1

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

180.6%

COMMON

STOCKS

-

85.9%

Australia

-

1.6%

AGL

Energy

Ltd.(2)(a)

56,354

$

589,764

Ansell

Ltd.(2)(a)

4,465

73,940

Aurizon

Holdings

Ltd.(2)(a)

23,877

61,879

Beach

Energy

Ltd.(2)(a)

398,818

277,933

BlueScope

Steel

Ltd.(2)(a)

89,573

468,961

Coca-Cola

Amatil

Ltd.(2)(a)

44,163

238,360

Flight

Centre

Travel

Group

Ltd.(3)

(b)

2,962

14,523

Fortescue

Metals

Group

Ltd.(2)(a)

210,027

1,287,092

Harvey

Norman

Holdings

Ltd.(2)(a)

108,527

199,273

Iluka

Resources

Ltd.(2)(a)

32,521

137,522

Sonic

Healthcare

Ltd.(2)(a)

1,696

25,491

Telstra

Corp.

Ltd.(2)(a)

173,333

325,372

Treasury

Wine

Estates

Ltd.(2)(a)

22,109

137,265

3,837,375

—

Austria

-

0.1%

ams

AG(2)*

17,753

173,526

Belgium

-

0.5%

Ageas(2)(a)

16,830

701,340

Proximus

SADP(2)(a)

27,717

636,508

1,337,848

—

Canada

-

4.7%

Air

Canada*(a)

34,698

388,328

Alimentation

Couche-Tard,

Inc.,

Class

B(a)

14,743

347,282

ARC

Resources

Ltd.(a)

26,045

74,954

Atco

Ltd.,

Class

I

10,104

279,793

Bank

of

Montreal(a)

3,040

153,501

Bank

of

Nova

Scotia

(The)(a)

7,460

304,645

BCE,

Inc.(a)

8,764

359,515

Canadian

Imperial

Bank

of

Commerce(a)

8,710

507,511

Canadian

Natural

Resources

Ltd.

(a)

43,021

588,470

Canadian

Tire

Corp.

Ltd.,

Class

A(a)

3,450

208,231

Canadian

Utilities

Ltd.,

Class

A

9,044

216,187

Cenovus

Energy,

Inc.(a)

70,994

143,269

CGI,

Inc.*(a)

7,128

385,904

CI

Financial

Corp.(a)

26,169

259,775

Cogeco

Communications,

Inc.(a)

3,360

227,939

Emera,

Inc.(a)

10,735

423,359

Empire

Co.

Ltd.,

Class

A(a)

23,277

455,351

Fairfax

Financial

Holdings

Ltd.(a)

192

58,861

Fortis,

Inc.(a)

14,048

541,736

George

Weston

Ltd.(a)

312

22,310

Hydro

One

Ltd.(a)(c)

45,552

820,215

iA

Financial

Corp.,

Inc.(a)

5,001

157,212

IGM

Financial,

Inc.(a)

6,280

104,198

Imperial

Oil

Ltd.(a)

19,082

215,728

Intact

Financial

Corp.(a)

2,311

199,735

Keyera

Corp.(a)

11,897

110,575

Kinross

Gold

Corp.*(a)

17,149

68,849

Linamar

Corp.(a)

9,419

194,966

Loblaw

Cos.

Ltd.(a)

4,544

234,255

INVESTMENTS

SHARES

VALUE

Canada

-

4.7%

(continued)

Magna

International,

Inc.(a)

15,855

$

505,967

Metro,

Inc.(a)

1,675

67,736

National

Bank

of

Canada(a)

14,628

565,350

Northland

Power,

Inc.

15,808

315,531

Onex

Corp.(a)

5,924

216,830

Quebecor,

Inc.,

Class

B(a)

15,242

336,942

Ritchie

Bros

Auctioneers,

Inc.(a)

1,683

57,643

Rogers

Communications,

Inc.,

Class

B(a)

5,086

212,287

Seven

Generations

Energy

Ltd.,

Class

A*

72,062

79,369

Stantec

,

Inc.(a)

5,270

134,811

Sun

Life

Financial,

Inc.(a)

5,197

167,177

Thomson

Reuters

Corp.(a)

1,934

131,764

TMX

Group

Ltd.(a)

1,854

138,026

Toronto-Dominion

Bank

(The)(a)

637

27,081

Tourmaline

Oil

Corp.(a)

36,367

223,272

Vermilion

Energy,

Inc.

43,707

134,168

11,366,608

—

China

-

0.0%(d)

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

155,100

89,995

Denmark

-

0.8%

Carlsberg

A/S,

Class

B(2)(a)

6,253

703,962

Coloplast

A/S,

Class

B(2)(a)

728

105,579

Novo

Nordisk

A/S,

Class

B(2)(a)

929

55,476

Orsted

A/S(2)(a)(c)

5,117

500,942

Pandora

A/S(2)(a)

13,304

427,473

ROCKWOOL

International

A/S,

Class

B(2)(a)

604

108,792

Vestas

Wind

Systems

A/S(2)(a)

2,049

166,718

2,068,942

—

Finland

-

0.6%

Fortum

OYJ(2)(a)

38,083

553,995

Kesko

OYJ,

Class

B(2)(a)

6,377

360,612

Neste

OYJ(2)(a)

9,399

312,494

Orion

OYJ,

Class

B(2)(a)

2,957

120,339

1,347,440

—

France

-

2.2%

Air

France-KLM(2)*(a)

24,300

135,161

Atos

SE(2)(a)

362

24,118

AXA

SA(2)(a)

31,939

540,790

BNP

Paribas

SA(2)(a)

10,228

298,609

Bouygues

SA(2)(a)

864

25,074

Cie

de

Saint-Gobain(2)(a)

934

22,412

Electricite

de

France

SA(2)(a)

53,823

420,870

Engie

SA(2)(a)

100,865

1,032,904

Eutelsat

Communications

SA(2)(a)

30,846

320,650

Natixis

SA(2)(a)

34,929

111,222

Orange

SA(2)(a)

33,869

410,068

Peugeot

SA(2)(a)

72,482

943,664

Publicis

Groupe

SA(2)(a)

6,795

194,194

Societe

BIC

SA(2)(a)

487

27,049

Societe

Generale

SA(2)(a)

23,153

379,296

Suez(2)(e)

28,454

289,075

2

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

France

-

2.2%

(continued)

TOTAL

SA(2)(a)

6,112

$

230,293

5,405,449

—

Germany

-

1.8%

adidas

AG(2)(a)

968

214,923

Aurubis

AG(2)(a)

1,023

41,631

Bayer

AG

(Registered)(2)(a)

2,162

123,879

Beiersdorf

AG(2)(a)

1,308

131,704

Brenntag

AG(2)(a)

881

32,009

Fraport

AG

Frankfurt

Airport

Services

Worldwide(2)(a)

740

29,789

Freenet

AG(2)(a)

23,243

406,667

Hannover

Rueck

SE(2)(a)

4,713

665,503

HeidelbergCement

AG(2)(a)

2,986

127,571

Henkel

AG

&

Co.

KGaA

(Preference)(2)(a)

9,788

782,860

HOCHTIEF

AG(2)(a)

2,885

189,428

HUGO

BOSS

AG(2)(a)

2,163

54,144

Merck

KGaA

(2)(a)

1,265

127,717

METRO

AG(2)(a)

26,784

228,124

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)(2)(a)

1,750

351,873

ProSiebenSat.1

Media

SE(2)(a)

56,589

444,025

Rheinmetall

AG(2)(a)

400

27,799

Siemens

Healthineers

AG(2)(a)(c)

2,223

85,934

Software

AG(2)(a)

818

24,379

Volkswagen

AG

(Preference)(2)(a)

3,522

405,723

4,495,682

—

Italy

-

2.8%

A2A

SpA

(2)

298,151

367,843

Assicurazioni

Generali

SpA

(2)(a)

95,881

1,298,689

BPER

Banca(2)(a)

54,727

166,531

Enel

SpA

(2)(a)

226,710

1,563,812

Eni

SpA

(2)(a)

22,022

218,843

Hera

SpA

(2)

135,861

491,530

Intesa

Sanpaolo

SpA

(2)(a)

14,479

23,428

Italgas

SpA

(2)

44,557

243,788

Leonardo

SpA

(2)(a)

23,272

153,855

Mediaset

SpA

(2)*(a)

16,400

34,722

Poste

Italiane

SpA

(2)(a)(c)

106,327

894,937

Saipem

SpA

(2)*(a)

69,760

168,185

Snam

SpA

(2)(a)

82,278

376,035

Telecom

Italia

SpA

(2)*(a)

459,308

185,916

Terna

Rete

Elettrica

Nazionale

SpA

(2)(a)

44,892

282,185

UniCredit

SpA

(2)(a)

11,778

91,122

Unipol

Gruppo

SpA

(2)(a)

88,689

302,453

6,863,874

—

Japan

-

17.0%

AGC,

Inc.(2)(a)

18,700

455,672

Amada

Holdings

Co.

Ltd.(2)(a)

17,900

140,299

Aozora

Bank

Ltd.(2)(a)

5,700

108,780

Asahi

Kasei

Corp.(2)(a)

2,900

20,320

Astellas

Pharma,

Inc.(2)(a)

11,300

174,103

Bandai

Namco

Holdings,

Inc.(2)(a)

7,200

349,223

Bridgestone

Corp.(2)(a)

13,000

397,938

Brother

Industries

Ltd.(2)(a)

9,100

137,833

INVESTMENTS

SHARES

VALUE

Japan

-

17.0%

(continued)

Central

Japan

Railway

Co.(2)(a)

3,100

$

496,841

Chiba

Bank

Ltd.

(The)(2)(a)

26,200

114,053

Chubu

Electric

Power

Co.,

Inc.(2)

(a)

68,900

972,399

Chugoku

Electric

Power

Co.,

Inc.

(The)(2)(a)

9,900

138,127

Concordia

Financial

Group

Ltd.(2)

(a)

21,900

63,743

Daicel

Corp.(2)(a)

2,600

18,915

Dai-ichi

Life

Holdings,

Inc.(2)(a)

1,800

21,375

DeNA

Co.

Ltd.(2)(a)

9,900

108,439

East

Japan

Railway

Co.(2)(a)

800

60,536

Fujitsu

Ltd.(2)(a)

5,400

486,371

Fukuoka

Financial

Group,

Inc.(2)(a)

28,600

377,276

GungHo

Online

Entertainment,

Inc.

(2)(a)

21,490

299,541

Haseko

Corp.(2)(a)

45,100

479,632

Hino

Motors

Ltd.(2)(a)

23,400

124,796

Hitachi

Ltd.(2)(a)

18,300

525,693

Honda

Motor

Co.

Ltd.(2)(a)

20,000

447,529

Idemitsu

Kosan

Co.

Ltd.(2)(a)

42,900

979,135

Iida

Group

Holdings

Co.

Ltd.(2)(a)

3,400

46,992

Inpex

Corp.(2)(a)

157,600

884,146

Isuzu

Motors

Ltd.(2)(a)

30,600

202,507

ITOCHU

Corp.(2)(a)

70,400

1,456,901

Japan

Airlines

Co.

Ltd.(2)(a)

10,400

191,125

Japan

Post

Holdings

Co.

Ltd.(2)(a)

13,500

105,605

Japan

Post

Insurance

Co.

Ltd.(2)(a)

1,600

19,768

JFE

Holdings,

Inc.(2)(a)

31,000

200,882

JTEKT

Corp.(2)(a)

11,700

79,022

JXTG

Holdings,

Inc.(2)(a)

434,000

1,478,807

Kajima

Corp.(2)(a)

63,800

652,133

Kaken

Pharmaceutical

Co.

Ltd.(2)

2,000

93,232

Kamigumi

Co.

Ltd.(2)(a)

13,200

222,810

Kaneka

Corp.(2)(a)

800

19,065

Kansai

Electric

Power

Co.,

Inc.

(The)(2)(a)

5,000

55,655

KDDI

Corp.(2)(a)

45,900

1,355,821

Kinden

Corp.(2)(a)

3,000

44,143

Komatsu

Ltd.(2)(a)

1,300

21,038

Konami

Holdings

Corp.(2)(a)

8,000

245,381

Kyocera

Corp.(2)(a)

2,600

153,428

Kyushu

Railway

Co.(2)(a)

11,200

321,725

Mabuchi

Motor

Co.

Ltd.(2)(a)

9,200

272,963

Marubeni

Corp.(2)(a)

252,300

1,252,181

Maruichi

Steel

Tube

Ltd.(2)(a)

1,600

38,320

Mazda

Motor

Corp.(2)(a)

41,700

220,212

Mebuki

Financial

Group,

Inc.(2)(a)

31,500

63,892

Medipal

Holdings

Corp.(2)(a)

12,000

224,231

Mitsubishi

Chemical

Holdings

Corp.

(2)(a)

70,100

416,256

Mitsubishi

Corp.(2)(a)

2,300

48,650

Mitsubishi

Electric

Corp.(2)(a)

12,800

156,368

Mitsubishi

Heavy

Industries

Ltd.

(2)(a)

9,400

236,898

Mitsubishi

Logistics

Corp.(2)(a)

1,100

22,143

Mitsubishi

Materials

Corp.(2)(a)

9,100

186,032

Mitsubishi

UFJ

Financial

Group,

Inc.(2)(a)

162,100

606,506

3

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

17.0%

(continued)

Mitsubishi

UFJ

Lease

&

Finance

Co.

Ltd.(2)(a)

7,600

$

37,200

Mitsui

&

Co.

Ltd.(2)(a)

66,500

923,267

Mitsui

Chemicals,

Inc.(2)(a)

13,800

259,746

Mitsui

OSK

Lines

Ltd.(2)(a)

12,700

203,557

Mixi

,

Inc.(2)(a)

1,900

27,631

Mizuho

Financial

Group,

Inc.(2)

126,600

145,246

MS&AD

Insurance

Group

Holdings,

Inc.(2)(a)

18,800

524,541

Nexon

Co.

Ltd.(2)(a)

40,500

661,804

NGK

Insulators

Ltd.(2)(a)

3,900

50,758

Nikon

Corp.(2)(a)

7,300

67,001

Nippon

Electric

Glass

Co.

Ltd.(2)(a)

2,200

29,297

Nippon

Express

Co.

Ltd.(2)(a)

3,900

190,238

Nippon

Steel

Corp.(2)(a)

87,500

745,877

Nippon

Telegraph

&

Telephone

Corp.(2)(a)

63,600

1,521,098

Nissan

Motor

Co.

Ltd.(2)(a)

37,400

125,130

NS

Solutions

Corp.(2)(a)

2,000

48,579

NSK

Ltd.(2)(a)

4,000

25,461

Obayashi

Corp.(2)(a)

101,400

860,433

Oji

Holdings

Corp.(2)(a)

35,100

186,598

ORIX

Corp.(2)(a)

27,200

324,514

Osaka

Gas

Co.

Ltd.(2)(a)

21,500

403,719

Otsuka

Holdings

Co.

Ltd.(2)(a)

800

31,215

Resona

Holdings,

Inc.(2)(a)

339,700

1,018,525

Rohto

Pharmaceutical

Co.

Ltd.(2)

(a)

700

19,126

Sankyo

Co.

Ltd.(2)(a)

9,800

284,206

Sankyu,

Inc.(2)(a)

3,600

134,136

Sawai

Pharmaceutical

Co.

Ltd.(2)

3,000

160,743

Sega

Sammy

Holdings,

Inc.(2)(a)

2,500

30,331

Sekisui

House

Ltd.(2)(a)

38,400

633,294

Shikoku

Electric

Power

Co.,

Inc.(2)

9,500

74,934

Shimizu

Corp.(2)(a)

81,800

636,555

Shinsei

Bank

Ltd.(2)(a)

53,200

704,623

Shionogi

&

Co.

Ltd.(2)(a)

1,000

49,259

Shizuoka

Bank

Ltd.

(The)(2)(a)

16,500

100,183

Showa

Denko

KK(2)(a)

40,400

828,851

Sojitz

Corp.(2)(a)

253,400

594,133

Subaru

Corp.(2)(a)

11,200

214,089

Sumitomo

Chemical

Co.

Ltd.(2)(a)

94,100

278,014

Sumitomo

Corp.(2)(a)

86,700

988,748

Sumitomo

Dainippon

Pharma

Co.

Ltd.(2)(a)

20,100

260,926

Sumitomo

Electric

Industries

Ltd.

(2)(a)

5,200

54,330

Sumitomo

Heavy

Industries

Ltd.

(2)(a)

16,800

300,577

Sumitomo

Metal

Mining

Co.

Ltd.

(2)(a)

9,900

202,401

Sumitomo

Mitsui

Financial

Group,

Inc.(2)(a)

41,300

1,003,317

Sumitomo

Mitsui

Trust

Holdings,

Inc.(2)(a)

24,900

715,381

Sumitomo

Rubber

Industries

Ltd.

(2)(a)

8,700

81,717

Suzuken

Co.

Ltd.(2)(a)

1,400

50,865

Taiheiyo

Cement

Corp.(2)(a)

18,000

306,599

Taisei

Corp.(2)(a)

4,000

121,992

INVESTMENTS

SHARES

VALUE

Japan

-

17.0%

(continued)

Takashimaya

Co.

Ltd.(2)(a)

17,200

$

154,387

Teijin

Ltd.(2)(a)

31,200

527,748

Toho

Gas

Co.

Ltd.(2)

800

36,065

Tohoku

Electric

Power

Co.,

Inc.(2)

(a)

14,500

139,387

Tokyo

Electric

Power

Co.

Holdings,

Inc.(2)*

328,000

1,141,027

Tokyo

Gas

Co.

Ltd.(2)(a)

43,600

1,027,358

Toppan

Printing

Co.

Ltd.(2)(a)

27,100

413,764

Tosoh

Corp.(2)(a)

39,300

444,133

Toyo

Seikan

Group

Holdings

Ltd.

(2)(a)

9,900

112,932

Toyoda

Gosei

Co.

Ltd.(2)(a)

1,400

23,826

Toyota

Boshoku

Corp.(2)(a)

4,700

55,591

Toyota

Tsusho

Corp.(2)(a)

9,400

219,578

West

Japan

Railway

Co.(2)(a)

6,600

451,407

Yamada

Denki

Co.

Ltd.(2)*(a)

8,700

34,652

Yamaha

Motor

Co.

Ltd.(2)(a)

15,100

181,577

Yokohama

Rubber

Co.

Ltd.

(The)

(2)(a)

8,500

105,375

41,402,979

—

Netherlands

-

1.3%

ASM

International

NV(2)(a)

3,314

337,173

ASR

Nederland

NV(2)(a)

10,699

269,009

Koninklijke

Ahold

Delhaize

NV(2)(a)

65,206

1,519,075

NN

Group

NV(2)(a)

19,789

537,781

Randstad

NV(2)*(a)

14,645

516,851

Signify

NV(2)(a)(c)

4,439

86,029

3,265,918

—

Norway

-

0.3%

Leroy

Seafood

Group

ASA(2)(a)

18,671

91,394

Mowi

ASA(2)(a)

26,571

401,738

Orkla

ASA(2)(a)

3,419

29,293

Salmar

ASA(2)(a)

4,402

145,636

668,061

—

Russia

-

0.0%(d)

Evraz

plc(2)

6,617

18,932

Singapore

-

0.3%

ComfortDelGro

Corp.

Ltd.(2)

218,400

232,560

SATS

Ltd.(2)

67,400

149,822

Venture

Corp.

Ltd.(2)

16,500

157,180

Wilmar

International

Ltd.(2)

52,400

118,498

658,060

—

Spain

-

2.0%

Acciona

SA(2)

946

100,059

ACS

Actividades

de

Construccion

y

Servicios

SA(2)(a)

916

18,191

Banco

Bilbao

Vizcaya

Argentaria

SA(2)(a)

111,921

346,570

Banco

de

Sabadell

SA(2)(a)(e)

30,000

15,172

Enagas

SA(2)(a)

38,813

765,672

Endesa

SA(2)(a)

57,784

1,222,732

Iberdrola

SA(2)(a)

99,442

972,643

Mapfre

SA(2)(a)

13,627

23,117

Naturgy

Energy

Group

SA(2)(a)

11,273

197,771

Red

Electrica

Corp.

SA(2)(a)

29,147

523,757

4

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Spain

-

2.0%

(continued)

Repsol

SA(2)(a)

48,059

$

428,747

Telefonica

SA(2)(a)

35,934

163,539

4,777,970

—

Sweden

-

0.8%

Axfood

AB(2)(a)

10,928

222,227

Essity

AB,

Class

B(2)(a)

18,442

564,945

Getinge

AB,

Class

B(2)(a)

5,084

96,134

Hennes

&

Mauritz

AB,

Class

B(2)(a)

11,200

143,324

ICA

Gruppen

AB(2)(a)

11,698

488,572

Skanska

AB,

Class

B(2)*(a)

1,590

23,928

SKF

AB,

Class

B(2)(a)

2,929

39,914

SSAB

AB,

Class

A(2)(a)

27,359

62,039

Volvo

AB,

Class

B(2)(a)

24,414

290,183

1,931,266

—

Switzerland

-

2.0%

Adecco

Group

AG

(Registered)(2)

(a)

4,723

186,118

DKSH

Holding

AG(2)(a)

369

18,214

Flughafen

Zurich

AG

(Registered)

(2)*(a)

847

94,756

Helvetia

Holding

AG

(Registered)

(2)(a)

2,715

231,961

Novartis

AG

(Registered)(2)(a)

2,019

166,565

Roche

Holding

AG(2)(a)

6,082

1,956,834

Sonova

Holding

AG

(Registered)

(2)(a)

940

167,616

Sulzer

AG

(Registered)(2)(a)

1,131

70,408

Swiss

Life

Holding

AG

(Registered)

(2)(a)

2,863

960,955

Swisscom

AG

(Registered)(2)(a)

1,721

921,563

Zurich

Insurance

Group

AG(2)(a)

539

189,354

4,964,344

—

United

Kingdom

-

2.1%

Aggreko

plc(2)(a)

29,547

176,588

ASOS

plc(2)*(a)

2,512

36,962

Babcock

International

Group

plc(2)

(a)

48,705

229,864

Barratt

Developments

plc(2)(a)

46,888

253,445

Bellway

plc(2)(a)

9,868

261,423

Berkeley

Group

Holdings

plc(2)(a)

6,628

295,831

Britvic

plc(2)(a)

6,626

57,426

BT

Group

plc(2)

168,708

245,397

Dialog

Semiconductor

plc(2)*(a)

12,269

318,908

GVC

Holdings

plc(2)(e)

4,067

28,171

Hays

plc(2)

77,123

109,847

Howden

Joinery

Group

plc(2)(a)

24,718

155,493

Inchcape

plc(2)(a)

4,822

25,734

Janus

Henderson

Group

plc(a)(e)

2,020

30,946

John

Wood

Group

plc(2)

67,214

127,898

Kingfisher

plc(2)

16,608

29,172

Meggitt

plc(2)(a)

7,783

27,977

Micro

Focus

International

plc(2)(a)

42,432

209,385

Moneysupermarket.com

Group

plc(2)(a)

70,537

262,120

National

Grid

plc(2)(a)

59,074

690,238

Pennon

Group

plc(2)(a)(e)

29,080

388,835

Persimmon

plc(2)(a)

5,078

120,037

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

2.1%

(continued)

Petrofac

Ltd.(2)

22,547

$

53,975

Royal

Mail

plc(2)

197,729

304,804

Tate

&

Lyle

plc(2)(a)

3,861

31,412

Taylor

Wimpey

plc(2)

106,268

152,915

United

Utilities

Group

plc(2)(a)

44,599

499,238

WH

Smith

plc(2)(a)

1,664

23,372

5,147,413

—

United

States

-

45.0%

Aaron's,

Inc.(a)

6,121

139,436

AbbVie,

Inc.(a)

18,292

1,393,667

ABIOMED,

Inc.*(e)

184

26,709

Accenture

plc,

Class

A(a)

253

41,305

Activision

Blizzard,

Inc.*(a)

1,534

91,242

Acuity

Brands,

Inc.(e)

6,048

518,072

Adobe,

Inc.*(a)

303

96,427

Adtalem

Global

Education,

Inc.*(e)

901

24,138

Advance

Auto

Parts,

Inc.(a)

262

24,450

Agilent

Technologies,

Inc.(a)

1,026

73,482

Air

Lease

Corp.(e)

4,582

101,445

Akamai

Technologies,

Inc.*(a)(e)

7,389

676,020

Alexion

Pharmaceuticals,

Inc.*(a)

12,572

1,128,840

Alkermes

plc*

7,345

105,915

Alliance

Data

Systems

Corp.(a)

5,774

194,295

Allison

Transmission

Holdings,

Inc.

(a)

687

22,403

Alphabet,

Inc.,

Class

A*(e)

1,305

1,516,345

AMC

Networks,

Inc.,

Class

A*(e)

13,098

318,412

Amdocs

Ltd.(a)

10,810

594,226

American

Eagle

Outfitters,

Inc.(a)

(e)

52,953

420,976

Ameriprise

Financial,

Inc.(a)

3,844

393,933

AmerisourceBergen

Corp.(a)(e)

5,518

488,343

Amgen,

Inc.(a)

9,841

1,995,067

Analog

Devices,

Inc.(e)

212

19,006

ANSYS,

Inc.*(a)(e)

1,213

281,986

Anthem,

Inc.(e)

1,436

326,029

Applied

Materials,

Inc.(e)

7,421

340,030

Arrow

Electronics,

Inc.*(a)(e)

8,959

464,703

Arrowhead

Pharmaceuticals,

Inc.*(e)

1,014

29,173

Aspen

Technology,

Inc.*(a)

1,968

187,098

Assured

Guaranty

Ltd.(a)

21,872

564,079

Athene

Holding

Ltd.,

Class

A*(a)(e)

33,632

834,746

AutoNation,

Inc.*(a)(e)

16,583

465,319

AutoZone,

Inc.*(a)

415

351,090

Avis

Budget

Group,

Inc.*(e)

23,869

331,779

Avnet,

Inc.(a)

9,566

240,107

Bausch

Health

Cos.,

Inc.*

12,559

194,636

Baxter

International,

Inc.(a)

1,837

149,146

Best

Buy

Co.,

Inc.(e)

7,142

407,094

Biogen,

Inc.*(a)

5,149

1,629,041

Bio-Rad

Laboratories,

Inc.,

Class

A*(a)(e)

2,567

899,888

Bio-

Techne

Corp.(e)

1,489

282,344

Booking

Holdings,

Inc.*(a)(e)

962

1,294,198

Booz

Allen

Hamilton

Holding

Corp.

(a)

4,703

322,814

BorgWarner,

Inc.(a)(e)

2,584

62,972

5

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

45.0%

(continued)

Boston

Beer

Co.,

Inc.

(The),

Class

A*(e)

3,183

$

1,169,943

Boyd

Gaming

Corp.(a)

1,657

23,894

Brighthouse

Financial,

Inc.*(a)

16,292

393,778

Brinker

International,

Inc.(e)

19,114

229,559

Bristol-Myers

Squibb

Co.(a)

8,595

479,085

BRP,

Inc.(a)

9,248

150,880

Bruker

Corp.(e)

1,706

61,177

Brunswick

Corp.(a)

7,592

268,529

Burlington

Stores,

Inc.*(e)

1,555

246,405

CACI

International,

Inc.,

Class

A*(a)

(e)

3,970

838,266

Cadence

Design

Systems,

Inc.*(a)

9,748

643,758

Capri

Holdings

Ltd.*(a)(e)

25,294

272,922

Carlisle

Cos.,

Inc.(a)

1,462

183,159

Carter's,

Inc.(a)(e)

9,114

599,063

Casey's

General

Stores,

Inc.(a)(e)

2,120

280,879

CDW

Corp.(a)

7,769

724,615

Centennial

Resource

Development,

Inc.,

Class

A*

111,913

29,433

Charles

River

Laboratories

International,

Inc.*(e)

12,509

1,578,761

Chemed

Corp.(a)(e)

243

105,268

Church

&

Dwight

Co.,

Inc.(a)

3,739

239,969

Churchill

Downs,

Inc.(a)

1,149

118,290

Ciena

Corp.*(a)

13,291

529,115

Cirrus

Logic,

Inc.*(a)

14,051

922,167

Citrix

Systems,

Inc.(a)(e)

1,445

204,540

Clorox

Co.

(The)(a)(e)

4,669

808,904

Cognizant

Technology

Solutions

Corp.,

Class

A(a)

385

17,891

Colgate-Palmolive

Co.(a)

322

21,368

Columbia

Sportswear

Co.(e)

5,967

416,318

Commercial

Metals

Co.(a)

25,897

408,914

Cooper

Cos.,

Inc.

(The)(a)

1,362

375,463

Costco

Wholesale

Corp.(a)(e)

2,167

617,877

Cracker

Barrel

Old

Country

Store,

Inc.(a)(e)

2,120

176,426

Crane

Co.(a)

501

24,639

Cummins,

Inc.(a)(e)

3,620

489,858

Curtiss-Wright

Corp.(a)

6,511

601,682

Dana,

Inc.(a)(e)

22,996

179,599

Danaher

Corp.(a)

4,167

576,754

Darden

Restaurants,

Inc.(e)

2,510

136,695

DaVita,

Inc.*(e)

389

29,587

Deckers

Outdoor

Corp.*(a)

9,130

1,223,420

Deluxe

Corp.(a)(e)

6,437

166,911

Dick's

Sporting

Goods,

Inc.(a)(e)

11,653

247,743

Dillard's,

Inc.,

Class

A(a)

9,370

346,222

Discovery,

Inc.,

Class

A*(e)

1,210

23,522

Dollar

General

Corp.(a)

2,022

305,342

DXC

Technology

Co.(e)

1,151

15,021

Eaton

Corp.

plc(a)

5,673

440,735

eBay,

Inc.(a)

39,733

1,194,374

EchoStar

Corp.,

Class

A*(a)(e)

892

28,517

Edwards

Lifesciences

Corp.*(a)

2,359

444,955

Electronic

Arts,

Inc.*(e)

7,087

709,905

EMCOR

Group,

Inc.(a)(e)

2,060

126,319

EPAM

Systems,

Inc.*(e)

536

99,514

Equitable

Holdings,

Inc.(a)(e)

15,994

231,113

INVESTMENTS

SHARES

VALUE

United

States

-

45.0%

(continued)

Estee

Lauder

Cos.,

Inc.

(The),

Class

A(e)

5,821

$

927,518

Evercore

,

Inc.,

Class

A(a)

609

28,051

Everest

Re

Group

Ltd.(e)

2,877

553,592

Exelixis

,

Inc.*(e)

25,712

442,761

Expedia

Group,

Inc.(a)(e)

3,466

195,032

F5

Networks,

Inc.*(a)

2,579

274,999

Facebook,

Inc.,

Class

A*(e)

7,369

1,229,149

Fair

Isaac

Corp.*(e)

1,000

307,690

Federated

Hermes,

Inc.,

Class

B(a)

10,143

193,224

First

American

Financial

Corp.(a)

1,695

71,885

Flowers

Foods,

Inc.(a)(e)

1,638

33,612

Foot

Locker,

Inc.(a)(e)

30,975

682,999

Fortinet,

Inc.*(e)

5,689

575,556

Fortune

Brands

Home

&

Security,

Inc.(a)

973

42,082

FTI

Consulting,

Inc.*(e)

1,191

142,646

Gap,

Inc.

(The)(a)(e)

45,311

318,989

General

Mills,

Inc.(e)

4,074

214,985

General

Motors

Co.(e)

4,201

87,297

Gilead

Sciences,

Inc.(a)(e)

19,547

1,461,334

Globus

Medical,

Inc.,

Class

A*(e)

7,898

335,902

Goldman

Sachs

Group,

Inc.

(The)

(a)

2,768

427,905

GrafTech

International

Ltd.(a)(e)

18,331

148,848

Graham

Holdings

Co.,

Class

B(a)

775

264,407

H&R

Block,

Inc.(a)(e)

1,469

20,684

Hanesbrands,

Inc.(e)

23,605

185,771

Hanover

Insurance

Group,

Inc.

(The)(a)

287

25,996

Hasbro,

Inc.(e)

2,688

192,326

HCA

Healthcare,

Inc.(a)

789

70,892

Helen

of

Troy

Ltd.*(e)

706

101,685

Henry

Schein,

Inc.*(e)

3,416

172,576

Herman

Miller,

Inc.(a)

19,866

441,025

Hewlett

Packard

Enterprise

Co.(e)

28,134

273,181

Hill-Rom

Holdings,

Inc.(a)

3,263

328,258

HollyFrontier

Corp.(a)

19,757

484,244

Horizon

Therapeutics

plc*(e)

4,448

131,750

Hormel

Foods

Corp.(e)

2,285

106,572

Hubbell,

Inc.(a)(e)

395

45,322

Humana,

Inc.(a)(e)

868

272,569

Huntington

Ingalls

Industries,

Inc.

(a)(e)

6,259

1,140,452

IAC/InterActiveCorp*(e)

2,283

409,182

Incyte

Corp.*(a)

5,406

395,881

Ingredion,

Inc.(a)

3,195

241,223

Intel

Corp.(a)(e)

17,607

952,891

Intuit,

Inc.(a)

1,612

370,760

IQVIA

Holdings,

Inc.*(a)(e)

7,011

756,206

ITT,

Inc.(a)

3,169

143,746

J2

Global,

Inc.(e)

11,068

828,440

Jabil,

Inc.(a)

25,259

620,866

Jacobs

Engineering

Group,

Inc.(a)

1,483

117,557

Jazz

Pharmaceuticals

plc*(e)

12,870

1,283,654

JM

Smucker

Co.

(The)(a)

2,083

231,213

Juniper

Networks,

Inc.(e)

1,537

29,418

KB

Home(a)

13,445

243,355

KBR,

Inc.(a)

1,727

35,714

Keysight

Technologies,

Inc.*(e)

3,124

261,416

6

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

45.0%

(continued)

Kimberly-Clark

Corp.(a)

7,075

$

904,680

KLA

Corp.(e)

716

102,918

Kohl's

Corp.(e)

4,245

61,935

Kroger

Co.

(The)(a)

47,360

1,426,483

Laboratory

Corp.

of

America

Holdings*(a)(e)

5,416

684,528

Lam

Research

Corp.(e)

3,043

730,320

Lear

Corp.(e)

1,080

87,750

Lennar

Corp.,

Class

A(a)(e)

5,464

208,725

Ligand

Pharmaceuticals,

Inc.*(e)

1,406

102,244

LogMeIn,

Inc.(a)

2,392

199,206

LPL

Financial

Holdings,

Inc.(a)

1,018

55,410

Lululemon

Athletica,

Inc.*(e)

3,737

708,348

LyondellBasell

Industries

NV,

Class

A(a)

1,846

91,617

Macy's,

Inc.(e)

57,675

283,184

Manhattan

Associates,

Inc.*(a)(e)

4,215

209,991

ManpowerGroup

,

Inc.(a)(e)

17,082

905,175

Masimo

Corp.*(e)

2,896

512,940

MasTec

,

Inc.*(a)(e)

2,623

85,851

Matador

Resources

Co.*(e)

73,635

182,615

Match

Group,

Inc.*(a)

8,685

573,557

Maxim

Integrated

Products,

Inc.

(a)(e)

1,331

64,700

MAXIMUS,

Inc.(a)

4,015

233,673

McKesson

Corp.(a)

4,784

647,084

Medtronic

plc(a)

3,121

281,452

Merck

&

Co.,

Inc.(a)

16,026

1,233,040

Micron

Technology,

Inc.*(e)

16,575

697,145

Microsoft

Corp.(a)

553

87,214

MKS

Instruments,

Inc.(a)(e)

3,237

263,654

Molina

Healthcare,

Inc.*(a)

775

108,275

Molson

Coors

Beverage

Co.,

Class

B(e)

10,200

397,902

MSA

Safety,

Inc.(a)(e)

980

99,176

MSCI,

Inc.(e)

292

84,376

Murphy

USA,

Inc.*(a)(e)

4,709

397,251

Mylan

NV*(a)(e)

52,727

786,160

Navient

Corp.(a)

10,557

80,022

NCR

Corp.*(e)

4,243

75,101

NewMarket

Corp.(a)

139

53,219

NIKE,

Inc.,

Class

B(a)

972

80,423

Nordstrom,

Inc.(e)

7,907

121,293

NorthWestern

Corp.

1,771

105,959

NortonLifeLock

,

Inc.(a)

34,345

642,595

Norwegian

Cruise

Line

Holdings

Ltd.*(a)

1,882

20,627

Nu

Skin

Enterprises,

Inc.,

Class

A(a)(e)

26,037

568,908

Nuance

Communications,

Inc.*(a)

4,749

79,688

NuVasive

,

Inc.*(a)

5,421

274,628

nVent

Electric

plc(a)

3,274

55,232

Old

Republic

International

Corp.(a)

1,291

19,688

Omnicom

Group,

Inc.(e)

1,070

58,743

ON

Semiconductor

Corp.*(a)(e)

19,000

236,360

OneMain

Holdings,

Inc.(a)

7,947

151,947

Oracle

Corp.(e)

2,485

120,100

Oshkosh

Corp.(a)(e)

3,829

246,320

Ovintiv

,

Inc.

64,549

177,048

Owens

Corning(e)

4,627

179,574

INVESTMENTS

SHARES

VALUE

United

States

-

45.0%

(continued)

PACCAR,

Inc.(a)

534

$

32,643

Packaging

Corp.

of

America(a)(e)

2,770

240,519

Parsley

Energy,

Inc.,

Class

A

76,015

435,566

Paycom

Software,

Inc.*(e)

352

71,108

PBF

Energy,

Inc.,

Class

A(a)

37,639

266,484

Penske

Automotive

Group,

Inc.(e)

6,013

168,364

Perrigo

Co.

plc(e)

1,338

64,344

Perspecta

,

Inc.(a)

1,300

23,712

Phillips

66(a)

2,110

113,202

Pilgrim's

Pride

Corp.*(a)(e)

26,220

475,106

Polaris,

Inc.(a)(e)

1,322

63,654

Popular,

Inc.

2,014

70,490

PRA

Health

Sciences,

Inc.*(e)

5,533

459,460

Prestige

Consumer

Healthcare,

Inc.*

621

22,778

Procter

&

Gamble

Co.

(The)(a)

17,450

1,919,500

PulteGroup,

Inc.(e)

40,410

901,951

PVH

Corp.(e)

6,585

247,859

Qorvo

,

Inc.*(a)(e)

2,959

238,584

QUALCOMM,

Inc.(a)

292

19,754

Quanta

Services,

Inc.(a)

12,918

409,888

Quest

Diagnostics,

Inc.(e)

778

62,473

Qurate

Retail,

Inc.,

Series

A*(a)

67,926

414,688

Ralph

Lauren

Corp.(a)(e)

3,340

223,212

Regal

Beloit

Corp.(a)

7,683

483,645

Regeneron

Pharmaceuticals,

Inc.*(a)(e)

3,206

1,565,458

Reliance

Steel

&

Aluminum

Co.(a)

1,209

105,896

RenaissanceRe

Holdings

Ltd.

308

45,991

RH*(a)(e)

909

91,327

Robert

Half

International,

Inc.(e)

13,621

514,193

Ross

Stores,

Inc.(a)(e)

10,070

875,788

Sally

Beauty

Holdings,

Inc.*(a)(e)

36,770

297,102

Sanderson

Farms,

Inc.(a)

719

88,667

Santander

Consumer

USA

Holdings,

Inc.(e)

6,680

92,919

Science

Applications

International

Corp.(a)(e)

910

67,913

Seagate

Technology

plc(a)(e)

14,843

724,338

Silgan

Holdings,

Inc.(a)

7,928

230,071

Skechers

U.S.A.,

Inc.,

Class

A*(a)

(e)

24,365

578,425

Skyworks

Solutions,

Inc.(a)(e)

8,968

801,560

Snap-on,

Inc.(e)

3,131

340,715

SolarEdge

Technologies,

Inc.*(e)

1,174

96,127

Sonoco

Products

Co.(e)

626

29,015

Spectrum

Brands

Holdings,

Inc.

(a)(e)

6,017

218,838

Spirit

AeroSystems

Holdings,

Inc.,

Class

A(e)

10,307

246,647

Sprouts

Farmers

Market,

Inc.*(a)

32,479

603,785

SS&C

Technologies

Holdings,

Inc.

(e)

611

26,774

Steel

Dynamics,

Inc.(a)

23,511

529,938

STERIS

plc(a)(e)

2,205

308,634

Stifel

Financial

Corp.(a)(e)

2,571

106,131

Stryker

Corp.(e)

2,175

362,116

Synaptics

,

Inc.*(a)

1,679

97,164

Synchrony

Financial(e)

12,354

198,776

Syneos

Health,

Inc.*(e)

855

33,704

7

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

45.0%

(continued)

SYNNEX

Corp.(a)(e)

8,915

$

651,687

Synopsys,

Inc.*(a)

1,976

254,489

Target

Corp.(a)(e)

13,433

1,248,866

TE

Connectivity

Ltd.(a)(e)

6,749

425,052

TEGNA,

Inc.(a)

53,766

583,899

Teledyne

Technologies,

Inc.*(a)(e)

4,286

1,274,099

Teradyne,

Inc.(e)

3,267

176,973

Terex

Corp.

1,363

19,573

Thermo

Fisher

Scientific,

Inc.(e)

572

162,219

Timken

Co.

(The)(a)

606

19,598

TJX

Cos.,

Inc.

(The)(a)

6,534

312,391

Toll

Brothers,

Inc.(e)

5,730

110,303

Tractor

Supply

Co.(e)

584

49,377

TRI

Pointe

Group,

Inc.*(a)(e)

26,282

230,493

TripAdvisor,

Inc.(a)

23,994

417,256

Twitter,

Inc.*(e)

6,179

151,756

Tyson

Foods,

Inc.,

Class

A(a)(e)

9,938

575,112

United

Therapeutics

Corp.*(a)(e)

8,000

758,600

Universal

Health

Services,

Inc.,

Class

B(e)

5,110

506,299

Urban

Outfitters,

Inc.*(e)

21,762

309,891

US

Foods

Holding

Corp.*(a)(e)

24,030

425,571

Varian

Medical

Systems,

Inc.*(e)

1,363

139,926

VeriSign,

Inc.*(e)

3,829

689,565

Vertex

Pharmaceuticals,

Inc.*(a)(e)

1,879

447,108

VF

Corp.(a)(e)

2,819

152,452

Vishay

Intertechnology

,

Inc.(a)(e)

26,808

386,303

VMware,

Inc.,

Class

A*(e)

1,265

153,192

Voya

Financial,

Inc.(e)

2,594

105,187

Walgreens

Boots

Alliance,

Inc.(a)

2,143

98,042

Walt

Disney

Co.

(The)(e)

762

73,609

Werner

Enterprises,

Inc.(e)

2,812

101,963

WESCO

International,

Inc.*

8,693

198,635

West

Pharmaceutical

Services,

Inc.

(a)

2,203

335,407

Whirlpool

Corp.(e)

6,162

528,700

Williams-Sonoma,

Inc.(a)(e)

12,174

517,638

Woodward,

Inc.(a)(e)

4,517

268,490

World

Fuel

Services

Corp.(a)

2,007

50,536

WPX

Energy,

Inc.*

114,922

350,512

Xerox

Holdings

Corp.(a)(e)

35,203

666,745

Xilinx,

Inc.(e)

291

22,681

Yelp,

Inc.*(a)

8,128

146,548

Zebra

Technologies

Corp.,

Class

A*(a)

2,160

396,576

Zimmer

Biomet

Holdings,

Inc.(a)(e)

3,641

368,032

Zoetis,

Inc.(a)

2,446

287,870

109,419,028

—

TOTAL

COMMON

STOCKS

(Cost

$240,622,997)

209,240,710

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

94.7%

INVESTMENT

COMPANIES

-

57.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(f)(g)

3,414,224

$

3,414,224

Limited

Purpose

Cash

Investment

Fund,

0.85%(f)

136,315,822

136,493,033

TOTAL

INVESTMENT

COMPANIES

(Cost

$139,745,239)

139,907,257

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

37.3%

U.S.

Treasury

Bills

1.55%,

7/30/2020(2)(h)

$

16,738,000

16,733,104

1.53%,

8/6/2020(2)(h)

15,143,000

15,138,446

1.52%,

8/13/2020(2)(h)

11,625,000

11,621,636

1.52%,

8/20/2020(2)(h)

6,352,000

6,349,823

1.45%,

8/27/2020(2)(h)

26,148,000

26,138,298

0.10%,

10/1/2020(2)(h)

15,039,000

15,029,781

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$90,612,852)

91,011,088

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$230,358,091)

230,918,345

TOTAL

LONG

POSITIONS

(Cost

$470,981,088)

440,159,055

SHARES

SHORT

POSITIONS

-

(75.3)%

COMMON

STOCKS

-

(75.3)%

Australia

-

(1.7)%

Afterpay

Ltd.(2)*

(32,781)

(381,192)

AMP

Ltd.(2)*

(224,687)

(183,489)

APA

Group(2)

(84,661)

(537,238)

Atlas

Arteria

Ltd.(2)

(32,772)

(110,691)

BHP

Group

plc(2)

(2,117)

(32,855)

Challenger

Ltd.(2)

(88,491)

(216,150)

Commonwealth

Bank

of

Australia(2)

(1,248)

(47,087)

Evolution

Mining

Ltd.(2)

(89,094)

(208,225)

Insurance

Australia

Group

Ltd.(2)

(125,743)

(474,435)

Medibank

Pvt

Ltd.(2)

(168,181)

(276,575)

Newcrest

Mining

Ltd.(2)

(20,190)

(277,264)

Northern

Star

Resources

Ltd.(2)

(32,699)

(211,824)

QBE

Insurance

Group

Ltd.(2)

(94,126)

(490,302)

Ramsay

Health

Care

Ltd.(2)

(1,058)

(37,202)

Rio

Tinto

plc(2)

(2,011)

(92,189)

SEEK

Ltd.(2)

(28,391)

(259,444)

Suncorp

Group

Ltd.(2)

(4,465)

(24,795)

Transurban

Group(2)

(7,590)

(56,535)

Viva

Energy

Group

Ltd.(2)(c)

(26,943)

(20,716)

Washington

H

Soul

Pattinson

&

Co.

Ltd.(2)

(5,225)

(53,992)

WiseTech

Global

Ltd.(2)

(14,249)

(148,132)

(4,140,332)

—

Belgium

-

(0.4)%

Anheuser-Busch

InBev

SA/NV(2)

(6,227)

(275,046)

Telenet

Group

Holding

NV(2)

(5,134)

(154,167)

Umicore

SA(2)

(13,428)

(463,149)

(892,362)

—

8

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Brazil

-

0.0%(d)

Yamana

Gold,

Inc.

(18,612)

$

(51,711)

Canada

-

(4.0)%

Agnico

Eagle

Mines

Ltd.

(14,895)

(594,615)

AltaGas

Ltd.

(5,524)

(50,047)

Barrick

Gold

Corp.

(92,493)

(1,699,615)

BlackBerry

Ltd.*

(42,516)

(174,318)

Bombardier,

Inc.,

Class

B*

(81,970)

(26,502)

Cameco

Corp.

(24,475)

(186,610)

Canada

Goose

Holdings,

Inc.*

(23,824)

(476,378)

Canadian

National

Railway

Co.

(2,279)

(178,184)

Canadian

Pacific

Railway

Ltd.

(382)

(84,296)

CCL

Industries,

Inc.,

Class

B

(8,926)

(271,402)

Constellation

Software,

Inc.

(81)

(73,617)

Dollarama,

Inc.

(2,500)

(69,353)

Enbridge,

Inc.

(21,884)

(637,252)

Finning

International,

Inc.

(8,123)

(87,158)

Franco-Nevada

Corp.

(11,874)

(1,186,387)

Gildan

Activewear

,

Inc.

(8,714)

(111,084)

Inter

Pipeline

Ltd.

(26,826)

(160,502)

Methanex

Corp.

(8,388)

(102,101)

Nutrien

Ltd.

(9,723)

(332,391)

Pan

American

Silver

Corp.

(17,545)

(252,460)

Pembina

Pipeline

Corp.

(2,345)

(43,991)

PrairieSky

Royalty

Ltd.

(19,681)

(103,908)

Restaurant

Brands

International,

Inc.

(14,726)

(593,414)

Shopify,

Inc.,

Class

A*

(619)

(259,344)

SNC-Lavalin

Group,

Inc.

(36,502)

(538,465)

Suncor

Energy,

Inc.

(11,967)

(190,989)

TC

Energy

Corp.

(12,445)

(553,141)

West

Fraser

Timber

Co.

Ltd.

(14,051)

(267,980)

Wheaton

Precious

Metals

Corp.

(13,149)

(361,871)

WSP

Global,

Inc.

(618)

(35,096)

(9,702,471)

—

Chile

-

(0.1)%

Lundin

Mining

Corp.

(76,126)

(286,155)

China

-

(0.2)%

Prosus

NV(2)*

(7,046)

(490,741)

Colombia

-

0.0%(d)

Millicom

International

Cellular

SA,

SDR(2)

(4,133)

(114,829)

Denmark

-

(0.7)%

AP

Moller

-

Maersk

A/S,

Class

B(2)

(494)

(437,864)

Chr

Hansen

Holding

A/S(2)

(8,830)

(651,590)

DSV

Panalpina

A/S(2)

(3,921)

(356,533)

FLSmidth

&

Co.

A/S(2)*

(4,295)

(96,265)

Novozymes

A/S,

Class

B(2)

(2,452)

(109,989)

(1,652,241)

—

Finland

-

(0.3)%

Nokia

OYJ(2)

(72,357)

(222,849)

Nokian

Renkaat

OYJ(2)

(11,126)

(265,668)

Nordea

Bank

Abp

(2)

(8,293)

(46,652)

Stora

Enso

OYJ,

Class

R(2)

(11,533)

(115,317)

Wartsila

OYJ

Abp

(2)

(4,871)

(35,570)

(686,056)

—

INVESTMENTS

SHARES

VALUE

France

-

(1.8)%

Air

Liquide

SA(2)

(1,222)

$

(155,985)

Airbus

SE(2)

(2,096)

(135,154)

Bollore

SA(2)

(22,695)

(61,677)

Bollore

SA(2)*

(232)

(749)

Cie

Plastic

Omnium

SA(2)

(1,195)

(16,573)

Dassault

Systemes

SE(2)

(285)

(41,607)

Edenred

(2)

(13,161)

(546,175)

Getlink

SE(2)

(4,549)

(55,019)

Hermes

International(2)

(283)

(192,556)

Iliad

SA(2)

(2,481)

(334,276)

Imerys

SA(2)

(8,092)

(200,841)

Ipsen

SA(2)

(646)

(33,114)

JCDecaux

SA(2)

(4,826)

(85,797)

Kering

SA(2)

(665)

(346,740)

Orpea

(2)

(3,052)

(316,906)

Remy

Cointreau

SA(2)

(2,352)

(256,342)

SEB

SA(2)

(2,170)

(268,767)

Ubisoft

Entertainment

SA(2)*

(8,206)

(599,784)

Valeo

SA(2)

(15,850)

(257,971)

Worldline

SA(2)*(c)

(9,479)

(559,462)

(4,465,495)

—

Germany

-

(1.6)%

Commerzbank

AG(2)

(116,432)

(414,480)

Continental

AG(2)

(1,954)

(139,317)

Daimler

AG

(Registered)(2)

(2,348)

(70,121)

Delivery

Hero

SE(2)*(c)

(236)

(17,352)

Deutsche

Bank

AG

(Registered)(2)

(206,819)

(1,314,765)

Duerr

AG(2)

(1,282)

(26,016)

E.ON

SE(2)

(3,138)

(32,189)

FUCHS

PETROLUB

SE

(Preference)(2)

(891)

(31,783)

GEA

Group

AG(2)

(5,467)

(112,936)

K+S

AG

(Registered)(2)

(3,031)

(17,439)

LANXESS

AG(2)

(1,121)

(44,620)

Nemetschek

SE(2)

(1,103)

(53,769)

RWE

AG(2)

(7,949)

(207,879)

Sartorius

AG

(Preference)(2)

(1,446)

(345,704)

Symrise

AG(2)

(1,052)

(97,319)

Telefonica

Deutschland

Holding

AG(2)

(94,278)

(231,462)

thyssenkrupp

AG(2)*

(49,829)

(262,458)

United

Internet

AG

(Registered)(2)

(14,788)

(430,004)

Zalando

SE(2)*(c)

(1,986)

(74,853)

(3,924,466)

—

Ghana

-

0.0%(d)

Kosmos

Energy

Ltd.

(84,474)

(75,655)

Italy

-

(1.2)%

Atlantia

SpA

(2)

(1,096)

(13,615)

Davide

Campari-Milano

SpA

(2)

(83,265)

(597,124)

Ferrari

NV(2)

(7,599)

(1,170,511)

FinecoBank

Banca

Fineco

SpA

(2)

(80,571)

(724,904)

Freni

Brembo

SpA

(2)

(32,121)

(238,174)

Pirelli

&

C

SpA

(2)(c)

(73,393)

(258,945)

Prysmian

SpA

(2)

(2,145)

(34,056)

(3,037,329)

—

9

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

(17.5)%

Acom

Co.

Ltd.(2)

(23,500)

$

(95,432)

Advantest

Corp.(2)

(9,900)

(394,317)

Aeon

Co.

Ltd.(2)

(49,600)

(1,098,841)

Aisin

Seiki

Co.

Ltd.(2)

(900)

(22,042)

Asahi

Intecc

Co.

Ltd.(2)

(26,700)

(660,346)

Asics

Corp.(2)

(43,100)

(397,970)

Bank

of

Kyoto

Ltd.

(The)(2)

(1,000)

(31,692)

Benesse

Holdings,

Inc.(2)

(1,100)

(27,993)

Chugai

Pharmaceutical

Co.

Ltd.(2)

(2,600)

(300,809)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.(2)

(18,400)

(377,632)

Cosmos

Pharmaceutical

Corp.(2)

(800)

(191,061)

Credit

Saison

Co.

Ltd.(2)

(18,600)

(215,793)

CyberAgent

,

Inc.(2)

(35,700)

(1,383,585)

Daifuku

Co.

Ltd.(2)

(8,900)

(557,748)

Daiichi

Sankyo

Co.

Ltd.(2)

(4,700)

(322,780)

Daikin

Industries

Ltd.(2)

(6,300)

(760,499)

Dentsu

Group,

Inc.(2)

(5,100)

(98,542)

Disco

Corp.(2)

(1,000)

(194,553)

Eisai

Co.

Ltd.(2)

(6,400)

(468,144)

FamilyMart

Co.

Ltd.(2)

(45,500)

(816,994)

Fancl

Corp.(2)

(5,800)

(129,512)

FANUC

Corp.(2)

(5,300)

(708,217)

Fast

Retailing

Co.

Ltd.(2)

(2,300)

(938,497)

Fuji

Electric

Co.

Ltd.(2)

(1,800)

(40,360)

GMO

Payment

Gateway,

Inc.(2)

(1,400)

(98,120)

Hamamatsu

Photonics

KK(2)

(2,300)

(93,460)

Hisamitsu

Pharmaceutical

Co.,

Inc.

(2)

(700)

(32,483)

Hitachi

Metals

Ltd.(2)

(16,100)

(168,996)

Hoshizaki

Corp.(2)

(300)

(22,441)

Hoya

Corp.(2)

(2,100)

(178,566)

IHI

Corp.(2)

(5,600)

(65,216)

Isetan

Mitsukoshi

Holdings

Ltd.(2)

(22,300)

(129,380)

Izumi

Co.

Ltd.(2)

(4,100)

(112,936)

J

Front

Retailing

Co.

Ltd.(2)

(5,900)

(48,695)

Japan

Airport

Terminal

Co.

Ltd.(2)

(9,900)

(380,475)

JGC

Holdings

Corp.(2)

(11,900)

(94,986)

Justsystems

Corp.(2)

(500)

(22,719)

Kansai

Paint

Co.

Ltd.(2)

(6,600)

(125,188)

Kao

Corp.(2)

(700)

(57,028)

Keikyu

Corp.(2)

(8,900)

(149,737)

Keio

Corp.(2)

(2,200)

(129,873)

Keyence

Corp.(2)

(3,900)

(1,253,899)

Kikkoman

Corp.(2)

(14,300)

(606,313)

Kintetsu

Group

Holdings

Co.

Ltd.(2)

(5,700)

(263,808)

Kobayashi

Pharmaceutical

Co.

Ltd.

(2)

(2,800)

(259,059)

Kobe

Bussan

Co.

Ltd.(2)

(20,300)

(797,802)

Koito

Manufacturing

Co.

