
Macro
Opportunities
Fund
.............................
58,312,083
12,474,182
(11,292,041)
1,182,141
AQR
Managed
Futures
Strategy
Fund
........................
1,415,072,983
143,719,463
(113,140,153)
30,579,310
AQR
Managed
Futures
Strategy
HV
Fund
.....................
135,693,301
17,940,634
(15,246,333)
2,694,301
AQR
Multi-Asset
Fund
...................................
140,415,972
15,447,075
(18,830,231)
(3,383,156)
AQR
Risk-Balanced
Commodities
Strategy
Fund
................
544,182,283
86,732,476
(151,872,630)
(65,140,154)
AQR
Style
Premia
Alternative
Fund
..........................
751,055,886
110,120,762
(131,951,821)
(21,831,059)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
..........
17,778,762
126,093
(1,951,046)
(1,824,953)
FUND
SHORT-TERM
LONG
TERM
AQR
Alternative
Risk
Premia
Fund
.................................................
$
119,553,215
$
—
AQR
Diversified
Arbitrage
Fund
....................................................
—
154,168,522
AQR
Macro
Opportunities
Fund
....................................................
—
629,248
AQR
Managed
Futures
Strategy
Fund
...............................................
532,117,042
615,829,254
AQR
Managed
Futures
Strategy
HV
Fund
............................................
54,125,189
57,470,333
AQR
Risk-Balanced
Commodities
Strategy
Fund
.......................................
68
—
AQR
Style
Premia
Alternative
Fund
.................................................
456,102,761
41,587,126
FUND
PURCHASES
SALES
SECURITIES
SOLD
SHORT
COVERS
ON
SECURITIES
SOLD
SHORT
AQR
Alternative
Risk
Premia
Fund
..........................
$
78,056,986
$
46,230,077
$
92,613,210
$
40,104,076
AQR
Diversified
Arbitrage
Fund
.............................
476,514,601
241,609,458
150,306,615
142,727,832
AQR
Diversifying
Strategies
Fund
...........................
101,970,480
9,091,730
—
—
AQR
Equity
Market
Neutral
Fund
...........................
9,150,784
4,613,496
7,245,596
2,919,048
AQR
Macro
Opportunities
Fund
.............................
32,617,973
7,288,690
19,716,457
—
AQR
Multi-Asset
Fund
...................................
87,144,333
69,005,671
21,641,025
13,935,294
AQR
Style
Premia
Alternative
Fund
..........................
32,231,238
14,232,336
28,067,204
7,624,403
FUND
PURCHASES
SECURITIES
SOLD
SHORT
AQR
Macro
Opportunities
Fund
............................................................
$
7,321,414
$
19,716,457
301
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
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
June
30,
2022:
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
Equity
Risk
Exposure:
3,040,038
20,841,129
7,225,671
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
$
1,494,986
$
690,629
$
–
Swaps
at
Value
(Assets)
**
.................................................
31,789
6,718,393
78,282
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(1,057,517)
(444,728)
–
Swaps
at
Value
(Liabilities)
**
...............................................
(455,747)
(12,987,381)
(7,147,389)
3,040,038
20,841,129
7,225,671
Foreign
Exchange
Rate
Risk
Exposure:
6,519,763
523,961
11,102
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
............
3,123,713
477,139
9,309
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
...........
(3,396,050)
(46,822)
(1,793)
6,519,763
523,961
11,102
Interest
Rate
Risk
Exposure:
13,162,796
56,829,949
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
2,868,964
938,018
–
Swaps
at
Value
(Assets)
**
.................................................
5,069,917
–
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(840,239)
–
–
Swaps
at
Value
(Liabilities)
**
...............................................
(4,383,675)
(55,891,930)
–
13,162,796
56,829,949
–
Credit
Risk
Exposure:
–
2,403,855
–
Swaps
at
Value
(Assets)
**
.................................................
–
2,403,855
–
–
2,403,855
–
Commodity
Risk
Exposure:
5,447,730
–
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................................
3,036,570
–
–
Swaps
at
Value
(Assets)
**
.................................................
9,736
–
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................................
(2,390,937)
–
–
Swaps
at
Value
(Liabilities)
**
...............................................
(10,487)
–
–
5,447,730
–
–
Net
Fair
Value
of
Derivative
Contracts:
2,828,687
(117,899,890)
(14,130,698)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......................
3,111,827
1,183,919
–
Swaps
at
Value
**
........................................................
261,533
(59,757,063)
(7,069,107)
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
(272,337)
430,317
7,516
2,828,687
117,899,890
14,130,698
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Equity
Risk
Exposure:
39,633,185
2,074,868
27,666,888
3,998,182
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
–
$
1,415,483
$
9,045,349
$
1,371,620
Swaps
at
Value
(Assets)
**
.................................
2,325
52,774
2,565,724
291,435
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(7,219,043)
(520,093)
(252,203)
(62,570)
Swaps
at
Value
(Liabilities)
**
...............................
(32,411,817)
(86,520)
(15,803,612)
(2,272,559)
39,633,185
2,074,868
27,666,888
3,998,182
Foreign
Exchange
Rate
Risk
Exposure:
2,447,178
6,210,975
81,379,871
10,222,905
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
165,649
2,855,420
56,682,237
7,246,216
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
(2,281,529)
(3,355,555)
(24,697,634)
(2,976,689)
2,447,178
6,210,975
81,379,871
10,222,905
Interest
Rate
Risk
Exposure:
–
16,225,499
202,956,094
29,765,503
Unrealized
Appreciation
on
Futures
Contracts
*
..................
–
582,839
14,174,899
1,547,347
Swaps
at
Value
(Assets)
**
.................................
–
8,391,545
90,686,362
13,541,856
302
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Unrealized
Depreciation
on
Futures
Contracts
*
.................
–
(297,168)
(1,747,076)
(324,648)
Swaps
at
Value
(Liabilities)
**
...............................
–
(6,953,949)
(96,347,756)
(14,351,647)
–
16,225,499
202,956,094
29,765,503
Credit
Risk
Exposure:
–
140,678
–
–
Swaps
at
Value
(Assets)
**
.................................
–
140,678
–
–
–
140,678
–
–
Commodity
Risk
Exposure:
–
7,549,084
67,426,503
7,608,174
Unrealized
Appreciation
on
Futures
Contracts
*
..................
–
3,972,571
35,237,324
3,602,154
Swaps
at
Value
(Assets)
**
.................................
–
94,801
127,425
14,214
Unrealized
Depreciation
on
Futures
Contracts
*
.................
–
(3,479,287)
(32,045,372)
(3,987,687)
Swaps
at
Value
(Liabilities)
**
...............................
–
(2,425)
(16,380)
(4,117)
–
7,549,084
67,426,503
7,608,174
Net
Fair
Value
of
Derivative
Contracts:
(83,488,830)
2,310,978
18,821,050
854,107
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(7,219,043)
1,674,345
24,412,921
2,146,216
Swaps
at
Value
**
........................................
(32,409,492)
1,636,904
(18,788,237)
(2,780,818)
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
.....................................
(2,115,880)
(500,135)
31,984,603
4,269,527
83,488,830
2,310,978
18,821,050
854,107
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Equity
Risk
Exposure:
807,185
–
68,993,610
1,970,138
Unrealized
Appreciation
on
Futures
Contracts
*
..................
$
608,755
$
–
$
8,235,131
$
–
Swaps
at
Value
(Assets)
**
.................................
17,499
–
2,650,526
118,103
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(180,929)
–
(8,856,978)
–
Swaps
at
Value
(Liabilities)
**
...............................
–
–
(49,250,975)
(1,852,035)
807,185
–
68,993,610
1,970,138
Foreign
Exchange
Rate
Risk
Exposure:
3,801,214
–
46,954,037
94,240
Unrealized
Appreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
1,614,927
–
19,219,891
8,824
Unrealized
Depreciation
on
Forward
Foreign
Currency
Exchange
Contracts
.............................................
(2,186,287)
–
(27,734,146)
(85,416)
3,801,214
–
46,954,037
94,240
Interest
Rate
Risk
Exposure:
1,538,964
–
111,389,580
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................
507,531
–
25,520,884
–
Swaps
at
Value
(Assets)
**
.................................
–
–
42,796,863
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(1,031,431)
–
(8,595,853)
–
Swaps
at
Value
(Liabilities)
**
...............................
–
–
(34,475,980)
–
1,538,964
–
111,389,580
–
Commodity
Risk
Exposure:
5,439,402
238,183,305
44,119,743
–
Unrealized
Appreciation
on
Futures
Contracts
*
..................
1,597,559
86,753,281
25,123,197
–
Swaps
at
Value
(Assets)
**
.................................
80,143
35,998
–
–
Unrealized
Depreciation
on
Futures
Contracts
*
.................
(3,659,249)
(151,347,985)
(18,996,546)
–
Swaps
at
Value
(Liabilities)
**
...............................
(102,456)
(46,042)
–
–
5,439,402
238,183,305
44,119,743
–
Net
Fair
Value
of
Derivative
Contracts:
(5,467,876)
(129,209,498)
(71,157,807)
(3,621,048)
Unrealized
Appreciation
(Depreciation)
on
Futures
Contracts
*
......
(2,157,764)
(64,594,704)
22,429,835
–
Swaps
at
Value
**
........................................
(4,814)
(10,044)
(38,279,566)
(1,733,932)
303
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
The
following
table
indicates
the
effect
of
derivative
instruments,
by
primary
underlying
risk
exposure
and
contract
type,
on
the
Statements
of
Operations
for
the period
ended
June
30,
2022:
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Unrealized
Appreciation
(Depreciation)
on
Forward
Foreign
Currency
Exchange
Contracts
.....................................
(571,360)
–
(8,514,255)
(76,592)
*
Includes
cumulative
appreciation/(depreciation)
on
futures
contracts,
if
any,
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities.
**
Includes
the
fair
value
of
centrally
cleared
swap
contracts
as
reported
in
the
Schedule
of
Investments.
Only
current
day’s
variation
margin
is
reported
within
the
Statements
of
Assets
and
Liabilities
.
*
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
1,889,275
31,291,694
21,422,099
Futures
Contracts
.......................................................
$
4,353,349
$
7,235,382
$
(844,470)
Swap
Contracts
........................................................
(2,464,074)
24,056,212
22,266,570
Written
Options
.........................................................
–
100
–
1,889,275.27
31,291,693.66
21,422,099.29
Foreign
Exchange
Rate
Risk
Exposure:
608,958
426,906
11,604
Forward
Foreign
Currency
Exchange
Contracts
.................................
608,958
426,906
11,604
608,958
426,906
11,604
Interest
Rate
Risk
Exposure:
(239,955)
36,483,202
–
Futures
Contracts
.......................................................
1,197,367
5,868,817
–
Swap
Contracts
........................................................
(1,437,322)
30,614,385
–
(239,955.23)
36,483,202.43
–
Credit
Risk
Exposure:
–
399,582
–
Swap
Contracts
........................................................
–
399,582
–
–
399,582.05
–
Commodity
Risk
Exposure:
5,408,329
–
–
Futures
Contracts
.......................................................
5,405,040
–
–
Swap
Contracts
........................................................
3,289
–
–
5,408,328.93
–
–
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
(266,849)
(11,156,587)
(7,707,468)
Futures
Contracts
.......................................................
464,941
570,493
(107,319)
Swap
Contracts
........................................................
(731,786)
(11,727,080)
(7,600,149)
266,849
11,156,587
7,707,468
Foreign
Exchange
Rate
Risk
Exposure:
227,587
543,413
8,060
Forward
Foreign
Currency
Exchange
Contracts
.................................
(227,587)
543,413
8,060
227,587
543,413
8,060
Interest
Rate
Risk
Exposure:
2,136,403
75,194,802
–
