UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 4^th Floor

                            Greenwich, CT 06830

                        

(Address of principal executive offices) (Zip code)

H.J. Willcox, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza, 4^th Floor

                        Greenwich, CT 06830                            

(Name and Address of Agent for Service)

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

Date of fiscal year end:  September 30

Date of reporting period:  October 1, 2019 to September 30, 2020

Item 1. Reports to Shareholders.

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

b)A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report.

Annual

Report

September

30,

2020

AQR

Large

Cap

Multi-Style

Fund

AQR

Small

Cap

Multi-Style

Fund

AQR

International

Multi-Style

Fund

AQR

Emerging

Multi-Style

Fund

AQR

TM

Large

Cap

Multi-Style

Fund

AQR

TM

Small

Cap

Multi-Style

Fund

AQR

TM

International

Multi-Style

Fund

AQR

TM

Emerging

Multi-Style

Fund

AQR

Large

Cap

Momentum

Style

Fund

AQR

Small

Cap

Momentum

Style

Fund

AQR

International

Momentum

Style

Fund

AQR

TM

Large

Cap

Momentum

Style

Fund

AQR

TM

Small

Cap

Momentum

Style

Fund

AQR

TM

International

Momentum

Style

Fund

AQR

Large

Cap

Defensive

Style

Fund

AQR

International

Defensive

Style

Fund

AQR

Emerging

Defensive

Style

Fund

AQR

Global

Equity

Fund

AQR

International

Equity

Fund

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

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

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Table

of

Contents

Shareholder

Letters

(Unaudited)

AQR

Large

Cap

Multi-Style

Fund

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

2

AQR

Small

Cap

Multi-Style

Fund

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

4

AQR

International

Multi-Style

Fund

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

6

AQR

Emerging

Multi-Style

Fund

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

8

AQR

TM

Large

Cap

Multi-Style

Fund

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

10

AQR

TM

Small

Cap

Multi-Style

Fund

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

12

AQR

TM

International

Multi-Style

Fund

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

14

AQR

TM

Emerging

Multi-Style

Fund

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

16

AQR

Large

Cap

Momentum

Style

Fund

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

18

AQR

Small

Cap

Momentum

Style

Fund

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

20

AQR

International

Momentum

Style

Fund

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

22

AQR

TM

Large

Cap

Momentum

Style

Fund

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

24

AQR

TM

Small

Cap

Momentum

Style

Fund

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

26

AQR

TM

International

Momentum

Style

Fund

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

28

AQR

Large

Cap

Defensive

Style

Fund

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

30

AQR

International

Defensive

Style

Fund

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

32

AQR

Emerging

Defensive

Style

Fund

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

34

AQR

Global

Equity

Fund

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

36

AQR

International

Equity

Fund

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

39

Schedule

of

Investments

AQR

Large

Cap

Multi-Style

Fund

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

43

AQR

Small

Cap

Multi-Style

Fund

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

48

AQR

International

Multi-Style

Fund

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

56

AQR

Emerging

Multi-Style

Fund

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

60

AQR

TM

Large

Cap

Multi-Style

Fund

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

65

AQR

TM

Small

Cap

Multi-Style

Fund

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

70

AQR

TM

International

Multi-Style

Fund

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

78

AQR

TM

Emerging

Multi-Style

Fund

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

82

AQR

Large

Cap

Momentum

Style

Fund

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

87

AQR

Small

Cap

Momentum

Style

Fund

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

93

AQR

International

Momentum

Style

Fund

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

102

AQR

TM

Large

Cap

Momentum

Style

Fund

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

108

AQR

TM

Small

Cap

Momentum

Style

Fund

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

114

AQR

TM

International

Momentum

Style

Fund

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

124

AQR

Large

Cap

Defensive

Style

Fund

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

130

AQR

International

Defensive

Style

Fund

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

136

AQR

Emerging

Defensive

Style

Fund

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

141

AQR

Global

Equity

Fund

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

144

AQR

International

Equity

Fund

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

153

Financial

Statements

and

Notes

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

161

Report

of

Independent

Registered

Public

Accounting

Firm

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

243

Other

Federal

Tax

Information

(Unaudited)

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

244

Fund

Expense

Examples

(Unaudited)

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

246

Trustees

and

Officers

(Unaudited)

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

251

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

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

252

Liquidity

Risk

Management

Program

(Unaudited)

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

255

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

2

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Large

Cap

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

U.S.

large

and

mid-cap

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.30%

while

the

Russell

1000®

Total

Return

Index

(the

“Benchmark”)

returned

16.01%.

The

Fund’s

underperformance

was

driven

primarily

by

stock

selection

within

the

financials

(-1.8%)

and

industrials

(-1.6%)

sectors

and

was

partially

offset

by

positive

performance

within

information

technology

(0.9%).

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

information

technology

(5.8%)

and

consumer

discretionary

(3.9%),

while

the

portfolio

was

underweight

energy

(-3.5%)

and

industrials

(-3.5%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment.

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.39%,

0.65%

and

0.30%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

LARGE

CAP

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QCELX

10.30%

6.68%

9.57%

10.56%

3/26/2013

Fund

-

Class

N:

QCENX

10.07%

6.41%

9.30%

10.30%

3/26/2013

Fund

-

Class

R6:

QCERX

10.43%

6.76%

9.67%

7.76%

7/10/2014

Russell

1000®

Total

Return

Index

16.01%

12.38%

14.09%

12.95%

3/26/2013

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

3

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

LARGE

CAP

MULTI-STYLE

FUND

VS.

RUSSELL

1000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

3/26/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

SMALL

CAP

MULTI-STYLE

FUND

4

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Small

Cap

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

U.S.

small-cap

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

1.13%

while

the

Russell

2000®

Total

Return

Index

(the

“Benchmark”)

returned

0.39%.

The

Fund’s

outperformance

was

driven

primarily

by

sector

selection.

An

underweight

to

real

estate

(0.8%)

and

health

care

(0.3%)

were

the

largest

contributors.

Over

the

course

of

the

period,

the

Fund’s

largest

active

positions

included

sector

overweights

to

industrials

(4.5%)

and

information

technology

(2.3%);

the

portfolio

was

underweight

real

estate

(-3.5%)

and

utilities

(-2.0%)

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment.

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.61%,

0.87%

and

0.52%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

SMALL

CAP

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSMLX

1.13%

-0.86%

5.54%

6.91%

3/26/2013

Fund

-

Class

N:

QSMNX

0.87%

-1.09%

5.29%

6.64%

3/26/2013

Fund

-

Class

R6:

QSERX

1.22%

-0.75%

5.64%

3.89%

7/10/2014

Russell

2000®

Total

Return

Index

0.39%

1.77%

8.00%

7.81%

3/26/2013

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

5

Shareholder

Letter

(Unaudited)

AQR

SMALL

CAP

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

SMALL

CAP

MULTI-STYLE

FUND

VS.

RUSSELL

2000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

3/26/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

6

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

International

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

large

and

mid-

cap

non-U.S.

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

-0.51%

while

the

MSCI

Daily

TR

Net

World

Ex

USA

Index

(the

“Benchmark”)

returned

0.16%.

The

Fund’s

underperformance

was

driven

primarily

by

stock

selection

within

the

health

care

(-1.4%)

and

information

technology

(-1.1%)

sectors

and

was

partially

offset

by

positive

performance

within

materials

(1.0%)

and

consumer

staples

(0.6%).

Over

the

course

of

the

period,

the

Fund

's

largest

active

positions

included

sector

overweights

to

health

care

(5.4%)

and

information

technology

(3.4%);

the

portfolio

was

underweight

industrials

(-4.3%)

and

consumer

staples

(-2.5%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.62%,

0.87%

and

0.52%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

INTERNATIONAL

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QICLX

-0.51%

-0.70%

3.60%

3.11%

3/26/2013

Fund

-

Class

N:

QICNX

-0.75%

-0.96%

3.32%

2.85%

3/26/2013

Fund

-

Class

R6:

QICRX

-0.47%

-0.62%

3.69%

0.81%

7/10/2014

MSCI

Daily

TR

Net

World

Ex

USA

Index**

0.16%

0.62%

5.32%

3.94%

3/26/2013

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

7

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

INTERNATIONAL

MULTI-STYLE

FUNDVS.

MSCI

DAILY

TR

NET

WORLD

EX

USA

INDEX**

VALUE

OF

$10,000

INVESTED

ON

3/26/2013

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

Shareholder

Letter

(Unaudited)

AQR

EMERGING

MULTI-STYLE

FUND

8

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Emerging

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

large

and

midcap

emerging

countries’

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.69%

while

the

MSCI

Daily

TR

Net

Emerging

Markets

Index

(the

“Benchmark”)

returned

10.54%.

The

Fund’s

outperformance

was

driven

primarily

by

sector

selection.

An

underweight

to

financials

(1.3%)

and

energy

(0.3%)

were

the

largest

contributors.

Over

the

course

of

the

period,

the

Fund’s

largest

active

positions

included

sector

overweight

to

industrials

(3.2%)

and

consumer

discretionary

(1.0%);

the

portfolio

was

underweight

financials

(-4.4%)

and

energy

(-0.9%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.81%,

1.07%

and

0.72%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

EMERGING

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QEELX

10.69%

0.65%

6.88%

2.23%

5/13/2014

Fund

-

Class

N:

QEENX

10.51%*

0.44%

6.61%

1.99%

5/13/2014

Fund

-

Class

R6:

QECRX

10.88%

0.78%

6.99%

1.63%

7/10/2014

MSCI

Daily

TR

Net

Emerging

Markets

Index**

10.54%

2.42%

8.97%

3.38%

5/13/2014

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

9

Shareholder

Letter

(Unaudited)

AQR

EMERGING

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

EMERGING

MULTI-STYLE

FUND

VS.MSCI

DAILY

TR

NET

EMERGING

MARKETS

INDEX**

VALUE

OF

$10,000

INVESTED

ON

5/13/2014

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

*

Total

return

information

is

based

on

net

asset

values

calculated

for

shareholder

transactions.

Certain

adjustments

were

made

to

the

net

assets

of

the

Fund

at

09/30/2020

for

financial

reporting

purposes,

and

as

a

result,

the

net

asset

values

for

shareholder

transactions

and

the

total

returns

based

on

those

net

asset

values

differ

from

the

adjusted

net

asset

values

and

total

returns

for

financial

reporting.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

Shareholder

Letter

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

10

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

Large

Cap

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

U.S.

large

and

mid-cap

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

11.76%

while

the

Russell

1000®

Total

Return

Index

(the

“Benchmark”)

returned

16.01%.

The

Fund’s

underperformance

was

driven

primarily

by

stock

selection

within

the

information

technology

(-2.7%)

and

consumer

discretionary

(-1.5%)

sectors

and

was

partially

offset

by

positive

performance

within

real

estate

(0.5%).

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

consumer

staples

(3.2%)

and

health

care

(2.6%);

the

portfolio

was

underweight

energy

(-3.0%)

and

industrials

(-2.9%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.50%,

0.72%

and

0.40%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QTLLX

11.76%

7.52%

10.19%

7.84%

2/11/2015

Fund

-

Class

N:

QTLNX

11.44%

7.26%

9.91%

7.56%

2/11/2015

Fund

-

Class

R6:

QTLRX

11.84%

7.64%

10.30%

7.94%

2/11/2015

Russell

1000®

Total

Return

Index

16.01%

12.38%

14.09%

11.15%

2/11/2015

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

11

Shareholder

Letter

(Unaudited)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

VS.

RUSSELL

1000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

2/11/2015

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

12

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

Small

Cap

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

U.S.

small

cap

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

-1.34%

while

the

Russell

2000®

Total

Return

Index

(the

“Benchmark”)

returned

0.39%.

The

Fund’s

underperformance

was

driven

primarily

by

stock

selection

within

the

healthcare

(-2.1%)

and

industrials

(-1.3%)

sectors

and

was

partially

offset

by

positive

performance

within

financials

(0.9%).

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

industrials

(4.7%)

and

information

technology

(2.6%);

the

portfolio

was

underweight

real

estate

(-3.6%)

and

utilities

(-2.0%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

1.28%,

1.51%

and

1.19%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QSSLX

-1.34%

-1.74%

4.71%

2.66%

2/11/2015

Fund

-

Class

N:

QSSNX

-1.68%

-1.98%

4.44%

2.40%

2/11/2015

Fund

-

Class

R6:

QSSRX

-1.34%

-1.66%

4.81%

2.76%

2/11/2015

Russell

2000®

Total

Return

Index

0.39%

1.77%

8.00%

5.58%

2/11/2015

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

13

Shareholder

Letter

(Unaudited)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

VS.

RUSSELL

2000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

2/11/2015

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

14

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

International

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

large

and

mid-cap

non-U.S.

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

0.38%

while

the

MSCI

Daily

TR

Net

World

Ex

USA

Index

(the

“Benchmark”)

returned

0.16%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

materials

(0.9%)

and

consumer

staples

(0.7%)

sectors

and

was

partially

offset

by

negative

performance

within

health

care

(-1.4%)

and

information

technology

(-1.3%).

Over

the

course

of

the

period,

the

Fund

's

largest

active

positions

included

sector

overweights

to

the

health

care

(4.6%)

and

information

technology

(3.5%);

the

portfolio

was

underweight

industrials

(-4.1%)

and

consumer

staples

(-2.0%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.71%,

0.96%

and

0.61%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QIMLX

0.38%

-0.19%

4.07%

2.47%

2/11/2015

Fund

-

Class

N:

QIMNX

0.00

-0.46%

3.79%

2.21%

2/11/2015

Fund

-

Class

R6:

QIMRX

0.47%

-0.09%

4.16%

2.57%

2/11/2015

MSCI

Daily

TR

Net

World

Ex

USA

Index**

0.16%

0.62%

5.32%

3.28%

2/11/2015

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

15

Shareholder

Letter

(Unaudited)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

VS.

MSCI

DAILY

TR

NET

WORLD

EX

USA

INDEX**

VALUE

OF

$10,000

INVESTED

ON

2/11/2015

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

Shareholder

Letter

(Unaudited)

AQR

TM

EMERGING

MULTI-STYLE

FUND

16

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

Emerging

Multi-Style

Fund

(the

“Fund”)

invests

in

stocks

of

attractively

valued

large

and

mid-cap

emerging

countries’

companies

that

have

positive

momentum

and

strong

quality.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

rank

high

on

a

combined

score

of

Value,

Momentum

and

Quality

styles.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.94%

while

the

MSCI

Daily

TR

Net

Emerging

Markets

Index

(the

“Benchmark”)

returned

10.54%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

financials

(1.1%)

and

information

technology

(0.8%)

sectors

and

was

partially

offset

by

negative

performance

within

communication

services

(-1.7%)

and

consumer

discretionary

(-1.6%).

The

Fund’s

performance

was

negatively

impacted

by

positioning

across

5

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

industrials

(2.6%)

and

information

technology

(1.2%);

the

portfolio

was

underweight

financials

(-3.9%)

and

energy

(-0.9%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

17

Shareholder

Letter

(Unaudited)

AQR

TM

EMERGING

MULTI-STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.84%,

1.09%

and

0.74%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

TM

EMERGING

MULTI-STYLE

FUND

VS.MSCI

DAILY

TR

NET

EMERGING

MARKETS

INDEX**

VALUE

OF

$10,000

INVESTED

ON

2/11/2015

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

EMERGING

MULTI-STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QTELX

10.94%

0.38%

6.86%

2.64%

2/11/2015

Fund

-

Class

N:

QTENX

10.65%

0.08%

6.57%

2.37%

2/11/2015

Fund

-

Class

R6:

QTERX

11.03%

0.46%

6.93%

2.72%

2/11/2015

MSCI

Daily

TR

Net

Emerging

Market

Index**

10.53%

2.41%

8.96%

4.62%

2/11/2015

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

18

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Large

Cap

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

large

and

mid-cap

U.S.

companies

with

positive

momentum.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

share

the

common

characteristic

of

positive

momentum.

For

the

period

ended

September

30,

2020,

the

Fund

returned

19.52%

while

the

Russell

1000®

Total

Return

Index

(the

“Benchmark”)

returned

16.01%.

The

Fund’s

outperformance

was

driven

primarily

by

sector

selection.

An

overweight

to

information

technology

(2.4%)

and

an

underweight

to

energy

(2.0%)

sectors

were

the

largest

contributors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

the

information

technology

(8.9%)

and

real

estate

(1.4%)

sectors;

the

portfolio

was

underweight

financials

(-3.8%)

and

energy

(-2.9%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.41%,

0.66%

and

0.31%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

9/30/2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AMOMX

19.52%

14.52%

14.20%

13.45%

14.86%

7/9/2009

Fund

-

Class

N:

AMONX

19.20%

14.22%

13.91%

N/A

13.79%

12/17/2012

Fund

-

Class

R6:

QMORX

19.66%

14.64%

14.31%

N/A

11.38%

7/10/2014

Russell

1000®

Total

Return

Index

16.01%

12.38%

14.09%

13.76%

15.11%

7/9/2009

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

19

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

VS.

RUSSELL

1000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/9/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

20

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Small

Cap

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

small-cap

U.S.

companies

with

positive

momentum.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

share

the

common

characteristic

of

positive

momentum.

For

the

period

ended

September

30,

2020,

the

Fund

returned

8.89%

while

the

Russell

2000®

Total

Return

Index

(the

“Benchmark”)

returned

0.39%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

financials

(2.0%)

and

real

estate

(1.5%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

the

information

technology

(3.5%)

and

health

care

(3.0%)

sectors;

the

portfolio

was

underweight

financials

(-7.1%)

and

materials

(-1.4%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.66%,

0.91%

and

0.56%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

9/30/2020

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ASMOX

8.89%

5.23%

9.10%

11.16%

12.76%

7/9/2009

Fund

-

Class

N:

ASMNX

8.59%

4.98%

8.83%

N/A

10.26%

12/17/2012

Fund

-

Class

R6:

QSMRX

8.99%

5.35%

9.20%

N/A

6.76%

7/10/2014

Russell

2000®

Total

Return

Index

0.39%

1.77%

8.00%

9.85%

12.26%

7/9/2009

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

21

Shareholder

Letter

(Unaudited)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

VS.

RUSSELL

2000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/9/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

22

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

International

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

non-U.S.

companies

with

positive

momentum.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

share

the

common

characteristic

of

positive

momentum.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.62%

while

the

MSCI

Daily

TR

Net

World

Ex

USA

Index

(the

“Benchmark”)

returned

0.16%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

materials

(1.3%)

and

information

technology

(1.0%)

sectors,

but

it

was

partially

offset

by

negative

performance

in

consumer

discretionary

(-0.1%).

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

health

care

(6.6%)

and

information

technology

(3.6%);

the

portfolio

was

underweight

financials

(-8.2%)

and

energy

(-3.3%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.61%,

0.86%

and

0.51%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

9/30/2020

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AIMOX

10.62%

3.73%

6.37%

4.71%

6.62%

7/9/2009

Fund

-

Class

N:

AIONX

10.33%

3.46%

6.10%

N/A

4.74%

12/17/2012

Fund

-

Class

R6:

QIORX

10.68%

3.81%

6.47%

N/A

3.07%

7/10/2014

MSCI

Daily

TR

Net

World

Ex

USA

Index**

0.16%

0.62%

5.32%

4.37%

6.27%

7/9/2009

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

23

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUNDVS.

MSCI

DAILY

TR

NET

WORLD

EX

USA

INDEX**

VALUE

OF

$10,000

INVESTED

ON

7/9/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

Shareholder

Letter

(Unaudited)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

24

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

Large

Cap

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

large

and

mid-cap

U.S.

companies

with

positive

momentum.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

period

ended

September

30,

2020,

the

Fund

returned

21.37%

while

the

Russell

1000®

Total

Return

Index

(the

“Benchmark”)

returned

16.01%.

The

Fund’s

outperformance

was

driven

primarily

by

sector

selection.

An

overweight

to

information

technology

(2.6%)

and

underweight

to

energy

(2.1%)

sectors

were

the

largest

contributors.

Stock

Selection

also

aided

outperformance,

within

communication

services

(0.6%)

and

health

care

(0.6%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

information

technology

(9.3%)

and

real

estate

(1.3%);

the

portfolio

was

underweight

financials

(-5.5%)

and

energy

(-3.0%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.46%,

0.71%

and

0.36%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ATMOX

21.37%

14.90%

14.19%

14.27%

1/27/2012

Fund

-

Class

N:

ATMNX

21.09%

14.60%

13.94%

13.87%

12/17/2012

Fund

-

Class

R6:

QTMRX

21.50%

15.01%

14.31%

11.46%

7/10/2014

Russell

1000®

Total

Return

Index

16.01%

12.38%

14.09%

13.73%

1/27/2012

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

25

Shareholder

Letter

(Unaudited)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

VS.

RUSSELL

1000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

1/27/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

26

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

Small

Cap

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

small-cap

U.S.

companies

with

positive

momentum.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

period

ended

September

30,

2020,

the

Fund

returned

11.02%

while

the

Russell

2000®

Total

Return

Index

(the

“Benchmark”)

returned

0.39%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

financials

(2.1%)

and

information

technology

(1.4%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

the

health

care

(3.9%)

and

information

technology

(3.7%)

sectors;

the

portfolio

was

underweight

financials

(-7.3%)

and

materials

(-1.4%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.91%,

1.14%

and

0.81%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ATSMX

11.02%

5.78%

9.53%

10.86%

1/27/2012

Fund

-

Class

N:

ATSNX

10.74%

5.51%

9.29%

10.47%

12/17/2012

Fund

-

Class

R6:

QTSRX

11.19%

5.89%

9.66%

7.23%

7/10/2014

Russell

2000®

Total

Return

Index

0.39%

1.77%

8.00%

9.10%

1/27/2012

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

27

Shareholder

Letter

(Unaudited)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

VS.

RUSSELL

2000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

1/27/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Shareholder

Letter

(Unaudited)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

28

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

TM

International

Momentum

Style

Fund

(the

“Fund”)

invests

in

stocks

of

large

and

mid-cap

non-U.S.

companies

with

positive

momentum.

The

Fund

is

not

actively

managed

to

outperform

a

growth,

value

or

core

benchmark.

Rather,

it

seeks

to

provide

systematic

exposure

to

stocks

that

share

the

common

characteristic

of

positive

momentum.

The

Fund

employs

a

tax

management

strategy

which

considers

the

potential

impact

of

taxes

on

investment

return.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.07%

while

the

MSCI

Daily

TR

Net

World

Ex

USA

Index

(the

“Benchmark”)

returned

0.16%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

health

care

(1.0%)

and

information

technology

(0.9%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

within

the

stock

selection

strategy

included

sector

overweights

to

health

care

(7.1%)

and

information

technology

(4.3%);

the

portfolio

was

underweight

financials

(-8.3%)

and

industrials

(-2.3%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%1.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.74%,

0.99%

and

0.64%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ATIMX

10.07%

3.34%

6.06%

6.06%

1/27/2012

Fund

-

Class

N:

ATNNX

9.85%

3.10%

5.83%

4.83%

12/17/2012

Fund

-

Class

R6:

QTIRX

10.20%

3.43%

6.16%

2.77%

7/10/2014

MSCI

Daily

TR

Net

World

Ex

USA

Index**

0.16%

0.62%

5.32%

5.08%

1/27/2012

Cliff

Asness

Managing

&

Founding

Principal

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

29

Shareholder

Letter

(Unaudited)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

VS.

MSCI

DAILY

TR

NET

WORLD

EX

USA

INDEX**

VALUE

OF

$10,000

INVESTED

ON

1/27/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

30

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Large

Cap

Defensive

Style

Fund

(the

“Fund”)

pursues

a

defensive

strategy

in

the

U.S.

market,

meaning

it

seeks

to

participate

in

rising

equity

markets

while

mitigating

downside

risk

in

declining

markets.

To

achieve

this

objective,

the

Fund

invests

in

a

broadly

diversified

set

of

large/mid-cap

companies

that

we

believe

to

be

profitable,

stable,

low-risk

businesses.

The

Fund

also

favors

lower

beta

stocks,

which

tend

to

be

less

sensitive

to

fluctuations

in

the

overall

economy

and

the

stock

market.

We

expect

lower

beta

stocks

to

produce

higher

risk-adjusted

returns

than

higher

beta

stocks

over

the

long

term.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

10.21%

while

the

Russell

1000®

Total

Return

Index

(the

“Benchmark”)

returned

16.01%.

The

Fund’s

underperformance

was

driven

primarily

by

sector

selection.

An

underweight

to

information

technology

(-2.3%)

and

overweight

to

financials

(-1.2%)

sectors

were

the

largest

detractors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

consumer

staples

(8.5%)

and

utilities

(6.8%);

the

portfolio

was

underweight

information

technology

(-9.2%)

and

communication

services

(-4.4%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

31

Shareholder

Letter

(Unaudited)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.39%,

0.66%

and

0.31%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

VS.

RUSSELL

1000®

TOTAL

RETURN

INDEX

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AUEIX

10.21%

12.83%

14.14%

14.40%

7/9/2012

Fund

-

Class

N:

AUENX

9.95%

12.53%

13.85%

14.12%

7/9/2012

Fund

-

Class

R6:

QUERX

10.32%

12.93%

14.25%

13.14%

9/2/2014

Russell

1000®

Total

Return

Index

16.01%

12.38%

14.09%

14.07%

7/9/2012

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

32

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

International

Defensive

Style

Fund

(the

“Fund”)

pursues

a

defensive

strategy

in

developed

markets

outside

of

the

U.S.,

meaning

it

seeks

to

participate

in

rising

equity

markets

while

mitigating

downside

risk

in

declining

markets.

To

achieve

this

objective,

the

Fund

invests

in

a

broadly

diversified

set

of

large/mid-cap

companies

that

we

believe

to

be

profitable,

stable,

low-risk

businesses.

The

Fund

also

favors

lower

beta

stocks,

which

tend

to

be

less

sensitive

to

fluctuations

in

the

overall

economy

and

the

stock

market.

We

expect

lower

beta

stocks

to

produce

higher

risk-adjusted

returns

than

higher

beta

stocks

over

the

long

term.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

3.21%

while

the

MSCI

Daily

TR

Net

World

Ex

USA

Index

(the

“Benchmark”)

returned

0.16%.

The

Fund’s

outperformance

was

driven

primarily

by

stock

selection

within

the

energy

(2.6%)

and

consumer

staples

(0.6%)

sectors,

although

negative

performance

in

utilities

(-0.7%)

and

communication

services

(-0.7%)

detracted.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

consumer

staples

(8.2%)

and

utilities

(7.4%);

the

portfolio

was

underweight

financials

(-5.3%)

and

industrials

(-4.1%).

Notable

active

positions

also

included

a

country

overweight

to

Japan

(9.0%)

and

Canada

(1.5%)

and

an

underweight

to

the

United

Kingdom

(-5.0%)

and

Germany

(-3.8%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

33

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.64%,

0.89%

and

0.54%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

VS.MSCI

DAILY

TR

NET

WORLD

EX

USA

INDEX**

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

ANDIX

3.21%

2.17%

6.02%

5.84%

7/9/2012

Fund

-

Class

N:

ANDNX

3.04%

1.94%

5.77%

5.58%

7/9/2012

Fund

-

Class

R6:

ANDRX

3.32%

2.29%

6.13%

2.94%

9/2/2014

MSCI

Daily

TR

Net

World

Ex

USA

Index**

0.16%

0.62%

5.32%

5.97%

7/9/2012

Shareholder

Letter

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

34

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Emerging

Defensive

Style

Fund

(the

“Fund”)

pursues

a

defensive

strategy

in

emerging

markets,

meaning

it

seeks

to

participate

in

rising

equity

markets

while

mitigating

downside

risk

in

declining

markets.

To

achieve

this

objective,

the

Fund

invests

in

a

broadly

diversified

set

of

large/

midcap

companies

that

we

believe

to

be

profitable,

stable,

low-risk

businesses.

The

Fund

also

favors

lower

beta

stocks,

which

tend

to

be

less

sensitive

to

fluctuations

in

the

overall

economy

and

the

stock

market.

We

expect

lower

beta

stocks

to

produce

higher

risk-adjusted

returns

than

higher

beta

stocks

over

the

long

term.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

-2.99%

while

the

MSCI

Daily

TR

Net

Emerging

Markets

Index

(the

“Benchmark”)

returned

10.54%.

The

Fund’s

underperformance

was

driven

primarily

by

stock

selection

within

the

communication

services

(-2.9%)

and

consumer

discretionary

(-2.2%)

sectors

and

was

partially

offset

by

positive

performance

within

energy

(0.2%)

and

financials

(0.2%).

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

included

sector

overweights

to

consumer

staples

(18.0%)

and

utilities

(5.1%);

the

portfolio

was

underweight

consumer

discretionary

(-10.7%)

and

information

technology

(-7.9%).

Notable

active

positions

also

included

a

country

overweight

to

Malaysia

(4.9%)

and

Thailand

(4.7%)

and

an

underweight

to

China

(-11.2%)

and

Brazil

(-3.4%).

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Michele

Aghassi

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Lars

Nielsen

Principal

35

Shareholder

Letter

(Unaudited)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.97%,

1.22%

and

0.87%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

EMERGING

DEFENSIVE

STYLE

FUND

VS.MSCI

DAILY

TR

NET

EMERGING

MARKETS

INDEX**

VALUE

OF

$10,000

INVESTED

ON

7/9/2012

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

EMERGING

DEFENSIVE

STYLE

FUND

1

Year

3

Year

5

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AZEIX

-2.99%

-1.14%

3.15%

-0.05%

7/9/2012

Fund

-

Class

N:

AZENX

-3.17%

-1.38%

2.92%

-0.27%

7/9/2012

Fund

-

Class

R6:

AZERX

-2.90%

-1.05%

3.24%

-2.07%

9/2/2014

MSCI

Daily

TR

Net

Emerging

Markets

Index**

10.54%

2.42%

8.97%

4.24%

7/9/2012

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

EQUITY

FUND

36

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Global

Equity

Fund

(the

“Fund”)

is

actively

managed,

and

it

seeks

to

outperform

its

benchmark

in

three

ways:

by

selecting

stocks

within

each

country

and

by

using

futures

and

forwards

contracts

to

over-and

under-weight

countries

and

currencies

relative

to

the

benchmark.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

6.48%

while

the

MSCI

Daily

TR

Net

World

Index

(the

“Benchmark”)

returned

10.41%.

The

portfolio's

underperformance

was

driven

primarily

by

stock

selection

(-1.6%),

country

selection

(-1.4%),

and

currency

selection

(-0.1%).

Specifically,

within

the

stock

selection

strategy,

stock

selection

within

industries

(-5.3%)

contributed

most

to

negative

performance,

with

the

main

drivers

being

within

the

financials

(-2.0%)

and

industrials

(-1.5%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

within

the

stock

selection

strategy

included

overweights

to

the

information

technology

(5.3%)

and

health

care

(3.4%)

sectors;

the

portfolio

was

underweight

energy

(-3.1%)

and

communication

services

(-2.7%).

Utilization

of

derivative

instruments

is

inherent

to

the

Fund’s

principal

investment

strategies. 

During

the

fiscal

year

ended

September

30,

2020,

the

Fund’s

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund’s

performance

to

materially

deviate

from

AQR’s

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Lars

Nielsen

Principal

37

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.82%,

1.07%

and

0.73%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

GLOBAL

EQUITY

FUND

VS.

MSCI

DAILY

TR

NET

WORLD

INDEX**

VALUE

OF

$10,000

INVESTED

ON

12/31/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

9/30/2020

AQR

GLOBAL

EQUITY

FUND

PERFORMANCE

SINCE

COMMENCEMENT

OF

OPERATIONS

AS

A

MUTUAL

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQGIX

6.48%

2.60%

7.73%

8.56%

8.35%

12/31/2009

Fund

-

Class

N:

AQGNX

6.24%

2.29%

7.44%

8.27%

8.05%

12/31/2009

Fund

-

Class

R6:

AQGRX

6.40%

2.64%

7.81%

N/A

5.98%

1/8/2014

MSCI

Daily

TR

Net

World

Index**

10.41%

7.74%

10.48%

9.37%

8.95%

12/31/2009

38

Shareholder

Letter

(Unaudited)

AQR

GLOBAL

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.82%,

1.07%

and

0.73%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

GLOBAL

EQUITY

FUND

VS.

MSCI

DAILY

TR

NET

WORLD

INDEX**

VALUE

OF

$10,000

INVESTED

ON

6/30/2006

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

GLOBAL

EQUITY

FUND

PERFORMANCE

SINCE

INCEPTION

OF

PREDECESSOR

LIMITED

PARTNERSHIP

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:AQGIX

6.48%

2.60%

7.73%

8.56%

5.45%

6/30/2006

Fund

-

Class

N:AQGNX

6.24%

2.29%

7.44%

8.27%

5.14%

6/30/2006

Fund

-

Class

R6:AQGRX

6.40%

2.64%

7.81%

N/A

5.97

%

1/8/2014

MSCI

Daily

TR

Net

World

Index**

10.41%

7.74%

10.48%

9.37%

6.30%

6/30/2006

39

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

International

Equity

Fund

(the

“Fund”)

is

actively

managed,

and

it

seeks

to

outperform

its

benchmark

in

three

ways:

by

selecting

stocks

within

each

country

and

by

using

futures

and

forwards

contracts

to

over-and

under-weight

countries

and

currencies

relative

to

the

benchmark.

For

the

one-year

period

ended

September

30,

2020,

the

Fund

returned

0.23%

while

the

MSCI

Daily

TR

Net

EAFE

Index

(the

“Benchmark”)

returned

0.49%.

The

portfolio's

underperformance

was

driven

primarily

by

currency

selection

(-1.4%)

but

was

partially

offset

by

stock

selection

(1.2%)

and

country

selection

(0.7%).

Specifically,

within

the

stock

selection

strategy,

stock

selection

within

industries

(-2.0%)

contributed

most

to

negative

performance,

with

the

main

drivers

being

within

the

industrials

(-1.6%)

and

health

care

(-0.9%)

sectors.

Over

the

course

of

the

period,

the

Fund's

largest

active

positions

within

the

stock

selection

strategy

included

overweights

to

the

information

technology

(5.4%)

and

health

care

(4.4%)

sectors;

the

portfolio

was

underweight

financials

(-5.6%)

and

consumer

staples

(-2.5%).

Utilization

of

derivative

instruments

is

inherent

to

the

Fund’s

principal

investment

strategies. 

During

the

fiscal

year

ended

September

30,

2020,

the

Fund’s

use

of

derivative

instruments

in

accordance

with

its

principal

investment

strategies

did

not

cause

the

Fund’s

performance

to

materially

deviate

from

AQR’s

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period.

The

global

COVID-19

crisis

had

a

material

impact

on

global

equity

markets

during

the

first

quarter

of

2020

and

continues

to

do

so

in

many

respects

to

date.

In

February

and

March,

the

MSCI

ACWI

Index

(net

total

return,

USD)

lost

as

much

as

31.1%,

while

the

S&P

500

Index

lost

as

much

as

-30.4%

1

.

The

VIX

index

which

measures

expected

volatility

of

the

S&P

500

index

reached

a

10-year

high

of

more

than

82

(from

a

prior

level

of

approximately

18

on

January

31).

From

February

through

April,

a

series

of

global

market

interventions

occurred,

which

included

government

stimulus

programs,

restrictions

on

stock

shorting,

delays

of

some

financial

reporting,

and

others.

As

of

September

30,

2020,

many

countries

in

both

developed

and

emerging

markets

have

continued

to

maintain

travel

and

business

restrictions,

as

the

COVID-19

pandemic

continues

to

impact

the

global

economy.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

equity

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and

where

applicable

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

equity

portfolio

management

process

that

considers

moderate

position-level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

Our

experience

during

the

recent

COVID-19

environment,

as

with

other

past

volatile

and

uncertain

periods,

is

that

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

active

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

COVID-19

pandemic

remains

a

potential

factor

within

the

global

equity

market

environment. 

1

Index

returns

calculated

from

Jan

31,

2020

–

March

23,

2020

which

was

the

lowest

point

during

the

first

quarter.

Cliff

Asness

Managing

&

Founding

Principal

John

Liew

Founding

Principal

Andrea

Frazzini

Principal

Ronen

Israel

Principal

Michael

Katz

Principal

Lars

Nielsen

Principal

40

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.89%,

1.06%

and

0.81%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

INTERNATIONAL

EQUITY

FUND

VS.

MSCI

DAILY

TR

NET

EAFE

INDEX**

VALUE

OF

$10,000

INVESTED

ON

9/29/2009

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

9/30/2020

AQR

INTERNATIONAL

EQUITY

FUND

PERFORMANCE

SINCE

COMMENCEMENT

OF

OPERATIONS

AS

A

MUTUAL

FUND

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

AQIIX

0.23%

-2.67%

3.87%

4.30%

4.33%

9/29/2009

Fund

-

Class

N:

AQINX

-0.12%

-2.90%

3.62%

3.99%

4.05%

9/29/2009

Fund

-

Class

R6:

AQIRX

0.34%

-2.61%

3.96%

N/A

1.55%

1/8/2014

MSCI

Daily

TR

Net

EAFE

Index**

0.49%

0.62%

5.26%

4.62%

4.49%

9/29/2009

41

Shareholder

Letter

(Unaudited)

AQR

INTERNATIONAL

EQUITY

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.89%,

1.06%

and

0.81%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

INTERNATIONAL

EQUITY

FUND

VS.

MSCI

DAILY

TR

NET

EAFE

INDEX**

VALUE

OF

$10,000

INVESTED

ON

7/31/2004

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

**

MSCI

makes

no

express

or

implied

warranties

or

representations

and

shall

have

no

liability

whatsoever

with

respect

to

any

MSCI

data

contained

herein.

The

MSCI

data

may

not

be

further

redistributed

or

used

as

a

basis

for

other

indices

or

any

securities

or

financial

products.

This

report

is

not

approved,

reviewed,

or

produced

by

MSCI.

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

INTERNATIONAL

EQUITY

FUND

PERFORMANCE

SINCE

INCEPTION

OF

PREDECESSOR

LIMITED

PARTNERSHIP

1

Year

3

Year

5

Year

10

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:AQIIX

0.23%

-2.67%

3.87%

4.30%

4.88%

7/31/2004

Fund

-

Class

N:AQINX

-0.12%

-2.90%

3.62%

3.99%

4.57%

7/31/2004

Fund

-

Class

R6:AQIRX

0.34%

-2.61%

3.96%

N/A

1.55%

1/8/2014

MSCI

Daily

TR

Net

EAFE

Index**

0.49

%

0.62%

5.26%

4.62%

5.13%

7/31/2004

42

Shareholder

Letter

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

DEFINITIONS:

The

MSCI

Daily

TR

Ne

t

EAFE

Index

:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

excluding

the

United

States

and

Canada.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

The

MSCI

Daily

TR

Net

Emerging

Markets

Index

:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

23

global

emerging

markets.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

The

MSCI

D

aily

TR

Net

World

Ex

USA

Index

:

captures

large

and

mid

cap

securities

exhibiting

overall

growth

style

characteristics

across

22

Developed

Markets

countries

and

23

Emerging

Markets

countries.

The

growth

investment

style

characteristics

for

index

construction

are

defined

using

five

variables:

long-term

forward

EPS

growth

rate,

short-term

forward

EPS

growth

rate,

current

internal

growth

rate

and

long-term

historical

EPS

growth

trend

and

long-term

historical

sales

per

share

growth

trend.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

The

MSCI

Daily

TR

Net

World

Index

:

is

a

free

float-adjusted

market

capitalization

index

that

is

designed

to

measure

the

performance

of

equities

in

developed

markets,

including

the

United

States

and

Canada.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

The

Russell

1000®

Total

Return

Index

:

measures

the

performance

of

the

large

and

mid-cap

segment

of

the

U.S.

equity

universe.

It

is

a

subset

of

the

Russell

3000

®

Index

and

includes

approximately

1,000

of

the

largest

securities

based

on

a

combination

of

their

market

cap

and

current

index

membership.

The

Russell

1000

®

Index

Total

Return

represents

approximately

90%

of

the

U.S.

market.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

The

Russell

2000®

Total

Return

Index

:

measures

the

performance

of

the

small-cap

segment

of

the

U.S.

equity

universe.

The

Russell

2000

®

Total

Return

Index

is

a

subset

of

the

Russell

3000

®

Index

representing

approximately

8%

of

the

total

market

capitalization

of

that

index.

It

includes

approximately

2,000

of

the

smallest

securities

based

on

a

combination

of

their

market

cap

and

current

index

membership.

Indexes

are

unmanaged

and

one

cannot

invest

directly

in

an

index.

43

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.4%

Aerospace

&

Defense

-

0.8%

Curtiss-Wright

Corp.

7,807

728,081

Howmet

Aerospace,

Inc.

95,226

1,592,179

Huntington

Ingalls

Industries,

Inc.

27,433

3,861,195

Lockheed

Martin

Corp.

906

347,251

Northrop

Grumman

Corp.

6,230

1,965,503

8,494,209

Automobiles

-

1.5%

General

Motors

Co.

92,464

2,736,010

Tesla,

Inc.

*

26,565

11,396,651

Thor

Industries,

Inc.

26,206

2,496,383

16,629,044

Banks

-

1.3%

Associated

Banc-Corp.

63,107

796,410

Citizens

Financial

Group,

Inc.

62,934

1,590,972

First

Citizens

BancShares

,

Inc.,

Class

A

3,515

1,120,512

FNB

Corp.

44,140

299,269

JPMorgan

Chase

&

Co.

35,250

3,393,517

People's

United

Financial,

Inc.

30,355

312,960

Popular,

Inc.

171,636

6,225,238

13,738,878

Beverages

-

1.0%

Coca-Cola

Co.

(The)

9,629

475,384

Monster

Beverage

Corp.

*

14,156

1,135,311

PepsiCo,

Inc.

65,155

9,030,483

10,641,178

Biotechnology

-

5.0%

AbbVie,

Inc.

141,558

12,399,065

Alexion

Pharmaceuticals,

Inc.

*

51,761

5,923,011

Amgen,

Inc.

26,282

6,679,833

Biogen,

Inc.

*

42,053

11,929,595

Exelixis

,

Inc.

*

249,666

6,104,334

Gilead

Sciences,

Inc.

52,445

3,314,000

Immunomedics

,

Inc.

*

7,965

677,264

Regeneron

Pharmaceuticals,

Inc.

*

2,073

1,160,424

United

Therapeutics

Corp.

*

58,787

5,937,487

54,125,013

Building

Products

-

0.4%

A

O

Smith

Corp.

11,403

602,078

Fortune

Brands

Home

&

Security,

Inc.

22,068

1,909,323

Masco

Corp.

11,990

661,009

Owens

Corning

18,591

1,279,247

4,451,657

Capital

Markets

-

1.8%

Ameriprise

Financial,

Inc.

68,358

10,534,651

Bank

of

New

York

Mellon

Corp.

(The)

26,481

909,358

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

1.8%

(continued)

LPL

Financial

Holdings,

Inc.

8,078

619,340

Morgan

Stanley

87,246

4,218,344

MSCI,

Inc.

1,673

596,893

State

Street

Corp.

43,183

2,562,048

19,440,634

Chemicals

-

0.9%

Cabot

Corp.

19,696

709,647

DuPont

de

Nemours,

Inc.

32,826

1,821,186

Eastman

Chemical

Co.

25,871

2,021,043

Huntsman

Corp.

32,620

724,490

LyondellBasell

Industries

NV,

Class

A

61,329

4,323,081

9,599,447

Commercial

Services

&

Supplies

-

0.9%

ADT,

Inc.

160,063

1,307,715

Cintas

Corp.

4,797

1,596,585

Copart

,

Inc.

*

18,962

1,994,044

Waste

Management,

Inc.

40,790

4,616,204

9,514,548

Communications

Equipment

-

0.1%

Ciena

Corp.

*

25,366

1,006,776

Lumentum

Holdings,

Inc.

*

4,374

328,619

1,335,395

Construction

&

Engineering

-

0.2%

Quanta

Services,

Inc.

50,244

2,655,898

Consumer

Finance

-

0.2%

OneMain

Holdings,

Inc.

9,666

302,063

SLM

Corp.

252,716

2,044,472

2,346,535

Distributors

-

0.1%

LKQ

Corp.

*

30,523

846,403

Diversified

Consumer

Services

-

0.2%

frontdoor

,

Inc.

*

15,479

602,288

Graham

Holdings

Co.,

Class

B

3,238

1,308,508

1,910,796

Diversified

Financial

Services

-

1.3%

Berkshire

Hathaway,

Inc.,

Class

B

*

67,597

14,394,105

Diversified

Telecommunication

Services

-

1.4%

AT&T,

Inc.

236,594

6,745,295

Verizon

Communications,

Inc.

139,009

8,269,645

15,014,940

Electric

Utilities

-

0.9%

Exelon

Corp.

63,584

2,273,764

NRG

Energy,

Inc.

243,207

7,476,183

9,749,947

44

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Electrical

Equipment

-

0.4%

Acuity

Brands,

Inc.

(a)

14,584

1,492,672

GrafTech

International

Ltd.

74,677

510,791

Hubbell,

Inc.

3,602

492,898

Regal

Beloit

Corp.

16,017

1,503,516

3,999,877

Electronic

Equipment,

Instruments

&

Components

-

2.6%

Arrow

Electronics,

Inc.

*

68,481

5,386,716

Avnet,

Inc.

17,927

463,234

CDW

Corp.

17,982

2,149,388

Jabil,

Inc.

238,690

8,177,519

SYNNEX

Corp.

85,542

11,981,013

28,157,870

Entertainment

-

0.6%

Electronic

Arts,

Inc.

*

47,747

6,226,686

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

Brixmor

Property

Group,

Inc.

54,745

639,969

CoreSite

Realty

Corp.

5,297

629,707

SBA

Communications

Corp.

4,505

1,434,753

2,704,429

Food

&

Staples

Retailing

-

2.5%

Costco

Wholesale

Corp.

13,321

4,728,955

Kroger

Co.

(The)

218,594

7,412,522

Sprouts

Farmers

Market,

Inc.

*

212,054

4,438,290

Walgreens

Boots

Alliance,

Inc.

56,955

2,045,824

Walmart,

Inc.

63,845

8,932,554

27,558,145

Food

Products

-

1.5%

Flowers

Foods,

Inc.

17,814

433,415

General

Mills,

Inc.

64,908

4,003,525

Ingredion,

Inc.

5,161

390,585

J

M

Smucker

Co.

(The)

28,546

3,297,634

Pilgrim's

Pride

Corp.

*

176,401

2,639,841

Tyson

Foods,

Inc.,

Class

A

94,938

5,646,912

16,411,912

Health

Care

Equipment

&

Supplies

-

1.5%

Baxter

International,

Inc.

29,950

2,408,579

Danaher

Corp.

30,770

6,625,704

Medtronic

plc

42,776

4,445,282

Quidel

Corp.

*

12,068

2,647,478

16,127,043

Health

Care

Providers

&

Services

-

3.7%

AmerisourceBergen

Corp.

22,417

2,172,656

Anthem,

Inc.

31,598

8,486,907

Cigna

Corp.

9,942

1,684,274

CVS

Health

Corp.

105,572

6,165,405

Humana,

Inc.

32,397

13,408,794

McKesson

Corp.

6,870

1,023,149

Molina

Healthcare,

Inc.

*

33,365

6,107,130

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

3.7%

(continued)

UnitedHealth

Group,

Inc.

1,671

520,968

Universal

Health

Services,

Inc.,

Class

B

12,065

1,291,196

40,860,479

Health

Care

Technology

-

0.6%

Teladoc

Health,

Inc.

*(a)

10,650

2,334,906

Veeva

Systems,

Inc.,

Class

A

*

16,716

4,700,372

7,035,278

Hotels,

Restaurants

&

Leisure

-

1.1%

Aramark

78,705

2,081,747

Darden

Restaurants,

Inc.

15,720

1,583,633

Domino's

Pizza,

Inc.

7,354

3,127,509

Extended

Stay

America,

Inc.

135,578

1,620,157

McDonald's

Corp.

9,460

2,076,375

MGM

Resorts

International

63,060

1,371,555

Yum!

Brands,

Inc.

5,389

492,016

12,352,992

Household

Durables

-

2.4%

DR

Horton,

Inc.

59,712

4,516,019

Lennar

Corp.,

Class

A

67,355

5,501,556

Mohawk

Industries,

Inc.

*

18,428

1,798,389

NVR,

Inc.

*

626

2,556,033

PulteGroup,

Inc.

158,422

7,333,354

Whirlpool

Corp.

23,708

4,359,664

26,065,015

Household

Products

-

2.9%

Clorox

Co.

(The)

39,892

8,384,102

Kimberly-Clark

Corp.

63,620

9,394,129

Procter

&

Gamble

Co.

(The)

103,953

14,448,427

32,226,658

Independent

Power

and

Renewable

Electricity

Producers

-

0.1%

Vistra

Corp.

45,975

867,089

Industrial

Conglomerates

-

0.2%

Carlisle

Cos.,

Inc.

17,094

2,091,793

Insurance

-

2.8%

Allstate

Corp.

(The)

126,373

11,896,754

Assurant,

Inc.

23,344

2,831,861

Assured

Guaranty

Ltd.

26,349

565,977

Everest

Re

Group

Ltd.

34,299

6,775,425

First

American

Financial

Corp.

93,165

4,743,030

MetLife,

Inc.

40,830

1,517,651

Old

Republic

International

Corp.

67,783

999,121

Progressive

Corp.

(The)

18,793

1,779,133

31,108,952

Interactive

Media

&

Services

-

4.9%

Alphabet,

Inc.,

Class

A

*

11,133

16,316,525

Alphabet,

Inc.,

Class

C

*

9,873

14,509,361

Facebook,

Inc.,

Class

A

*

82,082

21,497,276

45

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Interactive

Media

&

Services

-

4.9%

(continued)

IAC/InterActiveCorp

*

4,504

539,489

Match

Group,

Inc.

*

9,750

1,078,837

53,941,488

Internet

&

Direct

Marketing

Retail

-

3.7%

Amazon.com,

Inc.

*

11,386

35,851,440

Booking

Holdings,

Inc.

*

175

299,369

eBay,

Inc.

45,654

2,378,573

Qurate

Retail,

Inc.,

Series

A

172,469

1,238,328

Wayfair,

Inc.,

Class

A

*

2,214

644,296

40,412,006

IT

Services

-

4.3%

Accenture

plc,

Class

A

16,917

3,823,073

Akamai

Technologies,

Inc.

*

64,146

7,090,699

Alliance

Data

Systems

Corp.

76,562

3,214,073

Amdocs

Ltd.

26,270

1,508,161

Booz

Allen

Hamilton

Holding

Corp.

52,405

4,348,567

CACI

International,

Inc.,

Class

A

*

19,257

4,104,822

Cognizant

Technology

Solutions

Corp.,

Class

A

70,491

4,893,485

DXC

Technology

Co.

13,629

243,278

International

Business

Machines

Corp.

65,474

7,966,221

Leidos

Holdings,

Inc.

28,042

2,499,944

VeriSign,

Inc.

*

23,064

4,724,660

Visa,

Inc.,

Class

A

11,761

2,351,847

46,768,830

Life

Sciences

Tools

&

Services

-

1.9%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

1,671

861,334

Charles

River

Laboratories

International,

Inc.

*

43,906

9,942,514

PRA

Health

Sciences,

Inc.

*

7,115

721,746

Syneos

Health,

Inc.

*

29,534

1,570,027

Thermo

Fisher

Scientific,

Inc.

16,533

7,299,650

20,395,271

Machinery

-

2.0%

AGCO

Corp.

10,746

798,105

Colfax

Corp.

*

31,286

981,129

Cummins,

Inc.

23,927

5,052,425

ITT,

Inc.

15,872

937,242

Oshkosh

Corp.

110,041

8,088,014

PACCAR,

Inc.

25,935

2,211,737

Snap-on,

Inc.

3,493

513,925

Timken

Co.

(The)

63,584

3,447,524

22,030,101

Media

-

1.1%

Comcast

Corp.,

Class

A

176,855

8,181,312

DISH

Network

Corp.,

Class

A

*

46,567

1,351,840

Interpublic

Group

of

Cos.,

Inc.

(The)

94,449

1,574,465

INVESTMENTS

SHARES

VALUE

($)

Media

-

1.1%

(continued)

Omnicom

Group,

Inc.

11,987

593,357

11,700,974

Multiline

Retail

-

1.5%

Dollar

General

Corp.

22,985

4,818,115

Target

Corp.

72,228

11,370,132

16,188,247

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Pioneer

Natural

Resources

Co.

10,426

896,532

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

9,763

2,130,775

Nu

Skin

Enterprises,

Inc.,

Class

A

10,808

541,372

2,672,147

Pharmaceuticals

-

5.9%

Bristol-Myers

Squibb

Co.

112,687

6,793,899

Eli

Lilly

and

Co.

4,214

623,756

Horizon

Therapeutics

plc

*

61,567

4,782,524

Jazz

Pharmaceuticals

plc

*

50,128

7,147,751

Johnson

&

Johnson

121,101

18,029,517

Merck

&

Co.,

Inc.

174,948

14,511,937

Mylan

NV

*(a)

291,026

4,315,916

Pfizer,

Inc.

225,241

8,266,345

64,471,645

Professional

Services

-

0.9%

FTI

Consulting,

Inc.

*

5,590

592,372

ManpowerGroup

,

Inc.

81,384

5,967,889

Robert

Half

International,

Inc.

70,168

3,714,694

10,274,955

Road

&

Rail

-

0.2%

AMERCO

1,585

564,229

Schneider

National,

Inc.,

Class

B

48,925

1,209,915

1,774,144

Semiconductors

&

Semiconductor

Equipment

-

4.9%

Applied

Materials,

Inc.

104,833

6,232,322

Cirrus

Logic,

Inc.

*

23,293

1,571,113

Intel

Corp.

259,710

13,447,784

Lam

Research

Corp.

21,258

7,052,342

Micron

Technology,

Inc.

*

109,138

5,125,120

MKS

Instruments,

Inc.

14,613

1,596,178

NVIDIA

Corp.

5,376

2,909,599

Qorvo

,

Inc.

*

30,809

3,974,669

QUALCOMM,

Inc.

17,268

2,032,098

Skyworks

Solutions,

Inc.

29,492

4,291,086

Teradyne,

Inc.

46,845

3,722,304

Texas

Instruments,

Inc.

14,365

2,051,178

54,005,793

46

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Software

-

8.1%

Adobe,

Inc.

*

13,221

6,483,975

ANSYS,

Inc.

*

3,850

1,259,836

Cadence

Design

Systems,

Inc.

*

45,180

4,817,543

CDK

Global,

Inc.

7,899

344,317

Citrix

Systems,

Inc.

11,689

1,609,692

Intuit,

Inc.

10,213

3,331,583

Manhattan

Associates,

Inc.

*

11,467

1,094,984

Microsoft

Corp.

234,201

49,259,496

NortonLifeLock

,

Inc.

188,986

3,938,468

Oracle

Corp.

172,246

10,283,086

SS&C

Technologies

Holdings,

Inc.

20,015

1,211,308

Teradata

Corp.

*

42,300

960,210

Trade

Desk,

Inc.

(The),

Class

A

*

1,747

906,309

VMware,

Inc.,

Class

A

*(a)

6,694

961,727

Zoom

Video

Communications,

Inc.,

Class

A

*

5,541

2,604,880

89,067,414

Specialty

Retail

-

4.1%

AutoNation,

Inc.

*

136,196

7,208,854

Best

Buy

Co.,

Inc.

84,824

9,440,063

Dick's

Sporting

Goods,

Inc.

93,218

5,395,458

Foot

Locker,

Inc.

103,197

3,408,597

Home

Depot,

Inc.

(The)

18,277

5,075,706

Lowe's

Cos.,

Inc.

19,059

3,161,126

Penske

Automotive

Group,

Inc.

38,873

1,852,687

TJX

Cos.,

Inc.

(The)

5,456

303,626

Tractor

Supply

Co.

10,154

1,455,474

Williams-Sonoma,

Inc.

79,170

7,160,135

44,461,726

Technology

Hardware,

Storage

&

Peripherals

-

6.5%

Apple,

Inc.

551,998

63,926,888

HP,

Inc.

143,257

2,720,450

Xerox

Holdings

Corp.

225,859

4,239,374

70,886,712

Textiles,

Apparel

&

Luxury

Goods

-

1.3%

Carter's,

Inc.

24,883

2,154,370

Hanesbrands,

Inc.

139,201

2,192,416

Lululemon

Athletica,

Inc.

*

8,609

2,835,546

NIKE,

Inc.,

Class

B

8,855

1,111,657

Ralph

Lauren

Corp.

18,438

1,253,231

Skechers

USA,

Inc.,

Class

A

*

152,478

4,607,885

14,155,105

Thrifts

&

Mortgage

Finance

-

0.0%

(b)

MGIC

Investment

Corp.

51,692

457,991

Tobacco

-

0.6%

Altria

Group,

Inc.

65,947

2,548,192

Philip

Morris

International,

Inc.

51,595

3,869,109

6,417,301

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

1.0%

Air

Lease

Corp.

71,346

2,098,999

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

38,920

2,462,858

United

Rentals,

Inc.

*

23,405

4,084,172

Watsco

,

Inc.

8,645

2,013,334

10,659,363

Transportation

Infrastructure

-

0.0%

(b)

Macquarie

Infrastructure

Corp.

14,016

376,890

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.

*

12,754

1,458,547

TOTAL

COMMON

STOCKS

(Cost

$765,432,465)

1,032,156,027

PREFERRED

STOCKS

-

0.1%

Internet

&

Direct

Marketing

Retail

-

0.1%

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$375,955)

3,832

377,452

SHORT-TERM

INVESTMENTS

-

4.9%

INVESTMENT

COMPANIES

-

4.9%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)

(Cost

$53,482,342)

53,485,206

53,474,509

SECURITIES

LENDING

COLLATERAL

-

0.3%

Investment

Companies

-

0.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(d)

481,996

481,996

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)

3,139,925

3,139,296

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$3,621,920)

3,621,292

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.7%

(Cost

$822,912,682)

1,089,629,280

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.3%

(e)

3,552,569

NET

ASSETS

-

100.0%

1,093,181,849

47

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

88,342,636

8.1

%

Consumer

Discretionary

173,398,786

15.9

Consumer

Staples

95,927,342

8.8

Energy

896,532

0.1

Financials

81,487,095

7.4

Health

Care

203,014,728

18.6

Industrials

76,323,435

7.0

Information

Technology

290,222,014

26.5

Materials

9,599,447

0.9

Real

Estate

2,704,429

0.2

Utilities

10,617,035

1.0

Short-Term

Investments

53,474,509

4.9

Securities

Lending

Collateral

3,621,292

0.3

Total

Investments

In

Securities

At

Value

1,089,629,280

99.7

Other

Assets

in

Excess

of

Liabilities

(e

)

3,552,569

0.3

Net

Assets

$

1,093,181,849

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$3,546,819.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

317

12/2020

USD

$

53,129,200

$

421,982

$

421,982

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

4,052,022

$

4,052,022

48

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.6%

Aerospace

&

Defense

-

1.0%

AAR

Corp.

7,997

150,344

Aerojet

Rocketdyne

Holdings,

Inc.

*(a)

3,202

127,728

Astronics

Corp.

*

18,582

143,453

Maxar

Technologies,

Inc.

(a)

12,777

318,658

Vectrus

,

Inc.

*

45,371

1,724,098

2,464,281

Air

Freight

&

Logistics

-

0.3%

Atlas

Air

Worldwide

Holdings,

Inc.

*

3,300

200,970

Hub

Group,

Inc.,

Class

A

*

10,728

538,492

739,462

Airlines

-

0.1%

Allegiant

Travel

Co.

(a)

2,163

259,127

Auto

Components

-

0.5%

Adient

plc

*

4,919

85,246

Dana,

Inc.

32,846

404,663

LCI

Industries

6,028

640,716

Tenneco,

Inc.,

Class

A

*

13,685

94,974

XPEL,

Inc.

*(b)

5,261

137,207

1,362,806

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

(a)

4,116

212,674

Banks

-

4.2%

1st

Source

Corp.

5,129

158,178

BancFirst

Corp.

4,584

187,211

Bancorp,

Inc.

(The)

*

46,964

405,769

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

7,323

163,156

Cathay

General

Bancorp

21,900

474,792

Columbia

Banking

System,

Inc.

16,902

403,113

Customers

Bancorp,

Inc.

*

23,067

258,350

Dime

Community

Bancshares,

Inc.

5,000

56,550

First

Bancorp/PR

62,670

327,137

First

Interstate

BancSystem

,

Inc.,

Class

A

20,632

657,129

First

Merchants

Corp.

4,446

102,969

Fulton

Financial

Corp.

27,451

256,118

Glacier

Bancorp,

Inc.

3,078

98,650

Great

Southern

Bancorp,

Inc.

15,666

567,423

Hancock

Whitney

Corp.

6,984

131,369

Heartland

Financial

USA,

Inc.

21,735

651,941

Hilltop

Holdings,

Inc.

60,041

1,235,644

Home

BancShares

,

Inc.

30,077

455,967

International

Bancshares

Corp.

48,162

1,255,102

Investors

Bancorp,

Inc.

23,725

172,244

Midland

States

Bancorp,

Inc.

6,609

84,926

MidWestOne

Financial

Group,

Inc.

3,770

67,370

NBT

Bancorp,

Inc.

13,137

352,334

OFG

Bancorp

46,879

584,112

Old

National

Bancorp

17,437

219,009

INVESTMENTS

SHARES

VALUE

($)

Banks

-

4.2%

(continued)

Pacific

Premier

Bancorp,

Inc.

9,911

199,608

Preferred

Bank

4,596

147,624

ServisFirst

Bancshares,

Inc.

4,842

164,773

South

State

Corp.

10,523

506,682

Stock

Yards

Bancorp,

Inc.

5,469

186,165

United

Community

Banks,

Inc.

11,455

193,933

10,725,348

Beverages

-

0.4%

Celsius

Holdings,

Inc.

*

7,328

166,419

Coca-Cola

Consolidated,

Inc.

1,908

459,218

National

Beverage

Corp.

*(a)

1,704

115,889

Primo

Water

Corp.

22,021

312,698

1,054,224

Biotechnology

-

8.5%

Adverum

Biotechnologies,

Inc.

*

10,426

107,388

Affimed

NV

(Germany)

*

21,853

74,082

Akebia

Therapeutics,

Inc.

*

16,765

42,080

Allakos

,

Inc.

*(a)

1,633

133,008

Allogene

Therapeutics,

Inc.

*

5,652

213,137

Amicus

Therapeutics,

Inc.

*

39,018

550,934

Anika

Therapeutics,

Inc.

*

26,806

948,664

Applied

Therapeutics,

Inc.

*

5,243

108,845

Arcus

Biosciences,

Inc.

*

7,893

135,286

Ardelyx

,

Inc.

*

17,915

94,054

Arena

Pharmaceuticals,

Inc.

*

7,409

554,119

Arrowhead

Pharmaceuticals,

Inc.

*

16,774

722,288

BioCryst

Pharmaceuticals,

Inc.

*(a)

24,809

85,219

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

4,952

321,929

BioSpecifics

Technologies

Corp.

*

26,319

1,390,433

Blueprint

Medicines

Corp.

*

5,248

486,490

Bridgebio

Pharma,

Inc.

*(a)

5,073

190,339

Catalyst

Pharmaceuticals,

Inc.

*

175,275

520,567

ChemoCentryx

,

Inc.

*

6,322

346,446

Coherus

Biosciences,

Inc.

*(a)

8,800

161,392

Constellation

Pharmaceuticals,

Inc.

*

7,606

154,098

Cue

Biopharma,

Inc.

*

6,408

96,440

Deciphera

Pharmaceuticals,

Inc.

*

2,599

133,329

Denali

Therapeutics,

Inc.

*

3,574

128,056

Dicerna

Pharmaceuticals,

Inc.

*

10,916

196,379

Eagle

Pharmaceuticals,

Inc.

*

19,214

816,211

Emergent

BioSolutions

,

Inc.

*

12,419

1,283,255

Enanta

Pharmaceuticals,

Inc.

*

7,983

365,462

Epizyme

,

Inc.

*

6,135

73,190

Fate

Therapeutics,

Inc.

*

4,401

175,908

Flexion

Therapeutics,

Inc.

*(a)

8,673

90,286

Halozyme

Therapeutics,

Inc.

*

20,783

546,177

ImmunoGen

,

Inc.

*

46,934

168,962

Inovio

Pharmaceuticals,

Inc.

*(a)

15,178

176,065

Insmed

,

Inc.

*

15,152

486,985

Intercept

Pharmaceuticals,

Inc.

*

6,817

282,633

Invitae

Corp.

*(a)

5,198

225,333

49

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

8.5%

(continued)

Ironwood

Pharmaceuticals,

Inc.

*

17,609

158,393

Jounce

Therapeutics,

Inc.

*

84,070

686,011

Karuna

Therapeutics,

Inc.

*

2,099

162,295

Karyopharm

Therapeutics,

Inc.

*(a)

19,533

285,182

Kodiak

Sciences,

Inc.

*(a)

5,815

344,306

Lexicon

Pharmaceuticals,

Inc.

*

118,563

170,731

Ligand

Pharmaceuticals,

Inc.

*(a)

7,310

696,789

Mersana

Therapeutics,

Inc.

*

6,390

118,982

Mirati

Therapeutics,

Inc.

*

2,123

352,524

Momenta

Pharmaceuticals,

Inc.

*

12,033

631,492

Myriad

Genetics,

Inc.

*

22,802

297,338

Natera

,

Inc.

*

15,391

1,111,846

Novavax

,

Inc.

*

7,629

826,602

PDL

BioPharma

,

Inc.

*

154,113

485,456

PTC

Therapeutics,

Inc.

*

6,425

300,369

Selecta

Biosciences,

Inc.

*(a)

47,665

118,209

Sorrento

Therapeutics,

Inc.

*(a)

15,446

172,223

TG

Therapeutics,

Inc.

*

14,316

383,096

Translate

Bio,

Inc.

*

6,161

83,851

Turning

Point

Therapeutics,

Inc.

*

1,509

131,826

Ultragenyx

Pharmaceutical,

Inc.

*

4,919

404,293

Veracyte

,

Inc.

*

8,246

267,912

Vericel

Corp.

*

16,468

305,152

Vir

Biotechnology,

Inc.

*

7,236

248,412

XBiotech

,

Inc.

*(a)

6,426

122,672

Xencor

,

Inc.

*

9,840

381,694

21,833,125

Building

Products

-

3.5%

Alpha

Pro

Tech

Ltd.

*

37,709

557,339

American

Woodmark

Corp.

*

4,515

354,608

Apogee

Enterprises,

Inc.

3,475

74,261

Builders

FirstSource

,

Inc.

*

96,014

3,131,977

Griffon

Corp.

16,551

323,407

Insteel

Industries,

Inc.

6,416

119,979

Masonite

International

Corp.

*

812

79,901

Patrick

Industries,

Inc.

17,495

1,006,312

UFP

Industries,

Inc.

59,708

3,374,099

9,021,883

Capital

Markets

-

2.1%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

48,974

1,909,496

Cohen

&

Steers,

Inc.

11,743

654,555

Cowen,

Inc.,

Class

A

7,547

122,790

Federated

Hermes,

Inc.,

Class

B

3,409

73,327

Stifel

Financial

Corp.

24,989

1,263,444

StoneX

Group,

Inc.

*

3,655

186,990

Virtus

Investment

Partners,

Inc.

4,163

577,200

Waddell

&

Reed

Financial,

Inc.,

Class

A

48,371

718,309

5,506,111

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

0.8%

Koppers

Holdings,

Inc.

*

31,203

652,455

Stepan

Co.

12,241

1,334,269

Tredegar

Corp.

4,988

74,171

2,060,895

Commercial

Services

&

Supplies

-

2.2%

ABM

Industries,

Inc.

10,317

378,221

ACCO

Brands

Corp.

101,135

586,583

Advanced

Disposal

Services,

Inc.

*

9,373

283,346

Cimpress

plc

(Ireland)

*(a)

4,149

311,839

Ennis,

Inc.

49,251

858,938

Herman

Miller,

Inc.

28,496

859,439

Kimball

International,

Inc.,

Class

B

57,861

609,855

Knoll,

Inc.

5,902

71,178

McGrath

RentCorp

2,041

121,623

Quad/Graphics,

Inc.

27,132

82,210

Steelcase,

Inc.,

Class

A

99,538

1,006,329

UniFirst

Corp.

2,267

429,302

5,598,863

Communications

Equipment

-

0.6%

Acacia

Communications,

Inc.

*

5,650

380,810

Calix,

Inc.

*

10,416

185,196

Comtech

Telecommunications

Corp.

28,953

405,342

Digi

International,

Inc.

*

10,760

168,179

Inseego

Corp.

*(a)

10,950

113,004

NETGEAR,

Inc.

*

5,302

163,408

NetScout

Systems,

Inc.

*

5,290

115,481

Plantronics,

Inc.

(a)

6,638

78,594

1,610,014

Construction

&

Engineering

-

2.2%

API

Group

Corp.

*(c)

18,318

260,665

Arcosa

,

Inc.

29,161

1,285,709

EMCOR

Group,

Inc.

13,676

926,002

Great

Lakes

Dredge

&

Dock

Corp.

*

125,655

1,194,979

MasTec

,

Inc.

*

3,897

164,453

MYR

Group,

Inc.

*

39,592

1,472,031

Sterling

Construction

Co.,

Inc.

*

9,984

141,373

Tutor

Perini

Corp.

*(a)

25,387

282,557

5,727,769

Construction

Materials

-

0.2%

Summit

Materials,

Inc.,

Class

A

*

15,567

257,478

US

Concrete,

Inc.

*

5,720

166,109

423,587

Consumer

Finance

-

0.1%

Curo

Group

Holdings

Corp.

15,391

108,507

Encore

Capital

Group,

Inc.

*

3,689

142,358

250,865

50

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Distributors

-

0.1%

Core-Mark

Holding

Co.,

Inc.

6,192

179,135

Diversified

Consumer

Services

-

1.2%

American

Public

Education,

Inc.

*

39,830

1,122,808

Collectors

Universe,

Inc.

20,205

999,945

Houghton

Mifflin

Harcourt

Co.

*

49,877

86,287

Laureate

Education,

Inc.,

Class

A

*

18,652

247,699

Perdoceo

Education

Corp.

*

17,579

215,167

Select

Interior

Concepts,

Inc.,

Class

A

*

29,318

202,294

Universal

Technical

Institute,

Inc.

*

32,644

165,831

WW

International,

Inc.

*

4,156

78,424

3,118,455

Diversified

Financial

Services

-

0.1%

Cannae

Holdings,

Inc.

*

10,309

384,113

Diversified

Telecommunication

Services

-

0.7%

Bandwidth,

Inc.,

Class

A

*

1,924

335,873

Cogent

Communications

Holdings,

Inc.

13,303

798,845

Consolidated

Communications

Holdings,

Inc.

*

108,808

619,117

Vonage

Holdings

Corp.

*

7,917

80,991

1,834,826

Electric

Utilities

-

0.3%

Portland

General

Electric

Co.

25,331

899,250

Electrical

Equipment

-

1.2%

Atkore

International

Group,

Inc.

*

58,383

1,327,046

Encore

Wire

Corp.

20,786

964,886

FuelCell

Energy,

Inc.

*(a)

28,728

61,478

Orion

Energy

Systems,

Inc.

*

42,958

325,192

Plug

Power,

Inc.

*(a)

16,527

221,627

Powell

Industries,

Inc.

2,842

68,577

2,968,806

Electronic

Equipment,

Instruments

&

Components

-

2.9%

Benchmark

Electronics,

Inc.

14,843

299,086

Coda

Octopus

Group,

Inc.

*(a)

10,769

59,553

ePlus

,

Inc.

*

7,832

573,302

Fabrinet

(Thailand)

*

8,530

537,646

Fitbit,

Inc.,

Class

A

*

36,420

253,483

Insight

Enterprises,

Inc.

*

27,519

1,557,025

Methode

Electronics,

Inc.

39,850

1,135,725

PC

Connection,

Inc.

26,030

1,068,792

Sanmina

Corp.

*

74,532

2,016,091

7,500,703

Energy

Equipment

&

Services

-

0.2%

Nabors

Industries

Ltd.

3,332

81,434

ProPetro

Holding

Corp.

*

82,367

334,410

415,844

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

4.4%

Acadia

Realty

Trust

7,538

79,149

Agree

Realty

Corp.

2,000

127,280

American

Assets

Trust,

Inc.

4,706

113,368

American

Finance

Trust,

Inc.

45,583

285,805

Bluerock

Residential

Growth

REIT,

Inc.

33,088

250,807

Columbia

Property

Trust,

Inc.

11,147

121,614

CoreCivic

,

Inc.

17,642

141,136

DiamondRock

Hospitality

Co.

52,121

264,254

Easterly

Government

Properties,

Inc.

18,390

412,120

EastGroup

Properties,

Inc.

4,452

575,777

Essential

Properties

Realty

Trust,

Inc.

6,796

124,503

Front

Yard

Residential

Corp.

15,286

133,600

GEO

Group,

Inc.

(The)

15,393

174,557

Healthcare

Realty

Trust,

Inc.

15,364

462,764

Hersha

Hospitality

Trust

29,720

164,649

Independence

Realty

Trust,

Inc.

31,738

367,843

Industrial

Logistics

Properties

Trust

4,209

92,051

Innovative

Industrial

Properties,

Inc.

1,757

218,061

iStar

,

Inc.

23,226

274,299

Kite

Realty

Group

Trust

18,572

215,064

Lexington

Realty

Trust

91,143

952,444

Mack-Cali

Realty

Corp.

12,875

162,483

National

Health

Investors,

Inc.

3,508

211,427

National

Storage

Affiliates

Trust

4,666

152,625

New

Senior

Investment

Group,

Inc.

50,559

202,236

NexPoint

Residential

Trust,

Inc.

3,827

169,727

Office

Properties

Income

Trust

17,723

367,221

Physicians

Realty

Trust

26,411

473,021

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

35,948

487,814

PS

Business

Parks,

Inc.

826

101,094

QTS

Realty

Trust,

Inc.,

Class

A

9,368

590,371

Retail

Opportunity

Investments

Corp.

9,939

103,515

Retail

Properties

of

America,

Inc.,

Class

A

19,137

111,186

RPT

Realty

37,644

204,783

Ryman

Hospitality

Properties,

Inc.

1,933

71,134

Sabra

Health

Care

REIT,

Inc.

38,539

531,260

Service

Properties

Trust

24,684

196,238

Sunstone

Hotel

Investors,

Inc.

15,909

126,317

Uniti

Group,

Inc.

47,881

504,426

Universal

Health

Realty

Income

Trust

5,634

321,082

Urban

Edge

Properties

39,485

383,794

Urstadt

Biddle

Properties,

Inc.,

Class

A

9,225

84,870

Whitestone

REIT

17,338

104,028

Xenia

Hotels

&

Resorts,

Inc.

16,406

144,045

11,355,842

51

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Food

&

Staples

Retailing

-

1.4%

BJ's

Wholesale

Club

Holdings,

Inc.

*

17,744

737,263

Ingles

Markets,

Inc.,

Class

A

37,346

1,420,642

Performance

Food

Group

Co.

*

17,586

608,828

Rite

Aid

Corp.

*(a)

29,143

276,567

SpartanNash

Co.

6,106

99,833

United

Natural

Foods,

Inc.

*(a)

20,714

308,017

Weis

Markets,

Inc.

2,447

117,456

3,568,606

Food

Products

-

1.4%

B&G

Foods,

Inc.

10,521

292,168

Darling

Ingredients,

Inc.

*

7,051

254,048

Fresh

Del

Monte

Produce,

Inc.

32,138

736,603

John

B

Sanfilippo

&

Son,

Inc.

27,195

2,049,959

Seneca

Foods

Corp.,

Class

A

*

7,569

270,440

3,603,218

Health

Care

Equipment

&

Supplies

-

2.4%

Cantel

Medical

Corp.

1,813

79,663

Co-Diagnostics,

Inc.

*(a)

9,362

127,230

CONMED

Corp.

1,495

117,612

Electromed

,

Inc.

*(a)

9,958

103,663

Integer

Holdings

Corp.

*

9,625

567,971

Invacare

Corp.

88,406

664,813

iRhythm

Technologies,

Inc.

*(a)

3,052

726,712

Lantheus

Holdings,

Inc.

*

48,182

610,466

LeMaitre

Vascular,

Inc.

6,732

218,992

LivaNova

plc

*

2,635

119,128

Meridian

Bioscience,

Inc.

*

7,776

132,036

Neogen

Corp.

*

2,837

221,995

Nevro

Corp.

*

5,282

735,783

NuVasive

,

Inc.

*

5,243

254,652

Repro-Med

Systems,

Inc.

*

18,928

136,660

Retractable

Technologies,

Inc.

*

15,049

100,226

Utah

Medical

Products,

Inc.

1,148

91,691

Wright

Medical

Group

NV

*

35,274

1,077,268

Zynex

,

Inc.

*(a)

12,784

223,081

6,309,642

Health

Care

Providers

&

Services

-

4.2%

AMN

Healthcare

Services,

Inc.

*

9,482

554,318

Brookdale

Senior

Living,

Inc.

*

62,399

158,493

Community

Health

Systems,

Inc.

*

53,300

224,926

CorVel

Corp.

*

15,729

1,343,729

Ensign

Group,

Inc.

(The)

12,647

721,638

Joint

Corp.

(The)

*(a)

27,588

479,755

LHC

Group,

Inc.

*

2,175

462,318

Magellan

Health,

Inc.

*

19,220

1,456,492

National

Research

Corp.

16,721

822,840

Owens

&

Minor,

Inc.

63,546

1,595,640

Patterson

Cos.,

Inc.

28,558

688,391

Select

Medical

Holdings

Corp.

*

30,189

628,535

Tenet

Healthcare

Corp.

*

20,575

504,293

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

4.2%

(continued)

Triple-S

Management

Corp.,

Class

B

*(a)

66,521

1,188,730

10,830,098

Health

Care

Technology

-

1.0%

HMS

Holdings

Corp.

*

3,179

76,137

iCAD

,

Inc.

*

8,700

76,647

Inovalon

Holdings,

Inc.,

Class

A

*

7,273

192,371

NantHealth

,

Inc.

*(a)

49,945

116,871

NextGen

Healthcare,

Inc.

*

23,779

302,945

Omnicell

,

Inc.

*

20,435

1,525,677

Simulations

Plus,

Inc.

5,461

411,541

2,702,189

Hotels,

Restaurants

&

Leisure

-

2.8%

Biglari

Holdings,

Inc.,

Class

B

*

4,117

366,454

BJ's

Restaurants,

Inc.

4,304

126,710

Boyd

Gaming

Corp.

(a)

7,724

237,050

Brinker

International,

Inc.

13,790

589,109

Caesars

Entertainment,

Inc.

*(a)

9,845

551,911

Cheesecake

Factory,

Inc.

(The)

(a)

9,057

251,241

Churchill

Downs,

Inc.

1,636

268,009

Dave

&

Buster's

Entertainment,

Inc.

(a)

13,827

209,617

Dine

Brands

Global,

Inc.

5,605

305,977

Fiesta

Restaurant

Group,

Inc.

*

25,981

243,442

International

Game

Technology

plc

14,159

157,590

Jack

in

the

Box,

Inc.

2,704

214,454

Marriott

Vacations

Worldwide

Corp.

9,160

831,820

Papa

John's

International,

Inc.

5,639

463,977

Penn

National

Gaming,

Inc.

*(a)

11,119

808,351

RCI

Hospitality

Holdings,

Inc.

9,344

190,618

Texas

Roadhouse,

Inc.

11,307

687,352

Wingstop

,

Inc.

4,657

636,379

7,140,061

Household

Durables

-

4.3%

Beazer

Homes

USA,

Inc.

*

14,441

190,621

Century

Communities,

Inc.

*(a)

4,434

187,691

Green

Brick

Partners,

Inc.

*

4,941

79,550

Helen

of

Troy

Ltd.

*

783

151,526

Hooker

Furniture

Corp.

5,444

140,619

KB

Home

14,917

572,664

La-Z-Boy,

Inc.

25,088

793,533

M/I

Homes,

Inc.

*

36,078

1,661,392

MDC

Holdings,

Inc.

21,610

1,017,831

Meritage

Homes

Corp.

*

27,209

3,003,602

Purple

Innovation,

Inc.

*

25,118

624,433

Taylor

Morrison

Home

Corp.

*

17,693

435,071

TopBuild

Corp.

*

8,198

1,399,317

TRI

Pointe

Group,

Inc.

*

20,802

377,348

Universal

Electronics,

Inc.

*

11,114

419,442

11,054,640

52

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Household

Products

-

0.2%

WD-40

Co.

2,726

516,059

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Brookfield

Renewable

Corp.

9,157

536,600

Clearway

Energy,

Inc.,

Class

C

11,394

307,182

Ormat

Technologies,

Inc.

(a)

5,415

320,081

1,163,863

Insurance

-

2.4%

eHealth,

Inc.

*

5,556

438,924

Employers

Holdings,

Inc.

67,076

2,029,049

Genworth

Financial,

Inc.,

Class

A

*

69,098

231,478

Heritage

Insurance

Holdings,

Inc.

27,428

277,571

Kinsale

Capital

Group,

Inc.

5,341

1,015,751

National

General

Holdings

Corp.

8,918

300,983

National

Western

Life

Group,

Inc.,

Class

A

4,258

778,235

Selective

Insurance

Group,

Inc.

5,391

277,583

Stewart

Information

Services

Corp.

2,829

123,712

Trupanion

,

Inc.

*(a)

1,507

118,902

Universal

Insurance

Holdings,

Inc.

51,095

707,155

6,299,343

Internet

&

Direct

Marketing

Retail

-

1.3%

1-800-Flowers.com,

Inc.,

Class

A

*

34,445

859,058

CarParts.com,

Inc.

*(a)

24,678

266,769

Duluth

Holdings,

Inc.,

Class

B

*

8,673

105,984

Groupon,

Inc.

*

10,765

219,606

Lands'

End,

Inc.

*

13,717

178,733

Magnite

,

Inc.

*(a)

15,176

105,397

PetMed

Express,

Inc.

(a)

12,761

403,503

Stamps.com,

Inc.

*

5,172

1,246,194

3,385,244

IT

Services

-

2.7%

Cardtronics

plc,

Class

A

*

15,966

316,127

CSG

Systems

International,

Inc.

6,565

268,837

EVERTEC,

Inc.

8,366

290,384

Hackett

Group,

Inc.

(The)

13,309

148,795

KBR,

Inc.

56,282

1,258,465

MAXIMUS,

Inc.

9,041

618,495

NIC,

Inc.

8,554

168,514

Perficient

,

Inc.

*

12,894

551,090

Perspecta

,

Inc.

39,892

775,899

Sykes

Enterprises,

Inc.

*

55,681

1,904,847

TTEC

Holdings,

Inc.

5,759

314,153

Unisys

Corp.

*(a)

23,926

255,290

6,870,896

Leisure

Products

-

2.2%

Acushnet

Holdings

Corp.

25,698

863,710

Callaway

Golf

Co.

(a)

4,727

90,475

Johnson

Outdoors,

Inc.,

Class

A

17,918

1,467,305

Malibu

Boats,

Inc.,

Class

A

*

14,608

723,972

MasterCraft

Boat

Holdings,

Inc.

*

12,120

211,979

INVESTMENTS

SHARES

VALUE

($)

Leisure

Products

-

2.2%

(continued)

Nautilus,

Inc.

*

60,004

1,029,669

Smith

&

Wesson

Brands,

Inc.

7,292

113,172

Sturm

Ruger

&

Co.,

Inc.

1,037

63,423

Vista

Outdoor,

Inc.

*

41,428

836,017

YETI

Holdings,

Inc.

*

8,476

384,132

5,783,854

Life

Sciences

Tools

&

Services

-

1.3%

Fluidigm

Corp.

*

19,312

143,488

Medpace

Holdings,

Inc.

*

17,329

1,936,516

NeoGenomics

,

Inc.

*(a)

35,195

1,298,343

3,378,347

Machinery

-

1.7%

Columbus

McKinnon

Corp.

19,705

652,236

Commercial

Vehicle

Group,

Inc.

*

84,203

549,846

Federal

Signal

Corp.

2,937

85,907

Meritor,

Inc.

*

50,782

1,063,375

Miller

Industries,

Inc.

12,079

369,255

Mueller

Industries,

Inc.

44,181

1,195,538

Wabash

National

Corp.

39,218

469,047

4,385,204

Marine

-

0.1%

Costamare

,

Inc.

(Monaco)

21,980

133,419

Media

-

0.0%

(d)

Entercom

Communications

Corp.,

Class

A

52,621

84,720

Metals

&

Mining

-

1.4%

Arconic

Corp.

*

20,758

395,440

Commercial

Metals

Co.

83,756

1,673,445

Ryerson

Holding

Corp.

*

63,706

365,035

Schnitzer

Steel

Industries,

Inc.,

Class

A

10,350

199,031

Warrior

Met

Coal,

Inc.

64,211

1,096,724

3,729,675

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

Apollo

Commercial

Real

Estate

Finance,

Inc.

37,071

334,010

Blackstone

Mortgage

Trust,

Inc.,

Class

A

21,249

466,840

Chimera

Investment

Corp.

29,313

240,366

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

9,180

388,039

PennyMac

Mortgage

Investment

Trust

24,184

388,637

1,817,892

Multiline

Retail

-

0.2%

Big

Lots,

Inc.

(a)

5,741

256,049

Macy's,

Inc.

(a)

48,986

279,220

535,269

53

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

0.7%

Bonanza

Creek

Energy,

Inc.

*

9,767

183,620

CNX

Resources

Corp.

*

8,542

80,636

Diamond

S

Shipping,

Inc.

*

16,532

113,575

Montage

Resources

Corp.

*

19,651

86,268

Penn

Virginia

Corp.

*(a)

22,908

225,644

Renewable

Energy

Group,

Inc.

*

18,719

999,969

World

Fuel

Services

Corp.

5,891

124,830

1,814,542

Paper

&

Forest

Products

-

1.3%

Boise

Cascade

Co.

60,871

2,429,970

Clearwater

Paper

Corp.

*

12,407

470,722

Schweitzer-Mauduit

International,

Inc.

2,919

88,708

Verso

Corp.,

Class

A

43,923

346,553

3,335,953

Personal

Products

-

0.5%

Edgewell

Personal

Care

Co.

*

13,228

368,797

elf

Beauty,

Inc.

*

4,350

79,909

Lifevantage

Corp.

*

11,843

142,945

Medifast

,

Inc.

2,060

338,767

USANA

Health

Sciences,

Inc.

*

3,762

277,071

1,207,489

Pharmaceuticals

-

1.3%

Arvinas

,

Inc.

*(a)

3,627

85,633

Axsome

Therapeutics,

Inc.

*

2,172

154,755

Collegium

Pharmaceutical,

Inc.

*

7,467

155,463

Corcept

Therapeutics,

Inc.

*(a)

70,667

1,229,959

Durect

Corp.

*(a)

91,423

156,333

Endo

International

plc

*

67,589

223,044

Evofem

Biosciences,

Inc.

*(a)

30,616

72,254

Innoviva

,

Inc.

*

11,123

116,235

Kala

Pharmaceuticals,

Inc.

*(a)

10,720

80,400

Lannett

Co.,

Inc.

*(a)

57,645

352,211

Mallinckrodt

plc

*(a)

111,921

108,933

MyoKardia

,

Inc.

*

4,281

583,629

Prestige

Consumer

Healthcare,

Inc.

*

2,241

81,617

3,400,466

Professional

Services

-

2.1%

Barrett

Business

Services,

Inc.

14,517

761,272

Heidrick

&

Struggles

International,

Inc.

31,073

610,584

Kelly

Services,

Inc.,

Class

A

93,232

1,588,673

Kforce

,

Inc.

60,852

1,957,609

Mastech

Digital,

Inc.

*

5,389

97,056

Resources

Connection,

Inc.

8,378

96,766

TrueBlue

,

Inc.

*

27,355

423,729

5,535,689

INVESTMENTS

SHARES

VALUE

($)

Real

Estate

Management

&

Development

-

0.2%

eXp

World

Holdings,

Inc.

*

4,758

191,938

Realogy

Holdings

Corp.

*

6,771

63,918

Redfin

Corp.

*

5,824

290,792

546,648

Road

&

Rail

-

0.5%

ArcBest

Corp.

34,455

1,070,172

Avis

Budget

Group,

Inc.

*

9,341

245,855

1,316,027

Semiconductors

&

Semiconductor

Equipment

-

4.4%

Amkor

Technology,

Inc.

*

200,864

2,249,677

Diodes,

Inc.

*

27,586

1,557,230

FormFactor

,

Inc.

*

50,396

1,256,372

Ichor

Holdings

Ltd.

*

23,075

497,728

Lattice

Semiconductor

Corp.

*

30,545

884,583

NeoPhotonics

Corp.

*

41,767

254,361

Onto

Innovation,

Inc.

*

7,936

236,334

Photronics

,

Inc.

*

111,241

1,107,960

Power

Integrations,

Inc.

16,956

939,362

SMART

Global

Holdings,

Inc.

*(a)

27,132

741,789

Synaptics

,

Inc.

*

7,711

620,119

Ultra

Clean

Holdings,

Inc.

*

46,281

993,190

11,338,705

Software

-

2.8%

American

Software,

Inc.,

Class

A

10,831

152,067

Appfolio

,

Inc.,

Class

A

*

2,253

319,498

Avaya

Holdings

Corp.

*

38,611

586,887

Blackline,

Inc.

*

2,407

215,739

Box,

Inc.,

Class

A

*

8,108

140,755

Cerence

,

Inc.

*(a)

3,625

177,154

Cloudera,

Inc.

*(a)

31,359

341,500

Digital

Turbine,

Inc.

*

37,829

1,238,521

Domo,

Inc.,

Class

B

*

2,419

92,720

Ebix

,

Inc.

(a)

9,977

205,526

Intelligent

Systems

Corp.

*(a)

14,675

572,031

J2

Global,

Inc.

*

11,927

825,587

Mitek

Systems,

Inc.

*

5,648

71,956

Progress

Software

Corp.

27,590

1,012,001

Q2

Holdings,

Inc.

*

1,074

98,013

Qualys

,

Inc.

*

3,015

295,500

SecureWorks

Corp.,

Class

A

*(a)

18,026

205,316

Smith

Micro

Software,

Inc.

*(a)

33,640

125,477

SPS

Commerce,

Inc.

*

2,663

207,368

Telenav

,

Inc.

*

3,891

14,008

Xperi

Holding

Corp.

8,228

94,540

Zix

Corp.

*

19,484

113,787

7,105,951

Specialty

Retail

-

3.6%

Asbury

Automotive

Group,

Inc.

*

5,280

514,536

Bed

Bath

&

Beyond,

Inc.

(a)

11,798

176,734

Cato

Corp.

(The),

Class

A

27,475

214,855

54

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

3.6%

(continued)

Citi

Trends,

Inc.

23,372

583,833

GameStop

Corp.,

Class

A

*(a)

41,906

427,441

Genesco,

Inc.

*

4,091

88,120

Group

1

Automotive,

Inc.

13,706

1,211,473

Hibbett

Sports,

Inc.

*(a)

32,515

1,275,238

Lithia

Motors,

Inc.,

Class

A

2,668

608,144

MarineMax

,

Inc.

*

8,386

215,269

Murphy

USA,

Inc.

*

3,875

497,046

ODP

Corp.

(The)

19,270

374,802

RH

*(a)

893

341,680

Sally

Beauty

Holdings,

Inc.

*

47,758

415,017

Shoe

Carnival,

Inc.

11,797

396,143

Signet

Jewelers

Ltd.

(a)

20,759

388,193

Sleep

Number

Corp.

*

7,284

356,260

Sonic

Automotive,

Inc.,

Class

A

16,515

663,242

Sportsman's

Warehouse

Holdings,

Inc.

*(a)

5,615

80,351

Zumiez

,

Inc.

*

18,885

525,381

9,353,758

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

Avid

Technology,

Inc.

*

46,486

397,920

Textiles,

Apparel

&

Luxury

Goods

-

0.3%

Crocs,

Inc.

*

2,016

86,144

Deckers

Outdoor

Corp.

*

1,461

321,434

G-III

Apparel

Group

Ltd.

*(a)

18,479

242,260

Kontoor

Brands,

Inc.

7,876

190,599

840,437

Thrifts

&

Mortgage

Finance

-

2.7%

Essent

Group

Ltd.

4,024

148,928

Flagstar

Bancorp,

Inc.

34,284

1,015,835

HomeStreet

,

Inc.

4,290

110,511

Meta

Financial

Group,

Inc.

5,501

105,729

Mr

Cooper

Group,

Inc.

*

84,723

1,891,017

PennyMac

Financial

Services,

Inc.

22,175

1,288,811

Radian

Group,

Inc.

69,448

1,014,635

Walker

&

Dunlop,

Inc.

24,996

1,324,788

6,900,254

Tobacco

-

0.5%

Turning

Point

Brands,

Inc.

39,198

1,093,624

Vector

Group

Ltd.

17,971

174,139

1,267,763

Trading

Companies

&

Distributors

-

2.1%

BMC

Stock

Holdings,

Inc.

*

45,681

1,956,517

CAI

International,

Inc.

25,955

714,541

GMS,

Inc.

*

68,932

1,661,261

H&E

Equipment

Services,

Inc.

3,853

75,750

Rush

Enterprises,

Inc.,

Class

A

8,382

423,627

Textainer

Group

Holdings

Ltd.

(China)

*

6,494

91,955

Veritiv

Corp.

*

33,042

418,312

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

2.1%

(continued)

WESCO

International,

Inc.

*

1,657

72,941

5,414,904

Water

Utilities

-

0.2%

American

States

Water

Co.

6,978

523,001

Consolidated

Water

Co.

Ltd.

11,477

119,476

642,477

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

8,023

356,502

TOTAL

COMMON

STOCKS

(Cost

$211,706,297)

241,575,732

PREFERRED

STOCKS

-

0.1%

Diversified

Telecommunication

Services

-

0.0%

(d)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039

(e)

2,727

76,356

Trading

Companies

&

Distributors

-

0.1%

WESCO

International,

Inc.,

Series

A,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

10.33%),

10.63%,

6/22/2025

(e)(f)

2,752

77,056

TOTAL

PREFERRED

STOCKS

(Cost

$97,964)

153,412

SHORT-TERM

INVESTMENTS

-

5.6%

INVESTMENT

COMPANIES

-

5.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(g)

(Cost

$14,586,928)

14,588,741

14,585,823

SECURITIES

LENDING

COLLATERAL

-

4.5%

Investment

Companies

-

4.5%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(g)(h)

1,529,939

1,529,939

Limited

Purpose

Cash

Investment

Fund

0.12%

(g)(h)

9,966,677

9,964,684

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$11,496,616)

11,494,623

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.8%

(Cost

$237,887,805)

267,809,590

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.8)%

(

i

)

(9,822,117)

NET

ASSETS

-

100.0%

257,987,473

55

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,352,404

0.9

%

Consumer

Discretionary

42,966,332

16.7

Consumer

Staples

11,217,359

4.3

Energy

2,230,386

0.9

Financials

31,883,927

12.4

Health

Care

48,453,868

18.8

Industrials

43,642,489

16.9

Information

Technology

34,824,189

13.5

Materials

9,550,110

3.7

Real

Estate

11,902,490

4.6

Utilities

2,705,590

1.0

Short-Term

Investments

14,585,823

5.6

Securities

Lending

Collateral

11,494,623

4.5

Total

Investments

In

Securities

At

Value

267,809,590

103.8

Liabilities

in

Excess

of

Other

Assets

(

i

)

(9,822,117)

(3.8)

Net

Assets

$

257,987,473

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$12,685,946.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$137,207

or

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

September

30,

2020

amounted

to

$260,665,

which

represents

approximately

0.10%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

September

30,

2020.

The

maturity

date

reflects

the

next

call

date.

(f)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

September

30,

2020.

(g)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$1,563,476

was

received.

(i)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

176

12/2020

USD

$

13,238,720

$

(94,315)

$

(94,315)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,194,243

$

1,194,243

56

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.5%

Australia

-

5.3%

Afterpay

Ltd.

*

18,675

1,100,791

Aurizon

Holdings

Ltd.

213,773

657,645

BHP

Group

Ltd.

43,604

1,126,449

BHP

Group

plc

23,383

498,857

BlueScope

Steel

Ltd.

138,430

1,275,468

Crown

Resorts

Ltd.

66,795

424,312

Dexus

,

REIT

104,929

672,062

Fortescue

Metals

Group

Ltd.

270,815

3,181,542

Goodman

Group,

REIT

41,832

541,617

GPT

Group

(The),

REIT

196,673

553,280

REA

Group

Ltd.

2,439

194,215

Rio

Tinto

Ltd.

5,989

409,057

Rio

Tinto

plc

19,982

1,202,366

Scentre

Group,

REIT

235,569

375,061

South32

Ltd.

536,817

796,667

13,009,389

—

Belgium

-

1.1%

Ageas

SA/NV

13,707

560,878

Colruyt

SA

*

10,125

657,078

Galapagos

NV

*

8,119

1,151,031

Proximus

SADP

15,530

283,314

UCB

SA

1,365

155,028

2,807,329

—

Canada

-

9.4%

Bank

of

Montreal

(1)

1,692

98,911

Bank

of

Nova

Scotia

(The)

(1)

4,734

196,677

Canadian

Imperial

Bank

of

Commerce

(1)

10,450

781,111

Canadian

Pacific

Railway

Ltd.

(1)

6,206

1,887,830

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

20,115

2,026,078

CCL

Industries,

Inc.,

Class

B

(1)

7,415

285,897

CGI,

Inc.

(1)*

38,292

2,599,100

CI

Financial

Corp.

(1)

113,429

1,438,786

Constellation

Software,

Inc.

(1)

1,879

2,087,961

Great-West

Lifeco

,

Inc.

(1)

3,723

72,752

iA

Financial

Corp.,

Inc.

(1)

6,029

209,864

IGM

Financial,

Inc.

(1)

3,599

82,518

Keyera

Corp.

(1)

4,612

69,619

Kinross

Gold

Corp.

(1)*

155,391

1,371,217

Kirkland

Lake

Gold

Ltd.

(1)

4,362

212,932

Magna

International,

Inc.

(1)

12,015

549,791

National

Bank

of

Canada

(1)

2,789

138,534

Open

Text

Corp.

(1)(a)

43,564

1,841,299

Pan

American

Silver

Corp.

(1)

29,802

958,149

Power

Corp.

of

Canada

(1)

5,259

103,043

Quebecor,

Inc.,

Class

B

(1)

6,582

164,655

Royal

Bank

of

Canada

(1)

6,961

488,742

Shopify,

Inc.,

Class

A

(1)*(a)

2,575

2,633,287

Teck

Resources

Ltd.,

Class

B

(1)

133,546

1,859,444

Toronto-Dominion

Bank

(The)

(1)

2,839

131,444

Yamana

Gold,

Inc.

(1)

87,238

495,957

22,785,598

—

Chile

-

0.1%

Lundin

Mining

Corp.

(1)

33,880

189,049

INVESTMENTS

SHARES

VALUE

($)

China

-

1.0%

BOC

Hong

Kong

Holdings

Ltd.

182,500

483,805

Prosus

NV

*

1,781

164,391

Yangzijiang

Shipbuilding

Holdings

Ltd.

2,543,300

1,857,845

2,506,041

—

Denmark

-

3.0%

Coloplast

A/S,

Class

B

6,391

1,012,904

DSV

Panalpina

A/S

3,360

545,003

Genmab

A/S

*

2,867

1,040,450

Novo

Nordisk

A/S,

Class

B

39,968

2,769,166

Pandora

A/S

28,820

2,079,011

7,446,534

—

Finland

-

1.8%

Kone

OYJ,

Class

B

16,351

1,435,675

Neste

OYJ

20,045

1,055,564

Nokia

OYJ

*

82,749

323,868

Orion

OYJ,

Class

B

37,639

1,705,297

4,520,404

—

France

-

8.9%

Alstom

SA

*

3,000

149,859

Arkema

SA

6,090

645,688

Atos

SE

*

27,378

2,199,991

AXA

SA

34,080

630,752

BioMerieux

1,336

209,124

BNP

Paribas

SA

*

32,972

1,192,747

Capgemini

SE

810

103,919

Carrefour

SA

108,719

1,737,231

Cie

de

Saint-Gobain

*

31,746

1,329,750

Cie

Generale

des

Etablissements

Michelin

SCA

2,784

298,856

CNP

Assurances

*

11,516

144,425

Electricite

de

France

SA

141,048

1,489,955

Ingenico

Group

SA

*

755

116,974

Ipsen

SA

5,933

620,199

L'Oreal

SA

4,673

1,520,730

Orange

SA

102,285

1,065,355

Peugeot

SA

*

150,042

2,720,932

Publicis

Groupe

SA

22,857

736,680

Sanofi

32,154

3,222,213

Schneider

Electric

SE

6,120

760,709

Sodexo

SA

2,274

162,099

TOTAL

SE

12,995

446,282

Ubisoft

Entertainment

SA

*

1,292

116,445

Vivendi

SA

5,310

148,302

21,769,217

—

Germany

-

7.7%

Allianz

SE

(Registered)

4,447

853,512

Bayer

AG

(Registered)

53,243

3,284,759

Brenntag

AG

16,778

1,066,777

Delivery

Hero

SE

*(b)

6,163

707,138

Deutsche

Boerse

AG

3,492

612,219

Deutsche

Post

AG

(Registered)

15,376

697,695

Deutsche

Wohnen

SE

5,340

266,889

Evonik

Industries

AG

2,808

72,640

Fresenius

Medical

Care

AG

&

Co.

KGaA

12,373

1,045,973

57

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Germany

-

7.7%

(continued)

Fresenius

SE

&

Co.

KGaA

9,490

431,551

GEA

Group

AG

14,027

491,481

HOCHTIEF

AG

2,837

220,235

Infineon

Technologies

AG

(a)

61,850

1,743,292

KION

Group

AG

2,975

254,033

Knorr-

Bremse

AG

2,590

305,002

METRO

AG

6,874

68,457

Nemetschek

SE

953

69,656

SAP

SE

14,212

2,213,067

Siemens

AG

(Registered)

7,118

898,926

Siemens

Energy

AG

(1)*

3,559

95,973

Siemens

Healthineers

AG

(b)

3,605

161,823

Vonovia

SE

7,526

515,930

Zalando

SE

*(b)

31,725

2,964,064

19,041,092

—

Hong

Kong

-

3.0%

CK

Asset

Holdings

Ltd.

266,500

1,309,510

CLP

Holdings

Ltd.

99,500

929,057

Hong

Kong

Exchanges

&

Clearing

Ltd.

19,000

894,396

Kerry

Properties

Ltd.

114,000

293,190

Link,

REIT

26,000

213,054

New

World

Development

Co.

Ltd.

49,750

242,865

Pacific

Century

Premium

Developments

Ltd.

*

29,052

7,661

PCCW

Ltd.

269,000

160,922

Sun

Hung

Kai

Properties

Ltd.

41,000

528,348

WH

Group

Ltd.

(b)

3,401,000

2,774,219

7,353,222

—

Italy

-

2.6%

Assicurazioni

Generali

SpA

45,648

643,382

DiaSorin

SpA

14,316

2,880,264

Leonardo

SpA

222,464

1,299,334

Prysmian

SpA

47,519

1,379,366

Recordati

Industria

Chimica

e

Farmaceutica

SpA

5,155

264,065

6,466,411

—

Japan

-

20.1%

Acom

Co.

Ltd.

10,000

43,499

Aozora

Bank

Ltd.

11,900

197,594

Bandai

Namco

Holdings,

Inc.

3,100

227,137

Chubu

Electric

Power

Co.,

Inc.

58,500

711,562

Daiwa

House

Industry

Co.

Ltd.

15,100

387,274

Fujitsu

Ltd.

23,000

3,142,207

Fukuoka

Financial

Group,

Inc.

47,000

789,972

Hitachi

Ltd.

6,500

220,086

Isuzu

Motors

Ltd.

29,400

257,126

ITOCHU

Corp.

91,900

2,353,177

Japan

Post

Holdings

Co.

Ltd.

66,000

450,058

Japan

Post

Insurance

Co.

Ltd.

169,500

2,668,827

Japan

Tobacco,

Inc.

27,100

494,407

JGC

Holdings

Corp.

35,600

369,247

KDDI

Corp.

46,100

1,159,487

Kyocera

Corp.

32,600

1,866,564

M3,

Inc.

6,700

414,437

MINEBEA

MITSUMI,

Inc.

6,200

118,099

Mitsubishi

Electric

Corp.

65,800

892,854

INVESTMENTS

SHARES

VALUE

($)

Japan

-

20.1%

(continued)

Mitsubishi

Estate

Co.

Ltd.

17,800

269,627

Mitsubishi

Gas

Chemical

Co.,

Inc.

26,800

498,573

Mitsubishi

UFJ

Financial

Group,

Inc.

288,300

1,150,570

Mitsui

Fudosan

Co.

Ltd.

13,800

240,143

Mizuho

Financial

Group,

Inc.

98,750

1,232,565

MS&AD

Insurance

Group

Holdings,

Inc.

62,100

1,673,174

Murata

Manufacturing

Co.

Ltd.

10,500

682,785

Nexon

Co.

Ltd.

28,100

700,920

Nippon

Express

Co.

Ltd.

30,900

1,803,111

Nippon

Telegraph

&

Telephone

Corp.

99,700

2,035,543

Nitto

Denko

Corp.

5,500

358,318

Nomura

Holdings,

Inc.

637,700

2,914,246

Nomura

Real

Estate

Holdings,

Inc.

8,000

152,250

NTT

DOCOMO,

Inc.

16,100

591,613

Obayashi

Corp.

105,800

965,879

ORIX

Corp.

19,700

246,058

Resona

Holdings,

Inc.

773,800

2,636,206

Rohm

Co.

Ltd.

8,400

649,404

Sekisui

House

Ltd.

62,200

1,102,229

Shimano,

Inc.

1,100

217,135

Shimizu

Corp.

19,400

146,046

Shinsei

Bank

Ltd.

89,300

1,102,612

Sompo

Holdings,

Inc.

26,500

914,864

Subaru

Corp.

22,300

432,907

SUMCO

Corp.

72,300

1,020,087

Sumitomo

Heavy

Industries

Ltd.

36,900

858,510

Sumitomo

Mitsui

Financial

Group,

Inc.

75,000

2,097,060

Sumitomo

Mitsui

Trust

Holdings,

Inc.

36,800

979,020

Sumitomo

Rubber

Industries

Ltd.

13,000

120,759

T&D

Holdings,

Inc.

102,900

1,014,422

Teijin

Ltd.

31,600

490,065

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

265,800

730,995

Tokyo

Electron

Ltd.

3,100

809,890

Tosoh

Corp.

88,300

1,433,639

Yamaha

Corp.

2,100

100,718

Yokohama

Rubber

Co.

Ltd.

(The)

7,400

105,342

49,240,899

—

Netherlands

-

4.9%

ASML

Holding

NV

(a)

11,548

4,265,521

ING

Groep

NV

70,771

505,083

Just

Eat

Takeaway.com

NV

*(b)

1,053

117,880

Koninklijke

Ahold

Delhaize

NV

111,173

3,286,044

Koninklijke

Philips

NV

*

19,361

914,210

Randstad

NV

*

22,031

1,148,817

Royal

Dutch

Shell

plc,

Class

B

64,849

786,427

Wolters

Kluwer

NV

11,852

1,011,005

12,034,987

—

Russia

-

0.3%

Evraz

plc

148,781

662,505

58

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Singapore

-

1.0%

CapitaLand

Commercial

Trust,

REIT

146,000

177,032

Venture

Corp.

Ltd.

155,700

2,210,786

2,387,818

—

South

Africa

-

0.1%

Anglo

American

plc

13,960

337,743

Spain

-

1.5%

Enagas

SA

17,196

396,766

Endesa

SA

13,089

350,105

Grifols

SA

27,458

789,559

Iberdrola

SA

43,525

535,731

Mapfre

SA

451,880

708,938

Repsol

SA

139,646

943,394

3,724,493

—

Sweden

-

3.0%

Alfa

Laval

AB

*

13,739

303,282

Assa

Abloy

AB,

Class

B

3,523

82,368

Atlas

Copco

AB,

Class

B

6,074

253,492

Boliden

AB

14,416

427,732

Electrolux

AB,

Series

B

(a)

4,686

109,235

Epiroc

AB,

Class

A

31,032

449,537

Essity

AB,

Class

B

68,141

2,300,527

Evolution

Gaming

Group

AB

(b)

1,067

70,500

ICA

Gruppen

AB

28,744

1,460,247

Investor

AB,

Class

B

8,330

544,114

Skanska

AB,

Class

B

33,164

700,378

SKF

AB,

Class

B

13,993

288,684

Telefonaktiebolaget

LM

Ericsson,

Class

B

46,204

505,621

7,495,717

—

Switzerland

-

9.0%

ABB

Ltd.

(Registered)

4,586

116,594

Adecco

Group

AG

(Registered)

5,112

269,736

Coca-Cola

HBC

AG

5,438

134,280

Credit

Suisse

Group

AG

(Registered)

27,494

274,464

EMS-

Chemie

Holding

AG

(Registered)

125

112,308

Geberit

AG

(Registered)

1,253

741,306

LafargeHolcim

Ltd.

(Registered)

*

7,867

358,102

Lonza

Group

AG

(Registered)

1,319

814,002

Nestle

SA

(Registered)

20,218

2,406,185

Novartis

AG

(Registered)

51,559

4,476,575

Roche

Holding

AG

18,406

6,304,802

SGS

SA

(Registered)

64

171,510

Sonova

Holding

AG

(Registered)

*

10,337

2,619,553

STMicroelectronics

NV

56,766

1,741,014

Swatch

Group

AG

(The)

2,884

672,218

Swisscom

AG

(Registered)

211

111,779

UBS

Group

AG

(Registered)

69,021

771,165

22,095,593

—

United

Kingdom

-

9.5%

3i

Group

plc

23,824

305,932

Admiral

Group

plc

12,583

424,365

Associated

British

Foods

plc

9,326

224,528

Auto

Trader

Group

plc

(b)

40,462

293,771

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

9.5%

(continued)

Aviva

plc

855,419

3,164,826

BAE

Systems

plc

141,647

879,701

Barclays

plc

890,692

1,123,661

Barratt

Developments

plc

102,204

626,789

Berkeley

Group

Holdings

plc

2,305

125,652

British

American

Tobacco

plc

38,753

1,390,121

BT

Group

plc

2,110,223

2,672,854

CK

Hutchison

Holdings

Ltd.

82,000

496,900

Compass

Group

plc

24,490

367,883

Direct

Line

Insurance

Group

plc

206,809

721,290

Experian

plc

2,856

107,312

Fiat

Chrysler

Automobiles

NV

*

16,766

205,801

GlaxoSmithKline

plc

56,830

1,065,421

GVC

Holdings

plc

197,254

2,470,456

Halma

plc

3,997

120,757

Imperial

Brands

plc

14,676

259,230

JD

Sports

Fashion

plc

52,880

551,995

Kingfisher

plc

395,540

1,515,077

London

Stock

Exchange

Group

plc

5,501

631,058

Next

plc

10,859

832,529

Ocado

Group

plc

*

24,800

877,158

Persimmon

plc

30,711

978,711

Sage

Group

plc

(The)

8,747

81,287

Standard

Chartered

plc

15,901

73,170

Taylor

Wimpey

plc

153,052

214,011

Vodafone

Group

plc

150,440

199,398

Wm

Morrison

Supermarkets

plc

87,155

191,300

23,192,944

—

United

States

-

0.1%

Bausch

Health

Cos.,

Inc.

(1)*

19,279

299,707

Zambia

-

0.1%

First

Quantum

Minerals

Ltd.

(1)

32,898

293,267

TOTAL

COMMON

STOCKS

(Cost

$211,332,632)

229,659,959

SHORT-TERM

INVESTMENTS

-

4.7%

INVESTMENT

COMPANIES

-

4.7%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(c)

(Cost

$11,655,114)

11,657,196

11,654,864

59

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.7%

Investment

Companies

-

0.7%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(c)(d)

227,589

227,589

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(c)(d)

1,482,612

1,482,316

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,710,201)

1,709,905

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.9%

(Cost

$224,697,947)

243,024,728

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.1%

(e)

2,749,014

NET

ASSETS

-

100.0%

245,773,742

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

10,635,253

4.3

%

Consumer

Discretionary

24,395,919

9.9

Consumer

Staples

18,904,585

7.7

Energy

3,301,287

1.4

Financials

39,117,309

15.9

Health

Care

37,652,112

15.3

Industrials

29,764,710

12.1

Information

Technology

34,349,213

14.0

Materials

19,553,634

8.0

Real

Estate

6,745,793

2.8

Utilities

5,240,144

2.1

Short-Term

Investments

11,654,864

4.7

Securities

Lending

Collateral

1,709,905

0.7

Total

Investments

In

Securities

At

Value

243,024,728

98.9

Other

Assets

in

Excess

of

Liabilities

(e

)

2,749,014

1.1

Net

Assets

$

245,773,742

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$1,628,500.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$7,089,395,

which

represents

approximately

2.88%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

143

12/2020

USD

$

13,250,380

$

(184,888)

$

(184,888)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,494,630

$

1,494,630

60

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.7%

Brazil

-

4.2%

Atacadao

SA

(1)*

174,700

637,405

B3

SA

-

Brasil

Bolsa

Balcao

(1)

11,600

113,627

Banco

Bradesco

SA

(Preference)

(1)

77,600

268,206

Banco

BTG

Pactual

SA

(1)*

7,400

95,994

Banco

do

Brasil

SA

(1)*

62,700

330,699

CCR

SA

(1)

108,200

244,109

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo

(1)*

52,800

440,008

Cia

Energetica

de

Minas

Gerais

(Preference)

(1)*

114,100

205,205

Cielo

SA

(1)*

386,800

270,682

Cosan

SA

(1)

39,400

479,389

Engie

Brasil

Energia

SA

(1)

40,200

288,835

Hapvida

Participacoes

e

Investimentos

SA

(1)(a)

43,700

483,541

Itau

Unibanco

Holding

SA

(Preference)

(1)

55,200

221,158

Itausa

SA

(Preference)

(1)

52,995

83,042

Lojas

Americanas

SA

(Preference)

(1)*

132,600

670,331

Lojas

Renner

SA

(1)*

20,600

145,442

Notre

Dame

Intermedica

Participacoes

SA

(1)

17,200

199,261

Petrobras

Distribuidora

SA

(1)

636,900

2,285,215

Petroleo

Brasileiro

SA

(Preference)

(1)

59,500

207,766

TIM

Participacoes

SA,

ADR

(1)*

94,302

1,087,302

Ultrapar

Participacoes

SA

(1)

222,400

763,128

Vale

SA,

ADR

(1)

5,966

63,120

9,583,465

—

Chile

-

0.5%

Banco

de

Chile,

ADR

(1)

8,364

126,464

Banco

de

Credito

e

Inversiones

SA

(1)

3,576

112,965

Cencosud

SA

(1)

248,941

364,659

Cia

Cervecerias

Unidas

SA,

ADR

(1)

5,278

68,456

Enel

Americas

SA,

ADR

(1)

44,608

288,168

Enel

Chile

SA,

ADR

(1)

19,229

66,148

1,026,860

—

China

-

40.0%

Agricultural

Bank

of

China

Ltd.,

Class

A

1,060,471

496,352

Alibaba

Group

Holding

Ltd.,

ADR

(1)*

61,869

18,188,248

Alibaba

Health

Information

Technology

Ltd.

*

68,000

167,217

A-Living

Services

Co.

Ltd.,

Class

H

(a)

367,750

1,881,483

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

35,588

291,571

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

164,500

1,139,375

Autohome

,

Inc.,

ADR

(1)

2,981

286,176

BAIC

Motor

Corp.

Ltd.,

Class

H

(a)

491,000

200,899

Baidu,

Inc.,

ADR

(1)*

9,888

1,251,722

INVESTMENTS

SHARES

VALUE

($)

China

-

40.0%

(continued)

Bank

of

China

Ltd.,

Class

A

1,038,900

490,999

Bank

of

Communications

Co.

Ltd.,

Class

A

302,824

203,020

Bank

of

Ningbo

Co.

Ltd.,

Class

A

36,564

170,397

Bank

of

Shanghai

Co.

Ltd.,

Class

A

54,300

65,284

BOE

Technology

Group

Co.

Ltd.,

Class

A

388,800

283,294

Bosideng

International

Holdings

Ltd.

234,000

73,006

BYD

Co.

Ltd.,

Class

A

23,619

407,480

BYD

Electronic

International

Co.

Ltd.

340,000

1,725,504

China

CITIC

Bank

Corp.

Ltd.,

Class

H

461,000

178,656

China

Construction

Bank

Corp.,

Class

H

2,033,000

1,320,988

China

Everbright

Bank

Co.

Ltd.,

Class

A

179,100

96,552

China

Everbright

Bank

Co.

Ltd.,

Class

H

242,000

76,533

China

Everbright

Environment

Group

Ltd.

1,542,000

881,617

China

Evergrande

Group

368,000

944,432

China

Hongqiao

Group

Ltd.

925,500

579,804

China

Medical

System

Holdings

Ltd.

521,000

576,498

China

Merchants

Bank

Co.

Ltd.,

Class

A

61,800

329,325

China

Merchants

Securities

Co.

Ltd.,

Class

A

66,200

211,781

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

106,267

83,205

China

Mobile

Ltd.

603,175

3,871,952

China

National

Building

Material

Co.

Ltd.,

Class

H

1,658,000

2,113,032

China

Overseas

Land

&

Investment

Ltd.

380,000

959,871

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

21,900

101,267

China

Petroleum

&

Chemical

Corp.,

Class

A

155,300

89,688

China

Resources

Land

Ltd.

290,000

1,322,639

China

Resources

Power

Holdings

Co.

Ltd.

138,000

153,057

China

Tourism

Group

Duty

Free

Corp.

Ltd.,

Class

A

14,000

461,746

China

Unicom

Hong

Kong

Ltd.

1,768,000

1,160,502

China

United

Network

Communications

Ltd.,

Class

A

130,700

93,826

China

Vanke

Co.

Ltd.,

Class

H

214,000

657,807

China

Yangtze

Power

Co.

Ltd.,

Class

A

48,600

137,443

CITIC

Securities

Co.