Ltd.(2)

(2,900)

(97,496)

Kose

Corp.(2)

(7,600)

(940,437)

Kyushu

Electric

Power

Co.,

Inc.(2)

(18,600)

(149,177)

Lasertec

Corp.(2)

(13,700)

(635,264)

LINE

Corp.(2)*

(8,000)

(386,242)

LIXIL

Group

Corp.(2)

(15,400)

(189,746)

Makita

Corp.(2)

(6,100)

(186,073)

Marui

Group

Co.

Ltd.(2)

(4,500)

(75,279)

Mercari

,

Inc.(2)*

(16,900)

(328,216)

MINEBEA

MITSUMI,

Inc.(2)

(8,400)

(124,072)

MISUMI

Group,

Inc.(2)

(21,400)

(462,902)

INVESTMENTS

SHARES

VALUE

Japan

-

(17.5)%

(continued)

Mitsubishi

Motors

Corp.(2)

(15,700)

$

(44,236)

MonotaRO

Co.

Ltd.(2)

(47,700)

(1,260,302)

Nabtesco

Corp.(2)

(6,800)

(155,548)

Nidec

Corp.(2)

(30,800)

(1,587,262)

Nifco,

Inc.(2)

(1,600)

(28,660)

Nihon

M&A

Center,

Inc.(2)

(5,700)

(155,244)

Nintendo

Co.

Ltd.(2)

(800)

(310,923)

Nippon

Paint

Holdings

Co.

Ltd.(2)

(6,700)

(348,750)

Nippon

Yusen

KK(2)

(4,700)

(55,515)

Nisshin

Seifun

Group,

Inc.(2)

(1,500)

(25,023)

Nissin

Foods

Holdings

Co.

Ltd.(2)

(1,900)

(157,675)

Nitori

Holdings

Co.

Ltd.(2)

(1,100)

(148,655)

Obic

Co.

Ltd.(2)

(2,000)

(260,580)

Odakyu

Electric

Railway

Co.

Ltd.(2)

(4,200)

(92,237)

Ono

Pharmaceutical

Co.

Ltd.(2)

(5,800)

(133,287)

Oracle

Corp.

Japan(2)

(400)

(34,889)

Oriental

Land

Co.

Ltd.(2)

(6,300)

(804,239)

Pan

Pacific

International

Holdings

Corp.(2)

(30,200)

(571,907)

Panasonic

Corp.(2)

(2,800)

(21,197)

Park24

Co.

Ltd.(2)

(25,700)

(378,861)

PeptiDream

,

Inc.(2)*

(12,200)

(424,671)

Persol

Holdings

Co.

Ltd.(2)

(40,200)

(402,246)

Pigeon

Corp.(2)

(26,300)

(1,006,902)

Pola

Orbis

Holdings,

Inc.(2)

(12,300)

(226,129)

Rakuten

,

Inc.(2)

(140,300)

(1,057,729)

Recruit

Holdings

Co.

Ltd.(2)

(4,500)

(116,241)

Renesas

Electronics

Corp.(2)*

(104,000)

(369,935)

Rohm

Co.

Ltd.(2)

(2,600)

(141,134)

Ryohin

Keikaku

Co.

Ltd.(2)

(63,800)

(709,494)

SCREEN

Holdings

Co.

Ltd.(2)

(8,100)

(296,442)

Seiko

Epson

Corp.(2)

(2,800)

(30,136)

Sharp

Corp.(2)*

(30,100)

(312,454)

Shimadzu

Corp.(2)

(16,200)

(422,791)

Shimano,

Inc.(2)

(200)

(28,523)

Shiseido

Co.

Ltd.(2)

(25,000)

(1,469,311)

SMC

Corp.(2)

(1,200)

(503,092)

SoftBank

Group

Corp.(2)

(28,900)

(1,023,129)

Sony

Corp.(2)

(1,700)

(100,697)

Sony

Financial

Holdings,

Inc.(2)

(12,300)

(206,538)

SUMCO

Corp.(2)

(6,100)

(77,512)

Sundrug

Co.

Ltd.(2)

(1,000)

(32,044)

Suzuki

Motor

Corp.(2)

(3,500)

(83,339)

Sysmex

Corp.(2)

(7,700)

(557,287)

T&D

Holdings,

Inc.(2)

(20,400)

(165,375)

Taiyo

Nippon

Sanso

Corp.(2)

(4,400)

(65,107)

Takeda

Pharmaceutical

Co.

Ltd.(2)

(28,400)

(864,726)

Terumo

Corp.(2)

(9,300)

(318,631)

THK

Co.

Ltd.(2)

(7,300)

(147,085)

Toshiba

Corp.(2)

(24,100)

(528,232)

TOTO

Ltd.(2)

(10,800)

(356,272)

Tsuruha

Holdings,

Inc.(2)

(1,000)

(131,848)

Unicharm

Corp.(2)

(42,400)

(1,587,195)

USS

Co.

Ltd.(2)

(2,300)

(31,539)

Welcia

Holdings

Co.

Ltd.(2)

(4,500)

(315,973)

Yakult

Honsha

Co.

Ltd.(2)

(13,600)

(801,177)

Yamato

Holdings

Co.

Ltd.(2)

(51,800)

(809,172)

Yaskawa

Electric

Corp.(2)

(36,000)

(978,863)

Yokogawa

Electric

Corp.(2)

(9,100)

(108,861)

10

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

(17.5)%

(continued)

Z

Holdings

Corp.(2)

(103,000)

$

(328,380)

(42,610,645)

—

Luxembourg

-

(0.2)%

ArcelorMittal

SA(2)

(36,714)

(346,597)

Tenaris

SA(2)

(11,864)

(71,573)

(418,170)

—

Netherlands

-

(1.0)%

Adyen

NV(2)*(c)

(1,747)

(1,484,767)

Altice

Europe

NV(2)*

(5,904)

(22,786)

ASML

Holding

NV(2)

(451)

(118,890)

Boskalis

Westminster(2)

(12,486)

(227,385)

OCI

NV(2)*

(22,424)

(267,969)

Royal

Dutch

Shell

plc,

Class

A(2)

(5,519)

(95,885)

SBM

Offshore

NV(2)

(12,842)

(169,777)

(2,387,459)

—

Norway

-

(0.2)%

Norsk

Hydro

ASA(2)

(198,391)

(427,763)

Yara

International

ASA(2)

(1,588)

(50,211)

(477,974)

—

Panama

-

(0.1)%

Copa

Holdings

SA,

Class

A

(4,248)

(192,392)

Singapore

-

(0.3)%

City

Developments

Ltd.(2)

(9,700)

(49,186)

DBS

Group

Holdings

Ltd.(2)

(1,500)

(19,572)

Singapore

Technologies

Engineering

Ltd.(2)

(12,900)

(28,223)

Singapore

Telecommunications

Ltd.(2)

(358,800)

(639,641)

(736,622)

—

South

Africa

-

0.0%(d)

Anglo

American

plc(2)

(1,640)

(28,739)

Spain

-

(1.3)%

Amadeus

IT

Group

SA(2)

(2,472)

(116,354)

Banco

Santander

SA(2)

(16,919)

(40,247)

Bankia

SA(2)

(73,451)

(80,096)

Cellnex

Telecom

SA(2)(c)

(36,199)

(1,642,078)

Ferrovial

SA(2)

(48,774)

(1,157,736)

Industria

de

Diseno

Textil

SA(2)

(2,386)

(61,830)

(3,098,341)

—

Sweden

-

(0.7)%

Alfa

Laval

AB(2)

(1,407)

(24,089)

Atlas

Copco

AB,

Class

A(2)

(14,318)

(476,134)

Autoliv

,

Inc.

(2,734)

(125,791)

Hexpol

AB(2)

(23,911)

(141,274)

Holmen

AB,

Class

B(2)

(902)

(24,454)

Nibe

Industrier

AB,

Class

B(2)

(4,320)

(62,486)

Saab

AB,

Class

B(2)

(4,956)

(94,162)

Sandvik

AB(2)

(3,288)

(46,251)

Svenska

Cellulosa

AB

SCA,

Class

B(2)*

(34,976)

(346,117)

Svenska

Handelsbanken

AB,

Class

A(2)*

(24,692)

(203,638)

INVESTMENTS

SHARES

VALUE

Sweden

-

(0.7)%

(continued)

Swedish

Match

AB(2)

(2,170)

$

(122,865)

(1,667,261)

—

Switzerland

-

(1.9)%

ABB

Ltd.

(Registered)(2)

(11,989)

(208,381)

Cie

Financiere

Richemont

SA

(Registered)(2)

(5,159)

(275,769)

Clariant

AG

(Registered)(2)

(13,890)

(231,188)

Credit

Suisse

Group

AG

(Registered)(2)*

(26,497)

(213,867)

Dufry

AG

(Registered)(2)

(2,577)

(79,089)

EMS-

Chemie

Holding

AG

(Registered)(2)

(105)

(65,486)

Givaudan

SA

(Registered)(2)

(108)

(332,314)

Glencore

plc(2)*

(200,891)

(304,058)

Idorsia

Ltd.(2)*

(14,226)

(367,686)

Julius

Baer

Group

Ltd.(2)*

(4,758)

(159,381)

LafargeHolcim

Ltd.

(Registered)(2)*

(6,996)

(255,309)

OC

Oerlikon

Corp.

AG

(Registered)

(2)

(5,204)

(41,204)

Partners

Group

Holding

AG(2)

(203)

(138,987)

Sika

AG

(Registered)(2)

(5,769)

(947,343)

STMicroelectronics

NV(2)

(1,909)

(41,037)

Straumann

Holding

AG

(Registered)(2)

(35)

(25,589)

Temenos

AG

(Registered)(2)*

(7,027)

(915,966)

UBS

Group

AG

(Registered)(2)*

(9,257)

(84,851)

Vifor

Pharma

AG(2)

(152)

(20,795)

(4,708,300)

—

United

Arab

Emirates

-

0.0%(d)

NMC

Health

plc(2)

(31,163)

(45,187)

United

Kingdom

-

(2.1)%

Ashtead

Group

plc(2)

(4,720)

(102,018)

Beazley

plc(2)

(7,203)

(34,745)

BP

plc(2)

(80,828)

(331,471)

British

American

Tobacco

plc(2)

(8,505)

(289,725)

Bunzl

plc(2)

(2,119)

(42,415)

Burberry

Group

plc(2)

(1,580)

(25,682)

Capita

plc(2)*

(57,266)

(23,171)

CNH

Industrial

NV(2)

(104,204)

(593,472)

ConvaTec

Group

plc(2)(c)

(48,042)

(110,460)

Croda

International

plc(2)

(482)

(25,429)

easyJet

plc(2)

(51,416)

(356,290)

Hargreaves

Lansdown

plc(2)

(10,087)

(171,387)

Hiscox

Ltd.(2)

(28,087)

(319,857)

Legal

&

General

Group

plc(2)

(12,859)

(30,382)

Liberty

Global

plc,

Class

C*

(43,501)

(683,401)

Mondi

plc(2)

(12,300)

(207,570)

Ocado

Group

plc(2)*

(9,153)

(137,298)

Prudential

plc(2)

(63,442)

(794,919)

Reckitt

Benckiser

Group

plc(2)

(938)

(71,453)

Rolls-Royce

Holdings

plc(2)*

(18,696)

(79,018)

RSA

Insurance

Group

plc(2)

(5,631)

(29,385)

Signature

Aviation

plc(2)

(13,340)

(27,107)

Standard

Chartered

plc(2)

(11,452)

(63,316)

Standard

Life

Aberdeen

plc(2)

(32,999)

(91,071)

Virgin

Money

UK

plc(2)*

(111,748)

(85,188)

Vodafone

Group

plc(2)

(188,382)

(260,616)

11

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

Kingdom

-

(2.1)%

(continued)

Weir

Group

plc

(The)(2)

(11,505)

$

(102,327)

(5,089,173)

—

United

States

-

(37.8)%

2U,

Inc.*

(9,892)

(209,908)

Acadia

Healthcare

Co.,

Inc.*

(12,744)

(233,852)

Adient

plc*

(43,301)

(392,740)

ADT,

Inc.

(4,015)

(17,345)

AECOM*

(2,832)

(84,535)

AES

Corp.

(30,818)

(419,125)

Agios

Pharmaceuticals,

Inc.*

(21,268)

(754,589)

Air

Products

&

Chemicals,

Inc.

(494)

(98,607)

Albemarle

Corp.

(6,663)

(375,593)

Alcoa

Corp.*

(97,350)

(599,676)

Allegheny

Technologies,

Inc.*

(18,039)

(153,332)

Alnylam

Pharmaceuticals,

Inc.*

(1,416)

(154,132)

Altice

USA,

Inc.,

Class

A*

(35,171)

(783,962)

Altria

Group,

Inc.

(1,373)

(53,094)

Amcor

plc

(7,436)

(60,380)

American

Airlines

Group,

Inc.

(50,501)

(615,607)

American

Electric

Power

Co.,

Inc.

(19,852)

(1,587,762)

American

Express

Co.

(18,078)

(1,547,657)

American

International

Group,

Inc.

(3,520)

(85,360)

Anaplan,

Inc.*

(5,983)

(181,046)

Antero

Resources

Corp.*

(96,915)

(69,091)

AO

Smith

Corp.

(4,147)

(156,798)

Apache

Corp.

(61,262)

(256,075)

Aptiv

plc

(4,510)

(222,072)

Arista

Networks,

Inc.*

(1,157)

(234,350)

Atlassian

Corp.

plc,

Class

A*

(3,656)

(501,823)

Avanos

Medical,

Inc.*

(5,929)

(159,668)

Axalta

Coating

Systems

Ltd.*

(1,568)

(27,079)

Axon

Enterprise,

Inc.*

(5,894)

(417,118)

Baker

Hughes

Co.

(33,147)

(348,044)

Ball

Corp.

(19,320)

(1,249,231)

BancorpSouth

Bank

(1,131)

(21,399)

Bank

of

America

Corp.

(63,556)

(1,349,293)

Bank

OZK

(7,363)

(122,962)

Berry

Global

Group,

Inc.*

(5,846)

(197,069)

BGC

Partners,

Inc.,

Class

A

(56,403)

(142,136)

BlackRock,

Inc.

(1,514)

(666,115)

Bluebird

Bio,

Inc.*

(15,009)

(689,814)

Boeing

Co.

(The)

(6,509)

(970,752)

Brink's

Co.

(The)

(2,505)

(130,385)

Cabot

Oil

&

Gas

Corp.

(62,656)

(1,077,057)

Carpenter

Technology

Corp.

(1,374)

(26,793)

Carvana

Co.*

(22,746)

(1,253,077)

CenterPoint

Energy,

Inc.

(56,868)

(878,611)

CenturyLink,

Inc.

(73,432)

(694,667)

Ceridian

HCM

Holding,

Inc.*

(4,008)

(200,681)

Charles

Schwab

Corp.

(The)

(5,707)

(191,869)

Charter

Communications,

Inc.,

Class

A*

(2,047)

(893,127)

Chemours

Co.

(The)

(23,237)

(206,112)

Cheniere

Energy,

Inc.*

(40,049)

(1,341,642)

Chevron

Corp.

(19,984)

(1,448,040)

Citigroup,

Inc.

(21,713)

(914,552)

Citizens

Financial

Group,

Inc.

(1,635)

(30,754)

CNO

Financial

Group,

Inc.

(8,019)

(99,355)

Cognex

Corp.

(2,520)

(106,394)

INVESTMENTS

SHARES

VALUE

United

States

-

(37.8)%

(continued)

Coherent,

Inc.*

(1,241)

$

(132,055)

Comerica,

Inc.

(707)

(20,743)

CommScope

Holding

Co.,

Inc.*

(33,785)

(307,781)

CommVault

Systems,

Inc.*

(2,350)

(95,128)

Compass

Minerals

International,

Inc.

(3,122)

(120,103)

Concho

Resources,

Inc.

(7,967)

(341,386)

ConocoPhillips

(12,630)

(389,004)

Core

Laboratories

NV

(4,725)

(48,857)

Corteva

,

Inc.

(1,595)

(37,483)

Coupa

Software,

Inc.*

(2,778)

(388,170)

Covetrus

,

Inc.*

(61,366)

(499,519)

Cree,

Inc.*

(7,014)

(248,716)

CSX

Corp.

(16,451)

(942,642)

Cullen/Frost

Bankers,

Inc.

(1,874)

(104,550)

Devon

Energy

Corp.

(14,707)

(101,625)

Dollar

Tree,

Inc.*

(3,983)

(292,631)

Dow,

Inc.

(1,935)

(56,579)

Dycom

Industries,

Inc.*

(8,253)

(211,689)

Eagle

Materials,

Inc.

(360)

(21,031)

Edgewell

Personal

Care

Co.*

(5,154)

(124,108)

Edison

International

(12,904)

(707,010)

Elastic

NV*

(1,895)

(105,760)

Element

Solutions,

Inc.*

(45,473)

(380,154)

EOG

Resources,

Inc.

(6,421)

(230,642)

EQT

Corp.

(138,087)

(976,275)

Equifax,

Inc.

(644)

(76,926)

Equitrans

Midstream

Corp.

(99,295)

(499,454)

Erie

Indemnity

Co.,

Class

A

(1,244)

(184,411)

Exact

Sciences

Corp.*

(2,397)

(139,026)

Exxon

Mobil

Corp.

(24,001)

(911,318)

FedEx

Corp.

(7,493)

(908,601)

FireEye,

Inc.*

(33,978)

(359,487)

First

Financial

Bankshares

,

Inc.

(1,409)

(37,818)

First

Horizon

National

Corp.

(7,083)

(57,089)

First

Republic

Bank

(1,293)

(106,388)

Five

Below,

Inc.*

(843)

(59,330)

Floor

&

Decor

Holdings,

Inc.,

Class

A*

(7,600)

(243,884)

Fluor

Corp.

(80,610)

(557,015)

FNB

Corp.

(3,869)

(28,515)

Freeport-McMoRan,

Inc.

(141,611)

(955,874)

frontdoor

,

Inc.*

(1,459)

(50,744)

GCI

Liberty,

Inc.,

Class

A*

(4,275)

(243,547)

General

Electric

Co.

(157,439)

(1,250,066)

Granite

Construction,

Inc.

(7,820)

(118,708)

Green

Dot

Corp.,

Class

A*

(12,311)

(312,576)

Grubhub

,

Inc.*

(8,719)

(355,125)

Guardant

Health,

Inc.*

(6,742)

(469,243)

Hain

Celestial

Group,

Inc.

(The)*

(21,963)

(570,379)

Halliburton

Co.

(10,589)

(72,535)

Hancock

Whitney

Corp.

(1,333)

(26,020)

Harley-Davidson,

Inc.

(8,815)

(166,868)

Healthcare

Services

Group,

Inc.

(20,795)

(497,208)

HealthEquity

,

Inc.*

(17,217)

(871,008)

Hess

Corp.

(22,112)

(736,330)

Home

BancShares

,

Inc.

(9,193)

(110,224)

Howard

Hughes

Corp.

(The)*

(2,323)

(117,358)

HubSpot

,

Inc.*

(316)

(42,088)

IAA,

Inc.*

(17,638)

(528,434)

12

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

(37.8)%

(continued)

II-VI,

Inc.*

(7,691)

$

(219,194)

Illumina,

Inc.*

(1,154)

(315,180)

Insperity

,

Inc.

(12,925)

(482,103)

Insulet

Corp.*

(1,646)

(272,709)

InterDigital

,

Inc.

(8,569)

(382,434)

International

Game

Technology

plc

(53,785)

(320,021)

IPG

Photonics

Corp.*

(953)

(105,097)

Kansas

City

Southern

(6,643)

(844,857)

Kennametal,

Inc.

(1,243)

(23,145)

Kinder

Morgan,

Inc.

(18,432)

(256,573)

Kirby

Corp.*

(1,939)

(84,288)

Knight-Swift

Transportation

Holdings,

Inc.

(8,145)

(267,156)

Kraft

Heinz

Co.

(The)

(40,363)

(998,581)

LendingTree,

Inc.*

(2,801)

(513,675)

Liberty

Broadband

Corp.,

Class

C*

(2,105)

(233,066)

Lions

Gate

Entertainment

Corp.,

Class

A*

(33,162)

(201,625)

Live

Nation

Entertainment,

Inc.*

(4,450)

(202,297)

LiveRamp

Holdings,

Inc.*

(17,199)

(566,191)

Louisiana-Pacific

Corp.

(5,310)

(91,226)

Macquarie

Infrastructure

Corp.

(5,899)

(148,950)

Madison

Square

Garden

Co.

(The),

Class

A*

(1,165)

(246,293)

MarketAxess

Holdings,

Inc.

(89)

(29,599)

Marvell

Technology

Group

Ltd.

(6,747)

(152,685)

Mastercard

,

Inc.,

Class

A

(2,187)

(528,292)

Mattel,

Inc.*

(40,348)

(355,466)

MEDNAX,

Inc.*

(7,911)

(92,084)

MGM

Resorts

International

(5,016)

(59,189)

Moderna

,

Inc.*

(23,616)

(707,299)

MongoDB,

Inc.*

(2,758)

(376,577)

Mosaic

Co.

(The)

(30,769)

(332,921)

National

Fuel

Gas

Co.

(23,307)

(869,118)

National

Oilwell

Varco,

Inc.

(41,366)

(406,628)

Nektar

Therapeutics*

(68,380)

(1,220,583)

Netflix,

Inc.*

(3,223)

(1,210,237)

Newell

Brands,

Inc.

(59,006)

(783,600)

Newmont

Corp.

(45,412)

(2,056,254)

News

Corp.,

Class

A

(32,213)

(289,112)

NextEra

Energy,

Inc.

(1,421)

(341,921)

Nielsen

Holdings

plc

(56,668)

(710,617)

NiSource,

Inc.

(31,434)

(784,907)

Noble

Energy,

Inc.

(77,869)

(470,329)

Norfolk

Southern

Corp.

(6,510)

(950,460)

NOW,

Inc.*

(10,712)

(55,274)

NRG

Energy,

Inc.

(30,529)

(832,221)

Nutanix

,

Inc.,

Class

A*

(15,243)

(240,839)

Occidental

Petroleum

Corp.

(22,603)

(261,743)

O-I

Glass,

Inc.

(42,893)

(304,969)

Okta

,

Inc.*

(2,900)

(354,554)

Olin

Corp.

(35,779)

(417,541)

Ollie's

Bargain

Outlet

Holdings,

Inc.*

(22,713)

(1,052,520)

ONEOK,

Inc.

(2,381)

(51,930)

PacWest

Bancorp

(10,115)

(181,261)

Papa

John's

International,

Inc.

(521)

(27,806)

Penn

National

Gaming,

Inc.*

(3,623)

(45,831)

Penumbra,

Inc.*

(1,446)

(233,283)

Planet

Fitness,

Inc.,

Class

A*

(739)

(35,989)

INVESTMENTS

SHARES

VALUE

United

States

-

(37.8)%

(continued)

Pluralsight

,

Inc.,

Class

A*

(31,026)

$

(340,665)

PNM

Resources,

Inc.

(1,698)

(64,524)

Pure

Storage,

Inc.,

Class

A*

(72,430)

(890,889)

QIAGEN

NV(2)*

(10,675)

(431,026)

Range

Resources

Corp.

(149,177)

(340,124)

Regions

Financial

Corp.

(11,108)

(99,639)

Resideo

Technologies,

Inc.*

(23,747)

(114,935)

Roku,

Inc.*

(7,290)

(637,729)

Rollins,

Inc.

(1,311)

(47,380)

Royal

Gold,

Inc.

(7,434)

(652,036)

Sage

Therapeutics,

Inc.*

(19,166)

(550,448)

Schlumberger

Ltd.

(101,448)

(1,368,533)

Scientific

Games

Corp.*

(23,898)

(231,811)

Sealed

Air

Corp.

(8,733)

(215,792)

ServiceMaster

Global

Holdings,

Inc.*

(23,736)

(640,872)

Sirius

XM

Holdings,

Inc.

(32,709)

(161,582)

Six

Flags

Entertainment

Corp.

(6,774)

(84,946)

Smartsheet

,

Inc.,

Class

A*

(4,544)

(188,621)

Snap,

Inc.,

Class

A*

(35,218)

(418,742)

Southern

Co.

(The)

(12,406)

(671,661)

Southwest

Airlines

Co.

(20,169)

(718,218)

Southwest

Gas

Holdings,

Inc.

(3,611)

(251,181)

Splunk

,

Inc.*

(1,244)

(157,030)

Spotify

Technology

SA*

(4,237)

(514,541)

Square,

Inc.,

Class

A*

(13,839)

(724,887)

Stericycle,

Inc.*

(4,689)

(227,792)

Sterling

Bancorp

(7,557)

(78,971)

SVB

Financial

Group*

(1,036)

(156,519)

Switch,

Inc.,

Class

A

(17,906)

(258,384)

Synovus

Financial

Corp.

(1,406)

(24,689)

Targa

Resources

Corp.

(51,350)

(354,829)

Tenet

Healthcare

Corp.*

(25,886)

(372,758)

Teradata

Corp.*

(5,601)

(114,764)

Tesla,

Inc.*

(2,464)

(1,291,136)

Thor

Industries,

Inc.

(5,789)

(244,180)

Transocean

Ltd.*

(289,055)

(335,304)

TreeHouse

Foods,

Inc.*

(3,028)

(133,686)

Trex

Co.,

Inc.*

(13,182)

(1,056,405)

Trinity

Industries,

Inc.

(10,718)

(172,238)

Twilio

,

Inc.,

Class

A*

(8,806)

(788,049)

Ubiquiti,

Inc.

(2,116)

(299,583)

UGI

Corp.

(9,483)

(252,912)

Umpqua

Holdings

Corp.

(7,369)

(80,322)

Under

Armour

,

Inc.,

Class

A*

(12,006)

(110,575)

Union

Pacific

Corp.

(10,789)

(1,521,680)

United

States

Steel

Corp.

(58,694)

(370,359)

Univar

Solutions,

Inc.*

(37,193)

(398,709)

Universal

Display

Corp.

(1,060)

(139,687)

Valley

National

Bancorp

(8,329)

(60,885)

Valvoline,

Inc.

(6,033)

(78,972)

Virtu

Financial,

Inc.,

Class

A

(16,688)

(347,444)

Visteon

Corp.*

(7,504)

(360,042)

Vistra

Energy

Corp.

(780)

(12,449)

Wayfair,

Inc.,

Class

A*

(9,622)

(514,200)

Webster

Financial

Corp.

(2,284)

(52,304)

Wells

Fargo

&

Co.

(18,701)

(536,719)

Western

Digital

Corp.

(8,609)

(358,307)

Westinghouse

Air

Brake

Technologies

Corp.

(4,177)

(201,039)

13

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

(37.8)%

(continued)

Williams

Cos.,

Inc.

(The)

(54,693)

$

(773,906)

Workday,

Inc.,

Class

A*

(219)

(28,518)

World

Wrestling

Entertainment,

Inc.,

Class

A

(12,474)

(423,243)

Wynn

Resorts

Ltd.

(5,345)

(321,716)

XPO

Logistics,

Inc.*

(10,154)

(495,008)

Zendesk

,

Inc.*

(4,804)

(307,504)

(92,021,444)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.

(98,374)

(502,600)

TOTAL

COMMON

STOCKS

(Proceeds$(278,085,146))

(183,504,150)

TOTAL

SHORT

POSITIONS

(Proceeds

$(278,085,146))

(183,504,150)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.3%

(Cost

$192,895,942)

256,654,905

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.3)%(

i

)

(12,928,583)

NET

ASSETS

-

100.0%

$243,726,322

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,307

0.0

%

(d)

Consumer

Discretionary

8,578,350

3.5

Consumer

Staples

5,475,466

2.2

Energy

(7,342,835)

(3.0)

Financials

6,263,160

2.6

Health

Care

18,959,376

7.8

Industrials

(6,714,092)

(2.8)

Information

Technology

4,548,855

1.9

Materials

(13,982,687)

(5.7)

Real

Estate

(166,543)

(0.1)

Utilities

10,115,203

4.2

Short-Term

Investments

230,918,345

94.7

Total

Investments

In

Securities

At

Value

256,654,905

105.3

Liabilities

in

Excess

of

Other

Assets(

i

)

(12,928,583)

(5.3)

Net

Assets

$

243,726,322

100.0%

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$150,001,122.

(b)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$14,523,

which

represents

approximately

0.01%

of

net

assets

of

the

fund.

(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

March

31,

2020

amounted

to

$(1,780,576),

which

represents

approximately

(0.73)%

of

net

assets

of

the

fund.

(d)

Represents

less

than

0.05%

of

net

assets.

(e)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$48,683,196.

(f)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(h)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

14

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Written

Call

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

14

GBP

(794,074)

GBP

5,850.00

5/15/2020

$

(37,474)

U.S.

Treasury

10

Year

Note

JPMS

9

USD

(900,000)

USD

135.00

5/22/2020

(36,563)

U.S.

Treasury

10

Year

Note

JPMS

10

USD

(1,000,000)

USD

136.50

4/24/2020

(24,531)

U.S.

Treasury

10

Year

Note

JPMS

16

USD

(1,600,000)

USD

136.50

5/22/2020

(44,500)

U.S.

Treasury

10

Year

Note

JPMS

8

USD

(800,000)

USD

137.50

4/24/2020

(13,250)

U.S.

Treasury

10

Year

Note

JPMS

16

USD

(1,600,000)

USD

138.00

5/22/2020

(27,000)

(183,318)

Written

Put

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

9

GBP

(510,476)

GBP

4,700.00

4/17/2020

$

(2,907)

FTSE

100

Index

JPMS

9

GBP

(510,476)

GBP

4,900.00

4/17/2020

(4,583)

FTSE

100

Index

JPMS

15

GBP

(850,794)

GBP

4,900.00

5/15/2020

(21,240)

FTSE

100

Index

JPMS

3

GBP

(170,159)

GBP

5,000.00

4/17/2020

(1,919)

FTSE

100

Index

JPMS

9

GBP

(510,476)

GBP

5,100.00

4/17/2020

(7,210)

FTSE

100

Index

JPMS

14

GBP

(794,074)

GBP

5,100.00

5/15/2020

(26,780)

FTSE

100

Index

JPMS

3

GBP

(170,159)

GBP

5,200.00

4/17/2020

(3,000)

FTSE

100

Index

JPMS

14

GBP

(794,074)

GBP

5,300.00

5/15/2020

(35,822)

FTSE

100

Index

JPMS

13

GBP

(737,355)

GBP

5,600.00

5/15/2020

(50,299)

Nikkei

225

Index

JPMS

2

JPY

(37,834,020)

JPY

16,750.00

5/8/2020

(9,114)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

17,000.00

4/10/2020

(2,325)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

17,500.00

5/8/2020

(5,952)

Nikkei

225

Index

JPMS

2

JPY

(37,834,020)

JPY

18,000.00

5/8/2020

(14,322)

Nikkei

225

Index

JPMS

3

JPY

(56,751,030)

JPY

18,500.00

5/8/2020

(25,808)

Nikkei

225

Index

JPMS

3

JPY

(56,751,030)

JPY

19,000.00

5/8/2020

(31,249)

Nikkei

225

Index

JPMS

2

JPY

(37,834,020)

JPY

19,750.00

5/8/2020

(27,528)

Nikkei

225

Index

JPMS

2

JPY

(37,834,020)

JPY

20,250.00

5/8/2020

(33,109)

U.S.

Treasury

10

Year

Note

JPMS

8

USD

(800,000)

USD

135.00

5/22/2020

(3,000)

(306,167)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($541,238))

$

(489,485)

15

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Written

Call

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

JPMS

14

EUR

(1,400,000)

EUR

174.50

4/24/2020

$

12,159

Euro-Bund

June

Futures

JPMS

28

EUR

(2,800,000)

EUR

175.00

4/24/2020

20,666

Euro-Bund

June

Futures

JPMS

29

EUR

(2,900,000)

EUR

176.00

4/24/2020

14,159

$

46,984

Written

Put

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

JPMS

30

EUR

(3,000,000)

EUR

172.50

4/24/2020

$

(30,672)

Euro-Bund

June

Futures

JPMS

29

EUR

(2,900,000)

EUR

173.50

4/24/2020

(39,155)

Euro-Bund

June

Futures

JPMS

14

EUR

(1,400,000)

EUR

174.50

4/24/2020

(23,216)

$

(93,043)

Total

Written

Option

Contracts

(Futures

Style)

$

(46,059)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/19/2020

CHF

1,093,800

$

136,202

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.70%)

Monthly

BANA

06/17/2020

CAD

(349,852)

18,897

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.70%)

Monthly

BANA

06/17/2020

CAD

(1,289,821)

69,014

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.70%)

Monthly

BANA

06/17/2020

CAD

(1,394,924)

52,616

16

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.28%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/19/2020

EUR

263,091

$

36,324

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

(-2.98%)

Monthly

BANA

06/17/2020

SEK

(12,863,500)

121,341

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.67%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/19/2020

CHF

2,717

138

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.05%)

Monthly

BANA

06/17/2020

GBP

(868,789)

45,173

479,705

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.00%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/19/2020

HKD

72,796

(74)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

BANA

06/19/2020

EUR

3,662,385

(748,331)

(748,405)

$

(268,700)

17

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

35

Index

60

4/2020

EUR

$

4,475,745

$

359,205

Australia

10

Year

Bond

42

6/2020

AUD

3,890,909

6,836

Australia

3

Year

Bond

208

6/2020

AUD

14,983,029

38,298

DJIA

CBOT

E-Mini

Index

2

6/2020

USD

217,510

8,792

Euro-

Bobl

31

6/2020

EUR

4,622,816

(17,727)

Euro-BTP

8

6/2020

EUR

1,247,689

(43,030)

Euro-

Buxl

1

6/2020

EUR

231,499

(10,245)

Euro-OAT

8

6/2020

EUR

1,475,327

(33,340)

Euro-Schatz

56

6/2020

EUR

6,929,124

(18,960)

FTSE/MIB

Index

45

6/2020

EUR

4,199,733

491,385

Japan

10

Year

Bond

38

6/2020

JPY

53,919,181

(471,345)

NASDAQ

100

E-Mini

Index

3

6/2020

USD

467,175

9,628

Russell

2000

E-Mini

Index

4

6/2020

USD

229,520

18,498

S&P/TSX

60

Index

2

6/2020

CAD

231,422

8,274

TOPIX

Index

13

6/2020

JPY

1,696,257

134,492

U.S.

Treasury

10

Year

Note

146

6/2020

USD

20,248,375

153,158

U.S.

Treasury

2

Year

Note

7

6/2020

USD

1,542,680

13,678

U.S.

Treasury

5

Year

Note

6

6/2020

USD

752,156

6,219

U.S.

Treasury

Long

Bond

1

6/2020

USD

179,063

12,168

665,984

Short

Contracts

OMXS30

Index

(36)

4/2020

SEK

(538,587)

(19,687)

Canada

10

Year

Bond

(63)

6/2020

CAD

(6,586,954)

37,832

EURO

STOXX

50

Index

(129)

6/2020

EUR

(3,908,270)

(297,441)

Euro-Bund

(107)

6/2020

EUR

(20,357,957)

(83,631)

FTSE

100

Index

(45)

6/2020

GBP

(3,149,935)

(323,580)

Long

Gilt

(40)

6/2020

GBP

(6,766,464)

12,731

Nikkei

225

Index

(9)

6/2020

JPY

(1,583,632)

(34,430)

S&P

500

E-Mini

Index

(76)

6/2020

USD

(9,764,860)

(329,603)

SPI

200

Index

(16)

6/2020

AUD

(1,257,018)

(9,642)

(1,047,451)

$

(381,467)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,728,000

USD

1,042,522

CITI

6/17/2020

$

20,586

AUD

1,728,000

USD

1,042,523

JPMC

6/17/2020

20,585

CAD

2,128,000

USD

1,479,210

CITI

6/17/2020

34,013

CAD

2,128,000

USD

1,479,212

JPMC

6/17/2020

34,009

CHF

11,652,684

USD

11,978,742

CITI

6/17/2020

172,386

CHF

11,652,691

USD

11,978,764

JPMC

6/17/2020

172,372

DKK

1,118,000

USD

162,495

CITI

6/17/2020

3,134

DKK

1,118,000

USD

162,496

JPMC

6/17/2020

3,134

EUR

8,068,786

USD

8,808,426

CITI

6/17/2020

116,823

EUR

8,068,794

USD

8,808,446

JPMC

6/17/2020

116,813

GBP

1,274,009

USD

1,505,085

CITI

6/17/2020

79,490

GBP

1,273,991

USD

1,505,066

JPMC

6/17/2020

79,487

18

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

JPY

3,026,330,500

USD

27,625,849

CITI

6/17/2020

$

611,974

JPY

3,026,330,500

USD

27,625,883

JPMC

6/17/2020

611,940

NOK

6,384,996

USD

592,736

CITI

6/17/2020

21,595

NOK

6,385,004

USD

592,737

JPMC

6/17/2020

21,595

NZD

1,354,000

USD

776,459

CITI

6/17/2020

30,979

NZD

1,354,000

USD

776,460

JPMC

6/17/2020

30,978

SEK

14,490,000

USD

1,400,079

CITI

6/17/2020

67,143

SEK

14,490,000

USD

1,400,081

JPMC

6/17/2020

67,141

USD

14,149,796

AUD

21,394,496

CITI

6/17/2020

987,361

USD

14,149,784

AUD

21,394,504

JPMC

6/17/2020

987,343

USD

27,468,839

CAD

37,028,995

CITI

6/17/2020

1,137,494

USD

27,468,813

CAD

37,029,005

JPMC

6/17/2020

1,137,461

USD

20,552,842

CHF

19,418,060

CITI

6/17/2020

304,174

USD

20,552,824

CHF

19,418,067

JPMC

6/17/2020

304,152

USD

17,364,800

EUR

15,470,091

CITI

6/17/2020

252,631

USD

17,364,767

EUR

15,470,081

JPMC

6/17/2020

252,609

USD

23,754,367

GBP

18,537,010

CITI

6/17/2020

698,590

USD

23,754,312

GBP

18,536,990

JPMC

6/17/2020

698,560

USD

15,153,245

JPY

1,588,187,500

CITI

6/17/2020

334,323

USD

15,153,226

JPY

1,588,187,500

JPMC

6/17/2020

334,301

USD

9,090,779

NOK

84,753,488

CITI

6/17/2020

936,243

USD

9,090,770

NOK

84,753,512

JPMC

6/17/2020

936,230

USD

9,363,455

NZD

14,977,500

CITI

6/17/2020

431,844

USD

9,363,444

NZD

14,977,500

JPMC

6/17/2020

431,831

USD

5,980,867

SEK

57,589,508

CITI

6/17/2020

149,496

USD

5,980,858

SEK

57,589,492

JPMC

6/17/2020

149,488

USD

175,711

SGD

244,500

CITI

6/17/2020

3,488

USD

175,711

SGD

244,500

JPMC

6/17/2020

3,488

Total

unrealized

appreciation

12,787,284

AUD

21,341,500

USD

13,964,001

CITI

6/17/2020

(834,169)

AUD

21,341,500

USD

13,964,350

JPMC

6/17/2020

(834,519)

CAD

40,093,988

USD

30,047,865

CITI

6/17/2020

(1,537,003)

CAD

40,094,012

USD

30,047,920

JPMC

6/17/2020

(1,537,043)

CHF

29,475,311

USD

31,196,660

CITI

6/17/2020

(460,542)

CHF

29,475,314

USD

31,196,702

JPMC

6/17/2020

(460,581)

EUR

26,458,213

USD

29,669,190

CITI

6/17/2020

(402,562)

EUR

26,458,207

USD

29,669,221

JPMC

6/17/2020

(402,597)

GBP

19,053,493

USD

24,669,323

CITI

6/17/2020

(971,158)

GBP

19,053,507

USD

24,669,372

JPMC

6/17/2020

(971,191)

JPY

459,891,500

USD

4,359,049

CITI

6/17/2020

(67,932)

JPY

459,891,500

USD

4,359,054

JPMC

6/17/2020

(67,938)

NOK

126,529,496

USD

13,342,985

CITI

6/17/2020

(1,168,980)

NOK

126,529,504

USD

13,343,003

JPMC

6/17/2020

(1,168,995)

NZD

24,072,500

USD

15,186,125

CITI

6/17/2020

(830,843)

NZD

24,072,500

USD

15,186,144

JPMC

6/17/2020

(830,863)

SEK

30,925,500

USD

3,210,570

CITI

6/17/2020

(79,129)

SEK

30,925,500

USD

3,210,574

JPMC

6/17/2020

(79,133)

SGD

39,000

USD

27,902

CITI

6/17/2020

(431)

SGD

39,000

USD

27,902

JPMC

6/17/2020

(431)

USD

1,379,810

AUD

2,324,500

CITI

6/17/2020

(50,281)

USD

1,379,809

AUD

2,324,500

JPMC

6/17/2020

(50,283)

USD

5,339,938

CAD

7,607,994

CITI

6/17/2020

(70,111)

USD

5,339,940

CAD

7,608,006

JPMC

6/17/2020

(70,117)

USD

25,097,236

CHF

24,363,934

CITI

6/17/2020

(308,865)

USD

25,097,210

CHF

24,363,939

JPMC

6/17/2020

(308,900)

USD

613,080

DKK

4,210,000

CITI

6/17/2020

(10,624)

USD

613,079

DKK

4,210,000

JPMC

6/17/2020

(10,624)

USD

26,128,659

EUR

23,891,912

CITI

6/17/2020

(299,268)

19

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

26,128,631

EUR

23,891,916

JPMC

6/17/2020

$

(299,301)

USD

4,268,318

GBP

3,540,000

CITI

6/17/2020

(134,627)

USD

4,268,313

GBP

3,540,000

JPMC

6/17/2020

(134,633)

USD

14,345,785

JPY

1,583,035,004

CITI

6/17/2020

(425,064)

USD

14,345,767

JPY

1,583,035,004

JPMC

6/17/2020

(425,079)

USD

2,462,170

NOK

27,388,000

CITI

6/17/2020

(172,961)

USD

2,462,167

NOK

27,388,000

JPMC

6/17/2020

(172,963)

USD

3,393,986

NZD

5,932,500

CITI

6/17/2020

(143,774)

USD

3,393,982

NZD

5,932,500

JPMC

6/17/2020

(143,777)

USD

262,803

SEK

2,611,000

CITI

6/17/2020

(1,580)

USD

262,803

SEK

2,611,000

JPMC

6/17/2020

(1,580)

USD

19,343

SGD

28,000

CITI

6/17/2020

(380)

USD

19,343

SGD

28,000

JPMC

6/17/2020

(380)

Total

unrealized

depreciation

(15,941,212)

Net

unrealized

depreciation

$

(3,153,928)

20

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

106.8%

COMMON

STOCKS

-

18.6%

Aerospace

&

Defense

-

0.3%

Embraer

SA,

ADR

(Brazil)*

159,946

$

1,183,600

Airlines

-

0.0%(a)

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(Brazil)*(b)

15,782

67,389

Auto

Components

-

0.9%

Keihin

Corp.

(Japan)(2)

96,433

2,255,956

Showa

Corp.

(Japan)(2)

109,352

2,279,557

4,535,513

Automobiles

-

0.3%

Tesla,

Inc.*(b)

2,278

1,193,672

Banks

-

0.1%

Patriot

National

Bancorp,

Inc.

17,287

105,796

PNBK

Holdings

LLC,

Class

A(3)*(c)

(d)

2,090,900

415,504

PNBK

Holdings

LLC,

Class

B(3)*(c)

(d)

3,218

–

521,300

Beverages

-

0.0%(a)

Primo

Water

Corp.

100

906

Biotechnology

-

0.7%

Arcutis

Biotherapeutics,

Inc.*

1,000

29,800

Beam

Therapeutics,

Inc.*

2,500

45,000

Ligand

Pharmaceuticals,

Inc.*

101

7,345

Passage

Bio,

Inc.*

2,500

39,375

Precigen,

Inc.*(b)

26,705

90,797

REVOLUTION

Medicines,

Inc.*

1,500

32,865

Verastem,

Inc.*(b)

1,190,777

3,143,651

3,388,833

Capital

Markets

-

6.5%

Acamar

Partners

Acquisition

Corp.,

Class

A*

300,000

2,955,000

Act

II

Global

Acquisition

Corp.,

Class

A*

261,810

2,584,065

Churchill

Capital

Corp.

III*

90,000

900,000

Crescent

Acquisition

Corp.,

Class

A*

150,000

1,477,500

DFP

Healthcare

Acquisitions

Corp.*

7,500

74,400

Flying

Eagle

Acquisition

Corp.*

6,000

59,820

GigCapital2,

Inc.*

3,000

29,850

Glory

Star

New

Media

Group

Holdings

Ltd.

(Hong

Kong)*

15,769

64,968

Gordon

Pointe

Acquisition

Corp.(2)*

245,960

2,496,519

Gores

Holdings

IV,

Inc.,

Class

A(2)*

50,000

470,000

Greenrose

Acquisition

Corp.*

90,000

873,000

Greenvision

Acquisition

Corp.

(China)(2)*

19,500

189,150

GX

Acquisition

Corp.,

Class

A*

250,000

2,450,000

Healthcare

Merger

Corp.,

Class

A*

25,000

246,250

InterPrivate

Acquisition

Corp.*

137,500

1,359,875

INVESTMENTS

SHARES

VALUE

Capital

Markets

-

6.5%

(continued)

Juniper

Industrial

Holdings,

Inc.,

Class

A*

150,000

$

1,443,000

Landcadia

Holdings

II,

Inc.,

Class

A*

199,998

1,975,980

Leisure

Acquisition

Corp.*

50,000

522,500

LGL

Systems

Acquisition

Corp.,

Class

A(2)*

28,750

287,500

Longevity

Acquisition

Corp.

(China)*

125,000

18,762

Monocle

Acquisition

Corp.*

86,119

865,496

Mudrick

Capital

Acquisition

Corp.,

Class

A*

150,000

1,552,500

Nebula

Acquisition

Corp.,

Class

A*

69,865

709,130

New

Providence

Acquisition

Corp.,

Class

A*

50,000

490,000

Pivotal

Investment

Corp.

II,

Class

A*

49,998

495,480

Replay

Acquisition

Corp.(2)*

80,000

785,600

RMG

Acquisition

Corp.,

Class

A*

349,998

3,473,555

South

Mountain

Merger

Corp.,

Class

A*

150,000

1,455,000

Tuscan

Holdings

Corp.*

170,000

1,694,900

Tuscan

Holdings

Corp.

II(2)*

40,000

389,200

32,389,000

Chemicals

-

1.3%

Hitachi

Chemical

Co.

Ltd.

(Japan)

(2)

149,736

6,371,775

Diversified

Financial

Services

-

0.0%(a)

Rescap

Liquidating

Trust(2)*

125,811

106,940

Voya

Financial,

Inc.

433

17,558

124,498

Electronic

Equipment,

Instruments

&

Components

-

0.1%

Fitbit,

Inc.,

Class

A*

100,329

668,191

Entertainment

-

0.7%

Bilibili,

Inc.,

ADR

(China)*(b)

44,525

1,042,775

Cineplex,

Inc.

(Canada)

305,663

2,541,219

3,583,994

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.4%

Northview

Apartment

REIT

(Canada)

73,901

1,719,263

Health

Care

Equipment

&

Supplies

-

0.0%(a)

China

Medical

Technologies,

Inc.,

ADR

(China)(3)*(c)

4,931

–

Integra

LifeSciences

Holdings

Corp.*

3,591

160,410

160,410

Health

Care

Providers

&

Services

-

0.0%(a)

1Life

Healthcare,

Inc.*

10,000

181,500

Health

Care

Technology

-

0.0%(a)

Schrodinger,

Inc.*

2,000

86,240

21

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Hotels,

Restaurants

&

Leisure

-

2.3%

Caesars

Entertainment

Corp.*

265,420

$

1,794,239

Panera

Bread

Co.,

Class

A(3)*(c)(d)

10,533

–

Stars

Group,

Inc.

(The)

(Canada)*

475,779

9,715,407

11,509,646

Household

Durables

-

0.0%(a)

Casper

Sleep,

Inc.*

5,000

21,450

Household

Products

-

0.0%(a)

Reynolds

Consumer

Products,

Inc.

5,000

145,850

Independent

Power

and

Renewable

Electricity

Producers

-

0.2%

TerraForm

Power,

Inc.,

Class

A

72,775

1,147,662

Insurance

-

0.0%(a)

Power

Corp.

of

Canada

(Canada)

15

241

Interactive

Media

&

Services

-

1.6%

IAC/InterActiveCorp*

19,456

3,487,099

LINE

Corp.

(Japan)(2)*

90,666

4,377,382

7,864,481

Internet

&

Direct

Marketing

Retail

-

0.2%

Booking

Holdings,

Inc.*(b)

105

141,259

Wayfair,

Inc.,

Class

A*(b)

10,903

582,656

723,915

IT

Services

-

0.2%

Euronet

Worldwide,

Inc.*(b)

391

33,517

KBR,

Inc.

152

3,143

Net

1

UEPS

Technologies,

Inc.

(South

Africa)*

248,450

722,990

Wix.com

Ltd.

(Israel)*(b)

1,259

126,932

886,582

Life

Sciences

Tools

&

Services

-

1.4%

Illumina,

Inc.*(b)

1,405

383,734

PPD,

Inc.*

10,000

178,100

QIAGEN

NV*

152,616

6,348,825

6,910,659

Media

-

0.0%(a)

iHeartMedia,

Inc.,

Class

A*

3,276

23,948

News

Corp.,

Class

A

8,462

75,946

Sirius

XM

Holdings,

Inc.(b)

221

1,092

100,986

Metals

&

Mining

-

0.1%

Kirkland

Lake

Gold

Ltd.

(Canada)

10

295

SEMAFO,

Inc.

(Canada)*

221,958

430,573

430,868

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%(a)

Blackstone

Mortgage

Trust,

Inc.,

Class

A(b)

4,055

75,504

Oil,

Gas

&

Consumable

Fuels

-

0.0%(a)

Quicksilver

Resources,

Inc.(3)*(c)

(d)

14,730

82,529

INVESTMENTS

SHARES

VALUE

Pharmaceuticals

-

0.0%(a)

Jazz

Pharmaceuticals

plc*(b)

438

$

43,686

Real

Estate

Management

&

Development

-

0.4%

Aroundtown

SA

(Germany)(2)

10

50

Howard

Hughes

Corp.

(The)*(b)

23,488

1,186,614

Unizo

Holdings

Co.

Ltd.

(Japan)(2)

12,972

720,231

1,906,895

Semiconductors

&

Semiconductor

Equipment

-

0.0%(a)

Impinj,

Inc.*(b)

222

3,710

Software

-

0.8%

Atlassian

Corp.

plc,

Class

A*

208

28,550

LivePerson,

Inc.*(b)

11,971

272,340

MINDBODY,

Inc.,

Class

A(3)*(c)(d)

21,570

753,096

Palo

Alto

Networks,

Inc.*(b)

513

84,111

RIB

Software

SE

(Germany)(2)

92,202

2,888,510

Splunk,

Inc.*(b)

2

252

4,026,859

Technology

Hardware,

Storage

&

Peripherals

-

0.0%(a)

Western

Digital

Corp.(b)

1,044

43,451

Trading

Companies

&

Distributors

-

0.0%(a)

AM

Castle

&

Co.(2)*(b)

8,695

6,956

Wireless

Telecommunication

Services

-

0.1%

Cleveland

Unlimited(3)*(c)(d)

1

279,657

TOTAL

COMMON

STOCKS

(Cost

$108,267,427)

92,387,671

PREFERRED

STOCKS

-

0.7%

Banks

-

0.1%

FB

Corp.,

Class

C(3)*(c)(d)

786

617,171

Multi-Utilities

-

0.3%

Dominion

Energy,

Inc.,

Series

A,

7.25%,

6/1/2022(2)(b)

13,425

1,257,117

Thrifts

&

Mortgage

Finance

-

0.3%

FHLMC,

Series

V,

5.57%,

5/4/2020*(e)

83,409

387,017

FHLMC,

Series

W,

5.66%,

5/4/2020*(e)

29,460

136,989

FHLMC,

Series

X,

6.02%,

5/4/2020*(e)

47,843

281,317

FHLMC,

Series

Z,

8.38%,

12/31/2022*(e)(f)

45,876

279,385

FNMA,

Series

S,

8.25%,

12/31/2020*(e)(f)

77,876

492,955

1,577,663

TOTAL

PREFERRED

STOCKS

(Cost

$3,970,336)

3,451,951

22

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

CONVERTIBLE

PREFERRED

STOCKS

-

4.2%

Commercial

Services

&

Supplies

-

0.4%

GFL

Environmental,

Inc.

(Canada)

$50

par,

6.00%,

3/15/2023(2)

  *(b)

47,400

$

1,981,320

Diversified

Financial

Services

-

0.5%

2017

Mandatory

Exchangeable

Trust

$100

par,

5.19%,

12/1/2020(2)

  (b)(g)

18,425

2,695,167

Electric

Utilities

-

1.9%

NextEra

Energy,

Inc.

$50

par,

4.87%,

9/1/2022(2)

  (b)

56,425

2,755,797

$50

par,

5.28%,

3/1/2023(2)

  *(b)

146,500

6,440,792

9,196,589

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.2%

QTS

Realty

Trust,

Inc.

Series

B,

$100

par,

6.50%(2)

  (b)(e)

9,525

1,230,976

Health

Care

Technology

-

0.1%

Change

Healthcare,

Inc.

$50

par,

6.00%,

6/30/2022(2)

  (b)

14,475

620,254

Machinery

-

0.2%

Colfax

Corp.

$100

par,

5.75%,

1/15/2022(2)

  (b)

2,075

183,580

Fortive

Corp.

Series

A,

$1,000

par,

5.00%,

7/1/2021(2)

  (b)

875

631,750

815,330

Multi-Utilities

-

0.7%

CenterPoint

Energy,

Inc.

Series

B,

$50

par,

7.00%,

9/1/2021(2)

  (b)

39,775

1,159,687

DTE

Energy

Co.

$50

par,

6.25%,

11/1/2022(2)

  (b)

43,400

1,717,231

Sempra

Energy

Series

A,

$100

par,

6.00%,

1/15/2021(2)

  (b)

7,925

742,184

3,619,102

Technology

Hardware,

Storage

&

Peripherals

-

0.2%

NCR

Corp.

Series

A,

$1,000

par,

5.50%,

12/31/2049(2)

  (b)(e)(h)

925

849,673

TOTAL

CONVERTIBLE

PREFERRED

STOCKS

(Cost

$22,898,618)

21,008,411

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

Aberdeen

Emerging

Markets

Equity

Income

Fund,

Inc.

2,380

$

12,328

Aberdeen

Global

Premier

Properties

Fund

8,732

37,024

Aberdeen

Income

Credit

Strategies

Fund

8,080

59,388

Aberdeen

Total

Dynamic

Dividend

Fund

28,836

189,741

Adams

Diversified

Equity

Fund,

Inc.

18,524

233,217

Adams

Natural

Resources

Fund,

Inc.

2,560

21,222

Advent

Convertible

and

Income

870

9,257

AllianceBernstein

Global

High

Income

Fund,

Inc.

16,844

155,975

AllianceBernstein

National

Municipal

Income

Fund,

Inc.

877

11,182

AllianzGI

Diversified

Income

&

Convertible

Fund

1,359

24,448

AllianzGI

Equity

&

Convertible

Income

Fund

6,979

129,809

AllianzGI

NFJ

Dividend

Interest

&

Premium

Strategy

Fund

25,184

242,018

Apollo

Senior

Floating

Rate

Fund,

Inc.

6,097

70,786

Apollo

Tactical

Income

Fund,

Inc.

5,813

65,861

Ares

Dynamic

Credit

Allocation

Fund,

Inc.

10,792

116,446

Bancroft

Fund

Ltd.

168

3,269

Barings

Global

Short

Duration

High

Yield

Fund

7,049

78,455

BlackRock

California

Municipal

Income

Trust

8,759

111,152

BlackRock

Core

Bond

Trust

11,623

153,772

BlackRock

Credit

Allocation

Income

Trust

5,417

63,162

BlackRock

Debt

Strategies

Fund,

Inc.

17,900

151,255

BlackRock

Energy

and

Resources

Trust

6,492

40,900

BlackRock

Enhanced

Capital

and

Income

Fund,

Inc.

9,540

123,925

BlackRock

Enhanced

Equity

Dividend

Trust

49,976

326,343

BlackRock

Enhanced

Global

Dividend

Trust

24,800

205,592

BlackRock

Enhanced

International

Dividend

Trust

1,759

7,916

BlackRock

Floating

Rate

Income

Strategies

Fund,

Inc.

23,492

235,155

BlackRock

Floating

Rate

Income

Trust

11,850

116,248

BlackRock

Limited

Duration

Income

Trust

16,018

202,147

BlackRock

Long-Term

Municipal

Advantage

Trust

1,224

13,733

BlackRock

Multi-Sector

Income

Trust

10,755

129,813

BlackRock

MuniAssets

Fund,

Inc.