Futures
Contracts
.......................................................
1,366,689
1,595,519
–
Swap
Contracts
........................................................
769,713
(76,790,322)
–
2,136,403
75,194,802
–
Credit
Risk
Exposure:
–
5,320,945
–
Swap
Contracts
........................................................
–
5,320,945
–
–
5,320,945
–
Commodity
Risk
Exposure:
448,796
–
–
Futures
Contracts
.......................................................
449,545
–
–
Swap
Contracts
........................................................
(751)
–
–
448,796
–
–
304
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
*
AQR
LONG-
SHORT
EQUITY
FUND
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
83,519,699
1,771,861
67,219,790
6,484,158
Futures
Contracts
.......................................
$
(17,550,611)
$
2,090,932
$
17,235,701
$
1,859,180
Swap
Contracts
........................................
101,070,310
(319,070)
49,984,090
4,624,977
83,519,699.41
1,771,861.48
67,219,790.23
6,484,157.61
Foreign
Exchange
Rate
Risk
Exposure:
(3,670,702)
(328,734)
3,695,073
833,187
Forward
Foreign
Currency
Exchange
Contracts
.................
(3,670,702)
(328,734)
3,695,073
833,187
(3,670,702)
(328,734)
3,695,073
833,187
Interest
Rate
Risk
Exposure:
–
2,541,535
163,180,308
15,626,201
Futures
Contracts
.......................................
–
1,598,771
161,121,056
15,300,420
Swap
Contracts
........................................
–
942,764
2,059,252
325,781
–
2,541,534.98
163,180,308.13
15,626,201.19
Credit
Risk
Exposure:
–
154,607
–
–
Swap
Contracts
........................................
–
154,607
–
–
–
154,606.59
–
–
Commodity
Risk
Exposure:
–
162,340
82,641,631
7,400,405
Futures
Contracts
.......................................
–
358,727
82,526,658
7,389,840
Swap
Contracts
........................................
–
(196,387)
114,973
10,564
–
162,340.21
82,641,631.23
7,400,404.74
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
(48,053,424)
782,237
(11,656,838)
(849,030)
Futures
Contracts
.......................................
(9,714,650)
952,885
10,465,654
1,459,838
Swap
Contracts
........................................
(38,338,774)
(170,644)
(22,122,495)
(2,308,862)
48,053,424
782,237
11,656,838
849,030
Foreign
Exchange
Rate
Risk
Exposure:
2,417,899
198,424
37,257,545
4,867,899
Forward
Foreign
Currency
Exchange
Contracts
.................
(2,417,899)
(198,425)
37,257,545
4,867,899
2,417,899
198,424
37,257,545
4,867,899
Interest
Rate
Risk
Exposure:
–
1,384,069
8,885,033
1,207,393
Futures
Contracts
.......................................
–
260,004
1,972,359
406,858
Swap
Contracts
........................................
–
1,124,064
(10,857,394)
(1,614,250)
–
1,384,069
8,885,033
1,207,393
Credit
Risk
Exposure:
–
217,527
–
–
Swap
Contracts
........................................
–
217,528
–
–
–
217,527
–
–
Commodity
Risk
Exposure:
–
640,087
1,671,133
495,534
Futures
Contracts
.......................................
–
547,707
1,366,880
(520,494)
Swap
Contracts
........................................
–
92,377
304,257
24,955
–
640,087
1,671,133
495,534
*
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Realized
Gain
(Loss)
on
Derivatives
Recognized
as
a
Result
From
Operations:
Equity
Risk
Exposure:
944,487
–
254,708,341
2,305,460
Futures
Contracts
.......................................
$
1,120,571
$
–
$
28,723,035
$
(169,399)
Swap
Contracts
........................................
(176,083)
–
225,985,306
2,474,860
944,486.76
–
254,708,340.83
2,305,460.4
Foreign
Exchange
Rate
Risk
Exposure:
1,560,394
–
1,715,541
(96,888)
Forward
Foreign
Currency
Exchange
Contracts
.................
1,560,394
–
1,715,541
(96,888)
1,560,394
–
1,715,541
(96,888)
Interest
Rate
Risk
Exposure:
(11,296,373)
–
(44,773,026)
–
Futures
Contracts
.......................................
(11,296,373)
–
(34,883,269)
–
Swap
Contracts
........................................
–
–
(9,889,757)
–
(11,296,372.72)
–
(44,773,025.93)
–
Commodity
Risk
Exposure:
8,311,084
103,708,816
33,056,573
–
Futures
Contracts
.......................................
7,582,390
103,054,188
33,056,573
–
Swap
Contracts
........................................
728,694
654,628
–
–
8,311,084.35
103,708,815.96
33,056,572.82
–
305
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
The
following
tables
present
the
Funds’
gross
OTC
derivative,
repurchase
agreements
and
reverse
repurchase
agreements
assets
and
liabilities
by
counterparty
and
contract
type
net
of
amounts
available
for
offset
under
netting
arrangements
and
any
related
collateral
received
or
posted
by
the
Funds
as
of
June
30,
2022:
AQR
Alternative
Risk
Premia
Fund
*
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized
as
a
Result
of
Operations:
Equity
Risk
Exposure:
491,698
–
(87,157,101)
(1,805,527)
Futures
Contracts
.......................................
523,152
–
(1,105,004)
–
Swap
Contracts
........................................
(31,455)
–
(86,052,100)
(1,805,527)
491,698
–
87,157,101
1,805,527
Foreign
Exchange
Rate
Risk
Exposure:
241,456
–
8,683,203
86,271
Forward
Foreign
Currency
Exchange
Contracts
.................
(241,456)
–
(8,683,203)
(86,271)
241,456
–
8,683,203
86,271
Interest
Rate
Risk
Exposure:
1,011,906
–
18,426,473
–
Futures
Contracts
.......................................
(1,011,905)
–
13,028,809
–
Swap
Contracts
........................................
–
–
5,397,666
–
1,011,906
–
18,426,473
–
Commodity
Risk
Exposure:
2,882,399
75,705,907
3,316,885
–
Futures
Contracts
.......................................
(2,757,668)
(75,429,474)
3,316,884
–
Swap
Contracts
........................................
(124,729)
(276,432)
–
–
2,882,399
75,705,907
3,316,885
–
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
BANA  
........
Total
Return
Swap
Contracts
$
24,070
$
(24,070)
$
–
$
–
$
–
$
–
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
1,561,887
(1,561,887)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
1,561,826
(1,561,826)
–
–
–
–
MLIN
.........
Total
Return
Swap
Contracts
7,719
(7,719)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,155,502
(3,155,502)
–
–
–
–
306
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Alternative
Risk
Premia
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$2,117,921.
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Swap
Contracts
$
342,910
$
(24,070)
$
318,840
$
–
$
–
$
318,840
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
1,697,923
(1,561,887)
136,036
–
(136,036)
–
GSIN
..........
Total
Return
Swap
Contracts
5
–
5
–
(5)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,698,127
(1,561,826)
136,301
–
(136,301)
–
MLIN
..........
Total
Return
Swap
Contracts
86,911
(7,719)
79,192
–
(79,192)
–
MSCS
..........
Total
Return
Swap
Contracts
25,921
–
25,921
(25,921)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
3,851,797
(3,155,502)
696,295
(25,921)
(351,534)
318,840
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
MACQ
........
Total
Return
Swap
Contracts
$
5,736
$
–
$
5,736
$
–
$
–
$
5,736
MLIN
.........
Total
Return
Swap
Contracts
4,000
(4,000)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
9,736
(4,000)
5,736
–
–
5,736
307
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Alternative
Risk
Premia
Offshore
Fund
Ltd.
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$13,513.
AQR
Diversified
Arbitrage
Fund
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
MLIN
..........
Total
Return
Swap
Contracts
$
10,487
$
(4,000)
$
6,487
$
–
$
(6,487)
$
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
10,487
(4,000)
6,487
–
(6,487)
–
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
BANA  
........
Total
Return
Basket
Swap
Contracts
$
103,433
$
–
$
103,433
$
–
$
–
$
103,433
BNPP
.........
Total
Return
Basket
Swap
Contracts
27,343
(27,343)
–
–
–
–
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
328,070
(32,598)
295,472
–
(180,477)
114,995
GSIN
.........
Total
Return
Basket
Swap
Contracts
845,754
(845,754)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
149,069
(14,224)
134,845
–
–
134,845
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
1,453,669
(919,919)
533,750
–
(180,477)
353,273
308
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Diversified
Arbitrage
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$216,157,069.
AQR
Equity
Market
Neutral
Fund
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BNPP
..........
Total
Return
Basket
Swap
Contracts
$
47,816,924
$
(27,343)
$
47,789,581
$
–
$
(47,789,581)
$
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
32,598
(32,598)
–
–
–
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
15,313,461
(845,754)
14,467,707
(14,467,707)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
14,224
(14,224)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
7,063
–
7,063
Total
JPMC
21,287
(14,224)
7,063
–
(7,063)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
63,184,270
(919,919)
62,264,351
(14,467,707)
(47,796,644)
–
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
$
4,655
$
(896)
$
3,759
$
–
$
–
$
3,759
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
4,654
(897)
3,757
JPMC
.........
Total
Return
Basket
Swap
Contracts
11,565
(11,565)
–
Total
JPMC
16,219
(12,462)
3,757
–
–
3,757
MLIN
.........
Total
Return
Basket
Swap
Contracts
66,717
(66,717)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
87,591
(80,075)
7,516
–
–
7,516
309
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Equity
Market
Neutral
Fund
(continued)
(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
$5,220
and
total
additional
collateral
pledged
was
$36,604,889.
AQR
Long-Short
Equity
Fund
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
896
$
(896)
$
–
$
–
$
–
$
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
897
(897)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,120,055
(11,565)
1,108,490
Total
JPMC
1,120,952
(12,462)
1,108,490
–
(1,108,490)
–
MLIN
..........
Total
Return
Basket
Swap
Contracts
475,117
(66,717)
408,400
–
(408,400)
–
MSIP
..........
Total
Return
Basket
Swap
Contracts
5,552,217
–
5,552,217
(5,552,217)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
7,149,182
(80,075)
7,069,107
(5,552,217)
(1,516,890)
–
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
$
82,830
$
(82,830)
$
–
$
–
$
–
$
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
82,819
(82,819)
–
JPMC
.........
Total
Return
Swap
Contracts
1,261
(1,261)
–
Total
JPMC
84,080
(84,080)
–
–
–
–
MSIP
.........
Total
Return
Basket
Swap
Contracts
1,064
(1,064)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
167,974
(167,974)
–
–
–
–
310
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Long-Short
Equity
Fund
(continued)
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$137,817,693.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Basket
Swap
Contracts
$
5,152,958
$
–
$
5,152,958
$
–
$
(4,900,077)
$
252,881
BNPP
..........
Total
Return
Basket
Swap
Contracts
9,368,186
–
9,368,186
–
(9,368,186)
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
1,140,587
(82,830)
1,057,757
–
(1,057,757)
–
GSIN
..........
Total
Return
Swap
Contracts
99,409
–
99,409
GSIN
..........
Total
Return
Basket
Swap
Contracts
6,601,773
–
6,601,773
Total
GSIN
6,701,182
–
6,701,182
(6,701,182)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,140,942
(82,819)
1,058,123
JPMC
..........
Total
Return
Swap
Contracts
1,073,898
(1,261)
1,072,637
JPMC
..........
Total
Return
Basket
Swap
Contracts
4,154,368
–
4,154,368
Total
JPMC
6,369,208
(84,080)
6,285,128
(6,285,128)
–
–
MSIP
..........
Total
Return
Basket
Swap
Contracts
5,961,225
(1,064)
5,960,161
(5,960,161)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
34,693,346
(167,974)
34,525,372
(18,946,471)
(15,326,020)
252,881
311
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Macro