Ltd.,

Class

A

68,900

307,064

CNOOC

Ltd.,

ADR

(1)

6,835

656,502

Country

Garden

Holdings

Co.

Ltd.

1,201,000

1,487,109

Country

Garden

Services

Holdings

Co.

Ltd.

395,000

2,565,319

Daqin

Railway

Co.

Ltd.,

Class

A

82,500

77,683

Far

East

Horizon

Ltd.

155,000

126,489

61

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

China

-

40.0%

(continued)

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

12,720

305,168

GDS

Holdings

Ltd.,

ADR

(1)*

2,579

211,040

Great

Wall

Motor

Co.

Ltd.,

Class

H

902,500

1,151,244

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

21,700

171,536

Greentown

Service

Group

Co.

Ltd.

(b)

576,000

713,795

GSX

Techedu

,

Inc.,

ADR

(1)*

2,291

206,442

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

63,990

173,100

Haier

Electronics

Group

Co.

Ltd.

112,000

407,179

Haier

Smart

Home

Co.

Ltd.,

Class

A

57,300

185,261

Haitong

Securities

Co.

Ltd.,

Class

A

82,600

173,278

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

61,800

349,235

Hengan

International

Group

Co.

Ltd.

181,000

1,324,933

Huatai

Securities

Co.

Ltd.,

Class

A

60,500

184,225

Huazhu

Group

Ltd.,

ADR

(1)

7,502

324,386

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

117,000

85,007

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

541,000

281,805

Industrial

Bank

Co.

Ltd.,

Class

A

63,643

151,826

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

31,500

179,542

JD.com,

Inc.,

ADR

(1)*

26,784

2,078,706

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

32,085

426,453

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

7,664

141,676

Jiangxi

Copper

Co.

Ltd.,

Class

H

276,000

310,353

Kunlun

Energy

Co.

Ltd.

704,000

464,867

Kweichow

Moutai

Co.

Ltd.,

Class

A

3,700

913,616

Legend

Holdings

Corp.,

Class

H

(a)

129,400

157,685

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

62,333

528,449

Luzhou

Laojiao

Co.

Ltd.,

Class

A

13,400

284,869

Meituan

Dianping

,

Class

B

*(b)

84,400

2,658,709

Momo

,

Inc.,

ADR

(1)

6,789

93,417

NetEase

,

Inc.,

ADR

(1)

2,868

1,303,994

New

China

Life

Insurance

Co.

Ltd.,

Class

A

16,700

153,555

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR

(1)*

5,557

830,772

NIO,

Inc.,

ADR

(1)*

26,975

572,410

PetroChina

Co.

Ltd.,

Class

A

155,000

94,047

Pinduoduo

,

Inc.,

ADR

(1)*

7,744

574,218

Ping

An

Bank

Co.

Ltd.,

Class

A

85,620

192,334

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

34,800

392,866

SAIC

Motor

Corp.

Ltd.,

Class

A

55,300

156,473

Semiconductor

Manufacturing

International

Corp.

*

499,500

1,169,403

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

200,000

400,164

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

85,907

119,237

INVESTMENTS

SHARES

VALUE

($)

China

-

40.0%

(continued)

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

163,075

128,218

Sinopec

Engineering

Group

Co.

Ltd.,

Class

H

204,500

75,593

Sinopharm

Group

Co.

Ltd.,

Class

H

133,200

281,479

Sinotruk

Hong

Kong

Ltd.

833,000

2,146,782

Suning.com

Co.

Ltd.,

Class

A

75,300

101,300

TAL

Education

Group,

ADR

(1)*

13,200

1,003,728

Tencent

Holdings

Ltd.

190,200

12,846,752

Trip.com

Group

Ltd.,

ADR

(1)*

20,700

644,598

Vipshop

Holdings

Ltd.,

ADR

(1)*

13,985

218,725

Wuliangye

Yibin

Co.

Ltd.,

Class

A

15,905

520,599

Xiaomi

Corp.,

Class

B

*(a)

118,200

319,970

Yanzhou

Coal

Mining

Co.

Ltd.,

Class

H

306,000

228,672

Yonghui

Superstores

Co.

Ltd.,

Class

A

89,546

103,669

Yum

China

Holdings,

Inc.

(1)

12,915

683,849

Zhongsheng

Group

Holdings

Ltd.

182,000

1,144,874

Zhuzhou

CRRC

Times

Electric

Co.

Ltd.,

Class

H

56,700

190,514

ZTE

Corp.,

Class

H

285,600

686,640

ZTO

Express

Cayman,

Inc.,

ADR

(1)

13,959

417,653

91,285,304

—

Hong

Kong

-

0.0%

(c)

Kingboard

Laminates

Holdings

Ltd.

57,000

78,893

Hungary

-

0.0%

(c)

OTP

Bank

Nyrt

.

*

2,950

88,791

India

-

7.9%

Ambuja

Cements

Ltd.

90,276

265,735

Aurobindo

Pharma

Ltd.

201,114

2,177,825

Axis

Bank

Ltd.,

GDR

*(b)

4,149

122,283

Cipla

Ltd.

112,967

1,187,155

Colgate-Palmolive

India

Ltd.

13,138

255,670

Dabur

India

Ltd.

51,669

358,152

Divi's

Laboratories

Ltd.

22,882

947,330

Dr

Reddy's

Laboratories

Ltd.,

ADR

(1)

21,771

1,514,391

GAIL

India

Ltd.

587,237

693,904

Godrej

Consumer

Products

Ltd.

8,849

87,274

HCL

Technologies

Ltd.

67,594

745,231

Hindalco

Industries

Ltd.

612,726

1,464,066

Hindustan

Unilever

Ltd.

40,360

1,134,226

Infosys

Ltd.,

ADR

(1)

176,551

2,438,168

Larsen

&

Toubro

Ltd.,

GDR

(b)

5,518

68,790

NTPC

Ltd.

112,636

130,320

Oil

&

Natural

Gas

Corp.

Ltd.

133,383

125,511

Piramal

Enterprises

Ltd.

70,619

1,203,407

Reliance

Industries

Ltd.,

GDR

(a)

12,894

783,065

Sun

Pharmaceutical

Industries

Ltd.

112,322

763,805

Tata

Consultancy

Services

Ltd.

12,088

408,966

Wipro

Ltd.,

ADR

(1)

157,052

738,144

Zee

Entertainment

Enterprises

Ltd.

122,282

347,592

17,961,010

—

62

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Indonesia

-

1.2%

Adaro

Energy

Tbk

.

PT

14,146,500

1,086,540

Indofood

Sukses

Makmur

Tbk

.

PT

2,383,500

1,149,577

United

Tractors

Tbk

.

PT

263,600

405,004

2,641,121

—

Malaysia

-

2.2%

Hartalega

Holdings

Bhd.

451,200

1,767,213

Malayan

Banking

Bhd.

63,200

109,943

MISC

Bhd.

454,200

821,816

Sime

Darby

Bhd.

1,018,900

611,914

Top

Glove

Corp.

Bhd.

892,700

1,789,872

5,100,758

—

Mexico

-

0.8%

Alfa

SAB

de

CV,

Class

A

(1)

634,493

393,410

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

18,397

229,779

Grupo

Mexico

SAB

de

CV,

Series

B

(1)

41,200

104,810

Grupo

Televisa

SAB,

ADR

(1)*

138,117

853,562

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A

(1)

56,500

89,689

Megacable

Holdings

SAB

de

CV

(1)(d)

66,800

192,230

1,863,480

—

Philippines

-

0.3%

Ayala

Land,

Inc.

183,900

113,182

BDO

Unibank

,

Inc.

49,780

88,826

International

Container

Terminal

Services,

Inc.

85,870

195,901

JG

Summit

Holdings,

Inc.

61,720

76,898

Metro

Pacific

Investments

Corp.

1,459,000

105,424

PLDT,

Inc.

3,485

95,772

676,003

—

Poland

-

1.3%

CD

Projekt

SA

*

10,113

1,095,013

Cyfrowy

Polsat

SA

*

17,791

124,516

Grupa

Lotos

SA

12,565

112,076

PGE

Polska

Grupa

Energetyczna

SA

*

115,678

192,088

Polski

Koncern

Naftowy

ORLEN

SA

61,925

734,933

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

519,702

679,908

2,938,534

—

Russia

-

2.3%

Gazprom

PJSC,

ADR

204,794

891,252

LUKOIL

PJSC,

ADR

14,706

849,727

MMC

Norilsk

Nickel

PJSC,

ADR

(1)

23,567

569,143

MMC

Norilsk

Nickel

PJSC,

ADR

17,308

417,524

Novatek

PJSC,

GDR

(b)

3,867

529,333

Novolipetsk

Steel

PJSC,

GDR

(b)

4,879

108,026

PhosAgro

PJSC,

GDR

(b)

6,831

82,113

Polyus

PJSC,

GDR

(b)

6,949

732,096

Rosneft

Oil

Co.

PJSC,

GDR

(b)

68,272

335,366

Severstal

PAO,

GDR

(b)

18,825

239,005

Surgutneftegas

PJSC,

ADR

52,979

233,285

INVESTMENTS

SHARES

VALUE

($)

Russia

-

2.3%

(continued)

Tatneft

PJSC,

ADR

10,259

366,808

5,353,678

—

Saudi

Arabia

-

2.8%

Al

Rajhi

Bank

113,443

1,988,363

Alinma

Bank

*

33,628

146,739

Arab

National

Bank

48,864

265,205

Bank

AlBilad

15,547

100,382

Bank

Al-

Jazira

47,877

179,217

Banque

Saudi

Fransi

23,323

201,587

Etihad

Etisalat

Co.

*

45,821

349,363

Jarir

Marketing

Co.

1,921

96,172

National

Commercial

Bank

59,300

589,059

Riyad

Bank

68,128

339,532

Samba

Financial

Group

50,670

364,453

Saudi

Arabian

Oil

Co.

(a)

71,777

687,403

Saudi

Basic

Industries

Corp.

31,840

751,975

Saudi

British

Bank

(The)

18,726

126,467

Saudi

Industrial

Investment

Group

16,081

99,939

6,285,856

—

South

Africa

-

3.2%

Absa

Group

Ltd.

20,943

110,967

Aspen

Pharmacare

Holdings

Ltd.

*

62,377

445,314

Gold

Fields

Ltd.,

ADR

(1)

119,403

1,467,463

Kumba

Iron

Ore

Ltd.

68,635

2,027,498

Mr

Price

Group

Ltd.

37,769

296,164

MultiChoice

Group

16,063

92,787

Ninety

One

Ltd.

*

13,065

34,429

Sasol

Ltd.

*

44,615

343,039

Shoprite

Holdings

Ltd.

73,251

597,530

Sibanye

Stillwater

Ltd.

547,744

1,520,200

SPAR

Group

Ltd.

(The)

10,705

121,223

Telkom

SA

SOC

Ltd.

111,536

174,466

7,231,080

—

South

Korea

-

11.8%

BNK

Financial

Group,

Inc.

92,987

402,332

CJ

Corp.

9,116

633,006

Daelim

Industrial

Co.

Ltd.

10,870

718,435

DB

Insurance

Co.

Ltd.

10,011

386,892

Doosan

Bobcat,

Inc.

19,486

449,810

E-MART,

Inc.

7,798

942,164

Hana

Financial

Group,

Inc.

28,879

693,762

Hanwha

Corp.

38,218

821,737

Hyundai

Glovis

Co.

Ltd.

16,599

2,040,944

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

39,097

747,935

Industrial

Bank

of

Korea

14,036

95,881

KB

Financial

Group,

Inc.

8,562

275,696

Kia

Motors

Corp.

44,117

1,769,177

Korea

Zinc

Co.

Ltd.

1,698

548,017

Kumho

Petrochemical

Co.

Ltd.

6,760

634,179

LG

Electronics,

Inc.

37,362

2,926,676

LG

Innotek

Co.

Ltd.

10,826

1,428,682

Meritz

Securities

Co.

Ltd.

37,404

103,657

NCSoft

Corp.

1,463

1,008,202

POSCO

5,929

992,596

Posco

International

Corp.

66,936

764,342

S-1

Corp.

4,242

318,082

63

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

South

Korea

-

11.8%

(continued)

Samsung

Card

Co.

Ltd.

4,217

101,814

Samsung

Electronics

Co.

Ltd.

160,743

7,979,952

Shinhan

Financial

Group

Co.

Ltd.

3,430

80,470

26,864,440

—

Taiwan

-

11.8%

Accton

Technology

Corp.

69,000

533,831

Asustek

Computer,

Inc.

13,000

114,377

Catcher

Technology

Co.

Ltd.

86,000

543,391

China

Life

Insurance

Co.

Ltd.

899,981

621,248

CTBC

Financial

Holding

Co.

Ltd.

1,219,559

779,179

E.Sun

Financial

Holding

Co.

Ltd.

1,081,604

963,262

First

Financial

Holding

Co.

Ltd.

1,594,526

1,137,898

Foxconn

Technology

Co.

Ltd.

141,000

252,065

Hon

Hai

Precision

Industry

Co.

Ltd.

169,000

454,358

Innolux

Corp.

*

650,000

212,179

MediaTek

,

Inc.

15,000

317,835

Mega

Financial

Holding

Co.

Ltd.

137,000

132,227

Nanya

Technology

Corp.

38,000

76,373

Novatek

Microelectronics

Corp.

20,000

184,485

Pegatron

Corp.

63,000

139,886

Pou

Chen

Corp.

700,000

635,798

Powertech

Technology,

Inc.

124,000

372,900

Shin

Kong

Financial

Holding

Co.

Ltd.

903,376

252,446

SinoPac

Financial

Holdings

Co.

Ltd.

832,000

313,716

Taishin

Financial

Holding

Co.

Ltd.

148,408

66,030

Taiwan

Business

Bank

3,388,499

1,122,969

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

304,584

206,201

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

149,901

12,152,474

Uni

-President

Enterprises

Corp.

182,000

394,168

United

Microelectronics

Corp.

3,443,000

3,396,099

Zhen

Ding

Technology

Holding

Ltd.

357,000

1,567,003

26,942,398

—

Tanzania,

United

Republic

of

-

0.5%

AngloGold

Ashanti

Ltd.,

ADR

(1)

43,042

1,135,448

Thailand

-

2.3%

Advanced

Info

Service

PCL,

NVDR

81,500

441,527

Bangkok

Bank

PCL,

NVDR

261,500

796,789

Charoen

Pokphand

Foods

PCL,

NVDR

1,029,600

912,585

Indorama

Ventures

PCL,

NVDR

89,700

60,078

Kasikornbank

PCL,

NVDR

196,200

478,956

Krung

Thai

Bank

PCL,

NVDR

3,121,700

873,974

PTT

Exploration

&

Production

PCL,

NVDR

100,100

250,438

Siam

Commercial

Bank

PCL

(The),

NVDR

315,700

650,115

Thai

Union

Group

PCL,

NVDR

1,248,900

555,179

TMB

Bank

PCL,

NVDR

6,962,900

196,612

5,216,253

—

INVESTMENTS

SHARES

VALUE

($)

Turkey

-

0.2%

Haci

Omer

Sabanci

Holding

A/S

141,266

151,765

Turkcell

Iletisim

Hizmetleri

A/S

69,876

136,200

Turkiye

Is

Bankasi

A/S,

Class

C

*

339,742

235,210

523,175

—

United

States

-

0.4%

JBS

SA

(1)

231,400

851,696

TOTAL

COMMON

STOCKS

(Cost

$162,655,933)

213,648,243

SHORT-TERM

INVESTMENTS

-

4.3%

INVESTMENT

COMPANIES

-

4.3%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(e)

(Cost

$9,793,443)

9,794,509

9,792,550

SECURITIES

LENDING

COLLATERAL

-

0.0%

(c)

Investment

Companies

-

0.0%

(c)

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(e)(f)

1,932

1,932

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(e)(f)

12,585

12,583

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$14,517)

14,515

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.0%

(Cost

$172,463,893)

223,455,308

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.0%

(g)

4,633,098

NET

ASSETS

-

100.0%

228,088,406

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

27,136,653

11.9

%

Consumer

Discretionary

41,270,766

18.1

Consumer

Staples

12,293,726

5.4

Energy

10,589,839

4.7

Financials

24,474,221

10.7

Health

Care

14,330,923

6.3

Industrials

17,109,632

7.5

Information

Technology

39,837,195

17.5

Materials

18,060,204

7.9

Real

Estate

5,485,041

2.4

Utilities

3,060,043

1.3

Short-Term

Investments

9,792,550

4.3

Securities

Lending

Collateral

14,515

0.0(

c

)

Total

Investments

In

Securities

At

Value

223,455,308

98.0

Other

Assets

in

Excess

of

Liabilities

(g)

4,633,098

2.0

Net

Assets

$

228,088,406

100.0%

64

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$4,514,046,

which

represents

approximately

1.98%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$5,589,516

or

2.45%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$13,785.

(e)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

224

12/2020

USD

$

12,191,200

$

(57,011)

$

(57,011)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,275,842

$

1,275,842

65

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.6%

Aerospace

&

Defense

-

0.8%

Curtiss-Wright

Corp.

913

85,146

Howmet

Aerospace,

Inc.

40,076

670,071

Huntington

Ingalls

Industries,

Inc.

5,232

736,404

Teledyne

Technologies,

Inc.

*

2,443

757,843

2,249,464

Automobiles

-

1.5%

General

Motors

Co.

26,777

792,331

Tesla,

Inc.

*

6,735

2,889,382

Thor

Industries,

Inc.

4,418

420,859

4,102,572

Banks

-

1.5%

Associated

Banc-Corp.

24,915

314,427

Citizens

Financial

Group,

Inc.

3,786

95,710

Fifth

Third

Bancorp

7,329

156,254

First

Citizens

BancShares

,

Inc.,

Class

A

309

98,503

FNB

Corp.

30,369

205,902

JPMorgan

Chase

&

Co.

12,555

1,208,670

People's

United

Financial,

Inc.

34,599

356,716

Popular,

Inc.

47,156

1,710,348

4,146,530

Beverages

-

0.1%

Monster

Beverage

Corp.

*

5,113

410,063

Biotechnology

-

4.0%

AbbVie,

Inc.

25,873

2,266,216

Alexion

Pharmaceuticals,

Inc.

*

15,752

1,802,501

Amgen,

Inc.

1,336

339,558

Biogen,

Inc.

*

10,151

2,879,636

Exelixis

,

Inc.

*

82,926

2,027,541

Gilead

Sciences,

Inc.

1,922

121,451

Immunomedics

,

Inc.

*

1,715

145,826

United

Therapeutics

Corp.

*

13,938

1,407,738

10,990,467

Building

Products

-

0.6%

A

O

Smith

Corp.

2,830

149,424

Fortune

Brands

Home

&

Security,

Inc.

8,125

702,975

Masco

Corp.

3,363

185,402

Owens

Corning

4,339

298,567

Trane

Technologies

plc

1,767

214,249

1,550,617

Capital

Markets

-

2.0%

Ameriprise

Financial,

Inc.

14,646

2,257,095

Bank

of

New

York

Mellon

Corp.

(The)

12,744

437,629

Morgan

Stanley

28,511

1,378,507

MSCI,

Inc.

908

323,956

S&P

Global,

Inc.

807

291,004

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

2.0%

(continued)

State

Street

Corp.

13,773

817,152

5,505,343

Chemicals

-

1.0%

Cabot

Corp.

5,092

183,465

DuPont

de

Nemours,

Inc.

7,917

439,235

Eastman

Chemical

Co.

8,938

698,236

Huntsman

Corp.

33,260

738,705

LyondellBasell

Industries

NV,

Class

A

8,420

593,526

2,653,167

Commercial

Services

&

Supplies

-

1.2%

ADT,

Inc.

17,999

147,052

Cintas

Corp.

1,315

437,672

Copart

,

Inc.

*

5,071

533,266

Republic

Services,

Inc.

1,912

178,485

Waste

Management,

Inc.

18,416

2,084,139

3,380,614

Communications

Equipment

-

0.1%

Ciena

Corp.

*

1,914

75,967

Cisco

Systems,

Inc.

3,009

118,524

194,491

Construction

&

Engineering

-

0.4%

Quanta

Services,

Inc.

18,511

978,491

Valmont

Industries,

Inc.

931

115,612

1,094,103

Consumer

Finance

-

0.2%

SLM

Corp.

80,562

651,747

Distributors

-

0.0%

(a)

LKQ

Corp.

*

2,069

57,373

Diversified

Financial

Services

-

1.3%

Berkshire

Hathaway,

Inc.,

Class

B

*

17,095

3,640,209

Diversified

Telecommunication

Services

-

1.4%

AT&T,

Inc.

60,792

1,733,180

Verizon

Communications,

Inc.

35,718

2,124,864

3,858,044

Electric

Utilities

-

0.7%

NRG

Energy,

Inc.

65,033

1,999,114

Electrical

Equipment

-

0.6%

Acuity

Brands,

Inc.

6,080

622,288

Eaton

Corp.

plc

1,268

129,374

GrafTech

International

Ltd.

38,487

263,251

Hubbell,

Inc.

1,034

141,493

Regal

Beloit

Corp.

5,474

513,844

1,670,250

Electronic

Equipment,

Instruments

&

Components

-

2.3%

Arrow

Electronics,

Inc.

*

17,622

1,386,146

CDW

Corp.

9,165

1,095,492

66

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

2.3%

(continued)

Jabil,

Inc.

27,129

929,440

SYNNEX

Corp.

20,597

2,884,816

6,295,894

Entertainment

-

0.6%

Electronic

Arts,

Inc.

*

10,460

1,364,088

Walt

Disney

Co.

(The)

3,308

410,457

1,774,545

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.8%

American

Tower

Corp.

1,403

339,147

Brixmor

Property

Group,

Inc.

49,242

575,639

EPR

Properties

6,968

191,620

Gaming

and

Leisure

Properties,

Inc.

4,281

158,097

Simon

Property

Group,

Inc.

4,580

296,235

Ventas,

Inc.

7,482

313,945

Weingarten

Realty

Investors

16,674

282,791

2,157,474

Food

&

Staples

Retailing

-

2.7%

Costco

Wholesale

Corp.

4,785

1,698,675

Kroger

Co.

(The)

46,732

1,584,682

Sprouts

Farmers

Market,

Inc.

*

49,680

1,039,802

Walgreens

Boots

Alliance,

Inc.

5,726

205,678

Walmart,

Inc.

21,471

3,004,008

7,532,845

Food

Products

-

0.7%

General

Mills,

Inc.

10,970

676,630

Ingredion,

Inc.

4,252

321,792

J

M

Smucker

Co.

(The)

1,902

219,719

Pilgrim's

Pride

Corp.

*

15,480

231,658

Tyson

Foods,

Inc.,

Class

A

7,709

458,531

1,908,330

Health

Care

Equipment

&

Supplies

-

2.4%

Abbott

Laboratories

6,000

652,980

Align

Technology,

Inc.

*

475

155,496

Baxter

International,

Inc.

15,913

1,279,723

Danaher

Corp.

9,429

2,030,347

Edwards

Lifesciences

Corp.

*

2,847

227,247

Medtronic

plc

16,000

1,662,720

Quidel

Corp.

*

3,297

723,296

6,731,809

Health

Care

Providers

&

Services

-

4.1%

AmerisourceBergen

Corp.

4,674

453,004

Anthem,

Inc.

7,683

2,063,577

Cigna

Corp.

3,027

512,804

CVS

Health

Corp.

15,698

916,763

Humana,

Inc.

7,975

3,300,773

McKesson

Corp.

2,476

368,751

Molina

Healthcare,

Inc.

*

8,434

1,543,759

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

4.1%

(continued)

UnitedHealth

Group,

Inc.

5,781

1,802,342

Universal

Health

Services,

Inc.,

Class

B

3,875

414,703

11,376,476

Health

Care

Technology

-

0.2%

Teladoc

Health,

Inc.

*(b)

1,601

351,003

Veeva

Systems,

Inc.,

Class

A

*

1,192

335,179

686,182

Hotels,

Restaurants

&

Leisure

-

1.3%

Aramark

10,752

284,390

Darden

Restaurants,

Inc.

5,959

600,310

Domino's

Pizza,

Inc.

2,480

1,054,694

Extended

Stay

America,

Inc.

36,028

430,535

Hyatt

Hotels

Corp.,

Class

A

1,474

78,667

McDonald's

Corp.

2,795

613,475

MGM

Resorts

International

17,178

373,622

Wyndham

Destinations,

Inc.

3,386

104,153

3,539,846

Household

Durables

-

2.3%

DR

Horton,

Inc.

13,476

1,019,190

Lennar

Corp.,

Class

A

16,566

1,353,111

Mohawk

Industries,

Inc.

*

5,845

570,414

NVR,

Inc.

*

95

387,896

PulteGroup,

Inc.

52,740

2,441,335

Whirlpool

Corp.

2,868

527,396

6,299,342

Household

Products

-

4.1%

Clorox

Co.

(The)

13,097

2,752,597

Colgate-Palmolive

Co.

5,647

435,666

Kimberly-Clark

Corp.

16,285

2,404,643

Procter

&

Gamble

Co.

(The)

41,572

5,778,092

11,370,998

Independent

Power

and

Renewable

Electricity

Producers

-

0.0%

(a)

Vistra

Corp.

7,299

137,659

Insurance

-

2.6%

Allstate

Corp.

(The)

31,321

2,948,559

Assurant,

Inc.

9,056

1,098,584

Assured

Guaranty

Ltd.

8,667

186,167

Brighthouse

Financial,

Inc.

*

6,053

162,886

Everest

Re

Group

Ltd.

6,511

1,286,183

First

American

Financial

Corp.

13,500

687,285

MetLife,

Inc.

13,800

512,946

Progressive

Corp.

(The)

1,969

186,405

Prudential

Financial,

Inc.

1,604

101,886

7,170,901

Interactive

Media

&

Services

-

6.2%

Alphabet,

Inc.,

Class

A

*

3,879

5,685,063

Alphabet,

Inc.,

Class

C

*

2,507

3,684,287

67

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Interactive

Media

&

Services

-

6.2%

(continued)

Facebook,

Inc.,

Class

A

*

28,300

7,411,770

Match

Group,

Inc.

*

3,037

336,044

17,117,164

Internet

&

Direct

Marketing

Retail

-

3.3%

Amazon.com,

Inc.

*

2,753

8,668,454

eBay,

Inc.

5,899

307,338

Qurate

Retail,

Inc.,

Series

A

34,453

247,372

9,223,164

IT

Services

-

3.7%

Accenture

plc,

Class

A

7,680

1,735,603

Akamai

Technologies,

Inc.

*

18,868

2,085,669

Alliance

Data

Systems

Corp.

15,481

649,892

Booz

Allen

Hamilton

Holding

Corp.

13,714

1,137,988

CACI

International,

Inc.,

Class

A

*

3,396

723,891

Cognizant

Technology

Solutions

Corp.,

Class

A

3,956

274,626

DXC

Technology

Co.

10,730

191,531

EPAM

Systems,

Inc.

*

358

115,734

Leidos

Holdings,

Inc.

7,527

671,032

Mastercard

,

Inc.,

Class

A

527

178,216

VeriSign,

Inc.

*

3,517

720,457

Visa,

Inc.,

Class

A

9,221

1,843,923

10,328,562

Life

Sciences

Tools

&

Services

-

2.2%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

529

272,678

Charles

River

Laboratories

International,

Inc.

*

9,480

2,146,746

PRA

Health

Sciences,

Inc.

*

2,265

229,762

Syneos

Health,

Inc.

*

8,340

443,355

Thermo

Fisher

Scientific,

Inc.

6,662

2,941,406

6,033,947

Machinery

-

2.3%

AGCO

Corp.

5,681

421,928

Colfax

Corp.

*

11,801

370,079

Cummins,

Inc.

6,455

1,363,038

ITT,

Inc.

5,463

322,590

Oshkosh

Corp.

23,770

1,747,095

PACCAR,

Inc.

6,272

534,876

Snap-on,

Inc.

1,481

217,900

Timken

Co.

(The)

23,760

1,288,267

6,265,773

Media

-

1.1%

Comcast

Corp.,

Class

A

45,860

2,121,484

DISH

Network

Corp.,

Class

A

*

10,783

313,030

Interpublic

Group

of

Cos.,

Inc.

(The)

35,270

587,951

3,022,465

INVESTMENTS

SHARES

VALUE

($)

Multiline

Retail

-

1.2%

Dollar

General

Corp.

3,307

693,213

Target

Corp.

16,363

2,575,864

3,269,077

Multi-Utilities

-

0.2%

Ameren

Corp.

8,706

688,470

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

Pioneer

Natural

Resources

Co.

794

68,276

Personal

Products

-

0.2%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

2,294

500,665

Nu

Skin

Enterprises,

Inc.,

Class

A

1,653

82,799

583,464

Pharmaceuticals

-

4.6%

Bristol-Myers

Squibb

Co.

26,275

1,584,120

Eli

Lilly

and

Co.

931

137,807

Horizon

Therapeutics

plc

*

30,936

2,403,108

Jazz

Pharmaceuticals

plc

*

5,927

845,131

Johnson

&

Johnson

19,572

2,913,879

Merck

&

Co.,

Inc.

33,866

2,809,185

Mylan

NV

*

47,519

704,707

Pfizer,

Inc.

39,565

1,452,035

12,849,972

Professional

Services

-

0.4%

ManpowerGroup

,

Inc.

11,153

817,850

Robert

Half

International,

Inc.

7,748

410,179

1,228,029

Road

&

Rail

-

0.1%

Schneider

National,

Inc.,

Class

B

12,554

310,460

Semiconductors

&

Semiconductor

Equipment

-

5.6%

Applied

Materials,

Inc.

26,913

1,599,978

Cirrus

Logic,

Inc.

*

6,530

440,448

Intel

Corp.

70,038

3,626,568

Lam

Research

Corp.

6,256

2,075,428

Micron

Technology,

Inc.

*

28,770

1,351,039

MKS

Instruments,

Inc.

4,451

486,183

NVIDIA

Corp.

555

300,377

Qorvo

,

Inc.

*

9,475

1,222,370

QUALCOMM,

Inc.

6,103

718,201

Skyworks

Solutions,

Inc.

12,624

1,836,792

Teradyne,

Inc.

12,294

976,881

Texas

Instruments,

Inc.

6,235

890,296

15,524,561

Software

-

8.7%

Adobe,

Inc.

*

5,281

2,589,961

Cadence

Design

Systems,

Inc.

*

10,974

1,170,158

Fortinet,

Inc.

*

1,583

186,493

Intuit,

Inc.

1,554

506,930

Manhattan

Associates,

Inc.

*

4,944

472,103

Microsoft

Corp.

77,412

16,282,066

68

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Software

-

8.7%

(continued)

NortonLifeLock

,

Inc.

42,111

877,593

Oracle

Corp.

30,452

1,817,984

Trade

Desk,

Inc.

(The),

Class

A

*

446

231,376

24,134,664

Specialty

Retail

-

3.8%

AutoNation,

Inc.

*

33,858

1,792,104

AutoZone,

Inc.

*

155

182,534

Best

Buy

Co.,

Inc.

19,758

2,198,868

Dick's

Sporting

Goods,

Inc.

24,951

1,444,164

Foot

Locker,

Inc.

20,306

670,707

Home

Depot,

Inc.

(The)

4,366

1,212,482

Lowe's

Cos.,

Inc.

3,658

606,716

Penske

Automotive

Group,

Inc.

11,056

526,929

Tractor

Supply

Co.

571

81,847

Williams-Sonoma,

Inc.

21,665

1,959,382

10,675,733

Technology

Hardware,

Storage

&

Peripherals

-

6.8%

Apple,

Inc.

150,844

17,469,244

HP,

Inc.

38,185

725,133

Xerox

Holdings

Corp.

29,966

562,462

18,756,839

Textiles,

Apparel

&

Luxury

Goods

-

1.0%

Carter's,

Inc.

3,017

261,212

Hanesbrands,

Inc.

39,548

622,881

Lululemon

Athletica,

Inc.

*

3,796

1,250,289

NIKE,

Inc.,

Class

B

2,254

282,967

Ralph

Lauren

Corp.

2,623

178,285

Skechers

USA,

Inc.,

Class

A

*

3,342

100,995

2,696,629

Thrifts

&

Mortgage

Finance

-

0.0%

(a)

MGIC

Investment

Corp.

3,714

32,906

Tobacco

-

0.6%

Altria

Group,

Inc.

18,086

698,843

Philip

Morris

International,

Inc.

13,990

1,049,110

1,747,953

Trading

Companies

&

Distributors

-

1.0%

Air

Lease

Corp.

13,298

391,227

MSC

Industrial

Direct

Co.,

Inc.,

Class

A

10,156

642,672

United

Rentals,

Inc.

*

6,236

1,088,182

Watsco

,

Inc.

2,303

536,346

2,658,427

Wireless

Telecommunication

Services

-

0.1%

T-Mobile

US,

Inc.

*

3,345

382,534

TOTAL

COMMON

STOCKS

(Cost

$178,074,943)

262,735,538

INVESTMENTS

SHARES

VALUE

($)

PREFERRED

STOCKS

-

0.0%

(a)

Internet

&

Direct

Marketing

Retail

-

0.0%

(a)

Qurate

Retail,

Inc.,

8.00%,

3/15/2031

(Cost

$100,871)

1,033

101,751

SHORT-TERM

INVESTMENTS

-

4.7%

INVESTMENT

COMPANIES

-

4.7%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)

(Cost

$13,002,158)

13,002,752

13,000,151

SECURITIES

LENDING

COLLATERAL

-

0.1%

Investment

Companies

-

0.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(d)

42,525

42,525

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)

277,024

276,968

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$319,548)

319,493

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.4%

(Cost

$191,497,520)

276,156,933

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.6%

(e)

1,641,090

NET

ASSETS

-

100.0%

277,798,023

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

26,154,752

9.4

%

Consumer

Discretionary

39,965,487

14.4

Consumer

Staples

23,553,653

8.5

Energy

68,276

0.0

(a)

Financials

21,147,636

7.6

Health

Care

48,668,853

17.5

Industrials

20,407,736

7.3

Information

Technology

75,235,011

27.1

Materials

2,653,167

1.0

Real

Estate

2,157,474

0.8

Utilities

2,825,244

1.0

Short-Term

Investments

13,000,151

4.7

Securities

Lending

Collateral

319,493

0.1

Total

Investments

In

Securities

At

Value

276,156,933

99.4

Other

Assets

in

Excess

of

Liabilities

(e)

1,641,090

0.6

Net

Assets

$

277,798,023

100.0%

69

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$312,970.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

69

12/2020

USD

$

11,564,400

$

39,190

$

39,190

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

934,593

$

934,593

70

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.6%

Aerospace

&

Defense

-

1.0%

AAR

Corp.

832

15,642

Aerojet

Rocketdyne

Holdings,

Inc.

*(a)

392

15,637

Maxar

Technologies,

Inc.

(a)

621

15,488

Moog,

Inc.,

Class

A

882

56,033

Vectrus

,

Inc.

*

2,308

87,704

190,504

Air

Freight

&

Logistics

-

0.2%

Atlas

Air

Worldwide

Holdings,

Inc.

*

471

28,684

Airlines

-

0.1%

Allegiant

Travel

Co.

100

11,980

Auto

Components

-

1.2%

Adient

plc

*

812

14,072

Cooper

Tire

&

Rubber

Co.

441

13,980

Dana,

Inc.

3,079

37,933

Fox

Factory

Holding

Corp.

*

52

3,865

LCI

Industries

1,090

115,856

Standard

Motor

Products,

Inc.

120

5,358

Tenneco,

Inc.,

Class

A

*

1,199

8,321

XPEL,

Inc.

*(b)

419

10,928

210,313

Automobiles

-

0.1%

Winnebago

Industries,

Inc.

192

9,921

Banks

-

4.2%

Ameris

Bancorp

560

12,757

BancFirst

Corp.

657

26,832

Bancorp,

Inc.

(The)

*

3,119

26,948

BancorpSouth

Bank

439

8,508

Bank

of

NT

Butterfield

&

Son

Ltd.

(The)

1,221

27,204

Cathay

General

Bancorp

1,328

28,791

City

Holding

Co.

216

12,444

Eagle

Bancorp,

Inc.

182

4,876

Enterprise

Financial

Services

Corp.

446

12,162

First

Bancorp/PR

4,430

23,124

First

Financial

Bancorp

483

5,798

First

Interstate

BancSystem

,

Inc.,

Class

A

1,069

34,048

First

Merchants

Corp.

935

21,654

First

Midwest

Bancorp,

Inc.

601

6,479

Fulton

Financial

Corp.

4,415

41,192

Glacier

Bancorp,

Inc.

175

5,609

Great

Southern

Bancorp,

Inc.

953

34,518

Hancock

Whitney

Corp.

496

9,330

Heartland

Financial

USA,

Inc.

503

15,087

Hilltop

Holdings,

Inc.

4,191

86,251

Home

BancShares

,

Inc.

696

10,551

Hope

Bancorp,

Inc.

3,014

22,861

International

Bancshares

Corp.

3,095

80,656

Investors

Bancorp,

Inc.

1,588

11,529

NBT

Bancorp,

Inc.

785

21,054

INVESTMENTS

SHARES

VALUE

($)

Banks

-

4.2%

(continued)

OFG

Bancorp

1,535

19,126

Old

National

Bancorp

1,547

19,430

Preferred

Bank

505

16,220

Simmons

First

National

Corp.,

Class

A

1,216

19,280

South

State

Corp.

531

25,568

Trustmark

Corp.

1,383

29,610

United

Bankshares

,

Inc.

887

19,044

United

Community

Banks,

Inc.

1,141

19,317

Valley

National

Bancorp

1,035

7,090

764,948

Beverages

-

0.8%

Celsius

Holdings,

Inc.

*

449

10,197

Coca-Cola

Consolidated,

Inc.

181

43,563

National

Beverage

Corp.

*(a)

837

56,924

Primo

Water

Corp.

2,281

32,390

143,074

Biotechnology

-

8.1%

Adverum

Biotechnologies,

Inc.

*

734

7,560

Affimed

NV

(Germany)

*

2,126

7,207

Akebia

Therapeutics,

Inc.

*

1,011

2,538

Allakos

,

Inc.

*(a)

111

9,041

Allogene

Therapeutics,

Inc.

*

313

11,803

Amicus

Therapeutics,

Inc.

*

1,954

27,590

Anika

Therapeutics,

Inc.

*

1,267

44,839

Apellis

Pharmaceuticals,

Inc.

*

270

8,146

Applied

Therapeutics,

Inc.

*

296

6,145

Arcus

Biosciences,

Inc.

*

487

8,347

Ardelyx

,

Inc.

*

1,094

5,743

Arena

Pharmaceuticals,

Inc.

*

730

54,597

Arrowhead

Pharmaceuticals,

Inc.

*

1,055

45,428

BioCryst

Pharmaceuticals,

Inc.

*(a)

1,542

5,297

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

250

16,253

BioSpecifics

Technologies

Corp.

*

1,259

66,513

Blueprint

Medicines

Corp.

*

303

28,088

Bridgebio

Pharma,

Inc.

*(a)

602

22,587

Catalyst

Pharmaceuticals,

Inc.

*

13,542

40,220

ChemoCentryx

,

Inc.

*

457

25,044

Coherus

Biosciences,

Inc.

*(a)

654

11,994

Constellation

Pharmaceuticals,

Inc.

*

309

6,260

Deciphera

Pharmaceuticals,

Inc.

*

193

9,901

Denali

Therapeutics,

Inc.

*

336

12,039

Dicerna

Pharmaceuticals,

Inc.

*

417

7,502

Eagle

Pharmaceuticals,

Inc.

*

843

35,811

Emergent

BioSolutions

,

Inc.

*

1,092

112,836

Enanta

Pharmaceuticals,

Inc.

*

516

23,622

Fate

Therapeutics,

Inc.

*

632

25,261

FibroGen

,

Inc.

*

593

24,384

Halozyme

Therapeutics,

Inc.

*

1,617

42,495

Heron

Therapeutics,

Inc.

*(a)

465

6,891

ImmunoGen

,

Inc.

*

2,771

9,976

71

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

8.1%

(continued)

Inovio

Pharmaceuticals,

Inc.

*(a)

951

11,032

Insmed

,

Inc.

*

1,004

32,269

Intercept

Pharmaceuticals,

Inc.

*

320

13,267

Invitae

Corp.

*

287

12,441

Ironwood

Pharmaceuticals,

Inc.

*

1,382

12,431

Jounce

Therapeutics,

Inc.

*

5,925

48,348

Karuna

Therapeutics,

Inc.

*

130

10,052

Karyopharm

Therapeutics,

Inc.

*

943

13,768

Kodiak

Sciences,

Inc.

*(a)

334

19,776

Lexicon

Pharmaceuticals,

Inc.

*

7,975

11,484

Ligand

Pharmaceuticals,

Inc.

*(a)

344

32,790

Mersana

Therapeutics,

Inc.

*

400

7,448

Mirati

Therapeutics,

Inc.

*

113

18,764

Momenta

Pharmaceuticals,

Inc.

*

1,091

57,256

Natera

,

Inc.

*

1,235

89,216

Novavax

,

Inc.

*

563

61,001

OPKO

Health,

Inc.

*(a)

2,601

9,598

PDL

BioPharma

,

Inc.

*

9,724

30,631

PTC

Therapeutics,

Inc.

*

255

11,921

Selecta

Biosciences,

Inc.

*

3,403

8,439

Sorrento

Therapeutics,

Inc.

*(a)

1,229

13,703

TG

Therapeutics,

Inc.

*

819

21,916

Translate

Bio,

Inc.

*

644

8,765

Turning

Point

Therapeutics,

Inc.

*

132

11,532

Ultragenyx

Pharmaceutical,

Inc.

*

268

22,027

VBI

Vaccines,

Inc.

*

1,722

4,925

Veracyte

,

Inc.

*

812

26,382

Vericel

Corp.

*

1,510

27,980

Vir

Biotechnology,

Inc.

*

443

15,208

XBiotech

,

Inc.

*

344

6,567

Xencor

,

Inc.

*

638

24,748

1,467,643

Building

Products

-

3.3%

Alpha

Pro

Tech

Ltd.

*

2,536

37,482

American

Woodmark

Corp.

*

275

21,599

Apogee

Enterprises,

Inc.

909

19,425

Builders

FirstSource

,

Inc.

*

5,724

186,717

Griffon

Corp.

1,495

29,212

Insteel

Industries,

Inc.

1,833

34,277

Masonite

International

Corp.

*

58

5,707

Patrick

Industries,

Inc.

1,174

67,529

UFP

Industries,

Inc.

3,633

205,301

607,249

Capital

Markets

-

2.7%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

3,179

123,949

Brightsphere

Investment

Group,

Inc.

1,512

19,505

Cowen,

Inc.,

Class

A

1,279

20,809

Federated

Hermes,

Inc.,

Class

B

337

7,249

Oppenheimer

Holdings,

Inc.,

Class

A

3,447

76,937

Stifel

Financial

Corp.

1,502

75,941

INVESTMENTS

SHARES

VALUE

($)

Capital

Markets

-

2.7%

(continued)

StoneX

Group,

Inc.

*

288

14,734

Virtus

Investment

Partners,

Inc.

373

51,717

Waddell

&

Reed

Financial,

Inc.,

Class

A

6,102

90,615

481,456

Chemicals

-

0.1%

Koppers

Holdings,

Inc.

*

1,062

22,206

Commercial

Services

&

Supplies

-

2.4%

ABM

Industries,

Inc.

1,259

46,155

ACCO

Brands

Corp.

3,579

20,758

Advanced

Disposal

Services,

Inc.

*

863

26,089

Brady

Corp.,

Class

A

1,049

41,981

Cimpress

plc

(Ireland)

*(a)

306

22,999

Ennis,

Inc.

3,823

66,673

Healthcare

Services

Group,

Inc.

525

11,303

Herman

Miller,

Inc.

659

19,875

HNI

Corp.

931

29,215

Interface,

Inc.

2,151

13,164

Kimball

International,

Inc.,

Class

B

2,747

28,953

Quad/Graphics,

Inc.

4,356

13,199

Steelcase,

Inc.,

Class

A

5,600

56,616

Tetra

Tech,

Inc.

213

20,342

UniFirst

Corp.

111

21,020

438,342

Communications

Equipment

-

0.7%

Acacia

Communications,

Inc.

*

447

30,128

Calix,

Inc.

*

1,219

21,674

Comtech

Telecommunications

Corp.

2,400

33,600

Digi

International,

Inc.

*

472

7,377

NETGEAR,

Inc.

*

924

28,478

NetScout

Systems,

Inc.

*

527

11,504

132,761

Construction

&

Engineering

-

2.2%

API

Group

Corp.

*(c)

1,317

18,741

Arcosa

,

Inc.

1,712

75,482

EMCOR

Group,

Inc.

1,571

106,372

Great

Lakes

Dredge

&

Dock

Corp.

*

3,769

35,843

MasTec

,

Inc.

*

1,093

46,125

MYR

Group,

Inc.

*

1,885

70,084

Sterling

Construction

Co.,

Inc.

*

1,075

15,222

Tutor

Perini

Corp.

*

2,613

29,083

396,952

Construction

Materials

-

0.1%

Summit

Materials,

Inc.,

Class

A

*

1,368

22,627

US

Concrete,

Inc.

*

110

3,194

25,821

Consumer

Finance

-

0.2%

Curo

Group

Holdings

Corp.

1,107

7,804

Encore

Capital

Group,

Inc.

*

334

12,889

72

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Consumer

Finance

-

0.2%

(continued)

EZCORP,

Inc.,

Class

A

*

1,563

7,862

28,555

Containers

&

Packaging

-

0.1%

Greif,

Inc.,

Class

A

276

9,994

UFP

Technologies,

Inc.

*

208

8,615

18,609

Distributors

-

0.0%

(d)

Core-Mark

Holding

Co.,

Inc.

182

5,265

Diversified

Consumer

Services

-

0.8%

American

Public

Education,

Inc.

*

2,409

67,910

Collectors

Universe,

Inc.

977

48,352

Houghton

Mifflin

Harcourt

Co.

*

3,056

5,287

Universal

Technical

Institute,

Inc.

*

4,077

20,711

142,260

Diversified

Financial

Services

-

0.2%

Cannae

Holdings,

Inc.

*

761

28,355

Diversified

Telecommunication

Services

-

0.7%

Bandwidth,

Inc.,

Class

A

*

137

23,916

Cogent

Communications

Holdings,

Inc.

620

37,231

Consolidated

Communications

Holdings,

Inc.

*

8,691

49,452

Ooma

,

Inc.

*

527

6,877

Vonage

Holdings

Corp.

*

485

4,962

122,438

Electric

Utilities

-

0.2%

Portland

General

Electric

Co.

934

33,157

Electrical

Equipment

-

1.3%

Atkore

International

Group,

Inc.

*

2,978

67,690

Encore

Wire

Corp.

1,691

78,496

EnerSys

337

22,620

FuelCell

Energy,

Inc.

*(a)

3,035

6,495

Orion

Energy

Systems,

Inc.

*

3,374

25,541

Plug

Power,

Inc.

*(a)

1,857

24,902

Powell

Industries,

Inc.

326

7,866

233,610

Electronic

Equipment,

Instruments

&

Components

-

3.1%

Belden,

Inc.

349

10,861

Benchmark

Electronics,

Inc.

1,541

31,051

Fabrinet

(Thailand)

*

1,546

97,444

Fitbit,

Inc.,

Class

A

*

2,500

17,400

Insight

Enterprises,

Inc.

*

1,874

106,031

Methode

Electronics,

Inc.

2,260

64,410

PC

Connection,

Inc.

1,891

77,645

Sanmina

Corp.

*

4,145

112,122

ScanSource

,

Inc.

*

222

4,402

Vishay

Intertechnology

,

Inc.

3,166

49,295

570,661

INVESTMENTS

SHARES

VALUE

($)

Energy

Equipment

&

Services

-

0.2%

Nabors

Industries

Ltd.

165

4,033

National

Energy

Services

Reunited

Corp.

*

738

4,708

ProPetro

Holding

Corp.

*

6,784

27,543

36,284

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.9%

American

Finance

Trust,

Inc.

2,502

15,688

Bluerock

Residential

Growth

REIT,

Inc.

1,637

12,408

CatchMark

Timber

Trust,

Inc.,

Class

A

1,105

9,868

City

Office

REIT,

Inc.

1,077

8,099

CoreCivic

,

Inc.

1,834

14,672

DiamondRock

Hospitality

Co.

3,026

15,342

Easterly

Government

Properties,

Inc.

663

14,858

EastGroup

Properties,

Inc.

272

35,178

Four

Corners

Property

Trust,

Inc.

656

16,787

Front

Yard

Residential

Corp.

681

5,952

GEO

Group,

Inc.

(The)

1,491

16,908

Global

Net

Lease,

Inc.

353

5,613

Healthcare

Realty

Trust,

Inc.

484

14,578

Hersha

Hospitality

Trust

1,810

10,027

Independence

Realty

Trust,

Inc.

3,032

35,141

Innovative

Industrial

Properties,

Inc.

52

6,454

iStar

,

Inc.

900

10,629

Lexington

Realty

Trust

5,578

58,290

LTC

Properties,

Inc.

246

8,576

Mack-Cali

Realty

Corp.

1,073

13,541

Monmouth

Real

Estate

Investment

Corp.

1,998

27,672

National

Health

Investors,

Inc.

350

21,094

New

Senior

Investment

Group,

Inc.

3,218

12,872

NexPoint

Residential

Trust,

Inc.

612

27,142

Office

Properties

Income

Trust

1,362

28,221

Physicians

Realty

Trust

317

5,677

Piedmont

Office

Realty

Trust,

Inc.,

Class

A

1,705

23,137

PotlatchDeltic

Corp.

195

8,210

PS

Business

Parks,

Inc.

107

13,096

QTS

Realty

Trust,

Inc.,

Class

A

439

27,666

Retail

Properties

of

America,

Inc.,

Class

A

896

5,206

Retail

Value,

Inc.

504

6,335

Sabra

Health

Care

REIT,

Inc.

1,676

23,104

Safehold

,

Inc.

150

9,315

Service

Properties

Trust

943

7,497

Sunstone

Hotel

Investors,

Inc.

2,786

22,121

Uniti

Group,

Inc.

4,954

52,190

Universal

Health

Realty

Income

Trust

270

15,387

Urban

Edge

Properties

2,302

22,375

Urstadt

Biddle

Properties,

Inc.,

Class

A

852

7,838

Whitestone

REIT

1,367

8,202

73

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.9%

(continued)

Xenia

Hotels

&

Resorts,

Inc.

904

7,937

710,903

Food

&

Staples

Retailing

-

1.4%

BJ's

Wholesale

Club

Holdings,

Inc.

*

1,239

51,480

Ingles

Markets,

Inc.,

Class

A

2,118

80,569

Performance

Food

Group

Co.

*

1,223

42,340

Rite

Aid

Corp.

*(a)

2,717

25,784

SpartanNash

Co.

1,631

26,667

United

Natural

Foods,

Inc.

*

1,376

20,461

Village

Super

Market,

Inc.,

Class

A

401

9,869

Weis

Markets,

Inc.

135

6,480

263,650

Food

Products

-

1.2%

B&G

Foods,

Inc.

1,173

32,574

Darling

Ingredients,

Inc.

*

368

13,259

Fresh

Del

Monte

Produce,

Inc.

1,933

44,305

John

B

Sanfilippo

&

Son,

Inc.

1,126

84,878

Seneca

Foods

Corp.,

Class

A

*

1,366

48,807

223,823

Gas

Utilities

-

0.1%

ONE

Gas,

Inc.

402

27,742

Health

Care

Equipment

&

Supplies

-

1.9%

Cantel

Medical

Corp.

112

4,921

Co-Diagnostics,

Inc.

*(a)

621

8,439

Electromed

,

Inc.

*

1,581

16,458

Integer

Holdings

Corp.

*

930

54,879

Invacare

Corp.

4,823

36,269

iRhythm

Technologies,

Inc.

*(a)

151

35,955

Lantheus

Holdings,

Inc.

*

511

6,474

Meridian

Bioscience,

Inc.

*

1,330

22,583

Nevro

Corp.

*

267

37,193

NuVasive

,

Inc.

*

225

10,928

Repro-Med

Systems,

Inc.

*

1,321

9,538

Retractable

Technologies,

Inc.

*

1,514

10,083

Utah

Medical

Products,

Inc.

89

7,109

Wright

Medical

Group

NV

*

1,586

48,437

Zynex

,

Inc.

*

2,066

36,052

345,318

Health

Care

Providers

&

Services

-

3.8%

Addus

HomeCare

Corp.

*

86

8,128

AMN

Healthcare

Services,

Inc.

*

1,348

78,804

Brookdale

Senior

Living,

Inc.

*

3,936

9,997

Community

Health

Systems,

Inc.

*

6,375

26,902

CorVel

Corp.

*

762

65,098

Ensign

Group,

Inc.

(The)

749

42,738

Joint

Corp.

(The)

*

624

10,851

LHC

Group,

Inc.

*

119

25,295

Magellan

Health,

Inc.

*

732

55,471

National

Research

Corp.

770

37,892

Owens

&

Minor,

Inc.

4,027

101,118

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Providers

&

Services

-

3.8%

(continued)

Patterson

Cos.,

Inc.

3,313

79,860

Select

Medical

Holdings

Corp.

*

1,362

28,357

Tenet

Healthcare

Corp.

*

1,801

44,142

Triple-S

Management

Corp.,

Class

B

*

3,930

70,229

684,882

Health

Care

Technology

-

0.6%

Computer

Programs

and

Systems,

Inc.

545

15,048

HMS

Holdings

Corp.

*

256

6,131

NantHealth

,

Inc.

*

6,004

14,049

NextGen

Healthcare,

Inc.

*

719

9,160

Omnicell

,

Inc.

*

757

56,518

100,906

Hotels,

Restaurants

&

Leisure

-

2.1%

Biglari

Holdings,

Inc.,

Class

B

*

202

17,980

Boyd

Gaming

Corp.

(a)

358

10,987

Brinker

International,

Inc.

1,203

51,392

Caesars

Entertainment,

Inc.

*

578

32,403

Carrols

Restaurant

Group,

Inc.

*

750

4,838

Cracker

Barrel

Old

Country

Store,

Inc.

195

22,359

Dave

&

Buster's

Entertainment,

Inc.

594

9,005

Dine

Brands

Global,

Inc.

126

6,878

Fiesta

Restaurant

Group,

Inc.

*

1,732

16,229

International

Game

Technology

plc

1,256

13,979

Jack

in

the

Box,

Inc.

82

6,503

Marriott

Vacations

Worldwide

Corp.

448

40,683

Papa

John's

International,

Inc.

293

24,108

Penn

National

Gaming,

Inc.

*(a)

461

33,515

RCI

Hospitality

Holdings,

Inc.

1,233

25,153

Texas

Roadhouse,

Inc.

566

34,407

Wingstop

,

Inc.

234

31,976

382,395

Household

Durables

-

4.1%

Beazer

Homes

USA,

Inc.

*

553

7,299

Century

Communities,

Inc.

*(a)

540

22,858

Green

Brick

Partners,

Inc.

*

349

5,619

Helen

of

Troy

Ltd.

*

136

26,319

Installed

Building

Products,

Inc.

*

344

35,002

iRobot

Corp.

*(a)

93

7,059

KB

Home

1,670

64,111

La-Z-Boy,

Inc.

329

10,406

M/I

Homes,

Inc.

*

1,633

75,200

MDC

Holdings,

Inc.

1,539

72,487

Meritage

Homes

Corp.

*

1,597

176,293

Purple

Innovation,

Inc.

*

1,712

42,560

Taylor

Morrison

Home

Corp.

*

2,081

51,172

TopBuild

Corp.

*

433

73,909

TRI

Pointe

Group,

Inc.

*

2,439

44,243

Turtle

Beach

Corp.

*(a)

268

4,878

74

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

4.1%

(continued)

Universal

Electronics,

Inc.

*

545

20,568

739,983

Household

Products

-

0.1%

WD-40

Co.

128

24,232

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Brookfield

Renewable

Corp.

646

37,856

Clearway

Energy,

Inc.,

Class

C

817

22,026

Ormat

Technologies,

Inc.

496

29,319

89,201

Insurance

-

2.7%

American

Equity

Investment

Life

Holding

Co.

355

7,806

CNO

Financial

Group,

Inc.

316

5,069

eHealth,

Inc.

*

674

53,246

Employers

Holdings,

Inc.

3,431

103,788

Genworth

Financial,

Inc.,

Class

A

*

7,815

26,180

Heritage

Insurance

Holdings,

Inc.

1,556

15,747

Horace

Mann

Educators

Corp.

552

18,437

Kinsale

Capital

Group,

Inc.

393

74,741

National

General

Holdings

Corp.

632

21,330

National

Western

Life

Group,

Inc.,

Class

A

88

16,084

Selective

Insurance

Group,

Inc.

1,308

67,349

Stewart

Information

Services

Corp.

895

39,138

Trupanion

,

Inc.

*(a)

295

23,275

Universal

Insurance

Holdings,

Inc.

1,296

17,937

490,127

Interactive

Media

&

Services

-

0.0%

(d)

EverQuote

,

Inc.,

Class

A

*

196

7,573

Internet

&

Direct

Marketing

Retail

-

1.6%

1-800-Flowers.com,

Inc.,

Class

A

*

2,092

52,174

CarParts.com,

Inc.

*(a)

2,236

24,171

Duluth

Holdings,

Inc.,

Class

B

*(a)

1,258

15,373

Groupon,

Inc.

*

664

13,546

Lands'

End,

Inc.

*

2,259

29,435

Magnite

,

Inc.

*

921

6,396

PetMed

Express,

Inc.

(a)

1,727

54,608

Stamps.com,

Inc.

*

327

78,791

Stitch

Fix,

Inc.,

Class

A

*(a)

326

8,844

283,338

IT

Services

-

2.3%

Cardtronics

plc,

Class

A

*

1,458

28,868

Conduent

,

Inc.

*

1,511

4,805

EVERTEC,

Inc.

1,377

47,796

Hackett

Group,

Inc.

(The)

970

10,845

KBR,

Inc.

3,480

77,813

MAXIMUS,

Inc.

991

67,794

Perspecta

,

Inc.

2,308

44,891

Sykes

Enterprises,

Inc.

*

2,897

99,106

TTEC

Holdings,

Inc.

308

16,801

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

2.3%

(continued)

Unisys

Corp.

*(a)

1,569

16,741

415,460

Leisure

Products

-

2.7%

Acushnet

Holdings

Corp.

2,335

78,479

American

Outdoor

Brands,

Inc.

*

233

3,036

Callaway

Golf

Co.

(a)

273

5,225

Johnson

Outdoors,

Inc.,

Class

A

1,307

107,030

Malibu

Boats,

Inc.,

Class

A

*

1,033

51,195

MasterCraft

Boat

Holdings,

Inc.

*

894

15,636

Nautilus,

Inc.

*

4,049

69,481

Smith

&

Wesson

Brands,

Inc.

932

14,465

Sturm

Ruger

&

Co.,

Inc.

204

12,477

Vista

Outdoor,

Inc.

*

2,711

54,708

YETI

Holdings,

Inc.

*

1,603

72,648

484,380

Life

Sciences

Tools

&

Services

-

1.3%

Fluidigm

Corp.

*(a)

2,093

15,551

Luminex

Corp.

201

5,276

Medpace

Holdings,

Inc.

*

1,261

140,917

NeoGenomics

,

Inc.

*(a)

2,236

82,486

244,230

Machinery

-

1.3%

Columbus

McKinnon

Corp.

438

14,498

Greenbrier

Cos.,

Inc.

(The)

334

9,820

Kennametal,

Inc.

558

16,148

Lydall

,

Inc.

*

311

5,144

Meritor,

Inc.

*

3,666

76,766

Miller

Industries,

Inc.

384

11,739

Mueller

Industries,

Inc.

2,028

54,878

Rexnord

Corp.

422

12,592

Shyft

Group,

Inc.

(The)

600

11,328

Wabash

National

Corp.

1,354

16,194

229,107

Media

-

0.2%

TEGNA,

Inc.

3,120

36,660

Metals

&

Mining

-

1.8%

Arconic

Corp.

*

1,274

24,270

Caledonia

Mining

Corp.

plc

(South

Africa)

284

4,825

Commercial

Metals

Co.

5,305

105,994

Ryerson

Holding

Corp.

*

17,834

102,189

Schnitzer

Steel

Industries,

Inc.,

Class

A

1,155

22,210

Warrior

Met

Coal,

Inc.

1,835

31,342

Worthington

Industries,

Inc.

778

31,727

322,557

75

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.7%

Apollo

Commercial

Real

Estate

Finance,

Inc.

2,545

22,931

Blackstone

Mortgage

Trust,

Inc.,

Class

A

1,590

34,932

Chimera

Investment

Corp.

1,796

14,727

Hannon

Armstrong

Sustainable

Infrastructure

Capital,

Inc.

701

29,631

PennyMac

Mortgage

Investment

Trust

1,075

17,275

119,496

Multiline

Retail

-

0.2%

Big

Lots,

Inc.

(a)

405

18,063

Macy's,

Inc.

(a)

3,001

17,106

35,169

Oil,

Gas

&

Consumable

Fuels

-

0.6%

Bonanza

Creek

Energy,

Inc.

*

631

11,863

CNX

Resources

Corp.

*

1,165

10,998

Diamond

S

Shipping,

Inc.

*

892

6,128

Montage

Resources

Corp.

*

1,062

4,662

Penn

Virginia

Corp.

*

1,363

13,426

Renewable

Energy

Group,

Inc.

*

1,031

55,076

World

Fuel

Services

Corp.

497

10,531

112,684

Paper

&

Forest

Products

-

1.3%

Boise

Cascade

Co.

4,202

167,744

Clearwater

Paper

Corp.

*

944

35,815

Schweitzer-Mauduit

International,

Inc.

309

9,390

Verso

Corp.,

Class

A

2,939

23,189

236,138

Personal

Products

-

0.7%

Edgewell

Personal

Care

Co.

*

762

21,245

Inter

Parfums

,

Inc.

175

6,536

Lifevantage

Corp.

*

2,234

26,964

Medifast

,

Inc.

198

32,561

USANA

Health

Sciences,

Inc.

*

555

40,876

128,182

Pharmaceuticals

-

1.2%

AMAG

Pharmaceuticals,

Inc.

*(a)

622

5,847

Aquestive

Therapeutics,

Inc.

*

1,034

5,020

Axsome

Therapeutics,

Inc.

*

134

9,547

Collegium

Pharmaceutical,

Inc.

*

453

9,431

Corcept

Therapeutics,

Inc.

*

4,014

69,864

Durect

Corp.

*(a)

6,909

11,814

Endo

International

plc

*

4,207

13,883

Evofem

Biosciences,

Inc.

*

1,127

2,660

Kala

Pharmaceuticals,

Inc.

*

683

5,123

Lannett

Co.,

Inc.

*

3,323

20,304

Mallinckrodt

plc

*(a)

11,755

11,441

MyoKardia

,

Inc.

*

302

41,172

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

1.2%

(continued)

Osmotica

Pharmaceuticals

plc

*

952

5,150

Supernus

Pharmaceuticals,

Inc.

*

691

14,400

225,656

Professional

Services

-

1.8%

Barrett

Business

Services,

Inc.

563

29,524

CBIZ,

Inc.

*

595

13,608

Heidrick

&

Struggles

International,

Inc.

303

5,954

ICF

International,

Inc.

253

15,567

Kelly

Services,

Inc.,

Class

A

3,650

62,196

Kforce

,

Inc.

4,095

131,736

Mastech

Digital,

Inc.

*

1,731

31,175

Resources

Connection,

Inc.

653

7,542

TrueBlue

,

Inc.

*

1,391

21,547

318,849

Real

Estate

Management

&

Development

-

0.3%

Cushman

&

Wakefield

plc

*(a)

739

7,767

eXp

World

Holdings,

Inc.

*

883

35,620

Realogy

Holdings

Corp.

*

611

5,768

Redfin

Corp.

*

134

6,691

55,846

Road

&

Rail

-

0.5%

ArcBest

Corp.

2,092

64,977

Avis

Budget

Group,

Inc.

*

793

20,872

85,849

Semiconductors

&

Semiconductor

Equipment

-

4.7%

Amkor

Technology,

Inc.

*

10,736

120,243

Cabot

Microelectronics

Corp.

698

99,681

Diodes,

Inc.

*

2,232

125,996

FormFactor

,

Inc.

*

4,004

99,820

Ichor

Holdings

Ltd.

*

1,918

41,371

Lattice

Semiconductor

Corp.

*

2,857

82,739

NeoPhotonics

Corp.

*

3,930

23,934

Onto

Innovation,

Inc.

*

552

16,439

Photronics

,

Inc.

*

6,993

69,650

Power

Integrations,

Inc.

934

51,744

SMART

Global

Holdings,

Inc.

*

1,805

49,349

Synaptics

,

Inc.

*

493

39,647

Ultra

Clean

Holdings,

Inc.

*

1,239

26,589

847,202

Software

-

3.6%

ACI

Worldwide,

Inc.

*

1,433

37,444

American

Software,

Inc.,

Class

A

559

7,848

Appfolio

,

Inc.,

Class

A

*

195

27,653

Avaya

Holdings

Corp.

*

1,114

16,933

Box,

Inc.,

Class

A

*

421

7,308

Cerence

,

Inc.

*

187

9,139

Cloudera,

Inc.

*

2,066

22,499

Digital

Turbine,

Inc.

*

2,610

85,451

Domo,

Inc.,

Class

B

*

241

9,237

76

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Software

-

3.6%

(continued)

Intelligent

Systems

Corp.

*

453

17,658

J2

Global,

Inc.

*

1,817

125,773

Mitek

Systems,

Inc.

*

385

4,905

Progress

Software

Corp.

842

30,885

Qualys

,

Inc.

*

786

77,036

SecureWorks

Corp.,

Class

A

*

1,605

18,281

Smith

Micro

Software,

Inc.

*

1,650

6,154

SPS

Commerce,

Inc.

*

1,234

96,092

Verint

Systems,

Inc.

*

850

40,953

Xperi

Holding

Corp.

677

7,779

649,028

Specialty

Retail

-

3.7%

Aaron's,

Inc.

209

11,840

Asbury

Automotive

Group,

Inc.

*

328

31,964

Bed

Bath

&

Beyond,

Inc.

531

7,954

Citi

Trends,

Inc.

460

11,491

GameStop

Corp.,

Class

A

*(a)

3,786

38,617

Genesco,

Inc.

*

486

10,468

Group

1

Automotive,

Inc.

783

69,209

Hibbett

Sports,

Inc.

*

1,538

60,320

Lithia

Motors,

Inc.,

Class

A

260

59,264

MarineMax

,

Inc.

*

1,000

25,670

Murphy

USA,

Inc.

*

309

39,635

ODP

Corp.

(The)

2,919

56,775

RH

*

88

33,671

Sally

Beauty

Holdings,

Inc.

*

3,394

29,494

Shoe

Carnival,

Inc.

987

33,144

Signet

Jewelers

Ltd.

1,563

29,228

Sleep

Number

Corp.

*

581

28,417

Sonic

Automotive,

Inc.,

Class

A

1,007

40,441

Sportsman's

Warehouse

Holdings,

Inc.

*(a)

574

8,214

Zumiez

,

Inc.

*

1,744

48,518

674,334

Technology

Hardware,

Storage

&

Peripherals

-

0.1%

Avid

Technology,

Inc.

*

1,064

9,108

Super

Micro

Computer,

Inc.

*

550

14,520

23,628

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Crocs,

Inc.

*

133

5,683

Deckers

Outdoor

Corp.

*

311

68,423

G-III

Apparel

Group

Ltd.

*(a)

4,933

64,672

Kontoor

Brands,

Inc.

730

17,666

Lakeland

Industries,

Inc.

*(a)

732

14,493

Steven

Madden

Ltd.

2,476

48,282

219,219

Thrifts

&

Mortgage

Finance

-

2.9%

Axos

Financial,

Inc.

*

457

10,653

Flagstar

Bancorp,

Inc.

2,872

85,097

HomeStreet

,

Inc.

849

21,870

Meta

Financial

Group,

Inc.

400

7,688

INVESTMENTS

SHARES

VALUE

($)

Thrifts

&

Mortgage

Finance

-

2.9%

(continued)

Mr

Cooper

Group,

Inc.

*

5,600

124,992

PennyMac

Financial

Services,

Inc.

1,842

107,057

Radian

Group,

Inc.

5,401

78,909

Walker

&

Dunlop,

Inc.

1,411

74,783

Washington

Federal,

Inc.

862

17,981

529,030

Tobacco

-

0.3%

Turning

Point

Brands,

Inc.

2,045

57,056

Trading

Companies

&

Distributors

-

2.1%

BMC

Stock

Holdings,

Inc.

*

3,112

133,287

CAI

International,

Inc.

1,052

28,962

Foundation

Building

Materials,

Inc.

*

333

5,235

GMS,

Inc.

*

3,533

85,145

Rush

Enterprises,

Inc.,

Class

A

730

36,894

Textainer

Group

Holdings

Ltd.

(China)

*

869

12,305

Triton

International

Ltd.

170

6,914

Veritiv

Corp.

*

3,750

47,475

WESCO

International,

Inc.

*

552

24,299

380,516

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

336

14,930

TOTAL

COMMON

STOCKS

(Cost

$15,249,622)

16,970,327

PREFERRED

STOCKS

-

0.1%

Diversified

Telecommunication

Services

-

0.0%

(d)

GCI

Liberty,

Inc.,

Series

A,

7.00%,

3/10/2039

(e)

105

2,940

Trading

Companies

&

Distributors

-

0.1%

WESCO

International,

Inc.,

Series

A,

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

10.33%),

10.63%,

6/22/2025

(e)(f)

247

6,916

TOTAL

PREFERRED

STOCKS

(Cost

$7,461)

9,856

SHORT-TERM

INVESTMENTS

-

4.9%

INVESTMENT

COMPANIES

-

4.9%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(g)

(Cost

$897,090)

897,193

897,013

77

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

4.1%

Investment

Companies

-

4.1%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(g)(h)

97,786

97,786

Limited

Purpose

Cash

Investment

Fund

0.12%

(g)(h)

637,017

636,889

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$734,802)

734,675

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

102.7%

(Cost

$16,888,975)

18,611,871

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(2.7)%

(

i

)

(488,127)

NET

ASSETS

-

100.0%

18,123,744

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

184,541

1.0

%

Consumer

Discretionary

3,186,577

17.6

Consumer

Staples

840,017

4.6

Energy

148,968

0.8

Financials

2,441,967

13.5

Health

Care

3,068,636

16.9

Industrials

2,928,557

16.2

Information

Technology

2,638,740

14.6

Materials

625,332

3.5

Real

Estate

766,749

4.2

Utilities

150,099

0.8

Short-Term

Investments

897,013

4.9

Securities

Lending

Collateral

734,675

4.1

Total

Investments

In

Securities

At

Value

18,611,871

102.7

Liabilities

in

Excess

of

Other

Assets

(

i

)

(488,127)

(2.7)

Net

Assets

$

18,123,744

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$770,676.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$10,928

or

0.06%

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

September

30,

2020

amounted

to

$18,741,

which

represents

approximately

0.10%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

September

30,

2020.

The

maturity

date

reflects

the

next

call

date.

(f)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

September

30,

2020.

(g)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(h)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$59,971

was

received.

(i)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

13

12/2020

USD

$

977,860

$

(7,750)

$

(7,750)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

75,151

$

75,151

78

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.0%

Australia

-

6.9%

Afterpay

Ltd.

*

13,384

788,915

Aurizon

Holdings

Ltd.

195,881

602,603

BHP

Group

Ltd.

31,889

823,808

BHP

Group

plc

52,610

1,122,390

BlueScope

Steel

Ltd.

190,973

1,759,590

Crown

Resorts

Ltd.

51,304

325,906

CSL

Ltd.

7,779

1,606,883

Dexus

,

REIT

33,527

214,738

Fortescue

Metals

Group

Ltd.

219,774

2,581,911

Goodman

Group,

REIT

30,886

399,894

GPT

Group

(The),

REIT

35,606

100,167

REA

Group

Ltd.

7,131

567,833

Rio

Tinto

Ltd.

3,006

205,314

Rio

Tinto

plc

24,340

1,464,598

Scentre

Group,

REIT

118,649

188,907

South32

Ltd.

270,327

401,181

Tabcorp

Holdings

Ltd.

31,341

75,473

Vicinity

Centres

,

REIT

73,435

73,333

13,303,444

—

Belgium

-

0.6%

Ageas

SA/NV

10,091

412,915

Galapagos

NV

*

4,376

620,384

Groupe

Bruxelles

Lambert

SA

1,467

132,253

UCB

SA

538

61,103

1,226,655

—

Canada

-

8.7%

Bank

of

Montreal

(1)

8,976

524,721

Bank

of

Nova

Scotia

(The)

(1)

11,936

495,888

Canadian

Apartment

Properties,

REIT

(1)

3,482

121,467

Canadian

Imperial

Bank

of

Commerce

(1)

9,268

692,760

Canadian

Pacific

Railway

Ltd.

(1)

3,586

1,090,841

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

12,832

1,292,500

CCL

Industries,

Inc.,

Class

B

(1)

2,455

94,656

CGI,

Inc.

(1)*

27,520

1,867,941

CI

Financial

Corp.

(1)

87,101

1,104,830

Constellation

Software,

Inc.

(1)

406

451,151

Great-West

Lifeco

,

Inc.

(1)(a)

2,283

44,612

iA

Financial

Corp.,

Inc.

(1)

10,212

355,470

IGM

Financial,

Inc.

(1)

3,247

74,448

Kinross

Gold

Corp.

(1)*

22,642

199,800

Kirkland

Lake

Gold

Ltd.

(1)

3,327

162,408

Magna

International,

Inc.

(1)

32,034

1,465,834

Manulife

Financial

Corp.

(1)

21,110

293,611

National

Bank

of

Canada

(1)

2,075

103,068

Open

Text

Corp.

(1)(a)

25,971

1,097,704

Pan

American

Silver

Corp.

(1)(a)

10,496

337,452

Royal

Bank

of

Canada

(1)

22,031

1,546,827

Shopify,

Inc.,

Class

A

(1)*(a)

1,166

1,192,393

Teck

Resources

Ltd.,

Class

B

(1)

73,079

1,017,524

Toronto-Dominion

Bank

(The)

(1)

22,474

1,040,533

16,668,439

—

INVESTMENTS

SHARES

VALUE

($)

Chile

-

0.1%

Lundin

Mining

Corp.

(1)

20,240

112,938

China

-

0.7%

BOC

Hong

Kong

Holdings

Ltd.

132,500

351,256

Wilmar

International

Ltd.

98,600

320,139

Yangzijiang

Shipbuilding

Holdings

Ltd.

827,900

604,769

1,276,164

—

Denmark

-

3.1%

Coloplast

A/S,

Class

B

5,868

930,014

DSV

Panalpina

A/S

2,578

418,160

Genmab

A/S

*

792

287,421

Novo

Nordisk

A/S,

Class

B

37,276

2,582,652

Pandora

A/S

23,562

1,699,711

5,917,958

—

Finland

-

1.8%

Kone

OYJ,

Class

B

2,317

203,441

Neste

OYJ

34,971

1,841,564

Nokia

OYJ

*

42,143

164,942

Orion

OYJ,

Class

B

24,312

1,101,495

Wartsila

OYJ

Abp

19,463

152,845

3,464,287

—

France

-

8.4%

Atos

SE

*

13,009

1,045,353

AXA

SA

9,013

166,812

BioMerieux

929

145,417

BNP

Paribas

SA

*

15,690

567,579

Bollore

SA

27,666

103,050

Cie

de

Saint-Gobain

*

27,401

1,147,751

CNP

Assurances

*

15,271

191,517

Electricite

de

France

SA

139,350

1,472,018

Engie

SA

*

28,418

379,765

Gecina

SA,

REIT

483

63,672

Ipsen

SA

1,925

201,228

L'Oreal

SA

7,631

2,483,349

LVMH

Moet

Hennessy

Louis

Vuitton

SE

468

218,978

Orange

SA

39,872

415,289

Peugeot

SA

*

129,487

2,348,177

Publicis

Groupe

SA

15,409

496,632

Sanofi

24,503

2,455,491

Schneider

Electric

SE

10,626

1,320,800

TOTAL

SE

14,533

499,100

Unibail

-

Rodamco

-Westfield,

REIT

4,856

179,088

Vivendi

SA

7,104

198,407

16,099,473

—

Germany

-

7.6%

Allianz

SE

(Registered)

6,784

1,302,052

Bayer

AG

(Registered)

41,640

2,568,927

Brenntag

AG

6,159

391,601

Commerzbank

AG

*(a)

12,839

63,139

Delivery

Hero

SE

*(b)

6,789

778,965

Deutsche

Boerse

AG

2,105

369,049

Deutsche

Post

AG

(Registered)

12,317

558,891

Deutsche

Wohnen

SE

4,001

199,967

Fresenius

SE

&

Co.

KGaA

2,780

126,419

GEA

Group

AG

7,694

269,584

79

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Germany

-

7.6%

(continued)

Hannover

Rueck

SE

1,252

193,823

HOCHTIEF

AG

2,076

161,159

Infineon

Technologies

AG

61,177

1,724,322

KION

Group

AG

(a)

1,225

104,602

Nemetschek

SE

2,498

182,582

SAP

SE

12,715

1,979,957

Siemens

AG

(Registered)

427

53,925

Siemens

Energy

AG

(1)*

214

5,757

Siemens

Healthineers

AG

(b)

3,143

141,084

Volkswagen

AG

(Preference)

1,756

282,560

Vonovia

SE

6,200

425,029

Zalando

SE

*(b)

28,149

2,629,959

14,513,353

—

Hong

Kong

-

3.0%

CK

Asset

Holdings

Ltd.

238,000

1,169,469

CLP

Holdings

Ltd.

78,000

728,306

Hong

Kong

Exchanges

&

Clearing

Ltd.

13,300

626,077

Kerry

Properties

Ltd.

113,000

290,618

Link,

REIT

13,000

106,527

Pacific

Century

Premium

Developments

Ltd.

*

3,240

854

PCCW

Ltd.

30,000

17,947

Power

Assets

Holdings

Ltd.

25,500

134,404

Sun

Hung

Kai

Properties

Ltd.

37,500

483,245

Swire

Pacific

Ltd.,

Class

A

12,500

60,518

WH

Group

Ltd.

(b)

2,374,000

1,936,489

Yue

Yuen

Industrial

Holdings

Ltd.

115,500

187,190

5,741,644

—

Italy

-

2.9%

Assicurazioni

Generali

SpA

19,889

280,324

DiaSorin

SpA

11,331

2,279,706

Enel

SpA

150,849

1,308,753

Leonardo

SpA

148,365

866,548

Prysmian

SpA

21,760

631,642

Telecom

Italia

SpA

596,063

238,905

5,605,878

—

Japan

-

20.9%

Acom

Co.

Ltd.

16,500

71,773

Amada

Co.

Ltd.

26,900

251,643

Bandai

Namco

Holdings,

Inc.

4,900

359,023

Brother

Industries

Ltd.

5,000

79,537

Chubu

Electric

Power

Co.,

Inc.

16,800

204,346

Dai-ichi

Life

Holdings,

Inc.

7,100

100,184

Daiwa

House

Industry

Co.

Ltd.

4,400

112,848

Fujitsu

Ltd.

19,100

2,609,398

Fukuoka

Financial

Group,

Inc.

39,500

663,913

Hitachi

Ltd.

39,300

1,330,677

ITOCHU

Corp.

92,700

2,373,663

Japan

Post

Holdings

Co.

Ltd.

22,800

155,474

Japan

Post

Insurance

Co.

Ltd.

121,200

1,908,330

Japan

Real

Estate

Investment

Corp.,

REIT

15

76,688

Japan

Tobacco,

Inc.

7,900

144,126

JGC

Holdings

Corp.

24,600

255,154

Kamigumi

Co.

Ltd.

9,800

193,113

KDDI

Corp.

23,600

593,577

INVESTMENTS

SHARES

VALUE

($)

Japan

-

20.9%

(continued)

Konami

Holdings

Corp.

6,600

285,506

Kyocera

Corp.

24,500

1,402,786

M3,

Inc.

5,700

352,581

Mitsubishi

Electric

Corp.

77,400

1,050,257

Mitsubishi

Estate

Co.

Ltd.

9,000

136,328

Mitsubishi

Gas

Chemical

Co.,

Inc.

9,100

169,291

Mitsubishi

UFJ

Financial

Group,

Inc.

180,700

721,152

Mitsui

Fudosan

Co.

Ltd.

7,000

121,812

Mizuho

Financial

Group,

Inc.

54,870

684,869

MS&AD

Insurance

Group

Holdings,

Inc.

68,700

1,850,999

Nexon

Co.

Ltd.

19,800

493,887

Nintendo

Co.

Ltd.

600

340,015

Nippon

Express

Co.

Ltd.

11,700

682,731

Nippon

Telegraph

&

Telephone

Corp.

93,200

1,902,834

Nitto

Denko

Corp.

3,000

195,446

Nomura

Holdings,

Inc.

415,700

1,899,720

Nomura

Real

Estate

Holdings,

Inc.

2,700

51,384

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

65

81,430

NTT

DOCOMO,

Inc.

16,700

613,660

Obayashi

Corp.

54,400

496,633

ORIX

Corp.

15,900

198,595

Resona

Holdings,

Inc.

653,300

2,225,683

Rohm

Co.

Ltd.

8,800

680,328

Sekisui

House

Ltd.

64,400

1,141,215

Shimano,

Inc.

900

177,656

Shimizu

Corp.

7,400

55,708

Shinsei

Bank

Ltd.

63,500

784,052

Sompo

Holdings,

Inc.

13,800

476,420

Square

Enix

Holdings

Co.

Ltd.

5,000

330,907

Subaru

Corp.

26,100

506,676

SUMCO

Corp.

76,100

1,073,702

Sumitomo

Dainippon

Pharma

Co.

Ltd.

7,200

94,877

Sumitomo

Heavy

Industries

Ltd.

10,400

241,965

Sumitomo

Mitsui

Financial

Group,

Inc.

50,900

1,423,205

Sumitomo

Mitsui

Trust

Holdings,

Inc.

25,300

673,076

T&D

Holdings,

Inc.

53,200

524,463

TDK

Corp.

2,300

251,143

Teijin

Ltd.

37,300

578,463

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

192,800

530,232

Tokyo

Electron

Ltd.

3,800

992,768

Toppan

Printing

Co.

Ltd.

3,800

53,713

Tosoh

Corp.

75,900

1,232,313

Toyota

Motor

Corp.

1,200

79,644

Yamaha

Corp.

1,600

76,737

Yokohama

Rubber

Co.

Ltd.

(The)

12,600

179,366

Z

Holdings

Corp.

83,300

556,396

40,156,091

—

Luxembourg

-

0.0%

(c)

ArcelorMittal

SA

*

6,298

83,784

80

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

5.0%

ASML

Holding

NV

6,469

2,389,475

ING

Groep

NV

38,548

275,112

Koninklijke

Ahold

Delhaize

NV

89,667

2,650,371

Koninklijke

Philips

NV

*

13,095

618,335

NN

Group

NV

10,822

405,649

Randstad

NV

*

13,117

683,992

Royal

Dutch

Shell

plc,

Class

B

41,664

505,262

Wolters

Kluwer

NV

24,121

2,057,581

9,585,777

—

Russia

-

0.2%

Evraz

plc

105,582

470,145

Singapore

-

1.3%

Ascendas

,

REIT

40,900

97,871

CapitaLand

Commercial

Trust,

REIT

70,800

85,848

Genting

Singapore

Ltd.

634,300

313,104

Venture

Corp.

Ltd.

146,000

2,073,056

2,569,879

—

South

Africa

-

0.3%

Anglo

American

plc

19,895

481,332

Spain

-

1.9%

Enagas

SA

18,029

415,986

Endesa

SA

20,549

549,645

Grifols

SA

33,572

965,367

Iberdrola

SA

59,144

727,979

Mapfre

SA

195,825

307,222

Red

Electrica

Corp.

SA

9,567

179,433

Repsol

SA

70,576

476,784

3,622,416

—

Sweden

-

2.9%

Atlas

Copco

AB,

Class

A

1,316

62,745

Atlas

Copco

AB,

Class

B

4,633

193,353

Boliden

AB

3,164

93,878

Essity

AB,

Class

B

44,813

1,512,943

Evolution

Gaming

Group

AB

(b)

2,130

140,736

Hennes

&

Mauritz

AB,

Class

B

56,097

966,437

ICA

Gruppen

AB

25,987

1,320,187

Investor

AB,

Class

B

2,740

178,976

Skanska

AB,

Class

B

23,967

506,150

SKF

AB,

Class

B

7,461

153,925

Swedish

Match

AB

1,210

98,938

Telefonaktiebolaget

LM

Ericsson,

Class

B

21,784

238,388

Volvo

AB,

Class

B

*

4,352

83,601

5,550,257

—

Switzerland

-

9.4%

Coca-Cola

HBC

AG

6,248

154,281

Credit

Suisse

Group

AG

(Registered)

27,503

274,554

Geberit

AG

(Registered)

765

452,593

LafargeHolcim

Ltd.

(Registered)

*

6,354

289,231

Lonza

Group

AG

(Registered)

814

502,348

Nestle

SA

(Registered)

23,630

2,812,255

Novartis

AG

(Registered)

49,999

4,341,129

Roche

Holding

AG

14,740

5,049,048

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

9.4%

(continued)

SGS

SA

(Registered)

205

549,367

Sonova

Holding

AG

(Registered)

*

6,756

1,712,073

STMicroelectronics

NV

40,096

1,229,745

Swatch

Group

AG

(The)

319

74,354

UBS

Group

AG

(Registered)

34,717

387,890

Zurich

Insurance

Group

AG

762

265,721

18,094,589

—

United

Kingdom

-

9.1%

3i

Group

plc

6,980

89,632

Admiral

Group

plc

8,308

280,190

AstraZeneca

plc

8,510

929,841

Auto

Trader

Group

plc

(b)

51,444

373,504

Aviva

plc

651,689

2,411,079

BAE

Systems

plc

101,694

631,572

Barclays

plc

581,913

734,118

Barratt

Developments

plc

66,145

405,649

Berkeley

Group

Holdings

plc

2,934

159,940

British

American

Tobacco

plc

31,716

1,137,695

BT

Group

plc

1,377,991

1,745,393

CK

Hutchison

Holdings

Ltd.

102,000

618,095

Compass

Group

plc

21,364

320,925

Direct

Line

Insurance

Group

plc

82,290

287,004

Fiat

Chrysler

Automobiles

NV

*

12,865

157,917

GlaxoSmithKline

plc

39,386

738,389

GVC

Holdings

plc

138,634

1,736,285

Imperial

Brands

plc

10,124

178,825

JD

Sports

Fashion

plc

9,063

94,605

Kingfisher

plc

201,597

772,198

Legal

&

General

Group

plc

32,811

80,041

London

Stock

Exchange

Group

plc

3,501

401,624

M&G

plc

38,482

79,097

Next

plc

12,563

963,170

Ocado

Group

plc

*

8,887

314,327

Persimmon

plc

19,342

616,399

RELX

plc

3,860

85,916

Smith

&

Nephew

plc

7,933

155,402

Taylor

Wimpey

plc

222,238

310,753

Vodafone

Group

plc

147,859

195,977

Wm

Morrison

Supermarkets

plc

194,013

425,846

17,431,408

—

Zambia

-

0.2%

First

Quantum

Minerals

Ltd.

(1)

45,998

410,046

TOTAL

COMMON

STOCKS

(Cost

$156,963,314)

182,385,957

SHORT-TERM

INVESTMENTS

-

3.6%

INVESTMENT

COMPANIES

-

3.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(d)

(Cost

$6,927,586)

6,928,150

6,926,765

81

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

1.3%

Investment

Companies

-

1.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(d)(e)

328,870

328,870

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(d)(e)

2,142,398

2,141,969

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$2,471,268)

2,470,839

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.9%

(Cost

$166,362,168)

191,783,561

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.1%

(f)

137,773

NET

ASSETS

-

100.0%

191,921,334

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

9,469,719

4.9

%

Consumer

Discretionary

21,172,367

11.0

Consumer

Staples

15,175,444

7.9

Energy

3,322,710

1.7

Financials

31,753,381

16.6

Health

Care

30,567,616

15.9

Industrials

20,312,630

10.6

Information

Technology

24,846,262

13.0

Materials

14,287,502

7.4

Real

Estate

4,841,702

2.5

Utilities

6,636,624

3.5

Short-Term

Investments

6,926,765

3.6

Securities

Lending

Collateral

2,470,839

1.3

Total

Investments

In

Securities

At

Value

191,783,561

99.9

Other

Assets

in

Excess

of

Liabilities

(f

)

137,773

0.1

Net

Assets

$

191,921,334

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$2,353,087.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$6,000,737,

which

represents

approximately

3.13%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

79

12/2020

USD

$

7,320,140

$

(192,848)

$

(192,848)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

916,557

$

916,557

82

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.4%

Brazil

-

3.9%

Atacadao

SA

(1)*

163,600

596,906

Banco

Bradesco

SA

(Preference)

(1)

163,700

565,789

Banco

BTG

Pactual

SA

(1)*

10,400

134,910

Banco

do

Brasil

SA

(1)*

73,000

385,025

CCR

SA

(1)

162,600

366,841

Cia

de

Saneamento

Basico

do

Estado

de

Sao

Paulo

(1)*

71,200

593,344

Cia

Energetica

de

Minas

Gerais

(Preference)

(1)*

117,462

211,251

Cielo

SA

(1)*

547,900

383,420

Cosan

SA

(1)

36,200

440,454

Engie

Brasil

Energia

SA

(1)

20,400

146,573

Itau

Unibanco

Holding

SA

(Preference)

(1)

115,300

461,947

Itausa

SA

(Preference)

(1)

97,700

153,094

Lojas

Americanas

SA

(Preference)

(1)*

209,400

1,058,578

Lojas

Renner

SA

(1)*

38,000

268,292

Notre

Dame

Intermedica

Participacoes

SA

(1)

74,500

863,080

Petrobras

Distribuidora

SA

(1)

855,200

3,068,480

Petroleo

Brasileiro

SA

(Preference)

(1)

100,000

349,187

Sul

America

SA

(1)

18,585

131,150

TIM

Participacoes

SA,

ADR

(1)*

177,301

2,044,280

Ultrapar

Participacoes

SA

(1)

318,400

1,092,535

13,315,136

—

Chile

-

0.9%

Banco

de

Chile,

ADR

(1)

8,486

128,308

Banco

de

Credito

e

Inversiones

SA

(1)

4,230

133,625

Cencosud

SA

(1)

970,474

1,421,596

Cia

Cervecerias

Unidas

SA,

ADR

(1)

16,524

214,316

Enel

Americas

SA,

ADR

(1)

143,304

925,744

Enel

Chile

SA,

ADR

(1)

27,662

95,157

2,918,746

—

China

-

40.7%

Agricultural

Bank

of

China

Ltd.,

Class

A

900,500

421,478

Alibaba

Group

Holding

Ltd.,

ADR

(1)*

93,794

27,573,559

Alibaba

Health

Information

Technology

Ltd.

*

46,000

113,117

A-Living

Services

Co.

Ltd.,

Class

H

(a)

483,750

2,474,962

Anhui

Conch

Cement

Co.

Ltd.,

Class

A

48,323

395,908

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

420,000

2,909,042

Autohome

,

Inc.,

ADR

(1)

3,195

306,720

BAIC

Motor

Corp.

Ltd.,

Class

H

(a)

1,250,000

511,455

Baidu,

Inc.,

ADR

(1)*

13,748

1,740,359

Bank

of

Beijing

Co.

Ltd.,

Class

A

203,478

140,683

Bank

of

China

Ltd.,

Class

A

803,600

379,793

INVESTMENTS

SHARES

VALUE

($)

China

-

40.7%

(continued)

Bank

of

Communications

Co.

Ltd.,

Class

A

216,500

145,147

Bank

of

Ningbo

Co.

Ltd.,

Class

A

54,000

251,653

Bank

of

Shanghai

Co.

Ltd.,

Class

A

131,211

157,753

Baoshan

Iron

&

Steel

Co.

Ltd.,

Class

A

326,022

240,548

BOE

Technology

Group

Co.

Ltd.,

Class

A

571,800

416,635

BYD

Co.

Ltd.,

Class

A

31,300

539,994

BYD

Electronic

International

Co.

Ltd.

578,000

2,933,358

China

CITIC

Bank

Corp.

Ltd.,

Class

H

345,000

133,701

China

Communications

Services

Corp.

Ltd.,

Class

H

214,000

126,336

China

Construction

Bank

Corp.,

Class

H

3,587,000

2,330,734

China

Everbright

Bank

Co.

Ltd.,

Class

A

322,100

173,643

China

Everbright

Bank

Co.

Ltd.,

Class

H

451,000

142,630

China

Everbright

Environment

Group

Ltd.

1,821,000

1,041,131

China

Evergrande

Group

786,000

2,017,184

China

Hongqiao

Group

Ltd.

1,064,500

666,884

China

Lesso

Group

Holdings

Ltd.

100,000

181,614

China

Medical

System

Holdings

Ltd.

858,000

949,396

China

Merchants

Bank

Co.

Ltd.,

Class

A

93,558

498,559

China

Merchants

Securities

Co.

Ltd.,

Class

A

81,600

261,047

China

Minsheng

Banking

Corp.

Ltd.,

Class

A

199,255

156,013

China

Mobile

Ltd.

894,000

5,738,841

China

National

Building

Material

Co.

Ltd.,

Class

H

2,240,000

2,854,760

China

Overseas

Land

&

Investment

Ltd.

400,000

1,010,391

China

Pacific

Insurance

Group

Co.

Ltd.,

Class

A

37,500

173,403

China

Petroleum

&

Chemical

Corp.,

Class

A

219,600

126,822

China

Resources

Land

Ltd.

302,000

1,377,369

China

Resources

Power

Holdings

Co.

Ltd.

138,000

153,057

China

Shipbuilding

Industry

Co.

Ltd.,

Class

A

*

237,500

152,663

China

State

Construction

Engineering

Corp.

Ltd.,

Class

A

293,300

220,568

China

Tourism

Group

Duty

Free

Corp.

Ltd.,

Class

A

38,492

1,269,538

China

Unicom

Hong

Kong

Ltd.

1,228,000

806,050

China

United

Network

Communications

Ltd.,

Class

A

202,100

145,083

China

Vanke

Co.

Ltd.,

Class

H

373,700

1,148,703

China

Yangtze

Power

Co.

Ltd.,

Class

A

66,950

189,338

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

284,000

104,980

83

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

China

-

40.7%

(continued)

CITIC

Securities

Co.

Ltd.,

Class

A

99,100

441,656

CNOOC

Ltd.,

ADR

(1)

11,283

1,083,732

Country

Garden

Holdings

Co.

Ltd.

1,935,000

2,395,966

Country

Garden

Services

Holdings

Co.

Ltd.

542,000

3,520,006

CSPC

Pharmaceutical

Group

Ltd.

49,600

96,822

Daqin

Railway

Co.

Ltd.,

Class

A

122,100

114,970

Far

East

Horizon

Ltd.

529,000

431,696

Foshan

Haitian

Flavouring

&

Food

Co.

Ltd.,

Class

A

20,160

483,663

GDS

Holdings

Ltd.,

ADR

(1)*

4,120

337,140

Great

Wall

Motor

Co.

Ltd.,

Class

H

874,500

1,115,527

Gree

Electric

Appliances,

Inc.

of

Zhuhai,

Class

A

28,730

227,107

Greentown

Service

Group

Co.

Ltd.

(b)

770,000

954,206

GSX

Techedu

,

Inc.,

ADR

(1)*

3,606

324,937

Guotai

Junan

Securities

Co.

Ltd.,

Class

A

94,200

254,821

Haier

Electronics

Group

Co.

Ltd.

559,000

2,032,259

Haier

Smart

Home

Co.

Ltd.,

Class

A

67,300

217,593

Haitong

Securities

Co.

Ltd.,

Class

A

117,600

246,701

Hangzhou

Hikvision

Digital

Technology

Co.

Ltd.,

Class

A

87,175

492,630

Hengan

International

Group

Co.

Ltd.

98,000

717,367

Huatai

Securities

Co.

Ltd.,

Class

A

88,600

269,790

Huaxia

Bank

Co.

Ltd.,

Class

A

165,100

149,522

Huazhu

Group

Ltd.,

ADR

(1)

8,063

348,644

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

A

201,700

146,547

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

906,000

471,932

Industrial

Bank

Co.

Ltd.,

Class

A

122,390

291,972

Inner

Mongolia

Yili

Industrial

Group

Co.

Ltd.,

Class

A

47,300

269,598

JD.com,

Inc.,

ADR

(1)*

40,735

3,161,443

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

73,249

973,579

Jiangsu

Yanghe

Brewery

Joint-

Stock

Co.

Ltd.,

Class

A

11,900

219,983

Jiangxi

Copper

Co.

Ltd.,

Class

H

415,000

466,654

Kunlun

Energy

Co.

Ltd.

558,000

368,460

Kweichow

Moutai

Co.

Ltd.,

Class

A

5,500

1,358,078

Luxshare

Precision

Industry

Co.

Ltd.,

Class

A

101,007

856,322

Luzhou

Laojiao

Co.

Ltd.,

Class

A

17,500

372,031

Meituan

Dianping

,

Class

B

*(b)

138,200

4,353,479

Momo

,

Inc.,

ADR

(1)

7,296

100,393

NARI

Technology

Co.

Ltd.,

Class

A

49,900

145,651

NetEase

,

Inc.,

ADR

(1)

4,286

1,948,716

New

China

Life

Insurance

Co.

Ltd.,

Class

A

21,800

200,449

New

Oriental

Education

&

Technology

Group,

Inc.,

ADR

(1)*

8,807

1,316,647

NIO,

Inc.,

ADR

(1)*

47,434

1,006,549

PetroChina

Co.

Ltd.,

Class

A

225,000

136,520

Pinduoduo

,

Inc.,

ADR

(1)*

11,590

859,399

Ping

An

Bank

Co.

Ltd.,

Class

A

121,485

272,899

INVESTMENTS

SHARES

VALUE

($)

China

-

40.7%

(continued)

Ping

An

Insurance

Group

Co.

of

China

Ltd.,

Class

A

51,900

585,912

SAIC

Motor

Corp.

Ltd.,

Class

A

83,200

235,417

Sany

Heavy

Industry

Co.

Ltd.,

Class

A

98,400

362,908

Semiconductor

Manufacturing

International

Corp.

*

810,500

1,897,499

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

540,000

1,080,444

Shanghai

Pudong

Development

Bank

Co.

Ltd.,

Class

A

140,963

195,654

Shenwan

Hongyuan

Group

Co.

Ltd.,

Class

A

204,000

160,396

Sinopec

Shanghai

Petrochemical

Co.

Ltd.,

Class

H

666,000

121,871

Sinopharm

Group

Co.

Ltd.,

Class

H

112,000

236,679

Sinotruk

Hong

Kong

Ltd.

916,500

2,361,975

Suning.com

Co.

Ltd.,

Class

A

107,400

144,484

TAL

Education

Group,

ADR

(1)*

17,856

1,357,770

Tencent

Holdings

Ltd.

293,400

19,817,230

Trip.com

Group

Ltd.,

ADR

(1)*

22,693

706,660

Vipshop

Holdings

Ltd.,

ADR

(1)*

27,558

431,007

Weichai

Power

Co.

Ltd.,

Class

H

219,000

443,136

Wuliangye

Yibin

Co.

Ltd.,

Class

A

22,800

746,285

Xiaomi

Corp.,

Class

B

*(a)

102,800

278,282

Yanzhou

Coal

Mining

Co.

Ltd.,

Class

H

592,000

442,399

Yonghui

Superstores

Co.

Ltd.,

Class

A

135,227

156,554

Yum

China

Holdings,

Inc.

(1)

20,707

1,096,436

Zhongsheng

Group

Holdings

Ltd.

472,500

2,972,268

Zhuzhou

CRRC

Times

Electric

Co.

Ltd.,

Class

H

88,400

297,027

ZTE

Corp.,

Class

H

530,600

1,275,669

ZTO

Express

Cayman,

Inc.,

ADR

(1)

20,269

606,448

139,367,068

—

Hong

Kong

-

0.2%

Kingboard

Laminates

Holdings

Ltd.

299,000

413,844

Nine

Dragons

Paper

Holdings

Ltd.

123,000

155,292

569,136

—

Hungary

-

0.0%

(c)

OTP

Bank

Nyrt

.

*

2,848

85,721

India

-

7.0%

Ambuja

Cements

Ltd.

205,822

605,854

Aurobindo

Pharma

Ltd.

285,518

3,091,819

Axis

Bank

Ltd.,

GDR

*(b)

9,982

294,199

Cipla

Ltd.

78,753

827,604

Colgate-Palmolive

India

Ltd.

9,190

178,841

Dabur

India

Ltd.

49,242

341,329

Divi's

Laboratories

Ltd.

24,217

1,002,600

Dr

Reddy's

Laboratories

Ltd.,

ADR

(1)

23,958

1,666,518

GAIL

India

Ltd.

583,029

688,932

HCL

Technologies

Ltd.

34,442

379,727

Hindalco

Industries

Ltd.

1,001,429

2,392,845

Hindustan

Unilever

Ltd.

37,121

1,043,201

Infosys

Ltd.,

ADR

(1)

213,342

2,946,253

84

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

India

-

7.0%

(continued)

Larsen

&

Toubro

Ltd.,

GDR

(b)

8,161

101,738

Motherson

Sumi

Systems

Ltd.

112,524

176,123

Piramal

Enterprises

Ltd.

104,732

1,784,721

Reliance

Industries

Ltd.,

GDR

(a)

40,357

2,450,918

State

Bank

of

India,

GDR

*(b)

3,839

97,512

Sun

Pharmaceutical

Industries

Ltd.

29,841

202,923

Tata

Consultancy

Services

Ltd.

45,337

1,533,861

Tech

Mahindra

Ltd.

21,002

226,035

Wipro

Ltd.,

ADR

(1)

268,460

1,261,762

Zee

Entertainment

Enterprises

Ltd.

248,337

705,908

24,001,223

—

Indonesia

-

1.1%

Adaro

Energy

Tbk

.

PT

17,159,700

1,317,973

Indah

Kiat

Pulp

&

Paper

Corp.

Tbk

.

PT

309,800

188,051

Indofood

CBP

Sukses

Makmur

Tbk

.

PT

168,100

113,940

Indofood

Sukses

Makmur

Tbk

.

PT

2,564,300

1,236,777

United

Tractors

Tbk

.

PT

536,000

823,529

3,680,270

—

Malaysia

-

2.4%

Hartalega

Holdings

Bhd.

576,100

2,256,408

Hong

Leong

Bank

Bhd.

38,100

138,247

Malayan

Banking

Bhd.

1,070,800

1,862,771

MISC

Bhd.

408,000

738,223

RHB

Bank

Bhd.

282,600

311,172

Sime

Darby

Bhd.

566,000

339,919

Telekom

Malaysia

Bhd.

164,500

163,866

Top

Glove

Corp.

Bhd.

1,217,500

2,441,099

8,251,705

—

Mexico

-

0.5%

Alsea

SAB

de

CV

(1)*

90,900

86,660

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

35,954

449,065

Grupo

Mexico

SAB

de

CV,

Series

B

(1)

79,800

203,005

Grupo

Televisa

SAB,

ADR

(1)*

157,829

975,384

Kimberly-Clark

de

Mexico

SAB

de

CV,

Class

A

(1)

69,000

109,531

1,823,645

—

Philippines

-

0.1%

International

Container

Terminal

Services,

Inc.

82,290

187,734

JG

Summit

Holdings,

Inc.

91,990

114,611

PLDT,

Inc.

5,935

163,101

465,446

—

Poland

-

1.3%

CD

Projekt

SA

*

20,683

2,239,511

Cyfrowy

Polsat

SA

*

68,854

481,897

Grupa

Lotos

SA

15,750

140,485

PGE

Polska

Grupa

Energetyczna

SA

*

233,153

387,159

Polski

Koncern

Naftowy

ORLEN

SA

65,403

776,210

INVESTMENTS

SHARES

VALUE

($)

Poland

-

1.3%

(continued)

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

191,547

250,594

4,275,856

—

Qatar

-

0.4%

Industries

Qatar

QSC

29,520

79,336

Qatar

Islamic

Bank

SAQ

27,416

123,030

Qatar

National

Bank

QPSC

241,970

1,198,326

1,400,692

—

Russia

-

2.2%

Gazprom

PJSC,

ADR

327,090

1,423,476

LUKOIL

PJSC,

ADR

24,117

1,393,503

MMC

Norilsk

Nickel

PJSC,

ADR

(1)

34,197

825,858

MMC

Norilsk

Nickel

PJSC,

ADR

19,737

476,119

Novatek

PJSC,

GDR

(b)

5,992

820,213

Novolipetsk

Steel

PJSC,

GDR

(b)

6,722

148,831

Polyus

PJSC,

GDR

(b)

3,814

401,815

Rosneft

Oil

Co.

PJSC,

GDR

(b)

78,075

383,521

Severstal

PAO,

GDR

(b)

32,200

408,817

Surgutneftegas

PJSC,

ADR

101,167

445,474

Tatneft

PJSC,

ADR

17,879

639,259

7,366,886

—

Saudi

Arabia

-

3.5%

Advanced

Petrochemical

Co.

8,644

136,456

Al

Rajhi

Bank

212,576

3,725,909

Alinma

Bank

*

134,358

586,285

Arab

National

Bank

82,369

447,051

Bank

AlBilad

29,266

188,961

Bank

Al-

Jazira

185,775

695,409

Banque

Saudi

Fransi

35,239

304,581

Etihad

Etisalat

Co.

*

93,455

712,549

Jarir

Marketing

Co.

6,399

320,357

National

Commercial

Bank

82,771

822,209

Riyad

Bank

141,090

703,155

Samba

Financial

Group

80,313

577,665

Saudi

Arabian

Fertilizer

Co.

4,445

97,263

Saudi

Arabian

Oil

Co.

(a)

112,080

1,073,382

Saudi

Basic

Industries

Corp.

47,654

1,125,459

Saudi

British

Bank

(The)

53,432

360,856

Saudi

Industrial

Investment

Group

30,047

186,733

12,064,280

—

South

Africa

-

2.8%

Absa

Group

Ltd.

18,478

97,907

Aspen

Pharmacare

Holdings

Ltd.

*

74,148

529,348

Foschini

Group

Ltd.

(The)

7,936

38,859

Gold

Fields

Ltd.,

ADR

(1)

124,736

1,533,005

Investec

Ltd.

65,777

123,465

Kumba

Iron

Ore

Ltd.

83,764

2,474,413

Momentum

Metropolitan

Holdings

142,171

131,246

Mr

Price

Group

Ltd.

53,035

415,872

MultiChoice

Group

49,770

287,494

Naspers

Ltd.,

Class

N

*

1,069

188,811

Ninety

One

Ltd.

*

34,024

89,660

Sasol

Ltd.

*

88,511

680,549

Sibanye

Stillwater

Ltd.

798,073

2,214,959

85

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

South

Africa

-

2.8%

(continued)

Telkom

SA

SOC

Ltd.

384,458

601,375

9,406,963

—

South

Korea

-

12.2%

BGF

retail

Co.

Ltd.

2,428

256,782

BNK

Financial

Group,

Inc.

109,011

471,663

CJ

Corp.

6,306

437,882

Daelim

Industrial

Co.

Ltd.

16,853

1,113,871

DB

Insurance

Co.

Ltd.

13,307

514,272

Doosan

Bobcat,

Inc.

34,889

805,369

E-MART,

Inc.

14,788

1,786,705

Hana

Financial

Group,

Inc.

54,204

1,302,147

Hanwha

Corp.

51,004

1,096,653

Hyundai

Department

Store

Co.

Ltd.

7,339

352,874

Hyundai

Glovis

Co.

Ltd.

13,718

1,686,708

Hyundai

Marine

&

Fire

Insurance

Co.

Ltd.

54,730

1,046,997

KB

Financial

Group,

Inc.

3,537

113,891

Kia

Motors

Corp.

86,156

3,455,023

Korea

Investment

Holdings

Co.

Ltd.

5,145

317,983

Korea

Zinc

Co.

Ltd.

3,506

1,131,536

Kumho

Petrochemical

Co.

Ltd.

4,830

453,119

LG

Electronics,

Inc.

56,638

4,436,622

LG

Innotek

Co.

Ltd.

9,990

1,318,357

LG

Uplus

Corp.

12,221

120,067

Lotte

Shopping

Co.

Ltd.

2,409

161,511

Meritz

Securities

Co.

Ltd.

95,251

263,967

NCSoft

Corp.

1,887

1,300,395

Pearl

Abyss

Corp.

*

1,228

211,473

POSCO

13,402

2,243,680

Posco

International

Corp.

69,052

788,505

S-1

Corp.

10,198

764,687

Samsung

Electronics

Co.

Ltd.

267,540

13,281,798

Shinhan

Financial

Group

Co.

Ltd.

4,081

95,743

Woori

Financial

Group,

Inc.

53,866

393,873

41,724,153

—

Taiwan

-

13.1%

Accton

Technology

Corp.

109,000

843,299

Asia

Cement

Corp.

165,000

237,742

Asustek

Computer,

Inc.

39,000

343,131

Catcher

Technology

Co.

Ltd.

165,000

1,042,552

Cathay

Financial

Holding

Co.

Ltd.

232,000

310,586

China

Life

Insurance

Co.

Ltd.

1,748,995

1,207,314

CTBC

Financial

Holding

Co.

Ltd.

938,480

599,597

E.Sun

Financial

Holding

Co.

Ltd.

830,003

739,190

Eva

Airways

Corp.

725,630

268,320

First

Financial

Holding

Co.

Ltd.

1,259,786

899,018

Foxconn

Technology

Co.

Ltd.

55,000

98,323

Fubon

Financial

Holding

Co.

Ltd.

249,000

362,323

Hon

Hai

Precision

Industry

Co.

Ltd.

67,000

180,130

Hua

Nan

Financial

Holdings

Co.

Ltd.

167,409

102,634

Mega

Financial

Holding

Co.

Ltd.

722,000

696,845

Nanya

Technology

Corp.

63,000

126,619

Novatek

Microelectronics

Corp.

28,000

258,279

Pegatron

Corp.

91,000

202,057

Pou

Chen

Corp.

902,000

819,271

Powertech

Technology,

Inc.

247,000

742,792

Realtek

Semiconductor

Corp.

85,000

1,089,559

INVESTMENTS

SHARES

VALUE

($)

Taiwan

-

13.1%

(continued)

Shanghai

Commercial

&

Savings

Bank

Ltd.

(The)

72,943

98,447

Shin

Kong

Financial

Holding

Co.

Ltd.

780,549

218,122

Taishin

Financial

Holding

Co.

Ltd.

1,199,151

533,528

Taiwan

Business

Bank

3,800,829

1,259,618

Taiwan

Cement

Corp.

67,845

97,612

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

306,067

207,205

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

262,259

21,261,336

Uni

-President

Enterprises

Corp.

542,000

1,173,842

United

Microelectronics

Corp.

5,503,000

5,428,037

Yuanta

Financial

Holding

Co.

Ltd.

501,280

310,360

Zhen

Ding

Technology

Holding

Ltd.

690,000

3,028,662

44,786,350

—

Tanzania,

United

Republic

of

-

0.2%

AngloGold

Ashanti

Ltd.,

ADR

(1)

23,272

613,915

Thailand

-

2.1%

Advanced

Info

Service

PCL,

NVDR

100,700

545,543

Bangkok

Bank

PCL,

NVDR

325,200

990,883

Bumrungrad

Hospital

PCL,

NVDR

46,900

141,356

Charoen

Pokphand

Foods

PCL,

NVDR

1,610,700

1,427,642

Indorama

Ventures

PCL,

NVDR

805,100

539,229

Kasikornbank

PCL,

NVDR

167,200

408,162

Krung

Thai

Bank

PCL,

NVDR

4,072,600

1,140,195

PTT

Exploration

&

Production

PCL,

NVDR

86,100

215,412

Ratch

Group

PCL,

NVDR

56,400

89,789

Siam

Commercial

Bank

PCL

(The),

NVDR

277,700

571,863

Thai

Union

Group

PCL,

NVDR

1,740,396

773,665

TMB

Bank

PCL,

NVDR

5,716,600

161,420

7,005,159

—

Turkey

-

0.2%

Haci

Omer

Sabanci

Holding

A/S

346,308

372,046

Turk

Hava

Yollari

AO

*

135,709

182,846

Turkcell

Iletisim

Hizmetleri

A/S

82,323

160,462

715,354

—

United

Arab

Emirates

-

0.3%

Abu

Dhabi

Commercial

Bank

PJSC

96,468

148,878

Emirates

Telecommunications

Group

Co.

PJSC

57,006

259,085

First

Abu

Dhabi

Bank

PJSC

163,896

505,741

913,704

—

United

States

-

0.3%

JBS

SA

(1)

292,100

1,075,109

TOTAL

COMMON

STOCKS

(Cost

$241,364,824)

325,826,517

86

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

EMERGING

MULTI-STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

3.5%

INVESTMENT

COMPANIES

-

3.5%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(d)

(Cost

$11,919,702)

11,920,518

11,918,133

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.9%

(Cost

$253,284,526)

337,744,650

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.1%

(e)

3,823,880

NET

ASSETS

-

100.0%

341,568,530

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

42,024,846

12.3

%

Consumer

Discretionary

66,649,506

19.5

Consumer

Staples

16,073,743

4.7

Energy

15,825,598

4.6

Financials

41,014,858

12.0

Health

Care

18,257,512

5.4

Industrials

22,076,845

6.5

Information

Technology

64,877,368

19.0

Materials

27,227,823

8.0

Real

Estate

7,949,613

2.3

Utilities

3,848,805

1.1

Short-Term

Investments

11,918,133

3.5

Total

Investments

In

Securities

At

Value

337,744,650

98.9

Other

Assets

in

Excess

of

Liabilities

(e)

3,823,880

1.1

Net

Assets

$

341,568,530

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$6,788,999,

which

represents

approximately

1.99%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$7,964,331

or

2.33%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

246

12/2020

USD

$

13,388,550

$

(66,971)

$

(66,971)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,715,987

$

1,715,987

87

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

97.1%

Aerospace

&

Defense

-

0.5%

Axon

Enterprise,

Inc.

*

6,912

626,919

Lockheed

Martin

Corp.

4,565

1,749,673

Mercury

Systems,

Inc.

*

5,063

392,180

Teledyne

Technologies,

Inc.

*

3,130

970,957

3,739,729

Air

Freight

&

Logistics

-

0.5%

Expeditors

International

of

Washington,

Inc.

9,131

826,538

FedEx

Corp.

3,415

858,941

United

Parcel

Service,

Inc.,

Class

B

8,776

1,462,345

XPO

Logistics,

Inc.

*

12,098

1,024,216

4,172,040

Auto

Components

-

0.1%

BorgWarner,

Inc.

9,958

385,773

Gentex

Corp.

26,000

669,500

1,055,273

Automobiles

-

2.2%

Tesla,

Inc.

*

38,436

16,489,428

Thor

Industries,

Inc.

(a)

9,512

906,113

17,395,541

Banks

-

0.3%

Commerce

Bancshares,

Inc.

15,240

857,860

First

Republic

Bank

5,149

561,550

Prosperity

Bancshares,

Inc.

6,581

341,093

SVB

Financial

Group

*

3,592

864,307

2,624,810

Beverages

-

0.5%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

1,141

1,007,914

Brown-Forman

Corp.,

Class

B

15,992

1,204,517

Monster

Beverage

Corp.

*

18,598

1,491,560

3,703,991

Biotechnology

-

3.8%

AbbVie,

Inc.

53,873

4,718,736

ACADIA

Pharmaceuticals,

Inc.

*

13,320

549,450

Acceleron

Pharma,

Inc.

*

3,396

382,152

Alnylam

Pharmaceuticals,

Inc.

*

10,561

1,537,682

Amgen,

Inc.

18,441

4,686,964

Biogen,

Inc.

*

6,907

1,959,378

BioMarin

Pharmaceutical,

Inc.

*

8,557

651,017

Gilead

Sciences,

Inc.

25,323

1,600,160

Global

Blood

Therapeutics,

Inc.

*

5,974

329,406

Immunomedics

,

Inc.

*

26,634

2,264,689

Incyte

Corp.

*

12,167

1,091,867

Iovance

Biotherapeutics

,

Inc.

*

19,350

637,002

Neurocrine

Biosciences,

Inc.

*

8,186

787,166

Regeneron

Pharmaceuticals,

Inc.

*

4,357

2,438,961

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

3.8%

(continued)

Sarepta

Therapeutics,

Inc.

*

2,858

401,349

Seattle

Genetics,

Inc.

*

12,439

2,434,188

United

Therapeutics

Corp.

*

4,679

472,579

Vertex

Pharmaceuticals,

Inc.

*

10,215

2,779,706

29,722,452

Building

Products

-

0.7%

Fortune

Brands

Home

&

Security,

Inc.

9,298

804,463

Masco

Corp.

16,147

890,184

Owens

Corning

7,017

482,840

Trane

Technologies

plc

17,420

2,112,175

Trex

Co.,

Inc.

*

11,106

795,189

5,084,851

Capital

Markets

-

2.9%

Ameriprise

Financial,

Inc.

4,645

715,841

BlackRock,

Inc.

4,523

2,548,937

FactSet

Research

Systems,

Inc.

2,228

746,113

Goldman

Sachs

Group,

Inc.

(The)

1,639

329,390

Intercontinental

Exchange,

Inc.

11,752

1,175,788

LPL

Financial

Holdings,

Inc.

9,629

738,255

MarketAxess

Holdings,

Inc.

3,787

1,823,781

Moody's

Corp.

9,164

2,656,185

Morgan

Stanley

54,536

2,636,815

MSCI,

Inc.

5,529

1,972,637

Nasdaq,

Inc.

13,164

1,615,354

S&P

Global,

Inc.

9,390

3,386,034

State

Street

Corp.

15,792

936,939

T.

Rowe

Price

Group,

Inc.

6,744

864,716

Virtu

Financial,

Inc.,

Class

A

14,200

326,742

22,473,527

Chemicals

-

2.0%

Air

Products

and

Chemicals,

Inc.