1

13

BlackRock

Municipal

2030

Target

Term

Trust

7,784

176,541

23

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

BlackRock

Municipal

Bond

Trust

4,492

$

64,236

BlackRock

Municipal

Income

Investment

Quality

Trust

469

6,533

BlackRock

Municipal

Income

Investment

Trust

1,653

20,249

BlackRock

Municipal

Income

Quality

Trust

2,066

27,374

BlackRock

Municipal

Income

Trust

7,933

102,812

BlackRock

Municipal

Income

Trust

II

4,072

54,443

BlackRock

MuniEnhanced

Fund,

Inc.

4,912

52,362

BlackRock

MuniHoldings

California

Quality

Fund,

Inc.

1,026

13,677

BlackRock

MuniHoldings

Fund

II,

Inc.

1,420

19,511

BlackRock

MuniHoldings

Fund,

Inc.

521

8,117

BlackRock

MuniHoldings

Investment

Quality

Fund

2,312

30,241

BlackRock

MuniHoldings

New

York

Quality

Fund,

Inc.

1,215

15,309

BlackRock

MuniHoldings

Quality

Fund

II,

Inc.

3,936

47,232

BlackRock

MuniHoldings

Quality

Fund,

Inc.

9,036

107,980

BlackRock

MuniVest

Fund

II,

Inc.

2,830

38,460

BlackRock

MuniVest

Fund,

Inc.

7,456

60,394

BlackRock

MuniYield

California

Fund,

Inc.

1,894

25,058

BlackRock

MuniYield

California

Quality

Fund,

Inc.

6,306

85,320

BlackRock

MuniYield

Fund,

Inc.

6,506

82,691

BlackRock

MuniYield

Investment

Fund

1,181

15,695

BlackRock

MuniYield

Michigan

Quality

Fund,

Inc.

1,238

16,404

BlackRock

MuniYield

New

Jersey

Fund,

Inc.

1,993

26,886

BlackRock

MuniYield

New

York

Quality

Fund,

Inc.

2,696

32,972

BlackRock

MuniYield

Pennsylvania

Quality

Fund

14,396

193,194

BlackRock

MuniYield

Quality

Fund

II,

Inc.

3,573

44,127

BlackRock

MuniYield

Quality

Fund

III,

Inc.

10,841

138,548

BlackRock

MuniYield

Quality

Fund,

Inc.

4,549

66,188

BlackRock

New

York

Municipal

Income

Trust

7,712

102,184

BlackRock

Resources

&

Commodities

Strategy

Trust

11,164

56,267

BlackRock

Taxable

Municipal

Bond

Trust

1,947

42,445

Blackstone/GSO

Long-Short

Credit

Income

Fund

4,336

45,701

Blackstone/GSO

Senior

Floating

Rate

Term

Fund

6,187

72,635

Blackstone/GSO

Strategic

Credit

Fund

20,072

208,950

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

BNY

Mellon

Municipal

Bond

Infrastructure

Fund,

Inc.

4,062

$

50,328

BNY

Mellon

Municipal

Income,

Inc.

882

7,250

BNY

Mellon

Strategic

Municipal

Bond

Fund,

Inc.

11,764

84,348

BNY

Mellon

Strategic

Municipals,

Inc.

4,705

35,052

Boulder

Growth

&

Income

Fund,

Inc.

8,817

81,116

Brookfield

Real

Assets

Income

Fund,

Inc.

18,868

276,982

Calamos

Strategic

Total

Return

Fund

11,737

114,670

CBRE

Clarion

Global

Real

Estate

Income

Fund

8,389

43,958

Central

Securities

Corp.

2,112

54,532

Clough

Global

Equity

Fund

2,684

23,753

Clough

Global

Opportunities

Fund

25,932

185,932

Cohen

&

Steers

Closed-End

Opportunity

Fund,

Inc.

1,301

12,490

Cohen

&

Steers

Infrastructure

Fund,

Inc.

19,777

372,796

Cohen

&

Steers

Quality

Income

Realty

Fund,

Inc.

35,895

324,491

Cohen

&

Steers

REIT

and

Preferred

and

Income

Fund,

Inc.

14,434

232,676

Delaware

Investments

Minnesota

Municipal

Income

Fund

II,

Inc.

10,068

124,541

Dividend

and

Income

Fund

13,179

115,843

DTF

Tax-Free

Income,

Inc.

12,391

172,854

DWS

Municipal

Income

Trust

10,894

117,437

DWS

Strategic

Municipal

Income

Trust

1,232

12,714

Eaton

Vance

California

Municipal

Bond

Fund

995

10,497

Eaton

Vance

Floating-Rate

Income

Trust

24,914

255,368

Eaton

Vance

High

Income

2021

Target

Term

Trust

2,209

19,461

Eaton

Vance

Limited

Duration

Income

Fund

12,717

134,419

Eaton

Vance

Municipal

Bond

Fund

9,039

112,807

Eaton

Vance

Municipal

Income

Trust

14,535

174,129

Eaton

Vance

National

Municipal

Opportunities

Trust

1,504

29,328

Eaton

Vance

New

York

Municipal

Bond

Fund

1,763

20,398

Eaton

Vance

Risk-Managed

Diversified

Equity

Income

Fund

13,793

114,758

Eaton

Vance

Senior

Floating-Rate

Trust

20,795

205,455

Eaton

Vance

Senior

Income

Trust

1,440

6,638

Eaton

Vance

Short

Duration

Diversified

Income

Fund

646

7,061

Eaton

Vance

Tax

Managed

Global

Buy

Write

Opportunities

Fund

40,924

305,293

Eaton

Vance

Tax-Advantaged

Global

Dividend

Income

Fund

11,682

139,600

24

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

Eaton

Vance

Tax-Managed

Global

Diversified

Equity

Income

Fund

44,970

$

286,909

Ellsworth

Growth

and

Income

Fund

Ltd.

4,131

35,444

Federated

Premier

Municipal

Income

Fund

13,699

178,772

First

Trust

Aberdeen

Global

Opportunity

Income

Fund

1,523

13,402

First

Trust

Dynamic

Europe

Equity

Income

Fund

2,499

22,916

First

Trust

Energy

Income

and

Growth

Fund

4,120

35,968

First

Trust

High

Income

Long/Short

Fund

6,691

81,429

First

Trust

Senior

Floating

Rate

2022

Target

Term

Fund

8,367

61,330

First

Trust

Senior

Floating

Rate

Income

Fund

II

9,686

92,114

Franklin

Ltd.

Duration

Income

Trust

9,974

78,296

Gabelli

Dividend

&

Income

Trust

(The)

22,444

332,396

Gabelli

Healthcare

&

WellnessRx

Trust

(The)

4,601

39,845

GDL

Fund

(The)

1,358

10,647

General

American

Investors

Co.,

Inc.

1,756

48,167

Highland

Global

Allocation

Fund

6,227

27,087

Invesco

Advantage

Municipal

Income

Trust

II

11,691

120,067

Invesco

Bond

Fund

993

17,576

Invesco

California

Value

Municipal

Income

Trust

11,079

125,525

Invesco

Dynamic

Credit

Opportunities

Fund

14,678

117,130

Invesco

Municipal

Income

Opportunities

Trust

6,062

41,707

Invesco

Municipal

Opportunity

Trust

5,525

63,261

Invesco

Municipal

Trust

10,699

125,178

Invesco

Pennsylvania

Value

Municipal

Income

Trust

1,579

19,169

Invesco

Quality

Municipal

Income

Trust

10,694

125,227

Invesco

Trust

for

Investment

Grade

Municipals

11,590

140,123

Invesco

Trust

for

Investment

Grade

New

York

Municipals

4,859

58,794

Invesco

Value

Municipal

Income

Trust

18,307

258,861

Ivy

High

Income

Opportunities

Fund

6,707

69,753

John

Hancock

Hedged

Equity

&

Income

Fund

1,449

14,722

John

Hancock

Income

Securities

Trust

605

8,434

John

Hancock

Tax-Advantaged

Dividend

Income

Fund

5,068

89,146

KKR

Income

Opportunities

Fund

10,816

115,299

Lazard

Global

Total

Return

and

Income

Fund,

Inc.

3,990

47,920

LMP

Capital

and

Income

Fund,

Inc.

4,026

32,450

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

Macquarie

Global

Infrastructure

Total

Return

Fund,

Inc.

5,251

$

81,338

Madison

Covered

Call

&

Equity

Strategy

Fund

1,985

10,044

MFS

Investment

Grade

Municipal

Trust

615

5,640

MFS

Municipal

Income

Trust

7,813

49,925

New

America

High

Income

Fund,

Inc.

(The)

3,475

24,117

New

Germany

Fund,

Inc.

(The)

2,963

34,400

Nuveen

AMT-Free

Municipal

Credit

Income

Fund

18,118

265,972

Nuveen

AMT-Free

Municipal

Value

Fund

2,262

35,400

Nuveen

AMT-Free

Quality

Municipal

Income

Fund

3,420

46,307

Nuveen

Arizona

Quality

Municipal

Income

Fund

3,363

41,701

Nuveen

California

AMT-Free

Quality

Municipal

Income

Fund

4,054

57,405

Nuveen

California

Quality

Municipal

Income

Fund

11,852

162,254

Nuveen

Credit

Strategies

Income

Fund

33,537

190,155

Nuveen

Diversified

Dividend

&

Income

Fund

5,747

40,459

Nuveen

Dow

30sm

Dynamic

Overwrite

Fund

7,872

98,557

Nuveen

Enhanced

Municipal

Value

Fund

8,155

106,341

Nuveen

Floating

Rate

Income

Opportunity

Fund

27,632

205,306

Nuveen

Georgia

Quality

Municipal

Income

Fund

6,067

72,076

Nuveen

High

Income

2020

Target

Term

Fund

165

1,455

Nuveen

Maryland

Quality

Municipal

Income

Fund

1,129

14,259

Nuveen

Massachusetts

Quality

Municipal

Income

Fund

1,009

13,622

Nuveen

Michigan

Quality

Municipal

Income

Fund

10,776

144,614

Nuveen

Municipal

Credit

Income

Fund

18,601

261,716

Nuveen

Municipal

High

Income

Opportunity

Fund

6,582

81,946

Nuveen

Municipal

Value

Fund,

Inc.

3,127

30,520

Nuveen

New

Jersey

Quality

Municipal

Income

Fund

2,847

38,264

Nuveen

New

York

AMT-Free

Quality

Municipal

Income

Fund

6,738

84,225

Nuveen

New

York

Municipal

Value

Fund,

Inc.

335

3,167

Nuveen

New

York

Quality

Municipal

Income

Fund

1,897

24,908

Nuveen

Ohio

Quality

Municipal

Income

Fund

3,131

46,120

Nuveen

Pennsylvania

Quality

Municipal

Income

Fund

1,738

23,133

25

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

Nuveen

Preferred

&

Income

Securities

Fund

26,954

$

195,686

Nuveen

Quality

Municipal

Income

Fund

6,333

87,015

Nuveen

Real

Asset

Income

and

Growth

Fund

9,616

94,910

Nuveen

Real

Estate

Income

Fund

9,210

62,536

Nuveen

S&P

500

Buy-Write

Income

Fund

17,937

181,164

Nuveen

Select

Tax-Free

Income

Portfolio

1,073

16,063

Nuveen

Select

Tax-Free

Income3

Portfolio

331

5,097

Nuveen

Short

Duration

Credit

Opportunities

Fund

3,814

41,496

Nuveen

Taxable

Municipal

Income

Fund

462

8,847

Nuveen

Tax-Advantaged

Dividend

Growth

Fund

3,357

37,766

Nuveen

Virginia

Quality

Municipal

Income

Fund

20,145

260,273

PGIM

Global

High

Yield

Fund,

Inc.

5,050

55,853

PGIM

High

Yield

Bond

Fund,

Inc.

4,274

49,493

Pioneer

Floating

Rate

Trust

8,663

66,272

Pioneer

High

Income

Trust

9,214

59,154

Pioneer

Municipal

High

Income

Advantage

Trust

12,528

127,535

Pioneer

Municipal

High

Income

Trust

6,499

73,569

Principal

Real

Estate

Income

Fund

1,477

17,886

Putnam

Managed

Municipal

Income

Trust

2,754

19,829

Putnam

Municipal

Opportunities

Trust

992

11,835

RiverNorth

Opportunistic

Municipal

Income

Fund,

Inc.

777

15,633

RMR

Real

Estate

Income

Fund

126

1,279

Royce

Micro-Cap

Trust,

Inc.

8,568

47,638

Royce

Value

Trust,

Inc.

27,486

265,790

Source

Capital,

Inc.

2,646

81,206

Sprott

Focus

Trust,

Inc.

1,110

5,583

Swiss

Helvetia

Fund,

Inc.

(The)

5,025

34,924

Tekla

Healthcare

Investors

18,541

330,215

Tekla

Healthcare

Opportunities

Fund

19,064

292,823

Tekla

Life

Sciences

Investors

15,967

239,186

Templeton

Emerging

Markets

Fund*

3,866

43,106

Templeton

Global

Income

Fund

45,699

244,490

THL

Credit

Senior

Loan

Fund

1,279

14,785

Tri-Continental

Corp.

9,596

200,652

Virtus

Total

Return

Fund,

Inc.

271

1,951

Voya

Emerging

Markets

High

Income

Dividend

Equity

Fund

3,096

18,050

Voya

Global

Advantage

and

Premium

Opportunity

Fund

6,023

46,136

Voya

Global

Equity

Dividend

and

Premium

Opportunity

Fund

50,629

230,868

Voya

Infrastructure

Industrials

and

Materials

Fund

25,770

209,510

INVESTMENTS

SHARES

VALUE

CLOSED

END

FUNDS

-

3.9%

(continued)

Wells

Fargo

Income

Opportunities

Fund

35,591

$

227,071

Wells

Fargo

Multi-Sector

Income

Fund

12,981

125,007

Western

Asset

Global

Corporate

Defined

Opportunity

Fund,

Inc.

1,123

15,419

Western

Asset

Global

High

Income

Fund,

Inc.

7,855

58,755

Western

Asset

High

Yield

Defined

Opportunity

Fund,

Inc.

6,761

83,363

Western

Asset

Intermediate

Muni

Fund,

Inc.

22,627

190,746

Western

Asset

Managed

Municipals

Fund,

Inc.

6,949

83,110

Western

Asset

Municipal

Defined

Opportunity

Trust,

Inc.

760

14,341

Western

Asset

Municipal

High

Income

Fund,

Inc.

2,966

20,970

Western

Asset

Municipal

Partners

Fund,

Inc.

1,679

22,935

Western

Asset

Premier

Bond

Fund

3,304

37,236

TOTAL

CLOSED

END

FUNDS

(Cost

$17,846,598)

19,326,730

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

5.1%

Airlines

-

0.2%

United

Airlines

Holdings,

Inc.

6.00%,

12/1/2020(2)

$

1,000,000

960,000

Banks

-

0.0%(a)

Washington

Mutual,

Inc.

Escrow

0.00%,

9/29/2017(3)(c)(i)

5,000,000

65,000

Consumer

Finance

-

0.3%

Curo

Group

Holdings

Corp.

8.25%,

9/1/2025(2)(g)

1,745,000

1,230,225

Diversified

Financial

Services

-

0.6%

Refinitiv

US

Holdings,

Inc.

8.25%,

11/15/2026(2)(g)

2,900,000

3,059,500

Electric

Utilities

-

0.5%

DPL,

Inc.

7.25%,

10/15/2021(2)

2,500,000

2,462,500

Energy

Equipment

&

Services

-

0.2%

CSI

Compressco

LP

7.25%,

8/15/2022(2)

1,500,000

825,000

Green

Field

Energy

Services,

Inc.

13.00%,

7/23/2019(3)(c)(i)

2,073,000

–

825,000

Food

Products

-

0.3%

General

Mills,

Inc.

2.88%,

4/15/2030(2)

500,000

499,000

Viterra,

Inc.

(Switzerland)

5.95%,

8/1/2020(2)(g)

923,000

928,850

1,427,850

Gas

Utilities

-

0.6%

Ferrellgas

LP

6.50%,

5/1/2021(2)

3,500,000

3,053,750

26

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Health

Care

Equipment

&

Supplies

-

0.2%

Kinetic

Concepts,

Inc.

12.50%,

11/1/2021(2)(g)

$

985,000

$

982,537

Health

Care

Providers

&

Services

-

0.3%

Owens

&

Minor,

Inc.

4.38%,

12/15/2024(2)

2,000,000

1,600,000

Independent

Power

and

Renewable

Electricity

Producers

-

0.5%

Aegean

Marine

Petroleum

Network,

Inc.

Escrow

0.00%,

12/15/2021(3)(c)(i)

2,375,000

344,375

Energy

Future

Holdings

0.00%,

12/1/2018(3)(c)(i)

1,000,000

–

Talen

Energy

Supply

LLC

10.50%,

1/15/2026(2)(g)

2,500,000

1,800,000

2,144,375

Media

-

0.0%(a)

iHeartCommunications,

Inc.

6.38%,

5/1/2026(2)

12,439

11,771

8.38%,

5/1/2027(2)

23,318

20,301

32,072

Metals

&

Mining

-

0.2%

Aleris

International,

Inc.

10.75%,

7/15/2023(2)(g)

1,095,000

1,062,150

Oil,

Gas

&

Consumable

Fuels

-

0.3%

Black

Elk

Energy

Escrow

13.75%,

12/1/2015(3)(c)(d)(i)

2,833,436

149,481

Chesapeake

Energy

Corp.

11.50%,

1/1/2025(2)(b)(g)

4,500,000

765,000

NSA

Bondco

Ltd.

(Norway)

12.00%,

8/31/2020(3)(c)(h)

3,514,591

668,254

1,582,735

Pharmaceuticals

-

0.1%

Advanz

Pharma

Corp.

Ltd.

(Canada)

8.00%,

9/6/2024(2)(b)

549,000

483,120

Semiconductors

&

Semiconductor

Equipment

-

0.1%

SunEdison,

Inc.

2.00%,

10/1/2018(3)(c)(i)

16,350,000

327,000

2.75%,

1/1/2021(3)(c)(i)

4,400,000

88,000

415,000

Specialty

Retail

-

0.1%

Men's

Wearhouse,

Inc.

(The)

7.00%,

7/1/2022(2)

2,000,000

560,000

Technology

Hardware,

Storage

&

Peripherals

-

0.4%

EMC

Corp.

2.65%,

6/1/2020(2)

2,000,000

1,988,600

Thrifts

&

Mortgage

Finance

-

0.0%(a)

Ladder

Capital

Finance

Holdings

LLLP

5.88%,

8/1/2021(2)(g)

190,000

159,600

Wireless

Telecommunication

Services

-

0.2%

Sprint

Communications,

Inc.

7.00%,

8/15/2020(2)

1,000,000

1,000,600

T-Mobile

USA,

Inc.

4.75%,

(3)(c)(e)(i)

2,301,000

–

1,000,600

TOTAL

CORPORATE

BONDS

(Cost

$64,747,212)

25,094,614

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

CONVERTIBLE

BONDS

-

28.6%

Air

Freight

&

Logistics

-

0.6%

Atlas

Air

Worldwide

Holdings,

Inc.

1.88%,

6/1/2024(2)(b)

$

3,875,000

$

3,187,188

Airlines

-

0.2%

GOL

Equity

Finance

SA

(Brazil)

3.75%,

7/15/2024(2)(b)(g)

1,025,000

377,328

Norwegian

Air

Shuttle

ASA

(Norway)

6.38%,

11/15/2024(2)(j)

2,400,000

630,267

1,007,595

Auto

Components

-

0.1%

Veoneer,

Inc.

(Sweden)

4.00%,

6/1/2024(2)(b)

775,000

619,004

Automobiles

-

0.3%

Tesla,

Inc.

2.00%,

5/15/2024(2)(b)

725,000

1,322,535

Biotechnology

-

4.7%

Apellis

Pharmaceuticals,

Inc.

3.50%,

9/15/2026(2)(b)(g)

1,625,000

1,655,066

Bridgebio

Pharma,

Inc.

2.50%,

3/15/2027(2)(b)(g)

2,050,000

1,955,396

Cytokinetics,

Inc.

4.00%,

11/15/2026(2)(b)

2,425,000

3,180,562

Exact

Sciences

Corp.

0.38%,

3/1/2028(2)(b)

4,500,000

3,530,490

Inovio

Pharmaceuticals,

Inc.

6.50%,

3/1/2024(2)(b)

2,075,000

3,095,640

Intercept

Pharmaceuticals,

Inc.

2.00%,

5/15/2026(2)(b)

400,000

340,316

Ironwood

Pharmaceuticals,

Inc.

0.75%,

6/15/2024(2)(b)(g)

1,400,000

1,424,500

1.50%,

6/15/2026(2)(b)(g)

1,400,000

1,407,840

OPKO

Health,

Inc.

4.50%,

2/15/2025(2)(b)

5,075,000

3,331,852

Precigen,

Inc.

3.50%,

7/1/2023(2)(b)

2,550,000

1,255,875

PTC

Therapeutics,

Inc.

1.50%,

9/15/2026(2)(b)(g)

2,050,000

2,197,034

23,374,571

Capital

Markets

-

1.3%

Hercules

Capital,

Inc.

4.38%,

2/1/2022(2)(b)

1,225,000

1,123,938

New

Mountain

Finance

Corp.

5.75%,

8/15/2023(2)(b)

3,325,000

2,714,378

Prospect

Capital

Corp.

6.38%,

3/1/2025(2)(b)

3,000,000

2,549,730

6,388,046

Communications

Equipment

-

1.3%

Harmonic,

Inc.

2.00%,

9/1/2024(2)(b)(g)

375,000

367,325

Infinera

Corp.

2.13%,

9/1/2024(2)(b)

1,625,000

1,361,851

2.50%,

3/1/2027(2)(b)(g)

1,475,000

1,342,048

27

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Communications

Equipment

-

1.3%

(continued)

Lumentum

Holdings,

Inc.

Series

QIB,

0.50%,

12/15/2026(2)(b)(g)

$

3,175,000

$

3,230,563

6,301,787

Construction

&

Engineering

-

0.6%

Granite

Construction,

Inc.

2.75%,

11/1/2024(2)(b)(g)

3,800,000

2,890,818

Consumer

Finance

-

0.4%

Encore

Capital

Group,

Inc.

3.25%,

10/1/2025(2)(b)(g)

1,400,000

1,052,750

EZCORP,

Inc.

2.88%,

7/1/2024(2)(b)

475,000

368,542

2.38%,

5/1/2025(2)(b)

1,025,000

758,753

2,180,045

Diversified

Financial

Services

-

0.2%

Element

Fleet

Management

Corp.

(Canada)

4.25%,

6/30/2024(2)(b)

CAD

1,100,000

851,986

Diversified

Telecommunication

Services

-

0.7%

Bandwidth,

Inc.

0.25%,

3/1/2026(2)(b)(g)

$

3,025,000

2,901,071

Vonage

Holdings

Corp.

1.75%,

6/1/2024(2)(b)(g)

775,000

625,264

3,526,335

Electrical

Equipment

-

0.4%

Plug

Power,

Inc.

5.50%,

3/15/2023(2)(b)

1,100,000

1,831,214

Electronic

Equipment,

Instruments

&

Components

-

0.5%

Insight

Enterprises,

Inc.

0.75%,

2/15/2025(2)(b)(g)

1,375,000

1,234,855

PAR

Technology

Corp.

2.88%,

4/15/2026(2)(b)(g)

1,625,000

1,178,170

2,413,025

Energy

Equipment

&

Services

-

0.4%

Helix

Energy

Solutions

Group,

Inc.

4.13%,

9/15/2023(2)(b)

1,125,000

737,279

SEACOR

Holdings,

Inc.

2.50%,

12/15/2027(2)(b)

1,150,000

1,066,763

1,804,042

Entertainment

-

0.1%

iQIYI,

Inc.

(China)

2.00%,

4/1/2025(2)(b)(g)

400,000

352,250

Equity

Real

Estate

Investment

Trusts

(REITs)

-

0.4%

CorEnergy

Infrastructure

Trust,

Inc.

5.88%,

8/15/2025(2)(b)(g)

2,300,000

1,927,864

Food

&

Staples

Retailing

-

0.1%

Chefs'

Warehouse,

Inc.

(The)

1.88%,

12/1/2024(2)(b)(g)

1,325,000

790,859

Health

Care

Equipment

&

Supplies

-

1.0%

China

Medical

Technologies,

Inc.

(China)

4.00%,

8/15/2013(3)(b)(c)(i)

250,000

–

6.25%,

12/15/2016(3)(b)(c)

(g)(i)

2,625,000

–

NuVasive,

Inc.

0.38%,

3/15/2025(2)(b)(g)

2,300,000

1,951,249

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Health

Care

Equipment

&

Supplies

-

1.0%

(continued)

Senseonics

Holdings,

Inc.

5.25%,

1/15/2025(2)(b)(g)

$

675,000

$

607,058

Wright

Medical

Group,

Inc.

1.63%,

6/15/2023(2)(b)

2,316,000

2,326,313

4,884,620

Health

Care

Providers

&

Services

-

0.8%

Anthem,

Inc.

2.75%,

10/15/2042(2)(b)

1,279,000

4,039,210

Hotels,

Restaurants

&

Leisure

-

0.1%

Caesars

Entertainment

Corp.

5.00%,

10/1/2024(2)

318,000

339,079

Insurance

-

0.4%

AXA

SA

(France)

7.25%,

5/15/2021(2)(b)(g)

900,000

652,761

HCI

Group,

Inc.

4.25%,

3/1/2037(2)(b)

1,175,000

1,185,222

1,837,983

Interactive

Media

&

Services

-

0.0%(a)

JOYY,

Inc.

(China)

1.38%,

6/15/2026(2)(b)(g)

250,000

222,344

Internet

&

Direct

Marketing

Retail

-

1.3%

Etsy,

Inc.

0.00%,

3/1/2023(2)(b)

225,000

283,347

IAC

Financeco

3,

Inc.

2.00%,

1/15/2030(2)(b)(g)

775,000

708,132

Pinduoduo,

Inc.

(China)

0.00%,

10/1/2024(2)(b)(g)

350,000

381,360

Wayfair,

Inc.

1.13%,

11/1/2024(2)(b)

1,150,000

786,195

1.00%,

8/15/2026(2)(b)(g)

7,575,000

4,369,701

6,528,735

IT

Services

-

1.2%

Akamai

Technologies,

Inc.

0.38%,

9/1/2027(2)(b)(g)

2,025,000

2,016,804

Square,

Inc.

0.13%,

3/1/2025(2)(b)(g)

4,350,000

3,759,306

5,776,110

Life

Sciences

Tools

&

Services

-

0.2%

NanoString

Technologies,

Inc.

2.63%,

3/1/2025(2)(b)(g)

950,000

814,407

Machinery

-

0.2%

Chart

Industries,

Inc.

1.00%,

11/15/2024(2)(b)(g)

1,225,000

957,367

Media

-

0.7%

Liberty

Latin

America

Ltd.

(Chile)

2.00%,

7/15/2024(2)(b)(g)

1,450,000

1,153,656

Liberty

Media

Corp.

2.75%,

12/1/2049(2)(b)(g)

2,775,000

2,367,465

3,521,121

Metals

&

Mining

-

0.2%

Cleveland-Cliffs,

Inc.

1.50%,

1/15/2025(2)(b)

325,000

227,988

Endeavour

Mining

Corp.

(Ivory

Coast)

3.00%,

2/15/2023(2)(b)(g)

350,000

323,750

28

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Metals

&

Mining

-

0.2%

(continued)

United

States

Steel

Corp.

5.00%,

11/1/2026(2)(b)(g)

$

1,025,000

$

734,054

1,285,792

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

1.1%

Granite

Point

Mortgage

Trust,

Inc.

6.38%,

10/1/2023(2)(b)

1,900,000

1,045,000

MFA

Financial,

Inc.

6.25%,

6/15/2024(2)(b)

2,125,000

1,280,117

PennyMac

Corp.

5.50%,

11/1/2024(2)(b)(g)

825,000

513,826

Redwood

Trust,

Inc.

4.75%,

8/15/2023(2)(b)

1,375,000

891,567

5.63%,

7/15/2024(2)(b)

2,775,000

1,530,583

5,261,093

Oil,

Gas

&

Consumable

Fuels

-

1.0%

Green

Plains,

Inc.

4.13%,

9/1/2022(2)(b)

500,000

332,187

4.00%,

7/1/2024(2)(b)(g)

2,125,000

1,229,844

Scorpio

Tankers,

Inc.

(Monaco)

3.00%,

5/15/2022(2)(b)

1,250,000

1,061,875

SFL

Corp.

Ltd.

(Norway)

5.75%,

10/15/2021(2)(b)

2,600,000

2,295,688

4,919,594

Pharmaceuticals

-

1.4%

Aphria,

Inc.

(Canada)

5.25%,

6/1/2024(2)(b)(g)

1,150,000

705,813

Lannett

Co.,

Inc.

4.50%,

10/1/2026(2)(b)(g)

4,400,000

3,451,302

Omeros

Corp.

Class

B-3,

6.25%,

11/15/2023(2)(b)

2,250,000

1,991,250

Teva

Pharmaceutical

Finance

Co.

LLC

(Israel)

Series

C,

0.25%,

2/1/2026(2)

(b)

1,000,000

925,540

Tilray,

Inc.

(Canada)

5.00%,

10/1/2023(2)(b)

400,000

126,415

7,200,320

Semiconductors

&

Semiconductor

Equipment

-

4.1%

Microchip

Technology,

Inc.

2.25%,

2/15/2037(2)(b)

1,726,000

1,611,644

Novellus

Systems,

Inc.

2.63%,

5/15/2041(2)(b)

2,400,000

18,084,154

SMART

Global

Holdings,

Inc.

2.25%,

2/15/2026(2)(b)(g)

1,025,000

903,830

SunEdison,

Inc.

0.25%,

1/15/2020(3)(c)(i)

575,000

11,500

20,611,128

Software

-

2.2%

Alteryx,

Inc.

0.50%,

8/1/2024(2)(b)(g)

450,000

402,780

Benefitfocus,

Inc.

1.25%,

12/15/2023(2)(b)

2,625,000

2,006,484

Blackline,

Inc.

0.13%,

8/1/2024(2)(b)(g)

650,000

635,977

Everbridge,

Inc.

0.13%,

12/15/2024(2)(b)(g)

925,000

1,049,297

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

Software

-

2.2%

(continued)

FireEye,

Inc.

0.88%,

6/1/2024(2)(b)

$

525,000

$

441,000

i3

Verticals

LLC

1.00%,

2/15/2025(2)(b)(g)

1,775,000

1,410,137

Palo

Alto

Networks,

Inc.

0.75%,

7/1/2023(2)(b)

900,000

868,674

Rapid7,

Inc.

1.25%,

8/1/2023(2)(b)

400,000

484,750

RingCentral,

Inc.

0.00%,

3/1/2025(2)(b)(g)

3,800,000

3,520,328

10,819,427

Specialty

Retail

-

0.1%

Guess?,

Inc.

2.00%,

4/15/2024(2)(b)(g)

900,000

531,273

Trading

Companies

&

Distributors

-

0.0%(a)

AM

Castle

&

Co.

7.00%,

8/31/2022(3)(c)

106,492

3,195

Wireless

Telecommunication

Services

-

0.3%

Gogo,

Inc.

6.00%,

5/22/2022(2)(b)

1,975,000

1,390,632

TOTAL

CONVERTIBLE

BONDS

(Cost

$153,118,013)

141,712,594

LOAN

PARTICIPATIONS

-

0.4%

Distributors

-

0.2%

American

Tire

Distributors,

Inc.,

U.S.

Junior

FILO

Facility

(ICE

LIBOR

USD

3

Month

+

6.00%),

7.20%,

1/9/2023(3)

(c)(k)

107,388

99,871

American

Tire

Distributors,

Inc.,

U.S.

Senior

Secured

Term

Loan

(ICE

LIBOR

USD

1

Month

+

7.50%;

ICE

LIBOR

USD

3

Month

+

7.50%),

8.95%,

9/2/2024(2)(k)

1,058,077

698,331

798,202

Personal

Products

-

0.2%

Revlon

Consumer

Products

Corp.,

Term

Loan

(ICE

LIBOR

USD

3

Month

+

3.50%),

5.11%,

9/7/2023(2)(k)

2,474,425

949,561

TOTAL

LOAN

PARTICIPATIONS

(Cost

$2,895,265)

1,747,763

U.S.

TREASURY

OBLIGATIONS

-

0.0%(a)

U.S.

Treasury

Bonds

2.38%,

11/15/2049(2)

(Cost

$88,039)

70,000

87,210

29

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

NO.

OF

RIGHTS

VALUE

RIGHTS

-

0.1%

Biotechnology

-

0.0%(a)

Ambit

Biosciences

Corp.,

CVR(3)*(c)(d)

146,272

$

41,882

Tobira

Therapeutics,

Inc.,

CVR(3)*(c)(d)

11,880

130,819

172,701

Capital

Markets

-

0.1%

Allegro

Merger

Corp.,

expiring

12/31/2023*

180,000

13,500

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022(2)*

200,000

26,000

GigCapital2,

Inc.,

expiring

2/28/2026(2)*

153,000

30,615

Greenvision

Acquisition

Corp.,

expiring

1/6/2021

(China)(2)*

170,000

39,100

HL

Acquisitions

Corp.,

expiring

6/1/2026*

54,000

4,326

KBL

Merger

Corp.

IV(2)*

1,000,000

149,500

Pensare

Acquisition

Corp.,

expiring

8/8/2022*

1,000,000

140,000

Proficient

Alpha

Acquisition

Corp.,

expiring

4/30/2026*

80,000

15,992

419,033

TOTAL

RIGHTS

(Cost

$–)

591,734

NO.

OF

WARRANTS

WARRANTS

-

1.5%

Aerospace

&

Defense

-

0.0%(a)

PAE,

Inc.,

expiring

2/10/2025*

66,666

99,333

Tempus

Applied

Solutions

Holdings,

Inc.,

expiring

7/31/2020(3)*(c)

614,551

12,291

111,624

Biotechnology

-

0.1%

DermTech,

Inc.,

expiring

8/29/2024*

446,823

210,007

Xynomic

Pharmaceuticals

Holdings,

Inc.,

expiring

5/15/2024(3)*(c)

75,000

2,625

212,632

Capital

Markets

-

0.9%

Acamar

Partners

Acquisition

Corp.,

expiring

2/26/2026*

150,000

72,000

Acasta

Enterprises,

Inc.,

expiring

1/3/2022

(Canada)

(3)*(c)

579,085

2,057

Act

II

Global

Acquisition

Corp.,

expiring

4/30/2024(2)*

180,000

126,000

Allegro

Merger

Corp.,

expiring

1/6/2025*

180,000

10,800

AMCI

Acquisition

Corp.,

expiring

10/1/2025*

460,000

98,992

Amplitude

Healthcare

Acquisition

Corp.,

expiring

12/1/2026*

46,875

30,469

Apex

Technology

Acquisition

Corp.,

expiring

9/30/2026*

40,000

36,000

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

0.9%

(continued)

Big

Rock

Partners

Acquisition

Corp.,

expiring

12/1/2022*

100,000

$

6,490

CF

Finance

Acquisition

Corp.,

expiring

4/30/2025*

300,000

150,000

CHP

Merger

Corp.,

expiring

11/22/2024*

125,000

67,500

Churchill

Capital

Corp.

II,

expiring

7/24/2024*

23,333

38,499

CIIG

Merger

Corp.,

expiring

12/31/2026(2)*

62,500

43,750

Conyers

Park

II

Acquisition

Corp.,

expiring

12/31/2026(2)*

3,750

5,438

Crescent

Acquisition

Corp.,

expiring

3/7/2024*

200,000

170,000

Diamond

Eagle

Acquisition

Corp.,

expiring

6/30/2026*

40,000

114,400

DiamondPeak

Holdings

Corp.,

expiring

4/12/2024*

153,333

69,000

Experience

Investment

Corp.,

expiring

9/1/2026(2)*

66,666

48,666

Far

Point

Acquisition

Corp.,

expiring

6/1/2025*

33,333

18,000

FinServ

Acquisition

Corp.,

expiring

12/31/2026(2)*

100,000

60,000

FinTech

Acquisition

Corp.

III,

expiring

12/1/2023*

230,000

149,500

Forum

Merger

II

Corp.,

expiring

9/30/2025*

180,000

36,018

GigCapital2,

Inc.,

expiring

7/1/2024*

153,000

47,231

Glory

Star

New

Media

Group

Holdings

Ltd.,

expiring

2/20/2025

(Hong

Kong)*

370,000

29,563

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023(2)*

122,980

22,136

Gores

Holdings

IV,

Inc.,

expiring

1/24/2025(2)*

12,500

11,500

Gores

Metropoulos,

Inc.,

expiring

3/25/2024(2)*

33,333

43,333

Graf

Industrial

Corp.,

expiring

12/31/2025*

198,000

19,800

Greenvision

Acquisition

Corp.,

expiring

10/28/2024(2)*

170,000

23,256

GX

Acquisition

Corp.,

expiring

5/24/2026*

200,000

116,000

Haymaker

Acquisition

Corp.

II,

expiring

10/31/2026*

133,333

140,000

Healthcare

Merger

Corp.,

expiring

12/17/2021*

87,500

82,163

Hennessy

Capital

Acquisition

Corp.

IV,

expiring

9/25/2025*

300,000

105,000

HL

Acquisitions

Corp.,

expiring

7/18/2023*

54,000

2,700

Hunter

Maritime

Acquisition

Corp.,

expiring

3/21/2024(2)*

470,000

2,914

Insurance

Acquisition

Corp.,

expiring

3/31/2024(2)*

110,000

107,250

Juniper

Industrial

Holdings,

Inc.,

expiring

11/13/2026*

150,000

84,000

30

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

0.9%

(continued)

KBL

Merger

Corp.

IV,

expiring

1/15/2024(2)*

500,000

$

35,000

Landcadia

Holdings

II,

Inc.,

expiring

5/9/2026*

116,666

46,561

Legacy

Acquisition

Corp.,

expiring

11/30/2022*

250,000

62,500

Leisure

Acquisition

Corp.,

expiring

12/28/2022(2)*

125,000

21,250

Leo

Holdings

Corp.,

expiring

4/5/2023

(United

Kingdom)*

125,000

80,000

LF

Capital

Acquisition

Corp.,

expiring

6/27/2023(2)*

240,000

62,400

LGL

Systems

Acquisition

Corp.,

expiring

11/12/2026(2)*

14,375

7,187

Longevity

Acquisition

Corp.,

expiring

7/31/2025

(China)*

125,000

13,738

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023*

128,200

28,204

Merida

Merger

Corp.

I,

expiring

11/7/2026*

75,000

37,500

Monocle

Acquisition

Corp.,

expiring

6/12/2024*

336,119

100,836

Mudrick

Capital

Acquisition

Corp.,

expiring

3/12/2025*

158,844

55,595

Nebula

Acquisition

Corp.,

expiring

1/12/2023*

46,666

37,333

New

Providence

Acquisition

Corp.,

expiring

9/1/2024(2)*

100,000

51,000

Opes

Acquisition

Corp.,

expiring

1/15/2023*

250,000

17,375

Osprey

Technology

Acquisition

Corp.,

expiring

10/30/2024(2)*

75,000

63,000

Pensare

Acquisition

Corp.,

expiring

8/8/2022*

250,000

12,500

Pivotal

Investment

Corp.

II,

expiring

6/1/2025(3)*(c)

66,666

46,666

Proficient

Alpha

Acquisition

Corp.,

expiring

4/30/2026*

80,000

4,064

PROMECAP

Acquisition

Co.

SAB

de

CV,

expiring

3/23/2023

(Mexico)(3)*(c)

400,000

15,175

PropTech

Acquisition

Corp.,

expiring

10/1/2026(2)*

81,250

56,875

Replay

Acquisition

Corp.,

expiring

4/8/2024*

115,000

67,850

RMG

Acquisition

Corp.,

expiring

2/21/2026*

166,666

103,333

Schultze

Special

Purpose

Acquisition

Corp.,

expiring

12/31/2023*

288,000

63,360

Software

Acquisition

Group,

Inc.,

expiring

10/1/2026*

54,560

28,371

South

Mountain

Merger

Corp.,

expiring

6/20/2024(2)*

150,000

141,000

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023(2)*

48,333

24,162

Stable

Road

Acquisition

Corp.,

expiring

5/15/2026(2)*

62,500

40,625

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Capital

Markets

-

0.9%

(continued)

Switchback

Energy

Acquisition

Corp.,

expiring

12/31/2024*

113,333

$

70,618

Tenzing

Acquisition

Corp.,

expiring

8/23/2025*

250,000

22,500

Tortoise

Acquisition

Corp.,

expiring

3/4/2024*

207,794

58,034

Trine

Acquisition

Corp.,

expiring

3/5/2024*

230,000

138,000

Tuscan

Holdings

Corp.,

expiring

4/1/2026*

320,000

124,800

Tuscan

Holdings

Corp.

II,

expiring

7/16/2025(3)*(c)

95,000

23,750

VectoIQ

Acquisition

Corp.,

expiring

6/11/2023*

180,000

351,000

4,302,587

Commercial

Services

&

Supplies

-

0.0%(a)

Estre

Ambiental,

Inc.,

expiring

12/22/2022

(Brazil)*

661,870

1,125

Construction

&

Engineering

-

0.1%

Atlas

Technical

Consultants,

Inc.,

expiring

2/14/2025*

321,747

218,563

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023*

343,006

20,581

Limbach

Holdings,

Inc.,

expiring

7/20/2021*

168,252

16,825

Peck

Co.

Holdings,

Inc.

(The),

expiring

6/20/2024(2)*

122,916

14,135

270,104

Consumer

Finance

-

0.0%(a)

Roan

Holdings

Group

Co.

Ltd.,

expiring

7/6/2021

(China)*

142,386

783

Diversified

Consumer

Services

-

0.0%(a)

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

(Bahamas)*

99,990

66,993

Electrical

Equipment

-

0.0%(a)

Vertiv

Co.,

expiring

2/10/2025*

100,000

180,000

Energy

Equipment

&

Services

-

0.0%(a)

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023*

259,500

85,635

Entertainment

-

0.0%(a)

Akazoo

SA,

expiring

12/31/2024(2)*

147,836

48,357

Kew

Media

Group,

Inc.,

expiring

7/25/2021

(Canada)

(3)*(c)

50,000

178

48,535

Food

Products

-

0.0%(a)

Bioceres

Crop

Solutions

Corp.,

expiring

3/14/2024

(Argentina)*

249,978

34,997

31

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Health

Care

Providers

&

Services

-

0.0%(a)

New

Frontier

Health

Corp.,

expiring

7/25/2023

(Hong

Kong)*

32,837

$

31,031

Hotels,

Restaurants

&

Leisure

-

0.0%(a)

Accel

Entertainment,

Inc.,

expiring

11/20/2024*

66,666

99,999

Allied

Esports

Entertainment,

Inc.,

expiring

8/9/2024*

210,000

18,900

Inspired

Entertainment,

Inc.,

expiring

12/23/2021*

175,587

24,582

Simplicity

Esports

and

Gaming

Co.,

expiring

11/20/2023*

101,605

11,177

Target

Hospitality

Corp.,

expiring

3/15/2024*

53,333

8,000

162,658

Insurance

-

0.1%

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

(Jordan)*

117,500

49,350

Sagicor

Financial

Co.

Ltd.,

expiring

12/5/2024

(Canada)

(3)*(c)

154,500

54,892

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023(2)*

276,625

82,988

187,230

Internet

&

Direct

Marketing

Retail

-

0.0%(a)

LXRandCo,

Inc.,

expiring

6/9/2022

(Canada)(3)*(c)

1,274,000

4,526

Reebonz

Holding

Ltd.,

expiring

12/19/2023

(Singapore)(3)*(c)

75,000

512

5,038

IT

Services

-

0.1%

Exela

Technologies,

Inc.,

expiring

7/12/2022(2)*

880,354

7,923

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023*

90,000

171,000

Repay

Holdings

Corp.,

expiring

7/11/2024*

180,000

235,800

Verra

Mobility

Corp.,

expiring

10/17/2023*

66,666

117,332

532,055

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%(a)

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024*

131,393

28,906

Oil,

Gas

&

Consumable

Fuels

-

0.1%

Alta

Mesa

Resources,

Inc.,

expiring

2/9/2023(2)*

308,333

106

Altus

Midstream

Co.,

expiring

11/12/2023*

125,000

1,062

Brooge

Holdings

Ltd.,

expiring

12/20/2024*

191,000

152,800

Falcon

Minerals

Corp.,

expiring

8/23/2023(2)*

222,879

33,432

NextDecade

Corp.,

expiring

7/24/2022(2)*

547,770

43,822

INVESTMENTS

NO.

OF

WARRANTS

VALUE

Oil,

Gas

&

Consumable

Fuels

-

0.1%

(continued)

Rosehill

Resources,

Inc.,

expiring

4/27/2022*

244,800

$

7,344

238,566

Pharmaceuticals

-

0.0%(a)

AYR

Strategies,

Inc.,

expiring

5/24/2024

(Canada)*

100,000

138,563

Professional

Services

-

0.0%(a)

Akerna

Corp.,

expiring

8/1/2024*

7,500

2,775

Road

&

Rail

-

0.0%(a)

Daseke,

Inc.,

expiring

2/27/2022*

378,003

34,020

Software

-

0.1%

GTY

Technology

Holdings,

Inc.,

expiring

2/19/2024*

314,900

226,413

Kaleyra,

Inc.,

expiring

3/6/2025*

281,250

239,063

KLDiscovery,

Inc.,

expiring

12/1/2025*

247,565

47,037

Phunware,

Inc.,

expiring

12/26/2023*

58,632

7,036

Rimini

Street,

Inc.,

expiring

9/30/2022(3)*(c)

286,090

34,331

553,880

Specialty

Retail

-

0.0%(a)

Kaixin

Auto

Holdings,

expiring

4/30/2024

(Hong

Kong)(2)*

125,000

2,500

Technology

Hardware,

Storage

&

Peripherals

-

0.0%(a)

Borqs

Technologies,

Inc.,

expiring

8/18/2022

(China)

(3)*(c)

373,500

3,735

Trading

Companies

&

Distributors

-

0.0%(a)

Alta

Equipment

Group,

Inc.,

expiring

4/8/2024*

85,000

76,500

Nesco

Holdings,

Inc.,

expiring

1/1/2025(2)*

83,328

14,999

91,499

Wireless

Telecommunication

Services

-

0.0%(a)

Trilogy

International

Partners,

Inc.,

expiring

2/7/2022

(Canada)(3)*(c)

445,000

4,743

TOTAL

WARRANTS

(Cost

$429,679)

7,332,214

NO.

OF

UNITS

SECURITIES

IN

LITIGATION

-

0.0%(a)

Health

Care

Equipment

&

Supplies

-

0.0%(a)

DEMC

Ltd.,

Class

A(3)*(c)(d)

12,969

–

DEMC

Ltd.,

Class

A-2(3)*(c)(d)

368,190,309

66,775

DEMC

Ltd.,

Class

A-3(3)*(c)(d)

170,417,804,105

167,010

DEMC

Ltd.,

Class

B(3)*(c)(d)

10,488

–

DEMC

Ltd.,

Class

B-2(3)*(c)(d)

513,897,326

514

DEMC

Ltd.,

Class

B-3(3)*(c)(d)

489,352,292,604

–

TOTAL

SECURITIES

IN

LITIGATION

(Cost

$671,603)

234,299

32

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

43.7%

INVESTMENT

COMPANIES

-

33.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(l)(m)

8,137,535

$

8,137,535

Limited

Purpose

Cash

Investment

Fund,

0.85%(l)

154,927,110

155,128,516

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(l)

1,677

1,677

TOTAL

INVESTMENT

COMPANIES

(Cost

$163,204,610)

163,267,728

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

10.7%

U.S.

Treasury

Bills

1.54%,

7/16/2020(2)(b)(n)

$

3,218,000

3,217,254

1.53%,

7/23/2020(2)(n)

4,325,000

4,323,897

1.53%,

8/6/2020(2)(b)(n)

790,000

789,762

1.52%,

8/13/2020(2)(n)

11,810,000

11,806,582

0.08%,

9/24/2020(2)(n)

545,000

544,750

0.10%,

10/1/2020(2)(n)

32,418,000

32,398,128

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$52,983,650)

53,080,373

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$216,188,260)

216,348,101

TOTAL

LONG

POSITIONS

(Cost

$591,121,050)

529,323,292

SHARES

SHORT

POSITIONS

-

(18.6)%

COMMON

STOCKS

-

(18.1)%

Aerospace

&

Defense

-

0.0%(a)

PAE,

Inc.*

(16,666)

(108,162)

Air

Freight

&

Logistics

-

(0.1)%

Atlas

Air

Worldwide

Holdings,

Inc.*

(21,751)

(558,348)

Auto

Components

-

0.0%(a)

Veoneer,

Inc.

(Sweden)*

(13,546)

(99,157)

Automobiles

-

(0.5)%

Tesla,

Inc.*

(4,314)

(2,260,536)

Beverages

-

0.0%(a)

Primo

Water

Corp.

(200)

(1,812)

Biotechnology

-

(3.0)%

Apellis

Pharmaceuticals,

Inc.*

(33,766)

(904,591)

Cytokinetics,

Inc.*

(210,307)

(2,479,520)

Exact

Sciences

Corp.*

(23,297)

(1,351,226)

Inovio

Pharmaceuticals,

Inc.*

(381,688)

(2,839,759)

Intercept

Pharmaceuticals,

Inc.*

(2,690)

(169,362)

Ironwood

Pharmaceuticals,

Inc.*

(145,305)

(1,466,127)

Ligand

Pharmaceuticals,

Inc.*

(101)

(7,345)

OPKO

Health,

Inc.*

(703,129)

(942,193)

PTC

Therapeutics,

Inc.*

(30,834)

(1,375,505)

Verastem,

Inc.*

(1,190,777)

(3,143,651)

(14,679,279)

INVESTMENTS

SHARES

VALUE

Capital

Markets

-

0.0%(a)

Penson

Worldwide,

Inc.(3)*(c)

(212,307)

$

–

Prospect

Capital

Corp.

(4,983)

(21,178)

(21,178)

Commercial

Services

&

Supplies

-

0.0%(a)

GFL

Environmental,

Inc.

(Canada)*

(9,700)

(145,985)

Communications

Equipment

-

(0.5)%

Harmonic,

Inc.*

(28,586)

(164,655)

Infinera

Corp.*

(88,874)

(471,032)

Lumentum

Holdings,

Inc.*

(24,142)

(1,779,266)

(2,414,953)

Construction

&

Engineering

-

(0.1)%

Granite

Construction,

Inc.

(39,548)

(600,339)

Limbach

Holdings,

Inc.*

(10,000)

(28,500)

(628,839)

Consumer

Finance

-

(0.1)%

Encore

Capital

Group,

Inc.*

(23,800)

(556,444)

EZCORP,

Inc.,

Class

A*

(24,734)

(103,141)

(659,585)

Containers

&

Packaging

-

0.0%(a)

Ranpak

Holdings

Corp.*

(5,110)

(31,989)

Diversified

Consumer

Services

-

(0.1)%

OneSpaWorld

Holdings

Ltd.

(Bahamas)

(79,992)

(324,767)

Diversified

Financial

Services

-

(0.2)%

Element

Fleet

Management

Corp.

(Canada)

(41,992)

(267,355)

Equitable

Holdings,

Inc.

(36,133)

(522,122)

Voya

Financial,

Inc.

(433)

(17,558)

(807,035)

Diversified

Telecommunication

Services

-

(0.2)%

Bandwidth,

Inc.,

Class

A*

(13,445)

(904,714)

Vonage

Holdings

Corp.*

(15,764)

(113,974)

(1,018,688)

Electric

Utilities

-

(1.3)%

NextEra

Energy,

Inc.

(27,718)

(6,669,505)

Electrical

Equipment

-

(0.3)%

Plug

Power,

Inc.*

(417,539)

(1,478,088)

Vertiv

Holdings

Co.,

Class

A*

(25,000)

(216,250)

(1,694,338)

Electronic

Equipment,

Instruments

&

Components

-

(0.1)%

Insight

Enterprises,

Inc.*

(10,265)

(432,464)

PAR

Technology

Corp.*

(11,345)

(145,897)

(578,361)

33

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Energy

Equipment

&

Services

-

(0.1)%

Helix

Energy

Solutions

Group,

Inc.*

(13,070)

$

(21,435)

National

Energy

Services

Reunited

Corp.*

(62,795)

(318,999)

SEACOR

Holdings,

Inc.*

(1,095)

(29,521)

(369,955)

Entertainment

-

(0.2)%

Bilibili,

Inc.,

ADR

(China)*

(44,525)

(1,042,776)

iQIYI,

Inc.,

ADR

(China)*

(7,458)

(132,752)

(1,175,528)

Equity

Real

Estate

Investment

Trusts

(REITs)

-

(0.2)%

QTS

Realty

Trust,

Inc.,

Class

A

(15,626)

(906,464)

Food

&

Staples

Retailing

-

0.0%(a)

Chefs'

Warehouse,

Inc.

(The)*

(2,721)

(27,400)

Health

Care

Equipment

&

Supplies

-

(0.2)%

China

Medical

Technologies,

Inc.,

ADR

(China)(3)*(c)

(40,234)

–

Integra

LifeSciences

Holdings

Corp.*

(3,591)

(160,410)

NuVasive,

Inc.*

(11,674)

(591,405)

Senseonics

Holdings,

Inc.*

(169,994)

(107,691)

(859,506)

Health

Care

Providers

&

Services

-

(0.8)%

AdaptHealth

Corp.*

(7,172)

(114,752)

Anthem,

Inc.

(16,815)

(3,817,678)

New

Frontier

Health

Corp.,

Class

A

(Hong

Kong)*

(9,990)

(82,417)

(4,014,847)

Health

Care

Technology

-

(0.1)%

Change

Healthcare,

Inc.*

(45,095)

(450,499)

Hotels,

Restaurants

&

Leisure

-

(0.1)%

Accel

Entertainment,

Inc.*

(30,000)

(225,000)

Eldorado

Resorts,

Inc.*

(23,861)

(343,599)

Target

Hospitality

Corp.*

(10,667)

(21,227)

(589,826)

Household

Durables

-

(0.1)%

Purple

Innovation,

Inc.*

(58,000)

(329,440)

Insurance

-

0.0%(a)

HCI

Group,

Inc.

(5,192)

(208,978)

Power

Corp.

of

Canada

(Canada)

(10)

(161)

(209,139)

Interactive

Media

&

Services

-

(1.0)%

ANGI

Homeservices,

Inc.,

Class

A*

(97,270)

(510,668)

IAC/InterActiveCorp*

(1,822)

(326,557)

JOYY,

Inc.,

ADR

(China)*

(1,319)

(70,250)

Match

Group,

Inc.*

(46,694)

(3,083,672)

Weibo

Corp.,

ADR

(China)*

(26,394)

(873,905)

(4,865,052)

INVESTMENTS

SHARES

VALUE

Internet

&

Direct

Marketing

Retail

-

(0.5)%

Etsy,

Inc.*

(4,652)

$

(178,823)

Pinduoduo,

Inc.,

ADR

(China)*

(5,287)

(190,490)

Wayfair,

Inc.,

Class

A*

(40,034)

(2,139,417)

(2,508,730)

IT

Services

-

(0.8)%

Akamai

Technologies,

Inc.*

(10,490)

(959,730)

Euronet

Worldwide,

Inc.*

(391)

(33,517)

I3

Verticals,

Inc.,

Class

A*

(24,320)

(464,269)

KBR,

Inc.

(152)

(3,143)

Repay

Holdings

Corp.*

(67,700)

(971,495)

Square,

Inc.,

Class

A*

(14,380)

(753,224)

Verra

Mobility

Corp.*

(80,785)

(576,805)

Wix.com

Ltd.

(Israel)*

(1,259)

(126,932)

(3,889,115)

Life

Sciences

Tools

&

Services

-

(0.1)%

Illumina,

Inc.*

(1,405)

(383,734)

Machinery

-

(0.2)%

Chart

Industries,

Inc.*

(9,221)

(267,224)

Colfax

Corp.*

(7,977)

(157,945)

Fortive

Corp.

(9,935)

(548,313)

(973,482)

Media

-

(0.7)%

Liberty

Latin

America

Ltd.,

Class

C

(Chile)*

(24,782)

(254,263)

New

York

Times

Co.

(The),

Class

A

(82,523)

(2,534,281)

News

Corp.,

Class

B

(8,248)

(74,150)

Sirius

XM

Holdings,

Inc.

(103,040)

(509,018)

(3,371,712)

Metals

&

Mining

-

(0.2)%

Cleveland-Cliffs,

Inc.