Opportunities
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$11,625,078
and
total
additional
collateral
pledged
was
$12,941,325.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
$
1,427,763
$
(1,427,763)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Swap
Contracts
18,143
(18,143)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
1,427,657
(1,427,657)
–
–
–
–
JPMS
.........
Repurchase
Agreements
12,232,625
(11,633,500)
599,125
(599,125)
–
–
MLIN
.........
Total
Return
Swap
Contracts
34,630
(20,769)
13,861
–
–
13,861
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
15,140,818
(14,527,832)
612,986
(599,125)
–
13,861
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
1,677,802
$
(1,427,763)
$
250,039
$
–
$
(250,039)
$
–
GSIN
..........
Total
Return
Swap
Contracts
65,751
(18,143)
47,608
(47,608)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,677,753
(1,427,657)
250,096
–
(250,096)
–
JPMS
..........
Reverse
Repurchase
Agreements
11,633,500
(11,633,500)
–
–
–
–
MLIN
..........
Total
Return
Swap
Contracts
20,769
(20,769)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
15,075,575
(14,527,832)
547,743
(47,608)
(500,135)
–
312
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Macro
Opportunities
Offshore
Fund
Ltd.
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$369,476.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
GSIN
.........
Total
Return
Swap
Contracts
$
77,484
$
–
$
77,484
$
–
$
–
$
77,484
MACQ
........
Total
Return
Swap
Contracts
17,318
(2,425)
14,893
–
–
14,893
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
94,802
(2,425)
92,377
–
–
92,377
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
MACQ
.........
Total
Return
Swap
Contracts
$
2,425
$
(2,425)
$
–
$
–
$
–
$
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
2,425
(2,425)
–
–
–
–
313
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Managed
Futures
Strategy
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$1,732,075
and
total
additional
collateral
pledged
was
$85,502,453.
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
$
28,341,384
$
(12,345,796)
$
15,995,588
$
–
$
(15,995,588)
$
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
28,340,853
(12,351,838)
15,989,015
–
–
15,989,015
MLIN
.........
Total
Return
Swap
Contracts
552,143
–
552,143
MLIN
.........
Total
Return
Basket
Swap
Contracts
709,390
(709,390)
–
Total
MLIN
1,261,533
(709,390)
552,143
–
–
552,143
MSCS
.........
Total
Return
Swap
Contracts
1,304,191
–
1,304,191
–
(641,752)
662,439
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
59,247,961
(25,407,024)
33,840,937
–
(16,637,340)
17,203,597
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
$
12,345,796
$
(12,345,796)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
8,201,119
–
8,201,119
(8,201,119)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
12,351,838
(12,351,838)
–
–
–
–
MLIN
..........
Total
Return
Basket
Swap
Contracts
7,602,493
(709,390)
6,893,103
–
(6,893,103)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
40,501,246
(25,407,024)
15,094,222
(8,201,119)
(6,893,103)
–
314
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Managed
Futures
Strategy
Offshore
Fund
Ltd.
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$699,728.
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
MACQ
........
Total
Return
Swap
Contracts
$
127,425
$
(16,380)
$
111,045
$
–
$
–
$
111,045
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
127,425
(16,380)
111,045
–
–
111,045
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
MACQ
.........
Total
Return
Swap
Contracts
$
16,380
$
(16,380)
$
–
$
–
$
–
$
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
16,380
(16,380)
–
–
–
–
315
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Managed
Futures
Strategy
HV
Fund
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$289,047
and
total
additional
collateral
pledged
was
$11,316,680.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
$
3,623,151
$
(1,488,760)
$
2,134,391
$
–
$
(2,134,391)
$
–
GSIN
.........
Total
Return
Basket
Swap
Contracts
61,195
(61,195)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
3,623,065
(1,487,929)
2,135,136
–
–
2,135,136
MLIN
.........
Total
Return
Swap
Contracts
230,240
–
230,240
–
–
230,240
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
7,537,651
(3,037,884)
4,499,767
–
(2,134,391)
2,365,376
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
$
1,488,760
$
(1,488,760)
$
–
$
–
$
–
$
–
GSIN
..........
Total
Return
Basket
Swap
Contracts
779,362
(61,195)
718,167
(718,167)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,487,929
(1,487,929)
–
JPMC
..........
Total
Return
Basket
Swap
Contracts
1,493,197
–
1,493,197
Total
JPMC
2,981,126
(1,487,929)
1,493,197
–
(1,493,197)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
5,249,248
(3,037,884)
2,211,364
(718,167)
(1,493,197)
–
316
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Managed
Futures
Strategy
HV
Offshore
Fund
Ltd.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
NET
AMOUNT
MACQ
........
Total
Return
Swap
Contracts
$
14,214
$
(4,117)
$
10,097
$
–
$
–
$
10,097
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
14,214
(4,117)
10,097
–
–
10,097
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
NET
AMOUNT
MACQ
.........
Total
Return
Swap
Contracts
$
4,117
$
(4,117)
$
–
$
–
$
–
$
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
4,117
(4,117)
–
–
–
–
317
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Multi-Asset
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
$13,508,865.
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
BNPP
.........
Repurchase
Agreements
$
9,345,750
$
(9,345,750)
$
–
$
–
$
–
$
–
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
810,128
(810,128)
–
CITI
..........
Repurchase
Agreements
4,129,750
(4,079,500)
50,250
Total
CITI
4,939,878
(4,889,628)
50,250
–
–
50,250
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
804,799
(804,799)
–
–
–
–
MLIN
.........
Total
Return
Swap
Contracts
17,499
–
17,499
–
–
17,499
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
15,107,926
(15,040,177)
67,749
–
–
67,749
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
BNPP
..........
Reverse
Repurchase
Agreements
$
9,377,250
$
(9,345,750)
$
31,500
$
(31,500)
$
–
$
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
1,097,692
(810,128)
287,564
CITI
...........
Reverse
Repurchase
Agreements
4,079,500
(4,079,500)
–
Total
CITI
5,177,192
(4,889,628)
287,564
(287,564)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
1,088,595
(804,799)
283,796
–
(283,796)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
15,643,037
(15,040,177)
602,860
(319,064)
(283,796)
–
318
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Multi-Asset
Offshore
Fund
Ltd.
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
received
from
or
pledged
to
the
counterparty.
Total
additional
collateral
received
was
$60,183
and
total
additional
collateral
pledged
was
$9,297.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
GSIN
.........
Total
Return
Swap
Contracts
$
78,790
$
(78,790)
$
–
$
–
$
–
$
–
MACQ
........
Total
Return
Swap
Contracts
893
(893)
–
–
–
–
MLIN
.........
Total
Return
Swap
Contracts
460
(460)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
80,143
(80,143)
–
–
–
–
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
GSIN
..........
Total
Return
Swap
Contracts
$
98,626
$
(78,790)
$
19,836
$
–
$
(6,976)
$
12,860
MACQ
.........
Total
Return
Swap
Contracts
2,600
(893)
1,707
–
–
1,707
MLIN
..........
Total
Return
Swap
Contracts
1,230
(460)
770
–
(770)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
102,456
(80,143)
22,313
–
(7,746)
14,567
319
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Risk-Balanced
Commodities
Strategy
Offshore
Fund
Ltd.
(a)
In
accordance
with
GAAP
disclosure
requirements,
the
table
above
does
not
include
the
additional
collateral
pledged
to
the
counterparty.
Total
additional
collateral
pledged
was
$15,745.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Total
Return
Swap
Contracts
$
17,782
$
(17,782)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Swap
Contracts
6,056
(6,056)
–
–
–
–
MACQ
........
Total
Return
Swap
Contracts
12,160
(12,160)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
35,998
(35,998)
–
–
–
–
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
CITI
...........
Total
Return
Swap
Contracts
$
19,013
$
(17,782)
$
1,231
$
–
$
–
$
1,231
GSIN
..........
Total
Return
Swap
Contracts
6,107
(6,056)
51
–
(51)
–
MACQ
.........
Total
Return
Swap
Contracts
20,922
(12,160)
8,762
–
–
8,762
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
46,042
(35,998)
10,044
–
(51)
9,993
320
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Style
Premia
Alternative
Fund
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
$
9,610,208
$
(9,610,208)
$
–
CITI
..........
Total
Return
Swap
Contracts
166,404
(166,404)
–
Total
CITI
9,776,612
(9,776,612)
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Basket
Swap
Contracts
2,464,121
(2,464,121)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
9,609,683
(9,609,683)
–
JPMC
.........
Total
Return
Swap
Contracts
16,519
(16,519)
–
Total
JPMC
9,626,202
(9,626,202)
–
–
–
–
MLIN
.........
Total
Return
Swap
Contracts
3,482
(3,482)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
21,870,417
(21,870,417)
–
–
–
–
321
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Style
Premia
Alternative
Fund
(continued)
(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
$24,749
and
total
additional
collateral
pledged
was
$196,427,638.
GROSS
AMO
UNTS
NOT
OFFSET
IN  THE
STATEMENT
OF
ASSETS
&
LIABI
LITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
LIABILITIES
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
LIABILITIES
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED/
(PLEDGED)
(a)
NET
AMOUNT
BANA  
.........
Total
Return
Basket
Swap
Contracts
$
6,231,061
$
–
$
6,231,061
$
–
$
(6,231,061)
$
–
CITI
...........
Forward
Foreign
Currency
Exchange
Contracts
13,867,716
(9,610,208)
4,257,508
CITI
...........
Total
Return
Swap
Contracts
2,130,128
(166,404)
1,963,724
Total
CITI
15,997,844
(9,776,612)
6,221,232
–
(6,221,232)
–
GSIN
..........
Total
Return
Swap
Contracts
659,212
–
659,212
GSIN
..........
Total
Return
Basket
Swap
Contracts
16,902,023
(2,464,121)
14,437,902
Total
GSIN
17,561,235
(2,464,121)
15,097,114
(15,097,114)
–
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
13,866,430
(9,609,683)
4,256,747
JPMC
..........
Total
Return
Swap
Contracts
212,365
(16,519)
195,846
JPMC
..........
Total
Return
Basket
Swap
Contracts
3,352,825
–
3,352,825
Total
JPMC
17,431,620
(9,626,202)
7,805,418
(7,805,418)
–
–
MLIN
..........
Total
Return
Swap
Contracts
797,977
(3,482)
794,495
MLIN
..........
Total
Return
Basket
Swap
Contracts
2,799,103
–
2,799,103
Total
MLIN
3,597,080
(3,482)
3,593,598
–
(3,593,598)
–
MSIP
..........
Total
Return
Basket
Swap
Contracts
16,166,281
–
16,166,281
(16,166,281)
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
76,985,121
(21,870,417)
55,114,704
(39,068,813)
(16,045,891)
–
322
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
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
$5,566,068.
GROSS
AMO
UNTS
NOT
OFF
SET
IN  THE
STATEMENT
OF
ASSETS
&
LIABILITIES
COUNTERPARTY
INVESTMENT
TYPE
GROSS
AMOUNTS
OF
RECOGNIZED
ASSETS
PRESENTED
IN
THE
STATEMENT  OF
ASSETS
&
LIABILITIES
GROSS
AMOUNTS
ELIGIBLE
TO
OFFSET
NET
AMOUNTS
OF
ASSETS
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
(RECEIVED)/
PLEDGED
(a)
NET
AMOUNT
CITI
..........
Forward
Foreign
Currency
Exchange
Contracts
$
4,413
$
(4,413)
$
–
$
–
$
–
$
–
GSIN
.........
Total
Return
Basket
Swap
Contracts
111,928
(111,928)
–
–
–
–
JPMC
.........
Forward
Foreign
Currency
Exchange
Contracts
4,411