13,653

4,066,683

Albemarle

Corp.

6,408

572,106

Chemours

Co.

(The)

11,318

236,659

Eastman

Chemical

Co.

2,831

221,158

Ecolab,

Inc.

5,233

1,045,763

Element

Solutions,

Inc.

*

21,850

229,643

FMC

Corp.

7,791

825,145

Linde

plc

(United

Kingdom)

15,770

3,755,310

NewMarket

Corp.

1,083

370,733

RPM

International,

Inc.

2,654

219,857

Scotts

Miracle-

Gro

Co.

(The)

4,687

716,689

Sherwin-Williams

Co.

(The)

4,251

2,961,842

15,221,588

Commercial

Services

&

Supplies

-

0.7%

ADT,

Inc.

52,286

427,176

Cintas

Corp.

6,643

2,210,990

Copart

,

Inc.

*

18,973

1,995,201

Rollins,

Inc.

12,572

681,277

88

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Commercial

Services

&

Supplies

-

0.7%

(continued)

Stericycle,

Inc.

*

3,535

222,917

5,537,561

Communications

Equipment

-

0.3%

Ciena

Corp.

*

16,519

655,639

Lumentum

Holdings,

Inc.

*

10,533

791,345

Ubiquiti,

Inc.

4,720

786,635

2,233,619

Construction

&

Engineering

-

0.1%

Quanta

Services,

Inc.

9,010

476,269

Consumer

Finance

-

0.1%

OneMain

Holdings,

Inc.

15,488

484,000

Containers

&

Packaging

-

0.3%

Avery

Dennison

Corp.

8,789

1,123,586

Crown

Holdings,

Inc.

*

10,062

773,365

Packaging

Corp.

of

America

5,028

548,303

2,445,254

Distributors

-

0.2%

LKQ

Corp.

*

20,644

572,458

Pool

Corp.

2,201

736,323

1,308,781

Diversified

Consumer

Services

-

0.1%

Chegg

,

Inc.

*

13,180

941,579

Electric

Utilities

-

0.6%

Eversource

Energy

5,285

441,562

NextEra

Energy,

Inc.

13,739

3,813,397

Xcel

Energy,

Inc.

4,124

284,597

4,539,556

Electrical

Equipment

-

0.8%

AMETEK,

Inc.

7,316

727,210

Eaton

Corp.

plc

15,676

1,599,422

Emerson

Electric

Co.

15,050

986,829

Generac

Holdings,

Inc.

*

6,557

1,269,697

Hubbell,

Inc.

1,538

210,460

Regal

Beloit

Corp.

2,249

211,114

Rockwell

Automation,

Inc.

5,548

1,224,333

6,229,065

Electronic

Equipment,

Instruments

&

Components

-

0.9%

Amphenol

Corp.,

Class

A

6,612

715,881

Cognex

Corp.

15,536

1,011,394

Corning,

Inc.

9,285

300,927

IPG

Photonics

Corp.

*

2,570

436,823

Jabil,

Inc.

19,890

681,431

Keysight

Technologies,

Inc.

*

11,770

1,162,641

SYNNEX

Corp.

7,522

1,053,531

Trimble,

Inc.

*

9,891

481,692

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

0.9%

(continued)

Zebra

Technologies

Corp.,

Class

A

*

5,059

1,277,195

7,121,515

Entertainment

-

1.5%

Activision

Blizzard,

Inc.

30,573

2,474,884

Electronic

Arts,

Inc.

*

9,211

1,201,207

Netflix,

Inc.

*

9,591

4,795,788

Spotify

Technology

SA

*

8,788

2,131,705

Take-Two

Interactive

Software,

Inc.

*

2,747

453,859

Zynga,

Inc.,

Class

A

*

102,499

934,791

11,992,234

Equity

Real

Estate

Investment

Trusts

(REITs)

-

1.7%

Alexandria

Real

Estate

Equities,

Inc.

2,607

417,120

American

Homes

4

Rent,

Class

A

20,868

594,321

American

Tower

Corp.

7,826

1,891,779

Americold

Realty

Trust

9,010

322,107

CoreSite

Realty

Corp.

2,368

281,508

Crown

Castle

International

Corp.

5,987

996,835

CyrusOne

,

Inc.

11,204

784,616

Digital

Realty

Trust,

Inc.

1,649

242,007

Duke

Realty

Corp.

10,741

396,343

Equinix

,

Inc.

2,737

2,080,476

Iron

Mountain,

Inc.

7,624

204,247

Life

Storage,

Inc.

5,725

602,671

Medical

Properties

Trust,

Inc.

44,470

784,006

Prologis,

Inc.

26,506

2,667,034

SBA

Communications

Corp.

3,269

1,041,111

13,306,181

Food

&

Staples

Retailing

-

1.5%

Costco

Wholesale

Corp.

13,996

4,968,580

Kroger

Co.

(The)

40,234

1,364,335

Sprouts

Farmers

Market,

Inc.

*

21,959

459,602

Walmart,

Inc.

33,116

4,633,259

11,425,776

Food

Products

-

0.8%

Archer-Daniels-Midland

Co.

7,027

326,685

Campbell

Soup

Co.

19,885

961,837

Conagra

Brands,

Inc.

30,349

1,083,763

General

Mills,

Inc.

19,920

1,228,665

Hain

Celestial

Group,

Inc.

(The)

*

17,546

601,828

Hormel

Foods

Corp.

8,521

416,592

Kellogg

Co.

5,241

338,516

Kraft

Heinz

Co.

(The)

23,528

704,664

McCormick

&

Co.,

Inc.

(Non-Voting)

2,519

488,938

6,151,488

89

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

4.1%

Abbott

Laboratories

52,765

5,742,415

ABIOMED,

Inc.

*

1,420

393,425

Align

Technology,

Inc.

*

2,508

821,019

Baxter

International,

Inc.

9,571

769,700

Danaher

Corp.

27,725

5,970,024

DexCom

,

Inc.

*

5,471

2,255,310

Edwards

Lifesciences

Corp.

*

16,924

1,350,874

Hologic

,

Inc.

*

10,186

677,063

IDEXX

Laboratories,

Inc.

*

3,637

1,429,741

Insulet

Corp.

*

6,673

1,578,765

Intuitive

Surgical,

Inc.

*

3,662

2,598,335

Masimo

Corp.

*

4,014

947,545

Penumbra,

Inc.

*(a)

3,374

655,838

Quidel

Corp.

*

5,458

1,197,376

ResMed

,

Inc.

9,699

1,662,700

STERIS

plc

3,115

548,832

Tandem

Diabetes

Care,

Inc.

*

5,856

664,656

Teleflex,

Inc.

2,974

1,012,409

West

Pharmaceutical

Services,

Inc.

3,961

1,088,879

Zimmer

Biomet

Holdings,

Inc.

5,362

729,983

32,094,889

Health

Care

Providers

&

Services

-

2.9%

Amedisys

,

Inc.

*

2,042

482,790

AmerisourceBergen

Corp.

6,346

615,054

Cardinal

Health,

Inc.

14,686

689,508

Centene

Corp.

*

21,444

1,250,828

Chemed

Corp.

1,649

792,097

Cigna

Corp.

10,479

1,775,247

CVS

Health

Corp.

31,732

1,853,149

Encompass

Health

Corp.

5,001

324,965

HCA

Healthcare,

Inc.

1,920

239,386

Humana,

Inc.

6,549

2,710,566

McKesson

Corp.

4,715

702,205

Molina

Healthcare,

Inc.

*

4,298

786,706

Quest

Diagnostics,

Inc.

6,882

787,920

UnitedHealth

Group,

Inc.

30,286

9,442,266

22,452,687

Health

Care

Technology

-

0.5%

Teladoc

Health,

Inc.

*(a)

6,145

1,347,230

Veeva

Systems,

Inc.,

Class

A

*

7,911

2,224,494

3,571,724

Hotels,

Restaurants

&

Leisure

-

0.4%

Chipotle

Mexican

Grill,

Inc.

*

1,529

1,901,633

Domino's

Pizza,

Inc.

2,046

870,123

Wendy's

Co.

(The)

11,719

261,275

3,033,031

Household

Durables

-

1.1%

DR

Horton,

Inc.

28,751

2,174,438

Garmin

Ltd.

12,318

1,168,485

Lennar

Corp.,

Class

A

18,548

1,515,001

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

1.1%

(continued)

Newell

Brands,

Inc.

23,638

405,628

NVR,

Inc.

*

255

1,041,196

PulteGroup,

Inc.

26,259

1,215,529

Tempur

Sealy

International,

Inc.

*

9,495

846,859

Whirlpool

Corp.

1,482

272,525

8,639,661

Household

Products

-

0.3%

Clorox

Co.

(The)

3,684

774,266

Energizer

Holdings,

Inc.

4,972

194,604

Kimberly-Clark

Corp.

3,553

524,636

Procter

&

Gamble

Co.

(The)

7,493

1,041,452

2,534,958

Industrial

Conglomerates

-

0.1%

Roper

Technologies,

Inc.

2,052

810,766

Insurance

-

0.5%

Aon

plc,

Class

A

1,677

345,965

Arthur

J

Gallagher

&

Co.

7,306

771,368

Marsh

&

McLennan

Cos.,

Inc.

20,760

2,381,172

Progressive

Corp.

(The)

6,499

615,260

4,113,765

Interactive

Media

&

Services

-

7.7%

Alphabet,

Inc.,

Class

A

*

21,164

31,017,958

Facebook,

Inc.,

Class

A

*

95,385

24,981,332

Match

Group,

Inc.

*

16,424

1,817,316

Zillow

Group,

Inc.,

Class

C

*

18,043

1,832,988

59,649,594

Internet

&

Direct

Marketing

Retail

-

6.9%

Amazon.com,

Inc.

*

15,858

49,932,561

eBay,

Inc.

14,412

750,865

Etsy,

Inc.

*

9,762

1,187,352

Wayfair,

Inc.,

Class

A

*

6,211

1,807,463

53,678,241

IT

Services

-

5.9%

Accenture

plc,

Class

A

17,824

4,028,046

Akamai

Technologies,

Inc.

*

6,830

754,988

Black

Knight,

Inc.

*

6,963

606,129

Booz

Allen

Hamilton

Holding

Corp.

11,782

977,670

CACI

International,

Inc.,

Class

A

*

2,463

525,013

Cognizant

Technology

Solutions

Corp.,

Class

A

3,373

234,154

EPAM

Systems,

Inc.

*

5,422

1,752,824

Fiserv,

Inc.

*

13,530

1,394,267

Global

Payments,

Inc.

6,167

1,095,136

GoDaddy

,

Inc.,

Class

A

*

4,360

331,229

Jack

Henry

&

Associates,

Inc.

5,574

906,277

Leidos

Holdings,

Inc.

9,242

823,924

Mastercard

,

Inc.,

Class

A

21,916

7,411,334

MongoDB,

Inc.

*

2,779

643,366

Okta

,

Inc.

*

6,934

1,482,836

90

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

5.9%

(continued)

PayPal

Holdings,

Inc.

*

41,487

8,174,184

Square,

Inc.,

Class

A

*

21,909

3,561,308

Switch,

Inc.,

Class

A

24,014

374,859

Twilio

,

Inc.,

Class

A

*

7,538

1,862,564

Visa,

Inc.,

Class

A

43,426

8,683,897

Western

Union

Co.

(The)

17,403

372,946

45,996,951

Leisure

Products

-

0.1%

Brunswick

Corp.

9,583

564,534

Polaris,

Inc.

6,090

574,531

1,139,065

Life

Sciences

Tools

&

Services

-

1.7%

Agilent

Technologies,

Inc.

8,427

850,621

Bio-Rad

Laboratories,

Inc.,

Class

A

*

3,838

1,978,335

Bio-

Techne

Corp.

2,644

654,998

Charles

River

Laboratories

International,

Inc.

*

5,176

1,172,105

IQVIA

Holdings,

Inc.

*

1,702

268,286

PerkinElmer,

Inc.

7,350

922,499

Repligen

Corp.

*

3,577

527,751

Syneos

Health,

Inc.

*

6,854

364,359

Thermo

Fisher

Scientific,

Inc.

14,574

6,434,713

13,173,667

Machinery

-

1.2%

Colfax

Corp.

*

13,184

413,450

Cummins,

Inc.

5,502

1,161,802

Deere

&

Co.

7,040

1,560,275

Dover

Corp.

6,449

698,685

Illinois

Tool

Works,

Inc.

9,934

1,919,348

Nordson

Corp.

4,167

799,314

PACCAR,

Inc.

9,059

772,552

Parker-Hannifin

Corp.

5,156

1,043,265

Pentair

plc

4,943

226,241

Timken

Co.

(The)

4,070

220,675

Trinity

Industries,

Inc.

10,718

209,001

9,024,608

Media

-

1.1%

Cable

One,

Inc.

876

1,651,636

Charter

Communications,

Inc.,

Class

A

*(a)

8,908

5,561,621

Liberty

Broadband

Corp.,

Class

C

*

6,124

874,936

New

York

Times

Co.

(The),

Class

A

7,172

306,890

8,395,083

Metals

&

Mining

-

0.6%

Freeport-McMoRan,

Inc.

65,660

1,026,922

Newmont

Corp.

33,384

2,118,215

Reliance

Steel

&

Aluminum

Co.

6,974

711,627

INVESTMENTS

SHARES

VALUE

($)

Metals

&

Mining

-

0.6%

(continued)

Royal

Gold,

Inc.

5,593

672,111

4,528,875

Multiline

Retail

-

0.8%

Dollar

General

Corp.

11,795

2,472,468

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

2,993

261,439

Target

Corp.

23,413

3,685,674

6,419,581

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(b)

EQT

Corp.

17,188

222,241

Personal

Products

-

0.3%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

11,868

2,590,191

Pharmaceuticals

-

3.2%

Bristol-Myers

Squibb

Co.

80,811

4,872,095

Catalent

,

Inc.

*

13,385

1,146,559

Eli

Lilly

and

Co.

27,935

4,134,939

Horizon

Therapeutics

plc

*

24,817

1,927,784

Johnson

&

Johnson

72,127

10,738,268

Reata

Pharmaceuticals,

Inc.,

Class

A

*(a)

3,917

381,594

Zoetis,

Inc.

11,275

1,864,547

25,065,786

Professional

Services

-

0.8%

CoreLogic

,

Inc.

9,738

658,970

CoStar

Group,

Inc.

*

2,431

2,062,728

Equifax,

Inc.

3,167

496,902

IHS

Markit

Ltd.

10,077

791,145

TransUnion

16,774

1,411,197

Verisk

Analytics,

Inc.

3,228

598,181

6,019,123

Road

&

Rail

-

1.4%

JB

Hunt

Transport

Services,

Inc.

8,349

1,055,147

Kansas

City

Southern

7,346

1,328,377

Knight-Swift

Transportation

Holdings,

Inc.

17,336

705,575

Norfolk

Southern

Corp.

3,642

779,352

Old

Dominion

Freight

Line,

Inc.

10,665

1,929,512

Schneider

National,

Inc.,

Class

B

20,832

515,175

Union

Pacific

Corp.

22,247

4,379,767

10,692,905

Semiconductors

&

Semiconductor

Equipment

-

6.8%

Advanced

Micro

Devices,

Inc.

*

53,553

4,390,810

Analog

Devices,

Inc.

6,917

807,491

Applied

Materials,

Inc.

49,554

2,945,985

Broadcom,

Inc.

2,792

1,017,181

Cirrus

Logic,

Inc.

*

6,588

444,361

Enphase

Energy,

Inc.

*

19,601

1,618,847

Entegris

,

Inc.

12,072

897,432

Inphi

Corp.

*

7,350

825,037

91

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

6.8%

(continued)

Intel

Corp.

94,810

4,909,262

KLA

Corp.

11,766

2,279,545

Lam

Research

Corp.

8,297

2,752,530

Marvell

Technology

Group

Ltd.

46,864

1,860,501

Microchip

Technology,

Inc.

(a)

10,054

1,033,149

Micron

Technology,

Inc.

*

25,808

1,211,944

MKS

Instruments,

Inc.

6,006

656,035

Monolithic

Power

Systems,

Inc.

3,941

1,101,943

NVIDIA

Corp.

23,871

12,919,463

Qorvo

,

Inc.

*

10,154

1,309,968

QUALCOMM,

Inc.

47,105

5,543,316

Skyworks

Solutions,

Inc.

9,838

1,431,429

SolarEdge

Technologies,

Inc.

*

6,321

1,506,610

Teradyne,

Inc.

20,819

1,654,278

53,117,117

Software

-

13.1%

2U,

Inc.

*(a)

10,599

358,882

Adobe,

Inc.

*

18,350

8,999,390

Alteryx,

Inc.,

Class

A

*(a)

6,310

716,500

ANSYS,

Inc.

*

5,600

1,832,488

Atlassian

Corp.

plc,

Class

A

*

10,150

1,845,168

Autodesk,

Inc.

*

7,792

1,800,030

Avalara,

Inc.

*

11,046

1,406,598

Cadence

Design

Systems,

Inc.

*

19,394

2,067,982

Ceridian

HCM

Holding,

Inc.

*

9,544

788,812

Citrix

Systems,

Inc.

4,287

590,363

Coupa

Software,

Inc.

*

6,642

1,821,502

DocuSign,

Inc.

*

12,688

2,730,965

Everbridge

,

Inc.

*

4,084

513,481

Fair

Isaac

Corp.

*

2,575

1,095,353

Five9,

Inc.

*

6,260

811,797

Fortinet,

Inc.

*

10,774

1,269,285

HubSpot

,

Inc.

*

2,529

739,050

Manhattan

Associates,

Inc.

*

3,777

360,666

Microsoft

Corp.

228,702

48,102,892

NortonLifeLock

,

Inc.

41,688

868,778

Nuance

Communications,

Inc.

*

38,098

1,264,473

Oracle

Corp.

6,975

416,407

Paycom

Software,

Inc.

*

5,317

1,655,182

Paylocity

Holding

Corp.

*

6,023

972,233

Pegasystems

,

Inc.

5,346

647,080

PTC,

Inc.

*

2,544

210,440

RingCentral,

Inc.,

Class

A

*

7,288

2,001,358

salesforce.com,

Inc.

*

22,384

5,625,547

ServiceNow

,

Inc.

*

8,566

4,154,510

Splunk

,

Inc.

*

7,312

1,375,607

SS&C

Technologies

Holdings,

Inc.

6,012

363,846

Synopsys,

Inc.

*

11,433

2,446,433

Trade

Desk,

Inc.

(The),

Class

A

*

3,587

1,860,864

Tyler

Technologies,

Inc.

*

823

286,865

Zscaler

,

Inc.

*

2,479

348,770

102,349,597

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

2.8%

AutoNation,

Inc.

*

9,397

497,383

AutoZone,

Inc.

*

234

275,568

Best

Buy

Co.,

Inc.

12,353

1,374,765

Burlington

Stores,

Inc.

*

4,600

948,014

CarMax,

Inc.

*

4,247

390,342

Carvana

Co.

*(a)

12,183

2,717,540

Dick's

Sporting

Goods,

Inc.

14,813

857,377

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

13,979

1,045,629

Home

Depot,

Inc.

(The)

23,302

6,471,198

L

Brands,

Inc.

7,722

245,637

Lowe's

Cos.,

Inc.

25,717

4,265,422

O'Reilly

Automotive,

Inc.

*

1,030

474,912

TJX

Cos.,

Inc.

(The)

19,647

1,093,356

Tractor

Supply

Co.

5,521

791,380

Williams-Sonoma,

Inc.

8,598

777,603

22,226,126

Technology

Hardware,

Storage

&

Peripherals

-

7.2%

Apple,

Inc.

478,996

55,472,527

Dell

Technologies,

Inc.,

Class

C

*

9,398

636,150

Pure

Storage,

Inc.,

Class

A

*

23,446

360,834

56,469,511

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Lululemon

Athletica,

Inc.

*

7,246

2,386,615

NIKE,

Inc.,

Class

B

49,741

6,244,485

Skechers

USA,

Inc.,

Class

A

*

13,675

413,259

9,044,359

Thrifts

&

Mortgage

Finance

-

0.0%

(b)

TFS

Financial

Corp.

20,261

297,634

Trading

Companies

&

Distributors

-

0.5%

Fastenal

Co.

34,369

1,549,698

United

Rentals,

Inc.

*

5,065

883,843

Watsco

,

Inc.

3,619

842,829

WW

Grainger,

Inc.

1,946

694,274

3,970,644

Water

Utilities

-

0.1%

American

Water

Works

Co.,

Inc.

5,420

785,250

Wireless

Telecommunication

Services

-

0.7%

T-Mobile

US,

Inc.

*

47,845

5,471,554

TOTAL

COMMON

STOCKS

(Cost

$514,050,294)

756,965,864

SHORT-TERM

INVESTMENTS

-

2.9%

INVESTMENT

COMPANIES

-

2.9%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)

(Cost

$22,246,456)

22,248,740

22,244,290

92

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.4%

Investment

Companies

-

0.4%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(d)

378,880

378,880

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)

2,468,184

2,467,690

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$2,847,063)

2,846,570

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.4%

(Cost

$539,143,813)

782,056,724

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.4)%

(e)

(2,732,928)

NET

ASSETS

-

100.0%

779,323,796

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

85,508,465

11.0

%

Consumer

Discretionary

124,881,237

16.0

Consumer

Staples

26,406,405

3.4

Energy

222,241

0.0

(b

)

Financials

29,993,737

3.8

Health

Care

126,081,205

16.2

Industrials

55,757,561

7.2

Information

Technology

267,288,309

34.3

Materials

22,195,717

2.8

Real

Estate

13,306,181

1.7

Utilities

5,324,806

0.7

Short-Term

Investments

22,244,290

2.9

Securities

Lending

Collateral

2,846,570

0.4

Total

Investments

In

Securities

At

Value

782,056,724

100.4

Liabilities

in

Excess

of

Other

Assets

(e)

(2,732,928)

(0.4)

Net

Assets

$

779,323,796

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$9,675,374.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$7,031,503

was

received.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

111

12/2020

USD

$

18,603,600

$

18,613

$

18,613

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,549,219

$

1,549,219

93

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

96.5%

Aerospace

&

Defense

-

0.4%

AeroVironment

,

Inc.

*

3,797

227,858

Maxar

Technologies,

Inc.

19,379

483,312

Vectrus

,

Inc.

*

4,424

168,112

879,282

Air

Freight

&

Logistics

-

0.3%

Air

Transport

Services

Group,

Inc.

*

4,474

112,119

Atlas

Air

Worldwide

Holdings,

Inc.

*

3,686

224,477

Echo

Global

Logistics,

Inc.

*

2,620

67,517

Hub

Group,

Inc.,

Class

A

*

6,462

324,360

728,473

Auto

Components

-

1.3%

American

Axle

&

Manufacturing

Holdings,

Inc.

*

16,780

96,821

Cooper

Tire

&

Rubber

Co.

4,281

135,708

Fox

Factory

Holding

Corp.

*

4,313

320,585

Gentherm

,

Inc.

*

4,714

192,803

LCI

Industries

5,360

569,714

Standard

Motor

Products,

Inc.

1,684

75,191

Visteon

Corp.

*

5,945

411,513

Workhorse

Group,

Inc.

*(a)

32,541

822,636

2,624,971

Automobiles

-

0.2%

Winnebago

Industries,

Inc.

8,594

444,052

Banks

-

1.6%

Bancorp,

Inc.

(The)

*

13,272

114,670

Community

Bank

System,

Inc.

6,012

327,413

CVB

Financial

Corp.

7,129

118,555

Dime

Community

Bancshares,

Inc.

3,489

39,461

First

Financial

Bankshares

,

Inc.

23,107

644,916

First

Foundation,

Inc.

10,500

137,235

German

American

Bancorp,

Inc.

4,845

131,493

Glacier

Bancorp,

Inc.

10,090

323,384

Independent

Bank

Corp.

4,383

229,582

Lakeland

Financial

Corp.

4,049

166,819

Nicolet

Bankshares

,

Inc.

*

1,727

94,311

Old

National

Bancorp

6,417

80,598

QCR

Holdings,

Inc.

3,458

94,784

ServisFirst

Bancshares,

Inc.

8,290

282,109

Stock

Yards

Bancorp,

Inc.

5,577

189,841

Triumph

Bancorp,

Inc.

*

3,556

110,734

Westamerica

Bancorp

3,574

194,247

3,280,152

Beverages

-

0.7%

Celsius

Holdings,

Inc.

*

23,932

543,496

National

Beverage

Corp.

*(a)

9,632

655,072

Primo

Water

Corp.

20,913

296,965

1,495,533

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

13.3%

Adverum

Biotechnologies,

Inc.

*

20,485

210,996

Affimed

NV

(Germany)

*

18,126

61,447

Agenus,

Inc.

*(a)

59,171

236,684

Akebia

Therapeutics,

Inc.

*

35,802

89,863

Allakos

,

Inc.

*(a)

7,335

597,436

Amicus

Therapeutics,

Inc.

*

25,153

355,160

Anavex

Life

Sciences

Corp.

*(a)

32,188

146,455

Apellis

Pharmaceuticals,

Inc.

*

6,348

191,519

Applied

Genetic

Technologies

Corp.

*

19,722

95,849

Aravive

,

Inc.

*

14,841

69,753

Arcturus

Therapeutics

Holdings,

Inc.

*

5,891

252,724

Arcus

Biosciences,

Inc.

*

16,653

285,432

Ardelyx

,

Inc.

*

38,453

201,878

Arrowhead

Pharmaceuticals,

Inc.

*

17,292

744,594

Assembly

Biosciences,

Inc.

*

9,578

157,462

Athersys

,

Inc.

*(a)

76,758

149,678

AVEO

Pharmaceuticals,

Inc.

*

13,249

78,699

Avid

Bioservices

,

Inc.

*(a)

25,915

197,472

BioCryst

Pharmaceuticals,

Inc.

*

43,153

148,231

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

9,152

594,972

Bioxcel

Therapeutics,

Inc.

*

6,749

292,637

BrainStorm

Cell

Therapeutics,

Inc.

*(a)

14,431

244,173

CareDx

,

Inc.

*

4,560

173,006

CEL-SCI

Corp.

*(a)

16,064

204,816

ChemoCentryx

,

Inc.

*

13,078

716,674

Chimerix

,

Inc.

*

37,954

94,505

Clovis

Oncology,

Inc.

*(a)

8,419

49,083

Constellation

Pharmaceuticals,

Inc.

*

12,146

246,078

ContraFect

Corp.

*

15,753

83,176

CTI

BioPharma

Corp.

*

14,661

31,521

Cue

Biopharma,

Inc.

*

10,746

161,727

Cytokinetics,

Inc.

*(a)

16,410

355,277

Deciphera

Pharmaceuticals,

Inc.

*

11,167

572,867

Denali

Therapeutics,

Inc.

*

22,101

791,879

Dicerna

Pharmaceuticals,

Inc.

*

15,239

274,150

Dyadic

International,

Inc.

*

12,410

93,944

Dynavax

Technologies

Corp.

*

21,925

94,716

Editas

Medicine,

Inc.

*

12,888

361,637

Eidos

Therapeutics,

Inc.

*

6,927

350,021

Emergent

BioSolutions

,

Inc.

*

9,846

1,017,387

Epizyme

,

Inc.

*

18,637

222,339

Fate

Therapeutics,

Inc.

*

17,688

706,989

Fennec

Pharmaceuticals,

Inc.

(Canada)

*

19,408

117,613

Fortress

Biotech,

Inc.

*

58,475

236,239

Genprex

,

Inc.

*(a)

35,940

120,758

Geron

Corp.

*

53,558

93,191

Halozyme

Therapeutics,

Inc.

*

28,437

747,324

iBio

,

Inc.

*(a)

86,376

175,343

ImmunoGen

,

Inc.

*

64,333

231,599

Inovio

Pharmaceuticals,

Inc.

*(a)

26,967

312,817

94

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

13.3%

(continued)

Insmed

,

Inc.

*

18,317

588,708

Intellia

Therapeutics,

Inc.

*

11,019

219,058

Invitae

Corp.

*(a)

6,374

276,313

IVERIC

bio,

Inc.

*

42,554

240,005

Jounce

Therapeutics,

Inc.

*

10,520

85,843

Kadmon

Holdings,

Inc.

*

58,159

227,983

Karyopharm

Therapeutics,

Inc.

*(a)

20,924

305,490

Kiniksa

Pharmaceuticals

Ltd.,

Class

A

*

15,005

229,877

Krystal

Biotech,

Inc.

*

2,548

109,691

Kura

Oncology,

Inc.

*

2,193

67,194

MacroGenics

,

Inc.

*

13,880

349,637

Madrigal

Pharmaceuticals,

Inc.

*

971

115,287

MannKind

Corp.

*(a)

39,517

74,292

MEI

Pharma,

Inc.

*

42,638

133,031

Mersana

Therapeutics,

Inc.

*

18,801

350,075

Mirati

Therapeutics,

Inc.

*

5,569

924,732

Mustang

Bio,

Inc.

*

31,847

100,318

NantKwest

,

Inc.

*(a)

35,159

243,828

Natera

,

Inc.

*

16,946

1,224,179

Neoleukin

Therapeutics,

Inc.

*

16,515

198,180

Neubase

Therapeutics,

Inc.

*

380

2,884

Novavax

,

Inc.

*

10,143

1,098,994

OPKO

Health,

Inc.

*(a)

68,091

251,256

Ovid

therapeutics,

Inc.

*

29,952

171,924

PDL

BioPharma

,

Inc.

*

34,242

107,862

Protagonist

Therapeutics,

Inc.

*

12,873

251,667

Prothena

Corp.

plc

(Ireland)

*

8,965

89,560

PTC

Therapeutics,

Inc.

*

2,111

98,689

Replimune

Group,

Inc.

*

11,045

254,256

Retrophin

,

Inc.

*

3,057

56,432

Rigel

Pharmaceuticals,

Inc.

*

24,237

58,169

Sangamo

Therapeutics,

Inc.

*

9,673

91,410

Scholar

Rock

Holding

Corp.

*

6,753

119,461

Selecta

Biosciences,

Inc.

*

47,143

116,915

Seres

Therapeutics,

Inc.

*

46,868

1,326,833

Soleno

Therapeutics,

Inc.

*

28,558

71,681

Sorrento

Therapeutics,

Inc.

*(a)

58,931

657,081

Syndax

Pharmaceuticals,

Inc.

*

15,618

230,522

Syros

Pharmaceuticals,

Inc.

*(a)

19,031

168,234

TG

Therapeutics,

Inc.

*(a)

28,521

763,222

Translate

Bio,

Inc.

*

20,734

282,190

Ultragenyx

Pharmaceutical,

Inc.

*

5,469

449,497

VBI

Vaccines,

Inc.

*(a)

67,902

194,200

Veracyte

,

Inc.

*

5,727

186,070

XBiotech

,

Inc.

*(a)

13,747

262,430

27,464,950

Building

Products

-

2.9%

AAON,

Inc.

10,484

631,661

Advanced

Drainage

Systems,

Inc.

15,553

971,129

Alpha

Pro

Tech

Ltd.

*

12,266

181,291

Builders

FirstSource

,

Inc.

*

27,675

902,759

Cornerstone

Building

Brands,

Inc.

*

7,318

58,398

CSW

Industrials,

Inc.

2,560

197,760

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

2.9%

(continued)

Gibraltar

Industries,

Inc.

*

7,444

484,902

Griffon

Corp.

12,977

253,571

JELD-WEN

Holding,

Inc.

*

4,526

102,288

Masonite

International

Corp.

*

5,277

519,257

Patrick

Industries,

Inc.

4,873

280,295

Simpson

Manufacturing

Co.,

Inc.

8,046

781,749

UFP

Industries,

Inc.

12,965

732,652

6,097,712

Capital

Markets

-

2.3%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

15,930

621,111

B

Riley

Financial,

Inc.

9,128

228,748

Brightsphere

Investment

Group,

Inc.

8,918

115,042

Cohen

&

Steers,

Inc.

9,766

544,357

Focus

Financial

Partners,

Inc.,

Class

A

*

14,187

465,192

Hamilton

Lane,

Inc.,

Class

A

9,373

605,402

Houlihan

Lokey

,

Inc.

12,672

748,281

Moelis

&

Co.,

Class

A

7,406

260,247

PJT

Partners,

Inc.,

Class

A

9,047

548,338

StoneX

Group,

Inc.

*

4,013

205,305

Virtus

Investment

Partners,

Inc.

1,552

215,185

Waddell

&

Reed

Financial,

Inc.,

Class

A

9,159

136,011

4,693,219

Chemicals

-

0.7%

American

Vanguard

Corp.

8,397

110,336

Ferro

Corp.

*

4,849

60,128

FutureFuel

Corp.

14,027

159,487

GCP

Applied

Technologies,

Inc.

*

4,923

103,137

Hawkins,

Inc.

3,755

173,105

HB

Fuller

Co.

1,192

54,570

Quaker

Chemical

Corp.

1,360

244,406

Stepan

Co.

4,561

497,149

Tredegar

Corp.

8,289

123,257

1,525,575

Commercial

Services

&

Supplies

-

1.2%

ABM

Industries,

Inc.

1,791

65,658

Brady

Corp.,

Class

A

9,444

377,949

Casella

Waste

Systems,

Inc.,

Class

A

*

10,160

567,436

Cimpress

plc

(Ireland)

*

1,273

95,679

Healthcare

Services

Group,

Inc.

4,670

100,545

McGrath

RentCorp

3,928

234,070

Pitney

Bowes,

Inc.

10,775

57,215

Tetra

Tech,

Inc.

6,834

652,647

UniFirst

Corp.

1,639

310,377

2,461,576

95

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Communications

Equipment

-

0.6%

Calix,

Inc.

*

20,251

360,063

Digi

International,

Inc.

*

7,467

116,709

Infinera

Corp.

*(a)

51,701

318,478

Inseego

Corp.

*(a)

28,004

289,001

InterDigital

,

Inc.

1,012

57,745

NetScout

Systems,

Inc.

*

9,312

203,281

1,345,277

Construction

&

Engineering

-

0.7%

Ameresco

,

Inc.,

Class

A

*

14,300

477,620

Comfort

Systems

USA,

Inc.

2,798

144,125

Construction

Partners,

Inc.,

Class

A

*

11,552

210,246

Dycom

Industries,

Inc.

*

2,118

111,873

HC2

Holdings,

Inc.

*

33,052

79,986

IES

Holdings,

Inc.

*

1,808

57,440

Northwest

Pipe

Co.

*

461

12,198

Tutor

Perini

Corp.

*

10,342

115,107

WillScot

Mobile

Mini

Holdings

Corp.

*

9,716

162,063

1,370,658

Construction

Materials

-

0.3%

Forterra

,

Inc.

*

28,340

334,979

Summit

Materials,

Inc.,

Class

A

*

15,503

256,419

591,398

Consumer

Finance

-

0.5%

Encore

Capital

Group,

Inc.

*

8,078

311,730

Green

Dot

Corp.,

Class

A

*

6,271

317,375

PRA

Group,

Inc.

*

11,564

461,982

1,091,087

Containers

&

Packaging

-

0.2%

Greif,

Inc.,

Class

A

7,208

261,002

O-I

Glass,

Inc.

5,217

55,248

UFP

Technologies,

Inc.

*

2,211

91,579

407,829

Diversified

Consumer

Services

-

0.6%

American

Public

Education,

Inc.

*

3,371

95,029

Aspen

Group,

Inc.

*(a)

13,224

147,712

Carriage

Services,

Inc.

4,901

109,341

Collectors

Universe,

Inc.

5,250

259,823

Franchise

Group,

Inc.

11,957

303,230

K12,

Inc.

*

3,603

94,903

Universal

Technical

Institute,

Inc.

*

20,355

103,403

WW

International,

Inc.

*

6,998

132,052

1,245,493

Diversified

Financial

Services

-

0.3%

Cannae

Holdings,

Inc.

*

18,183

677,499

INVESTMENTS

SHARES

VALUE

($)

Diversified

Telecommunication

Services

-

1.2%

Anterix

,

Inc.

*

3,641

119,097

Bandwidth,

Inc.,

Class

A

*

5,073

885,594

Cogent

Communications

Holdings,

Inc.

8,647

519,252

Consolidated

Communications

Holdings,

Inc.

*

30,122

171,394

Iridium

Communications,

Inc.

*

25,270

646,407

Ooma

,

Inc.

*(a)

11,498

150,049

2,491,793

Electrical

Equipment

-

2.3%

Allied

Motion

Technologies,

Inc.

3,486

143,902

Atkore

International

Group,

Inc.

*

8,772

199,388

Bloom

Energy

Corp.,

Class

A

*

20,083

360,892

EnerSys

2,983

200,219

FuelCell

Energy,

Inc.

*(a)

87,882

188,067

Orion

Energy

Systems,

Inc.

*

23,241

175,934

Plug

Power,

Inc.

*

93,145

1,249,074

Sunrun

,

Inc.

*

17,655

1,360,671

TPI

Composites,

Inc.

*

4,057

117,491

Vicor

Corp.

*

9,614

747,296

4,742,934

Electronic

Equipment,

Instruments

&

Components

-

2.3%

Akoustis

Technologies,

Inc.

*(a)

9,325

76,092

Arlo

Technologies,

Inc.

*

10,717

56,371

Badger

Meter,

Inc.

6,076

397,188

ePlus

,

Inc.

*

1,843

134,908

Fabrinet

(Thailand)

*

6,826

430,243

FARO

Technologies,

Inc.

*

4,713

287,399

II-VI,

Inc.

*

16,607

673,580

Intellicheck

,

Inc.

*

16,942

113,003

Luna

Innovations,

Inc.

*

18,314

109,518

Methode

Electronics,

Inc.

8,233

234,640

nLight

,

Inc.

*

9,931

233,180

Novanta

,

Inc.

*

6,560

691,030

PAR

Technology

Corp.

*(a)

2,683

108,688

PC

Connection,

Inc.

7,711

316,614

Plexus

Corp.

*

5,859

413,821

TTM

Technologies,

Inc.

*

19,414

221,514

Vishay

Intertechnology

,

Inc.

14,547

226,497

4,724,286

Entertainment

-

0.2%

Eros

STX

Global

Corp.

(India)

*(a)

61,992

137,002

Glu

Mobile,

Inc.

*

33,410

256,422

LiveXLive

Media,

Inc.

*(a)

36,410

94,484

487,908

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.6%

Agree

Realty

Corp.

4,533

288,480

Community

Healthcare

Trust,

Inc.

3,855

180,260

Easterly

Government

Properties,

Inc.

17,146

384,242

EastGroup

Properties,

Inc.

6,967

901,042

96

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.6%

(continued)

Farmland

Partners,

Inc.

15,060

100,300

Getty

Realty

Corp.

2,095

54,491

Gladstone

Land

Corp.

7,946

119,349

Global

Medical

REIT,

Inc.

12,091

163,229

Independence

Realty

Trust,

Inc.

17,802

206,325

Industrial

Logistics

Properties

Trust

9,443

206,518

Innovative

Industrial

Properties,

Inc.

962

119,394

Investors

Real

Estate

Trust

3,628

236,437

iStar

,

Inc.

10,417

123,025

Lexington

Realty

Trust

53,259

556,557

Monmouth

Real

Estate

Investment

Corp.

11,609

160,785

National

Storage

Affiliates

Trust

10,676

349,212

Office

Properties

Income

Trust

7,959

164,910

Physicians

Realty

Trust

3,438

61,575

PotlatchDeltic

Corp.

9,182

386,562

QTS

Realty

Trust,

Inc.,

Class

A

11,569

729,078

Safehold

,

Inc.

10,162

631,060

STAG

Industrial,

Inc.

11,164

340,390

Terreno

Realty

Corp.

12,578

688,771

UMH

Properties,

Inc.

9,125

123,552

Universal

Health

Realty

Income

Trust

2,586

147,376

7,422,920

Food

&

Staples

Retailing

-

1.3%

BJ's

Wholesale

Club

Holdings,

Inc.

*

27,017

1,122,556

Ingles

Markets,

Inc.,

Class

A

4,529

172,283

Natural

Grocers

by

Vitamin

Cottage,

Inc.

8,369

82,518

PriceSmart

,

Inc.

5,089

338,164

Rite

Aid

Corp.

*(a)

19,713

187,077

SpartanNash

Co.

13,008

212,681

United

Natural

Foods,

Inc.

*

13,703

203,764

Weis

Markets,

Inc.

6,278

301,344

2,620,387

Food

Products

-

1.9%

B&G

Foods,

Inc.

14,928

414,550

Darling

Ingredients,

Inc.

*

32,534

1,172,200

Freshpet

,

Inc.

*

8,792

981,627

John

B

Sanfilippo

&

Son,

Inc.

2,579

194,405

Lancaster

Colony

Corp.

4,742

847,870

Landec

Corp.

*

13,158

127,896

Seneca

Foods

Corp.,

Class

A

*

3,828

136,774

3,875,322

Health

Care

Equipment

&

Supplies

-

4.0%

Alphatec

Holdings,

Inc.

*

27,817

184,705

Apyx

Medical

Corp.

*

6,481

30,525

Aspira

Women's

Health,

Inc.

*(a)

50,458

155,663

AtriCure

,

Inc.

*

10,094

402,751

Bellerophon

Therapeutics,

Inc.

*

10,007

101,871

BioSig

Technologies,

Inc.

*

12,217

60,230

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

4.0%

(continued)

Cerus

Corp.

*

15,495

96,999

Co-Diagnostics,

Inc.

*(a)

11,547

156,924

CONMED

Corp.

1,113

87,560

CryoPort

,

Inc.

*

12,314

583,684

CytoSorbents

Corp.

*

18,280

145,783

Electromed

,

Inc.

*

8,502

88,506

GenMark

Diagnostics,

Inc.

*

21,714

308,339

Heska

Corp.

*

1,971

194,715

Invacare

Corp.

22,967

172,712

iRadimed

Corp.

*

5,604

119,813

iRhythm

Technologies,

Inc.

*

6,960

1,657,246

Meridian

Bioscience,

Inc.

*

9,611

163,195

Merit

Medical

Systems,

Inc.

*

1,392

60,552

Mesa

Laboratories,

Inc.

317

80,759

Neogen

Corp.

*

4,410

345,082

Nevro

Corp.

*

6,957

969,110

NuVasive

,

Inc.

*

3,430

166,595

OraSure

Technologies,

Inc.

*

19,713

239,907

OrthoPediatrics

Corp.

*(a)

4,952

227,396

PAVmed

,

Inc.

*(a)

68,725

122,330

Repro-Med

Systems,

Inc.

*

21,265

153,533

Retractable

Technologies,

Inc.

*

26,665

177,589

STAAR

Surgical

Co.

*

10,766

608,925

Stereotaxis

,

Inc.

*

28,795

103,086

Utah

Medical

Products,

Inc.

277

22,124

Zynex

,

Inc.

*(a)

11,080

193,346

8,181,555

Health

Care

Providers

&

Services

-

2.7%

Addus

HomeCare

Corp.

*

4,404

416,222

AMN

Healthcare

Services,

Inc.

*

1,194

69,801

BioTelemetry

,

Inc.

*

2,353

107,250

Community

Health

Systems,

Inc.

*

60,108

253,656

Ensign

Group,

Inc.

(The)

1,957

111,667

Fulgent

Genetics,

Inc.

*(a)

8,977

359,439

InfuSystem

Holdings,

Inc.

*

4,122

52,844

LHC

Group,

Inc.

*

6,220

1,322,123

Magellan

Health,

Inc.

*

1,608

121,854

MedCath

Corp.

(3)*(b)

10,300

–

National

Research

Corp.

2,992

147,236

Ontrak

,

Inc.

*

3,437

206,220

Owens

&

Minor,

Inc.

25,267

634,454

Patterson

Cos.,

Inc.

17,227

415,257

Providence

Service

Corp.

(The)

*

2,307

214,343

R1

RCM,

Inc.

*

8,725

149,634

RadNet

,

Inc.

*

5,735

88,032

Select

Medical

Holdings

Corp.

*

22,115

460,434

Sharps

Compliance

Corp.

*

9,970

62,512

Tenet

Healthcare

Corp.

*

10,944

268,238

Viemed

Healthcare,

Inc.

*

10,975

94,824

5,556,040

Health

Care

Technology

-

1.3%

Evolent

Health,

Inc.,

Class

A

*

13,907

172,586

iCAD

,

Inc.

*

16,797

147,982

97

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Technology

-

1.3%

(continued)

Inovalon

Holdings,

Inc.,

Class

A

*

35,150

929,717

Inspire

Medical

Systems,

Inc.

*

6,205

800,755

NantHealth

,

Inc.

*(a)

50,553

118,294

Simulations

Plus,

Inc.

5,608

422,619

2,591,953

Hotels,

Restaurants

&

Leisure

-

3.4%

Caesars

Entertainment,

Inc.

*

20,804

1,166,272

Churchill

Downs,

Inc.

7,536

1,234,548

El

Pollo

Loco

Holdings,

Inc.

*(a)

13,950

225,990

Papa

John's

International,

Inc.

6,816

560,820

Penn

National

Gaming,

Inc.

*

33,267

2,418,511

Texas

Roadhouse,

Inc.

12,190

741,030

Wingstop

,

Inc.

5,558

759,501

7,106,672

Household

Durables

-

4.0%

Beazer

Homes

USA,

Inc.

*

5,424

71,597

Cavco

Industries,

Inc.

*

1,697

305,986

Century

Communities,

Inc.

*

7,106

300,797

Green

Brick

Partners,

Inc.

*

10,812

174,073

Helen

of

Troy

Ltd.

*

4,837

936,056

Installed

Building

Products,

Inc.

*

6,714

683,149

iRobot

Corp.

*(a)

2,612

198,251

KB

Home

18,372

705,301

LGI

Homes,

Inc.

*

4,743

550,994

Lovesac

Co.

(The)

*

3,743

103,719

M/I

Homes,

Inc.

*

8,434

388,386

MDC

Holdings,

Inc.

3,377

159,057

Meritage

Homes

Corp.

*

9,901

1,092,971

Purple

Innovation,

Inc.

*

17,960

446,486

Sonos

,

Inc.

*

16,885

256,314

Taylor

Morrison

Home

Corp.

*

3,556

87,442

TopBuild

Corp.

*

6,802

1,161,033

TRI

Pointe

Group,

Inc.

*

23,964

434,707

Turtle

Beach

Corp.

*

3,803

69,215

Universal

Electronics,

Inc.

*

4,653

175,604

8,301,138

Household

Products

-

0.3%

Central

Garden

&

Pet

Co.,

Class

A

*

10,900

393,926

WD-40

Co.

993

187,985

581,911

Independent

Power

and

Renewable

Electricity

Producers

-

0.6%

Clearway

Energy,

Inc.,

Class

C

34,940

941,982

Ormat

Technologies,

Inc.

3,992

235,967

1,177,949

Insurance

-

1.6%

American

Equity

Investment

Life

Holding

Co.

13,314

292,775

AMERISAFE,

Inc.

2,867

164,451

CNO

Financial

Group,

Inc.

17,595

282,224

eHealth,

Inc.

*

1,487

117,473

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

1.6%

(continued)

Goosehead

Insurance,

Inc.,

Class

A

8,471

733,504

HCI

Group,

Inc.

2,690

132,590

Kinsale

Capital

Group,

Inc.

4,907

933,213

Stewart

Information

Services

Corp.

1,390

60,785

Trupanion

,

Inc.

*

8,090

638,301

3,355,316

Interactive

Media

&

Services

-

0.1%

EverQuote

,

Inc.,

Class

A

*

7,053

272,528

Internet

&

Direct

Marketing

Retail

-

0.9%

1-800-Flowers.com,

Inc.,

Class

A

*

11,719

292,272

CarParts.com,

Inc.

*

22,434

242,512

PetMed

Express,

Inc.

(a)

9,623

304,279

Shutterstock,

Inc.

3,273

170,327

Stamps.com,

Inc.

*

3,850

927,657

1,937,047

IT

Services

-

1.8%

EVERTEC,

Inc.

7,753

269,107

ExlService

Holdings,

Inc.

*

2,161

142,561

I3

Verticals,

Inc.,

Class

A

*

6,748

170,387

KBR,

Inc.

13,888

310,536

Limelight

Networks,

Inc.

*

42,487

244,725

LiveRamp

Holdings,

Inc.

*

5,760

298,195

ManTech

International

Corp.,

Class

A

6,394

440,419

MAXIMUS,

Inc.

1,206

82,502

MoneyGram

International,

Inc.

*

33,150

93,649

NIC,

Inc.

10,595

208,721

Perficient

,

Inc.

*

3,512

150,103

Perspecta

,

Inc.

13,438

261,369

PFSweb

,

Inc.

*

14,760

98,744

Sykes

Enterprises,

Inc.

*

6,823

233,415

TTEC

Holdings,

Inc.

10,420

568,411

Unisys

Corp.

*

18,886

201,514

3,774,358

Leisure

Products

-

0.9%

Acushnet

Holdings

Corp.

14,452

485,732

Johnson

Outdoors,

Inc.,

Class

A

1,132

92,700

Malibu

Boats,

Inc.,

Class

A

*

4,904

243,042

MasterCraft

Boat

Holdings,

Inc.

*

5,366

93,851

Nautilus,

Inc.

*

14,633

251,102

Smith

&

Wesson

Brands,

Inc.

11,848

183,881

Sturm

Ruger

&

Co.,

Inc.

4,684

286,474

Vista

Outdoor,

Inc.

*

16,018

323,243

1,960,025

Life

Sciences

Tools

&

Services

-

1.2%

Luminex

Corp.

9,407

246,934

Medpace

Holdings,

Inc.

*

7,260

811,305

NanoString

Technologies,

Inc.

*

9,719

434,439

NeoGenomics

,

Inc.

*

21,814

804,718

98

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

1.2%

(continued)

Quanterix

Corp.

*

3,109

104,898

2,402,294

Machinery

-

2.9%

Alamo

Group,

Inc.

2,234

241,339

Altra

Industrial

Motion

Corp.

6,390

236,238

Astec

Industries,

Inc.

5,945

322,516

Chart

Industries,

Inc.

*

1,755

123,324

Columbus

McKinnon

Corp.

1,872

61,963

ESCO

Technologies,

Inc.

5,754

463,542

Evoqua

Water

Technologies

Corp.

*

28,555

605,937

Federal

Signal

Corp.

9,687

283,345

Franklin

Electric

Co.,

Inc.

8,773

516,116

Greenbrier

Cos.,

Inc.

(The)

3,586

105,428

Kadant

,

Inc.

1,365

149,631

Lindsay

Corp.

2,492

240,927

Meritor,

Inc.

*

4,431

92,785

Mueller

Industries,

Inc.

5,922

160,249

Mueller

Water

Products,

Inc.,

Class

A

5,942

61,737

Omega

Flex,

Inc.

1,933

302,940

Proto

Labs,

Inc.

*

2,984

386,428

Rexnord

Corp.

20,247

604,171

Shyft

Group,

Inc.

(The)

13,724

259,109

SPX

Corp.

*

9,549

442,883

SPX

FLOW,

Inc.

*

1,674

71,681

Tennant

Co.

3,931

237,275

5,969,564

Marine

-

0.1%

Costamare

,

Inc.

(Monaco)

32,670

198,307

Media

-

0.5%

Cardlytics,

Inc.

*

6,359

448,755

Gray

Television,

Inc.

*

7,818

107,654

TechTarget

,

Inc.

*

9,446

415,246

Tribune

Publishing

Co.

10,081

117,544

1,089,199

Metals

&

Mining

-

1.4%

Caledonia

Mining

Corp.

plc

(South

Africa)

7,179

121,971

Century

Aluminum

Co.

*

24,145

171,912

Coeur

Mining,

Inc.

*

24,298

179,319

Commercial

Metals

Co.

22,332

446,193

Compass

Minerals

International,

Inc.

2,398

142,321

Gold

Resource

Corp.

25,440

86,751

Hecla

Mining

Co.

130,835

664,642

Novagold

Resources,

Inc.

(Canada)

*

69,501

826,367

Worthington

Industries,

Inc.

5,855

238,767

2,878,243

Multiline

Retail

-

0.2%

Big

Lots,

Inc.

9,222

411,301

INVESTMENTS

SHARES

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

1.3%

Antero

Resources

Corp.

*

22,174

60,978

CNX

Resources

Corp.

*

44,955

424,375

Contango

Oil

&

Gas

Co.

*

58,532

78,433

DHT

Holdings,

Inc.

14,078

72,642

Frontline

Ltd.

(Norway)

(a)

35,742

232,323

Green

Plains,

Inc.

*(a)

10,960

169,661

Nordic

American

Tankers

Ltd.

(a)

51,044

178,144

Overseas

Shipholding

Group,

Inc.,

Class

A

*

59,515

127,362

Range

Resources

Corp.

55,624

368,231

Renewable

Energy

Group,

Inc.

*(a)

11,699

624,961

Southwestern

Energy

Co.

*

112,311

263,931

2,601,041

Paper

&

Forest

Products

-

0.7%

Boise

Cascade

Co.

10,075

402,194

Clearwater

Paper

Corp.

*

7,085

268,805

Louisiana-Pacific

Corp.

19,646

579,753

P

H

Glatfelter

Co.

9,467

130,361

Schweitzer-Mauduit

International,

Inc.

5,616

170,670

1,551,783

Personal

Products

-

0.5%

Edgewell

Personal

Care

Co.

*

4,104

114,420

elf

Beauty,

Inc.

*

16,301

299,449

Lifevantage

Corp.

*

9,096

109,789

Medifast

,

Inc.

1,080

177,606

USANA

Health

Sciences,

Inc.

*

4,412

324,944

Veru

,

Inc.

*

42,160

110,459

1,136,667

Pharmaceuticals

-

3.2%

Agile

Therapeutics,

Inc.

*(a)

44,049

133,909

Aquestive

Therapeutics,

Inc.

*

15,188

73,738

Axsome

Therapeutics,

Inc.

*

7,207

513,499

BioDelivery

Sciences

International,

Inc.

*

28,459

106,152

Cassava

Sciences,

Inc.

*(a)

38,982

448,683

Collegium

Pharmaceutical,

Inc.

*

12,227

254,566

Corcept

Therapeutics,

Inc.

*

22,145

385,434

Durect

Corp.

*

99,275

169,760

Innoviva

,

Inc.

*

7,464

77,999

Intra-Cellular

Therapies,

Inc.

*

20,416

523,874

Kala

Pharmaceuticals,

Inc.

*(a)

18,207

136,552

Liquidia

Technologies,

Inc.

*(a)

15,130

74,440

Marinus

Pharmaceuticals,

Inc.

*(a)

8,415

108,133

MyoKardia

,

Inc.

*

11,024

1,502,902

Ocular

Therapeutix

,

Inc.

*

17,334

131,912

Odonate

Therapeutics,

Inc.

*

5,265

70,709

Pacira

BioSciences

,

Inc.

*

6,757

406,231

Paratek

Pharmaceuticals,

Inc.

*

25,977

140,535

Prestige

Consumer

Healthcare,

Inc.

*

10,749

391,478

Provention

Bio,

Inc.

*

19,137

245,528

99

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

3.2%

(continued)

Relmada

Therapeutics,

Inc.

*(a)

5,735

215,751

Revance

Therapeutics,

Inc.

*

16,618

417,776

6,529,561

Professional

Services

-

1.0%

Acacia

Research

Corp.

*

16,910

58,678

ASGN,

Inc.

*

8,431

535,874

CBIZ,

Inc.

*

11,492

262,822

CRA

International,

Inc.

3,205

120,091

Exponent,

Inc.

9,081

654,105

Mastech

Digital,

Inc.

*

6,118

110,185

Red

Violet,

Inc.

*(a)

7,126

131,546

TriNet

Group,

Inc.

*

1,666

98,827

1,972,128

Real

Estate

Management

&

Development

-

1.3%

eXp

World

Holdings,

Inc.

*

21,549

869,287

RE/MAX

Holdings,

Inc.,

Class

A

1,710

55,968

Realogy

Holdings

Corp.

*

32,666

308,367

Redfin

Corp.

*

21,662

1,081,584

St

Joe

Co.

(The)

*

13,594

280,444

2,595,650

Road

&

Rail

-

1.0%

Daseke

,

Inc.

*

16,680

89,571

Heartland

Express,

Inc.

10,120

188,232

Marten

Transport

Ltd.

19,897

324,719

Saia,

Inc.

*

5,572

702,852

US

Xpress

Enterprises,

Inc.,

Class

A

*

17,134

141,527

Werner

Enterprises,

Inc.

13,328

559,643

2,006,544

Semiconductors

&

Semiconductor

Equipment

-

4.5%

Advanced

Energy

Industries,

Inc.

*

6,811

428,684

Alpha

&

Omega

Semiconductor

Ltd.

*

10,047

128,802

Ambarella

,

Inc.

*

3,542

184,822

Amkor

Technology,

Inc.

*

52,248

585,178

Atomera

,

Inc.

*(a)

14,139

147,753

Axcelis

Technologies,

Inc.

*

10,182

224,004

AXT,

Inc.

*

12,699

77,718

Brooks

Automation,

Inc.

10,689

494,473

Cabot

Microelectronics

Corp.

4,880

696,913

CEVA,

Inc.

*

6,853

269,803

Cohu

,

Inc.

3,569

61,315

CyberOptics

Corp.

*

5,512

175,502

Diodes,

Inc.

*

9,708

548,017

DSP

Group,

Inc.

*

8,168

107,654

FormFactor

,

Inc.

*

18,246

454,873

Ichor

Holdings

Ltd.

*

5,523

119,131

Lattice

Semiconductor

Corp.

*

26,040

754,118

MACOM

Technology

Solutions

Holdings,

Inc.

*

15,803

537,460

NeoPhotonics

Corp.

*

24,535

149,418

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

4.5%

(continued)

PDF

Solutions,

Inc.

*

15,582

291,539

Photronics

,

Inc.

*

18,551

184,768

Power

Integrations,

Inc.

10,691

592,281

Rambus,

Inc.

*

23,503

321,756

Semtech

Corp.

*

9,279

491,416

SMART

Global

Holdings,

Inc.

*

4,511

123,331

Synaptics

,

Inc.

*

7,958

639,982

Ultra

Clean

Holdings,

Inc.

*

12,554

269,409

Veeco

Instruments,

Inc.

*

17,613

205,544

9,265,664

Software

-

6.1%

A10

Networks,

Inc.

*

17,600

112,112

Alarm.com

Holdings,

Inc.

*

6,583

363,711

American

Software,

Inc.,

Class

A

10,710

150,368

Appfolio

,

Inc.,

Class

A

*

6,442

913,540

Appian

Corp.

*(a)

6,569

425,343

Avaya

Holdings

Corp.

*

18,673

283,830

Blackline,

Inc.

*

11,434

1,024,829

Bottomline

Technologies

DE,

Inc.

*

6,657

280,659

Box,

Inc.,

Class

A

*

18,529

321,663

ChannelAdvisor

Corp.

*

11,985

173,423

Cloudera,

Inc.

*

58,649

638,688

Digital

Turbine,

Inc.

*

25,682

840,829

Domo,

Inc.,

Class

B

*

4,156

159,299

eGain

Corp.

*

14,213

201,398

Envestnet

,

Inc.

*

7,058

544,595

LivePerson

,

Inc.

*

14,469

752,243

Model

N,

Inc.

*

10,269

362,290

OneSpan

,

Inc.

*

12,615

264,410

Progress

Software

Corp.

3,404

124,859

Q2

Holdings,

Inc.

*

7,622

695,584

QAD,

Inc.,

Class

A

3,370

142,214

Qualys

,

Inc.

*

6,792

665,684

Sailpoint

Technologies

Holdings,

Inc.

*

19,117

756,460

Sapiens

International

Corp.

NV

(Israel)

11,140

340,661

SecureWorks

Corp.,

Class

A

*

9,044

103,011

Smith

Micro

Software,

Inc.

*(a)

28,987

108,122

SPS

Commerce,

Inc.

*

7,923

616,964

Tenable

Holdings,

Inc.

*

10,193

384,786

Varonis

Systems,

Inc.

*

6,988

806,555

Veritone

,

Inc.

*(a)

14,937

136,823

12,694,953

Specialty

Retail

-

3.9%

America's

Car-Mart,

Inc.

*

1,100

93,368

Asbury

Automotive

Group,

Inc.

*

842

82,053

At

Home

Group,

Inc.

*

5,481

81,448

Buckle,

Inc.

(The)

5,833

118,935

Camping

World

Holdings,

Inc.,

Class

A

21,211

631,027

Citi

Trends,

Inc.

5,376

134,293

Hibbett

Sports,

Inc.

*

6,090

238,850

100

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

3.9%

(continued)

Lithia

Motors,

Inc.,

Class

A

5,153

1,174,575

Lumber

Liquidators

Holdings,

Inc.

*

9,849

217,170

MarineMax

,

Inc.

*

7,342

188,469

Murphy

USA,

Inc.

*

5,997

769,235

National

Vision

Holdings,

Inc.

*

16,549

632,834

ODP

Corp.

(The)

11,971

232,836

Rent-A-Center,

Inc.

10,196

304,758

RH

*(a)

4,289

1,641,057

Sally

Beauty

Holdings,

Inc.

*

6,764

58,779

Shoe

Carnival,

Inc.

3,482

116,926

Signet

Jewelers

Ltd.

4,051

75,754

Sleep

Number

Corp.

*

6,009

293,900

Sonic

Automotive,

Inc.,

Class

A

12,140

487,542

Sportsman's

Warehouse

Holdings,

Inc.

*

17,291

247,434

Zumiez

,

Inc.

*

8,680

241,478

8,062,721

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

Quantum

Corp.

*

25,299

116,375

Super

Micro

Computer,

Inc.

*

13,801

364,347

480,722

Textiles,

Apparel

&

Luxury

Goods

-

0.9%

Crocs,

Inc.

*

14,205

606,980

Deckers

Outdoor

Corp.

*

5,056

1,112,370

Lakeland

Industries,

Inc.

*(a)

9,071

179,606

1,898,956

Thrifts

&

Mortgage

Finance

-

1.1%

Flagstar

Bancorp,

Inc.

2,179

64,564

HomeStreet

,

Inc.

4,136

106,543

Mr

Cooper

Group,

Inc.

*

27,733

619,000

PennyMac

Financial

Services,

Inc.

16,823

977,753

Walker

&

Dunlop,

Inc.

4,197

222,441

Waterstone

Financial,

Inc.

12,334

191,054

2,181,355

Tobacco

-

0.2%

Turning

Point

Brands,

Inc.

9,284

259,024

Vector

Group

Ltd.

16,748

162,288

421,312

Trading

Companies

&

Distributors

-

1.4%

Applied

Industrial

Technologies,

Inc.

5,039

277,649

Foundation

Building

Materials,

Inc.

*

4,660

73,255

GMS,

Inc.

*

12,755

307,396

Lawson

Products,

Inc.

*

2,603

106,801

Rush

Enterprises,

Inc.,

Class

A

5,884

297,377

SiteOne

Landscape

Supply,

Inc.

*

8,925

1,088,404

Systemax,

Inc.

7,714

184,673

Textainer

Group

Holdings

Ltd.

(China)

*

4,494

63,635

INVESTMENTS

SHARES

VALUE

($)

Trading

Companies

&

Distributors

-

1.4%

(continued)

Triton

International

Ltd.

11,892

483,648

2,882,838

Water

Utilities

-

0.2%

American

States

Water

Co.

2,329

174,558

Cadiz,

Inc.

*(a)

8,618

85,577

Middlesex

Water

Co.

1,127

70,043

York

Water

Co.

(The)

3,028

127,994

458,172

Wireless

Telecommunication

Services

-

0.2%

Shenandoah

Telecommunications

Co.

9,666

429,509

TOTAL

COMMON

STOCKS

(Cost

$158,502,822)

199,705,262

SHORT-TERM

INVESTMENTS

-

3.3%

INVESTMENT

COMPANIES

-

3.3%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)

(Cost

$6,773,127)

6,773,626

6,772,271

SECURITIES

LENDING

COLLATERAL

-

4.3%

Investment

Companies

-

4.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(d)

1,179,164

1,179,164

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)

7,681,578

7,680,042

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$8,860,742)

8,859,206

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

104.1%

(Cost

$174,136,691)

215,336,739

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(4.1)%

(e)

(8,536,443)

NET

ASSETS

-

100.0%

206,800,296

101

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,770,937

2.3

%

Consumer

Discretionary

33,992,375

16.4

Consumer

Staples

10,131,131

4.9

Energy

2,601,041

1.2

Financials

15,278,628

7.4

Health

Care

52,726,353

25.5

Industrials

29,310,016

14.2

Information

Technology

32,285,260

15.6

Materials

6,954,830

3.3

Real

Estate

10,018,570

4.9

Utilities

1,636,121

0.8

Short-Term

Investments

6,772,271

3.3

Securities

Lending

Collateral

8,859,206

4.3

Total

Investments

In

Securities

At

Value

215,336,739

104.1

Liabilities

in

Excess

of

Other

Assets

(e)

(8,536,443)

(4.1)

Net

Assets

$

206,800,296

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$8,540,860.

(b)

Security

fair

valued

as

of

September

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(3)

Level

3

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

84

12/2020

USD

$

6,318,480

$

(180,469)

$

(180,469)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

706,316

$

706,316

102

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.6%

Australia

-

4.3%

Afterpay

Ltd.

*

23,560

1,388,735

ASX

Ltd.

7,448

435,452

AusNet

Services

141,964

191,642

BHP

Group

plc

49,874

1,064,020

Coles

Group

Ltd.

77,730

946,967

CSL

Ltd.

21,751

4,493,036

Evolution

Mining

Ltd.

171,985

718,456

Fortescue

Metals

Group

Ltd.

196,520

2,308,723

Goodman

Group,

REIT

73,776

955,210

Macquarie

Group

Ltd.

4,397

381,151

Magellan

Financial

Group

Ltd.

13,377

551,721

Northern

Star

Resources

Ltd.

61,531

609,713

REA

Group

Ltd.

6,482

516,154

Rio

Tinto

plc

35,295

2,123,788

Wesfarmers

Ltd.

48,612

1,553,847

Woolworths

Group

Ltd.

11,550

302,017

18,540,632

—

Austria

-

0.0%

(a)

ANDRITZ

AG

6,457

199,300

Belgium

-

0.7%

Elia

Group

SA/NV

2,663

266,216

Galapagos

NV

*

4,150

588,345

Sofina

SA

1,469

401,047

UCB

SA

10,679

1,212,854

Umicore

SA

13,311

553,665

3,022,127

—

Brazil

-

0.3%

Wheaton

Precious

Metals

Corp.

(1)(b)

29,080

1,426,756

Canada

-

7.4%

Agnico

Eagle

Mines

Ltd.

(1)

16,234

1,293,429

Algonquin

Power

&

Utilities

Corp.

(1)

37,913

550,665

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

15,527

540,713

B2Gold

Corp.

(1)

78,949

514,053

Barrick

Gold

Corp.

(1)

77,444

2,175,214

Brookfield

Asset

Management,

Inc.,

Class

A

(1)

51,446

1,702,310

Canadian

National

Railway

Co.

(1)

12,955

1,379,707

Canadian

Pacific

Railway

Ltd.

(1)

6,968

2,119,626

Constellation

Software,

Inc.

(1)

1,370

1,522,356

Enbridge,

Inc.

(1)

59,372

1,734,498

Franco-Nevada

Corp.

(1)

11,189

1,563,544

Hydro

One

Ltd.

(1)(c)

35,704

756,687

Intact

Financial

Corp.

(1)

11,818

1,265,450

International

Petroleum

Corp.

*(b)

14,226

25,999

Kinross

Gold

Corp.

(1)*

110,662

976,515

Magna

International,

Inc.

(1)

5,280

241,606

Metro,

Inc.

(1)

12,617

605,385

National

Bank

of

Canada

(1)

16,365

812,873

Open

Text

Corp.

(1)(b)

8,179

345,698

Pan

American

Silver

Corp.

(1)

23,405

752,482

Quebecor,

Inc.,

Class

B

(1)

5,379

134,561

Ritchie

Bros

Auctioneers,

Inc.

(1)

5,627

333,719

Shopify,

Inc.,

Class

A

(1)*(b)

5,501

5,625,518

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.4%

(continued)

Sun

Life

Financial,

Inc.

(1)(b)

20,983

855,047

TC

Energy

Corp.

(1)

16,868

708,138

Thomson

Reuters

Corp.

(1)

25,328

2,021,218

TMX

Group

Ltd.

(1)

2,052

211,033

WSP

Global,

Inc.

(1)

10,798

709,081

Yamana

Gold,

Inc.

(1)

86,737

493,109

31,970,234

—

Chile

-

0.1%

Antofagasta

plc

35,465

468,040

Lundin

Mining

Corp.

(1)

19,508

108,854

576,894

—

China

-

0.2%

Wilmar

International

Ltd.

284,300

923,079

Denmark

-

5.0%

Ambu

A/S,

Class

B

23,822

670,813

AP

Moller

-

Maersk

A/S,

Class

B

664

1,049,705

Coloplast

A/S,

Class

B

10,838

1,717,705

Danske

Bank

A/S

*

17,377

235,043

DSV

Panalpina

A/S

13,976

2,266,952

Genmab

A/S

*

4,587

1,664,648

GN

Store

Nord

A/S

5,001

376,759

Novo

Nordisk

A/S,

Class

B

99,261

6,877,257

Novozymes

A/S,

Class

B

14,937

938,826

Orsted

A/S

(c)

21,514

2,964,199

Pandora

A/S

9,161

660,854

Vestas

Wind

Systems

A/S

13,765

2,224,514

21,647,275

—

Finland

-

2.2%

Elisa

OYJ

14,492

852,002

Kone

OYJ,

Class

B

29,838

2,619,880

Neste

OYJ

34,368

1,809,810

Nordea

Bank

Abp

213,486

1,622,223

Orion

OYJ,

Class

B

13,061

591,750

Stora

Enso

OYJ,

Class

R

(b)

46,212

723,314

UPM-

Kymmene

OYJ

45,225

1,376,510

9,595,489

—

France

-

6.5%

Air

Liquide

SA

11,920

1,889,436

Alstom

SA

*

9,203

459,717

BioMerieux

5,532

865,926

Bouygues

SA

5,122

176,998

Dassault

Systemes

SE

11,319

2,111,923

EssilorLuxottica

SA

*

13,556

1,845,465

Hermes

International

3,240

2,790,460

Iliad

SA

4,224

774,826

Kering

SA

1,207

800,655

Legrand

SA

2,988

237,992

L'Oreal

SA

5,953

1,937,280

LVMH

Moet

Hennessy

Louis

Vuitton

SE

8,793

4,114,251

Sanofi

49,686

4,979,126

Sartorius

Stedim

Biotech

4,255

1,468,668

Schneider

Electric

SE

19,529

2,427,434

Teleperformance

1,125

346,840

Ubisoft

Entertainment

SA

*

3,711

334,465

103

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

France

-

6.5%

(continued)

Worldline

SA

*(c)

6,697

548,372

28,109,834

—

Germany

-

10.2%

Bayer

AG

(Registered)

38,155

2,353,924

Brenntag

AG

11,744

746,705

Carl

Zeiss

Meditec

AG

959

121,122

Delivery

Hero

SE

*(c)

15,138

1,736,923

Deutsche

Bank

AG

(Registered)

*

125,676

1,059,375

Deutsche

Boerse

AG

9,343

1,638,018

Deutsche

Post

AG

(Registered)

61,987

2,812,695

Deutsche

Telekom

AG

(Registered)

89,738

1,494,142

Deutsche

Wohnen

SE

10,574

528,481

E.ON

SE

97,476

1,074,421

Evonik

Industries

AG

15,476

400,348

Fresenius

Medical

Care

AG

&

Co.

KGaA

9,993

844,776

GEA

Group

AG

15,178

531,810

Hannover

Rueck

SE

7,005

1,084,450

Infineon

Technologies

AG

66,296

1,868,606

KION

Group

AG

8,029

685,590

Knorr-

Bremse

AG

3,051

359,291

LEG

Immobilien

AG

2,000

285,078

Merck

KGaA

16,305

2,377,145

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

6,207

1,577,928

Nemetschek

SE

7,657

559,660

Puma

SE

*

11,218

1,008,444

RWE

AG

40,819

1,528,646

SAP

SE

26,965

4,198,941

Scout24

AG

(c)

6,471

564,446

Siemens

AG

(Registered)

38,510

4,863,393

Siemens

Energy

AG

(1)*

19,255

519,237

Siemens

Healthineers

AG

(c)

33,085

1,485,135

Symrise

AG

9,258

1,278,738

Telefonica

Deutschland

Holding

AG

43,997

112,445

Uniper

SE

4,450

143,642

United

Internet

AG

(Registered)

10,956

418,988

Vonovia

SE

27,619

1,893,365

Zalando

SE

*(c)

16,121

1,506,184

43,662,092

—

Hong

Kong

-

1.2%

AIA

Group

Ltd.

91,600

910,513

CLP

Holdings

Ltd.

14,000

130,722

Hang

Lung

Properties

Ltd.

73,000

186,045

Hong

Kong

Exchanges

&

Clearing

Ltd.

47,200

2,221,868

Pacific

Century

Premium

Developments

Ltd.

*

34,884

9,199

PCCW

Ltd.

323,000

193,226

Techtronic

Industries

Co.

Ltd.

100,500

1,336,218

WH

Group

Ltd.

(c)

264,000

215,347

5,203,138

—

Italy

-

2.7%

DiaSorin

SpA

5,067

1,019,440

Enel

SpA

461,535

4,004,239

Ferrari

NV

10,880

1,996,686

INVESTMENTS

SHARES

VALUE

($)

Italy

-

2.7%

(continued)

FinecoBank

Banca

Fineco

SpA

*

31,262

430,594

Infrastrutture

Wireless

Italiane

SpA

(c)

85,709

945,567

Nexi

SpA

*(c)

52,212

1,046,445

Prysmian

SpA

9,142

265,371

Recordati

Industria

Chimica

e

Farmaceutica

SpA

15,986

818,883

Terna

Rete

Elettrica

Nazionale

SpA

154,257

1,079,306

11,606,531

—

Japan

-

28.7%

Acom

Co.

Ltd.

49,000

213,144

Advantest

Corp.

18,100

880,395

Aeon

Co.

Ltd.

40,200

1,081,414

Asahi

Intecc

Co.

Ltd.

26,200

823,431

Astellas

Pharma,

Inc.

85,700

1,277,495

Bandai

Namco

Holdings,

Inc.

14,100

1,033,108

Benesse

Holdings,

Inc.

7,700

198,190

Casio

Computer

Co.

Ltd.

22,400

362,707

Chugai

Pharmaceutical

Co.

Ltd.

61,100

2,741,892

Chugoku

Electric

Power

Co.,

Inc.

(The)

26,000

325,073

Cosmos

Pharmaceutical

Corp.

5,400

941,061

CyberAgent

,

Inc.

4,000

247,006

Daifuku

Co.

Ltd.

9,200

928,624

Daiichi

Sankyo

Co.

Ltd.

107,400

3,296,939

Daikin

Industries

Ltd.

12,200

2,254,247

Daiwa

House

REIT

Investment

Corp.,

REIT

107

273,030

Disco

Corp.

3,400

831,316

Eisai

Co.

Ltd.

15,100

1,379,118

FANUC

Corp.

2,800

537,364

Fujitsu

Ltd.

14,700

2,008,280

GLP

J-REIT,

REIT

153

235,481

GMO

Payment

Gateway,

Inc.

5,500

589,175

Hamamatsu

Photonics

KK

9,300

469,991

Hikari

Tsushin,

Inc.

3,000

715,767

Hirose

Electric

Co.

Ltd.

1,800

232,570

Hisamitsu

Pharmaceutical

Co.,

Inc.

6,400

327,198

Hitachi

Construction

Machinery

Co.

Ltd.

5,400

195,684

Hitachi

Metals

Ltd.

20,100

309,944

Honda

Motor

Co.

Ltd.

39,200

930,894

Hoshizaki

Corp.

3,300

263,328

Hoya

Corp.

22,500

2,540,617

Hulic

Co.

Ltd.

19,900

186,725

Ito

En

Ltd.

7,500

534,887

ITOCHU

Corp.

82,300

2,107,361

Itochu

Techno-Solutions

Corp.

18,300

694,219

Japan

Airport

Terminal

Co.

Ltd.

4,900

217,082

JSR

Corp.

13,100

311,363

Kakaku.com,

Inc.

18,700

493,005

KDDI

Corp.

89,400

2,248,549

Keihan

Holdings

Co.

Ltd.

3,800

157,782

Keyence

Corp.

10,160

4,749,589

Kikkoman

Corp.

4,700

260,727

Kobayashi

Pharmaceutical

Co.

Ltd.

6,500

628,069

Kobe

Bussan

Co.

Ltd.

13,400

737,954

Kurita

Water

Industries

Ltd.

6,600

218,253

Kyowa

Kirin

Co.

Ltd.

30,300

862,243

104

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

28.7%

(continued)

Lasertec

Corp.

10,800

887,748

Lawson,

Inc.

5,200

247,950

LINE

Corp.

*

18,800

956,949

Lion

Corp.

13,400

275,090

M3,

Inc.

41,500

2,567,035

Makita

Corp.

6,700

320,657

McDonald's

Holdings

Co.

Japan

Ltd.

6,700

325,875

Mercari

,

Inc.

*

6,700

309,630

MINEBEA

MITSUMI,

Inc.

15,100

287,628

Mitsubishi

Electric

Corp.

47,500

644,537

Mitsubishi

Gas

Chemical

Co.,

Inc.

13,500

251,147

Mitsui

&

Co.

Ltd.

63,600

1,092,827

Miura

Co.

Ltd.

12,000

588,588

MonotaRO

Co.

Ltd.

23,500

1,167,268

Murata

Manufacturing

Co.

Ltd.

30,700

1,996,334

Nabtesco

Corp.

6,900

250,514

Nexon

Co.

Ltd.

54,200

1,351,953

NGK

Insulators

Ltd.

13,700

195,615

Nidec

Corp.

3,400

318,845

Nihon

M&A

Center,

Inc.

14,000

800,932

Nintendo

Co.

Ltd.

6,300

3,570,154

Nippon

Paint

Holdings

Co.

Ltd.

19,700

2,028,043

Nippon

Prologis

REIT,

Inc.,

REIT

172

580,030

Nippon

Shinyaku

Co.

Ltd.

3,600

296,402

Nippon

Telegraph

&

Telephone

Corp.

37,200

759,500

Nissan

Chemical

Corp.

8,300

442,473

Nissin

Foods

Holdings

Co.

Ltd.

8,500

798,558

Nitori

Holdings

Co.

Ltd.

7,700

1,597,379

Nitto

Denko

Corp.

5,600

364,833

Nomura

Holdings,

Inc.

193,100

882,454

Nomura

Research

Institute

Ltd.

47,000

1,383,891

NTT

DOCOMO,

Inc.

116,100

4,266,224

Obic

Co.

Ltd.

8,700

1,530,005

Olympus

Corp.

95,600

1,988,073

Omron

Corp.

13,400

1,047,694

Ono

Pharmaceutical

Co.

Ltd.

41,400

1,302,190

Oracle

Corp.

Japan

8,700

939,399

Osaka

Gas

Co.

Ltd.

11,600

225,841

Otsuka

Corp.

9,300

475,243

Otsuka

Holdings

Co.

Ltd.

25,200

1,067,606

Pan

Pacific

International

Holdings

Corp.

42,600

992,081

Panasonic

Corp.

88,400

752,998

Recruit

Holdings

Co.

Ltd.

37,300

1,481,383

Renesas

Electronics

Corp.

*

72,900

535,060

Rinnai

Corp.

3,000

292,624

Santen

Pharmaceutical

Co.

Ltd.

37,200

760,587

Secom

Co.

Ltd.

5,100

466,729

Sega

Sammy

Holdings,

Inc.

19,100

232,791

Sekisui

Chemical

Co.

Ltd.

14,500

231,931

Sekisui

House

Ltd.

38,800

687,564

SG

Holdings

Co.

Ltd.

14,500

754,488

Sharp

Corp.

(b)

18,900

235,102

Shimadzu

Corp.

14,000

426,109

Shimano,

Inc.

2,300

454,009

Shimizu

Corp.

35,600

268,002

Shin-Etsu

Chemical

Co.

Ltd.

20,200

2,643,257

Shionogi

&

Co.

Ltd.

3,300

176,630

INVESTMENTS

SHARES

VALUE

($)

Japan

-

28.7%

(continued)

SMC

Corp.

3,500

1,952,429

SoftBank

Corp.

13,300

148,619

SoftBank

Group

Corp.

49,500

3,062,791

Sohgo

Security

Services

Co.

Ltd.

4,000

190,545

Sony

Corp.

58,300

4,468,230

Square

Enix

Holdings

Co.

Ltd.

11,900

787,558

Stanley

Electric

Co.

Ltd.

5,600

161,387

SUMCO

Corp.

31,100

438,793

Sundrug

Co.

Ltd.

13,600

512,651

Sysmex

Corp.

9,700

928,115

Takeda

Pharmaceutical

Co.

Ltd.

43,600

1,558,392

TDK

Corp.

8,200

895,381

Terumo

Corp.

31,200

1,242,219

THK

Co.

Ltd.

5,200

130,861

TIS,

Inc.

14,800

314,352

Tobu

Railway

Co.

Ltd.

12,400

383,182

Toho

Gas

Co.

Ltd.

10,900

539,341

Tokyo

Century

Corp.

3,700

201,672

Tokyo

Electron

Ltd.

8,500

2,220,665

Toshiba

Corp.

6,800

173,465

Tosoh

Corp.

7,800

126,641

Toyo

Suisan

Kaisha

Ltd.

9,600

506,940

Toyoda

Gosei

Co.

Ltd.

7,500

172,208

Toyota

Motor

Corp.

22,300

1,480,051

Trend

Micro,

Inc.

4,400

268,130

Tsuruha

Holdings,

Inc.

6,500

921,486

Unicharm

Corp.

30,800

1,377,478

Welcia

Holdings

Co.

Ltd.

23,600

1,037,335

Yamada

Holdings

Co.

Ltd.

39,500

196,984

Yamato

Holdings

Co.

Ltd.

4,900

129,078

Yaskawa

Electric

Corp.

6,600

258,213

Z

Holdings

Corp.

280,100

1,870,907

123,282,849

—

Jordan

-

0.1%

Hikma

Pharmaceuticals

plc

8,384

281,009

Luxembourg

-

0.2%

Eurofins

Scientific

SE

*

1,240

982,287

Macau

-

0.0%

(a)

Galaxy

Entertainment

Group

Ltd.

29,000

196,060

Netherlands

-

4.3%

Adyen

NV

*(c)

1,590

2,932,730

Akzo

Nobel

NV

2,635

266,321

Altice

Europe

NV

*

76,081

362,231

ASML

Holding

NV

20,829

7,693,672

Just

Eat

Takeaway.com

NV

*(c)

5,276

590,631

Koninklijke

Ahold

Delhaize

NV

9,297

274,800

Koninklijke

DSM

NV

13,395

2,205,241

Koninklijke

Philips

NV

*

26,215

1,237,850

Koninklijke

Vopak

NV

4,097

230,594

NN

Group

NV

8,347

312,877

Randstad

NV

*

2,316

120,769

Wolters

Kluwer

NV

25,073

2,138,789

18,366,505

—

105

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Norway

-

0.2%

Gjensidige

Forsikring

ASA

12,009

243,719

Orkla

ASA

28,389

286,515

Schibsted

ASA,

Class

B

*

6,699

266,886

797,120

—

Portugal

-

0.1%

EDP

-

Energias

de

Portugal

SA

114,329

562,148

Singapore

-

0.4%

Ascendas

,

REIT

220,000

526,445

Mapletree

Logistics

Trust,

REIT

266,500

401,420

Singapore

Exchange

Ltd.

58,300

393,214

Venture

Corp.

Ltd.

16,500

234,284

1,555,363

—

South

Africa

-

0.2%

Anglo

American

plc

32,423

784,429

Spain

-

1.6%

Cellnex

Telecom

SA

(c)

24,619

1,494,439

Enagas

SA

8,348

192,615

Endesa

SA

19,574

523,565

Ferrovial

SA

43,348

1,052,941

Iberdrola

SA

305,494

3,760,201

7,023,761

—

Sweden

-

5.3%

Alfa

Laval

AB

*

17,054

376,459

Atlas

Copco

AB,

Class

A

66,012

3,147,373

Boliden

AB

17,545

520,571

Epiroc

AB,

Class

A

65,913

954,832

Evolution

Gaming

Group

AB

(c)

16,736

1,105,800

Hennes

&

Mauritz

AB,

Class

B

(b)

15,726

270,927

Hexagon

AB,

Class

B

*

13,114

990,540

Industrivarden

AB,

Class

C

*

16,099

428,132

Investment

AB

Latour

,

Class

B

36,700

862,226

Investor

AB,

Class

B

36,449

2,380,840

Kinnevik

AB,

Class

B

18,469

749,626

L

E

Lundbergforetagen

AB,

Class

B

*

13,616

672,754

Nibe

Industrier

AB,

Class

B

*

43,874

1,127,609

Sandvik

AB

*

63,290

1,237,657

Skandinaviska

Enskilda

Banken

AB,

Class

A

*

53,851

478,282

Skanska

AB,

Class

B

32,463

685,574

SKF

AB,

Class

B

44,832

924,910

Svenska

Cellulosa

AB

SCA,

Class

B

*

65,556

898,737

Svenska

Handelsbanken

AB,

Class

A

*

65,678

549,513

Swedbank

AB,

Class

A

*

35,857

561,363

Swedish

Match

AB

11,312

924,945

Telefonaktiebolaget

LM

Ericsson,

Class

B

68,440

748,955

Volvo

AB,

Class

B

*

121,800

2,339,761

22,937,386

—

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

7.5%

ABB

Ltd.

(Registered)

90,769

2,307,698

Banque

Cantonale

Vaudoise

(Registered)

3,212

325,958

Chocoladefabriken

Lindt

&

Spruengli

AG

98

827,216

EMS-

Chemie

Holding

AG

(Registered)

849

762,797

Geberit

AG

(Registered)

2,660

1,573,721

Givaudan

SA

(Registered)

468

2,020,735

Kuehne

+

Nagel

International

AG

(Registered)

3,223

625,821

LafargeHolcim

Ltd.

(Registered)

*

3,361

152,991

Logitech

International

SA

(Registered)

11,377

881,287

Lonza

Group

AG

(Registered)

3,920

2,419,171

Nestle

SA

(Registered)

2,066

245,879

Partners

Group

Holding

AG

1,444

1,328,197

Roche

Holding

AG

33,184

11,366,866

Sika

AG

(Registered)

9,247

2,270,618

STMicroelectronics

NV

36,968

1,133,809

Straumann

Holding

AG

(Registered)

737

745,550

Swiss

Prime

Site

AG

(Registered)

6,533

593,325

Swisscom

AG

(Registered)

1,823

965,749

Zurich

Insurance

Group

AG

5,247

1,829,709

32,377,097

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(d)

13,256

—

United

Kingdom

-

5.9%

Admiral

Group

plc

13,052

440,182

Ashtead

Group

plc

29,553

1,064,245

AstraZeneca

plc

66,434

7,258,875

BAE

Systems

plc

117,483

729,630

Berkeley

Group

Holdings

plc

6,646

362,292

British

American

Tobacco

plc

88,874

3,188,027

Bunzl

plc

10,364

334,616

Croda

International

plc

4,518

364,448

Experian

plc

35,906

1,349,146

GVC

Holdings

plc

13,660

171,081

Halma

plc

8,532

257,768

Intertek

Group

plc

10,882

887,934

JD

Sports

Fashion

plc

40,506

422,828

London

Stock

Exchange

Group

plc

13,666

1,567,721

National

Grid

plc

141,616

1,626,624

Ocado

Group

plc

*

26,048

921,299

Persimmon

plc

17,669

563,083

Reckitt

Benckiser

Group

plc

9,360

912,650

Rentokil

Initial

plc

62,488

431,908

Severn

Trent

plc

3,954

124,491

Spirax-Sarco

Engineering

plc

1,913

272,415

SSE

plc

23,902

372,015

Tesco

plc

488,434

1,339,925

United

Utilities

Group

plc

35,450

391,594

Vodafone

Group

plc

114,341

151,551

25,506,348

—

United

States

-

0.2%

Ferguson

plc

7,344

739,030

106

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Zambia

-

0.1%

First

Quantum

Minerals

Ltd.

(1)

46,368

413,344

TOTAL

COMMON

STOCKS

(Cost

$320,980,795)

412,288,117

SHORT-TERM

INVESTMENTS

-

3.5%

INVESTMENT

COMPANIES

-

3.5%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(e)

(Cost

$15,006,341)

15,007,950

15,004,949

SECURITIES

LENDING

COLLATERAL

-

0.7%

Investment

Companies

-

0.7%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(e)(f)

428,639

428,639

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(e)(f)

2,792,341

2,791,783

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$3,220,980)

3,220,422

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.8%

(Cost

$339,208,116)

430,513,488

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.2%

(g)

834,391

NET

ASSETS

-

100.0%

431,347,879

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

29,344,894

6.8

%

Consumer

Discretionary

38,690,885

9.0

Consumer

Staples

23,332,343

5.4

Energy

4,509,039

1.0

Financials

30,955,454

7.2

Health

Care

83,955,105

19.5

Industrials

74,194,334

17.2

Information

Technology

57,903,636

13.4

Materials

40,895,465

9.5

Real

Estate

6,653,833

1.5

Utilities

21,853,129

5.1

Short-Term

Investments

15,004,949

3.5

Securities

Lending

Collateral

3,220,422

0.7

Total

Investments

In

Securities

At

Value

430,513,488

99.8

Other

Assets

in

Excess

of

Liabilities

(g)

834,391

0.2

Net

Assets

$

431,347,879

100.0%

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$3,276,198.

(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

September

30,

2020

amounted

to

$17,892,905,

which

represents

approximately

4.15%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

as

of

September

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$230,761

was

received.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

107

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

170

12/2020

USD

$

15,752,200

$

(410,094)

$

(410,094)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

1,966,215

$

1,966,215

108

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.0%

Aerospace

&

Defense

-

1.6%

BWX

Technologies,

Inc.

1,737

97,811

General

Dynamics

Corp.

1,100

152,273

Huntington

Ingalls

Industries,

Inc.

1,500

211,125

Lockheed

Martin

Corp.

5,283

2,024,868

Northrop

Grumman

Corp.

5,286

1,667,680

Teledyne

Technologies,

Inc.

*

513

159,138

4,312,895

Air

Freight

&

Logistics

-

0.1%

FedEx

Corp.

328

82,499

XPO

Logistics,

Inc.

*

2,837

240,180

322,679

Airlines

-

0.1%

Southwest

Airlines

Co.

6,380

239,250

Auto

Components

-

0.0%

(a)

BorgWarner,

Inc.

2,739

106,109

Automobiles

-

2.3%

Tesla,

Inc.

*

12,864

5,518,785

Thor

Industries,

Inc.

5,102

486,016

6,004,801

Banks

-

0.2%

First

Republic

Bank

4,040

440,602

SVB

Financial

Group

*

700

168,434

609,036

Beverages

-

0.9%

Constellation

Brands,

Inc.,

Class

A

4,147

785,898

Monster

Beverage

Corp.

*

4,800

384,960

PepsiCo,

Inc.

7,857

1,088,980

2,259,838

Biotechnology

-

2.8%

AbbVie,

Inc.

14,731

1,290,288

Alnylam

Pharmaceuticals,

Inc.

*

1,125

163,800

Amgen,

Inc.

5,168

1,313,499

Biogen,

Inc.

*

917

260,135

BioMarin

Pharmaceutical,

Inc.

*

4,256

323,796

Exact

Sciences

Corp.

*

2,044

208,386

Immunomedics

,

Inc.

*

8,411

715,187

Incyte

Corp.

*

2,867

257,285

Iovance

Biotherapeutics

,

Inc.

*

11,060

364,095

Neurocrine

Biosciences,

Inc.

*

810

77,890

Regeneron

Pharmaceuticals,

Inc.

*

986

551,943

Sarepta

Therapeutics,

Inc.

*

2,156

302,767

Seattle

Genetics,

Inc.

*

3,005

588,048

United

Therapeutics

Corp.

*

1,881

189,981

Vertex

Pharmaceuticals,

Inc.

*

2,725

741,527

7,348,627

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

0.5%

A

O

Smith

Corp.

4,045

213,576

Fortune

Brands

Home

&

Security,

Inc.

1,893

163,782

Lennox

International,

Inc.

462

125,946

Masco

Corp.

3,043

167,761

Trane

Technologies

plc

3,592

435,530

Trex

Co.,

Inc.

*

4,948

354,277

1,460,872

Capital

Markets

-

2.2%

Ameriprise

Financial,

Inc.

835

128,682

BlackRock,

Inc.

365

205,696

Cboe

Global

Markets,

Inc.

1,552

136,172

CME

Group,

Inc.

4,233

708,223

Intercontinental

Exchange,

Inc.

4,335

433,717

LPL

Financial

Holdings,

Inc.

9,563

733,195

MarketAxess

Holdings,

Inc.

437

210,455

Moody's

Corp.

2,295

665,206

Morgan

Stanley

13,359

645,908

Morningstar,

Inc.

494

79,341

MSCI,

Inc.

1,404

500,919

Northern

Trust

Corp.

2,636

205,529

S&P

Global,

Inc.

3,044

1,097,666

5,750,709

Chemicals

-

1.3%

Air

Products

and

Chemicals,

Inc.

1,700

506,362

Albemarle

Corp.

1,235

110,261

Chemours

Co.

(The)

16,064

335,898

Ecolab,

Inc.

2,300

459,632

Element

Solutions,

Inc.

*

8,252

86,729

FMC

Corp.

1,056

111,841

Linde

plc

(United

Kingdom)

1,465

348,860

PPG

Industries,

Inc.

1,826

222,918

Scotts

Miracle-

Gro

Co.

(The)

3,000

458,730

Sherwin-Williams

Co.

(The)

961

669,567

3,310,798

Commercial

Services

&

Supplies

-

0.4%

ADT,

Inc.

37,352

305,166

Cintas

Corp.

848

282,240

Copart

,

Inc.

*

2,139

224,937

Republic

Services,

Inc.

1,427

133,210

Waste

Management,

Inc.

963

108,983

1,054,536

Communications

Equipment

-

0.7%

Arista

Networks,

Inc.

*

1,206

249,558

Cisco

Systems,

Inc.

18,696

736,435

F5

Networks,

Inc.

*

692

84,957

Lumentum

Holdings,

Inc.

*

5,453

409,684

Ubiquiti,

Inc.

2,046

340,986

1,821,620

109

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Construction

&

Engineering

-

0.1%

AECOM

*

2,693

112,675

Jacobs

Engineering

Group,

Inc.

1,060

98,336

Quanta

Services,

Inc.

1,416

74,850

285,861

Construction

Materials

-

0.1%

Vulcan

Materials

Co.

1,445

195,855

Consumer

Finance

-

0.3%

Capital

One

Financial

Corp.

3,365

241,809

OneMain

Holdings,

Inc.

11,245

351,406

Santander

Consumer

USA

Holdings,

Inc.

15,874

288,748

881,963

Containers

&

Packaging

-

0.1%

Ball

Corp.

3,413

283,689

Distributors

-

0.2%

LKQ

Corp.

*

6,665

184,820

Pool

Corp.

759

253,916

438,736

Diversified

Financial

Services

-

0.1%

Berkshire

Hathaway,

Inc.,

Class

B

*

612

130,319

Jefferies

Financial

Group,

Inc.

5,954

107,172

237,491

Electric

Utilities

-

1.2%

Alliant

Energy

Corp.

3,241

167,398

American

Electric

Power

Co.,

Inc.

1,717

140,330

NextEra

Energy,

Inc.

8,783

2,437,810

Xcel

Energy,

Inc.

5,012

345,878

3,091,416

Electrical

Equipment

-

0.3%

Eaton

Corp.

plc

2,334

238,138

Generac

Holdings,

Inc.

*

2,161

418,456

Rockwell

Automation,

Inc.

332

73,266

729,860

Electronic

Equipment,

Instruments

&

Components

-

0.8%

Cognex

Corp.

5,374

349,847

Coherent,

Inc.

*

687

76,209

Corning,

Inc.

11,812

382,827

Dolby

Laboratories,

Inc.,

Class

A

1,816

120,365

IPG

Photonics

Corp.

*

1,287

218,751

Jabil,

Inc.

8,553

293,026

Keysight

Technologies,

Inc.

*

1,638

161,802

SYNNEX

Corp.

1,669

233,760

Trimble,

Inc.

*

4,200

204,540

Zebra

Technologies

Corp.,

Class

A

*

696

175,712

2,216,839

INVESTMENTS

SHARES

VALUE

($)

Entertainment

-

1.5%

Activision

Blizzard,

Inc.

10,763

871,265

Electronic

Arts,

Inc.

*

6,096

794,979

Netflix,

Inc.

*

2,682

1,341,081

Roku,

Inc.

*

2,146

405,165

Spotify

Technology

SA

*

1,812

439,537

Take-Two

Interactive

Software,

Inc.

*

733

121,106

3,973,133

Equity

Real

Estate

Investment

Trusts

(REITs)

-

1.6%

American

Tower

Corp.

6,213

1,501,869

Crown

Castle

International

Corp.

2,366

393,939

CyrusOne

,

Inc.

1,564

109,527

Digital

Realty

Trust,

Inc.

4,081

598,928

Duke

Realty

Corp.

3,458

127,600

Equinix

,

Inc.

459

348,900

Equity

LifeStyle

Properties,

Inc.

5,898

361,547

Extra

Space

Storage,

Inc.

1,500

160,485

Outfront

Media,

Inc.

5,368

78,104

SBA

Communications

Corp.

296

94,270

Sun

Communities,

Inc.

3,161

444,468

4,219,637

Food

&

Staples

Retailing

-

1.9%

Casey's

General

Stores,

Inc.

2,884

512,342

Costco

Wholesale

Corp.

4,841

1,718,555

Kroger

Co.

(The)

3,759

127,468

Walmart,

Inc.

18,759

2,624,572

4,982,937

Food

Products

-

0.4%

Conagra

Brands,

Inc.

8,173

291,858

General

Mills,

Inc.

2,972

183,313

Hain

Celestial

Group,

Inc.

(The)

*

3,334

114,356

Hershey

Co.

(The)

707

101,341

Tyson

Foods,

Inc.,

Class

A

5,543

329,698

1,020,566

Health

Care

Equipment

&

Supplies

-

4.4%

Abbott

Laboratories

10,679

1,162,196

Align

Technology,

Inc.

*

2,008

657,339

Baxter

International,

Inc.

4,579

368,243

Becton

Dickinson

and

Co.

1,281

298,063

Boston

Scientific

Corp.

*

17,375

663,899

Danaher

Corp.

5,248

1,130,052

DexCom

,

Inc.

*

2,521

1,039,232

Edwards

Lifesciences

Corp.

*

9,810

783,034

IDEXX

Laboratories,

Inc.

*

2,339

919,484

Insulet

Corp.

*

2,487

588,399

Intuitive

Surgical,

Inc.

*

1,449

1,028,123

Masimo

Corp.

*

1,142

269,581

Medtronic

plc

5,559

577,691

Quidel

Corp.

*

2,670

585,745

ResMed

,

Inc.

1,105

189,430

110

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

4.4%

(continued)

STERIS

plc

836

147,295

Stryker

Corp.

2,501

521,133

Tandem

Diabetes

Care,

Inc.

*

2,051

232,788

Teleflex,

Inc.

1,073

365,271

West

Pharmaceutical

Services,

Inc.

315

86,594

11,613,592

Health

Care

Providers

&

Services

-

2.5%

Amedisys

,

Inc.

*

322

76,130

AmerisourceBergen

Corp.

990

95,951

Anthem,

Inc.

3,564

957,255

Centene

Corp.

*

4,641

270,709

Chemed

Corp.

1,112

534,149

CVS

Health

Corp.

1,243

72,591

HCA

Healthcare,

Inc.

2,023

252,228

Humana,

Inc.

1,257

520,260

Molina

Healthcare,

Inc.

*

614

112,387

UnitedHealth

Group,

Inc.

11,735

3,658,621

6,550,281

Health

Care

Technology

-

0.5%

Teladoc

Health,

Inc.

*(b)

2,489

545,688

Veeva

Systems,

Inc.,

Class

A

*

3,215

904,026

1,449,714

Hotels,

Restaurants

&

Leisure

-

0.9%

Chipotle

Mexican

Grill,

Inc.

*

653

812,143

Domino's

Pizza,

Inc.

406

172,664

McDonald's

Corp.

1,705

374,230

Starbucks

Corp.

9,912

851,639

Wendy's

Co.

(The)

3,394

75,669

2,286,345

Household

Durables

-

0.5%

DR

Horton,

Inc.

3,534

267,276

Garmin

Ltd.

3,240

307,346

Lennar

Corp.,

Class

A

2,182

178,226

NVR,

Inc.

*

22

89,829

PulteGroup,

Inc.

4,377

202,611

Tempur

Sealy

International,

Inc.

*

3,508

312,879

1,358,167

Household

Products

-

0.6%

Church

&

Dwight

Co.,

Inc.

1,169

109,547

Procter

&

Gamble

Co.

(The)

11,572

1,608,392

1,717,939

Industrial

Conglomerates

-

0.4%

Honeywell

International,

Inc.

5,345

879,840

Roper

Technologies,

Inc.

290

114,582

994,422

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

0.5%

Aon

plc,

Class

A

451

93,041

Arch

Capital

Group

Ltd.

*

7,282

212,999

Brown

&

Brown,

Inc.

3,148

142,510

First

American

Financial

Corp.

1,474

75,041

Progressive

Corp.

(The)

7,933

751,017

RenaissanceRe

Holdings

Ltd.

513

87,077

1,361,685

Interactive

Media

&

Services

-

6.6%

Alphabet,

Inc.,

Class

A

*

5,584

8,183,911

Facebook,

Inc.,

Class

A

*

26,910

7,047,729

IAC/InterActiveCorp

*

1,557

186,498

Match

Group,

Inc.

*

10,956

1,212,281

Zillow

Group,

Inc.,

Class

C

*

6,621

672,627

17,303,046

Internet

&

Direct

Marketing

Retail

-

6.3%

Amazon.com,

Inc.

*

4,824

15,189,474

Booking

Holdings,

Inc.

*

128

218,967

eBay,

Inc.

5,946

309,787

Etsy,

Inc.

*

3,678

447,355

Wayfair,

Inc.,

Class

A

*

1,051

305,851

16,471,434

IT

Services

-

7.3%

Accenture

plc,

Class

A

7,038

1,590,518

Akamai

Technologies,

Inc.

*

1,027

113,525

Automatic

Data

Processing,

Inc.

3,597

501,746

Booz

Allen

Hamilton

Holding

Corp.

2,401

199,235

Cognizant

Technology

Solutions

Corp.,

Class

A

4,878

338,631

EPAM

Systems,

Inc.

*

1,173

379,207

Fidelity

National

Information

Services,

Inc.

1,611

237,155

Fiserv,

Inc.

*

6,637

683,943

FleetCor

Technologies,

Inc.

*

1,395

332,149

Global

Payments,

Inc.

919

163,196

GoDaddy

,

Inc.,

Class

A

*

1,956

148,597

Jack

Henry

&

Associates,

Inc.

1,350

219,497

Leidos

Holdings,

Inc.

1,392

124,097

Mastercard

,

Inc.,

Class

A

12,975

4,387,756

MongoDB,

Inc.

*

963

222,944

Okta

,

Inc.

*

5,414

1,157,784

PayPal

Holdings,

Inc.

*

10,020

1,974,241

Square,

Inc.,

Class

A

*

5,919

962,133

Twilio

,

Inc.,

Class

A

*

1,838

454,151

VeriSign,

Inc.

*

939

192,354

Visa,

Inc.,

Class

A

(b)

23,330

4,665,300

Western

Union

Co.

(The)

5,645

120,972

19,169,131

111

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Leisure

Products

-

0.1%

Brunswick

Corp.

3,358

197,820

Polaris,

Inc.

788

74,340

272,160

Life

Sciences

Tools

&

Services

-

1.3%

Bio-Rad

Laboratories,

Inc.,

Class

A

*

155

79,896

Charles

River

Laboratories

International,

Inc.

*

1,151

260,644

Illumina,

Inc.

*

1,395

431,167

IQVIA

Holdings,

Inc.

*

2,083

328,343

Thermo

Fisher

Scientific,

Inc.

5,346

2,360,366

3,460,416

Machinery

-

1.6%

Caterpillar,

Inc.

4,750

708,463

Colfax

Corp.

*

3,343

104,837

Deere

&

Co.

2,753

610,147

Dover

Corp.

2,076

224,914

Fortive

Corp.

2,886

219,942

Gates

Industrial

Corp.

plc

*

10,598

117,850

Illinois

Tool

Works,

Inc.

3,505

677,201

Ingersoll

Rand,

Inc.

*(b)

3,169

112,816

Nordson

Corp.

909

174,364

PACCAR,

Inc.

1,093

93,211

Parker-Hannifin

Corp.

1,500

303,510

Timken

Co.

(The)

3,877

210,211

Xylem,

Inc.

6,645

558,977

4,116,443

Media

-

1.6%

Cable

One,

Inc.

655

1,234,957

Charter

Communications,

Inc.,

Class

A

*(b)

3,354

2,094,036

Comcast

Corp.,

Class

A

16,044

742,195

Liberty

Broadband

Corp.,

Class

C

*

872

124,583

4,195,771

Metals

&

Mining

-

0.4%

Freeport-McMoRan,

Inc.

18,889

295,424

Newmont

Corp.

7,682

487,423

Reliance

Steel

&

Aluminum

Co.

1,182

120,611

Royal

Gold,

Inc.

1,271

152,736

1,056,194

Multiline

Retail

-

0.8%

Dollar

General

Corp.

3,921

821,920

Dollar

Tree,

Inc.

*

1,759

160,667

Target

Corp.

6,843

1,077,225

2,059,812

INVESTMENTS

SHARES

VALUE

($)

Multi-Utilities

-

0.2%

Ameren

Corp.

4,264

337,197

CMS

Energy

Corp.

2,100

128,961

466,158

Oil,

Gas

&

Consumable

Fuels

-

0.0%

(a)

EQT

Corp.

8,629

111,573

Personal

Products

-

0.3%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

3,757

819,965

Pharmaceuticals

-

2.3%

Bristol-Myers

Squibb

Co.

22,646

1,365,327

Catalent

,

Inc.

*

2,822

241,733

Eli

Lilly

and

Co.

7,307

1,081,582

Horizon

Therapeutics

plc

*

10,745

834,672

Johnson

&

Johnson

6,239

928,862

Zoetis,

Inc.

9,446

1,562,085

6,014,261

Professional

Services

-

0.5%

CoStar

Group,

Inc.

*

838

711,051

Equifax,

Inc.

651

102,142

TransUnion

3,347

281,583

Verisk

Analytics,

Inc.

906

167,891

1,262,667

Road

&

Rail

-

1.2%

CSX

Corp.

10,461

812,506

JB

Hunt

Transport

Services,

Inc.

1,506

190,328

Knight-Swift

Transportation

Holdings,

Inc.

4,498

183,069

Landstar

System,

Inc.

620

77,804

Norfolk

Southern

Corp.

2,500

534,975

Old

Dominion

Freight

Line,

Inc.

2,934

530,819

Schneider

National,

Inc.,

Class

B

11,052

273,316

Union

Pacific

Corp.

2,312

455,163

3,057,980

Semiconductors

&

Semiconductor

Equipment

-

6.8%

Advanced

Micro

Devices,

Inc.

*

16,562

1,357,918

Analog

Devices,

Inc.

949

110,786

Applied

Materials,

Inc.

3,864

229,715

Broadcom,

Inc.

2,199

801,140

Cree,

Inc.

*(b)

1,441

91,849

Enphase

Energy,

Inc.

*

9,409

777,089

Entegris

,

Inc.

9,379

697,235

Inphi

Corp.

*

3,769

423,070

Intel

Corp.

15,346

794,616

KLA

Corp.

3,897

755,005

Lam

Research

Corp.

3,239

1,074,538

Marvell

Technology

Group

Ltd.

14,009

556,157

Microchip

Technology,

Inc.

(b)

2,219

228,025

Micron

Technology,

Inc.

*

4,219

198,124

MKS

Instruments,

Inc.

3,448

376,625

Monolithic

Power

Systems,

Inc.

867

242,422

112

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

6.8%

(continued)

NVIDIA

Corp.

7,373

3,990,415

Qorvo

,

Inc.

*

1,206

155,586

QUALCOMM,

Inc.

10,026

1,179,860

Skyworks

Solutions,

Inc.

3,805

553,628

SolarEdge

Technologies,

Inc.

*

3,274

780,358

Teradyne,

Inc.

5,560

441,798

Texas

Instruments,

Inc.

12,751

1,820,715

Xilinx,

Inc.

2,784

290,204

17,926,878

Software

-

14.3%

2U,

Inc.

*(b)

3,240

109,706

Adobe,

Inc.

*

10,044

4,925,879

Alteryx,

Inc.,

Class

A

*(b)

3,266

370,854

ANSYS,

Inc.

*

2,671

874,031

Atlassian

Corp.

plc,

Class

A

*

5,509

1,001,481

Autodesk,

Inc.

*

2,283

527,396

Avalara,

Inc.

*

3,182

405,196

Coupa

Software,

Inc.

*

3,192

875,374

DocuSign,

Inc.

*

2,279

490,532

Fair

Isaac

Corp.

*

332

141,226

Fortinet,

Inc.

*

1,306

153,860

Guidewire

Software,

Inc.

*

2,220

231,479

HubSpot

,

Inc.

*

1,026

299,828

Intuit,

Inc.

3,380

1,102,590

Microsoft

Corp.

85,460

17,974,802

NortonLifeLock

,

Inc.

5,285

110,139

Palo

Alto

Networks,

Inc.

*

1,095

268,001

Paycom

Software,

Inc.

*

2,422

753,969

Paylocity

Holding

Corp.

*(b)

1,109

179,015

RingCentral,

Inc.,

Class

A

*

3,782

1,038,575

salesforce.com,

Inc.

*

6,108

1,535,063

ServiceNow

,

Inc.

*

4,455

2,160,675

Smartsheet

,

Inc.,

Class

A

*

1,825

90,192

Splunk

,

Inc.

*

1,580

297,245

SS&C

Technologies

Holdings,

Inc.

2,522

152,631

Trade

Desk,

Inc.

(The),

Class

A

*

1,107

574,290

VMware,

Inc.,

Class

A

*(b)

2,320

333,314

Zendesk

,

Inc.

*

3,319

341,592

Zscaler

,

Inc.

*

2,599

365,653

37,684,588

Specialty

Retail

-

3.0%

AutoNation,

Inc.

*

2,006

106,178

AutoZone,

Inc.

*

172

202,554

Best

Buy

Co.,

Inc.

2,466

274,441

Burlington

Stores,

Inc.

*

2,806

578,289

CarMax,

Inc.

*

1,221

112,222

Carvana

Co.

*

3,989

889,786

Dick's

Sporting

Goods,

Inc.

5,581

323,028

Floor

&

Decor

Holdings,

Inc.,

Class

A

*

4,797

358,816

Home

Depot,

Inc.

(The)

7,673

2,130,869

Lowe's

Cos.,

Inc.

5,244

869,770

O'Reilly

Automotive,

Inc.

*

1,264

582,805

INVESTMENTS

SHARES

VALUE

($)

Specialty

Retail

-

3.0%

(continued)

Ross

Stores,

Inc.

6,852

639,429

TJX

Cos.,

Inc.

(The)

5,956

331,451

Ulta

Beauty,

Inc.

*

1,053

235,851

Williams-Sonoma,

Inc.

2,550

230,622

7,866,111

Technology

Hardware,

Storage

&

Peripherals

-

7.0%

Apple,

Inc.

157,592

18,250,730

Dell

Technologies,

Inc.,

Class

C

*

1,778

120,353

Pure

Storage,

Inc.,

Class

A

*

5,003

76,996

18,448,079

Textiles,

Apparel

&

Luxury

Goods

-

0.6%

Lululemon

Athletica,

Inc.

*

1,508

496,690

NIKE,

Inc.,

Class

B

8,122

1,019,636

1,516,326

Trading

Companies

&

Distributors

-

0.2%

Air

Lease

Corp.

3,456

101,676

Fastenal

Co.

3,297

148,662

United

Rentals,

Inc.

*

1,081

188,634

438,972

Water

Utilities

-

0.2%

American

Water

Works

Co.,

Inc.

3,183

461,153

Wireless

Telecommunication

Services

-

0.4%

T-Mobile

US,

Inc.

*

8,471

968,744

TOTAL

COMMON

STOCKS

(Cost

$131,520,714)

249,639,760

SHORT-TERM

INVESTMENTS

-

4.8%

INVESTMENT

COMPANIES

-

4.8%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)

(Cost

$12,697,855)

12,699,616

12,697,076

SECURITIES

LENDING

COLLATERAL

-

0.5%

Investment

Companies

-

0.5%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(d)

165,610

165,610

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)

1,078,851

1,078,635

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,244,461)

1,244,245

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.3%

(Cost

$145,463,030)

263,581,081

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(0.3)%

(e)

(759,690)

NET

ASSETS

-

100.0%

262,821,391

113

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

26,440,693

10.1

%

Consumer

Discretionary

38,380,000

14.6

Consumer

Staples

10,801,246

4.1

Energy

111,573

0.0

(a)

Financials

8,840,885

3.4

Health

Care

36,436,891

13.9

Industrials

18,276,437

7.0

Information

Technology

97,267,135

37.0

Materials

4,846,536

1.8

Real

Estate

4,219,637

1.6

Utilities

4,018,727

1.5

Short-Term

Investments

12,697,076

4.8

Securities

Lending

Collateral

1,244,245

0.5

Total

Investments

In

Securities

At

Value

263,581,081

100.3

Liabilities

in

Excess

of

Other

Assets

(e)

(759,690)

(0.3)

Net

Assets

$

262,821,391

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$5,290,359.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$4,153,227

was

received.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

61

12/2020

USD

$

10,223,600

$

(37,163)

$

(37,163)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

897,328

$

897,328

114

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.8%

Aerospace

&

Defense

-

0.7%

Aerojet

Rocketdyne

Holdings,

Inc.

*(a)

1,864

74,355

AeroVironment,

Inc.

*

425

25,504

Ducommun,

Inc.

*

714

23,505

Kratos

Defense

&

Security

Solutions,

Inc.

*

2,173

41,895

Maxar

Technologies,

Inc.

(a)

4,619

115,198

Vectrus,

Inc.

*

926

35,188

315,645

Air

Freight

&

Logistics

-

0.2%

Air

Transport

Services

Group,

Inc.

*

995

24,935

Atlas

Air

Worldwide

Holdings,

Inc.

*

516

31,424

Forward

Air

Corp.

274

15,722

Hub

Group,

Inc.,

Class

A

*

806

40,457

112,538

Auto

Components

-

1.2%

American

Axle

&

Manufacturing

Holdings,

Inc.

*

2,994

17,275

Cooper

Tire

&

Rubber

Co.

1,594

50,530

Fox

Factory

Holding

Corp.

*

534

39,692

Gentherm,

Inc.

*

1,871

76,524

LCI

Industries

562

59,735

Standard

Motor

Products,

Inc.

1,077

48,088

Visteon

Corp.

*(a)

936

64,790

Workhorse

Group,

Inc.

*(a)

7,965

201,355

557,989

Automobiles

-

0.2%

Winnebago

Industries,

Inc.

1,526

78,848

Banks

-

1.6%

Allegiance

Bancshares,

Inc.

846

19,771

Amerant

Bancorp,

Inc.

*

709

6,601

Carter

Bank

&

Trust

1,426

9,483

Community

Bank

System,

Inc.

700

38,122

CVB

Financial

Corp.

1,183

19,673

Enterprise

Financial

Services

Corp.

616

16,798

First

Financial

Bankshares,

Inc.

2,155

60,146

First

Interstate

BancSystem,

Inc.,

Class

A

1,291

41,118

Glacier

Bancorp,

Inc.

700

22,435

Great

Southern

Bancorp,

Inc.

460

16,661

Independent

Bank

Corp.

530

27,761

Independent

Bank

Corp./MI

2,519

31,664

Lakeland

Financial

Corp.

1,783

73,460

National

Bank

Holdings

Corp.,

Class

A

947

24,859

OFG

Bancorp

1,492

18,590

Old

Second

Bancorp,

Inc.

2,046

15,335

Republic

Bancorp,

Inc.,

Class

A

233

6,561

Seacoast

Banking

Corp.

of

Florida

*

1,369

24,683

ServisFirst

Bancshares,

Inc.

4,062

138,230

Southside

Bancshares,

Inc.

813

19,862

INVESTMENTS

SHARES

VALUE

($)

Banks

-

1.6%

(continued)

TriCo

Bancshares

718

17,584

Triumph

Bancorp,

Inc.

*

1,588

49,450

United

Community

Banks,

Inc.

800

13,544

Westamerica

Bancorp

610

33,154

745,545

Beverages

-

0.6%

Celsius

Holdings,

Inc.

*

6,722

152,656

Coca-Cola

Consolidated,

Inc.

141

33,936

National

Beverage

Corp.

*(a)

1,575

107,116

Primo

Water

Corp.

950

13,490

307,198

Biotechnology

-

13.0%

Adverum

Biotechnologies,

Inc.

*

5,990

61,697

Agenus,

Inc.

*

12,264

49,056

Allakos,

Inc.

*(a)

1,878

152,963

Amicus

Therapeutics,

Inc.

*

3,180

44,902

Anavex

Life

Sciences

Corp.

*(a)

5,750

26,162

Apellis

Pharmaceuticals,

Inc.

*

2,089

63,025

Applied

Genetic

Technologies

Corp.

*

3,829

18,609

Aravive,

Inc.

*

3,222

15,143

Arcturus

Therapeutics

Holdings,

Inc.

*

1,603

68,769

Arcus

Biosciences,

Inc.

*

3,179

54,488

Ardelyx,

Inc.

*

7,499

39,370

Arena

Pharmaceuticals,

Inc.

*

711

53,176

Arrowhead

Pharmaceuticals,

Inc.

*

4,216

181,541

Assembly

Biosciences,

Inc.

*

1,627

26,748

Athersys,

Inc.

*(a)

15,897

30,999

Avid

Bioservices,

Inc.

*

1,371

10,447

BioCryst

Pharmaceuticals,

Inc.