(24,608)

(97,202)

Endeavour

Mining

Corp.

(Ivory

Coast)*

(37,415)

(531,993)

Kirkland

Lake

Gold

Ltd.

(Canada)

(11)

(324)

United

States

Steel

Corp.

(42,563)

(268,572)

(898,091)

Mortgage

Real

Estate

Investment

Trusts

(REITs)

-

0.0%(a)

Blackstone

Mortgage

Trust,

Inc.,

Class

A

(4,055)

(75,504)

Multi-Utilities

-

(0.7)%

CenterPoint

Energy,

Inc.

(63,495)

(980,998)

Dominion

Energy,

Inc.

(12,805)

(924,393)

DTE

Energy

Co.

(13,263)

(1,259,587)

Sempra

Energy

(4,629)

(523,030)

(3,688,008)

Oil,

Gas

&

Consumable

Fuels

-

(0.2)%

Falcon

Minerals

Corp.

(75,000)

(161,250)

Green

Plains,

Inc.

(45,040)

(218,444)

Scorpio

Tankers,

Inc.

(Monaco)

(11,129)

(212,787)

34

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Oil,

Gas

&

Consumable

Fuels

-

(0.2)%

(continued)

SFL

Corp.

Ltd.

(Norway)

(25,556)

$

(242,015)

(834,496)

Pharmaceuticals

-

(0.5)%

Jazz

Pharmaceuticals

plc*

(438)

(43,686)

Lannett

Co.,

Inc.*

(204,316)

(1,419,996)

Omeros

Corp.*

(65,543)

(876,310)

(2,339,992)

Real

Estate

Management

&

Development

-

0.0%(a)

Aroundtown

SA

(Germany)(2)

(11)

(55)

Semiconductors

&

Semiconductor

Equipment

-

(4.0)%

Impinj,

Inc.*

(222)

(3,710)

Lam

Research

Corp.

(75,351)

(18,084,240)

Microchip

Technology,

Inc.

(21,125)

(1,432,275)

SMART

Global

Holdings,

Inc.*

(16,108)

(391,424)

(19,911,649)

Software

-

(0.7)%

Alteryx,

Inc.,

Class

A*

(1,188)

(113,062)

Atlassian

Corp.

plc,

Class

A*

(208)

(28,550)

Benefitfocus,

Inc.*

(3,950)

(35,195)

Blackline,

Inc.*

(5,845)

(307,505)

Everbridge,

Inc.*

(6,545)

(696,126)

FireEye,

Inc.*

(8,612)

(91,115)

Kaleyra,

Inc.

(Italy)*

(12,500)

(91,250)

LivePerson,

Inc.*

(11,971)

(272,340)

Palo

Alto

Networks,

Inc.*

(1,628)

(266,927)

Rapid7,

Inc.*

(7,262)

(314,663)

Rimini

Street,

Inc.*

(10,000)

(40,900)

RingCentral,

Inc.,

Class

A*

(6,220)

(1,318,080)

Splunk,

Inc.*

(2)

(252)

(3,575,965)

Specialty

Retail

-

0.0%(a)

Guess?,

Inc.

(4,538)

(30,722)

Technology

Hardware,

Storage

&

Peripherals

-

(0.1)%

NCR

Corp.*

(16,342)

(289,254)

Western

Digital

Corp.

(1,044)

(43,451)

(332,705)

Trading

Companies

&

Distributors

-

0.0%(a)

Alta

Equipment

Group,

Inc.*

(9,640)

(41,163)

Wireless

Telecommunication

Services

-

(0.1)%

Gogo,

Inc.*

(115,760)

(245,411)

TOTAL

COMMON

STOCKS

(Proceeds

$(92,101,458))

(89,600,707)

MASTER

LIMITED

PARTNERSHIPS

-

(0.2)%

Independent

Power

and

Renewable

Electricity

Producers

-

(0.2)%

Brookfield

Renewable

Partners

LP

(Canada)

(Proceeds

$(1,191,237))

(27,727)

(1,166,177)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

CONVERTIBLE

BONDS

-

(0.2)%

Internet

&

Direct

Marketing

Retail

-

(0.2)%

Booking

Holdings,

Inc.

0.90%,

9/15/2021(2)

(Proceeds

$(968,365))

$

(900,000)

$

(897,210)

U.S.

TREASURY

OBLIGATIONS

-

(0.1)%

U.S.

Treasury

Notes

0.63%,

3/31/2027(2)

(100,000)

(100,461)

1.50%,

2/15/2030(2)

(435,000)

(468,356)

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Proceeds

$(570,974))

(568,817)

TOTAL

SHORT

POSITIONS

(Proceeds

$(94,832,034))

(92,232,911)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.2%

(Cost

$496,289,016)

437,090,381

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

11.8%(o)

58,450,772

NET

ASSETS

-

100.0%

$495,541,153

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

11,251,359

2.3

%

Consumer

Discretionary

21,879,824

4.4

Consumer

Staples

3,320,809

0.7

Energy

8,333,651

1.7

Financials

81,526,853

16.3

Health

Care

32,831,737

6.6

Industrials

11,432,802

2.3

Information

Technology

25,190,464

5.1

Materials

8,220,504

1.7

Real

Estate

5,878,479

1.2

U.S.

Treasury

Obligations

(481,607)

(0.1)

Utilities

11,357,405

2.3

Short-Term

Investments

216,348,101

43.7

Total

Investments

In

Securities

At

Value

437,090,381

88.2

Other

Assets

in

Excess

of

Liabilities(o)

58,450,772

11.8

Net

Assets

$

495,541,153

100.0%

35

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$183,461,270.

In

addition,

$15,194,518

of

cash

collateral

was

pledged.

(c)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$4,517,114,

which

represents

approximately

0.91%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Perpetual

security.

The

rate

reflected

was

the

rate

in

effect

on

March

31,

2020.

The

maturity

date

reflects

the

next

call

date.

(f)

Variable

or

floating

rate

security,

the

interest

rate

of

which

adjusts

periodically

based

on

changes

in

current

interest

rates

and

prepayments

on

the

underlying

pool

of

assets.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2020.

(g)

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

March

31,

2020

amounted

to

$74,967,851,

which

represents

approximately

15.13%

of

net

assets

of

the

fund.

(h)

Payment

in-kind

security.

(i)

Defaulted

security.

(j)

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

March

31,

2020,

the

value

of

these

securities

amounted

to

$630,267

or

0.13%

of

net

assets.

(k)

Variable

or

floating

rate

security,

linked

to

the

referenced

benchmark.

The

interest

rate

shown

was

the

current

rate

as

of

March

31,

2020.

(l)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(m)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(n)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(o)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

bonds

are

denominated

in

US

dollars,

unless

noted

otherwise.

All

securities

are

United

States

companies,

unless

noted

otherwise

in

parentheses.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Markit

CDX

North

America

High

Yield

Index

Series

34.V1

5.00

%

Quarterly

6/20/2025

6.51

%

USD

31,025,000

$

1,751,252

$

128,687

$

1,879,939

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

Quarterly

6/20/2025

1.14

USD

50,000

691

(357)

334

$

1,751,943

$

128,330

$

1,880,273

36

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(131)

6/2020

USD

$

(16,831,535)

$

44,315

U.S.

Treasury

10

Year

Note

(67)

6/2020

USD

(9,292,063)

(155,140)

U.S.

Treasury

5

Year

Note

(254)

6/2020

USD

(31,841,281)

(647,019)

$

(757,844)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

802,208

USD

563,769

CITI

6/17/2020

$

6,682

EUR

30,218

USD

32,973

CITI

6/17/2020

453

EUR

30,219

USD

32,974

JPMC

6/17/2020

453

USD

10,584,931

CAD

14,159,128

CITI

6/17/2020

516,366

USD

3,687,305

CAD

4,916,983

JPMC

6/17/2020

190,835

USD

8,308,291

EUR

7,361,434

CITI

6/17/2020

165,476

USD

24,241

EUR

21,585

JPMC

6/17/2020

365

USD

9,704

GBP

7,496

CITI

6/17/2020

380

USD

9,709

GBP

7,500

JPMC

6/17/2020

381

USD

4,532,243

JPY

478,161,520

CITI

6/17/2020

70,654

Total

unrealized

appreciation

952,045

CAD

2,139,904

USD

1,601,902

CITI

6/17/2020

(80,216)

CAD

2,064,912

USD

1,547,995

JPMC

6/17/2020

(79,635)

EUR

21,586

USD

24,236

CITI

6/17/2020

(359)

EUR

21,585

USD

24,235

JPMC

6/17/2020

(359)

GBP

7,496

USD

9,704

CITI

6/17/2020

(380)

GBP

7,500

USD

9,709

JPMC

6/17/2020

(381)

USD

1,438,523

EUR

1,316,252

CITI

6/17/2020

(17,444)

USD

32,986

EUR

30,219

JPMC

6/17/2020

(441)

USD

7,243,983

JPY

800,012,460

CITI

6/17/2020

(220,704)

USD

5,723,210

JPY

635,025,730

JPMC

6/17/2020

(202,033)

Total

unrealized

depreciation

(601,952)

Net

unrealized

appreciation

$

350,093

37

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

1.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2022

$1,507,740

$18,239

$82,154

$100,393

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

25

months

maturity

02/25/2022

$29,156

$(41,368)

$(13,320)

$(54,688)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/13/2025

$2,275,424

$(44,355)

$5,182

$(39,173)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.02%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

56-59

months

maturity

ranging

from

04/12/2023

-

01/13/2025

$678,037

$(144,453)

$(26,261)

$(170,714)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.40%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-60

months

maturity

01/21/2025

$852,734

$5,460

$(527)

$4,933

38

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-3.85%

to

0.85%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-65

months

maturity

ranging

from

09/25/2020

-

07/11/2024

$5,925,892

$442,546

$(225,929)

$216,617

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Inovio

Pharmaceuticals,

Inc.

15,421

114,732

11,720

5.4

PRINCIPAL

Convertible

Bonds

Innoviva,

Inc.,

2.50%,

8/15/2025

1,000,000

968,011

15,129

7.0

Invacare

Corp.,

4.50%,

6/1/2022

2,550,000

2,332,089

229,083

105.8

Paratek

Pharmaceuticals,

Inc.,

4.75%,

5/1/2024

1,950,000

1,528,089

263,812

121.8

SHARES

Short

Positions

Common

Stocks

Brazil

Gol

Linhas

Aereas

Inteligentes

SA,

ADR

(37,494)

(160,099)

2,999

1.4

United

States

Innoviva,

Inc.

(33,296)

(391,561)

(19,263)

(8.9)

Invacare

Corp.

(47,131)

(350,183)

(61,507)

(28.4)

Paratek

Pharmaceuticals,

Inc.

(25,755)

(81,128)

573

0.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.04%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/13/2025

$9,164,343

$1,332,060

$474,120

$1,806,180

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

39

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Ireland

Flutter

Entertainment

plc

(102,540)

(9,164,343)

1,332,060

73.8

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/13/2025

$17,324,620

$(1,414,943)

$(68,609)

$(1,483,552)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Longevity

Acquisition

Corp.

125,000

1,306,250

(12,500)

0.8

Mexico

Opes

Acquisition

Corp.

150,000

1,629,000

48,000

(3.2)

United

States

Allegro

Merger

Corp.

150,000

1,549,500

13,500

(0.9)

Far

Point

Acquisition

Corp.

50,000

506,000

(11,500)

0.8

Forum

Merger

II

Corp.

150,000

1,543,500

(9,000)

0.6

Graf

Industrial

Corp.

124,692

1,268,118

(33,667)

2.3

HL

Acquisitions

Corp.

54,000

561,600

(2,160)

0.1

LF

Capital

Acquisition

Corp.

140,000

1,426,600

(22,400)

1.5

Megalith

Financial

Acquisition

Corp.

128,300

1,320,207

3,849

(0.3)

Pure

Acquisition

Corp.

50,000

519,500

(5,500)

0.4

Spartan

Energy

Acquisition

Corp.

150,000

1,518,000

(3,000)

0.2

Tenzing

Acquisition

Corp.

150,000

1,576,500

1,500

(0.1)

NO.

OF

WARRANTS

Warrants

Hong

Kong

New

Frontier

Health

Corp.,

expiring

7/25/2023

50,000

47,250

(17,750)

1.2

United

Kingdom

Leo

Holdings

Corp.,

expiring

4/5/2023

125,000

80,000

(62,500)

4.2

United

States

AdaptHealth

Corp.,

expiring

11/8/2024

33,334

146,670

–

–

Akazoo

SA,

expiring

12/31/2024

425,000

139,018

24,268

(1.6)

Akerna

Corp.,

expiring

8/1/2024

22,500

8,325

3,600

(0.2)

Altus

Midstream

Co.,

expiring

11/12/2023

125,000

1,062

(4,575)

0.3

Broadmark

Realty

Capital,

Inc.,

expiring

11/15/2024

250,000

55,000

(32,500)

2.2

Estre

Ambiental,

Inc.,

expiring

12/22/2022

661,870

1,125

993

(0.1)

40

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

NO.

OF

WARRANTS

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Exela

Technologies,

Inc.,

expiring

7/12/2022

930,354

8,373

(5,582)

0.4

Falcon

Minerals

Corp.,

expiring

8/23/2023

250,000

37,500

4,500

(0.3)

Far

Point

Acquisition

Corp.,

expiring

6/1/2025

33,333

18,000

(18,000)

1.2

Forum

Merger

II

Corp.,

expiring

9/30/2025

180,000

36,018

(35,982)

2.4

Gordon

Pointe

Acquisition

Corp.,

expiring

1/25/2023

122,980

22,136

(8,609)

0.6

Graf

Industrial

Corp.,

expiring

12/31/2025

198,000

19,800

(35,640)

2.4

Grid

Dynamics

Holdings,

Inc.,

expiring

9/30/2023

90,000

171,000

(5,400)

0.4

Infrastructure

and

Energy

Alternatives,

Inc.,

expiring

3/26/2023

343,006

20,580

5,077

(0.3)

Inspired

Entertainment,

Inc.,

expiring

12/23/2021

636,986

89,178

(57,329)

3.9

International

General

Insurance

Holdings

Ltd.,

expiring

3/17/2025

117,500

49,350

(103,400)

7.0

KBL

Merger

Corp.

IV,

expiring

1/15/2024

500,000

35,000

(14,500)

1.0

Legacy

Acquisition

Corp.,

expiring

11/30/2022

250,000

62,500

(62,500)

4.2

Leisure

Acquisition

Corp.,

expiring

12/28/2022

125,000

21,250

(58,750)

4.0

Limbach

Holdings,

Inc.,

expiring

7/20/2021

168,252

16,825

3,365

(0.2)

Megalith

Financial

Acquisition

Corp.,

expiring

9/21/2023

128,200

28,204

(25,640)

1.7

Mudrick

Capital

Acquisition

Corp.,

expiring

3/12/2025

250,000

87,500

(92,500)

6.2

National

Energy

Services

Reunited

Corp.,

expiring

6/6/2023

409,500

135,135

(57,330)

3.9

Nesco

Holdings,

Inc.,

expiring

1/1/2025

83,334

15,000

(9,167)

0.6

NextDecade

Corp.,

expiring

7/24/2022

547,771

43,822

(38,344)

2.6

OneSpaWorld

Holdings

Ltd.,

expiring

3/19/2024

99,990

66,993

(107,989)

7.3

Pensare

Acquisition

Corp.,

expiring

8/8/2022

250,000

12,500

(20,000)

1.3

Purple

Innovation,

Inc.,

expiring

2/2/2023

200,000

120,000

(186,000)

12.5

Ranpak

Holdings

Corp.,

expiring

6/3/2024

110,000

126,500

(34,100)

2.3

Repay

Holdings

Corp.,

expiring

7/11/2024

180,000

235,800

(61,200)

4.1

Rimini

Street,

Inc.,

expiring

9/30/2022(a)

471,690

56,603

(14,151)

1.0

Rosehill

Resources,

Inc.,

expiring

4/27/2022

244,800

7,344

(1,224)

0.1

Sirius

International

Insurance

Group

Ltd.,

expiring

11/5/2023

286,625

85,988

2,866

(0.2)

Spartan

Energy

Acquisition

Corp.,

expiring

10/1/2023

48,333

24,162

(1,938)

0.1

VectoIQ

Acquisition

Corp.,

expiring

6/11/2023

180,000

351,000

(172,800)

11.6

Verra

Mobility

Corp.,

expiring

10/17/2023

66,667

117,334

(81,334)

5.5

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.28%

to

0.03%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-61

months

maturity

ranging

from

04/15/2020

-

03/12/2025

$240,056,264

$(5,059,339)

$(672,077)

$(5,731,416)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

41

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acacia

Communications,

Inc.

158,959

10,678,866

194,492

(3.4)

Advanced

Disposal

Services,

Inc.

341,369

11,196,903

166,892

(2.9)

Allergan

plc

53,159

9,414,459

214,639

(3.7)

Anixter

International,

Inc.

71,858

6,314,162

(395,754)

6.9

Caesars

Entertainment

Corp.

493,627

3,336,919

(2,344,728)

40.9

CenterState

Bank

Corp.

50,205

865,032

(299,848)

5.2

Cincinnati

Bell,

Inc.

198,872

2,911,486

224,044

(3.9)

Cypress

Semiconductor

Corp.

543,739

12,679,993

583,885

(10.2)

Delphi

Technologies

plc

383,911

3,090,484

(2,244,678)

39.2

E*TRADE

Financial

Corp.

208,649

7,160,834

(1,303,957)

22.8

El

Paso

Electric

Co.

42,213

2,868,795

60,308

(1.1)

FGL

Holdings

492,422

4,825,736

(1,044,525)

18.2

Fitbit,

Inc.

589,670

3,927,202

(106,602)

1.9

ForeScout

Technologies,

Inc.

203,897

6,441,106

(229,575)

4.0

Forty

Seven,

Inc.

72,833

6,949,725

79,794

(1.4)

Front

Yard

Residential

Corp.

118,084

1,411,104

(65,645)

1.1

Genworth

Financial,

Inc.

843,592

2,800,725

(551,246)

9.6

Hexcel

Corp.

34,916

1,298,526

(1,397,380)

24.4

IBERIABANK

Corp.

63,928

2,311,636

(2,399,235)

41.9

KEMET

Corp.

289,381

6,991,445

(339,829)

5.9

Legg

Mason,

Inc.

224,536

10,968,584

(211,640)

3.7

LogMeIn,

Inc.

76,127

6,339,857

(104,786)

1.8

Mellanox

Technologies

Ltd.

88,165

10,696,178

738,138

(12.9)

Mobile

Mini,

Inc.

17,525

459,681

(224,574)

3.9

Opus

Bank

24,000

415,920

(222,034)

3.9

Ra

Pharmaceuticals,

Inc.

132,723

6,372,031

256,274

(4.5)

Raytheon

Co.

12,636

1,657,211

(749,441)

13.1

Sprint

Corp.

659,472

5,684,649

1,187,050

(20.7)

Tallgrass

Energy

LP

470,904

7,751,080

(2,668,372)

46.6

Taubman

Centers,

Inc.

186,715

7,819,624

(1,899,782)

33.1

Tech

Data

Corp.

43,244

5,658,477

(440,097)

7.7

Tiffany

&

Co.

53,830

6,970,985

72,720

(1.3)

WABCO

Holdings,

Inc.

72,103

9,737,510

200,373

(3.5)

Willis

Towers

Watson

plc

28,800

4,891,680

(480,878)

8.4

Wright

Medical

Group

NV

331,782

9,505,554

(356,630)

6.2

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(46,036)

(3,507,483)

122,946

(2.1)

Aon

plc

(31,104)

(5,133,404)

549,866

(9.6)

BorgWarner,

Inc.

(173,857)

(4,236,895)

1,241,342

(21.7)

Eldorado

Resorts,

Inc.

(48,351)

(696,254)

1,310,416

(22.9)

Fidelity

National

Financial,

Inc.

(31,494)

(783,571)

569,823

(9.9)

First

Horizon

National

Corp.

(293,046)

(2,361,951)

2,376,755

(41.5)

Morgan

Stanley

(217,610)

(7,398,740)

1,401,752

(24.5)

Pacific

Premier

Bancorp,

Inc.

(21,600)

(406,944)

234,507

(4.1)

South

State

Corp.

(15,048)

(883,769)

286,997

(5.0)

T-Mobile

US,

Inc.

(67,648)

(5,675,667)

(321,328)

5.6

United

Bankshares,

Inc.

(16,170)

(373,204)

202,816

(3.5)

United

Technologies

Corp.

(29,502)

(2,782,924)

1,161,199

(20.3)

WESCO

International,

Inc.

(17,222)

(393,523)

402,805

(7.0)

WillScot

Corp.

(41,922)

(424,670)

260,240

(4.5)

Woodward,

Inc.

(21,880)

(1,300,547)

1,413,914

(24.7)

42

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.28%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

43-61

months

maturity

ranging

from

03/17/2023

-

03/12/2025

$54,819,457

$(4,841,993)

$3,118,952

$(1,723,041)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Germany

Deutsche

Bank

AG,

1.00%,

5/1/2023

3,375,000

3,316,700

(91,969)

5.3

United

States

Air

Transport

Services

Group,

Inc.,

1.13%,

10/15/2024

3,000,000

2,550,585

(341,328)

19.8

Allegheny

Technologies,

Inc.,

4.75%,

7/1/2022

3,150,000

2,827,276

(2,002,395)

116.2

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

1,625,000

1,346,758

(67,224)

3.9

Cleveland-Cliffs,

Inc.,

1.50%,

1/15/2025

4,200,000

2,959,627

(1,877,032)

108.9

DISH

Network

Corp.,

3.38%,

8/15/2026

2,575,000

2,101,499

(287,646)

16.7

Guess?,

Inc.,

2.00%,

4/15/2024

2,250,000

1,348,960

(903,956)

52.5

Infinera

Corp.,

2.13%,

9/1/2024

1,700,000

1,427,759

(40,732)

2.4

KBR,

Inc.,

2.50%,

11/1/2023

1,200,000

1,256,066

(55,940)

3.2

Liberty

Media

Corp.,

2.25%,

12/1/2048

2,600,000

2,517,307

(545,085)

31.6

Ligand

Pharmaceuticals,

Inc.,

0.75%,

5/15/2023

1,900,000

1,574,089

26,871

(1.6)

Lumentum

Holdings,

Inc.,

0.25%,

3/15/2024

2,875,000

3,883,136

499,066

(29.0)

Meritor,

Inc.,

3.25%,

10/15/2037

2,075,000

1,792,296

(304,921)

17.7

Microchip

Technology,

Inc.,

1.63%,

2/15/2025

1,525,000

2,210,296

9,607

(0.6)

NRG

Energy,

Inc.,

2.75%,

6/1/2048

2,500,000

2,404,262

(223,290)

13.0

Splunk,

Inc.,

1.13%,

9/15/2025

1,425,000

1,575,366

51,927

(3.0)

Zendesk,

Inc.,

0.25%,

3/15/2023

3,900,000

4,607,893

(638,914)

37.1

SHARES

Short

Positions

Common

Stocks

United

States

Air

Transport

Services

Group,

Inc.

(45,140)

(825,159)

(22,713)

1.3

Allegheny

Technologies,

Inc.

(89,377)

(759,704)

292,330

(17.0)

Atlas

Air

Worldwide

Holdings,

Inc.

(9,045)

(232,185)

(27,695)

1.6

Cleveland-Cliffs,

Inc.

(318,015)

(1,256,159)

1,269,993

(73.7)

DISH

Network

Corp.

(18,371)

(367,236)

178,946

(10.4)

Guess?,

Inc.

(11,345)

(76,806)

17,228

(1.0)

Infinera

Corp.

(96,420)

(511,026)

71,197

(4.1)

JPMorgan

Chase

&

Co.

(5,768)

(519,293)

15,971

(0.9)

KBR,

Inc.

(29,867)

(617,650)

(16,139)

0.9

Ligand

Pharmaceuticals,

Inc.

(1,376)

(100,063)

3,177

(0.2)

Live

Nation

Entertainment,

Inc.

(14,908)

(677,718)

(55,067)

3.2

Lumentum

Holdings,

Inc.

(38,416)

(2,831,259)

(268,093)

15.6

Meritor,

Inc.

(15,072)

(199,704)

73,831

(4.3)

Microchip

Technology,

Inc.

(27,850)

(1,888,230)

11,140

(0.6)

43

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

NRG

Energy,

Inc.

(17,806)

(485,392)

4,346

(0.3)

Splunk,

Inc.

(6,678)

(842,964)

28,017

(1.6)

Zendesk,

Inc.

(45,759)

(2,929,034)

374,499

(21.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.11%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

ranging

from

10/30/2024

-

03/24/2025

$50,931,686

$1,313,815

$(13,678)

$1,300,137

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Greenvision

Acquisition

Corp.

150,000

1,455,000

(30,000)

(2.3)

Mexico

Opes

Acquisition

Corp.

100,000

1,086,000

51,000

3.9

United

Kingdom

Leo

Holdings

Corp.

6,614

68,124

1,653

0.1

United

States

Acamar

Partners

Acquisition

Corp.

150,000

1,477,500

36,000

2.8

AMCI

Acquisition

Corp.

100,000

1,016,000

16,000

1.2

Amplitude

Healthcare

Acquisition

Corp.

93,750

895,312

(253)

(0.0)

Apex

Technology

Acquisition

Corp.

80,000

781,600

33,600

2.6

CF

Finance

Acquisition

Corp.

100,000

1,029,000

19,000

1.5

CHP

Merger

Corp.

148,700

1,442,390

44,610

3.4

Churchill

Capital

Corp.

II

50,000

497,500

13,885

1.1

CIIG

Merger

Corp.

89,500

868,150

14,705

1.1

Conyers

Park

II

Acquisition

Corp.

15,000

160,050

3,900

0.3

Crescent

Acquisition

Corp.

150,000

1,477,500

37,500

2.9

DiamondPeak

Holdings

Corp.

100,000

997,000

37,000

2.8

Experience

Investment

Corp.

50,000

483,500

(1,500)

(0.1)

FinServ

Acquisition

Corp.

50,000

480,000

13,500

1.0

FinTech

Acquisition

Corp.

III

50,000

499,500

9,500

0.7

GigCapital2,

Inc.

150,000

1,492,500

43,500

3.3

Gores

Metropoulos,

Inc.

99,999

1,014,990

38,999

3.0

Graf

Industrial

Corp.

66,000

671,220

2,574

0.2

GX

Acquisition

Corp.

150,000

1,470,000

55,500

4.3

Haymaker

Acquisition

Corp.

II

50,000

489,500

10,685

0.8

Healthcare

Merger

Corp.

150,000

1,477,500

82,500

6.3

Hennessy

Capital

Acquisition

Corp.

IV

50,000

505,500

7,500

0.6

Insurance

Acquisition

Corp.

100,000

1,006,000

31,000

2.4

Juniper

Industrial

Holdings,

Inc.

150,000

1,443,000

33,000

2.5

44

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Landcadia

Holdings

II,

Inc.

150,000

1,482,000

72,000

5.5

Legacy

Acquisition

Corp.

100,000

1,037,000

43,000

3.3

Megalith

Financial

Acquisition

Corp.

6,400

65,856

1,152

0.1

Merida

Merger

Corp.

I

100,000

950,000

5,000

0.4

Monocle

Acquisition

Corp.

150,000

1,507,500

22,500

1.7

Mudrick

Capital

Acquisition

Corp.

150,000

1,552,500

52,500

4.0

New

Providence

Acquisition

Corp.

150,000

1,470,000

45,000

3.5

Osprey

Technology

Acquisition

Corp.

150,000

1,458,000

91,500

7.0

Pivotal

Investment

Corp.

II

150,000

1,486,500

24,000

1.8

Proficient

Alpha

Acquisition

Corp.

80,000

800,000

8,000

0.6

PropTech

Acquisition

Corp.

100,000

985,000

58,000

4.5

Replay

Acquisition

Corp.

150,000

1,473,000

48,000

3.7

RMG

Acquisition

Corp.

150,000

1,488,675

45,675

3.5

Schultze

Special

Purpose

Acquisition

Corp.

138,000

1,396,560

28,980

2.2

Software

Acquisition

Group,

Inc.

102,516

987,229

(2,050)

(0.2)

South

Mountain

Merger

Corp.

150,000

1,455,000

30,000

2.3

Spartan

Energy

Acquisition

Corp.

89,998

910,780

11,700

0.9

Stable

Road

Acquisition

Corp.

125,000

1,218,750

10,000

0.8

Switchback

Energy

Acquisition

Corp.

50,000

482,500

(3,500)

(0.3)

Tortoise

Acquisition

Corp.

50,000

491,500

10,500

0.8

Trine

Acquisition

Corp.

100,000

994,000

39,000

3.0

Tuscan

Holdings

Corp.

150,000

1,495,500

48,000

3.7

Tuscan

Holdings

Corp.

II

150,000

1,459,500

19,500

1.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

25-61

months

maturity

ranging

from

04/17/2020

-

03/06/2025

$11,272,402

$377,742

$(546,004)

$(168,262)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Penson

Technologies

LLC,

Class

B

Shares(a)

9,326,216

93

84

(0.1)

China

SINA

Corp.

26,694

849,937

93,963

(55.8)

United

States

Acacia

Communications,

Inc.

11,553

776,131

33,966

(20.2)

Altaba,

Inc.

212,645

4,614,396

255,174

(151.7)

FHLMC

78,659

109,946

(13,549)

8.1

Fitbit,

Inc.

651,308

4,337,711

280,062

(166.4)

45

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

DIVERSIFIED

ARBITRAGE

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

FNMA

27,686

44,021

(4,430)

2.6

Genworth

Financial,

Inc.

51,097

169,642

(60,294)

35.8

Short

Positions

Common

Stocks

United

States

Precigen,

Inc.

(108,978)

(370,525)

(207,234)

123.2

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

46

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

123.9%

COMMON

STOCKS

-

32.5%

Austria

-

0.1%

ams

AG*

22,996

$

224,774

Belgium

-

1.6%

Ageas(a)

35,220

1,467,688

bpost

SA(a)

12,396

87,394

Galapagos

NV*

1,114

218,765

Proximus

SADP(a)

4,141

95,096

Solvay

SA(a)

3,693

266,145

UCB

SA(a)

14,155

1,211,133

3,346,221

—

Brazil

-

0.0%(b)

Yamana

Gold,

Inc.(1)

14,270

39,647

Canada

-

3.1%

Air

Canada(1)*(a)

26,516

296,758

Alimentation

Couche-Tard,

Inc.,

Class

B(1)(a)

22,706

534,857

Atco

Ltd.,

Class

I(1)(a)

11,873

328,779

Canadian

Imperial

Bank

of

Commerce(1)(a)

830

48,362

Canadian

Utilities

Ltd.,

Class

A(1)

(a)

1,931

46,158

Cenovus

Energy,

Inc.(1)(a)

118,227

238,588

CGI,

Inc.(1)*(a)

2,788

150,940

CI

Financial

Corp.(1)(a)

28,417

282,090

Cogeco

Communications,

Inc.(1)(a)

1,537

104,269

Empire

Co.

Ltd.,

Class

A(1)(a)

37,615

735,834

Fairfax

Financial

Holdings

Ltd.(1)(a)

642

196,815

Finning

International,

Inc.(1)(a)

17,435

187,073

George

Weston

Ltd.(1)(a)

555

39,686

Hydro

One

Ltd.(1)(a)(c)

7,310

131,625

iA

Financial

Corp.,

Inc.(1)(a)

7,853

246,868

Kinross

Gold

Corp.(1)*(a)

22,290

89,489

Linamar

Corp.(1)(a)

15,456

319,927

Magna

International,

Inc.(1)(a)

19,678

627,968

Manulife

Financial

Corp.(1)(a)

19,406

243,661

Methanex

Corp.(1)

6,746

82,114

Onex

Corp.(1)(a)

4,777

174,848

Quebecor,

Inc.,

Class

B(1)(a)

12,365

273,343

Seven

Generations

Energy

Ltd.,

Class

A(1)*

66,489

73,231

Shaw

Communications,

Inc.,

Class

B(1)(a)

2,158

35,008

Stantec,

Inc.(1)(a)

1,975

50,522

Teck

Resources

Ltd.,

Class

B(1)(a)

37,297

282,782

Thomson

Reuters

Corp.(1)(a)

7,310

498,034

Tourmaline

Oil

Corp.(1)(a)

7,029

43,154

6,362,783

—

China

-

0.1%

Yangzijiang

Shipbuilding

Holdings

Ltd.

259,500

150,572

Denmark

-

3.3%

Carlsberg

A/S,

Class

B(a)

17,344

1,952,585

Coloplast

A/S,

Class

B(a)

2,628

381,129

FLSmidth

&

Co.

A/S*(d)

18,664

418,321

Genmab

A/S*

451

90,592

INVESTMENTS

SHARES

VALUE

Denmark

-

3.3%

(continued)

GN

Store

Nord

A/S(a)

23,624

$

1,047,444

H

Lundbeck

A/S(a)

19,757

580,112

Novo

Nordisk

A/S,

Class

B(a)

21,704

1,296,078

Pandora

A/S(a)

22,834

733,682

ROCKWOOL

International

A/S,

Class

B

2,673

481,459

6,981,402

—

Finland

-

1.8%

Fortum

OYJ(a)

88,541

1,288,011

Kesko

OYJ,

Class

B(a)

11,094

627,352

Kone

OYJ,

Class

B(a)

8,702

487,318

Orion

OYJ,

Class

B(a)

17,575

715,237

UPM-Kymmene

OYJ(a)

21,638

590,002

3,707,920

—

Italy

-

5.2%

A2A

SpA(a)

1,017,268

1,255,051

Assicurazioni

Generali

SpA(a)

71,524

968,779

Atlantia

SpA(a)

12,269

152,411

Autogrill

SpA(a)

42,173

195,703

Azimut

Holding

SpA(a)(d)

3,434

48,875

Banca

Generali

SpA(d)

12,839

266,788

Banco

BPM

SpA*

28,687

37,006

BPER

Banca(a)

263,355

801,375

Buzzi

Unicem

SpA(a)(d)

8,185

149,485

Enel

SpA(a)

94,547

652,171

Eni

SpA(a)

97,027

964,203

Hera

SpA(a)

272,547

986,045

Intesa

Sanpaolo

SpA(a)

104,985

169,872

Italgas

SpA(a)

194,889

1,066,311

Leonardo

SpA(a)

55,369

366,054

Mediobanca

Banca

di

Credito

Finanziario

SpA(a)

51,389

280,234

Poste

Italiane

SpA(a)(c)

85,259

717,611

Snam

SpA(a)

143,730

656,889

Telecom

Italia

SpA*(a)

803,970

325,426

Terna

Rete

Elettrica

Nazionale

SpA(a)(d)

46,164

290,181

Unipol

Gruppo

SpA(a)

196,341

669,576

11,020,046

—

Netherlands

-

3.9%

ASM

International

NV(a)

11,831

1,203,708

ASR

Nederland

NV(a)

41,627

1,046,643

Koninklijke

Ahold

Delhaize

NV(a)

86,758

2,021,165

Koninklijke

KPN

NV(a)

28,134

67,280

Koninklijke

Philips

NV(a)

13,387

549,635

NN

Group

NV(a)

18,931

514,464

Randstad

NV*(a)

12,741

449,655

Signify

NV(a)(c)

41,641

807,012

Wolters

Kluwer

NV(a)

19,654

1,391,191

8,050,753

—

Norway

-

0.9%

Leroy

Seafood

Group

ASA(a)

79,281

388,077

Orkla

ASA(a)

57,897

496,045

Salmar

ASA(a)

13,788

456,161

47

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Norway

-

0.9%

(continued)

Yara

International

ASA(a)

16,958

$

536,196

1,876,479

—

Singapore

-

0.3%

ComfortDelGro

Corp.

Ltd.

245,800

261,736

Genting

Singapore

Ltd.

804,700

390,086

651,822

—

Spain

-

3.9%

ACS

Actividades

de

Construccion

y

Servicios

SA(a)

29,010

576,121

Banco

Bilbao

Vizcaya

Argentaria

SA(a)

62,138

192,414

Banco

de

Sabadell

SA

94,423

47,751

Enagas

SA(a)

61,460

1,212,434

Endesa

SA(a)

93,084

1,969,695

Iberdrola

SA(a)

44,030

430,658

Mapfre

SA(a)

137,810

233,781

Naturgy

Energy

Group

SA(a)

74,699

1,310,506

Red

Electrica

Corp.

SA(a)

110,690

1,989,044

Repsol

SA(a)

11,000

98,134

Telefonica

SA

13,064

59,455

8,119,993

—

Sweden

-

3.0%

Assa

Abloy

AB,

Class

B

7,450

139,082

Axfood

AB(a)

19,162

389,671

Electrolux

AB,

Series

B(a)

16,876

208,480

Electrolux

Professional

AB,

Class

B*

29,329

84,496

Essity

AB,

Class

B

51,967

1,591,936

Getinge

AB,

Class

B

35,964

680,047

Hennes

&

Mauritz

AB,

Class

B

46,905

600,233

Securitas

AB,

Class

B(a)

24,001

257,830

Skanska

AB,

Class

B*(a)

32,444

488,255

Swedish

Match

AB(a)

4,379

247,937

Swedish

Orphan

Biovitrum

AB*

29,407

488,488

Telefonaktiebolaget

LM

Ericsson,

Class

B*

111,912

905,924

Volvo

AB,

Class

B(d)

7,704

91,569

6,173,948

—

Switzerland

-

5.0%

Adecco

Group

AG

(Registered)(a)

35,678

1,405,950

Baloise

Holding

AG

(Registered)(a)

472

61,536

Bucher

Industries

AG

(Registered)

128

33,738

Credit

Suisse

Group

AG

(Registered)*(a)

13,507

109,020

dormakaba

Holding

AG*(a)

916

405,292

Dufry

AG

(Registered)

1,507

46,250

Flughafen

Zurich

AG

(Registered)*(a)

3,589

401,511

Geberit

AG

(Registered)(a)

1,522

666,909

Helvetia

Holding

AG

(Registered)

5,451

465,717

Kuehne

+

Nagel

International

AG

(Registered)(a)

272

37,052

LafargeHolcim

Ltd.

(Registered)*(a)

14,509

529,484

Logitech

International

SA

(Registered)(a)

5,304

227,157

Nestle

SA

(Registered)(a)

8,690

889,576

INVESTMENTS

SHARES

VALUE

Switzerland

-

5.0%

(continued)

Novartis

AG

(Registered)(a)

18,491

$

1,525,486

OC

Oerlikon

Corp.

AG

(Registered)

5,294

41,917

Roche

Holding

AG(a)

6,259

2,013,783

SGS

SA

(Registered)(a)

26

59,968

Sonova

Holding

AG

(Registered)(a)

7,588

1,353,050

Sunrise

Communications

Group

AG*(c)

539

43,202

Swiss

Life

Holding

AG

(Registered)

(a)

206

69,143

UBS

Group

AG

(Registered)*(a)

7,874

72,174

10,457,915

—

United

States

-

0.3%

Alliance

Data

Systems

Corp.(1)(a)

485

16,320

BRP,

Inc.(1)(a)

16,738

273,079

Morgan

Stanley(1)(d)

9,337

317,459

606,858

—

TOTAL

COMMON

STOCKS

(Cost

$74,656,569)

67,771,133

SHORT-TERM

INVESTMENTS

-

91.4%

INVESTMENT

COMPANIES

-

49.4%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(e)(f)

1,047,995

1,047,995

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(e)(g)

101,924,104

102,056,605

TOTAL

INVESTMENT

COMPANIES

(Cost

$102,995,986)

103,104,600

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

42.0%

U.S.

Treasury

Bills

1.70%,

4/9/2020(h)(i)

$

12,516,000

12,515,752

1.63%,

4/16/2020(h)(i)

33,542,000

33,540,953

1.62%,

4/30/2020(h)(i)

3,071,000

3,070,863

0.40%,

9/10/2020(h)(i)

9,381,000

9,376,188

0.30%,

9/17/2020(h)(i)

27,261,000

27,253,481

0.08%,

9/24/2020(h)(i)

1,762,000

1,761,190

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$87,445,708)

87,518,427

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$190,441,694)

190,623,027

TOTAL

LONG

POSITIONS

(Cost

$265,098,263)

258,394,160

SHARES

SHORT

POSITIONS

-

(24.0)%

COMMON

STOCKS

-

(24.0)%

Belgium

-

(0.9)%

Anheuser-Busch

InBev

SA/NV

(8,227)

(363,386)

Umicore

SA

(43,768)

(1,509,614)

(1,873,000)

—

Canada

-

(3.3)%

Agnico

Eagle

Mines

Ltd.(1)

(1,978)

(78,963)

AltaGas

Ltd.(1)

(41,114)

(372,489)

ARC

Resources

Ltd.(1)

(21,755)

(62,608)

48

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Canada

-

(3.3)%

(continued)

BlackBerry

Ltd.(1)*

(8,474)

$

(34,744)

Brookfield

Asset

Management,

Inc.,

Class

A(1)

(2,412)

(106,914)

Cameco

Corp.(1)

(56,183)

(428,369)

Canada

Goose

Holdings,

Inc.(1)*

(18,559)

(371,101)

Dollarama,

Inc.(1)

(9,407)

(260,960)

Element

Fleet

Management

Corp.

(1)

(34,273)

(218,209)

Enbridge,

Inc.(1)

(40,507)

(1,179,546)

Franco-Nevada

Corp.(1)

(2,535)

(253,284)

Husky

Energy,

Inc.(1)

(15,758)

(39,639)

Inter

Pipeline

Ltd.(1)

(58,588)

(350,537)

Pembina

Pipeline

Corp.(1)

(10,637)

(199,543)

PrairieSky

Royalty

Ltd.(1)

(49,050)

(258,965)

Restaurant

Brands

International,

Inc.(1)

(1,251)

(50,412)

Saputo,

Inc.(1)

(4,251)

(102,220)

Shopify,

Inc.,

Class

A(1)*

(327)

(137,004)

SNC-Lavalin

Group,

Inc.(1)

(54,341)

(801,619)

Stars

Group,

Inc.

(The)(1)*

(15,190)

(310,643)

Suncor

Energy,

Inc.(1)

(32,026)

(511,123)

TC

Energy

Corp.(1)

(14,166)

(629,634)

Vermilion

Energy,

Inc.(1)

(16,050)

(49,269)

(6,807,795)

—

Denmark

-

(2.3)%

Chr

Hansen

Holding

A/S

(21,764)

(1,606,025)

Dfds

A/S*

(2,580)

(58,050)

DSV

Panalpina

A/S

(16,515)

(1,501,693)

ISS

A/S

(37,885)

(518,287)

Novozymes

A/S,

Class

B

(16,920)

(758,977)

Orsted

A/S(c)

(2,076)

(203,236)

Vestas

Wind

Systems

A/S

(836)

(68,022)

(4,714,290)

—

Finland

-

(0.8)%

Huhtamaki

OYJ

(13,359)

(427,722)

Neste

OYJ

(955)

(31,751)

Nokian

Renkaat

OYJ

(42,108)

(1,005,458)

Sampo

OYJ,

Class

A

(1,510)

(43,562)

Wartsila

OYJ

Abp

(12,001)

(87,637)

(1,596,130)

—

Italy

-

(2.5)%

Amplifon

SpA

(19,700)

(400,171)

Davide

Campari-Milano

SpA

(35,709)

(256,082)

DiaSorin

SpA

(1,314)

(173,204)

Ferrari

NV

(3,413)

(525,721)

FinecoBank

Banca

Fineco

SpA

(170,993)

(1,538,438)

Freni

Brembo

SpA

(53,912)

(399,752)

Pirelli

&

C

SpA(c)

(257,997)

(910,265)

Prysmian

SpA

(20,668)

(328,144)

Saipem

SpA*

(201,514)

(485,831)

Salvatore

Ferragamo

SpA

(16,152)

(214,656)

UniCredit

SpA

(6,296)

(48,710)

(5,280,974)

—

INVESTMENTS

SHARES

VALUE

Luxembourg

-

(0.5)%

ArcelorMittal

SA

(56,130)

$

(529,893)

Tenaris

SA

(78,706)

(474,819)

(1,004,712)

—

Netherlands

-

(2.5)%

Adyen

NV*(c)

(493)

(418,998)

Aegon

NV

(46,550)

(116,254)

Altice

Europe

NV*

(166,228)

(641,553)

Argenx

SE*

(225)

(29,617)

ASML

Holding

NV

(233)

(61,422)

Boskalis

Westminster

(19,550)

(356,028)

Just

Eat

Takeaway*(c)

(11,173)

(844,935)

Koninklijke

DSM

NV

(1,493)

(167,946)

Koninklijke

Vopak

NV

(17,610)

(924,704)

OCI

NV*

(43,846)

(523,963)

SBM

Offshore

NV

(89,145)

(1,178,539)

(5,263,959)

—

Norway

-

(0.3)%

Equinor

ASA

(3,859)

(48,107)

Norsk

Hydro

ASA

(204,510)

(440,957)

Schibsted

ASA,

Class

A

(9,036)

(174,035)

(663,099)

—

Singapore

-

(0.3)%

City

Developments

Ltd.

(38,200)

(193,700)

Jardine

Cycle

&

Carriage

Ltd.

(14,400)

(197,989)

Singapore

Airlines

Ltd.

(7,400)

(30,038)

Singapore

Technologies

Engineering

Ltd.

(22,800)

(49,882)

Singapore

Telecommunications

Ltd.

(135,800)

(242,093)

(713,702)

—

Spain

-

(3.0)%

Amadeus

IT

Group

SA

(1,067)

(50,222)

Banco

Santander

SA

(317,979)

(756,416)

Bankia

SA

(95,114)

(103,719)

CaixaBank

SA

(54,943)

(101,678)

Cellnex

Telecom

SA(c)

(49,148)

(2,229,476)

Ferrovial

SA

(74,474)

(1,767,770)

Grifols

SA

(39,612)

(1,325,315)

(6,334,596)

—

Sweden

-

(2.1)%

Alfa

Laval

AB

(2,064)

(35,338)

Atlas

Copco

AB,

Class

A

(30,680)

(1,020,242)

BillerudKorsnas

AB

(31,857)

(347,360)

Elekta

AB,

Class

B

(34,622)

(282,251)

Epiroc

AB,

Class

A

(19,784)

(195,495)

Hexagon

AB,

Class

B

(3,420)

(144,615)

Hexpol

AB

(13,172)

(77,824)

Husqvarna

AB,

Class

B

(9,015)

(44,847)

Saab

AB,

Class

B

(28,357)

(538,773)

SSAB

AB,

Class

A

(124,043)

(281,277)

Svenska

Cellulosa

AB

SCA,

Class

B*

(54,734)

(541,639)

Svenska

Handelsbanken

AB,

Class

A*

(88,875)

(732,961)

49

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$56,350,631.

(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

March

31,

2020

amounted

to

$(2,907,460),

which

represents

approximately

(1.39)%

of

net

assets

of

the

fund.

(d)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

with

a

total

value

of

$758,108.

(e)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(g)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

INVESTMENTS

SHARES

VALUE

Sweden

-

(2.1)%

(continued)

Tele2

AB,

Class

B

(11,269)

$

(150,137)

(4,392,759)

—

Switzerland

-

(4.8)%

ABB

Ltd.

(Registered)

(10,428)

(181,250)

Alcon,

Inc.*

(1,600)

(81,969)

Chocoladefabriken

Lindt

&

Spruengli

AG

(25)

(209,837)

Cie

Financiere

Richemont

SA

(Registered)

(10,644)

(568,963)

Clariant

AG

(Registered)

(47,330)

(787,771)

EMS-Chemie

Holding

AG

(Registered)

(89)

(55,507)

Idorsia

Ltd.*

(13,442)

(347,423)

Julius

Baer

Group

Ltd.*

(20,195)

(676,481)

Lonza

Group

AG

(Registered)*

(1,747)

(718,583)

Schindler

Holding

AG

(929)

(203,244)

Sika

AG

(Registered)

(10,783)

(1,770,707)

Straumann

Holding

AG

(Registered)

(1,249)

(913,150)

Sulzer

AG

(Registered)

(598)

(37,227)

Swiss

Re

AG

(6,553)

(504,574)

Temenos

AG

(Registered)*

(15,072)

(1,964,630)

Vifor

Pharma

AG

(7,893)

(1,079,824)

(10,101,140)

—

United

Kingdom

-

(0.5)%

CNH

Industrial

NV

(75,046)

(427,409)

Subsea

7

SA

(110,251)

(520,752)

(948,161)

—

Zambia

-

(0.2)%

First

Quantum

Minerals

Ltd.(1)

(80,784)

(412,731)

TOTAL

COMMON

STOCKS

(Proceeds$(64,305,094))

(50,107,048)

TOTAL

SHORT

POSITIONS

(Proceeds

$(64,305,094))

(50,107,048)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

99.9%

(Cost

$200,793,169)

208,287,112

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

0.1%(j)

287,664

NET

ASSETS

-

100.0%

$208,574,776

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(2,434,216)

(1.2)

%

Consumer

Discretionary

(2,310,290)

(1.1)

Consumer

Staples

9,439,357

4.5

Energy

(5,956,427)

(2.9)

Financials

4,802,630

2.3

Health

Care

6,799,474

3.3

Industrials

2,569,053

1.2

Information

Technology

(82,813)

0.0(

b

)

Materials

(8,006,814)

(3.8)

Real

Estate

(193,700)

(0.1)

Utilities

13,037,831

6.3

Short-Term

Investments

190,623,027

91.4

Total

Investments

In

Securities

At

Value

208,287,112

99.9

Other

Assets

in

Excess

of

Liabilities(j)

287,664

0.1

Net

Assets

$

208,574,776

100.0%

50

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

(h)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

48.9%

INVESTMENT

COMPANIES

-

48.9%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)^(a)

(Cost

$101,947,991)

$81,189,187

$111,570,611

$(90,803,508)

$16,787

$83,528

$102,056,605

101,924,104

270,044

^    No

longer

affiliated

as

of

March

31,

2020.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

S&P

500

E-Mini

Index

(27)

6/2020

USD

$

(3,469,095)

$

30,155

$

30,155

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

25,000

USD

17,693

CITI

6/17/2020

$

85

CAD

25,000

USD

17,693

JPMC

6/17/2020

85

CHF

454,500

USD

467,726

CITI

6/17/2020

6,215

CHF

454,500

USD

467,727

JPMC

6/17/2020

6,214

DKK

2,520,000

USD

366,658

CITI

6/17/2020

6,675

DKK

2,520,000

USD

366,658

JPMC

6/17/2020

6,675

EUR

1,745,000

USD

1,899,856

CITI

6/17/2020

30,367

EUR

1,745,000

USD

1,899,859

JPMC

6/17/2020

30,363

NOK

31,500

USD

2,976

CITI

6/17/2020

55

NOK

31,500

USD

2,976

JPMC

6/17/2020

55

SEK

7,145,000

USD

716,365

CITI

6/17/2020

7,121

SEK

7,145,000

USD

716,366

JPMC

6/17/2020

7,120

SGD

84,000

USD

58,993

CITI

6/17/2020

175

SGD

84,000

USD

58,993

JPMC

6/17/2020

175

USD

175,897

CAD

246,500

CITI

6/17/2020

611

USD

175,897

CAD

246,500

JPMC

6/17/2020

611

USD

1,042,425

CHF

988,189

CITI

6/17/2020

11,967

USD

1,042,423

CHF

988,188

JPMC

6/17/2020

11,964

USD

169,102

DKK

1,124,500

CITI

6/17/2020

2,510

USD

169,102

DKK

1,124,500

JPMC

6/17/2020

2,510

USD

5,069,247

EUR

4,520,041

CITI

6/17/2020

69,424

USD

5,069,245

EUR

4,520,045

JPMC

6/17/2020

69,420

USD

47,381

NOK

442,508

CITI

6/17/2020

4,805

51

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

47,379

NOK

442,492

JPMC

6/17/2020

$

4,804

USD

2,323,004

SEK

22,389,000

CITI

6/17/2020

55,948

USD

2,323,001

SEK

22,389,000

JPMC

6/17/2020

55,945

USD

574,002

SGD

799,000

CITI

6/17/2020

11,196

USD

574,001

SGD

799,000

JPMC

6/17/2020

11,195

Total

unrealized

appreciation

414,290

CAD

787,842

USD

567,062

CITI

6/17/2020

(6,825)

CAD

787,864

USD

567,079

JPMC

6/17/2020

(6,826)

CHF

937,500

USD

990,898

CITI

6/17/2020

(13,296)

CHF

937,500

USD

990,899

JPMC

6/17/2020

(13,296)

DKK

7,876,000

USD

1,174,446

CITI

6/17/2020

(7,632)

DKK

7,876,000

USD

1,174,447

JPMC

6/17/2020

(7,633)

EUR

4,429,000

USD

4,954,504

CITI

6/17/2020

(55,387)

EUR

4,429,000

USD

4,954,510

JPMC

6/17/2020

(55,395)

NOK

1,002,502

USD

104,805

CITI

6/17/2020

(8,350)

NOK

1,002,498

USD

104,805

JPMC

6/17/2020

(8,350)

SEK

4,687,000

USD

487,979

CITI

6/17/2020

(13,386)

SEK

4,687,000

USD

487,980

JPMC

6/17/2020

(13,386)

SGD

266,500

USD

190,607

CITI

6/17/2020

(2,888)

SGD

266,500

USD

190,607

JPMC

6/17/2020

(2,888)

USD

3,147

CAD

4,500

CITI

6/17/2020

(53)

USD

3,147

CAD

4,500

JPMC

6/17/2020

(53)

USD

988,424

CHF

958,813

CITI

6/17/2020

(11,402)

USD

988,420

CHF

958,810

JPMC

6/17/2020

(11,402)

USD

2,342,313

DKK

16,083,000

CITI

6/17/2020

(40,353)

USD

2,342,310

DKK

16,083,000

JPMC

6/17/2020

(40,357)

USD

7,547,038

EUR

6,905,456

CITI

6/17/2020

(91,399)

USD

7,547,031

EUR

6,905,458

JPMC

6/17/2020

(91,411)

USD

25,738

HKD

200,000

CITI

6/17/2020

(52)

USD

25,737

HKD

200,000

JPMC

6/17/2020

(52)

USD

197,030

NOK

2,079,494

CITI

6/17/2020

(3,048)

USD

197,031

NOK

2,079,506

JPMC

6/17/2020

(3,047)

USD

14,470

SEK

145,500

CITI

6/17/2020

(262)

USD

14,470

SEK

145,500

JPMC

6/17/2020

(262)

USD

8,744

SGD

12,500

CITI

6/17/2020

(60)

USD

8,744

SGD

12,500

JPMC

6/17/2020

(60)

Total

unrealized

depreciation

(508,811)

Net

unrealized

depreciation

$

(94,521)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

RBACR

plus

or

minus

a

specified

spread

(-2.75%

to

0.45%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-73

months

maturity

10/14/2020

$7,056,023

$238,569

$81,010

$319,579

52

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

23,629

247,286

5,039

1.6

Aurizon

Holdings

Ltd.

535,613

1,388,080

57,608

18.0

BlueScope

Steel

Ltd.

75,447

395,004

(84,677)

(26.5)

CIMIC

Group

Ltd.

30,153

427,066

51,454

16.1

Fortescue

Metals

Group

Ltd.

122,615

751,412

4,158

1.3

Harvey

Norman

Holdings

Ltd.

36,068

66,227

(2,457)

(0.8)

Incitec

Pivot

Ltd.

44,988

55,804

2,074

0.6

Qantas

Airways

Ltd.

34,015

66,180

6,278

2.0

Telstra

Corp.

Ltd.

59,977

112,586

(14,909)

(4.7)

Treasury

Wine

Estates

Ltd.

16,971

105,366

11,712

3.7

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(27,369)

(318,259)

(13,180)

(4.1)

Alumina

Ltd.

(280,347)

(251,246)

15,729

4.9

Aristocrat

Leisure

Ltd.

(7,248)

(93,917)

4,746

1.5

Challenger

Ltd.

(159,860)

(390,478)

82,974

26.0

Domino's

Pizza

Enterprises

Ltd.

(1,194)

(36,967)

(113)

(0.0)

Iluka

Resources

Ltd.

(18,508)

(78,265)

5,560

1.7

Macquarie

Group

Ltd.

(564)

(30,037)

369

0.1

Magellan

Financial

Group

Ltd.

(1,936)

(51,346)

962

0.3

Northern

Star

Resources

Ltd.

(4,550)

(29,475)

1,442

0.5

Oil

Search

Ltd.

(20,793)

(30,155)

704

0.2

Ramsay

Health

Care

Ltd.

(5,677)

(199,616)

6,958

2.2

SEEK

Ltd.

(81,342)

(743,323)

42,566

13.3

Seven

Group

Holdings

Ltd.

(30,454)

(209,548)

19,457

6.1

Sonic

Healthcare

Ltd.