(4,411)
–
–
–
–
MLIN
.........
Total
Return
Basket
Swap
Contracts
6,175
(6,175)
–
–
–
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
126,927
(126,927)
–
–
–
–
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
$
42,700
$
(4,413)
$
38,287
$
–
$
–
$
38,287
GSIN
..........
Total
Return
Basket
Swap
Contracts
1,215,448
(111,928)
1,103,520
–
(1,103,520)
–
JPMC
..........
Forward
Foreign
Currency
Exchange
Contracts
42,716
(4,411)
38,305
–
–
38,305
MLIN
..........
Total
Return
Basket
Swap
Contracts
636,587
(6,175)
630,412
–
(630,412)
–
Total
financial
instruments
subject
to
master
netting
arrangement
or
similar
arrangement
....................
1,937,451
(126,927)
1,810,524
–
(1,733,932)
76,592
323
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
For
the period
ended
June
30,
2022,
the
quarterly
average
notional
values
of
the
derivatives
held
by
the
Funds
were
as
follows:
Derivatives
Volume
Disclosure*
*
AQR
ALTERNATIVE
RISK
PREMIA
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
AQR
EQUITY
MARKET
NEUTRAL
FUND
AQR
LONG-
SHORT
EQUITY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
589,533,254
$
7,998,975
$
3,947,931
$
140,242,867
Average
Notional
Balance
-
Short
388,005,451
175,454,108
–
895,662
Ending
Notional
Balance
-
Long
411,776,493
7,389,525
–
162,824,522
Ending
Notional
Balance
-
Short
334,424,908
179,095,600
–
–
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
157,495,746
6,021,364
581,043
70,280,185
Average
Settlement
Value
-
Sold
165,087,865
40,874,748
565,352
1,161,226
Ending
Value
-
Purchased
125,004,494
3,314,648
685,649
100,626,728
Ending
Value
-
Sold
132,836,044
57,048,917
691,060
1,401,109
Credit
Default
Swaps:
Average
Notional
Balance
-
Buy
Protection
–
64,050,000
–
–
Average
Notional
Balance
-
Sell
Protection
–
–
–
–
Ending
Notional
Balance
-
Buy
Protection
–
87,325,000
–
–
Ending
Notional
Balance
-
Sell
Protection
–
–
–
–
Total
Return
Swaps:
Average
Notional
Balance
-
Long
16,757,143
–
–
24,730,640
Average
Notional
Balance
-
Short
5,448,515
–
–
–
Ending
Notional
Balance
-
Long
6,819,112
–
–
26,546,258
Ending
Notional
Balance
-
Short
3,091,273
–
–
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
139,777,041
–
–
–
Average
Notional
Balance
-
Receives
Fixed
Rate
203,095,636
–
–
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
97,943,975
–
–
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
220,325,878
–
–
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
–
1,212,626,009
232,041,295
963,748,617
Average
Notional
of
Underlying
Positions
-
Short
–
259,615,089
223,701,454
934,134,161
Ending
Notional
Balance
-
Long
–
1,161,979,006
324,930,799
1,305,953,539
Ending
Notional
Balance
-
Short
–
144,290,358
303,465,354
1,217,149,693
324
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
*
AQR
MACRO
OPPORTUNITIES
FUND
AQR
MANAGED
FUTURES
STRATEGY
FUND
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
AQR
MULTI-
ASSET
FUND
AQR
RISK-
BALANCED
COMMODITIES
STRATEGY
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
64,271,354
$
384,590,136
$
40,429,820
$
207,151,411
$
1,011,985,962
Average
Notional
Balance
-
Short
108,408,506
4,473,742,569
487,176,927
51,372,350
512,845,035
Ending
Notional
Balance
-
Long
73,040,810
257,375,511
33,549,410
166,217,296
1,116,994,468
Ending
Notional
Balance
-
Short
127,361,326
2,932,848,850
485,903,667
48,518,702
463,142,735
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
99,225,636
1,770,796,266
197,357,065
91,456,585
–
Average
Settlement
Value
-
Sold
106,033,316
2,370,590,872
270,408,039
102,752,736
–
Ending
Value
-
Purchased
150,566,051
1,410,486,097
166,620,977
88,418,197
–
Ending
Value
-
Sold
158,999,779
2,098,723,513
282,140,077
108,310,771
–
Credit
Default
Swaps:
Average
Notional
Balance
-
Buy
Protection
4,540,930
–
–
–
–
Average
Notional
Balance
-
Sell
Protection
–
–
–
–
–
Ending
Notional
Balance
-
Buy
Protection
5,007,129
–
–
–
–
Ending
Notional
Balance
-
Sell
Protection
–
–
–
–
–
Total
Return
Swaps:
Average
Notional
Balance
-
Long
3,493,408
6,609,404
528,713
3,009,864
3,422,905
Average
Notional
Balance
-
Short
3,893,135
64,334,555
7,498,796
2,325,228
3,065,471
Ending
Notional
Balance
-
Long
3,560,121
261,900
43,650
548,680
1,812,338
Ending
Notional
Balance
-
Short
3,089,386
85,117,240
12,344,386
1,954,568
1,812,338
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
268,921,782
5,166,959,581
765,279,937
–
–
Average
Notional
Balance
-
Receives
Fixed
Rate
178,450,969
2,853,244,753
424,686,032
–
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
362,583,268
5,166,959,581
765,279,937
–
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
259,574,544
2,853,244,753
424,686,032
–
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
–
569,308,104
61,624,878
–
–
Average
Notional
of
Underlying
Positions
-
Short
–
575,063,919
62,721,381
–
–
Ending
Notional
Balance
-
Long
–
560,181,296
70,712,939
–
–
Ending
Notional
Balance
-
Short
–
575,137,430
73,172,716
–
–
325
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
9.
Investment
Advisory
and
Other
Agreements
The
Adviser
serves
as
the
investment
adviser
to
each
of
the
Funds,
pursuant
to
certain
investment
management
agreements
entered
into
between
the
Trust,
on
behalf
of
the
applicable
Funds,
and
the
Adviser
(collectively,
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
calculate
and
accrue
daily
based
on
the
average
daily
net
assets
for
each
Fund
and
pay
monthly
the
Investment
Advisory
fee
in
the
annual
ratios
below:
*
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Futures
Contracts:
Average
Notional
Balance
-
Long
$
5,183,470,129
$
226,538
Average
Notional
Balance
-
Short
2,431,648,440
–
Ending
Notional
Balance
-
Long
3,628,450,994
–
Ending
Notional
Balance
-
Short
2,514,679,270
–
Forward
Foreign
Currency
Exchange
Contracts:
Average
Settlement
Value
-
Purchased
999,445,245
2,522,384
Average
Settlement
Value
-
Sold
960,856,441
79,111
Ending
Value
-
Purchased
965,055,189
4,084,587
Ending
Value
-
Sold
985,314,153
133,826
Total
Return
Swaps:
Average
Notional
Balance
-
Long
143,652,205
–
Average
Notional
Balance
-
Short
40,260,780
–
Ending
Notional
Balance
-
Long
60,166,967
–
Ending
Notional
Balance
-
Short
12,524,526
–
Interest
Rate-Related
Swaps
(Interest
Rate
Swaps):
Average
Notional
Balance
-
Pays
Fixed
Rate
1,215,914,275
–
Average
Notional
Balance
-
Receives
Fixed
Rate
1,727,151,423
–
Ending
Notional
Balance
-
Pays
Fixed
Rate
815,500,841
–
Ending
Notional
Balance
-
Receives
Fixed
Rate
1,756,457,265
–
Total
Return
Basket
Swaps:
Average
Notional
of
Underlying
Positions
-
Long
1,679,481,019
40,040,593
Average
Notional
of
Underlying
Positions
-
Short
1,644,862,700
30,058,060
Ending
Notional
Balance
-
Long
1,869,924,384
61,577,177
Ending
Notional
Balance
-
Short
1,871,864,155
44,572,352
*
Notional
values
as
of
each
quarter
end
are
used
to
calculate
the
average
represented.
FUND
RATIO
AQR
Alternative
Risk
Premia
Fund
........................................................................
1.20%
AQR
Diversified
Arbitrage
Fund
...........................................................................
1.00
AQR
Diversifying
Strategies
Fund
.........................................................................
0.00
AQR
Equity
Market
Neutral
Fund
.........................................................................
1.10
AQR
Long-Short
Equity
Fund
............................................................................
1.10
AQR
Macro
Opportunities
Fund
...........................................................................
1.00
AQR
Managed
Futures
Strategy
Fund
......................................................................
1.05
AQR
Managed
Futures
Strategy
HV
Fund
...................................................................
1.45
AQR
Multi-Asset
Fund
.................................................................................
0.60
AQR
Risk-Balanced
Commodities
Strategy
Fund
..............................................................
0.80
AQR
Style
Premia
Alternative
Fund
(a)
.....................................................................
1.35
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
........................................................
1.10
(a)
Effective
July
1,
2022,
the
AQR
Style
Premia
Alternative
Fund's
Advisory
Fee
was
reduced
from
1.35%
to
1.30%
326
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
The
Trust
and
the
Adviser
have
entered
into
an
agreement
(the
“Expense
Limitation
Agreement”)
whereby
the
Adviser
has
agreed
to
reimburse
operating
expenses
of
each
Fund
at
least
through
April
30,
2023
for
Class
I,
N,
and
R6
shares.
Pursuant
to
the
Expense
Limitation
Agreement,
the
Adviser
has
agreed
to
reimburse
each
Fund
in
an
amount
sufficient
to
limit
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.
For
the period
ended
June
30,
2022,
the
amounts reimbursed
by
the
Adviser,
as
well
as
the
amounts
available
for
potential
future
recoupment
by
the
Adviser
and
the
expiration
schedule
at June
30,
2022
are
as
follows:
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Alternative
Risk
Premia
Fund
....................................................
0.20
%
0.20
%
0.10
%
AQR
Diversified
Arbitrage
Fund
.......................................................
0.20
0.20
0.10
AQR
Diversifying
Strategies
Fund
.....................................................
0.20
0.20
0.10
AQR
Equity
Market
Neutral
Fund
.....................................................
0.20
0.20
0.10
AQR
Long-Short
Equity
Fund
........................................................
0.20
0.20
0.10
AQR
Macro
Opportunities
Fund
.......................................................
0.20
0.20
0.10
AQR
Managed
Futures
Strategy
Fund
..................................................
0.20
0.20
0.10
AQR
Managed
Futures
Strategy
HV
Fund
...............................................
0.20
0.20
0.10
AQR
Multi-Asset
Fund
.............................................................
0.20
0.20
0.10
AQR
Risk-Balanced
Commodities
Strategy
Fund
..........................................
0.20
0.20
0.10
AQR
Style
Premia
Alternative
Fund
(a)
.................................................
0.15
0.15
0.05
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
....................................
0.20
0.20
0.10
(a)
Effective
July
1,
2022,
the
AQR
Style
Premia
Alternative
Fund's
operating
expenses
cap
was
increased
from
0.15%
to
0.20%
for
Class
I
and
Class
N
shares,
and
from
0.05%
to
0.10%
for
Class
R6
shares.
The
Adviser
has
agreed
to
reimburse
operating
expenses
of
the
Fund
at
least
through
April
30,
2024
for
Class
I,
N,
and
R6
shares.
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
POTENTIAL
AMOUNTS
EXP
RECOUPMENT
IRING
JUNE
30
,
JUNE
30,
2022
JUNE
30,
2022
20
22
20
23
20
24
20
25
AQR
ALTERNATIVE
RISK
PREMIA
FUND
Class
I
................
$
31,599
$
355,731
$
65,981
$
119,994
$
138,157
$
31,599
Class
N
................
5,149
40,043
3,438
10,423
21,033
5,149
Class
R6
...............
73,592
421,356
43,692
117,600
186,472
73,592
Totals
$
110,340
$
817,130
$
113,111
$
248,017
$
345,662
$
110,340
AQR
DIVERSIFIED
ARBITRAGE
FUND
Class
I
................
$
20,290
$
764,234
$
187,629
$
248,996
$
307,319
$
20,290
Class
N
................
1,245
62,099
25,406
19,054
16,394
1,245
Class
R6
...............
10,430
197,434
8,254
61,318
117,432
10,430
Totals
$
31,965
$
1,023,767
$
221,289
$
329,368
$
441,145
$
31,965
AQR
DIVERSIFYING
STRATEGIES
FUND
Class
I
................
$
40,484
$
290,651
$
–
$
93,193
$
156,974
$
40,484
Class
N
................
2,437
15,597
–
5,620
7,540
2,437
Class
R6
...............
4,083
91,357
–
46,386
40,888
4,083
Totals
$
47,004
$
397,605
$
–
$
145,199
$
205,402
$
47,004
AQR
EQUITY
MARKET
NEUTRAL
FUND
Class
I
................
$
62,311
$
388,680
$
64,292
$
122,329
$
139,748
$
62,311
Class
N
................