*(a)

8,253

28,349

Biohaven

Pharmaceutical

Holding

Co.

Ltd.

*

1,595

103,691

BioSpecifics

Technologies

Corp.

*

397

20,973

Bioxcel

Therapeutics,

Inc.

*

1,953

84,682

BrainStorm

Cell

Therapeutics,

Inc.

*

4,708

79,659

Catalyst

Pharmaceuticals,

Inc.

*

7,593

22,551

CEL-SCI

Corp.

*(a)

4,173

53,206

ChemoCentryx,

Inc.

*

3,344

183,251

Coherus

Biosciences,

Inc.

*(a)

1,213

22,246

Constellation

Pharmaceuticals,

Inc.

*

2,313

46,861

ContraFect

Corp.

*

3,380

17,846

CTI

BioPharma

Corp.

*

704

1,514

Cue

Biopharma,

Inc.

*

2,182

32,839

Cytokinetics,

Inc.

*(a)

3,367

72,895

Deciphera

Pharmaceuticals,

Inc.

*

2,565

131,584

Denali

Therapeutics,

Inc.

*

4,236

151,776

Dicerna

Pharmaceuticals,

Inc.

*

4,223

75,972

Dyadic

International,

Inc.

*

2,663

20,159

Dynavax

Technologies

Corp.

*

5,554

23,993

Editas

Medicine,

Inc.

*

2,117

59,403

Eidos

Therapeutics,

Inc.

*

1,699

85,850

115

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Biotechnology

-

13.0%

(continued)

Emergent

BioSolutions,

Inc.

*

2,323

240,036

Epizyme,

Inc.

*

3,343

39,882

Fate

Therapeutics,

Inc.

*

3,831

153,125

Fennec

Pharmaceuticals,

Inc.

(Canada)

*

2,351

14,247

Fortress

Biotech,

Inc.

*(a)

10,786

43,575

Genprex,

Inc.

*(a)

7,230

24,293

Halozyme

Therapeutics,

Inc.

*

6,026

158,363

iBio,

Inc.

*(a)

22,098

44,859

ImmunoGen,

Inc.

*

13,641

49,108

Inovio

Pharmaceuticals,

Inc.

*(a)

7,121

82,604

Insmed,

Inc.

*

3,005

96,581

Intellia

Therapeutics,

Inc.

*

1,686

33,518

Invitae

Corp.

*(a)

1,037

44,954

IVERIC

bio,

Inc.

*

9,131

51,499

Kadmon

Holdings,

Inc.

*

12,003

47,052

Karyopharm

Therapeutics,

Inc.

*

4,620

67,452

Kiniksa

Pharmaceuticals

Ltd.,

Class

A

*

3,067

46,986

Krystal

Biotech,

Inc.

*

829

35,688

Kura

Oncology,

Inc.

*

1,831

56,102

MacroGenics,

Inc.

*

2,889

72,774

Madrigal

Pharmaceuticals,

Inc.

*(a)

206

24,458

MEI

Pharma,

Inc.

*

6,980

21,778

MeiraGTx

Holdings

plc

*

1,258

16,656

Mersana

Therapeutics,

Inc.

*

4,667

86,899

Mirati

Therapeutics,

Inc.

*

1,603

266,178

NantKwest,

Inc.

*(a)

8,372

58,060

Natera,

Inc.

*

4,336

313,233

Neoleukin

Therapeutics,

Inc.

*

3,945

47,340

Novavax,

Inc.

*

2,471

267,733

OPKO

Health,

Inc.

*(a)

13,482

49,749

Ovid

therapeutics,

Inc.

*

7,245

41,586

PDL

BioPharma,

Inc.

*

10,892

34,310

Protagonist

Therapeutics,

Inc.

*

2,676

52,316

PTC

Therapeutics,

Inc.

*

2,436

113,883

Replimune

Group,

Inc.

*

2,186

50,322

Retrophin,

Inc.

*

1,256

23,186

Scholar

Rock

Holding

Corp.

*

1,227

21,706

Selecta

Biosciences,

Inc.

*

9,137

22,660

Seres

Therapeutics,

Inc.

*

9,544

270,191

Soleno

Therapeutics,

Inc.

*

7,524

18,885

Sorrento

Therapeutics,

Inc.

*(a)

14,141

157,672

Syndax

Pharmaceuticals,

Inc.

*

3,146

46,435

Syros

Pharmaceuticals,

Inc.

*

3,940

34,830

TG

Therapeutics,

Inc.

*

6,296

168,481

Translate

Bio,

Inc.

*

4,531

61,667

Ultragenyx

Pharmaceutical,

Inc.

*

731

60,081

VBI

Vaccines,

Inc.

*(a)

18,789

53,736

Veracyte,

Inc.

*

1,659

53,901

XBiotech,

Inc.

*(a)

3,855

73,592

Xencor,

Inc.

*

548

21,257

6,151,874

INVESTMENTS

SHARES

VALUE

($)

Building

Products

-

2.7%

AAON,

Inc.

2,440

147,010

Advanced

Drainage

Systems,

Inc.

2,731

170,524

Alpha

Pro

Tech

Ltd.

*

3,480

51,434

Builders

FirstSource,

Inc.

*

7,061

230,330

Cornerstone

Building

Brands,

Inc.

*

1,635

13,047

CSW

Industrials,

Inc.

564

43,569

Gibraltar

Industries,

Inc.

*

1,568

102,139

Griffon

Corp.

1,905

37,224

JELD-WEN

Holding,

Inc.

*

812

18,351

Masonite

International

Corp.

*

1,182

116,309

Patrick

Industries,

Inc.

963

55,392

PGT

Innovations,

Inc.

*

1,534

26,876

Simpson

Manufacturing

Co.,

Inc.

1,148

111,540

UFP

Industries,

Inc.

2,865

161,901

1,285,646

Capital

Markets

-

2.1%

Artisan

Partners

Asset

Management,

Inc.,

Class

A

2,573

100,321

B

Riley

Financial,

Inc.

987

24,734

Cohen

&

Steers,

Inc.

1,764

98,326

Focus

Financial

Partners,

Inc.,

Class

A

*

2,623

86,008

Hamilton

Lane,

Inc.,

Class

A

3,054

197,258

Houlihan

Lokey,

Inc.

2,872

169,592

Moelis

&

Co.,

Class

A

1,966

69,085

Piper

Sandler

Cos.

500

36,500

PJT

Partners,

Inc.,

Class

A

1,718

104,128

Stifel

Financial

Corp.

720

36,403

StoneX

Group,

Inc.

*

382

19,543

Virtus

Investment

Partners,

Inc.

230

31,890

973,788

Chemicals

-

0.6%

Amyris,

Inc.

*(a)

4,849

14,159

Balchem

Corp.

346

33,780

Chase

Corp.

298

28,429

FutureFuel

Corp.

2,098

23,854

Hawkins,

Inc.

436

20,100

Innospec,

Inc.

637

40,335

Minerals

Technologies,

Inc.

500

25,550

Sensient

Technologies

Corp.

523

30,198

Stepan

Co.

710

77,390

293,795

Commercial

Services

&

Supplies

-

1.4%

ABM

Industries,

Inc.

1,084

39,739

Brady

Corp.,

Class

A

2,355

94,247

Casella

Waste

Systems,

Inc.,

Class

A

*

2,339

130,633

Cimpress

plc

(Ireland)

*

372

27,960

Ennis,

Inc.

21

366

Heritage-Crystal

Clean,

Inc.

*

1,063

14,191

HNI

Corp.

664

20,836

Kimball

International,

Inc.,

Class

B

1,371

14,450

116

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Commercial

Services

&

Supplies

-

1.4%

(continued)

McGrath

RentCorp

1,228

73,177

Pitney

Bowes,

Inc.

2,408

12,786

Tetra

Tech,

Inc.

2,071

197,781

UniFirst

Corp.

167

31,625

657,791

Communications

Equipment

-

0.9%

ADTRAN,

Inc.

1,970

20,202

Calix,

Inc.

*

4,849

86,215

Harmonic,

Inc.

*

7,195

40,148

Infinera

Corp.

*

12,109

74,592

Inseego

Corp.

*(a)

6,741

69,567

InterDigital,

Inc.

582

33,209

NetScout

Systems,

Inc.

*

1,288

28,117

Viavi

Solutions,

Inc.

*

5,262

61,723

413,773

Construction

&

Engineering

-

0.7%

Ameresco,

Inc.,

Class

A

*

2,545

85,003

Argan,

Inc.

593

24,853

Comfort

Systems

USA,

Inc.

445

22,922

Construction

Partners,

Inc.,

Class

A

*

991

18,036

Dycom

Industries,

Inc.

*

241

12,730

EMCOR

Group,

Inc.

249

16,860

Great

Lakes

Dredge

&

Dock

Corp.

*

2,616

24,878

HC2

Holdings,

Inc.

*(a)

6,430

15,560

Sterling

Construction

Co.,

Inc.

*

2,836

40,158

Tutor

Perini

Corp.

*

1,776

19,767

WillScot

Mobile

Mini

Holdings

Corp.

*

1,871

31,208

311,975

Construction

Materials

-

0.2%

Forterra,

Inc.

*

5,529

65,353

Summit

Materials,

Inc.,

Class

A

*

1,303

21,551

86,904

Consumer

Finance

-

0.5%

Encore

Capital

Group,

Inc.

*

1,449

55,917

Enova

International,

Inc.

*

1,107

18,144

Green

Dot

Corp.,

Class

A

*

786

39,779

Nelnet,

Inc.,

Class

A

400

24,100

PRA

Group,

Inc.

*

2,004

80,060

218,000

Containers

&

Packaging

-

0.1%

UFP

Technologies,

Inc.

*

667

27,627

Diversified

Consumer

Services

-

0.6%

American

Public

Education,

Inc.

*

748

21,086

Aspen

Group,

Inc.

*(a)

2,803

31,310

Collectors

Universe,

Inc.

815

40,334

Franchise

Group,

Inc.

2,736

69,385

Perdoceo

Education

Corp.

*

3,243

39,694

Strategic

Education,

Inc.

286

26,160

INVESTMENTS

SHARES

VALUE

($)

Diversified

Consumer

Services

-

0.6%

(continued)

Universal

Technical

Institute,

Inc.

*

4,573

23,231

WW

International,

Inc.

*

2,518

47,515

298,715

Diversified

Financial

Services

-

0.3%

Cannae

Holdings,

Inc.

*

4,176

155,598

Diversified

Telecommunication

Services

-

1.1%

Anterix,

Inc.

*

581

19,005

Bandwidth,

Inc.,

Class

A

*

1,169

204,072

Cogent

Communications

Holdings,

Inc.

1,786

107,249

Consolidated

Communications

Holdings,

Inc.

*

5,327

30,311

Iridium

Communications,

Inc.

*

4,969

127,107

Ooma,

Inc.

*

2,001

26,113

Vonage

Holdings

Corp.

*

2,700

27,621

541,478

Electric

Utilities

-

0.2%

Genie

Energy

Ltd.,

Class

B

1,679

13,432

MGE

Energy,

Inc.

857

53,700

Otter

Tail

Corp.

522

18,881

PNM

Resources,

Inc.

535

22,111

108,124

Electrical

Equipment

-

2.2%

Atkore

International

Group,

Inc.

*

1,098

24,958

Bloom

Energy

Corp.,

Class

A

*

4,592

82,518

Encore

Wire

Corp.

563

26,135

EnerSys

197

13,223

FuelCell

Energy,

Inc.

*(a)

18,479

39,545

Orion

Energy

Systems,

Inc.

*

4,862

36,805

Plug

Power,

Inc.

*(a)

25,053

335,961

Sunrun,

Inc.

*

3,929

302,808

TPI

Composites,

Inc.

*

490

14,190

Vicor

Corp.

*

2,088

162,300

1,038,443

Electronic

Equipment,

Instruments

&

Components

-

2.0%

Akoustis

Technologies,

Inc.

*(a)

2,752

22,456

Badger

Meter,

Inc.

1,423

93,022

ePlus,

Inc.

*

518

37,918

Fabrinet

(Thailand)

*

1,342

84,586

FARO

Technologies,

Inc.

*

474

28,905

II-VI,

Inc.

*(a)

3,441

139,567

Insight

Enterprises,

Inc.

*

1,123

63,539

Intellicheck,

Inc.

*

2,582

17,222

Itron,

Inc.

*

393

23,871

Knowles

Corp.

*

889

13,246

Luna

Innovations,

Inc.

*

2,329

13,927

Methode

Electronics,

Inc.

887

25,280

Napco

Security

Technologies,

Inc.

*

101

2,373

nLight,

Inc.

*

1,723

40,456

Novanta,

Inc.

*

1,257

132,412

OSI

Systems,

Inc.

*

194

15,056

117

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Electronic

Equipment,

Instruments

&

Components

-

2.0%

(continued)

PAR

Technology

Corp.

*(a)

487

19,728

PC

Connection,

Inc.

1,362

55,924

Plexus

Corp.

*

600

42,378

Rogers

Corp.

*

159

15,592

Sanmina

Corp.

*

1,383

37,410

TTM

Technologies,

Inc.

*

2,264

25,832

Vishay

Intertechnology,

Inc.

1,024

15,944

966,644

Entertainment

-

0.1%

Eros

STX

Global

Corp.

(India)

*(a)

9,913

21,908

Glu

Mobile,

Inc.

*

4,688

35,980

57,888

Equity

Real

Estate

Investment

Trusts

(REITs)

-

3.8%

Agree

Realty

Corp.

1,315

83,687

CareTrust

REIT,

Inc.

1,045

18,596

Easterly

Government

Properties,

Inc.

2,888

64,720

EastGroup

Properties,

Inc.

1,556

201,237

Essential

Properties

Realty

Trust,

Inc.

1,037

18,998

Four

Corners

Property

Trust,

Inc.

553

14,151

Gladstone

Commercial

Corp.

2,247

37,862

Global

Net

Lease,

Inc.

1,708

27,157

Independence

Realty

Trust,

Inc.

5,020

58,182

Industrial

Logistics

Properties

Trust

1,293

28,278

Innovative

Industrial

Properties,

Inc.

354

43,935

Investors

Real

Estate

Trust

655

42,686

Lexington

Realty

Trust

6,850

71,583

Monmouth

Real

Estate

Investment

Corp.

2,025

28,046

National

Storage

Affiliates

Trust

4,108

134,373

NexPoint

Residential

Trust,

Inc.

1,444

64,041

Office

Properties

Income

Trust

721

14,939

Physicians

Realty

Trust

2,853

51,097

PS

Business

Parks,

Inc.

923

112,966

QTS

Realty

Trust,

Inc.,

Class

A

2,518

158,684

Safehold,

Inc.

2,158

134,012

STAG

Industrial,

Inc.

3,787

115,466

Terreno

Realty

Corp.

3,861

211,428

UMH

Properties,

Inc.

1,668

22,585

Universal

Health

Realty

Income

Trust

544

31,003

1,789,712

Food

&

Staples

Retailing

-

1.3%

BJ's

Wholesale

Club

Holdings,

Inc.

*

6,419

266,710

Ingles

Markets,

Inc.,

Class

A

938

35,682

Natural

Grocers

by

Vitamin

Cottage,

Inc.

1,957

19,296

Performance

Food

Group

Co.

*

686

23,749

PriceSmart,

Inc.

1,121

74,490

Rite

Aid

Corp.

*(a)

4,179

39,659

INVESTMENTS

SHARES

VALUE

($)

Food

&

Staples

Retailing

-

1.3%

(continued)

SpartanNash

Co.

2,803

45,829

United

Natural

Foods,

Inc.

*

3,123

46,439

Weis

Markets,

Inc.

1,230

59,040

610,894

Food

Products

-

1.7%

B&G

Foods,

Inc.

2,739

76,062

Cal-Maine

Foods,

Inc.

*

569

21,833

Darling

Ingredients,

Inc.

*

5,350

192,760

Freshpet,

Inc.

*

2,265

252,887

J

&

J

Snack

Foods

Corp.

384

50,070

John

B

Sanfilippo

&

Son,

Inc.

879

66,259

Lancaster

Colony

Corp.

523

93,512

Seneca

Foods

Corp.,

Class

A

*

570

20,366

Simply

Good

Foods

Co.

(The)

*

1,133

24,983

798,732

Gas

Utilities

-

0.2%

Chesapeake

Utilities

Corp.

258

21,749

ONE

Gas,

Inc.

842

58,107

79,856

Health

Care

Equipment

&

Supplies

-

4.2%

Alphatec

Holdings,

Inc.

*

2,842

18,871

Antares

Pharma,

Inc.

*

9,186

24,802

Apyx

Medical

Corp.

*

1,938

9,128

Aspira

Women's

Health,

Inc.

*(a)

10,827

33,401

AtriCure,

Inc.

*

2,112

84,269

Bellerophon

Therapeutics,

Inc.

*

1,811

18,436

BioSig

Technologies,

Inc.

*(a)

1,947

9,599

Cardiovascular

Systems,

Inc.

*

822

32,346

Chembio

Diagnostics,

Inc.

*(a)

3,378

16,417

Co-Diagnostics,

Inc.

*(a)

2,772

37,671

CONMED

Corp.

507

39,886

CryoPort,

Inc.

*(a)

3,808

180,499

CytoSorbents

Corp.

*

3,945

31,461

Electromed,

Inc.

*

1,330

13,845

GenMark

Diagnostics,

Inc.

*

4,987

70,815

Heska

Corp.

*

669

66,090

Integer

Holdings

Corp.

*

786

46,382

Invacare

Corp.

3,554

26,726

iRadimed

Corp.

*

908

19,413

iRhythm

Technologies,

Inc.

*(a)

1,420

338,116

LeMaitre

Vascular,

Inc.

558

18,152

Meridian

Bioscience,

Inc.

*

2,016

34,232

Mesa

Laboratories,

Inc.

247

62,926

Neogen

Corp.

*

1,469

114,949

Nevro

Corp.

*

1,590

221,487

NuVasive,

Inc.

*

708

34,388

OraSure

Technologies,

Inc.

*

4,221

51,370

OrthoPediatrics

Corp.

*(a)

618

28,379

PAVmed,

Inc.

*(a)

14,441

25,705

Repro-Med

Systems,

Inc.

*

4,563

32,945

Retractable

Technologies,

Inc.

*

5,837

38,874

STAAR

Surgical

Co.

*

2,477

140,099

118

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Health

Care

Equipment

&

Supplies

-

4.2%

(continued)

Stereotaxis,

Inc.

*

5,229

18,720

Zynex,

Inc.

*(a)

3,073

53,624

1,994,023

Health

Care

Providers

&

Services

-

2.8%

Addus

HomeCare

Corp.

*

1,402

132,503

BioTelemetry,

Inc.

*

876

39,928

Community

Health

Systems,

Inc.

*

10,555

44,542

CorVel

Corp.

*

404

34,514

Ensign

Group,

Inc.

(The)

456

26,019

Fulgent

Genetics,

Inc.

*(a)

2,469

98,859

Hanger,

Inc.

*

1,594

25,217

Joint

Corp.

(The)

*

910

15,825

LHC

Group,

Inc.

*

1,287

273,565

National

Research

Corp.

20

984

Ontrak,

Inc.

*

1,004

60,240

Owens

&

Minor,

Inc.

6,172

154,979

Patterson

Cos.,

Inc.

2,057

49,584

Providence

Service

Corp.

(The)

*

400

37,164

R1

RCM,

Inc.

*

5,870

100,671

RadNet,

Inc.

*

2,195

33,693

Select

Medical

Holdings

Corp.

*

2,988

62,210

Tenet

Healthcare

Corp.

*

2,827

69,290

Triple-S

Management

Corp.,

Class

B

*

1,082

19,335

US

Physical

Therapy,

Inc.

240

20,851

1,299,973

Health

Care

Technology

-

1.4%

Evolent

Health,

Inc.,

Class

A

*

2,167

26,893

iCAD,

Inc.

*

3,125

27,531

Inovalon

Holdings,

Inc.,

Class

A

*

7,206

190,599

Inspire

Medical

Systems,

Inc.

*

1,262

162,861

NantHealth,

Inc.

*(a)

9,265

21,680

Omnicell,

Inc.

*

1,073

80,110

Simulations

Plus,

Inc.

1,554

117,109

Vocera

Communications,

Inc.

*

809

23,526

650,309

Hotels,

Restaurants

&

Leisure

-

3.2%

Caesars

Entertainment,

Inc.

*(a)

4,334

242,964

Churchill

Downs,

Inc.

1,299

212,802

El

Pollo

Loco

Holdings,

Inc.

*

2,398

38,848

Papa

John's

International,

Inc.

1,650

135,762

Penn

National

Gaming,

Inc.

*

7,558

549,467

Shake

Shack,

Inc.,

Class

A

*

337

21,730

Texas

Roadhouse,

Inc.

1,820

110,638

Wingstop,

Inc.

1,547

211,397

1,523,608

Household

Durables

-

4.1%

Beazer

Homes

USA,

Inc.

*

1,292

17,054

Cavco

Industries,

Inc.

*

264

47,602

Century

Communities,

Inc.

*

1,145

48,468

GoPro,

Inc.,

Class

A

*

4,659

21,105

INVESTMENTS

SHARES

VALUE

($)

Household

Durables

-

4.1%

(continued)

Green

Brick

Partners,

Inc.

*

1,289

20,753

Helen

of

Troy

Ltd.

*

1,276

246,931

Installed

Building

Products,

Inc.

*

1,428

145,299

iRobot

Corp.

*

164

12,448

KB

Home

3,855

147,993

La-Z-Boy,

Inc.

1,058

33,465

LGI

Homes,

Inc.

*

909

105,599

Lovesac

Co.

(The)

*

753

20,866

M/I

Homes,

Inc.

*

2,076

95,600

MDC

Holdings,

Inc.

2,730

128,583

Meritage

Homes

Corp.

*

2,834

312,845

Purple

Innovation,

Inc.

*

4,467

111,050

Sonos,

Inc.

*

3,256

49,426

Taylor

Morrison

Home

Corp.

*

1,150

28,278

TopBuild

Corp.

*

1,380

235,552

TRI

Pointe

Group,

Inc.

*

3,809

69,095

Universal

Electronics,

Inc.

*

465

17,549

1,915,561

Household

Products

-

0.3%

Central

Garden

&

Pet

Co.,

Class

A

*

1,859

67,184

WD-40

Co.

344

65,123

132,307

Independent

Power

and

Renewable

Electricity

Producers

-

0.3%

Clearway

Energy,

Inc.,

Class

C

5,998

161,706

Insurance

-

1.7%

American

Equity

Investment

Life

Holding

Co.

667

14,667

AMERISAFE,

Inc.

1,080

61,949

CNO

Financial

Group,

Inc.

800

12,832

eHealth,

Inc.

*

499

39,421

Enstar

Group

Ltd.

*

300

48,450

Goosehead

Insurance,

Inc.,

Class

A

2,138

185,129

James

River

Group

Holdings

Ltd.

1,464

65,192

Kinsale

Capital

Group,

Inc.

742

141,114

RLI

Corp.

1,057

88,503

Selective

Insurance

Group,

Inc.

415

21,368

Trupanion,

Inc.

*(a)

1,495

117,956

Universal

Insurance

Holdings,

Inc.

1,100

15,224

811,805

Interactive

Media

&

Services

-

0.2%

EverQuote,

Inc.,

Class

A

*

1,849

71,445

QuinStreet,

Inc.

*

1,407

22,287

93,732

Internet

&

Direct

Marketing

Retail

-

1.0%

1-800-Flowers.com,

Inc.,

Class

A

*

2,404

59,955

CarParts.com,

Inc.

*(a)

7,501

81,086

Magnite,

Inc.

*(a)

6,021

41,816

PetMed

Express,

Inc.

(a)

2,171

68,647

Stamps.com,

Inc.

*

962

231,794

483,298

119

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

IT

Services

-

2.0%

Cardtronics

plc,

Class

A

*

938

18,572

CSG

Systems

International,

Inc.

1,036

42,424

EVERTEC,

Inc.

3,230

112,113

Evo

Payments,

Inc.,

Class

A

*

1,185

29,447

ExlService

Holdings,

Inc.

*

374

24,673

I3

Verticals,

Inc.,

Class

A

*(a)

852

21,513

KBR,

Inc.

4,407

98,541

Limelight

Networks,

Inc.

*(a)

10,558

60,814

LiveRamp

Holdings,

Inc.

*

334

17,291

ManTech

International

Corp.,

Class

A

1,140

78,523

MAXIMUS,

Inc.

807

55,207

MoneyGram

International,

Inc.

*(a)

7,239

20,450

NIC,

Inc.

3,164

62,331

Perficient,

Inc.

*

2,002

85,566

Perspecta,

Inc.

3,462

67,336

TTEC

Holdings,

Inc.

1,579

86,134

Tucows,

Inc.,

Class

A

*(a)

633

43,614

Unisys

Corp.

*(a)

3,012

32,138

956,687

Leisure

Products

-

0.8%

Acushnet

Holdings

Corp.

2,742

92,159

Clarus

Corp.

2,078

29,341

Malibu

Boats,

Inc.,

Class

A

*

636

31,520

Nautilus,

Inc.

*

3,456

59,305

Smith

&

Wesson

Brands,

Inc.

2,045

31,739

Sturm

Ruger

&

Co.,

Inc.

933

57,062

Vista

Outdoor,

Inc.

*

3,328

67,159

368,285

Life

Sciences

Tools

&

Services

-

1.2%

Luminex

Corp.

2,041

53,576

Medpace

Holdings,

Inc.

*

1,799

201,038

NanoString

Technologies,

Inc.

*

2,478

110,767

NeoGenomics,

Inc.

*(a)

4,795

176,888

Quanterix

Corp.

*

692

23,348

565,617

Machinery

-

2.8%

Alamo

Group,

Inc.

289

31,221

Albany

International

Corp.,

Class

A

329

16,289

Altra

Industrial

Motion

Corp.

515

19,040

Astec

Industries,

Inc.

1,073

58,210

Chart

Industries,

Inc.

*

194

13,632

Columbus

McKinnon

Corp.

620

20,522

Douglas

Dynamics,

Inc.

715

24,453

ESCO

Technologies,

Inc.

1,106

89,099

Evoqua

Water

Technologies

Corp.

*

6,237

132,349

Federal

Signal

Corp.

2,750

80,437

Franklin

Electric

Co.,

Inc.

777

45,711

John

Bean

Technologies

Corp.

157

14,427

Kadant,

Inc.

620

67,964

Lindsay

Corp.

312

30,164

INVESTMENTS

SHARES

VALUE

($)

Machinery

-

2.8%

(continued)

Luxfer

Holdings

plc

(United

Kingdom)

1,438

18,047

Meritor,

Inc.

*

1,948

40,791

Miller

Industries,

Inc.

867

26,504

Mueller

Industries,

Inc.

1,733

46,895

Mueller

Water

Products,

Inc.,

Class

A

2,882

29,944

Proto

Labs,

Inc.

*

311

40,275

RBC

Bearings,

Inc.

*

403

48,848

Rexnord

Corp.

2,098

62,604

Shyft

Group,

Inc.

(The)

4,035

76,181

SPX

Corp.

*

2,755

127,777

SPX

FLOW,

Inc.

*

487

20,853

Standex

International

Corp.

358

21,194

Tennant

Co.

272

16,418

Watts

Water

Technologies,

Inc.,

Class

A

1,024

102,554

1,322,403

Marine

-

0.1%

Costamare,

Inc.

(Monaco)

4,254

25,822

Matson,

Inc.

1,047

41,974

67,796

Media

-

0.4%

Cardlytics,

Inc.

*(a)

1,637

115,523

Gray

Television,

Inc.

*

1,484

20,435

TechTarget,

Inc.

*

1,420

62,423

TEGNA,

Inc.

1,182

13,889

212,270

Metals

&

Mining

-

1.4%

Caledonia

Mining

Corp.

plc

(South

Africa)

1,135

19,284

Century

Aluminum

Co.

*(a)

3,644

25,945

Coeur

Mining,

Inc.

*

4,991

36,834

Commercial

Metals

Co.

3,145

62,837

Compass

Minerals

International,

Inc.

899

53,356

Hecla

Mining

Co.

33,645

170,917

Kaiser

Aluminum

Corp.

258

13,826

Materion

Corp.

343

17,846

Novagold

Resources,

Inc.

(Canada)

*

17,660

209,977

Worthington

Industries,

Inc.

980

39,964

650,786

Multiline

Retail

-

0.2%

Big

Lots,

Inc.

2,055

91,653

Oil,

Gas

&

Consumable

Fuels

-

1.2%

Antero

Resources

Corp.

*

4,617

12,697

CNX

Resources

Corp.

*

9,275

87,556

Contango

Oil

&

Gas

Co.

*(a)

10,250

13,735

DHT

Holdings,

Inc.

3,741

19,304

Frontline

Ltd.

(Norway)

(a)

10,042

65,273

120

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Oil,

Gas

&

Consumable

Fuels

-

1.2%

(continued)

Green

Plains,

Inc.

*

2,204

34,118

International

Seaways,

Inc.

886

12,944

Nordic

American

Tankers

Ltd.

13,619

47,530

Range

Resources

Corp.

12,641

83,683

Renewable

Energy

Group,

Inc.

*

2,085

111,381

REX

American

Resources

Corp.

*

300

19,683

Southwestern

Energy

Co.

*

21,048

49,463

World

Fuel

Services

Corp.

678

14,367

571,734

Paper

&

Forest

Products

-

0.6%

Boise

Cascade

Co.

1,335

53,293

Clearwater

Paper

Corp.

*

1,622

61,539

Louisiana-Pacific

Corp.

3,690

108,892

P

H

Glatfelter

Co.

1,708

23,519

Schweitzer-Mauduit

International,

Inc.

950

28,870

276,113

Personal

Products

-

0.4%

Edgewell

Personal

Care

Co.

*

704

19,628

elf

Beauty,

Inc.

*

3,020

55,477

Lifevantage

Corp.

*

1,804

21,774

USANA

Health

Sciences,

Inc.

*

752

55,385

Veru,

Inc.

*

6,111

16,011

168,275

Pharmaceuticals

-

3.0%

Agile

Therapeutics,

Inc.

*

9,205

27,983

Amphastar

Pharmaceuticals,

Inc.

*

1,034

19,387

Aquestive

Therapeutics,

Inc.

*

2,788

13,536

Axsome

Therapeutics,

Inc.

*

1,745

124,331

BioDelivery

Sciences

International,

Inc.

*

8,764

32,690

Cara

Therapeutics,

Inc.

*

1,783

22,689

Cassava

Sciences,

Inc.

*(a)

7,722

88,880

Collegium

Pharmaceutical,

Inc.

*

2,113

43,993

Corcept

Therapeutics,

Inc.

*(a)

5,247

91,324

Durect

Corp.

*(a)

21,394

36,584

Intra-Cellular

Therapies,

Inc.

*

4,174

107,105

Kala

Pharmaceuticals,

Inc.

*(a)

4,091

30,682

Lannett

Co.,

Inc.

*

3,207

19,595

Liquidia

Technologies,

Inc.

*

3,289

16,182

Marinus

Pharmaceuticals,

Inc.

*(a)

956

12,284

MyoKardia,

Inc.

*

2,402

327,465

Ocular

Therapeutix,

Inc.

*

4,977

37,875

Odonate

Therapeutics,

Inc.

*

1,337

17,956

Pacira

BioSciences,

Inc.

*

1,072

64,449

Paratek

Pharmaceuticals,

Inc.

*

5,019

27,153

Prestige

Consumer

Healthcare,

Inc.

*

1,510

54,994

Provention

Bio,

Inc.

*(a)

4,235

54,335

Relmada

Therapeutics,

Inc.

*(a)

1,325

49,846

INVESTMENTS

SHARES

VALUE

($)

Pharmaceuticals

-

3.0%

(continued)

Revance

Therapeutics,

Inc.

*

3,523

88,568

1,409,886

Professional

Services

-

0.9%

Acacia

Research

Corp.

*

3,628

12,589

ASGN,

Inc.

*

766

48,687

Exponent,

Inc.

2,074

149,390

Forrester

Research,

Inc.

*

421

13,805

Huron

Consulting

Group,

Inc.

*

786

30,913

ICF

International,

Inc.

419

25,781

Kforce,

Inc.

464

14,927

Korn

Ferry

851

24,679

Mastech

Digital,

Inc.

*

1,206

21,720

Red

Violet,

Inc.

*

1,048

19,346

TriNet

Group,

Inc.

*

497

29,482

Willdan

Group,

Inc.

*

1,139

29,056

420,375

Real

Estate

Management

&

Development

-

1.1%

eXp

World

Holdings,

Inc.

*

3,870

156,116

Realogy

Holdings

Corp.

*

6,234

58,849

Redfin

Corp.

*

5,362

267,724

St

Joe

Co.

(The)

*

876

18,072

500,761

Road

&

Rail

-

0.9%

ArcBest

Corp.

1,360

42,242

Daseke,

Inc.

*

3,690

19,815

Heartland

Express,

Inc.

1,079

20,069

Marten

Transport

Ltd.

3,375

55,080

Saia,

Inc.

*

976

123,113

Universal

Logistics

Holdings,

Inc.

1,886

39,342

US

Xpress

Enterprises,

Inc.,

Class

A

*

2,404

19,857

Werner

Enterprises,

Inc.

2,531

106,277

425,795

Semiconductors

&

Semiconductor

Equipment

-

4.4%

Advanced

Energy

Industries,

Inc.

*

928

58,408

Ambarella,

Inc.

*

1,064

55,519

Amkor

Technology,

Inc.

*

10,043

112,482

Atomera,

Inc.

*(a)

3,428

35,823

Axcelis

Technologies,

Inc.

*

2,040

44,880

Brooks

Automation,

Inc.

2,292

106,028

Cabot

Microelectronics

Corp.

1,099

156,948

CEVA,

Inc.

*

1,339

52,716

CyberOptics

Corp.

*

1,419

45,181

Diodes,

Inc.

*

2,487

140,391

DSP

Group,

Inc.

*

1,520

20,034

FormFactor,

Inc.

*

5,076

126,545

Ichor

Holdings

Ltd.

*

846

18,248

Impinj,

Inc.

*

670

17,654

Lattice

Semiconductor

Corp.

*

7,857

227,539

MACOM

Technology

Solutions

Holdings,

Inc.

*

3,764

128,014

121

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

4.4%

(continued)

MaxLinear,

Inc.

*

874

20,312

NeoPhotonics

Corp.

*

5,442

33,142

PDF

Solutions,

Inc.

*

3,233

60,489

Photronics,

Inc.

*

3,261

32,480

Power

Integrations,

Inc.

2,196

121,658

Rambus,

Inc.

*

4,269

58,443

Semtech

Corp.

*

1,066

56,455

Silicon

Laboratories,

Inc.

*

633

61,939

SMART

Global

Holdings,

Inc.

*

707

19,329

SunPower

Corp.

*(a)

2,917

36,492

Synaptics,

Inc.

*

1,762

141,700

Ultra

Clean

Holdings,

Inc.

*

2,496

53,564

Veeco

Instruments,

Inc.

*

3,007

35,092

2,077,505

Software

-

6.1%

ACI

Worldwide,

Inc.

*

1,294

33,812

Agilysys,

Inc.

*

1,107

26,745

Alarm.com

Holdings,

Inc.

*

401

22,155

American

Software,

Inc.,

Class

A

1,477

20,737

Appfolio,

Inc.,

Class

A

*

1,611

228,456

Appian

Corp.

*(a)

2,039

132,025

Avaya

Holdings

Corp.

*

3,327

50,570

Blackline,

Inc.

*

2,728

244,511

Bottomline

Technologies

DE,

Inc.

*

698

29,428

Box,

Inc.,

Class

A

*

2,461

42,723

ChannelAdvisor

Corp.

*

2,040

29,519

Cloudera,

Inc.

*

11,881

129,384

Digital

Turbine,

Inc.

*

7,422

242,996

Domo,

Inc.,

Class

B

*

685

26,256

eGain

Corp.

*

1,908

27,036

Envestnet,

Inc.

*

1,229

94,830

Intelligent

Systems

Corp.

*

770

30,015

J2

Global,

Inc.

*

429

29,695

LivePerson,

Inc.

*

2,982

155,034

MicroStrategy,

Inc.,

Class

A

*

200

30,112

MobileIron,

Inc.

*

5,450

38,205

Model

N,

Inc.

*(a)

1,996

70,419

OneSpan,

Inc.

*

3,325

69,692

Progress

Software

Corp.

581

21,311

PROS

Holdings,

Inc.

*

913

29,161

Q2

Holdings,

Inc.

*

1,945

177,501

Qualys,

Inc.

*

1,426

139,762

Rapid7,

Inc.

*(a)

910

55,728

Sailpoint

Technologies

Holdings,

Inc.

*

3,060

121,084

Sapiens

International

Corp.

NV

(Israel)

2,390

73,086

Smith

Micro

Software,

Inc.

*(a)

6,220

23,201

SPS

Commerce,

Inc.

*

1,643

127,940

Telenav,

Inc.

*

898

3,233

Tenable

Holdings,

Inc.

*

398

15,025

Upland

Software,

Inc.

*

616

23,223

Varonis

Systems,

Inc.

*

1,349

155,702

Verint

Systems,

Inc.

*

562

27,077

INVESTMENTS

SHARES

VALUE

($)

Software

-

6.1%

(continued)

Veritone,

Inc.

*(a)

2,185

20,015

VirnetX

Holding

Corp.

80

422

Workiva,

Inc.

*

325

18,122

Yext,

Inc.

*

1,138

17,275

Zix

Corp.

*

3,091

18,051

2,871,274

Specialty

Retail

-

3.9%

Aaron's,

Inc.

464

26,286

America's

Car-Mart,

Inc.

*

413

35,055

Asbury

Automotive

Group,

Inc.

*

536

52,233

At

Home

Group,

Inc.

*

1,204

17,892

Boot

Barn

Holdings,

Inc.

*

935

26,311

Buckle,

Inc.

(The)

1,148

23,408

Camping

World

Holdings,

Inc.,

Class

A

(a)

4,987

148,363

Citi

Trends,

Inc.

712

17,786

Group

1

Automotive,

Inc.

476

42,074

Hibbett

Sports,

Inc.

*

1,254

49,182

Lithia

Motors,

Inc.,

Class

A

1,236

281,734

Lumber

Liquidators

Holdings,

Inc.

*(a)

1,866

41,145

MarineMax,

Inc.

*

1,184

30,393

Murphy

USA,

Inc.

*

1,155

148,152

National

Vision

Holdings,

Inc.

*

2,883

110,246

ODP

Corp.

(The)

2,252

43,801

Rent-A-Center,

Inc.

2,899

86,651

RH

*(a)

943

360,811

Shoe

Carnival,

Inc.

643

21,592

Signet

Jewelers

Ltd.

713

13,333

Sleep

Number

Corp.

*

1,053

51,502

Sonic

Automotive,

Inc.,

Class

A

2,021

81,163

Sportsman's

Warehouse

Holdings,

Inc.

*(a)

5,662

81,023

Zumiez,

Inc.

*

1,446

40,228

1,830,364

Technology

Hardware,

Storage

&

Peripherals

-

0.3%

Avid

Technology,

Inc.

*

2,847

24,370

Quantum

Corp.

*(a)

3,698

17,011

Super

Micro

Computer,

Inc.

*

2,927

77,273

118,654

Textiles,

Apparel

&

Luxury

Goods

-

1.0%

Crocs,

Inc.

*

2,811

120,114

Deckers

Outdoor

Corp.

*

1,224

269,292

Lakeland

Industries,

Inc.

*(a)

2,046

40,511

Rocky

Brands,

Inc.

1,111

27,586

457,503

Thrifts

&

Mortgage

Finance

-

1.2%

Axos

Financial,

Inc.

*

775

18,065

Federal

Agricultural

Mortgage

Corp.,

Class

C

344

21,899

HomeStreet,

Inc.

997

25,683

122

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Thrifts

&

Mortgage

Finance

-

1.2%

(continued)

Meta

Financial

Group,

Inc.

1,602

30,790

Mr

Cooper

Group,

Inc.

*

5,775

128,898

PennyMac

Financial

Services,

Inc.

4,074

236,781

Premier

Financial

Corp.

906

14,111

Radian

Group,

Inc.

1,157

16,904

Walker

&

Dunlop,

Inc.

365

19,345

Waterstone

Financial,

Inc.

2,000

30,980

543,456

Tobacco

-

0.1%

Turning

Point

Brands,

Inc.

470

13,113

Vector

Group

Ltd.

4,394

42,578

55,691

Trading

Companies

&

Distributors

-

1.0%

CAI

International,

Inc.

1,309

36,037

Foundation

Building

Materials,

Inc.

*

1,027

16,144

GATX

Corp.

443

28,241

GMS,

Inc.

*

2,406

57,985

H&E

Equipment

Services,

Inc.

673

13,231

Lawson

Products,

Inc.

*

283

11,611

Rush

Enterprises,

Inc.,

Class

A

649

32,800

SiteOne

Landscape

Supply,

Inc.

*

1,766

215,364

Systemax,

Inc.

754

18,051

Triton

International

Ltd.

1,310

53,278

482,742

Water

Utilities

-

0.3%

American

States

Water

Co.

928

69,554

Cadiz,

Inc.

*(a)

2,241

22,253

Middlesex

Water

Co.

1,085

67,433

159,240

Wireless

Telecommunication

Services

-

0.1%

Shenandoah

Telecommunications

Co.

1,505

66,875

TOTAL

COMMON

STOCKS

(Cost

$34,253,062)

44,723,082

SHORT-TERM

INVESTMENTS

-

4.6%

INVESTMENT

COMPANIES

-

4.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(b)

(Cost

$2,191,232)

2,191,322

2,190,884

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

9.8%

Investment

Companies

-

9.8%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(b)(c)

617,008

617,008

Limited

Purpose

Cash

Investment

Fund

0.12%

(b)(c)

4,019,452

4,018,647

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$4,636,460)

4,635,655

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

109.2%

(Cost

$41,080,754)

51,549,621

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(9.2)%

(d)

(4,347,367)

NET

ASSETS

-

100.0%

47,202,254

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

972,242

2.1

%

Consumer

Discretionary

7,605,825

16.1

Consumer

Staples

2,073,097

4.4

Energy

571,734

1.2

Financials

3,448,191

7.3

Health

Care

12,071,682

25.6

Industrials

6,441,149

13.6

Information

Technology

7,404,538

15.7

Materials

1,335,226

2.8

Real

Estate

2,290,473

4.9

Utilities

508,925

1.1

Short-Term

Investments

2,190,884

4.6

Securities

Lending

Collateral

4,635,655

9.8

Total

Investments

In

Securities

At

Value

51,549,621

109.2

Liabilities

in

Excess

of

Other

Assets

(d)

(4,347,367)

(9.2)

Net

Assets

$

47,202,254

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$5,216,124.

(b)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(c)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$765,714

was

received.

(d)

Includes

appreciation/(depreciation)

on

futures

contracts.

123

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Russell

2000

E-Mini

Index

25

12/2020

USD

$

1,880,500

$

(20,866)

$

(20,866)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

177,363

$

177,363

124

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.2%

Australia

-

4.4%

Afterpay

Ltd.

*

5,672

334,334

Aristocrat

Leisure

Ltd.

3,308

72,143

ASX

Ltd.

900

52,619

BHP

Group

plc

7,337

156,529

Cochlear

Ltd.

681

97,294

Coles

Group

Ltd.

17,900

218,072

Computershare

Ltd.

5,027

44,472

CSL

Ltd.

6,796

1,403,827

Evolution

Mining

Ltd.

21,772

90,951

Fortescue

Metals

Group

Ltd.

49,256

578,660

Goodman

Group,

REIT

33,730

436,716

Magellan

Financial

Group

Ltd.

1,295

53,411

Newcrest

Mining

Ltd.

5,669

128,550

Northern

Star

Resources

Ltd.

8,157

80,828

Ramsay

Health

Care

Ltd.

723

34,472

REA

Group

Ltd.

1,574

125,336

Rio

Tinto

plc

6,780

407,970

Sonic

Healthcare

Ltd.

2,086

49,537

Wesfarmers

Ltd.

10,687

341,602

Woolworths

Group

Ltd.

5,364

140,262

4,847,585

—

Austria

-

0.1%

ANDRITZ

AG

2,003

61,824

Belgium

-

0.6%

Colruyt

SA

*

670

43,481

Elia

Group

SA/NV

467

46,685

Galapagos

NV

*

795

112,707

UCB

SA

2,857

324,480

Umicore

SA

2,235

92,964

620,317

—

Brazil

-

0.2%

Wheaton

Precious

Metals

Corp.

(1)

4,829

236,926

Canada

-

7.7%

Agnico

Eagle

Mines

Ltd.

(1)

3,916

312,004

Algonquin

Power

&

Utilities

Corp.

(1)

7,160

103,995

AltaGas

Ltd.

(1)

8,068

97,430

Atco

Ltd.,

Class

I

(1)

1,833

52,985

B2Gold

Corp.

(1)

15,174

98,801

Barrick

Gold

Corp.

(1)

27,264

765,780

BCE,

Inc.

(1)(a)

968

40,143

Brookfield

Asset

Management,

Inc.,

Class

A

(1)

3,251

107,573

CAE,

Inc.

(1)

2,640

38,622

Canadian

Apartment

Properties,

REIT

(1)

3,109

108,455

Canadian

National

Railway

Co.

(1)

1,913

203,734

Canadian

Pacific

Railway

Ltd.

(1)

1,503

457,204

CI

Financial

Corp.

(1)

4,241

53,795

Constellation

Software,

Inc.

(1)

257

285,581

Cronos

Group,

Inc.

(1)*(a)

6,386

32,085

Dollarama,

Inc.

(1)

1,538

58,953

Emera,

Inc.

(1)(a)

1,489

61,168

Empire

Co.

Ltd.,

Class

A

(1)

3,657

106,149

Enbridge,

Inc.

(1)

16,650

486,414

Franco-Nevada

Corp.

(1)

4,553

636,233

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.7%

(continued)

Hydro

One

Ltd.

(1)(b)

13,272

281,278

iA

Financial

Corp.,

Inc.

(1)

1,857

64,640

IGM

Financial,

Inc.

(1)

2,139

49,043

Intact

Financial

Corp.

(1)

2,254

241,354

International

Petroleum

Corp.

*(a)

3,493

6,384

Kinross

Gold

Corp.

(1)*

20,963

184,984

Manulife

Financial

Corp.

(1)

13,396

186,320

Metro,

Inc.

(1)

4,287

205,697

Pan

American

Silver

Corp.

(1)

5,188

166,797

Parkland

Corp.

(1)

1,513

40,008

Quebecor,

Inc.,

Class

B

(1)

3,297

82,478

Ritchie

Bros

Auctioneers,

Inc.

(1)

535

31,729

Shopify,

Inc.,

Class

A

(1)*

1,886

1,928,691

Thomson

Reuters

Corp.

(1)

7,510

599,311

WSP

Global,

Inc.

(1)

2,550

167,453

Yamana

Gold,

Inc.

(1)

14,126

80,308

8,423,579

—

Chile

-

0.1%

Antofagasta

plc

4,980

65,722

China

-

0.1%

BOC

Hong

Kong

Holdings

Ltd.

19,000

50,369

Wilmar

International

Ltd.

17,100

55,521

105,890

—

Denmark

-

5.6%

Ambu

A/S,

Class

B

5,083

143,134

AP

Moller

-

Maersk

A/S,

Class

B

77

121,728

Carlsberg

A/S,

Class

B

874

117,747

Chr

Hansen

Holding

A/S

1,138

126,325

Coloplast

A/S,

Class

B

3,170

502,410

Demant

A/S

*

3,240

101,610

DSV

Panalpina

A/S

3,495

566,900

Genmab

A/S

*

1,191

432,221

Novo

Nordisk

A/S,

Class

B

26,367

1,826,827

Novozymes

A/S,

Class

B

1,923

120,865

Orsted

A/S

(b)

8,357

1,151,427

Pandora

A/S

1,449

104,528

Tryg

A/S

9,825

309,315

Vestas

Wind

Systems

A/S

3,404

550,109

6,175,146

—

Finland

-

2.0%

Elisa

OYJ

2,592

152,387

Fortum

OYJ

10,627

214,859

Kone

OYJ,

Class

B

7,968

699,617

Neste

OYJ

6,990

368,092

Nordea

Bank

Abp

32,721

248,638

Orion

OYJ,

Class

B

2,311

104,704

Sampo

OYJ,

Class

A

2,742

108,591

Stora

Enso

OYJ,

Class

R

(a)

1,964

30,741

UPM-

Kymmene

OYJ

9,592

291,951

2,219,580

—

France

-

4.2%

Airbus

SE

*

1,068

77,457

AXA

SA

6,712

124,226

BioMerieux

259

40,541

BNP

Paribas

SA

*

6,908

249,894

Capgemini

SE

1,863

239,014

125

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

France

-

4.2%

(continued)

Credit

Agricole

SA

*

26,078

227,528

Dassault

Systemes

SE

2,145

400,219

Electricite

de

France

SA

7,138

75,402

EssilorLuxottica

SA

*

892

121,434

Hermes

International

304

261,821

Iliad

SA

513

94,102

Kering

SA

176

116,748

L'Oreal

SA

548

178,335

LVMH

Moet

Hennessy

Louis

Vuitton

SE

2,345

1,097,226

Orange

SA

18,570

193,417

Peugeot

SA

*

2,366

42,906

Safran

SA

*

1,824

179,458

Sanofi

6,668

668,213

Sartorius

Stedim

Biotech

325

112,178

TOTAL

SE

4,098

140,736

4,640,855

—

Germany

-

9.2%

adidas

AG

*(a)

664

214,434

Bayer

AG

(Registered)

8,141

502,249

Beiersdorf

AG

1,334

151,459

Brenntag

AG

2,526

160,608

Carl

Zeiss

Meditec

AG

1,384

174,800

Delivery

Hero

SE

*(b)

4,387

503,361

Deutsche

Bank

AG

(Registered)

*

29,698

250,337

Deutsche

Boerse

AG

2,889

506,500

Deutsche

Post

AG

(Registered)

11,462

520,095

Deutsche

Telekom

AG

(Registered)

3,600

59,940

Deutsche

Wohnen

SE

3,880

193,920

E.ON

SE

13,802

152,131

Fresenius

Medical

Care

AG

&

Co.

KGaA

799

67,545

GEA

Group

AG

2,237

78,380

Hannover

Rueck

SE

3,192

494,156

Infineon

Technologies

AG

18,324

516,477

KION

Group

AG

1,611

137,562

Knorr-

Bremse

AG

397

46,751

Merck

KGaA

2,700

393,639

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

850

216,085

Nemetschek

SE

868

63,443

Puma

SE

*

4,135

371,716

RWE

AG

8,885

332,738

SAP

SE

6,458

1,005,628

Scout24

AG

(b)

379

33,059

Siemens

AG

(Registered)

9,242

1,167,164

Siemens

Energy

AG

(1)*

4,621

124,612

Siemens

Healthineers

AG

(b)

4,883

219,190

Symrise

AG

2,030

280,389

Volkswagen

AG

514

89,839

Vonovia

SE

9,526

653,036

Zalando

SE

*(b)

3,663

342,234

10,023,477

—

Hong

Kong

-

1.6%

AIA

Group

Ltd.

41,200

409,531

CK

Asset

Holdings

Ltd.

7,500

36,853

CLP

Holdings

Ltd.

17,000

158,733

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

1.6%

(continued)

Hang

Seng

Bank

Ltd.

3,300

48,889

Henderson

Land

Development

Co.

Ltd.

16,157

59,993

Hong

Kong

&

China

Gas

Co.

Ltd.

72,185

104,815

Hong

Kong

Exchanges

&

Clearing

Ltd.

4,500

211,831

Link,

REIT

7,000

57,361

MTR

Corp.

Ltd.

16,500

81,888

New

World

Development

Co.

Ltd.

12,750

62,242

Pacific

Century

Premium

Developments

Ltd.

*

8,100

2,136

PCCW

Ltd.

75,000

44,867

Sino

Land

Co.

Ltd.

28,000

32,780

Sun

Hung

Kai

Properties

Ltd.

6,000

77,319

Swire

Properties

Ltd.

14,400

38,154

Techtronic

Industries

Co.

Ltd.

20,500

272,562

WH

Group

Ltd.

(b)

47,000

38,338

Wharf

Real

Estate

Investment

Co.

Ltd.

13,000

53,288

1,791,580

—

Italy

-

2.2%

Assicurazioni

Generali

SpA

2,727

38,435

DiaSorin

SpA

1,106

222,518

Enel

SpA

102,597

890,123

Ferrari

NV

2,809

515,505

FinecoBank

Banca

Fineco

SpA

*

2,108

29,035

Infrastrutture

Wireless

Italiane

SpA

(a)(b)

3,864

42,629

Intesa

Sanpaolo

SpA

45,602

85,797

Leonardo

SpA

5,584

32,614

Moncler

SpA

*

3,288

134,550

Nexi

SpA

*(b)

7,566

151,640

Poste

Italiane

SpA

(b)

5,728

50,760

Recordati

Industria

Chimica

e

Farmaceutica

SpA

1,537

78,733

Terna

Rete

Elettrica

Nazionale

SpA

23,336

163,277

2,435,616

—

Japan

-

28.0%

Advantest

Corp.

7,500

364,805

Aeon

Co.

Ltd.

6,200

166,785

Ajinomoto

Co.,

Inc.

2,900

59,436

Alfresa

Holdings

Corp.

2,000

43,806

Asahi

Intecc

Co.

Ltd.

2,300

72,286

Astellas

Pharma,

Inc.

21,800

324,964

Bandai

Namco

Holdings,

Inc.

2,500

183,175

Bank

of

Kyoto

Ltd.

(The)

1,000

48,350

Benesse

Holdings,

Inc.

1,300

33,461

Casio

Computer

Co.

Ltd.

3,200

51,815

Chugai

Pharmaceutical

Co.

Ltd.

19,200

861,609

Chugoku

Electric

Power

Co.,

Inc.

(The)

7,300

91,271

Cosmos

Pharmaceutical

Corp.

1,000

174,270

CyberAgent

,

Inc.

1,500

92,627

Daicel

Corp.

5,700

41,083

Daifuku

Co.

Ltd.

2,300

232,156

Daiichi

Sankyo

Co.

Ltd.

33,300

1,022,236

Daikin

Industries

Ltd.

2,600

480,413

Daiwa

House

Industry

Co.

Ltd.

2,900

74,377

126

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

28.0%

(continued)

Disco

Corp.

1,000

244,505

Eisai

Co.

Ltd.

2,900

264,864

Fast

Retailing

Co.

Ltd.

200

125,684

FUJIFILM

Holdings

Corp.

2,000

98,584

Fujitsu

Ltd.

3,000

409,853

GMO

Payment

Gateway,

Inc.

1,300

139,259

Hikari

Tsushin,

Inc.

500

119,294

Hisamitsu

Pharmaceutical

Co.,

Inc.

1,100

56,237

Hitachi

Construction

Machinery

Co.

Ltd.

900

32,614

Hitachi

Ltd.

5,100

172,683

Hoya

Corp.

7,100

801,706

Iida

Group

Holdings

Co.

Ltd.

2,400

48,575

Ito

En

Ltd.

800

57,055

ITOCHU

Corp.

11,400

291,907

Itochu

Techno-Solutions

Corp.

3,100

117,600

Japan

Prime

Realty

Investment

Corp.,

REIT

11

34,129

Japan

Real

Estate

Investment

Corp.,

REIT

26

132,926

JSR

Corp.

1,600

38,029

Kakaku.com,

Inc.

3,100

81,728

Kansai

Paint

Co.

Ltd.

2,200

54,681

Kao

Corp.

2,300

172,663

KDDI

Corp.

19,700

495,486

Keihan

Holdings

Co.

Ltd.

2,600

107,956

Keio

Corp.

1,000

61,906

Keisei

Electric

Railway

Co.

Ltd.

2,000

56,488

Keyence

Corp.

2,600

1,215,445

Kikkoman

Corp.

3,800

210,801

Kirin

Holdings

Co.

Ltd.

3,500

65,739

Kobayashi

Pharmaceutical

Co.

Ltd.

1,300

125,614

Kobe

Bussan

Co.

Ltd.

3,200

176,228

Konami

Holdings

Corp.

2,600

112,472

Kose

Corp.

600

73,463

Kyocera

Corp.

1,300

74,434

Kyowa

Kirin

Co.

Ltd.

5,400

153,667

Lasertec

Corp.

3,100

254,817

LINE

Corp.

*

3,300

167,975

Lion

Corp.

4,900

100,593

M3,

Inc.

11,600

717,533

Makita

Corp.

800

38,287

Marui

Group

Co.

Ltd.

7,000

134,325

McDonald's

Holdings

Co.

Japan

Ltd.

3,000

145,914

MEIJI

Holdings

Co.

Ltd.

1,100

84,024

Mercari

,

Inc.

*

900

41,592

Mitsubishi

Corp.

4,100

98,135

Mitsubishi

Electric

Corp.

3,100

42,065

Mitsui

&

Co.

Ltd.

5,500

94,506

Miura

Co.

Ltd.

1,400

68,669

MonotaRO

Co.

Ltd.

5,200

258,289

Murata

Manufacturing

Co.

Ltd.

6,400

416,174

Nexon

Co.

Ltd.

11,200

279,370

Nihon

M&A

Center,

Inc.

2,800

160,186

Nintendo

Co.

Ltd.

1,500

850,037

Nippon

Building

Fund,

Inc.,

REIT

25

141,500

Nippon

Express

Co.

Ltd.

1,000

58,353

Nippon

Paint

Holdings

Co.

Ltd.

4,800

494,142

Nippon

Prologis

REIT,

Inc.,

REIT

20

67,445

INVESTMENTS

SHARES

VALUE

($)

Japan

-

28.0%

(continued)

Nippon

Sanso

Holdings

Corp.

2,700

41,516

Nippon

Shinyaku

Co.

Ltd.

400

32,934

Nippon

Telegraph

&

Telephone

Corp.

10,300

210,292

Nissan

Chemical

Corp.

1,200

63,972

Nisshin

Seifun

Group,

Inc.

5,000

79,356

Nissin

Foods

Holdings

Co.

Ltd.

2,100

197,291

Nitori

Holdings

Co.

Ltd.

1,900

394,159

Nomura

Holdings,

Inc.

11,100

50,726

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

36

45,100

Nomura

Research

Institute

Ltd.

11,150

328,306

NTT

Data

Corp.

12,500

159,966

NTT

DOCOMO,

Inc.

29,400

1,080,336

Obayashi

Corp.

5,200

47,472

Obic

Co.

Ltd.

2,600

457,243

Olympus

Corp.

20,100

417,994

Omron

Corp.

1,400

109,461

Ono

Pharmaceutical

Co.

Ltd.

9,300

292,521

Oracle

Corp.

Japan

2,000

215,954

Oriental

Land

Co.

Ltd.

(a)

2,900

406,711

Otsuka

Corp.

1,500

76,652

Otsuka

Holdings

Co.

Ltd.

4,100

173,698

Pan

Pacific

International

Holdings

Corp.

9,200

214,252

Park24

Co.

Ltd.

2,900

47,083

PeptiDream

,

Inc.

*

1,200

56,315

Rakuten

,

Inc.

5,800

62,541

Recruit

Holdings

Co.

Ltd.

7,200

285,951

Renesas

Electronics

Corp.

*

13,300

97,617

Santen

Pharmaceutical

Co.

Ltd.

8,200

167,656

Secom

Co.

Ltd.

900

82,364

Seven

&

i

Holdings

Co.

Ltd.

1,700

52,819

SG

Holdings

Co.

Ltd.

2,900

150,898

Sharp

Corp.

(a)

4,300

53,489

Shimadzu

Corp.

4,600

140,007

Shimano,

Inc.

1,100

217,135

Shimizu

Corp.

6,600

49,686

Shin-Etsu

Chemical

Co.

Ltd.

4,300

562,674

Shionogi

&

Co.

Ltd.

3,900

208,745

Shiseido

Co.

Ltd.

3,800

219,982

SMC

Corp.

800

446,269

SoftBank

Corp.

18,300

204,490

SoftBank

Group

Corp.

10,700

662,058

Sohgo

Security

Services

Co.

Ltd.

2,000

95,272

Sony

Corp.

14,500

1,111,309

Square

Enix

Holdings

Co.

Ltd.

1,700

112,508

Stanley

Electric

Co.

Ltd.

1,500

43,229

SUMCO

Corp.

3,600

50,793

Sundrug

Co.

Ltd.

1,100

41,464

Suzuki

Motor

Corp.

900

38,554

Sysmex

Corp.

1,700

162,659

Taisei

Corp.

1,900

64,309

Takeda

Pharmaceutical

Co.

Ltd.

5,800

207,309

TDK

Corp.

1,900

207,466

Terumo

Corp.

12,200

485,739

TIS,

Inc.

2,400

50,976

Toho

Gas

Co.

Ltd.

2,700

133,598

Tokio

Marine

Holdings,

Inc.

1,800

78,758

Tokyo

Electron

Ltd.

2,800

731,513

127

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

28.0%

(continued)

Toyo

Suisan

Kaisha

Ltd.

1,000

52,806

Toyota

Motor

Corp.

9,600

637,152

Trend

Micro,

Inc.

3,300

201,098

Tsuruha

Holdings,

Inc.

1,600

226,827

Unicharm

Corp.

7,000

313,063

USS

Co.

Ltd.

4,900

87,678

Welcia

Holdings

Co.

Ltd.

5,600

246,147

Yakult

Honsha

Co.

Ltd.

600

33,315

Yamaha

Corp.

5,000

239,804

Yokogawa

Electric

Corp.

2,900

46,056

Z

Holdings

Corp.

66,900

446,854

30,567,078

—

Luxembourg

-

0.1%

Eurofins

Scientific

SE

*

88

69,711

Macau

-

0.1%

SJM

Holdings

Ltd.

47,000

55,717

Netherlands

-

5.0%

Adyen

NV

*(b)

446

822,640

Akzo

Nobel

NV

1,506

152,212

ASML

Holding

NV

5,486

2,026,381

Just

Eat

Takeaway.com

NV

*(b)

1,026

114,857

Koninklijke

Ahold

Delhaize

NV

6,040

178,530

Koninklijke

DSM

NV

3,420

563,040

Koninklijke

Philips

NV

*

15,283

721,650

Randstad

NV

*

1,036

54,023

Wolters

Kluwer

NV

10,278

876,739

5,510,072

—

Norway

-

0.1%

Mowi

ASA

5,594

99,528

Singapore

-

0.2%

Ascendas

,

REIT

24,300

58,148

CapitaLand

Mall

Trust,

REIT

29,500

41,986

DBS

Group

Holdings

Ltd.

2,300

33,813

United

Overseas

Bank

Ltd.

3,400

47,896

UOL

Group

Ltd.

9,700

47,663

229,506

—

South

Africa

-

0.2%

Anglo

American

plc

9,105

220,283

Spain

-

2.0%

Aena

SME

SA

*(b)

334

46,502

Cellnex

Telecom

SA

(b)

5,399

327,734

Endesa

SA

9,654

258,225

Ferrovial

SA

8,734

212,153

Grifols

SA

4,235

121,778

Iberdrola

SA

91,101

1,121,324

Naturgy

Energy

Group

SA

2,557

51,280

Red

Electrica

Corp.

SA

2,524

47,339

2,186,335

—

Sweden

-

5.1%

Alfa

Laval

AB

*

1,561

34,458

Assa

Abloy

AB,

Class

B

13,823

323,183

Atlas

Copco

AB,

Class

A

18,497

881,915

Boliden

AB

2,903

86,134

Epiroc

AB,

Class

A

14,112

204,430

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

5.1%

(continued)

Essity

AB,

Class

B

3,342

112,830

Evolution

Gaming

Group

AB

(b)

4,873

321,974

Hennes

&

Mauritz

AB,

Class

B

9,330

160,737

Hexagon

AB,

Class

B

*

1,754

132,485

ICA

Gruppen

AB

1,355

68,836

Investment

AB

Latour

,

Class

B

4,985

117,117

Investor

AB,

Class

B

6,084

397,405

Kinnevik

AB,

Class

B

4,855

197,056

L

E

Lundbergforetagen

AB,

Class

B

*

645

31,869

Nibe

Industrier

AB,

Class

B

*

11,323

291,013

Sandvik

AB

*

14,767

288,774

Skandinaviska

Enskilda

Banken

AB,

Class

A

*

10,532

93,541

Skanska

AB,

Class

B

2,417

51,044

SKF

AB,

Class

B

6,697

138,163

Svenska

Cellulosa

AB

SCA,

Class

B

*

10,836

148,556

Svenska

Handelsbanken

AB,

Class

A

*(a)

3,889

32,538

Swedbank

AB,

Class

A

*

5,684

88,987

Swedish

Match

AB

6,005

491,009

Tele2

AB,

Class

B

8,627

121,632

Telefonaktiebolaget

LM

Ericsson,

Class

B

9,055

99,091

Telia

Co.

AB

17,137

70,110

Volvo

AB,

Class

B

*

30,642

588,629

5,573,516

—

Switzerland

-

10.0%

ABB

Ltd.

(Registered)

15,267

388,146

Alcon,

Inc.

*

2,426

137,544

Baloise

Holding

AG

(Registered)

468

68,901

Barry

Callebaut

AG

(Registered)

80

178,189

Chocoladefabriken

Lindt

&

Spruengli

AG

18

151,938

Coca-Cola

HBC

AG

2,201

54,349

EMS-

Chemie

Holding

AG

(Registered)

381

342,315

Geberit

AG

(Registered)

787

465,608

Givaudan

SA

(Registered)

140

604,493

Kuehne

+

Nagel

International

AG

(Registered)

329

63,883

Logitech

International

SA

(Registered)

1,293

100,159

Lonza

Group

AG

(Registered)

1,635

1,009,017

Nestle

SA

(Registered)

8,952

1,065,396

Novartis

AG

(Registered)

5,350

464,510

Partners

Group

Holding

AG

600

551,882

Roche

Holding

AG

9,485

3,248,997

Schindler

Holding

AG

229

62,512

SGS

SA

(Registered)

15

40,198

Sika

AG

(Registered)

2,589

635,734

Sonova

Holding

AG

(Registered)

*

903

228,834

STMicroelectronics

NV

10,182

312,282

Straumann

Holding

AG

(Registered)

338

341,921

Swisscom

AG

(Registered)

281

148,862

Temenos

AG

(Registered)

235

31,585

Vifor

Pharma

AG

561

76,310

128

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

10.0%

(continued)

Zurich

Insurance

Group

AG

353

123,097

10,896,662

—

United

Kingdom

-

6.4%

3i

Group

plc

5,219

67,019

Admiral

Group

plc

1,746

58,884

Ashtead

Group

plc

4,765

171,594

Associated

British

Foods

plc

1,417

34,115

AstraZeneca

plc

14,546

1,589,362

Auto

Trader

Group

plc

(b)

29,518

214,313

BAE

Systems

plc

37,113

230,491

Barratt

Developments

plc

7,602

46,621

BP

plc

8,975

25,956

British

American

Tobacco

plc

18,876

677,108

Bunzl

plc

6,811

219,903

Compass

Group

plc

22,645

340,168

Diageo

plc

1,887

64,816

Direct

Line

Insurance

Group

plc

42,210

147,216

Experian

plc

5,258

197,566

GlaxoSmithKline

plc

17,591

329,787

HSBC

Holdings

plc

57,720

225,816

Intertek

Group

plc

3,758

306,640

M&G

plc

20,491

42,118

National

Grid

plc

4,119

47,311

Ocado

Group

plc

*

2,163

76,504

Persimmon

plc

12,600

401,542

Prudential

plc

18,655

267,668

Reckitt

Benckiser

Group

plc

5,607

546,712

Sage

Group

plc

(The)

32,325

300,402

Smith

&

Nephew

plc

3,009

58,944

Taylor

Wimpey

plc

76,759

107,331

Vodafone

Group

plc

94,605

125,392

Whitbread

plc

1,309

35,765

6,957,064

—

Zambia

-

0.0%

(c)

First

Quantum

Minerals

Ltd.

(1)

5,585

49,787

TOTAL

COMMON

STOCKS

(Cost

$79,410,492)

104,063,356

SHORT-TERM

INVESTMENTS

-

3.6%

INVESTMENT

COMPANIES

-

3.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(d)

(Cost

$3,977,695)

3,977,916

3,977,121

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.3%

Investment

Companies

-

0.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(d)(e)

38,294

38,294

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(d)(e)

249,464

249,414

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$287,758)

287,708

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.1%

(Cost

$

83,675,945

)

108,328,185

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.9%

(f)

970,599

NET

ASSETS

-

100.0%

109,298,784

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

6,672,632

6.1

%

Consumer

Discretionary

10,440,067

9.6

Consumer

Staples

7,908,157

7.2

Energy

1,067,589

1.0

Financials

7,122,214

6.5

Health

Care

22,567,755

20.6

Industrials

15,858,691

14.5

Information

Technology

15,175,790

13.9

Materials

9,032,927

8.3

Real

Estate

2,455,526

2.2

Utilities

5,762,008

5.3

Short-Term

Investments

3,977,121

3.6

Securities

Lending

Collateral

287,708

0.3

Total

Investments

In

Securities

At

Value

108,328,185

99.1

Other

Assets

in

Excess

of

Liabilities

(f)

970,599

0.9

Net

Assets

$

109,298,784

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$685,558.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$4,661,936,

which

represents

approximately

4.27%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$433,487

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

129

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Schedule

of

Investments

September

30,

2020

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

44

12/2020

USD

$

4,077,040

$

(106,139)

$

(106,139)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

509,109

$

509,109

130

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

95.3%

Air

Freight

&

Logistics

-

1.5%

CH

Robinson

Worldwide,

Inc.

460,472

47,055,634

Expeditors

International

of

Washington,

Inc.

454,124

41,107,304

88,162,938

Banks

-

1.2%

Bank

of

Hawaii

Corp.

44,800

2,263,296

Commerce

Bancshares,

Inc.

47,444

2,670,623

Cullen/Frost

Bankers,

Inc.

37,595

2,404,200

East

West

Bancorp,

Inc.

308,990

10,116,333

First

Citizens

BancShares

,

Inc.,

Class

A

5,259

1,676,464

First

Hawaiian,

Inc.

151,494

2,192,118

JPMorgan

Chase

&

Co.

22,144

2,131,803

M&T

Bank

Corp.

48,120

4,431,371

Popular,

Inc.

60,655

2,199,957

Prosperity

Bancshares,

Inc.

45,838

2,375,783

SVB

Financial

Group

*

143,210

34,459,190

Western

Alliance

Bancorp

83,837

2,650,926

69,572,064

Beverages

-

3.6%

Boston

Beer

Co.,

Inc.

(The),

Class

A

*

6,404

5,657,037

Brown-Forman

Corp.,

Class

B

28,757

2,165,977

Coca-Cola

Co.

(The)

1,482,413

73,186,730

Constellation

Brands,

Inc.,

Class

A

18,000

3,411,180

Monster

Beverage

Corp.

*

526,090

42,192,418

PepsiCo,

Inc.

661,336

91,661,170

218,274,512

Biotechnology

-

3.4%

AbbVie,

Inc.

79,242

6,940,807

Alnylam

Pharmaceuticals,

Inc.

*

50,444

7,344,646

Amgen,

Inc.

289,419

73,558,733

Biogen,

Inc.

*

224,002

63,544,887

Exelixis

,

Inc.

*

115,844

2,832,386

Regeneron

Pharmaceuticals,

Inc.

*

63,646

35,627,758

Seattle

Genetics,

Inc.

*

40,179

7,862,629

Vertex

Pharmaceuticals,

Inc.

*

29,087

7,915,154

205,627,000

Capital

Markets

-

3.0%

Ameriprise

Financial,

Inc.

11,753

1,811,255

BlackRock,

Inc.

90,932

51,244,728

CME

Group,

Inc.

201,830

33,768,177

Intercontinental

Exchange,

Inc.

287,999

28,814,300

Northern

Trust

Corp.

45,612

3,556,368

S&P

Global,

Inc.

104,478

37,674,767

SEI

Investments

Co.

71,226

3,612,583

T.

Rowe

Price

Group,

Inc.

190,058

24,369,237

184,851,415

INVESTMENTS

SHARES

VALUE

($)

Chemicals

-

3.5%

Air

Products

and

Chemicals,

Inc.

114,815

34,198,796

Ecolab,

Inc.

367,287

73,398,634

Linde

plc

(United

Kingdom)

203,600

48,483,268

NewMarket

Corp.

5,746

1,966,971

PPG

Industries,

Inc.

129,561

15,816,807

Sherwin-Williams

Co.

(The)

56,210

39,163,755

213,028,231

Commercial

Services

&

Supplies

-

1.3%

Cintas

Corp.

77,776

25,886,186

Copart

,

Inc.

*

38,099

4,006,491

Republic

Services,

Inc.

153,863

14,363,111

Rollins,

Inc.

120,451

6,527,239

Waste

Management,

Inc.

252,734

28,601,907

79,384,934

Communications

Equipment

-

0.6%

Cisco

Systems,

Inc.

810,588

31,929,061

Ubiquiti,

Inc.

13,074

2,178,913

34,107,974

Consumer

Finance

-

0.4%

American

Express

Co.

91,725

9,195,431

Credit

Acceptance

Corp.

*(a)

37,655

12,751,489

21,946,920

Containers

&

Packaging

-

0.0%

(b)

AptarGroup,

Inc.

20,164

2,282,565

Distributors

-

0.0%

(b)

Pool

Corp.

7,011

2,345,460

Diversified

Telecommunication

Services

-

1.7%

AT&T,

Inc.

695,594

19,831,385

Verizon

Communications,

Inc.

1,430,784

85,117,340

104,948,725

Electric

Utilities

-

3.4%

Alliant

Energy

Corp.

134,337

6,938,506

American

Electric

Power

Co.,

Inc.

58,682

4,796,080

Duke

Energy

Corp.

452,102

40,038,153

Evergy

,

Inc.

42,240

2,146,637

Eversource

Energy

35,122

2,934,443

Exelon

Corp.

432,226

15,456,402

IDACORP,

Inc.

33,947

2,712,365

NextEra

Energy,

Inc.

307,809

85,435,466

OGE

Energy

Corp.

80,354

2,409,817

Pinnacle

West

Capital

Corp.

157,557

11,745,874

PPL

Corp.

450,030

12,245,316

Xcel

Energy,

Inc.

318,018

21,946,422

208,805,481

Electrical

Equipment

-

0.4%

Eaton

Corp.

plc

30,731

3,135,484

Emerson

Electric

Co.

124,580

8,168,711

Hubbell,

Inc.

16,554

2,265,249

131

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Electrical

Equipment

-

0.4%

(continued)

Rockwell

Automation,

Inc.

59,943

13,228,221

26,797,665

Electronic

Equipment,

Instruments

&

Components

-

0.5%

Amphenol

Corp.,

Class

A

72,890

7,891,800

Cognex

Corp.

229,392

14,933,419

Dolby

Laboratories,

Inc.,

Class

A

44,313

2,937,066

Littelfuse

,

Inc.

13,193

2,339,647

National

Instruments

Corp.

71,798

2,563,188

30,665,120

Entertainment

-

0.5%

Activision

Blizzard,

Inc.

22,274

1,803,080

Electronic

Arts,

Inc.

*

51,333

6,694,337

Netflix,

Inc.

*

43,080

21,541,292

Spotify

Technology

SA

*

11,489

2,786,887

32,825,596

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.9%

American

Tower

Corp.

75,809

18,325,309

Equinix

,

Inc.

12,722

9,670,374

Public

Storage

124,708

27,774,966

55,770,649

Food

&

Staples

Retailing

-

3.9%

Casey's

General

Stores,

Inc.

113,060

20,085,109

Costco

Wholesale

Corp.

248,482

88,211,110

Grocery

Outlet

Holding

Corp.

*

53,377

2,098,784

Kroger

Co.

(The)

952,854

32,311,279

Sprouts

Farmers

Market,

Inc.

*

303,110

6,344,092

Walmart,

Inc.

618,823

86,579,526

235,629,900

Food

Products

-

4.3%

Archer-Daniels-Midland

Co.

49,290

2,291,492

Campbell

Soup

Co.

196,117

9,486,179

Flowers

Foods,

Inc.

347,128

8,445,624

General

Mills,

Inc.

357,056

22,023,214

Hershey

Co.

(The)

359,724

51,562,838

Hormel

Foods

Corp.

1,149,902

56,218,709

Ingredion,

Inc.

102,968

7,792,618

J

M

Smucker

Co.

(The)

103,223

11,924,321

Kellogg

Co.

121,883

7,872,423

Lamb

Weston

Holdings,

Inc.

142,410

9,437,511

McCormick

&

Co.,

Inc.

(Non-Voting)

140,547

27,280,173

Mondelez

International,

Inc.,

Class

A

697,831

40,090,391

Pilgrim's

Pride

Corp.

*

123,145

1,842,865

Post

Holdings,

Inc.

*

30,157

2,593,502

258,861,860

INVESTMENTS

SHARES

VALUE

($)

Gas

Utilities

-

0.3%

Atmos

Energy

Corp.

170,754

16,322,375

UGI

Corp.

79,711

2,628,869

18,951,244

Health

Care

Equipment

&

Supplies

-

4.7%

Abbott

Laboratories

316,136

34,405,081

ABIOMED,

Inc.

*

79,132

21,924,312

Align

Technology,

Inc.

*

25,808

8,448,507

Baxter

International,

Inc.

34,005

2,734,682

Becton

Dickinson

and

Co.

37,706

8,773,432

Cooper

Cos.,

Inc.

(The)

33,784

11,389,262

Danaher

Corp.

181,447

39,070,982

Edwards

Lifesciences

Corp.

*

582,509

46,495,868

Intuitive

Surgical,

Inc.

*

79,607

56,484,351

Masimo

Corp.

*

40,742

9,617,557

Medtronic

plc

112,448

11,685,596

ResMed

,

Inc.

60,097

10,302,429

Stryker

Corp.

70,579

14,706,546

West

Pharmaceutical

Services,

Inc.

40,400

11,105,960

287,144,565

Health

Care

Providers

&

Services

-

1.2%

Anthem,

Inc.

10,042

2,697,181

Chemed

Corp.

21,113

10,141,630

Guardant

Health,

Inc.

*

34,894

3,900,451

Henry

Schein,

Inc.

*

233,659

13,734,476

Premier,

Inc.,

Class

A

58,165

1,909,557

UnitedHealth

Group,

Inc.

122,559

38,210,219

70,593,514

Health

Care

Technology

-

0.1%

Veeva

Systems,

Inc.,

Class

A

*

11,902

3,346,723

Household

Durables

-

0.1%

Garmin

Ltd.

75,680

7,179,005

Household

Products

-

3.8%

Church

&

Dwight

Co.,

Inc.

156,831

14,696,633

Clorox

Co.

(The)

294,491

61,893,174

Colgate-Palmolive

Co.

667,416

51,491,144

Kimberly-Clark

Corp.

111,503

16,464,533

Procter

&

Gamble

Co.

(The)

605,474

84,154,831

228,700,315

Industrial

Conglomerates

-

1.1%

3M

Co.

243,853

39,060,374

Honeywell

International,

Inc.

145,532

23,956,022

Roper

Technologies,

Inc.

7,700

3,042,347

66,058,743

Insurance

-

4.2%

Alleghany

Corp.

7,881

4,101,667

Allstate

Corp.

(The)

330,859

31,147,066

Aon

plc,

Class

A

143,187

29,539,478

Arthur

J

Gallagher

&

Co.

96,160

10,152,573

Assurant,

Inc.

58,831

7,136,789

132

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Insurance

-

4.2%

(continued)

Brown

&

Brown,

Inc.

75,396

3,413,177

Chubb

Ltd.

185,413

21,530,158

CNA

Financial

Corp.

58,101

1,742,449

Erie

Indemnity

Co.,

Class

A

39,879

8,385,756

Everest

Re

Group

Ltd.

83,589

16,512,171

Fidelity

National

Financial,

Inc.

95,569

2,992,265

First

American

Financial

Corp.

54,220

2,760,340

Hanover

Insurance

Group,

Inc.

(The)

25,481

2,374,320

Markel

Corp.

*

6,750

6,572,475

Marsh

&

McLennan

Cos.,

Inc.

218,003

25,004,944

Mercury

General

Corp.

44,402

1,836,911

Old

Republic

International

Corp.

126,961

1,871,405

Progressive

Corp.

(The)

403,005

38,152,483

RenaissanceRe

Holdings

Ltd.

54,650

9,276,291

Travelers

Cos.,

Inc.

(The)

234,786

25,401,497

W

R

Berkley

Corp.

57,619

3,523,402

White

Mountains

Insurance

Group

Ltd.

2,607

2,030,853

255,458,470

Interactive

Media

&

Services

-

2.7%

Alphabet,

Inc.,

Class

A

*

56,868

83,345,741

Facebook,

Inc.,

Class

A

*

315,533

82,638,093

165,983,834

Internet

&

Direct

Marketing

Retail

-

2.1%

Amazon.com,

Inc.

*

26,655

83,929,398

Booking

Holdings,

Inc.

*

26,270

44,939,564

128,868,962

IT

Services

-

6.6%

Accenture

plc,

Class

A

333,799

75,435,236

Akamai

Technologies,

Inc.

*

171,868

18,998,289

Amdocs

Ltd.

67,589

3,880,284

Automatic

Data

Processing,

Inc.

188,326

26,269,594

Broadridge

Financial

Solutions,

Inc.

21,332

2,815,824

Cognizant

Technology

Solutions

Corp.,

Class

A

95,575

6,634,816

EPAM

Systems,

Inc.

*

31,704

10,249,269

Global

Payments,

Inc.

12,177

2,162,392

International

Business

Machines

Corp.

60,464

7,356,655

Jack

Henry

&

Associates,

Inc.

42,360

6,887,312

Mastercard

,

Inc.,

Class

A

253,281

85,652,036

Paychex,

Inc.

182,425

14,552,042

PayPal

Holdings,

Inc.

*

188,292

37,099,173

VeriSign,

Inc.

*

94,527

19,363,856

Visa,

Inc.,

Class

A

(a)

435,505

87,087,935

404,444,713

Life

Sciences

Tools

&

Services

-

2.1%

Agilent

Technologies,

Inc.

138,944

14,025,007

Bio-

Techne

Corp.

24,584

6,090,194

INVESTMENTS

SHARES

VALUE

($)

Life

Sciences

Tools

&

Services

-

2.1%

(continued)

Charles

River

Laboratories

International,

Inc.

*

15,818

3,581,986

Illumina,

Inc.

*

80,273

24,810,779

Mettler

-Toledo

International,

Inc.

*

26,122

25,227,322

QIAGEN

NV

*

123,971

6,478,724

Thermo

Fisher

Scientific,

Inc.

105,457

46,561,375

Waters

Corp.

*

18,651

3,649,628

130,425,015

Machinery

-

2.0%

Caterpillar,

Inc.

128,948

19,232,594

Cummins,

Inc.

80,173

16,929,331

Donaldson

Co.,

Inc.

48,042

2,230,110

Dover

Corp.

16,880

1,828,779

Fortive

Corp.

27,067

2,062,776

IDEX

Corp.

29,273

5,339,688

Illinois

Tool

Works,

Inc.

362,775

70,091,758

Lincoln

Electric

Holdings,

Inc.

27,050

2,489,682

Toro

Co.

(The)

31,020

2,604,129

122,808,847

Media

-

0.7%

Cable

One,

Inc.

5,584

10,528,241

Charter

Communications,

Inc.,

Class

A

*(a)

34,892

21,784,472

Comcast

Corp.,

Class

A

76,265

3,528,019

John

Wiley

&

Sons,

Inc.,

Class

A

60,320

1,912,747

New

York

Times

Co.

(The),

Class

A

82,618

3,535,224

Omnicom

Group,

Inc.

44,728

2,214,036

43,502,739

Metals

&

Mining

-

0.7%

Newmont

Corp.

630,908

40,031,112

Royal

Gold,

Inc.

37,933

4,558,409

44,589,521

Multiline

Retail

-

1.6%

Dollar

General

Corp.

36,221

7,592,646

Ollie's

Bargain

Outlet

Holdings,

Inc.

*

23,087

2,016,649

Target

Corp.

555,487

87,444,764

97,054,059

Multi-Utilities

-

3.3%

Ameren

Corp.

246,515

19,494,406

CMS

Energy

Corp.

44,983

2,762,406

Consolidated

Edison,

Inc.

323,685

25,182,693

Dominion

Energy,

Inc.

552,196

43,584,831

DTE

Energy

Co.

153,520

17,660,941

MDU

Resources

Group,

Inc.

109,166

2,456,235

Public

Service

Enterprise

Group,

Inc.

616,886

33,873,210

Sempra

Energy

256,367

30,343,598

133

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Multi-Utilities

-

3.3%

(continued)

WEC

Energy

Group,

Inc.

244,301

23,672,767

199,031,087

Personal

Products

-

1.0%

Estee

Lauder

Cos.,

Inc.

(The),

Class

A

286,074

62,435,651

Pharmaceuticals

-

4.4%

Bristol-Myers

Squibb

Co.

130,657

7,877,311

Eli

Lilly

and

Co.

280,018

41,448,264

Johnson

&

Johnson

602,602

89,715,386

Merck

&

Co.,

Inc.

949,224

78,738,131

Pfizer,

Inc.

434,339

15,940,241

Zoetis,

Inc.

218,092

36,065,874

269,785,207

Professional

Services

-

0.6%

CoStar

Group,

Inc.

*

22,785

19,333,300

Robert

Half

International,

Inc.

61,451

3,253,216

Verisk

Analytics,

Inc.

75,313

13,956,252

36,542,768

Road

&

Rail

-

1.6%

JB

Hunt

Transport

Services,

Inc.

91,560

11,571,353

Landstar

System,

Inc.

142,964

17,940,552

Old

Dominion

Freight

Line,

Inc.

330,922

59,870,408

Union

Pacific

Corp.

36,731

7,231,232

96,613,545

Semiconductors

&

Semiconductor

Equipment

-

2.9%

Analog

Devices,

Inc.

25,044

2,923,637

Broadcom,

Inc.

32,808

11,952,611

Intel

Corp.

269,110

13,934,516

Lam

Research

Corp.

19,572

6,493,011

Monolithic

Power

Systems,

Inc.

15,625

4,368,906

NVIDIA

Corp.

69,559

37,646,722

Skyworks

Solutions,

Inc.

165,027

24,011,428

SolarEdge

Technologies,

Inc.

*

11,799

2,812,292

Texas

Instruments,

Inc.

411,294

58,728,670

Universal

Display

Corp.

17,383

3,141,803

Xilinx,

Inc.

74,195

7,734,087

173,747,683

Software

-

5.6%

Adobe,

Inc.

*

181,953

89,235,210

ANSYS,

Inc.

*

46,957

15,365,739

Cadence

Design

Systems,

Inc.

*

142,727

15,218,980

Citrix

Systems,

Inc.

20,145

2,774,168

Intuit,

Inc.

240,934

78,595,080

Manhattan

Associates,

Inc.

*

33,515

3,200,347

Microsoft

Corp.

411,735

86,600,223

Oracle

Corp.

61,492

3,671,072

Pegasystems

,

Inc.

21,345

2,583,599

salesforce.com,

Inc.

*

57,119

14,355,147

Synopsys,

Inc.

*

16,359

3,500,499

INVESTMENTS

SHARES

VALUE

($)

Software

-

5.6%

(continued)

Zoom

Video

Communications,

Inc.,

Class

A

*

54,144

25,453,636

340,553,700

Specialty

Retail

-

2.5%

AutoZone,

Inc.

*

4,108

4,837,745

Best

Buy

Co.,

Inc.

200,446

22,307,636

Home

Depot,

Inc.

(The)

313,159

86,967,386

Lowe's

Cos.,

Inc.

197,507

32,758,511

Williams-Sonoma,

Inc.

69,146

6,253,564

153,124,842

Technology

Hardware,

Storage

&

Peripherals

-

1.2%

Apple,

Inc.

617,612

71,525,646

Textiles,

Apparel

&

Luxury

Goods

-

1.2%

Lululemon

Athletica,

Inc.

*

90,544

29,822,477

NIKE,

Inc.,

Class

B

331,073

41,562,905

71,385,382

Thrifts

&

Mortgage

Finance

-

0.0%

(b)

TFS

Financial

Corp.

38,745

569,164

Tobacco

-

1.1%

Altria

Group,

Inc.

713,538

27,571,108

Philip

Morris

International,

Inc.

532,732

39,949,573

67,520,681

Trading

Companies

&

Distributors

-

0.2%

Fastenal

Co.

80,827

3,644,490

WW

Grainger,

Inc.

17,520

6,250,610

9,895,100

Water

Utilities

-

0.2%

American

Water

Works

Co.,

Inc.

58,709

8,505,760

Essential

Utilities,

Inc.

85,894

3,457,233

11,962,993

Wireless

Telecommunication

Services

-

1.4%

T-Mobile

US,

Inc.

*

761,540

87,089,714

TOTAL

COMMON

STOCKS

(Cost

$4,500,510,176)

5,800,782,441

SHORT-TERM

INVESTMENTS

-

4.3%

INVESTMENT

COMPANIES

-

4.3%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(c)(d)

(Cost

$265,898,753)

265,916,212

265,863,029

134

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$31,452,436.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(d)

For

the

period

ended

September

30,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

issuer

were

as

follows:

(e)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$20,066,824

was

received.

(f)

Includes

appreciation/(depreciation)

on

futures

contracts.

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.2%

Investment

Companies

-

0.2%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(c)(e)

1,599,341

1,599,341

Limited

Purpose

Cash

Investment

Fund

0.12%

(c)(d)(e)

10,418,789

10,416,705

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$12,018,130)

12,016,046

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.8%

(Cost

$4,778,427,059)

6,078,661,516

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.2%

(f)

10,355,419

NET

ASSETS

-

100.0%

6,089,016,935

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

434,350,608

7.1

%

Consumer

Discretionary

459,957,709

7.6

Consumer

Staples

1,071,422,919

17.6

Financials

532,398,033

8.8

Health

Care

966,922,024

15.9

Industrials

526,264,541

8.6

Information

Technology

1,055,044,836

17.3

Materials

259,900,317

4.3

Real

Estate

55,770,649

0.9

Utilities

438,750,805

7.2

Short-Term

Investments

265,863,029

4.3

Securities

Lending

Collateral

12,016,046

0.2

Total

Investments

In

Securities

At

Value

6,078,661,516

99.8

Other

Assets

in

Excess

of

Liabilities

(f)

10,355,419

0.2

Net

Assets

$

6,089,016,935

100.0%

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

Affiliate

Value

At

9/30/2019

Purchases

At

Cost

Proceeds

From

Sales

Net

Realized

Gain

(Loss)

Net

Change

In

Unrealized

App/Dep

Value

At

9/30/2020

Shares

Held

At

9/30/2020

Dividend

Income

Capital

Gain

Distributions

SHORT-TERM

INVESTMENTS

-

4.3%

INVESTMENT

COMPANIES

-

4.3%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(a)

(Cost

$265,898,753)

$183,525,144

$2,934,832,549

$(2,852,437,519)

$(4,408)

$(52,737)

$265,863,029

265,916,212

$2,345,984

$–

SECURITIES

LENDING

COLLATERAL

-

0.2%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(a)(b)

(Cost

$10,418,789)

$39,755,381

$115,304,559

$(144,639,493)

$2,318

$(6,060)

$10,416,705

10,418,789

$–

$–

TOTAL

$(2,090)

$(58,797)

$276,279,734

$2,345,984

$–

(a)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(b)

Securities

Lending

income

from

affiliated

issuers

amounted

to

$121,882

for

year

ended

September

30,

2020.

All

securities

are

Level

1

with

respect

to

ASC

820

(See

Note

4).

135

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

S&P

500

E-Mini

Index

1,421

12/2020

USD

$

238,159,600

$

4,817,590

$

4,817,590

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

GSCO

Cash

$

–

$

15,239,145

$

15,239,145

136

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

94.1%

Australia

-

7.1%

AGL

Energy

Ltd.

194,584

1,899,982

Aristocrat

Leisure

Ltd.

9,038

197,106

AusNet

Services

185,640

250,602

BlueScope

Steel

Ltd.

25,125

231,497

Brambles

Ltd.

12,956

98,375

Coca-Cola

Amatil

Ltd.

67,390

461,278

Cochlear

Ltd.

9,344

1,334,964

Crown

Resorts

Ltd.

45,154

286,838

CSL

Ltd.

4,055

837,628

Fortescue

Metals

Group

Ltd.

54,510

640,385

Magellan

Financial

Group

Ltd.

1,352

55,762

REA

Group

Ltd.

10,585

842,871

Sonic

Healthcare

Ltd.

29,156

692,373

Tabcorp

Holdings

Ltd.

56,785

136,745

Telstra

Corp.

Ltd.

1,077,451

2,157,328

Treasury

Wine

Estates

Ltd.

33,345

214,250

Washington

H

Soul

Pattinson

&

Co.

Ltd.

29,031

493,127

Wesfarmers

Ltd.

35,699

1,141,092

WiseTech

Global

Ltd.

4,033

75,537

Woolworths

Group

Ltd.

101,929

2,665,310

14,713,050

—

Austria

-

0.0%

(a)

Erste

Group

Bank

AG

3,651

76,453

Belgium

-

1.7%

Ageas

SA/NV

9,294

380,302

Colruyt

SA

*

25,380

1,647,077

Groupe

Bruxelles

Lambert

SA

7,339

661,625

KBC

Group

NV

8,606

431,557

Proximus

SADP

9,515

173,582

UCB

SA

1,727

196,142

3,490,285

—

Brazil

-

0.0%

(a)

Wheaton

Precious

Metals

Corp.

(1)

1,249

61,280

Canada

-

7.5%

Agnico

Eagle

Mines

Ltd.

(1)

779

62,066

Alimentation

Couche-Tard,

Inc.,

Class

B

(1)

30,946

1,077,666

Atco

Ltd.,

Class

I

(1)

2,517

72,757

Bank

of

Montreal

(1)

1,972

115,280

Bank

of

Nova

Scotia

(The)

(1)

5,419

225,135

Barrick

Gold

Corp.

(1)

2,580

72,466

BCE,

Inc.

(1)(b)

44,461

1,843,819

Canadian

Imperial

Bank

of

Commerce

(1)

4,856

362,974

Canadian

National

Railway

Co.

(1)

8,138

866,697

Canadian

Pacific

Railway

Ltd.

(1)

2,523

767,482

Canadian

Utilities

Ltd.,

Class

A

(1)

(b)

22,858

545,207

CI

Financial

Corp.

(1)

37,802

479,498

Constellation

Software,

Inc.

(1)

431

478,931

Empire

Co.

Ltd.,

Class

A

(1)

20,644

599,219

Fortis,

Inc.

(1)

2,381

97,346

Franco-Nevada

Corp.

(1)

3,239

452,616

George

Weston

Ltd.

(1)

1,315

96,693

Hydro

One

Ltd.

(1)(c)

101,830

2,158,119

INVESTMENTS

SHARES

VALUE

($)

Canada

-

7.5%

(continued)

Imperial

Oil

Ltd.

(1)(b)

6,690

80,086

Intact

Financial

Corp.

(1)

11,764

1,259,669

Loblaw

Cos.

Ltd.

(1)

11,024

577,300

Magna

International,

Inc.

(1)

13,078

598,432

Manulife

Financial

Corp.

(1)(b)

21,213

295,043

Metro,

Inc.

(1)

4,979

238,901

Rogers

Communications,

Inc.,

Class

B

(1)

10,711

424,885

Royal

Bank

of

Canada

(1)

6,459

453,495

Shaw

Communications,

Inc.,

Class

B

(1)

26,354

480,945

Sun

Life

Financial,

Inc.

(1)

4,802

195,679

Thomson

Reuters

Corp.

(1)

1,104

88,101

Toronto-Dominion

Bank

(The)

(1)

2,713

125,610

15,192,117

—

China

-

0.9%

BOC

Hong

Kong

Holdings

Ltd.

191,500

507,664

Budweiser

Brewing

Co.

APAC

Ltd.

(c)

82,400

241,007

Wilmar

International

Ltd.

290,100

941,910

Yangzijiang

Shipbuilding

Holdings

Ltd.

256,700

187,516

1,878,097

—

Denmark

-

4.0%

Carlsberg

A/S,

Class

B

1,027

138,360

Coloplast

A/S,

Class

B

14,040

2,225,187

Danske

Bank

A/S

*

75,624

1,022,898

DSV

Panalpina

A/S

2,231

361,875

Novo

Nordisk

A/S,

Class

B

33,152

2,296,922

Novozymes

A/S,

Class

B

14,044

882,699

Orsted

A/S

(c)

7,748

1,067,519

Pandora

A/S

3,271

235,963

8,231,423

—

Finland

-

2.2%

Elisa

OYJ

11,296

664,105

Fortum

OYJ

8,088

163,525

Kone

OYJ,

Class

B

14,784

1,298,086

Neste

OYJ

21,566

1,135,660

Nokia

OYJ

*

134,477

526,324

Orion

OYJ,

Class

B

6,377

288,921

Sampo

OYJ,

Class

A

4,052

160,471

UPM-

Kymmene

OYJ

10,003

304,460

4,541,552

—

France

-

5.4%

Air

Liquide

SA

5,946

942,499

AXA

SA

19,381

358,703

BioMerieux

1,463

229,004

Bouygues

SA

6,902

238,508

Danone

SA

7,356

476,485

Dassault

Aviation

SA

*

62

52,300

Dassault

Systemes

SE

4,025

750,993

Electricite

de

France

SA

59,061

623,889

Engie

SA

*

88,296

1,179,946

Hermes

International

1,908

1,643,271

Ipsen

SA

568

59,375

L'Oreal

SA

8,322

2,708,221

137

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

France

-

5.4%

(continued)

Pernod

Ricard

SA

849

135,361

Sanofi

5,149

515,991

Suez

SA

35,367

653,477

Worldline

SA

*(b)(c)

6,796

556,479

11,124,502

—

Germany

-

4.4%

Allianz

SE

(Registered)

5,129

984,408

BASF

SE

2,060

125,446

Beiersdorf

AG

6,840

776,596

Carl

Zeiss

Meditec

AG

969

122,385

Commerzbank

AG

*

10,548

51,872

Evonik

Industries

AG

4,769

123,369

Fresenius

Medical

Care

AG

&

Co.

KGaA

6,194

523,621

FUCHS

PETROLUB

SE

(Preference)

7,686

390,801

Hannover

Rueck

SE

1,051

162,706

HeidelbergCement

AG

1,717

104,919

Henkel

AG

&

Co.

KGaA

(Preference)

9,820

1,027,039

Infineon

Technologies

AG

7,378

207,955

KION

Group

AG

1,830

156,262

METRO

AG

9,281

92,428

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)

331

84,146

Nemetschek

SE

1,516

110,806

SAP

SE

11,787

1,835,451

Siemens

Healthineers

AG

(c)

12,718

570,891

Telefonica

Deutschland

Holding

AG

363,114

928,028

Uniper

SE

17,399

561,625

United

Internet

AG

(Registered)

4,273

163,412

9,104,166

—

Hong

Kong

-

3.3%

CLP

Holdings

Ltd.

144,000

1,344,565

Hang

Seng

Bank

Ltd.

15,900

235,555

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(d)

1,510,500

1,561,661

Hong

Kong

&

China

Gas

Co.

Ltd.

769,036

1,116,670

MTR

Corp.

Ltd.

149,500

741,955

Power

Assets

Holdings

Ltd.

363,500

1,915,920

6,916,326

—

Italy

-

1.1%

Assicurazioni

Generali

SpA

21,820

307,540

DiaSorin

SpA

6,010

1,209,164

Enel

SpA

84,730

735,110

2,251,814

—

Japan

-

32.3%

ABC-Mart,

Inc.

17,800

926,779

Ajinomoto

Co.,

Inc.

4,500

92,228

Amada

Co.

Ltd.

22,000

205,805

Asahi

Group

Holdings

Ltd.

7,100

247,454

Asahi

Kasei

Corp.

17,500

152,664

Astellas

Pharma,

Inc.

91,100

1,357,991

Bandai

Namco

Holdings,

Inc.

15,500

1,135,686

Bridgestone

Corp.

23,400

739,654

INVESTMENTS

SHARES

VALUE

($)

Japan

-

32.3%

(continued)

Calbee

,

Inc.

67,900

2,236,487

Canon,

Inc.

26,100

432,909

Casio

Computer

Co.

Ltd.

8,400

136,015

Central

Japan

Railway

Co.

1,000

143,340

Chiba

Bank

Ltd.

(The)

21,300

117,528

Chugai

Pharmaceutical

Co.

Ltd.

23,400

1,050,086

Chugoku

Electric

Power

Co.,

Inc.

(The)

11,900

148,784

Dai

Nippon

Printing

Co.

Ltd.

4,400

89,187

Daicel

Corp.

23,100

166,495

East

Japan

Railway

Co.

4,000

245,995

Eisai

Co.

Ltd.

10,600

968,123

Fast

Retailing

Co.

Ltd.

1,800

1,131,159

FUJIFILM

Holdings

Corp.

20,000

985,837

Fujitsu

Ltd.

900

122,956

Hakuhodo

DY

Holdings,

Inc.

16,400

212,074

Hamamatsu

Photonics

KK

10,300

520,527

Hino

Motors

Ltd.

14,200

92,140

Hisamitsu

Pharmaceutical

Co.,

Inc.

7,400

378,323

Hitachi

Metals

Ltd.

4,600

70,932

Hoshizaki

Corp.

4,600

367,063

Hoya

Corp.

21,100

2,382,534

ITOCHU

Corp.

22,500

576,131

Japan

Post

Bank

Co.

Ltd.

167,000

1,302,569

Japan

Post

Holdings

Co.

Ltd.

23,300

158,884

Japan

Tobacco,

Inc.

50,200

915,838

JGC

Holdings

Corp.

19,900

206,405

Kakaku.com,

Inc.

7,400

195,093

Kamigumi

Co.

Ltd.

27,000

532,045

Kansai

Paint

Co.

Ltd.

12,200

303,231

Kao

Corp.

15,900

1,193,625

KDDI

Corp.

80,800

2,032,245

Keyence

Corp.

1,300

607,723

Kikkoman

Corp.

1,100

61,021

Kirin

Holdings

Co.

Ltd.

24,500

460,174

Kobayashi

Pharmaceutical

Co.

Ltd.

4,800

463,805

Koito

Manufacturing

Co.

Ltd.

2,100

107,154

Kose

Corp.

1,800

220,388

Kubota

Corp.

8,500

152,296

Kyocera

Corp.

7,000

400,796

Kyowa

Kirin

Co.

Ltd.

5,300

150,821

Kyushu

Railway

Co.

24,600

525,960

Lawson,

Inc.

7,100

338,547

LINE

Corp.

*

4,400

223,967

Lion

Corp.

24,700

507,069

Makita

Corp.

3,500

167,508

Maruichi

Steel

Tube

Ltd.

3,400

85,120

McDonald's

Holdings

Co.

Japan

Ltd.

9,900

481,516

Medipal

Holdings

Corp.

37,200

745,945

MEIJI

Holdings

Co.

Ltd.

4,700

359,013

Mitsubishi

Corp.

8,400

201,057

Mitsubishi

Electric

Corp.

6,100

82,772

Mitsubishi

Heavy

Industries

Ltd.

3,900

86,349

Mitsubishi

UFJ

Financial

Group,

Inc.

49,700

198,347

Mitsui

&

Co.

Ltd.

28,300

486,274

Mizuho

Financial

Group,

Inc.

58,510

730,303

Murata

Manufacturing

Co.

Ltd.

1,500

97,541

Nexon

Co.

Ltd.

61,500

1,534,042

138

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Japan

-

32.3%

(continued)

NH

Foods

Ltd.

2,100

93,868

Nintendo

Co.

Ltd.

2,300

1,303,390

Nippon

Paint

Holdings

Co.

Ltd.

1,100

113,241

Nippon

Telegraph

&

Telephone

Corp.

83,900

1,712,959

Nissan

Chemical

Corp.

3,000

159,930

Nisshin

Seifun

Group,

Inc.

8,600

136,492

Nissin

Foods

Holdings

Co.

Ltd.

7,100

667,030

Nitori

Holdings

Co.

Ltd.

2,100

435,649

Nitto

Denko

Corp.

12,800

833,904

Nomura

Research

Institute

Ltd.

20,761

611,297

Obayashi

Corp.

16,500

150,633

Obic

Co.

Ltd.

500

87,931

Omron

Corp.

12,600

985,145

Ono

Pharmaceutical

Co.

Ltd.

5,800

182,432

Oracle

Corp.

Japan

7,300

788,231

Osaka

Gas

Co.

Ltd.

75,500

1,469,916

Otsuka

Corp.

11,800

602,996

Otsuka

Holdings

Co.

Ltd.

12,600

533,803

PeptiDream

,

Inc.

*

1,800

84,472

Pola

Orbis

Holdings,

Inc.

6,700

126,331

Recruit

Holdings

Co.

Ltd.

13,300

528,214

Renesas

Electronics

Corp.

*

97,100

712,679

Resona

Holdings,

Inc.

24,100

82,105

Rinnai

Corp.

12,100

1,180,249

Ryohin

Keikaku

Co.

Ltd.

7,000

116,315

Secom

Co.

Ltd.

9,300

851,094

Seiko

Epson

Corp.

11,200

128,803

Sekisui

Chemical

Co.

Ltd.

20,500

327,903

Sekisui

House

Ltd.

5,600

99,236

Seven

&

i

Holdings

Co.

Ltd.

54,500

1,693,321

Shimamura

Co.

Ltd.

2,200

213,716

Shin-Etsu

Chemical

Co.

Ltd.

600

78,513

Shionogi

&

Co.

Ltd.

16,400

877,798

Shizuoka

Bank

Ltd.

(The)

76,700

529,702

SMC

Corp.

500

278,918

SoftBank

Corp.

148,800

1,662,742

Square

Enix

Holdings

Co.

Ltd.

2,000

132,363

Stanley

Electric

Co.

Ltd.

11,100

319,892

Sumitomo

Dainippon

Pharma

Co.

Ltd.

13,100

172,624

Sumitomo

Mitsui

Financial

Group,

Inc.

8,300

232,075

Sundrug

Co.

Ltd.

33,700

1,270,320

Suntory

Beverage

&

Food

Ltd.

38,600

1,449,562

Suzuken

Co.

Ltd.

2,800

106,803

Suzuki

Motor

Corp.

5,000

214,189

Sysmex

Corp.

11,500

1,100,343

T&D

Holdings,

Inc.

45,500

448,554

TIS,

Inc.

40,700

864,467

Toho

Gas

Co.

Ltd.

17,200

851,070

Tohoku

Electric

Power

Co.,

Inc.

5,900

59,130

Tokio

Marine

Holdings,

Inc.

6,400

280,029

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

22,200

61,054

Tokyo

Gas

Co.

Ltd.

33,400

762,205

Toray

Industries,

Inc.

16,200

74,115

Toyo

Suisan

Kaisha

Ltd.

37,000

1,953,830

Toyota

Motor

Corp.

3,800

252,206

Unicharm

Corp.

17,900

800,547

INVESTMENTS

SHARES

VALUE

($)

Japan

-

32.3%

(continued)

USS

Co.

Ltd.

26,800

479,543

Welcia

Holdings

Co.

Ltd.

2,200

96,701

Yamada

Holdings

Co.

Ltd.

84,200

419,900

66,590,809

—

Macau

-

0.5%

Galaxy

Entertainment

Group

Ltd.

88,000

594,942

Sands

China

Ltd.

118,400

458,943

1,053,885

—

Netherlands

-

1.6%

Adyen

NV

*(c)

138

254,539

Akzo

Nobel

NV

3,675

371,434

ASML

Holding

NV

2,274

839,954

Koninklijke

Ahold

Delhaize

NV

41,543

1,227,926

Randstad

NV

*

11,976

624,494

3,318,347

—

Norway

-

1.5%

Gjensidige

Forsikring

ASA

32,786

665,382

Mowi

ASA

26,986

480,132

Norsk

Hydro

ASA

*

35,780

98,761

Orkla

ASA

66,777

673,945

Telenor

ASA

58,817

987,466

Yara

International

ASA

2,554

98,277

3,003,963

—

Singapore

-

2.4%

DBS

Group

Holdings

Ltd.

64,400

946,767

Genting

Singapore

Ltd.

1,095,500

540,762

Jardine

Cycle

&

Carriage

Ltd.

4,500

59,731

Oversea-Chinese

Banking

Corp.

Ltd.

271,600

1,689,010

Singapore

Telecommunications

Ltd.

669,700

1,048,129

United

Overseas

Bank

Ltd.

55,000

774,796

5,059,195

—

Spain

-

1.5%

Endesa

SA

12,814

342,749

Iberdrola

SA

72,838

896,533

Industria

de

Diseno

Textil

SA

23,273

643,833

Mapfre

SA

116,563

182,871

Red

Electrica

Corp.

SA

54,683

1,025,600

3,091,586

—

Sweden

-

3.3%

Atlas

Copco

AB,

Class

A

8,423

401,599

Essity

AB,

Class

B

42,489

1,434,482

ICA

Gruppen

AB

8,002

406,516

Investor

AB,

Class

B

6,889

449,988

L

E

Lundbergforetagen

AB,

Class

B

*

10,068

497,451

Securitas

AB,

Class

B

*

32,184

491,994

Skandinaviska

Enskilda

Banken

AB,

Class

A

*

18,683

165,935

Skanska

AB,

Class

B

34,046

719,005

Swedish

Match

AB

10,408

851,027

Tele2

AB,

Class

B

22,824

321,794

Telia

Co.

AB

131,737

538,954

139

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

3.3%

(continued)

Volvo

AB,

Class

B

*

28,812

553,475

6,832,220

—

Switzerland

-

6.9%

Alcon,

Inc.

*

2,131

120,819

Chocoladefabriken

Lindt

&

Spruengli

AG

35

295,434

Coca-Cola

HBC

AG

16,132

398,345

Credit

Suisse

Group

AG

(Registered)

39,015

389,475

EMS-

Chemie

Holding

AG

(Registered)

590

530,095

Geberit

AG

(Registered)

400

236,650

Kuehne

+

Nagel

International

AG

(Registered)

4,123

800,577

LafargeHolcim

Ltd.

(Registered)

*

4,636

211,029

Logitech

International

SA

(Registered)

3,134

242,766

Nestle

SA

(Registered)

18,834

2,241,474

Novartis

AG

(Registered)

10,651

924,766

Pargesa

Holding

SA

803

66,384

Partners

Group

Holding

AG

250

229,951

Roche

Holding

AG

6,405

2,193,972

Schindler

Holding

AG

2,064

563,431

SGS

SA

(Registered)

469

1,256,844

Sika

AG

(Registered)

1,361

334,196

Sonova

Holding

AG

(Registered)

*

6,061

1,535,950

Swatch

Group

AG

(The)

414

96,497

Swiss

Life

Holding

AG

(Registered)

*

1,252

473,746

Swisscom

AG

(Registered)

1,350

715,173

UBS

Group

AG

(Registered)

24,188

270,250

Zurich

Insurance

Group

AG

603

210,275

14,338,099

—

United

Kingdom

-

6.1%

Admiral

Group

plc

18,946

638,959

Associated

British

Foods

plc

26,410

635,833

AstraZeneca

plc

6,746

737,098

Aviva

plc

105,018

388,539

Barclays

plc

334,592

422,108

Barratt

Developments

plc

19,650

120,508

Berkeley

Group

Holdings

plc

1,377

75,064

British

American

Tobacco

plc

7,976

286,110

Burberry

Group

plc

5,146

103,148

Diageo

plc

41,987

1,442,199

Direct

Line

Insurance

Group

plc

351,389

1,225,542

GlaxoSmithKline

plc

17,766

333,068

ITV

plc

71,466

62,301

J

Sainsbury

plc

169,635

417,664

Kingfisher

plc

97,639

373,997

Mondi

plc

24,674

521,722

National

Grid

plc

71,175

817,527

Next

plc

4,760

364,936

Ocado

Group

plc

*

4,578

161,921

Persimmon

plc

19,831

631,983

Reckitt

Benckiser

Group

plc

16,731

1,631,361

Sage

Group

plc

(The)

27,956

259,800

Smith

&

Nephew

plc

27,031

529,520

Tesco

plc

141,477

388,115

INVESTMENTS

SHARES

VALUE

($)

United

Kingdom

-

6.1%

(continued)

Wm

Morrison

Supermarkets

plc

26,109

57,308

12,626,331

—

United

States

-

0.4%

Ferguson

plc

3,146

316,584

QIAGEN

NV

*

8,456

439,418

756,002

—

TOTAL

COMMON

STOCKS

(Cost

$168,352,224)

194,251,502

SHORT-TERM

INVESTMENTS

-

4.6%

INVESTMENT

COMPANIES

-

4.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(e)

(Cost

$9,554,840)

9,555,327

9,553,416

SECURITIES

LENDING

COLLATERAL

-

1.3%

Investment

Companies

-

1.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(e)(f)

365,170

365,170

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(e)(f)

2,378,872

2,378,396

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$2,744,042)

2,743,566

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

100.0%

(Cost

$180,651,106)

206,548,484

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

0.0%

(a)(g)

(4,776)

NET

ASSETS

-

100.0%

206,543,708

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

20,361,665

9.9

%

Consumer

Discretionary

17,182,474

8.3

Consumer

Staples

42,366,622

20.5

Energy

1,708,873

0.8

Financials

22,761,572

11.0

Health

Care

28,009,279

13.6

Industrials

16,790,996

8.1

Information

Technology

14,089,374

6.8

Materials

8,598,161

4.2

Utilities

22,382,486

10.9

Short-Term

Investments

9,553,416

4.6

Securities

Lending

Collateral

2,743,566

1.3

Total

Investments

In

Securities

At

Value

206,548,484

100.0

Liabilities

in

Excess

of

Other

Assets

(g)

(4,776)

0.0(a

)

Net

Assets

$

206,543,708

100.0%

140

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$2,613,064.

(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

September

30,

2020

amounted

to

$4,848,554,

which

represents

approximately

2.35%

of

net

assets

of

the

fund.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$1,561,661

or

0.76%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

EAFE

E-Mini

Index

105

12/2020

USD

$

9,729,300

$

(232,730)

$

(232,730)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

1,194,822

$

1,194,822

141

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

93.1%

Brazil

-

0.7%

Atacadao

SA

(1)*

9,700

35,391

Engie

Brasil

Energia

SA

(1)

400

2,874

Telefonica

Brasil

SA,

ADR

(1)

2,443

18,738

57,003

—

Chile

-

0.3%

Empresas

CMPC

SA

(1)

8,042

16,903

Enel

Americas

SA

(1)

63,417

8,239

25,142

—

China

-

24.3%

Agricultural

Bank

of

China

Ltd.,

Class

H

140,000

43,926

Alibaba

Health

Information

Technology

Ltd.

*

2,000

4,918

Anhui

Conch

Cement

Co.

Ltd.,

Class

H

9,500

65,800

Bank

of

Beijing

Co.

Ltd.,

Class

A

6,117

4,229

Bank

of

China

Ltd.,

Class

H

134,000

41,677

Beijing

Enterprises

Holdings

Ltd.

8,000

24,117

China

CITIC

Bank

Corp.

Ltd.,

Class

H

17,000

6,588

China

Conch

Venture

Holdings

Ltd.

3,000

13,956

China

Construction

Bank

Corp.,

Class

H

166,000

107,862

China

Everbright

Bank

Co.

Ltd.,

Class

H

20,000

6,325

China

Galaxy

Securities

Co.

Ltd.,

Class

H

21,000

11,886

China

Gas

Holdings

Ltd.

1,800

5,151

China

Longyuan

Power

Group

Corp.

Ltd.,

Class

H

6,000

3,770

China

Medical

System

Holdings

Ltd.

8,000

8,852

China

Mengniu

Dairy

Co.

Ltd.

*

20,000

94,335

China

Merchants

Bank

Co.

Ltd.,

Class

H

11,000

52,200

China

Mobile

Ltd.

10,500

67,403

China

Resources

Beer

Holdings

Co.

Ltd.

8,000

49,135

China

Resources

Cement

Holdings

Ltd.

4,000

5,499

China

Resources

Gas

Group

Ltd.

24,000

107,758

China

Tower

Corp.

Ltd.,

Class

H

(a)

86,000

14,962

China

Traditional

Chinese

Medicine

Holdings

Co.

Ltd.

72,000

30,260

China

United

Network

Communications

Ltd.,

Class

A

52,800

37,904

Chongqing

Rural

Commercial

Bank

Co.

Ltd.,

Class

H

102,000

37,704

Country

Garden

Services

Holdings

Co.

Ltd.

4,000

25,978

CSPC

Pharmaceutical

Group

Ltd.

43,200

84,328

Dali

Foods

Group

Co.

Ltd.

(a)

69,500

42,565

ENN

Energy

Holdings

Ltd.

3,700

40,601

Fuyao

Glass

Industry

Group

Co.

Ltd.,

Class

H

(a)

2,000

7,371

GF

Securities

Co.

Ltd.,

Class

H

20,800

26,465

Guangdong

Investment

Ltd.

46,000

73,139

INVESTMENTS

SHARES

VALUE

($)

China

-

24.3%

(continued)

Hansoh

Pharmaceutical

Group

Co.

Ltd.

*(a)

26,000

127,080

Industrial

&

Commercial

Bank

of

China

Ltd.,

Class

H

144,000

75,009

Jiangsu

Expressway

Co.

Ltd.,

Class

H

18,000

18,171

Jiangsu

Hengrui

Medicine

Co.

Ltd.,

Class

A

4,360

57,950

Kingdee

International

Software

Group

Co.

Ltd.

*

19,000

49,558

Kweichow

Moutai

Co.

Ltd.,

Class

A

449

110,869

Luzhou

Laojiao

Co.

Ltd.,

Class

A

2,500

53,147

Shandong

Weigao

Group

Medical

Polymer

Co.

Ltd.,

Class

H

32,000

64,026

Shanghai

Pharmaceuticals

Holding

Co.

Ltd.,

Class

H

33,700

56,524

Sinotruk

Hong

Kong

Ltd.

2,000

5,154

Sun

Art

Retail

Group

Ltd.

8,000

8,882

Tencent

Holdings

Ltd.

1,800

121,579

Uni

-President

China

Holdings

Ltd.

12,000

11,005

Wuliangye

Yibin

Co.

Ltd.,

Class

A

3,700

121,108

Yihai

International

Holding

Ltd.