(1,973)

(29,654)

277

0.1

WiseTech

Global

Ltd.

(23,096)

(240,105)

(59,836)

(18.7)

Worley

Ltd.

(108,379)

(402,179)

70,599

22.1

United

States

James

Hardie

Industries

plc

(26,393)

(306,442)

23,075

7.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-6.50%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-85

months

maturity

10/13/2021

$46,791,815

$(214,070)

$(491,393)

$(705,463)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

53

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Atos

SE

9,080

604,958

141,279

(20.0)

Bouygues

SA

16,285

472,610

12,555

(1.8)

Carrefour

SA

62,993

998,709

1,681

(0.2)

Cie

de

Saint-Gobain

37,329

895,726

81,421

(11.5)

Electricite

de

France

SA

92,918

726,574

(71,789)

10.2

Engie

SA

81,726

836,912

(92,582)

13.1

Eutelsat

Communications

SA

78,426

815,252

(5,540)

0.8

Natixis

SA

279,330

889,454

335,764

(47.6)

Orange

SA

141,003

1,707,188

74,980

(10.6)

Peugeot

SA

133,942

1,743,829

110,363

(15.6)

Publicis

Groupe

SA

31,338

895,606

137,291

(19.5)

Sanofi

8,927

772,854

1,212

(0.2)

Sodexo

SA

6,007

403,402

56,594

(8.0)

Veolia

Environnement

SA

28,851

609,359

65,232

(9.2)

Germany

adidas

AG

1,802

400,093

54,383

(7.7)

Bayer

AG

(Registered)

15,667

897,696

21,875

(3.1)

Covestro

AG

14,291

433,706

27,385

(3.9)

Fresenius

Medical

Care

AG

&

Co.

KGaA

11,545

753,611

(17,205)

2.4

HeidelbergCement

AG

16,430

701,940

65,417

(9.3)

HOCHTIEF

AG

10,540

692,053

83,073

(11.8)

HUGO

BOSS

AG

30,937

774,417

(23,278)

3.3

ProSiebenSat.1

Media

SE

100,818

791,068

97,562

(13.8)

Rheinmetall

AG

9,982

693,717

127,432

(18.1)

Siemens

Healthineers

AG

15,729

608,029

53,830

(7.6)

Software

AG

17,299

515,573

51,325

(7.3)

United

Kingdom

Dialog

Semiconductor

plc

30,079

781,844

35,703

(5.1)

Short

Positions

Common

Stocks

France

Edenred

(12,090)

(501,729)

(58,822)

8.3

EssilorLuxottica

SA

(3,536)

(374,373)

5,043

(0.7)

Faurecia

SE

(15,992)

(468,272)

(28,072)

4.0

Iliad

SA

(3,944)

(531,392)

(14,655)

2.1

Kering

SA

(2,253)

(1,174,744)

(196,367)

27.8

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(2,092)

(767,244)

(45,489)

6.4

Orpea

(6,797)

(705,769)

(157,548)

22.3

Remy

Cointreau

SA

(7,514)

(818,942)

(113,828)

16.1

Renault

SA

(34,702)

(659,501)

(44,936)

6.4

SEB

SA

(5,721)

(708,580)

(84,682)

12.0

Ubisoft

Entertainment

SA

(6,001)

(438,619)

(10,430)

1.5

Valeo

SA

(28,140)

(458,000)

(83,104)

11.8

Worldline

SA

(11,617)

(685,650)

(107,207)

15.2

Germany

Allianz

SE

(Registered)

(3,609)

(614,604)

(31,388)

4.4

Bayerische

Motoren

Werke

AG

(7,654)

(390,731)

(19,962)

2.8

Daimler

AG

(Registered)

(29,912)

(893,297)

(83,988)

11.9

Delivery

Hero

SE

(16,039)

(1,179,254)

(119,228)

16.9

Deutsche

Bank

AG

(Registered)

(179,649)

(1,142,044)

(104,624)

14.8

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(9,442)

(380,089)

(65,638)

9.3

Sartorius

AG

(Preference)

(3,906)

(933,830)

(143,313)

20.3

thyssenkrupp

AG

(161,745)

(851,938)

(178,167)

25.3

54

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

(continued)

United

Internet

AG

(Registered)

(28,832)

(838,374)

(89,621)

12.7

Zalando

SE

(22,938)

(864,536)

(36,593)

5.2

Luxembourg

Eurofins

Scientific

SE

(1,782)

(869,617)

51,060

(7.2)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.88%

to

0.35%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

19-85

months

maturity

10/13/2021

$49,309,912

$1,082,159

$301,782

$1,383,941

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

233,052

666,791

(54,241)

(3.9)

South

Africa

Investec

plc

218,960

407,915

(70,515)

(5.1)

Switzerland

Coca-Cola

HBC

AG

20,442

438,405

38,290

2.8

United

Kingdom

Avast

plc

94,459

456,681

120,151

8.7

Aviva

plc

412,477

1,356,123

87,591

6.3

BAE

Systems

plc

109,317

702,364

44,750

3.2

Barclays

plc

850,617

966,668

25,844

1.9

Barratt

Developments

plc

149,888

810,192

(25,056)

(1.8)

Bellway

plc

31,038

822,258

(11,258)

(0.8)

Berkeley

Group

Holdings

plc

19,922

889,190

(9,377)

(0.7)

BT

Group

plc

962,100

1,399,438

(55,920)

(4.0)

Centrica

plc

1,245,254

586,754

(24,153)

(1.7)

Howden

Joinery

Group

plc

87,091

547,862

35,460

2.6

Inchcape

plc

96,226

513,543

(10,949)

(0.8)

JD

Sports

Fashion

plc

107,472

601,923

132,837

9.6

Kingfisher

plc

439,026

771,153

79,410

5.7

Marks

&

Spencer

Group

plc

463,889

562,343

25,544

1.8

Meggitt

plc

160,404

576,599

(49,575)

(3.6)

Moneysupermarket.com

Group

plc

153,132

569,049

105,276

7.6

Next

plc

12,094

606,742

(34,519)

(2.5)

Persimmon

plc

36,721

868,035

68,878

5.0

Royal

Mail

plc

400,108

616,776

(119,110)

(8.6)

Sage

Group

plc

(The)

71,970

523,333

9,165

0.7

Tate

&

Lyle

plc

121,476

988,309

103,227

7.5

Taylor

Wimpey

plc

578,722

832,758

(34,821)

(2.5)

WH

Smith

plc

36,746

516,132

98,261

7.1

55

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(27,045)

(744,823)

3,953

0.3

Beazley

plc

(106,658)

(514,488)

7,573

0.5

BP

plc

(120,296)

(493,327)

(99,283)

(7.2)

Croda

International

plc

(18,631)

(982,926)

1,384

0.1

DS

Smith

plc

(285,714)

(968,406)

74,478

5.4

GVC

Holdings

plc

(102,780)

(711,929)

(285,751)

(20.6)

Hargreaves

Lansdown

plc

(60,355)

(1,025,484)

54,895

4.0

Hiscox

Ltd.

(73,118)

(832,673)

77,136

5.6

HSBC

Holdings

plc

(281,675)

(1,581,259)

151,534

10.9

Informa

plc

(94,575)

(515,123)

(18,598)

(1.3)

InterContinental

Hotels

Group

plc

(18,935)

(805,557)

(111,224)

(8.0)

John

Wood

Group

plc

(275,270)

(523,798)

104,996

7.6

Johnson

Matthey

plc

(29,923)

(659,325)

121,824

8.8

Legal

&

General

Group

plc

(221,327)

(522,929)

(29,981)

(2.2)

Lloyds

Banking

Group

plc

(1,360,288)

(531,808)

64,827

4.7

Ocado

Group

plc

(116,500)

(1,747,532)

203,236

14.7

Prudential

plc

(98,979)

(1,240,192)

(260,474)

(18.8)

Severn

Trent

plc

(56,464)

(1,598,324)

97,000

7.0

Spirax-Sarco

Engineering

plc

(7,129)

(715,701)

81,756

5.9

St

James's

Place

plc

(126,470)

(1,180,968)

66,246

4.8

Tesco

plc

(558,294)

(1,576,638)

(12,225)

(0.9)

Vodafone

Group

plc

(334,357)

(462,564)

(12,608)

(0.9)

Weir

Group

plc

(The)

(81,040)

(720,780)

109,367

7.9

Whitbread

plc

(15,462)

(573,045)

(118,691)

(8.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-2.75%

to

0.45%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-73

months

maturity

10/15/2020

$6,276,820

$20,535

$29,673

$50,208

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Hong

Kong

CK

Asset

Holdings

Ltd.

55,000

298,413

11,860

23.6

CLP

Holdings

Ltd.

35,000

320,600

(28,088)

(55.9)

Henderson

Land

Development

Co.

Ltd.

47,050

178,079

(27,923)

(55.6)

Hysan

Development

Co.

Ltd.

100,000

322,940

6,965

13.9

Kerry

Properties

Ltd.

150,000

392,249

(7,225)

(14.4)

Melco

International

Development

Ltd.

90,000

129,003

(9,122)

(18.2)

New

World

Development

Co.

Ltd.

214,000

228,183

(14,134)

(28.2)

56

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Sun

Hung

Kai

Properties

Ltd.

10,500

137,277

363

0.7

WH

Group

Ltd.

537,500

496,117

34,438

68.6

Yue

Yuen

Industrial

Holdings

Ltd.

189,000

288,811

(21,281)

(42.4)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

53,000

353,253

(12,069)

(24.0)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(13,000)

(33,432)

3,957

7.9

Minth

Group

Ltd.

(48,000)

(102,055)

22,994

45.8

Hong

Kong

AIA

Group

Ltd.

(48,400)

(433,405)

(9,875)

(19.7)

ASM

Pacific

Technology

Ltd.

(16,300)

(151,139)

9,783

19.5

Hang

Seng

Bank

Ltd.

(24,200)

(412,302)

3,773

7.5

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(116,000)

(111,368)

3,989

7.9

Hong

Kong

&

China

Gas

Co.

Ltd.

(160,000)

(261,989)

40,952

81.6

MTR

Corp.

Ltd.

(148,808)

(765,415)

(3,422)

(6.8)

Swire

Properties

Ltd.

(78,200)

(218,471)

(12,716)

(25.3)

Techtronic

Industries

Co.

Ltd.

(16,500)

(104,773)

4,543

9.0

Wharf

Real

Estate

Investment

Co.

Ltd.

(115,000)

(469,077)

18,895

37.6

Macau

Galaxy

Entertainment

Group

Ltd.

(13,000)

(68,469)

3,878

7.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate

plus

or

minus

a

specified

spread

(-6.88%

to

0.45%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-73

months

maturity

10/15/2020

$110,381,024

$(323,202)

$106,281

$(216,921)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Alfresa

Holdings

Corp.

40,000

744,462

46,222

(21.3)

Astellas

Pharma,

Inc.

59,600

918,279

94,552

(43.6)

Fujitsu

Ltd.

9,600

864,660

56,247

(25.9)

Japan

Airlines

Co.

Ltd.

73,300

1,347,067

(10,235)

4.7

Koito

Manufacturing

Co.

Ltd.

26,400

887,547

141,205

(65.1)

Kyushu

Railway

Co.

30,200

867,509

40,019

(18.4)

Matsumotokiyoshi

Holdings

Co.

Ltd.

22,700

827,492

106,513

(49.1)

Medipal

Holdings

Corp.

40,200

751,174

56,138

(25.9)

57

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Nintendo

Co.

Ltd.

2,600

1,010,499

163,451

(75.4)

Nippon

Express

Co.

Ltd.

17,600

858,508

85,755

(39.5)

Nitto

Denko

Corp.

16,600

737,355

86,628

(39.9)

Obayashi

Corp.

133,000

1,128,576

97,709

(45.0)

Otsuka

Corp.

25,000

1,065,763

144,108

(66.4)

Pola

Orbis

Holdings,

Inc.

48,300

887,968

44,883

(20.7)

Resona

Holdings,

Inc.

371,100

1,112,672

59,105

(27.2)

Shimizu

Corp.

125,500

976,621

101,014

(46.6)

Shinsei

Bank

Ltd.

55,500

735,086

103,126

(47.5)

Shionogi

&

Co.

Ltd.

25,300

1,246,265

141,852

(65.4)

Sundrug

Co.

Ltd.

23,800

762,653

54,076

(24.9)

Teijin

Ltd.

58,900

996,293

136,381

(62.9)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(65,400)

(1,448,874)

(189,537)

87.4

Asahi

Intecc

Co.

Ltd.

(33,900)

(838,417)

(44,492)

20.5

CyberAgent,

Inc.

(30,500)

(1,182,055)

(124,830)

57.5

Daifuku

Co.

Ltd.

(11,900)

(745,753)

(145,687)

67.2

Daiichi

Sankyo

Co.

Ltd.

(15,000)

(1,030,150)

(223,136)

102.9

FamilyMart

Co.

Ltd.

(74,860)

(1,344,180)

(248,399)

114.5

Fast

Retailing

Co.

Ltd.

(2,000)

(816,084)

2,318

(1.1)

GMO

Payment

Gateway,

Inc.

(18,600)

(1,303,588)

(150,074)

69.2

Kansai

Electric

Power

Co.,

Inc.

(The)

(78,000)

(868,211)

(132,049)

60.9

Kansai

Paint

Co.

Ltd.

(46,800)

(887,700)

11,659

(5.4)

Keio

Corp.

(15,400)

(909,114)

(136,514)

62.9

Kikkoman

Corp.

(37,500)

(1,589,981)

(251,038)

115.7

Kintetsu

Group

Holdings

Co.

Ltd.

(17,400)

(805,310)

(62,214)

28.7

M3,

Inc.

(28,400)

(837,719)

(137,104)

63.2

Marui

Group

Co.

Ltd.

(46,100)

(771,195)

(10,081)

4.6

MonotaRO

Co.

Ltd.

(34,600)

(914,181)

(89,484)

41.3

Nidec

Corp.

(20,400)

(1,051,304)

(27,571)

12.7

Nippon

Paint

Holdings

Co.

Ltd.

(27,400)

(1,426,231)

(134,546)

62.0

Nissan

Motor

Co.

Ltd.

(224,900)

(752,450)

39,088

(18.0)

Odakyu

Electric

Railway

Co.

Ltd.

(45,500)

(999,237)

(122,367)

56.4

Rakuten,

Inc.

(129,700)

(977,815)

(148,513)

68.5

Shimano,

Inc.

(7,400)

(1,055,339)

(62,899)

29.0

Shiseido

Co.

Ltd.

(22,900)

(1,345,889)

(193,293)

89.1

Sony

Financial

Holdings,

Inc.

(55,200)

(926,902)

(74,710)

34.4

Suzuki

Motor

Corp.

(68,900)

(1,640,593)

255,232

(117.7)

Takeda

Pharmaceutical

Co.

Ltd.

(44,700)

(1,361,031)

(95,261)

43.9

TOTO

Ltd.

(24,100)

(795,014)

(70,580)

32.5

Toyota

Motor

Corp.

(18,800)

(1,132,980)

3,476

(1.6)

Yamaha

Corp.

(19,200)

(744,105)

(63,517)

29.3

Yaskawa

Electric

Corp.

(47,200)

(1,283,398)

(185,047)

85.3

58

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(-20.30%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

7-61

months

maturity

10/15/2020

$285,500,721

$1,517,635

$(2,105,865)

$(588,230)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alexion

Pharmaceuticals,

Inc.

16,683

1,497,967

114,873

(19.5)

Allstate

Corp.

(The)

10,817

992,243

40,996

(7.0)

Amazon.com,

Inc.

854

1,665,061

93,926

(16.0)

Arrow

Electronics,

Inc.

23,955

1,242,546

83,603

(14.2)

Avnet,

Inc.

50,963

1,279,171

17,837

(3.0)

Biogen,

Inc.

5,523

1,747,367

55,672

(9.5)

Charles

River

Laboratories

International,

Inc.

7,707

972,700

109,516

(18.6)

Cisco

Systems,

Inc.

23,673

930,586

78,842

(13.4)

Curtiss-Wright

Corp.

10,324

954,041

82,282

(14.0)

Electronic

Arts,

Inc.

12,355

1,237,600

56,800

(9.7)

Facebook,

Inc.

10,431

1,739,891

127,553

(21.7)

Gilead

Sciences,

Inc.

17,898

1,338,054

4,296

(0.7)

Intel

Corp.

20,687

1,119,580

72,394

(12.3)

International

Paper

Co.

30,240

941,371

(71,366)

12.1

Kimberly-Clark

Corp.

8,297

1,060,937

(130,869)

22.2

Merck

&

Co.,

Inc.

14,376

1,106,089

33,649

(5.7)

NortonLifeLock,

Inc.

59,037

1,104,582

117,923

(20.0)

Oracle

Corp.

24,749

1,196,119

36,381

(6.2)

Regeneron

Pharmaceuticals,

Inc.

1,933

943,865

(6,572)

1.1

Tyson

Foods,

Inc.

18,361

1,062,551

153,395

(26.1)

United

Therapeutics

Corp.

11,142

1,056,540

155,785

(26.5)

Short

Positions

Common

Stocks

United

States

Albemarle

Corp.

(18,501)

(1,042,901)

197,776

(33.6)

Alliant

Energy

Corp.

(23,367)

(1,128,392)

95,337

(16.2)

Amcor

plc

(185,468)

(1,506,000)

(350,535)

59.6

Boeing

Co.

(The)

(10,355)

(1,544,345)

(219,099)

37.2

CenterPoint

Energy,

Inc.

(70,678)

(1,091,975)

(49,996)

8.5

Charles

Schwab

Corp.

(The)

(33,784)

(1,135,818)

2,869

(0.5)

Charter

Communications,

Inc.

(2,730)

(1,191,126)

(118,182)

20.1

Cheniere

Energy,

Inc.

(32,124)

(1,076,154)

28,966

(4.9)

Commerce

Bancshares,

Inc.

(19,026)

(957,959)

201,295

(34.2)

Digital

Realty

Trust,

Inc.

(7,836)

(1,088,499)

(5,250)

0.9

Energizer

Holdings,

Inc.

(36,864)

(1,115,136)

272,663

(46.4)

59

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

EQUITY

MARKET

NEUTRAL

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Eversource

Energy

(22,737)

(1,778,261)

204,633

(34.8)

Freeport-McMoRan,

Inc.

(141,318)

(953,896)

(29,136)

5.0

GCI

Liberty,

Inc.

(17,457)

(994,525)

(130,229)

22.1

Hess

Corp.

(42,690)

(1,421,577)

(86,118)

14.6

II-VI,

Inc.

(37,082)

(1,056,837)

(49,753)

8.5

Knight-Swift

Transportation

Holdings,

Inc.

(32,710)

(1,072,888)

(1,963)

0.3

LendingTree,

Inc.

(5,984)

(1,097,406)

283,560

(48.2)

National

Fuel

Gas

Co.

(32,483)

(1,211,291)

134,804

(22.9)

Occidental

Petroleum

Corp.

(93,023)

(1,077,206)

(17,308)

2.9

Penumbra,

Inc.

(6,285)

(1,013,959)

(96,765)

16.5

Sempra

Energy

(8,349)

(943,354)

(121,979)

20.7

Southwest

Gas

Holdings,

Inc.

(14,559)

(1,012,724)

(147,774)

25.1

Stericycle,

Inc.

(25,908)

(1,258,611)

187,056

(31.8)

Trex

Co.,

Inc.

(12,325)

(987,726)

(121,648)

20.7

Twilio,

Inc.

(10,888)

(974,367)

(112,620)

19.1

Virtu

Financial,

Inc.

(59,211)

(1,232,773)

(36,510)

6.2

Visa,

Inc.

(6,723)

(1,083,210)

(55,443)

9.4

WEC

Energy

Group,

Inc.

(12,377)

(1,090,785)

177,362

(30.2)

60

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

92.7%

INVESTMENT

COMPANIES

-

40.3%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(a)(b)

425,127

$

425,127

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)

9,670,174

9,682,746

TOTAL

INVESTMENT

COMPANIES

(Cost

$10,093,925)

10,107,873

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.4%

U.S.

Treasury

Bills

1.63%,

4/16/2020(c)

$

1,361,000

1,360,957

1.61%,

4/23/2020(c)

1,993,000

1,992,962

1.62%,

4/30/2020(c)(d)

2,666,000

2,665,881

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

52.4%

(continued)

1.55%,

5/7/2020(c)

$

2,369,000

$

2,368,849

1.56%,

5/14/2020(c)

2,009,000

2,008,814

1.55%,

5/21/2020(c)

761,000

760,931

1.59%,

5/28/2020(c)

309,000

308,963

1.58%,

6/4/2020(c)

830,000

829,893

1.56%,

6/18/2020(c)

331,000

330,934

1.58%,

6/25/2020(c)

530,000

529,917

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$13,137,533)

13,158,101

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$23,231,458)

23,265,974

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.7%

(Cost

$23,231,458)

23,265,974

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.3%(e)

1,824,511

NET

ASSETS

-

100.0%

$25,090,485

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(e)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Forward

Effective

Interest

rate

swap

contracts

outstanding

as

of

March

31,

2020:

Exchange

Cleared

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

6/09/2022

AUD

900,000

$

(2,137)

$

3,707

$

1,570

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Quarterly

9/08/2022

AUD

6,400,000

(2,849)

13,525

10,676

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/11/2030

NZD

800,000

(7,796)

8,890

1,094

Pay

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.50%

Semi-Annually

6/15/2022

CAD

9,100,000

(61,047)

167,902

106,855

Pay

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.75%

Semi-Annually

9/14/2022

CAD

5,900,000

85,571

505

86,076

Pay

3

Month

London

Interbank

Offered

Rate

Quarterly

1.50%

Semi-Annually

9/16/2022

USD

7,300,000

148,473

23,391

171,864

Pay

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.50%

Annually

9/18/2030

SEK

41,700,000

66,942

(33,080)

33,862

61

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Pay

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2030

EUR

800,000

$

25,695

$

(4,162)

$

21,533

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

6/15/2022

JPY

141,000,000

2,350

(1,151)

1,199

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Semi-Annually

6/17/2022

GBP

6,100,000

(43,848)

47,976

4,128

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.75%

Semi-Annually

9/16/2022

GBP

21,800,000

98,029

68,711

166,740

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/21/2022

JPY

4,631,600,000

89,446

(42,900)

46,546

Pay

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.50%

Annually

9/21/2022

CHF

600,000

1,052

517

1,569

Pay

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/21/2022

NOK

41,000,000

18,624

44,238

62,862

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

6/15/2022

SEK

37,100,000

13,991

(5,462)

8,529

Receive

3

Month

Stockholm

Interbank

Offered

Rate

Quarterly

0.00%

Annually

9/21/2022

SEK

277,600,000

20,096

45,663

65,759

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

CHF

100,000

866

(56)

810

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Semi-Annually

9/18/2030

JPY

620,700,000

363

23,518

23,881

453,821

361,732

815,553

Pay

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

0.50%

Semi-Annually

9/14/2022

NZD

1,300,000

(1,494)

1,027

(467)

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

6/15/2022

NZD

9,200,000

17,573

(68,579)

(51,006)

Receive

3

Month

Australian

Bank-Bill

Reference

Rate

Quarterly

1.00%

Semi-Annually

9/14/2022

NZD

6,900,000

(22,456)

(16,017)

(38,473)

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

1.50%

Semi-Annually

6/17/2030

CAD

400,000

12,684

(22,849)

(10,165)

Receive

3

Month

Canadian

Bankers’

Acceptance

Rate

Quarterly

2.00%

Semi-Annually

9/16/2030

CAD

100,000

(6,536)

709

(5,827)

Receive

3

Month

London

Interbank

Offered

Rate

Quarterly

1.75%

Semi-Annually

9/16/2030

USD

500,000

(50,406)

(590)

(50,996)

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.50%

Semi-Annually

6/13/2030

AUD

200,000

(2,628)

(4,408)

(7,036)

62

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

PAY/

RECEIVE

FLOATING

RATE

FLOATING

RATE

INDEX

(a)

FIXED

RATE

MATURITY

DATE

NOTIONAL

AMOUNT

UPFRONT

PREMIUM

PAID

(RECEIVED)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

Receive

6

Month

Australian

Bank-Bill

Reference

Rate

Semi-Annually

1.00%

Semi-Annually

9/12/2030

AUD

300,000

$

287

$

(1,507)

$

(1,220)

Receive

6

Month

Euro

Interbank

Offered

Rate

Semi-Annually

0.25%

Annually

9/16/2022

EUR

14,700,000

(20,663)

(3,015)

(23,678)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

1.00%

Semi-Annually

9/16/2030

GBP

2,200,000

(133,231)

22,501

(110,730)

Receive

6

Month

London

Interbank

Offered

Rate

Semi-Annually

0.00%

Annually

9/18/2030

CHF

100,000

(839)

(1,151)

(1,990)

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.00%

Annually

9/21/2022

NOK

62,400,000

(7,239)

(28,194)

(35,433)

Receive

6

Month

Norwegian

Interbank

Offered

Rate

Semi-Annually

1.50%

Annually

9/18/2030

NOK

3,600,000

(4,821)

(9,421)

(14,242)

(219,769)

(131,494)

(351,263)

$

234,052

$

230,238

$

464,290

(a)

Floating

rate

indices

at

March

31,

2020

were

as

follows:

3

Month

Australian

Bank-Bill

Reference

Rate:

0.37%

3

Month

Canadian

Bankers’

Acceptance

Rate:

1.24%

3

Month

London

Interbank

Offered

Rate:

1.45%

3

Month

Stockholm

Interbank

Offered

Rate:

0.31%

6

Month

Australian

Bank-Bill

Reference

Rate:

0.54%

6

Month

Euro

Interbank

Offered

Rate:

(0.29)%

6

Month

London

Interbank

Offered

Rate:

1.18%

6

Month

Norwegian

Interbank

Offered

Rate:

1.00%

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(204,450)

$

27,017

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(44,300)

946

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(44,300)

953

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(226,884)

34,501

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

32,412

1,078

63

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

TWD

5,757,000

$

2,220

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

JPMC

06/17/2020

USD

(134,485)

26,276

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

USD

108

5

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.75%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

72

12

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(0.05%)

Monthly

GSIN

06/17/2020

MXN

(128,313)

646

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(0.05%)

Monthly

GSIN

06/17/2020

MXN

(1,821,613)

13,191

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.28%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

196

34

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.28%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

30,373

2,147

64

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.15%)

Monthly

GSIN

06/17/2020

ZAR

(1,053,755)

$

10,108

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-0.50%)

Monthly

GSIN

06/17/2020

ZAR

(4,017,863)

39,645

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

(-0.87%)

Monthly

GSIN

06/17/2020

CHF

(128,263)

5,858

164,637

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2020

TRY

684,160

(28,613)

Canada

10

Year

Bond

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

06/19/2020

CAD

(2,354,240)

(82,849)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/18/2020

ZAR

(254,520)

(1,131)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

BRL

363,940

(1,098)

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/11/2020

KRW

885,000,000

(81,249)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2020

USD

(102,846)

(7,297)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(192,900)

(14,671)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

(96,450)

(7,311)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/19/2020

CHF

(820,350)

(83,411)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(227,500)

(8,254)

65

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(85,313)

$

(3,569)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/19/2020

PLN

(121,520)

(2,142)

MSCI

Brazil

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

CDI

plus

or

minus

a

specified

spread

(-0.15%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

BRL

227,528

(10,926)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.65%)

Monthly

GSIN

06/17/2020

CAD

(139,468)

(7,844)

MSCI

China

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

HKD

629,362

(7,106)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

99,692

(20,370)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

110,595

(14,678)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

GSIN

06/19/2020

EUR

194,256

(23,227)

66

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.87%)

Monthly

GSIN

06/17/2020

CHF

(115,914)

$

(9,828)

(415,574)

$

(250,937)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

7

4/2020

EUR

$

745,287

$

55,290

IBEX

35

Index

13

4/2020

EUR

969,745

76,589

LME

Aluminum

Base

Metal

4

4/2020

USD

149,665

(30,719)

LME

Aluminum

Base

Metal

5

4/2020

USD

187,169

(38,416)

LME

Aluminum

Base

Metal

6

4/2020

USD

225,225

(45,536)

LME

Aluminum

Base

Metal

7

4/2020

USD

261,793

(57,990)

LME

Aluminum

Base

Metal

8

4/2020

USD

300,414

(61,486)

LME

Copper

Base

Metal

1

4/2020

USD

123,647

(18,902)

LME

Copper

Base

Metal

1

4/2020

USD

123,583

(29,623)

LME

Copper

Base

Metal

1

4/2020

USD

123,542

(30,458)

LME

Nickel

Base

Metal

1

4/2020

USD

68,633

(14,890)

LME

Nickel

Base

Metal

1

4/2020

USD

68,678

(13,576)

MSCI

Taiwan

Index

7

4/2020

USD

259,700

(3,337)

NY

Harbor

ULSD

1

4/2020

USD

42,063

(6,558)

RBOB

Gasoline

1

4/2020

USD

24,893

(14,992)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,748

(5,183)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,582

(9,824)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,825

(8,981)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,395

(16,495)

LME

Copper

Base

Metal

1

5/2020

USD

123,674

(15,904)

LME

Copper

Base

Metal

3

5/2020

USD

371,100

(54,234)

LME

Copper

Base

Metal

3

5/2020

USD

371,003

(62,982)

LME

Copper

Base

Metal

3

5/2020

USD

371,084

(60,862)

LME

Copper

Base

Metal

4

5/2020

USD

494,705

(70,575)

LME

Nickel

Base

Metal

1

5/2020

USD

68,803

(5,543)

LME

Zinc

Base

Metal

1

5/2020

USD

47,540

(6,201)

LME

Zinc

Base

Metal

1

5/2020

USD

47,569

(2,072)

LME

Zinc

Base

Metal

3

5/2020

USD

142,679

(18,374)

Silver

1

5/2020

USD

70,780

(23,340)

Australia

10

Year

Bond

4

6/2020

AUD

370,563

1,167

EURO

STOXX

50

Index

42

6/2020

EUR

1,272,460

91,495

Euro-Bund

4

6/2020

EUR

761,045

656

Euro-OAT

9

6/2020

EUR

1,659,743

(6,620)

FTSE/MIB

Index

14

6/2020

EUR

1,306,584

156,237

Japan

10

Year

Bond

1

6/2020

JPY

1,418,926

6,329

LME

Aluminum

Base

Metal

1

6/2020

USD

38,110

(745)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,036

(3,730)

67

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

6/2020

USD

$

38,094

$

(880)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,020

(3,496)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,030

(4,223)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,115

(7,029)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,125

(5,037)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,750

(652)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,591

(2,036)

LME

Aluminum

Base

Metal

6

6/2020

USD

228,375

(27,180)

LME

Copper

Base

Metal

1

6/2020

USD

123,743

(18,836)

LME

Copper

Base

Metal

1

6/2020

USD

123,789

(12,689)

LME

Copper

Base

Metal

1

6/2020

USD

123,741

3,183

LME

Copper

Base

Metal

2

6/2020

USD

247,538

(15,993)

LME

Nickel

Base

Metal

1

6/2020

USD

68,859

(5,253)

LME

Zinc

Base

Metal

1

6/2020

USD

47,638

409

LME

Zinc

Base

Metal

1

6/2020

USD

47,606

(1,344)

LME

Zinc

Base

Metal

2

6/2020

USD

95,238

94

Long

Gilt

3

6/2020

GBP

507,485

(584)

S&P

500

E-Mini

Index

13

6/2020

USD

1,670,305

111,935

S&P/TSX

60

Index

2

6/2020

CAD

231,422

370

SPI

200

Index

4

6/2020

AUD

314,255

6,942

U.S.

Treasury

10

Year

Note

15

6/2020

USD

2,080,313

16,351

(316,333)

Short

Contracts

Brent

Crude

Oil

(4)

4/2020

USD

(105,400)

9,832

CAC

40

10

Euro

Index

(29)

4/2020

EUR

(1,405,701)

(189,924)

FTSE

Bursa

Malaysia

KLCI

Index

(5)

4/2020

MYR

(77,083)

(665)

Hang

Seng

Index

(3)

4/2020

HKD

(458,934)

(2,912)

HSCEI

(5)

4/2020

HKD

(310,664)

(2,089)

LME

Aluminum

Base

Metal

(4)

4/2020

USD

(149,665)

30,131

LME

Aluminum

Base

Metal

(5)

4/2020

USD

(187,169)

37,223

LME

Aluminum

Base

Metal

(6)

4/2020

USD

(225,225)

45,535

LME

Aluminum

Base

Metal

(7)

4/2020

USD

(261,793)

58,297

LME

Aluminum

Base

Metal

(8)

4/2020

USD

(300,414)

62,002

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,583)

29,661

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,542)

30,319

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,647)

19,666

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,633)

14,411

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,678)

14,002

MSCI

Singapore

Index

(21)

4/2020

SGD

(415,760)

4,345

Natural

Gas

(53)

4/2020

USD

(869,200)

107,501

OMXS30

Index

(42)

4/2020

SEK

(628,352)

(67,072)

SGX

NIFTY

50

Index

(1)

4/2020

USD

(17,141)

300

WTI

Crude

Oil

(3)

4/2020

USD

(61,440)

13,301

Copper

(1)

5/2020

USD

(55,700)

(1,715)

Corn

(5)

5/2020

USD

(85,188)

7,209

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,748)

5,137

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,825)

9,158

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,582)

9,752

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,395)

16,668

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,674)

17,052

LME

Copper

Base

Metal

(3)

5/2020

USD

(371,100)

53,651

LME

Copper

Base

Metal

(3)

5/2020

USD

(371,084)

60,170

LME

Copper

Base

Metal

(3)

5/2020

USD

(371,003)

61,317

LME

Copper

Base

Metal

(4)

5/2020

USD

(494,705)

71,284

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,803)

5,596

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,540)

6,150

68

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

5/2020

USD

$

(47,569)

$

2,765

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,679)

17,671

Soybean

(11)

5/2020

USD

(487,300)

1,844

Soybean

Oil

(3)

5/2020

USD

(48,618)

(599)

Canada

10

Year

Bond

(9)

6/2020

CAD

(940,993)

(726)

DAX

Index

(3)

6/2020

EUR

(819,524)

(56,479)

FTSE

100

Index

(12)

6/2020

GBP

(839,983)

(46,488)

FTSE/JSE

Top

40

Index

(3)

6/2020

ZAR

(68,838)

(7,152)

KOSPI

200

Index

(1)

6/2020

KRW

(48,466)

(247)

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,110)

630

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,020)

3,648

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,030)

4,164

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,036)

3,532

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,094)

966

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,125)

4,474

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,115)

7,208

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,591)

2,052

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,750)

66

LME

Aluminum

Base

Metal

(21)

6/2020

USD

(799,313)

36,646

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,741)

(3,023)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,743)

18,854

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,789)

13,586

LME

Copper

Base

Metal

(5)

6/2020

USD

(618,844)

82,058

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,859)

5,800

LME

Nickel

Base

Metal

(3)

6/2020

USD

(206,631)

15,201

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,638)

(971)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,606)

853

LME

Zinc

Base

Metal

(6)

6/2020

USD

(285,713)

18,434

MEX

BOLSA

Index

(3)

6/2020

MXN

(44,793)

2,616

TOPIX

Index

(10)

6/2020

JPY

(1,304,813)

(99,422)

563,254

$

246,921

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,949,000

USD

1,168,622

CITI

6/17/2020

$

30,452

AUD

1,949,000

USD

1,168,623

JPMC

6/17/2020

30,451

CAD

424,500

USD

294,462

CITI

6/17/2020

7,400

CAD

424,500

USD

294,462

JPMC

6/17/2020

7,400

CHF

510,501

USD

525,660

CITI

6/17/2020

6,678

CHF

510,499

USD

525,658

JPMC

6/17/2020

6,677

CLP

79,000,000

USD

92,164

CITI

**

6/17/2020

322

CLP

79,000,000

USD

92,165

JPMC

**

6/17/2020

322

CNY

8,000

USD

1,127

CITI

**

6/17/2020

–

CNY

8,000

USD

1,127

JPMC

**

6/17/2020

–

CZK

20,066,520

USD

805,671

CITI

6/17/2020

2,556

CZK

20,066,520

USD

805,672

JPMC

6/17/2020

2,555

EUR

1,525,084

USD

1,666,254

CITI

6/17/2020

20,710

EUR

1,525,080

USD

1,666,252

JPMC

6/17/2020

20,710

GBP

685,000

USD

814,835

CITI

6/17/2020

37,148

69

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

GBP

685,000

USD

814,836

JPMC

6/17/2020

$

37,147

IDR

210,000,000

USD

12,639

CITI

**

6/17/2020

75

IDR

210,000,000

USD

12,639

JPMC

**

6/17/2020

75

ILS

1,049,000

USD

291,560

CITI

6/17/2020

5,759

ILS

1,049,000

USD

291,560

JPMC

6/17/2020

5,759

JPY

174,645,000

USD

1,615,756

CITI

6/17/2020

13,806

JPY

174,645,000

USD

1,615,758

JPMC

6/17/2020

13,804

KRW

507,552,296

USD

413,442

CITI

**

6/17/2020

4,073

KRW

507,552,286

USD

413,443

JPMC

**

6/17/2020

4,073

MXN

1,050,000

USD

42,913

CITI

6/17/2020

847

MXN

1,050,000

USD

42,913

JPMC

6/17/2020

848

NOK

8,350,500

USD

769,549

CITI

6/17/2020

33,893

NOK

8,350,500

USD

769,550

JPMC

6/17/2020

33,892

NZD

643,500

USD

372,532

CITI

6/17/2020

11,210

NZD

643,500

USD

372,532

JPMC

6/17/2020

11,210

SGD

363,001

USD

251,174

CITI

6/17/2020

4,519

SGD

362,999

USD

251,173

JPMC

6/17/2020

4,519

THB

13,500

USD

411

CITI

6/17/2020

1

THB

13,500

USD

411

JPMC

6/17/2020

1

TWD

3,675,000

USD

121,749

CITI

**

6/17/2020

1,165

TWD

3,675,000

USD

121,749

JPMC

**

6/17/2020

1,165

USD

1,187,734

AUD

1,794,500

CITI

6/17/2020

83,712

USD

1,187,732

AUD

1,794,500

JPMC

6/17/2020

83,710

USD

1,291,110

BRL

6,067,384

CITI

**

6/17/2020

129,091

USD

1,291,112

BRL

6,067,400

JPMC

**

6/17/2020

129,090

USD

3,022,060

CAD

4,065,336

CITI

6/17/2020

131,197

USD

3,022,050

CAD

4,065,328

JPMC

6/17/2020

131,193

USD

124,738

CHF

118,628

CITI

6/17/2020

1,035

USD

124,735

CHF

118,625

JPMC

6/17/2020

1,035

USD

906,198

CLP

738,500,000

CITI

**

6/17/2020

41,623

USD

906,197

CLP

738,500,000

JPMC

**

6/17/2020

41,622

USD

292,683

CNY

2,050,000

CITI

**

6/17/2020

3,912

USD

292,682

CNY

2,050,000

JPMC

**

6/17/2020

3,912

USD

170,353

COP

660,000,000

CITI

**

6/17/2020

8,778

USD

170,353

COP

660,000,000

JPMC

**

6/17/2020

8,778

USD

449,338

CZK

10,150,000

CITI

6/17/2020

40,522

USD

449,337

CZK

10,150,000

JPMC

6/17/2020

40,522

USD

383,879

EUR

339,460

CITI

6/17/2020

8,387

USD

383,878

EUR

339,460

JPMC

6/17/2020

8,387

USD

3,589,450

GBP

2,790,505

CITI

6/17/2020

118,703

USD

3,589,433

GBP

2,790,495

JPMC

6/17/2020

118,698

USD

227,736

HUF

72,272,000

CITI

6/17/2020

6,367

USD

227,736

HUF

72,272,000

JPMC

6/17/2020

6,366

USD

90,854

IDR

1,405,000,000

CITI

**

6/17/2020

5,790

USD

90,854

IDR

1,405,000,000

JPMC

**

6/17/2020

5,790

USD

276,540

ILS

948,500

CITI

6/17/2020

7,706

USD

276,540

ILS

948,500

JPMC

6/17/2020

7,705

USD

61,426

INR

4,670,500

CITI

**

6/17/2020

705

USD

61,426

INR

4,670,500

JPMC

**

6/17/2020

705

USD

1,292,192

JPY

135,767,500

CITI

6/17/2020

25,384

USD

1,292,190

JPY

135,767,500

JPMC

6/17/2020

25,382

USD

1,182,154

KRW

1,422,242,841

CITI

**

6/17/2020

12,209

USD

1,182,152

KRW

1,422,242,826

JPMC

**

6/17/2020

12,207

USD

802,055

MXN

16,614,004

CITI

6/17/2020

109,633

USD

802,053

MXN

16,613,996

JPMC

6/17/2020

109,632

USD

3,403,662

NOK

31,711,003

CITI

6/17/2020

352,595

USD

3,403,657

NOK

31,710,997

JPMC

6/17/2020

352,591

USD

862,197

NZD

1,411,000

CITI

6/17/2020

20,768

70

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

862,196

NZD

1,411,000

JPMC

6/17/2020

$

20,767

USD

387,884

PLN

1,551,994

CITI

6/17/2020

12,836

USD

387,887

PLN

1,552,006

JPMC

6/17/2020

12,835

USD

200,144

RUB

14,350,000

CITI

**

6/17/2020

18,551

USD

200,144

RUB

14,350,000

JPMC

**

6/17/2020

18,551

USD

152,720

SEK

1,471,504

CITI

6/17/2020

3,720

USD

152,719

SEK

1,471,496

JPMC

6/17/2020

3,719

USD

622,301

SGD

867,501

CITI

6/17/2020

11,244

USD

622,299

SGD

867,499

JPMC

6/17/2020

11,243

USD

29,167

THB

924,500

CITI

6/17/2020

986

USD

29,167

THB

924,500

JPMC

6/17/2020

986

USD

164,144

TWD

4,900,000

CITI

**

6/17/2020

259

USD

164,144

TWD

4,900,000

JPMC

**

6/17/2020

258

USD

385,133

ZAR

6,299,500

CITI

6/17/2020

36,479

USD

385,133

ZAR

6,299,500

JPMC

6/17/2020

36,479

Total

unrealized

appreciation

2,745,577

AUD

1,609,000

USD

1,032,822

CITI

6/17/2020

(42,924)

AUD

1,609,000

USD

1,032,823

JPMC

6/17/2020

(42,926)

BRL

2,554,998

USD

552,240

CITI

**

6/17/2020

(62,909)

BRL

2,555,002

USD

552,241

JPMC

**

6/17/2020

(62,910)

CAD

2,203,500

USD

1,626,261

CITI

6/17/2020

(59,350)

CAD

2,203,500

USD

1,626,263

JPMC

6/17/2020

(59,352)

CHF

229,000

USD

241,331

CITI

6/17/2020

(2,536)

CHF

229,000

USD

241,332

JPMC

6/17/2020

(2,536)

CLP

552,000,000

USD

664,715

CITI

**

6/17/2020

(18,479)

CLP

552,000,000

USD

664,716

JPMC

**

6/17/2020

(18,480)

CNY

1,656,250

USD

236,529

CITI

**

6/17/2020

(3,224)

CNY

1,656,250

USD

236,530

JPMC

**

6/17/2020

(3,224)

COP

1,080,000,000

USD

306,663

CITI

**

6/17/2020

(42,268)

COP

1,080,000,000

USD

306,664

JPMC

**

6/17/2020

(42,269)

CZK

4,900,000

USD

203,215

CITI

6/17/2020

(5,855)

CZK

4,900,000

USD

203,215

JPMC

6/17/2020

(5,856)

EUR

3,435,920

USD

3,849,224

CITI

6/17/2020

(48,597)

EUR

3,435,916

USD

3,849,224

JPMC

6/17/2020

(48,604)

GBP

1,372,501

USD

1,779,791

CITI

6/17/2020

(72,716)

GBP

1,372,499

USD

1,779,791

JPMC

6/17/2020

(72,718)

HUF

109,402,500

USD

358,839

CITI

6/17/2020

(23,739)

HUF

109,402,500

USD

358,839

JPMC

6/17/2020

(23,739)

IDR

2,600,000,000

USD

179,161

CITI

**

6/17/2020

(21,747)

IDR

2,600,000,000

USD

179,162

JPMC

**

6/17/2020

(21,747)

ILS

290,000

USD

85,061

CITI

6/17/2020

(2,865)

ILS

290,000

USD

85,061

JPMC

6/17/2020

(2,866)

INR

4,375,000

USD

59,015

CITI

**

6/17/2020

(2,136)

INR

4,375,000

USD

59,015

JPMC

**

6/17/2020

(2,136)

JPY

243,106,000

USD

2,306,238

CITI

6/17/2020

(37,885)

JPY

243,106,000

USD

2,306,241

JPMC

6/17/2020

(37,888)

KRW

1,065,248,212

USD

891,120

CITI

**

6/17/2020

(14,841)

KRW

1,065,248,206

USD

891,121

JPMC

**

6/17/2020

(14,843)

MXN

18,128,504

USD

920,899

CITI

6/17/2020

(165,356)

MXN

18,128,496

USD

920,899

JPMC

6/17/2020

(165,358)

NOK

20,700,500

USD

2,148,996

CITI

6/17/2020

(157,302)

NOK

20,700,500

USD

2,148,998

JPMC

6/17/2020

(157,305)

NZD

4,105,496

USD

2,600,997

CITI

6/17/2020

(152,744)

NZD

4,105,504

USD

2,601,005

JPMC

6/17/2020

(152,748)

PHP

12,250,000

USD

239,780

CITI

**

6/17/2020

(2,586)

PHP

12,250,000

USD

239,776

JPMC

**

6/17/2020

(2,583)

PLN

2,981,490

USD

774,488

CITI

6/17/2020

(53,993)

PLN

2,981,510

USD

774,494

JPMC

6/17/2020

(53,994)

71

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

GLOBAL

MACRO

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

**

Non-deliverable

forward.

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

RUB

19,800,000

USD

297,394

CITI

**

6/17/2020

$

(46,834)

RUB

19,800,000

USD

297,394

JPMC

**

6/17/2020

(46,834)

SEK

5,730,504

USD

609,278

CITI

6/17/2020

(29,021)

SEK

5,730,496

USD

609,277

JPMC

6/17/2020

(29,022)

SGD

724,000

USD

518,250

CITI

6/17/2020

(8,274)

SGD

724,000

USD

518,251

JPMC

6/17/2020

(8,275)

THB

2,530,000

USD

81,016

CITI

6/17/2020

(3,896)

THB

2,530,000

USD

81,016

JPMC

6/17/2020

(3,896)

TWD

11,475,000

USD

385,977

CITI

**

6/17/2020

(2,184)

TWD

11,475,000

USD

385,977

JPMC

**

6/17/2020

(2,184)

USD

533,764

AUD

936,000

CITI

6/17/2020

(42,086)

USD

533,764

AUD

936,000

JPMC

6/17/2020

(42,087)

USD

44,107

CHF

42,876

CITI

6/17/2020

(602)

USD

44,102

CHF

42,871

JPMC

6/17/2020

(602)

USD

97,714

COP

405,000,000

CITI

**

6/17/2020

(1,434)

USD

97,714

COP

405,000,000

JPMC

**

6/17/2020

(1,434)

USD

33,490

CZK

850,000

CITI

6/17/2020

(745)

USD

33,490

CZK

850,000

JPMC

6/17/2020

(746)

USD

5,499,246

EUR

5,052,544

CITI

6/17/2020

(89,602)

USD

5,499,231

EUR

5,052,536

JPMC

6/17/2020

(89,609)

USD

29,623

GBP

24,000

CITI

6/17/2020

(227)

USD

29,623

GBP

24,000

JPMC

6/17/2020

(227)

USD

71,091

HUF

23,445,500

CITI

6/17/2020

(723)

USD

71,091

HUF

23,445,500

JPMC

6/17/2020

(723)

USD

74,441

IDR

1,285,000,000

CITI

**

6/17/2020

(3,359)

USD

74,441

IDR

1,285,000,000

JPMC

**

6/17/2020

(3,359)

USD

132

ILS

500

CITI

6/17/2020

(9)

USD

132

ILS

500

JPMC

6/17/2020

(9)

USD

330,520

INR

25,663,500

CITI

**

6/17/2020

(3,129)

USD

330,519

INR

25,663,500

JPMC

**

6/17/2020

(3,129)

USD

1,871,591

JPY

205,270,000

CITI

6/17/2020

(43,724)

USD

1,871,589

JPY

205,270,000

JPMC

6/17/2020

(43,726)

USD

125,072

KRW

154,565,167

CITI

**

6/17/2020

(2,074)

USD

125,071

KRW

154,565,166

JPMC

**

6/17/2020

(2,074)

USD

118,856

MXN

2,968,500

CITI

6/17/2020

(4,862)

USD

118,856

MXN

2,968,500

JPMC

6/17/2020

(4,863)

USD

329,577

NZD

576,500

CITI

6/17/2020

(14,210)

USD

329,577

NZD

576,500

JPMC

6/17/2020

(14,211)

USD

55,632

PHP

2,900,000

CITI

**

6/17/2020

(520)

USD

55,632

PHP

2,900,000

JPMC

**

6/17/2020

(520)

USD

249,640

PLN

1,053,500

CITI

6/17/2020

(4,945)

USD

249,639

PLN

1,053,500

JPMC

6/17/2020

(4,945)

USD

14,620

RUB

1,200,000

CITI

**

6/17/2020

(566)

USD

14,620

RUB

1,200,000

JPMC

**

6/17/2020

(566)

USD

899,727

SEK

9,004,712

CITI

6/17/2020

(12,068)

USD

899,726

SEK

9,004,713

JPMC

6/17/2020

(12,069)

USD

350

SGD

500

CITI

6/17/2020

(3)

USD

350

SGD

500

JPMC

6/17/2020

(2)

USD

38,456

TWD

1,150,000

CITI

**

6/17/2020

(7)

USD

38,456

TWD

1,150,000

JPMC

**

6/17/2020

(7)

USD

11,700

ZAR

213,000

CITI

6/17/2020

(89)

USD

11,700

ZAR

213,000

JPMC

6/17/2020

(89)

ZAR

5,150,000

USD

325,997

CITI

6/17/2020

(40,964)

ZAR

5,150,000

USD

325,998

JPMC

6/17/2020

(40,964)

Total

unrealized

depreciation

(2,700,463)

Net

unrealized

appreciation

$

45,114

72

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$409,434.

In

addition,

$1,095,873

of

cash

collateral

was

pledged.

(b)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

contracts.

(d)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

93.1%

COMMON

STOCKS

-

0.1%

United

States

-

0.1%

AMC

Networks,

Inc.,

Class

A*(a)

3,658

$

88,926

New

York

Times

Co.

(The),

Class

A(a)

4,508

138,441

News

Corp.,

Class

A(a)

20,286

182,067

TOTAL

COMMON

STOCKS

(Cost

$601,250)

409,434

SHORT-TERM

INVESTMENTS

-

93.0%

INVESTMENT

COMPANIES

-

40.2%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(b)(c)

68,497,759

68,497,759

Limited

Purpose

Cash

Investment

Fund,

0.85%(b)(d)

208,297,769

208,568,557

TOTAL

INVESTMENT

COMPANIES

(Cost

$276,763,806)

277,066,316

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

52.8%

U.S.

Treasury

Bills

1.55%,

5/21/2020(2)(e)(f)

$

15,286,000

15,284,620

1.59%,

5/28/2020(2)(f)

79,804,000

79,794,523

1.58%,

6/4/2020(2)(f)

145,766,000

145,747,212

1.53%,

6/11/2020(2)(f)(g)

87,714,000

87,698,171

1.58%,

6/25/2020(2)(f)(h)

27,942,000

27,937,612

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

52.8%

(continued)

0.10%,

10/1/2020(2)(f)

$

7,615,000

$

7,610,332

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$363,118,733)

364,072,470

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$639,882,539)

641,138,786

TOTAL

LONG

POSITIONS

(Cost

$640,483,789)

641,548,220

SHARES

SHORT

POSITIONS

-

(0.2)%

COMMON

STOCKS

-

(0.2)%

United

States

-

(0.2)%

Discovery,

Inc.,

Class

A*

(36,757)

(714,556)

Sirius

XM

Holdings,

Inc.