17,322
89,766
3,794
11,995
56,655
17,322
Class
R6
...............
11,591
79,349
11,212
37,566
18,980
11,591
Totals
$
91,224
$
557,795
$
79,298
$
171,890
$
215,383
$
91,224
327
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
During
the
period
ended
June
30,
2022,
the
Funds
repaid
to
the
Advisor
amounts
previously
waived
or
reimbursed
as
follows:
Pursuant
to
the
Sub-Advisory
Agreements
between
the
Sub-Adviser,
the
Adviser
and
the
Trust,
the
Adviser
will
pay
the
Sub-Adviser
an
annual
fee,
payable
monthly,
at
the
annual
rate
of
0.50%
of
the
average
daily
net
assets
for
the
AQR
Diversified
Arbitrage
Fund. 
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.
EXPENSES
REIMBURSED
FOR
THE
PERIOD
ENDED
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
POTENTIAL
AMOUNTS
EXP
RECOUPMENT
IRING
JUNE
30,
JUNE
30,
2022
JUNE
30,
2022
2022
2023
2024
2025
AQR
LONG-SHORT
EQUITY
FUND
Class
I
................
$
67,885
$
293,627
$
–
$
71,176
$
154,566
$
67,885
Class
N
................
2,346
10,543
–
1,679
6,518
2,346
Class
R6
...............
2,105
21,383
–
9,376
9,902
2,105
Totals
$
72,336
$
325,553
$
–
$
82,231
$
170,986
$
72,336
AQR
MACRO
OPPORTUNITIES
FUND
Class
I
................
$
40,553
$
309,771
$
64,932
$
106,111
$
98,175
$
40,553
Class
N
................
5,111
25,194
4,538
8,498
7,047
5,111
Class
R6
...............
67,120
439,054
47,322
113,912
210,700
67,120
Totals
$
112,784
$
774,019
$
116,792
$
228,521
$
315,922
$
112,784
AQR
MANAGED
FUTURES
STRATEGY
FUND
Class
I
................
$
29,960
$
29,960
$
–
$
–
$
–
$
29,960
Class
N
................
–
–
–
–
–
–
Class
R6
...............
2,695
2,695
–
–
–
2,695
Totals
$
32,655
$
32,655
$
–
$
–
$
–
$
32,655
AQR
MANAGED
FUTURES
STRATEGY
HV
FUND
Class
I
................
$
78,085
$
475,793
$
73,242
$
145,232
$
179,234
$
78,085
Class
N
................
5,282
45,150
16,332
16,365
7,171
5,282
Class
R6
...............
38,039
209,068
43,364
71,441
56,224
38,039
Totals
$
121,406
$
730,011
$
132,938
$
233,038
$
242,629
$
121,406
AQR
MULTI-ASSET
FUND
Class
I
................
$
87,795
$
605,399
$
123,655
$
185,398
$
208,551
$
87,795
Class
N
................
5,363
34,067
9,125
10,646
8,933
5,363
Class
R6
...............
18,066
59,256
3,139
12,377
25,674
18,066
Totals
$
111,224
$
698,722
$
135,919
$
208,421
$
243,158
$
111,224
AQR
RISK-BALANCED
COMMODITIES
STRATEGY
FUND
Class
I
................
$
34,349
$
258,241
$
31,472
$
34,925
$
157,495
$
34,349
Class
N
................
3,929
58,569
4,291
20,019
30,330
3,929
Class
R6
...............
646
148,952
40,830
104,625
2,851
646
Totals
$
38,924
$
465,762
$
76,593
$
159,569
$
190,676
$
38,924
AQR
STYLE
PREMIA
ALTERNATIVE
FUND
Class
I
................
$
100,393
$
765,470
$
209,280
$
288,290
$
167,507
$
100,393
Class
N
................
8,724
41,811
9,222
11,441
12,424
8,724
Class
R6
...............
153,905
1,048,444
205,626
417,046
271,867
153,905
Totals
$
263,022
$
1,855,725
$
424,128
$
716,777
$
451,798
$
263,022
AQR
SUSTAINABLE
LONG-SHORT
EQUITY
CARBON
AWARE
FUND
Class
I
................
$
22,100
$
25,240
$
–
$
–
$
3,140
$
22,100
Class
N
................
11,154
14,294
–
–
3,140
11,154
Class
R6
...............
142,221
199,100
–
–
56,879
142,221
Totals
$
175,475
$
238,634
$
–
$
–
$
63,159
$
175,475
FUND
CLASS
I
CLASS
N
CLASS
R6
AQR
Diversified
Arbitrage
Fund
.............................................
$
2,141
$
105
$
862
328
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
11.
Principal
Risks
and
Concentrations
With
the
exception
of
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversified
Arbitrage
Fund,
AQR
Diversifying
Strategies
Fund,
AQR
Equity
Market
Neutral
Fund,
AQR
Long-Short
Equity
Fund
and
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund,
the
Funds
are
non-diversified.
Because
the
non-
diversified
Funds
may
invest
in
securities
of
a
smaller
number
of
issuers,
such
non-diversified
Funds
may
be
more
exposed
to
the
risks
associated
with
and
developments
affecting
an
individual
issuer
than
a
fund
that
invests
more
widely,
which
may,
therefore,
have
a
greater
impact
on
the
non-diversified
Funds’
performance. 
The
investment
techniques
and
strategies
utilized
by
the
Funds,
including
investments
made
on
a
shorter-term
basis
or
in
derivative
instruments
or
instruments
with
a
maturity
of
one
year
or
less
at
the
time
of
acquisition,
may
result
in
frequent
portfolio
trading
and
high
portfolio
turnover.
High
portfolio
turnover
will
cause
the
Funds
to
incur
higher
levels
of
brokerage
fees
and
commissions,
which
may
reduce
performance,
and
may
cause
higher
levels
of
current
tax
liability
to
shareholders
in
the
Funds.
In
the
normal
course
of
business,
the
Funds
trade
financial
instruments
and
enter
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk).
A
Fund’s
investments
in
financial
derivatives
and
other
financial
instruments
may
expose
the
Fund
to
various
elements
of
market
risks
which
include
interest
rate,
foreign
currency,
equity
and
commodity
risks.
Exposure
to
the
commodities
markets
may
subject
a
Fund
to
greater
volatility
than
investments
in
traditional
securities.
The
value
of
commodity-linked
derivative
investments
and
exchange-traded
notes
may
be
affected
by
changes
in
overall
market
movements,
commodity
index
volatility,
changes
in
interest
rates,
or
factors
affecting
a
particular
industry
or
commodity. 
Fixed
income
securities
are
subject
to
the
risk
that
the
securities
could
lose
value
because
of
interest
rate
changes.
For
example,
bonds
tend
to
decrease
in
value
if
interest
rates
rise.
Fixed
income
securities
with
longer
maturities
sometimes
offer
higher
yields,
but
are
subject
to
greater
price
shifts
as
a
result
of
interest
rate
changes
than
fixed
income
securities
with
shorter
maturities.
Fixed
income
securities
are
generally
subject
to
the
risk
that
the
issuer
may
be
unable
to
make
principal
and
interest
payments
when
they
are
due. 
Interest
rate
risk
is
the
risk
that
fixed
income
securities
will
decline
in
value
because
of
changes
in
interest
rates.
The
Funds
may
lose
money
if
short-
term
or
long-term
interest
rates
rise
sharply
or
otherwise
change
in
a
manner
not
anticipated.
Convertible
securities
and
non-convertible
income
producing
securities
are
subject
to
certain
risks,
including
(i)
if
interest
rates
go
up,
the
value
of
convertible
securities
and
non-convertible
income
producing
securities
in
the
Funds
portfolio
generally
will
decline;
(ii)
during
periods
of
declining
interest
rates,
the
issuer
of
a
security
may
exercise
its
option
to
prepay
principal
earlier
than
scheduled,
forcing
the
Funds
to
reinvest
in
lower
yielding
securities
(call
or
prepayment
risk);
and
(iii)
during
periods
of
rising
interest
rates,
the
average
life
of
certain
types
of
securities
may
be
extended
because
of
slower
than
expected
principal
payments
(extension
risk).
Inflation-indexed
bonds
are
subject
to
certain
risks,
including
that
their
value
will
typically
fluctuate
in
response
to
changes
in
real
interest
rates,
which
are
in
turn
tied
to
the
relationship
between
nominal
interest
rates
and
the
rate
of
inflation.
Therefore,
if
nominal
interest
rates
increased
at
a
faster
rate
than
inflation,
real
interest
rates
might
rise,
leading
to
a
decrease
in
the
value
of
inflation-protected
securities.
Many
financial
instruments
may
be
tied
to
the
London
Interbank
Offered
Rate
(“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
phaseout
the
use
of
LIBOR.
The
publication
of
all
British
Pound,
Euro,
Swiss
Franc
and
Japanese
Yen
settings,
and
the
1-week
and
2-month
USD
settings
ceased
after
December
31,
2021,
and
the
remaining
USD
settings
will
cease
on
June
30,
2023.
While
many
financial
instruments
have
transitioned
to
alternative
reference
rates,
such
as
risk-free
rates
or
'synthetic'
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
Fund’s
performance
or
NAV.
In
addition,
the
alternative
reference
rate
may
be
an
ineffective
substitute
resulting
in
prolonged
adverse
market
conditions
for
the
Funds.
Sovereign
debt
investments
are
subject
to
the
risk
that
a
governmental
entity
may
delay
or
refuse
to
pay
interest
or
repay
principal
on
its
sovereign
debt,
due,
for
example,
to
cash
flow
problems,
insufficient
foreign
currency
reserves,
political
considerations,
the
relative
size
of
the
governmental
entity’s
debt
position
in
relation
to
the
economy
or
the
failure
to
put
in
place
economic
reforms
required
by
the
International
Monetary
Fund
or
other
multilateral
agencies.
If
a
governmental
entity
defaults,
it
may
ask
for
more
time
in
which
to
pay
or
for
further
loans.
There
is
no
legal
process
for
collecting
sovereign
debt
that
a
government
does
not
pay
nor
are
there
bankruptcy
proceedings
through
which
all
or
part
of
the
sovereign
debt
that
a
governmental
entity
has
not
repaid
may
be
collected.
Investment
in
securities
of
foreign
issuers
may
involve
certain
risks
that
are
greater
than
those
associated
with
investments
in
securities
of
U.S.
issuers.
These
include
risks
of
adverse
changes
in
foreign
economic,
political,
regulatory
and
other
conditions;
changes
in
currency
exchange
rates
or
exchange
control
regulations
(including
limitations
on
currency
movements
and
exchanges);
the
imposition
of
economic
sanctions
or
other
government
restrictions;
differing
accounting,
auditing,
financial
reporting
and
legal
standards
and
practices;
differing
securities
market
structures;
and
higher
transaction
costs.
To
the
extent
a
fund’s
investments
in
a
single
country
or
a
limited
number
of
countries
represent
a
higher
percentage
of
the
Fund’s
assets,
the
Fund
assumes
the
risk
that
economic,
political
and
social
conditions
in
those
countries
will
have
a
significant
impact
on
its
investment
performance
and
it
may
be
subject
to
increased
price
volatility. 
329
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
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,
embargos or
other
government
actions
and/or 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 may
have
a
significant
impact
on
investment
performance,
may
subject
the
Fund
to
increased
price
volatility
and
may
impair
or
otherwise
limit
the
Fund's
ability
to
invest
in,
receive,
hold
or
sell
securities
issued
by
the
impacted
countries.
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,
natural
disasters,
economic
uncertainty,
trade
disputes,
public
health
crises
including
pandemics 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.
Markets
also
tend
to
move
in
cycles,
with
periods
of
rising
and
falling
prices.
This
volatility
may
cause
the
Fund’s
net
asset
value
to
experience
significant
increases
or
decreases
over
short
periods
of
time.
If
there
is
a
general
decline
in
the
securities
and
other
markets,
the
net
asset
value
of
a
Fund
may
lose
value,
regardless
of
the
individual
results
of
the
securities
and
other
instruments
in
which
the
Fund
invests.
In
addition
to
market
risk,
the
Funds
may
be
exposed
to
the
risk
that
one
or
more
securities
in
the
Funds’
portfolios
will
decline
in
price,
or
fail
to
pay
interest
or
principal
when
due,
because
the
issuer
of
the
security
experiences
a
decline
in
its
financial
status
(credit
risk).
Credit
risk
is
measured
by
the
loss
a
Fund
would
record
if
the
major
financial
institution
or
other
counterparties
failed
to
perform
pursuant
to
terms
of
their
obligations.
Certain
Funds
may
primarily
maintain
cash
balances
at
one
or
several
major
financial
institutions
that
may
exceed
federally
insured
limits
and
as
such
each
of
the
Funds
have
credit
risk
associated
with
such
financial
institutions.
In
general,
lower
rated
securities
carry
a
greater
degree
of
risk
that
the
issuer
will
lose
its
ability
to
make
interest
and
principal
payments,
which
could
have
a
negative
impact
on
the
Funds’
net
asset
value
or
dividends.
The
Funds
minimize
credit
risk
by
monitoring
credit
exposure
and
collateral
values,