*

5,000

78,535

2,105,261

—

Hong

Kong

-

0.1%

Sino

Biopharmaceutical

Ltd.

4,500

4,928

India

-

9.9%

Ambuja

Cements

Ltd.

39,969

117,651

Asian

Paints

Ltd.

1,335

35,971

Cipla

Ltd.

2,193

23,046

Colgate-Palmolive

India

Ltd.

2,627

51,122

Dabur

India

Ltd.

10,278

71,244

Divi's

Laboratories

Ltd.

517

21,404

Dr

Reddy's

Laboratories

Ltd.

1,057

74,025

Eicher

Motors

Ltd.

(1)

300

8,957

HDFC

Asset

Management

Co.

Ltd.

(a)

1,409

43,513

Hindustan

Unilever

Ltd.

4,145

116,486

Infosys

Ltd.,

ADR

(1)

3,819

52,740

ITC

Ltd.

5,184

12,111

Nestle

India

Ltd.

192

41,435

Pidilite

Industries

Ltd.

1,018

19,813

Reliance

Industries

Ltd.,

GDR

(a)

389

23,624

Shree

Cement

Ltd.

162

44,633

Tata

Consultancy

Services

Ltd.

2,477

83,803

United

Spirits

Ltd.

*

2,261

15,825

857,403

—

Indonesia

-

0.6%

Bank

Central

Asia

Tbk

.

PT

12,200

22,270

Gudang

Garam

Tbk

.

PT

*

3,900

10,509

Hanjaya

Mandala

Sampoerna

Tbk

.

PT

175,600

16,608

49,387

—

Malaysia

-

7.6%

Hartalega

Holdings

Bhd.

25,600

100,267

Hong

Leong

Bank

Bhd.

1,400

5,080

IHH

Healthcare

Bhd.

50,800

63,738

MISC

Bhd.

7,300

13,208

142

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Malaysia

-

7.6%

(continued)

Nestle

Malaysia

Bhd.

3,700

125,969

Petronas

Gas

Bhd.

30,700

121,735

PPB

Group

Bhd.

24,900

114,008

Telekom

Malaysia

Bhd.

23,200

23,111

Tenaga

Nasional

Bhd.

18,200

46,054

Top

Glove

Corp.

Bhd.

15,300

30,677

Westports

Holdings

Bhd.

17,200

16,088

659,935

—

Mexico

-

3.2%

America

Movil

SAB

de

CV,

Class

L,

ADR

(1)

4,322

53,982

Arca

Continental

SAB

de

CV

(1)

16,300

70,599

Promotora

y

Operadora

de

Infraestructura

SAB

de

CV

(1)*

3,940

27,863

Wal-Mart

de

Mexico

SAB

de

CV

(1)

50,100

120,200

272,644

—

Poland

-

2.5%

CD

Projekt

SA

*

250

27,069

Cyfrowy

Polsat

SA

*

9,777

68,429

Dino

Polska

SA

*(a)

872

51,296

Orange

Polska

SA

*

13,850

24,512

Polski

Koncern

Naftowy

ORLEN

SA

2,271

26,952

Polskie

Gornictwo

Naftowe

i

Gazownictwo

SA

4,564

5,971

Powszechny

Zaklad

Ubezpieczen

SA

*

1,655

10,620

214,849

—

Russia

-

2.7%

Mobile

TeleSystems

PJSC,

ADR

(1)

3,212

28,041

PhosAgro

PJSC,

GDR

(b)

9,627

115,722

Polyus

PJSC,

GDR

(b)

242

25,495

Severstal

PAO,

GDR

(b)

5,294

67,214

236,472

—

Saudi

Arabia

-

6.1%

Advanced

Petrochemical

Co.

6,903

108,972

Al

Rajhi

Bank

6,875

120,501

Arab

National

Bank

1,255

6,811

Bupa

Arabia

for

Cooperative

Insurance

Co.

*

980

32,129

Jarir

Marketing

Co.

1,687

84,457

National

Commercial

Bank

2,230

22,152

Saudi

Arabian

Fertilizer

Co.

1,148

25,120

Saudi

Telecom

Co.

4,592

123,136

523,278

—

South

Africa

-

1.8%

Clicks

Group

Ltd.

3,942

52,187

Kumba

Iron

Ore

Ltd.

2,350

69,419

SPAR

Group

Ltd.

(The)

663

7,508

Tiger

Brands

Ltd.

1,754

19,938

Vodacom

Group

Ltd.

385

2,823

151,875

—

INVESTMENTS

SHARES

VALUE

($)

South

Korea

-

11.0%

Amorepacific

Corp.

321

44,751

Celltrion

,

Inc.

*

68

14,958

CJ

Logistics

Corp.

*

25

3,791

KMW

Co.

Ltd.

*

306

20,452

Korea

Zinc

Co.

Ltd.

40

12,910

KT&G

Corp.

1,266

89,407

LG

Household

&

Health

Care

Ltd.

56

69,107

LG

Uplus

Corp.

6,578

64,627

NAVER

Corp.

262

66,580

NCSoft

Corp.

109

75,116

Netmarble

Corp.

*(a)

180

25,466

Orion

Corp.

627

70,256

Pearl

Abyss

Corp.

*

168

28,931

POSCO

223

37,333

S-1

Corp.

98

7,348

Samsung

Biologics

Co.

Ltd.

*(a)

61

35,962

Samsung

Electronics

Co.

Ltd.

2,454

121,826

Samsung

SDS

Co.

Ltd.

216

31,270

SK

Telecom

Co.

Ltd.

300

60,984

Yuhan

Corp.

1,380

75,790

956,865

—

Taiwan

-

15.7%

Advantech

Co.

Ltd.

8,796

89,010

Cathay

Financial

Holding

Co.

Ltd.

90,000

120,487

Chang

Hwa

Commercial

Bank

Ltd.

125,020

75,248

Chicony

Electronics

Co.

Ltd.

21,000

61,306

China

Steel

Corp.

58,000

41,079

Chunghwa

Telecom

Co.

Ltd.

32,600

120,480

CTBC

Financial

Holding

Co.

Ltd.

28,000

17,889

First

Financial

Holding

Co.

Ltd.

56,852

40,571

Hon

Hai

Precision

Industry

Co.

Ltd.

12,000

32,262

Hua

Nan

Financial

Holdings

Co.

Ltd.

89,321

54,760

Mega

Financial

Holding

Co.

Ltd.

119,000

114,854

Micro-Star

International

Co.

Ltd.

2,000

9,233

Novatek

Microelectronics

Corp.

5,000

46,121

President

Chain

Store

Corp.

10,000

91,021

Standard

Foods

Corp.

24,000

50,629

Synnex

Technology

International

Corp.

59,000

84,543

Taiwan

Cooperative

Financial

Holding

Co.

Ltd.

175,595

118,876

Taiwan

Mobile

Co.

Ltd.

20,000

66,846

Taiwan

Semiconductor

Manufacturing

Co.

Ltd.,

ADR

(1)

1,543

125,092

1,360,307

—

Thailand

-

4.1%

Advanced

Info

Service

PCL,

NVDR

8,100

43,882

Airports

of

Thailand

PCL,

NVDR

44,200

79,194

Bangkok

Dusit

Medical

Services

PCL,

NVDR

150,400

92,271

Bangkok

Expressway

&

Metro

PCL,

NVDR

57,700

15,661

CP

ALL

PCL,

NVDR

*

3,300

6,291

Gulf

Energy

Development

PCL,

NVDR

19,100

18,432

143

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Thailand

-

4.1%

(continued)

Intouch

Holdings

PCL,

NVDR

61,700

100,151

355,882

—

Turkey

-

2.5%

Akbank

T.A.S.

*

32,008

21,084

Aselsan

Elektronik

Sanayi

ve

Ticaret

A/S

1,426

3,568

BIM

Birlesik

Magazalar

A/S

12,434

111,485

Eregli

Demir

ve

Celik

Fabrikalari

TAS

18,183

22,287

Haci

Omer

Sabanci

Holding

A/S

10,694

11,489

Turkcell

Iletisim

Hizmetleri

A/S

21,952

42,788

212,701

—

TOTAL

COMMON

STOCKS

(Cost

$6,557,756)

8,043,932

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.0%

(c)

India

-

0.0%

(c)

Britannia

Industries

Ltd.

8.00%,

8/28/2022

(Cost

$65)

INR

4,670

67

SHARES

SHORT-TERM

INVESTMENTS

-

5.5%

INVESTMENT

COMPANIES

-

5.5%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(d)

(Cost

$470,729)

470,787

470,693

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

98.6%

(Cost

$7,028,550)

8,514,692

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

1.4%

(e)

119,662

NET

ASSETS

-

100.0%

8,634,354

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,307,537

15.1

%

Consumer

Discretionary

100,785

1.2

Consumer

Staples

2,035,032

23.6

Energy

56,548

0.7

Financials

1,252,205

14.5

Health

Care

971,002

11.2

Industrials

229,981

2.7

Information

Technology

807,216

9.4

Materials

831,822

9.6

Utilities

451,871

5.2

Short-Term

Investments

470,693

5.4

Total

Investments

In

Securities

At

Value

8,514,692

98.6

Other

Assets

in

Excess

of

Liabilities

(e

)

119,662

1.4

Net

Assets

$

8,634,354

100.0%

*

Non-income

producing

security.

(a)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$371,839,

which

represents

approximately

4.31%

of

net

assets

of

the

fund.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$208,431

or

2.41%

of

net

assets.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(e)

Includes

appreciation/(depreciation)

on

futures

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

MSCI

Emerging

Markets

E-Mini

Index

9

12/2020

USD

$

489,825

$

(4,585)

$

(4,585)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

JPMS

Cash

$

–

$

93,873

$

93,873

144

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

86.9%

Australia

-

2.7%

Afterpay

Ltd.

*

12,618

743,763

ASX

Ltd.

891

52,093

BHP

Group

Ltd.

14,837

383,293

BHP

Group

plc

28,467

607,319

BlueScope

Steel

Ltd.

65,649

604,878

CIMIC

Group

Ltd.

*

7,876

105,497

Coles

Group

Ltd.

10,190

124,142

Dexus

,

REIT

14,068

90,104

Fortescue

Metals

Group

Ltd.

188,402

2,213,353

Glencore

plc

*

67,528

139,997

Goodman

Group,

REIT

25,367

328,438

GPT

Group

(The),

REIT

42,925

120,756

Lendlease

Corp.

Ltd.

2,927

23,382

Mirvac

Group,

REIT

95,677

149,983

Newcrest

Mining

Ltd.

5,012

113,652

Rio

Tinto

plc

23,370

1,406,232

Scentre

Group,

REIT

90,560

144,185

South32

Ltd.

506,691

751,958

Stockland,

REIT

49,658

135,657

Vicinity

Centres

,

REIT

97,628

97,492

8,336,174

—

Belgium

-

0.2%

Ageas

SA/NV

14,099

576,919

Canada

-

2.7%

Agnico

Eagle

Mines

Ltd.

(1)

7,196

573,335

Bank

of

Nova

Scotia

(The)

(1)

1,973

81,969

Barrick

Gold

Corp.

(1)

40,715

1,143,585

Canadian

Tire

Corp.

Ltd.,

Class

A

(1)

827

83,299

CGI,

Inc.

(1)*

7,276

493,864

Constellation

Software,

Inc.

(1)

723

803,404

Cronos

Group,

Inc.

(1)*(a)

15,326

77,001

Great-West

Lifeco

,

Inc.

(1)

1,345

26,283

Keyera

Corp.

(1)

7,698

116,203

Kinross

Gold

Corp.

(1)*

217,463

1,918,960

Manulife

Financial

Corp.

(1)(a)

37,628

523,353

Nutrien

Ltd.

(1)

2,200

86,262

Onex

Corp.

(1)

3,634

162,112

Open

Text

Corp.

(1)(a)

2,151

90,915

Pan

American

Silver

Corp.

(1)

2,564

82,434

Power

Corp.

of

Canada

(1)

7,139

139,879

RioCan

,

REIT

(1)

11,451

120,913

Shopify,

Inc.,

Class

A

(1)*(a)

488

499,046

Teck

Resources

Ltd.,

Class

B

(1)

73,883

1,028,719

Yamana

Gold,

Inc.

(1)

85,170

484,200

8,535,736

—

Chile

-

0.0%

(b)

Antofagasta

plc

9,912

130,811

China

-

0.4%

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,496,100

1,092,880

INVESTMENTS

SHARES

VALUE

($)

Denmark

-

0.7%

Danske

Bank

A/S

*

5,712

77,261

Pandora

A/S

29,131

2,101,446

2,178,707

—

Finland

-

0.7%

Kone

OYJ,

Class

B

8,037

705,677

Nokia

OYJ

*

111,021

434,520

Orion

OYJ,

Class

B

3,584

162,379

UPM-

Kymmene

OYJ

20,164

613,730

Wartsila

OYJ

Abp

24,823

194,938

2,111,244

—

France

-

2.4%

Atos

SE

*

12,977

1,042,781

BNP

Paribas

SA

*

9,012

326,005

Capgemini

SE

1,616

207,325

Carrefour

SA

9,245

147,727

Cie

de

Saint-Gobain

*

34,400

1,440,919

CNP

Assurances

*

18,729

234,885

Electricite

de

France

SA

78,908

833,542

Orange

SA

12,014

125,133

Peugeot

SA

*

94,910

1,721,141

Publicis

Groupe

SA

3,716

119,767

Sanofi

5,148

515,891

Schneider

Electric

SE

5,186

644,614

Societe

Generale

SA

*

5,908

78,422

Unibail

-

Rodamco

-Westfield,

REIT

2,005

73,944

7,512,096

—

Germany

-

2.2%

Bayer

AG

(Registered)

37,732

2,327,829

Bayerische

Motoren

Werke

AG

10,242

743,335

Brenntag

AG

2,350

149,417

Commerzbank

AG

*(a)

19,998

98,345

Deutsche

Post

AG

(Registered)

12,647

573,865

Fresenius

Medical

Care

AG

&

Co.

KGaA

11,198

946,642

Fresenius

SE

&

Co.

KGaA

1,365

62,072

HeidelbergCement

AG

5,655

345,554

HOCHTIEF

AG

8,754

679,569

KION

Group

AG

2,464

210,399

Knorr-

Bremse

AG

1,136

133,777

Porsche

Automobil

Holding

SE

(Preference)

*

865

51,461

Uniper

SE

4,410

142,351

Volkswagen

AG

(Preference)

2,915

469,056

6,933,672

—

Hong

Kong

-

1.2%

ASM

Pacific

Technology

Ltd.

11,900

121,822

CK

Asset

Holdings

Ltd.

187,500

921,326

CK

Infrastructure

Holdings

Ltd.

2,749

12,901

Henderson

Land

Development

Co.

Ltd.

35,000

129,959

Hong

Kong

Exchanges

&

Clearing

Ltd.

5,269

248,030

Kerry

Properties

Ltd.

140,500

361,343

Link,

REIT

18,329

150,195

Pacific

Century

Premium

Developments

Ltd.

*

2,095

552

145

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

1.2%

(continued)

PCCW

Ltd.

19,406

11,609

Power

Assets

Holdings

Ltd.

21,500

113,321

Sun

Hung

Kai

Properties

Ltd.

13,500

173,968

WH

Group

Ltd.

(c)

1,746,000

1,424,225

3,669,251

—

Italy

-

0.6%

Assicurazioni

Generali

SpA

44,826

631,797

DiaSorin

SpA

881

177,250

Poste

Italiane

SpA

(c)

34,381

304,677

UniCredit

SpA

*

104,645

864,601

1,978,325

—

Japan

-

5.7%

Aeon

Mall

Co.

Ltd.

700

9,840

Alfresa

Holdings

Corp.

4,700

102,943

Astellas

Pharma,

Inc.

55,500

827,316

Brother

Industries

Ltd.

17,400

276,789

Chubu

Electric

Power

Co.,

Inc.

10,700

130,149

Daito

Trust

Construction

Co.

Ltd.

486

43,081

Daiwa

House

Industry

Co.

Ltd.

2,451

62,862

Electric

Power

Development

Co.

Ltd.

10,800

166,582

FUJIFILM

Holdings

Corp.

2,500

123,230

Fujitsu

Ltd.

8,611

1,176,416

Hitachi

Ltd.

17,100

578,997

Hoya

Corp.

1,900

214,541

Hulic

Co.

Ltd.

1,500

14,075

ITOCHU

Corp.

9,000

230,453

Japan

Post

Insurance

Co.

Ltd.

19,000

299,161

Japan

Real

Estate

Investment

Corp.,

REIT

30

153,376

Japan

Retail

Fund

Investment

Corp.,

REIT

107

165,531

JGC

Holdings

Corp.

17,400

180,475

Kajima

Corp.

20,200

243,374

Kamigumi

Co.

Ltd.

13,700

269,963

KDDI

Corp.

4,400

110,667

Marubeni

Corp.

84,400

479,173

Mitsubishi

Corp.

8,800

210,631

Mitsubishi

Estate

Co.

Ltd.

5,764

87,311

Mitsui

Fudosan

Co.

Ltd.

4,598

80,013

Murata

Manufacturing

Co.

Ltd.

3,200

208,087

Nexon

Co.

Ltd.

10,200

254,426

NGK

Spark

Plug

Co.

Ltd.

16,000

279,365

Nikon

Corp.

22,100

149,123

Nintendo

Co.

Ltd.

3,100

1,756,744

Nippon

Building

Fund,

Inc.,

REIT

21

118,860

Nippon

Express

Co.

Ltd.

2,400

140,047

Nippon

Telegraph

&

Telephone

Corp.

28,692

585,795

Nitto

Denko

Corp.

2,300

149,842

Nomura

Holdings,

Inc.

18,800

85,915

Nomura

Real

Estate

Holdings,

Inc.

1,000

19,031

Nomura

Real

Estate

Master

Fund,

Inc.,

REIT

117

146,574

Nomura

Research

Institute

Ltd.

5,000

147,222

NTT

DOCOMO,

Inc.

5,300

194,754

Obayashi

Corp.

66,400

606,185

ORIX

Corp.

48,600

607,027

INVESTMENTS

SHARES

VALUE

($)

Japan

-

5.7%

(continued)

Otsuka

Corp.

5,700

291,278

Panasonic

Corp.

23,700

201,878

Resona

Holdings,

Inc.

114,800

391,104

Rohm

Co.

Ltd.

6,000

463,860

Ryohin

Keikaku

Co.

Ltd.

5,500

91,390

Sekisui

House

Ltd.

9,700

171,891

Shimizu

Corp.

47,800

359,846

Shinsei

Bank

Ltd.

55,400

684,039

Shionogi

&

Co.

Ltd.

5,600

299,736

Sony

Corp.

3,100

237,590

SUMCO

Corp.

15,000

211,636

Sumitomo

Corp.

22,500

271,226

Sumitomo

Dainippon

Pharma

Co.

Ltd.

8,300

109,372

Sumitomo

Electric

Industries

Ltd.

12,700

142,968

Sumitomo

Heavy

Industries

Ltd.

12,300

286,170

Sumitomo

Realty

&

Development

Co.

Ltd.

2,624

77,679

Suzuken

Co.

Ltd.

5,300

202,164

Taiheiyo

Cement

Corp.

14,300

365,129

Taisei

Corp.

14,400

487,398

Tokyo

Electron

Ltd.

700

182,878

Tokyu

Fudosan

Holdings

Corp.

2,900

12,527

Toshiba

Corp.

13,200

336,726

Tosoh

Corp.

9,100

147,748

17,712,179

—

Malta

-

0.0%

BGP

Holdings

plc

(3)*(d)

96,388

—

Netherlands

-

1.7%

ASML

Holding

NV

3,766

1,391,059

ING

Groep

NV

19,668

140,368

Koninklijke

Ahold

Delhaize

NV

117,909

3,485,147

Randstad

NV

*

2,133

111,226

Royal

Dutch

Shell

plc,

Class

B

22,741

275,781

5,403,581

—

Russia

-

0.1%

Evraz

plc

80,879

360,145

Singapore

-

0.0%

(b)

Singapore

Exchange

Ltd.

4,067

27,431

South

Africa

-

0.5%

Anglo

American

plc

70,066

1,695,149

Spain

-

0.8%

Banco

Bilbao

Vizcaya

Argentaria

SA

147,342

409,012

Enagas

SA

37,750

871,011

Endesa

SA

31,172

833,789

Naturgy

Energy

Group

SA

9,576

192,044

Red

Electrica

Corp.

SA

4,808

90,176

2,396,032

—

Sweden

-

0.4%

Autoliv

,

Inc.

(1)

2,033

148,165

Investor

AB,

Class

B

2,204

143,965

Kinnevik

AB,

Class

B

1,380

56,012

Sandvik

AB

*

8,966

175,333

Skanska

AB,

Class

B

7,160

151,209

146

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Sweden

-

0.4%

(continued)

SKF

AB,

Class

B

6,865

141,629

Svenska

Handelsbanken

AB,

Class

A

*(a)

28,993

242,578

Telefonaktiebolaget

LM

Ericsson,

Class

B

7,364

80,586

1,139,477

—

Switzerland

-

3.3%

Adecco

Group

AG

(Registered)

15,698

828,310

Credit

Suisse

Group

AG

(Registered)

75,524

753,934

Geberit

AG

(Registered)

271

160,330

Kuehne

+

Nagel

International

AG

(Registered)

458

88,931

LafargeHolcim

Ltd.

(Registered)

*

17,353

789,901

Logitech

International

SA

(Registered)

4,608

356,945

Novartis

AG

(Registered)

25,292

2,195,961

Roche

Holding

AG

11,632

3,984,433

Sonova

Holding

AG

(Registered)

*

1,862

471,859

STMicroelectronics

NV

25,488

781,717

10,412,321

—

United

Kingdom

-

3.0%

3i

Group

plc

9,545

122,571

Associated

British

Foods

plc

5,259

126,613

Aviva

plc

735,171

2,719,940

BAE

Systems

plc

65,607

407,453

Barclays

plc

162,110

204,511

Barratt

Developments

plc

36,333

222,820

Berkeley

Group

Holdings

plc

4,771

260,080

BT

Group

plc

937,013

1,186,841

CK

Hutchison

Holdings

Ltd.

273,500

1,657,343

Compass

Group

plc

14,170

212,859

Direct

Line

Insurance

Group

plc

102,015

355,799

Fiat

Chrysler

Automobiles

NV

*

7,049

86,526

GlaxoSmithKline

plc

6,378

119,572

GVC

Holdings

plc

14,522

181,877

Kingfisher

plc

103,776

397,504

M&G

plc

195,481

401,797

Mondi

plc

7,084

149,788

Persimmon

plc

11,731

373,848

Sage

Group

plc

(The)

27,597

256,464

9,444,206

—

United

States

-

57.6%

3M

Co.

(1)

3,202

512,896

AbbVie,

Inc.

(1)

11,751

1,029,270

Accenture

plc,

Class

A

(1)

412

93,108

Adobe,

Inc.

(1)*

2,843

1,394,292

Advanced

Micro

Devices,

Inc.

(1)*

1,028

84,286

Alexion

Pharmaceuticals,

Inc.

(1)*

20,042

2,293,406

Allstate

Corp.

(The)

(1)

32,156

3,027,166

Alphabet,

Inc.,

Class

A

(1)*

391

573,050

Alphabet,

Inc.,

Class

C

(1)*

1,829

2,687,898

Altria

Group,

Inc.

(1)

32,302

1,248,149

Amazon.com,

Inc.

(1)*

2,604

8,199,293

AMERCO

(1)

445

158,411

American

Financial

Group,

Inc.

(1)

1,235

82,720

American

Tower

Corp.,

REIT

(1)

4,396

1,062,645

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.6%

(continued)

AmerisourceBergen

Corp.

(1)

15,272

1,480,162

AMETEK,

Inc.

(1)

3,906

388,256

Anthem,

Inc.

(1)

5,618

1,508,939

Apple,

Inc.

(1)

103,411

11,976,028

Applied

Materials,

Inc.

(1)

26,492

1,574,949

Arrow

Electronics,

Inc.

(1)*

37,866

2,978,540

AT&T,

Inc.

(1)

3,137

89,436

Autodesk,

Inc.

(1)*

5,873

1,356,722

Automatic

Data

Processing,

Inc.

(1)

947

132,097

AutoZone,

Inc.

(1)*

1,120

1,318,957

AvalonBay

Communities,

Inc.,

REIT

(1)

811

121,115

Bank

of

New

York

Mellon

Corp.

(The)

(1)

37,736

1,295,854

Berkshire

Hathaway,

Inc.,

Class

B

(1)*

7,962

1,695,428

Best

Buy

Co.,

Inc.

(1)

25,988

2,892,205

Biogen,

Inc.

(1)*

11,766

3,337,779

Booz

Allen

Hamilton

Holding

Corp.

(1)

2,468

204,795

BorgWarner,

Inc.

(1)

2,489

96,424

Bristol-Myers

Squibb

Co.

(1)

9,640

581,196

Broadcom,

Inc.

(1)

3,974

1,447,808

Cadence

Design

Systems,

Inc.

(1)*

2,835

302,296

Cardinal

Health,

Inc.

(1)

30,987

1,454,840

CDK

Global,

Inc.

(1)

12,544

546,793

CDW

Corp.

(1)

11,400

1,362,642

Cigna

Corp.

(1)

1,072

181,608

Cisco

Systems,

Inc.

(1)

64,891

2,556,056

Citigroup,

Inc.

(1)

9,758

420,667

Citrix

Systems,

Inc.

(1)

3,468

477,578

Cognizant

Technology

Solutions

Corp.,

Class

A

(1)

15,469

1,073,858

Colgate-Palmolive

Co.

(1)

2,176

167,878

Crown

Castle

International

Corp.,

REIT

(1)

1,970

328,005

Crown

Holdings,

Inc.

(1)*

1,189

91,387

CSX

Corp.

(1)

2,895

224,855

CVS

Health

Corp.

(1)

15,579

909,814

Digital

Realty

Trust,

Inc.,

REIT

(1)

849

124,599

Dollar

General

Corp.

(1)

2,878

603,286

Domino's

Pizza,

Inc.

(1)

4,323

1,838,485

DuPont

de

Nemours,

Inc.

(1)

4,864

269,855

Eaton

Corp.

plc

(1)

988

100,806

eBay,

Inc.

(1)

23,260

1,211,846

Electronic

Arts,

Inc.

(1)*

10,130

1,321,053

Eli

Lilly

and

Co.

(1)

2,683

397,138

Equinix

,

Inc.,

REIT

(1)

222

168,749

Equity

Residential,

REIT

(1)

2,048

105,124

Facebook,

Inc.,

Class

A

(1)*

16,688

4,370,587

Fidelity

National

Financial,

Inc.

(1)

13,928

436,086

Ford

Motor

Co.

(1)

57,184

380,845

Fortinet,

Inc.

(1)*

2,840

334,580

Garmin

Ltd.

(1)

12,861

1,219,994

Gartner,

Inc.

(1)*

1,322

165,184

General

Dynamics

Corp.

(1)

1,888

261,356

General

Electric

Co.

(1)

226,113

1,408,684

General

Motors

Co.

(1)

18,641

551,587

Gilead

Sciences,

Inc.

(1)

24,674

1,559,150

147

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.6%

(continued)

Hartford

Financial

Services

Group,

Inc.

(The)

(1)

10,138

373,687

HD

Supply

Holdings,

Inc.

(1)*

7,920

326,621

Hologic

,

Inc.

(1)*

1,922

127,755

Home

Depot,

Inc.

(The)

(1)

13,682

3,799,628

HP,

Inc.

(1)

122,521

2,326,674

Humana,

Inc.

(1)

4,282

1,772,277

Huntington

Ingalls

Industries,

Inc.

(1)

8,062

1,134,727

Intel

Corp.

(1)

90,993

4,711,618

International

Business

Machines

Corp.

(1)

11,988

1,458,580

International

Paper

Co.

(1)

12,434

504,074

Intuit,

Inc.

(1)

2,735

892,184

Jazz

Pharmaceuticals

plc

(1)*

5,346

762,286

Johnson

&

Johnson

(1)

19,453

2,896,163

Johnson

Controls

International

plc

(1)

23,468

958,668

Kimberly-Clark

Corp.

(1)

4,511

666,094

Knight-Swift

Transportation

Holdings,

Inc.

(1)

1,846

75,132

Kroger

Co.

(The)

(1)

34,161

1,158,400

Lam

Research

Corp.

(1)

3,411

1,131,599

Leidos

Holdings,

Inc.

(1)

3,635

324,060

LKQ

Corp.

(1)*

37,814

1,048,582

Lockheed

Martin

Corp.

(1)

4,334

1,661,136

Lowe's

Cos.,

Inc.

(1)

25,029

4,151,310

LyondellBasell

Industries

NV,

Class

A

(1)

4,197

295,847

Mastercard

,

Inc.,

Class

A

(1)

5,565

1,881,916

Maxim

Integrated

Products,

Inc.

(1)

1,651

111,624

McDonald's

Corp.

(1)

458

100,526

McKesson

Corp.

(1)

16,698

2,486,833

Merck

&

Co.,

Inc.

(1)

36,344

3,014,735

MetLife,

Inc.

(1)

5,348

198,785

Micron

Technology,

Inc.

(1)*

32,570

1,529,487

Microsoft

Corp.

(1)

48,593

10,220,566

Mylan

NV

(1)*

41,787

619,701

Newmont

Corp.

(1)

38,543

2,445,553

Northrop

Grumman

Corp.

(1)

4,197

1,324,112

NortonLifeLock

,

Inc.

(1)

56,396

1,175,293

NRG

Energy,

Inc.

(1)

31,622

972,060

NVIDIA

Corp.

(1)

2,353

1,273,491

Omnicom

Group,

Inc.

(1)

8,208

406,296

Oracle

Corp.

(1)

32,981

1,968,966

O'Reilly

Automotive,

Inc.

(1)*

1,650

760,782

PACCAR,

Inc.

(1)

3,155

269,058

PayPal

Holdings,

Inc.

(1)*

1,059

208,655

Pentair

plc

(1)

5,991

274,208

People's

United

Financial,

Inc.

(1)

91,289

941,190

Pfizer,

Inc.

(1)

59,876

2,197,449

Philip

Morris

International,

Inc.

(1)

5,718

428,793

Procter

&

Gamble

Co.

(The)

(1)

17,694

2,459,289

Prologis,

Inc.,

REIT

(1)

2,980

299,848

Public

Storage,

REIT

(1)

2,484

553,236

PulteGroup,

Inc.

(1)

18,630

862,383

Qorvo

,

Inc.

(1)*

11,438

1,475,616

QUALCOMM,

Inc.

(1)

2,130

250,658

Raytheon

Technologies

Corp.

(1)

4,436

255,247

INVESTMENTS

SHARES

VALUE

($)

United

States

-

57.6%

(continued)

Regeneron

Pharmaceuticals,

Inc.

(1)*

148

82,847

Seagate

Technology

plc

(1)

23,888

1,176,962

Sensata

Technologies

Holding

plc

(1)*

1,924

83,001

Simon

Property

Group,

Inc.,

REIT

(1)

1,723

111,444

Skyworks

Solutions,

Inc.

(1)

8,571

1,247,081

SS&C

Technologies

Holdings,

Inc.

(1)

17,027

1,030,474

Steel

Dynamics,

Inc.

(1)

31,197

893,170

Synopsys,

Inc.

(1)*

732

156,633

Target

Corp.

(1)

10,437

1,642,993

Tesla,

Inc.

(1)*

3,604

1,546,152

Texas

Instruments,

Inc.

(1)

4,293

612,997

Tractor

Supply

Co.

(1)

9,122

1,307,547

Tyson

Foods,

Inc.,

Class

A

(1)

16,626

988,914

UnitedHealth

Group,

Inc.

(1)

4,482

1,397,353

Universal

Health

Services,

Inc.,

Class

B

(1)

5,188

555,220

VeriSign,

Inc.

(1)*

5,253

1,076,077

Verizon

Communications,

Inc.

(1)

2,144

127,547

Vertex

Pharmaceuticals,

Inc.

(1)*

2,844

773,909

Walgreens

Boots

Alliance,

Inc.

(1)

22,663

814,055

Walmart,

Inc.

(1)

4,076

570,273

Wayfair,

Inc.,

Class

A

(1)*

2,916

848,585

Wells

Fargo

&

Co.

(1)

23,355

549,076

Welltower

,

Inc.,

REIT

(1)

3,001

165,325

Western

Union

Co.

(The)

(1)(a)

17,553

376,161

Westrock

Co.

(1)

7,571

263,017

XPO

Logistics,

Inc.

(1)*

1,183

100,153

Yum!

Brands,

Inc.

(1)

16,980

1,550,274

Zebra

Technologies

Corp.,

Class

A

(1)*

485

122,443

Zoom

Video

Communications,

Inc.,

Class

A

(1)*

2,808

1,320,069

178,863,761

—

TOTAL

COMMON

STOCKS

(Cost

$220,555,603)

270,510,097

SHORT-TERM

INVESTMENTS

-

8.8%

INVESTMENT

COMPANIES

-

8.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.00%

(1)(e)(f)

4,595,881

4,595,881

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(e)

22,813,132

22,808,569

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$27,405,982)

27,404,450

148

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.4%

Investment

Companies

-

0.4%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(e)(g)

152,240

152,240

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(e)(g)

991,758

991,559

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$1,143,998)

1,143,799

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.1%

(Cost

$249,105,583)

299,058,346

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.9%

(h)

12,025,277

NET

ASSETS

-

100.0%

311,083,623

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

13,921,602

4.5

%

Consumer

Discretionary

44,259,311

14.2

Consumer

Staples

13,809,699

4.4

Energy

391,984

0.1

Financials

21,092,452

6.8

Health

Care

44,216,788

14.2

Industrials

23,272,313

7.5

Information

Technology

77,086,102

24.8

Materials

21,048,875

6.7

Real

Estate

7,053,046

2.3

Utilities

4,357,925

1.4

Short-Term

Investments

27,404,450

8.8

Securities

Lending

Collateral

1,143,799

0.4

Total

Investments

In

Securities

At

Value

299,058,346

96.1

Other

Assets

in

Excess

of

Liabilities

(h)

12,025,277

3.9

Net

Assets

$

311,083,623

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$1,263,226.

(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

September

30,

2020

amounted

to

$1,728,902,

which

represents

approximately

0.56%

of

net

assets

of

the

fund.

(d)

Security

fair

valued

as

of

September

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(e)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan;

additional

non-cash

collateral

of

$177,725

was

received.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

149

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

Total

return

swap

contracts

outstanding

as

of

September

30,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

10/29/2020

HKD

35,145,000

$

17,709

Swiss

Market

Index

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

12/18/2020

CHF

(6,823,280)

194,398

MSCI

France

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.37%)

Monthly

JPMC

12/16/2020

EUR

(131,034)

4,557

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.60%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

JPY

418,206,795

22,437

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

EUR

1,084,369

31,369

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(-0.20%)

Monthly

JPMC

12/16/2020

SGD

(135,666)

471

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.29%)

Monthly

JPMC

12/16/2020

EUR

(2,323,997)

95,252

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

JPMC

12/16/2020

CHF

(233,561)

3,587

369,780

150

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Tel

Aviv

Index

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

10/28/2020

ILS

1,831,424

$

(639)

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

USD

26,292

(68)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

EUR

621,465

(19,889)

(20,596)

$

349,184

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

24

10/2020

EUR

$

3,081,649

$

(45,328)

Hang

Seng

Index

119

10/2020

HKD

17,988,078

106,248

OMXS30

Index

196

10/2020

SEK

4,007,716

22,169

DAX

Index

44

12/2020

EUR

16,481,013

(384,103)

FTSE/MIB

Index

95

12/2020

EUR

10,561,869

(485,007)

S&P/TSX

60

Index

40

12/2020

CAD

5,776,726

(19,435)

TOPIX

Index

118

12/2020

JPY

18,186,981

352,155

(453,301)

Short

Contracts

CAC

40

10

Euro

Index

(51)

10/2020

EUR

(2,870,756)

121,638

IBEX

35

Index

(123)

10/2020

EUR

(9,706,001)

438,915

MSCI

Singapore

Index

(1)

10/2020

SGD

(20,710)

235

FTSE

100

Index

(60)

12/2020

GBP

(4,522,548)

162,664

S&P

500

E-Mini

Index

(8)

12/2020

USD

(1,340,800)

(6,711)

SPI

200

Index

(208)

12/2020

AUD

(21,609,548)

356,414

1,073,155

$

619,854

151

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

Forward

foreign

currency

contracts

outstanding

as

of

September

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

DKK

130,500

USD

20,491

CITG

12/16/2020

$

93

DKK

130,500

USD

20,491

JPMC

12/16/2020

93

EUR

3,288,500

USD

3,851,820

CITG

12/16/2020

10,573

EUR

3,288,500

USD

3,851,825

JPMC

12/16/2020

10,568

GBP

97,000

USD

124,168

CITG

12/16/2020

1,059

GBP

97,000

USD

124,168

JPMC

12/16/2020

1,059

HKD

1,397,000

USD

180,139

CITG

12/16/2020

65

HKD

1,397,000

USD

180,139

JPMC

12/16/2020

65

ILS

10,500

USD

3,036

CITG

12/16/2020

33

ILS

10,500

USD

3,036

JPMC

12/16/2020

33

JPY

1,037,829,001

USD

9,800,573

CITG

12/16/2020

50,476

JPY

1,037,828,999

USD

9,800,585

JPMC

12/16/2020

50,463

NZD

10,374,500

USD

6,813,364

CITG

12/16/2020

49,419

NZD

10,374,500

USD

6,813,373

JPMC

12/16/2020

49,411

SEK

13,492,000

USD

1,495,841

CITG

12/16/2020

12,146

SEK

13,492,000

USD

1,495,843

JPMC

12/16/2020

12,144

SGD

28,000

USD

20,483

CITG

12/16/2020

31

SGD

28,000

USD

20,483

JPMC

12/16/2020

31

USD

1,988,299

AUD

2,719,000

CITG

12/16/2020

40,407

USD

1,988,296

AUD

2,719,000

JPMC

12/16/2020

40,404

USD

23,281,267

CAD

30,562,006

CITG

12/16/2020

320,959

USD

23,281,230

CAD

30,561,996

JPMC

12/16/2020

320,930

USD

843,737

CHF

770,000

CITG

12/16/2020

5,764

USD

843,736

CHF

770,000

JPMC

12/16/2020

5,763

USD

318,744

DKK

1,988,500

CITG

12/16/2020

5,095

USD

318,744

DKK

1,988,500

JPMC

12/16/2020

5,094

USD

4,095,438

EUR

3,437,500

CITG

12/16/2020

58,043

USD

4,095,433

EUR

3,437,500

JPMC

12/16/2020

58,038

USD

3,537,890

GBP

2,719,000

CITG

12/16/2020

27,660

USD

3,537,885

GBP

2,719,000

JPMC

12/16/2020

27,657

USD

28,110

ILS

95,500

CITG

12/16/2020

199

USD

28,110

ILS

95,500

JPMC

12/16/2020

199

USD

13,693,436

NOK

121,500,994

CITG

12/16/2020

664,580

USD

13,693,420

NOK

121,501,005

JPMC

12/16/2020

664,562

USD

1,059,249

NZD

1,579,250

CITG

12/16/2020

14,568

USD

1,059,249

NZD

1,579,252

JPMC

12/16/2020

14,566

USD

2,995,281

SEK

26,263,500

CITG

12/16/2020

59,835

USD

2,995,277

SEK

26,263,500

JPMC

12/16/2020

59,831

USD

37,411

SGD

51,000

CITG

12/16/2020

46

USD

37,411

SGD

51,000

JPMC

12/16/2020

46

Total

unrealized

appreciation

2,642,008

AUD

34,804,500

USD

25,295,339

CITG

12/16/2020

(361,394)

AUD

34,804,500

USD

25,295,371

JPMC

12/16/2020

(361,427)

CAD

987,000

USD

753,779

CITG

12/16/2020

(12,276)

CAD

987,000

USD

753,780

JPMC

12/16/2020

(12,276)

CHF

731,000

USD

805,995

CITG

12/16/2020

(10,465)

CHF

731,000

USD

805,996

JPMC

12/16/2020

(10,465)

DKK

2,510,500

USD

399,152

CITG

12/16/2020

(3,167)

DKK

2,510,500

USD

399,153

JPMC

12/16/2020

(3,167)

EUR

20,810,504

USD

24,727,616

CITG

12/16/2020

(285,369)

EUR

20,810,496

USD

24,727,638

JPMC

12/16/2020

(285,397)

GBP

7,975,492

USD

10,498,680

CITG

12/16/2020

(202,319)

GBP

7,975,505

USD

10,498,710

JPMC

12/16/2020

(202,334)

ILS

1,041,499

USD

306,540

CITG

12/16/2020

(2,159)

ILS

1,041,500

USD

306,541

JPMC

12/16/2020

(2,159)

152

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

GLOBAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NOK

64,494,500

USD

7,167,818

CITG

12/16/2020

$

(251,910)

NOK

64,494,500

USD

7,167,827

JPMC

12/16/2020

(251,921)

NZD

6,996,498

USD

4,650,390

CITG

12/16/2020

(22,171)

NZD

6,996,502

USD

4,650,398

JPMC

12/16/2020

(22,177)

SEK

5,660,500

USD

646,995

CITG

12/16/2020

(14,326)

SEK

5,660,499

USD

646,995

JPMC

12/16/2020

(14,327)

SGD

7,000

USD

5,151

CITG

12/16/2020

(22)

SGD

7,000

USD

5,151

JPMC

12/16/2020

(22)

USD

3,030,014

CAD

4,057,500

CITG

12/16/2020

(18,263)

USD

3,030,010

CAD

4,057,500

JPMC

12/16/2020

(18,267)

USD

11,602,939

GBP

9,028,994

CITG

12/16/2020

(53,491)

USD

11,602,940

GBP

9,029,006

JPMC

12/16/2020

(53,507)

USD

1,287,557

HKD

9,982,500

CITG

12/16/2020

(121)

USD

1,287,555

HKD

9,982,500

JPMC

12/16/2020

(123)

USD

16,942

ILS

58,500

CITG

12/16/2020

(155)

USD

16,942

ILS

58,500

JPMC

12/16/2020

(155)

USD

9,471,718

JPY

1,002,533,501

CITG

12/16/2020

(44,307)

USD

9,471,706

JPY

1,002,533,499

JPMC

12/16/2020

(44,319)

USD

3,706,966

NOK

35,042,000

CITG

12/16/2020

(50,676)

USD

3,706,962

NOK

35,042,000

JPMC

12/16/2020

(50,680)

USD

664,576

NZD

1,015,248

CITG

12/16/2020

(7,016)

USD

664,576

NZD

1,015,249

JPMC

12/16/2020

(7,017)

USD

44,953

SGD

61,500

CITG

12/16/2020

(106)

USD

44,953

SGD

61,500

JPMC

12/16/2020

(106)

Total

unrealized

depreciation

(2,679,559)

Net

unrealized

depreciation

$

(37,551)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

10,961,847

$

10,961,847

CITG

Cash

(100,000)

–

(100,000)

Investment

Companies

1,665,846

–

1,665,846

JPMC

Investment

Companies

2,930,035

–

2,930,035

153

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

COMMON

STOCKS

-

85.5%

Australia

-

7.7%

Afterpay

Ltd.

*

7,367

434,245

Ampol

Ltd.

2,475

42,715

ASX

Ltd.

1,526

89,219

Aurizon

Holdings

Ltd.

82,923

255,102

BHP

Group

Ltd.

23,855

616,261

BHP

Group

plc

43,558

929,273

BlueScope

Steel

Ltd.

78,345

721,857

CIMIC

Group

Ltd.

*

7,539

100,983

Coles

Group

Ltd.

58,989

718,650

CSL

Ltd.

779

160,916

Dexus

,

REIT

15,281

97,874

Fortescue

Metals

Group

Ltd.

77,880

914,937

Glencore

plc

*

86,027

178,349

Goodman

Group,

REIT

31,460

407,326

GPT

Group

(The),

REIT

36,710

103,272

Lendlease

Corp.

Ltd.

7,936

63,396

Mirvac

Group,

REIT

69,318

108,663

Rio

Tinto

Ltd.

3,088

210,915

Rio

Tinto

plc

22,269

1,339,980

Scentre

Group,

REIT

41,655

66,321

Sonic

Healthcare

Ltd.

3,151

74,827

South32

Ltd.

574,095

851,989

Stockland,

REIT

30,469

83,236

Suncorp

Group

Ltd.

8,918

54,440

Vicinity

Centres

,

REIT

43,855

43,794

8,668,540

—

Belgium

-

1.2%

Ageas

SA/NV

8,558

350,185

Colruyt

SA

*

2,703

175,416

Groupe

Bruxelles

Lambert

SA

853

76,900

KBC

Group

NV

2,723

136,548

Proximus

SADP

7,103

129,580

Solvay

SA

2,496

214,737

UCB

SA

2,845

323,117

1,406,483

—

Chile

-

0.1%

Antofagasta

plc

7,852

103,625

China

-

0.7%

Yangzijiang

Shipbuilding

Holdings

Ltd.

1,006,880

735,512

Denmark

-

2.2%

Coloplast

A/S,

Class

B

2,723

431,566

Danske

Bank

A/S

*

5,540

74,935

Novo

Nordisk

A/S,

Class

B

13,474

933,541

Pandora

A/S

13,768

993,192

2,433,234

—

Finland

-

1.3%

Kone

OYJ,

Class

B

3,999

351,126

Nokia

OYJ

*

72,373

283,258

Orion

OYJ,

Class

B

7,210

326,661

Stora

Enso

OYJ,

Class

R

(a)

11,816

184,945

UPM-

Kymmene

OYJ

6,759

205,723

Wartsila

OYJ

Abp

19,099

149,987

1,501,700

—

INVESTMENTS

SHARES

VALUE

($)

France

-

8.0%

Arkema

SA

1,388

147,162

Atos

SE

*

15,378

1,235,716

BNP

Paribas

SA

*

9,124

330,057

Bouygues

SA

6,313

218,154

Capgemini

SE

3,567

457,630

Carrefour

SA

14,349

229,284

Cie

de

Saint-Gobain

*

24,145

1,011,366

CNP

Assurances

*

4,912

61,603

Credit

Agricole

SA

*

10,568

92,205

Dassault

Aviation

SA

*(a)

43

36,273

Electricite

de

France

SA

35,583

375,880

Engie

SA

*

2,102

28,090

Hermes

International

196

168,806

Ingenico

Group

SA

*

534

82,734

Ipsen

SA

1,798

187,952

La

Francaise

des

Jeux

SAEM

(b)

2,893

106,134

Legrand

SA

382

30,426

Orange

SA

56,248

585,854

Peugeot

SA

*

49,405

895,933

Publicis

Groupe

SA

6,204

199,955

Sanofi

13,726

1,375,507

Schneider

Electric

SE

5,422

673,949

SEB

SA

595

96,789

Societe

Generale

SA

*

7,606

100,961

Thales

SA

2,990

224,094

Unibail

-

Rodamco

-Westfield,

REIT

2,476

91,314

9,043,828

—

Germany

-

7.9%

Allianz

SE

(Registered)

771

147,978

Bayer

AG

(Registered)

25,638

1,581,705

Bayerische

Motoren

Werke

AG

9,499

689,410

Brenntag

AG

7,901

502,360

Deutsche

Boerse

AG

1,518

266,136

Deutsche

Post

AG

(Registered)

8,942

405,748

Deutsche

Wohnen

SE

3,297

164,782

Fresenius

Medical

Care

AG

&

Co.

KGaA

15,867

1,341,345

Fresenius

SE

&

Co.

KGaA

4,053

184,307

GEA

Group

AG

8,494

297,614

HeidelbergCement

AG

3,957

241,796

HOCHTIEF

AG

6,847

531,530

KION

Group

AG

5,737

489,878

Knorr-

Bremse

AG

2,601

306,298

LANXESS

AG

2,115

121,012

Porsche

Automobil

Holding

SE

(Preference)

*

1,278

76,031

SAP

SE

3,331

518,697

Uniper

SE

10,072

325,115

Volkswagen

AG

(Preference)

1,621

260,837

Vonovia

SE

4,674

320,417

Zalando

SE

*(b)

1,279

119,497

8,892,493

—

Hong

Kong

-

2.6%

ASM

Pacific

Technology

Ltd.

4,169

42,679

CK

Asset

Holdings

Ltd.

60,216

295,885

CK

Infrastructure

Holdings

Ltd.

11,797

55,361

Hong

Kong

Exchanges

&

Clearing

Ltd.

9,829

462,685

154

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Hong

Kong

-

2.6%

(continued)

Kerry

Properties

Ltd.

275,277

707,968

Link,

REIT

33,339

273,193

Pacific

Century

Premium

Developments

Ltd.

*

6,912

1,823

PCCW

Ltd.

42,350

25,335

Sun

Hung

Kai

Properties

Ltd.

8,602

110,850

WH

Group

Ltd.

(b)

1,218,235

993,722

2,969,501

—

Italy

-

1.7%

Assicurazioni

Generali

SpA

20,852

293,897

DiaSorin

SpA

3,249

653,673

Poste

Italiane

SpA

(b)

20,086

177,998

Prysmian

SpA

7,877

228,651

UniCredit

SpA

*

75,280

621,980

1,976,199

—

Japan

-

21.1%

Advantest

Corp.

1,852

90,082

Alfresa

Holdings

Corp.

12,440

272,471

Astellas

Pharma,

Inc.

44,269

659,900

Benesse

Holdings,

Inc.

1,257

32,354

Brother

Industries

Ltd.

47,975

763,157

Calbee

,

Inc.

5,955

196,146

Daicel

Corp.

18,462

133,066

Daito

Trust

Construction

Co.

Ltd.

520

46,095

Daiwa

House

Industry

Co.

Ltd.

5,555

142,471

Electric

Power

Development

Co.

Ltd.

10,719

165,333

ENEOS

Holdings,

Inc.

27,329

97,506

FUJIFILM

Holdings

Corp.

8,073

397,933

Fujitsu

Ltd.

8,602

1,175,186

Hitachi

Ltd.

21,638

732,651

Hoya

Corp.

3,772

425,920

Hulic

Co.

Ltd.

5,293

49,665

Isuzu

Motors

Ltd.

3,904

34,143

ITOCHU

Corp.

7,874

201,620

Japan

Post

Insurance

Co.

Ltd.

23,756

374,045

Japan

Real

Estate

Investment

Corp.,

REIT

17

86,913

Japan

Retail

Fund

Investment

Corp.,

REIT

48

74,257

Japan

Tobacco,

Inc.

3,110

56,738

JGC

Holdings

Corp.

33,549

347,974

Kajima

Corp.

2,779

33,482

Kamigumi

Co.

Ltd.

18,395

362,480

KDDI

Corp.

1,191

29,956

Koito

Manufacturing

Co.

Ltd.

9,198

469,334

Kurita

Water

Industries

Ltd.

1,125

37,202

Lion

Corp.

13,830

283,917

Marubeni

Corp.

47,908

271,993

Mebuki

Financial

Group,

Inc.

133,403

302,718

Medipal

Holdings

Corp.

9,264

185,764

Mitsubishi

Corp.

11,712

280,331

Mitsubishi

Estate

Co.

Ltd.

8,284

125,483

Mitsubishi

Gas

Chemical

Co.,

Inc.

27,461

510,870

Mitsui

Fudosan

Co.

Ltd.

6,356

110,605

MS&AD

Insurance

Group

Holdings,

Inc.

1,058

28,506

Murata

Manufacturing

Co.

Ltd.

3,970

258,158

INVESTMENTS

SHARES

VALUE

($)

Japan

-

21.1%

(continued)

Nexon

Co.

Ltd.

16,807

419,230

NGK

Spark

Plug

Co.

Ltd.

13,763

240,306

Nikon

Corp.

10,719

72,328

Nintendo

Co.

Ltd.

3,043

1,724,442

Nippon

Building

Fund,

Inc.,

REIT

23

130,180

Nippon

Express

Co.

Ltd.

1,654

96,516

Nitto

Denko

Corp.

4,433

288,804

Nomura

Real

Estate

Holdings,

Inc.

2,581

49,120

NTT

DOCOMO,

Inc.

8,801

323,403

Obayashi

Corp.

86,223

787,155

Olympus

Corp.

25,145

522,909

Ono

Pharmaceutical

Co.

Ltd.

1,455

45,765

ORIX

Corp.

23,292

290,923

Otsuka

Corp.

4,698

240,074

Panasonic

Corp.

15,616

133,018

Pola

Orbis

Holdings,

Inc.

12,308

232,071

Resona

Holdings,

Inc.

122,816

418,413

Rinnai

Corp.

860

83,885

Rohm

Co.

Ltd.

13,301

1,028,301

Ryohin

Keikaku

Co.

Ltd.

2,316

38,484

Sekisui

House

Ltd.

12,837

227,481

Shimamura

Co.

Ltd.

4,367

424,226

Shimizu

Corp.

78,547

591,314

Shinsei

Bank

Ltd.

68,025

839,924

Shionogi

&

Co.

Ltd.

8,007

428,569

Square

Enix

Holdings

Co.

Ltd.

529

35,010

SUMCO

Corp.

44,467

627,389

Sumitomo

Corp.

4,102

49,448

Sumitomo

Electric

Industries

Ltd.

2,713

30,541

Sumitomo

Heavy

Industries

Ltd.

13,499

314,066

Sumitomo

Realty

&

Development

Co.

Ltd.

3,746

110,893

Sumitomo

Rubber

Industries

Ltd.

15,219

141,371

Suzuken

Co.

Ltd.

7,080

270,060

Sysmex

Corp.

3,110

297,571

Taiheiyo

Cement

Corp.

16,742

427,482

Taisei

Corp.

17,271

584,573

Taisho

Pharmaceutical

Holdings

Co.

Ltd.

926

60,983

Teijin

Ltd.

5,955

92,353

Tokyo

Electric

Power

Co.

Holdings,

Inc.

*

11,580

31,847

Tokyo

Electron

Ltd.

1,787

466,862

Tokyu

Fudosan

Holdings

Corp.

8,525

36,826

Toshiba

Corp.

12,705

324,099

Tosoh

Corp.

5,426

88,097

Toyoda

Gosei

Co.

Ltd.

4,499

103,302

Toyota

Tsusho

Corp.

2,184

61,428

Yokohama

Rubber

Co.

Ltd.

(The)

3,639

51,803

23,729,270

—

Jordan

-

0.1%

Hikma

Pharmaceuticals

plc

2,269

76,051

Macau

-

0.1%

SJM

Holdings

Ltd.

78,745

93,349

Malta

-

0.0%

BGP

Holdings

plc

(3)*(c)

143,427

—

155

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

Netherlands

-

4.6%

Adyen

NV

*(b)

25

46,112

ASML

Holding

NV

4,970

1,835,784

ING

Groep

NV

37,338

266,476

Koninklijke

Ahold

Delhaize

NV

47,972

1,417,953

Koninklijke

Philips

NV

*

14,072

664,468

Royal

Dutch

Shell

plc,

Class

A

7,880

98,369

Royal

Dutch

Shell

plc,

Class

B

31,735

384,852

Wolters

Kluwer

NV

6,019

513,436

5,227,450

—

Russia

-

0.2%

Evraz

plc

53,742

239,307

Singapore

-

0.5%

Ascendas

,

REIT

54,022

129,271

CapitaLand

Commercial

Trust,

REIT

61,209

74,219

CapitaLand

Mall

Trust,

REIT

25,472

36,253

Singapore

Exchange

Ltd.

16,921

114,127

Venture

Corp.

Ltd.

17,271

245,231

599,101

—

South

Africa

-

1.0%

Anglo

American

plc

47,237

1,142,833

Spain

-

2.5%

Banco

Bilbao

Vizcaya

Argentaria

SA

12,625

35,046

Enagas

SA

30,194

696,670

Endesa

SA

41,899

1,120,714

Industria

de

Diseno

Textil

SA

8,060

222,975

Naturgy

Energy

Group

SA

16,178

324,445

Red

Electrica

Corp.

SA

20,754

389,249

Repsol

SA

8,958

60,517

2,849,616

—

Sweden

-

3.4%

Atlas

Copco

AB,

Class

B

4,289

178,997

Essity

AB,

Class

B

16,442

555,103

Evolution

Gaming

Group

AB

(b)

2,601

171,856

Husqvarna

AB,

Class

B

24,512

269,538

Investor

AB,

Class

B

3,864

252,396

Sandvik

AB

*

34,958

683,615

Skanska

AB,

Class

B

5,809

122,678

SKF

AB,

Class

B

20,004

412,694

Svenska

Handelsbanken

AB,

Class

A

*(a)

36,912

308,834

Swedish

Match

AB

3,750

306,625

Telefonaktiebolaget

LM

Ericsson,

Class

B

56,858

622,211

3,884,547

—

Switzerland

-

10.3%

Adecco

Group

AG

(Registered)

14,525

766,417

Coca-Cola

HBC

AG

6,493

160,331

Credit

Suisse

Group

AG

(Registered)

21,699

216,615

LafargeHolcim

Ltd.

(Registered)

*

16,486

750,436

Logitech

International

SA

(Registered)

8,476

656,569

Nestle

SA

(Registered)

13,960

1,661,408

INVESTMENTS

SHARES

VALUE

($)

Switzerland

-

10.3%

(continued)

Novartis

AG

(Registered)

29,449

2,556,888

Roche

Holding

AG

8,343

2,857,815

SGS

SA

(Registered)

102

273,344

Sonova

Holding

AG

(Registered)

*

4,065

1,030,133

STMicroelectronics

NV

19,744

605,549

UBS

Group

AG

(Registered)

3,686

41,183

11,576,688

—

United

Arab

Emirates

-

0.0%

NMC

Health

plc

(3)*(c)

5,443

—

United

Kingdom

-

8.3%

3i

Group

plc

7,980

102,474

Associated

British

Foods

plc

4,976

119,800

Aviva

plc

350,555

1,296,960

BAE

Systems

plc

96,116

596,930

Berkeley

Group

Holdings

plc

6,292

342,994

British

American

Tobacco

plc

10,663

382,496

BT

Group

plc

735,746

931,912

CK

Hutchison

Holdings

Ltd.

181,974

1,102,718

Compass

Group

plc

26,562

399,008

Direct

Line

Insurance

Group

plc

42,484

148,172

Fiat

Chrysler

Automobiles

NV

*

14,421

177,017

GlaxoSmithKline

plc

9,466

177,464

GVC

Holdings

plc

36,275

454,317

Kingfisher

plc

194,463

744,872

London

Stock

Exchange

Group

plc

2,475

283,924

M&G

plc

303,066

622,931

Persimmon

plc

9,538

303,961

RELX

plc

7,952

176,996

RSA

Insurance

Group

plc

21,170

123,608

Sage

Group

plc

(The)

45,432

422,208

Standard

Chartered

plc

12,837

59,071

Unilever

NV

7,680

466,386

9,436,219

—

TOTAL

COMMON

STOCKS

(Cost

$83,800,373)

96,585,546

SHORT-TERM

INVESTMENTS

-

9.5%

INVESTMENT

COMPANIES

-

9.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.00%

(1)(d)(e)

4,004,363

4,004,363

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(d)

6,784,984

6,783,627

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$10,787,990)

10,787,990

156

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

SHARES

VALUE

($)

SECURITIES

LENDING

COLLATERAL

-

0.3%

Investment

Companies

-

0.3%

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

Citibank

NA

BlackRock

Liquidity

Funds

T-Fund

Portfolio,

Institutional

Shares

0.04%

(1)(d)(f)

39,858

39,858

Limited

Purpose

Cash

Investment

Fund

0.12%

(1)(d)(f)

259,652

259,600

TOTAL

SECURITIES

LENDING

COLLATERAL

(Cost

$299,510)

299,458

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

95.3%

(Cost

$94,887,873)

107,672,994

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

4.7%

(g)

5,351,579

NET

ASSETS

-

100.0%

113,024,573

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

4,404,675

3.9

%

Consumer

Discretionary

8,669,095

7.7

Consumer

Staples

7,956,046

7.0

Energy

683,959

0.6

Financials

9,464,074

8.4

Health

Care

18,107,850

16.0

Industrials

15,720,555

13.9

Information

Technology

13,268,416

11.8

Materials

10,655,808

9.4

Real

Estate

4,142,364

3.7

Utilities

3,512,704

3.1

Short-Term

Investments

10,787,990

9.5

Securities

Lending

Collateral

299,458

0.3

Total

Investments

In

Securities

At

Value

107,672,994

95.3

Other

Assets

in

Excess

of

Liabilities

(g

)

5,351,579

4.7

Net

Assets

$

113,024,573

100.0%

*

Non-income

producing

security.

(a)

The

security

or

a

portion

of

this

security

is

on

loan

at

September

30,

2020.

The

total

value

of

securities

on

loan

at

September

30,

2020

was

$285,100.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$1,615,319,

which

represents

approximately

1.43%

of

net

assets

of

the

fund.

(c)

Security

fair

valued

as

of

September

30,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$0,

which

represents

approximately

0.00%

of

net

assets

of

the

fund.

(d)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(f)

Represents

security

purchased

with

the

cash

collateral

received

for

securities

on

loan.

(g)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

(3)

Level

3

security

(See

Note

4).

Total

return

swap

contracts

outstanding

as

of

September

30,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Hang

Seng

Index

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

10/29/2020

HKD

36,316,500

$

16,092

Swiss

Market

Index

December

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

12/18/2020

CHF

(8,554,560)

201,386

MSCI

Australia

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BBR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

JPMC

12/16/2020

AUD

(135,563)

1,144

157

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

USD

402

$

–

MSCI

Spain

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.29%)

Monthly

JPMC

12/16/2020

EUR

(684,081)

27,668

246,290

Tel

Aviv

Index

October

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

10/28/2020

ILS

2,223,872

(776)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

EUR

1,597,598

(51,128)

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SOR

plus

or

minus

a

specified

spread

(-0.20%)

Monthly

JPMC

12/16/2020

SGD

(28,700)

(171)

MSCI

Sweden

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.54%)

Monthly

JPMC

12/16/2020

SEK

(131,814)

(393)

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.13%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

12/18/2020

GBP

603,853

(11,116)

(63,584)

$

182,706

158

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

3

10/2020

EUR

$

385,206

$

(250)

Hang

Seng

Index

42

10/2020

HKD

6,348,733

32,202

DAX

Index

20

12/2020

EUR

7,491,369

(87,599)

FTSE/MIB

Index

24

12/2020

EUR

2,668,262

(119,932)

TOPIX

Index

76

12/2020

JPY

11,713,650

286,181

110,602

Short

Contracts

CAC

40

10

Euro

Index

(39)

10/2020

EUR

(2,195,284)

(16,193)

IBEX

35

Index

(24)

10/2020

EUR

(1,893,854)

80,647

MSCI

Singapore

Index

(6)

10/2020

SGD

(124,259)

450

OMXS30

Index

(79)

10/2020

SEK

(1,615,355)

(11,617)

SPI

200

Index

(55)

12/2020

AUD

(5,714,063)

102,445

155,732

$

266,334

Forward

foreign

currency

contracts

outstanding

as

of

September

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

DKK

31,000

USD

4,868

CITG

12/16/2020

$

22

DKK

31,000

USD

4,868

JPMC

12/16/2020

22

GBP

11,000

USD

14,178

CITG

12/16/2020

23

GBP

11,000

USD

14,179

JPMC

12/16/2020

22

HKD

2,154,000

USD

277,763

CITG

12/16/2020

88

HKD

2,154,000

USD

277,763

JPMC

12/16/2020

88

JPY

338,448,000

USD

3,200,783

CITG

12/16/2020

11,758

JPY

338,448,000

USD

3,200,787

JPMC

12/16/2020

11,753

NZD

2,909,500

USD

1,908,332

CITG

12/16/2020

16,317

NZD

2,909,500

USD

1,908,334

JPMC

12/16/2020

16,314

SGD

40,000

USD

29,190

CITG

12/16/2020

116

SGD

40,000

USD

29,190

JPMC

12/16/2020

116

USD

4,572,786

AUD

6,287,499

CITG

12/16/2020

68,423

USD

4,572,782

AUD

6,287,501

JPMC

12/16/2020

68,416

USD

5,133,176

CHF

4,658,400

CITG

12/16/2020

63,551

USD

5,133,169

CHF

4,658,400

JPMC

12/16/2020

63,545

USD

470,031

DKK

2,952,000

CITG

12/16/2020

4,407

USD

470,030

DKK

2,952,000

JPMC

12/16/2020

4,406

USD

4,892,705

EUR

4,156,500

CITG

12/16/2020

10,834

USD

4,892,699

EUR

4,156,500

JPMC

12/16/2020

10,827

USD

9,385,092

GBP

7,161,349

CITG

12/16/2020

139,791

USD

9,385,083

GBP

7,161,351

JPMC

12/16/2020

139,778

USD

76,193

ILS

258,500

CITG

12/16/2020

647

USD

76,193

ILS

258,500

JPMC

12/16/2020

647

USD

19,916

JPY

2,090,500

CITG

12/16/2020

73

USD

19,916

JPY

2,090,500

JPMC

12/16/2020

73

USD

31,782

NZD

48,000

CITG

12/16/2020

30

USD

31,782

NZD

48,000

JPMC

12/16/2020

29

USD

3,103,534

SEK

27,182,500

CITG

12/16/2020

65,372

USD

3,103,530

SEK

27,182,500

JPMC

12/16/2020

65,369

159

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

INTERNATIONAL

EQUITY

FUND

Schedule

of

Investments

September

30,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

81,401

SGD

111,000

CITG

12/16/2020

$

77

USD

81,401

SGD

111,000

JPMC

12/16/2020

77

Total

unrealized

appreciation

763,011

AUD

19,819,548

USD

14,406,111

CITG

12/16/2020

(207,387)

AUD

19,819,552

USD

14,406,131

JPMC

12/16/2020

(207,401)

CHF

1,303,500

USD

1,428,831

CITG

12/16/2020

(10,263)

CHF

1,303,500

USD

1,428,833

JPMC

12/16/2020

(10,266)

DKK

4,376,000

USD

696,707

CITG

12/16/2020

(6,473)

DKK

4,376,000

USD

696,708

JPMC

12/16/2020

(6,474)

EUR

14,759,696

USD

17,533,911

CITG

12/16/2020

(198,426)

EUR

14,759,704

USD

17,533,942

JPMC

12/16/2020

(198,448)

GBP

6,125,999

USD

8,019,358

CITG

12/16/2020

(110,690)

GBP

6,126,001

USD

8,019,371

JPMC

12/16/2020

(110,702)

ILS

2,013,500

USD

592,657

CITG

12/16/2020

(4,204)

ILS

2,013,500

USD

592,658

JPMC

12/16/2020

(4,204)

JPY

330,088,000

USD

3,136,409

CITG

12/16/2020

(3,222)

JPY

330,088,000

USD

3,136,413

JPMC

12/16/2020

(3,226)

NZD

1,701,000

USD

1,133,894

CITG

12/16/2020

(8,674)

NZD

1,701,000

USD

1,133,895

JPMC

12/16/2020

(8,675)

SEK

11,776,500

USD

1,334,573

CITG

12/16/2020

(18,325)

SEK

11,776,500

USD

1,334,575

JPMC

12/16/2020

(18,327)

SGD

27,500

USD

20,216

CITG

12/16/2020

(69)

SGD

27,500

USD

20,216

JPMC

12/16/2020

(69)

USD

1,618,867

AUD

2,286,000

CITG

12/16/2020

(18,824)

USD

1,618,865

AUD

2,286,000

JPMC

12/16/2020

(18,825)

USD

28,059

DKK

179,000

CITG

12/16/2020

(176)

USD

28,059

DKK

179,000

JPMC

12/16/2020

(176)

USD

1,698,800

EUR

1,456,000

CITG

12/16/2020

(11,294)

USD

1,698,798

EUR

1,456,000

JPMC

12/16/2020

(11,296)

USD

4,146,929

GBP

3,240,000

CITG

12/16/2020

(35,911)

USD

4,146,924

GBP

3,240,000

JPMC

12/16/2020

(35,915)

USD

498,100

HKD

3,862,000

CITG

12/16/2020

(73)

USD

498,099

HKD

3,862,000

JPMC

12/16/2020

(74)

USD

183,956

ILS

635,000

CITG

12/16/2020

(1,628)

USD

183,956

ILS

635,000

JPMC

12/16/2020

(1,628)

USD

10,034,099

JPY

1,062,775,600

CITG

12/16/2020

(53,743)

USD

10,034,086

JPY

1,062,775,600

JPMC

12/16/2020

(53,755)

USD

42,243

SGD

57,850

CITG

12/16/2020

(140)

USD

42,243

SGD

57,850

JPMC

12/16/2020

(140)

Total

unrealized

depreciation

(1,379,123)

Net

unrealized

depreciation

$

(616,112)

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED

TOTAL

BARC

Cash

$

–

$

3,366,155

$

3,366,155

CITG

Investment

Companies

490,017

–

490,017

GSIN

Cash

130,000

–

130,000

JPMC

Investment

Companies

3,514,346

–

3,514,346

160

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

ADR

-

American

Depositary

Receipt

GDR

-

Global

Depositary

Receipt

NVDR

-

Non-Voting

Depositary

Receipt

OYJ

-

Public

Traded

Company

PJSC

-

Public

Joint

Stock

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

Currencies

AUD

-

Australian

Dollar

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

ILS

-

Israeli

Shekel

JPY

-

Japanese

Yen

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

USD

-

United

States

Dollar

The

following

abbreviations

are

used

for

counterparty

descriptions:

BARC

-

Barclays

Capital,

Inc.

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

1

Month

London

Interbank

Offered

Rate

(“LIBOR”):

0.15%

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.09%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.53%

Singapore

Swap

Offered

Rate

(“SOR”):

0.12%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

-0.05%

Statements

of

Assets

and

Liabilities

161

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

822,912,682

$

237,887,805

$

224,697,947

$

172,463,893

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

1,089,629,280

$

267,809,590

$

243,024,728

$

223,455,308

Cash

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

—

—

—

41,583

Cash

denominated

in

foreign

currencies

‡

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

—

—

549,475

1,388,042

Deposits

with

brokers

for

futures

contracts

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

4,183,606

1,122,547

1,245,855

1,175,480

Variation

margin

on

futures

contracts

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

290,398

—

63,887

43,351

Receivables:

Foreign

tax

reclaims

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

—

—

1,437,514

3,164

Dividends

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

788,628

184,437

945,991

256,869

Capital

shares

sold

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

3,014,156

709,530

452,544

2,136,965

Prepaid

expenses

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

56,284

28,300

31,044

26,141

Total

Assets

1,097,962,352

269,854,404

247,751,038

228,526,903

LIABILITIES:

Variation

margin

on

futures

contracts

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

—

22,619

—

—

Payables:

–

–

–

–

Securities

purchased

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

—

—

—

54,566

Collateral

received

on

securities

loaned

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

3,621,292

11,494,623

1,709,905

14,515

Accrued

investment

advisory

fees

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

238,109

86,350

65,923

79,978

Accrued

distribution

fees—Class

N

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

2,161

1,122

853

691

Capital

shares

redeemed

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

775,310

209,135

144,157

92,534

Other

accrued

expenses

and

liabilities

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

143,631

53,082

56,458

196,213

Total

Liabilities

4,780,503

11,866,931

1,977,296

438,497

Net

Assets

$

1,093,181,849

$

257,987,473

$

245,773,742

$

228,088,406

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

740,338,501

$

269,767,167

$

245,931,459

$

212,609,850

Total

distributable

earnings

(loss)

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

352,843,348

(11,779,694)

(157,717)

15,478,556

Net

Assets

$

1,093,181,849

$

257,987,473

$

245,773,742

$

228,088,406

NET

ASSETS:

Class

I

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

$

218,608,750

$

39,049,453

$

49,672,514

$

44,057,154

Class

N

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

10,681,542

5,421,509

4,146,603

3,346,952

Class

R6

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

863,891,557

213,516,511

191,954,62

5

180,684,300

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

12,397,274

3,161,294

4,646,854

4,306,921

Class

N

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

602,833

440,172

389,023

327,236

Class

R6

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

49,015,867

17,263,343

17,983,584

17,633,709

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

17.63

$

12.35

$

10.69

$

10.23

Class

N

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

$

17.72

$

12.32

$

10.66

$

10.23

Class

R6

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

$

17.62

$

12.37

$

10.67

$

10.25

*

Includes

market

value

of

securities

out

on

loan

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

$

3,546,819

$

12,685,946

$

1,628,500

$

13,785

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

—

$

545,954

$

1,352,597

Statements

of

Assets

and

Liabilities

162

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

191,497,520

$

16,888,975

$

166,362,168

$

253,284,526

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

276,156,933

$

18,611,871

$

191,783,561

$

337,744,650

Cash

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

—

—

—

60,458

Cash

denominated

in

foreign

currencies

‡

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

—

—

484,855

2,086,394

Deposits

with

brokers

for

futures

contracts

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

910,628

82,928

688,279

1,291,087

Variation

margin

on

futures

contracts

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

63,155

—

35,430

357,929

Receivables:

Foreign

tax

reclaims

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

—

—

700,725

5,241

Dividends

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

202,578

13,476

777,344

447,484

Capital

shares

sold

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

986,200

194,607

106,181

6,390

Due

from

Investment

Adviser

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

—

572

—

—

Prepaid

expenses

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

23,295

15,530

25,147

19,676

Total

Assets

278,342,789

18,918,984

194,601,522

342,019,309

LIABILITIES:

Variation

margin

on

futures

contracts

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

—

15,527

—

—

Payables:

–

–

–

–

Collateral

received

on

securities

loaned

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

319,493

734,675

2,470,839

—

Accrued

investment

advisory

fees

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

57,616

—

59,910

139,009

Accrued

distribution

fees—Class

N

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

404

650

253

178

Capital

shares

redeemed

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

112,881

22,252

102,264

196,122

Other

accrued

expenses

and

liabilities

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

54,372

22,136

46,922

115,470

Total

Liabilities

544,766

795,240

2,680,188

450,779

Net

Assets

$

277,798,023

$

18,123,744

$

191,921,334

$

341,568,530

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

198,480,146

$

17,318,266

$

177,651,768

$

277,207,694

Total

distributable

earnings

(loss)

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

79,317,877

805,478

14,269,566

64,360,836

Net

Assets

$

277,798,023

$

18,123,744

$

191,921,334

$

341,568,530

NET

ASSETS:

Class

I

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

$

81,992,006

$

12,759,336

$

25,718,092

$

19,270,808

Class

N

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

2,004,935

3,163,125

1,225,513

866,935

Class

R6

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

193,801,082

2,201,283

164,977,729

321,430,787

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

5,696,598

1,217,441

2,497,480

1,823,270

Class

N

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

139,337

302,348

119,278

81,779

Class

R6

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

13,446,015

209,598

15,989,800

30,383,517

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

14.39

$

10.48

$

10.30

$

10.57

Class

N

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

$

14.39

$

10.46

$

10.27

$

10.60

Class

R6

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

$

14.41

$

10.50

$

10.32

$

10.58

*

Includes

market

value

of

securities

out

on

loan

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

$

312,970

$

770,676

$

2,353,087

$

—

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

—

$

483,176

$

2,051,070

Statements

of

Assets

and

Liabilities

163

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

539,143,813

$

174,136,691

$

339,208,116

$

145,463,030

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

782,056,724

$

215,336,739

$

430,513,488

$

263,581,081

Cash

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

—

—

2,684

—

Cash

denominated

in

foreign

currencies

‡

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

405

—

872,416

—

Deposits

with

brokers

for

futures

contracts

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

1,465,508

536,142

1,480,563

804,261

Variation

margin

on

futures

contracts

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

102,324

—

75,558

55,904

Receivables:

Foreign

tax

reclaims

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

—

—

1,236,966

—

Dividends

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

190,244

110,799

914,853

52,492

Capital

shares

sold

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

244,288

105,573

134,448

278,359

Prepaid

expenses

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

40,066

27,686

31,003

23,883

Total

Assets

784,099,559

216,116,939

435,261,979

264,795,980

LIABILITIES:

Variation

margin

on

futures

contracts

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

—

10,295

—

—

Payables:

–

–

–

–

Collateral

received

on

securities

loaned

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

2,846,570

8,859,206

3,220,422

1,244,245

Accrued

investment

advisory

fees

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

149,203

62,514

122,633

42,404

Accrued

distribution

fees—Class

N

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

9,515

770

12,337

1,187

Capital

shares

redeemed

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

1,559,862

314,263

441,198

620,718

Other

accrued

expenses

and

liabilities

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

210,613

69,595

117,510

66,035

Total

Liabilities

4,775,763

9,316,643

3,914,100

1,974,589

Net

Assets

$

779,323,796

$

206,800,296

$

431,347,879

$

262,821,391

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

431,785,524

$

156,767,034

$

367,088,098

$

139,321,619

Total

distributable

earnings

(loss)

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

347,538,272

50,033,262

64,259,781

123,499,772

Net

Assets

$

779,323,796

$

206,800,296

$

431,347,879

$

262,821,391

NET

ASSETS:

Class

I

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

$

616,262,643

$

160,585,983

$

256,066,580

$

151,208,778

Class

N

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

46,796,850

3,761,316

60,332,540

5,839,225

Class

R6

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

116,264,303

42,452,997

114,948,759

105,773,388

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

25,183,797

8,249,096

15,819,338

5,335,272

Class

N

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

1,912,932

193,339

3,737,181

206,996

Class

R6

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

4,765,416

2,187,452

7,111,272

3,736,222

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

24.47

$

19.47

$

16.19

$

28.34

Class

N

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

$

24.46

$

19.45

$

16.14

$

28.21

Class

R6

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

$

24.40

$

19.41

$

16.16

$

28.31

*

Includes

market

value

of

securities

out

on

loan

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

$

9,675,374

$

8,540,860

$

3,276,198

$

5,290,359

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

420

$

—

$

874,273

$

—

Statements

of

Assets

and

Liabilities

164

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

...........

$

41,080,754

$

83,675,945

$

4,502,109,517

$

180,651,106

Investments

in

securities

of

affiliated

issuers,

at

cost

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

—

—

276,317,542

—

Investments

in

securities

of

unaffiliated

issuers,

at

value*

..........

$

51,549,621

$

108,328,185

$

5,802,381,782

$

206,548,484

Investments

in

securities

of

affiliated

issuers,

at

value

*

...........

—

—

276,279,734

—

Cash

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

—

516

—

—

Cash

denominated

in

foreign

currencies

‡

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

—

149,987

—

518,313

Deposits

with

brokers

for

futures

contracts

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

159,591

383,347

18,756,420

914,776

Variation

margin

on

futures

contracts

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

—

19,623

1,300,315

47,316

Receivables:

Foreign

tax

reclaims

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

—

401,930

—

485,972

Dividends

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

25,722

212,374

5,855,195

757,670

Capital

shares

sold

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

143,549

166,138

4,190,810

326,467

Prepaid

expenses

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

19,253

21,507

165,983

50,673

Total

Assets

51,897,736

109,683,607

6,108,930,239

209,649,671

LIABILITIES:

Variation

margin

on

futures

contracts

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

3,094

—

—

—

Payables:

–

–

–

–

Collateral

received

on

securities

loaned

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

4,635,655

287,708

12,016,046

2,743,566

Accrued

investment

advisory

fees

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

4,649

21,326

1,779,177

50,522

Accrued

distribution

fees—Class

N

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

547

583

96,361

1,960

Capital

shares

redeemed

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

20,374

31,924

4,822,067

237,329

Other

accrued

expenses

and

liabilities

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

31,163

43,282

1,199,653

72,586

Total

Liabilities

4,695,482

384,823

19,913,304

3,105,963

Net

Assets

$

47,202,254

$

109,298,784

$

6,089,016,935

$

206,543,708

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

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

$

35,726,695

$

105,286,801

$

4,824,322,851

$

186,137,464

Total

distributable

earnings

(loss)

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

11,475,559

4,011,983

1,264,694,084

20,406,244

Net

Assets

$

47,202,254

$

109,298,784

$

6,089,016,935

$

206,543,708

NET

ASSETS:

Class

I

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

$

42,661,825

$

58,275,761

$

4,248,841,118

$

131,283,423

Class

N

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

2,697,737

2,860,580

463,059,469

9,540,499

Class

R6

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

1,842,692

48,162,443

1,377,116,348

65,719,786

SHARES

OUTSTANDING:

–

–

–

–

Class

I

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

2,132,935

4,106,404

170,746,021

9,957,462

Class

N

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

136,014

202,784

18,663,666

700,109

Class

R6

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

92,148

3,402,835

55,378,100

4,986,241

NET

ASSET

VALUE:

–

–

–

–

Class

I

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

$

20.00

$

14.19

$

24.88

$

13.18

Class

N

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

$

19.83

$

14.11

$

24.81

$

13.63

Class

R6

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

$

20.00

$

14.15

$

24.87

$

13.18

*

Includes

market

value

of

securities

out

on

loan

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

$

5,216,124

$

685,558

$

31,452,436

$

2,613,064

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

—

$

150,010

$

—

$

516,910

Statements

of

Assets

and

Liabilities

165

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

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

$

7,028,550

$

249,105,583

$

94,887,873

Investments

in

securities

of

unaffiliated

issuers,

at

value*

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

$

8,514,692

$

299,058,346

$

107,672,994

Cash

denominated

in

foreign

currencies

‡

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

26,598

511,767

215,757

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

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

—

2,642,008

763,011

Unrealized

appreciation

on

OTC

swaps

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

—

369,780

246,290

Due

from

broker

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

—

5,679

148,490

Deposits

with

brokers

for

futures

contracts

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

49,110

11,388,818

3,734,165

Variation

margin

on

futures

contracts

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

40,178

192,883

—

Receivables:

Securities

sold

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

—

104,829,353

9,361,945

Foreign

tax

reclaims

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

2,805

615,904

2,180,123

Dividends

and

interest

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

15,523

552,974

351,047

Capital

shares

sold

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

—

52,852

11,047

Due

from

Investment

Adviser

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

9,146

—

—

Prepaid

expenses

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

27,284

33,168

13,232

Total

Assets

8,685,336

420,253,532

124,698,101

LIABILITIES:

Due

to

broker

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

1,886

241,099

313,367

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

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

—

2,679,559

1,379,123

Unrealized

depreciation

on

OTC

swaps

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

—

20,596

63,584

Variation

margin

on

futures

contracts

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

—

—

101,676

Payables:

–

–

–

Securities

purchased

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

—

104,857,200

9,352,380

Collateral

received

on

securities

loaned

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

—

1,143,799

299,458

Accrued

investment

advisory

fees

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

—

143,071

73,100

Accrued

distribution

fees—Class

N

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

72

1,053

1,095

Capital

shares

redeemed

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

—

18,667

13,697

Other

accrued

expenses

and

liabilities

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

49,024

64,865

76,048

Total

Liabilities

50,982

109,169,909

11,673,528

Net

Assets

$

8,634,354

$

311,083,623

$

113,024,573

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

..........

$

9,326,312

$

282,870,298

$

126,350,314

Total

distributable

earnings

(loss)

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

(691,958)

28,213,325

(13,325,741)

Net

Assets

$

8,634,354

$

311,083,623

$

113,024,573

NET

ASSETS:

Class

I

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

$

2,679,156

$

15,876,148

$

68,120,782

Class

N

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

165,356

5,125,397

5,238,018

Class

R6

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

5,789,842

290,082,078

39,665,773

SHARES

OUTSTANDING:

–

–

–

Class

I

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

310,708

1,844,523

7,366,557

Class

N

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

18,703

601,865

552,521

Class

R6

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

673,368

33,446,503

4,002,124

NET

ASSET

VALUE:

–

–

–

Class

I

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

$

8.62

$

8.61

$

9.25

Class

N

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

$

8.84

$

8.52

$

9.48

Class

R6

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

$

8.60

$

8.67

$

9.91

*

Includes

market

value

of

securities

out

on

loan

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

$

—

$

1,263,226

$

285,100

‡

Cash

denominated

in

foreign

currencies,

at

cost

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

$

26,800

$

509,934

$

214,161

Statements

of

Operations

166

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

21,633,110

$

4,563,121

$

6,443,413

$

5,149,217

Securities

lending

income,

net

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

136,838

356,947

12,947

665

Total

Income

21,769,948

4,920,068

6,456,360

5,149,882

EXPENSES:

Investment

advisory

fees

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

3,405,823

1,935,493

1,065,701

1,260,804

Custody

fees

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

26,920

29,254

45,741

157,125

Administration

&

accounting

fees

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

267,430

88,087

54,895

48,785

Legal

fees

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

41,442

15,927

8,674

7,747

Audit

&

tax

fees

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

45,912

48,997

59,888

87,831

Shareholder

reporting

fees

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

68,981

84,391

34,517

35,562

Transfer

agent

fees

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

302,541

69,027

70,316

66,555

Trustee

fees

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

66,828

23,147

14,660

12,784

Distribution

fees—Class

N

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

47,867

14,790

10,254

9,257

Interest

expense

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

42,938

19,545

12,641

7,726

Interfund

lending

expense

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

6,821

1,489

1,079

1,767

Recoupment

of

waiver

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

28,346

—

—

—

Registration

fees

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

88,481

63,149

60,144

56,986

Other

expenses

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

28,204

11,657

5,377

8,650

Total

Expenses

4,468,534

2,404,953

1,443,887

1,761,579

Less

expense

reimbursements

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

(91,592)

(186,633)

(179,534)

(321,294)

Net

Expenses

4,376,942

2,218,320

1,264,353

1,440,285

Net

Investment

Income

(Loss)

17,393,006

2,701,748

5,192,007

3,709,597

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

(net

of

deferred

capital

gain

country

tax

accruals

of

$–,

$–,

$–

and

$47,870

)

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

103,356,559

(18,471,377)

1,722,215

(4,387,059)

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

47,320

(268,611)

Expiration

or

closing

of

futures

contracts

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

(993,965)

(12,284,339)

(333,166)

(187,669)

Net

realized

gain

(loss)

102,362,594

(30,755,716)

1,436,369

(4,843,339)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

u

naffiliated

issuers

(net

change

in

deferred

capital

gain

country

t

ax

accruals

of

$—,

$—,

$—

and

$

112,118)

.

(17,008,579)

(22,921,795)

(4,551,885)

21,668,808

Foreign

currency

and

foreign

currency

transactions

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

—

—

115,254

48,579

Futures

contracts

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

524,340

82,915

(138,959)

110,586

Net

change

in

unrealized

appreciation

(depreciation)

(16,484,239)

(22,838,880)

(4,575,590)

21,827,973

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

85,878,355

(53,594,596)

(3,139,221)

16,984,634

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

103,271,361

$

(50,892,848)

$

2,052,786

$

20,694,231

________________

†

Net

of

foreign

taxes

withheld

of

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

$

21,340

$

7,120

$

549,112

$

596,494

Statements

of

Operations

167

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

5,473,115

$

243,302

$

5,237,191

$

8,328,241

Securities

lending

income,

net

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

26,163

13,796

11,099

645

Total

Income

5,499,278

257,098

5,248,290

8,328,886

EXPENSES:

Investment

advisory

fees

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

873,355

103,479

856,926

2,040,050

Custody

fees

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

18,319

14,579

42,515

203,123

Administration

&

accounting

fees

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

66,459

4,724

43,278

77,367

Legal

fees

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

10,461

2,221

6,603

12,290

Audit

&

tax

fees

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

44,367

48,789

55,436

111,349

Shareholder

reporting

fees

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

24,285

5,234

22,731

26,402

Transfer

agent

fees

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

108,382

36,518

48,334

51,959

Trustee

fees

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

17,044

2,085

11,415

19,873

Distribution

fees—Class

N

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

3,530

8,171

2,771

1,722

Interest

expense

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

10,266

731

6,793

12,167

Interfund

lending

expense

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

594

79

—

1,599

Recoupment

of

waiver

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

89

—

—

—

Registration

fees

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

61,815

52,626

59,713

57,959

Other

expenses

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

6,045

494

3,741

14,382

Total

Expenses

1,245,011

279,730

1,160,256

2,630,242

Less

expense

reimbursements

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

(124,344)

(133,705)

(170,306)

(369,716)

Net

Expenses

1,120,667

146,025

989,950

2,260,526

Net

Investment

Income

(Loss)

4,378,611

111,073

4,258,340

6,068,360

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

(7,688,115)

(370,434)

(7,324,914)

(11,431,521)

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

(80,590)

(453,166)

Expiration

or

closing

of

futures

contracts

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

(706,374)

(12,956)

(788,407)

849,466

Net

realized

gain

(loss)

(8,394,489)

(383,390)

(8,193,911)

(11,035,221)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

27,102,559

(707,331)

6,806,248

37,014,770

Foreign

currency

and

foreign

currency

transactions

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

—

—

56,395

51,661

Futures

contracts

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

111,009

9,866

(174,098)

149,537

Net

change

in

unrealized

appreciation

(depreciation)

27,213,568

(697,465)

6,688,545

37,215,968

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

18,819,079

(1,080,855)

(1,505,366)

26,180,747

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

23,197,690

$

(969,782)

$

2,752,974

$

32,249,107

________________

†

Net

of

foreign

taxes

withheld

of

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

$

9,486

$

337

$

482,635

$

966,994

Statements

of

Operations

168

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

11,159,334

$

2,106,972

$

8,312,142

$

3,013,873

Securities

lending

income,

net

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

99,835

405,009

16,390

20,947

Total

Income

11,259,169

2,511,981

8,328,532

3,034,820

EXPENSES:

Investment

advisory

fees

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

2,128,658

1,039,151

1,694,794

605,020

Custody

fees

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

38,092

27,703

83,046

17,122

Administration

&

accounting

fees

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

194,743

52,504

96,638

55,340

Legal

fees

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

30,154

8,216

14,761

8,404

Audit

&

tax

fees

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

47,006

49,678

57,938

45,227

Shareholder

reporting

fees

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

64,007

31,024

48,894

18,742

Transfer

agent

fees

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

708,162

203,913

326,573

157,397

Trustee

fees

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

48,237

13,861

24,369

14,148

Distribution

fees—Class

N

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

135,316

10,762

112,842

14,342

Interest

expense

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

30,431

8,262

14,878

8,576

Interfund

lending

expense

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

4,785

578

—

371

Registration

fees

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

86,530

62,552

64,175

58,793

Other

expenses

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

18,277

5,244

13,582

4,440

Total

Expenses

3,534,398

1,513,448

2,552,490

1,007,922

Less

expense

reimbursements

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

(130,096)

(156,803)

(215,052)

(121,662)

Net

Expenses

3,404,302

1,356,645

2,337,438

886,260

Net

Investment

Income

(Loss)

7,854,867

1,155,336

5,991,094

2,148,560

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

118,986,952

9,070,971

(4,061,613)

4,111,568

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

—

(17,473)

—

Expiration

or

closing

of

futures

contracts

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

1,444,551

(710,378)

1,240,035

23,583

Net

realized

gain

(loss)

120,431,503

8,360,593

(2,839,051)

4,135,151

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

11,735,414

6,235,909

39,323,832

38,991,932

Foreign

currency

and

foreign

currency

transactions

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

28

—

97,844

—

Futures

contracts

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

183,351

(39,373)

(371,802)

10,621

Net

change

in

unrealized

appreciation

(depreciation)

11,918,793

6,196,536

39,049,874

39,002,553

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

132,350,296

14,557,129

36,210,823

43,137,704

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

140,205,163

$

15,712,465

$

42,201,917

$

45,286,264

________________

†

Net

of

foreign

taxes

withheld

of

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

$

—

$

1,142

$

732,118

$

—

Statements

of

Operations

169

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

451,486

$

2,102,907

$

101,500,590

$

5,346,595

Affiliated

issuers

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

—

—

2,345,984

—

Securities

lending

income,

net

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

86,548

5,996

138,867

7,300

Total

Income

538,034

2,108,903

103,985,441

5,353,895

EXPENSES:

Investment

advisory

fees

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

223,190

427,229

14,091,723

876,800

Custody

fees

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

19,540

37,515

159,065

57,577

Administration

&

accounting

fees

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

11,355

24,444

1,326,467

50,015

Legal

fees

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

1,778

3,731

198,944

7,878

Audit

&

tax

fees

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

46,305

55,163

60,054

54,999

Shareholder

reporting

fees

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

9,405

13,281

523,247

21,585

Transfer

agent

fees

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

67,318

73,637

3,612,188

167,526

Trustee

fees

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

3,688

6,799

307,712

13,087

Distribution

fees—Class

N

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

6,957

7,136

1,035,106

21,650

Interest

expense

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

1,764

3,792

190,141

7,797

Interfund

lending

expense

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

75

693

—

1,238

Recoupment

of

waiver

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

—

—

296,149

—

Registration

fees

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

55,658

55,035

421,870

79,253

Other

expenses

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

1,170

3,837

98,036

4,768

Total

Expenses

448,203

712,292

22,320,702

1,364,173

Less

expense

reimbursements

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

(142,505)

(165,408)

(141,036)

(193,398)

Net

Expenses

305,698

546,884

22,179,666

1,170,775

Net

Investment

Income

(Loss)

232,336

1,562,019

81,805,775

4,183,120

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

......

1,247,073

(3,204,859)

(130,436,163)

(6,888,621)

Transactions

in

investment

securities

of

affiliated

issuers

.......

—

—

(2,090)

—

Settlement

of

foreign

currency

and

foreign

currency

transactions

..

—

(46,130)

—

(95,608)

Expiration

or

closing

of

futures

contracts

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

(343,051)

(417,036)

32,666,051

545,992

Net

realized

gain

(loss)

904,022

(3,668,025)

(97,772,202)

(6,438,237)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

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

1,886,788

10,182,908

530,035,443

6,551,926

Investment

securities

of

affiliated

issuers

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

—

—

(58,797)

—

Foreign

currency

and

foreign

currency

transactions

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

—

31,515

—

40,702

Futures

contracts

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

19,584

(92,064)

5,682,179

(217,533)

Net

change

in

unrealized

appreciation

(depreciation)

1,906,372

10,122,359

535,658,825

6,375,095

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

2,810,394

6,454,334

437,886,623

(63,142)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

3,042,730

$

8,016,353

$

519,692,398

$

4,119,978

________________

†

Net

of

foreign

taxes

withheld

of

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

$

237

$

186,005

$

8,492

$

478,201

Statements

of

Operations

170

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

†

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

$

932,315

$

6,026,091

$

4,627,954

Interest

income:

—

—

—

Unaffiliated

issuers

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

144

—

—

Securities

lending

income,

net

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

36

10,303

1,565

Total

Income

932,495

6,036,394

4,629,519

EXPENSES:

Investment

advisory

fees

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

265,218

1,796,966

1,299,951

Custody

fees

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

77,291

48,953

62,406

Administration

&

accounting

fees

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

10,976

68,097

42,309

Legal

fees

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

2,723

10,618

6,976

Audit

&

tax

fees

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

79,490

77,515

79,006

Shareholder

reporting

fees

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

11,169

18,587

29,257

Transfer

agent

fees

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

64,006

101,015

164,559

Trustee

fees

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

3,546

17,356

12,212

Distribution

fees—Class

N

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

10,003

11,862

17,104

Interest

expense

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

5,531

13,201

12,514

Interfund

lending

expense

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

37

—

—

Recoupment

of

waiver

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

—

2,116

2,775

Registration

fees

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

57,118

76,041

59,447

Other

expenses

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

12,569

5,957

7,377

Total

Expenses

599,677

2,248,284

1,795,893

Less

expense

reimbursements

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

(244,583)

(47,207)

(107,076)

Net

Expenses

355,094

2,201,077

1,688,817

Net

Investment

Income

(Loss)

577,401

3,835,317

2,940,702

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

–

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

(net

of

deferred

capital

gain

country

tax

accruals

of

$79,560,

$–

and

$–

)

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

(8,667,588)

(9,025,611)

(335,588)

Settlement

of

foreign

currency

and

foreign

currency

transactions

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

(45,235)

360,154

191,888

Settlement

of

forward

foreign

currency

contracts

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

—

510,726

(4,139)

Expiration

or

closing

of

futures

contracts

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

(110,711)

(556,239)

(1,014,194)

Expiration

or

closing

of

swap

contracts

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

—

2,474,199

1,525,674

Net

realized

gain

(loss)

(8,823,534)

(6,236,771)

363,641

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

u

naffiliated

issuers

(net

change

in

deferred

capital

gain

country

tax

accruals

of

$(73,836),

$—

and

$—)

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

(2,104,434)

22,102,892

(1,125,721)

Foreign

currency

and

foreign

currency

transactions

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

228

(74,765)

176,275

Forward

foreign

currency

exchange

contracts

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

—

(836,738)

(1,251,682)

Futures

contracts

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

48,264

101,472

(164,492)

Swap

contracts

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

—

202,979

222,830

Net

change

in

unrealized

appreciation

(depreciation)

(2,055,942)

21,495,840

(2,142,790)

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

(10,879,476)

15,259,069

(1,779,149)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

(10,302,075)

$

19,094,386

$

1,161,553

________________

†

Net

of

foreign

taxes

withheld

of

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

$

100,669

$

209,418

$

195,806

Statements

of

Changes

in

Net

Assets

(Continued)

171

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

17,393,006

$

20,818,035

$

2,701,748

$

6,245,231

Net

realized

gain

(loss)

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

102,362,594

43,691,326

(30,755,716)

(7,722,603)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(16,484,239)

(156,075,377)

(22,838,880)

(85,630,346)

Net increase

(decrease)

in

net

assets

resulting

from

operations

103,271,361

(91,566,016)

(50,892,848)

(87,107,718)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(16,769,547)

(29,255,991)

(421,558)

(5,107,307)

Class

N

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

(476,407)

(4,037,015)

(38,224)

(713,157)

Class

R6

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

(54,431,358)

(70,459,300)

(5,527,052)

(64,613,496)

Total

distributions

(71,677,312)

(103,752,306)

(5,986,834)

(70,433,960)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

99,827,688

76,666,928

24,434,199

24,301,994

Reinvestment

of

distributions

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

15,867,380

27,844,268

421,047

5,096,676

Cost

of

shares

redeemed

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

(264,274,096)

(198,249,995)

(28,771,236)

(36,310,691)

Net

increase

(decrease)

from

capital

transactions

(148,579,028)

(93,738,799)

(3,915,990)

(6,912,021)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

3,094,023

11,088,415

1,357,442

4,653,780

Reinvestment

of

distributions

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

475,237

4,032,863

37,767

711,291

Cost

of

shares

redeemed

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

(53,004,632)

(21,694,110)

(4,625,405)

(3,140,219)

Net

increase

(decrease)

from

capital

transactions

(49,435,372)

(6,572,832)

(3,230,196)

2,224,852

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

181,590,919

220,595,627

55,627,123

86,312,953

Reinvestment

of

distributions

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

54,151,298

70,083,771

5,486,249

59,445,615

Cost

of

shares

redeemed

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

(423,192,553)

(492,971,510)

(291,256,624)

(176,803,604)

Net

increase

(decrease)

from

capital

transactions

(187,450,336)

(202,292,112)

(230,143,252)

(31,045,036)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(385,464,736)

(302,603,743)

(237,289,438)

(35,732,205)

Total

increase

(decrease)

in

net

assets

(353,870,687)

(497,922,065)

(294,169,120)

(193,273,883)

NET

ASSETS:

Beginning

of

period

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

1,447,052,536

1,944,974,601

552,156,593

745,430,476

End

of

period

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

$

1,093,181,849

$

1,447,052,536

$

257,987,473

$

552,156,593

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

172

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MULTI-STYLE

FUND

AQR

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

21,495,275

26,927,588

3,421,056

3,884,358

Shares

sold

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

5,987,637

4,765,437

2,225,182

2,002,640

Shares

issued

on

reinvestment

of

distributions

...........

920,916

1,916,330

31,421

457,922

Shares

redeemed

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

(16,006,554)

(12,114,080)

(2,516,365)

(2,923,864)

Shares

outstanding,

end

of

period

12,397,274

21,495,275

3,161,294

3,421,056

CLASS

N

Shares

outstanding,

beginning

of

period

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

3,426,131

3,794,725

675,817

492,827

Shares

sold

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

189,856

692,786

128,713

368,035

Shares

issued

on

reinvestment

of

distributions

...........

27,391

278,320

2,823

64,023

Shares

redeemed

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

(3,040,545)

(1,339,700)

(367,181)

(249,068)

Shares

outstanding,

end

of

period

602,833

3,426,131

440,172

675,817

CLASS

R6

Shares

outstanding,

beginning

of

period

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

61,063,089

72,590,387

40,608,465

42,484,766

Shares

sold

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

11,401,642

13,687,568

4,860,257

6,863,675

Shares

issued

on

reinvestment

of

distributions

...........

3,146,502

4,826,706

409,116

5,336,231

Shares

redeemed

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

(26,595,366)

(30,041,572)

(28,614,495)

(14,076,207)

Shares

outstanding,

end

of

period

49,015,867

61,063,089

17,263,343

40,608,465

Statements

of

Changes

in

Net

Assets

(Continued)

173

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

5,192,007

$

7,925,612

$

3,709,597

$

5,802,670

Net

realized

gain

(loss)

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

1,436,369

(6,211,325)

(4,843,339)

(5,088,799)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(4,575,590)

(18,488,404)

21,827,973

(15,294,958)

Net increase

(decrease)

in

net

assets

resulting

from

operations

2,052,786

(16,774,117)

20,694,231

(14,581,087)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(1,291,631)

(2,139,990)

(1,151,867)

(884,434)

Class

N

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

(120,637)

(193,368)

(93,126)

(94,743)

Class

R6

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

(6,615,889)

(8,221,394)

(4,746,167)

(5,027,138)

Total

distributions

(8,028,157)

(10,554,752)

(5,991,160)

(6,006,315)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

24,429,111

26,409,442

14,408,729

29,208,136

Reinvestment

of

distributions

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

1,289,616

2,135,307

1,151,867

884,434

Cost

of

shares

redeemed

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

(25,792,113)

(56,350,552)

(22,832,623)

(15,070,134)

Net

increase

(decrease)

from

capital

transactions

(73,386)

(27,805,803)

(7,272,027)

15,022,436

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

1,163,714

1,117,601

5,437,068

1,055,493

Reinvestment

of

distributions

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

119,425

192,003

93,126

94,743

Cost

of

shares

redeemed

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

(1,286,609)

(3,432,493)

(6,268,205)

(2,235,536)

Net

increase

(decrease)

from

capital

transactions

(3,470)

(2,122,889)

(738,011)

(1,085,300)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

76,702,692

48,846,761

59,208,564

33,831,342

Reinvestment

of

distributions

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

6,524,144

8,108,462

4,694,020

4,976,491

Cost

of

shares

redeemed

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

(103,741,371)

(146,764,111)

(70,294,051)

(112,987,983)

Net

increase

(decrease)

from

capital

transactions

(20,514,535)

(89,808,888)

(6,391,467)

(74,180,150)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(20,591,391)

(119,737,580)

(14,401,505)

(60,243,014)

Total

increase

(decrease)

in

net

assets

(26,566,762)

(147,066,449)

301,566

(80,830,416)

NET

ASSETS:

Beginning

of

period

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

272,340,504

419,406,953

227,786,840

308,617,256

End

of

period

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

$

245,773,742

$

272,340,504

$

228,088,406

$

227,786,840

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

174

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

4,539,084

7,029,983

5,019,914

3,431,269

Shares

sold

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

2,391,136

2,518,735

1,565,870

3,074,691

Shares

issued

on

reinvestment

of

distributions

...........

111,655

216,782

113,150

98,270

Shares

redeemed

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

(2,395,021)

(5,226,416)

(2,392,013)

(1,584,316)

Shares

outstanding,

end

of

period

4,646,854

4,539,084

4,306,921

5,019,914

CLASS

N

Shares

outstanding,

beginning

of

period

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

386,367

587,720

410,943

522,910

Shares

sold

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

125,128

104,665

570,764

111,531

Shares

issued

on

reinvestment

of

distributions

...........

10,349

19,493

9,130

10,515

Shares

redeemed

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

(132,821)

(325,511)

(663,601)

(234,013)

Shares

outstanding,

end

of

period

389,023

386,367

327,236

410,943

CLASS

R6

Shares

outstanding,

beginning

of

period

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

19,726,567

28,081,392

18,593,520

26,340,267

Shares

sold

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

7,668,265

4,601,367

6,544,373

3,536,675

Shares

issued

on

reinvestment

of

distributions

...........

565,841

824,031

460,650

552,943

Shares

redeemed

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

(9,977,089)

(13,780,223)

(7,964,834)

(11,836,365)

Shares

outstanding,

end

of

period

17,983,584

19,726,567

17,633,709

18,593,520

Statements

of

Changes

in

Net

Assets

(Continued)

175

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

4,378,611

$

3,845,663

$

111,073

$

230,446

Net

realized

gain

(loss)

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

(8,394,489)

2,072,355

(383,390)

(605,661)

Net

change

in

unrealized

appreciation

(depreciation)

.......

27,213,568

(13,090,957)

(697,465)

(4,568,178)

Net increase

(decrease)

in

net

assets

resulting

from

operations

23,197,690

(7,172,939)

(969,782)

(4,943,393)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(1,710,786)

(1,097,266)

(161,538)

(888,512)

Class

N

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

(20,709)

(9,211)

(21,938)

(156,965)

Class

R6

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

(4,245,345)

(2,768,055)

(22,110)

(102,358)

Total

distributions

(5,976,840)

(3,874,532)

(205,586)

(1,147,835)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

17,219,889

34,012,624

7,112,535

9,706,331

Reinvestment

of

distributions

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

1,708,822

1,092,204

161,538

888,512

Cost

of

shares

redeemed

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

(35,649,284)

(26,498,029)

(11,388,316)

(13,799,453)

Net

increase

(decrease)

from

capital

transactions

(16,720,573)

8,606,799

(4,114,243)

(3,204,610)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

861,068

331,491

1,139,691

3,251,071

Reinvestment

of

distributions

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

20,709

9,211

21,938

156,965

Cost

of

shares

redeemed

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

(311,285)

(1,222,576)

(1,524,314)

(5,282,013)

Net

increase

(decrease)

from

capital

transactions

570,492

(881,874)

(362,685)

(1,873,977)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

54,632,676

62,099,679

11,500

2,200,000

Reinvestment

of

distributions

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

4,140,296

2,759,941

22,110

102,358

Cost

of

shares

redeemed

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

(95,911,717)

(48,750,879)

(10,509)

(2,214,265)

Net

increase

(decrease)

from

capital

transactions

(37,138,745)

16,108,741

23,101

88,093

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(53,288,826)

23,833,666

(4,453,827)

(4,990,494)

Total

increase

(decrease)

in

net

assets

(36,067,976)

12,786,195

(5,629,195)

(11,081,722)

NET

ASSETS:

Beginning

of

period

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

313,865,999

301,079,804

23,752,939

34,834,661

End

of

period

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

$

277,798,023

$

313,865,999

$

18,123,744

$

23,752,939

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

176

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

7,096,418

6,377,943

1,675,394

1,995,387

Shares

sold

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

1,405,147

2,818,483

799,303

915,815

Shares

issued

on

reinvestment

of

distributions

...........

123,292

96,741

13,854

91,411

Shares

redeemed

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

(2,928,259)

(2,196,749)

(1,271,110)

(1,327,219)

Shares

outstanding,

end

of

period

5,696,598

7,096,418

1,217,441

1,675,394

CLASS

N

Shares

outstanding,

beginning

of

period

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

98,233

167,713

334,038

506,568

Shares

sold

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

63,841

26,412

129,302

298,773

Shares

issued

on

reinvestment

of

distributions

...........

1,491

814

1,881

16,149

Shares

redeemed

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

(24,228)

(96,706)

(162,873)

(487,452)

Shares

outstanding,

end

of

period

139,337

98,233

302,348

334,038

CLASS

R6

Shares

outstanding,

beginning

of

period

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

16,736,861

15,366,286

207,703

198,460

Shares

sold

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

4,496,019

5,071,394

991

196,779

Shares

issued

on

reinvestment

of

distributions

...........

298,507

244,459

1,895

10,520

Shares

redeemed

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

(8,085,372)

(3,945,278)

(991)

(198,056)

Shares

outstanding,

end

of

period

13,446,015

16,736,861

209,598

207,703

Statements

of

Changes

in

Net

Assets

(Continued)

177

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

INTERNATIONAL

MULTI-

STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

4,258,340

$

5,240,146

$

6,068,360

$

7,866,173

Net

realized

gain

(loss)

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

(8,193,911)

86,746

(11,035,221)

(1,075,275)

Net

change

in

unrealized

appreciation

(depreciation)

.......

6,688,545

(9,583,819)

37,215,968

(24,957,330)

Net increase

(decrease)

in

net

assets

resulting

from

operations

2,752,974

(4,256,927)

32,249,107

(18,166,432)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(823,802)

(560,998)

(849,596)

(468,070)

Class

N

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

(29,987)

(26,702)

(14,694)

(19,782)

Class

R6

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

(4,635,160)

(3,512,605)

(8,051,401)

(6,711,111)

Total

distributions

(5,488,949)

(4,100,305)

(8,915,691)

(7,198,963)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

12,235,760

16,496,548

13,394,755

31,578,334

Reinvestment

of

distributions

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

823,802

560,998

847,261

457,476

Cost

of

shares

redeemed

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

(14,773,839)

(15,106,987)

(30,828,714)

(10,833,640)

Net

increase

(decrease)

from

capital

transactions

(1,714,277)

1,950,559

(16,586,698)

21,202,170

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

504,548

196,357

350,085

173,890

Reinvestment

of

distributions

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

29,987

26,702

14,694

19,782

Cost

of

shares

redeemed

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

(501,756)

(478,074)

(246,880)

(1,078,564)

Net

increase

(decrease)

from

capital

transactions

32,779

(255,015)

117,899

(884,892)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

84,205,687

41,431,180

41,933,645

29,626,938

Reinvestment

of

distributions

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

4,532,340

3,506,710

7,997,480

6,706,777

Cost

of

shares

redeemed

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

(82,561,494)

(39,785,578)

(57,821,480)

(20,702,236)

Net

increase

(decrease)

from

capital

transactions

6,176,533

5,152,312

(7,890,355)

15,631,479

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

4,495,035

6,847,856

(24,359,154)

35,948,757

Total

increase

(decrease)

in

net

assets

1,759,060

(1,509,376)

(1,025,738)

10,583,362

NET

ASSETS:

Beginning

of

period

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

190,162,274

191,671,650

342,594,268

332,010,906

End

of

period

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

$

191,921,334

$

190,162,274

$

341,568,530

$

342,594,268

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

178

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

INTERNATIONAL

MULTI-

STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

2,768,517

2,596,584

3,766,704

1,632,300

Shares

sold

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

1,263,166

1,632,264

1,395,627

3,206,157

Shares

issued

on

reinvestment

of

distributions

...........

74,687

60,064

80,845

49,085

Shares

redeemed

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

(1,608,890)

(1,520,395)

(3,419,906)

(1,120,838)

Shares

outstanding,

end

of

period

2,497,480

2,768,517

1,823,270

3,766,704

CLASS

N

Shares

outstanding,

beginning

of

period

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

115,900

140,413

69,305

158,387

Shares

sold

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

52,014

19,240

37,451

17,624

Shares

issued

on

reinvestment

of

distributions

...........

2,721

2,862

1,395

2,113

Shares

redeemed

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

(51,357)

(46,615)

(26,372)

(108,819)

Shares

outstanding,

end

of

period

119,278

115,900

81,779

69,305

CLASS

R6

Shares

outstanding,

beginning

of

period

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

15,125,392

14,573,362

31,270,615

29,565,703

Shares

sold

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

9,718,967

4,108,613

4,775,683

3,060,090

Shares

issued

on

reinvestment

of

distributions

...........

410,538

375,049

763,118

718,840

Shares

redeemed

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

(9,265,097)

(3,931,632)

(6,425,899)

(2,074,018)

Shares

outstanding,

end

of

period

15,989,800

15,125,392

30,383,517

31,270,615

Statements

of

Changes

in

Net

Assets

(Continued)

179

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

7,854,867

$

11,227,552

$

1,155,336

$

1,329,537

Net

realized

gain

(loss)

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

120,431,503

86,793,250

8,360,593

14,350,993

Net

change

in

unrealized

appreciation

(depreciation)

.......

11,918,793

(104,295,454)

6,196,536

(57,892,067)

Net increase

(decrease)

in

net

assets

resulting

from

operations

140,205,163

(6,274,652)

15,712,465

(42,211,537)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(63,057,396)

(72,200,119)

(8,734,431)

(53,206,130)

Class

N

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

(5,693,899)

(5,900,343)

(195,066)

(445,612)

Class

R6

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

(19,940,890)

(9,607,587)

(2,547,311)

(3,791,401)

Total

distributions

(88,692,185)

(87,708,049)

(11,476,808)

(57,443,143)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

98,819,498

208,971,708

25,062,536

53,263,679

Reinvestment

of

distributions

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

62,672,243

71,979,907

8,728,270

53,171,180

Cost

of

shares

redeemed

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

(267,572,521)

(509,906,777)

(79,646,866)

(159,487,211)

Net

increase

(decrease)

from

capital

transactions

(106,080,780)

(228,955,162)

(45,856,060)

(53,052,352)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

9,037,147

16,267,408

1,593,835

2,912,333

Reinvestment

of

distributions

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

5,693,193

5,899,882

195,066

445,611

Cost

of

shares

redeemed

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

(37,651,246)

(26,220,425)

(2,764,537)

(1,032,215)

Net

increase

(decrease)

from

capital

transactions

(22,920,906)

(4,053,135)

(975,636)

2,325,729

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

29,011,109

123,089,068

19,971,971

42,869,795

Reinvestment

of

distributions

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

19,918,037

9,584,078

2,547,310

3,789,230

Cost

of

shares

redeemed

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

(140,085,323)

(23,523,121)

(33,489,848)

(6,572,867)

Net

increase

(decrease)

from

capital

transactions

(91,156,177)

109,150,025

(10,970,567)

40,086,158

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(220,157,863)

(123,858,272)

(57,802,263)

(10,640,465)

Total

increase

(decrease)

in

net

assets

(168,644,885)

(217,840,973)

(53,566,606)

(110,295,145)

NET

ASSETS:

Beginning

of

period

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

947,968,681

1,165,809,654

260,366,902

370,662,047

End

of

period

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

$

779,323,796

$

947,968,681

$

206,800,296

$

260,366,902

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

180

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

30,048,212

39,475,038

10,802,837

12,775,107

Shares

sold

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

4,624,629

9,718,404

1,498,212

2,827,525

Shares

issued

on

reinvestment

of

distributions

...........

2,901,493

3,924,750

448,754

3,319,050

Shares

redeemed

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

(12,390,537)

(23,069,980)

(4,500,707)

(8,118,845)

Shares

outstanding,

end

of

period

25,183,797

30,048,212

8,249,096

10,802,837

CLASS

N

Shares

outstanding,

beginning

of

period

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

2,998,876

3,100,311

235,513

104,431

Shares

sold

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

437,611

762,646

105,994

154,904

Shares

issued

on

reinvestment

of

distributions

...........

263,208

321,169

10,019

27,764

Shares

redeemed

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

(1,786,763)

(1,185,250)

(158,187)

(51,586)

Shares

outstanding,

end

of

period

1,912,932

2,998,876

193,339

235,513

CLASS

R6

Shares

outstanding,

beginning

of

period

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

8,974,959

4,088,262

2,924,829

780,973

Shares

sold

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

1,404,275

5,498,392

1,245,764

2,268,772

Shares

issued

on

reinvestment

of

distributions

...........

925,559

524,293

131,508

237,420

Shares

redeemed

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

(6,539,377)

(1,135,988)

(2,114,649)

(362,336)

Shares

outstanding,

end

of

period

4,765,416

8,974,959

2,187,452

2,924,829

Statements

of

Changes

in

Net

Assets

(Continued)

181

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

5,991,094

$

8,887,698

$

2,148,560

$

2,627,584

Net

realized

gain

(loss)

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

(2,839,051)

(16,063,904)

4,135,151

3,817,562

Net

change

in

unrealized

appreciation

(depreciation)

.......

39,049,874

(8,100,306)

39,002,553

(5,952,489)

Net increase

(decrease)

in

net

assets

resulting

from

operations

42,201,917

(15,276,512)

45,286,264

492,657

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(6,385,255)

(5,928,748)

(2,749,561)

(931,706)

Class

N

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

(809,276)

(566,839)

(112,923)

(63,962)

Class

R6

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

(3,320,455)

(1,236,921)

(2,551,722)

(922,374)

Total

distributions

(10,514,986)

(7,732,508)

(5,414,206)

(1,918,042)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

50,451,284

80,801,406

51,814,560

30,205,232

Reinvestment

of

distributions

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

6,308,931

5,922,874

2,746,119

926,582

Cost

of

shares

redeemed

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

(88,413,185)

(146,355,156)

(47,120,342)

(22,859,210)

Net

increase

(decrease)

from

capital

transactions

(31,652,970)

(59,630,876)

7,440,337

8,272,604

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

29,422,157

9,323,125

1,322,709

3,335,552

Reinvestment

of

distributions

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

809,238

566,839

112,923

63,962

Cost

of

shares

redeemed

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

(12,942,284)

(11,286,951)

(2,406,939)

(10,394,463)

Net

increase

(decrease)

from

capital

transactions

17,289,111

(1,396,987)

(971,307)

(6,994,949)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

26,300,021

78,971,586

11,237,072

17,591,041

Reinvestment

of

distributions

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

3,320,455

1,236,921

2,542,713

922,374

Cost

of

shares

redeemed

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

(51,587,510)

(13,252,960)

(28,021,809)

(16,054,920)

Net

increase

(decrease)

from

capital

transactions

(21,967,034)

66,955,547

(14,242,024)

2,458,495

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(36,330,893)

5,927,684

(7,772,994)

3,736,150

Total

increase

(decrease)

in

net

assets

(4,643,962)

(17,081,336)

32,099,064

2,310,765

NET

ASSETS:

Beginning

of

period

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

435,991,841

453,073,177

230,722,327

228,411,562

End

of

period

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

$

431,347,879

$

435,991,841

$

262,821,391

$

230,722,327

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

182

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

18,029,990

22,041,901

5,057,125

4,686,066

Shares

sold

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

3,454,316

5,646,060

2,217,054

1,373,586

Shares

issued

on

reinvestment

of

distributions

...........