(133,329)

(658,645)

TOTAL

COMMON

STOCKS

(Proceeds$(2,022,602))

(1,373,201)

TOTAL

SHORT

POSITIONS

(Proceeds

$(2,022,602))

(1,373,201)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

92.9%

(Cost

$638,461,187)

640,175,019

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

7.1%(i)

48,927,911

NET

ASSETS

-

100.0%

$689,102,930

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

(963,767)

(0.1)

%

Short-Term

Investments

641,138,786

93.0

Total

Investments

In

Securities

At

Value

640,175,019

92.9

Other

Assets

in

Excess

of

Liabilities(i)

48,927,911

7.1

Net

Assets

$

689,102,930

100.0%

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

30.3%

INVESTMENT

COMPANIES

-

30.3%

Limited

Purpose

Cash

Investment

Fund,

0.85%(a)

(Cost

$208,266,047)

$262,591,498

$864,867,542

$(919,154,408)

$22,266

$241,659

$208,568,557

208,297,769

801,463

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

73

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/19/2020

CHF

12,396,400

$

1,665,197

1,665,197

Hang

Seng

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/28/2020

HKD

1,186,000

(380)

MSCI

Australia

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BBR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

AUD

2,056,027

(233,327)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.58%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CAD

13,569

(1,722)

MSCI

Canada

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

BA

plus

or

minus

a

specified

spread

(-0.58%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CAD

145,512

(8,358)

MSCI

France

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-2.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

275,593

(27,702)

74

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Hong

Kong

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

HIBOR

plus

or

minus

a

specified

spread

(0.10%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

HKD

164,404

$

(2,579)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-2.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

769,752

(155,664)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

JPY

12,735,940

(557)

MSCI

Japan

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

JPY

3,429,817,319

(1,517,703)

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

251,005

(28,269)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

EUR

700,561

(143,145)

MSCI

Sweden

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

STIBOR

plus

or

minus

a

specified

spread

(-3.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/22/2020

SEK

320,586

(3,018)

75

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CHF

5,966

$

(274)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(-0.50%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

CHF

159,101

(2,391)

MSCI

United

Kingdom

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.05%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

GBP

32,266

(4,830)

(2,129,919)

$

(464,722)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

52

4/2020

EUR

$

5,536,417

$

823,804

CAC

40

10

Euro

Index

279

4/2020

EUR

13,523,815

1,729,528

Hang

Seng

Index

23

4/2020

HKD

3,518,493

32,149

IBEX

35

Index

41

4/2020

EUR

3,058,426

213,928

MSCI

Singapore

Index

60

4/2020

SGD

1,187,885

(15,628)

OMXS30

Index

238

4/2020

SEK

3,560,659

374,896

DAX

Index

34

6/2020

EUR

9,287,935

1,180,431

FTSE

100

Index

240

6/2020

GBP

16,799,651

1,635,485

FTSE/MIB

Index

16

6/2020

EUR

1,493,238

182,488

S&P

500

E-Mini

Index

1,625

6/2020

USD

208,788,125

(6,024,040)

S&P/TSX

60

Index

94

6/2020

CAD

10,876,828

34,140

SPI

200

Index

79

6/2020

AUD

6,206,528

78,529

TOPIX

Index

4

6/2020

JPY

521,925

5,999

$

251,709

76

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

CAD

119,000

USD

82,768

CITI

6/17/2020

$

1,853

CAD

119,000

USD

82,768

JPMC

6/17/2020

1,853

CHF

4,627,247

USD

4,766,843

CITI

6/17/2020

58,334

CHF

4,627,250

USD

4,766,852

JPMC

6/17/2020

58,329

DKK

12,225,721

USD

1,781,070

CITI

6/17/2020

30,147

DKK

12,225,722

USD

1,781,073

JPMC

6/17/2020

30,145

EUR

14,215,919

USD

15,502,772

CITI

6/17/2020

222,099

EUR

14,215,921

USD

15,502,794

JPMC

6/17/2020

222,081

HKD

21,065,000

USD

2,710,788

CITI

6/17/2020

5,511

HKD

21,065,000

USD

2,710,791

JPMC

6/17/2020

5,507

JPY

2,112,941,501

USD

19,049,004

CITI

6/17/2020

666,251

JPY

2,112,941,500

USD

19,049,027

JPMC

6/17/2020

666,225

NOK

62,500

USD

5,324

CITI

6/17/2020

689

NOK

62,500

USD

5,324

JPMC

6/17/2020

689

USD

1,111,616

AUD

1,726,500

CITI

6/17/2020

49,429

USD

1,111,614

AUD

1,726,500

JPMC

6/17/2020

49,428

USD

1,904,947

CAD

2,603,500

CITI

6/17/2020

53,597

USD

1,904,945

CAD

2,603,500

JPMC

6/17/2020

53,594

USD

1,219,978

CHF

1,152,265

CITI

6/17/2020

18,425

USD

1,219,980

CHF

1,152,268

JPMC

6/17/2020

18,423

USD

499,561

DKK

3,328,000

CITI

6/17/2020

6,524

USD

499,560

DKK

3,328,000

JPMC

6/17/2020

6,523

USD

5,134,793

EUR

4,583,500

CITI

6/17/2020

64,776

USD

5,134,787

EUR

4,583,500

JPMC

6/17/2020

64,770

USD

3,233,886

GBP

2,535,000

CITI

6/17/2020

80,930

USD

3,233,882

GBP

2,535,000

JPMC

6/17/2020

80,925

USD

37,714

ILS

129,000

CITI

6/17/2020

1,151

USD

37,714

ILS

129,000

JPMC

6/17/2020

1,151

USD

1,127,099

JPY

118,727,000

CITI

6/17/2020

19,291

USD

1,127,097

JPY

118,727,000

JPMC

6/17/2020

19,290

USD

1,323,741

NOK

12,377,248

CITI

6/17/2020

132,867

USD

1,323,738

NOK

12,377,237

JPMC

6/17/2020

132,865

USD

11,182

NZD

18,000

CITI

6/17/2020

449

USD

11,182

NZD

18,000

JPMC

6/17/2020

449

USD

463,246

SEK

4,458,119

CITI

6/17/2020

11,828

USD

463,245

SEK

4,458,120

JPMC

6/17/2020

11,827

USD

669,525

SGD

932,641

CITI

6/17/2020

12,584

USD

669,526

SGD

932,644

JPMC

6/17/2020

12,583

Total

unrealized

appreciation

2,873,392

AUD

8,138,000

USD

5,396,037

CITI

6/17/2020

(389,330)

AUD

8,138,000

USD

5,396,044

JPMC

6/17/2020

(389,340)

CAD

11,017,700

USD

8,259,591

CITI

6/17/2020

(424,898)

CAD

11,017,710

USD

8,259,609

JPMC

6/17/2020

(424,908)

CHF

2,771,253

USD

2,939,108

CITI

6/17/2020

(49,315)

CHF

2,771,250

USD

2,939,109

JPMC

6/17/2020

(49,319)

DKK

225,500

USD

33,721

CITI

6/17/2020

(314)

DKK

225,500

USD

33,721

JPMC

6/17/2020

(314)

EUR

9,813,518

USD

11,018,360

CITI

6/17/2020

(163,184)

EUR

9,813,522

USD

11,018,379

JPMC

6/17/2020

(163,196)

GBP

9,824,009

USD

12,717,140

CITI

6/17/2020

(498,331)

GBP

9,823,992

USD

12,717,134

JPMC

6/17/2020

(498,347)

ILS

1,651,003

USD

481,521

CITI

6/17/2020

(13,575)

ILS

1,650,997

USD

481,520

JPMC

6/17/2020

(13,575)

NOK

4,351,496

USD

467,017

CITI

6/17/2020

(48,340)

NOK

4,351,504

USD

467,018

JPMC

6/17/2020

(48,340)

77

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

340,999

USD

216,240

CITI

6/17/2020

$

(12,891)

NZD

341,000

USD

216,241

JPMC

6/17/2020

(12,891)

SEK

20,433,001

USD

2,120,866

CITI

6/17/2020

(51,871)

SEK

20,433,000

USD

2,120,868

JPMC

6/17/2020

(51,873)

SGD

1,348,000

USD

967,990

CITI

6/17/2020

(18,475)

SGD

1,348,000

USD

967,991

JPMC

6/17/2020

(18,476)

USD

557,620

AUD

984,000

CITI

6/17/2020

(47,762)

USD

557,619

AUD

984,000

JPMC

6/17/2020

(47,763)

USD

565,512

CAD

815,500

CITI

6/17/2020

(14,391)

USD

565,511

CAD

815,500

JPMC

6/17/2020

(14,391)

USD

1,077,191

CHF

1,043,940

CITI

6/17/2020

(11,404)

USD

1,077,195

CHF

1,043,945

JPMC

6/17/2020

(11,405)

USD

164,653

DKK

1,126,000

CITI

6/17/2020

(2,162)

USD

164,653

DKK

1,126,000

JPMC

6/17/2020

(2,162)

USD

3,820,071

EUR

3,500,000

CITI

6/17/2020

(51,438)

USD

3,820,066

EUR

3,500,000

JPMC

6/17/2020

(51,443)

USD

638,972

GBP

553,000

CITI

6/17/2020

(48,833)

USD

638,971

GBP

553,000

JPMC

6/17/2020

(48,833)

USD

631,959

HKD

4,913,500

CITI

6/17/2020

(1,629)

USD

631,958

HKD

4,913,500

JPMC

6/17/2020

(1,630)

USD

100,098

ILS

368,000

CITI

6/17/2020

(4,205)

USD

100,098

ILS

368,000

JPMC

6/17/2020

(4,205)

USD

4,217,177

JPY

458,550,000

CITI

6/17/2020

(61,422)

USD

4,217,171

JPY

458,550,000

JPMC

6/17/2020

(61,428)

USD

21,215

NZD

38,000

CITI

6/17/2020

(1,446)

USD

21,215

NZD

38,000

JPMC

6/17/2020

(1,446)

USD

104,516

SEK

1,083,000

CITI

6/17/2020

(5,146)

USD

104,516

SEK

1,083,000

JPMC

6/17/2020

(5,146)

USD

140,358

SGD

204,000

CITI

6/17/2020

(3,337)

USD

140,358

SGD

204,000

JPMC

6/17/2020

(3,337)

Total

unrealized

depreciation

(3,847,467)

Net

unrealized

depreciation

$

(974,075)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.25%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

ranging

from

01/21/2025

-

01/28/2025

$2,247,736

$87,896

$88

$87,984

78

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Effective

Rate

plus

or

minus

a

specified

spread

(0.00%

to

0.33%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

12

months

maturity

07/31/2020

$247,187

$(1,131)

$2,962

$1,831

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-1.40%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

05/25/2021

$93,313,131

$576,081

$186,352

$762,433

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Brunswick

Corp.

35,180

1,244,317

6,983

0.9

Cabot

Corp.

44,302

1,157,168

(392)

(0.1)

Celanese

Corp.

13,670

1,003,241

7,108

0.9

Commercial

Metals

Co.

63,420

1,001,402

136,648

17.9

Deckers

Outdoor

Corp.

14,650

1,963,100

43,620

5.7

Domtar

Corp.

35,934

777,612

24,435

3.2

Eastman

Chemical

Co.

57,387

2,673,086

–

–

Garmin

Ltd.

18,504

1,387,060

60,138

7.9

Graphic

Packaging

Holding

Co.

58,382

712,260

14,596

1.9

International

Paper

Co.

112,591

3,504,958

262,337

34.4

Kroger

Co.

(The)

31,864

959,744

64,898

8.5

Lululemon

Athletica,

Inc.

8,244

1,562,650

(33,553)

(4.4)

LyondellBasell

Industries

NV

46,919

2,328,590

(115,890)

(15.2)

NVR,

Inc.

416

1,068,750

(143,890)

(18.9)

PolyOne

Corp.

38,317

726,873

47,963

6.3

PulteGroup,

Inc.

34,684

774,147

(65,900)

(8.6)

PVH

Corp.

16,090

605,628

2,896

0.4

Ralph

Lauren

Corp.

20,903

1,396,947

(78,804)

(10.3)

Reliance

Steel

&

Aluminum

Co.

27,587

2,416,345

116,417

15.3

Silgan

Holdings,

Inc.

58,866

1,708,291

134,214

17.6

Skechers

U.S.A.,

Inc.

95,509

2,267,384

(82,138)

(10.8)

Steel

Dynamics,

Inc.

144,001

3,245,783

413,283

54.2

79

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

TRI

Pointe

Group,

Inc.

65,681

576,022

(61,740)

(8.1)

Walgreens

Boots

Alliance,

Inc.

28,324

1,295,823

122,076

16.0

Walmart,

Inc.

10,093

1,146,767

42,592

5.6

Westrock

Co.

31,795

898,527

60,728

8.0

Short

Positions

Common

Stocks

United

Kingdom

Linde

plc

(8,697)

(1,504,581)

(66,967)

(8.8)

United

States

Albemarle

Corp.

(67,387)

(3,798,605)

245,963

32.3

Allegheny

Technologies,

Inc.

(146,939)

(1,248,982)

(174,857)

(22.9)

Amcor

plc

(654,351)

(5,313,330)

(268,284)

(35.2)

Ball

Corp.

(19,436)

(1,256,732)

(167,927)

(22.0)

Berry

Global

Group,

Inc.

(45,833)

(1,545,030)

(24,026)

(3.2)

BJ's

Wholesale

Club

Holdings,

Inc.

(60,317)

(1,536,274)

(136,316)

(17.9)

Carpenter

Technology

Corp.

(29,334)

(572,013)

26,401

3.5

Carter's,

Inc.

(14,576)

(958,080)

96,639

12.7

CenturyLink,

Inc.

(80,201)

(758,701)

(32,882)

(4.3)

Chemours

Co.

(The)

(94,154)

(835,146)

190,191

24.9

Columbia

Sportswear

Co.

(14,260)

(994,920)

(56,675)

(7.4)

Compass

Minerals

International,

Inc.

(60,157)

(2,314,240)

21,055

2.8

Freeport-McMoRan,

Inc.

(327,168)

(2,208,384)

163,584

21.5

GCI

Liberty,

Inc.

(57,804)

(3,293,094)

(425,438)

(55.8)

International

Flavors

&

Fragrances,

Inc.

(27,668)

(2,824,349)

68,893

9.0

Leggett

&

Platt,

Inc.

(36,086)

(962,774)

33,921

4.4

Mattel,

Inc.

(220,483)

(1,942,455)

(59,530)

(7.8)

Newell

Brands,

Inc.

(116,568)

(1,548,023)

(60,615)

(8.0)

Newmont

Corp.

(26,052)

(1,179,635)

58,878

7.7

Olin

Corp.

(121,348)

(1,416,131)

13,348

1.8

Toll

Brothers,

Inc.

(55,348)

(1,065,449)

135,603

17.8

Under

Armour,

Inc.

(197,715)

(1,820,955)

15,817

2.1

United

States

Steel

Corp.

(359,881)

(2,270,849)

(158,348)

(20.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BBR

plus

or

minus

a

specified

spread

(-0.13%

to

0.03%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$33,534,556

$587,152

$519,340

$1,106,492

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

80

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

225,770

2,362,760

47,484

4.3

Aurizon

Holdings

Ltd.

2,058,717

5,335,314

222,492

20.1

Beach

Energy

Ltd.

358,388

249,758

(11,854)

(1.1)

Bendigo

&

Adelaide

Bank

Ltd.

138,508

532,128

(10,498)

(0.9)

BlueScope

Steel

Ltd.

343,140

1,796,517

(385,704)

(34.9)

Brambles

Ltd.

51,926

335,636

19,595

1.8

CIMIC

Group

Ltd.

138,925

1,967,635

232,462

21.0

Coca-Cola

Amatil

Ltd.

21,587

116,511

(15,165)

(1.4)

Flight

Centre

Travel

Group

Ltd.(a)

8,408

41,224

(37,474)

(3.4)

Fortescue

Metals

Group

Ltd.

302,460

1,853,543

(28,664)

(2.6)

Harvey

Norman

Holdings

Ltd.

204,832

376,104

(14,111)

(1.3)

Iluka

Resources

Ltd.

47,136

199,325

(17,931)

(1.6)

Incitec

Pivot

Ltd.

164,031

203,468

7,523

0.7

Medibank

Pvt

Ltd.

232,494

382,338

(30,494)

(2.8)

Qantas

Airways

Ltd.

342,451

666,275

62,160

5.6

South32

Ltd.

254,951

281,443

(25,671)

(2.3)

Telstra

Corp.

Ltd.

832,589

1,562,893

(205,857)

(18.6)

Treasury

Wine

Estates

Ltd.

61,453

381,535

42,540

3.8

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(8,962)

(104,214)

1,011

0.1

Alumina

Ltd.

(1,101,122)

(986,822)

65,182

5.9

APA

Group

(164,277)

(1,042,462)

(151,406)

(13.7)

Aristocrat

Leisure

Ltd.

(8,506)

(110,218)

(2,947)

(0.3)

AusNet

Services

(103,235)

(108,398)

667

0.1

Challenger

Ltd.

(475,698)

(1,161,951)

274,191

24.8

Computershare

Ltd.

(25,514)

(152,735)

(2,238)

(0.2)

Northern

Star

Resources

Ltd.

(24,271)

(157,227)

7,732

0.7

Ramsay

Health

Care

Ltd.

(58,119)

(2,043,593)

73,481

6.6

REA

Group

Ltd.

(10,569)

(495,094)

36,124

3.3

SEEK

Ltd.

(308,901)

(2,822,812)

165,521

15.0

Seven

Group

Holdings

Ltd.

(43,014)

(295,971)

28,158

2.5

Sydney

Airport

(76,214)

(263,327)

(39,354)

(3.6)

Transurban

Group

(93,849)

(699,047)

(71,752)

(6.5)

WiseTech

Global

Ltd.

(44,732)

(465,032)

(115,565)

(10.4)

Worley

Ltd.

(435,809)

(1,617,223)

284,882

25.7

United

States

James

Hardie

Industries

plc

(203,607)

(2,364,023)

182,632

16.5

81

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

GBP/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.18%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$163,812,902

$4,098,084

$882,362

$4,980,446

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

924,074

2,643,890

(201,499)

(4.0)

South

Africa

Investec

plc

703,701

1,310,969

(236,963)

(4.8)

Switzerland

Coca-Cola

HBC

AG

76,718

1,645,316

187,160

3.8

United

Kingdom

Aviva

plc

915,494

3,009,919

200,987

4.0

BAE

Systems

plc

378,815

2,433,894

155,071

3.1

Barclays

plc

2,805,768

3,188,565

97,959

2.0

Barratt

Developments

plc

573,187

3,098,258

(95,817)

(1.9)

Bellway

plc

105,911

2,805,793

(38,791)

(0.8)

Berkeley

Group

Holdings

plc

70,164

3,131,670

(33,025)

(0.7)

Britvic

plc

163,953

1,420,952

102,461

2.1

BT

Group

plc

3,301,341

4,802,019

(191,882)

(3.9)

Centrica

plc

4,102,881

1,933,244

(79,579)

(1.6)

Inchcape

plc

327,771

1,749,262

(35,694)

(0.7)

JD

Sports

Fashion

plc

364,905

2,043,737

451,028

9.1

Kingfisher

plc

1,357,283

2,384,081

245,501

4.9

Man

Group

plc

963,170

1,473,984

265,835

5.3

Marks

&

Spencer

Group

plc

1,305,433

1,582,493

73,251

1.5

Meggitt

plc

528,108

1,898,374

(163,218)

(3.3)

Moneysupermarket.com

Group

plc

538,760

2,002,069

381,735

7.7

Next

plc

32,980

1,654,568

(94,132)

(1.9)

Persimmon

plc

137,276

3,245,021

257,491

5.2

Royal

Mail

plc

1,345,354

2,073,894

(416,347)

(8.4)

Tate

&

Lyle

plc

435,811

3,545,689

362,499

7.3

Taylor

Wimpey

plc

2,025,546

2,914,681

(121,873)

(2.4)

WH

Smith

plc

99,853

1,402,528

267,013

5.4

82

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(57,716)

(1,589,506)

8,436

0.2

Beazley

plc

(375,385)

(1,810,752)

26,654

0.5

BP

plc

(333,619)

(1,368,153)

(275,342)

(5.5)

Croda

International

plc

(58,050)

(3,062,577)

4,312

0.1

DS

Smith

plc

(859,253)

(2,912,373)

223,985

4.5

easyJet

plc

(270,636)

(1,875,389)

129,135

2.6

GVC

Holdings

plc

(431,010)

(2,985,490)

(1,198,304)

(24.1)

Hargreaves

Lansdown

plc

(237,022)

(4,027,211)

215,579

4.3

Hiscox

Ltd.

(181,666)

(2,068,824)

191,649

3.8

HSBC

Holdings

plc

(700,261)

(3,931,104)

376,723

7.6

Informa

plc

(334,491)

(1,821,876)

(65,778)

(1.3)

InterContinental

Hotels

Group

plc

(39,778)

(1,692,286)

(233,656)

(4.7)

John

Wood

Group

plc

(922,925)

(1,756,188)

352,030

7.1

Johnson

Matthey

plc

(88,914)

(1,959,137)

361,990

7.3

National

Grid

plc

(180,130)

(2,104,689)

7,165

0.1

Ocado

Group

plc

(391,683)

(5,875,353)

705,148

14.2

Prudential

plc

(249,646)

(3,128,026)

(656,970)

(13.2)

Reckitt

Benckiser

Group

plc

(23,230)

(1,769,559)

(114,223)

(2.3)

Severn

Trent

plc

(187,376)

(5,304,045)

321,895

6.5

Spirax-Sarco

Engineering

plc

(21,531)

(2,161,561)

246,919

5.0

St

James's

Place

plc

(437,429)

(4,084,682)

229,130

4.6

Tesco

plc

(1,947,988)

(5,501,171)

(42,656)

(0.9)

Vodafone

Group

plc

(1,784,377)

(2,468,587)

(67,287)

(1.4)

Weir

Group

plc

(The)

(274,667)

(2,442,924)

370,675

7.4

Whitbread

plc

(51,486)

(1,908,150)

(395,224)

(7.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HKD/

USD

1

Month

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.02%

to

0.03%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$26,770,932

$12,967

$32,766

$45,733

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Hong

Kong

CK

Asset

Holdings

Ltd.

254,000

1,378,125

54,770

119.8

CLP

Holdings

Ltd.

128,500

1,177,061

(103,125)

(225.5)

Henderson

Land

Development

Co.

Ltd.

190,960

722,761

(113,332)

(247.8)

Hysan

Development

Co.

Ltd.

401,000

1,294,990

27,929

61.1

Kerry

Properties

Ltd.

510,500

1,334,955

(24,590)

(53.8)

83

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

Melco

International

Development

Ltd.

581,000

832,789

(58,888)

(128.8)

New

World

Development

Co.

Ltd.

1,112,000

1,185,699

(73,443)

(160.6)

Sino

Land

Co.

Ltd.

122,000

153,544

12,876

28.2

Sun

Hung

Kai

Properties

Ltd.

59,000

771,368

2,042

4.5

WH

Group

Ltd.

2,178,500

2,010,775

139,579

305.2

Wheelock

&

Co.

Ltd.

44,000

298,141

(8,011)

(17.5)

Yue

Yuen

Industrial

Holdings

Ltd.

559,500

854,972

(71,348)

(156.0)

Macau

Wynn

Macau

Ltd.

131,600

197,362

(4,945)

(10.8)

United

Kingdom

CK

Hutchison

Holdings

Ltd.

170,000

1,133,077

(38,713)

(84.7)

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(54,000)

(138,873)

16,437

35.9

Hong

Kong

AIA

Group

Ltd.

(257,200)

(2,303,134)

(52,476)

(114.7)

ASM

Pacific

Technology

Ltd.

(88,700)

(822,456)

53,237

116.4

Hang

Seng

Bank

Ltd.

(91,300)

(1,555,503)

14,236

31.1

Hong

Kong

&

China

Gas

Co.

Ltd.

(679,300)

(1,112,306)

173,866

380.2

MTR

Corp.

Ltd.

(687,865)

(3,538,130)

(15,819)

(34.6)

Swire

Properties

Ltd.

(323,600)

(904,056)

(52,620)

(115.1)

Techtronic

Industries

Co.

Ltd.

(74,000)

(469,893)

24,014

52.5

Wharf

Real

Estate

Investment

Co.

Ltd.

(523,000)

(2,133,282)

85,932

187.9

Macau

Galaxy

Entertainment

Group

Ltd.

(85,000)

(447,680)

25,359

55.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

JPY/USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.40%

to

0.02%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

61-99

months

maturity

ranging

from

08/19/2021

-

01/21/2025

$467,106,168

$(1,551,200)

$(1,000,546)

$(2,551,746)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Astellas

Pharma,

Inc.

289,800

4,465,052

459,752

(18.0)

Fujitsu

Ltd.

48,100

4,332,305

281,820

(11.0)

Itochu

Techno-Solutions

Corp.

112,700

3,209,737

489,662

(19.2)

Japan

Airlines

Co.

Ltd.

302,400

5,557,340

(42,226)

1.7

84

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Kajima

Corp.

393,000

4,017,059

523,915

(20.5)

Matsumotokiyoshi

Holdings

Co.

Ltd.

87,100

3,175,092

408,689

(16.0)

Nintendo

Co.

Ltd.

9,400

3,653,344

590,936

(23.2)

Nippon

Express

Co.

Ltd.

76,100

3,712,072

370,791

(14.5)

Nitto

Denko

Corp.

72,500

3,220,378

378,345

(14.8)

Obayashi

Corp.

569,300

4,830,813

418,240

(16.4)

ORIX

Corp.

251,700

3,002,948

(201,485)

7.9

Otsuka

Corp.

112,800

4,808,724

650,215

(25.5)

Pola

Orbis

Holdings,

Inc.

186,700

3,432,374

173,491

(6.8)

Resona

Holdings,

Inc.

1,002,800

3,006,703

159,715

(6.3)

Shimizu

Corp.

395,800

3,080,053

318,578

(12.5)

Shionogi

&

Co.

Ltd.

103,500

5,098,356

580,305

(22.7)

Sojitz

Corp.

1,305,400

3,060,700

142,949

(5.6)

Sony

Corp.

52,100

3,086,070

249,613

(9.8)

Taiheiyo

Cement

Corp.

182,200

3,103,467

(25,040)

1.0

Taisei

Corp.

106,600

3,251,096

333,904

(13.1)

Teijin

Ltd.

204,000

3,450,659

472,355

(18.5)

Tokyo

Electron

Ltd.

17,400

3,242,900

319,695

(12.5)

Tosoh

Corp.

292,200

3,302,183

187,263

(7.3)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(244,600)

(5,418,879)

(708,881)

27.8

Asahi

Intecc

Co.

Ltd.

(137,600)

(3,403,133)

(180,592)

7.1

CyberAgent,

Inc.

(119,700)

(4,639,080)

(489,906)

19.2

Daifuku

Co.

Ltd.

(51,200)

(3,208,618)

(626,821)

24.6

Daiichi

Sankyo

Co.

Ltd.

(64,600)

(4,436,511)

(960,972)

37.7

FamilyMart

Co.

Ltd.

(292,300)

(5,248,515)

(969,902)

38.0

Fast

Retailing

Co.

Ltd.

(10,900)

(4,447,660)

12,636

(0.5)

Kansai

Electric

Power

Co.,

Inc.

(The)

(325,700)

(3,625,336)

(551,387)

21.6

Kansai

Paint

Co.

Ltd.

(159,700)

(3,029,180)

39,785

(1.6)

Keio

Corp.

(55,000)

(3,246,836)

(487,548)

19.1

Kikkoman

Corp.

(121,600)

(5,155,779)

(814,032)

31.9

Kintetsu

Group

Holdings

Co.

Ltd.

(79,500)

(3,679,434)

(284,252)

11.1

Marui

Group

Co.

Ltd.

(198,400)

(3,318,982)

(43,385)

1.7

MISUMI

Group,

Inc.

(149,900)

(3,242,479)

(456,855)

17.9

Nidec

Corp.

(75,400)

(3,885,701)

(101,905)

4.0

Nippon

Paint

Holdings

Co.

Ltd.

(96,800)

(5,038,656)

(475,327)

18.6

Odakyu

Electric

Railway

Co.

Ltd.

(170,700)

(3,748,787)

(459,079)

18.0

Rakuten,

Inc.

(504,000)

(3,799,683)

(577,106)

22.6

Shimano,

Inc.

(32,800)

(4,677,718)

(278,795)

10.9

Shiseido

Co.

Ltd.

(89,300)

(5,248,380)

(753,758)

29.5

Suzuki

Motor

Corp.

(251,700)

(5,993,284)

932,394

(36.5)

Takeda

Pharmaceutical

Co.

Ltd.

(149,600)

(4,555,038)

(318,817)

12.5

Terumo

Corp.

(108,800)

(3,727,638)

(653,212)

25.6

TOTO

Ltd.

(108,700)

(3,585,811)

(318,343)

12.5

Toyota

Motor

Corp.

(67,600)

(4,073,909)

(128,717)

5.0

Unicharm

Corp.

(83,100)

(3,110,754)

(566,443)

22.2

Yaskawa

Electric

Corp.

(192,700)

(5,239,635)

(755,476)

29.6

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

85

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.24%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/13/2025

$101,017,841

$(5,040,572)

$148,907

$(4,891,665)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

Alstom

SA

25,002

1,032,386

(152,594)

3.1

Arkema

SA

13,222

902,726

(112,670)

2.3

Atos

SE

45,084

3,003,735

65,706

(1.3)

Bouygues

SA

54,587

1,584,180

(315,687)

6.5

Capgemini

SE

12,482

1,043,026

(138,151)

2.8

Carrefour

SA

195,253

3,095,596

(24,828)

0.5

Cie

de

Saint-Gobain

114,270

2,741,959

(899,738)

18.4

CNP

Assurances

149,671

1,449,201

(442,341)

9.0

Danone

SA

22,823

1,460,632

(2,552)

0.1

Dassault

Aviation

SA

603

495,177

(89,126)

1.8

Electricite

de

France

SA

76,238

596,144

(285,810)

5.8

Engie

SA

510,099

5,223,648

(2,513,465)

51.4

Eutelsat

Communications

SA

282,660

2,938,301

(136,310)

2.8

Natixis

SA

812,911

2,588,504

266,014

(5.4)

Orange

SA

372,540

4,510,514

(163,789)

3.3

Peugeot

SA

508,748

6,623,534

(1,472,464)

30.1

Publicis

Groupe

SA

128,263

3,665,619

(724,559)

14.8

Rexel

SA

78,745

579,829

(185,896)

3.8

Sanofi

31,431

2,721,136

(51,287)

1.0

Schneider

Electric

SE

4,561

385,509

(29,756)

0.6

Societe

BIC

SA

20,412

1,133,744

6,178

(0.1)

Sodexo

SA

24,002

1,611,860

(455,011)

9.3

Sopra

Steria

Group

5,219

570,874

(136,762)

2.8

Thales

SA

13,175

1,091,099

(134,145)

2.7

TOTAL

SA

31,326

1,180,327

97,347

(2.0)

Veolia

Environnement

SA

85,905

1,814,389

(536,260)

11.0

Luxembourg

SES

SA

264,100

1,549,326

(394,559)

8.1

86

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

France

Accor

SA

(40,221)

(1,080,580)

147,310

(3.0)

Aeroports

de

Paris

(2,542)

(245,573)

63,566

(1.3)

Air

France-KLM

(416,831)

(2,318,496)

(32,295)

0.7

Bollore

SA

(374,615)

(1,018,066)

109,049

(2.2)

Cie

Plastic

Omnium

SA

(52,566)

(729,011)

236,025

(4.8)

Edenred

(45,972)

(1,907,814)

308,815

(6.3)

Elior

Group

SA

(66,596)

(435,915)

224,266

(4.6)

Faurecia

SE

(63,295)

(1,853,381)

620,110

(12.7)

Iliad

SA

(31,230)

(4,207,751)

48,803

(1.0)

Ingenico

Group

SA

(31,158)

(3,256,928)

725,915

(14.8)

JCDecaux

SA

(62,961)

(1,119,321)

226,878

(4.6)

Kering

SA

(5,398)

(2,814,588)

(66,229)

1.4

L'Oreal

SA

(4,875)

(1,261,703)

18,331

(0.4)

LVMH

Moet

Hennessy

Louis

Vuitton

SE

(733)

(268,829)

6,513

(0.1)

Orpea

(24,494)

(2,543,344)

293,790

(6.0)

Remy

Cointreau

SA

(29,357)

(3,199,583)

(126,191)

2.6

Renault

SA

(79,464)

(1,510,190)

235,976

(4.8)

Sartorius

Stedim

Biotech

(2,061)

(411,281)

(22,409)

0.5

SEB

SA

(12,828)

(1,588,824)

9,763

(0.2)

Ubisoft

Entertainment

SA

(29,131)

(2,129,215)

(126,940)

2.6

Valeo

SA

(147,854)

(2,406,437)

592,326

(12.1)

Worldline

SA

(70,247)

(4,146,065)

654,727

(13.4)

Luxembourg

Eurofins

Scientific

SE

(8,644)

(4,218,275)

(255,966)

5.2

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-3.83%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/31/2025

$484,000,394

$9,519,515

$(6,440,703)

$3,078,812

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Allstate

Corp.

(The)

31,680

2,906,006

(122,918)

(4.0)

Amazon.com,

Inc.

2,147

4,186,049

320,139

10.4

Amdocs

Ltd.

78,065

4,291,233

(612,030)

(19.9)

Applied

Materials,

Inc.

66,654

3,054,086

(416,587)

(13.5)

Assured

Guaranty

Ltd.

110,175

2,841,413

(1,242,774)

(40.4)

CACI

International,

Inc.

12,420

2,622,483

(140,346)

(4.6)

Cadence

Design

Systems,

Inc.

43,111

2,847,050

271,168

8.8

87

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cirrus

Logic,

Inc.

47,217

3,098,852

137,401

4.5

Colgate-Palmolive

Co.

51,782

3,436,254

(187,969)

(6.1)

Electronic

Arts,

Inc.

38,187

3,825,192

(29,022)

(0.9)

Exelon

Corp.

70,103

2,580,491

(357,525)

(11.6)

Facebook,

Inc.

21,143

3,526,652

(59,705)

(1.9)

Herman

Miller,

Inc.

119,001

2,641,822

(599,756)

(19.5)

Intel

Corp.

56,014

3,031,478

183,166

5.9

Intuit,

Inc.

14,275

3,283,250

(428,821)

(13.9)

Kimberly-Clark

Corp.

35,485

4,537,467

(467,846)

(15.2)

MAXIMUS,

Inc.

47,384

2,757,749

(122,725)

(4.0)

Monster

Beverage

Corp.

57,456

3,232,475

(321,754)

(10.5)

NortonLifeLock,

Inc.

165,986

3,105,598

240,971

7.8

Oracle

Corp.

80,553

3,893,126

186,883

6.1

Tyson

Foods,

Inc.

53,728

3,109,239

(161,721)

(5.3)

Short

Positions

Common

Stocks

United

States

Alliant

Energy

Corp.

(64,359)

(3,107,896)

377,787

12.3

Black

Hills

Corp.

(48,145)

(3,082,724)

504,078

16.4

CenterPoint

Energy,

Inc.

(202,508)

(3,128,749)

522,471

17.0

Charles

Schwab

Corp.

(The)

(101,287)

(3,405,269)

(326,481)

(10.6)

Charter

Communications,

Inc.

(9,817)

(4,283,255)

264,077

8.6

Commerce

Bancshares,

Inc.

(58,433)

(2,942,102)

125,110

4.1

Conagra

Brands,

Inc.

(91,717)

(2,690,977)

(166,925)

(5.4)

Digital

Realty

Trust,

Inc.

(27,089)

(3,762,933)

(494,103)

(16.0)

Energizer

Holdings,

Inc.

(121,986)

(3,690,076)

1,626,693

52.8

Equifax,

Inc.

(21,287)

(2,542,732)

473,423

15.4

Eversource

Energy

(71,982)

(5,629,712)

1,032,942

33.6

First

Republic

Bank

(35,929)

(2,956,238)

146,231

4.7

Hain

Celestial

Group,

Inc.

(The)

(127,191)

(3,303,150)

(494,773)

(16.1)

Knight-Swift

Transportation

Holdings,

Inc.

(106,836)

(3,504,221)

(99,327)

(3.2)

LendingTree,

Inc.

(16,119)

(2,956,063)

1,336,849

43.4

McCormick

&

Co.,

Inc.

(Non-Voting)

(20,343)

(2,872,635)

57,367

1.9

MongoDB,

Inc.

(20,015)

(2,732,848)

(174,083)

(5.7)

National

Fuel

Gas

Co.

(107,222)

(3,998,308)

100,789

3.3

Netflix,

Inc.

(7,220)

(2,711,110)

(209,452)

(6.8)

New

York

Times

Co.

(The)

(94,201)

(2,892,913)

296,733

9.6

NextEra

Energy,

Inc.

(11,593)

(2,789,508)

239,511

7.8

Sempra

Energy

(36,427)

(4,115,887)

538,027

17.5

Southwest

Gas

Holdings,

Inc.

(53,641)

(3,731,268)

(194,717)

(6.3)

Stericycle,

Inc.

(85,446)

(4,150,967)

531,474

17.3

Twilio,

Inc.

(31,413)

(2,811,149)

99,880

3.2

VEREIT,

Inc.

(575,474)

(2,814,068)

1,806,988

58.7

Virtu

Financial,

Inc.

(197,214)

(4,105,995)

611,363

19.9

Visa,

Inc.

(19,368)

(3,120,572)

(17,674)

(0.6)

WEC

Energy

Group,

Inc.

(39,916)

(3,517,797)

568,404

18.5

88

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.58%

to

0.20%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-62

months

maturity

ranging

from

01/21/2025

-

03/31/2025

$49,758,700

$(1,617,277)

$(135,425)

$(1,752,702)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Yamana

Gold,

Inc.

56,279

156,364

(35,098)

2.0

Canada

Air

Canada

131,219

1,468,556

(32,451)

1.9

Alimentation

Couche-Tard,

Inc.

105,691

2,489,630

3,952

(0.2)

Atco

Ltd.

19,382

536,713

10,709

(0.6)

Canadian

Imperial

Bank

of

Commerce

19,633

1,143,968

90,873

(5.2)

Cenovus

Energy,

Inc.

186,347

376,057

59,474

(3.4)

CGI,

Inc.

14,086

762,604

1,099

(0.1)

CI

Financial

Corp.

59,383

589,484

(6,577)

0.4

Constellation

Software,

Inc.

625

568,029

41,956

(2.4)

Empire

Co.

Ltd.

129,378

2,530,929

(41,579)

2.4

Fairfax

Financial

Holdings

Ltd.

914

280,201

(17,783)

1.0

Finning

International,

Inc.

72,931

782,533

188,996

(10.8)

iA

Financial

Corp.,

Inc.

4,095

128,731

9,690

(0.6)

Kinross

Gold

Corp.

85,322

342,549

(53,020)

3.0

Linamar

Corp.

51,201

1,059,820

(1,378)

0.1

Magna

International,

Inc.

85,428

2,726,193

(10,054)

0.6

Manulife

Financial

Corp.

27,623

346,833

65,762

(3.8)

Methanex

Corp.

36,262

441,390

(1,306)

0.1

National

Bank

of

Canada

14,837

573,427

86,481

(4.9)

Onex

Corp.

14,494

530,509

11,712

(0.7)

Open

Text

Corp.

11,523

402,932

11,474

(0.7)

Quebecor,

Inc.

48,312

1,067,993

40,002

(2.3)

Seven

Generations

Energy

Ltd.

119,820

131,970

4,961

(0.3)

Shaw

Communications,

Inc.

10,349

167,887

27,528

(1.6)

Teck

Resources

Ltd.

125,565

952,021

(36,000)

2.1

Thomson

Reuters

Corp.

28,688

1,954,527

280,473

(16.0)

Tourmaline

Oil

Corp.

30,546

187,535

9,669

(0.6)

United

States

Bausch

Health

Cos.,

Inc.

8,852

137,186

6,137

(0.4)

BRP,

Inc.

64,670

1,055,086

(337,961)

19.3

89

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

(7,045)

(281,239)

14,734

(0.8)

AltaGas

Ltd.

(133,837)

(1,212,550)

(62,358)

3.6

Cameco

Corp.

(202,478)

(1,543,799)

(205,303)

11.7

Canada

Goose

Holdings,

Inc.

(63,706)

(1,273,848)

(202,260)

11.5

Element

Fleet

Management

Corp.

(215,310)

(1,370,836)

(39,425)

2.2

Enbridge,

Inc.

(140,007)

(4,076,947)

(291,938)

16.7

Franco-Nevada

Corp.

(6,357)

(635,158)

42,576

(2.4)

Inter

Pipeline

Ltd.

(222,441)

(1,330,884)

(11,427)

0.7

Keyera

Corp.

(74,754)

(694,793)

85,531

(4.9)

Pembina

Pipeline

Corp.

(81,978)

(1,537,852)

(207,720)

11.9

PrairieSky

Royalty

Ltd.

(182,951)

(965,911)

(11,335)

0.6

Shopify,

Inc.

(849)

(355,708)

(51,295)

2.9

SNC-Lavalin

Group,

Inc.

(183,810)

(2,711,501)

606

(0.0)

Stars

Group,

Inc.

(The)

(53,143)

(1,086,801)

(391,636)

22.3

Suncor

Energy,

Inc.

(24,964)

(398,416)

(123,431)

7.0

TC

Energy

Corp.

(82,815)

(3,680,863)

(528,514)

30.2

Vermilion

Energy,

Inc.

(77,372)

(237,509)

(56,432)

3.2

West

Fraser

Timber

Co.

Ltd.

(13,801)

(263,212)

58,596

(3.3)

Wheaton

Precious

Metals

Corp.

(23,728)

(653,013)

(9,048)

0.5

Chile

Lundin

Mining

Corp.

(55,799)

(209,747)

6,591

(0.4)

Zambia

First

Quantum

Minerals

Ltd.

(215,251)

(1,099,733)

(27,832)

1.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.23%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

03/13/2025

$62,006,569

$4,177,840

$55,536

$4,233,376

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Italy

A2A

SpA

3,283,831

4,051,413

197,279

4.7

Assicurazioni

Generali

SpA

403,745

5,468,644

617,504

14.6

Autogrill

SpA

40,770

189,193

35,619

0.8

Azimut

Holding

SpA

9,667

137,588

15,204

0.4

Banca

Generali

SpA

47,004

976,719

77,735

1.8

BPER

Banca

1,139,394

3,467,116

508,241

12.0

Enel

SpA

69,411

478,787

39,883

0.9

Eni

SpA

582,306

5,786,651

1,344,219

31.8

90

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Italy

(continued)

Hera

SpA

846,045

3,060,895

124,231

2.9

Intesa

Sanpaolo

SpA

198,587

321,326

2,173

0.1

Italgas

SpA

738,480

4,040,499

415,326

9.8

Leonardo

SpA

349,046

2,307,602

292,675

6.9

Mediobanca

Banca

di

Credito

Finanziario

SpA

20,007

109,102

10,033

0.2

Poste

Italiane

SpA

279,558

2,352,995

338,785

8.0

Snam

SpA

479,565

2,191,757

229,293

5.4

Telecom

Italia

SpA

948,960

384,115

40,438

1.0

Terna

Rete

Elettrica

Nazionale

SpA

30,672

192,800

16,628

0.4

Unipol

Gruppo

SpA

620,090

2,114,675

314,305

7.4

Spain

Repsol

SA

269,604

2,405,207

387,350

9.1

Short

Positions

Common

Stocks

Italy

Amplifon

SpA

(38,766)

(787,463)

(62,947)

(1.5)

Davide

Campari-Milano

SpA

(77,432)

(555,293)

(80,308)

(1.9)

DiaSorin

SpA

(1,747)

(230,279)

(26,339)

(0.6)

FinecoBank

Banca

Fineco

SpA

(709,538)

(6,383,776)

(585,042)

(13.8)

Freni

Brembo

SpA

(205,547)

(1,524,108)

24,518

0.6

Pirelli

&

C

SpA

(880,151)

(3,105,347)

152,491

3.6

Prysmian

SpA

(94,097)

(1,493,968)

146,021

3.4

Saipem

SpA

(614,156)

(1,480,673)

(81,276)

(1.9)

Salvatore

Ferragamo

SpA

(48,369)

(642,811)

(76,400)

(1.8)

UniCredit

SpA

(74,869)

(579,231)

3,505

0.1

Luxembourg

Tenaris

SA

(236,354)

(1,425,882)

(208,154)

(4.9)

Netherlands

Koninklijke

Vopak

NV

(51,828)

(2,721,496)

(201,653)

(4.8)

United

Kingdom

CNH

Industrial

NV

(182,459)

(1,039,158)

166,503

3.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-18.08%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-62

months

maturity

ranging

from

01/22/2025

-

03/31/2025

$339,052,699

$(1,329,990)

$(6,767,823)

$(8,097,813)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

91

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Alexion

Pharmaceuticals,

Inc.

49,299

4,426,557

366,292

(4.5)

Amgen,

Inc.

14,271

2,893,160

(72,354)

0.9

Arrow

Electronics,

Inc.

80,665

4,184,094

281,521

(3.5)

Avnet,

Inc.

154,060

3,866,906

53,921

(0.7)

Baxter

International,

Inc.

33,006

2,679,757

22,444

(0.3)

Biogen,

Inc.

15,548

4,919,076

171,973

(2.1)

Bio-Rad

Laboratories,

Inc.

8,759

3,070,555

(71,999)

0.9

Charles

River

Laboratories

International,

Inc.

26,951

3,401,486

382,974

(4.7)

Cisco

Systems,

Inc.

64,797

2,547,170

246,877

(3.0)

Crane

Co.

54,610

2,685,720

(9,284)

0.1

Cummins,

Inc.

21,136

2,860,124

(23,394)

0.3

Curtiss-Wright

Corp.

37,770

3,490,326

301,027

(3.7)

Eaton

Corp.

plc

29,728

2,309,568

117,426

(1.5)

EMCOR

Group,

Inc.

39,209

2,404,296

508,933

(6.3)

Exelixis,

Inc.

146,015

2,514,378

359,197

(4.4)

F5

Networks,

Inc.

31,029

3,308,622

418,892

(5.2)

Gilead

Sciences,

Inc.

54,726

4,091,316

13,134

(0.2)

HD

Supply

Holdings,

Inc.

81,832

2,326,484

83,469

(1.0)

Humana,

Inc.

10,787

3,387,334

447,013

(5.5)

Huntington

Ingalls

Industries,

Inc.

14,790

2,694,886

312,217

(3.9)

Incyte

Corp.

40,387

2,957,540

115,507

(1.4)

Jazz

Pharmaceuticals

plc

28,737

2,866,228

(175,008)

2.2

Mylan

NV

159,234

2,374,179

(105,094)

1.3

National

Instruments

Corp.

72,082

2,384,473

387,080

(4.8)

NewMarket

Corp.

5,957

2,280,757

(123,548)

1.5

Northrop

Grumman

Corp.

8,195

2,479,397

(137,512)

1.7

QIAGEN

NV

78,521

3,266,474

263,045

(3.2)

Regeneron

Pharmaceuticals,

Inc.

6,063

2,960,502

(20,614)

0.3

Teledyne

Technologies,

Inc.

10,057

2,989,644

365,874

(4.5)

United

Therapeutics

Corp.

36,430

3,454,475

519,674

(6.4)

Vishay

Intertechnology,

Inc.

184,600

2,660,086

254,748

(3.1)

World

Fuel

Services

Corp.

99,712

2,510,748

(178,484)

2.2

Short

Positions

Common

Stocks

United

States

Acadia

Healthcare

Co.,

Inc.

(143,256)

(2,628,748)

(594,512)

7.3

Axon

Enterprise,

Inc.

(36,780)

(2,602,921)

(500,944)

6.2

Boeing

Co.

(The)

(30,473)

(4,544,743)

(1,427,422)

17.6

Catalent,

Inc.

(46,780)

(2,430,221)

(422,891)

5.2

Cheniere

Energy,

Inc.

(88,206)

(2,954,901)

94,380

(1.2)

Cognex

Corp.

(57,734)

(2,437,529)

256,339

(3.2)

Colfax

Corp.

(114,566)

(2,268,407)

(106,122)

1.3

Exact

Sciences

Corp.

(40,764)

(2,364,312)

(633,065)

7.8

HealthEquity,

Inc.

(51,568)

(2,608,825)

(441,938)

5.5

Hess

Corp.

(102,127)

(3,400,829)

(273,700)

3.4

II-VI,

Inc.

(147,634)

(4,207,569)

(227,356)

2.8

Ligand

Pharmaceuticals,

Inc.

(33,851)

(2,461,645)

215,292

(2.7)

Occidental

Petroleum

Corp.

(206,921)

(2,396,145)

(49,661)

0.6

Penumbra,

Inc.

(21,916)

(3,535,708)

(349,122)

4.3

Prestige

Consumer

Healthcare,

Inc.

(63,291)

(2,321,514)

(453,164)

5.6

TransDigm

Group,

Inc.

(8,994)

(2,879,789)

(50,632)

0.6

Trex

Co.,

Inc.

(46,450)

(3,722,503)

(458,462)

5.7

Westinghouse

Air

Brake

Technologies

Corp.

(53,191)

(2,560,083)

107,978

(1.3)

92

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-27

months

maturity

05/12/2020

$60,691,283

$(1,781,564)

$(597,424)

$(2,378,988)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

81,039

792,115

18,100

(0.8)

Switzerland

Adecco

Group

AG

(Registered)

128,392

5,059,497

574,151

(24.1)

Bucher

Industries

AG

(Registered)

543

143,121

14,028

(0.6)

Credit

Suisse

Group

AG

(Registered)

14,016

113,128

12,482

(0.5)

dormakaba

Holding

AG

1,753

775,630

(9,227)

0.4

Flughafen

Zurich

AG

(Registered)

8,667

969,600

108,191

(4.5)

Geberit

AG

(Registered)

2,944

1,290,001

81,557

(3.4)

Helvetia

Holding

AG

(Registered)

13,323

1,138,277

27,232

(1.1)

LafargeHolcim

Ltd.

(Registered)

23,473

856,612

85,991

(3.6)

Logitech

International

SA

(Registered)

2,571

110,109

1,405

(0.1)

Nestle

SA

(Registered)

33,407

3,419,801

161,976

(6.8)

Novartis

AG

(Registered)

55,886

4,610,530

314,740

(13.2)

OC

Oerlikon

Corp.

AG

(Registered)

19,847

157,144

24,893

(1.0)

Roche

Holding

AG

18,753

6,033,628

206,068

(8.7)

Sonova

Holding

AG

(Registered)

23,484

4,187,536

345,011

(14.5)

Sunrise

Communications

Group

AG

1,949

156,217

1,528

(0.1)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(8,317)

(144,558)

8,237

(0.3)

Alcon,

Inc.

(2,189)

(112,144)

(9,604)

0.4

Chocoladefabriken

Lindt

&

Spruengli

AG

(103)

(864,528)

(115,232)

4.8

Cie

Financiere

Richemont

SA

(Registered)

(44,277)

(2,366,777)

(7,355)

0.3

Clariant

AG

(Registered)

(56,562)

(941,431)

(1,270)

0.1

EMS-Chemie

Holding

AG

(Registered)

(1,007)

(628,039)

(40,677)

1.7

Idorsia

Ltd.

(57,821)

(1,494,445)

(211,943)

8.9

Julius

Baer

Group

Ltd.

(37,016)

(1,239,942)

(239,726)

10.1

Lonza

Group

AG

(Registered)

(4,957)

(2,038,933)

(330,583)

13.9

Schindler

Holding

AG

(6,412)

(1,402,801)

(48,447)

2.0

Sika

AG

(Registered)

(35,676)

(5,858,457)

(528,121)

22.2

Straumann

Holding

AG

(Registered)

(3,916)

(2,863,005)

(350,540)

14.7

Swiss

Re

AG

(9,976)

(768,141)

(105,211)

4.4

Temenos

AG

(Registered)

(50,095)

(6,529,864)

(970,799)

40.8

Vifor

Pharma

AG

(26,499)

(3,625,272)

(798,419)

33.6

93

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-37

months

maturity

02/12/2021

$36,835,018

$451,818

$247,602

$699,420

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

54,703

6,158,454

414,957

59.3

Coloplast

A/S

4,888

708,889

65,725

9.4

FLSmidth

&

Co.

A/S

46,704

1,046,789

(46,090)

(6.6)

GN

Store

Nord

A/S

86,115

3,818,179

776,602

111.0

H

Lundbeck

A/S

56,974

1,672,892

79,129

11.3

Novo

Nordisk

A/S

47,719

2,849,592

237,558

34.0

Pandora

A/S

72,284

2,322,566

151,717

21.7

ROCKWOOL

International

A/S

8,647

1,557,493

41,212

5.9

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(532)

(471,546)

16,939

2.4

Chr

Hansen

Holding

A/S

(64,223)

(4,739,190)

(228,767)

(32.7)

Dfds

A/S

(10,642)

(239,446)

20,716

3.0

DSV

Panalpina

A/S

(54,519)

(4,957,362)

(615,829)

(88.0)

Genmab

A/S

(3,999)

(803,274)

(95,864)

(13.7)

ISS

A/S

(97,306)

(1,331,197)

(55,021)

(7.9)

Novozymes

A/S

(49,249)

(2,209,153)

(122,653)

(17.5)

Orsted

A/S

(14,379)

(1,407,670)

(137,185)

(19.6)

Vestas

Wind

Systems

A/S

(6,653)

(541,326)

(51,328)

(7.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-8.63%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

9-37

months

maturity

12/16/2020

$198,200,176

$2,974,159

$(1,137,519)

$1,836,640

94

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

148,243

6,177,584

1,555,561

84.7

UCB

SA

77,224

6,607,457

995,516

54.2

Finland

Fortum

OYJ

212,309

3,088,468

(29,703)

(1.6)

Kone

OYJ

33,142

1,855,976

125,384

6.8

Orion

OYJ

46,067

1,874,756

220,607

12.0

UPM-Kymmene

OYJ

86,411

2,356,163

266,956

14.5

Germany

adidas

AG

6,582

1,461,384

198,640

10.8

Bayer

AG

(Registered)

49,238

2,821,264

73,520

4.0

Covestro

AG

72,703

2,206,404

139,317

7.6

Fresenius

Medical

Care

AG

&

Co.

KGaA

40,466

2,641,459

(60,305)

(3.3)

HeidelbergCement

AG

35,988

1,537,518

143,288

7.8

HOCHTIEF

AG

35,763

2,348,186

281,873

15.3

HUGO

BOSS

AG

104,078

2,605,288

(78,311)

(4.3)

ProSiebenSat.1

Media

SE

351,024

2,754,309

339,689

18.5

Rheinmetall

AG

34,613

2,405,493

441,877

24.1

Software

AG

60,133

1,792,180

182,504

9.9

Netherlands

ASM

International

NV

49,940

5,080,990

1,092,509

59.5

ASR

Nederland

NV

126,723

3,186,243

396,578

21.6

Koninklijke

Ahold

Delhaize

NV

288,881

6,729,936

239,923

13.1

Koninklijke

Philips

NV

40,287

1,654,079

285,806

15.6

NN

Group

NV

75,250

2,044,976

307,159

16.7

Signify

NV

132,733

2,572,397

(240,757)

(13.1)

Wolters

Kluwer

NV

33,933

2,401,918

297,334

16.2

Spain

Enagas

SA

221,501

4,369,596

134,767

7.3

Endesa

SA

355,788

7,528,616

1,213,515

66.1

Iberdrola

SA

353,108

3,453,754

(76,165)

(4.1)

Naturgy

Energy

Group

SA

233,772

4,101,253

72,987

4.0

Red

Electrica

Corp.

SA

444,066

7,979,647

671,118

36.5

United

Kingdom

Dialog

Semiconductor

plc

107,805

2,802,177

127,963

7.0

Short

Positions

Common

Stocks

Belgium

Umicore

SA

(184,790)

(6,373,642)

(161,973)

(8.8)

Finland

Nokian

Renkaat

OYJ

(127,623)

(3,047,392)

(551,587)

(30.0)

Germany

Allianz

SE

(Registered)

(9,224)

(1,570,825)

(224,583)

(12.2)

Daimler

AG

(Registered)

(78,715)

(2,350,759)

(221,019)

(12.0)

Delivery

Hero

SE

(46,436)

(3,414,168)

(345,189)

(18.8)

Deutsche

Bank

AG

(Registered)

(481,442)

(3,060,568)

(309,296)

(16.8)

Sartorius

AG

(Preference)

(13,266)

(3,171,581)

(486,737)

(26.5)

thyssenkrupp

AG

(749,112)

(3,945,700)

(825,171)

(44.9)

United

Internet

AG

(Registered)

(113,010)

(3,286,095)

(351,278)

(19.1)

Zalando

SE

(76,391)

(2,879,185)

(121,867)

(6.6)

95

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Luxembourg

ArcelorMittal

SA

(200,897)

(1,896,559)

(296,129)

(16.1)

Netherlands

Adyen

NV

(2,279)

(1,936,910)

(125,722)

(6.8)

Altice

Europe

NV

(637,394)

(2,460,006)

(456,722)

(24.9)

Just

Eat

Takeaway

(32,063)

(2,424,697)

116,909

6.4

OCI

NV

(135,625)

(1,620,730)

(112,649)

(6.1)

SBM

Offshore

NV

(275,368)

(3,640,495)

(169,453)

(9.2)

Spain

Banco

Santander

SA

(973,337)

(2,315,396)

29,530

1.6

Cellnex

Telecom

SA

(204,356)

(9,270,097)

(271,422)

(14.8)

Ferrovial

SA

(328,595)

(7,799,775)

(647,995)

(35.3)

Grifols

SA

(178,395)

(5,968,633)

(629,154)

(34.3)

United

States

QIAGEN

NV

(41,186)

(1,662,974)

(107,690)

(5.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-37

months

maturity

02/12/2021

$9,832,221

$(151,046)

$(23,190)

$(174,236)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

Leroy

Seafood

Group

ASA

261,614

1,280,589

45,922

(26.4)

Orkla

ASA

181,620

1,556,068

37,750

(21.7)

Salmar

ASA

48,648

1,609,468

(174,827)

100.3

Yara

International

ASA

34,997

1,106,573

54,825

(31.5)

Short

Positions

Common

Stocks

Norway

Equinor

ASA

(66,571)

(829,883)

(73,540)

42.2

Mowi

ASA

(6,650)

(100,544)

1,593

(0.9)

Norsk

Hydro

ASA

(571,055)

(1,231,287)

13,616

(7.8)

Schibsted

ASA

(27,303)

(525,862)

(38,261)

22.0

United

Kingdom

Subsea

7

SA

(337,039)

(1,591,947)

(18,124)

10.4

96

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

LONG-SHORT

EQUITY

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.75%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

11-37

months

maturity

02/12/2021

$33,304,301

$714,711

$156,086

$870,797

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Assa

Abloy

AB

18,260

340,891

(1,577)

(0.2)

Axfood

AB

8,624

175,374

4,774

0.5

Electrolux

AB

96,516

1,192,327

132,710

15.2

Electrolux

Professional

AB

145,975

420,548

81,002

9.3

Essity

AB

182,177

5,580,734

362,279

41.6

Getinge

AB

85,009

1,607,445

125,703

14.4

Hennes

&

Mauritz

AB

101,556

1,299,591

115,250

13.2

Securitas

AB

30,856

331,469

16,572

1.9

Skanska

AB

37,708

567,474

(2,346)

(0.3)

Swedish

Match

AB

32,266

1,826,890

47,425

5.4

Swedish

Orphan

Biovitrum

AB

112,711

1,872,276

292,371

33.6

Telefonaktiebolaget

LM

Ericsson

392,261

3,175,338

463,986

53.3

Volvo

AB

70,324

835,866

70,710

8.1

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(55,946)

(1,554,378)

(167,304)

(19.2)

Sweden

Atlas

Copco

AB

(55,334)

(1,840,091)

(177,861)

(20.4)

BillerudKorsnas

AB

(128,796)

(1,404,357)

(76,189)

(8.7)

Elekta

AB

(96,158)

(783,915)

(83,831)

(9.6)

Epiroc

AB

(38,449)

(379,933)

(27,071)

(3.1)

Hexagon

AB

(6,874)

(290,668)

9,819

1.1

Hexpol

AB

(103,792)

(613,235)

(103,808)

(11.9)

Husqvarna

AB

(42,723)

(212,534)

(33,555)

(3.9)

Saab

AB

(126,785)

(2,408,869)

81,689

9.4

SSAB

AB

(224,021)

(507,985)

(42,276)

(4.9)

Svenska

Cellulosa

AB

SCA

(178,746)

(1,768,841)

(283,342)

(32.5)

Svenska

Handelsbanken

AB

(224,118)

(1,848,325)

(40,143)

(4.6)

Tele2

AB

(34,898)

(464,947)

(50,276)

(5.8)

97

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(c)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(d)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(f)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

SHORT-TERM

INVESTMENTS

-

105.1%

INVESTMENT

COMPANIES

-

14.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(a)(b)

103,986,705

$

103,986,705

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)(c)

478,653,225

479,275,474

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(1)(a)

12,688,607

12,688,607

TOTAL

INVESTMENT

COMPANIES

(Cost

$595,301,750)

595,950,786

—

U.S.