and
by
requiring
additional
collateral
to
be
deposited
with
or
returned
to
the
Funds
when
deemed
necessary.
Similar
to
credit
risk,
a
Fund
may
be
exposed
to
counterparty
risk,
or
the
risk
that
an
institution
or
other
entity
with
which
the
Fund
has
unsettled
or
open
transactions
will
default.
Financial
assets,
which
potentially
expose
a
Fund
to
counterparty
risk,
consist
principally
of
cash
due
from
counterparties
and
investments.
By
using
derivative
instruments,
the
Funds
may
be
exposed
to
the
risk
that
derivative
counterparties
may
not
perform
in
accordance
with
the
contractual
provisions
offset
by
the
value
of
any
collateral
received.
The
Funds’
exposure
to
credit
risk
associated
with
counterparty
non-performance
is
limited
to
the
unrealized
gains
inherent
in
such
transactions
that
are
recognized
in
the
Statements
of
Assets
and
Liabilities.
The
counterparties
to
the
Funds’
derivative
investments
may
include
affiliates
of
the
Funds’
clearing
brokers
and
other
major
financial
institutions.
While
the
Funds
use
multiple
clearing
brokers
and
counterparties,
a
concentration
of
credit
risk
may
exist
because
of
balances
held
and
transactions
with
a
limited
number
of
clearing
brokers
and
counterparties.
The
Funds
minimize
counterparty
credit
risk
through
credit
limits
and
approvals,
credit
monitoring
procedures,
executing
master
netting
arrangements
and
managing
margin
and
collateral
requirements,
as
appropriate.
The
Funds
may
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. 
330
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
The
Funds
may
invest
in
restricted
securities.
Restricted
securities
are
subject
to
legal
or
contractual
restrictions
on
resale
and
may
generally
be
sold
privately
but
may
be
required
to
be
registered
or
exempted
from
such
registration
before
being
sold
to
the
public.
Private
placement
securities
are
generally
considered
to
be
restricted
except
for
those
securities
traded
between
qualified
institutional
investors
under
the
provisions
of
Rule
144A
of
the
Securities
Act
of
1933.
Disposal
of
restricted
investments
may
involve
time-consuming
negotiations
and
expenses,
and
prompt
sale
at
an
acceptable
price
may
be
difficult
to
achieve.
Restricted
investments
held
by
the
Fund,
if
any,
are
disclosed
in
the
Schedule
of
Investments. 
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.
In
regards
to
the
AQR
Diversifying
Strategies
Fund,
due
to
the
Fund's
strategy
of
investing
in
affiliated
funds,
shareholders
bear
both
their
proportionate
share
of
expenses
in
the
Fund
and,
indirectly,
the
expenses
of
such
Affiliated
Funds.
An
investor
holding
the
affiliated
investment
funds
directly
and
in
the
same
proportions
as
the
Fund
would
incur
lower
overall
expenses
but
would
not
receive
the
benefits
of
the
active
allocation
of
investments
among
the
affiliated
investment
funds
associated
with
an
investment
in
the
Fund.
The
Adviser
receives
management
fees
from
each
of
the
affiliated
investment
funds,
but
not
from
the
Fund.
If
the
Adviser
were
to
invest
in
unaffiliated
funds,
however,
the
Adviser
would
not
receive
direct
or
indirect
management
fees
on
the
Fund
assets
invested
in
those
unaffiliated
funds.
There
is
a
risk
that
the
affiliated
investment
funds
in
which
the
Fund
invests
will
have
higher
expense
ratios
and/or
under-perform
unaffiliated
funds
with
comparable
investment
strategies.
Additionally,
investments
in
the
AQR
Diversifying
Strategies
Fund
are
subject
to
risks
related
to
the
Adviser's
allocation
choices.
The
selection
of
the
affiliated
investment
funds
and
the
allocation
of
the
Fund's
assets
to
the
affiliated
investment
funds
could
cause
the
Fund
to
lose
value
or
its
results
to
lag
relevant
benchmarks
or
other
funds
with
similar
objectives.
The
Fund
could
miss
attractive
investment
opportunities
by
under-weighting
strategies
that
subsequently
experience
significant
returns
and
could
lose
value
by
overweighting
strategies
that
subsequently
experience
significant
declines.
As
with
other
investments,
investments
in
other
investment
companies,
such
as
the
affiliated
investment
funds
and
money
market
mutual
funds,
are
subject
to
market
and
manager
risk.
Since
the
AQR
Diversifying
Strategies
Fund's
investments
consist
primarily
of
affiliated
funds,
the
Fund's
risks
are
directly
related
to
the
risks
of
the
affiliated
investment
funds.
For
this
reason,
it
is
important
to
understand
the
risks
associated
with
investing
in
the
affiliated
investment
funds.
In
regard
to
the
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund,
the
ability
of
the
Fund
to
achieve
its
net
zero
carbon
target
will
be
subject
to
the
Adviser's
ability
to
correctly
assess
the
carbon
emissions
of
the
companies
to
which
the
Fund
has
exposure
and
the
relative
performance
of
the
investments
in
the
portfolio.
Since
the
carbon
emissions
of
companies
will
likely
change
as
the
regulatory
environment,
public
sentiment
and
markets
change
or
time
passes,
the
success
of
the
Fund's
net
zero
carbon
strategy
will
also
be
subject
to
the
Adviser's
ability
to
continually
recalculate,
readjust,
and
execute
long
and/or
short
positions
in
an
efficient
and
timely
manner.
Additionally,
the
Adviser's
methodology
for
assessing
the
Fund's
carbon
emissions
exposure
may
differ
from
the
methodology
used
by
others
and
may
not
comport
with
an
investor's
assessment
due
to
a
variety
of
reasons
such
as,
the
use
of
different
carbon
emission
data
sources
and/or
differing
views
on
how
net
zero
carbon
exposure
is
achieved.
The
Adviser's
methodology
for
calculating
the
Fund's
carbon
emissions
exposure
could
prove
to
be
imperfect
or
may
not
achieve
its
intended
results.
331
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
Additionally,
the
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
follows
a
sustainable
investment
approach
that
considers
the
Environmental,
Social
and
Governance
(“ESG”)
characteristics
of
investments
when
constructing
the
Fund's
portfolio.
Accordingly,
the
Fund
will
have
reduced
exposure
to
industries
or
sectors
with
companies
that
are
excluded
by
the
Fund's
dynamic
ESG
filter
or
otherwise
underweighted
due
to
their
ESG
characteristics
and
potentially
increased
exposure
to
industries
or
sectors
that
do
not
contain
such
companies.
Additionally,
due
to
its
exclusionary
criteria,
the
Fund
may
not
be
invested
in
certain
industries
or
sectors.
As
a
result,
the
Fund's
performance
may
be
lower
than
other
funds
that
do
not
consider
ESG
characteristics
or
use
different
ESG
criteria
when
constructing
their
portfolios.
In
addition,
since
sustainable
and
ESG
investing
takes
into
consideration
factors
beyond
traditional
financial
analysis,
the
Fund
may
have
fewer
investment
opportunities
available
to
it.
Sustainability
and
ESG-related
information
provided
by
issuers
and
third
parties,
upon
which
the
portfolio
managers
may
rely,
may
be
incomplete,
inaccurate,
use
different
methodologies,
or
be
applied
differently
across
companies
and
industries.
Further,
the
regulatory
landscape
for
sustainable
and
ESG
investing
in
the
United
States
is
still
developing
and
future
rules
and
regulations
may
require
the
Fund
to
modify
or
alter
its
investment
process.
Similarly,
government
policies
incentivizing
companies
to
engage
in
and/or
disclose
their
sustainable
and
ESG
practices
may
fall
out
of
favor,
which
would
challenge
the
Fund's
ability
to
assess
ESG
characteristics
of
an
issuer
or
industry
and
its
ability
to
implement
its
investment
strategies.
There
is
also
a
risk
that
the
companies
identified
through
the
investment
process
may
fail
to
adhere
to
sustainable
and/or
ESG-related
business
practices,
which
may
result
in
the
Fund
selling
a
security
when
it
might
otherwise
be
disadvantageous
to
do
so.
There
is
no
guarantee
that
sustainable
investments
will
outperform
the
broader
market
on
either
an
absolute
or
relative
basis.
There
is
also
no
guarantee
that
the
Adviser
will
successfully
implement
strategies
or
make
investments
in
companies
that
result
in
favorable
ESG
outcomes
while
enhancing
long-term
shareholder
value
and
achieving
financial
returns.
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.
12.
Interfund
Lending
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds,
including
other
AQR
Funds
not
presented
in
this
book,
may
participate
in
a
joint
lending
and
borrowing
program
(the
“Interfund
Lending
Program”)
to
the
extent
such
participation
is
consistent
with
each
Fund’s
investment
objective
and
investment
policies.
This
program
allows
the
Funds
to
borrow
and
lend
to
other
AQR
Funds
that
permit
such
transactions.
All
loans
under
the
Interfund
Lending
Program
are
for
temporary
cash
management
or
emergency
purposes.
Interest
earned
or
paid
on
an
interfund
lending
transaction
will
be
based
on
the
average
of
certain
current
market
rates,
as
calculated
according
to
a
formula
established
by
the
Board.
No
Fund
may
borrow
or
lend
money
through
the
program
unless
it
receives
a
more
favorable
rate
than
is
typically
available
for
comparable
borrowings
from
a
bank
or
investments
in
U.S.
Treasury
bills,
respectively.
A
lending
Fund
may
lend
in
aggregate
up
to
15%
of
its
net
assets
but
may
not
lend
more
than
5%
of
its
net
assets
to
any
one
borrowing
Fund
through
the
Interfund
Lending
Program.
A
borrowing
Fund
may
not
borrow
through
the
Interfund
Lending
Program
or
from
any
other
source
more
than
33
1/3%
of
its
total
assets.
If
a
borrowing
Fund’s
total
outstanding
borrowings
exceed
10%
of
its
total
assets,
the
Fund
must
secure
each
of
its
outstanding
borrowings
through
the
Interfund
Lending
Program
with
collateral
equal
to
102%
of
the
outstanding
principal
value
of
the
loan.
The
Funds
are
not
required
to
borrow
money
under
the
Interfund
Lending
Program
and
may
borrow
under
other
arrangements,
including
their
existing
bank
line
of
credit.
This
could
result
in
a
Fund
borrowing
money
at
a
higher
interest
rate
than
it
would
have
received
under
the
Interfund
Lending
Program.
Interest
expense
earned,
as
a
result
of
lending
under
this
agreement,
is
included
in
Interfund
lending
income
in
the
Statements
of
Operations.
There
were
no
open
borrowings
as
of June
30,
2022 by
any
of
the
Funds.
The
Funds
did
not
have
any
borrowings
for
the period
ended
June
30,
2022. 
13.
Line
of
Credit
Effective
March
18,
2022
and
terminating
on
March
17,
2023,
all
funds
within
the
Trust,
with
the
exception
of
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.
AQR
Sustainable
Long-
Short
Equity
Carbon
Aware
Fund
was
also
added
as
a
borrower
under
the
agreement.
Borrowing,
if
any,
under
this
arrangement
bears,
as
incurred,
interest
at
the
sum
of
(a)
1.00%
per
annum
plus
(b)
the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
Term
SOFR
(including
a
0.10%
adjustment),
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
earmarked
for
asset
coverage
purposes
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 June
30,
2022 by
any
of
the
Funds.
The
Funds
did
not
have
any
borrowings
for
the period
ended
June
30,
2022. 
332
Notes
to
Financial
Statements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
June
30,
2022
(Unaudited)
14.
Principal
Ownership
As
of
June
30,
2022,
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
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
The
Funds
have
evaluated
subsequent
events
through
the
date
of
issuance
of
this
report
and
have
determined
that
there
are
no
material
events. 
FUND
NUMBER
OF
INDIVIDUAL
SHAREHOLDERS
AND/OR
OMNIBUS
ACCOUNTS
TOTAL
PERCENTAGE
INTEREST
HELD
AQR
Alternative
Risk
Premia
Fund
..........................................
3
89.57
%
AQR
Diversified
Arbitrage
Fund
.............................................
5
83.62
AQR
Diversifying
Strategies
Fund
...........................................
4
92.01
AQR
Equity
Market
Neutral
Fund*
...........................................