405,719

454,557

111,179

47,444

Shares

redeemed

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

(6,070,687)

(10,112,528)

(2,050,086)

(1,049,971)

Shares

outstanding,

end

of

period

15,819,338

18,029,990

5,335,272

5,057,125

CLASS

N

Shares

outstanding,

beginning

of

period

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

2,455,631

2,564,776

247,576

566,003

Shares

sold

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

2,107,859

645,947

58,155

154,337

Shares

issued

on

reinvestment

of

distributions

...........

52,075

43,536

4,585

3,285

Shares

redeemed

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

(878,384)

(798,628)

(103,320)

(476,049)

Shares

outstanding,

end

of

period

3,737,181

2,455,631

206,996

247,576

CLASS

R6

Shares

outstanding,

beginning

of

period

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

8,642,014

4,048,617

4,372,234

4,240,403

Shares

sold

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

1,887,946

5,433,386

455,963

815,846

Shares

issued

on

reinvestment

of

distributions

...........

213,947

95,148

103,153

47,301

Shares

redeemed

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

(3,632,635)

(935,137)

(1,195,128)

(731,316)

Shares

outstanding,

end

of

period

7,111,272

8,642,014

3,736,222

4,372,234

Statements

of

Changes

in

Net

Assets

(Continued)

183

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

232,336

$

265,974

$

1,562,019

$

2,434,188

Net

realized

gain

(loss)

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

904,022

646,773

(3,668,025)

(5,090,250)

Net

change

in

unrealized

appreciation

(depreciation)

.......

1,906,372

(8,501,718)

10,122,359

(2,629,517)

Net increase

(decrease)

in

net

assets

resulting

from

operations

3,042,730

(7,588,971)

8,016,353

(5,285,579)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(954,074)

(4,001,037)

(1,213,023)

(927,157)

Class

N

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

(47,678)

(262,280)

(64,892)

(146,595)

Class

R6

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

(6,024)

(16,756)

(1,470,353)

(1,201,377)

Total

distributions

(1,007,776)

(4,280,073)

(2,748,268)

(2,275,129)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

12,154,878

12,666,621

30,826,204

19,505,173

Reinvestment

of

distributions

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

953,912

4,001,037

1,212,789

927,157

Cost

of

shares

redeemed

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

(22,905,558)

(17,878,395)

(28,801,151)

(23,861,121)

Net

increase

(decrease)

from

capital

transactions

(9,796,768)

(1,210,737)

3,237,842

(3,428,791)

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

807,658

2,289,484

893,150

2,262,242

Reinvestment

of

distributions

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

47,678

262,280

64,892

146,595

Cost

of

shares

redeemed

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

(1,292,555)

(4,373,452)

(1,444,598)

(6,530,671)

Net

increase

(decrease)

from

capital

transactions

(437,219)

(1,821,688)

(486,556)

(4,121,834)

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

1,536,811

104,981

9,631,290

21,970,735

Reinvestment

of

distributions

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

6,024

16,756

1,467,379

1,201,377

Cost

of

shares

redeemed

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

(105,491)

(4,754)

(20,481,794)

(26,517,708)

Net

increase

(decrease)

from

capital

transactions

1,437,344

116,983

(9,383,125)

(3,345,596)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(8,796,643)

(2,915,442)

(6,631,839)

(10,896,221)

Total

increase

(decrease)

in

net

assets

(6,761,689)

(14,784,486)

(1,363,754)

(18,456,929)

NET

ASSETS:

Beginning

of

period

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

53,963,943

68,748,429

110,662,538

129,119,467

End

of

period

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

$

47,202,254

$

53,963,943

$

109,298,784

$

110,662,538

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

184

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

2,769,248

2,783,889

3,896,248

4,221,232

Shares

sold

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

730,287

743,368

2,492,030

1,564,618

Shares

issued

on

reinvestment

of

distributions

...........

48,275

256,971

88,203

81,116

Shares

redeemed

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

(1,414,875)

(1,014,980)

(2,370,077)

(1,970,718)

Shares

outstanding,

end

of

period

2,132,935

2,769,248

4,106,404

3,896,248

CLASS

N

Shares

outstanding,

beginning

of

period

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

159,765

255,490

243,411

567,899

Shares

sold

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

51,394

129,115

72,434

184,515

Shares

issued

on

reinvestment

of

distributions

...........

2,429

16,954

4,740

12,893

Shares

redeemed

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

(77,574)

(241,794)

(117,801)

(521,896)

Shares

outstanding,

end

of

period

136,014

159,765

202,784

243,411

CLASS

R6

Shares

outstanding,

beginning

of

period

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

16,516

10,115

4,257,531

4,539,868

Shares

sold

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

82,398

5,598

758,459

1,803,368

Shares

issued

on

reinvestment

of

distributions

...........

305

1,078

107,108

105,476

Shares

redeemed

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

(7,071)

(275)

(1,720,263)

(2,191,181)

Shares

outstanding,

end

of

period

92,148

16,516

3,402,835

4,257,531

Statements

of

Changes

in

Net

Assets

(Continued)

185

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

81,805,775

$

50,462,928

$

4,183,120

$

5,870,225

Net

realized

gain

(loss)

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

(97,772,202)

(1,896,669)

(6,438,237)

(1,663,902)

Net

change

in

unrealized

appreciation

(depreciation)

.......

535,658,825

325,387,650

6,375,095

(2,215,514)

Net increase

(decrease)

in

net

assets

resulting

from

operations

519,692,398

373,953,909

4,119,978

1,990,809

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(42,653,314)

(26,688,622)

(4,509,399)

(3,814,503)

Class

N

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

(3,352,374)

(3,849,447)

(163,390)

(45,275)

Class

R6

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

(17,886,160)

(5,023,387)

(1,379,852)

(854,388)

Total

distributions

(63,891,848)

(35,561,456)

(6,052,641)

(4,714,166)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

2,173,041,958

1,972,562,955

42,450,760

83,305,651

Reinvestment

of

distributions

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

41,906,995

26,229,527

4,503,368

3,814,503

Cost

of

shares

redeemed

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

(1,529,787,473)

(475,596,047)

(119,894,228)

(56,301,703)

Net

increase

(decrease)

from

capital

transactions

685,161,480

1,523,196,435

(72,940,100)

30,818,451

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

234,774,953

235,713,923

7,537,787

5,348,176

Reinvestment

of

distributions

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

3,349,208

3,846,554

163,390

45,275

Cost

of

shares

redeemed

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

(209,895,519)

(188,127,052)

(5,497,209)

(2,630,209)

Net

increase

(decrease)

from

capital

transactions

28,228,642

51,433,425

2,203,968

2,763,242

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

718,695,155

1,093,165,453

98,010,945

14,332,783

Reinvestment

of

distributions

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

17,775,808

4,786,377

1,379,852

854,388

Cost

of

shares

redeemed

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

(745,107,260)

(203,426,938)

(61,120,252)

(12,042,134)

Net

increase

(decrease)

from

capital

transactions

(8,636,297)

894,524,892

38,270,545

3,145,037

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

704,753,825

2,469,154,752

(32,465,587)

36,726,730

Total

increase

(decrease)

in

net

assets

1,160,554,375

2,807,547,205

(34,398,250)

34,003,373

NET

ASSETS:

Beginning

of

period

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

4,928,462,560

2,120,915,355

240,941,958

206,938,585

End

of

period

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

$

6,089,016,935

$

4,928,462,560

$

206,543,708

$

240,941,958

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

186

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

142,901,883

70,944,959

15,447,857

12,996,510

Shares

sold

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

96,100,559

93,334,532

3,461,484

6,646,937

Shares

issued

on

reinvestment

of

distributions

...........

1,765,248

1,404,150

332,597

325,470

Shares

redeemed

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

(70,021,669)

(22,781,758)

(9,284,476)

(4,521,060)

Shares

outstanding,

end

of

period

170,746,021

142,901,883

9,957,462

15,447,857

CLASS

N

Shares

outstanding,

beginning

of

period

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

17,129,740

14,651,012

533,988

311,098

Shares

sold

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

10,820,024

11,304,205

568,346

420,572

Shares

issued

on

reinvestment

of

distributions

...........

141,198

206,139

11,654

3,729

Shares

redeemed

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

(9,427,296)

(9,031,616)

(413,879)

(201,411)

Shares

outstanding,

end

of

period

18,663,666

17,129,740

700,109

533,988

CLASS

R6

Shares

outstanding,

beginning

of

period

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

55,947,519

14,618,977

2,406,271

2,148,850

Shares

sold

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

31,593,797

50,596,500

7,641,356

1,138,497

Shares

issued

on

reinvestment

of

distributions

...........

749,718

256,642

101,985

72,962

Shares

redeemed

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

(32,912,934)

(9,524,600)

(5,163,371)

(954,038)

Shares

outstanding,

end

of

period

55,378,100

55,947,519

4,986,241

2,406,271

Statements

of

Changes

in

Net

Assets

(Continued)

187

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

577,401

$

1,785,913

$

3,835,317

$

5,579,905

Net

realized

gain

(loss)

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

(8,823,534)

(1,062,812)

(6,236,771)

(12,207,143)

Net

change

in

unrealized

appreciation

(depreciation)

.......

(2,055,942)

(4,343,649)

21,495,840

(15,892,533)

Net increase

(decrease)

in

net

assets

resulting

from

operations

(10,302,075)

(3,620,548)

19,094,386

(22,519,771)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(1,676,149)

(1,307,483)

(2,836,271)

(3,432,665)

Class

N

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

(123,087)

(170,906)

(69,554)

(125,954)

Class

R6

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

(4,505)

(3,638)

(1,706,786)

(6,749,720)

Total

distributions

(1,803,741)

(1,482,027)

(4,612,611)

(10,308,339)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

—

—

Proceeds

from

shares

sold

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

10,996,968

19,466,019

6,768,638

125,296,360

Reinvestment

of

distributions

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

1,676,149

1,307,483

2,834,532

3,432,610

Cost

of

shares

redeemed

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

(73,530,662)

(17,450,795)

(196,641,412)

(126,870,718)

Net

increase

(decrease)

from

capital

transactions

(60,857,545)

3,322,707

(187,038,242)

1,858,252

CLASS

N

—

—

—

—

Proceeds

from

shares

sold

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

814,646

4,021,685

3,213,333

4,112,047

Reinvestment

of

distributions

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

123,087

170,906

69,554

125,954

Cost

of

shares

redeemed

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

(6,517,931)

(6,819,403)

(2,592,940)

(1,572,315)

Net

increase

(decrease)

from

capital

transactions

(5,580,198)

(2,626,812)

689,947

2,665,686

CLASS

R6

—

—

—

—

Proceeds

from

shares

sold

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

5,001,500

—

204,753,363

5,606,419

Reinvestment

of

distributions

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

4,505

3,638

1,706,786

6,749,720

Cost

of

shares

redeemed

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

(91,196)

—

(22,362,997)

(59,698,432)

Net

increase

(decrease)

from

capital

transactions

4,914,809

3,638

184,097,152

(47,342,293)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(61,522,934)

699,533

(2,251,143)

(42,818,355)

Total

increase

(decrease)

in

net

assets

(73,628,750)

(4,403,042)

12,230,632

(75,646,465)

NET

ASSETS:

Beginning

of

period

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

82,263,104

86,666,146

298,852,991

374,499,456

End

of

period

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

$

8,634,354

$

82,263,104

$

311,083,623

$

298,852,991

$

—

$

—

$

—

$

—

Statements

of

Changes

in

Net

Assets

188

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

8,295,543

7,937,988

22,854,497

21,833,772

Shares

sold

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

1,355,017

2,113,972

797,064

16,079,422

Shares

issued

on

reinvestment

of

distributions

...........

177,935

147,738

321,740

467,022

Shares

redeemed

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

(9,517,787)

(1,904,155)

(22,128,778)

(15,525,719)

Shares

outstanding,

end

of

period

310,708

8,295,543

1,844,523

22,854,497

CLASS

N

Shares

outstanding,

beginning

of

period

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

723,242

1,011,849

562,804

234,167

Shares

sold

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

92,076

430,692

404,649

509,744

Shares

issued

on

reinvestment

of

distributions

...........

12,729

18,843

7,958

17,254

Shares

redeemed

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

(809,344)

(738,142)

(373,546)

(198,361)

Shares

outstanding,

end

of

period

18,703

723,242

601,865

562,804

CLASS

R6

Shares

outstanding,

beginning

of

period

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

20,983

20,571

12,930,642

18,868,677

Shares

sold

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

661,286

—

23,246,605

662,076

Shares

issued

on

reinvestment

of

distributions

...........

480

412

192,206

910,893

Shares

redeemed

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

(9,381)

—

(2,922,950)

(7,511,004)

Shares

outstanding,

end

of

period

673,368

20,983

33,446,503

12,930,642

Statements

of

Changes

in

Net

Assets

(Continued)

189

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

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

$

2,940,702

$

8,649,829

Net

realized

gain

(loss)

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

363,641

(18,818,985)

Net

change

in

unrealized

appreciation

(depreciation)

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

(2,142,790)

(19,540,564)

Net increase

(decrease)

in

net

assets

resulting

from

operations

1,161,553

(29,709,720)

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

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

(5,428,873)

(9,369,303)

Class

N

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

(222,825)

(212,664)

Class

R6

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

(1,327,220)

(1,034,678)

Total

distributions

(6,978,918)

(10,616,645)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

Proceeds

from

shares

sold

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

22,848,703

67,537,610

Reinvestment

of

distributions

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

4,720,831

8,627,660

Cost

of

shares

redeemed

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

(146,579,693)

(241,429,553)

Net

increase

(decrease)

from

capital

transactions

(119,010,159)

(165,264,283)

CLASS

N

—

—

Proceeds

from

shares

sold

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

2,015,171

178,831

Reinvestment

of

distributions

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

41,475

117,652

Cost

of

shares

redeemed

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

(4,424,951)

(4,341,967)

Net

increase

(decrease)

from

capital

transactions

(2,368,305)

(4,045,484)

CLASS

R6

—

—

Proceeds

from

shares

sold

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

9,047,494

6,728,314

Reinvestment

of

distributions

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

1,327,220

1,034,678

Cost

of

shares

redeemed

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

(9,038,548)

(8,583,463)

Net

increase

(decrease)

from

capital

transactions

1,336,166

(820,471)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(120,042,298)

(170,130,238)

Total

increase

(decrease)

in

net

assets

(125,859,663)

(210,456,603)

NET

ASSETS:

Beginning

of

period

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

238,884,236

449,340,839

End

of

period

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

$

113,024,573

$

238,884,236

$

—

$

—

Statements

of

Changes

in

Net

Assets

190

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

INTERNATIONAL

EQUITY

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

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

20,115,445

37,314,673

Shares

sold

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

2,686,155

7,067,114

Shares

issued

on

reinvestment

of

distributions

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

470,202

972,679

Shares

redeemed

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

(15,905,245)

(25,239,021)

Shares

outstanding,

end

of

period

7,366,557

20,115,445

CLASS

N

Shares

outstanding,

beginning

of

period

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

815,866

1,219,218

Shares

sold

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

226,897

18,036

Shares

issued

on

reinvestment

of

distributions

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

4,019

12,915

Shares

redeemed

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

(494,261)

(434,303)

Shares

outstanding,

end

of

period

552,521

815,866

CLASS

R6

Shares

outstanding,

beginning

of

period

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

3,921,532

3,993,723

Shares

sold

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

887,022

659,427

Shares

issued

on

reinvestment

of

distributions

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

123,462

109,143

Shares

redeemed

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

(929,892)

(840,761)

Shares

outstanding,

end

of

period

4,002,124

3,921,532

192

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.84

0.23

1.48

1.71

(0.21)

(0.71)

(0.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.21

6

(1.06)

(0.85)

(0.27)

(0.87)

(1.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.23

2.13

2.36

(0.22)

(0.18)

(0.40)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.22

2.84

3.06

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.19

0.68

0.87

(0.12)

(0.00)

7

(0.12)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.76

0.20

1.47

1.67

—

(0.71)

(0.71)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.74

0.17

6

(1.06)

(0.89)

(0.22)

(0.87)

(1.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.79

0.18

2.13

2.31

(0.18)

(0.18)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.94

0.18

2.82

3.00

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.16

0.68

0.84

(0.09)

(0.00)

7

(0.09)

AQR

LARGE

CAP

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

16.83

0.25

1.48

1.73

(0.23)

(0.71)

(0.94)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

18.83

0.23

6

(1.07)

(0.84)

(0.29)

(0.87)

(1.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.87

0.25

2.13

2.38

(0.24)

(0.18)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

14.00

0.24

2.84

3.08

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.25

0.21

0.68

0.89

(0.14)

(0.00)

7

(0.14)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.33

0.08

0.07

8

0.15

(0.12)

(0.01)

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.88

0.11

6

(2.14)

(2.03)

(0.08)

(1.44)

(1.52)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.09

0.10

1.27

1.37

(0.12)

(1.46)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.96

0.12

9

2.39

2.51

(0.14)

(0.24)

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.30

0.13

1.56

1.69

(0.03)

(0.00)

7

(0.03)

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.29

0.04

0.08

8

0.12

(0.08)

(0.01)

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.08

6

(2.12)

(2.04)

(0.05)

(1.44)

(1.49)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.01

0.06

1.28

1.34

(0.07)

(1.46)

(1.53)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.90

0.08

9

2.37

2.45

(0.10)

(0.24)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.25

0.10

1.55

1.65

(0.00)

7

(0.00)

7

—

AQR

SMALL

CAP

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

12.35

0.08

0.08

8

0.16

(0.13)

(0.01)

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.91

0.13

6

(2.15)

(2.02)

(0.10)

(1.44)

(1.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

16.11

0.11

1.29

1.40

(0.14)

(1.46)

(1.60)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.98

0.13

9

2.39

2.52

(0.15)

(0.24)

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

12.31

0.16

1.55

1.71

(0.04)

(0.00)

7

(0.04)

193

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

17.63

10.30%

$

218,609

0.45%

0.44%

0.44%

1.38%

48%

$

16.84

(3.55)%

$

361,920

0.44%

0.44%

0.44%

1.29%

6

55%

$

18.83

14.11%

$

507,109

0.44%

0.44%

0.44%

1.28%

64%

$

16.87

22.01%

$

457,339

0.45%

0.44%

0.44%

1.46%

61%

$

14.00

6.61%

$

627,269

0.46%

0.45%

0.45%

1.43%

80%

$

17.72

10.07%

$

10,681

0.71%

0.69%

0.69%

1.17%

48%

$

16.76

(3.84)%

$

57,421

0.70%

0.70%

0.70%

1.02%

6

55%

$

18.74

13.83%

$

71,104

0.70%

0.70%

0.70%

1.02%

64%

$

16.79

21.69%

$

62,679

0.71%

0.70%

0.70%

1.19%

61%

$

13.94

6.40%

$

64,718

0.71%

0.70%

0.70%

1.18%

80%

$

17.62

10.43%

$

863,892

0.35%

0.34%

0.34%

1.51%

48%

$

16.83

(3.50)%

$

1,027,712

0.35%

0.35%

0.35%

1.38%

6

55%

$

18.83

14.20%

$

1,366,762

0.35%

0.35%

0.35%

1.37%

64%

$

16.87

22.18%

$

1,246,028

0.36%

0.35%

0.35%

1.54%

61%

$

14.00

6.71%

$

792,665

0.37%

0.35%

0.35%

1.52%

80%

$

12.35

1.13%

$

39,049

0.70%

0.65%

0.64%

0.63%

51%

$

12.33

(11.74)%

$

42,197

0.66%

0.64%

0.64%

0.92%

6

70%

$

15.88

9.18%

$

61,690

0.66%

0.65%

0.64%

0.63%

64%

$

16.09

18.12%

$

55,115

0.69%

0.65%

0.65%

0.79%

9

61%

$

13.96

13.74%

$

45,483

0.75%

0.65%

0.65%

1.00%

96%

$

12.32

0.87%

$

5,421

0.95%

0.90%

0.89%

0.36%

51%

$

12.29

(11.94)%

$

8,304

0.92%

0.90%

0.90%

0.66%

6

70%

$

15.82

8.94%

$

7,795

0.92%

0.90%

0.90%

0.38%

64%

$

16.01

17.79%

$

8,624

0.94%

0.90%

0.90%

0.53%

9

61%

$

13.90

13.51%

$

9,733

0.99%

0.90%

0.90%

0.76%

96%

$

12.37

1.22%

$

213,517

0.60%

0.55%

0.54%

0.70%

51%

$

12.35

(11.66)%

$

501,656

0.57%

0.55%

0.55%

1.02%

6

70%

$

15.91

9.34%

$

675,945

0.57%

0.55%

0.55%

0.73%

64%

$

16.11

18.17%

$

733,984

0.59%

0.55%

0.55%

0.89%

9

61%

$

13.98

13.90%

$

687,986

0.62%

0.55%

0.55%

1.23%

96%

194

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.06

0.22

(0.25)

(0.03)

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.76

0.28

(0.60)

(0.32)

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.95

0.28

(0.18)

0.10

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.23

0.24

1.74

1.98

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.21

0.26

(0.09)

0.17

(0.15)

—

(0.15)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.03

0.19

(0.25)

(0.06)

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.73

0.24

(0.59)

(0.35)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.92

0.24

(0.17)

0.07

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.20

0.21

1.75

1.96

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.23

(0.10)

0.13

(0.13)

—

(0.13)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

11.05

0.23

(0.26)

(0.03)

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.75

0.28

(0.59)

(0.31)

(0.39)

—

(0.39)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.94

0.29

(0.18)

0.11

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.22

0.26

1.73

1.99

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.20

0.25

(0.07)

0.18

(0.16)

—

(0.16)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.47

0.16

0.85

1.01

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.17

0.24

6

(0.72)

(0.48)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.71

0.15

(0.51)

(0.36)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.95

0.18

1.75

1.93

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.19

0.15

0.81

0.96

(0.20)

—

(0.20)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.47

0.13

0.85

0.98

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.16

0.19

6

(0.69)

(0.50)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.68

0.16

(0.53)

(0.37)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.93

0.14

1.76

1.90

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.17

0.13

0.81

0.94

(0.18)

—

(0.18)

AQR

EMERGING

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.48

0.17

0.86

1.03

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.19

0.22

6

(0.70)

(0.48)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

10.72

0.22

(0.56)

(0.34)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.97

0.19

1.74

1.93

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.20

0.16

0.81

0.97

(0.20)

—

(0.20)

195

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.69

(0.51)%

$

49,672

0.67%

0.60%

0.59%

2.04%

74%

$

11.06

(2.37)%

$

50,189

0.67%

0.60%

0.60%

2.56%

57%

$

11.76

0.81%

$

82,661

0.64%

0.60%

0.60%

2.36%

61%

$

11.95

19.91%

$

76,307

0.65%

0.60%

10

0.60%

10

2.26%

11

55%

$

10.23

1.62%

$

68,288

0.68%

0.59%

0.59%

2.62%

106%

$

10.66

(0.75)%

$

4,147

0.92%

0.85%

0.84%

1.82%

74%

$

11.03

(2.62)%

$

4,261

0.92%

0.85%

0.85%

2.25%

57%

$

11.73

0.51%

$

6,892

0.89%

0.85%

0.85%

2.04%

61%

$

11.92

19.69%

$

8,836

0.91%

0.85%

10

0.85%

10

1.95%

11

55%

$

10.20

1.28%

$

8,491

0.93%

0.85%

0.85%

2.32%

106%

$

10.67

(0.47)%

$

191,955

0.57%

0.50%

0.49%

2.16%

74%

$

11.05

(2.27)%

$

217,891

0.57%

0.50%

0.50%

2.54%

57%

$

11.75

0.90%

$

329,854

0.54%

0.50%

0.50%

2.44%

61%

$

11.94

20.04%

$

385,126

0.56%

0.50%

10

0.50%

10

2.41%

11

55%

$

10.22

1.71%

$

301,294

0.59%

0.50%

0.50%

2.52%

106%

$

10.23

10.69%

$

44,057

0.89%

0.74%

0.74%

1.67%

67%

$

9.47

(4.57)%

$

47,542

0.86%

0.74%

0.74%

2.53%

6

66%

$

10.17

(3.48)%

$

34,903

0.87%

0.75%

0.75%

1.33%

60%

$

10.71

22.17%

$

97,264

0.89%

0.75%

0.75%

1.93%

53%

$

8.95

11.97%

$

73,793

0.95%

0.75%

0.75%

1.85%

94%

$

10.23

10.40%

$

3,347

1.15%

0.99%

0.99%

1.36%

67%

$

9.47

(4.81)%

$

3,890

1.12%

1.00%

1.00%

1.99%

6

66%

$

10.16

(3.58)%

$

5,311

1.12%

1.00%

1.00%

1.42%

60%

$

10.68

21.82%

$

6,726

1.14%

1.00%

1.00%

1.54%

53%

$

8.93

11.72%

$

7,600

1.20%

1.00%

1.00%

1.64%

94%

$

10.25

10.88%

$

180,684

0.80%

0.64%

0.64%

1.75%

67%

$

9.48

(4.54)%

$

176,355

0.77%

0.65%

0.65%

2.31%

6

66%

$

10.19

(3.29)%

$

268,403

0.77%

0.65%

0.65%

2.02%

60%

$

10.72

22.13%

$

222,511

0.79%

0.65%

0.65%

2.01%

53%

$

8.97

12.13%

$

184,112

0.85%

0.65%

0.65%

1.96%

94%

196

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.10

0.19

1.34

1.53

(0.15)

(0.09)

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.73

0.16

6

(0.62)

(0.46)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.09

0.17

1.62

1.79

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.00

0.16

2.05

2.21

(0.12)

(0.00)

7

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.42

0.15

0.49

0.64

(0.05)

(0.01)

(0.06)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.11

0.17

1.32

1.49

(0.12)

(0.09)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.68

0.13

6

(0.60)

(0.47)

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.05

0.14

1.61

1.75

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.97

0.13

2.05

2.18

(0.10)

(0.00)

7

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.40

0.13

0.48

0.61

(0.03)

(0.01)

(0.04)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.12

0.20

1.34

1.54

(0.16)

(0.09)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.75

0.17

6

(0.62)

(0.45)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.10

0.18

1.63

1.81

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.01

0.17

2.05

2.22

(0.13)

(0.00)

7

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.42

0.16

0.49

0.65

(0.05)

(0.01)

(0.06)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.71

0.06

(0.19)

(0.13)

(0.10)

—

(0.10)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.91

0.10

6

(1.80)

(1.70)

(0.08)

(0.42)

(0.50)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.03

0.07

1.14

1.21

(0.07)

(0.26)

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.31

0.09

1.74

1.83

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.21

0.12

14

1.04

1.16

(0.06)

—

(0.06)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.70

0.03

(0.20)

(0.17)

(0.07)

—

(0.07)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.86

0.07

6

(1.78)

(1.71)

(0.03)

(0.42)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.98

0.04

1.14

1.18

(0.04)

(0.26)

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.28

0.05

1.74

1.79

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.20

0.10

14

1.03

1.13

(0.05)

—

(0.05)

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.74

0.07

(0.20)

(0.13)

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

12.94

0.11

6

(1.80)

(1.69)

(0.09)

(0.42)

(0.51)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.06

0.08

1.14

1.22

(0.08)

(0.26)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.32

0.10

1.76

1.86

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.22

0.12

14

1.04

1.16

(0.06)

—

(0.06)

197

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

14.39

11.76%

$

81,992

0.50%

0.45%

0.45%

1.44%

55%

$

13.10

(3.17)%

$

92,990

0.50%

0.45%

0.45%

1.23%

6

59%

$

13.73

14.86%

$

87,556

0.48%

0.45%

0.45%

1.31%

69%

$

12.09

22.33%

$

64,006

0.53%

0.45%

0.45%

1.44%

77%

$

10.00

6.82%

$

39,964

0.59%

12

0.43%

0.43%

1.57%

173%

$

14.39

11.44%

$

2,005

0.74%

0.70%

0.70%

1.28%

55%

$

13.11

(3.34)%

$

1,288

0.72%

0.67%

0.67%

1.00%

6

59%

$

13.68

14.57%

$

2,295

0.74%

0.70%

0.70%

1.05%

69%

$

12.05

22.04%

$

2,210

0.78%

0.70%

0.70%

1.20%

77%

$

9.97

6.48%

$

2,165

0.84%

12

0.69%

0.69%

1.34%

173%

$

14.41

11.84%

$

193,801

0.40%

0.35%

0.35%

1.54%

55%

$

13.12

(3.06)%

$

219,588

0.40%

0.35%

0.35%

1.33%

6

59%

$

13.75

15.03%

$

211,229

0.39%

0.35%

0.35%

1.41%

69%

$

12.10

22.37%

$

161,560

0.43%

0.35%

0.35%

1.54%

77%

$

10.01

6.95%

$

98,092

0.53%

12

0.35%

0.35%

1.63%

173%

$

10.48

(1.34)%

$

12,760

1.32%

0.67%

13

0.67%

13

0.56%

55%

$

10.71

(12.76)%

$

17,950

1.28%

0.65%

0.65%

0.94%

6

86%

$

12.91

10.23%

$

25,755

1.06%

0.65%

0.65%

0.56%

80%

$

12.03

17.79%

$

21,257

1.23%

0.65%

0.65%

0.79%

92%

$

10.31

12.64%

$

13,792

1.90%

12

0.64%

0.64%

1.27%

14

179%

$

10.46

(1.68)%

$

3,163

1.58%

0.93%

13

0.93%

13

0.32%

55%

$

10.70

(12.92)%

$

3,573

1.51%

0.90%

0.90%

0.69%

6

86%

$

12.86

10.00%

$

6,512

1.31%

0.90%

0.90%

0.30%

80%

$

11.98

17.44%

$

5,478

1.47%

0.90%

0.90%

0.48%

92%

$

10.28

12.34%

$

2,970

2.03%

12

0.88%

0.88%

1.05%

14

179%

$

10.50

(1.34)%

$

2,201

1.23%

0.58%

13

0.58%

13

0.67%

55%

$

10.74

(12.60)%

$

2,230

1.19%

0.55%

0.55%

1.04%

6

86%

$

12.94

10.30%

$

2,568

0.96%

0.55%

0.55%

0.66%

80%

$

12.06

18.04%

$

2,327

1.13%

0.55%

0.55%

0.90%

92%

$

10.32

12.63%

$

1,973

2.29%

12

0.55%

0.55%

1.26%

14

179%

198

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.54

0.21

(0.15)

0.06

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.05

0.28

(0.56)

(0.28)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.16

0.25

(0.09)

0.16

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.44

0.23

1.68

1.91

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.40

0.24

(0.08)

8

0.16

(0.12)

—

(0.12)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.52

0.19

(0.17)

0.02

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.01

0.25

(0.55)

(0.30)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.22

(0.09)

0.13

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.42

0.20

1.68

1.88

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.39

0.22

(0.08)

8

0.14

(0.11)

—

(0.11)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.56

0.23

(0.16)

0.07

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.08

0.29

(0.57)

(0.28)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.18

0.26

(0.08)

0.18

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.45

0.24

1.69

1.93

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.41

0.25

(0.09)

8

0.16

(0.12)

—

(0.12)

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.75

0.14

0.92

1.06

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.58

0.25

6

(0.86)

(0.61)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.23

15

(0.59)

(0.36)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.27

0.18

1.88

2.06

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.31

0.17

0.82

0.99

(0.03)

—

(0.03)

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.77

0.14

0.90

1.04

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.57

0.16

6

(0.79)

(0.63)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.12

0.19

15

(0.59)

(0.40)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.15

1.89

2.04

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.30

0.17

0.81

0.98

—

—

—

AQR

TM

EMERGING

MULTI-STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.76

0.18

0.89

1.07

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.59

0.23

6

(0.83)

(0.60)

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.13

0.24

15

(0.59)

(0.35)

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.28

0.19

1.88

2.07

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.32

0.18

0.82

1.00

(0.04)

—

(0.04)

199

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

10.30

0.38%

$

25,718

0.69%

0.60%

0.60%

2.10%

68%

$

10.54

(2.30)%

$

29,185

0.71%

0.60%

0.60%

2.75%

66%

$

11.05

1.39%

$

28,704

0.68%

0.60%

0.60%

2.26%

54%

$

11.16

20.71%

$

25,736

0.71%

0.60%

0.60%

2.31%

52%

$

9.44

1.68%

$

20,094

0.81%

12

0.59%

0.58%

2.58%

135%

$

10.27

0.00%

$

1,225

0.94%

0.85%

0.85%

1.83%

68%

$

10.52

(2.51)%

$

1,219

0.96%

0.85%

0.85%

2.47%

66%

$

11.01

1.17%

$

1,546

0.94%

0.85%

0.85%

1.99%

54%

$

11.12

20.39%

$

2,078

0.97%

0.85%

0.85%

2.03%

52%

$

9.42

1.43%

$

1,592

1.07%

12

0.82%

0.82%

2.41%

135%

$

10.32

0.47%

$

164,978

0.59%

0.50%

0.50%

2.26%

68%

$

10.56

(2.27)%

$

159,758

0.61%

0.50%

0.50%

2.86%

66%

$

11.08

1.56%

$

161,422

0.59%

0.50%

0.50%

2.34%

54%

$

11.18

20.89%

$

151,455

0.62%

0.50%

0.50%

2.42%

52%

$

9.45

1.71%

$

116,641

0.72%

12

0.50%

0.50%

2.73%

135%

$

10.57

10.94%

$

19,271

0.86%

0.75%

0.75%

1.48%

58%

$

9.75

(5.68)%

$

36,722

0.84%

0.75%

0.75%

2.51%

6

62%

$

10.58

(3.35)%

$

17,266

0.85%

0.74%

0.74%

2.01%

15

54%

$

11.12

22.99%

$

17,013

0.86%

0.74%

0.74%

1.89%

51%

$

9.27

12.02%

$

12,711

0.94%

12

0.72%

0.72%

2.00%

181%

$

10.60

10.65%

$

867

1.12%

1.00%

1.00%

1.47%

58%

$

9.77

(5.92)%

$

677

1.09%

1.00%

1.00%

1.64%

6

62%

$

10.57

(3.70)%

$

1,675

1.11%

1.00%

1.00%

1.63%

15

54%

$

11.12

22.64%

$

2,301

1.12%

1.00%

1.00%

1.58%

51%

$

9.28

11.81%

$

2,163

1.20%

12

0.95%

0.95%

2.01%

181%

$

10.58

11.03%

$

321,431

0.77%

0.65%

0.65%

1.82%

58%

$

9.76

(5.59)%

$

305,195

0.74%

0.65%

0.65%

2.32%

6

62%

$

10.59

(3.27)%

$

313,070

0.76%

0.65%

0.65%

2.07%

15

54%

$

11.13

23.05%

$

333,540

0.77%

0.65%

0.65%

1.94%

51%

$

9.28

12.05%

$

272,799

0.87%

12

0.65%

0.65%

2.09%

181%

200

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.57

0.20

3.92

4.12

(0.25)

(1.97)

(2.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.99

0.26

6

(0.44)

(0.18)

(0.22)

(2.02)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

22.00

0.19

4.77

4.96

(0.21)

(1.76)

(1.97)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.44

0.24

2.88

3.12

(0.32)

(1.24)

(1.56)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.96

0.27

1.87

2.14

(0.21)

(1.45)

(1.66)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.56

0.15

3.90

4.05

(0.18)

(1.97)

(2.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.96

0.21

6

(0.43)

(0.22)

(0.16)

(2.02)

(2.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.98

0.13

4.77

4.90

(0.16)

(1.76)

(1.92)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.42

0.19

2.87

3.06

(0.26)

(1.24)

(1.50)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.92

0.21

1.88

2.09

(0.14)

(1.45)

(1.59)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.51

0.23

3.90

4.13

(0.27)

(1.97)

(2.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.94

0.29

6

(0.45)

(0.16)

(0.25)

(2.02)

(2.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

21.96

0.22

4.75

4.97

(0.23)

(1.76)

(1.99)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.41

0.26

2.87

3.13

(0.34)

(1.24)

(1.58)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.94

0.29

1.86

2.15

(0.23)

(1.45)

(1.68)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.66

0.09

1.56

1.65

(0.10)

(0.74)

(0.84)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.09

6

(3.83)

(3.74)

(0.04)

(4.70)

(4.74)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.83

0.05

15

4.58

4.63

(0.06)

(2.26)

(2.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.80

0.10

9

4.10

4.20

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.10

0.15

1.79

1.94

(0.16)

(0.08)

(0.24)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.66

0.04

1.56

1.60

(0.07)

(0.74)

(0.81)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.14

0.05

6

(3.83)

(3.78)

(0.00)

7

(4.70)

(4.70)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.82

(0.00)

7,15

4.58

4.58

—

(2.26)

(2.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.68

0.05

9

4.09

4.14

—

—

—

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

18.99

0.09

1.78

1.87

(0.10)

(0.08)

(0.18)

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.61

0.11

1.56

1.67

(0.13)

(0.74)

(0.87)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

27.10

0.13

6

(3.85)

(3.72)

(0.07)

(4.70)

(4.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

24.79

0.08

15

4.58

4.66

(0.09)

(2.26)

(2.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

20.77

0.12

9

4.09

4.21

(0.19)

—

(0.19)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

19.09

0.13

1.81

1.94

(0.18)

(0.08)

(0.26)

201

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

24.47

19.52%

$

616,263

0.42%

0.40%

0.40%

0.91%

75%

$

22.57

1.38%

$

678,252

0.41%

0.40%

0.40%

1.21%

6

61%

$

24.99

23.94%

$

986,458

0.40%

0.39%

0.39%

0.84%

66%

$

22.00

16.37%

$

869,688

0.41%

0.40%

0.40%

1.19%

88%

$

20.44

11.12%

$

820,914

0.42%

0.40%

0.40%

1.34%

77%

$

24.46

19.20%

$

46,797

0.67%

0.65%

0.65%

0.69%

75%

$

22.56

1.14%

$

67,654

0.66%

0.65%

0.65%

0.97%

6

61%

$

24.96

23.61%

$

77,381

0.65%

0.65%

0.65%

0.58%

66%

$

21.98

16.07%

$

59,044

0.66%

0.65%

0.65%

0.94%

88%

$

20.42

10.89%

$

57,644

0.66%

0.65%

0.65%

1.08%

77%

$

24.40

19.66%

$

116,264

0.32%

0.30%

0.30%

1.05%

75%

$

22.51

1.48%

$

202,063

0.31%

0.30%

0.30%

1.33%

6

61%

$

24.94

24.06%

$

101,971

0.30%

0.30%

0.30%

0.93%

66%

$

21.96

16.47%

$

65,920

0.31%

0.30%

0.30%

1.28%

88%

$

20.41

11.23%

$

59,108

0.32%

0.30%

0.30%

1.45%

77%

$

19.47

8.89%

$

160,586

0.67%

0.60%

0.60%

0.48%

86%

$

18.66

(10.90)%

$

201,555

0.66%

0.60%

0.60%

0.46%

6

79%

$

27.14

20.11%

$

346,665

0.63%

0.60%

0.60%

0.21%

15

73%

$

24.83

20.30%

$

359,470

0.64%

0.60%

0.60%

0.46%

9

86%

$

20.80

10.24%

$

317,154

0.65%

0.60%

0.60%

0.77%

85%

$

19.45

8.59%

$

3,761

0.92%

0.85%

0.85%

0.23%

86%

$

18.66

(11.09)%

$

4,395

0.91%

0.85%

0.85%

0.28%

6

79%

$

27.14

19.84%

$

2,835

0.85%

0.83%

0.83%

(0.02)%

15

73%

$

24.82

20.02%

$

1,720

0.86%

0.82%

0.82%

0.24%

9

86%

$

20.68

9.96%

$

1,574

0.91%

0.84%

0.84%

0.47%

85%

$

19.41

8.99%

$

42,453

0.57%

0.50%

0.50%

0.60%

86%

$

18.61

(10.80)%

$

54,417

0.56%

0.50%

0.50%

0.67%

6

79%

$

27.10

20.26%

$

21,162

0.53%

0.50%

0.50%

0.31%

15

73%

$

24.79

20.39%

$

11,914

0.54%

0.50%

0.50%

0.54%

9

86%

$

20.77

10.30%

$

8,490

0.56%

0.50%

0.50%

0.69%

85%

202

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.98

0.21

1.37

1.58

(0.37)

—

(0.37)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.82

0.31

(0.87)

(0.56)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.50

0.29

0.37

0.66

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.86

0.31

1.65

1.96

(0.32)

—

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.24

0.25

0.59

0.84

(0.22)

—

(0.22)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.94

0.18

1.35

1.53

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.77

0.27

(0.86)

(0.59)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.46

0.26

0.36

0.62

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.82

0.28

1.65

1.93

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.19

0.21

0.60

0.81

(0.18)

—

(0.18)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

14.96

0.23

1.35

1.58

(0.38)

—

(0.38)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

15.80

0.33

(0.87)

(0.54)

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

15.49

0.32

0.35

0.67

(0.36)

—

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

13.85

0.33

1.65

1.98

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

13.23

0.27

0.59

0.86

(0.24)

—

(0.24)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

23.86

0.21

4.81

5.02

(0.26)

(0.28)

(0.54)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.08

0.27

(0.29)

(0.02)

(0.20)

—

(0.20)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.43

0.18

4.63

4.81

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.97

0.20

2.51

2.71

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.54

0.23

14

1.35

1.58

(0.15)

—

(0.15)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

23.73

0.15

4.79

4.94

(0.18)

(0.28)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

23.94

0.20

(0.28)

(0.08)

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.36

0.12

4.61

4.73

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.92

0.15

2.51

2.66

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.50

0.20

14

1.36

1.56

(0.14)

—

(0.14)

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

23.83

0.24

4.80

5.04

(0.28)

(0.28)

(0.56)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

24.06

0.29

(0.30)

(0.01)

(0.22)

—

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.41

0.20

4.63

4.83

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

16.95

0.22

2.51

2.73

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

15.54

0.24

14

1.36

1.60

(0.19)

—

(0.19)

203

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

16.19

10.62%

$

256,067

0.60%

0.55%

0.55%

1.41%

72%

$

14.98

(3.26)%

$

270,031

0.61%

0.55%

0.55%

2.12%

70%

$

15.82

4.31%

$

348,643

0.60%

0.55%

0.55%

1.84%

65%

$

15.50

14.67%

$

326,526

0.63%

0.55%

10

0.55%

10

2.26%

11

84%

$

13.86

6.40%

$

272,002

0.63%

0.55%

0.55%

1.89%

85%

$

16.14

10.33%

$

60,332

0.86%

0.80%

0.80%

1.18%

72%

$

14.94

(3.51)%

$

36,694

0.86%

0.80%

0.80%

1.86%

70%

$

15.77

4.02%

$

40,452

0.85%

0.80%

0.80%

1.61%

65%

$

15.46

14.38%

$

34,030

0.88%

0.80%

10

0.80%

10

1.99%

11

84%

$

13.82

6.16%

$

30,502

0.87%

0.80%

0.79%

1.59%

85%

$

16.16

10.68%

$

114,949

0.50%

0.45%

0.45%

1.50%

72%

$

14.96

(3.15)%

$

129,267

0.51%

0.45%

0.45%

2.25%

70%

$

15.80

4.34%

$

63,978

0.50%

0.45%

0.45%

1.99%

65%

$

15.49

14.80%

$

45,913

0.53%

0.45%

10

0.45%

10

2.35%

11

84%

$

13.85

6.53%

$

35,382

0.53%

0.45%

0.45%

1.98%

85%

$

28.34

21.37%

$

151,209

0.45%

0.40%

0.40%

0.84%

60%

$

23.86

0.08%

$

120,655

0.46%

0.40%

0.40%

1.18%

60%

$

24.08

24.87%

$

112,851

0.45%

0.40%

0.40%

0.82%

50%

$

19.43

16.16%

$

87,151

0.48%

0.40%

0.40%

1.14%

57%

$

16.97

10.22%

$

67,397

0.49%

0.40%

0.40%

1.39%

14

49%

$

28.21

21.09%

$

5,839

0.70%

0.65%

0.65%

0.61%

60%

$

23.73

(0.21)%

$

5,875

0.71%

0.65%

0.65%

0.92%

60%

$

23.94

24.53%

$

13,548

0.70%

0.65%

0.65%

0.57%

50%

$

19.36

15.89%

$

8,524

0.70%

0.65%

0.65%

0.78%

57%

$

16.92

10.11%

$

161

0.65%

0.56%

0.56%

1.22%

14

49%

$

28.31

21.50%

$

105,773

0.35%

0.30%

0.30%

0.96%

60%

$

23.83

0.15%

$

104,192

0.36%

0.30%

0.30%

1.28%

60%

$

24.06

25.00%

$

102,013

0.35%

0.30%

0.30%

0.92%

50%

$

19.41

16.30%

$

84,514

0.38%

0.30%

0.30%

1.25%

57%

$

16.95

10.32%

$

80,190

0.39%

0.30%

0.30%

1.48%

14

49%

204

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.33

0.09

1.92

2.01

(0.11)

(0.23)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.56

0.09

6

(2.69)

(2.60)

(0.04)

(1.59)

(1.63)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.06

0.04

3.52

3.56

(0.05)

(0.01)

(0.06)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.86

0.08

3.24

3.32

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.51

0.12

1.33

1.45

(0.10)

—

(0.10)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.18

0.04

1.91

1.95

(0.07)

(0.23)

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.39

0.04

6

(2.66)

(2.62)

—

(1.59)

(1.59)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.96

(0.01)

3.49

3.48

(0.04)

(0.01)

(0.05)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.79

0.03

3.23

3.26

(0.09)

—

(0.09)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.44

0.10

1.33

1.43

(0.08)

—

(0.08)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

18.32

0.10

1.94

2.04

(0.13)

(0.23)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

22.56

0.12

6

(2.71)

(2.59)

(0.06)

(1.59)

(1.65)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

19.06

0.07

3.51

3.58

(0.07)

(0.01)

(0.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.86

0.10

3.23

3.33

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.50

0.14

1.34

1.48

(0.12)

—

(0.12)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.20

0.19

1.13

1.32

(0.33)

—

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.86

0.28

(0.68)

(0.40)

(0.26)

—

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.70

0.27

0.13

0.40

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.27

0.27

1.45

1.72

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.70

0.23

0.49

0.72

(0.15)

—

(0.15)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.10

0.15

1.13

1.28

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.77

0.23

(0.66)

(0.43)

(0.24)

—

(0.24)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.63

0.24

0.13

0.37

(0.23)

—

(0.23)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.22

0.27

1.41

1.68

(0.27)

—

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.68

0.19

0.51

0.70

(0.16)

—

(0.16)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.16

0.20

1.13

1.33

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.83

0.29

(0.68)

(0.39)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.67

0.27

0.14

0.41

(0.25)

—

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.24

0.28

1.45

1.73

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.70

0.23

0.50

0.73

(0.19)

—

(0.19)

205

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

20.00

11.02%

$

42,662

0.89%

0.60%

0.60%

0.48%

60%

$

18.33

(10.23)%

$

50,757

0.91%

0.60%

0.60%

0.50%

6

66%

$

22.56

18.75%

$

62,800

0.81%

0.60%

0.60%

0.22%

67%

$

19.06

21.02%

$

47,847

0.92%

0.60%

0.60%

0.47%

69%

$

15.86

10.07%

$

33,229

1.10%

0.60%

0.60%

0.83%

92%

$

19.83

10.74%

$

2,698

1.14%

0.85%

0.85%

0.23%

60%

$

18.18

(10.44)%

$

2,905

1.14%

0.83%

0.83%

0.24%

6

66%

$

22.39

18.43%

$

5,720

1.06%

0.85%

0.85%

(0.04)%

67%

$

18.96

20.73%

$

3,230

1.12%

0.84%

0.84%

0.15%

69%

$

15.79

9.95%

$

154

1.26%

0.76%

0.76%

0.65%

92%

$

20.00

11.19%

$

1,842

0.81%

0.50%

0.50%

0.52%

60%

$

18.32

(10.14)%

$

302

0.81%

0.50%

0.50%

0.64%

6

66%

$

22.56

18.85%

$

228

0.71%

0.50%

0.50%

0.32%

67%

$

19.06

21.11%

$

200

0.83%

0.50%

0.50%

0.58%

69%

$

15.86

10.24%

$

166

1.00%

0.50%

0.50%

0.92%

92%

$

14.19

10.07%

$

58,276

0.71%

0.55%

0.55%

1.42%

47%

$

13.20

(2.58)%

$

51,427

0.74%

0.55%

0.55%

2.18%

49%

$

13.86

2.93%

$

58,512

0.70%

0.55%

0.55%

1.90%

34%

$

13.70

14.49%

$

44,119

0.74%

0.55%

10

0.55%

10

2.22%

11

62%

$

12.27

6.18%

$

33,887

0.76%

0.55%

0.55%

1.90%

87%

$

14.11

9.85%

$

2,861

0.96%

0.80%

0.80%

1.14%

47%

$

13.10

(2.89)%

$

3,189

0.99%

0.80%

0.80%

1.86%

49%

$

13.77

2.75%

$

7,817

0.95%

0.80%

0.80%

1.75%

34%

$

13.63

14.23%

$

4,800

0.95%

0.80%

10

0.80%

10

2.08%

11

62%

$

12.22

6.01%

$

160

0.93%

0.72%

0.72%

1.61%

87%

$

14.15

10.20%

$

48,162

0.61%

0.45%

0.45%

1.52%

47%

$

13.16

(2.54)%

$

56,047

0.64%

0.45%

0.45%

2.32%

49%

$

13.83

3.03%

$

62,790

0.60%

0.45%

0.45%

1.95%

34%

$

13.67

14.66%

$

56,847

0.65%

0.45%

10

0.45%

10

2.27%

11

62%

$

12.24

6.25%

$

55,739

0.66%

0.45%

0.45%

1.97%

87%

206

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.83

0.33

1.99

2.32

(0.26)

(0.01)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.18

0.34

1.62

1.96

(0.23)

(0.08)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.23

0.30

3.10

3.40

(0.27)

(0.18)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.71

0.29

2.55

2.84

(0.23)

(0.09)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.27

1.70

1.97

(0.14)

(0.76)

(0.90)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.76

0.27

1.99

2.26

(0.20)

(0.01)

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.11

0.28

1.62

1.90

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.18

0.25

3.09

3.34

(0.23)

(0.18)

(0.41)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.68

0.25

2.54

2.79

(0.20)

(0.09)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.64

0.23

1.70

1.93

(0.13)

(0.76)

(0.89)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

22.81

0.36

1.99

2.35

(0.28)

(0.01)

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

21.15

0.35

1.63

1.98

(0.24)

(0.08)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

18.21

0.32

3.09

3.41

(0.29)

(0.18)

(0.47)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

15.69

0.30

2.55

2.85

(0.24)

(0.09)

(0.33)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

14.62

0.29

1.69

1.98

(0.15)

(0.76)

(0.91)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.09

0.23

0.20

8

0.43

(0.34)

—

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.34

(0.35)

(0.01)

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.27

0.32

15

0.10

0.42

(0.29)

(0.02)

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.10

0.30

9

1.04

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.95

0.29

1.09

1.38

(0.23)

—

(0.23)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.52

0.24

0.18

8

0.42

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.71

0.33

(0.36)

(0.03)

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.58

0.26

15

0.14

0.40

(0.25)

(0.02)

(0.27)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.40

0.28

9

1.06

1.34

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

11.20

0.30

1.09

1.39

(0.19)

—

(0.19)

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

13.09

0.28

0.16

8

0.44

(0.35)

—

(0.35)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

13.38

0.33

(0.33)

0.00

7

(0.29)

—

(0.29)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

13.26

0.34

15

0.10

0.44

(0.30)

(0.02)

(0.32)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

12.09

0.31

9

1.03

1.34

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.94

0.36

1.03

1.39

(0.24)

—

(0.24)

207

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

24.88

10.21%

$

4,248,841

0.40%

0.40%

0.40%

1.44%

35%

$

22.83

9.59%

$

3,262,596

0.39%

0.38%

0.38%

1.60%

20%

$

21.18

18.92%

$

1,502,430

0.39%

0.39%

0.39%

1.52%

18%

$

18.23

18.32%

$

793,828

0.41%

0.40%

0.40%

1.69%

16%

$

15.71

14.00%

$

519,984

0.42%

0.39%

0.39%

1.79%

8%

$

24.81

9.95%

$

463,060

0.66%

0.65%

0.65%

1.18%

35%

$

22.76

9.30%

$

389,897

0.66%

0.65%

0.65%

1.33%

20%

$

21.11

18.58%

$

309,274

0.65%

0.64%

0.64%

1.27%

18%

$

18.18

17.99%

$

239,074

0.67%

0.65%

0.65%

1.46%

16%

$

15.68

13.70%

$

226,020

0.68%

0.65%

0.65%

1.53%

8%

$

24.87

10.32%

$

1,377,116

0.31%

0.30%

0.30%

1.55%

35%

$

22.81

9.72%

$

1,275,970

0.31%

0.30%

0.30%

1.61%

20%

$

21.15

18.99%

$

309,211

0.30%

0.30%

0.30%

1.61%

18%

$

18.21

18.43%

$

197,705

0.32%

0.30%

0.30%

1.79%

16%

$

15.69

14.13%

$

127,311

0.33%

0.30%

0.30%

1.87%

8%

$

13.18

3.21%

$

131,283

0.64%

0.55%

0.55%

1.79%

27%

$

13.09

0.18%

$

202,228

0.64%

0.55%

0.55%

2.64%

24%

$

13.38

3.15%

$

173,932

0.63%

0.55%

0.55%

2.41%

15

21%

$

13.27

11.29%

$

145,091

0.67%

0.55%

10

0.55%

10

2.43%

9,11

3%

$

12.10

12.84%

$

96,844

0.83%

0.54%

0.54%

2.51%

83%

$

13.63

3.04%

$

9,541

0.90%

0.80%

0.80%

1.79%

27%

$

13.52

(0.10)%

$

7,221

0.89%

0.80%

0.80%

2.51%

24%

$

13.71

2.90%

$

4,266

0.88%

0.80%

0.80%

1.84%

15

21%

$

13.58

11.01%

$

30,102

0.92%

0.80%

10

0.80%

10

2.21%

9,11

3%

$

12.40

12.59%

$

21,135

1.08%

0.79%

0.78%

2.51%

83%

$

13.18

3.32%

$

65,720

0.55%

0.45%

0.45%

2.20%

27%

$

13.09

0.26%

$

31,493

0.54%

0.45%

0.45%

2.58%

24%

$

13.38

3.32%

$

28,741

0.53%

0.45%

0.45%

2.54%

15

21%

$

13.26

11.38%

$

19,716

0.57%

0.45%

10

0.45%

10

2.57%

9,11

3%

$

12.09

12.95%

$

14,668

0.67%

0.45%

0.45%

3.06%

83%

208

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.08

0.10

(0.35)

(0.25)

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.64

0.20

(0.59)

(0.39)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.44

0.19

0.17

0.36

(0.16)

—

(0.16)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.80

0.17

0.61

0.78

(0.14)

—

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.21

0.16

0.69

0.85

(0.26)

—

(0.26)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.29

0.08

(0.36)

(0.28)

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.86

0.18

(0.60)

(0.42)

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.67

0.19

0.14

0.33

(0.14)

—

(0.14)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

9.00

0.20

0.59

0.79

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.34

0.15

0.70

0.85

(0.19)

—

(0.19)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.06

0.30

(0.55)

(0.25)

(0.21)

—

(0.21)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.61

0.21

(0.58)

(0.37)

(0.18)

—

(0.18)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

9.42

0.19

0.17

0.36

(0.17)

—

(0.17)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.77

0.18

0.62

0.80

(0.15)

—

(0.15)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

8.21

0.17

0.67

0.84

(0.28)

—

(0.28)

AQR

GLOBAL

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.20

0.06

0.47

0.53

(0.12)

—

(0.12)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.11

0.15

(0.72)

(0.57)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.89

0.13

0.54

0.67

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.12

0.11

1.43

1.54

(0.18)

(0.59)

(0.77)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.80

0.10

0.76

0.86

(0.12)

(0.42)

(0.54)

AQR

GLOBAL

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.12

0.08

0.43

0.51

(0.11)

—

(0.11)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.06

0.13

(0.73)

(0.60)

(0.13)

(0.21)

(0.34)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.84

0.09

0.55

0.64

(0.05)

(0.37)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.07

0.09

1.43

1.52

(0.16)

(0.59)

(0.75)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.73

0.10

0.72

0.82

(0.06)

(0.42)

(0.48)

AQR

GLOBAL

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

8.27

0.12

0.41

0.53

(0.13)

—

(0.13)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.19

0.14

(0.70)

(0.56)

(0.15)

(0.21)

(0.36)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

8.96

0.13

0.55

0.68

(0.08)

(0.37)

(0.45)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

8.18

0.12

1.45

1.57

(0.20)

(0.59)

(0.79)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

7.85

0.12

0.75

0.87

(0.12)

(0.42)

(0.54)

209

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

8.62

(2.99)%

$

2,679

1.08%

0.71%

16

0.70%

16

1.08%

38%

$

9.08

(4.02)%

$

75,352

0.97%

0.70%

0.70%

2.18%

30%

$

9.64

3.77%

$

76,491

0.97%

0.70%

0.70%

1.94%

16%

$

9.44

9.17%

$

62,261

1.07%

0.70%

0.70%

1.99%

17%

$

8.80

10.73%

$

49,612

1.15%

0.68%

0.68%

1.90%

23%

$

8.84

(3.17)%

$

165

1.43%

0.97%

16

0.96%

16

0.91%

38%

$

9.29

(4.21)%

$

6,721

1.22%

0.95%

0.95%

1.92%

30%

$

9.86

3.39%

$

9,977

1.22%

0.95%

0.95%

1.95%

16%

$

9.67

9.04%

$

4,922

1.28%

0.93%

0.93%

2.21%

17%

$

9.00

10.42%

$

207

1.38%

0.91%

0.91%

1.79%

23%

$

8.60

(2.90)%

$

5,790

3.53%

0.73%

16

0.72%

16

3.55%

38%

$

9.06

(3.83)%

$

190

0.87%

0.60%

0.60%

2.27%

30%

$

9.61

3.76%

$

198

0.87%

0.60%

0.60%

1.94%

16%

$

9.42

9.40%

$

208

0.97%

0.60%

0.60%

2.02%

17%

$

8.77

10.67%

$

190

1.05%

0.60%

0.60%

2.06%

23%

$

8.61

6.48%

$

15,876

0.82%

0.80%

0.80%

0.76%

94%

$

8.20

(5.78)%

$

187,408

0.81%

0.80%

0.80%

1.82%

122%

$

9.11

7.65%

$

198,954

0.82%

0.80%

0.80%

1.42%

87%

$

8.89

20.70%

$

41,551

0.89%

0.82%

0.82%

1.37%

88%

$

8.12

11.33%

$

33,013

0.96%

0.89%

0.89%

1.36%

78%

$

8.52

6.24%

$

5,126

1.07%

1.05%

1.05%

0.94%

94%

$

8.12

(6.17)%

$

4,573

1.06%

1.05%

1.05%

1.59%

122%

$

9.06

7.36%

$

2,120

1.07%

1.05%

1.05%

1.02%

87%

$

8.84

20.57%

$

2,254

1.14%

1.07%

1.07%

1.09%

88%

$

8.07

10.93%

$

1,712

1.20%

1.13%

1.12%

1.28%

78%

$

8.67

6.40%

$

290,082

0.72%

0.70%

0.70%

1.47%

94%

$

8.27

(5.67)%

$

106,872

0.72%

0.70%

0.70%

1.72%

122%

$

9.19

7.74%

$

173,425

0.72%

0.70%

0.70%

1.39%

87%

$

8.96

20.98%

$

146,167

0.77%

0.70%

0.70%

1.48%

88%

$

8.18

11.33%

$

106,573

0.77%

0.70%

0.70%

1.59%

78%

210

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.50

0.13

17

(0.08)

0.05

(0.30)

—

(0.30)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.49

0.23

(0.97)

(0.74)

(0.17)

(0.08)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.66

0.22

15

(0.32)

(0.10)

(0.25)

(0.82)

(1.07)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.17

0.20

1.73

1.93

(0.30)

(0.14)

(0.44)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.61

0.21

0.67

0.88

(0.20)

(0.12)

(0.32)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

9.75

0.12

17

(0.11)

0.01

(0.28)

—

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

10.74

0.22

(0.99)

(0.77)

(0.14)

(0.08)

(0.22)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

11.88

0.21

15

(0.33)

(0.12)

(0.20)

(0.82)

(1.02)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.35

0.18

1.77

1.95

(0.28)

(0.14)

(0.42)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

9.77

0.19

0.68

0.87

(0.17)

(0.12)

(0.29)

AQR

INTERNATIONAL

EQUITY

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.16

0.16

17

(0.10)

0.06

(0.31)

—

(0.31)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

11.20

0.26

(1.04)

(0.78)

(0.18)

(0.08)

(0.26)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2018

$

12.39

0.24

15

(0.35)

(0.11)

(0.26)

(0.82)

(1.08)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2017

$

10.77

0.27

1.81

2.08

(0.32)

(0.14)

(0.46)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2016

$

10.16

0.16

0.77

0.93

(0.20)

(0.12)

(0.32)

211

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5

$

9.25

0.23%

$

68,121

0.91%

0.86%

0.85%

1.42%

17

84%

$

9.50

(6.86)%

$

191,080

0.88%

0.84%

0.84%

2.43%

91%

$

10.49

(1.24)%

$

391,509

0.88%

0.86%

0.86%

1.97%

15

87%

$

11.66

19.96%

$

346,078

0.98%

0.91%

10

0.91%

10

1.89%

11

83%

$

10.17

9.34%

$

370,530

0.97%

0.95%

0.95%

2.14%

62%

$

9.48

(0.12)%

$

5,238

1.14%

1.11%

1.10%

1.29%

17

84%

$

9.75

(7.03)%

$

7,951

1.05%

1.01%

1.01%

2.20%

91%

$

10.74

(1.41)%

$

13,090

1.10%

1.09%

1.09%

1.85%

15

87%

$

11.88

19.68%

$

14,873

1.24%

1.16%

10

1.16%

10

1.71%

11

83%

$

10.35

9.04%

$

37,297

1.20%

1.18%

1.18%

1.89%

62%

$

9.91

0.34%

$

39,666

0.82%

0.76%

0.75%

1.68%

17

84%

$

10.16

(6.80)%

$

39,853

0.80%

0.76%

0.76%

2.56%

91%

$

11.20

(1.23)%

$

44,742

0.79%

0.77%

0.77%

2.04%

15

87%

$

12.39

20.20%

$

44,105

0.85%

0.81%

10

0.81%

10

2.39%

11

83%

$

10.77

9.40%

$

14,387

0.77%

0.77%

0.77%

1.57%

62%

212

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Large

Cap

Multi-Style

Fund

–

Class

I

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

$0.19

1.18%

AQR

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.15

0.90

AQR

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.21

1.27

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.09

0.77

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.51

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.87

AQR

Emerging

Multi-Style

Fund

–

Class

I

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

0.21

2.22

AQR

Emerging

Multi-Style

Fund

–

Class

N

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

0.16

1.69

AQR

Emerging

Multi-Style

Fund

–

Class

R6

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

0.19

2.01

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

I

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

0.14

1.09

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

N

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

0.11

0.86

AQR

TM

Large

Cap

Multi-Style

Fund

–

Class

R6

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

0.15

1.19

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

I

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

0.07

0.69

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.04

0.44

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.08

0.79

AQR

TM

Emerging

Multi-Style

Fund

–

Class

I

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

0.23

2.28

AQR

TM

Emerging

Multi-Style

Fund

–

Class

N

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

0.14

1.41

AQR

TM

Emerging

Multi-Style

Fund

–

Class

R6

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

0.21

2.09

AQR

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.23

1.09

AQR

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.18

0.85

AQR

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.26

1.21

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.07

0.34

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.16

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.11

0.55

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.06

0.35

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.01

0.09

AQR

TM

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.09

0.49

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Funds

invests.

5

Portfolio

turnover

is

not

annualized.

6

For

the

period

ended

September

30,

2019

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

7

Amount

is

less

than

$.005

per

share.

8

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.

213

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.10

0.63%

AQR

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.06

0.37

AQR

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

0.73

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.08

0.35

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

0.03

0.13

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.10

0.43

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.24

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.26

2.02

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.29

2.38

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

I

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

$0.11

1.14%

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

N

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

0.09

0.92

AQR

TM

Small

Cap

Multi-Style

Fund

–

Class

R6

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

0.11

1.13

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

I

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

0.21

1.27

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

N

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

0.18

1.10

AQR

TM

Large

Cap

Momentum

Style

Fund

–

Class

R6

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

0.22

1.36

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

TM

Emerging

Multi-Style

Fund

–

Class

I

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

$0.22

1.90%

AQR

TM

Emerging

Multi-Style

Fund

–

Class

N

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

0.18

1.52

AQR

TM

Emerging

Multi-Style

Fund

–

Class

R6

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

0.23

1.96

AQR

Small

Cap

Momentum

Style

Fund

–

Class

I

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

0.03

0.12

AQR

Small

Cap

Momentum

Style

Fund

–

Class

N

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

(0.02)

(0.11)

AQR

Small

Cap

Momentum

Style

Fund

–

Class

R6

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

0.06

0.22

AQR

International

Defensive

Style

Fund

–

Class

I

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

0.28

2.14

AQR

International

Defensive

Style

Fund

–

Class

N

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

0.22

1.57

AQR

International

Defensive

Style

Fund

–

Class

R6

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

0.30

2.27

AQR

International

Equity

Fund

–

Class

I

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

0.21

1.86

AQR

International

Equity

Fund

–

Class

N

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

0.20

1.74

AQR

International

Equity

Fund

–

Class

R6

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

0.23

1.93

9

For

the

period

ended

September

30,

2017

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

10

Excludes

impact

of

IRS

closing

agreement

tax

expense.

11

Includes

impact

of

IRS

closing

agreement

reimbursement.

12

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

13

Includes

0.02%,

0.03%

and

0.03%

of

extraordinary

expenses

related

to

legal

and

tax

services

for

Classes

I,

N

and

R6

respectively.

14

For

the

period

ended

September

30,

2016

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

15

For

the

period

ended

September

30,

2018

certain

Funds

received

special

dividends.

Had

these

special

dividends

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

16

Includes

0.00%,

0.01%

and

0.12%

of

extraordinary

expenses

related

to

legal

and

tax

services

for

Classes

I,

N

and

R6

respectively.

214

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

FUND

NET

INVESTMENT

INCOME

PER

SHARE

NET

INVESTMENT

INCOME

RATIO

AQR

International

Equity

Fund

–

Class

I

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

$0.12

1.32%

AQR

International

Equity

Fund

–

Class

N

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

0.11

1.19

AQR

International

Equity

Fund

–

Class

R6

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

0.15

1.58

17

For

the

period

ended

September

30,

2020

the

AQR

International

Equity

Fund

received

European

Union

("EU")

tax

reclaims.

Had

these

EU

tax

reclaims

not

been

received

the

Net

Investment

Income

Per

Share

and

Net

Investment

Income

Ratio

would

have

been

as

follows:

215

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

As

of

September

30,

2020,

the

Trust

consists

of

thirty-six

active

series, nineteen

of

which

are

presented

in

this

book

(collectively,

the

“Funds”

and

each

individually

a

“Fund”):

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund,

AQR

TM

International

Momentum

Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Emerging

Defensive

Style

Fund,

AQR

Global

Equity

Fund

and AQR

International

Equity

Fund.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

Fund.

The

investment

objective

for

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund

is

to

seek

long-term

capital

appreciation.

The

investment

objective

for

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund

and

AQR

Emerging

Defensive

Style

Fund

is

to

seek

total

return.

The

investment

objective

for

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund

and

AQR

TM

International

Momentum

Style

Fund

is

to

seek

long-term

after-tax

capital

appreciation.

Each

Fund

offers

Class

I,

Class

N

and

Class

R6

shares.

Significant

Accounting

Policies

Basis

of

Preparation:

The

Funds

are

investment

companies

and

apply

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

4.

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Funds

are

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations.

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Funds’

prime

brokers

and

counterparties.

The

Funds

are

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Funds.

Foreign

Currency

Translation:

The

books

and

records

of

the

Funds

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Funds’

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Funds

do

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statements

of

Operations.

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statements

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Funds’

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statements

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

216

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Investment

Transactions

and

Related

Income:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable. Dividend

income

(expense)

net

of

foreign

taxes

withheld,

if

any,

is

recorded

on

the

ex-dividend

date

or

when

the

Fund

first

learns

of

the

ex-

date

dividend

notification.

The

Funds

may

file

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

previously

withheld.

As

a

result

of

rulings

from

European

courts,

the

Funds

filed

for

additional

reclaims

related

to

prior

years.

Income

recognized,

if

any,

for European

Union

(“EU”)

reclaims

is

reflected

as

dividend

income

in

the

Statements

of

Operations.

These

reclaims

are

recorded

when

the

amount

is

known

and

there

are

no

significant

uncertainties

on

collectability.

Upon

notification

from

issuers,

some

of

the

dividend

income

received

from

a

real

estate

investment

trust

may

be

redesignated

as

a

reduction

of

cost

of

the

related

investment

and/or

realized

gain.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Funds

are

charged

for

those

expenses

that

are

directly

attributable

to

each

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

based

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

Certain

Funds

may

invest

in

other

investment

companies,

including

affiliated

funds,

and,

as

a

result,

indirectly

bear

a

portion

of

the

advisory

and

operating

expenses

incurred

by

these

entities.

Such

expenses

are

not

reflected

in

the

expenses

shown

on

the

Statements

of

Operations

and

are

not

included

in

the

ratios

to

average

net

assets

shown

on

the

Financial

Highlights. 

The

Funds

record

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Funds

adjust

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

The

Funds

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Funds

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon

their

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which

they

invest.

Federal

Income

Taxes:

Each

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

Each

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

each

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly

no

provision

for

Federal

income

tax

is

necessary.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Funds’

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

more-likely-than-not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Funds

are

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Funds

have

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Funds'

open

tax

years.

The

Funds

are

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Funds

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination. As

of

September

30,

2020,

the

Funds

had

no

examinations

in

progress.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

The

Funds

intend

to

declare

and

distribute

substantially

all

of

their

net

investment

income

and

net

realized

capital

gains,

if

any,

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Funds’

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statements

of

Changes

in

Net

Assets

and

have

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Funds

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Funds’

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Funds.

However,

based

on

experience,

the

Funds

expect

the

risk

of

loss

to

be

remote.

217

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Funds

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company

.

Additionally,

certain

Funds

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated issuer

of

some

of

the

Funds

in

the

Trust.

However,

the

Funds

do

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated issuer

is

included

in

the

Schedules

of

Investments,

if

applicable.

Futures

Contracts:

Certain

Funds

invest

in

futures

contracts

as

part

of

their

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Funds,

the

Funds

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Funds,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statements

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statements

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Funds

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Funds

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Forward

Foreign

Currency

Exchange

Contracts:

Certain

Funds

buy

and

sell

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Funds

record

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Funds

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Funds

are

unable

to

enter

into

a

closing

position.

Risks

may

exceed

amounts

recognized

on

the

Statements

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments.

Swap

Contracts:

Certain

Funds

engage

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedules

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

The

Funds’

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Funds

invested

in

the

underlying

positions

directly.

Total

Return

Swap

Contracts:

Certain

Funds

invest

in

total

return

swaps

to

obtain

exposure

to

the

underlying

referenced

instruments,

obtain

leverage

or

attain

the

returns

from

ownership

without

actually

owning

the

underlying

position.

Total

return

swaps

are

two-party

contracts

that

generally

obligate

one

party

to

pay

the

positive

return

and

the

other

party

to

pay

the

negative

return

on

a

specified

reference

security,

security

index

or

index

component

during

the

period

of

the

swap.

Total

return

swap

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

net

change

in

appreciation

(depreciation)

on

swap

contracts

in

the

Statements

of

Operations.

Total

return

swaps

normally

do

not

involve

the

delivery

of

securities

or

other

underlying

assets.

If

the

counterparty

to

a

total

return

swap

contract

defaults,

a

Fund’s

risk

of

loss

consists

of

the

net

amount

of

payments

the

Fund

is

contractually

entitled

to

receive,

if

any.

The

use

of

long

total

return

swap

contracts

subject

the

Funds

to

risk

of

loss

in

excess

of

the

amounts

shown

on

the

Statements

of

Assets

and

Liabilities.

The

use

of

short

total

return

swaps

subject

the

Funds

to

potential

unlimited

loss.

Periodic

payments

received

(paid)

by

the

Funds

are

recorded

as

realized

gains

(losses)

from

the

expiration

or

closing

of

swap

contracts

in

the

Statements

of

Operations.

Total

return

swap

contracts

outstanding

at

period

end,

if

any,

are

listed

after

each

Fund’s

Schedule

of

Investments. 

Securities

Lending:

Certain

Funds

may

lend

securities

to

qualified

borrowers

approved

by

the

Adviser

in

order

to

generate

additional

income.

Securities

loaned

are

collateralized

by

cash

or

securities

issued

by

the

U.S.

Treasury

valued

at

102%

to

105%

of

the

market

value

of

the

securities

on

loan.

The

Funds

may

invest

cash

collateral

in

money

market

funds

as

indicated

on

the

Schedule

of

Investments.

The

Funds

bear

the

risk

of

loss

associated

with

the

collateral

investments

and

are

not

entitled

to

additional

collateral

from

the

borrower

to

cover

any

such

losses.

218

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Daily

market

fluctuations

could

cause

the

value

of

loaned

securities

to

be

more

or

less

than

the

value

of

the

collateral

received.

When

this

occurs,

the

collateral

is

adjusted

and

settled

on

the

next

business

day.

Securities

lending

also

involves

counterparty

risks,

including

the

risk

that

the

loaned

securities

may

not

be

returned

in

a

timely

manner

or

at

all.

In

the

event

of

a

default

by

a

borrower

with

respect

to

any

loan,

the

lending

agent

will

exercise

any

and

all

remedies

provided

under

the

applicable

borrower

agreement

to

make

the

Funds

whole.

If,

despite

such

efforts

by

the

lending

agent

to

exercise

these

remedies,

the

Funds

sustain

losses

as

a

result

of

a

borrower’s

default,

the

lending

agent

indemnifies

the

Funds

by

purchasing

replacement

securities

at

its

expense,

or

paying

the

Funds

an

amount

equal

to

the

market

value

of

the

replacement

securities,

subject

to

certain

limitations

which

are

set

forth

in

the

Securities

Lending

Agency

Agreement

between

the

Funds

and

the

lending

agent.

Non-cash

collateral

received,

if

any,

is

disclosed

in

a

footnote

to

the

Schedules

of

Investments

for

each

Fund.

Securities

lending

income,

net

on

the

Statements

of

Operations

represents

fees

charged

to

borrowers

plus

income

earned

on

invested

cash

collateral,

less

expenses

associated

with

the

loan.

Certain

of

the

securities

on

loan

may

have

been

sold

prior

to

the

close

of

the

reporting

period

and

are

included

in

Receivables

for

Securities

Sold

on

the

Statements

of

Assets

and

Liabilities.

Security

loans

can

be

terminated

at

the

discretion

of

either

the

lending

agent

or

the

Fund

and

the

related

securities

must

be

returned

within

the

earlier

of

the

standard

trade

settlement

period

for

such

securities

or

within

three

business

days.

At

period

end,

Funds

with

investments

securities

on

loan

disclose

the

balance

of

such

securities

on

loan

in

the

footnotes

to

the

Schedule

of

Investments. The

fair

value

of

the

Funds'

investment

securities

on

loan

and

a

related

liability

for

collateral

received

on

securities

loaned

are

both

presented

gross

on

the

Statements

of

Assets

and

Liabilities.

Master

Agreements:

Certain

Funds

are

parties

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Funds

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Funds’

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

certain

Funds

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Funds

are

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

are

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedules

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statements

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statements

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

certain

Funds

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

a

Fund

for

OTC

derivatives

pursuant

to

a

Master

Agreement

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statements

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

a

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund’s

Schedule

of

Investments.

Segregation

of

a

fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

Due

to

brokers

in

the

Statements

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

219

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

For

financial

reporting

purposes,

the

Funds

do

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statements

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Funds’

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

each

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

such

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Funds

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Funds’

Board

of

Trustees

(the

“Board”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Funds’

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Funds’

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Funds

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Funds

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Equity

securities,

including

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.

220

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

An

equity

for

which

no

sales

are

reported,

as

in

the

case

of

a

security

that

is

traded

in

the

over-the-counter

market

or

a

less

liquid

listed

equity,

is

valued

at

its

last

bid

price

(in

the

case

of

short

sales,

at

the

ask

price)

and

is

therefore

classified

Level

2.

In

addition,

equities

traded

outside

of

the

Western

Hemisphere

are

classified

Level

2

because

they

are

fair

valued

daily

based

on

the

application

of

a

fair

value

factor

(unless

the

Adviser

determines

that

use

of

another

valuation

methodology

is

appropriate).

The

Funds

apply

daily

fair

value

factors,

furnished

by

an

independent

pricing

service,

to

account

for

the

market

movement

between

the

close

of

the

foreign

market

and

the

close

of

the

NYSE.

The

pricing

service

uses

statistical

analysis

and

quantitative

models

to

adjust

local

market

prices

using

factors

such

as

subsequent

movement

and

changes

in

the

prices

of

indices,

American

Depositary

Receipts,

futures

contracts

and

exchange

rates

in

other

markets

in

determining

fair

value

as

of

the

time

a

Fund

calculates

its

net

asset

value.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Funds

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Funds

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Funds

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Funds

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable.

The

value

of

each

total

return

swap

contract

and

total

return

basket

swap

contract

is

derived

from

a

combination

of

(i)

the

net

value

of

the

underlying

positions,

which

are

valued

daily

using

the

last

sale

or

closing

price

on

the

principal

exchange

on

which

the

securities

are

traded;

(ii)

financing

costs;

(iii)

the

value

of

dividends

or

accrued

interest;

(iv)

cash

balances

within

the

swap;

and

(v)

other

factors,

as

applicable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

221

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Quantitative

Information

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

1,032,156,027

$

–

$

–

$

1,032,156,027

Preferred

Stocks

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

377,452

–

–

377,452

Securities

Lending

Collateral

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

3,621,292

–

–

3,621,292

Short-Term

Investments

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

53,474,509

–

–

53,474,509

Futures

Contracts*

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

421,982

–

–

421,982

Total

Assets

$

1,090,051,262

$

–

$

–

$

1,090,051,262

AQR

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

241,575,732

$

–

$

–

$

241,575,732

Preferred

Stocks

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

153,412

–

–

153,412

Securities

Lending

Collateral

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

11,494,623

–

–

11,494,623

Short-Term

Investments

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

14,585,823

–

–

14,585,823

Total

Assets

$

267,809,590

$

–

$

–

$

267,809,590

LIABILITIES

Futures

Contracts*

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

$

(94,315)

$

–

$

–

$

(94,315)

Total

Liabilities

$

(94,315)

$

–

$

–

$

(94,315)

AQR

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

23,663,594

$

205,996,365

$

–

$

229,659,959

Securities

Lending

Collateral

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

1,709,905

–

–

1,709,905

Short-Term

Investments

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

11,654,864

–

–

11,654,864

Total

Assets

$

37,028,363

$

205,996,365

$

–

$

243,024,728

LIABILITIES

Futures

Contracts*

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

$

(184,888)

$

–

$

–

$

(184,888)

Total

Liabilities

$

(184,888)

$

–

$

–

$

(184,888)

AQR

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

62,887,318

$

150,760,925

$

–

$

213,648,243

Securities

Lending

Collateral

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

14,515

–

–

14,515

Short-Term

Investments

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

9,792,550

–

–

9,792,550

Total

Assets

$

72,694,383

$

150,760,925

$

–

$

223,455,308

LIABILITIES

Futures

Contracts*

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

$

(57,011)

$

–

$

–

$

(57,011)

Total

Liabilities

$

(57,011)

$

–

$

–

$

(57,011)

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

262,735,538

$

–

$

–

$

262,735,538

Preferred

Stocks

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

101,751

–

–

101,751

Securities

Lending

Collateral

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

319,493

–

–

319,493

Short-Term

Investments

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

13,000,151

–

–

13,000,151

Futures

Contracts*

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

39,190

–

–

39,190

Total

Assets

$

276,196,123

$

–

$

–

$

276,196,123

222

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

16,970,327

$

–

$

–

$

16,970,327

Preferred

Stocks

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

9,856

–

–

9,856

Securities

Lending

Collateral

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

734,675

–

–

734,675

Short-Term

Investments

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

897,013

–

–

897,013

Total

Assets

$

18,611,871

$

–

$

–

$

18,611,871

LIABILITIES

Futures

Contracts*

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

$

(7,750)

$

–

$

–

$

(7,750)

Total

Liabilities

$

(7,750)

$

–

$

–

$

(7,750)

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

17,197,180

$

165,188,777

$

–

$

182,385,957

Securities

Lending

Collateral

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

2,470,839

–

–

2,470,839

Short-Term

Investments

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

6,926,765

–

–

6,926,765

Total

Assets

$

26,594,784

$

165,188,777

$

–

$

191,783,561

LIABILITIES

Futures

Contracts*

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

$

(192,848)

$

–

$

–

$

(192,848)

Total

Liabilities

$

(192,848)

$

–

$

–

$

(192,848)

AQR

TM

EMERGING

MULTI-STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

93,547,842

$

232,278,675

$

–

$

325,826,517

Short-Term

Investments

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

11,918,133

–

–

11,918,133

Total

Assets

$

105,465,975

$

232,278,675

$

–

$

337,744,650

LIABILITIES

Futures

Contracts*

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

$

(66,971)

$

–

$

–

$

(66,971)

Total

Liabilities

$

(66,971)

$

–

$

–

$

(66,971)

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

756,965,864

$

–

$

–

$

756,965,864

Securities

Lending

Collateral

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

2,846,570

–

–

2,846,570

Short-Term

Investments

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

22,244,290

–

–

22,244,290

Futures

Contracts*

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

18,613

–

–

18,613

Total

Assets

$

782,075,337

$

–

$

–

$

782,075,337

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

199,705,262

$

–

$

–

(a)

$

199,705,262

Securities

Lending

Collateral

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

8,859,206

–

–

8,859,206

Short-Term

Investments

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

6,772,271

–

–

6,772,271

Total

Assets

$

215,336,739

$

–

$

–

(a)

$

215,336,739

LIABILITIES

Futures

Contracts*

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

$

(180,469)

$

–

$

–

$

(180,469)

Total

Liabilities

$

(180,469)

$

–

$

–

$

(180,469)

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

34,412,426

$

377,875,691

$

–

(a)

$

412,288,117

Securities

Lending

Collateral

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

3,220,422

–

–

3,220,422

Short-Term

Investments

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

15,004,949

–

–

15,004,949

Total

Assets

$

52,637,797

$

377,875,691

$

–

(a)

$

430,513,488

LIABILITIES

Futures

Contracts*

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

$

(410,094)

$

–

$

–

$

(410,094)

Total

Liabilities

$

(410,094)

$

–

$

–

$

(410,094)

223

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

249,639,760

$

–

$

–

$

249,639,760

Securities

Lending

Collateral

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

1,244,245

–

–

1,244,245

Short-Term

Investments

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

12,697,076

–

–

12,697,076

Total

Assets

$

263,581,081

$

–

$

–

$

263,581,081

LIABILITIES

Futures

Contracts*

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

$

(37,163)

$

–

$

–

$

(37,163)

Total

Liabilities

$

(37,163)

$

–

$

–

$

(37,163)

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

44,723,082

$

–

$

–

$

44,723,082

Securities

Lending

Collateral

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

4,635,655

–

–

4,635,655

Short-Term

Investments

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

2,190,884

–

–

2,190,884

Total

Assets

$

51,549,621

$

–

$

–

$

51,549,621

LIABILITIES

Futures

Contracts*

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

$

(20,866)

$

–

$

–

$

(20,866)

Total

Liabilities

$

(20,866)

$

–

$

–

$

(20,866)

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

8,828,520

$

95,234,836

$

–

$

104,063,356

Securities

Lending

Collateral

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

287,708

–

–

287,708

Short-Term

Investments

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

3,977,121

–

–

3,977,121

Total

Assets

$

13,093,349

$

95,234,836

$

–

$

108,328,185

LIABILITIES

Futures

Contracts*

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

$

(106,139)

$

–

$

–

$

(106,139)

Total

Liabilities

$

(106,139)

$

–

$

–

$

(106,139)

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

5,800,782,441

$

–

$

–

$

5,800,782,441

Securities

Lending

Collateral

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

12,016,046

–

–

12,016,046

Short-Term

Investments

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

265,863,029

–

–

265,863,029

Futures

Contracts*

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

4,817,590

–

–

4,817,590

Total

Assets

$

6,083,479,106

$

–

$

–

$

6,083,479,106

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

15,253,397

$

178,998,105

$

–

$

194,251,502

Securities

Lending

Collateral

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

2,743,566

–

–

2,743,566

Short-Term

Investments

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

9,553,416

–

–

9,553,416

Total

Assets

$

27,550,379

$

178,998,105

$

–

$

206,548,484

LIABILITIES

Futures

Contracts*

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

$

(232,730)

$

–

$

–

$

(232,730)

Total

Liabilities

$

(232,730)

$

–

$

–

$

(232,730)

AQR

EMERGING

DEFENSIVE

STYLE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

569,619

$

7,474,313

$

–

$

8,043,932

Corporate

Bonds

†

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

–

67

–

67

Short-Term

Investments

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

470,693

–

–

470,693

Total

Assets

$

1,040,312

$

7,474,380

$

–

$

8,514,692

LIABILITIES

Futures

Contracts*

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

$

(4,585)

$

–

$

–

$

(4,585)

Total

Liabilities

$

(4,585)

$

–

$

–

$

(4,585)

224

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price. 

There

were

no

other

Level

3

securities

held

at

period

end,

except

those

securities

classified

as

Level

3

in

the

Schedules

of

Investments

that

are

considered

quantitatively

insignificant

in

the

aggregate

for

the AQR

Small

Cap

Momentum

Style

Fund,

AQR

International Momentum

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund.

The

fair

values

of

Level

3

investments

are

based

on

significant

unobservable

inputs

that

reflect

the

Adviser’s

determination

of

assumptions

that

market

participants

might

reasonably

use

in

valuing

the

securities.

Changes

in

significant

unobservable

inputs

could

cause

significant

changes

in

valuation

to

individual

securities

and

in

aggregate.

Fair

value

determinations

and

valuation

of

investments

that

are

not

actively

trading

involve

judgment

and

may

differ

materially

from

valuations

that

would

have

been

used

had

greater

market

activity

occurred.

The

significant

unobservable

inputs

used

in

the

fair

value

measurement

of

a

Fund’s

investments

in

common

stocks,

corporate

bonds,

convertible

bonds,

convertible

preferred

stocks

and

warrants

potentially

include

credit

spread,

liquidity

discount,

earnings

multiples

and

volatility.

Significant

increases

in

the

credit

spread

or

liquidity

discount

inputs

in

isolation

would

potentially

result

in

a

significantly

lower

fair

value

measurement,

whereas

an

increase

in

volatility

generally

results

in

a

higher

fair

value

measurement.

Generally,

a

change

in

the

assumption

used

for

the

credit

spread

would

be

accompanied

by

a

directionally-similar

change

in

the

assumptions

used

for

the

volatility

and

liquidity

discount.

Investments

in

common

stocks

potentially

include

liquidity

discounts,

theoretical

values,

book

to

value

analysis

and/or

broker

quotes.

Significant

changes

in

any

of

these

inputs

would

significantly

change

the

fair

value

measurement

of

the

position.

AQR

GLOBAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

187,547,662

$

82,962,435

$

–

(a)

$

270,510,097

Securities

Lending

Collateral

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

1,143,799

–

–

1,143,799

Short-Term

Investments

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

27,404,450

–

–

27,404,450

Futures

Contracts*

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

1,560,438

–

–

1,560,438

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,642,008

–

2,642,008

Total

Return

Swaps

Contracts*

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

–

369,780

–

369,780

Total

Assets

$

217,656,349

$

85,974,223

$

–

(a)

$

303,630,572

LIABILITIES

Futures

Contracts*

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

$

(940,584)

$

–

$

–

$

(940,584)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,679,559)

–

(2,679,559)

Total

Return

Swaps

Contracts*

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

–

(20,596)

–

(20,596)

Total

Liabilities

$

(940,584)

$

(2,700,155)

$

–

$

(3,640,739)

AQR

INTERNATIONAL

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

96,585,546

$

–

(a)

$

96,585,546

Securities

Lending

Collateral

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

299,458

–

–

299,458

Short-Term

Investments

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

10,787,990

–

–

10,787,990

Futures

Contracts*

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

501,925

–

–

501,925

Forward

Foreign

Currency

Exchange

Contracts*

........

–

763,011

–

763,011

Total

Return

Swaps

Contracts*

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

–

246,290

–

246,290

Total

Assets

$

11,589,373

$

97,594,847

$

–

(a)

$

109,184,220

LIABILITIES

Futures

Contracts*

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

$

(235,591)

$

–

$

–

$

(235,591)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(1,379,123)

–

(1,379,123)

Total

Return

Swaps

Contracts*

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

–

(63,584)

–

(63,584)

Total

Liabilities

$

(235,591)

$

(1,442,707)

$

–

$

(1,678,298)

*

Derivative

instruments,

including

futures,

forward

foreign

currency

exchange

and

total

return

swap

contracts,

are

reported

at

the

cumulative

unrealized

appreciation/(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

225

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Federal

Income

Tax

Matters

At

September

30,

2020,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions,

short

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals,

mark

to

market

on

passive

foreign

investment

companies

(“PFIC”),

non-taxable

dividends

from

fund

investments

including

Real

Estate

Investment

Trusts

(“REITs”)

and

corporate

actions. 

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Large

Cap

Multi-Style

Fund

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

$

823,797,094

$

302,003,176

$

(35,749,008)

$

266,254,168

AQR

Small

Cap

Multi-Style

Fund

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

239,829,888

50,993,064

(23,107,677)

27,885,387

AQR

International

Multi-Style

Fund

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

226,538,367

33,835,379

(17,533,906)

16,301,473

AQR

Emerging

Multi-Style

Fund

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

173,000,899

64,147,557

(13,827,875)

50,319,682

AQR

TM

Large

Cap

Multi-Style

Fund

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

191,578,553

88,630,663

(4,013,092)

84,617,571

AQR

TM

Small

Cap

Multi-Style

Fund

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

16,880,712

3,308,176

(1,597,933)

1,710,243

AQR

TM

International

Multi-Style

Fund

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

166,653,577

36,060,040

(11,091,171)

24,968,869

AQR

TM

Emerging

Multi-Style

Fund

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

253,343,408

104,105,374

(19,723,881)

84,381,493

AQR

Large

Cap

Momentum

Style

Fund

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

539,302,065

248,027,231

(5,253,974)

242,773,257

AQR

Small

Cap

Momentum

Style

Fund

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

174,155,309

49,558,037

(8,557,076)

41,000,961

AQR

International

Momentum

Style

Fund

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

339,780,876

97,916,324

(7,539,528)

90,376,796

AQR

TM

Large

Cap

Momentum

Style

Fund

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

145,404,493

119,022,857

(883,432)

118,139,425

AQR

TM

Small

Cap

Momentum

Style

Fund

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

41,081,965

12,291,572

(1,844,782)

10,446,790

AQR

TM

International

Momentum

Style

Fund

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

83,705,003

28,048,506

(3,531,463)

24,517,043

AQR

Large

Cap

Defensive

Style

Fund

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

4,784,779,211

1,374,993,290

(76,293,395)

1,298,699,895

AQR

International

Defensive

Style

Fund

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

181,216,653

38,606,326

(13,484,925)

25,121,401

AQR

Emerging

Defensive

Style

Fund

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

7,126,870

1,707,103

(324,491)

1,382,612

AQR

Global

Equity

Fund

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

251,017,198

62,830,750

(13,860,295)

48,970,455

AQR

International

Equity

Fund

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

97,112,704

18,972,118

(8,579,004)

10,393,114

226

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

As

of

September

30,

2020,

the

components

of

distributable

earnings

on

a

tax

basis

were

as

follows:  

The

differences

between

book

basis

and

tax

basis

components

of

distributable

earnings

are

primarily

attributable

to

wash

sales

loss

deferrals,

mark

to

market

on

forward

foreign

currency

exchange

contracts,

mark

to

market

on

regulated

futures

contracts,

mark

to

market

on

PFIC

investments,

mark

to

market

on

equity

swaps,

non-taxable

dividends

from

fund

investments

including

REITs,

loss

deferrals

from

tax

straddles,

capital

loss

carry

forwards,

and

corporate

actions. 

As

of

September

30,

2020,

the

effect

of

permanent

book/tax

reclassifications

resulted

in

increase

(decrease)

to

the

components

of

net

assets

as

follows:

For

financial

reporting

purposes,

capital

accounts

are

adjusted

to

reflect

the

tax

character

of

permanent

book/tax

differences.

Reclassifications

are

primarily

due

to

the

difference

in

tax

treatment

of

certain

capital

losses

permanently

lost

due

to

limitation

and redemptions

utilized

as

distributions.

The

result

of

operations

and

net

assets

were

not

affected

by

the

reclassifications. 

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

CARRYFORWARDS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

POST

OCTOBER

CAPITAL

OR

LATE

YEAR

ORDINARY

LOSS

DEFERRALS

OTHER

TEMPORARY

DIFFERENCES

TOTAL

ACCUMULATED

EARNINGS

AQR

Large

Cap

Multi-Style

Fund

$

10,599,940

$

75,989,240

$

266,254,168

$

—

$

—

$

352,843,348

AQR

Small

Cap

Multi-Style

Fund

.

1,558,257

(41,223,338)

27,885,387

—

—

(11,779,694)

AQR

International

Multi-Style

Fund

4,536,381

(21,052,855)

16,358,757

—

—

(157,717)

AQR

Emerging

Multi-Style

Fund

.

3,275,903

(38,117,029)

50,319,682

—

—

15,478,556

AQR

TM

Large

Cap

Multi-Style

Fund

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

3,262,363

—

84,617,571

(8,562,057)

—

79,317,877

AQR

TM

Small

Cap

Multi-Style

Fund

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

78,222

(982,987)

1,710,243

—

—

805,478

AQR

TM

International

Multi-Style

Fund

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

3,617,968

(14,317,271)

24,968,869

—

—

14,269,566

AQR

TM

Emerging

Multi-Style

Fund

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

5,543,682

(25,598,453)

84,415,607

—

—

64,360,836

AQR

Large

Cap

Momentum

Style

Fund

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

4,246,412

100,518,603

242,773,257

—

—

347,538,272

AQR

Small

Cap

Momentum

Style

Fund

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

1,105,704

7,926,597

41,000,961

—

—

50,033,262

AQR

International

Momentum

Style

Fund

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

4,869,670

(30,986,685)

90,376,796

—

—

64,259,781

AQR

TM

Large

Cap

Momentum

Style

Fund

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

1,471,709

3,888,638

118,139,425

—

—

123,499,772

AQR

TM

Small

Cap

Momentum

Style

Fund

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

213,261

815,508

10,446,790

—

—

11,475,559

AQR

TM

International

Momentum

Style

Fund

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

1,172,809

(21,696,138)

24,535,312

—

—

4,011,983

AQR

Large

Cap

Defensive

Style

Fund

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

58,967,794

(92,274,786)

1,298,001,076

—

—

1,264,694,084

AQR

International

Defensive

Style

Fund

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

3,593,965

(8,309,122)

25,121,401

—

—

20,406,244

AQR

Emerging

Defensive

Style

Fund

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

329,751

(2,404,321)

1,382,612

—

—

(691,958)

AQR

Global

Equity

Fund

.......

4,090,278

(23,341,252)

47,466,965

—

(2,666)

28,213,325

AQR

International

Equity

Fund

..

3,694,378

(24,367,591)

7,347,472

—

—

(13,325,741)

FUND

TOTAL

DISTRIBUTABLE

EARNINGS

(LOSS)

PAID-IN

CAPITAL

AQR

Large

Cap

Multi-Style

Fund

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

$

(14,805,595)

$

14,805,595

AQR

Large

Cap

Momentum

Style

Fund

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

(16,202,961)

16,202,961

AQR

Small

Cap

Momentum

Style

Fund

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

143

(143)

AQR

Emerging

Defensive

Style

Fund

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

18,954,405

(18,954,405)

227

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends September

30,

2020

and

September

30,

2019 were

as

follows:

During

the

year

ended

September

30,

2020,

the

Funds

utilized

capital

loss

carryforwards

in

the

amounts

listed

below:

As

of

September

30,

2020,

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.

SEPTEMBER

30,

2020

SEPTEMBER

30,

2019

FUND

ORDINARY

INCOME

CAPITAL

GAINS

ORDINARY

INCOME

CAPITAL

GAINS

AQR

Large

Cap

Multi-Style

Fund

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

$

17,174,906

$

54,502,406

$

27,591,439

$

76,160,867

AQR

Small

Cap

Multi-Style

Fund

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

5,648,012

338,822

11,619,753

58,814,207

AQR

International

Multi-Style

Fund

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

8,028,157

—

10,554,752

—

AQR

Emerging

Multi-Style

Fund

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

5,991,160

—

6,006,315

—

AQR

TM

Large

Cap

Multi-Style

Fund

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

3,835,324

2,141,516

3,874,532

—

AQR

TM

Small

Cap

Multi-Style

Fund

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

205,586

—

162,233

985,602

AQR

TM

International

Multi-Style

Fund

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

5,488,949

—

4,100,305

—

AQR

TM

Emerging

Multi-Style

Fund

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

8,915,691

—

7,198,963

—

AQR

Large

Cap

Momentum

Style

Fund

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

9,953,497

78,738,688

23,493,413

64,214,636

AQR

Small

Cap

Momentum

Style

Fund

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

1,463,078

10,013,730

1,463,483

55,979,660

AQR

International

Momentum

Style

Fund

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

10,514,986

—

7,732,508

—

AQR

TM

Large

Cap

Momentum

Style

Fund

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

2,619,198

2,795,008

1,918,042

—

AQR

TM

Small

Cap

Momentum

Style

Fund

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

321,910

685,866

98,045

4,182,028

AQR

TM

International

Momentum

Style

Fund

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

2,748,268

—

2,275,129

—

AQR

Large

Cap

Defensive

Style

Fund

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

63,891,848

—

25,853,029

9,708,427

AQR

International

Defensive

Style

Fund

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

6,052,641

—

4,714,166

—

AQR

Emerging

Defensive

Style

Fund

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

1,803,741

—

1,482,027

—

AQR

Global

Equity

Fund

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

4,612,611

—

4,193,245

6,115,094

AQR

International

Equity

Fund

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

6,978,918

—

7,323,967

3,292,678

FUND

SHORT-TERM

LONG-TERM

AQR

International

Multi-Style

Fund

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

$

–

$

101,330

FUND

SHORT-TERM

LONG

TERM

AQR

Small

Cap

Multi-Style

Fund

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

$

41,223,338

$

—

AQR

International

Multi-Style

Fund

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

21,052,855

—

AQR

Emerging

Multi-Style

Fund

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

38,117,029

—

AQR

TM

Small

Cap

Multi-Style

Fund

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

982,987

—

AQR

TM

International

Multi-Style

Fund

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

12,333,965

1,983,306

AQR

TM

Emerging

Multi-Style

Fund

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

25,598,453

—

AQR

International

Momentum

Style

Fund

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

30,986,685

—

AQR

TM

International

Momentum

Style

Fund

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

20,556,011

1,140,127

AQR

Large

Cap

Defensive

Style

Fund

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

92,274,786

—

AQR

International

Defensive

Style

Fund

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

750,444

7,558,678

AQR

Emerging

Defensive

Style

Fund

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

670,512

1,733,809

AQR

Global

Equity

Fund

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

23,341,252

—

AQR

International

Equity

Fund

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

24,367,591

—

228

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Investment

Transactions

During

the year

ended

September

30,

2020,

the

cost

of

purchases

and

the

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments)

were

as

follows:

Derivative

Instruments

and

Activities

The

Funds

use

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Funds’

derivative

contracts,

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Funds

do

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statements

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Funds

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

FUND

PURCHASES

SALES

AQR

Large

Cap

Multi-Style

Fund

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

$

554,107,879

$

1,027,948,099

AQR

Small

Cap

Multi-Style

Fund

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

193,600,710

451,407,002

AQR

International

Multi-Style

Fund

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

171,864,063

204,185,079

AQR

Emerging

Multi-Style

Fund

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

136,940,075

161,505,288

AQR

TM

Large

Cap

Multi-Style

Fund

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

152,426,050

213,698,678

AQR

TM

Small

Cap

Multi-Style

Fund

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

10,944,241

15,820,742

AQR

TM

International

Multi-Style

Fund

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

123,843,707

125,014,560

AQR

TM

Emerging

Multi-Style

Fund

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

186,626,599

216,991,249

AQR

Large

Cap

Momentum

Style

Fund

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

617,496,325

913,363,322

AQR

Small

Cap

Momentum

Style

Fund

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

192,416,978

261,570,304

AQR

International

Momentum

Style

Fund

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

295,071,748

339,849,274

AQR

TM

Large

Cap

Momentum

Style

Fund

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

140,178,321

155,433,297

AQR

TM

Small

Cap

Momentum

Style

Fund

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

28,455,624

38,900,416

AQR

TM

International

Momentum

Style

Fund

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

47,389,850

54,940,256

AQR

Large

Cap

Defensive

Style

Fund

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

2,576,392,371

1,892,718,023

AQR

International

Defensive

Style

Fund

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

55,758,669

93,450,831

AQR

Emerging

Defensive

Style

Fund

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

17,512,781

78,336,362

AQR

Global

Equity

Fund

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

248,136,233

255,969,269

AQR

International

Equity

Fund

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

145,526,677

261,908,844

229

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Funds,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statements

of

Assets

and

Liabilities

at

September

30,

2020.

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

Equity

Risk

Exposure:

421,982

94,315

184,888

57,011

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

421,982

$

–

$

–

$

–

Unrealized

Depreciation

on

Futures

Contracts

*

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

–

(94,315)

(184,888)

(57,011)

421,982

94,315

184,888

57,011

Net

Fair

Value

of

Derivative

Contracts:

421,982

(188,630)

(369,776)

(114,022)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

421,982

(94,315)

(184,888)

(57,011)

421,982

188,630

369,776

114,022

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

Equity

Risk

Exposure:

39,190

7,750

192,848

66,971

Unrealized

Appreciation

on

Futures

Contracts

*

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

$

39,190

$

–

$

–

$

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(7,750)

(192,848)

(66,971)

39,190

7,750

192,848

66,971

Net

Fair

Value

of

Derivative

Contracts:

39,190

(15,500)

(385,696)

(133,942)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

39,190

(7,750)

(192,848)

(66,971)

39,190

15,500

385,696

133,942

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Equity

Risk

Exposure:

18,613

180,469

410,094

37,163

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

18,613

$

–

$

–

$

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

–

(180,469)

(410,094)

(37,163)

18,613

180,469

410,094

37,163

Net

Fair

Value

of

Derivative

Contracts:

18,613

(360,938)

(820,188)

(74,326)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

18,613

(180,469)

(410,094)

(37,163)

18,613

360,938

820,188

74,326

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Equity

Risk

Exposure:

20,866

106,139

4,817,590

232,730

Unrealized

Appreciation

on

Futures

Contracts

*

..................

$

–

$

–

$

4,817,590

$

–

Unrealized

Depreciation

on

Futures

Contracts

*

.................

(20,866)

(106,139)

–

(232,730)

20,866

106,139

4,817,590

232,730

Net

Fair

Value

of

Derivative

Contracts:

(41,732)

(212,278)

4,817,590

(465,460)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......

(20,866)

(106,139)

4,817,590

(232,730)

41,732

212,278

4,817,590

465,460

230

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statement

of

Operations

for

the year

ended

September

30,

2020:

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

Equity

Risk

Exposure:

4,585

2,891,396

1,047,391

Unrealized

Appreciation

on

Futures

Contracts

*

..................................

$

–

$

1,560,438

$

501,925

Swaps

at

Value

(Assets)

..................................................

–

369,780

246,290

Unrealized

Depreciation

on

Futures

Contracts

*

.................................

(4,585)

(940,584)

(235,591)

Swaps

at

Value

(Liabilities)

................................................

–

(20,596)

(63,584)

4,585

2,891,396

1,047,391

Foreign

Exchange

Rate

Risk

Exposure:

–

5,321,567

2,142,134

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

............

–

2,642,008

763,011

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

...........

–

(2,679,559)

(1,379,123)

–

5,321,567

2,142,134

Net

Fair

Value

of

Derivative

Contracts:

(9,170)

893,936

(783,183)

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

......................

(4,585)

619,854

266,334

Swaps

at

Value

.........................................................

–

349,184

182,706

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

–

(37,551)

(616,112)

9,170

893,936

783,183

*

Includes

cumulative

appreciation

/(

depreciation)

on

futures

contracts,

if

any,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statements

of

Assets

and

Liabilities.

*

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(993,965)

(12,284,339)

(333,166)

(187,669)

Futures

Contracts

.......................................

$

(993,965

)

$

(12,284,339

)

$

(333,166

)

$

(187,669

)

(993,965.12)

(12,284,338.64)

(333,165.85)

(187,669.3)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

524,340

82,915

(138,959)

110,586

Futures

Contracts

.......................................

524,340

82,915

(138,959

)

110,586

524,340

82,915

138,959

110,586

*

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(706,374)

(12,956)

(788,407)

849,466

Futures

Contracts

.......................................

$

(706,374

)

$

(12,956

)

$

(788,407

)

$

849,466

(706,373.97)

(12,955.52)

(788,406.64)

849,466.33

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

111,009

9,866

(174,098)

149,537

Futures

Contracts

.......................................

111,009

9,866

(174,098

)

149,537

111,009

9,866

174,098

149,537

*

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

1,444,551

(710,378)

1,240,035

23,583

Futures

Contracts

.......................................

$

1,444,551

$

(710,378

)

$

1,240,035

$

23,583

1,444,551.38

(710,378.11)

1,240,035.18

23,583.06

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

183,351

(39,373)

(371,802)

10,621

Futures

Contracts

.......................................

183,351

(39,373

)

(371,802

)

10,621

183,351

39,373

371,802

10,621

231

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

following

tables

present

the

Funds’

gross

OTC

derivative

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Funds’

as

of

September

30,

2020:

AQR

Global

Equity

Fund

*

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(343,051)

(417,036)

32,666,051

545,992

Futures

Contracts

.......................................

$

(343,051

)

$

(417,036

)

$

32,666,051

$

545,992

(343,051.29)

(417,035.72)

32,666,050.98

545,992.48

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

19,584

(92,064)

5,682,179

(217,533)

Futures

Contracts

.......................................

19,584

(92,064

)

5,682,179

(217,533

)

19,584

92,064

5,682,179

217,533

*

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Equity

Risk

Exposure:

(110,711)

1,917,960

511,480

Futures

Contracts

.......................................................

$

(110,711

)

$

(556,239

)

$

(1,014,194

)

Swap

Contracts

........................................................

–

2,474,199

1,525,674

(110,710.77)

1,917,959.6

511,479.71

Foreign

Exchange

Rate

Risk

Exposure:

–

510,726

(4,139)

Forward

Foreign

Currency

Exchange

Contracts

.................................

–

510,726

(4,139

)

–

510,726

(4,139)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Equity

Risk

Exposure:

48,264

304,451

58,339

Futures

Contracts

.......................................................

48,264

101,472

(164,492

)

Swap

Contracts

........................................................

–

202,979

222,830

48,264

304,451

58,339

Foreign

Exchange

Rate

Risk

Exposure:

–

836,738

1,251,682

Forward

Foreign

Currency

Exchange

Contracts

.................................

–

(836,738

)

(1,251,682

)

–

836,738

1,251,682

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

1,321,051

$

(1,321,051)

$

–

$

–

$

–

$

–

CITI

...........

Total

Return

Swap

Contracts

212,107

–

212,107

–

–

212,107

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,320,957

(1,320,957)

–

JPMC

..........

Total

Return

Swap

Contracts

157,673

(19,957)

137,716

Total

JPMC

1,478,630

(1,340,914)

137,716

–

–

137,716

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

3,011,788

(2,661,965)

349,823

–

–

349,823

232

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

AQR

Global

Equity

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

$100,000

and

total

additional

collateral

pledged

was

$4,558,330.

AQR

International

Equity

Fund

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

1,339,713

$

(1,321,051)

$

18,662

$

–

$

(18,662)

$

–

GSIN

..........

Total

Return

Swap

Contracts

639

–

639

–

–

639

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

1,339,846

(1,320,957)

18,889

JPMC

..........

Total

Return

Swap

Contracts

19,957

(19,957)

–

Total

JPMC

1,359,803

(1,340,914)

18,889

–

(18,889)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

2,700,155

(2,661,965)

38,190

–

(37,551)

639

GROSS

AMO

UNTS

NOT

OFF

SET

IN  THE

STATEMENT

OF

ASSETS

&

LIABILITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

ASSETS

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

ASSETS

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

(RECEIVED)/

PLEDGED

(a)

NET

AMOUNT

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

381,529

$

(381,529)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

381,482

(381,482)

–

JPMC

..........

Total

Return

Swap

Contracts

246,290

(62,808)

183,482

Total

JPMC

627,772

(444,290)

183,482

–

–

183,482

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,009,301

(825,819)

183,482

–

–

183,482

233

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

AQR

International

Equity

Fund

(continued)

(a)

In

accordance

with

GAAP

disclosure

requirements,

the

table

above

does

not

include

the

additional

collateral

pledged

to

the

counterparty.

Total

additional

collateral

pledged

was

$3,517,475.

For

the year

ended

September

30,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Funds

were

as

follows:

Derivatives

Volume

Disclosure*

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITG

..........

Forward

Foreign

Currency

Exchange

Contracts

$

689,522

$

(381,529)

$

307,993

$

–

$

(307,993)

$

–

GSIN

..........

Total

Return

Swap

Contracts

776

–

776

–

(776)

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

689,601

(381,482)

308,119

JPMC

..........

Total

Return

Swap

Contracts

62,808

(62,808)

–

Total

JPMC

752,409

(444,290)

308,119

–

(308,119)

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

1,442,707

(825,819)

616,888

–

(616,888)

–

*

AQR

LARGE

CAP

MULTI-

STYLE

FUND

AQR

SMALL

CAP

MULTI-

STYLE

FUND

AQR

INTERNATIONAL

MULTI-STYLE

FUND

AQR

EMERGING

MULTI-STYLE

FUND

AQR

TM

LARGE

CAP

MULTI-

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

27,016,062

$

7,457,634

$

10,002,992

$

7,894,933

$

9,335,632

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

53,129,200

13,238,720

13,250,380

12,191,200

11,564,400

Ending

Notional

Balance

-

Short

–

–

–

–

–

*

AQR

TM

SMALL

CAP

MULTI-

STYLE

FUND

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

AQR

TM

EMERGING

MULTI-STYLE

FUND

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

389,910

$

7,594,918

$

10,360,490

$

17,415,943

$

7,370,800

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

977,860

7,320,140

13,388,550

18,603,600

6,318,480

Ending

Notional

Balance

-

Short

–

–

–

–

–

*

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

10,661,608

$

7,289,988

$

1,729,966

$

3,871,232

$

170,373,756

Average

Notional

Balance

-

Short

–

–

–

–

–

Ending

Notional

Balance

-

Long

15,752,200

10,223,600

1,880,500

4,077,040

238,159,600

Ending

Notional

Balance

-

Short

–

–

–

–

–

234

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

each

of

the

Funds,

pursuant

to

the

Third

Amended

and

Restated

Investment

Management

Agreement,

dated

January

29,

2017,

as

amended,

entered

into

by

the

Trust,

on

behalf

of

the

Funds

(the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

each

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

each

Fund,

and

manages

each

Fund’s

investments

in

accordance

with

the

stated

policies

of

each

Fund.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions

of

each

Fund,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

each

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Funds’

Board

to

serve

as

officers

of

the

Funds.

Pursuant

to

the Investment

Management Agreement,

the

Funds

currently

pay

the

Investment

Advisory

fee

calculated

on

the

average

daily

net

assets

for

each

Fund,

in

the

annual

ratios

below:

*

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

AQR

EMERGING

DEFENSIVE

STYLE

FUND

AQR

GLOBAL

EQUITY

FUND

AQR

INTERNATIONAL

EQUITY

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

4,150,313

$

1,316,414

$

54,422,233

$

42,062,932

Average

Notional

Balance

-

Short

–

–

27,959,906

17,821,794

Ending

Notional

Balance

-

Long

9,729,300

489,825

76,084,032

28,607,220

Ending

Notional

Balance

-

Short

–

–

40,070,363

11,542,815

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

–

–

129,357,809

116,054,146

Average

Settlement

Value

-

Sold

–

–

114,799,611

95,692,213

Ending

Value

-

Purchased

–

–

195,134,873

107,475,644

Ending

Value

-

Sold

–

–

163,408,962

92,035,284

Total

Return

Swaps:

Average

Notional

Balance

-

Long

–

–

10,700,963

6,832,512

Average

Notional

Balance

-

Short

–

–

5,619,625

10,782,030

Ending

Notional

Balance

-

Long

–

–

11,061,080

7,987,830

Ending

Notional

Balance

-

Short

–

–

10,639,520

10,222,725

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

FUND

RATIO

AQR

Large

Cap

Multi-Style

Fund

.........................................................................

0.25%

(a)

AQR

Small

Cap

Multi-Style

Fund

..........................................................................

0.45(b)

AQR

International

Multi-Style

Fund

........................................................................

0.40(c)

AQR

Emerging

Multi-Style

Fund

..........................................................................

0.55(d)

AQR

TM

Large

Cap

Multi-Style

Fund

.......................................................................

0.30

AQR

TM

Small

Cap

Multi-Style

Fund

.......................................................................

0.50

AQR

TM

International

Multi-Style

Fund

.....................................................................

0.45

AQR

TM

Emerging

Multi-Style

Fund

.......................................................................

0.60

AQR

Large

Cap

Momentum

Style

Fund

.....................................................................

0.25

AQR

Small

Cap

Momentum

Style

Fund

.....................................................................

0.45

AQR

International

Momentum

Style

Fund

...................................................................

0.40

AQR

TM

Large

Cap

Momentum

Style

Fund

..................................................................

0.25

AQR

TM

Small

Cap

Momentum

Style

Fund

..................................................................

0.45

AQR

TM

International

Momentum

Style

Fund

................................................................

0.40

AQR

Large

Cap

Defensive

Style

Fund

......................................................................

0.25

AQR

International

Defensive

Style

Fund

....................................................................

0.40

AQR

Emerging

Defensive

Style

Fund

......................................................................

0.55

AQR

Global

Equity

Fund

................................................................................

0.60

AQR

International

Equity

Fund

...........................................................................

0.65

(a)

Effective

July

1,

2020,

the

Advisory

Fee

was

reduced

from

0.30%

to

0.25%

(b)

Effective

July

1,

2020,

the

Advisory

Fee

was

reduced

from

0.50%

to

0.45%

(c)

Effective

July

1,

2020,

the

Advisory

Fee

was

reduced

from

0.45%

to

0.40%

(d)

Effective

July

1,

2020,

the

Advisory

Fee

was

reduced

from

0.60%

to

0.55%

235

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

each

Fund

at

least

through

January

28,

2021

for

Class

I,

N,

and

R6

shares(a).

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

each

Fund

in

an

amount

sufficient

to

limit

Fund

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

The

Trust,

in

turn,

agreed

that

the

Funds

will

repay

the

fee

expense

reimbursement

to

the

Adviser.

A

repayment

shall

be

payable

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

waived

fees

or

reimbursed

the

applicable

Fund

for

its

operating

expenses

under

the

Expense

Limitation

Agreement.

Such

repayment

shall

be

made

only

out

of

the

class

of

the

Fund

for

which

the

applicable

fee

waiver

and/or

expense

reimbursement

was

made.

Repayments

with

respect

to

a

Fund

must

be

limited

to

amounts

that

do

not

cause

the

total

annual

operating

expenses

or

the

other

operating

expenses,

as

applicable,

attributable

to

a

share

class

of

the

Fund

during

a

year

in

which

such

repayment

is

made

to

exceed

either

of

(i)

the

applicable

limits

in

effect

at

the

time

of

the

waiver

and/or

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture.

(a)

On

November

16,

2020,

the

AQR

Funds'

Board

of

Trustees

approved

an

extension

of

the

Expense

Limitation

Agreement

between

the

Trust

and

the

Advisor

through

at

least

January

28,

2022. 

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Large

Cap

Multi-Style

Fund

.....................................................

0.15

%

0.15

%

0.05

%

AQR

Small

Cap

Multi-Style

Fund

......................................................

0.15

0.15

0.05

AQR

International

Multi-Style

Fund

....................................................

0.15

0.15

0.05

AQR

Emerging

Multi-Style

Fund

......................................................

0.15

0.15

0.05

AQR

TM

Large

Cap

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

TM

Small

Cap

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

TM

International

Multi-Style

Fund

.................................................

0.15

0.15

0.05

AQR

TM

Emerging

Multi-Style

Fund

...................................................

0.15

0.15

0.05

AQR

Large

Cap

Momentum

Style

Fund

.................................................

0.15

0.15

0.05

AQR

Small

Cap

Momentum

Style

Fund

.................................................

0.15

0.15

0.05

AQR

International

Momentum

Style

Fund

...............................................

0.15

0.15

0.05

AQR

TM

Large

Cap

Momentum

Style

Fund

..............................................

0.15

0.15

0.05

AQR

TM

Small

Cap

Momentum

Style

Fund

..............................................

0.15

0.15

0.05

AQR

TM

International

Momentum

Style

Fund

............................................

0.15

0.15

0.05

AQR

Large

Cap

Defensive

Style

Fund

..................................................

0.15

0.15

0.05

AQR

International

Defensive

Style

Fund

................................................

0.15

0.15

0.05

AQR

Emerging

Defensive

Style

Fund

..................................................

0.15

0.15

0.05

AQR

Global

Equity

Fund

............................................................

0.20

0.20

0.10

AQR

International

Equity

Fund

.......................................................

0.20

0.20

0.10

236

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

For

the year

ended

September

30,

2020,

the

amounts reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at September

30,

2020

are

as

follows:

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

SEPTEMBER

30

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

SEPTEMBER

30

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

SEPTEMBER

30

,

2020

2020

20

21

20

22

20

23

AQR

LARGE

CAP

MULTI-STYLE

FUND

Class

I

...........

$

21,188

$

25,126

$

–

$

3,938

$

21,188

Class

N

...........