TREASURY

OBLIGATIONS

-

90.3%

U.S.

Treasury

Bills

1.81%,

4/2/2020(d)

$

384,546,000

384,545,996

1.70%,

4/9/2020(d)

64,808,000

64,806,718

1.61%,

4/23/2020(d)

197,809,000

197,805,192

1.62%,

4/30/2020(d)

113,585,000

113,579,944

1.55%,

5/7/2020(d)

19,478,000

19,476,758

1.56%,

5/14/2020(d)

9,051,000

9,050,162

1.55%,

5/21/2020(d)

42,084,000

42,080,201

1.59%,

5/28/2020(d)

78,402,000

78,392,690

1.58%,

6/4/2020(d)

28,571,000

28,567,318

1.53%,

6/11/2020(d)

170,346,000

170,315,259

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

90.3%

(continued)

1.56%,

6/18/2020(d)

$

42,321,000

$

42,312,495

1.58%,

6/25/2020(d)

11,093,000

11,091,258

1.57%,

7/2/2020(d)

303,180,000

303,102,519

1.53%,

7/9/2020(d)(e)

47,930,000

47,919,917

1.54%,

7/16/2020(d)(e)

20,763,000

20,758,185

1.53%,

7/23/2020(d)(f)

71,726,000

71,707,708

1.55%,

7/30/2020(d)(g)

138,804,000

138,763,400

1.53%,

8/6/2020(d)(f)

151,125,000

151,079,551

1.52%,

8/20/2020(d)(f)

3,520,000

3,518,794

1.45%,

8/27/2020(d)(e)

303,840,000

303,727,266

1.02%,

9/3/2020(d)(e)

287,744,000

287,624,445

0.40%,

9/10/2020(d)(e)

412,238,000

412,026,522

0.30%,

9/17/2020(d)(f)

245,552,000

245,484,277

0.08%,

9/24/2020(d)(e)

209,518,000

209,421,714

0.10%,

10/1/2020(d)

269,988,000

269,822,500

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$3,618,789,079)

3,626,980,789

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$4,214,090,829)

4,222,931,575

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

105.1%

(Cost

$4,214,090,829)

4,222,931,575

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(5.1)%(h)

(203,892,921)

NET

ASSETS

-

100.0%

$4,019,038,654

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

11.9%

INVESTMENT

COMPANIES

-

11.9%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)

(Cost

$478,626,438)

$615,883,359

$2,572,483,169

$(2,709,894,985)

$201,587

$602,344

$479,275,474

478,653,225

2,109,633

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

98

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2020

BRL

(4,731,220)

$

27,728

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(34,783,420)

5,502,462

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(11,233,150)

757,820

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

8,912,860

139,192

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(94,713,400)

1,433,899

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(74,069,600)

843,108

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/24/2020

USD

5,529,800

262,680

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

33,821,800

1,275,768

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

95,003,250

1,056,982

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(1,879,896)

193,121

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

27,612,813

965,958

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

38,276,875

1,243,232

13,701,950

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

34,783,420

(5,898,158)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

9,878,900

(195,125)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

60,779,600

(323,374)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(95,003,250)

(7,448,626)

99

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(33,821,800)

$

(2,593,748)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/24/2020

USD

(5,529,800)

(497,280)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/19/2020

CHF

(3,190,250)

(309,092)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(38,276,875)

(3,450,475)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(27,612,813)

(2,742,343)

(23,458,221)

$

(9,756,271)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

3

4/2020

USD

$

112,868

$

(23,506)

LME

Aluminum

Base

Metal

7

4/2020

USD

262,763

(53,151)

LME

Aluminum

Base

Metal

7

4/2020

USD

263,459

(50,692)

LME

Aluminum

Base

Metal

9

4/2020

USD

338,348

(69,908)

LME

Aluminum

Base

Metal

9

4/2020

USD

338,477

(69,237)

LME

Aluminum

Base

Metal

9

4/2020

USD

338,861

(63,492)

LME

Aluminum

Base

Metal

10

4/2020

USD

373,818

(82,386)

LME

Aluminum

Base

Metal

11

4/2020

USD

413,069

(85,293)

LME

Aluminum

Base

Metal

15

4/2020

USD

563,063

(116,806)

LME

Aluminum

Base

Metal

15

4/2020

USD

561,244

(115,183)

LME

Aluminum

Base

Metal

26

4/2020

USD

975,527

(192,487)

LME

Aluminum

Base

Metal

32

4/2020

USD

1,206,400

(202,614)

LME

Aluminum

Base

Metal

32

4/2020

USD

1,196,768

(265,077)

LME

Aluminum

Base

Metal

34

4/2020

USD

1,272,748

(260,373)

LME

Aluminum

Base

Metal

37

4/2020

USD

1,395,131

(224,653)

LME

Aluminum

Base

Metal

132

4/2020

USD

4,978,050

(755,973)

LME

Aluminum

Base

Metal

203

4/2020

USD

7,577,939

(1,567,319)

LME

Copper

Base

Metal

1

4/2020

USD

123,529

(29,056)

LME

Copper

Base

Metal

1

4/2020

USD

123,542

(30,458)

LME

Copper

Base

Metal

1

4/2020

USD

123,569

(31,027)

LME

Copper

Base

Metal

1

4/2020

USD

123,638

(31,534)

LME

Copper

Base

Metal

1

4/2020

USD

123,574

(30,882)

LME

Copper

Base

Metal

1

4/2020

USD

123,488

(29,300)

LME

Copper

Base

Metal

2

4/2020

USD

247,075

(68,536)

LME

Copper

Base

Metal

9

4/2020

USD

1,112,330

(257,046)

LME

Copper

Base

Metal

28

4/2020

USD

3,460,842

(734,866)

LME

Copper

Base

Metal

30

4/2020

USD

3,708,863

(661,476)

LME

Copper

Base

Metal

56

4/2020

USD

6,924,232

(1,106,683)

100

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

58

4/2020

USD

$

7,171,004

$

(1,137,290)

LME

Copper

Base

Metal

112

4/2020

USD

13,849,500

(1,884,222)

LME

Nickel

Base

Metal

1

4/2020

USD

68,658

(17,385)

LME

Nickel

Base

Metal

1

4/2020

USD

68,637

(16,446)

LME

Nickel

Base

Metal

1

4/2020

USD

68,628

(14,705)

LME

Nickel

Base

Metal

2

4/2020

USD

137,418

(14,759)

LME

Zinc

Base

Metal

2

4/2020

USD

94,784

(21,167)

LME

Zinc

Base

Metal

4

4/2020

USD

189,590

(44,751)

LME

Zinc

Base

Metal

6

4/2020

USD

284,247

(59,099)

LME

Zinc

Base

Metal

7

4/2020

USD

332,066

(81,502)

LME

Zinc

Base

Metal

9

4/2020

USD

426,629

(109,385)

LME

Zinc

Base

Metal

13

4/2020

USD

616,320

(160,558)

LME

Zinc

Base

Metal

20

4/2020

USD

949,465

(243,344)

LME

Zinc

Base

Metal

34

4/2020

USD

1,614,218

(379,345)

LME

Zinc

Base

Metal

34

4/2020

USD

1,614,592

(337,066)

LME

Zinc

Base

Metal

48

4/2020

USD

2,279,784

(410,338)

LME

Zinc

Base

Metal

53

4/2020

USD

2,517,063

(488,525)

LME

Zinc

Base

Metal

97

4/2020

USD

4,607,427

(731,853)

MSCI

Singapore

Index

142

4/2020

SGD

2,811,327

(49,444)

RBOB

Gasoline

32

4/2020

USD

796,589

(287,139)

SGX

NIFTY

50

Index

6

4/2020

USD

102,846

391

Cocoa

160

5/2020

GBP

3,485,829

(399,854)

Coffee

'C'

76

5/2020

USD

3,407,175

(163,739)

KC

HRW

Wheat

87

5/2020

USD

2,144,550

12,136

LME

Aluminum

Base

Metal

1

5/2020

USD

37,856

(5,009)

LME

Aluminum

Base

Metal

4

5/2020

USD

151,193

(22,206)

LME

Aluminum

Base

Metal

8

5/2020

USD

302,444

(43,970)

LME

Aluminum

Base

Metal

9

5/2020

USD

340,576

(45,888)

LME

Aluminum

Base

Metal

11

5/2020

USD

416,339

(55,731)

LME

Aluminum

Base

Metal

11

5/2020

USD

415,940

(60,539)

LME

Aluminum

Base

Metal

12

5/2020

USD

455,025

(52,357)

LME

Aluminum

Base

Metal

21

5/2020

USD

794,981

(101,518)

LME

Aluminum

Base

Metal

27

5/2020

USD

1,023,975

(110,338)

LME

Aluminum

Base

Metal

29

5/2020

USD

1,095,105

(161,514)

LME

Aluminum

Base

Metal

47

5/2020

USD

1,781,888

(216,523)

LME

Aluminum

Base

Metal

52

5/2020

USD

1,963,260

(274,037)

LME

Aluminum

Base

Metal

97

5/2020

USD

3,665,727

(483,627)

LME

Aluminum

Base

Metal

222

5/2020

USD

8,380,001

(1,149,016)

LME

Copper

Base

Metal

1

5/2020

USD

123,689

(19,701)

LME

Copper

Base

Metal

4

5/2020

USD

494,693

(85,892)

LME

Copper

Base

Metal

5

5/2020

USD

618,474

(101,154)

LME

Copper

Base

Metal

6

5/2020

USD

742,104

(122,196)

LME

Copper

Base

Metal

6

5/2020

USD

742,007

(128,235)

LME

Copper

Base

Metal

12

5/2020

USD

1,484,208

(223,877)

LME

Copper

Base

Metal

13

5/2020

USD

1,607,206

(251,182)

LME

Copper

Base

Metal

15

5/2020

USD

1,855,200

(295,841)

LME

Copper

Base

Metal

18

5/2020

USD

2,226,132

(307,323)

LME

Copper

Base

Metal

21

5/2020

USD

2,597,007

(393,417)

LME

Copper

Base

Metal

35

5/2020

USD

4,328,844

(547,713)

LME

Copper

Base

Metal

49

5/2020

USD

6,061,300

(917,984)

LME

Copper

Base

Metal

77

5/2020

USD

9,523,071

(1,386,239)

LME

Nickel

Base

Metal

1

5/2020

USD

68,764

(10,082)

LME

Nickel

Base

Metal

1

5/2020

USD

68,810

(4,489)

LME

Nickel

Base

Metal

1

5/2020

USD

68,756

(9,493)

LME

Nickel

Base

Metal

2

5/2020

USD

137,519

(19,938)

LME

Nickel

Base

Metal

3

5/2020

USD

206,420

(17,248)

101

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Nickel

Base

Metal

5

5/2020

USD

$

343,896

$

(50,361)

LME

Nickel

Base

Metal

6

5/2020

USD

412,417

(57,473)

LME

Nickel

Base

Metal

6

5/2020

USD

412,394

(60,682)

LME

Nickel

Base

Metal

8

5/2020

USD

550,296

(63,765)

LME

Nickel

Base

Metal

8

5/2020

USD

550,265

(63,943)

LME

Nickel

Base

Metal

9

5/2020

USD

619,083

(59,746)

LME

Nickel

Base

Metal

15

5/2020

USD

1,031,278

(144,270)

LME

Nickel

Base

Metal

15

5/2020

USD

1,030,926

(147,684)

LME

Nickel

Base

Metal

31

5/2020

USD

2,132,901

(204,145)

LME

Zinc

Base

Metal

5

5/2020

USD

237,698

(31,380)

LME

Zinc

Base

Metal

10

5/2020

USD

475,453

(62,390)

LME

Zinc

Base

Metal

11

5/2020

USD

523,188

(64,644)

LME

Zinc

Base

Metal

16

5/2020

USD

760,676

(102,371)

LME

Zinc

Base

Metal

18

5/2020

USD

856,139

(92,290)

LME

Zinc

Base

Metal

19

5/2020

USD

903,631

(116,369)

LME

Zinc

Base

Metal

20

5/2020

USD

951,135

(132,924)

LME

Zinc

Base

Metal

24

5/2020

USD

1,140,510

(173,111)

LME

Zinc

Base

Metal

26

5/2020

USD

1,236,768

(76,786)

LME

Zinc

Base

Metal

26

5/2020

USD

1,236,788

(72,424)

LME

Zinc

Base

Metal

27

5/2020

USD

1,283,175

(186,042)

LME

Zinc

Base

Metal

54

5/2020

USD

2,568,632

(201,797)

LME

Zinc

Base

Metal

60

5/2020

USD

2,852,190

(358,737)

LME

Zinc

Base

Metal

64

5/2020

USD

3,041,120

(483,263)

Soybean

Meal

156

5/2020

USD

5,015,400

(26,656)

Wheat

1,075

5/2020

USD

30,570,313

201,084

100

oz

Gold

758

6/2020

USD

121,022,280

(2,933,399)

Australia

10

Year

Bond

2,562

6/2020

AUD

237,345,434

1,772,033

Australia

3

Year

Bond

23,299

6/2020

AUD

1,678,315,391

4,981,818

Canada

10

Year

Bond

185

6/2020

CAD

19,342,642

585,261

DJIA

CBOT

E-Mini

Index

233

6/2020

USD

25,339,915

2,313,489

Euro-Bobl

4,249

6/2020

EUR

633,624,095

(3,623,192)

Euro-BTP

927

6/2020

EUR

144,575,931

(5,483,813)

Euro-Bund

2,266

6/2020

EUR

431,132,061

(3,542,800)

Euro-Buxl

107

6/2020

EUR

24,770,362

(64,374)

Euro-OAT

831

6/2020

EUR

153,249,622

(3,994,260)

Euro-Schatz

5,895

6/2020

EUR

729,414,004

(2,371,482)

FTSE

100

Index

283

6/2020

GBP

19,809,589

1,857,298

FTSE/JSE

Top

40

Index

247

6/2020

ZAR

5,667,653

674,982

FTSE/MIB

Index

3

6/2020

EUR

279,982

34,019

Japan

10

Year

Bond

83

6/2020

JPY

117,770,844

46,255

KOSPI

200

Index

281

6/2020

KRW

13,618,926

1,526,991

LME

Aluminum

Base

Metal

10

6/2020

USD

380,573

(36,134)

LME

Aluminum

Base

Metal

11

6/2020

USD

418,275

(49,960)

LME

Aluminum

Base

Metal

14

6/2020

USD

533,320

(12,319)

LME

Aluminum

Base

Metal

14

6/2020

USD

532,277

(48,940)

LME

Aluminum

Base

Metal

24

6/2020

USD

915,600

(1,201)

LME

Aluminum

Base

Metal

24

6/2020

USD

913,500

(60,041)

LME

Aluminum

Base

Metal

25

6/2020

USD

950,894

(100,495)

LME

Aluminum

Base

Metal

28

6/2020

USD

1,063,650

(142,325)

LME

Aluminum

Base

Metal

29

6/2020

USD

1,102,877

(121,381)

LME

Aluminum

Base

Metal

31

6/2020

USD

1,181,418

(20,184)

LME

Aluminum

Base

Metal

40

6/2020

USD

1,519,930

(188,307)

LME

Aluminum

Base

Metal

46

6/2020

USD

1,746,942

(216,172)

LME

Aluminum

Base

Metal

51

6/2020

USD

1,944,031

(20,576)

LME

Aluminum

Base

Metal

70

6/2020

USD

2,659,493

(368,581)

LME

Aluminum

Base

Metal

73

6/2020

USD

2,778,563

(178,209)

102

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

401

6/2020

USD

$

15,263,063

$

(1,427,298)

LME

Copper

Base

Metal

2

6/2020

USD

247,455

18,850

LME

Copper

Base

Metal

5

6/2020

USD

618,875

20,753

LME

Copper

Base

Metal

8

6/2020

USD

989,872

22,271

LME

Copper

Base

Metal

8

6/2020

USD

990,308

(109,682)

LME

Copper

Base

Metal

9

6/2020

USD

1,114,200

(149,764)

LME

Copper

Base

Metal

13

6/2020

USD

1,609,442

(201,984)

LME

Copper

Base

Metal

13

6/2020

USD

1,608,721

46,328

LME

Copper

Base

Metal

15

6/2020

USD

1,855,500

85,009

LME

Copper

Base

Metal

21

6/2020

USD

2,599,406

(170,367)

LME

Copper

Base

Metal

22

6/2020

USD

2,722,302

71,087

LME

Copper

Base

Metal

23

6/2020

USD

2,845,244

25,951

LME

Copper

Base

Metal

38

6/2020

USD

4,701,788

(716,016)

LME

Copper

Base

Metal

46

6/2020

USD

5,695,088

(610,467)

LME

Copper

Base

Metal

58

6/2020

USD

7,177,080

(1,019,944)

LME

Copper

Base

Metal

60

6/2020

USD

7,423,440

(1,106,992)

LME

Copper

Base

Metal

63

6/2020

USD

7,794,171

(1,138,278)

LME

Copper

Base

Metal

384

6/2020

USD

47,527,200

(5,614,449)

LME

Nickel

Base

Metal

1

6/2020

USD

68,874

(2,919)

LME

Nickel

Base

Metal

2

6/2020

USD

137,718

(10,506)

LME

Nickel

Base

Metal

2

6/2020

USD

137,688

(15,088)

LME

Nickel

Base

Metal

3

6/2020

USD

206,478

(20,196)

LME

Nickel

Base

Metal

3

6/2020

USD

206,568

(26,386)

LME

Nickel

Base

Metal

4

6/2020

USD

275,577

5,098

LME

Nickel

Base

Metal

4

6/2020

USD

275,436

(25,176)

LME

Nickel

Base

Metal

6

6/2020

USD

412,992

(43,477)

LME

Nickel

Base

Metal

7

6/2020

USD

482,328

6,915

LME

Nickel

Base

Metal

8

6/2020

USD

551,134

10,390

LME

Nickel

Base

Metal

10

6/2020

USD

688,893

21,634

LME

Nickel

Base

Metal

10

6/2020

USD

688,868

26,079

LME

Nickel

Base

Metal

11

6/2020

USD

757,647

(7,259)

LME

Nickel

Base

Metal

12

6/2020

USD

826,344

(51,929)

LME

Nickel

Base

Metal

28

6/2020

USD

1,928,556

(64,485)

LME

Nickel

Base

Metal

47

6/2020

USD

3,237,219

(36,844)

LME

Zinc

Base

Metal

1

6/2020

USD

47,638

235

LME

Zinc

Base

Metal

1

6/2020

USD

47,588

1,272

LME

Zinc

Base

Metal

7

6/2020

USD

333,191

(8,254)

LME

Zinc

Base

Metal

10

6/2020

USD

475,750

9,541

LME

Zinc

Base

Metal

11

6/2020

USD

523,655

22,710

LME

Zinc

Base

Metal

11

6/2020

USD

523,779

(12,747)

LME

Zinc

Base

Metal

11

6/2020

USD

523,738

16,389

LME

Zinc

Base

Metal

18

6/2020

USD

856,823

(47,717)

LME

Zinc

Base

Metal

19

6/2020

USD

904,718

40,894

LME

Zinc

Base

Metal

26

6/2020

USD

1,237,243

(52,404)

LME

Zinc

Base

Metal

29

6/2020

USD

1,380,509

(68,186)

LME

Zinc

Base

Metal

29

6/2020

USD

1,380,581

(58,653)

LME

Zinc

Base

Metal

42

6/2020

USD

1,998,518

(108,096)

LME

Zinc

Base

Metal

42

6/2020

USD

1,998,728

(112,117)

LME

Zinc

Base

Metal

44

6/2020

USD

2,095,313

50,273

LME

Zinc

Base

Metal

56

6/2020

USD

2,664,550

(178,443)

LME

Zinc

Base

Metal

425

6/2020

USD

20,237,969

(731,833)

Long

Gilt

2,628

6/2020

GBP

444,556,686

5,160,634

NASDAQ

100

E-Mini

Index

365

6/2020

USD

56,839,625

2,186,974

Palladium

6

6/2020

USD

1,382,880

65,178

Russell

2000

E-Mini

Index

542

6/2020

USD

31,099,960

2,941,203

S&P

500

E-Mini

Index

36

6/2020

USD

4,625,460

356,235

103

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P

Midcap

400

E-Mini

Index

64

6/2020

USD

$

9,201,920

$

916,747

S&P/TSX

60

Index

263

6/2020

CAD

30,431,976

2,767,514

SPI

200

Index

112

6/2020

AUD

8,799,129

333,383

U.S.

Treasury

10

Year

Note

206

6/2020

USD

28,569,625

627,250

U.S.

Treasury

2

Year

Note

712

6/2020

USD

156,912,563

2,344,725

U.S.

Treasury

5

Year

Note

712

6/2020

USD

89,255,875

755,177

U.S.

Treasury

Long

Bond

56

6/2020

USD

10,027,500

520,861

U.S.

Treasury

Ultra

Bond

25

6/2020

USD

5,546,875

478,753

Cocoa

63

7/2020

GBP

1,373,328

(3,544)

3

Month

Canadian

Bankers

Acceptance

42

9/2020

CAD

7,418,567

92,074

3

Month

Euro

Euribor

187

9/2020

EUR

51,766,818

(26,793)

3

Month

Eurodollar

325

9/2020

USD

80,961,563

782,779

3

Month

Sterling

1,629

9/2020

GBP

252,037,386

374,083

ASX

90

Day

Bank

Accepted

Bill

1,169

9/2020

AUD

718,431,882

178,252

3

Month

Canadian

Bankers

Acceptance

43

12/2020

CAD

7,594,054

51,585

3

Month

Euro

Euribor

800

12/2020

EUR

221,495,409

(198,681)

3

Month

Eurodollar

326

12/2020

USD

81,222,900

841,509

3

Month

Sterling

2,259

12/2020

GBP

349,510,408

520,488

ASX

90

Day

Bank

Accepted

Bill

1,580

12/2020

AUD

970,996,078

230,522

3

Month

Euro

Euribor

1,086

3/2021

EUR

300,680,017

(235,508)

3

Month

Eurodollar

335

3/2021

USD

83,511,313

831,588

3

Month

Euroswiss

35

3/2021

CHF

9,155,455

(9,673)

3

Month

Sterling

2,870

3/2021

GBP

444,222,008

741,018

3

Month

Euro

Euribor

1,152

6/2021

EUR

318,921,625

(265,206)

3

Month

Eurodollar

337

6/2021

USD

84,005,675

570,612

3

Month

Sterling

3,115

6/2021

GBP

482,046,671

788,615

3

Month

Euro

Euribor

1,169

9/2021

EUR

323,579,585

(278,253)

3

Month

Eurodollar

336

9/2021

USD

83,743,800

298,287

3

Month

Sterling

3,163

9/2021

GBP

489,376,458

765,682

3

Month

Euro

Euribor

1,254

12/2021

EUR

347,073,037

(308,917)

3

Month

Eurodollar

335

12/2021

USD

83,477,813

160,691

3

Month

Sterling

3,291

12/2021

GBP

509,078,307

783,230

3

Month

Euro

Euribor

746

3/2022

EUR

206,451,908

(200,517)

3

Month

Eurodollar

351

3/2022

USD

87,447,263

173,980

3

Month

Sterling

3,265

3/2022

GBP

505,031,072

373,916

(21,450,672)

Short

Contracts

Amsterdam

Exchange

Index

(27)

4/2020

EUR

(2,874,678)

(372,902)

Brent

Crude

Oil

(328)

4/2020

USD

(8,642,800)

773,201

CAC

40

10

Euro

Index

(86)

4/2020

EUR

(4,168,631)

(613,922)

Hang

Seng

Index

(202)

4/2020

HKD

(30,901,551)

(320,311)

HSCEI

(916)

4/2020

HKD

(56,913,637)

(712,062)

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,868)

23,518

LME

Aluminum

Base

Metal

(7)

4/2020

USD

(263,459)

50,925

LME

Aluminum

Base

Metal

(7)

4/2020

USD

(262,763)

53,095

LME

Aluminum

Base

Metal

(9)

4/2020

USD

(338,348)

69,269

LME

Aluminum

Base

Metal

(9)

4/2020

USD

(338,477)

69,197

LME

Aluminum

Base

Metal

(9)

4/2020

USD

(338,861)

64,942

LME

Aluminum

Base

Metal

(10)

4/2020

USD

(373,818)

82,153

LME

Aluminum

Base

Metal

(11)

4/2020

USD

(413,069)

85,253

LME

Aluminum

Base

Metal

(15)

4/2020

USD

(561,244)

113,206

LME

Aluminum

Base

Metal

(15)

4/2020

USD

(563,063)

116,393

LME

Aluminum

Base

Metal

(26)

4/2020

USD

(975,527)

193,774

LME

Aluminum

Base

Metal

(32)

4/2020

USD

(1,196,768)

268,378

LME

Aluminum

Base

Metal

(32)

4/2020

USD

(1,206,400)

200,715

LME

Aluminum

Base

Metal

(34)

4/2020

USD

(1,272,748)

256,530

104

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(37)

4/2020

USD

$

(1,395,131)

$

220,664

LME

Aluminum

Base

Metal

(132)

4/2020

USD

(4,978,050)

742,234

LME

Aluminum

Base

Metal

(203)

4/2020

USD

(7,577,939)

1,518,305

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,569)

31,178

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,542)

30,213

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,638)

32,397

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,574)

31,074

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,529)

29,656

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,488)

30,106

LME

Copper

Base

Metal

(2)

4/2020

USD

(247,075)

68,370

LME

Copper

Base

Metal

(9)

4/2020

USD

(1,112,330)

249,237

LME

Copper

Base

Metal

(28)

4/2020

USD

(3,460,842)

722,342

LME

Copper

Base

Metal

(30)

4/2020

USD

(3,708,863)

640,883

LME

Copper

Base

Metal

(56)

4/2020

USD

(6,924,232)

1,057,776

LME

Copper

Base

Metal

(58)

4/2020

USD

(7,171,004)

1,123,785

LME

Copper

Base

Metal

(112)

4/2020

USD

(13,849,500)

1,819,724

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,658)

17,709

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,628)

14,890

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,637)

16,593

LME

Nickel

Base

Metal

(2)

4/2020

USD

(137,418)

14,886

LME

Zinc

Base

Metal

(2)

4/2020

USD

(94,784)

21,011

LME

Zinc

Base

Metal

(4)

4/2020

USD

(189,590)

44,123

LME

Zinc

Base

Metal

(6)

4/2020

USD

(284,247)

59,610

LME

Zinc

Base

Metal

(7)

4/2020

USD

(332,066)

80,138

LME

Zinc

Base

Metal

(9)

4/2020

USD

(426,629)

105,924

LME

Zinc

Base

Metal

(13)

4/2020

USD

(616,320)

158,510

LME

Zinc

Base

Metal

(20)

4/2020

USD

(949,465)

232,563

LME

Zinc

Base

Metal

(34)

4/2020

USD

(1,614,218)

368,522

LME

Zinc

Base

Metal

(34)

4/2020

USD

(1,614,592)

318,099

LME

Zinc

Base

Metal

(48)

4/2020

USD

(2,279,784)

396,196

LME

Zinc

Base

Metal

(53)

4/2020

USD

(2,517,063)

449,201

LME

Zinc

Base

Metal

(97)

4/2020

USD

(4,607,427)

720,256

MSCI

Taiwan

Index

(50)

4/2020

USD

(1,855,000)

29,764

Natural

Gas

(7,457)

4/2020

USD

(122,294,800)

15,317,786

NY

Harbor

ULSD

(15)

4/2020

USD

(630,945)

96,155

OMXS30

Index

(242)

4/2020

SEK

(3,620,502)

(353,079)

SGX

FTSE

China

A50

Index

(1,576)

4/2020

USD

(19,857,600)

(38,970)

Sugar

No.

11

(532)

4/2020

USD

(6,208,653)

304,705

WTI

Crude

Oil

(360)

4/2020

USD

(7,372,800)

3,910,066

Cocoa

(6)

5/2020

USD

(134,940)

195

Copper

(591)

5/2020

USD

(32,918,700)

4,233,209

Corn

(4,079)

5/2020

USD

(69,495,963)

3,014,362

Cotton

No.

2

(254)

5/2020

USD

(6,493,510)

1,240,989

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,856)

4,968

LME

Aluminum

Base

Metal

(4)

5/2020

USD

(151,193)

22,620

LME

Aluminum

Base

Metal

(8)

5/2020

USD

(302,444)

44,781

LME

Aluminum

Base

Metal

(9)

5/2020

USD

(340,576)

46,103

LME

Aluminum

Base

Metal

(11)

5/2020

USD

(416,339)

55,059

LME

Aluminum

Base

Metal

(11)

5/2020

USD

(415,940)

61,909

LME

Aluminum

Base

Metal

(12)

5/2020

USD

(455,025)

53,590

LME

Aluminum

Base

Metal

(21)

5/2020

USD

(794,981)

100,854

LME

Aluminum

Base

Metal

(27)

5/2020

USD

(1,023,975)

108,595

LME

Aluminum

Base

Metal

(29)

5/2020

USD

(1,095,105)

154,836

LME

Aluminum

Base

Metal

(47)

5/2020

USD

(1,781,888)

218,670

LME

Aluminum

Base

Metal

(52)

5/2020

USD

(1,963,260)

283,832

LME

Aluminum

Base

Metal

(97)

5/2020

USD

(3,665,727)

487,906

105

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(222)

5/2020

USD

$

(8,380,001)

$

1,122,601

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,689)

19,933

LME

Copper

Base

Metal

(4)

5/2020

USD

(494,693)

86,364

LME

Copper

Base

Metal

(5)

5/2020

USD

(618,474)

99,262

LME

Copper

Base

Metal

(6)

5/2020

USD

(742,007)

122,447

LME

Copper

Base

Metal

(6)

5/2020

USD

(742,104)

123,603

LME

Copper

Base

Metal

(12)

5/2020

USD

(1,484,208)

216,487

LME

Copper

Base

Metal

(13)

5/2020

USD

(1,607,206)

256,212

LME

Copper

Base

Metal

(15)

5/2020

USD

(1,855,200)

298,866

LME

Copper

Base

Metal

(18)

5/2020

USD

(2,226,132)

316,990

LME

Copper

Base

Metal

(21)

5/2020

USD

(2,597,007)

382,506

LME

Copper

Base

Metal

(35)

5/2020

USD

(4,328,844)

557,928

LME

Copper

Base

Metal

(49)

5/2020

USD

(6,061,300)

910,233

LME

Copper

Base

Metal

(77)

5/2020

USD

(9,523,071)

1,358,685

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,764)

9,804

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,756)

9,879

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,810)

4,357

LME

Nickel

Base

Metal

(2)

5/2020

USD

(137,519)

20,575

LME

Nickel

Base

Metal

(3)

5/2020

USD

(206,420)

16,198

LME

Nickel

Base

Metal

(5)

5/2020

USD

(343,896)

50,208

LME

Nickel

Base

Metal

(6)

5/2020

USD

(412,394)

59,256

LME

Nickel

Base

Metal

(6)

5/2020

USD

(412,417)

51,078

LME

Nickel

Base

Metal

(8)

5/2020

USD

(550,296)

62,193

LME

Nickel

Base

Metal

(8)

5/2020

USD

(550,265)

62,614

LME

Nickel

Base

Metal

(9)

5/2020

USD

(619,083)

59,362

LME

Nickel

Base

Metal

(15)

5/2020

USD

(1,030,926)

140,668

LME

Nickel

Base

Metal

(15)

5/2020

USD

(1,031,278)

142,929

LME

Nickel

Base

Metal

(31)

5/2020

USD

(2,132,901)

193,658

LME

Zinc

Base

Metal

(5)

5/2020

USD

(237,698)

30,710

LME

Zinc

Base

Metal

(10)

5/2020

USD

(475,453)

62,025

LME

Zinc

Base

Metal

(11)

5/2020

USD

(523,188)

59,743

LME

Zinc

Base

Metal

(16)

5/2020

USD

(760,676)

107,581

LME

Zinc

Base

Metal

(18)

5/2020

USD

(856,139)

91,168

LME

Zinc

Base

Metal

(19)

5/2020

USD

(903,631)

111,883

LME

Zinc

Base

Metal

(20)

5/2020

USD

(951,135)

133,644

LME

Zinc

Base

Metal

(24)

5/2020

USD

(1,140,510)

180,444

LME

Zinc

Base

Metal

(26)

5/2020

USD

(1,236,768)

89,805

LME

Zinc

Base

Metal

(26)

5/2020

USD

(1,236,788)

54,361

LME

Zinc

Base

Metal

(27)

5/2020

USD

(1,283,175)

174,878

LME

Zinc

Base

Metal

(54)

5/2020

USD

(2,568,632)

196,758

LME

Zinc

Base

Metal

(60)

5/2020

USD

(2,852,190)

360,150

LME

Zinc

Base

Metal

(64)

5/2020

USD

(3,041,120)

477,701

Low

Sulphur

Gasoil

(414)

5/2020

USD

(12,202,650)

2,065,471

Silver

(139)

5/2020

USD

(9,838,420)

(916,222)

Soybean

(3)

5/2020

USD

(132,900)

(930)

Soybean

Oil

(486)

5/2020

USD

(7,876,116)

526,299

DAX

Index

(36)

6/2020

EUR

(9,834,284)

(885,878)

EURO

STOXX

50

Index

(228)

6/2020

EUR

(6,907,639)

(140,866)

Lean

Hogs

(155)

6/2020

USD

(3,740,150)

1,061,176

LME

Aluminum

Base

Metal

(10)

6/2020

USD

(380,573)

35,523

LME

Aluminum

Base

Metal

(11)

6/2020

USD

(418,275)

49,880

LME

Aluminum

Base

Metal

(14)

6/2020

USD

(532,277)

51,126

LME

Aluminum

Base

Metal

(14)

6/2020

USD

(533,320)

13,604

LME

Aluminum

Base

Metal

(24)

6/2020

USD

(913,500)

62,341

LME

Aluminum

Base

Metal

(24)

6/2020

USD

(915,600)

1,910

LME

Aluminum

Base

Metal

(25)

6/2020

USD

(950,894)

97,940

106

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(28)

6/2020

USD

$

(1,063,650)

$

137,817

LME

Aluminum

Base

Metal

(29)

6/2020

USD

(1,102,877)

120,837

LME

Aluminum

Base

Metal

(31)

6/2020

USD

(1,181,418)

24,236

LME

Aluminum

Base

Metal

(40)

6/2020

USD

(1,519,930)

194,983

LME

Aluminum

Base

Metal

(46)

6/2020

USD

(1,746,942)

216,547

LME

Aluminum

Base

Metal

(51)

6/2020

USD

(1,944,031)

17,580

LME

Aluminum

Base

Metal

(70)

6/2020

USD

(2,659,493)

368,676

LME

Aluminum

Base

Metal

(73)

6/2020

USD

(2,778,563)

162,159

LME

Aluminum

Base

Metal

(841)

6/2020

USD

(32,010,563)

3,522,987

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,455)

(17,296)

LME

Copper

Base

Metal

(5)

6/2020

USD

(618,875)

(20,454)

LME

Copper

Base

Metal

(8)

6/2020

USD

(989,872)

(40,446)

LME

Copper

Base

Metal

(8)

6/2020

USD

(990,308)

103,168

LME

Copper

Base

Metal

(9)

6/2020

USD

(1,114,200)

144,973

LME

Copper

Base

Metal

(13)

6/2020

USD

(1,609,442)

193,033

LME

Copper

Base

Metal

(13)

6/2020

USD

(1,608,721)

(44,084)

LME

Copper

Base

Metal

(15)

6/2020

USD

(1,855,500)

(69,353)

LME

Copper

Base

Metal

(21)

6/2020

USD

(2,599,406)

169,119

LME

Copper

Base

Metal

(22)

6/2020

USD

(2,722,302)

(66,499)

LME

Copper

Base

Metal

(23)

6/2020

USD

(2,845,244)

(55,497)

LME

Copper

Base

Metal

(38)

6/2020

USD

(4,701,788)

729,725

LME

Copper

Base

Metal

(46)

6/2020

USD

(5,695,088)

606,065

LME

Copper

Base

Metal

(58)

6/2020

USD

(7,177,080)

1,050,499

LME

Copper

Base

Metal

(60)

6/2020

USD

(7,423,440)

1,156,383

LME

Copper

Base

Metal

(63)

6/2020

USD

(7,794,171)

1,154,793

LME

Copper

Base

Metal

(547)

6/2020

USD

(67,701,506)

8,621,721

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,874)

2,622

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,688)

16,506

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,718)

11,706

LME

Nickel

Base

Metal

(3)

6/2020

USD

(206,568)

24,948

LME

Nickel

Base

Metal

(3)

6/2020

USD

(206,478)

19,893

LME

Nickel

Base

Metal

(4)

6/2020

USD

(275,436)

26,712

LME

Nickel

Base

Metal

(4)

6/2020

USD

(275,577)

(7,520)

LME

Nickel

Base

Metal

(6)

6/2020

USD

(412,992)

41,850

LME

Nickel

Base

Metal

(7)

6/2020

USD

(482,328)

(6,552)

LME

Nickel

Base

Metal

(8)

6/2020

USD

(551,134)

(13,749)

LME

Nickel

Base

Metal

(10)

6/2020

USD

(688,893)

(17,580)

LME

Nickel

Base

Metal

(10)

6/2020

USD

(688,868)

(27,929)

LME

Nickel

Base

Metal

(11)

6/2020

USD

(757,647)

775

LME

Nickel

Base

Metal

(12)

6/2020

USD

(826,344)

50,327

LME

Nickel

Base

Metal

(47)

6/2020

USD

(3,237,219)

(24,467)

LME

Nickel

Base

Metal

(228)

6/2020

USD

(15,703,956)

735,623

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,588)

(1,520)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,638)

(522)

LME

Zinc

Base

Metal

(7)

6/2020

USD

(333,191)

5,151

LME

Zinc

Base

Metal

(10)

6/2020

USD

(475,750)

(13,655)

LME

Zinc

Base

Metal

(11)

6/2020

USD

(523,738)

(14,789)

LME

Zinc

Base

Metal

(11)

6/2020

USD

(523,779)

14,639

LME

Zinc

Base

Metal

(11)

6/2020

USD

(523,655)

(19,365)

LME

Zinc

Base

Metal

(18)

6/2020

USD

(856,823)

50,099

LME

Zinc

Base

Metal

(19)

6/2020

USD

(904,718)

(42,744)

LME

Zinc

Base

Metal

(26)

6/2020

USD

(1,237,243)

56,831

LME

Zinc

Base

Metal

(29)

6/2020

USD

(1,380,509)

75,206

LME

Zinc

Base

Metal

(29)

6/2020

USD

(1,380,581)

73,509

LME

Zinc

Base

Metal

(42)

6/2020

USD

(1,998,518)

119,209

LME

Zinc

Base

Metal

(42)

6/2020

USD

(1,998,728)

117,712

107

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(44)

6/2020

USD

$

(2,095,313)

$

(64,918)

LME

Zinc

Base

Metal

(56)

6/2020

USD

(2,664,550)

170,286

LME

Zinc

Base

Metal

(674)

6/2020

USD

(32,095,038)

2,145,263

MSCI

EAFE

E-Mini

Index

(6)

6/2020

USD

(467,790)

(31,477)

MSCI

Emerging

Markets

E-Mini

Index

(32)

6/2020

USD

(1,348,640)

(31,683)

Nikkei

225

Index

(144)

6/2020

JPY

(25,338,107)

(1,274,919)

TOPIX

Index

(255)

6/2020

JPY

(33,272,727)

(1,180,632)

Cocoa

(46)

7/2020

USD

(1,039,140)

(540)

Platinum

(44)

7/2020

USD

(1,605,780)

(15,013)

3

Month

Euroswiss

(78)

9/2020

CHF

(20,401,558)

(52)

3

Month

Euroswiss

(23)

12/2020

CHF

(6,016,442)

236

71,424,702

$

49,974,030

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

22,450,500

USD

13,683,346

CITI

6/17/2020

$

128,770

AUD

22,450,500

USD

13,683,363

JPMC

6/17/2020

128,753

CAD

128,721,500

USD

89,837,595

CITI

6/17/2020

1,696,350

CAD

128,721,500

USD

89,837,708

JPMC

6/17/2020

1,696,238

CHF

218,123,000

USD

224,648,851

CITI

6/17/2020

2,804,365

CHF

218,122,997

USD

224,649,129

JPMC

6/17/2020

2,804,084

CLP

1,303,051,500

USD

1,519,351

CITI

**

6/17/2020

6,153

CLP

1,303,051,500

USD

1,519,353

JPMC

**

6/17/2020

6,151

COP

8,973,655,000

USD

2,169,571

CITI

**

6/17/2020

27,270

COP

8,973,655,000

USD

2,169,574

JPMC

**

6/17/2020

27,266

EUR

332,936,500

USD

364,528,220

CITI

6/17/2020

3,747,939

EUR

332,936,500

USD

364,528,676

JPMC

6/17/2020

3,747,483

GBP

90,444,500

USD

108,056,592

CITI

6/17/2020

4,435,564

GBP

90,444,500

USD

108,056,728

JPMC

6/17/2020

4,435,430

HUF

7,211,002,000

USD

21,935,141

CITI

6/17/2020

152,173

HUF

7,211,002,000

USD

21,935,168

JPMC

6/17/2020

152,145

IDR

70,294,643,000

USD

4,235,761

CITI

**

6/17/2020

20,158

IDR

70,294,643,000

USD

4,235,767

JPMC

**

6/17/2020

20,152

ILS

15,979,500

USD

4,356,773

CITI

6/17/2020

172,316

ILS

15,979,500

USD

4,356,779

JPMC

6/17/2020

172,310

INR

167,345,500

USD

2,141,071

CITI

**

6/17/2020

34,570

INR

167,345,500

USD

2,141,074

JPMC

**

6/17/2020

34,567

JPY

55,506,579,000

USD

512,395,815

CITI

6/17/2020

5,520,200

JPY

55,506,579,000

USD

512,396,455

JPMC

6/17/2020

5,519,559

KRW

56,570,023,500

USD

46,260,468

CITI

**

6/17/2020

274,315

KRW

56,570,023,500

USD

46,260,526

JPMC

**

6/17/2020

274,258

MXN

187,647,000

USD

7,603,749

CITI

6/17/2020

216,817

MXN

187,647,000

USD

7,603,758

JPMC

6/17/2020

216,807

NOK

473,590,498

USD

43,380,449

CITI

6/17/2020

2,185,953

NOK

473,590,502

USD

43,380,503

JPMC

6/17/2020

2,185,898

NZD

179,816,500

USD

103,436,365

CITI

6/17/2020

3,794,568

NZD

179,816,500

USD

103,436,495

JPMC

6/17/2020

3,794,439

PHP

62,332,000

USD

1,198,697

CITI

**

6/17/2020

8,219

PHP

62,332,000

USD

1,198,698

JPMC

**

6/17/2020

8,218

108

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

SEK

328,729,500

USD

31,942,327

CITI

6/17/2020

$

1,344,008

SEK

328,729,500

USD

31,942,367

JPMC

6/17/2020

1,343,967

SGD

37,340,000

USD

25,780,093

CITI

6/17/2020

521,734

SGD

37,340,000

USD

25,780,125

JPMC

6/17/2020

521,701

TWD

293,147,494

USD

9,728,788

CITI

**

6/17/2020

75,826

TWD

293,147,492

USD

9,728,800

JPMC

**

6/17/2020

75,814

USD

488,588,621

AUD

737,737,456

CITI

6/17/2020

34,713,848

USD

488,588,010

AUD

737,737,456

JPMC

6/17/2020

34,713,236

USD

147,605,747

BRL

668,769,496

CITI

**

6/17/2020

19,523,685

USD

147,605,562

BRL

668,769,496

JPMC

**

6/17/2020

19,523,500

USD

732,590,529

CAD

987,138,502

CITI

6/17/2020

30,635,672

USD

732,589,610

CAD

987,138,498

JPMC

6/17/2020

30,634,756

USD

252,429,248

CHF

239,154,002

CITI

6/17/2020

3,045,429

USD

252,428,928

CHF

239,153,998

JPMC

6/17/2020

3,045,113

USD

16,946,626

CLP

13,825,698,835

CITI

**

6/17/2020

760,645

USD

16,946,604

CLP

13,825,698,821

JPMC

**

6/17/2020

760,624

USD

11,319,138

COP

40,495,975,316

CITI

**

6/17/2020

1,405,318

USD

11,319,124

COP

40,495,975,308

JPMC

**

6/17/2020

1,405,304

USD

378,524,511

EUR

337,049,777

CITI

6/17/2020

5,698,468

USD

378,524,034

EUR

337,049,775

JPMC

6/17/2020

5,697,996

USD

667,858,291

GBP

520,105,003

CITI

6/17/2020

20,967,287

USD

667,857,448

GBP

520,104,997

JPMC

6/17/2020

20,966,453

USD

199,335,470

HUF

61,408,818,856

CITI

6/17/2020

11,240,135

USD

199,335,221

HUF

61,408,818,862

JPMC

6/17/2020

11,239,886

USD

75,601,293

IDR

1,099,610,867,996

CITI

**

6/17/2020

9,026,451

USD

75,600,956

IDR

1,099,610,868,004

JPMC

**

6/17/2020

9,026,114

USD

71,403,849

ILS

245,408,000

CITI

6/17/2020

1,847,566

USD

71,403,760

ILS

245,408,000

JPMC

6/17/2020

1,847,476

USD

77,160,914

INR

5,711,916,500

CITI

**

6/17/2020

2,900,893

USD

77,160,818

INR

5,711,916,500

JPMC

**

6/17/2020

2,900,797

USD

44,150,974

JPY

4,633,633,500

CITI

6/17/2020

915,865

USD

44,150,919

JPY

4,633,633,500

JPMC

6/17/2020

915,811

USD

311,581,875

KRW

373,781,819,400

CITI

**

6/17/2020

4,107,082

USD

311,581,485

KRW

373,781,819,414

JPMC

**

6/17/2020

4,106,692

USD

171,515,557

MXN

3,476,205,503

CITI

6/17/2020

26,637,716

USD

171,515,342

MXN

3,476,205,497

JPMC

6/17/2020

26,637,501

USD

162,064,578

NOK

1,516,616,496

CITI

6/17/2020

16,143,671

USD

162,064,376

NOK

1,516,616,500

JPMC

6/17/2020

16,143,467

USD

461,497,489

NZD

738,090,500

CITI

6/17/2020

21,348,044

USD

461,491,506

NZD

738,090,500

JPMC

6/17/2020

21,342,060

USD

28,736,829

PHP

1,473,058,502

CITI

**

6/17/2020

214,431

USD

28,736,793

PHP

1,473,058,498

JPMC

**

6/17/2020

214,395

USD

265,063,279

PLN

1,046,046,496

CITI

6/17/2020

12,279,967

USD

265,062,950

PLN

1,046,046,504

JPMC

6/17/2020

12,279,636

USD

167,680,425

SEK

1,612,453,000

CITI

6/17/2020

4,407,430

USD

167,680,215

SEK

1,612,453,000

JPMC

6/17/2020

4,407,220

USD

86,484,378

SGD

120,394,004

CITI

6/17/2020

1,680,355

USD

86,484,264

SGD

120,393,996

JPMC

6/17/2020

1,680,247

USD

33,869,932

TWD

1,008,098,501

CITI

**

6/17/2020

153,059

USD

33,869,890

TWD

1,008,098,499

JPMC

**

6/17/2020

153,017

USD

168,384,306

ZAR

2,795,067,500

CITI

6/17/2020

13,687,567

USD

168,384,096

ZAR

2,795,067,500

JPMC

6/17/2020

13,687,356

ZAR

84,647,500

USD

4,669,530

CITI

6/17/2020

15,398

ZAR

84,647,500

USD

4,669,536

JPMC

6/17/2020

15,393

Total

unrealized

appreciation

541,032,540

AUD

559,044,500

USD

366,012,721

CITI

6/17/2020

(22,074,381)

AUD

559,044,500

USD

366,021,313

JPMC

6/17/2020

(22,082,974)

BRL

589,188,500

USD

126,629,324

CITI

**

6/17/2020

(13,788,534)

109

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

BRL

589,188,500

USD

126,629,483

JPMC

**

6/17/2020

$

(13,788,693)

CAD

709,311,983

USD

532,216,883

CITI

6/17/2020

(27,824,651)

CAD

709,311,976

USD

532,217,543

JPMC

6/17/2020

(27,825,316)

CHF

238,788,500

USD

255,454,857

CITI

6/17/2020

(6,452,174)

CHF

238,788,503

USD

255,455,179

JPMC

6/17/2020

(6,452,493)

CLP

11,409,617,001

USD

13,887,290

CITI

**

6/17/2020

(529,857)

CLP

11,409,616,999

USD

13,887,307

JPMC

**

6/17/2020

(529,874)

COP

28,512,448,502

USD

7,918,474

CITI

**

6/17/2020

(938,342)

COP

28,512,448,498

USD

7,918,484

JPMC

**

6/17/2020

(938,351)

EUR

815,526,504

USD

915,787,675

CITI

6/17/2020

(13,696,830)

EUR

815,526,496

USD

915,788,810

JPMC

6/17/2020

(13,697,974)

GBP

233,511,499

USD

302,693,959

CITI

6/17/2020

(12,259,360)

GBP

233,511,485

USD

302,694,319

JPMC

6/17/2020

(12,259,739)

HUF

52,952,102,500

USD

173,234,835

CITI

6/17/2020

(11,042,440)

HUF

52,952,102,500

USD

173,235,052

JPMC

6/17/2020

(11,042,656)

IDR

1,055,288,187,852

USD

73,317,247

CITI

**

6/17/2020

(9,425,880)

IDR

1,055,288,187,860

USD

73,317,339

JPMC

**

6/17/2020

(9,425,971)

ILS

257,660,998

USD

75,147,720

CITI

6/17/2020

(2,118,555)

ILS

257,661,002

USD

75,147,815

JPMC

6/17/2020

(2,118,648)

INR

5,956,378,148

USD

80,788,180

CITI

**

6/17/2020

(3,349,940)

INR

5,956,378,148

USD

80,788,281

JPMC

**

6/17/2020

(3,350,040)

JPY

23,226,814,000

USD

219,396,441

CITI

6/17/2020

(2,673,683)

JPY

23,226,814,000

USD

219,396,715

JPMC

6/17/2020

(2,673,957)

KRW

221,619,969,500

USD

185,388,180

CITI

**

6/17/2020

(3,082,484)

KRW

221,619,969,500

USD

185,388,412

JPMC

**

6/17/2020

(3,082,717)

MXN

3,243,047,627

USD

163,420,401

CITI

6/17/2020

(28,259,882)

MXN

3,243,047,621

USD

163,420,605

JPMC

6/17/2020

(28,260,086)

NOK

1,212,555,000

USD

129,061,235

CITI

6/17/2020

(12,395,535)

NOK

1,212,555,000

USD

129,061,396

JPMC

6/17/2020

(12,395,696)

NZD

746,570,969

USD

467,154,278

CITI

6/17/2020

(21,947,629)

NZD

746,570,969

USD

467,154,862

JPMC

6/17/2020

(21,948,214)

PHP

2,088,197,908

USD

40,870,789

CITI

**

6/17/2020

(437,629)

PHP

2,088,197,900

USD

40,870,840

JPMC

**

6/17/2020

(437,681)

PLN

838,194,504

USD

215,672,584

CITI

6/17/2020

(13,117,933)

PLN

838,194,512

USD

215,672,855

JPMC

6/17/2020

(13,118,203)

SEK

1,013,699,125

USD

105,792,078

CITI

6/17/2020

(3,147,417)

SEK

1,013,699,124

USD

105,792,210

JPMC

6/17/2020

(3,147,548)

SGD

65,662,500

USD

47,066,723

CITI

6/17/2020

(814,883)

SGD

65,662,500

USD

47,066,782

JPMC

6/17/2020

(814,941)

TWD

1,320,782,983

USD

44,387,195

CITI

**

6/17/2020

(212,273)

TWD

1,320,782,982

USD

44,387,250

JPMC

**

6/17/2020

(212,329)

USD

170,806,462

AUD

290,954,500

CITI

6/17/2020

(8,196,117)

USD

170,806,248

AUD

290,954,500

JPMC

6/17/2020

(8,196,330)

USD

11,210,318

CAD

16,031,500

CITI

6/17/2020

(189,692)

USD

11,210,304

CAD

16,031,500

JPMC

6/17/2020

(189,706)

USD

137,746,902

CHF

133,439,000

CITI

6/17/2020

(1,399,954)

USD

137,746,730

CHF

133,439,000

JPMC

6/17/2020

(1,400,126)

USD

354,784

CLP

304,760,500

CITI

**

6/17/2020

(2,004)

USD

354,783

CLP

304,760,500

JPMC

**

6/17/2020

(2,005)

USD

839,126,521

EUR

769,047,685

CITI

6/17/2020

(11,551,993)

USD

839,125,465

EUR

769,047,679

JPMC

6/17/2020

(11,553,045)

USD

110,265,787

GBP

91,963,500

CITI

6/17/2020

(4,115,655)

USD

110,265,650

GBP

91,963,500

JPMC

6/17/2020

(4,115,794)

USD

7,198,673

IDR

122,168,609,000

CITI

**

6/17/2020

(197,901)

USD

7,198,664

IDR

122,168,609,000

JPMC

**

6/17/2020

(197,911)

USD

8,778,730

ILS

31,822,998

CITI

6/17/2020

(240,900)

USD

8,778,720

ILS

31,823,002

JPMC

6/17/2020

(240,911)

USD

10,228,313

INR

791,342,000

CITI

**

6/17/2020

(59,840)

110

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

10,228,300

INR

791,342,000

JPMC

**

6/17/2020

$

(59,854)

USD

477,209,496

JPY

52,826,604,720

CITI

6/17/2020

(15,700,445)

USD

477,208,899

JPY

52,826,604,720

JPMC

6/17/2020

(15,701,042)

USD

31,251,786

KRW

38,061,490,172

CITI

**

6/17/2020

(57,787)

USD

31,251,747

KRW

38,061,490,174

JPMC

**

6/17/2020

(57,825)

USD

968,020

MXN

23,828,500

CITI

6/17/2020

(25,081)

USD

968,019

MXN

23,828,500

JPMC

6/17/2020

(25,082)

USD

11,739,682

NOK

124,510,000

CITI

6/17/2020

(240,020)

USD

11,739,667

NOK

124,510,000

JPMC

6/17/2020

(240,033)

USD

14,689,706

PHP

774,689,502

CITI

**

6/17/2020

(310,378)

USD

14,689,688

PHP

774,689,498

JPMC

**

6/17/2020

(310,396)

USD

76,308,948

PLN

323,181,500

CITI

6/17/2020

(1,789,770)

USD

76,308,852

PLN

323,181,500

JPMC

6/17/2020

(1,789,865)

USD

16,521,213

SEK

164,459,000

CITI

6/17/2020

(131,498)

USD

16,521,192

SEK

164,459,000

JPMC

6/17/2020

(131,519)

USD

16,445,849

TWD

496,055,000

CITI

**

6/17/2020

(145,211)

USD

16,445,828

TWD

496,055,000

JPMC

**

6/17/2020

(145,232)

ZAR

807,457,556

USD

47,093,718

CITI

6/17/2020

(2,403,902)

ZAR

807,457,548

USD

47,093,776

JPMC

6/17/2020

(2,403,962)

Total

unrealized

depreciation

(512,713,179)

Net

unrealized

appreciation

$

28,319,361

**

Non-deliverable

forward.

111

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

97.2%

INVESTMENT

COMPANIES

-

19.0%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(a)

10,994,780

$

10,994,780

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)

41,620,549

41,674,656

TOTAL

INVESTMENT

COMPANIES

(Cost

$52,610,741)

52,669,436

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

78.2%

U.S.