7
91.37
AQR
Long-Short
Equity
Fund
..............................................
8
93.81
AQR
Macro
Opportunities
Fund*
............................................
7
88.72
AQR
Managed
Futures
Strategy
Fund
........................................
8
80.40
AQR
Managed
Futures
Strategy
HV
Fund*
....................................
5
90.70
AQR
Multi-Asset
Fund*
...................................................
7
94.23
AQR
Risk-Balanced
Commodities
Strategy
Fund
................................
6
91.24
AQR
Style
Premia
Alternative
Fund
..........................................
3
76.39
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund*
.........................
5
99.38
*
The
percentage
held
by
the
Adviser
and/or
affiliates
is
,
17.29%,
44.81%,
10.74%,
18.54%
and
46.97%
respectively.
333
Fund
Expense
Examples
AQR
Funds
|
Semi-Annual
Report
|
June
2022
As
a
shareholder
of
the
Trust,
you
incur
two
types
of
costs:
(1)
transaction
costs
and
(2)
ongoing
costs,
including
management
fees;
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
as
indicated
below.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
for
the
Period
Ending
12/31/2021”
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
  6/30/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        6/30/22
AQR
Alternative
Risk
Premia
Fund
Class
I
Actual
Return
$1,000.00
$1,177.20
2.86%
$15.44
Hypothetical
Return
$1,000.00
$1,010.61
2.86%
$14.26
Class
N
Actual
Return
$1,000.00
$1,175.30
3.11%
$16.77
Hypothetical
Return
$1,000.00
$1,009.37
3.11%
$15.49
Class
R6
Actual
Return
$1,000.00
$1,178.10
2.76%
$14.91
Hypothetical
Return
$1,000.00
$1,011.11
2.76%
$13.76
AQR
Diversified
Arbitrage
Fund
Class
I
Actual
Return
$1,000.00
$957.00
1.30%
$6.31
Hypothetical
Return
$1,000.00
$1,018.35
1.30%
$6.51
Class
N
Actual
Return
$1,000.00
$955.40
1.55%
$7.51
Hypothetical
Return
$1,000.00
$1,017.11
1.55%
$7.75
Class
R6
Actual
Return
$1,000.00
$957.80
1.20%
$5.83
Hypothetical
Return
$1,000.00
$1,018.84
1.20%
$6.01
AQR
Diversifying
Strategies
Fund
Class
I
Actual
Return
$1,000.00
$1,105.40
0.20%
$1.04
Hypothetical
Return
$1,000.00
$1,023.80
0.20%
$1.00
Class
N
Actual
Return
$1,000.00
$1,104.60
0.45%
$2.35
Hypothetical
Return
$1,000.00
$1,022.56
0.45%
$2.26
Class
R6
Actual
Return
$1,000.00
$1,106.20
0.10%
$0.52
Hypothetical
Return
$1,000.00
$1,024.30
0.10%
$0.50
334
Fund
Expense
Examples
AQR
Funds
|
Semi-Annual
Report
|
June
2022
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  6/30/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        6/30/22
AQR
Equity
Market
Neutral
Fund
Class
I
Actual
Return
$1,000.00
$1,213.10
1.55%
$8.51
Hypothetical
Return
$1,000.00
$1,017.11
1.55%
$7.75
Class
N
Actual
Return
$1,000.00
$1,212.20
1.80%
$9.87
Hypothetical
Return
$1,000.00
$1,015.87
1.80%
$9.00
Class
R6
Actual
Return
$1,000.00
$1,213.60
1.45%
$7.96
Hypothetical
Return
$1,000.00
$1,017.60
1.45%
$7.25
AQR
Long-Short
Equity
Fund
Class
I
Actual
Return
$1,000.00
$1,126.70
1.32%
$6.96
Hypothetical
Return
$1,000.00
$1,018.25
1.32%
$6.61
Class
N
Actual
Return
$1,000.00
$1,125.70
1.57%
$8.27
Hypothetical
Return
$1,000.00
$1,017.01
1.57%
$7.85
Class
R6
Actual
Return
$1,000.00
$1,127.60
1.22%
$6.44
Hypothetical
Return
$1,000.00
$1,018.74
1.22%
$6.11
AQR
Macro
Opportunities
Fund
Class
I
Actual
Return
$1,000.00
$1,163.20
1.43%
$7.67
Hypothetical
Return
$1,000.00
$1,017.70
1.43%
$7.15
Class
N
Actual
Return
$1,000.00
$1,161.40
1.68%
$9.00
Hypothetical
Return
$1,000.00
$1,016.46
1.68%
$8.40
Class
R6
Actual
Return
$1,000.00
$1,162.80
1.33%
$7.13
Hypothetical
Return
$1,000.00
$1,018.20
1.33%
$6.66
AQR
Managed
Futures
Strategy
Fund
Class
I
Actual
Return
$1,000.00
$1,318.20
1.26%
$7.24
Hypothetical
Return
$1,000.00
$1,018.55
1.26%
$6.31
Class
N
Actual
Return
$1,000.00
$1,318.10
1.51%
$8.68
Hypothetical
Return
$1,000.00
$1,017.31
1.51%
$7.55
Class
R6
Actual
Return
$1,000.00
$1,319.10
1.16%
$6.67
Hypothetical
Return
$1,000.00
$1,019.04
1.16%
$5.81
AQR
Managed
Futures
Strategy
HV
Fund
Class
I
Actual
Return
$1,000.00
$1,492.60
1.66%
$10.26
Hypothetical
Return
$1,000.00
$1,016.56
1.66%
$8.30
Class
N
Actual
Return
$1,000.00
$1,488.60
1.91%
$11.79
Hypothetical
Return
$1,000.00
$1,015.32
1.91%
$9.54
Class
R6
Actual
Return
$1,000.00
$1,491.00
1.56%
$9.64
Hypothetical
Return
$1,000.00
$1,017.06
1.56%
$7.80
335
Fund
Expense
Examples
AQR
Funds
|
Semi-Annual
Report
|
June
2022
BEGINNING
  ACCOUNT
          DATE
        VALUE
    ENDING
ACCOUNT
      VALUE
  6/30/22
ANNUALIZED
      EXPENSE
RATIO
FOR
THE
PERIOD
      EXPENSES
PAID
FOR
THE
PERIOD  
          ENDING
        6/30/22
AQR
Multi-Asset
Fund
Class
I
Actual
Return
$1,000.00
$894.70
1.05%
$4.93
Hypothetical
Return
$1,000.00
$1,019.59
1.05%
$5.26
Class
N
Actual
Return
$1,000.00
$893.40
1.30%
$6.10
Hypothetical
Return
$1,000.00
$1,018.35
1.30%
$6.51
Class
R6
Actual
Return
$1,000.00
$894.60
0.95%
$4.46
Hypothetical
Return
$1,000.00
$1,020.08
0.95%
$4.76
AQR
Risk-Balanced
Commodities
Strategy
Fund
Class
I
Actual
Return
$1,000.00
$1,172.00
1.01%
$5.44
Hypothetical
Return
$1,000.00
$1,019.79
1.01%
$5.06
Class
N
Actual
Return
$1,000.00
$1,170.00
1.26%
$6.78
Hypothetical
Return
$1,000.00
$1,018.55
1.26%
$6.31
Class
R6
Actual
Return
$1,000.00
$1,172.40
0.91%
$4.90
Hypothetical
Return
$1,000.00
$1,020.28
0.91%
$4.56
AQR
Style
Premia
Alternative
Fund
Class
I
Actual
Return
$1,000.00
$1,250.40
1.69%
$9.43
Hypothetical
Return
$1,000.00
$1,016.41
1.69%
$8.45
Class
N
Actual
Return
$1,000.00
$1,249.30
1.94%
$10.82
Hypothetical
Return
$1,000.00
$1,015.17
1.94%
$9.69
Class
R6
Actual
Return
$1,000.00
$1,250.70
1.59%
$8.87
Hypothetical
Return
$1,000.00
$1,016.91
1.59%
$7.95
AQR
Sustainable
Long-Short
Equity
Carbon
Aware
Fund
Class
I
Actual
Return
$1,000.00
$1,102.20
1.31%
$6.83
Hypothetical
Return
$1,000.00
$1,018.30
1.31%
$6.56
Class
N
Actual
Return
$1,000.00
$1,101.20
1.56%
$8.13
Hypothetical
Return
$1,000.00
$1,017.06
1.56%
$7.80
Class
R6
Actual
Return
$1,000.00
$1,103.20
1.21%
$6.31
Hypothetical
Return
$1,000.00
$1,018.79
1.21%
$6.06
Expenses
are
calculated
using
each
Class’
annualized
expense
ratio,
multiplied
by
the
average
account
value
for
the
period,
multiplied
by
181/365
(to
reflect
the
one-half
year
period
unless
stated
otherwise).
336
Board
Approval
of
Investment
Advisory
Agreements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
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
meeting
via
video
conference
on
May
26-27,
2022
(the
“Meeting”)
to
consider
the
continuation
of
the:
(i)
Third
Amended
and
Restated
Investment
Management
Agreement,
as
amended,
between
AQR
Capital
Management,
LLC
(“AQR”)
and
the
Trust,
on
behalf
of
the
AQR
Diversified
Arbitrage
Fund,
AQR
Equity
Market
Neutral
Fund,
AQR
Macro
Opportunities
Fund,
AQR
Long-Short
Equity
Fund,
AQR
Multi-Asset
Fund,
AQR
Risk-Balanced
Commodities
Strategy
Fund,
AQR
Style
Premia
Alternative
Fund,
AQR
Managed
Futures
Strategy
Fund,
AQR
Managed
Futures
Strategy
HV
Fund
and
certain
other
series
of
the
Trust
(the
“Investment
Management
Agreement”);
(ii)
Investment
Management
Agreement
II,
as
amended,
between
AQR
and
the
Trust
on
behalf
of
the
AQR
Alternative
Risk
Premia
Fund,
AQR
Diversifying
Strategies
Fund
and
certain
other
series
of
the
Trust
(the
"Investment
Management
Agreement
II");
and
(iii)
the
Second
Amended
and
Restated
Investment
Sub-Advisory
Agreement
between
AQR
and
AQR
Arbitrage,
LLC
(formerly
CNH
Partners,
LLC)
(“AQR
Arbitrage”
or
the
“Sub-Adviser”)
for
the
AQR
Diversified
Arbitrage
Fund
(the
“Sub-Advisory
Agreement”).
Each
of
the
aforementioned
series
of
the
Trust
may
be
referred
to
herein
as
a
“Fund”
and
collectively,
the
“Funds.”
The
Investment
Management
Agreement,
the
Investment
Management
Agreement
II
and
the
Sub-Advisory
Agreement
are
referred
to
collectively
herein
as
the
“Management
Agreement,”
as
applicable
and
as
the
context
suggests.
At
the
Meeting,
the
Board
Members
who
are
not
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”)
(the
“Independent
Board
Members”),
met
with
independent
legal
counsel
and
representatives
of
AQR
and
AQR
Arbitrage
to
review
the
materials
provided
and
the
relevant
legal
considerations.
In
accordance
with
Section
15(c)
of
the
1940
Act,
the
Board
requested
and
considered
materials
furnished
by
AQR
and
the
Sub-Adviser
relevant
to
the
Board’s
consideration
of
whether
to
approve
the
continuation
of
the
Management
Agreement.
These
materials
included:
(i)
memoranda
and
materials
provided
by
AQR
describing
the
personnel
and
services
provided
to
the
Funds;
(ii)
memoranda
and
materials
provided
by
AQR,
describing
the
personnel
and
services
provided
by
the
Sub-Adviser
to
the
AQR
Diversified
Arbitrage
Fund;
(iii)
performance
information
for
the
Funds
relevant
to
the
consideration
of
the
Management
Agreement;
(iv)
information
independently
compiled
and
prepared
by
Broadridge
relating
to
the
Funds’
fees
and
expenses
and
performance
relative
to
peers
within
Morningstar
fund
categories;
(v)
financial
information
for
AQR
and
a
profitability
analysis
showing
the
profitability
of
AQR
and
the
Sub-Adviser
from
providing
services
to
the
Funds;
and
(vi)
a
discussion
of
the
compliance
programs
of
AQR
and
the
Sub-Adviser
and
the
regulatory
exam
histories
of
each.
AQR
and
the
Sub-Adviser
are
referred
to
herein
as
the
“Adviser,”
as
applicable.
At
the
Meeting
the
Board,
including
the
Independent
Board
Members,
unanimously
approved
the
continuation
of
the
Management
Agreement
for
an
additional
one-year
period
for
each
Fund.
In
approving
the
continuation
of
the
Management
Agreement
for
a
Fund,
the
Board
considered
all
factors
it
believed
to
be
relevant
with
respect
to
the
Fund,
including,
among
other
factors:
(a)
the
nature,
extent
and
quality
of
the
services
provided
by
the
Adviser;
(b)
the
investment
performance
of
the
Fund
and
the
Adviser’s
portfolio
management;
(c)
the
management
fee
and
the
cost
of
the
services
provided
and
profits
realized
by
the
Adviser
from
the
relationship
with
the
Funds
and
the
fund
complex;
(d)
economies
of
scale;
(e)
fall-out
benefits;
and
(f)
other
factors.
The
Board
also
considered
other
matters
it
deemed
important
to
the
approval
process,
such
as
AQR’s
services
related
to
the
valuation
and
pricing
of
the
Funds’
portfolio
holdings,
direct
and
indirect
benefits
to
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
the
Adviser.
The
following
is
a
summary
of
the
Board’s
discussion
and
views
regarding
the
factors
it
considered
in
evaluating
the
Management
Agreement:
The
Nature,
Extent
and
Quality
of
the
Services
Provided
by
the
Adviser.
The
Board
Members
reviewed
the
services
that
the
Adviser
provided
to
the
Funds
under
the
Management
Agreement,
including
certain
administrative
services.
The
Board
considered
the
size
and
experience
of
the
Adviser’s
staff,
its
use
of
technology,
and
the
Funds’
stated
investment
objectives,
strategies
and
processes.
In
connection
with
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
took
into
account
discussions
they
had
regularly
as
part
of
quarterly
Board
meetings
with
representatives
of
the
Adviser
regarding
the
management
of
each
Fund’s
investments
in
accordance
with
the
Funds’
stated
investment
objectives
and
policies
and
the
types
of
transactions
that
are
entered
into
on
behalf
of
the
Funds.
During
these
discussions,
the
Board
Members
asked
questions
of,
and
received
answers
from,
representatives
of
the
Adviser
regarding
the
formulation
and
implementation
of
the
Funds’
investment
strategies,
their
efficacy
and
potential
risks.
In
addition
to
the
investment
advisory
services
provided
to
the
Funds,
the
Board
Members
considered
that
AQR
also
provides
shareholder
and
administrative
services,
has
responsibility
for
overseeing
the
Sub-Adviser
with
respect
to
the
AQR
Diversified
Arbitrage
Fund,
provides
oversight
of
Fund
accounting,
provides
risk
management,
provides