1,647

4,050

–

2,403

1,647

Class

R6

..........

68,757

109,215

–

40,458

68,757

Totals

$

91,592

$

138,391

$

–

$

46,799

$

91,592

AQR

SMALL

CAP

MULTI-STYLE

FUND

Class

I

...........

$

21,499

$

40,672

$

9,186

$

9,987

$

21,499

Class

N

...........

3,087

5,936

1,176

1,673

3,087

Class

R6

..........

162,047

387,448

104,259

121,142

162,047

Totals

$

186,633

$

434,056

$

114,621

$

132,802

$

186,633

AQR

INTERNATIONAL

MULTI-STYLE

FUND

Class

I

...........

$

32,424

$

112,492

$

31,932

$

48,136

$

32,424

Class

N

...........

3,031

9,917

3,032

3,854

3,031

Class

R6

..........

144,079

473,769

152,629

177,061

144,079

Totals

$

179,534

$

596,178

$

187,593

$

229,051

$

179,534

AQR

EMERGING

MULTI-STYLE

FUND

Class

I

...........

$

64,856

$

183,666

$

69,909

$

48,901

$

64,856

Class

N

...........

5,535

18,459

7,960

4,964

5,535

Class

R6

..........

250,903

803,068

323,494

228,671

250,903

Totals

$

321,294

$

1,005,193

$

401,363

$

282,536

$

321,294

AQR

TM

LARGE

CAP

MULTI-STYLE

FUND

Class

I

...........

$

36,855

$

104,333

$

25,615

$

41,863

$

36,855

Class

N

...........

528

1,960

798

634

528

Class

R6

..........

86,961

250,018

62,657

100,400

86,961

Totals

$

124,344

$

356,311

$

89,070

$

142,897

$

124,344

AQR

TM

SMALL

CAP

MULTI-STYLE

FUND

Class

I

...........

$

98,308

$

316,663

$

98,415

$

119,940

$

98,308

Class

N

...........

21,293

71,803

25,482

25,028

21,293

Class

R6

..........

14,104

38,567

10,046

14,417

14,104

Totals

$

133,705

$

427,033

$

133,943

$

159,385

$

133,705

AQR

TM

INTERNATIONAL

MULTI-STYLE

FUND

Class

I

...........

$

24,126

$

78,192

$

23,942

$

30,124

$

24,126

Class

N

...........

984

4,270

1,830

1,456

984

Class

R6

..........

145,196

453,068

137,643

170,229

145,196

Totals

$

170,306

$

535,530

$

163,415

$

201,809

$

170,306

AQR

TM

EMERGING

MULTI-STYLE

FUND

Class

I

...........

$

31,101

$

77,032

$

20,043

$

25,888

$

31,101

Class

N

...........

747

4,124

2,392

985

747

Class

R6

..........

337,868

980,629

363,261

279,500

337,868

Totals

$

369,716

$

1,061,785

$

385,696

$

306,373

$

369,716

AQR

LARGE

CAP

MOMENTUM

STYLE

FUND

Class

I

...........

$

95,520

$

177,419

$

6,875

$

75,024

$

95,520

Class

N

...........

8,369

15,384

472

6,543

8,369

Class

R6

..........

26,207

37,965

525

11,233

26,207

Totals

$

130,096

$

230,768

$

7,872

$

92,800

$

130,096

AQR

SMALL

CAP

MOMENTUM

STYLE

FUND

Class

I

...........

$

121,280

$

357,316

$

91,579

$

144,457

$

121,280

Class

N

...........

2,959

5,337

392

1,986

2,959

Class

R6

..........

32,564

48,461

3,485

12,412

32,564

Totals

$

156,803

$

411,114

$

95,456

$

158,855

$

156,803

237

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

During

the year

ended

September

30,

2020,

the

Funds

recouped

amounts

as

follows:

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

SEPTEMBER

30,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

SEPTEMBER

30,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

SEPTEMBER

30,

2020

2020

2021

2022

2023

AQR

INTERNATIONAL

MOMENTUM

STYLE

FUND

Class

I

...........

$

131,095

$

462,335

$

157,165

$

174,075

$

131,095

Class

N

...........

23,080

60,421

17,204

20,137

23,080

Class

R6

..........

60,877

125,436

24,162

40,397

60,877

Totals

$

215,052

$

648,192

$

198,531

$

234,609

$

215,052

AQR

TM

LARGE

CAP

MOMENTUM

STYLE

FUND

Class

I

...........

$

65,805

$

186,354

$

50,023

$

70,526

$

65,805

Class

N

...........

2,891

13,928

5,496

5,541

2,891

Class

R6

..........

52,966

163,248

46,782

63,500

52,966

Totals

$

121,662

$

363,530

$

102,301

$

139,567

$

121,662

AQR

TM

SMALL

CAP

MOMENTUM

STYLE

FUND

Class

I

...........

$

132,553

$

406,063

$

118,457

$

155,053

$

132,553

Class

N

...........

8,036

27,777

9,721

10,020

8,036

Class

R6

..........

1,916

3,067

448

703

1,916

Totals

$

142,505

$

436,907

$

128,626

$

165,776

$

142,505

AQR

TM

INTERNATIONAL

MOMENTUM

STYLE

FUND

Class

I

...........

$

80,564

$

249,173

$

77,493

$

91,116

$

80,564

Class

N

...........

4,400

25,313

9,544

11,369

4,400

Class

R6

..........

80,444

278,984

92,981

105,559

80,444

Totals

$

165,408

$

553,470

$

180,018

$

208,044

$

165,408

AQR

LARGE

CAP

DEFENSIVE

STYLE

FUND

Class

I

...........

$

–

$

–

$

–

$

–

$

–

Class

N

...........

30,610

65,718

5,241

29,867

30,610

Class

R6

..........

110,426

191,197

–

80,771

110,426

Totals

$

141,036

$

256,915

$

5,241

$

110,638

$

141,036

AQR

INTERNATIONAL

DEFENSIVE

STYLE

FUND

Class

I

...........

$

123,813

$

420,124

$

121,661

$

174,650

$

123,813

Class

N

...........

8,177

27,871

14,206

5,488

8,177

Class

R6

..........

61,408

108,746

18,492

28,846

61,408

Totals

$

193,398

$

556,741

$

154,359

$

208,984

$

193,398

AQR

EMERGING

DEFENSIVE

STYLE

FUND

Class

I

...........

$

153,225

$

540,316

$

188,174

$

198,917

$

153,225

Class

N

...........

18,541

63,500

18,391

26,568

18,541

Class

R6

..........

72,817

73,898

559

522

72,817

Totals

$

244,583

$

677,714

$

207,124

$

226,007

$

244,583

AQR

GLOBAL

EQUITY

FUND

Class

I

...........

$

7,571

$

54,093

$

26,377

$

20,145

$

7,571

Class

N

...........

723

1,665

435

507

723

Class

R6

..........

38,913

94,759

35,106

20,740

38,913

Totals

$

47,207

$

150,517

$

61,918

$

41,392

$

47,207

AQR

INTERNATIONAL

EQUITY

FUND

Class

I

...........

$

78,535

$

269,185

$

74,459

$

116,191

$

78,535

Class

N

...........

2,128

7,193

1,243

3,822

2,128

Class

R6

..........

26,413

53,537

9,036

18,088

26,413

Totals

$

107,076

$

329,915

$

84,738

$

138,101

$

107,076

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Large

Cap

Multi-Style

Fund

...........................................

$

16,971

$

140

$

11,235

AQR

TM

Large

Cap

Multi-Style

Fund

.........................................

–

89

–

AQR

Large

Cap

Defensive

Style

Fund

........................................

277,876

4,215

14,058

AQR

Global

Equity

Fund

..................................................

805

35

1,276

AQR

International

Equity

Fund

.............................................

1,071

1,704

–

238

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Funds.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Funds.

Principal

Risks

and

Concentrations

The

investment

techniques

and

strategies

utilized

by

the

Funds,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Funds

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Funds.

In

the

normal

course

of

business

the

Funds

trade

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate,

foreign

currency,

equity

and

commodity

risks.

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Funds

may

lose

money

if

short-

term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated.

Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the

Funds'

portfolio

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Funds

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Many

financial

instruments

may

be

tied

to

the

London

Interbank

Offered

Rate,

or

“LIBOR,”

to

determine

payment

obligations,

financing

terms,

hedging

strategies,

or

investment

value.

LIBOR

is

the

offered

rate

for

short-term

Eurodollar

deposits

between

major

international

banks.

On

July

27,

2017,

the

head

of

the

UK

Financial

Conduct

Authority

announced

a

desire

to

phase

out

the

use

of

LIBOR

by

the

end

of

2021.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates,

but

global

consensus

is

lacking

and

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR

remains

unclear.

There

also

remains

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

the

transition

away

from

LIBOR

may

lead

to

increased

volatility

and

illiquidity

in

markets

that

are

tied

to

LIBOR,

reduced

values

of

LIBOR-related

investments,

and

reduced

effectiveness

of

hedging

strategies,

adversely

affecting

the

Fund’s

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Fund. 

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investments

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility.

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

Currency

risk

arises

from

the

possibility

that

fluctuations

in

foreign

exchange

rates

will

affect

the

value

of

cash

balances

held

in

foreign

currencies

and

non-U.S.

denominated

financial

instruments.

The

liquidity

and

trading

value

of

foreign

currencies

could

be

affected

by

global

economic

factors,

such

as

inflation,

interest

rate

levels,

and

trade

balances

among

countries,

as

well

as

the

actions

of

sovereign

governments

and

central

banks.

Currency

rates

in

foreign

countries

may

fluctuate

significantly

over

short

periods

of

time

for

a

number

of

reasons. 

239

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries.

The

Funds

may

invest

in

illiquid

investments

and

may

experience

difficulty

in

selling

those

investments

in

a

timely

manner

at

the

price

that

it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Geopolitical

and

other

events,

including

war,

terrorism,

economic

uncertainty,

trade

disputes,

public

health

crises

and

related

geopolitical

events

have

led,

and

in

the

future

may

lead,

to

increased

market

volatility,

which

may

disrupt

the

U.S.

and

world

economies

and

markets

and

may

have

significant

adverse

direct

or

indirect

effects

on

the

Funds

and

their

investments.

Although

multiple

asset

classes

may

be

affected

by

a

market

disruption,

the

duration

and

effects

may

not

be

the

same

for

all

types

of

assets.

Such

events

include

the

recent

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

net

asset

value

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

net

asset

value

of

a

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Fund

invests.

In

addition

to

market

risk,

the

Funds

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Funds’

portfolios

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

Certain

Funds

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

each

of

the

Funds

have

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Funds’

net

asset

value

or

dividends.

The

Funds

minimize

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Funds

when

deemed

necessary.

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Funds

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Funds’

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statements

of

Assets

and

Liabilities.

The

counterparties

to

the

Funds’

derivative

investments

may

include

affiliates

of

the

Funds’

clearing

brokers

and

other

major

financial

institutions.

While

the

Funds

use

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Funds

minimize

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

The

Funds

may

invest

in

securities

with

positive

momentum. This

entails

investing

in

securities

that

have

had

above-average

recent

returns.

These

securities

may

be

more

volatile

than

a

broad

cross-section

of

securities.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

presents

the

risk

that

the

securities

may

never

reach

what

the

Adviser

believes

are

their

full

market

values,

either

because

the

market

fails

to

recognize

what

the

Adviser

considers

to

be

the

security's

true

value

or

because

the

Adviser

misjudged

that

value.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

value

strategy

may

suffer.

The

Funds

may

have

investments

that

appreciate

or

decrease

significantly

in

value

over

short

periods

of

time.

This

may

cause

the

Funds’

net

asset

value

per

share

to

experience

significant

increases

or

declines

in

value

over

short

periods

of

time,

however,

all

investments

long-term

or

short-term

are

subject

to

risk

of

loss. 

In

the

normal

course

of

business,

the

Funds

may

enter

into

agreements

with

certain

counterparties

for

derivative

transactions.

A

number

of

each

Fund’s

Master

Agreements

contain

provisions

that

require

each

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses.

The

Funds,

at

times,

utilize

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Funds’

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Funds.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Funds.

In

addition,

a

decline

in

market

value

of

the

Funds’

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Funds

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Funds’

best

interest

to

do

so.

240

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

Periodically,

the

Funds

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Funds

are

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Funds’

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Funds.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Funds

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

each

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Funds

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Funds

are

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

a

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program. Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interfund

lending

expense

in

the

Statements

of

Operations.

During

the

reporting

period,

average

borrowings

under

the

Interfund

Lending

Program

were

as

follows:

There

were

no

open

borrowings

as

of

September

30,

2020

by

any

of

the

Funds

in

the

Trust. 

FUND

AVERAGE

LOANS

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

PAID

AQR

Large

Cap

Multi-Style

Fund

.......................................

$

11,804,000

10

$

6,821

AQR

Small

Cap

Multi-Style

Fund

........................................

2,943,750

8

1,489

AQR

International

Multi-Style

Fund

......................................

2,840,000

6

1,079

AQR

Emerging

Multi-Style

Fund

........................................

4,005,333

15

1,767

AQR

TM

Large

Cap

Multi-Style

Fund

.....................................

1,788,000

10

594

AQR

TM

Small

Cap

Multi-Style

Fund

.....................................

286,364

11

79

AQR

TM

Emerging

Multi-Style

Fund

.....................................

14,500,000

5

1,599

AQR

Large

Cap

Momentum

Style

Fund

...................................

8,127,727

22

4,785

AQR

Small

Cap

Momentum

Style

Fund

...................................

8,600,000

2

578

AQR

TM

Large

Cap

Momentum

Style

Fund

................................

4,000,000

3

371

AQR

TM

Small

Cap

Momentum

Style

Fund

................................

192,000

11

75

AQR

TM

International

Momentum

Style

Fund

..............................

1,623,636

11

693

AQR

International

Defensive

Style

Fund

..................................

1,520,417

24

1,238

AQR

Emerging

Defensive

Style

Fund

....................................

123,571

14

37

241

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

all

funds

within

the

Trust,

with

the

exception

of

the

AQR

Diversifying

Strategies

Fund, renewed

a

$350,000,000

committed

syndicated

line

of

credit

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

Administrative

Agent.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.0%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

which

is

paid

monthly.

The

maximum

loan

amount

available

to

a

Fund

is

the

lesser

of

an

amount

which

will

not

exceed

the

borrowing

limits

set

forth

in

the

Fund’s

Prospectus

and/or

Registration

Statement

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

a

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Fund

may

be

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interest

expense

in

the

Statements

of

Operations.

There

were

no

open

borrowings

as

of September

30,

2020

by

any

of

the

Funds

in

the

Trust.

The

Funds

had

the

following

borrowings

during

the

period:

Principal

Ownership

As

of

September

30,

2020,

the

Funds

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Funds’

performance.

FUND

AVERAGE

BORROWINGS

AVERAGE

INTEREST

RATE%

NUMBER

OF

DAYS

OUTSTANDING

INTEREST

PAID

AQR

Small

Cap

Multi-Style

Fund

.......................................

$37,000,000

1.18

4

$4,844

AQR

International

Multi-Style

Fund

.....................................

30,000,000

1.16

4

3,863

AQR

TM

International

Momentum

Style

Fund

.............................

900,000

1.25

1

31

AQR

Emerging

Defensive

Style

Fund

...................................

7,142,353

1.06

17

3,584

AQR

International

Equity

Fund

........................................

38,666,667

1.09

3

3,512

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Large

Cap

Multi-Style

Fund

...........................................

4

94.49%

AQR

Small

Cap

Multi-Style

Fund

............................................

2

91.14%

AQR

International

Multi-Style

Fund

..........................................

4

95.17%

AQR

Emerging

Multi-Style

Fund

............................................

4

93.22%

AQR

TM

Large

Cap

Multi-Style

Fund

.........................................

4

91.12%

AQR

TM

Small

Cap

Multi-Style

Fund*

........................................

4

97.64%

AQR

TM

International

Multi-Style

Fund

.......................................

4

93.06%

AQR

TM

Emerging

Multi-Style

Fund

.........................................

1

84.41%

AQR

Large

Cap

Momentum

Style

Fund

.......................................

3

87.62%

AQR

Small

Cap

Momentum

Style

Fund

.......................................

3

92.38%

AQR

International

Momentum

Style

Fund

.....................................

3

93.54%

AQR

TM

Large

Cap

Momentum

Style

Fund

....................................

3

94.65%

AQR

TM

Small

Cap

Momentum

Style

Fund

....................................

3

92.73%

AQR

TM

International

Momentum

Style

Fund

..................................

3

96.24%

AQR

Large

Cap

Defensive

Style

Fund

........................................

6

84.48%

AQR

International

Defensive

Style

Fund

......................................

3

93.63%

AQR

Emerging

Defensive

Style

Fund*

........................................

5

91.86%

AQR

Global

Equity

Fund

..................................................

3

96.05%

AQR

International

Equity

Fund

.............................................

4

71.30%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

12.73%

and

65.95%

respectively.

242

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

New

Accounting

Pronouncements

and

Regulations 

In

March

2020,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2020-04

(“ASU

2020-04”),

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

ASU

2020-04

provides

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued.

ASU

2020-04

is

elective

and

is

effective

for

certain

reference

rate-

related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

is

currently

evaluating

the

impact,

if

any,

of

applying

ASU

2020-04.

Subsequent

Events 

At

a

meeting

held

on

November

16,

2020,

the

Board

of

Trustees

of

the

AQR

Funds

approved

a

proposal

to

liquidate

the

AQR

Emerging

Defensive

Style

Fund.

If

applicable,

the

Fund

will

declare

a

dividend

to

all

holders

of

record

on

December

15,

2020

consisting

of

any

undistributed

income

and

capital

gains

(net

of

available

capital

loss

carryovers).

On

or

about

December

18,

2020

(the

“Liquidation

Date”),

the

Fund

will

make

a

liquidating

distribution

of

its

remaining

assets

proportionately

to

any

shareholders

holding

shares

on

the

Liquidation

Date.

Subsequent

to

September

30,

2020

the

AQR

Small

Cap

Multi-Style

Fund

experienced

net

redemptions

of

$176,953,719

which

represented

approximately

69%

of

the

Fund's

net

assets.

AQR

does

not

anticipate

these

redemptions

to

have

a

material

impact

on

the

operations

of

the

Fund.

The

Funds

have

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

have

determined

that

there

are

no

material

events

other

than

those

disclosed

in

Note

8

and noted

above.

243

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

September

2020

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund,

AQR

TM

International

Momentum

Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Emerging

Defensive

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund

Opinions

on

the

Financial

Statements

We

have

audited

the

accompanying

statements

of

assets

and

liabilities,

including

the

schedules

of

investments,

of

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

International

Momentum

Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund,

AQR

TM

International

Momentum

Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

International

Defensive

Style

Fund,

AQR

Emerging

Defensive

Style

Fund,

AQR

Global

Equity

Fund

and

AQR

International

Equity

Fund

(nineteen

of

the

funds

constituting

AQR

Funds,

hereafter

collectively

referred

to

as

the

"Funds")

as

of

September

30,

2020,

the

related

statements

of

operations

for

the

year

ended

September

30,

2020,

the

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

September

30,

2020,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

five

years

in

the

period

ended

September

30,

2020

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

each

of

the

Funds

as

of

September

30,

2020,

the

results

of

each

of

their

operations

for

the

year

then

ended,

the

changes

in

each

of

their

net

assets

for

each

of

the

two

years

in

the

period

ended

September

30,

2020

and

each

of

the

financial

highlights

for

each

of

the

five

years

in

the

period

ended

September

30,

2020

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinions

These

financial

statements

are

the

responsibility

of

the

Funds’

management.

Our

responsibility

is

to

express

an

opinion

on

the

Funds’

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Funds

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

September

30,

2020

by

correspondence

with

the

custodian,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinions.

Subsequent

Event

As

discussed

in

Note

15

to

the

financial

statements,

on

November

16,

2020,

the

Board

of

Trustees

of

the

AQR

Funds

approved

a

proposal

to

liquidate

the

Emerging

Defensive

Style

Fund,

which

will

occur

on

or

about

December

18,

2020.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

November

17,

2020

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

244

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

For

the

fiscal

year

ended

September

30,

2020,

the

Funds

designate

the

following

percentages

of

ordinary

income

dividends,

or

maximum

amount

allowable,

as

qualifying

for

the

reduced

tax

rate

under

the

Jobs

and

Growth

Tax

Relief

Reconciliation

Act

of

2003:

For

the

fiscal

year

ended

September

30,

2020,

the

following

percentages

of

income

dividends

paid

by

the

Funds

qualify

for

the

dividends

received

deduction

available

to

corporations:

The

Funds

designate

the

following

amounts,

or

the

maximum

allowable

under

Section

852

of

the

Internal

Revenue

Code,

as

long

term

capital

gain

dividends paid

during

the

fiscal

year

ended September

30,

2020:

FUND

PERCENTAGE

AQR

Large

Cap

Multi-Style

Fund

.........................................................................

100.00%

AQR

Small

Cap

Multi-Style

Fund

..........................................................................

100.00%

AQR

International

Multi-Style

Fund

........................................................................

99.33%

AQR

Emerging

Multi-Style

Fund

..........................................................................

68.12%

AQR

TM

Large

Cap

Multi-Style

Fund

.......................................................................

100.00%

AQR

TM

Small

Cap

Multi-Style

Fund

.......................................................................

100.00%

AQR

TM

International

Multi-Style

Fund

.....................................................................

99.04%

AQR

TM

Emerging

Multi-Style

Fund

.......................................................................

73.27%

AQR

Large

Cap

Momentum

Style

Fund

.....................................................................

100.00%

AQR

Small

Cap

Momentum

Style

Fund

.....................................................................

100.00%

AQR

International

Momentum

Style

Fund

...................................................................

87.35%

AQR

TM

Large

Cap

Momentum

Style

Fund

..................................................................

100.00%

AQR

TM

Small

Cap

Momentum

Style

Fund

..................................................................

100.00%

AQR

TM

International

Momentum

Style

Fund

................................................................

90.36%

AQR

Large

Cap

Defensive

Style

Fund

......................................................................

100.00%

AQR

International

Defensive

Style

Fund

....................................................................

100.00%

AQR

Emerging

Defensive

Style

Fund

......................................................................

75.52%

AQR

Global

Equity

Fund

................................................................................

100.00%

AQR

International

Equity

Fund

...........................................................................

100.00%

FUND

PERCENTAGE

AQR

Large

Cap

Multi-Style

Fund

.........................................................................

100.00%

AQR

Small

Cap

Multi-Style

Fund

..........................................................................

100.00%

AQR

Emerging

Multi-Style

Fund

..........................................................................

0.12%

AQR

TM

Large

Cap

Multi-Style

Fund

.......................................................................

100.00%

AQR

TM

Small

Cap

Multi-Style

Fund

.......................................................................

100.00%

AQR

TM

Emerging

Multi-Style

Fund

.......................................................................

0.13%

AQR

Large

Cap

Momentum

Style

Fund

.....................................................................

100.00%

AQR

Small

Cap

Momentum

Style

Fund

.....................................................................

100.00%

AQR

TM

Large

Cap

Momentum

Style

Fund

..................................................................

100.00%

AQR

TM

Small

Cap

Momentum

Style

Fund

..................................................................

100.00%

AQR

Large

Cap

Defensive

Style

Fund

......................................................................

100.00%

AQR

Global

Equity

Fund

................................................................................

66.26%

FUND

TOTAL

AQR

Large

Cap

Multi-Style

Fund

.........................................................................

$

54,502,406

AQR

Small

Cap

Multi-Style

Fund

..........................................................................

338,822

AQR

TM

Large

Cap

Multi-Style

Fund

.......................................................................

2,141,516

AQR

Large

Cap

Momentum

Style

Fund

.....................................................................

78,738,688

AQR

Small

Cap

Momentum

Style

Fund

.....................................................................

10,013,730

AQR

TM

Large

Cap

Momentum

Style

Fund

..................................................................

2,795,008

AQR

TM

Small

Cap

Momentum

Style

Fund

..................................................................

685,866

245

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

Certain

Funds

have

derived

net

income

from

sources

within

foreign

countries.

For

the

year

ended

September

30,

2020,

the

foreign

source

income

for

each

Fund

was

as

follows:

Certain

Funds

intend

to

elect

to

pass

through

to

shareholders

the

credit

for

taxes

paid

to

foreign

countries.

For

the

year

ended

September

30,

2020,

the

foreign

taxes

paid

for

each

Fund

was

as

follows:

FUND

TOTAL

PER

SHARE

AQR

International

Multi-Style

Fund

.........................................................

$6,430,466

$0.2793

AQR

Emerging

Multi-Style

Fund

...........................................................

5,569,600

0.2501

AQR

TM

International

Multi-Style

Fund

......................................................

5,248,290

0.2821

AQR

TM

Emerging

Multi-Style

Fund

........................................................

9,353,324

0.2897

AQR

International

Momentum

Style

Fund

....................................................

9,202,727

0.3451

AQR

TM

International

Momentum

Style

Fund

.................................................

2,096,911

0.2719

AQR

International

Defensive

Style

Fund

.....................................................

5,817,496

0.3719

AQR

Emerging

Defensive

Style

Fund

.......................................................

932,315

0.9297

AQR

International

Equity

Fund

............................................................

4,626,389

0.3881

FUND

TOTAL

PER

SHARE

AQR

International

Multi-Style

Fund

.........................................................

$545,818

$0.0237

AQR

Emerging

Multi-Style

Fund

...........................................................

644,364

0.0289

AQR

TM

International

Multi-Style

Fund

......................................................

477,760

0.0257

AQR

TM

Emerging

Multi-Style

Fund

........................................................

966,994

0.0299

AQR

International

Momentum

Style

Fund

....................................................

609,649

0.0229

AQR

TM

International

Momentum

Style

Fund

.................................................

186,347

0.0242

AQR

International

Defensive

Style

Fund

.....................................................

462,036

0.0295

AQR

Emerging

Defensive

Style

Fund

.......................................................

180,229

0.1797

AQR

International

Equity

Fund

............................................................

195,806

0.0164

246

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

As

a

shareholder

of

the

Trust,

you

incur

two

types

of

costs:

(1)

transaction

costs

and

(2)

ongoing

costs,

including

management

fees;

and

other

Fund

expenses.

This

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

Fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds

The

Example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

for

the

entire

period

as

indicated

below.

Actual

Expenses

The

table

below

provides

information

about

actual

account

values

and

actual

expenses.

You

may

use

the

information

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

under

the

heading

entitled

“Expenses

Paid

for

the

Period

Ending

9/30/2020”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Each

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

each

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

Large

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,318.60

0.43%

$2.49

Hypothetical

Return

$1,000.00

$1,022.85

0.43%

$2.17

Class

N

Actual

Return

$1,000.00

$1,317.50

0.68%

$3.94

Hypothetical

Return

$1,000.00

$1,021.60

0.68%

$3.44

Class

R6

Actual

Return

$1,000.00

$1,318.90

0.33%

$1.91

Hypothetical

Return

$1,000.00

$1,023.35

0.33%

$1.67

AQR

Small

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,355.70

0.64%

$3.77

Hypothetical

Return

$1,000.00

$1,021.80

0.64%

$3.23

Class

N

Actual

Return

$1,000.00

$1,355.30

0.89%

$5.24

Hypothetical

Return

$1,000.00

$1,020.55

0.89%

$4.50

Class

R6

Actual

Return

$1,000.00

$1,356.40

0.54%

$3.18

Hypothetical

Return

$1,000.00

$1,022.30

0.54%

$2.73

AQR

International

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,220.30

0.58%

$3.22

Hypothetical

Return

$1,000.00

$1,022.10

0.58%

$2.93

Class

N

Actual

Return

$1,000.00

$1,218.30

0.84%

$4.66

Hypothetical

Return

$1,000.00

$1,020.80

0.84%

$4.24

Class

R6

Actual

Return

$1,000.00

$1,219.40

0.49%

$2.72

Hypothetical

Return

$1,000.00

$1,022.55

0.49%

$2.48

247

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

Emerging

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,340.80

0.73%

$4.27

Hypothetical

Return

$1,000.00

$1,021.35

0.73%

$3.69

Class

N

Actual

Return

$1,000.00

$1,339.00

0.98%

$5.73

Hypothetical

Return

$1,000.00

$1,020.10

0.98%

$4.95

Class

R6

Actual

Return

$1,000.00

$1,341.60

0.63%

$3.69

Hypothetical

Return

$1,000.00

$1,021.85

0.63%

$3.18

AQR

TM

Large

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,325.00

0.45%

$2.62

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

Class

N

Actual

Return

$1,000.00

$1,323.80

0.70%

$4.07

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

Class

R6

Actual

Return

$1,000.00

$1,325.70

0.35%

$2.03

Hypothetical

Return

$1,000.00

$1,023.25

0.35%

$1.77

AQR

TM

Small

Cap

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,328.30

0.71%

$4.13

Hypothetical

Return

$1,000.00

$1,021.45

0.71%

$3.59

Class

N

Actual

Return

$1,000.00

$1,325.70

0.96%

$5.58

Hypothetical

Return

$1,000.00

$1,020.20

0.96%

$4.85

Class

R6

Actual

Return

$1,000.00

$1,329.10

0.61%

$3.55

Hypothetical

Return

$1,000.00

$1,021.95

0.61%

$3.08

AQR

TM

International

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,216.10

0.60%

$3.32

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$1,213.90

0.85%

$4.70

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$1,217.00

0.50%

$2.77

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

AQR

TM

Emerging

Multi-Style

Fund

Class

I

Actual

Return

$1,000.00

$1,331.20

0.76%

$4.43

Hypothetical

Return

$1,000.00

$1,021.20

0.76%

$3.84

Class

N

Actual

Return

$1,000.00

$1,330.00

1.01%

$5.88

Hypothetical

Return

$1,000.00

$1,019.95

1.01%

$5.10

Class

R6

Actual

Return

$1,000.00

$1,332.50

0.66%

$3.85

Hypothetical

Return

$1,000.00

$1,021.70

0.66%

$3.34

248

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

Large

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,377.80

0.41%

$2.44

Hypothetical

Return

$1,000.00

$1,022.95

0.41%

$2.07

Class

N

Actual

Return

$1,000.00

$1,375.70

0.66%

$3.92

Hypothetical

Return

$1,000.00

$1,021.70

0.66%

$3.34

Class

R6

Actual

Return

$1,000.00

$1,378.50

0.30%

$1.78

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

Small

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,372.10

0.60%

$3.56

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$1,369.70

0.85%

$5.04

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$1,372.70

0.50%

$2.97

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

AQR

International

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,268.80

0.55%

$3.12

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$1,266.90

0.80%

$4.53

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$1,269.40

0.45%

$2.55

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

TM

Large

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,373.10

0.40%

$2.37

Hypothetical

Return

$1,000.00

$1,023.00

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$1,371.40

0.65%

$3.85

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

R6

Actual

Return

$1,000.00

$1,373.60

0.30%

$1.78

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

TM

Small

Cap

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,370.80

0.60%

$3.56

Hypothetical

Return

$1,000.00

$1,022.00

0.60%

$3.03

Class

N

Actual

Return

$1,000.00

$1,369.50

0.85%

$5.04

Hypothetical

Return

$1,000.00

$1,020.75

0.85%

$4.29

Class

R6

Actual

Return

$1,000.00

$1,372.70

0.50%

$2.97

Hypothetical

Return

$1,000.00

$1,022.50

0.50%

$2.53

249

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

TM

International

Momentum

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,258.00

0.55%

$3.10

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$1,257.60

0.80%

$4.52

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$1,258.90

0.45%

$2.54

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

Large

Cap

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,283.10

0.40%

$2.28

Hypothetical

Return

$1,000.00

$1,023.00

0.40%

$2.02

Class

N

Actual

Return

$1,000.00

$1,282.20

0.65%

$3.71

Hypothetical

Return

$1,000.00

$1,021.75

0.65%

$3.29

Class

R6

Actual

Return

$1,000.00

$1,284.60

0.30%

$1.71

Hypothetical

Return

$1,000.00

$1,023.50

0.30%

$1.52

AQR

International

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,187.40

0.55%

$3.01

Hypothetical

Return

$1,000.00

$1,022.25

0.55%

$2.78

Class

N

Actual

Return

$1,000.00

$1,186.20

0.80%

$4.37

Hypothetical

Return

$1,000.00

$1,021.00

0.80%

$4.04

Class

R6

Actual

Return

$1,000.00

$1,187.40

0.45%

$2.46

Hypothetical

Return

$1,000.00

$1,022.75

0.45%

$2.28

AQR

Emerging

Defensive

Style

Fund

Class

I

Actual

Return

$1,000.00

$1,185.70

0.82%

$4.48

Hypothetical

Return

$1,000.00

$1,020.90

0.82%

$4.14

Class

N

Actual

Return

$1,000.00

$1,185.00

1.04%

$5.68

Hypothetical

Return

$1,000.00

$1,019.80

1.04%

$5.25

Class

R6

Actual

Return

$1,000.00

$1,186.20

0.73%

$3.99

Hypothetical

Return

$1,000.00

$1,021.35

0.73%

$3.69

AQR

Global

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,287.00

0.81%

$4.63

Hypothetical

Return

$1,000.00

$1,020.95

0.81%

$4.09

Class

N

Actual

Return

$1,000.00

$1,285.10

1.05%

$6.00

Hypothetical

Return

$1,000.00

$1,019.75

1.05%

$5.30

Class

R6

Actual

Return

$1,000.00

$1,286.40

0.70%

$4.00

Hypothetical

Return

$1,000.00

$1,021.50

0.70%

$3.54

250

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

183/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

International

Equity

Fund

Class

I

Actual

Return

$1,000.00

$1,243.30

0.86%

$4.82

Hypothetical

Return

$1,000.00

$1,020.70

0.86%

$4.34

Class

N

Actual

Return

$1,000.00

$1,240.80

1.11%

$6.22

Hypothetical

Return

$1,000.00

$1,019.45

1.11%

$5.60

Class

R6

Actual

Return

$1,000.00

$1,243.40

0.76%

$4.26

Hypothetical

Return

$1,000.00

$1,021.20

0.76%

$3.84

251

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830.

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December

31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

is

an

interested

person

of

the

Trust

because

of

his

position

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENTOR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian Posner, M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

46

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-2018);

BG

Medicine

(2012-2015)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2016);

Managing

Director,

Finance

Scholars

Group

(2010-2014)

(consulting)

46

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

46

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

46

None

Mark

A.

Zurack,

M.B.A.,

CFA

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

46

Exchange

Traded

Concepts

Trust

(since

2011);

Source

ETF

Trust

(2014-2015)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

46

None

Officers

Ted

Pyne,

M.B.A.,

Ph.D.,

1966

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2016)

46

None

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley Asness, J.D.,

M.B.A.,

1969

Vice

President,

since 2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since 2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Patrick

Ryan,

CPA

1965

Assistant

Treasurer,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2012)

N/A

N/A

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

252

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

held

a

telephonic

meeting

on

May

18,

20

and

21,

2020

(the

“Meeting”)

to

consider

the

continuation

of

the

Third

Amended

and

Restated

Investment

Management

Agreement

between

AQR

Capital

Management,

LLC

(“AQR”)

and

the

Trust,

on

behalf

of

the

AQR

Emerging

Defensive

Style

Fund,

AQR

Emerging

Multi-Style

Fund,

AQR

Global

Equity

Fund,

AQR

International

Defensive

Style

Fund,

AQR

International

Equity

Fund,

AQR

International

Momentum

Style

Fund,

AQR

International

Multi-Style

Fund,

AQR

Large

Cap

Defensive

Style

Fund,

AQR

Large

Cap

Momentum

Style

Fund,

AQR

Large

Cap

Multi-Style

Fund,

AQR

Small

Cap

Momentum

Style

Fund,

AQR

Small

Cap

Multi-Style

Fund,

AQR

TM

Emerging

Multi-Style

Fund,

AQR

TM

International

Momentum

Style

Fund,

AQR

TM

International

Multi-Style

Fund,

AQR

TM

Large

Cap

Momentum

Style

Fund,

AQR

TM

Large

Cap

Multi-Style

Fund,

AQR

TM

Small

Cap

Momentum

Style

Fund,

AQR

TM

Small

Cap

Multi-Style

Fund,

and

certain

other

series

of

the

Trust

(as

amended,

the

“Management

Agreement”),

including

approval

of

the

Third

Amendment

to

the

Management

Agreement

(the

“Amendment”).

Each

of

the

aforementioned

series

of

the

Trust

may

be

referred

to

herein

as

a

“Fund”

and

collectively,

the

“Funds.”

During

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section 15(c)

of

the

1940

Act,

the

Board

requested

and

considered

materials

furnished

by

AQR

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

continuation

of

the

Management

Agreement

(inclusive

of

the

Amendment).

These

materials

included:

(i) memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

provided

to

the

Funds;

(ii) performance

information

for

the

Funds

relevant

to

the

consideration

of

the

Management

Agreement;

(iii) information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

Funds’

fees

and

expenses

and

performance

relative

to

peers

within

Morningstar

fund

categories,

as

well

as

proposed

contractual

management

fee

reductions

for

certain

Funds,

as

reflected

in

the

Amendment;

(iv)

financial

information

for

AQR

and

a

profitability

analysis

showing

AQR’s

profitability

from

providing

services

to

the

Funds;

and

(v) a

discussion

of

the

compliance

program

of

AQR

and

the

regulatory

exam

history

of

AQR.

At

the

Meeting

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Management

Agreement

for

an

additional

one-year

period

for

each

Fund.

In

approving

the

continuation

of

the

Management

Agreement

for

a

Fund,

the

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

Fund,

including,

among

other

factors:

(a) the

nature,

extent

and

quality

of

the

services

provided

by

AQR;

(b) the

investment

performance

of

the

Fund

and

AQR’s

portfolio

management;

(c) the

management

fee

and

the

cost

of

the

services

provided

and

profits

realized

by

AQR

from

the

relationship

with

the

Funds

and

the

fund

complex;

(d) economies

of

scale;

(e)

fall-out

benefits;

and

(f) other

factors.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

AQR’s

services

related

to

the

valuation

and

pricing

of

the

Funds’

portfolio

holdings,

direct

and

indirect

benefits

to

AQR

and

its

affiliates

from

their

relationship

with

the

Funds

and

advice

from

independent

legal

counsel

with

respect

to

the

review

process

and

materials

submitted

for

the

Board’s

consideration.

The

Board

did

not

identify

any

particular

information

as

controlling,

and

each

Board

Member

may

have

attributed

different

weightings

to

the

various

items

considered.

In

considering

the

renewal

of

the

Management

Agreement

for

each

Fund,

the

Board

did

not

view

the

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Management

Agreement

against

AQR.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Management

Agreement:

The

Nature,

Extent

and

Quality

of

the

Services

Provided

by

AQR

.

The

Board

Members

reviewed

the

services

that

AQR

provided

to

the

Funds

under

the

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

AQR’s

staff,

its

use

of

technology,

and

the

Funds’

stated

investment

objectives,

strategies

and

processes.

In

connection

with

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

took

into

account

discussions

they

had

regularly

as

part

of

quarterly

Board

meetings

with

representatives

of

AQR

regarding

the

management

of

each

Fund’s

investments

in

accordance

with

the

Funds’

stated

investment

objectives

and

policies

and

the

types

of

transactions

that

are

entered

into

on

behalf

of

the

Funds.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

AQR

regarding

the

formulation

and

implementation

of

the

Funds’

investment

strategies,

their

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

provided

to

the

Funds,

the

Board

Members

considered

that

AQR

also

provides

shareholder

and

administrative

services,

provides

oversight

of

Fund

accounting,

provides

risk

management,

provides

compliance

oversight,

administers

the

Funds’

liquidity

risk

management

program,

oversees

third

party

service

providers

and

provides

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

Funds.

In

particular,

the

Board

Members

considered

the

compliance,

shareholder

and

administrative

services

provided

to

the

Funds

by

AQR

under

the

Management

Agreement.

The

Board

Members

recognized

the

enterprise

risk

involved

in

providing

services

to

the

Funds

over

time.

Finally,

the

Independent

Board

Members

had

several

opportunities

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meeting

and

their

familiarity

gained

through

regular

Board

presentations

over

time,

the

Board

concluded

that

the

services

provided

to

the

Funds

by

AQR

pursuant

to

the

Management

Agreement

were

of

a

high

quality

and

benefit

the

Funds.

Investment

Performance

of

the

Funds

and

AQR

’s

Portfolio

Management.

The

Board

considered

the

investment

performance

of

each

Fund.

In

particular,

the

Independent

Board

Members

considered

the

investment

performance

of

the

Funds

relative

to

their

stated

objectives

and

AQR’s

efforts

to

achieve

such

goals

as

well

as

the

performance

of

the

Funds

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Performance

Peers”).

The

Board

was

cognizant

of

the

fact

that

in

some

cases

Fund

performance

was

challenged

in

comparison

to

a

Fund’s

Performance

Peers,

and

considered

AQR’s

views

regarding

the

factors

contributing

to

such

underperformance

on

a

Fund

by

Fund

basis.

The

Board

considered

that

Broadridge

comparisons

may

be

of

limited

use

in

some

cases

due

to

the

differences

between

the

ways

in

which

a

Fund

is

managed

from

other

Performance

Peers.

In

other

cases,

underperformance

in

relation

to

Performance

Peers

may

be

due

to

differences

in

a

Fund’s

investment

parameters

compared

to

its

Performance

Peers,

including

risk

limits,

volatility

targets,

model

limits

on

exposure

to

a

particular

country,

and

the

Fund’s

investment

universe.

Finally,

the

use

of

drawdown

control

and

internal

risk

protections

may

affect

a

Fund’s

performance

in

relation

to

its

Performance

Peers

or

benchmark.

253

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

Board

discussed

the

performance

of

the

Funds

with

AQR

at

Board

meetings

throughout

the

year.

AQR’s

presentations

to

the

Board

at

such

Board

meetings,

which

addressed

in

detail

the

drivers

of

underperformance

or

outperformance,

as

applicable,

supported

a

conclusion

that

the

Funds

were

being

managed

consistent

with

their

stated

policies

and

strategies.

The

Board

considered

other

performance

drivers

and

other

relevant

factors

contributing

to

longer-term

underperformance.

The

Board

also

noted

significant

redemptions

from

certain

Funds

over

the

prior

year

due

to

underperformance

of

those

Funds.

The

Board

considered

AQR’s

performance

in

managing

other

registered

investment

companies

and

private

funds,

noting

that

other

funds

AQR

manages

might

have

investment

objectives,

policies

or

restrictions

different

from

those

of

the

Funds.

Based

on

these

factors,

the

Board

Members

determined

that

the

performance

of

each

Fund

is

consistent

with

its

stated

objectives

and

strategies

and

AQR’s

investment

process.

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

Realized

by

AQR

from

the

Relationship

with

the

Funds.

The

Board,

including

the

Independent

Board

Members,

received

information

regarding

the

management

fees

paid

by

the

Funds

to

AQR

pursuant

to

the

Management

Agreement.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

provided

to

the

Funds

and

the

costs

incurred

by

and

benefits

to

AQR

in

providing

those

services,

and

other

relevant

factors.

To

assist

in

this

analysis,

the

Board

reviewed

comparative

fee

and

expense

information

for

each

Fund

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Expense

Peers”),

including

comparisons

of

contractual

management

fees

and

actual

net

expenses.

AQR

also

provided

a

supplemental

report

prepared

by

Broadridge

comparing

the

fee

components

of

the

Multi-Style,

Momentum

Style

and

Defensive

Style

Funds

to

the

fee

components

of

exchange-traded

funds

with

comparable

investment

strategies.

The

Board

noted

that,

as

of

December

31,

2019,

net

expenses

for

the

Funds

were

below

the

median

compared

to

their

Expense

Peers.

The

Board

also

reviewed

the

contractual

management

fee

reductions

proposed

by

AQR

and

reflected

in

the

Amendment.

Specifically,

the

Board

approved

the

following

contractual

management

fee

reductions,

effective

July

1,

2020:

AQR

Emerging

Multi-Style

Fund

–

reduction

from

0.60%

to

0.55%;

AQR

International

Multi-Style

Fund

–

reduction

from

0.45%

to

0.40%;

AQR

Large

Cap

Multi-Style

Fund

–

reduction

from

0.30%

to

0.25%;

and

AQR

Small

Cap

Multi-Style

Fund

–

reduction

from

0.50%

to

0.45%.

The

Expense

Peer

information

did

not

reflect

these

new

contractual

management

fee

rates;

however,

AQR

provided

supplemental

information

to

the

Board

regarding

the

proposed

reductions

in

the

contractual

management

fee

rates

and

net

expenses

for

the

applicable

Funds

that

was

prepared

by

Broadridge.

The

Board

reviewed

information

regarding

the

fees

AQR

charges

for

other

funds

and

accounts

managed

by

AQR,

including

sub-advised

mutual

funds,

with

similar

investment

strategies

to

certain

of

the

Funds.

The

Board

noted

the

greater

services

provided

by

AQR

to

the

Funds

in

contrast

to

the

limited

role

of

AQR

when

it

sub-advises

third

party

mutual

funds

or

advises

separate

accounts

or

hedge

funds.

The

Board

also

received

and

reviewed

information

regarding

the

profitability

of

AQR

with

respect

to

Fund-related

activities.

AQR

provided

the

Board

Members

with

a

detailed

description

of

the

methodology

and

inputs

used

to

determine

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

AQR,

the

types

of

funds

managed,

costs

of

recruiting

and

retaining

personnel,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

AQR’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

Funds

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

management

fees

under

the

Management

Agreement

are

reasonable

and

AQR’s

profitability

was

not

excessive.

Economies

of

Scale

AQR

provided

the

Board

with

information

concerning

the

extent

to

which

economies

of

scale

were

realized

as

the

Funds

grew

and

whether

fee

levels

were

reflective

of

such

economies

of

scale.

To

show

that

economies

are

being

shared,

AQR

presented

information

regarding

each

Fund’s

management

fees

relative

to

comparable

funds

of

similar

and/or

larger

sizes,

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

AQR’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

In

particular,

the

Board

noted

the

continuing

enhancements

to

AQR’s

services

to

the

Funds

in

areas

such

as

compliance,

portfolio

management,

technology

and

administration.

AQR

advised

that

its

size

as

a

firm

has

resulted

in

additional

benefits

to

the

AQR

Funds,

such

as

the

ability

to

negotiate

better

terms

with

service

providers,

to

undertake

securities

lending

activities

and

to

establish

a

dedicated

money

market

fund

for

the

AQR

Funds.

The

principals

of

AQR

have

also

provided

seed

capital

in

excess

of

regulatory

minimums

for

extended

periods.

AQR

also

discussed

that

it

had

undertaken

to

rely

on

Rule

30e-3

under

the

1940

Act

to

potentially

reduce

charges

related

to

printing

and

mailing

costs

for

shareholder

reports.

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

AQR

or

its

affiliates

may

derive

from

its

relationship

with

the

Funds,

both

tangible

and

intangible,

noting

that

no

payments

are

received

by

AQR

from

the

Funds

beyond

the

fees

under

the

Management

Agreement.

The

Board

was

advised

by

AQR

that

AQR

may

obtain

greater

exposure

to

the

public

as

a

result

of

managing

the

AQR

Funds,

which

could

lead

to

additional

business

opportunities,

such

as

unregistered

fund

investments,

separately

managed

account

opportunities

or

sub-advisory

mandates.

AQR

may

also

obtain

reputational

benefits.

AQR

may

also

obtain

economic

benefit

from

its

sponsorship/management

of

both

the

Funds

and

other

funds

or

accounts

with

respect

to

the

potential

economic

leverage

of

its

service

provider

relationships.

The

Board

also

received

information

regarding

AQR’s

brokerage

and

soft

dollar

practices,

noting

that

AQR

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-party

research.

The

Board

considered

that

AQR

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

Funds,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

254

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

investment

management

agreements.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

all

of

the

Board

Members,

including

all

of

the

Independent

Board

Members,

concluded

that

the

management

fee

rates

under

the

Management

Agreement

are

reasonable

in

relation

to

the

services

provided

by

AQR

to

the

Funds,

as

well

as

the

costs

incurred

and

benefits

to

be

gained

by

AQR

in

providing

such

services,

including

the

investment advisory

and

administrative

components.

The

Board

also

found

the

investment

management

fees

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds

of

similar

size.

As

a

result,

all

of

the

Board

Members,

including

the

Independent

Board

Members

voting

separately,

approved

the

continuation

of

the

Management

Agreement

with

respect

to

each

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

255

Liquidity

Risk

Management

Program

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

U.S.

Securities

and

Exchange

Commission

adopted

Rule

22e-4

under

the

Investment

Company

Act

of

1940

(the

“Liquidity

Rule”),

which

requires

the

AQR

Funds

(the

“Trust”)

to

adopt

and

implement

a

program

reasonably

designed

to

assess

and

manage

the

“liquidity

risk”

of

each

series

of

the

Trust

(the

“Funds”).

Pursuant

to

the

Liquidity

Rule,

“liquidity

risk”

is

defined

as

the

risk

that

a

Fund

could

not

meet

requests

to

redeem

shares

issued

by

the

Fund

without

significant

dilution

of

remaining

investors’

interests

in

the

Fund.

The

Trust,

on

behalf

of

each

Fund,

has

adopted

and

implemented

a

liquidity

risk

management

program

in

accordance

with

the

Liquidity

Rule

(the

“Program”).

The

Trust’s

Board

of

Trustees

(the

“Board”)

has

designated

AQR

Capital

Management,

LLC,

investment

adviser

to

each

Fund

(“AQR”),

as

the

administrator

of

the

Program

(“Program

Administrator”)

for

each

Fund.

The

Program

Administrator

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Program.

As

part

of

the

Program,

the

Program

Administrator

identifies

illiquid

investments,

categorizes

the

relative

liquidity

of

the

Funds’

investments

in

accordance

with

the

Liquidity

Rule

and

assesses,

manages,

and

periodically

reviews

the

Funds’

liquidity

risk.

Among

other

things,

the

Liquidity

Rule

requires

that

a

written

report

be

provided

by

the

Program

Administrator

to

the

Board

on

an

annual

basis

that

addresses

the

operation

of

the

Program

and

assesses

the

adequacy

and

effectiveness

of

its

implementation,

including

the

operation

of

any

Highly

Liquidity

Investment

Minimum

(“HLIM”)

established

for

a

Fund,

if

any,

and

any

material

changes

to

the

Program.

At

a

meeting

of

the

Board

held

on

May

20,

2020,

the

Board

reviewed

AQR’s

written

report

(the

“Report”)

concerning

the

operation,

adequacy

and

effectiveness

of

the

Program

for

the

period

from

April

1,

2019

through

March

31,

2020

(the

“Reporting

Period”).

The

Report

summarized

the

operation

of

the

Program

and

the

practices

implemented,

and

the

information

and

factors

considered

by

AQR

in

assessing

whether

the

Program

has

been

adequately

and

effectively

implemented

with

respect

to

each

Fund.

Such

practices,

information

and

factors

included,

among

other

things:

1)

An

overview

of

AQR’s

practices

with

respect

to

the

assessment,

management

and

periodic

review

of

each

Fund’s

liquidity

risk;

2)

A

summary

of

material

changes

or

findings

with

respect

to

the

Program,

if

any,

during

the

Reporting

Period;

3)

A

review

of

the

inputs

and

outputs

utilized

in

connection

with

the

Program,

particularly

the

methodologies

used

and

metrics

analyzed;

4)

A

summary

of

the

Funds’

compliance

with

the

requirements

under

the

Liquidity

Rule

and

the

Program,

including,

among

other

things,

the

15%

limit

on

investments

in

illiquid

investments

and

monitoring

of

highly

liquid

investments

to

determine

whether

the

Fund

is

required

to

set

a

highly

liquid

investment

minimum;

5)

An

overview

of

the

Funds’

other

sources

of

liquidity

(e.g.,

credit

facility

and

inter-fund

borrowing);

and

6)

An

overall

assessment

of

the

effectiveness

of

the

Program

with

respect

to

managing

each

Fund’s

liquidity

risk,

including,

among

other

things

assessing

whether

the

Fund’s

strategy

remains

appropriate

for

an

open-end

fund

structure.

Based

on

the

above

information

and

factors,

among

others,

the

Program

Administrator

has

concluded,

and

reported

to

the

Board,

that

the

Program

is

reasonably

designed

to

assess

and

manage

the

Funds’

liquidity

risk

and

has

been

implemented

and

is

operating

effectively.

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

U.S.

Securities

and

Exchange

Commission,

the

Funds

intend

to

no

longer

mail

paper

copies

of

the

Funds’

annual

and

semi-annual

shareholder

reports,

unless

you

specifically

request

paper

copies

of

the

reports

from

the

Funds

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website

(https://funds.aqr.com),

and

you

will

be

notified

by

mail

each

time

a

report

is

posted

and

provided

with

a

website

link

to

access

the

report.

If

you

already

elected

to

receive

shareholder

reports

electronically,

you

will

not

be

affected

by

this

change

and

you

need

not

take

any

action.

You

may

elect

to

receive

shareholder

reports

and

other

communications

from

the

Funds

electronically

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

You

may

elect

to

receive

all

future

reports

in

paper

free

of

charge.

You

can

inform

your

financial

intermediary

or

the

Funds

that

you

wish

to

continue

receiving

paper

copies

of

your

shareholder

reports

by

contacting

your

financial

intermediary

or,

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

by

calling

(866)

290-2688.

Your

election

to

receive

reports

in

paper

will

apply

to

all

AQR

Funds

held

with

the

fund

complex

if

you

purchased

your

Fund

shares

through

the

Funds’

transfer

agent

ALPS

Fund

Services,

Inc.,

or

all

AQR

Funds

held

in

your

account

if

you

invest

through

a

financial

intermediary.

Annual

Report

September

30,

2020

AQR

Core

Plus

Bond

Fund

Table

of

Contents

Shareholder

Letter

(Unaudited)

.........................................................................

2

Schedule

of

Investments

.............................................................................

5

Financial

Statements

and

Notes

........................................................................

19

Report

of

Independent

Registered

Public

Accounting

Firm

.....................................................

42

Other

Federal

Tax

Information

(Unaudited)

................................................................

43

Fund

Expense

Examples

(Unaudited)

....................................................................

44

Trustees

and

Officers

(Unaudited)

......................................................................

45

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

................................................

46

Liquidity

Risk

Management

Program

(Unaudited)

...........................................................

48

Shareholder

Letter

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

2

AQR

Funds

|

Annual

Report

|

September

2020

Dear

Shareholder:

The

AQR

Core

Plus

Bond

Fund

(the

“Fund”)

is

a

U.S.

Aggregate

Bond-benchmarked

fixed

income

offering

that

seeks

total

return.

Excess-of-benchmark

returns

are

pursued

through

a

rules-based,

systematic

application

of

fundamental

investment

themes.

By

combining

these

investment

themes,

we

aim

to

build

a

portfolio

weighted

to

securities

that

are

cheap,

with

improving

price

and

fundamental

trends,

with

attractive

yields,

and

which

have

more

defensive

characteristics.

Notably,

out

of

benchmark

sectors

are

strictly

used

to

increase

security

selection

breadth,

while

still

targeting

the

credit

and

duration

profile

of

the

benchmark.

Because

of

its

systematic

approach,

the

strategy

targets

excess

returns

that

are

both

attractive,

as

well

as

uncorrelated

to

traditional

market

risk

premiums

(e.g.

equities,

interest

rates,

etc.),

and

to

traditional

fixed

income

managers.

In

addition

to

government

bonds

and

corporate

bonds,

the

Fund

uses

derivatives

(e.g.

currency

forwards,

interest

rate

swaps,

and

bond

futures)

to

both

more

efficiently

implement

security

selection

views

in

addition

to

maintaining

risk

in

line

with

the

benchmark. 

During

the

fiscal

year

ended

September

30,

2020,

the

Fund’s

use

of

derivative

instruments

did

not

cause

the

Fund’s

performance

to

materially

deviate

from

AQR’s

performance

expectations

for

the

Fund

under

the

market

conditions

experienced

over

this

period. 

For

the

fiscal

year

ended

September

30,

2020,

the

Fund’s

Class

I

returned

7.10%

net

of

fees

while

its

benchmark,

the

Bloomberg

Barclays

U.S.

Aggregate

Total

Return

Value

Unhedged

USD

Index,

returned

6.98%

over

the

period.

The

Fund’s

outperformance

was

driven

primarily

by

the

maturity

selection

sub-

strategy,

while

the

corporate

security

selection

and

emerging

bond

selection

sub-strategies

contributed

somewhat

as

well.

From

a

broad

investment

theme

perspective,

value

signals

were

the

largest

contributors

to

outperformance,

offset

somewhat

by

carry

signals.

The

global

COVID-19

crisis

had

a

material

impact

on

global

fixed

income

markets

during

the

first

quarter

of

2020

and

continues

to

do

so.

The

yields

on

10yr

US

Treasuries

dropped

from

close

to

3%

in

January

to

a

below

1%

as

the

Federal

Reserve

initiated

unprecedented

responses

to

the

unfolding

global

crisis. 

Supported

by

ongoing

central

bank

bond

purchases,

US

yields

have

remained

below

1%.

Corporate

credit

suffered

with

spreads

widening

to

levels

not

seen

since

the

Global

Financial

Crisis

before

rebounding

somewhat

in

the

second

and

third

quarters.

As

of

September

30,

fixed

income

markets

continue

to

react

to

the

pandemic

as

well

as

the

monetary

and

fiscal

policy

responses.

At

AQR,

we

employ

a

variety

of

means

to

monitor

markets

and

assess

portfolio

risk

on

a

continual

basis.

The

fixed

income

portfolios

that

form

our

investment

strategies

maintain

extensive

levels

of

diversification

(at

the

security,

industry,

and,

where

applicable,

country

level),

strict

risk

controls,

and

independent

risk

monitoring.

We

maintain

a

systematic

portfolio

management

process

that

considers

moderate

position-

level

exposures,

and

portfolio

liquidity.

Our

portfolio

management

and

research

teams,

in

coordination

with

our

implementation

team

and

independent

risk

team,

have

long

employed

measures

to

assess

portfolio

performance

during

uncertain

and

volatile

periods,

and

to

monitor

the

higher

levels

of

market

and

active

portfolio

volatility

to

determine

if

intervention

is

necessary.

During

the

COVID-19

environment,

as

with

other

past

periods

of

volatility,

we

have

been

able

to

successfully

maintain

portfolio

liquidity,

and

to

execute

our

strategies

effectively,

while

making

adjustments

where

necessary

to

limit

portfolio

risk.

We

will

continue

to

remain

vigilant

as

the

pandemic

remains

a

key

influence

for

global

fixed

income

markets.

Ronan

Israel

Principal

Scott

Richardson

Principal

Jordan

Brooks

Principal

3

Shareholder

Letter

(Unaudited)

AQR

CORE

PLUS

BOND

FUND

AQR

Funds

|

Annual

Report

|

September

2020

Past

performance

does

not

guarantee

future

results.

Investment

results

and

principal

value

of

an

investment

will

fluctuate

so

that

an

investor’s

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

As

of

the

latest

prospectus,

the

gross

expense

ratio

for

the

Fund’s

Class

I/N/R6

shares

are

0.73%,

0.96%

and

0.69%,

respectively.

Call

1-866-290-2688

or

visit

www.aqrfunds.com

for

current

month-end

performance.

AQR

CORE

PLUS

BOND

FUND

VS.

BLOOMBERG

BARCLAYS

U.S.

AGGREGATE

TOTAL

RETURN

VALUE

UNHEDGED

USD

INDEX

VALUE

OF

$10,000

INVESTED

ON

4/5/2018

The

chart

above

represents

historical

performance

of

a

hypothetical

investment

of

$10,000

in

the

Fund

over

the

past

ten

years

(or

since

inception

if

shorter).

Performance

data

quoted

represents

past

performance

and

does

not

guarantee

future

results.

Returns

shown

are

total

returns,

which

assume

the

reinvestment

of

dividends

and

capital

gains.

The

table

and

graph

presented

above

do

not

reflect

the

deduction

of

taxes

a

shareholder

would

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

test

AVERAGE

ANNUAL

TOTAL

RETURNS

AS

OF

09/30/2020

AQR

CORE

PLUS

BOND

FUND

1

Year

Since

Inception

Date

of

Inception

Fund

-

Class

I:

QCPIX

7.10%

6.53%

4/5/2018

Fund

-

Class

N:

QCPNX

6.79%

6.28%

4/5/2018

Fund

-

Class

R6:

QCPRX

7.19%

6.61%

4/5/2018

Bloomberg

Barclays

U.S.

Aggregate

Total

Return

Value

Unhedged

USD

Index

6.98%

6.96%

4/5/2018

4

Shareholder

Letters

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

DEFINITIONS:

Bloomberg

Barclays

®

U.S.

Aggregate

Bond

Index:

is

a

market-weighted

index

comprised

of

investment

grade

corporate

bonds

(rated

BBB

or

better),

mortgages

and

U.S.

Treasury

and

government

agency

issues

with

at

least

one

year

to

maturity.

5

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

LONG

POSITIONS

-

127.4%

CORPORATE

BONDS

-

27.9%

Aerospace

&

Defense

-

0.1%

Hexcel

Corp.

3.95%,

2/15/2027

$

140,000

151,216

Air

Freight

&

Logistics

-

0.3%

United

Parcel

Service,

Inc.

5.30%,

4/1/2050

280,000

415,535

Banks

-

1.4%

Bangko

Sentral

ng

Pilipinas

International

Bond

(Philippines)

Series

A,

8.60%,

6/15/2027

60,000

83,400

Bank

of

Montreal

(Canada)

(USD

Swap

Semi

5

Year

+

1.43%),

3.80%,

12/15/2032

(a)

200,000

222,917

Canadian

Imperial

Bank

of

Commerce

(Canada)

3.10%,

4/2/2024

100,000

107,949

National

Bank

of

Canada

(Canada)

2.10%,

2/1/2023

430,000

444,544

SVB

Financial

Group

3.50%,

1/29/2025

390,000

419,710

Toronto-Dominion

Bank

(The)

(Canada)

(USD

Swap

Semi

5

Year

+

2.21%),

3.62%,

9/15/2031

(a)

150,000

168,588

Vnesheconombank

(Russia)

6.80%,

11/22/2025

(b)

140,000

167,085

1,614,193

Biotechnology

-

0.2%

Biogen,

Inc.

5.20%,

9/15/2045

190,000

254,393

Building

Products

-

0.1%

Fortune

Brands

Home

&

Security,

Inc.

3.25%,

9/15/2029

100,000

110,387

Capital

Markets

-

2.3%

Ares

Capital

Corp.

3.50%,

2/10/2023

700,000

719,021

Goldman

Sachs

Group,

Inc.

(The)

6.75%,

10/1/2037

260,000

377,762

KKR

Group

Finance

Co.

III

LLC

5.13%,

6/1/2044

(b)

190,000

237,269

Morgan

Stanley

3.63%,

1/20/2027

770,000

872,610

Northern

Trust

Corp.

3.15%,

5/3/2029

410,000

467,576

2,674,238

Chemicals

-

1.9%

Air

Products

and

Chemicals,

Inc.

2.05%,

5/15/2030

470,000

493,337

Celanese

US

Holdings

LLC

3.50%,

5/8/2024

100,000

107,632

Ecolab,

Inc.

4.80%,

3/24/2030

390,000

497,462

Mosaic

Co.

(The)

4.25%,

11/15/2023

110,000

119,389

PPG

Industries,

Inc.

2.55%,

6/15/2030

102,000

108,604

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Chemicals

-

1.9%

(continued)

RPM

International,

Inc.

3.75%,

3/15/2027

$

800,000

879,720

2,206,144

Commercial

Services

&

Supplies

-

0.4%

Cintas

Corp.

No.

2

3.70%,

4/1/2027

421,000

485,337

Construction

Materials

-

0.1%

Vulcan

Materials

Co.

4.50%,

6/15/2047

105,000

122,002

Consumer

Finance

-

1.1%

American

Express

Co.

2.50%,

8/1/2022

810,000

839,395

Capital

One

Financial

Corp.

3.90%,

1/29/2024

230,000

250,351

Synchrony

Financial

3.95%,

12/1/2027

200,000

215,224

1,304,970

Diversified

Financial

Services

-

0.9%

GE

Capital

International

Funding

Co.

Unlimited

Co.

4.42%,

11/15/2035

400,000

422,223

Petronas

Capital

Ltd.

(Malaysia)

7.88%,

5/22/2022

(b)

240,000

266,301

Voya

Financial,

Inc.

4.80%,

6/15/2046

330,000

402,580

1,091,104

Diversified

Telecommunication

Services

-

0.4%

AT&T,

Inc.

4.50%,

3/9/2048

86,000

98,695

3.65%,

9/15/2059

(b)

16,000

15,717

Level

3

Financing,

Inc.

3.88%,

11/15/2029

(b)

370,000

400,485

514,897

Electric

Utilities

-

1.0%

Emera

US

Finance

LP

(Canada)

4.75%,

6/15/2046

100,000

120,525

FirstEnergy

Corp.

Series

B,

3.90%,

7/15/2027

430,000

472,768

NRG

Energy,

Inc.

3.75%,

6/15/2024

(b)

400,000

427,004

Oklahoma

Gas

and

Electric

Co.

3.25%,

4/1/2030

160,000

179,195

1,199,492

Electronic

Equipment,

Instruments

&

Components

-

0.4%

Keysight

Technologies,

Inc.

4.60%,

4/6/2027

383,000

447,685

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.4%

Equinix,

Inc.

5.38%,

5/15/2027

400,000

435,851

Food

&

Staples

Retailing

-

1.3%

Alimentation

Couche-Tard,

Inc.

(Canada)

2.70%,

7/26/2022

(b)

678,000

699,270

Costco

Wholesale

Corp.

1.60%,

4/20/2030

500,000

508,366

6

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Food

&

Staples

Retailing

-

1.3%

(continued)

Walmart,

Inc.

4.05%,

6/29/2048

$

270,000

352,374

1,560,010

Food

Products

-

0.2%

Smithfield

Foods,

Inc.

4.25%,

2/1/2027

(b)

230,000

251,314

Gas

Utilities

-

0.3%

National

Fuel

Gas

Co.

4.75%,

9/1/2028

298,000

312,996

Health

Care

Equipment

&

Supplies

-

1.1%

Abbott

Laboratories

4.90%,

11/30/2046

370,000

524,586

Edwards

Lifesciences

Corp.

4.30%,

6/15/2028

620,000

741,244

1,265,830

Health

Care

Providers

&

Services

-

1.1%

Anthem,

Inc.

4.63%,

5/15/2042

160,000

200,965

HCA,

Inc.

5.00%,

3/15/2024

360,000

403,315

Humana,

Inc.

4.95%,

10/1/2044

350,000

463,377

Montefiore

Obligated

Group

4.29%,

9/1/2050

200,000

198,874

1,266,531

Hotels,

Restaurants

&

Leisure

-

0.2%

Marriott

International,

Inc.

Series

EE,

5.75%,

5/1/2025

260,000

290,165

Household

Products

-

0.1%

Procter

&

Gamble

Co.

(The)

3.60%,

3/25/2050

110,000

139,479

Industrial

Conglomerates

-

0.2%

Roper

Technologies,

Inc.

3.80%,

12/15/2026

170,000

196,168

Insurance

-

0.2%

Aon

plc

4.75%,

5/15/2045

160,000

208,423

Internet

&

Direct

Marketing

Retail

-

0.8%

Amazon.com,

Inc.

4.05%,

8/22/2047

450,000

584,643

Booking

Holdings,

Inc.

4.63%,

4/13/2030

340,000

408,474

993,117

Life

Sciences

Tools

&

Services

-

0.4%

PerkinElmer,

Inc.

3.30%,

9/15/2029

400,000

444,188

Machinery

-

0.1%

Cummins,

Inc.

1.50%,

9/1/2030

120,000

119,317

Media

-

0.4%

Charter

Communications

Operating

LLC

4.91%,

7/23/2025

400,000

462,489

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Metals

&

Mining

-

0.5%

Barrick

North

America

Finance

LLC

(Canada)

5.75%,

5/1/2043

$

100,000

145,613

Corp.

Nacional

del

Cobre

de

Chile

(Chile)

6.15%,

10/24/2036

(b)

110,000

148,457

Kinross

Gold

Corp.

(Canada)

5.95%,

3/15/2024

130,000

148,264

Teck

Resources

Ltd.

(Canada)

6.25%,

7/15/2041

100,000

115,602

557,936

Multiline

Retail

-

0.1%

Nordstrom,

Inc.

5.00%,

1/15/2044

190,000

135,199

Multi-Utilities

-

0.4%

CMS

Energy

Corp.

(US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

5

Year

+

4.12%),

4.75%,

6/1/2050

(a)

402,000

426,205

Oil,

Gas

&

Consumable

Fuels

-

1.5%

Devon

Energy

Corp.

5.00%,

6/15/2045

190,000

180,344

EOG

Resources,

Inc.

4.38%,

4/15/2030

230,000

271,005

HollyFrontier

Corp.

5.88%,

4/1/2026

520,000

569,733

KazTransGas

JSC

(Kazakhstan)

4.38%,

9/26/2027

(b)

200,000

215,178

ONEOK,

Inc.

4.95%,

7/13/2047

220,000

206,369

Petroleos

Mexicanos

(Mexico)

4.50%,

1/23/2026

20,000

17,860

6.50%,

3/13/2027

70,000

65,592

5.35%,

2/12/2028

30,000

25,950

6.63%,

6/15/2035

110,000

91,349

6.63%,

6/15/2038

10,000

7,885

6.50%,

6/2/2041

110,000

84,743

6.35%,

2/12/2048

50,000

37,625

1,773,633

Pharmaceuticals

-

0.2%

Zoetis,

Inc.

4.70%,

2/1/2043

200,000

263,352

Professional

Services

-

1.4%

IHS

Markit

Ltd.

4.75%,

2/15/2025

(b)

670,000

759,083

Verisk

Analytics,

Inc.

4.00%,

6/15/2025

730,000

832,913

1,591,996

Road

&

Rail

-

0.4%

Kansas

City

Southern

2.88%,

11/15/2029

450,000

477,011

Semiconductors

&

Semiconductor

Equipment

-

2.0%

Broadcom

Corp.

3.88%,

1/15/2027

430,000

476,399

Lam

Research

Corp.

4.00%,

3/15/2029

410,000

491,266

7

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

Semiconductors

&

Semiconductor

Equipment

-

2.0%

(continued)

Microchip

Technology,

Inc.

4.33%,

6/1/2023

$

259,000

278,739

Micron

Technology,

Inc.

5.33%,

2/6/2029

390,000

469,035

NVIDIA

Corp.

3.20%,

9/16/2026

97,000

109,413

QUALCOMM,

Inc.

3.25%,

5/20/2027

220,000

246,873

Texas

Instruments,

Inc.

1.75%,

5/4/2030

240,000

247,555

Xilinx,

Inc.

2.38%,

6/1/2030

85,000

89,232

2,408,512

Software

-

1.3%

Adobe,

Inc.

2.30%,

2/1/2030

450,000

484,113

Citrix

Systems,

Inc.

4.50%,

12/1/2027

720,000

825,032

salesforce.com,

Inc.

3.70%,

4/11/2028

200,000

236,134

1,545,279

Specialty

Retail

-

1.0%

Best

Buy

Co.,

Inc.

4.45%,

10/1/2028

550,000

652,210

Home

Depot,

Inc.

(The)

4.50%,

12/6/2048

400,000

534,676

1,186,886

Technology

Hardware,

Storage

&

Peripherals

-

1.1%

Apple,

Inc.

4.65%,

2/23/2046

150,000

209,357

Dell

International

LLC

6.02%,

6/15/2026

(b)

490,000

575,348

Seagate

HDD

Cayman

4.09%,

6/1/2029

(b)

100,000

108,776

Xerox

Corp.

4.38%,

3/15/2023

(c)

350,000

359,730

1,253,211

Trading

Companies

&

Distributors

-

0.1%

WW

Grainger,

Inc.

4.60%,

6/15/2045

62,000

79,722

Water

Utilities

-

0.1%

American

Water

Capital

Corp.

3.75%,

9/1/2047

100,000

118,096

Wireless

Telecommunication

Services

-

0.4%

Sprint

Spectrum

Co.

LLC

4.74%,

3/20/2025

(b)

400,000

432,500

TOTAL

CORPORATE

BONDS

(Cost

$31,128,335)

32,787,009

MORTGAGE-BACKED

SECURITIES

-

33.3%

UMBS,

15

Year,

Single

Family

TBA,

2.50%,

10/25/2035

3,850,000

4,020,243

UMBS,

30

Year,

Single

Family

TBA,

2.50%,

10/25/2050

5,950,000

6,241,225

TBA,

3.00%,

10/25/2050

9,850,000

10,318,452

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

MORTGAGE-BACKED

SECURITIES

-

33.3%

(continued)

TBA,

3.50%,

10/25/2050

$

8,550,000

9,014,572

TBA,

4.00%,

10/25/2050

5,350,000

5,706,005

TBA,

4.50%,

10/25/2050

3,450,000

3,731,931

TOTAL

MORTGAGE-BACKED

SECURITIES

(Cost

$39,128,732)

39,032,428

FOREIGN

GOVERNMENT

SECURITIES

-

20.6%

Buoni

Poliennali

del

Tesoro

6.00%,

5/1/2031

(d)

EUR

1,140,000

2,021,998

4.00%,

2/1/2037

(d)

210,000

342,249

Canada

Government

Bond

2.25%,

6/1/2029

CAD

1,970,000

1,699,566

Commonwealth

of

Australia

2.75%,

11/21/2027

(d)

AUD

1,660,000

1,370,595

2.25%,

5/21/2028

(d)

8,330,000

6,689,864

2.75%,

11/21/2028

(d)

1,160,000

967,304

3.25%,

4/21/2029

(d)

470,000

407,472

1.50%,

6/21/2031

(d)

3,530,000

2,693,061

Dominican

Republic

Government

Bond

6.88%,

1/29/2026

(b)

$

100,000

111,251

7.45%,

4/30/2044

(b)

100,000

112,500

Export-Import

Bank

of

India

4.00%,

1/14/2023

(d)

200,000

209,988

Federal

Republic

of

Nigeria

7.88%,

2/16/2032

(b)

200,000

190,564

Federative

Republic

of

Brazil

10.13%,

5/15/2027

120,000

166,501

8.25%,

1/20/2034

20,000

26,800

7.13%,

1/20/2037

140,000

173,775

Hungary

Government

Bond

5.75%,

11/22/2023

20,000

22,925

7.63%,

3/29/2041

10,000

17,881

Japan

Government

Bond

0.10%,

6/20/2028

JPY

10,800,000

103,823

0.10%,

9/20/2028

15,950,000

153,278

0.10%,

12/20/2028

16,600,000

159,433

0.10%,

3/20/2029

14,250,000

136,775

0.10%,

6/20/2029

26,900,000

257,948

2.10%,

3/20/2030

24,650,000

279,996

0.60%,

12/20/2036

3,250,000

32,282

2.50%,

3/20/2038

214,700,000

2,780,443

2.40%,

9/20/2038

3,550,000

45,621

2.30%,

3/20/2039

2,450,000

31,196

2.30%,

3/20/2040

7,300,000

93,868

Kingdom

of

Saudi

Arabia

2.90%,

10/22/2025

(b)

$

200,000

213,601

Oriental

Republic

of

Uruguay

7.63%,

3/21/2036

50,000

77,813

Republic

of

Colombia

8.13%,

5/21/2024

130,000

156,650

7.38%,

9/18/2037

130,000

182,975

Republic

of

El

Salvador

6.38%,

1/18/2027

(b)

80,000

68,680

8.25%,

4/10/2032

(b)

40,000

36,100

7.65%,

6/15/2035

(b)

100,000

85,900

Republic

of

Honduras

6.25%,

1/19/2027

(b)

150,000

164,100

8

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

($)

FOREIGN

GOVERNMENT

SECURITIES

-

20.6%

(continued)

Republic

of

Indonesia

2.95%,

1/11/2023

$

200,000

208,194

7.75%,

1/17/2038

(b)

100,000

154,484

Republic

of

Peru

8.75%,

11/21/2033

120,000

200,851

Republic

of

Philippines

9.50%,

2/2/2030

100,000

164,735

Republic

of

Poland

3.25%,

4/6/2026

20,000

22,552

Republic

of

South

Africa

4.88%,

4/14/2026

210,000

212,092

Republic

of

Turkey

6.88%,

3/17/2036

120,000

112,291

Romania

Government

Bond

6.75%,

2/7/2022

(b)

180,000

193,761

4.38%,

8/22/2023

(b)

30,000

32,589

4.00%,

2/14/2051

(b)

50,000

51,500

Russian

Federation

5.25%,

6/23/2047

(b)

200,000

264,793

State

of

Qatar

9.75%,

6/15/2030

(b)

20,000

33,550

Ukraine

Government

Bond

7.75%,

9/1/2027

(b)

150,000

148,368

United

Mexican

States

6.05%,

1/11/2040

30,000

37,545

4.75%,

3/8/2044

50,000

54,525

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$23,349,842)

24,176,606

U.S.

TREASURY

OBLIGATIONS

-

36.0%

U.S.

Treasury

Bonds

3.13%,

2/15/2043

440,000

597,283

2.88%,

5/15/2043

3,730,000

4,879,161

3.63%,

8/15/2043

290,000

423,570

3.75%,

11/15/2043

2,280,000

3,393,103

3.13%,

8/15/2044

260,000

354,514

2.50%,

2/15/2045

250,000

308,359

3.00%,

5/15/2045

870,000

1,167,261

2.75%,

8/15/2047

3,840,000

4,995,450

U.S.

Treasury

Notes

2.13%,

12/31/2021

5,430,000

5,564,477

1.63%,

12/31/2021

6,950,000

7,079,226

1.75%,

2/28/2022

2,010,000

2,056,010

1.63%,

12/15/2022

8,750,000

9,037,793

2.00%,

8/15/2025

1,840,000

1,994,028

1.63%,

2/15/2026

10,000

10,698

0.50%,

5/31/2027

10,000

10,043

2.25%,

11/15/2027

10,000

11,247

2.75%,

2/15/2028

10,000

11,637

2.88%,

5/15/2028

310,000

364,880

2.88%,

8/15/2028

10,000

11,810

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$39,852,784)

42,270,550

INVESTMENTS

SHARES

VALUE

($)

SHORT-TERM

INVESTMENTS

-

9.6%

INVESTMENT

COMPANIES

-

9.6%

Limited

Purpose

Cash

Investment

Fund,

0.12%

(1)(e)

(Cost

$11,250,415)

11,252,043

11,249,792

TOTAL

INVESTMENTS

BEFORE

TBA

SALE

COMMITMENTS

(Cost

$144,710,108)

149,516,385

PRINCIPAL

AMOUNT

TBA

SALE

COMMITMENTS

-

(0.9)%

MORTGAGE-BACKED

SECURITIES

-

(0.9)%

UMBS,

30

Year,

Single

Family

TBA,

3.00%,

10/25/2050

$

(600,000)

(628,535)

TBA,

3.50%,

10/25/2050

(200,000)

(210,867)

TBA,

4.00%,

10/25/2050

(150,000)

(159,982)

TBA,

4.50%,

10/25/2050

(50,000)

(54,086)

TOTAL

TBA

SALE

COMMITMENTS

(Proceeds

$(1,053,246))

(1,053,470)

TOTAL

INVESTMENTS

NET

OF

TBA

SALE

COMMITMENTS

-

126.5%

(Cost

$143,656,862)

148,462,915

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(26.5)%

(f)

(31,087,752)

NET

ASSETS

-

100.0%

117,375,163

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

1,409,886

1.2

%

Consumer

Discretionary

2,605,369

2.2

Consumer

Staples

1,950,802

1.7

Energy

1,773,633

1.5

Financials

6,892,928

5.9

Foreign

Government

Securities

24,176,606

20.6

Health

Care

3,494,295

3.0

Industrials

3,626,689

3.1

Information

Technology

5,654,686

4.8

Materials

2,886,081

2.4

Mortgage-Backed

Securities

37,978,958

32.4

Real

Estate

435,851

0.4

U.S.

Treasury

Obligations

42,270,550

36.0

Utilities

2,056,789

1.7

Short-Term

Investments

11,249,792

9.6

Total

Investments

In

Securities

At

Value

148,462,915

126.5

Liabilities

in

Excess

of

Other

Assets

(f)

(31,087,752)

(26.5)

Net

Assets

$

117,375,163

100.0%

9

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

(a)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

September

30,

2020.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

September

30,

2020

amounted

to

$6,565,528,

which

represents

approximately

5.59%

of

net

assets

of

the

fund.

(c)

Step

bond.

Coupon

rate

is

a

fixed

rate

for

an

initial

period

that

either

resets

at

a

specific

date

or

may

reset

in

the

future

contingent

upon

a

rating

change

made

by

a

rating

agency.

The

interest

rate

shown

was

the

current

rate

as

of

September

30,

2020.

(d)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

September

30,

2020,

the

value

of

these

securities

amounted

to

$14,702,531

or

12.53%

of

net

assets.

(e)

Represents

7-day

effective

yield

as

of

September

30,

2020.

(f)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security

(See

Note

4).

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

September

30,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

Emerging

Markets

Index

Series

34.V1

1.00

%

Quarterly

12/20/2025

2.31

%

USD

5,900,000

$

382,285

$

(8,578)

$

373,707

Republic

of

Turkey,

11.88%,

1/15/2030

1.00

Quarterly

12/20/2025

5.32

USD

300,000

55,471

1,643

57,114

Russian

Federation,

2.25%,

3/31/2030

1.00

Quarterly

12/20/2025

1.25

USD

700,000

5,576

3,475

9,051

United

Mexican

States,

4.15%,

3/28/2027

1.00

Quarterly

12/20/2025

1.48

USD

700,000

23,595

(8,288)

15,307

466,927

(11,748)

455,179

Kingdom

of

Thailand,  

1.45%,

5/20/2015

1.00

%

Quarterly

12/20/2025

0.49

%

USD

5,400,000

$

(172,218)

$

26,730

$

(145,488)

Republic

of

Korea,  

2.75%,

1/19/2027

1.00

Quarterly

12/20/2025

0.27

USD

1,100,000

(45,349)

3,000

(42,349)

Republic

of

the

Philippines,  

10.63%,

3/16/2025

1.00

Quarterly

12/20/2025

0.56

USD

4,400,000

(124,304)

23,459

(100,845)

(341,871)

53,189

(288,682)

$

125,056

$

41,441

$

166,497

Credit

default

swap

contracts

outstanding

-

sell

protection

as

of

September

30,

2020

:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Kingdom

of

Saudi

Arabia,  

2.38%,

10/26/2021

1.00

%

Quarterly

12/20/2025

0.93

%

USD

1,100,000

$

1,984

$

2,399

$

4,383

Markit

CDX

North

America

Investment

Grade

Index

Series

35.V1

1.00

Quarterly

12/20/2025

0.59

USD

5,580,000

133,324

(14,844)

118,480

Penerbangan

Malaysia

Bhd.,  

5.63%,

3/15/2016

1.00

Quarterly

12/20/2025

0.56

USD

2,800,000

81,019

(16,909)

64,110

People's

Republic

of

China,  

7.50%,

10/28/2027

1.00

Quarterly

12/20/2025

0.50

USD

2,900,000

94,638

(18,278)

76,360

Republic

of

Chile,  

3.24%,

2/6/2028

1.00

Quarterly

12/20/2025

0.68

USD

100,000

1,994

(303)

1,691

Republic

of

Colombia,  

10.38%,

1/28/2033

1.00

Quarterly

12/20/2025

1.49

USD

200,000

2,786

3,054

5,840

315,745

(44,881)

270,864

10

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

REFERENCE

ENTITY

FINANCING

RATE

RECEIVED

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

(continued)

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Federative

Republic

of

Brazil,

4.25%,

1/7/2025

1.00

%

Quarterly

12/20/2025

2.44

%

USD

300,000

$

(16,104)

$

(5,047)

$

(21,151)

Republic

of

Indonesia,

3.70%,

1/8/2022

1.00

Quarterly

12/20/2025

1.16

USD

2,100,000

(1,921)

(14,174)

(16,095)

Republic

of

Italy,

6.88%,

9/27/2023

1.00

Quarterly

12/20/2025

1.31

USD

300,000

(5,055)

81

(4,974)

(23,080)

(19,140)

(42,220)

$

292,665

$

(64,021)

$

228,644

Forward

effective

interest

rate

swap

contracts

outstanding

as

of

September

30,

2020:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/15/2025

CAD

8,200,000

$

121,453

$

21,925

$

143,378

Pay

3

Month

BBR

Quarterly

1.00%

Semi-Annually

12/11/2030

NZD

7,600,000

132,379

104,899

237,278

Pay

3

Month

CD_KSDA

Quarterly

1.00%

Quarterly

12/21/2022

KRW

2,812,000,000

11,233

(1,399)

9,834

Pay

3

Month

CD_KSDA

Quarterly

1.00%

Quarterly

3/15/2023

KRW

10,120,000,000

23,475

6,777

30,252

Pay

3

Month

JIBAR

Quarterly

4.50%

Quarterly

12/21/2022

ZAR

30,100,000

354

28,266

28,620

Pay

3

Month

JIBAR

Quarterly

4.00%

Quarterly

12/21/2022

ZAR

58,600,000

356

21,906

22,262

Pay

3

Month

JIBAR

Quarterly

4.00%

Quarterly

3/15/2023

ZAR

45,500,000

5,622

3,841

9,463

Pay

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2025

USD

25,100,000

713,892

77,745

791,637

Pay

3

Month

LIBOR

Quarterly

0.50%

Semi-Annually

3/17/2026

USD

5,200,000

23,463

4,369

27,832

Pay

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

8,000,000

282,896

(69,628)

213,268

Pay

3

Month

STIBOR

Quarterly

0.00%

Annually

12/21/2022

SEK

20,700,000

1,064

863

1,927

Pay

3

Month

STIBOR

Quarterly

0.00%

Annually

3/15/2023

SEK

17,400,000

1,436

(52)

1,384

Pay

3

Month

STIBOR

Quarterly

0.50%

Annually

12/18/2030

SEK

4,200,000

8,700

16

8,716

Pay

6

Month

BBR

Semi-Annually

0.50%

Semi-Annually

12/11/2025

AUD

15,700,000

17,766

75,157

92,923

Pay

6

Month

BBR

Semi-Annually

0.50%

Semi-Annually

3/12/2026

AUD

4,200,000

8,033

11,381

19,414

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

3/17/2023

EUR

2,700,000

13,823

1,032

14,855

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

3/17/2026

EUR

4,100,000

18,954

19,284

38,238

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

12/16/2022

GBP

18,900,000

118,994

82,776

201,770

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

1,854,700,000

14,597

6,183

20,780

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CHF

2,700,000

5,065

7,715

12,780

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

3/15/2023

JPY

1,564,000,000

9,056

8,710

17,766

11

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

3/15/2023

CHF

10,100,000

$

24,748

$

20,404

$

45,152

Pay

6

Month

LIBOR

Semi-Annually

0.25%

Semi-Annually

3/17/2023

GBP

20,600,000

73,965

13,539

87,504

Pay

6

Month

LIBOR

Semi-Annually

0.25%

Semi-Annually

3/17/2023

GBP

33,700,000

108,511

23,890

132,401

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

12/17/2025

CHF

3,300,000

163

15,288

15,451

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Annually

3/18/2026

CHF

7,800,000

(19,449)

46,729

27,280

Pay

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

3/17/2031

GBP

4,200,000

54,751

12,642

67,393

Pay

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/21/2022

NOK

124,100,000

(1,787)

16,368

14,581

Pay

6

Month

NIBOR

Semi-Annually

0.50%

Annually

3/15/2023

NOK

90,500,000

(3,997)

9,854

5,857

Pay

6

Month

PRIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CZK

27,800,000

(2,284)

4,014

1,730

Pay

6

Month

PRIBOR

Semi-Annually

0.50%

Annually

3/15/2023

CZK

27,900,000

(4,003)

4,964

961

Pay

6

Month

SOR

Semi-Annually

0.50%

Semi-Annually

12/21/2022

SGD

1,100,000

1,285

2,422

3,707

Pay

6

Month

SOR

Semi-Annually

0.50%

Semi-Annually

3/15/2023

SGD

1,600,000

4,692

75

4,767

Receive

1

Month

TIIE

Monthly

4.50%

Monthly

12/14/2022

MXN

18,700,000

(2,984)

4,474

1,490

Receive

1

Month

TIIE

Monthly

4.50%

Monthly

3/15/2023

MXN

45,000,000

8,772

(4,345)

4,427

Receive

3

Month

BA

Quarterly

1.00%

Semi-Annually

3/17/2031

CAD

3,000,000

29,956

(5,687)

24,269

Receive

3

Month

BBR

Quarterly

0.00%

Quarterly

12/08/2022

AUD

16,900,000

45,413

(19,890)

25,523

Receive

3

Month

BBR

Quarterly

0.00%

Semi-Annually

12/14/2022

NZD

37,800,000

77,490

(66,380)

11,110

Receive

3

Month

BBR

Quarterly

0.00%

Quarterly

3/09/2023

AUD

5,200,000

13,794

(5,024)

8,770

Receive

3

Month

BBR

Quarterly

0.50%

Semi-Annually

3/12/2031

NZD

600,000

2,530

(678)

1,852

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

3/17/2031

USD

1,200,000

3,462

(2,597)

865

Receive

3

Month

STIBOR

Quarterly

0.00%

Annually

12/17/2025

SEK

16,800,000

6,945

186

7,131

Receive

6

Month

BUBOR

Semi-Annually

0.50%

Annually

12/21/2022

HUF

202,200,000

5,699

3,300

8,999

Receive

6

Month

BUBOR

Semi-Annually

1.00%

Annually

12/21/2022

HUF

176,600,000

(2,905)

5,122

2,217

Receive

6

Month

BUBOR

Semi-Annually

1.00%

Annually

3/16/2023

HUF

1,766,400,000

5,259

24,164

29,423

Receive

6

Month

EURIBOR

Semi-Annually

0.50%

Annually

12/16/2022

EUR

1,200,000

2,042

(1,594)

448

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

3/19/2031

CHF

1,100,000

35,759

(11,945)

23,814

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

3/19/2031

CHF

1,700,000

58,365

(21,561)

36,804

2,058,803

479,500

2,538,303

Pay

3

Month

BA

Quarterly

0.75%

Semi-Annually

3/16/2026

CAD

11,800,000

(41,646)

14,472

(27,174)

Pay

3

Month

BA

Quarterly

1.00%

Semi-Annually

3/17/2031

CAD

2,700,000

(20,964)

(878)

(21,842)

Pay

3

Month

BBR

Quarterly

0.00%

Quarterly

3/09/2023

AUD

12,000,000

(32,649)

12,411

(20,238)

Pay

3

Month

BBR

Quarterly

0.00%

Semi-Annually

3/11/2026

NZD

2,300,000

(13,514)

2,296

(11,218)

Pay

3

Month

BBR

Quarterly

0.50%

Semi-Annually

12/11/2030

NZD

100,000

(921)

759

(162)

Pay

3

Month

BBR

Quarterly

0.50%

Semi-Annually

3/12/2031

NZD

2,600,000

(8,732)

705

(8,027)

Pay

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

3/17/2031

USD

7,900,000

14,197

(19,895)

(5,698)

12

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

12/16/2030

EUR

300,000

$

(6,242)

$

4,994

$

(1,248)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

374,800,000

(23,270)

10,715

(12,555)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/18/2030

JPY

469,500,000

(15,500)

(228)

(15,728)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

3/19/2031

JPY

312,500,000

(22,066)

9,214

(12,852)

Pay

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

3/19/2031

JPY

267,400,000

(21,850)

10,852

(10,998)

Pay

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/17/2025

NOK

38,600,000

(47,455)

22,277

(25,178)

Receive

3

Month

BA

Quarterly

1.25%

Semi-Annually

12/14/2022

CAD

10,200,000

(83,012)

(27,375)

(110,387)

Receive

3

Month

BA

Quarterly

0.75%

Semi-Annually

3/15/2023

CAD

14,500,000

(25,681)

(17,134)

(42,815)

Receive

3

Month

BA

Quarterly

0.75%

Semi-Annually

3/15/2023

CAD

12,800,000

(28,809)

(8,986)

(37,795)

Receive

3

Month

BA

Quarterly

1.50%

Semi-Annually

12/16/2030

CAD

2,100,000

(59,636)

(4,782)

(64,418)

Receive

3

Month

BBR

Quarterly

0.50%

Quarterly

12/08/2022

AUD

2,700,000

(7,249)

(7,955)

(15,204)

Receive

3

Month

BBR

Quarterly

0.00%

Semi-Annually

3/15/2023

NZD

2,800,000

1,848

(2,213)

(365)

Receive

3

Month

BBR

Quarterly

0.00%

Semi-Annually

3/15/2023

NZD

13,300,000

7,138

(8,874)

(1,736)

Receive

3

Month

HIBOR

Quarterly

0.50%

Quarterly

3/15/2023

HKD

7,200,000

(229)

(67)

(296)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

31,400,000

(293,483)

(45,916)

(339,399)

Receive

3

Month

LIBOR

Quarterly

0.75%

Semi-Annually

12/16/2022

USD

39,100,000

(400,091)

(22,535)

(422,626)

Receive

3

Month

LIBOR

Quarterly

0.25%

Semi-Annually

3/17/2023

USD

6,800,000

(2,074)

(2,616)

(4,690)

Receive

3

Month

LIBOR

Quarterly

0.25%

Semi-Annually

3/17/2023

USD

38,800,000

(23,847)

(2,917)

(26,764)

Receive

3

Month

LIBOR

Quarterly

1.00%

Semi-Annually

12/16/2030

USD

6,600,000

(163,016)

(12,930)

(175,946)

Receive

3

Month

STIBOR

Quarterly

0.50%

Annually

3/19/2031

SEK

3,500,000

(6,036)

(336)

(6,372)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

12/12/2030

AUD

4,000,000

(30,804)

(21,898)

(52,702)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

3/13/2031

AUD

1,100,000

(8,760)

(2,756)

(11,516)

Receive

6

Month

BBR

Semi-Annually

1.00%

Semi-Annually

3/13/2031

AUD

2,500,000

(22,143)

(4,031)

(26,174)

Receive

6

Month

EURIBOR

Semi-Annually

0.25%

Annually

3/17/2023

EUR

5,100,000

(22,234)

(5,826)

(28,060)

Receive

6

Month

EURIBOR

Semi-Annually

0.00%

Annually

3/17/2031

EUR

1,000,000

(16,292)

(7,652)

(23,944)

Receive

6

Month

EURIBOR

Semi-Annually

0.00%

Annually

3/17/2031

EUR

700,000

(13,779)

(2,982)

(16,761)

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

12/21/2022

CHF

4,000,000

(10,841)

(8,091)

(18,932)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/21/2022

JPY

2,329,700,000

(13,927)

(12,175)

(26,102)

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Annually

3/15/2023

CHF

10,000,000

(22,516)

(22,190)

(44,706)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

3/15/2023

JPY

1,338,600,000

(6,710)

(8,496)

(15,206)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

12/17/2025

JPY

1,487,400,000

(18,441)

(17,502)

(35,943)

Receive

6

Month

LIBOR

Semi-Annually

0.25%

Semi-Annually

3/17/2026

GBP

16,500,000

(50,845)

(4,380)

(55,225)

13

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Semi-Annually

3/18/2026

JPY

1,242,600,000

$

(14,650)

$

(14,050)

$

(28,700)

Receive

6

Month

LIBOR

Semi-Annually

0.75%

Semi-Annually

12/16/2030

GBP

3,700,000

(145,635)

(15,879)

(161,514)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

12/18/2030

CHF

800,000

(22,923)

(7,360)

(30,283)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

12/18/2030

CHF

500,000

(10,597)

(8,329)

(18,926)

Receive

6

Month

LIBOR

Semi-Annually

0.50%

Semi-Annually

3/17/2031

GBP

6,900,000

(38,114)

(26,606)

(64,720)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

3/19/2031

CHF

900,000

(19,873)

(12,198)

(32,071)

Receive

6

Month

LIBOR

Semi-Annually

0.00%

Annually

3/19/2031

CHF

300,000

(9,061)

(1,630)

(10,691)

Receive

6

Month

NIBOR

Semi-Annually

0.50%

Annually

12/21/2022

NOK

46,900,000

790

(6,301)

(5,511)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

12/18/2030

NOK

9,800,000

(1,413)

(8,547)

(9,960)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

12/18/2030

NOK

25,900,000

(4,123)

(22,199)

(26,322)

Receive

6

Month

NIBOR

Semi-Annually

1.00%

Annually

3/19/2031

NOK

19,100,000

8,351

(22,704)

(14,353)

Receive

6

Month

WIBOR

Semi-Annually

0.50%

Annually

12/21/2022

PLN

16,700,000

(19,976)

(3,472)

(23,448)

Receive

6

Month

WIBOR

Semi-Annually

0.50%

Annually

3/15/2023

PLN

15,600,000

(16,120)

(4,678)

(20,798)

(1,855,425)

(368,874)

(2,224,299)

$

203,378

$

110,626

$

314,004

(a)

Floating

rate

indices

at

September

30,

2020

were

as

follows:

1

Month

Mexico

Equilibrium

Interbank

Interest

Rate

(''TIIE''):

4.55%

3

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.09%

3

Month

Canadian

Bankers’

Acceptance

Rate

(''BA''):

0.51%

3

Month

Hong

Kong

Interbank

Offered

Rate

(''HIBOR''):

0.61%

3

Month

Johannesburg

Interbank

Agreed

Rate

(''JIBAR''):

3.35%

3

Month

Korean

Certificate

of

Deposit

(''CD_KSDA''):

0.63%

3

Month

London

Interbank

Offered

Rate

(''LIBOR''):

0.23%

3

Month

Stockholm

Interbank

Offered

Rate

(''STIBOR''):

(0.07)%

6

Month

Australian

Bank-Bill

Reference

Rate

(''BBR''):

0.12%

6

Month

Budapest

Interbank

Offered

Rate

(''BUBOR''):

0.80%

6

Month

Euro

Interbank

Offered

Rate

(''EURIBOR''):

(0.48)%

6

Month

Norwegian

Interbank

Offered

Rate

(''NIBOR''):

0.36%

6

Month

Prague

Interbank

Offered

Rate

(''PRIBOR''):

0.37%

6

Month

Singapore

Swap

Offered

Rate

(''SOR''):

0.18%

6

Month

Warsaw

Interbank

Offered

Rate

(''WIBOR''):

0.16%

14

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

Futures

contracts

outstanding

as

of

September

30,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Japan

10

Year

Bond

3

12/2020

JPY

$

4,326,838

$

7,578

U.S.

Treasury

10

Year

Note

87

12/2020

USD

12,139,219

29,945

U.S.

Treasury

2

Year

Note

126

12/2020

USD

27,841,078

16,673

54,196

Short

Contracts

Euro-Bund

(57)

12/2020

EUR

(11,663,111)

(135,525)

Euro-OAT

(43)

12/2020

EUR

(8,497,507)

(107,008)

Long

Gilt

(65)

12/2020

GBP

(11,415,920)

(57,347)

(299,880)

$

(245,684)

Forward

foreign

currency

contracts

outstanding

as

of

September

30,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,853,000

USD

2,004,865

CITI

12/16/2020

$

39,024

CLP

95,000,000

USD

120,700

CITI

**

12/16/2020

405

CLP

95,000,000

USD

120,700

JPMC

**

12/16/2020

405

EUR

399,500

USD

467,095

CITI

12/16/2020

2,124

EUR

399,500

USD

467,096

JPMC

12/16/2020

2,123

INR

37,583,500

USD

501,045

CITI

**

12/16/2020

5,746

INR

37,583,500

USD

501,046

JPMC

**

12/16/2020

5,745

JPY

346,302,004

USD

3,263,724

CITI

12/16/2020

23,367

JPY

58,001,996

USD

548,207

JPMC

12/16/2020

2,347

KRW

924,248,004

USD

783,005

CITI

**

12/16/2020

9,750

KRW

924,247,996

USD

783,000

JPMC

**

12/16/2020

9,754

MXN

3,658,500

USD

161,127

CITI

12/16/2020

2,886

MXN

3,658,500

USD

161,127

JPMC

12/16/2020

2,886

NZD

1,361,500

USD

891,885

CITI

12/16/2020

8,753

NZD

1,361,500

USD

891,887

JPMC

12/16/2020

8,752

PHP

5,500,000

USD

112,702

CITI

**

12/16/2020

467

PHP

5,500,000

USD

112,702

JPMC

**

12/16/2020

467

SEK

1,821,000

USD

200,483

CITI

12/16/2020

3,049

SEK

1,821,000

USD

200,483

JPMC

12/16/2020

3,049

TWD

4,350,000

USD

149,789

CITI

**

12/16/2020

2,172

TWD

4,350,000

USD

149,789

JPMC

**

12/16/2020

2,172

USD

11,800,599

AUD

16,263,260

CITI

12/16/2020

149,599

USD

4,061,879

AUD

5,582,266

JPMC

12/16/2020

62,744

USD

436,408

BRL

2,411,496

CITI

**

12/16/2020

7,930

USD

436,409

BRL

2,411,504

JPMC

**

12/16/2020

7,929

USD

3,616,364

CAD

4,753,247

CITI

12/16/2020

45,394

USD

2,922,473

CAD

3,837,249

JPMC

12/16/2020

39,664

USD

101,353

CHF

92,000

CITI

12/16/2020

1,232

USD

101,353

CHF

92,000

JPMC

12/16/2020

1,232

USD

165,169

CLP

128,125,000

CITI

**

12/16/2020

1,836

USD

165,169

CLP

128,125,000

JPMC

**

12/16/2020

1,836

USD

172,713

COP

645,000,000

CITI

**

12/16/2020

4,851

USD

172,713

COP

645,000,000

JPMC

**

12/16/2020

4,850

USD

202,678

CZK

4,550,000

CITI

12/16/2020

5,364

15

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

202,678

CZK

4,550,000

JPMC

12/16/2020

$

5,364

USD

3,372,452

EUR

2,839,056

CITI

12/16/2020

37,938

USD

3,372,439

EUR

2,839,048

JPMC

12/16/2020

37,934

USD

611,994

GBP

458,500

CITI

12/16/2020

20,070

USD

611,993

GBP

458,500

JPMC

12/16/2020

20,069

USD

253,184

HUF

76,500,000

CITI

12/16/2020

6,739

USD

253,184

HUF

76,500,000

JPMC

12/16/2020

6,739

USD

229,706

IDR

3,400,000,000

CITI

**

12/16/2020

2,967

USD

229,705

IDR

3,400,000,000

JPMC

**

12/16/2020

2,967

USD

259,859

ILS

880,000

CITI

12/16/2020

2,674

USD

259,858

ILS

880,000

JPMC

12/16/2020

2,674

USD

47,311

INR

3,500,000

CITI

**

12/16/2020

116

USD

47,311

INR

3,500,000

JPMC

**

12/16/2020

116

USD

26,090

KRW

30,353,500

CITI

**

12/16/2020

55

USD

26,090

KRW

30,353,500

JPMC

**

12/16/2020

55

USD

577,056

MXN

12,755,000

CITI

12/16/2020

5,242

USD

577,055

MXN

12,755,000

JPMC

12/16/2020

5,241

USD

1,316,193

NOK

11,678,496

CITI

12/16/2020

63,878

USD

1,316,192

NOK

11,678,504

JPMC

12/16/2020

63,876

USD

268,688

NZD

398,500

CITI

12/16/2020

5,079

USD

268,688

NZD

398,500

JPMC

12/16/2020

5,078

USD

85,912

PLN

324,500

CITI

12/16/2020

1,944

USD

85,912

PLN

324,500

JPMC

12/16/2020

1,944

USD

52,284

RUB

4,000,000

CITI

**

12/16/2020

1,197

USD

52,284

RUB

4,000,000

JPMC

**

12/16/2020

1,197

USD

329,939

SEK

2,906,000

CITI

12/16/2020

5,138

USD

329,939

SEK

2,906,000

JPMC

12/16/2020

5,138

USD

14,742

SGD

20,000

CITI

12/16/2020

88

USD

14,742

SGD

20,000

JPMC

12/16/2020

88

USD

48,857

ZAR

822,128

CITI

12/17/2020

228

USD

48,857

ZAR

822,124

JPMC

12/17/2020

227

ZAR

5,638,000

USD

329,246

CITI

12/17/2020

4,250

ZAR

5,638,000

USD

329,246

JPMC

12/17/2020

4,249

Total

unrealized

appreciation

790,463

AUD

4,990,496

USD

3,630,085

CITI

12/16/2020

(54,894)

AUD

3,384,504

USD

2,459,416

JPMC

12/16/2020

(34,757)

BRL

966,996

USD

181,406

CITI

**

12/16/2020

(9,588)

BRL

967,004

USD

181,407

JPMC

**

12/16/2020

(9,589)

CAD

976,248

USD

746,759

CITI

12/16/2020

(13,334)

CAD

976,248

USD

746,760

JPMC

12/16/2020

(13,335)

CHF

56,500

USD

62,306

CITI

12/16/2020

(818)

CHF

56,500

USD

62,306

JPMC

12/16/2020

(818)

CLP

145,000,000

USD

187,847

CITI

**

12/16/2020

(3,002)

CLP

145,000,000

USD

187,847

JPMC

**

12/16/2020

(3,002)

CZK

850,000

USD

38,556

CITI

12/16/2020

(1,695)

CZK

850,000

USD

38,556

JPMC

12/16/2020

(1,695)

EUR

4,508,000

USD

5,352,888

CITI

12/16/2020

(58,175)

EUR

1,928,000

USD

2,290,683

JPMC

12/16/2020

(26,219)

GBP

1,001,496

USD

1,309,282

CITI

12/16/2020

(16,351)

GBP

1,001,504

USD

1,309,294

JPMC

12/16/2020

(16,353)

HUF

68,346,000

USD

228,600

CITI

12/16/2020

(8,423)

HUF

68,346,000

USD

228,600

JPMC

12/16/2020

(8,423)

ILS

55,000

USD

16,378

CITI

12/16/2020

(304)

ILS

55,000

USD

16,378

JPMC

12/16/2020

(305)

INR

11,625,000

USD

157,368

CITI

**

12/16/2020

(612)

INR

11,625,000

USD

157,368

JPMC

**

12/16/2020

(612)

JPY

71,239,000

USD

680,513

CITI

12/16/2020

(4,314)

KRW

165,000,000

USD

141,814

CITI

**

12/16/2020

(289)

16

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

(Continued)

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

165,000,000

USD

141,814

JPMC

**

12/16/2020

$

(289)

MXN

16,367,500

USD

756,024

CITI

12/16/2020

(22,259)

MXN

16,367,500

USD

756,025

JPMC

12/16/2020

(22,261)

NOK

6,745,000

USD

751,632

CITI

12/16/2020

(28,349)

NOK

6,745,000

USD

751,633

JPMC

12/16/2020

(28,350)

NZD

941,000

USD

624,649

CITI

12/16/2020

(2,172)

NZD

941,000

USD

624,650

JPMC

12/16/2020

(2,173)

PLN

534,000

USD

142,222

CITI

12/16/2020

(4,043)

PLN

534,000

USD

142,223

JPMC

12/16/2020

(4,043)

RUB

3,000,000

USD

39,095

CITI

**

12/16/2020

(780)

RUB

3,000,000

USD

39,095

JPMC

**

12/16/2020

(780)

USD

21,467

BRL

121,500

CITI

**

12/16/2020

(121)

USD

21,467

BRL

121,500

JPMC

**

12/16/2020

(121)

USD

1,421,022

CAD

1,902,500

CITI

12/16/2020

(8,269)

USD

400,175

CAD

535,500

JPMC

12/16/2020

(2,130)

USD

97,774

CLP

76,875,000

CITI

**

12/16/2020

(225)

USD

97,774

CLP

76,875,000

JPMC

**

12/16/2020

(226)

USD

95,613

COP

370,000,000

CITI

**

12/16/2020

(681)

USD

95,613

COP

370,000,000

JPMC

**

12/16/2020

(681)

USD

19,335

CZK

450,000

CITI

12/16/2020

(180)

USD

19,335

CZK

450,000

JPMC

12/16/2020

(180)

USD

286,523

EUR

246,000

CITI

12/16/2020

(2,407)

USD

1,277,858

GBP

997,996

CITI

12/16/2020

(10,555)

USD

1,277,867

GBP

998,004

JPMC

12/16/2020

(10,556)

USD

209,542

HUF

65,500,000

CITI

12/16/2020

(1,468)

USD

209,541

HUF

65,500,000

JPMC

12/16/2020

(1,468)

USD

52,950

IDR

800,000,000

CITI

**

12/16/2020

(401)

USD

52,950

IDR

800,000,000

JPMC

**

12/16/2020

(401)

USD

1,452

ILS

5,000

CITI

12/16/2020

(9)

USD

1,452

ILS

5,000

JPMC

12/16/2020

(9)

USD

187,732

INR

14,000,000

CITI

**

12/16/2020

(1,049)

USD

187,732

INR

14,000,000

JPMC

**

12/16/2020

(1,049)

USD

4,632,572

JPY

491,211,950

CITI

12/16/2020

(30,001)

USD

4,632,566

JPY

491,211,947

JPMC

12/16/2020

(30,007)

USD

135,428

KRW

160,791,504

CITI

**

12/16/2020

(2,488)

USD

135,427

KRW

160,791,496

JPMC

**

12/16/2020

(2,488)

USD

34,438

MXN

772,000

CITI

12/16/2020

(172)

USD

34,437

MXN

772,000

JPMC

12/16/2020

(172)

USD

447,301

NOK

4,246,500

CITI

12/16/2020

(8,062)

USD

447,300

NOK

4,246,500

JPMC

12/16/2020

(8,062)

USD

66,769

NZD

102,000

CITI

12/16/2020

(705)

USD

66,769

NZD

102,000

JPMC

12/16/2020

(705)

USD

10,301

PLN

40,000

CITI

12/16/2020

(50)

USD

10,301

PLN

40,000

JPMC

12/16/2020

(50)

USD

76,483

SGD

105,000

CITI

12/16/2020

(444)

USD

76,483

SGD

105,000

JPMC

12/16/2020

(445)

USD

75,639

ZAR

1,292,376

CITI

12/17/2020

(808)

USD

75,638

ZAR

1,292,372

JPMC

12/17/2020

(808)

ZAR

2,445,504

USD

145,401

CITI

12/17/2020

(745)

ZAR

2,445,496

USD

145,400

JPMC

12/17/2020

(745)

Total

unrealized

depreciation

(531,549)

Net

unrealized

appreciation

$

258,914

**

Non-deliverable

forward.

17

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AQR

CORE

PLUS

BOND

FUND

Schedule

of

Investments

September

30,

2020

Collateral

pledged

to,

or

(received

from),

each

counterparty

at

September

30,

2020

was

as

follows:

COUNTERPARTY

OVER

THE

COUNTER

EXCHANGE

TRADED/

EXCHANGE

CLEARED

TOTAL

CITG

Cash

$

–

$

192,920

$

192,920

CITI

Cash

(310,004)

–

(310,004)

CRSU

Cash

–

731,132

731,132

JPMC

Cash

506,239

–

506,239

JPMS

Cash

–

4,362,774

4,362,774

18

Schedule

of

Investments

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Abbreviations

TBA

-

To

Be

Announced;

Security

is

subject

to

delayed

delivery.

UMBS

-

Uniform

Mortgage-Backed

Securities

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

CITG

-

Citigroup

Global

Markets,

Inc.

CITI

-

Citibank

NA

CRSU

-

Credit

Suisse

Securities

(USA)

LLC

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

3

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

USD:

0.23%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

CHF:

-0.73%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

GBP:

0.09%

6

Month

London

Interbank

Offered

Rate

(“LIBOR”)

-

JPY:

-0.05%

Statement

of

Assets

and

Liabilities

19

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

CORE

PLUS

BOND

FUND

ASSETS:

Investments

in

securities

of

unaffiliated

issuers,

at

cost

.........................................................

$

144,710,108

Investments

in

securities

of

unaffiliated

issuers,

at

value

........................................................

$

149,516,385

Cash

denominated

in

foreign

currencies

‡

....................................................................

92,090

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

............................................

790,463

Due

from

broker

......................................................................................

506,239

Deposits

with

brokers

for

centrally

cleared

swaps

(unamortized

upfront

payments

$621,099)

.............................

4,930,291

Deposits

with

brokers

for

futures

contracts

...................................................................

775,474

Variation

margin

on

centrally

cleared

swaps

..................................................................

26,101

Variation

margin

on

futures

contracts

.......................................................................

70,840

Receivables:

Securities

sold—delayed

delivery

securities

................................................................

1,053,246

Dividends

and

interest

................................................................................

716,993

Capital

shares

sold

..................................................................................

28,985

Due

from

Investment

Adviser

...........................................................................

3,703

Prepaid

expenses

.....................................................................................

24,640

Total

Assets

158,535,450

LIABILITIES:

Due

to

custodian

......................................................................................

16,675

TBA

sale

commitments,

at

value

(proceeds  $1,053,246)

........................................................

1,053,470

Due

to

broker

........................................................................................

310,004

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

............................................

531,549

Variation

margin

on

centrally

cleared

swaps

..................................................................

52,419

Payables:

–

Securities

purchased—delayed

delivery

securities

...........................................................

39,128,732

Accrued

distribution

fees—Class

N

......................................................................

135

Capital

shares

redeemed

.............................................................................

10,469

Other

accrued

expenses

and

liabilities

......................................................................

56,834

Total

Liabilities

41,160,287

Net

Assets

$

117,375,163

NET

ASSETS

CONSIST

OF:

Paid-in

capital

($0.001

par

value

common

stock,

unlimited

authorized

shares)

........................................

$

108,045,558

Total

distributable

earnings

(loss)

.........................................................................

9,329,605

Net

Assets

$

117,375,163

NET

ASSETS:

Class

I

.............................................................................................

$

61,152,049

Class

N

.............................................................................................

659,021

Class

R6

............................................................................................

55,564,093

SHARES

OUTSTANDING:

–

Class

I

.............................................................................................

5,630,280

Class

N

.............................................................................................

60,740

Class

R6

............................................................................................

5,117,171

NET

ASSET

VALUE:

–

Class

I

.............................................................................................

$

10.86

Class

N

.............................................................................................

$

10.85

Class

R6

............................................................................................

$

10.86

‡

Cash

denominated

in

foreign

currencies,

at

cost

.............................................................

$

90,909

Statement

of

Operations

20

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

CORE

PLUS

BOND

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

INVESTMENT

INCOME:

Dividend

income:

Unaffiliated

issuers

..................................................................................

$

140,579

Interest

income:

—

Unaffiliated

issuers

†

.................................................................................

2,012,334

Securities

lending

income,

net

............................................................................

76

Total

Income

2,152,989

EXPENSES:

Investment

advisory

fees

................................................................................

374,607

Custody

fees

.........................................................................................

22,771

Administration

&

accounting

fees

..........................................................................

26,765

Legal

fees

...........................................................................................

4,485

Audit

&

tax

fees

.......................................................................................

83,856

Shareholder

reporting

fees

..............................................................................

31,383

Transfer

agent

fees

....................................................................................

52,790

Trustee

fees

.........................................................................................

7,285

Distribution

fees—Class

N

...............................................................................

2,216

Interest

expense

......................................................................................

6,629

Recoupment

of

waiver

.................................................................................

103

Registration

fees

......................................................................................

58,680

Other

expenses

......................................................................................

27,908

Total

Expenses

699,478

Less

expense

reimbursements

...........................................................................

(215,747)

Net

Expenses

483,731

Net

Investment

Income

(Loss)

1,669,258

REALIZED

GAIN

(LOSS)

AND

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION):

–

Net

realized

gain

(loss)

from:

Transactions

in

investment

securities

of

unaffiliated

issuers

....................................................

3,866,110

Settlement

of

foreign

currency

and

foreign

currency

transactions

................................................

(3,541)

Settlement

of

forward

foreign

currency

contracts

............................................................

(185,054)

Expiration

or

closing

of

futures

contracts

..................................................................

(110,948)

TBA

sale

commitments

...............................................................................

608,066

Expiration

or

closing

of

swap

contracts

...................................................................

1,042,318

Net

realized

gain

(loss)

5,216,951

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investment

securities

of

unaffiliated

issuers

...............................................................

1,440,140

Foreign

currency

and

foreign

currency

transactions

..........................................................

19,400

Forward

foreign

currency

exchange

contracts

..............................................................

(125,909)

Futures

contracts

...................................................................................

(258,961)

TBA

sale

commitments

...............................................................................

(13)

Swap

contracts

.....................................................................................

80,875

Net

change

in

unrealized

appreciation

(depreciation)

1,155,532

Net

realized

gain

(loss)

and

net

change

in

unrealized

appreciation

(depreciation)

6,372,483

Net

increase

(decrease)

in

net

assets

resulting

from

operations

$

8,041,741

________________

†

Net

of

foreign

taxes

withheld

of

..........................................................................

$

1,034

Statement

of

Changes

in

Net

Assets

(Continued)

21

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

CORE

PLUS

BOND

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

OPERATIONS:

Net

investment

income

(loss)

..........................................................

$

1,669,258

$

2,298,293

Net

realized

gain

(loss)

...............................................................

5,216,951

2,063,615

Net

change

in

unrealized

appreciation

(depreciation)

.........................................

1,155,532

4,976,189

Net increase

(decrease)

in

net

assets

resulting

from

operations

8,041,741

9,338,097

DISTRIBUTIONS

TO

SHAREHOLDERS:

Class

I

...........................................................................

(765,024)

(235,959)

Class

N

...........................................................................

(23,253)

(23,264)

Class

R6

..........................................................................

(2,330,408)

(3,576,976)

Total

distributions

(3,118,685)

(3,836,199)

CAPITAL

TRANSACTIONS:

CLASS

I

—

—

Proceeds

from

shares

sold

............................................................

60,593,105

18,462,706

Reinvestment

of

distributions

...........................................................

723,066

183,838

Cost

of

shares

redeemed

.............................................................

(20,382,854)

(5,192,864)

Net

increase

(decrease)

from

capital

transactions

40,933,317

13,453,680

CLASS

N

—

—

Proceeds

from

shares

sold

............................................................

124,214

1,024,659

Reinvestment

of

distributions

...........................................................

10,500

6,900

Cost

of

shares

redeemed

.............................................................

(570,328)

(574,516)

Net

increase

(decrease)

from

capital

transactions

(435,614)

457,043

CLASS

R6

—

—

Proceeds

from

shares

sold

............................................................

37,332

96,938,014

Reinvestment

of

distributions

...........................................................

269,719

189,377

Cost

of

shares

redeemed

.............................................................

(42,452,072)

(103,668,674)

Net

increase

(decrease)

from

capital

transactions

(42,145,021)

(6,541,283)

Net

increase

(decrease)

in

net

assets

resulting

from

capital

transactions

(1,647,318)

7,369,440

Total

increase

(decrease)

in

net

assets

3,275,738

12,871,338

NET

ASSETS:

Beginning

of

period

..................................................................

114,099,425

101,228,087

End

of

period

.....................................................................

$

117,375,163

$

114,099,425

$

—

$

—

Statement

of

Changes

in

Net

Assets

22

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

AQR

CORE

PLUS

BOND

FUND

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

CHANGES

IN

SHARES

OUTSTANDING:

CLASS

I

Shares

outstanding,

beginning

of

period

..................................................

1,696,267

375,031

Shares

sold

.......................................................................

5,795,197

1,822,243

Shares

issued

on

reinvestment

of

distributions

.............................................

68,596

18,261

Shares

redeemed

...................................................................

(1,929,780)

(519,268)

Shares

outstanding,

end

of

period

5,630,280

1,696,267

CLASS

N

Shares

outstanding,

beginning

of

period

..................................................

102,082

56,638

Shares

sold

.......................................................................

11,903

102,615

Shares

issued

on

reinvestment

of

distributions

.............................................

1,011

685

Shares

redeemed

...................................................................

(54,256)

(57,856)

Shares

outstanding,

end

of

period

60,740

102,082

CLASS

R6

Shares

outstanding,

beginning

of

period

..................................................

9,163,620

9,809,080

Shares

sold

.......................................................................

3,480

9,810,956

Shares

issued

on

reinvestment

of

distributions

.............................................

25,847

19,359

Shares

redeemed

...................................................................

(4,075,776)

(10,475,775)

Shares

outstanding,

end

of

period

5,117,171

9,163,620

24

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

PERIOD/YEAR

ENDED

PORTFOLIO

TURNOVER

RATE

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

.................................

210%

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

.................................

262%

FOR

THE

PERIOD

4/05/18-9/30/18

...........................................

110%

PER

SHARE

OPERATING

PERFORMANCE

Change

in

Net

Assets

Resulting

from

Operations

1

Less

Dividends

and

Distributions

*,1

Net

Asset

Value,

Beginning

of

Period

Net

Investment

Income

(Loss)

Net

Realized

and

Unrealized

Gain

(Loss)

Net

Increase

(Decrease)

in

Net

Asset

Value

from

Operations

Distributions

from

Net

Investment

Income

Distributions

from

Net

Realized

Gains

Total

Distributions

AQR

CORE

PLUS

BOND

FUND

CLASS

I

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.13

0.60

0.73

(0.17)

(0.11)

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.21

0.69

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

AQR

CORE

PLUS

BOND

FUND

CLASS

N

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.13

0.56

0.69

(0.14)

(0.11)

(0.25)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.19

0.68

0.87

(0.34)

—

(0.34)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.10

(0.11)

(0.01)

(0.11)

—

(0.11)

AQR

CORE

PLUS

BOND

FUND

CLASS

R6

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2020

$

10.41

0.16

0.57

0.73

(0.17)

(0.11)

(0.28)

FOR

THE

YEAR

ENDED

SEPTEMBER

30,

2019

$

9.88

0.22

0.68

0.90

(0.37)

—

(0.37)

FOR

THE

PERIOD

4/05/18

8

-9/30/18

$

10.00

0.11

(0.11)

—

(0.12)

—

(0.12)

*

Annualized

for

periods

less

than

one

year.

1

Per

share

net

investment

income

(loss)

and

net

realized

and

unrealized

gain

(loss)

are

based

on

average

shares

outstanding.

2

Includes

adjustments

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

and

as

such,

the

net

asset

value

for

financial

reporting

purposes

and

the

returns

based

upon

those

net

asset

values

may

differ

from

the

net

asset

value

and

returns

for

shareholder

transactions.

3

Total

investment

return

is

calculated

assuming

an

initial

investment

made

at

the

net

asset

value

at

the

beginning

of

the

period,

reinvestment

of

all

dividends

and

distributions

at

net

asset

value

during

the

period

and

redemption

on

the

last

day

of

the

period

and

is

not

annualized.

4

Ratios

do

not

include

the

impact

of

the

expenses

of

the

underlying

funds

in

which

the

Fund

invests.

5

Portfolio

turnover

is

not

annualized.

6

The

following

table

represents

what

the

portfolio

turnover

rate

excluding

TBAs

would

have

been

for

each

period

or

year

ended:

7

Certain

expenses

incurred

by

the

Fund

were

not

annualized

for

the

period.

8

Commencement

of

operations.

25

Financial

Highlights

AQR

Funds

|

Annual

Report

|

September

2020

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

September

30,

2020

RATIOS/SUPPLEMENTAL

DATA

Ratios

to

Average

Net

Assets

of:*

Net

Asset

Value,

End

of

Period

Total

Return

2,3

Net

Assets,

End

of

Period

(000’s)

Expenses,

Before

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

4

Expenses,

Net

of

Reimbursements

and/or

Waivers

(Excluding

Interest

Expense)

4

Net

Investment

Income

(Loss)

Portfolio

Turnover

Rate

5,6

$

10.86

7.10%

$

61,152

0.66%

0.48%

0.47%

1.19%

1029%

$

10.41

9.31%

$

17,659

0.72%

7

0.43%

0.43%

2.04%

1004%

$

9.88

(0.02)%

$

3,707

0.60%

7

0.42%

0.42%

2.26%

439%

$

10.85

6.79%

$

659

0.87%

0.73%

0.72%

1.19%

1029%

$

10.41

9.09%

$

1,062

0.95%

7

0.66%

0.66%

1.88%

1004%

$

9.88

(0.12)%

$

560

0.79%

7

0.62%

0.62%

2.04%

439%

$

10.86

7.19%

$

55,564

0.56%

0.38%

0.37%

1.56%

1029%

$

10.41

9.38%

$

95,378

0.68%

7

0.37%

0.37%

2.21%

1004%

$

9.88

0.00%

$

96,961

0.54%

7

0.37%

0.37%

2.29%

439%

26

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Organization

AQR

Funds

(the

“Trust”),

was

organized

as

a

Delaware

statutory

trust

on

September

4,

2008.

The

Trust

is

an

open-end

management

investment

company,

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”).

As

of

September

30,

2020,

the

Trust

consists

of

thirty-six

active

series;

AQR

Core

Plus

Bond

Fund

(the

“Fund”)

is

presented

in

this

book.

The

remaining

active

series

are

reported

in

separate

books.

AQR

Capital

Management,

LLC

(the

“Adviser”)

serves

as

the

investment

adviser

of

each

of

the

Funds.

The

investment

objective

of

the

Fund

is

to

seek

total

return.

The

Fund

offers

Class

I,

Class

N

and

Class

R6

shares. 

Significant

Accounting

Policies

Basis

of

Preparation:

The

Fund

is an

investment

company

and

applies

specialized

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standard

Codification

Topic

946

Financial

Services—Investment

Companies

.

The

accounting

policies

are

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“GAAP”).

Use

of

Estimates:

The

preparation

of

the

financial

statements

in

conformity

with

GAAP

requires

the

Adviser

to

make

estimates

and

assumptions

that

affect

the

fair

value

of

investments,

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities,

if

any,

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates

and

such

differences

could

be

material. 

Valuation

of

Investments:

All

securities

and

other

investments

are

recorded

at

their

estimated

fair

value,

as

described

in

Note

4. 

Cash:

Cash

comprises

U.S.

Dollar

and

foreign

currency

deposits

held

at

a

custodian

bank(s)

which

may

exceed

insured

limits.

The

Fund

is

subject

to

risk

to

the

extent

that

the

institutions

may

be

unable

to

fulfill

their

obligations. 

Due

to/from

Brokers:

Due

to/from

brokers

represents

cash

balances

on

deposit

with,

or

cash

balances

owed

to,

the

Fund’s

prime

brokers

and

counterparties.

The

Fund

is

subject

to

credit

risk

should

the

prime

brokers

and

counterparties

be

unable

to

meet

their

obligations

to

the

Fund. 

Foreign

Currency

Translation:

The

books

and

records

of

the

Fund

are

maintained

in

U.S.

Dollars.

Foreign

denominated

assets

and

liabilities

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

at

the

valuation

date.

Transactions

denominated

in

foreign

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

the

transaction.

The

Fund’s

income

earned

and

expense

incurred

in

foreign

denominated

currencies

are

translated

into

U.S.

Dollars

at

the

prevailing

exchange

rate

on

the

date

of

such

activity.

The

Fund

does

not

separately

disclose

that

portion

of

the

results

of

operations

arising

from

changes

in

the

foreign

exchange

rates

on

investments

and

derivatives

from

the

fluctuations

that

result

from

changes

in

the

market

prices

of

investments

and

derivatives

held

or

sold

during

the

period.

Accordingly,

such

foreign

currency

gains

(losses)

are

included

in

the

reported

net

realized

gain

(loss)

from

transactions

in

investment

securities

and

derivatives

and

net

change

in

unrealized

appreciation

(depreciation)

on

investment

securities

and

derivatives

on

the

Statement

of

Operations.

Realized

gains

(losses)

from

settlement

of

foreign

currency

and

foreign

currency

transactions

reported

on

the

Statement

of

Operations

arise

from

the

disposition

of

foreign

currency

and

a

change

between

the

amounts

of

dividends,

interest

and

foreign

withholding

taxes

recorded

on

the

Fund’s

books

on

the

transaction

date

and

the

U.S.

Dollar

equivalent

of

the

amounts

actually

received

or

paid.

Changes

in

unrealized

appreciation

(depreciation)

on

foreign

currency

and

foreign

currency

translations

reported

on

the

Statement

of

Operations

arise

from

changes

(due

to

the

changes

in

the

exchange

rate)

in

the

value

of

foreign

currency

and

assets

and

liabilities

(other

than

investments)

denominated

in

foreign

currencies,

which

are

held

at

period

end.

Investment

Transactions

and

Related

Income:

Investment

transactions

are

accounted

for

on

trade

date

(the

date

the

order

to

buy

or

sell

is

executed).

Realized

gains

and

losses

on

investment

transactions

are

calculated

on

a

specifically

identified

cost

basis.

Interest

income

is

recorded

on

an

accrual

basis

using

the

effective

interest

method,

which

results

in

coupon

interest

being

adjusted

for

amortization

of

premiums

and

accretion

of

discounts,

when

applicable.

Certain

fixed-income

investments

may

pay

interest

in-kind,

which

represents

contractual

interest

accrued

and

increases

the

principal

balance.

For

inflation-linked

bonds,

interest

income

(expense)

is

earned

on

the

principal

amount

and

adjusted

for

the

changes

in

the

relevant

consumer

price

index.

Multi-class

Operations:

Each

class

of

shares

offered

by

the

Trust

has

equal

rights

as

to

earnings,

assets

and

voting

privileges,

except

that

each

class

may

bear

different

sub-transfer

agency

and

distribution

fees

and

shareholders

of

a

class

have

exclusive

voting

rights

regarding

any

matter

relating

solely

to

that

class

of

shares.

Income,

non-class

specific

expenses,

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

of

shares

based

upon

the

proportion

of

relative

net

assets

at

the

beginning

of

each

day.

The

Fund

is

charged

for

those

expenses

that

are

directly

attributable

to

the

Fund.

Trust

level

expenses

are

allocated

among

the

Funds

on

the

ratio

of

average

net

assets

or

other

reasonable

methodology.

The

Fund

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

Statement

of

Operations

and

are

not

included

in

the

ratios

to

average

net

assets

shown

on

the

Financial

Highlights. 

27

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

Fund

records

distributions

received

in

excess

of

income

from

underlying

investments

as

a

reduction

of

cost

of

investments

and/or

realized

gain.

Such

amounts

are

based

on

estimates

(if

actual

amounts

are

not

available)

and

actual

amounts

of

income,

realized

gain

and

return

of

capital

may

differ

from

the

estimated

amounts.

The

Fund

adjusts

the

estimated

amounts

of

components

of

distributions

(and

consequently

net

investment

income)

as

necessary

once

the

issuers

provide

information

about

the

actual

composition

of

the

distributions.

The

Fund

may

be

subject

to

foreign

taxes

on

income,

capital

gains

on

investments

or

currency

repatriation,

a

portion

of

which

may

be

recoverable.

The

Fund

will

accrue

such

taxes

and

recoveries

as

applicable,

based

upon its

current

interpretation

of

tax

rules

and

regulations

that

exist

in

the

markets

in

which it

invests.

Federal

Income

Taxes:

The

Fund

is

treated

as

a

separate

taxable

entity

for

federal

income

tax

purposes.

The

Fund

intends

to

qualify

as

a

“regulated

investment

company”

under

Subchapter

M

of

the

Internal

Revenue

Code

of

1986,

as

amended

(the

“Code”).

If

so

qualified,

the

Fund

will

not

be

subject

to

federal

income

tax

to

the

extent

it

distributes

substantially

all

of

its

net

investment

income

and

capital

gains

to

shareholders.

Accordingly

no

provision

for

Federal

income

tax

is

necessary.

The

Adviser

evaluates

tax

positions

taken

or

expected

to

be

taken

in

the

course

of

preparing

the

Fund

tax

returns

to

determine

whether

the

tax

positions

are

“more-likely-than-not”

to

be

sustained

if

challenged

by

the

applicable

tax

authority.

Tax

positions

deemed

to

meet

more-likely-than-not

threshold

would

be

recorded

as

a

tax

benefit

or

expense

in

the

current

year.

The

Fund

is

required

to

analyze

all

open

tax

years.

Open

tax

years

are

those

years

that

are

open

for

examination

by

the

relevant

income

taxing

authority.

The

Fund

has

determined

that

there

is

no

tax

liability/benefit

resulting

from

uncertain

income

tax

positions

taken

or

expected

to

be

taken

for

any

of

the

Fund's

open

tax

years.

The

Fund

is

not

aware

of

any

tax

positions

for

which

it

is

reasonably

possible

that

the

total

amounts

of

unrecognized

tax

expense/benefit

will

materially

change

in

the

next

twelve

months.

The

returns

of

the

Fund

for

the

prior

three

fiscal

years

as

well

as

current

year,

or

since

inception

if

shorter,

are

open

for

examination.

As

of

September

30,

2020,

the

Fund

had

no

examinations

in

progress.

Distributions

to

Shareholders:

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

Distribution

from

net

investment

income

are

generally

declared

and

paid

monthly.

Net

realized

capital

gains,

if

any,

are

distributed

by

the

Fund

at

least

annually.

Income

and

capital

gain

distributions

will

be

determined

in

accordance

with

federal

income

tax

regulations

which

may

differ

from

GAAP.

Differences

may

be

permanent

or

temporary.

Permanent

differences

are

reclassified

among

capital

accounts

in

the

financial

statements

to

reflect

their

tax

character.

Temporary

differences

arise

when

certain

items

of

income,

expense,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

and

tax

purposes.

These

differences

will

reverse

at

some

time

in

the

future.

Differences

in

classification

may

also

result

from

the

treatment

of

short-term

gains

as

ordinary

income

for

tax

purposes.

As

a

result,

income

dividends

and

capital

gain

distributions

declared

during

a

fiscal

period

may

differ

significantly

from

the

net

investment

income

(loss)

and

realized

gain

(loss)

reported

on

the

Fund

financial

statements

presented

under

GAAP.

Distributions

classified

as

a

tax

basis

return

of

capital,

if

any,

are

reflected

on

the

Statement

of

Changes

in

Net

Assets

and

has

been

recorded

to

paid

in

capital.

Indemnification:

In

the

normal

course

of

business,

the

Fund

may

enter

into

various

agreements

that

provide

for

general

indemnifications.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

as

any

potential

exposure

involves

future

claims

that

may

be

made

against

the

Fund.

However,

based

on

experience,

the

Fund

expects

the

risk

of

loss

to

be

remote. 

Securities

and

Other

Investments 

Affiliate

Investments:

Certain

investments

may

be

classified

as

an

affiliate

or

a

controlled

affiliate

of

the

Fund

on

the

Schedule

of

Investments.

Section

2a-3

of

the

1940

Act

defines

an

affiliate

as,

among

other

things,

a

company

in

which

a

Fund

owns

at

least

5%

of

the

outstanding

voting

securities.

Further,

pursuant

to

the

1940

Act,

control

is

presumed

to

exist

when,

among

other

things,

a

Fund

owns

more

than

25%

of

the

outstanding

voting

securities

of

portfolio

company.

Additionally,

the

Fund

may

invest

in

the

Limited

Purpose

Cash

Investment

Fund

(the

“LPCI

Fund”),

which

is

managed

by

UBS

Asset

Management

(Americas)

Inc.

The

LPCI

Fund

is

a

registered

investment

company

under

the

1940

Act

and

is

subject

to

the

money

market

regulations

as

prescribed

in

Rule

2a-7

of

the

1940

Act.

Pursuant

to

the

LPCI

Fund’s

eligibility

requirements,

shares

of

the

LPCI

Fund

are

only

available

for

sale

to

the

Adviser

and

funds

advised

by

the

Adviser.

The

LPCI

Fund

may

be

considered

an

affiliated issuer

of

the

Fund

in

the

Trust.

However,

the

Fund

does

not

invest

in

the

LPCI

Fund

for

the

purpose

of

exercising

significant

influence

over

its

management,

board

or

policies.

A

summary

of

transactions

with

each

affiliated issuer

is

included

in

the

Schedule

of

Investments,

if

applicable.

High

Yield

Securities:

The

Fund

invests

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. 

28

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Defaulted

Securities

and

Distressed

Investments:

The

Fund

held

defaulted

securities

or

other

securities

which

were

placed

in

non-accrual

status

as

the

collection

of

a

portion

or

all

of

the

interest

has

been

deemed

to

be

uncollectible.

The

securities

have

been

identified

on

the

Schedule

of

Investments.

Debt

obligations

may

be

placed

on

non-accrual

status

and

related

interest

income

may

be

reduced

by

ceasing

current

accruals

and

writing

off

interest

receivable

when

the

collection

of

a

portion

of

interest

has

become

doubtful

based

on

consistently

applied

procedures.

A

debt

obligation

is

removed

from

non-accrual

status

when

the

issuer

resumes

interest

payments

or

when

collectability

of

interest

is

probable.

The

Fund

may

invest

in

distressed

investments,

which

are

issued

by

companies

that

are,

or

might

be,

involved

in

reorganizations

or

financial

restructurings,

either

out

of

court

or

in

bankruptcy. 

Futures

Contracts:

The

Fund

invests

in

futures

contracts

as

part

of

its

primary

investment

strategy

and

to

equitize

its

cash

flows.

Investments

in

futures

may

increase

or

decrease

exposure

to

a

particular

market.

In

the

event

of

a

bankruptcy

or

insolvency

of

a

futures

commission

merchant

that

holds

margin

on

behalf

of

the

Fund,

the

Fund

may

not

receive

the

return

of

the

entire

margin

owed

to

the

Fund,

potentially

resulting

in

a

loss.

A

change

in

market

value

of

an

open

futures

contract

is

recorded

in

the

Statement

of

Operations

as

net

change

in

unrealized

appreciation

(depreciation)

on

futures

contracts.

A

realized

gain

(loss)

represents

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed

or

expired,

and

is

reported

in

the

Statement

of

Operations.

The

use

of

long

futures

contracts

subjects

the

Fund

to

risk

of

loss

in

excess

of

the

variation

margin

on

the

Statement

of

Assets

and

Liabilities.

The

use

of

short

futures

contracts

subjects

the

Fund

to

unlimited

risk

of

loss.

Futures

contracts

outstanding

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments. 

Forward

Foreign

Currency

Exchange

Contracts:

The

Fund

buys

and

sells

forward

foreign

currency

exchange

contracts,

which

are

agreements

between

two

parties

to

buy

and

sell

currencies

at

a

set

price

on

a

future

date.

These

contracts

are

used

to

protect

against

a

decline

in

value

relative

to

the

U.S.

Dollar

of

the

currencies

in

which

portfolio

securities

are

denominated

or

quoted

(or

an

increase

in

the

value

of

a

currency

in

which

securities

that

a

Fund

intends

to

buy

are

denominated,

when

a

Fund

holds

cash

reserves

and

short

term

investments),

or

for

other

investment

purposes.

The

market

value

of

the

contract

will

fluctuate

with

changes

in

currency

exchange

rates.

The

contract

is

marked

to

market

daily

and

the

change

in

market

value

is

recorded

as

unrealized

appreciation

or

depreciation.

When

the

contract

is

closed,

the

Fund

records

a

realized

gain

or

loss

equal

to

the

difference

between

the

value

of

the

contract

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

The

Fund

could

be

exposed

to

risk

if

the

value

of

the

currency

changes

unfavorably,

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

or

if

the

Fund

is

unable

to

enter

into

a

closing

position.

Risks

may

exceed

the

amounts

recognized

on

the

Statement

of

Assets

and

Liabilities.

Non-deliverable

forward

foreign

currency

exchange

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Forward

foreign

currency

exchange

contracts

outstanding

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments. 

Swap

Contracts:

The

Fund

engages

in

various

swap

transactions

to

manage

risks

within

their

portfolios

or

as

alternatives

to

direct

investments.

Swap

transactions

may

be

privately

negotiated

in

the

over-the-counter

(“OTC”)

market

where

payments

are

settled

through

direct

payments

between

a

Fund

and

the

counterparty.

By

contrast,

certain

swap

transactions

are

subject

to

mandatory

central

clearing

(“centrally

cleared

swaps”).

These

swaps

are

executed

through

a

derivatives

clearing

member

(“DCM”),

acting

in

an

agency

capacity,

and

submitted

to

a

central

counterparty

(“CCP”),

in

which

case

all

payments

are

settled

with

the

CCP

through

the

DCM.

For

centrally

cleared

swaps,

the

Schedule

of

Investments

include

the

cumulative

appreciation

(depreciation),

while

only

the

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities.

For

credit

default

and

interest

rate

contracts,

an

upfront

payment

received

by

a

Fund

is

recorded

as

a

liability

and

an

upfront

payment

made

by

a

Fund

is

recorded

as

an

asset

on

the

Fund’s

Statement

of

Assets

and

Liabilities.

Upfront

payments

are

amortized

over

the

term

of

the

contract.

If

there

is

no

upfront

payment

or

receipt,

market

value

will

equal

unrealized

appreciation

(depreciation).

Payments

received

(paid)

by

a

Fund

are

recorded

as

realized

gains

(losses)

from

the

expiration

at

a

periodic

reset

date

or

closing

of

swap

contracts

in

the

Statement

of

Operations.

The

Fund’s

use

of

swap

contracts

create

additional

risks

beyond

those

that

would

exist

if

the

Fund

invested

in

the

underlying

positions

directly.

Credit

Default

Swap

Contracts:

The

Fund

enters

into

credit

default

swap

contracts

to

provide

a

measure

of

protection

against

risk

of

loss

following

a

default,

or

other

credit

event

in

respect

of

issuers

within

an

underlying

index

or

a

single

issuer,

or

to

gain

credit

exposure

to

an

underlying

index

or

issuer.

In

a

credit

default

contract,

the

protection

buyer

typically

makes

an

upfront

payment

and

a

periodic

stream

of

payments

to

a

counterparty,

the

protection

seller,

in

exchange

for

the

right

to

receive

a

contingent

payment

upon

the

occurrence

of

a

credit

event

on

the

reference

obligation

or

all

other

equally

ranked

obligations

of

the

reference

entity.

Credit

events

are

contract

specific

but

may

include

bankruptcy,

failure

to

pay,

restructuring

and

obligation

acceleration.

The

credit

default

contracts

are

marked

to

market

daily

and

the

change,

if

any,

is

recorded

as

an

unrealized

gain

or

loss.

Variation

margin

is

accounted

for

as

unrealized

appreciation

or

depreciation

until

the

contract

is

closed,

at

which

time

the

gains

or

losses

are

realized.

Upon

the

occurrence

of

a

credit

event,

the

difference

between

the

par

value

and

market

value

of

the

reference

obligation,

net

of

any

proportional

amount

of

the

upfront

payment,

is

recorded

as

a

realized

gain

or

loss

on

swap

contracts

in

the

Statement

of

Operations.

Implied

credit

spreads

are

used

to

determine

the

value

of

credit

default

swap

contracts

and

reflect

the

cost

of

buying/selling

protection,

which

may

include

upfront

payments

made

to

enter

into

the

contract.

Therefore,

higher

spreads

indicate

a

greater

likelihood

that

a

seller

will

be

obligated

to

perform

(i.e.,

make

payment)

under

the

swap

contract.

Implied

credit

spreads

for

credit

default

swaps

on

credit

indexes

are

linked

to

the

weighted

average

spread

across

the

underlying

reference

obligations

included

in

a

particular

index.

Risks

of

loss

may

exceed

amounts

recognized

on

the

Statement

of

Assets

and

Liabilities.

The

Fund’s

maximum

risk

of

loss

from

counterparty

risk,

either

as

the

protection

seller

or

as

the

protection

buyer,

is

the

fair

value

of

the

contract.

This

risk

may

be

mitigated

by

having

a

master

netting

arrangement

between

the

Fund

and

the

counterparty.

The

central

clearing

house

acts

as

the

counterparty

to

each

centrally

cleared

swap

transaction,

therefore

credit

risk

is

limited

to

the

failure

of

the

clearing

house.

Where

a

Fund

is

a

seller

of

protection,

the

maximum

potential

amount

of

future

payments

the

Fund

may

be

required

to

make

is

equal

to

the

notional

amount

of

the

relevant

credit

default

contract.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Statement

of

Assets

and

Liabilities.

Credit

default

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments.

29

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Interest

Rate

Swaps:

The

Fund

enters

into

interest

rate

swaps

as

part

of

their

investment

strategy.

Interest

rate

swaps

generally

involve

agreements

to

exchange

fixed

and

floating

payment

obligations,

without

the

exchange

of

the

underlying

notional

amounts.

Interest

rate

swap

agreements

are

privately

negotiated

in

the

OTC

market

or

may

be

executed

in

a

multilateral

or

other

trade

facility

platform,

such

as

a

registered

exchange

(centrally

cleared

swaps).

Periodic

payments

received

(paid)

by

the

Fund

are

recorded

as

realized

gains

(losses)

on

derivatives

in

the

Statement

of

Operations.

Interest

rate

swaps

are

marked

to

market

daily

and

the

change

is

recorded

as

unrealized

gain

(loss)

on

swap

contracts

in

the

Statement

of

Operations.

The

Fund’s

risk

of

loss

associated

with

these

instruments

may

exceed

their

value,

as

recorded

in

the

Schedule

of

Investments.

Non-deliverable

interest

rate

swap

contracts

are

settled

with

the

counterparty

in

U.S.

Dollars

without

the

delivery

of

foreign

currency.

Centrally

cleared

interest

rate

swaps

may

have

forward

effective

dates.

The

amortization

of

the

upfront

premiums

(if

applicable)

and

payments

related

to

these

swap

contracts

begin

on

the

effective

date

of

the

contract.

Interest

rate

contracts

outstanding,

including

their

respective

notional

amounts

at

period

end,

if

any,

are

listed

after

Schedule

of

Investments.

Delayed

Delivery

Securities:

During

the

period,

the

Fund

transacted

in

securities

on

a

delayed

delivery

basis.

Payment

and

delivery

may

take

place

after

the

customary

settlement

period

for

that

security.

The

price

of

the

underlying

securities

and

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

securities

purchased

on

a

delayed

delivery

basis

are

identified

as

such

in

the

Fund's

Schedule

of

Investments.

The

Fund

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

With

respect

to

purchase

commitments,

the

Fund

identified

securities

as

segregated

in

their

records

with

a

value

at

least

equal

to

the

amount

of

the

commitment.

Losses

may

arise

due

to

changes

in

the

value

of

the

underlying

securities

or

if

the

counterparty

does

not

perform

under

the

contract

terms. 

To-Be-Announced

Commitments:

The

Fund

may

invest

in

To-Be-Announced

(“TBA”)

commitments.

TBA

commitments

are

forward

agreements

for

the

purchase

or

sale

of

mortgage-backed

securities

for

a

fixed

price,

with

payment

and

delivery

on

an

agreed

upon

future

settlement

date.

The

term

TBA

is

derived

from

the

fact

that

the

actual

mortgage-backed

securities

that

will

be

delivered

to

fulfill

a

TBA

commitment

are

not

designated

at

the

time

the

trade

is

made

and

settlement

of

the

securities

often

takes

place

after

the

customary

settlement

period

for

mortgage-backed

securities.

The

price

and

specified

terms,

including

issuer,

rate

and

mortgage

terms

of

the

underlying

securities,

as

well

as

the

date

when

the

securities

will

be

delivered

and

paid

for

are

fixed

at

the

time

the

transaction

is

negotiated.

The

actual

pool

of

mortgage-backed

securities

to

be

delivered

is

announced

48

hours

prior

to

the

established

trade

settlement

date.

Settlement

of

TBA

commitments

can

occur

in

two

ways:

i

)

taking

or

making

delivery

of

mortgage

pools/securities;

or

ii)

pairing-off

with

an

offsetting

trade

for

cash

settlement.

The

Fund

may

receive

compensation

for

interest

forgone

in

the

purchase

of

a

delayed

delivery

security.

Investing

in

TBA

commitments,

which

are

accounted

for

as

purchases

and

sales

transactions,

involve

a

risk

of

loss

due

to

changes

in

the

value

of

the

security

prior

to

the

settlement

date

as

well

as

the

risk

that

the

counterparty

to

the

transaction

will

not

perform

its

obligations.

The

Fund

is

subject

to

this

risk

whether

or

not

the

Fund

takes

delivery

of

the

positions

on

the

settlement

date

for

a

transaction.

TBA

commitments

outstanding

at

period

end,

if

any,

are

disclosed

in

the

Fund’s

Schedule

of

Investments.

Securities

Lending:

The

Fund

may

lend

securities

to

qualified

borrowers

approved

by

the

Adviser

in

order

to

generate

additional

income.

Securities

loaned

are

collateralized

by

cash

or

securities

issued

by

the

U.S.

Treasury

valued

at

102%

to

105%

of

the

market

value

of

the

securities

on

loan.

The

Fund

may

invest

cash

collateral

in

money

market

funds

as

indicated

on

the

Schedule

of

Investments.

The

Fund

bears

the

risk

of

loss

associated

with

the

collateral

investments

and

is

not

entitled

to

additional

collateral

from

the

borrower

to

cover

any

such

losses.

Daily

market

fluctuations

could

cause

the

value

of

loaned

securities

to

be

more

or

less

than

the

value

of

the

collateral

received.

When

this

occurs,

the

collateral

is

adjusted

and

settled

on

the

next

business

day.

Securities

lending

also

involves

counterparty

risks,

including

the

risk

that

the

loaned

securities

may

not

be

returned

in

a

timely

manner

or

at

all.

In

the

event

of

a

default

by

a

borrower

with

respect

to

any

loan,

the

lending

agent

will

exercise

any

and

all

remedies

provided

under

the

applicable

borrower

agreement

to

make

the

Fund

whole.

If,

despite

such

efforts

by

the

lending

agent

to

exercise

these

remedies,

the

Fund

sustains

losses

as

a

result

of

a

borrower’s

default,

the

lending

agent

indemnifies

the

Fund

by

purchasing

replacement

securities

at

its

expense,

or

paying

the

Fund

an

amount

equal

to

the

market

value

of

the

replacement

securities,

subject

to

certain

limitations

which

are

set

forth

in

the

Securities

Lending

Agency

Agreement

between

the

Fund

and

the

lending

agent.

Securities

lending

income,

net

on

the

Statement

of

Operations

represents

fees

charged

to

borrowers

plus

income

earned

on

invested

cash

collateral,

less

expenses

associated

with

the

loan.

Certain

of

the

securities

on

loan

may

have

been

sold

prior

to

the

close

of

the

reporting

period

and

are

included

in

Receivables

for

Securities

Sold

on

the

Statement

of

Assets

and

Liabilities.

Security

loans

can

be

terminated

at

the

discretion

of

either

the

lending

agent

or

the

Fund

and

the

related

securities

must

be

returned

within

the

earlier

of

the

standard

trade

settlement

period

for

such

securities

or

within

three

business

days.

The

balance

of

securities

on

loan

at

period

end,

if

any,

is

disclosed

in

the

footnotes

to

the

Schedule

of

Investments.

The

fair

value

of

the

Fund’s

investment

securities

on

loan

and

a

related

liability

for

collateral

received

on

securities

loaned

are

both

presented

gross

on

the

Statement

of

Assets

and

Liabilities.

Master

Agreements:

The

Fund

is

party

to

master

netting

arrangements

with

counterparties

(“Master

Agreements”).

Master

Agreements

govern

the

terms

of

certain

like

transactions

and

reduce

the

counterparty

risk

associated

with

relevant

transactions

by

specifying

payment

netting

mechanisms

across

multiple

transactions

and

providing

standardization

that

improves

legal

certainty.

Since

different

types

of

transactions

have

different

mechanics

and

are

sometimes

traded

by

different

legal

entities

of

a

particular

counterparty

organization,

each

type

of

transaction

may

be

covered

by

a

different

Master

Agreement,

resulting

in

the

need

for

multiple

Master

Agreements

with

a

counterparty

and

its

affiliates.

As

the

Master

Agreements

are

specific

to

unique

operations

of

different

asset

types,

they

allow

the

Fund

to

i.)

close

out

and

net

their

total

exposure

to

a

counterparty

in

the

event

of

a

default

with

respect

to

all

the

transactions

governed

under

a

single

Master

Agreement

with

a

counterparty,

ii.)

exit

transactions

through

means

other

than

sale,

such

as

through

a

negotiated

agreement

with

the

Fund

counterparty,

a

transfer

to

another

party,

or

close

out

of

the

position

through

execution

of

an

offsetting

transaction.

30

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Prime

Broker

Arrangements

may

be

entered

into

to

facilitate

execution

and/or

clearing

of

equities,

bonds,

equity

options

or

short

sales

of

securities

between

the

Fund

and

selected

counterparties.

These

arrangements

provide

financing

terms

for

such

transactions

and

include

guidelines

surrounding

the

rights,

obligations,

and

other

events,

including,

but

not

limited

to,

margin,

execution,

and

settlement.

These

agreements

maintain

provisions

for

payments,

maintenance

of

collateral,

events

of

default,

and

termination.

Margin

and

other

assets

delivered

as

collateral

are

typically

held

by

the

prime

broker

and

offset

any

obligations

due

to

the

prime

broker.

Customer

Account

Agreements

govern

cleared

derivatives

transactions

and

exchange-traded

futures

and

options

transactions.

Upon

entering

into

an

exchange-traded

or

centrally

cleared

derivative

contract,

the

Fund

is

required

to

deposit

with

the

relevant

clearing

organization

cash

or

securities,

which

is

referred

to

as

the

initial

margin.

Securities

deposited

as

initial

margin

are

designated

on

the

Schedule

of

Investments

and

cash

deposited

is

recorded

as

Deposits

with

brokers

for

centrally

cleared

swaps

and

Deposits

with

brokers

for

futures

contracts

on

the

Statement

of

Assets

and

Liabilities.

For

exchange-traded

futures

or

centrally

cleared

swaps,

initial

margin

is

posted,

and

daily

changes

in

fair

value

are

recorded

as

a

payable

or

receivable

on

the

Statement

of

Assets

and

Liabilities

as

Variation

margin

on

centrally

cleared

swaps

and

Variation

margin

on

futures

contracts.

Variation

margin

is

determined

separately

for

exchange-traded

futures

and

centrally

cleared

swaps

and

cannot

be

netted.

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreements

and

Credit

Support

Annexes

(“ISDA

Master

Agreements”)

govern

OTC

derivative

transactions

entered

into

between

the

Fund

and

a

counterparty.

ISDA

Master

Agreements

maintain

provisions

for

general

obligations,

representations,

netting

of

settlement

payments,

agreements

to

deliver

supporting

documents,

collateral

transfer

and

events

of

default

or

termination.

Events

of

termination

include

a

decline

in

the

Fund’s

net

assets

below

a

specified

threshold

over

a

certain

period

of

time

or

a

decline

in

the

counterparty’s

long-term

and

short-term

credit

ratings

below

a

specified

level.

In

each

case,

upon

occurrence,

the

other

party

may

elect

to

terminate

early

and

cause

settlement

of

all

OTC

contracts

outstanding,

including

the

payment

of

any

losses

and

costs

resulting

from

such

early

termination,

as

reasonably

determined

by

the

terminating

party.

Any

decision

by

a

party

to

elect

early

termination

could

be

material

to

the

financial

statements

and

impact

a

Fund’s

future

derivative

activity.

Collateral

pledged

by

the

Fund

for

OTC

derivatives

pursuant

to

Master

Agreements

is

segregated

by

the

Fund’s

custodian

and

identified

as

an

asset

in

the

Statement

of

Assets

and

Liabilities

either

as

a

component

of

Investments

in

securities,

at

value

(securities)

or

in

Due

from

brokers

(cash).

Master

Securities

Forward

Transaction

Agreements

(each,

an

“MSFTA”)

are

entered

into

in

order

to

govern

TBA

commitments.

A

MSFTA

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

default

and/or

termination

event.

Collateral

and

margin

requirements

differ

according

to

the

terms

of

each

type

of

Master

Agreement.

Collateral

is

routinely

transferred

if

the

total

net

exposure

net

of

existing

collateral

already

in

place

governed

under

the

relevant

Master

Agreement

with

a

counterparty

in

a

given

account

exceeds

a

specified

threshold.

Collateral

can

be

in

the

form

of

cash,

debt

securities

issued

by

the

U.S.

government,

money

market

funds

and

other

securities

as

agreed

to

by

the

Fund

and

the

applicable

counterparty,

or

as

permitted

by

the

clearing

house

or

exchange.

Collateral

posted

for

the

benefit

of

the

Fund

pursuant

to

a

Master

Agreement

is

held

by

a

custodian

of

the

Fund.

Amounts

which

can

be

invested

or

repledged,

are

presented

in

the

Fund

Schedule

of

Investments.

Segregation

of

a

fund’s

collateral

in

the

custodian

account

helps

mitigate

counterparty

risk.

Collateral

received

is

reflected

as

a

liability

within

Due

to

brokers

in

the

Statement

of

Assets

and

Liabilities.

As

governed

by

the

relevant

Master

Agreements,

interest

expense

may

be

incurred

if

a

counterparty

charges

the

Fund

interest

on

collateral

posted

directly

to

a

Fund’s

custodian

account.

The

collateral

requirements

for

TBA

commitments

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

the

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Typically,

the

Fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

subject

to

master

netting

agreements

on

the

Statement

of

Assets

and

Liabilities.

Investment

Valuation

and

Fair

Value

Measurements 

Investment

Valuation

Policies:

The

Net

Asset

Value

(“NAV”)

of

the

Fund’s

shares

are

valued

as

of

the

close

of

regular

trading

on

the

New

York

Stock

Exchange

(“NYSE”)

(normally

4:00

p.m.

Eastern

time)

on

each

day

that

the

NYSE

is

open

(each

a

“Business

Day”).

The

NAV

per

share

of

each

class

within

the

Fund

is

computed

by

dividing

the

total

current

value

of

the

assets

of

the

Fund

attributable

to

a

class,

less

class

liabilities,

by

the

total

number

of

shares

of

that

class

of

the

Fund

outstanding

at

the

time

the

computation

is

made.

GAAP

defines

fair

value

as

the

price

the

Fund

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

For

purposes

of

calculating

the

NAV,

portfolio

securities

and

other

financial

derivative

instruments

are

valued

on

each

Business

Day

using

valuation

methods

as

adopted

by

the

Fund’s

Board

of

Trustees

(the

“Board”).

The

Adviser

has

established

a

Valuation

Committee

(the

“VC”)

to

assist

the

Board

with

oversight

and

monitoring

of

the

valuation

of

the

Fund’s

investments.

This

includes

administering,

implementing

and

overseeing

the

continual

appropriateness

of

valuation

approaches

applied

and

the

determination

of

adjustments

to

the

fair

valuation

of

portfolio

securities

and

other

financial

derivative

instruments

in

good

faith

after

consideration

of

market

factor

changes

and

events

affecting

issuers.

The

Adviser

performs

a

series

of

activities

to

provide

reasonable

assurance

of

the

accuracy

of

prices

including:

(i)

periodic

vendor

due

diligence

meetings,

review

of

approaches

and

techniques,

new

developments

and

processes

at

vendors,

(ii)

review

of

daily

comparison

of

security

valuation

versus

prior

day

for

all

securities

that

exceeded

established

thresholds,

(iii)

review

of

third

party

model

prices

against

internal

model

prices,

and

(iv)

review

the

results

of

back

testing

and

reports

for

the

Board

on

the

results

of

fair

value

determinations.

31

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Where

market

quotes

are

readily

available,

fair

market

value

is

generally

determined

on

the

basis

of

official

closing

prices

or

the

last

reported

sales

prices,

or

if

no

sales

are

reported,

based

on

quotes

obtained

from

pricing

services

or

established

market

makers.

Where

market

quotations

are

not

readily

available,

or

if

an

available

market

quotation

is

determined

not

to

reflect

fair

value,

securities

or

financial

derivatives

are

valued

at

fair

value,

as

determined

in

good

faith

by

the

VC

in

accordance

with

the

valuation

procedures

approved

by

the

Fund’s

Board.

Using

fair

value

to

price

a

security

may

require

subjective

determinations

about

the

value

of

a

security

that

could

result

in

a

value

that

is

different

from

a

security’s

most

recent

closing

price

and

from

the

prices

used

by

other

mutual

funds

to

calculate

their

net

assets.

It

is

possible

the

estimated

values

may

differ

significantly

from

the

values

which

would

have

been

used

had

an

active

ready

market

for

the

investments

existed.

These

differences

could

be

material.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

GAAP

establishes

a

hierarchy

for

inputs

used

in

measuring

fair

value

that

maximizes

the

use

of

observable

inputs

and

minimizes

the

use

of

unobservable

inputs

by

requiring

the

most

observable

inputs

be

used

when

available.

These

inputs

are

summarized

in

the

three

broad

levels

as

follows:

Level

1

—

Inputs

using

unadjusted

quoted

prices

in

active

markets

or

exchanges

for

identical

assets

and

liabilities.

Level

2

—

Other

significant

observable

inputs,

which

may

include,

but

are

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

credit

risks

and

default

rates)

or

other

market

corroborated

inputs.

Level

3

—

Significant

unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available,

which

may

include

assumptions

made

by

the

Board

or

persons

acting

at

their

direction

that

are

used

in

determining

the

fair

value

of

investments.

An

investment

asset’s

or

liability’s

level

within

the

fair

value

hierarchy

is

based

on

the

lowest

level

input,

individually

or

in

aggregate,

that

is

significant

to

fair

value

measurement.

The

objective

of

fair

value

measurement

remains

the

same

even

when

there

is

a

significant

decrease

in

the

volume

and

level

of

activity

for

an

asset

or

liability

and

regardless

of

the

valuation

technique

used.

The

valuation

techniques

used

by

the

Fund

to

measure

fair

value

maximize

the

use

of

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

hierarchy.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

Valuation

Techniques:

The

following

inputs

and

techniques

may

be

used

by

the

Fund

to

evaluate

how

to

classify

each

major

category

of

assets

and

liabilities

into

the

appropriate

fair

value

hierarchy

in

accordance

with

GAAP.

Investments

in

mutual

funds

are

valued

daily

at

their

NAVs

which

are classified

as

Level

1.

Fixed

income

securities

(other

than

certain

short-term

investments

maturing

in

60

days

or

less)

and

other

investments

that

trade

in

markets

that

are

not

considered

to

be

active,

are

valued

based

on

quoted

market

prices,

dealer

quotations

or

alternative

pricing

sources

supported

by

observable

inputs

and

are

also

classified

within

Level

2.

These

include

certain

U.S.

government

and

sovereign

obligations,

most

government

agency

securities,

investment-

grade

corporate

bonds,

and

less

liquid

listed

equities.

Corporate

and

sovereign

bonds

and

other

fixed-income

instruments

are

valued

at

estimated

fair

value

using

the

latest

bid

prices

or

evaluated

quotes

furnished

by

independent

pricing

services,

as

well

as

quotations

from

counterparties

and

other

market

participants.

Evaluated

quotes

are

generally

based

on

a

matrix

system,

which

may

consider

such

factors

as

quoted

prices

for

identical

or

similar

assets,

yields,

maturities

and

ratings

and

are

not

necessarily

reliant

on

quoted

prices.

Short-term

debt

investments

of

sufficient

credit

quality

maturing

in

60

days

or

less

are

generally

valued

at

amortized

cost,

which

approximates

fair

value.

These

investments

are

categorized

as

Level

2

within

the

fair

value

hierarchy. 

Investments

classified

within

Level

3

have

significant

unobservable

inputs,

as

they

trade

infrequently

or

not

at

all.

Level

3

instruments

include

illiquid

securities.

When

observable

prices

are

not

available

for

these

securities,

the

Fund

may

use

one

or

more

valuation

approaches

(e.g.,

the

market

approach,

the

income

approach,

or

the

cost

approach),

including

proprietary

models

for

which

sufficient

and

reliable

data

is

available.

Within

Level

3,

the

market

approach

generally

is

based

on

the

technique

of

using

comparable

market

transactions,

while

the

use

of

the

income

approach

includes

the

estimation

of

future

cash

flows

discounted

to

calculate

fair

value.

Discounts

may

also

be

applied

due

to

the

nature

or

durations

of

any

restrictions

on

the

disposition

of

the

investment

or

adjusted

as

appropriate

for

credit,

market

and/or

other

risk

factors.

The

inputs

used

by

the

Fund

in

estimating

the

value

of

Level

3

investments

include

the

original

transaction

price,

recent

transactions

in

the

same

or

similar

instruments,

completed

or

pending

third-party

transactions

in

the

underlying

investment

or

comparable

issuers,

subsequent

rounds

of

financing,

recapitalizations

and

other

transactions

across

the

capital

structure,

offerings

in

the

equity

or

debt

capital

markets,

changes

in

financial

ratios

or

cash

flows,

benchmark

yield

curves,

credit

spreads,

estimated

default

rates,

underlying

collateral,

and

other

unique

security

features.

Level

3

investments

may

also

be

adjusted

to

reflect

illiquidity

and/or

non-transferability,

with

the

amount

of

such

discount

estimated

by

the

Adviser

in

the

absence

of

market

information.

Assumptions

used

by

the

Fund

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

fair

value

of

the

investment.

32

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Exchange-traded

derivatives,

such

as

futures

contracts

and

exchange-traded

option

contracts,

are

typically

classified

within

Level

1

or

Level

2

of

the

fair

value

hierarchy

depending

on

whether

or

not

they

are

deemed

to

be

actively

traded.

Futures

and

option

contracts

that

are

listed

on

national

exchanges

and

are

freely

transferable

are

valued

at

fair

value

based

on

their

last

sales

price

on

the

date

of

determination

on

the

exchange

their

constitutes

the

principal

market.

For

option

contracts,

if

no

sales

occurred

on

such

date,

the

contracts

will

be

valued

at

the

mid

price

on

such

exchange

at

the

close

of

business

on

such

date.

Centrally

cleared

swaps

listed

or

traded

on

a

multilateral

trade

facility

platform,

such

as

a

registered

exchange,

are

valued

on

daily

basis

using

quotations

provided

by

an

independent

pricing

service. 

OTC

derivatives,

including

forward

contracts

and

swap

contracts,

are

valued

by

the

Fund

on

a

daily

basis

using

observable

inputs,

such

as

quotations

provided

by

an

independent

pricing

service,

the

counterparty,

dealers

or

brokers,

whenever

available

and

considered

reliable. 

The

U.S.

Dollar

value

of

forward

foreign

currency

exchange

contracts

is

determined

using

current

forward

currency

exchange

rates

supplied

by

an

independent

pricing

service. 

Credit

default

swap

contracts

and

interest

rate

swap

contracts

are

marked

to

market

daily

based

on

quotations

as

provided

by

an

independent

pricing

service.

The

independent

pricing

services

aggregate

valuation

information

from

various

market

participants

to

create

a

single

reference

value

for

each

credit

default

swap

contract

and

interest

rate

swap

contract. 

Generally,

a

valuation

model

is

used

consistently

for

similar

derivative

types.

In

instances

where

models

are

used,

the

value

of

an

OTC

derivative

depends

upon

the

contractual

terms

of,

and

specific

risks

inherent

in,

the

instrument

as

well

as

the

availability

and

reliability

of

observable

inputs.

Such

inputs

typically

may

include

market

prices

for

reference

securities,

yield

curves,

credit

spreads,

measures

of

volatility,

prepayment

rates

and

implied

correlations

of

such

inputs

which

are

obtained

from

outside

brokers

and/or

pricing

services

when

available.

Certain

OTC

derivatives,

such

as

generic

forwards,

swaps

and

options,

have

inputs

which

can

generally

be

corroborated

by

market

data

and

are

therefore

classified

within

Level

2.

Those

OTC

derivatives

that

have

less

liquidity

or

for

which

inputs

are

unobservable

are

classified

within

Level

3.

While

the

valuations

of

less

liquid

OTC

derivatives

may

utilize

some

Level

1

and/or

Level

2

inputs,

they

also

may

include

other

unobservable

inputs

which

may

be

considered

significant

to

the

fair

value

determination. 

Quantitative

Information

The

following

table

represents

the

Fund’s

valuations

inputs

as

presented

on

the

Schedule

of

Investments:

During

the

period

ended

September

30,

2020,

there

were

no

transfers

to

or

from

Level

3.

There

were

no

Level

3

securities

held

at

period

end.

AQR

CORE

PLUS

BOND

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Corporate

Bonds

................................

$

–

$

32,787,009

$

–

$

32,787,009

Foreign

Government

Securities

.....................

–

24,176,606

–

24,176,606

Mortgage-Backed

Securities

.......................

–

39,032,428

–

39,032,428

U.S.

Treasury

Obligations

.........................

–

42,270,550

–

42,270,550

Short-Term

Investments

...........................

11,249,792

–

–

11,249,792

Futures

Contracts*

...............................

54,196

–

–

54,196

Forward

Foreign

Currency

Exchange

Contracts*

........

–

790,463

–

790,463

Interest

Rate

Swap

Contracts*

......................

–

2,538,303

–

2,538,303

Credit

Default

Swap

Contracts*

.....................

–

726,043

–

726,043

Total

Assets

$

11,303,988

$

142,321,402

$

–

$

153,625,390

LIABILITIES

TBA

Sale

Commitments

(Sold

Short)

.................

$

–

$

(1,053,470)

$

–

$

(1,053,470)

Futures

Contracts*

...............................

(299,880)

–

–

(299,880)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(531,549)

–

(531,549)

Interest

Rate

Swap

Contracts*

......................

–

(2,224,299)

–

(2,224,299)

Credit

Default

Swap

Contracts*

.....................

–

(330,902)

–

(330,902)

Total

Liabilities

$

(299,880)

$

(4,140,220)

$

–

$

(4,440,100)

*

Derivative

instruments,

including

futures

and

forward

foreign

currency

exchange,

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Fund’s

Schedule

of

Investments.

Credit

default

swaps

and

interest

rate

swaps

contracts

are

reported

at

market

value.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities

for

exchange-traded

and

cleared

derivatives.

33

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Federal

Income

Tax

Matters

At

September

30,

2020,

the

cost

and

aggregate

gross

unrealized

appreciation

(depreciation)

of

long

security

positions

and

derivative

instruments

for

federal

income

tax

purposes

were

as

follows:

The

differences

between

book

basis

and

tax

basis

appreciation

(depreciation)

on

investments

is

primarily

attributable

to

wash

sale

loss

deferrals

and

differences

in

the

tax

treatment

of

certain

swap

contracts. 

As

of

September

30,

2020,

the

components

of

distributable

earnings

on

a

tax

basis

were

as

follows:  

The

differences

between

book

basis

and

tax

basis

components

of

distributable

earnings

are

primarily

attributable

to

wash

sale

loss

deferrals,

and

other

book

and

tax

differences

including,

mark

to

market

on

forward

foreign

exchange

contracts,

mark

to

market

on

regulated

futures

contracts,

straddle

loss

deferrals,

and

income

on

certain

swaps. 

The

tax

character

of

distributions

paid

during

the

fiscal

year-ends September

30,

2020

and

September

30,

2019 were

as

follows:

Investment

Transactions

During

the year

ended

September

30,

2020,

the

cost

of

purchases

and

the

proceeds

from

sales

of

investments

(excluding

swap

contracts,

forward

foreign

currency

exchange

contracts,

futures

contracts

and

short-term

investments)

were

as

follows:

During

the year

ended

September

30,

2020,

the

Fund

had

purchases

and

sales

of

long-term

U.S.

Government

obligations

as

follows:

Derivative

Instruments

and

Activities

The

Fund

uses

derivative

instruments

as

part

of

their

principal

investment

strategy

to

achieve

their

investment

objectives.

The

Fund

derivative

contracts

are

not

accounted

for

as

hedging

instruments

under

GAAP.

For

financial

reporting

purposes,

the

Fund

does

not

offset

financial

assets

and

financial

liabilities

that

are

subject

to

master

netting

arrangements

or

similar

agreements

on

the

Statement

of

Assets

and

Liabilities.

All

derivative

instruments

held

by

the

Fund

were

subject

to

a

master

netting

agreement

or

similar

arrangement.

FUND

COST

OF

INVESTMENTS

GROSS

UNREALIZED

APPRECIATION

GROSS

UNREALIZED

DEPRECIATION

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

AQR

Core

Plus

Bond

Fund

................................

$

144,718,512

$

9,280,701

$

(4,380,661)

$

4,900,040

FUND

CURRENT

DISTRIBUTABLE

ORDINARY

INCOME

CURRENT

DISTRIBUTABLE

LONG

TERM

CAPITAL

GAIN

OR

TAX

BASIS

CAPITAL

LOSS

CARRYFORWARDS

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

TOTAL

ACCUMULATED

EARNINGS

AQR

Core

Plus

Bond

Fund

...............................

$

3,449,861

$

1,544,444

$

4,335,300

$

9,329,605

SEPTEMBER

30,

2020

SEPTEMBER

30,

2019

FUND

ORDINARY

INCOME

CAPITAL

GAINS

ORDINARY

INCOME

CAPITAL

GAINS

AQR

Core

Plus

Bond

Fund

........................................

$

3,007,150

$

111,535

$

3,836,199

$

—

FUND

PURCHASES

SALES

SECURITIES

SOLD

SHORT

COVERS

ON

SECURITIES

SOLD

SHORT

AQR

Core

Plus

Bond

Fund

................................

$

814,712,802

$

807,852,114

$

602,411,408

$

602,512,051

FUND

PURCHASES

SALES

AQR

Core

Plus

Bond

Fund

...............................................................

$

137,676,929

$

136,882,104

34

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

following

table

lists

the

fair

value

of

derivatives

instruments

held

by

the

Fund,

by

primary

underlying

risk

and

contract

type,

as

included

in

the

Statement

of

Assets

and

Liabilities

at

September

30,

2020.

*

AQR

CORE

PLUS

BOND

FUND

Foreign

Exchange

Rate

Risk

Exposure:

1,322,012

Unrealized

Appreciation

on

Forward

Foreign

Currency

Exchange

Contracts

..........................................

$

790,463

Unrealized

Depreciation

on

Forward

Foreign

Currency

Exchange

Contracts

.........................................

(531,549

)

1,322,012

Interest

Rate

Risk

Exposure:

5,116,680

Unrealized

Appreciation

on

Futures

Contracts

*

................................................................

54,196

Swaps

at

Value

(Assets)

**

...............................................................................

2,538,303

Unrealized

Depreciation

on

Futures

Contracts

*

...............................................................

(299,880

)

Swaps

at

Value

(Liabilities)

**

.............................................................................

(2,224,299

)

5,116,680

Credit

Risk

Exposure:

1,056,946

Swaps

at

Value

(Assets)

**

...............................................................................

726,043

Swaps

at

Value

(Liabilities)

**

.............................................................................

(330,902

)

1,056,946

Net

Fair

Value

of

Derivative

Contracts:

476,692

Unrealized

Appreciation

(Depreciation)

on

Futures

Contracts

*

....................................................

(245,684

)

Swaps

at

Value

**

......................................................................................

709,145

Unrealized

Appreciation

(Depreciation)

on

Forward

Foreign

Currency

Exchange

Contracts

..............................

258,914

476,692

*

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

.

35

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

The

following

table

indicates

the

effect

of

derivative

instruments,

by

primary

underlying

risk

exposure

and

contract

type,

on

the

Statement

of

Operations

for

the year

ended

September

30,

2020:

The

following

table

presents

the

Fund’s

gross

OTC

derivative

assets

and

liabilities

by

counterparty

and

contract

type

net

of

amounts

available

for

offset

under

netting

arrangements

and

any

related

collateral

received

or

posted

by

the

Fund

as

of

September

30,

2020:

AQR

Core

Plus

Bond

Fund

*

AQR

CORE

PLUS

BOND

FUND

Realized

Gain

(Loss)

on

Derivatives

Recognized

as

a

Result

From

Operations:

Foreign

Exchange

Rate

Risk

Exposure:

(185,054)

Forward

Foreign

Currency

Exchange

Contracts

...............................................................

$

(185,054

)

(185,054)

Interest

Rate

Risk

Exposure:

606,380

Futures

Contracts

.....................................................................................

(110,948

)

Swap

Contracts

......................................................................................

717,328

606,380.49

Credit

Risk

Exposure:

324,990

Swap

Contracts

......................................................................................

324,990

324,990.14

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Derivatives

Recognized

as

a

Result

of

Operations:

Foreign

Exchange

Rate

Risk

Exposure:

125,909

Forward

Foreign

Currency

Exchange

Contracts

...............................................................

(125,909

)

125,909

Interest

Rate

Risk

Exposure:

146,223

Futures

Contracts

.....................................................................................

(258,961

)

Swap

Contracts

......................................................................................

112,738

146,223

Credit

Risk

Exposure:

31,863

Swap

Contracts

......................................................................................

(31,863

)

31,863

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

$

471,552

$

(298,242)

$

173,310

$

–

$

(173,310)

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

318,911

(233,307)

85,604

–

–

85,604

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

790,463

(531,549)

258,914

–

(173,310)

85,604

36

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

AQR

Core

Plus

Bond

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

$136,694

and

total

additional

collateral

pledged

was

$506,239.

For

the

year ended

September

30,

2020,

the

quarterly

average

notional

values

of

the

derivatives

held

by

the

Fund

were

as

follows:

Derivatives

Volume

Disclosure*

GROSS

AMO

UNTS

NOT

OFFSET

IN  THE

STATEMENT

OF

ASSETS

&

LIABI

LITIES

COUNTERPARTY

INVESTMENT

TYPE

GROSS

AMOUNTS

OF

RECOGNIZED

LIABILITIES

PRESENTED

IN

THE

STATEMENT  OF

ASSETS

&

LIABILITIES

GROSS

AMOUNTS

ELIGIBLE

TO

OFFSET

NET

AMOUNTS

OF

LIABILITIES

FINANCIAL

INSTRUMENTS

CASH

COLLATERAL

RECEIVED/

(PLEDGED)

(a)

NET

AMOUNT

CITI

...........

Forward

Foreign

Currency

Exchange

Contracts

$

298,242

$

(298,242)

$

–

$

–

$

–

$

–

JPMC

..........

Forward

Foreign

Currency

Exchange

Contracts

233,307

(233,307)

–

–

–

–

Total

financial

instruments

subject

to

master

netting

arrangement

or

similar

arrangement

....................

531,549

(531,549)

–

–

–

–

*

AQR

CORE

PLUS

BOND

FUND

Futures

Contracts:

Average

Notional

Balance

-

Long

$

26,394,835

Average

Notional

Balance

-

Short

22,832,863

Ending

Notional

Balance

-

Long

44,307,135

Ending

Notional

Balance

-

Short

31,576,538

Forward

Foreign

Currency

Exchange

Contracts:

Average

Settlement

Value

-

Purchased

27,395,848

Average

Settlement

Value

-

Sold

44,418,697

Ending

Value

-

Purchased

38,723,229

Ending

Value

-

Sold

56,539,500

Credit

Default

Swaps:

Average

Notional

Balance

-

Buy

Protection

14,008,000

Average

Notional

Balance

-

Sell

Protection

15,606,000

Ending

Notional

Balance

-

Buy

Protection

18,500,000

Ending

Notional

Balance

-

Sell

Protection

15,380,000

Interest

Rate-Related

Swaps

(Interest

Rate

Swaps):

Average

Notional

Balance

-

Pays

Fixed

Rate

253,537,543

Average

Notional

Balance

-

Receives

Fixed

Rate

275,653,226

Ending

Notional

Balance

-

Pays

Fixed

Rate

373,379,404

Ending

Notional

Balance

-

Receives

Fixed

Rate

329,827,053

*

Notional

values

as

of

each

quarter

end

are

used

to

calculate

the

average

represented.

37

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Investment

Advisory

and

Other

Agreements

The

Adviser

serves

as

the

investment

adviser

to

the

Fund,

pursuant

to

the

Investment

Management

Agreement

II,

dated

November

13,

2015,

as

amended,

entered

into

by

the

Trust,

on

behalf

of

the

Fund

(the

“Advisory

Agreement”).

Under

the

Advisory

Agreement,

the

Adviser

furnishes

a

continuous

investment

program

for

the

Fund’s

portfolio,

makes

day-to-day

investment

decisions

for

the

Fund,

and

manages

the

Fund

investments

in

accordance

with

the

Fund

stated

policies.

The

Adviser

is

also

responsible

for

selecting

brokers

and

dealers

to

execute

purchase

and

sale

orders

for

the

portfolio

transactions,

subject

to

its

obligation

to

seek

best

execution,

and

also

provides

certain

other

administrative

services

to

the

Fund.

The

Adviser

provides

persons

satisfactory

to

the

Fund’s

Board

to

serve

as

officers

of

the

Fund.

Pursuant

to

the

Advisory

Agreement,

the

Fund

currently

pays

the

Investment

Advisory

fee

at

an

annual

rate

of

0.32%

calculated

on

the

average

daily

net

assets.

The

Trust

and

the

Adviser

have

entered

into

an

agreement

(the

“Expense

Limitation

Agreement”)

whereby

the

Adviser

has

agreed

to

reimburse

operating

expenses

of

the

Fund

at

least

through

January

28,

2021

for

Class

I,

N,

and

R6

shares

(a)

.

Pursuant

to

the

Expense

Limitation

Agreement,

the

Adviser

has

agreed

to

reimburse

the

Fund

in

an

amount

sufficient

to

limit

all

Fund

operating

expenses

other

than

management

fees

and

12b-1

fees,

and

exclusive

of

interest,

taxes,

borrowing

costs,

acquired

fund

fees

and

expenses,

dividend

and

interest

expense

related

to

short

sales,

expenses

related

to

class

action

claims

and

extraordinary

expenses,

at

no

more

than

the

following

ratios:

The

Trust,

in

turn,

agreed

that

the

Fund

will

repay

the

fee

expense

reimbursement

to

the

Adviser.

A

repayment

shall

be

payable

only

to

the

extent

it

can

be

made

during

the

thirty-six

months

following

the

applicable

month

during

which

the

Adviser

waived

fees

or

reimbursed

the

Fund

for

its

operating

expenses

under

the

Expense

Limitation

Agreement.

Such

repayment

shall

be

made

only

out

of

the

class

of

the

Fund

for

which

the

applicable

fee

waiver

and/or

expense

reimbursement

was

made.

Repayments

with

respect

to

the

Fund

must

be

limited

to

amounts

that

do

not

cause

the

total

annual

operating

expenses

or

the

other

operating

expenses,

as

applicable,

attributable

to

a

share

class

of

the

Fund

during

a

year

in

which

such

repayment

is

made

to

exceed

either

of

(i)

the

applicable

limits

in

effect

at

the

time

of

the

waiver

and/or

reimbursement

and

(ii)

the

applicable

limits

in

effect

at

the

time

of

recapture. 

(a)

On

November

16,

2020,

the

AQR

Funds'

Board

of

Trustees

approved

an

extension

of

the

Expense

Limitation

Agreement

between

the

Trust

and

the

Advisor

through

at

least

January

28,

2022. 

For

the year

ended

September

30,

2020,

the

amounts reimbursed

by

the

Adviser,

as

well

as

the

amounts

available

for

potential

future

recoupment

by

the

Adviser

and

the

expiration

schedule

at September

30,

2020

are

as

follows:

During

the year

ended

September

30,

2020,

the

Fund

recouped

amounts

as

follows:

Distribution

Plan

The

Trust

has

adopted

a

Plan

of

Distribution

(the

“Plan”)

pursuant

to

Rule

12b-1

under

the

1940

Act

with

respect

to

the

Class

N

shares

of

the

Fund.

The

Plan

allows

for

the

payment

of

services

related

to

the

distribution

and

servicing

of

these

shares

at

a

rate

of

up

to

0.25%

per

annum

of

the

average

daily

net

asset

value

of

the

Class

N

shares

of

the

Fund.

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Core

Plus

Bond

Fund

..........................................................

0.15

%

0.15

%

0.05

%

EXPENSES

REIMBURSED

FOR

THE

PERIOD

ENDED

SEPTEMBER

30

,

TOTAL

POTENTIAL

RECOUPMENT

AMOUNT

SEPTEMBER

30

,

POTENTIAL

RECOUPMENT

AMOUNTS

EXPIRING

SEPTEMBER

30

,

2020

2020

20

21

20

22

20

23

AQR

CORE

PLUS

BOND

FUND

Class

I

...........

$

74,645

$

98,850

$

3,626

$

20,579

$

74,645

Class

N

...........

1,223

3,630

499

1,908

1,223

Class

R6

..........

139,879

497,498

111,384

246,235

139,879

Totals

$

215,747

$

599,978

$

115,509

$

268,722

$

215,747

FUND

CLASS

I

CLASS

N

CLASS

R6

AQR

Core

Plus

Bond

Fund

................................................

$

–

$

103

$

–

38

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Principal

Risks

and

Concentrations

The

Fund

is

non-diversified.

Because

the

Fund

may

invest

in

securities

of

a

smaller

number

of

issuers,

the

Fund

may

be

more

exposed

to

the

risks

associated

with

and

developments

affecting

an

individual

issuer

than

a

fund

that

invests

more

widely,

which

may,

therefore,

have

a

greater

impact

on

the

Fund’s

performance.

The

investment

techniques

and

strategies

utilized

by

the

Fund,

including

investments

made

on

a

shorter-term

basis

or

in

derivative

instruments

or

instruments

with

a

maturity

of

one

year

or

less

at

the

time

of

acquisition,

may

result

in

frequent

portfolio

trading

and

high

portfolio

turnover.

High

portfolio

turnover

will

cause

the

Fund

to

incur

higher

levels

of

brokerage

fees

and

commissions,

which

may

reduce

performance,

and

may

cause

higher

levels

of

current

tax

liability

to

shareholders

in

the

Fund.

In

the

normal

course

of

business

the

Fund

trades

financial

instruments

and

enter

into

financial

transactions

where

risk

of

potential

loss

exists

due

to

changes

in

the

market

(market

risk).

A

Fund’s

investments

in

financial

derivatives

and

other

financial

instruments

may

expose

the

Fund

to

various

elements

of

market

risks

which

include

interest

rate

and

foreign

currency

risks. 

Fixed

income

securities

are

subject

to

the

risk

that

the

securities

could

lose

value

because

of

interest

rate

changes.

For

example,

bonds

tend

to

decrease

in

value

if

interest

rates

rise.

Fixed

income

securities

with

longer

maturities

sometimes

offer

higher

yields,

but

are

subject

to

greater

price

shifts

as

a

result

of

interest

rate

changes

than

fixed

income

securities

with

shorter

maturities.

Fixed

income

securities

are

generally

subject

to

the

risk

that

the

issuer

may

be

unable

to

make

principal

and

interest

payments

when

they

are

due. 

Interest

rate

risk

is

the

risk

that

fixed

income

securities

will

decline

in

value

because

of

changes

in

interest

rates.

The

Fund

may

lose

money

if

short-term

or

long-term

interest

rates

rise

sharply

or

otherwise

change

in

a

manner

not

anticipated. Convertible

securities

and

non-convertible

income

producing

securities

are

subject

to

certain

risks,

including

(i)

if

interest

rates

go

up,

the

value

of

convertible

securities

and

non-convertible

income

producing

securities

in

the portfolio

generally

will

decline;

(ii)

during

periods

of

declining

interest

rates,

the

issuer

of

a

security

may

exercise

its

option

to

prepay

principal

earlier

than

scheduled,

forcing

the

Fund

to

reinvest

in

lower

yielding

securities

(call

or

prepayment

risk);

and

(iii)

during

periods

of

rising

interest

rates,

the

average

life

of

certain

types

of

securities

may

be

extended

because

of

slower

than

expected

principal

payments

(extension

risk).

Many

financial

instruments

may

be

tied

to

the

London

Interbank

Offered

Rate,

or

“LIBOR,”

to

determine

payment

obligations,

financing

terms,

hedging

strategies,

or

investment

value.

LIBOR

is

the

offered

rate

for

short-term

Eurodollar

deposits

between

major

international

banks.

On

July

27,

2017,

the

head

of

the

UK

Financial

Conduct

Authority

announced

a

desire

to

phase

out

the

use

of

LIBOR

by

the

end

of

2021.

Regulators

and

industry

working

groups

have

suggested

alternative

reference

rates,

but

global

consensus

is

lacking

and

the

process

for

amending

existing

contracts

or

instruments

to

transition

away

from

LIBOR

remains

unclear.

There

also

remains

uncertainty

and

risk

regarding

the

willingness

and

ability

of

issuers

to

include

enhanced

provisions

in

new

and

existing

contracts

or

instruments.

As

such,

the

transition

away

from

LIBOR

may

lead

to

increased

volatility

and

illiquidity

in

markets

that

are

tied

to

LIBOR,

reduced

values

of

LIBOR-related

investments,

and

reduced

effectiveness

of

hedging

strategies,

adversely

affecting

the

Fund’s

performance

or

NAV.

In

addition,

the

alternative

reference

rate

may

be

an

ineffective

substitute

resulting

in

prolonged

adverse

market

conditions

for

the

Fund. 

Mortgage-related

and

other

mortgage-backed

securities

are

subject

to

certain

risks,

including

“extension

risk”

(i.e.,

in

periods

of

rising

interest

rates,

issuers

may

pay

principal

later

than

expected)

and

“prepayment

risk”

(i.e.,

in

periods

of

declining

interest

rates,

issuers

may

pay

principal

more

quickly

than

expected,

causing

the

Fund

to

reinvest

proceeds

at

lower

prevailing

interest

rates).

Exposure

to

mortgage-backed

securities

offered

by

non-

governmental

issuers

are

subject

to

other

risks

as

well,

including

failures

of

private

insurers

to

meet

their

obligations

and

unexpectedly

high

rates

of

default

on

the

mortgages

backing

the

securities. 

Sovereign

debt

investments

are

subject

to

the

risk

that

a

governmental

entity

may

delay

or

refuse

to

pay

interest

or

repay

principal

on

its

sovereign

debt,

due,

for

example,

to

cash

flow

problems,

insufficient

foreign

currency

reserves,

political

considerations,

the

relative

size

of

the

governmental

entity’s

debt

position

in

relation

to

the

economy

or

the

failure

to

put

in

place

economic

reforms

required

by

the

International

Monetary

Fund

or

other

multilateral

agencies.

If

a

governmental

entity

defaults,

it

may

ask

for

more

time

in

which

to

pay

or

for

further

loans.

There

is

no

legal

process

for

collecting

sovereign

debt

that

a

government

does

not

pay

nor

are

there

bankruptcy

proceedings

through

which

all

or

part

of

the

sovereign

debt

that

a

governmental

entity

has

not

repaid

may

be

collected.

Investment

in

securities

of

foreign

issuers

may

involve

certain

risks

that

are

greater

than

those

associated

with

investments

in

securities

of

U.S.

issuers.

These

include

risks

of

adverse

changes

in

foreign

economic,

political,

regulatory

and

other

conditions;

changes

in

currency

exchange

rates

or

exchange

control

regulations

(including

limitations

on

currency

movements

and

exchanges);

the

imposition

of

economic

sanctions

or

other

government

restrictions;

differing

accounting,

auditing,

financial

reporting

and

legal

standards

and

practices;

differing

securities

market

structures;

and

higher

transaction

costs.

To

the

extent

a

fund’s

investment

in

a

single

country

or

a

limited

number

of

countries

represent

a

higher

percentage

of

the

Fund’s

assets,

the

Fund

assumes

the

risk

that

economic,

political

and

social

conditions

in

those

countries

will

have

a

significant

impact

on

its

investment

performance

and

it

may

be

subject

to

increased

price

volatility. 

Emerging

markets

are

riskier

than

more

developed

markets

because

they

tend

to

develop

unevenly

and

may

never

fully

develop.

Investments

in

emerging

markets

may

be

considered

speculative.

Emerging

markets

are

more

likely

to

experience

hyperinflation

and

currency

devaluations,

which

adversely

affect

returns

to

U.S.

investors.

In

addition,

many

emerging

securities

markets

have

far

lower

trading

volumes

and

less

liquidity

than

developed

markets. 

39

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Currency

risk

arises

from

the

possibility

that

fluctuations

in

foreign

exchange

rates

will

affect

the

value

of

cash

balances

held

in

foreign

currencies

and

non-U.S.

denominated

financial

instruments.

The

liquidity

and

trading

value

of

foreign

currencies

could

be

affected

by

global

economic

factors,

such

as

inflation,

interest

rate

levels,

and

trade

balances

among

countries,

as

well

as

the

actions

of

sovereign

governments

and

central

banks.

Currency

rates

in

foreign

countries

may

fluctuate

significantly

over

short

periods

of

time

for

a

number

of

reasons. 

The

market

values

of

equities,

such

as

common

stocks

and

preferred

securities

or

equity

related

investments

such

as

futures

and

options,

may

decline

due

to

general

market

conditions

which

are

not

specifically

related

to

a

particular

company.

They

may

also

decline

due

to

factors

which

affect

a

particular

industry

or

industries.

The

Funds

may

invest

in

illiquid

investments

and

may

experience

difficulty

in

selling

those

investments

in

a

timely

manner

at

the

price

that

it

believes

the

investments

are

worth.

Prices

may

fluctuate

widely

over

short

or

extended

periods

in

response

to

company,

market

or

economic

news.

Geopolitical

and

other

events,

including

war,

terrorism,

economic

uncertainty,

trade

disputes,

public

health

crises

and

related

geopolitical

events

have

led,

and

in

the

future

may

lead,

to

increased

market

volatility,

which

may

disrupt

the

U.S.

and

world

economies

and

markets

and

may

have

significant

adverse

direct

or

indirect

effects

on

the

Funds

and

their

investments.

Although

multiple

asset

classes

may

be

affected

by

a

market

disruption,

the

duration

and

effects

may

not

be

the

same

for

all

types

of

assets.

Such

events

include

the

recent

pandemic

spread

of

the

novel

coronavirus

known

as

COVID-19,

the

duration

and

full

effects

of

which

are

still

uncertain.

Markets

also

tend

to

move

in

cycles,

with

periods

of

rising

and

falling

prices.

This

volatility

may

cause

the

Fund’s

net

asset

value

to

experience

significant

increases

or

decreases

over

short

periods

of

time.

If

there

is

a

general

decline

in

the

securities

and

other

markets,

the

net

asset

value

of

a

Fund

may

lose

value,

regardless

of

the

individual

results

of

the

securities

and

other

instruments

in

which

the

Fund

invests.

In

addition

to

market

risk,

the

Fund

may

be

exposed

to

the

risk

that

one

or

more

securities

in

the

Fund

portfolio

will

decline

in

price,

or

fail

to

pay

interest

or

principal

when

due,

because

the

issuer

of

the

security

experiences

a

decline

in

its

financial

status

(credit

risk).

Credit

risk

is

measured

by

the

loss

a

Fund

would

record

if

the

major

financial

institution

or

other

counterparties

failed

to

perform

pursuant

to

terms

of

their

obligations.

The

Fund

may

primarily

maintain

cash

balances

at

one

or

several

major

financial

institutions

that

may

exceed

federally

insured

limits

and

as

such

the

Fund

has

credit

risk

associated

with

such

financial

institutions.

In

general,

lower

rated

securities

carry

a

greater

degree

of

risk

that

the

issuer

will

lose

its

ability

to

make

interest

and

principal

payments,

which

could

have

a

negative

impact

on

the

Fund

net

asset

value

or

dividends.

The

Fund

minimizes

credit

risk

by

monitoring

credit

exposure

and

collateral

values,

and

by

requiring

additional

collateral

to

be

deposited

with

or

returned

to

the

Fund

when

deemed

necessary.  

Similar

to

credit

risk,

a

Fund

may

be

exposed

to

counterparty

risk,

or

the

risk

that

an

institution

or

other

entity

with

which

the

Fund

has

unsettled

or

open

transactions

will

default.

Financial

assets,

which

potentially

expose

a

Fund

to

counterparty

risk,

consist

principally

of

cash

due

from

counterparties

and

investments.

By

using

derivative

instruments,

the

Fund

may

be

exposed

to

the

risk

that

derivative

counterparties

may

not

perform

in

accordance

with

the

contractual

provisions

offset

by

the

value

of

any

collateral

received.

The

Fund’s

exposure

to

credit

risk

associated

with

counterparty

non-performance

is

limited

to

the

unrealized

gains

inherent

in

such

transactions

that

are

recognized

in

the

Statement

of

Assets

and

Liabilities.

The

counterparties

to

the

Fund’s

derivative

investments

may

include

affiliates

of

the

Fund’s

clearing

brokers

and

other

major

financial

institutions.

While

the

Fund

uses

multiple

clearing

brokers

and

counterparties,

a

concentration

of

credit

risk

may

exist

because

of

balances

held

and

transactions

with

a

limited

number

of

clearing

brokers

and

counterparties.

The

Fund

minimizes

counterparty

credit

risk

through

credit

limits

and

approvals,

credit

monitoring

procedures,

executing

master

netting

arrangements

and

managing

margin

and

collateral

requirements,

as

appropriate.

The

Fund

may

invest

in

securities

with

positive

momentum. This

entails

investing

in

securities

that

have

had

above-average

recent

returns.

These

securities

may

be

more

volatile

than

a

broad

cross-section

of

securities.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

momentum

strategy

may

suffer.

Investing

in

or

having

exposure

to

"value"

securities

presents

the

risk

that

the

securities

may

never

reach

what

the

Adviser

believes

are

their

full

market

values,

either

because

the

market

fails

to

recognize

what

the

Adviser

considers

to

be

the

security's

true

value

or

because

the

Adviser

misjudged

that

value.

In

addition,

there

may

be

periods

during

which

the

investment

performance

of

the

Fund

while

using

a

value

strategy

may

suffer.

In

the

normal

course

of

business,

the

Fund

may

enter

into

agreements

with

the

certain

counterparties

for

derivative

transactions.

A

Fund’s

Master

Agreement

contains

provisions

that

require

Fund

to

maintain

a

predetermined

level

of

net

assets,

and/or

provide

limits

regarding

the

decline

of

a

Fund’s

net

asset

value

over

specified

time

periods.

If

a

Fund

was

to

violate

such

provisions,

the

counterparties

to

the

derivative

instruments

could

request

immediate

payment

or

demand

immediate

collateralization

on

derivative

instruments

in

net

liability

positions.

If

such

events

are

not

cured

by

the

Fund

or

waived

by

the

counterparties,

they

may

decide

to

curtail

or

limit

extension

of

credit,

and

the

Fund

may

be

forced

to

unwind

its

derivative

positions

which

may

result

in

material

losses. 

The

Fund,

at

times,

utilizes

substantial

leverage

in

their

investment

program.

Such

leverage

may

take

the

form

of

trading

on

margin,

investing

in

derivative

instruments

that

are

inherently

leveraged,

entering

into

reverse

repurchase

transactions

and

entering

into

other

forms

of

direct

and

indirect

borrowings.

There

is

no

guarantee

that

the

Fund

borrowing

arrangement

or

other

arrangements

for

obtaining

leverage

will

continue

to

be

available,

or

if

available,

will

be

available

on

terms

and

conditions

acceptable

to

the

Fund.

Unfavorable

economic

conditions

also

could

increase

funding

costs,

limit

access

to

the

capital

markets

or

result

in

a

decision

by

lenders

not

to

extend

credit

to

the

Fund.

In

addition,

a

decline

in

market

value

of

the

Fund

assets

may

have

particular

adverse

consequences

in

instances

where

they

have

borrowed

money

based

on

the

market

value

of

those

assets.

A

decrease

in

market

value

of

those

assets

may

result

in

the

lender

(including

derivative

counterparties)

requiring

the

Fund

to

post

additional

collateral

or

otherwise

sell

assets

at

a

time

when

it

may

not

be

in

the

Fund’s

best

interest

to

do

so. 

40

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Given

the

complexity

of

the

investments

and

strategies

of

the

Fund,

the

Adviser

relies

heavily

on

quantitative

models

and

information

and

data

supplied

by

third

parties

(“Models

and

Data”).

Models

and

Data

are

used

to

construct

sets

of

transactions

and

investments,

to

provide

risk

management

insights,

and

to

assist

in

hedging

the

Fund’s

investments.

When

Models

and

Data

prove

to

be

incorrect

or

incomplete,

any

decisions

made

in

reliance

thereon

expose

the

Fund

to

potential

risks.

Similarly,

any

hedging

based

on

faulty

Models

and

Data

may

prove

to

be

unsuccessful.

Some

of

the

models

used

by

the

Adviser

for

the

Fund

are

predictive

in

nature.

The

use

of

predictive

models

has

inherent

risks.

Because

predictive

models

are

usually

constructed

based

on

historical

data

supplied

by

third

parties,

the

success

of

relying

on

such

models

may

depend

heavily

on

the

accuracy

and

reliability

of

the

supplied

historical

data.

The

Fund

bears

the

risk

that

the

quantitative

models

used

by

the

Adviser

will

not

be

successful

in

selecting

investments

or

in

determining

the

weighting

of

investment

positions

that

will

enable

the

Fund

to

achieve

its

investment

objective.

Periodically,

the

Fund

may

be

a

party

to

legal

actions

arising

in

the

ordinary

course

of

business.

The

Fund

is

currently

not

subject

to

any

actions

that

either

individually

or

in

the

aggregate

are

expected

to

have

a

material

impact

on

their

results

of

operations,

cash

flows

or

financial

condition.

Please

refer

to

the

Fund’s

prospectuses

for

a

more

complete

description

of

the

principal

risks

of

investing

in

the

Fund.

Interfund

Lending

Pursuant

to

an

exemptive

order

issued

by

the

Securities

and

Exchange

Commission

(the

“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

program

(the

“Interfund

Lending

Program”)

to

the

extent

such

participation

is

consistent

with

Fund’s

investment

objective

and

investment

policies.

This

program

allows

the

Fund

to

borrow

and

lend

to

other

AQR

Funds

that

permit

such

transactions.

All

loans

under

the

Interfund

Lending

Program

are

for

temporary

cash

management

or

emergency

purposes.

Interest

earned

or

paid

on

an

interfund

lending

transaction

will

be

based

on

the

average

of

certain

current

market

rates,

as

calculated

according

to

a

formula

established

by

the

Board.

No

Fund

may

borrow

or

lend

money

through

the

program

unless

it

receives

a

more

favorable

rate

than

is

typically

available

for

comparable

borrowings

from

a

bank

or

investments

in

U.S.

Treasury

bills,

respectively.

A

lending

Fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

Fund

through

the

Interfund

Lending

Program.

A

borrowing

Fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets.

If

a

borrowing

Fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

the

Fund

must

secure

each

of

its

outstanding

borrowings

through

the

Interfund

Lending

Program

with

collateral

equal

to

102%

of

the

outstanding

principal

value

of

the

loan.

The

Fund

is

not

required

to

borrow

money

under

the

Interfund

Lending

Program

and

may

borrow

under

other

arrangements,

including

their

existing

bank

line

of

credit.

This

could

result

in

the

Fund

borrowing

money

at

a

higher

interest

rate

than

it

would

have

received

under

the

Interfund

Lending

Program. Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interfund

lending

expense

in

the

Statement

of

Operations.

During

the

reporting

period,

the

Fund

did

not

utilize

the

Interfund

Lending

Program. 

Line

of

Credit

Effective

March

20,

2020

and

terminating

on

March

19,

2021,

all

funds

within

the

Trust,

with

the

exception

of

the

AQR

Diversifying

Strategies

Fund, renewed

a

$350,000,000

committed

syndicated

line

of

credit

(the

“Agreement”)

with

Bank

of

America,

N.A.,

as

the

Administrative

Agent.

Borrowing,

if

any,

under

this

arrangement

bears,

as

incurred,

interest

at

the

sum

of

(a)

1.0%

per

annum

plus

(b)

the

higher

of

(i)

the

Federal

Funds

Rate

or

(ii)

the

Eurodollar

Rate,

which

is

paid

monthly.

The

maximum

loan

amount

available

to

a

Fund

is

the

lesser

of

an

amount

which

will

not

exceed

the

borrowing

limits

set

forth

in

the

Fund’s

Prospectus

and/or

Registration

Statement

and

will

not

cause

the

asset

coverage

ratio

for

any

borrowings

by

a

Fund

to

drop

below

the

required

amount

under

the

Agreement

(between

300-500%

per

Fund).

The

Agreement

is

subject

to

an

annual

commitment

fee

which

is

payable

in

arrears

on

a

quarterly

basis.

In

the

event

of

a

draw

upon

the

line

of

credit,

liquid

assets

of

the

borrowing

Fund

may

be

designated

as

collateral

until

its

loan

is

repaid

in

full.

Interest

expense

paid,

as

a

result

of

borrowing

under

this

agreement

is

included

in

Interest

expense

in

the

Statement

of

Operations.

There

were

no

open

borrowings

as

of September

30,

2020 by

any

of

the

Funds

in

the

Trust.

The

Fund

did

not

have

any

borrowings

for

the year

ended

September

30,

2020. 

Principal

Ownership

As

of

September

30,

2020,

the

Fund

had

individual

shareholder

and/or

omnibus

accounts

owning

more

than

5%

of

the

total

shares

outstanding

of

the

Fund

as

follows:

FUND

NUMBER

OF

INDIVIDUAL

SHAREHOLDERS

AND/OR

OMNIBUS

ACCOUNTS

TOTAL

PERCENTAGE

INTEREST

HELD

AQR

Core

Plus

Bond

Fund*

...............................................

6

92.45%

*

The

percentage

held

by

the

Adviser

and/or

affiliates

is

38.62%.

41

Notes

to

Financial

Statements

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Significant

shareholder

transactions

by

these

shareholders,

if

any,

may

impact

the

Fund's

performance.

New

Accounting

Pronouncements

and

Regulations 

In

March

2017,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2017-08

(“ASU

2017-08”),

“Receivables—

Nonrefundable

Fees

and

Other

Costs

(Subtopic

310-20):

Premium

Amortization

on

Purchased

Callable

Debt

Securities.”

ASU

2017-08

changed

the

amortization

period

for

certain

callable

debt

securities

held

at

a

premium.

Specifically,

it

required

the

premium

to

be

amortized

to

the

earliest

call

date.

The

Fund

has

adopted

and

applied

ASU

2017-08

on

a

modified

retrospective

basis

through

a

cumulative-effect

adjustment

as

of

the

beginning

of

the

period

of

adoption.

The

adoption

of

ASU

2017-08

had

no

material

impact

on

the

Fund.

In

March

2020,

the

Financial

Accounting

Standards

Board

issued

Accounting

Standards

Update

No.

2020-04

(“ASU

2020-04”),

“Reference

Rate

Reform

(Topic

848)

–

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting”

in

response

to

concerns

about

structural

risks

of

interbank

offered

rates,

such

as

LIBOR.

ASU

2020-04

provides

optional

temporary

guidance

to

ease

the

potential

burden

in

accounting

for

(or

recognizing

the

effects

of)

reference

rate

reform

on

financial

reporting

for

certain

types

of

contract

modifications,

hedging

relationships

and

other

transactions

that

contain

LIBOR

and/or

any

other

reference

rate

that

is

expected

to

be

discontinued.

ASU

2020-04

is

elective

and

is

effective

for

certain

reference

rate-

related

contract

modifications

that

occur

during

the

period

March

12,

2020

through

December

31,

2022.

Management

is

currently

evaluating

the

impact,

if

any,

of

applying

ASU

2020-04.

Subsequent

Events 

The

Fund

has

evaluated

subsequent

events

through

the

date

of

issuance

of

this

report

and

has

determined

that

there are

no

material

events

other

than

those

disclosed

in

Note

8.

42

Report

of

Independent

Registered

Public

Accounting

Firm

AQR

Funds

|

Annual

Report

|

September

2020

To

the

Board

of

Trustees

of

AQR

Funds

and

Shareholders

of

AQR

Core

Plus

Bond

Fund

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

statement

of

assets

and

liabilities,

including

the

schedule

of

investments,

of

AQR

Core

Plus

Bond

Fund

(one

of

the

funds

constituting

AQR

Funds,

referred

to

hereafter

as

the

"Fund")

as

of

September

30,

2020,

the

related

statement

of

operations

for

the

year

ended

September

30,

2020,

the

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

September

30,

2020,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

two

years

in

the

period

ended

September

30,

2020

and

for

the

period

April

5,

2018

(commencement

of

operations)

through

September

30,

2018

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

September

30,

2020,

the

results

of

its

operations

for

the

year

then

ended,

and

the

changes

in

its

net

assets

for

each

of

the

two

years

in

the

period

ended

September

30,

2020

and

the

financial

highlights

for

each

of

the

two

years

in

the

period

ended

September

30,

2020

and

for

the

period

April

5,

2018

(commencement

of

operations)

through

September

30,

2018

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

financial

statements

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

September

30,

2020

by

correspondence

with

the

custodian,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provides

a

reasonable

basis

for

our

opinion.

/s/

PricewaterhouseCoopers

LLP

New

York,

New

York

November

17,

2020

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

AQR

Funds

since

2008.

43

Other

Federal

Tax

Information

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

Fund

designates

the

following

amount,

or

the

maximum

allowable

under

Section

852

of

the

Internal

Revenue

Code,

as

long

term

capital

gain

dividends

paid

during

the

fiscal

year

ended

September

30,

2020:

FUND

TOTAL

AQR

Core

Plus

Bond

Fund

..............................................................................

$

111,535

44

Fund

Expense

Examples

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

As

a

shareholder

of

the

Trust,

you

incur

two

types

of

costs:

(1)

transaction

costs

and

(2)

ongoing

costs,

including

management

fees;

and

other

Fund

expenses.

This

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

Fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds

The

Example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

for

the

entire

period

as

indicated

below.

Actual

Expenses

The

table

below

provides

information

about

actual

account

values

and

actual

expenses.

You

may

use

the

information

together

with

the

amount

you

invested,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

under

the

heading

entitled

“Expenses

Paid

for

the

Period

Ending

9/30/2020”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Hypothetical

Example

for

Comparison

Purposes

The

table

below

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on

the

Fund’s

actual

expense

ratio

and

an

assumed

annual

rate

of

return

of

5%

before

expenses,

which

is

not

the

Fund’s

actual

return.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

You

may

use

this

information

to

compare

the

ongoing

costs

of

investing

in

a

Fund

and

other

funds

by

comparing

this

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

other

funds.

The

Fund

will

indirectly

bear

its

pro

rata

share

of

the

expenses

incurred

by

the

underlying

investments

in

which

the

Fund

invests.

These

expenses

are

not

included

in

the

table.

Please

note

that

the

expenses

shown

in

the

table

are

meant

to

highlight

your

ongoing

costs

only

and

do

not

reflect

any

transactional

costs.

Therefore,

the

hypothetical

example

is

useful

in

comparing

ongoing

costs

only,

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

fund.

In

addition,

if

these

transactional

costs

were

included,

your

costs

would

have

been

higher.

BEGINNING

  ACCOUNT

          DATE

        VALUE

    ENDING

ACCOUNT

      VALUE

  9/30/20

ANNUALIZED

      EXPENSE

RATIO

FOR

THE

PERIOD

      EXPENSES

PAID

FOR

THE

PERIOD  

          ENDING

        9/30/20

AQR

Core

Plus

Bond

Fund

Class

I

Actual

Return

$1,000.00

$1,039.40

0.48%

$2.45

Hypothetical

Return

$1,000.00

$1,022.60

0.48%

$2.43

Class

N

Actual

Return

$1,000.00

$1,038.70

0.73%

$3.72

Hypothetical

Return

$1,000.00

$1,021.35

0.73%

$3.69

Class

R6

Actual

Return

$1,000.00

$1,040.80

0.38%

$1.94

Hypothetical

Return

$1,000.00

$1,023.10

0.38%

$1.92

Expenses

are

calculated

using

each

Class’

annualized

expense

ratio,

multiplied

by

the

average

account

value

for

the

period,

multiplied

by

183/366

(to

reflect

the

one-half

year

period

unless

stated

otherwise).

45

Trustees

and

Officers

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

September

30,

2020

Listed

in

the

chart

below

is

basic

information

regarding

the

Trustees

and

officers

of

the

Trust.

The

address

of

each

officer

and

Trustee

is

Two

Greenwich

Plaza,

Greenwich

CT

06830.

_________

Each

Trustee

serves

until

the

election

and

qualification

of

a

successor,

or

until

death,

resignation

or

removal

as

provided

in

the

Trust’s

Declaration

of

Trust.

A

Disinterested

Trustee

may

not

hold

office

beyond

December

31

of

the

year

in

which

he

turns

75.

A

Disinterested

Trustee

is

any

Trustee

that

is

not

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

An

Interested

Trustee

is

a

Trustee

that

is

an

“interested

person”

of

the

Trust

within

the

meaning

of

Section

2(a)(19)

of

the

1940

Act.

Mr.

Kabiller

is

an

interested

person

of

the

Trust

because

of

his

position

with

the

Adviser.

NAME

AND

YEAR

OF

BIRTH

CURRENT

POSITION

WITH

THE

TRUST,

TERM

OF

OFFICE

1

AND

LENGTH

OF

TIME

SERVED

PRINCIPAL

OCCUPATION(S)

DURING

PAST

5

YEARS

NUMBER

OF

FUNDS

IN

FUND

COMPLEX

OVERSEEN

BY

TRUSTEE

OTHER

PRESENTOR

PAST

DIRECTORSHIPS

HELD

BY

TRUSTEE

(DURING

THE

PAST

5

YEARS)

Disinterested

Trustees

2

Brian Posner, M.B.A.,

1961

Chairman

of

the

Board,

since

2020;

Trustee,

since

2011

President,

Point

Rider

Group

LLC

(since

2008)

(consulting)

46

Biogen

Inc.

(since

2008);

Arch

Capital

Group

(since

2010);

Bioverativ

Inc.

(2017-2018);

BG

Medicine

(2012-2015)

L.

Joe

Moravy,

M.B.A.,

CPA,

1950

Trustee,

since

2008

Independent

Consultant

(retired)

(2014-

2016);

Managing

Director,

Finance

Scholars

Group

(2010-2014)

(consulting)

46

Nuveen

Exchange

Traded

Commodities

Funds

(2012-2016)

William

L.

Atwell,

M.B.A.,

1950

Trustee,

since

2011

Consultant,

Atwell

Partners,

LLC

(retired)

(2012-2019)

(consulting)

46

Webster

Financial

Corporation

(since

2014);

Blucora,

Inc.

(2017-2019)

Gregg

D.

Behrens,

M.M.,

1952

Trustee,

since

2011

Retired

from

Northern

Trust

Company

(since

2009)

(banking)

46

None

Mark

A.

Zurack,

M.B.A.,

CFA

1957

Trustee,

since

2014

Professor,

Columbia

Business

School

(since

2002)

46

Exchange

Traded

Concepts

Trust

(since

2011);

Source

ETF

Trust

(2014-2015)

Interested

Trustees

3

David

Kabiller,

CFA,

1963

Trustee,

since

2010

Founding

Principal,

AQR

Capital

Management,

LLC

(since

1998)

46

None

Officers

Ted

Pyne,

M.B.A.,

Ph.D.,

1966

Chief

Executive

Officer

and

President,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2016)

46

None

H.J.

Willcox,

J.D.,

1966

Chief

Compliance

Officer,

since

2013;

Anti-Money

Laundering

Officer,

since

2017

Principal,

Chief

Legal

Officer

and

Global

Head

of

Compliance,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Heather

Bonner,

CPA,

1977

Chief

Financial

Officer,

since

2014;

Treasurer,

since

2018

Managing

Director,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Bradley Asness, J.D.,

M.B.A.,

1969

Vice

President,

since 2009

Principal

and

Co-Chief

Operating

Officer,

AQR

Capital

Management,

LLC

(since

1998)

N/A

N/A

Nicole

DonVito,

J.D.,

1979

Chief

Legal

Officer,

since

2014;

Vice

President,

since 2009

Managing

Director,

Senior

Counsel

&

Head

of

Registered

Products,

AQR

Capital

Management,

LLC

(since

2007)

N/A

N/A

John

Hadermayer,

J.D.,

1977

Secretary,

since

2018

Vice

President,

AQR

Capital

Management,

LLC

(since

2013)

N/A

N/A

Patrick

Ryan,

CPA

1965

Assistant

Treasurer,

since

2020

Principal,

AQR

Capital

Management,

LLC

(since

2012)

N/A

N/A

Matthew

Plastina,

1970

Assistant

Treasurer,

since

2020

Vice

President,

AQR

Capital

Management,

LLC

(since

2018);

Executive

Director,

JP

Morgan

Investment

Management

(2010-

2018)

N/A

N/A

46

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

Board

of

Trustees

(the

“Board,”

and

the

members

of

which

are

referred

to

as

“Board

Members”)

of

the

AQR

Funds

(the

“Trust”)

held

a

telephonic

meeting

on

May

18,

20

and

21,

2020

(the

“Meeting”)

to

consider

the

continuation

of

the

Investment

Management

Agreement

II,

as

amended,

between

AQR

Capital

Management,

LLC

(“AQR”)

and

the

Trust

on

behalf

of

the

AQR

Core

Plus

Bond

Fund

(the

“Fund”)

and

certain

other

series

of

the

Trust

(the

“Management

Agreement”).

At

the

Meeting,

the

Board

Members

who

are

not

“interested

persons”

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”),

met

with

independent

legal

counsel

and

representatives

of

AQR

to

review

the

materials

provided

and

the

relevant

legal

considerations.

In

accordance

with

Section 15(c)

of

the

1940

Act,

the

Board

requested

and

considered

materials

furnished

by

AQR

relevant

to

the

Board’s

consideration

of

whether

to

approve

the

continuation

of

the

Management

Agreement.

These

materials

included:

(i) memoranda

and

materials

provided

by

AQR

describing

the

personnel

and

services

provided

to

the

Fund;

(ii) performance

information

for

the

Fund

relevant

to

the

consideration

of

the

Management

Agreement;

(iii) information

independently

compiled

and

prepared

by

Broadridge

relating

to

the

Fund’s

fees

and

expenses

and

performance

relative

to

peers

within

Morningstar

fund

categories;

(iv)

financial

information

for

AQR

and

a

profitability

analysis

showing

AQR’s

profitability

from

providing

services

to

the

Fund;

and

(v) a

discussion

of

the

compliance

program

of

AQR

and

the

regulatory

exam

history

of

AQR.

At

the

Meeting,

the

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Management

Agreement

for

an

additional

one-year

period

for

the

Fund.

In

approving

the

continuation

of

the

Management

Agreement

for

the

Fund,

the

Board

considered

all

factors

it

believed

to

be

relevant

with

respect

to

the

Fund,

including,

among

other

factors:

(a) the

nature,

extent

and

quality

of

the

services

provided

by

AQR;

(b) the

investment

performance

of

the

Fund

and

AQR’s

portfolio

management;

(c) the

management

fee

and

the

cost

of

the

services

provided

and

profits

realized

by

AQR

from

the

relationship

with

the

Fund

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

Fund’s

portfolio

holdings,

direct

and

indirect

benefits

to

AQR

and

its

affiliates

from

their

relationship

with

the

Fund

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

the

Fund,

the

Board

did

not

view

the

Management

Agreement

as

creating

third-party

beneficiary

rights

in

shareholders

to

enforce

the

terms

of

the

Management

Agreement

against

AQR.

The

following

is

a

summary

of

the

Board’s

discussion

and

views

regarding

the

factors

it

considered

in

evaluating

the

Management

Agreement:

The

Nature,

Extent

and

Quality

of

the

Services

Provided

by

AQR.

The

Board

Members

reviewed

the

services

that

AQR

provided

to

the

Fund

under

the

Management

Agreement,

including

certain

administrative

services.

The

Board

considered

the

size

and

experience

of

AQR’s

staff,

its

use

of

technology,

and

the

Fund’s

stated

investment

objectives,

strategies

and

processes.

In

connection

with

the

investment

advisory

services

provided

to

the

Fund,

the

Board

Members

took

into

account

discussions

they

had

regularly

as

part

of

quarterly

Board

meetings

with

representatives

of

AQR

regarding

the

management

of

the

Fund’s

investments

in

accordance

with

the

Fund’s

stated

investment

objectives

and

policies

and

the

types

of

transactions

that

are

entered

into

on

behalf

of

the

Fund.

During

these

discussions,

the

Board

Members

asked

questions

of,

and

received

answers

from,

representatives

of

AQR

regarding

the

formulation

and

implementation

of

the

Fund’s

investment

strategies,

their

efficacy

and

potential

risks.

In

addition

to

the

investment

advisory

services

provided

to

the

Fund,

the

Board

Members

considered

that

AQR

also

provides

shareholder

and

administrative

services,

oversight

of

Fund

accounting,

risk

management,

compliance

oversight,

administers

the

Fund’s

liquidity

risk

management

program,

oversight

of

third

party

service

providers

and

assistance

in

meeting

legal

and

regulatory

requirements

and

other

services

necessary

for

the

operation

of

the

Fund.

In

particular,

the

Board

Members

considered

the

compliance,

shareholder

and

administrative

services

provided

to

the

Fund

by

AQR

under

the

Management

Agreement.

The

Board

Members

recognized

the

enterprise

risk

involved

in

providing

services

to

the

Fund

over

time.

Finally,

the

Independent

Board

Members

had

several

opportunities

to

meet

outside

the

presence

of

Fund

management

in

executive

session

separately

with

independent

legal

counsel

to

discuss

and

consider

the

Management

Agreement.

Based

on

the

presentations

and

materials

at

the

Meetings

and

their

familiarity

gained

through

regular

Board

presentations

over

time,

the

Board

concluded

that

the

services

provided

to

the

Fund

by

AQR

pursuant

to

the

Management

Agreement

were

of

a

high

quality

and

benefit

the

Fund.

Investment

Performance

of

the

Fund

and

AQR’s

Portfolio

Management.

The

Board

considered

the

investment

performance

of

the

Fund.

In

particular,

the

Independent

Board

Members

considered

the

investment

performance

of

the

Fund

relative

to

its

stated

objectives

and

AQR’s

efforts

to

achieve

such

goals

as

well

as

the

performance

of

the

Fund

relative

to

funds

identified

by

Broadridge

as

its

peers

(the

“Performance

Peers”).

The

Board

noted

that,

for

the

one-year

period

as

of

December

31,

2019,

the

Fund

ranked

at

the

median

of

its

Performance

Peers

and

in

the

second

quartile

of

its

Morningstar

category.

Based

on

these

factors,

the

Board

Members

determined

that

the

performance

of

the

Fund

is

consistent

with

its

stated

objectives

and

strategies

and

AQR’s

investment

process.

The

Management

Fee

and

the

Cost

of

the

Services

and

Profits

Realized

by

AQR

from

the

Relationship

with

the

Fund.

The

Board,

including

the

Independent

Board

Members,

received

information

regarding

the

management

fees

paid

by

the

Fund

to

AQR

pursuant

to

the

Management

Agreement.

The

Board

examined

this

information

in

order

to

determine

the

reasonableness

of

the

fees

in

light

of

the

nature

and

quality

of

services

provided

to

the

Fund

and

the

costs

incurred

or

to

be

incurred

by

and

benefits

to

AQR

in

providing

those

services,

and

other

relevant

factors.

To

assist

in

this

analysis,

the

Board

reviewed

comparative

fee

and

expense

information

for

the

Fund

relative

to

funds

identified

by

Broadridge

as

their

peers

(the

“Expense

Peers”),

including

comparisons

of

contractual

investment

management

fees

and

actual

net

expenses.

The

Board

noted

that,

as

of

December

31,

2019,

the

Fund’s

net

expense

ratio

was

below

the

median

of

its

Expense

Peers.

47

Board

Approval

of

Investment

Advisory

Agreements

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

Board

also

received

and

reviewed

information

regarding

the

profitability

of

AQR

with

respect

to

activities

related

to

the

Fund.

AQR

provided

the

Board

Members

with

a

detailed

description

of

the

methodology

and

inputs

used

to

determine

profitability.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

AQR,

the

types

of

funds

managed,

costs

of

recruiting

and

retaining

personnel,

taxes,

expense

allocations

and

business

mix.

The

Board

reviewed

AQR’s

unaudited

financial

information.

The

purpose

of

the

review

was

to

help

the

Independent

Board

Members

determine

whether

the

firm

has

the

necessary

resources

to

continue

to

provide

high

quality

services

to

the

Fund

and

attract

and

retain

high

quality

employees.

Based

on

their

review

of

the

materials

presented

at

the

Meeting

and

discussions

of

these

materials,

the

Board

concluded

that

the

management

fees

under

the

Management

Agreement

are

reasonable

and

AQR’s

profitability

was

not

excessive.

Economies

of

Scale.

AQR

provided

the

Board

with

information

concerning

the

extent

to

which

economies

of

scale

were

realized

as

the

Fund

grew

and

whether

fee

levels

were

reflective

of

such

economies

of

scale.

To

show

that

economies

are

being

shared,

AQR

presented

information

regarding

the

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

the

Fund

at

higher

asset

levels

compared

to

its

peers,

some

of

which

have

breakpoints.

The

Board

considered

this

information

in

determining

the

reasonableness

of

operating

the

Fund

without

management

fee

breakpoints.

The

Board

recognized

that

economies

were

also

being

shared

through

the

expense

limitation

agreements

for

the

Fund.

The

Board

noted

that,

under

the

Management

Agreement,

the

Fund

has

no

breakpoints

in

its

management

fee

that

would

allow

investors

to

benefit

directly

in

the

form

of

lower

fees

as

Fund

assets

grow.

The

Board

considered

that

the

funds

in

the

AQR

fund

complex

share

some

common

resources

and,

as

a

result,

an

increase

in

the

overall

size

of

the

complex

could

permit

the

Fund

to

incur

lower

expenses

than

it

would

otherwise

as

a

stand-alone

entity.

The

Board

also

considered

AQR’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

further

enhance

the

quality

of,

its

operations.

In

particular,

the

Board

noted

the

continuing

enhancements

to

AQR’s

services

to

the

Fund

in

areas

such

as

compliance,

portfolio

management,

technology

and

administration.

AQR

advised

that

its

size

as

a

firm

has

resulted

in

additional

benefits

to

the

AQR

Funds,

such

as

the

ability

to

negotiate

better

terms

with

service

providers,

to

undertake

securities

lending

activities

and

to

establish

a

dedicated

money

market

fund

for

the

AQR

Funds.

The

principals

of

AQR

have

also

provided

seed

capital

in

excess

of

regulatory

minimums

for

extended

periods.

AQR

also

discussed

that

it

had

undertaken

to

rely

on

Rule

30e-3

under

the

1940

Act

to

potentially

reduce

charges

related

to

printing

and

mailing

costs

for

shareholder

reports.

Other

Factors.

The

Board

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

AQR

or

its

affiliates

may

derive

from

its

relationship

with

the

Fund,

both

tangible

and

intangible,

noting

that

no

payments

are

received

by

AQR

from

the

Fund

beyond

the

fees

under

the

Management

Agreement.

The

Board

was

advised

by

AQR

that

AQR

may

obtain

greater

exposure

to

the

public

as

a

result

of

managing

the

AQR

Funds,

which

could

lead

to

additional

business

opportunities,

such

as

unregistered

fund

investments,

separately

managed

account

opportunities

or

sub-advisory

mandates.

AQR

may

also

obtain

reputational

benefits.

AQR

may

also

obtain

economic

benefit

from

its

sponsorship/management

of

both

the

Fund

and

other

funds

or

accounts

with

respect

to

the

potential

economic

leverage

of

its

service

provider

relationships.

The

Board

also

received

information

regarding

AQR’s

brokerage

and

soft

dollar

practices,

noting

that

AQR

does

not

presently

intend

to

make

use

of

soft

dollars

to

acquire

third-party

research.

The

Board

considered

that

AQR

is

responsible

for

decisions

to

buy

and

sell

securities

for

the

Fund,

selection

of

broker-dealers

and

best

execution,

and

aggregation

and

allocation

of

trade

orders

among

the

firm’s

various

advisory

clients.

Conclusion.

Counsel

advised

the

Board

concerning

the

statutory

and

regulatory

requirements

for

approval

and

disclosure

of

investment

management

agreements.

No

single

factor

was

determinative

to

the

decision

of

the

Board.

Based

on

the

foregoing

and

such

other

matters

as

were

deemed

relevant,

all

of

the

Board

Members,

including

all

of

the

Independent

Board

Members,

concluded

that

the

management

fee

rates

under

the

Management

Agreement

are

reasonable

in

relation

to

the

services

provided

by

AQR

to

the

Fund,

as

well

as

the

costs

incurred

and

benefits

to

be

gained

by

AQR

in

providing

such

services,

including

the

investment advisory

and

administrative

components.

The

Board

also

found

the

investment

management

fees

to

be

reasonable

in

comparison

to

the

fees

charged

by

advisers

to

other

comparable

funds

of

similar

size.

As

a

result,

all

of

the

Board

Members,

including

the

Independent

Board

Members

voting

separately,

approved

the

continuation

of

the

Management

Agreement

with

respect

to

the

Fund.

The

Independent

Board

Members

were

represented

by

independent

legal

counsel

who

assisted

them

in

their

deliberations.

48

Liquidity

Risk

Management

Program

(Unaudited)

AQR

Funds

|

Annual

Report

|

September

2020

The

U.S.

Securities

and

Exchange

Commission

adopted

Rule

22e-4

under

the

Investment

Company

Act

of

1940

(the

“Liquidity

Rule”),

which

requires

the

AQR

Funds

(the

“Trust”)

to

adopt

and

implement

a

program

reasonably

designed

to

assess

and

manage

the

“liquidity

risk”

of

each

series

of

the

Trust

(the

“Funds”).

Pursuant

to

the

Liquidity

Rule,

“liquidity

risk”

is

defined

as

the

risk

that

a

Fund

could

not

meet

requests

to

redeem

shares

issued

by

the

Fund

without

significant

dilution

of

remaining

investors’

interests

in

the

Fund.

The

Trust,

on

behalf

of

each

Fund,

has

adopted

and

implemented

a

liquidity

risk

management

program

in

accordance

with

the

Liquidity

Rule

(the

“Program”).

The

Trust’s

Board

of

Trustees

(the

“Board”)

has

designated

AQR

Capital

Management,

LLC,

investment

adviser

to

each

Fund

(“AQR”),

as

the

administrator

of

the

Program

(“Program

Administrator”)

for

each

Fund.

The

Program

Administrator

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Program.

As

part

of

the

Program,

the

Program

Administrator

identifies

illiquid

investments,

categorizes

the

relative

liquidity

of

the

Funds’

investments

in

accordance

with

the

Liquidity

Rule

and

assesses,

manages,

and

periodically

reviews

the

Funds’

liquidity

risk.

Among

other

things,

the

Liquidity

Rule

requires

that

a

written

report

be

provided

by

the

Program

Administrator

to

the

Board

on

an

annual

basis

that

addresses

the

operation

of

the

Program

and

assesses

the

adequacy

and

effectiveness

of

its

implementation,

including

the

operation

of

any

Highly

Liquidity

Investment

Minimum

(“HLIM”)

established

for

a

Fund,

if

any,

and

any

material

changes

to

the

Program.

At

a

meeting

of

the

Board

held

on

May

20,

2020,

the

Board

reviewed

AQR’s

written

report

(the

“Report”)

concerning

the

operation,

adequacy

and

effectiveness

of

the

Program

for

the

period

from

April

1,

2019

through

March

31,

2020

(the

“Reporting

Period”).

The

Report

summarized

the

operation

of

the

Program

and

the

practices

implemented,

and

the

information

and

factors

considered

by

AQR

in

assessing

whether

the

Program

has

been

adequately

and

effectively

implemented

with

respect

to

each

Fund.

Such

practices,

information

and

factors

included,

among

other

things:

1)

An

overview

of

AQR’s

practices

with

respect

to

the

assessment,

management

and

periodic

review

of

each

Fund’s

liquidity

risk;

2)

A

summary

of

material

changes

or

findings

with

respect

to

the

Program,

if

any,

during

the

Reporting

Period;

3)

A

review

of

the

inputs

and

outputs

utilized

in

connection

with

the

Program,

particularly

the

methodologies

used

and

metrics

analyzed;

4)

A

summary

of

the

Funds’

compliance

with

the

requirements

under

the

Liquidity

Rule

and

the

Program,

including,

among

other

things,

the

15%

limit

on

investments

in

illiquid

investments

and

monitoring

of

highly

liquid

investments

to

determine

whether

the

Fund

is

required

to

set

a

highly

liquid

investment

minimum;

5)

An

overview

of

the

Funds’

other

sources

of

liquidity

(e.g.,

credit

facility

and

inter-fund

borrowing);

and

6)

An

overall

assessment

of

the

effectiveness

of

the

Program

with

respect

to

managing

each

Fund’s

liquidity

risk,

including,

among

other

things

assessing

whether

the

Fund’s

strategy

remains

appropriate

for

an

open-end

fund

structure.

Based

on

the

above

information

and

factors,

among

others,

the

Program

Administrator

has

concluded,

and

reported

to

the

Board,

that

the

Program

is

reasonably

designed

to

assess

and

manage

the

Funds’

liquidity

risk

and

has

been

implemented

and

is

operating

effectively.

Investment

Adviser

AQR

Capital

Management,

LLC

Two

Greenwich

Plaza,

4th

Floor

Greenwich,

CT

06830

Transfer

Agent

ALPS

Fund

Services,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Custodian

JPMorgan

Chase

Bank,

N.A.

4

Metro

Tech

Center

Brooklyn,

NY

11245

Distributor

ALPS

Distributors,

Inc.

1290

Broadway,

Suite

1100

Denver,

CO

80203

Administrator

JPMorgan

Chase

Bank,

N.A.

70

Fargo

Street

Boston,

MA

02210

Independent

Registered

Public

Accounting

Firm

PricewaterhouseCoopers,

LLP

300

Madison

Avenue

New

York,

NY

10017

You

may

obtain

a

description

of

the

AQR

Funds

proxy

voting,

policies,

procedures

and

information

regarding

how

each

Fund

voted

proxies

relating

to

portfolio

securities

during

the

12-month

period

ending

June

30th

of

each

year

(available

by

August

31st

of

that

year)

without

charge,

upon

request,

by

calling

1-866-290-2688

or

visiting

the

funds

website

https://funds.aqr.com,

or

by

accessing

the

SEC’s

website

at

www.SEC.gov.

Such

reports

may

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

Information

on

the

operation

of

the

Public

Reference

Room

may

be

obtained

by

calling

202-551-8090.

The

Fund

files

complete

schedules

of

the

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

on

Form

N-PORT

Part

F.

The

Form

N-PORT

Part

F

is

available

without

charge,

upon

request,

by

calling

1-800-SEC-0330,

or

by

accessing

the

SEC’s

website,

at

www.SEC.gov.

It

may

also

be

reviewed

and

copied

at

the

SEC’s

Public

Reference

Room

in

Washington,

DC.

This

report

has

been

prepared

for

shareholders

and

may

be

distributed

to

others

only

if

preceded

or

accompanied

by

an

effective

prospectus,

which

includes

information

regarding

the

Funds’

objectives

and

policies,

experienced

of

its

management,

marketability

of

shares

and

other

information.

AQR

Funds

P.O.

Box

2248,

Denver,

CO

80201-2248

|

p:

+1.866.290.2688

|

w:

https://funds.aqr.com

Item 2. Code of Ethics.

a).          

As of the end of the period, September 30

, 2020

,

the Registrant

has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  This code of ethics is included as Exhibit 13 (a)(1).

b). Not Applicable.

c). There have been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2020 (“Reporting Period”).

d).           Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a).           The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee.  Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP

for the fiscal years ended September 30, 2019 and September 30, 2020 were:

	2019	2020
Audit Fees (a)	$872,237	$671,787
Audit Related Fees (b)	-	$77,000
Tax Fees (c)	$437,858	$24,610
All Other Fees (d)	$675	$675
Total:	$1,310,770	$774,072

(a)

Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP

for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements.  These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b)           Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP

that are reasonably

related to the performance of the audit of the Registrant’s [September 30, [2020]] annual financial statements that are not reported under “Audit Fees” above.  The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2020 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement and review of the N-14 filing. There were no audit-related services provided by PricewaterhouseCoopers LLP for the year ended September 30, 2019.

(c)           Tax Fees: The September 30, 2019 fees relate to professional services rendered by PricewaterhouseCoopers LLP

for tax compliance, tax advice and tax planning.  The tax services provided by PricewaterhouseCoopers LLP

relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.  The September 30, 2020 fees are related to services provided with respect to tax reclaims.

(d)           All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP

other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e)           Audit Committee Pre-approval Policies and Procedures:

(i)

Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii)

100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f)            Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g)           Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended September 30, 2019 and September 30, 2020: $1,350 and $1,350, respectively.

(h)           Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act.  All of the Board’s independent Trustees, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)   The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)   There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)      The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

                Code of Ethics

(a)(2)      Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

                Section 302

(a)(3)      Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.

(a)(4)      Any change in the Registrant’s independent public accountant – Not Applicable.

(b)           Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

                Section 906

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds

By: /s/ Ted Pyne

-----------------------------------

Ted Pyne,

Principal Executive Officer

November 17, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Ted Pyne

----------------------------------

Ted Pyne,

Principal Executive Officer

November 17, 2020

By: /s/ Heather Bonner

---------------------------------

Heather Bonner,

Principal Financial Officer

November 17, 2020