compliance
oversight,
administers
the
Funds’
liquidity
risk
management
program,
provides
derivatives
risk
management,
oversees
third-party
service
providers
and
provides
assistance
in
meeting
legal
and
regulatory
requirements
and
other
services
necessary
for
the
operation
of
the
Funds.
In
particular,
the
Board
Members
considered
the
compliance,
shareholder
and
administrative
services
provided
to
the
Funds
by
AQR
under
the
Management
Agreement.
The
Board
recognized
that
AQR’s
oversight
of
the
Sub-Adviser
was
extensive,
including
portfolio
risk
monitoring,
compliance
testing,
trade
monitoring
and
execution,
liquidity
risk
management,
derivatives
risk
management,
and
negotiation
of
agreements
with
derivative
counterparties.
The
Board
Members
recognized
the
enterprise
risk
of
AQR
and
the
Sub-Adviser
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
and,
as
applicable,
the
Sub-Adviser
pursuant
to
the
Management
Agreement
were
of
a
high
quality
and
benefit
the
Funds.
337
Board
Approval
of
Investment
Advisory
Agreements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
I
nvestment
Performance
of
the
Funds
and
the
Adviser’s
Portfolio
Management.
The
Board
considered
the
investment
performance
of
each
Fund.
In
particular,
the
Independent
Board
Members
considered
the
investment
performance
of
the
Funds
relative
to
their
stated
objectives
and
the
Adviser’s
efforts
to
achieve
such
goals
as
well
as
the
performance
of
the
Funds
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Performance
Peers”).
The
Board
was
cognizant
of
the
fact
that
in
some
cases
Fund
performance
was
challenged
over
certain
measurement
periods
in
comparison
to
a
Fund’s
Performance
Peers,
and
considered
the
Adviser’s
views
regarding
the
factors
contributing
to
such
underperformance
on
a
Fund
by
Fund
basis.
The
Board
considered
that
Broadridge
comparisons
may
be
of
limited
use
in
some
cases
due
to
the
differences
between
the
ways
in
which
a
Fund
is
managed
from
other
Performance
Peers.
In
other
cases,
underperformance
in
relation
to
Performance
Peers
may
be
due
to
differences
in
a
Fund’s
investment
parameters
compared
to
its
Performance
Peers,
including
risk
limits,
volatility
targets,
model
limits
on
exposure
to
a
particular
country,
and
the
Fund’s
investment
universe.
In
addition,
the
use
of
drawdown
control
and/or
internal
risk
protections
may
affect
a
Fund’s
performance
in
relation
to
its
Performance
Peers.
The
Board
also
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
the
Adviser’s
performance
in
managing
other
registered
investment
companies
and
private
funds,
noting
that
other
funds
the
Adviser
manages
might
have
investment
objectives,
policies
or
restrictions
different
from
those
of
the
Funds.
Based
on
these
factors,
the
Board
Members
determined
that
the
performance
of
each
Fund
is
consistent
with
its
stated
objectives
and
strategies
and
the
Adviser’s
investment
process.
The
Management
Fee
and
the
Cost
of
the
Services
and
Profits
Realized
by
the
Adviser
from
the
Relationship
with
the
Funds.
The
Board,
including
the
Independent
Board
Members,
received
information
regarding
the
management
fees
paid
by
the
Funds
to
the
Adviser
pursuant
to
the
Management
Agreement.
The
Board
examined
this
information
in
order
to
determine
the
reasonableness
of
the
fees
in
light
of
the
nature
and
quality
of
services
provided
to
the
Funds
and
the
costs
incurred
by
and
benefits
to
the
Adviser
in
providing
those
services,
and
other
relevant
factors.
To
assist
in
this
analysis,
the
Board
reviewed
comparative
fee
and
expense
information
for
each
Fund
relative
to
funds
identified
by
Broadridge
as
their
peers
(the
“Expense
Peers”),
including
comparisons
of
contractual
management
fees
and
actual
net
expenses.
The
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).
The
Board
noted
that,
as
of
December
31,
2021,
the
net
expenses
for
certain
Funds
were
lower
than
the
median
net
expenses
of
their
Expense
Peers,
while
net
expense
ratios
for
other
Funds
were
above
the
median
compared
to
their
Expense
Peers.
The
Board
determined
to
reduce
the
management
fee
for
AQR
Style
Premia
Alternative
Fund
and
to
increase
this
Fund’s
expense
cap
by
a
commensurate
amount,
effective
July
1,
2022.
Finally,
the
Board
noted
that
while
the
AQR
Diversifying
Strategies
Fund
bears
a
management
fee
of
0%,
as
a
fund
of
funds
it
indirectly
bears
a
pro
rata
portion
of
the
management
fees
charged
by
the
Funds
in
which
it
invests.
The
Board
reviewed
information
regarding
the
fees
the
Adviser
charges
for
other
funds
and
accounts
managed
by
the
Adviser,
including
sub-advised
mutual
funds,
with
similar
investment
strategies
to
certain
of
the
Funds.
The
Board
noted
the
greater
services
provided
by
the
Adviser
to
the
Funds
in
contrast
to
the
limited
role
of
the
Adviser
when
it
sub-advises
third
party
mutual
funds
or
advises
separate
accounts.
The
Board
also
received
and
reviewed
information
regarding
the
profitability
of
AQR
with
respect
to
Fund-related
activities
and
the
profitability
of
the
Sub-Adviser
with
respect
to
its
sub-advisory
services
for
one
of
the
Funds.
The
Adviser
provided
the
Board
Members
with
a
detailed
description
of
the
methodology
and
inputs
used
to
determine
profitability.
The
Board
recognized
that
profitability
may
be
affected
by
numerous
factors
including,
among
other
things,
fee
waivers
and
expense
reimbursements
by
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
and
Sub-Adviser’s
profitability
were
not
excessive.
Economies
of
Scale.
The
Adviser
provided
the
Board
with
information
concerning
the
extent
to
which
economies
of
scale
were
realized
as
the
Funds
grew
and
whether
fee
levels
were
reflective
of
such
economies
of
scale.
To
show
that
economies
are
being
shared,
the
Adviser
presented
information
regarding
each
Fund’s
management
fees
relative
to
comparable
funds
of
similar
and/or
larger
sizes,
showing
that
management
fees
were
set
at
a
competitive
level.
It
also
provided
Morningstar
data
for
the
purpose
of
showing
the
hypothetical
effective
management
fee
for
each
Fund
at
higher
asset
levels
compared
to
its
peers,
some
of
which
have
breakpoints.
The
Board
considered
this
information
in
determining
the
reasonableness
of
continuing
to
operate
each
Fund
without
management
fee
breakpoints
at
the
Fund’s
current
asset
level.
The
Board
recognized
that
economies
were
also
being
shared
through
the
expense
limitation
agreements
for
the
Funds.
The
Board
noted
that,
under
the
Management
Agreement,
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
the
Adviser’s
overall
operations
and
its
efforts
to
expand
the
scale
of,
and
further
enhance
the
quality
of,
its
operations.
In
particular,
the
Board
noted
the
continuing
enhancements
to
AQR’s
services
to
the
Funds
in
areas
such
as
compliance,
risk,
portfolio
management,
technology
and
administration.
AQR
advised
that
its
size
as
a
firm
has
resulted
in
additional
benefits
to
the
AQR
Funds,
such
as
the
ability
to
negotiate
better
terms
with
service
providers
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
which
reduced
charges
related
to
printing
and
mailing
costs
for
shareholder
reports.
338
Board
Approval
of
Investment
Advisory
Agreements
AQR
Funds
|
Semi-Annual
Report
|
June
2022
Other
Factors.
The
Board
also
took
into
account
other
ancillary
or
“fall-out”
benefits
that
the
Adviser
or
its
affiliates
may
derive
from
its
relationship
with
the
Funds,
both
tangible
and
intangible,
including
the
sub-advisory
fees
paid
to
the
Sub-Adviser,
noting
that
no
payments
are
received
by
the
Adviser
from
the
Funds
beyond
the
fees
under
the
Management
Agreement.
The
Board
was
advised
by
AQR
that
AQR
may
obtain
greater
exposure
to
the
public
as
a
result
of
managing
the
AQR
Funds,
which
could
lead
to
additional
business
opportunities,
such
as
unregistered
fund
investments,
separately
managed
account
opportunities
or
sub-advisory
mandates.
The
Adviser
may
also
obtain
reputational
benefits.
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
the
Adviser’s
brokerage
and
soft
dollar
practices,
noting
that
the
Adviser
does
not
presently
intend
to
make
use
of
soft
dollars
to
acquire
third-party
research.
The
Board
considered
that
the
Adviser
is
responsible
for
decisions
to
buy
and
sell
securities
for
the
Funds,
selection
of
broker-dealers
and
best
execution,
and
aggregation
and
allocation
of
trade
orders
among
the
firm’s
various
advisory
clients.
Conclusion.
Counsel
advised
the
Board
concerning
the
statutory
and
regulatory
requirements
for
approval
and
disclosure
of
investment
management
agreements.
No
single
factor
was
determinative
to
the
decision
of
the
Board.
Based
on
the
foregoing
and
such
other
matters
as
were
deemed
relevant,
all
of
the
Board
Members,
including
all
of
the
Independent
Board
Members,
concluded
that
the
management
fee
rates
under
the
Management
Agreement
are
reasonable
in
relation
to
the
services
provided
by
the
Adviser
(including
the
Sub-Adviser,
when
applicable)
to
the
Funds,
as
well
as
the
costs
incurred
and
benefits
to
be
gained
by
the
Adviser
(including
the
Sub-Adviser,
when
applicable)
in
providing
such
services,
including
the
investment
advisory
and
administrative
components.
The
Board
also
found
the
investment
management
fees
to
be
reasonable
in
comparison
to
the
fees
charged
by
advisers
to
other
comparable
funds
of
similar
size.
As
a
result,
all
of
the
Board
Members,
including
the
Independent
Board
Members
voting
separately,
approved
the
continuation
of
the
Management
Agreement
with
respect
to
each
Fund.
The
Independent
Board
Members
were
represented
by
independent
legal
counsel
who
assisted
them
in
their
deliberations.
339
Liquidity
Risk
Management
Program
AQR
Funds
|
Semi-Annual
Report
|
June
2022
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
27,
2022,
the
Board
reviewed
AQR’s
written
report
(the
“Report”)
concerning
the
operation,
adequacy
and
effectiveness
of
the
Program
for
the
period
from
April
1,
2021
through
March
31,
2022
(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.
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
Sub-Adviser
AQR
Arbitrage,
LLC
Two
Greenwich
Plaza,
3rd
Floor
Greenwich,
CT
06830
Transfer
Agent
ALPS
Fund
Services,
Inc.
1290
Broadway,
Suite
1000
Denver,
CO
80203
Custodian
JPMorgan
Chase
Bank,
N.A.
4
Metro
Tech
Center
Brooklyn,
NY
11245
State
Street
Bank
and
Trust
Company
One
Lincoln
Street
Boston,
MA
02111
Distributor
ALPS
Distributors,
Inc.
1290
Broadway,
Suite
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.
Disclosure required in Registrant’s annual Form N-CSR filing.
 
Item 3. Audit Committee Financial Expert.
 
Disclosure required in Registrant’s annual Form N-CSR filing.
 
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
 
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
 
Item 6. Investments
(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
 
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
 
(a)  
The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
 
(b)  
There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. 
 
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
 
Not applicable.
Item 13. Exhibits.
 
(a)(1)      Not required for this filing.
(a)(2)      Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
               
Section 302
(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.
               
Section 906
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
AQR Funds
 
 
 
By: /s/ Ted Pyne
-----------------------------------
Ted Pyne,
Principal Executive Officer  
August 25, 2022
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
 
 
 
By: /s/ Ted Pyne
----------------------------------
Ted Pyne,
Principal Executive Officer
August 25, 2022
 
 
 
By: /s/ Matthew Plastina
---------------------------------
Matthew Plastina,
Principal Financial Officer
August 25, 2022