Treasury

Bills

1.81%,

4/2/2020(b)

$

2,767,000

2,767,000

1.70%,

4/9/2020(b)

7,762,000

7,761,846

1.55%,

5/7/2020(b)

163,000

162,990

1.56%,

5/14/2020(b)

2,332,000

2,331,784

1.55%,

5/21/2020(b)

6,256,000

6,255,435

1.59%,

5/28/2020(b)(c)

3,060,000

3,059,637

1.58%,

6/4/2020(b)(c)

3,684,000

3,683,525

1.58%,

6/25/2020(b)

15,284,000

15,281,600

1.57%,

7/2/2020(b)

1,462,000

1,461,626

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

78.2%

(continued)

1.53%,

7/9/2020(b)

$

28,523,000

$

28,516,999

1.54%,

7/16/2020(b)

11,867,000

11,864,248

1.53%,

7/23/2020(b)(c)

51,833,000

51,819,782

1.55%,

7/30/2020(b)(c)

9,863,000

9,860,115

1.53%,

8/6/2020(b)(d)

34,988,000

34,977,479

1.52%,

8/13/2020(b)(c)

10,940,000

10,936,834

1.52%,

8/20/2020(b)(e)

2,015,000

2,014,309

1.45%,

8/27/2020(b)(c)

12,281,000

12,276,443

0.40%,

9/10/2020(b)

1,270,000

1,269,348

0.30%,

9/17/2020(b)(e)

6,349,000

6,347,249

0.08%,

9/24/2020(b)

854,000

853,608

0.10%,

10/1/2020(b)

3,883,000

3,880,620

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$216,516,907)

217,382,477

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$269,127,648)

270,051,913

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.2%

(Cost

$269,127,648)

270,051,913

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.8%(f)

7,768,571

NET

ASSETS

-

100.0%

$277,820,484

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(b)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(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.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

BRL

(363,940)

$

1,568

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

(20,880)

8,812

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

(24,130)

5,982

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(3,339,860)

527,012

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(1,104,900)

74,540

112

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

883,920

$

17,077

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(9,125,800)

138,406

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(7,176,600)

81,440

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

482,250

17,070

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

2,636,300

100,342

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

10,288,000

134,204

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(194,472)

19,845

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

2,587,813

90,710

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

3,895,938

125,965

1,342,973

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

20,880

(3,472)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

3,339,860

(559,800)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

443,000

(8,750)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

5,626,100

(24,112)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(10,288,000)

(805,611)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(2,636,300)

(202,061)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

(482,250)

(43,815)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

Monthly

MLIN

06/19/2020

CHF

(364,600)

(40,277)

113

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(3,895,938)

$

(351,097)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(2,587,813)

(262,143)

(2,301,138)

$

(958,165)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

1

4/2020

USD

$

37,651

$

(7,055)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,552

(7,754)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,416

(7,679)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,594

(7,768)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,609

(7,693)

LME

Aluminum

Base

Metal

2

4/2020

USD

75,075

(15,574)

LME

Aluminum

Base

Metal

3

4/2020

USD

112,561

(22,184)

LME

Aluminum

Base

Metal

3

4/2020

USD

113,119

(18,215)

LME

Aluminum

Base

Metal

3

4/2020

USD

113,100

(18,995)

LME

Aluminum

Base

Metal

4

4/2020

USD

149,596

(33,135)

LME

Aluminum

Base

Metal

4

4/2020

USD

149,735

(30,667)

LME

Aluminum

Base

Metal

12

4/2020

USD

452,550

(69,069)

LME

Aluminum

Base

Metal

19

4/2020

USD

709,265

(146,695)

LME

Copper

Base

Metal

3

4/2020

USD

370,886

(66,148)

LME

Copper

Base

Metal

3

4/2020

USD

370,805

(78,736)

LME

Copper

Base

Metal

5

4/2020

USD

618,235

(98,811)

LME

Copper

Base

Metal

6

4/2020

USD

741,828

(117,651)

LME

Copper

Base

Metal

11

4/2020

USD

1,360,219

(185,229)

LME

Zinc

Base

Metal

1

4/2020

USD

47,409

(12,583)

LME

Zinc

Base

Metal

1

4/2020

USD

47,403

(12,154)

LME

Zinc

Base

Metal

1

4/2020

USD

47,398

(11,188)

LME

Zinc

Base

Metal

1

4/2020

USD

47,438

(11,657)

LME

Zinc

Base

Metal

2

4/2020

USD

94,947

(24,334)

LME

Zinc

Base

Metal

3

4/2020

USD

142,431

(33,472)

LME

Zinc

Base

Metal

4

4/2020

USD

189,952

(39,655)

LME

Zinc

Base

Metal

5

4/2020

USD

237,478

(42,744)

LME

Zinc

Base

Metal

5

4/2020

USD

237,459

(46,087)

LME

Zinc

Base

Metal

9

4/2020

USD

427,493

(67,830)

MSCI

Singapore

Index

15

4/2020

SGD

296,971

(5,340)

RBOB

Gasoline

3

4/2020

USD

74,680

(35,568)

SGX

NIFTY

50

Index

1

4/2020

USD

17,141

65

Cocoa

17

5/2020

GBP

370,369

(39,795)

Coffee

'C'

8

5/2020

USD

358,650

(19,705)

KC

HRW

Wheat

9

5/2020

USD

221,850

1,319

LME

Aluminum

Base

Metal

1

5/2020

USD

37,842

(5,099)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,813

(5,504)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,806

(5,496)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,838

(8,726)

114

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

2

5/2020

USD

$

75,713

$

(9,668)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,698

(10,133)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,287

(16,708)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,775

(12,260)

LME

Aluminum

Base

Metal

5

5/2020

USD

189,563

(23,065)

LME

Aluminum

Base

Metal

5

5/2020

USD

188,775

(26,350)

LME

Aluminum

Base

Metal

10

5/2020

USD

377,910

(49,882)

LME

Aluminum

Base

Metal

22

5/2020

USD

830,451

(113,772)

LME

Copper

Base

Metal

1

5/2020

USD

123,684

(18,656)

LME

Copper

Base

Metal

1

5/2020

USD

123,673

(21,473)

LME

Copper

Base

Metal

1

5/2020

USD

123,668

(21,372)

LME

Copper

Base

Metal

1

5/2020

USD

123,631

(19,322)

LME

Copper

Base

Metal

1

5/2020

USD

123,684

(20,366)

LME

Copper

Base

Metal

1

5/2020

USD

123,674

(17,074)

LME

Copper

Base

Metal

2

5/2020

USD

247,360

(39,445)

LME

Copper

Base

Metal

3

5/2020

USD

371,001

(55,375)

LME

Copper

Base

Metal

4

5/2020

USD

494,725

(62,596)

LME

Copper

Base

Metal

5

5/2020

USD

618,500

(94,776)

LME

Copper

Base

Metal

7

5/2020

USD

865,734

(127,493)

LME

Nickel

Base

Metal

1

5/2020

USD

68,732

(10,114)

LME

Nickel

Base

Metal

1

5/2020

USD

68,787

(7,971)

LME

Nickel

Base

Metal

1

5/2020

USD

68,783

(7,993)

LME

Nickel

Base

Metal

1

5/2020

USD

68,728

(9,659)

LME

Nickel

Base

Metal

1

5/2020

USD

68,807

(5,749)

LME

Nickel

Base

Metal

1

5/2020

USD

68,779

(10,072)

LME

Nickel

Base

Metal

2

5/2020

USD

137,504

(19,525)

LME

Nickel

Base

Metal

3

5/2020

USD

206,410

(19,739)

LME

Zinc

Base

Metal

1

5/2020

USD

47,563

(5,877)

LME

Zinc

Base

Metal

2

5/2020

USD

95,119

(12,249)

LME

Zinc

Base

Metal

2

5/2020

USD

95,127

(10,254)

LME

Zinc

Base

Metal

2

5/2020

USD

95,043

(14,426)

LME

Zinc

Base

Metal

3

5/2020

USD

142,575

(20,671)

LME

Zinc

Base

Metal

3

5/2020

USD

142,627

(19,195)

LME

Zinc

Base

Metal

3

5/2020

USD

142,704

(8,860)

LME

Zinc

Base

Metal

3

5/2020

USD

142,706

(8,357)

LME

Zinc

Base

Metal

3

5/2020

USD

142,670

(19,939)

LME

Zinc

Base

Metal

6

5/2020

USD

285,404

(22,422)

LME

Zinc

Base

Metal

6

5/2020

USD

285,105

(45,250)

LME

Zinc

Base

Metal

6

5/2020

USD

285,219

(36,099)

Soybean

Meal

16

5/2020

USD

514,400

(2,775)

Wheat

112

5/2020

USD

3,185,000

20,281

100

oz

Gold

79

6/2020

USD

12,613,140

(305,201)

Australia

10

Year

Bond

267

6/2020

AUD

24,735,063

156,247

Australia

3

Year

Bond

2,432

6/2020

AUD

175,186,190

516,930

Canada

10

Year

Bond

19

6/2020

CAD

1,986,542

58,014

DJIA

CBOT

E-Mini

Index

24

6/2020

USD

2,610,120

231,608

Euro-Bobl

444

6/2020

EUR

66,210,661

(419,763)

Euro-BTP

97

6/2020

EUR

15,128,226

(571,190)

Euro-Bund

237

6/2020

EUR

45,091,923

(379,540)

Euro-Buxl

11

6/2020

EUR

2,546,486

(2,974)

Euro-OAT

87

6/2020

EUR

16,044,184

(423,297)

Euro-Schatz

616

6/2020

EUR

76,220,361

(234,520)

FTSE

100

Index

30

6/2020

GBP

2,099,956

194,179

FTSE/JSE

Top

40

Index

26

6/2020

ZAR

596,595

69,770

FTSE/MIB

Index

1

6/2020

EUR

93,327

11,340

Japan

10

Year

Bond

9

6/2020

JPY

12,770,332

3,879

115

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

KOSPI

200

Index

29

6/2020

KRW

$

1,405,512

$

171,561

LME

Aluminum

Base

Metal

1

6/2020

USD

38,020

(3,495)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,057

(3,613)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,072

(8,325)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,125

(5,003)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,300

(19)

LME

Aluminum

Base

Metal

2

6/2020

USD

75,975

(10,166)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,189

(1,759)

LME

Aluminum

Base

Metal

3

6/2020

USD

113,995

(14,000)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,091

(12,556)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,331

(1,953)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,591

(2,146)

LME

Aluminum

Base

Metal

5

6/2020

USD

189,885

(23,497)

LME

Aluminum

Base

Metal

7

6/2020

USD

265,949

(36,858)

LME

Aluminum

Base

Metal

8

6/2020

USD

304,500

(19,548)

LME

Aluminum

Base

Metal

38

6/2020

USD

1,446,375

(134,901)

LME

Copper

Base

Metal

1

6/2020

USD

123,734

5,381

LME

Copper

Base

Metal

1

6/2020

USD

123,800

(16,640)

LME

Copper

Base

Metal

1

6/2020

USD

123,700

6,822

LME

Copper

Base

Metal

1

6/2020

USD

123,803

(15,537)

LME

Copper

Base

Metal

2

6/2020

USD

247,413

2,257

LME

Copper

Base

Metal

2

6/2020

USD

247,482

6,462

LME

Copper

Base

Metal

2

6/2020

USD

247,496

7,047

LME

Copper

Base

Metal

3

6/2020

USD

371,419

(39,738)

LME

Copper

Base

Metal

3

6/2020

USD

371,344

(24,338)

LME

Copper

Base

Metal

4

6/2020

USD

494,925

(75,370)

LME

Copper

Base

Metal

5

6/2020

USD

618,620

(92,249)

LME

Copper

Base

Metal

6

6/2020

USD

742,457

(104,479)

LME

Copper

Base

Metal

7

6/2020

USD

866,019

(126,475)

LME

Copper

Base

Metal

37

6/2020

USD

4,579,444

(549,587)

LME

Nickel

Base

Metal

1

6/2020

USD

68,877

(660)

LME

Nickel

Base

Metal

1

6/2020

USD

68,889

2,163

LME

Nickel

Base

Metal

1

6/2020

USD

68,862

(6,621)

LME

Nickel

Base

Metal

1

6/2020

USD

68,894

1,275

LME

Nickel

Base

Metal

2

6/2020

USD

137,774

5,216

LME

Nickel

Base

Metal

2

6/2020

USD

137,754

2,664

LME

Nickel

Base

Metal

2

6/2020

USD

137,808

1,929

LME

Nickel

Base

Metal

5

6/2020

USD

344,385

(3,708)

LME

Zinc

Base

Metal

1

6/2020

USD

47,605

2,065

LME

Zinc

Base

Metal

1

6/2020

USD

47,617

2,152

LME

Zinc

Base

Metal

1

6/2020

USD

47,613

1,490

LME

Zinc

Base

Metal

1

6/2020

USD

47,616

(1,159)

LME

Zinc

Base

Metal

2

6/2020

USD

95,173

(4,031)

LME

Zinc

Base

Metal

2

6/2020

USD

95,203

(5,302)

LME

Zinc

Base

Metal

2

6/2020

USD

95,208

(4,703)

LME

Zinc

Base

Metal

4

6/2020

USD

190,335

(10,295)

LME

Zinc

Base

Metal

4

6/2020

USD

190,355

(10,561)

LME

Zinc

Base

Metal

4

6/2020

USD

190,425

(6,818)

LME

Zinc

Base

Metal

5

6/2020

USD

237,906

(15,932)

LME

Zinc

Base

Metal

5

6/2020

USD

238,104

6,493

LME

Zinc

Base

Metal

40

6/2020

USD

1,904,750

(70,384)

Long

Gilt

274

6/2020

GBP

46,350,279

502,533

NASDAQ

100

E-Mini

Index

38

6/2020

USD

5,917,550

205,072

Palladium

1

6/2020

USD

230,480

4,223

Russell

2000

E-Mini

Index

57

6/2020

USD

3,270,660

306,571

S&P

500

E-Mini

Index

4

6/2020

USD

513,940

38,802

116

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

S&P

Midcap

400

E-Mini

Index

7

6/2020

USD

$

1,006,460

$

101,525

S&P/TSX

60

Index

27

6/2020

CAD

3,124,195

288,160

SPI

200

Index

12

6/2020

AUD

942,764

47,586

U.S.

Treasury

10

Year

Note

22

6/2020

USD

3,051,125

67,207

U.S.

Treasury

2

Year

Note

74

6/2020

USD

16,308,328

243,693

U.S.

Treasury

5

Year

Note

74

6/2020

USD

9,276,594

78,264

U.S.

Treasury

Long

Bond

6

6/2020

USD

1,074,375

52,940

U.S.

Treasury

Ultra

Bond

3

6/2020

USD

665,625

58,714

Cocoa

6

7/2020

GBP

130,793

(338)

3

Month

Canadian

Bankers

Acceptance

5

9/2020

CAD

883,163

10,961

3

Month

Euro

Euribor

20

9/2020

EUR

5,536,558

(281)

3

Month

Eurodollar

33

9/2020

USD

8,220,713

79,135

3

Month

Sterling

170

9/2020

GBP

26,302,244

40,854

ASX

90

Day

Bank

Accepted

Bill

122

9/2020

AUD

74,977,493

18,979

3

Month

Canadian

Bankers

Acceptance

5

12/2020

CAD

883,030

5,998

3

Month

Euro

Euribor

83

12/2020

EUR

22,980,149

(18,143)

3

Month

Eurodollar

33

12/2020

USD

8,221,950

84,107

3

Month

Sterling

235

12/2020

GBP

36,358,984

55,901

ASX

90

Day

Bank

Accepted

Bill

165

12/2020

AUD

101,401,489

23,953

3

Month

Euro

Euribor

113

3/2021

EUR

31,286,226

(24,118)

3

Month

Eurodollar

35

3/2021

USD

8,725,063

85,589

3

Month

Euroswiss

4

3/2021

CHF

1,046,338

(1,439)

3

Month

Sterling

299

3/2021

GBP

46,279,575

77,785

3

Month

Euro

Euribor

120

6/2021

EUR

33,221,003

(26,662)

3

Month

Eurodollar

35

6/2021

USD

8,724,625

57,958

3

Month

Sterling

325

6/2021

GBP

50,293,794

81,651

3

Month

Euro

Euribor

122

9/2021

EUR

33,769,640

(28,920)

3

Month

Eurodollar

35

9/2021

USD

8,723,313

31,248

3

Month

Sterling

330

9/2021

GBP

51,057,297

79,443

3

Month

Euro

Euribor

131

12/2021

EUR

36,257,231

(31,734)

3

Month

Eurodollar

35

12/2021

USD

8,721,563

16,826

3

Month

Sterling

343

12/2021

GBP

53,057,994

80,918

3

Month

Euro

Euribor

78

3/2022

EUR

21,586,124

(20,158)

3

Month

Eurodollar

37

3/2022

USD

9,218,088

18,479

3

Month

Sterling

340

3/2022

GBP

52,591,291

38,138

(2,021,859)

Short

Contracts

Amsterdam

Exchange

Index

(3)

4/2020

EUR

(319,409)

(36,869)

Brent

Crude

Oil

(34)

4/2020

USD

(895,900)

78,396

CAC

40

10

Euro

Index

(9)

4/2020

EUR

(436,252)

(64,143)

Hang

Seng

Index

(21)

4/2020

HKD

(3,212,537)

(34,788)

HSCEI

(96)

4/2020

HKD

(5,964,748)

(77,856)

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,552)

7,749

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,594)

7,696

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,609)

7,688

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,651)

7,216

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,416)

7,547

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(75,075)

15,519

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(113,100)

18,817

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,561)

22,358

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(113,119)

17,892

LME

Aluminum

Base

Metal

(4)

4/2020

USD

(149,596)

33,547

LME

Aluminum

Base

Metal

(4)

4/2020

USD

(149,735)

30,041

LME

Aluminum

Base

Metal

(12)

4/2020

USD

(452,550)

67,782

LME

Aluminum

Base

Metal

(19)

4/2020

USD

(709,265)

142,093

LME

Copper

Base

Metal

(3)

4/2020

USD

(370,886)

64,088

117

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(3)

4/2020

USD

$

(370,805)

$

77,394

LME

Copper

Base

Metal

(5)

4/2020

USD

(618,235)

94,444

LME

Copper

Base

Metal

(6)

4/2020

USD

(741,828)

116,254

LME

Copper

Base

Metal

(11)

4/2020

USD

(1,360,219)

178,881

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,403)

11,769

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,438)

11,334

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,409)

12,457

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,398)

11,031

LME

Zinc

Base

Metal

(2)

4/2020

USD

(94,947)

23,256

LME

Zinc

Base

Metal

(3)

4/2020

USD

(142,431)

32,517

LME

Zinc

Base

Metal

(4)

4/2020

USD

(189,952)

37,423

LME

Zinc

Base

Metal

(5)

4/2020

USD

(237,459)

42,377

LME

Zinc

Base

Metal

(5)

4/2020

USD

(237,478)

41,270

LME

Zinc

Base

Metal

(9)

4/2020

USD

(427,493)

66,642

MSCI

Taiwan

Index

(5)

4/2020

USD

(185,500)

2,976

Natural

Gas

(778)

4/2020

USD

(12,759,200)

1,550,059

NY

Harbor

ULSD

(2)

4/2020

USD

(84,126)

12,821

OMXS30

Index

(25)

4/2020

SEK

(374,019)

(35,966)

SGX

FTSE

China

A50

Index

(165)

4/2020

USD

(2,079,000)

(3,789)

Sugar

No.

11

(56)

4/2020

USD

(653,542)

32,092

WTI

Crude

Oil

(37)

4/2020

USD

(757,760)

409,763

Cocoa

(1)

5/2020

USD

(22,490)

32

Copper

(62)

5/2020

USD

(3,453,400)

469,251

Corn

(426)

5/2020

USD

(7,257,975)

325,398

Cotton

No.

2

(26)

5/2020

USD

(664,690)

126,676

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,842)

5,123

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,813)

5,628

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,806)

5,598

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,713)

9,605

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,838)

8,932

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,698)

10,011

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,287)

16,018

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,775)

12,066

LME

Aluminum

Base

Metal

(5)

5/2020

USD

(189,563)

23,309

LME

Aluminum

Base

Metal

(5)

5/2020

USD

(188,775)

27,292

LME

Aluminum

Base

Metal

(10)

5/2020

USD

(377,910)

50,347

LME

Aluminum

Base

Metal

(22)

5/2020

USD

(830,451)

111,272

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,684)

18,041

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,674)

17,611

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,684)

20,601

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,668)

20,408

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,631)

19,709

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,673)

21,591

LME

Copper

Base

Metal

(2)

5/2020

USD

(247,360)

39,849

LME

Copper

Base

Metal

(3)

5/2020

USD

(371,001)

54,210

LME

Copper

Base

Metal

(4)

5/2020

USD

(494,725)

63,763

LME

Copper

Base

Metal

(5)

5/2020

USD

(618,500)

94,060

LME

Copper

Base

Metal

(7)

5/2020

USD

(865,734)

124,684

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,779)

10,042

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,783)

7,827

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,787)

7,774

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,732)

9,876

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,728)

9,096

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,807)

5,399

LME

Nickel

Base

Metal

(2)

5/2020

USD

(137,504)

19,282

LME

Nickel

Base

Metal

(3)

5/2020

USD

(206,410)

18,660

118

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

5/2020

USD

$

(47,563)

$

5,431

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,043)

15,037

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,119)

11,777

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,127)

10,130

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,706)

6,272

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,670)

20,047

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,575)

19,431

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,627)

20,171

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,704)

10,362

LME

Zinc

Base

Metal

(6)

5/2020

USD

(285,219)

36,197

LME

Zinc

Base

Metal

(6)

5/2020

USD

(285,105)

44,559

LME

Zinc

Base

Metal

(6)

5/2020

USD

(285,404)

21,902

Low

Sulphur

Gasoil

(43)

5/2020

USD

(1,267,425)

214,530

Silver

(14)

5/2020

USD

(990,920)

(94,094)

Soybean

Oil

(51)

5/2020

USD

(826,506)

58,912

DAX

Index

(4)

6/2020

EUR

(1,092,698)

(83,739)

EURO

STOXX

50

Index

(24)

6/2020

EUR

(727,120)

(11,437)

Lean

Hogs

(15)

6/2020

USD

(361,950)

102,140

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,057)

3,552

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,020)

3,652

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,189)

1,943

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,300)

188

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(75,975)

9,844

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,125)

5,195

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,072)

8,098

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,331)

2,345

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(113,995)

14,548

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,091)

12,500

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(189,885)

23,538

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,591)

1,843

LME

Aluminum

Base

Metal

(7)

6/2020

USD

(265,949)

36,868

LME

Aluminum

Base

Metal

(8)

6/2020

USD

(304,500)

17,759

LME

Aluminum

Base

Metal

(84)

6/2020

USD

(3,197,250)

350,623

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,734)

(2,733)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,700)

(5,271)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,800)

16,108

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,803)

14,849

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,482)

(6,045)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,496)

(6,851)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,413)

(4,826)

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,344)

24,160

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,419)

39,476

LME

Copper

Base

Metal

(4)

6/2020

USD

(494,925)

76,813

LME

Copper

Base

Metal

(5)

6/2020

USD

(618,620)

96,365

LME

Copper

Base

Metal

(6)

6/2020

USD

(742,457)

107,876

LME

Copper

Base

Metal

(7)

6/2020

USD

(866,019)

128,310

LME

Copper

Base

Metal

(54)

6/2020

USD

(6,683,513)

854,900

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,894)

(1,880)

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,889)

(1,758)

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,862)

5,754

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,877)

70

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,808)

(1,837)

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,774)

(5,586)

LME

Nickel

Base

Metal

(5)

6/2020

USD

(344,385)

(3,013)

LME

Nickel

Base

Metal

(23)

6/2020

USD

(1,584,171)

62,980

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,605)

(1,760)

119

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

6/2020

USD

$

(47,613)

$

(1,344)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,617)

(2,250)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,616)

1,331

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,173)

4,372

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,208)

5,187

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,203)

5,567

LME

Zinc

Base

Metal

(4)

6/2020

USD

(190,425)

7,164

LME

Zinc

Base

Metal

(4)

6/2020

USD

(190,355)

11,108

LME

Zinc

Base

Metal

(4)

6/2020

USD

(190,335)

11,353

LME

Zinc

Base

Metal

(5)

6/2020

USD

(237,906)

15,204

LME

Zinc

Base

Metal

(5)

6/2020

USD

(238,104)

(8,869)

LME

Zinc

Base

Metal

(66)

6/2020

USD

(3,142,838)

214,448

MSCI

EAFE

E-Mini

Index

(1)

6/2020

USD

(77,965)

(111)

MSCI

Emerging

Markets

E-Mini

Index

(3)

6/2020

USD

(126,435)

(740)

Nikkei

225

Index

(15)

6/2020

JPY

(2,639,386)

(115,890)

TOPIX

Index

(27)

6/2020

JPY

(3,522,995)

(131,259)

Cocoa

(4)

7/2020

USD

(90,360)

(30)

Platinum

(5)

7/2020

USD

(182,475)

(2,410)

3

Month

Euroswiss

(8)

9/2020

CHF

(2,092,468)

(22)

3

Month

Euroswiss

(2)

12/2020

CHF

(523,169)

21

7,127,874

$

5,106,015

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

3,304,000

USD

2,016,065

CITI

6/17/2020

$

16,639

AUD

3,304,000

USD

2,016,068

JPMC

6/17/2020

16,637

CAD

13,337,500

USD

9,316,520

CITI

6/17/2020

167,785

CAD

13,337,500

USD

9,316,532

JPMC

6/17/2020

167,773

CHF

21,747,437

USD

22,398,040

CITI

6/17/2020

279,645

CHF

21,747,435

USD

22,398,066

JPMC

6/17/2020

279,617

CLP

131,803,500

USD

153,705

CITI

**

6/17/2020

598

CLP

131,803,500

USD

153,706

JPMC

**

6/17/2020

598

COP

915,890,000

USD

221,493

CITI

**

6/17/2020

2,726

COP

915,890,000

USD

221,493

JPMC

**

6/17/2020

2,726

EUR

33,761,000

USD

36,973,724

CITI

6/17/2020

370,850

EUR

33,761,000

USD

36,973,770

JPMC

6/17/2020

370,801

GBP

8,422,000

USD

10,085,854

CITI

6/17/2020

389,176

GBP

8,422,000

USD

10,085,867

JPMC

6/17/2020

389,165

HUF

720,099,500

USD

2,191,121

CITI

6/17/2020

14,546

HUF

720,099,500

USD

2,191,124

JPMC

6/17/2020

14,542

IDR

6,333,414,000

USD

381,647

CITI

**

6/17/2020

1,804

IDR

6,333,414,000

USD

381,647

JPMC

**

6/17/2020

1,803

ILS

1,630,000

USD

444,225

CITI

6/17/2020

17,767

ILS

1,630,000

USD

444,226

JPMC

6/17/2020

17,766

INR

17,328,000

USD

221,700

CITI

**

6/17/2020

3,580

INR

17,328,000

USD

221,700

JPMC

**

6/17/2020

3,579

JPY

5,619,657,000

USD

51,870,875

CITI

6/17/2020

564,537

JPY

5,619,657,000

USD

51,870,939

JPMC

6/17/2020

564,474

KRW

5,521,054,500

USD

4,513,413

CITI

**

6/17/2020

28,235

120

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

5,521,054,500

USD

4,513,419

JPMC

**

6/17/2020

$

28,229

MXN

19,118,500

USD

777,490

CITI

6/17/2020

19,312

MXN

19,118,500

USD

777,491

JPMC

6/17/2020

19,311

NOK

48,409,500

USD

4,444,907

CITI

6/17/2020

212,803

NOK

48,409,500

USD

4,444,912

JPMC

6/17/2020

212,798

NZD

18,886,500

USD

10,857,382

CITI

6/17/2020

405,305

NZD

18,886,500

USD

10,857,396

JPMC

6/17/2020

405,293

PHP

6,520,000

USD

125,385

CITI

**

6/17/2020

860

PHP

6,520,000

USD

125,385

JPMC

**

6/17/2020

860

SEK

31,196,500

USD

3,032,219

CITI

6/17/2020

126,662

SEK

31,196,500

USD

3,032,223

JPMC

6/17/2020

126,658

SGD

3,720,000

USD

2,568,712

CITI

6/17/2020

51,609

SGD

3,720,000

USD

2,568,715

JPMC

6/17/2020

51,607

TWD

29,882,000

USD

991,854

CITI

**

6/17/2020

7,579

TWD

29,882,000

USD

991,856

JPMC

**

6/17/2020

7,579

USD

48,683,513

AUD

73,490,004

CITI

6/17/2020

3,470,601

USD

48,683,447

AUD

73,489,996

JPMC

6/17/2020

3,470,540

USD

14,810,144

BRL

67,078,504

CITI

**

6/17/2020

1,963,337

USD

14,810,124

BRL

67,078,496

JPMC

**

6/17/2020

1,963,318

USD

73,765,794

CAD

99,412,492

CITI

6/17/2020

3,073,504

USD

73,765,713

CAD

99,412,508

JPMC

6/17/2020

3,073,413

USD

25,557,233

CHF

24,214,000

CITI

6/17/2020

307,478

USD

25,557,201

CHF

24,214,000

JPMC

6/17/2020

307,447

USD

1,681,043

CLP

1,371,697,026

CITI

**

6/17/2020

75,174

USD

1,681,041

CLP

1,371,697,038

JPMC

**

6/17/2020

75,171

USD

1,137,261

COP

4,069,573,996

CITI

**

6/17/2020

140,989

USD

1,137,260

COP

4,069,574,012

JPMC

**

6/17/2020

140,987

USD

37,312,626

EUR

33,223,624

CITI

6/17/2020

562,468

USD

37,312,586

EUR

33,223,630

JPMC

6/17/2020

562,424

USD

66,924,179

GBP

52,090,998

CITI

6/17/2020

2,134,959

USD

66,924,101

GBP

52,091,002

JPMC

6/17/2020

2,134,874

USD

19,564,182

HUF

6,027,071,520

CITI

6/17/2020

1,103,249

USD

19,564,157

HUF

6,027,071,512

JPMC

6/17/2020

1,103,225

USD

7,460,522

IDR

108,583,993,001

CITI

**

6/17/2020

886,414

USD

7,460,494

IDR

108,583,992,999

JPMC

**

6/17/2020

886,384

USD

7,030,636

ILS

24,164,500

CITI

6/17/2020

181,663

USD

7,030,627

ILS

24,164,500

JPMC

6/17/2020

181,654

USD

7,716,870

INR

570,903,996

CITI

**

6/17/2020

294,608

USD

7,716,861

INR

570,904,004

JPMC

**

6/17/2020

294,598

USD

4,488,758

JPY

470,655,000

CITI

6/17/2020

97,210

USD

4,488,752

JPY

470,655,000

JPMC

6/17/2020

97,205

USD

31,211,080

KRW

37,439,086,784

CITI

**

6/17/2020

413,500

USD

31,211,041

KRW

37,439,086,775

JPMC

**

6/17/2020

413,462

USD

17,145,547

MXN

347,828,506

CITI

6/17/2020

2,649,095

USD

17,145,525

MXN

347,828,494

JPMC

6/17/2020

2,649,073

USD

16,501,209

NOK

154,700,000

CITI

6/17/2020

1,616,785

USD

16,501,189

NOK

154,700,000

JPMC

6/17/2020

1,616,763

USD

46,031,878

NZD

73,637,003

CITI

6/17/2020

2,119,531

USD

46,031,264

NZD

73,636,997

JPMC

6/17/2020

2,118,921

USD

2,858,760

PHP

146,549,498

CITI

**

6/17/2020

21,164

USD

2,858,757

PHP

146,549,502

JPMC

**

6/17/2020

21,162

USD

25,933,428

PLN

102,288,996

CITI

6/17/2020

1,214,688

USD

25,933,397

PLN

102,289,004

JPMC

6/17/2020

1,214,657

USD

16,726,382

SEK

160,923,501

CITI

6/17/2020

431,667

USD

16,726,361

SEK

160,923,499

JPMC

6/17/2020

431,646

USD

8,494,496

SGD

11,818,504

CITI

6/17/2020

169,690

USD

8,494,479

SGD

11,818,496

JPMC

6/17/2020

169,680

USD

3,438,125

TWD

102,333,500

CITI

**

6/17/2020

15,478

121

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

3,438,121

TWD

102,333,500

JPMC

**

6/17/2020

$

15,473

USD

17,487,904

ZAR

290,635,500

CITI

6/17/2020

1,402,294

USD

17,487,882

ZAR

290,635,500

JPMC

6/17/2020

1,402,272

Total

unrealized

appreciation

54,053,729

AUD

55,153,000

USD

36,101,614

CITI

6/17/2020

(2,170,091)

AUD

55,153,000

USD

36,102,455

JPMC

6/17/2020

(2,170,932)

BRL

58,764,500

USD

12,623,276

CITI

**

6/17/2020

(1,368,758)

BRL

58,764,500

USD

12,623,292

JPMC

**

6/17/2020

(1,368,774)

CAD

70,893,491

USD

53,197,121

CITI

6/17/2020

(2,784,711)

CAD

70,893,509

USD

53,197,201

JPMC

6/17/2020

(2,784,778)

CHF

24,141,065

USD

25,836,773

CITI

6/17/2020

(663,074)

CHF

24,141,063

USD

25,836,804

JPMC

6/17/2020

(663,107)

CLP

1,123,609,999

USD

1,366,757

CITI

**

6/17/2020

(51,327)

CLP

1,123,610,001

USD

1,366,759

JPMC

**

6/17/2020

(51,328)

COP

2,840,726,994

USD

787,547

CITI

**

6/17/2020

(92,108)

COP

2,840,727,006

USD

787,548

JPMC

**

6/17/2020

(92,109)

EUR

80,727,490

USD

90,663,013

CITI

6/17/2020

(1,366,678)

EUR

80,727,510

USD

90,663,150

JPMC

6/17/2020

(1,366,789)

GBP

22,602,998

USD

29,314,366

CITI

6/17/2020

(1,201,435)

GBP

22,603,000

USD

29,314,405

JPMC

6/17/2020

(1,201,473)

HUF

5,176,819,001

USD

16,931,915

CITI

6/17/2020

(1,075,309)

HUF

5,176,818,999

USD

16,931,937

JPMC

6/17/2020

(1,075,329)

IDR

104,212,541,657

USD

7,239,579

CITI

**

6/17/2020

(930,135)

IDR

104,212,541,655

USD

7,239,588

JPMC

**

6/17/2020

(930,143)

ILS

25,421,503

USD

7,414,269

CITI

6/17/2020

(209,021)

ILS

25,421,497

USD

7,414,277

JPMC

6/17/2020

(209,030)

INR

595,520,512

USD

8,076,230

CITI

**

6/17/2020

(333,931)

INR

595,520,520

USD

8,076,240

JPMC

**

6/17/2020

(333,941)

JPY

2,342,407,500

USD

22,130,428

CITI

6/17/2020

(274,093)

JPY

2,342,407,500

USD

22,130,456

JPMC

6/17/2020

(274,122)

KRW

22,193,489,000

USD

18,556,599

CITI

**

6/17/2020

(300,125)

KRW

22,193,489,000

USD

18,556,622

JPMC

**

6/17/2020

(300,148)

MXN

323,976,010

USD

16,325,622

CITI

6/17/2020

(2,823,272)

MXN

323,975,998

USD

16,325,642

JPMC

6/17/2020

(2,823,292)

NOK

123,995,500

USD

13,186,216

CITI

6/17/2020

(1,256,018)

NOK

123,995,500

USD

13,186,232

JPMC

6/17/2020

(1,256,035)

NZD

74,425,003

USD

46,559,440

CITI

6/17/2020

(2,177,181)

NZD

74,424,997

USD

46,559,494

JPMC

6/17/2020

(2,177,240)

PHP

209,507,496

USD

4,100,654

CITI

**

6/17/2020

(44,023)

PHP

209,507,504

USD

4,100,660

JPMC

**

6/17/2020

(44,028)

PLN

82,678,496

USD

21,273,560

CITI

6/17/2020

(1,293,813)

PLN

82,678,505

USD

21,273,589

JPMC

6/17/2020

(1,293,840)

SEK

99,538,504

USD

10,386,653

CITI

6/17/2020

(307,631)

SEK

99,538,496

USD

10,386,665

JPMC

6/17/2020

(307,644)

SGD

6,537,500

USD

4,685,174

CITI

6/17/2020

(80,241)

SGD

6,537,500

USD

4,685,180

JPMC

6/17/2020

(80,248)

TWD

133,675,500

USD

4,492,358

CITI

**

6/17/2020

(21,446)

TWD

133,675,500

USD

4,492,364

JPMC

**

6/17/2020

(21,453)

USD

18,638,683

AUD

31,713,500

CITI

6/17/2020

(872,266)

USD

18,638,659

AUD

31,713,500

JPMC

6/17/2020

(872,289)

USD

1,432,254

CAD

2,055,000

CITI

6/17/2020

(29,059)

USD

1,432,252

CAD

2,055,000

JPMC

6/17/2020

(29,061)

USD

13,287,140

CHF

12,867,000

CITI

6/17/2020

(130,246)

USD

13,287,123

CHF

12,867,000

JPMC

6/17/2020

(130,263)

USD

37,041

CLP

31,818,000

CITI

**

6/17/2020

(209)

USD

37,041

CLP

31,818,000

JPMC

**

6/17/2020

(209)

USD

83,833,880

EUR

76,839,868

CITI

6/17/2020

(1,162,181)

USD

83,833,790

EUR

76,839,881

JPMC

6/17/2020

(1,162,289)

122

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

10,822,184

GBP

9,032,000

CITI

6/17/2020

$

(411,548)

USD

10,822,170

GBP

9,032,000

JPMC

6/17/2020

(411,560)

USD

707,632

IDR

12,010,695,500

CITI

**

6/17/2020

(19,544)

USD

707,631

IDR

12,010,695,500

JPMC

**

6/17/2020

(19,544)

USD

899,887

ILS

3,262,003

CITI

6/17/2020

(24,667)

USD

899,884

ILS

3,261,997

JPMC

6/17/2020

(24,668)

USD

1,054,629

INR

81,593,500

CITI

**

6/17/2020

(6,159)

USD

1,054,628

INR

81,593,500

JPMC

**

6/17/2020

(6,160)

USD

47,608,767

JPY

5,270,435,074

CITI

6/17/2020

(1,568,154)

USD

47,608,708

JPY

5,270,435,074

JPMC

6/17/2020

(1,568,214)

USD

3,429,187

KRW

4,184,024,844

CITI

**

6/17/2020

(12,613)

USD

3,429,183

KRW

4,184,024,844

JPMC

**

6/17/2020

(12,618)

USD

101,052

MXN

2,488,500

CITI

6/17/2020

(2,661)

USD

101,052

MXN

2,488,500

JPMC

6/17/2020

(2,661)

USD

1,226,010

NOK

13,017,000

CITI

6/17/2020

(26,418)

USD

1,226,008

NOK

13,017,000

JPMC

6/17/2020

(26,419)

USD

1,510,062

PHP

79,633,498

CITI

**

6/17/2020

(31,857)

USD

1,510,060

PHP

79,633,502

JPMC

**

6/17/2020

(31,860)

USD

8,414,810

PLN

35,569,500

CITI

6/17/2020

(180,770)

USD

8,414,799

PLN

35,569,500

JPMC

6/17/2020

(180,782)

USD

1,530,475

SEK

15,184,500

CITI

6/17/2020

(7,070)

USD

1,530,473

SEK

15,184,500

JPMC

6/17/2020

(7,072)

USD

176,368

SGD

250,500

CITI

6/17/2020

(81)

USD

176,368

SGD

250,500

JPMC

6/17/2020

(82)

USD

1,650,369

TWD

49,779,000

CITI

**

6/17/2020

(14,539)

USD

1,650,367

TWD

49,779,000

JPMC

**

6/17/2020

(14,541)

ZAR

91,860,502

USD

5,332,701

CITI

6/17/2020

(248,559)

ZAR

91,860,498

USD

5,332,707

JPMC

6/17/2020

(248,565)

Total

unrealized

depreciation

(51,147,662)

Net

unrealized

appreciation

$

2,906,067

**

Non-deliverable

forward.

123

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

90.1%

COMMON

STOCKS

-

26.0%

Australia

-

0.4%

AMP

Ltd.(2)*

2,386

$

1,949

Aurizon

Holdings

Ltd.(2)

40,500

104,959

BHP

Group

Ltd.(2)

2,222

40,310

BHP

Group

plc(2)

755

11,717

BlueScope

Steel

Ltd.(2)

20,764

108,710

Fortescue

Metals

Group

Ltd.(2)

37,756

231,377

Qantas

Airways

Ltd.(2)

7,677

14,936

Santos

Ltd.(2)

9,424

19,355

Treasury

Wine

Estates

Ltd.(2)

2,868

17,806

551,119

—

Austria

-

0.0%(a)

ams

AG(2)*

6,640

64,903

Belgium

-

0.0%(a)

Ageas(2)

466

19,419

Canada

-

0.7%

Air

Canada*

3,772

42,215

Aurora

Cannabis,

Inc.*

17,495

15,664

Canadian

Natural

Resources

Ltd.

4,815

65,863

Cenovus

Energy,

Inc.

100,403

202,618

Kinross

Gold

Corp.*

35,408

142,155

Magna

International,

Inc.(b)

111

3,542

Onex

Corp.

5,634

206,215

Shopify,

Inc.,

Class

A*

304

127,368

Stars

Group,

Inc.

(The)*

180

3,681

Teck

Resources

Ltd.,

Class

B

8,606

65,250

874,571

—

China

-

0.1%

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

228,300

132,469

Denmark

-

0.2%

Genmab

A/S(2)*

188

37,763

Novo

Nordisk

A/S,

Class

B(2)

329

19,647

Pandora

A/S(2)(b)

4,657

149,635

ROCKWOOL

International

A/S,

Class

B(2)

36

6,484

213,529

—

Finland

-

0.2%

Fortum

OYJ(2)

3,644

53,009

Orion

OYJ,

Class

B(2)

4,773

194,244

247,253

—

France

-

0.7%

Atos

SE(2)(c)

2,814

187,484

BNP

Paribas

SA(2)

836

24,407

Cie

de

Saint-Gobain(2)

292

7,007

Electricite

de

France

SA(2)

26,717

208,914

Engie

SA(2)(b)

3,598

36,845

Natixis

SA(2)

16,135

51,378

Orange

SA(2)

1,612

19,517

Peugeot

SA(2)

20,906

272,182

Societe

BIC

SA(2)

754

41,879

INVESTMENTS

SHARES

VALUE

France

-

0.7%

(continued)

Sopra

Steria

Group(2)

87

$

9,516

859,129

—

Germany

-

1.4%

adidas

AG(2)

382

84,814

Allianz

SE

(Registered)(2)(b)

944

160,761

Aurubis

AG(2)

2,272

92,459

Bayer

AG

(Registered)(2)(b)

6,643

380,635

CECONOMY

AG(2)*

4,033

8,755

Covestro

AG(2)(d)

2,193

66,554

Deutsche

Lufthansa

AG

(Registered)(2)

604

5,649

Fresenius

Medical

Care

AG

&

Co.

KGaA(2)

1,023

66,777

HeidelbergCement

AG(2)

4,444

189,862

HOCHTIEF

AG(2)

591

38,805

HUGO

BOSS

AG(2)

2,164

54,169

Muenchener

Rueckversicherungs-

Gesellschaft

AG

in

Muenchen

(Registered)(2)

515

103,551

ProSiebenSat.1

Media

SE(2)

22,361

175,456

Rheinmetall

AG(2)

1,266

87,983

RWE

AG(2)

2,679

70,060

Software

AG(2)

554

16,511

Volkswagen

AG

(Preference)(2)

1,566

180,398

1,783,199

—

Ghana

-

0.0%(a)

Kosmos

Energy

Ltd.

31,567

28,271

Hong

Kong

-

0.4%

CK

Asset

Holdings

Ltd.(2)

11,500

62,395

HKT

Trust

&

HKT

Ltd.(2)

2,000

2,720

Hong

Kong

Exchanges

&

Clearing

Ltd.(2)

1,400

41,943

Kerry

Properties

Ltd.(2)

61,000

159,515

WH

Group

Ltd.(2)(d)

191,500

176,757

Yue

Yuen

Industrial

Holdings

Ltd.(2)

39,500

60,360

503,690

—

Italy

-

0.3%

A2A

SpA(2)

101,950

125,780

Assicurazioni

Generali

SpA(2)

187

2,533

Azimut

Holding

SpA(2)

550

7,828

Banca

Generali

SpA(2)

406

8,436

BPER

Banca(2)

5,818

17,704

Enel

SpA(2)

5,871

40,497

Eni

SpA(2)

4,414

43,864

Hera

SpA(2)

3,242

11,729

Poste

Italiane

SpA(2)(d)

5,968

50,232

Unipol

Gruppo

SpA(2)

38,019

129,656

438,259

—

Japan

-

1.4%

Alps

Alpine

Co.

Ltd.(2)

800

7,709

Benesse

Holdings,

Inc.(2)

900

22,903

Calbee,

Inc.(2)

1,100

29,686

Capcom

Co.

Ltd.(2)

800

25,084

Fujitsu

Ltd.(2)

400

36,027

GungHo

Online

Entertainment,

Inc.

(2)

3,030

42,234

124

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

1.4%

(continued)

Hoya

Corp.(2)

800

$

68,025

Inpex

Corp.(2)

17,800

99,859

JGC

Holdings

Corp.(2)

2,800

22,350

JXTG

Holdings,

Inc.(2)

13,300

45,318

Kamigumi

Co.

Ltd.(2)

5,300

89,462

Koito

Manufacturing

Co.

Ltd.(2)

1,500

50,429

Konami

Holdings

Corp.(2)

1,900

58,278

Marubeni

Corp.(2)

14,700

72,957

Mitsubishi

Gas

Chemical

Co.,

Inc.

(2)

5,300

57,191

Mitsubishi

UFJ

Financial

Group,

Inc.(2)

2,300

8,606

Nikon

Corp.(2)

5,100

46,809

Nintendo

Co.

Ltd.(2)

400

155,461

Nippon

Express

Co.

Ltd.(2)

200

9,756

Nitto

Denko

Corp.(2)

1,000

44,419

NS

Solutions

Corp.(2)

1,000

24,289

NTT

DOCOMO,

Inc.(2)

900

28,146

Obayashi

Corp.(2)

2,600

22,062

Resona

Holdings,

Inc.(2)

33,600

100,743

Rohto

Pharmaceutical

Co.

Ltd.(2)

2,000

54,644

Sankyo

Co.

Ltd.(2)

400

11,600

Shimizu

Corp.(2)

3,100

24,124

Shinsei

Bank

Ltd.(2)

9,600

127,150

Shionogi

&

Co.

Ltd.(2)

200

9,852

Showa

Denko

KK(2)

600

12,310

Sojitz

Corp.(2)

2,200

5,158

Sony

Corp.(2)

2,800

165,853

SUMCO

Corp.(2)

1,100

13,978

Sumitomo

Mitsui

Financial

Group,

Inc.(2)

900

21,864

Taiheiyo

Cement

Corp.(2)

3,400

57,913

Teijin

Ltd.(2)

2,100

35,522

Tokyo

Electric

Power

Co.

Holdings,

Inc.(2)*

22,400

77,924

Toshiba

Corp.(2)

800

17,535

Tosoh

Corp.(2)

1,500

16,952

Toyota

Boshoku

Corp.(2)

1,900

22,473

1,842,655

—

Netherlands

-

0.5%

ASM

International

NV(2)

1,185

120,564

ASR

Nederland

NV(2)

2,265

56,950

ING

Groep

NV(2)

5,135

26,312

Koninklijke

Ahold

Delhaize

NV(2)(b)

11,381

265,138

Randstad

NV(2)*

1,623

57,279

Royal

Dutch

Shell

plc,

Class

B(2)

2,989

50,138

Signify

NV(2)(d)

1,168

22,636

599,017

—

Norway

-

0.1%

Leroy

Seafood

Group

ASA(2)

2,569

12,575

Yara

International

ASA(2)

4,213

133,211

145,786

—

Russia

-

0.0%(a)

Evraz

plc(2)

18,880

54,018

Spain

-

0.0%(a)

Banco

de

Sabadell

SA(2)

11,487

5,809

INVESTMENTS

SHARES

VALUE

Sweden

-

0.2%

Getinge

AB,

Class

B(2)

13,810

$

261,135

Hennes

&

Mauritz

AB,

Class

B(2)

2,681

34,308

295,443

—

Switzerland

-

0.5%

Adecco

Group

AG

(Registered)(2)

1,759

69,316

Coca-Cola

HBC

AG(2)

377

8,085

LafargeHolcim

Ltd.

(Registered)(2)*

361

13,174

Nestle

SA

(Registered)(2)

164

16,788

Novartis

AG

(Registered)(2)

2,080

171,598

Roche

Holding

AG(2)(b)

1,038

333,969

Sonova

Holding

AG

(Registered)(2)

141

25,142

638,072

—

United

Kingdom

-

1.3%

Aggreko

plc(2)

17,102

102,210

Balfour

Beatty

plc(2)

4,955

13,149

Barclays

plc(2)

7,014

7,971

Barratt

Developments

plc(2)

14,739

79,669

Bellway

plc(2)

7,216

191,167

Berkeley

Group

Holdings

plc(2)

2,474

110,423

BT

Group

plc(2)

117,688

171,185

Centrica

plc(2)

60,285

28,406

Dialog

Semiconductor

plc(2)*

3,713

96,512

Dunelm

Group

plc(2)

2,365

20,484

Fiat

Chrysler

Automobiles

NV(2)

837

5,975

Inchcape

plc(2)

8,007

42,732

JD

Sports

Fashion

plc(2)

10,573

59,217

Kingfisher

plc(2)

32,286

56,711

M&G

plc(2)*

12,663

17,614

Marks

&

Spencer

Group

plc(2)

5,848

7,089

Moneysupermarket.com

Group

plc(2)

46,456

172,634

Persimmon

plc(2)

1,679

39,689

Royal

Mail

plc(2)

99,869

153,950

Tate

&

Lyle

plc(2)

22,690

184,602

Taylor

Wimpey

plc(2)

74,043

106,545

1,667,934

—

United

States

-

17.6%

3M

Co.

718

98,014

AbbVie,

Inc.

2,001

152,456

Activision

Blizzard,

Inc.*(b)

2,521

149,949

Acuity

Brands,

Inc.

194

16,618

Adobe,

Inc.*(b)

620

197,309

Akamai

Technologies,

Inc.*

881

80,603

Alexion

Pharmaceuticals,

Inc.*(b)

3,444

309,236

Align

Technology,

Inc.*(c)

178

30,963

Alkermes

plc*

6,709

96,744

Allergan

plc

239

42,327

Alliance

Data

Systems

Corp.

2,645

89,004

Allstate

Corp.

(The)(b)

2,040

187,129

Alphabet,

Inc.,

Class

A*(b)

241

280,029

Alphabet,

Inc.,

Class

C*(b)

232

269,771

Amazon.com,

Inc.*(b)

400

779,887

AMC

Networks,

Inc.,

Class

A*(c)

2,111

51,318

Amdocs

Ltd.

3,206

176,234

American

Tower

Corp.,

REIT

324

70,551

Ameriprise

Financial,

Inc.(c)

545

55,852

AmerisourceBergen

Corp.

339

30,002

125

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

17.6%

(continued)

Amgen,

Inc.(c)

1,190

$

241,249

Analog

Devices,

Inc.

626

56,121

Anthem,

Inc.(c)

305

69,247

Apple,

Inc.(b)

3,306

840,682

Applied

Materials,

Inc.(b)

4,347

199,180

Arrow

Electronics,

Inc.*

3,953

205,042

Associated

Banc-Corp.

201

2,571

Assured

Guaranty

Ltd.

2,182

56,274

Athene

Holding

Ltd.,

Class

A*

617

15,314

Autodesk,

Inc.*

516

80,548

Avnet,

Inc.(b)

9,317

233,857

Bank

of

New

York

Mellon

Corp.

(The)

3,226

108,652

Bausch

Health

Cos.,

Inc.*

3,572

55,358

Baxter

International,

Inc.

1,163

94,424

Berkshire

Hathaway,

Inc.,

Class

B*

966

176,614

Best

Buy

Co.,

Inc.

2,325

132,525

Biogen,

Inc.*(b)

1,357

429,327

Booking

Holdings,

Inc.*

96

129,151

Boston

Scientific

Corp.*

2,401

78,345

Bristol-Myers

Squibb

Co.

270

15,050

Broadcom,

Inc.

429

101,716

Bunge

Ltd.

577

23,674

Cabot

Corp.

6,449

168,448

CACI

International,

Inc.,

Class

A*(b)

1,040

219,596

Cadence

Design

Systems,

Inc.*

1,006

66,436

Celanese

Corp.

710

52,107

Charles

River

Laboratories

International,

Inc.*

938

118,385

Ciena

Corp.*

783

31,171

Cirrus

Logic,

Inc.*

2,534

166,306

Cisco

Systems,

Inc.(b)

6,247

245,569

CIT

Group,

Inc.

4,510

77,843

Citigroup,

Inc.

784

33,022

Citizens

Financial

Group,

Inc.

1,618

30,435

Cognizant

Technology

Solutions

Corp.,

Class

A

2,819

130,999

Colgate-Palmolive

Co.

1,554

103,123

Comcast

Corp.,

Class

A

177

6,085

Comerica,

Inc.

2,452

71,942

CommVault

Systems,

Inc.*

651

26,352

ConocoPhillips

1,088

33,510

Crane

Co.

261

12,836

Crown

Castle

International

Corp.,

REIT

311

44,908

Cummins,

Inc.

806

109,068

Curtiss-Wright

Corp.

883

81,598

Dana,

Inc.

1,868

14,589

Deckers

Outdoor

Corp.*

342

45,828

Delphi

Technologies

plc*

737

5,933

Deluxe

Corp.

1,900

49,267

Dentsply

Sirona,

Inc.

255

9,902

Digital

Realty

Trust,

Inc.,

REIT

191

26,532

Discover

Financial

Services

2,826

100,803

Dropbox,

Inc.,

Class

A*

3,175

57,468

DuPont

de

Nemours,

Inc.

990

33,759

DXC

Technology

Co.

327

4,267

Eastman

Chemical

Co.

1,396

65,026

Eaton

Corp.

plc

820

63,706

eBay,

Inc.(b)

2,387

71,753

INVESTMENTS

SHARES

VALUE

United

States

-

17.6%

(continued)

Edwards

Lifesciences

Corp.*(b)

492

$

92,801

Electronic

Arts,

Inc.*(b)

2,564

256,835

Eli

Lilly

&

Co.(c)

164

22,750

Emerson

Electric

Co.

754

35,928

Equinix,

Inc.,

REIT

61

38,099

Evercore,

Inc.,

Class

A

3,279

151,031

Exelixis,

Inc.*

5,899

101,581

Expedia

Group,

Inc.

49

2,757

F5

Networks,

Inc.*

191

20,366

Facebook,

Inc.,

Class

A*(b)

3,661

610,654

Fair

Isaac

Corp.*

14

4,308

Federated

Hermes,

Inc.,

Class

B

588

11,201

Fidelity

National

Financial,

Inc.

3,302

82,154

First

American

Financial

Corp.

1,715

72,733

First

Citizens

BancShares,

Inc.,

Class

A

92

30,624

First

Solar,

Inc.*

371

13,378

Flex

Ltd.*(c)

14,005

117,292

Fortinet,

Inc.*

384

38,849

General

Dynamics

Corp.

418

55,306

Gilead

Sciences,

Inc.(b)(c)

3,684

275,415

Goldman

Sachs

Group,

Inc.

(The)

927

143,305

HD

Supply

Holdings,

Inc.*

1,878

53,392

Herman

Miller,

Inc.(b)

8,888

197,314

Hershey

Co.

(The)

297

39,353

HollyFrontier

Corp.

5,476

134,217

Hologic,

Inc.*

6,451

226,430

Home

Depot,

Inc.

(The)

1,080

201,647

Honeywell

International,

Inc.

521

69,705

Horizon

Therapeutics

plc*

482

14,277

HP,

Inc.

1,132

19,652

Humana,

Inc.(b)

573

179,933

Huntington

Ingalls

Industries,

Inc.

402

73,248

IAC/InterActiveCorp*

359

64,344

Incyte

Corp.*

2,019

147,851

Ingredion,

Inc.

2,093

158,022

Intel

Corp.(b)

5,871

317,738

International

Business

Machines

Corp.(c)

1,776

197,012

International

Paper

Co.

3,682

114,621

Intuit,

Inc.(b)

602

138,460

IQVIA

Holdings,

Inc.*

1,180

127,275

ITT,

Inc.

2,153

97,660

Jabil,

Inc.

4,233

104,047

Jazz

Pharmaceuticals

plc*

938

93,556

Johnson

&

Johnson(c)

1,517

198,924

Johnson

Controls

International

plc(c)

5,102

137,550

KB

Home

3,088

55,893

Kimberly-Clark

Corp.(c)

1,368

174,926

Laboratory

Corp.

of

America

Holdings*

257

32,482

Lam

Research

Corp.

511

122,640

Lockheed

Martin

Corp.

194

65,756

LyondellBasell

Industries

NV,

Class

A

3,209

159,263

Manhattan

Associates,

Inc.*

511

25,458

ManpowerGroup,

Inc.

3,018

159,924

MEDNAX,

Inc.*

2,701

31,440

Medtronic

plc

1,589

143,296

126

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

17.6%

(continued)

Merck

&

Co.,

Inc.(b)

4,506

$

346,691

Mercury

General

Corp.

643

26,183

MetLife,

Inc.(c)

886

27,085

MGIC

Investment

Corp.

9,419

59,811

Micron

Technology,

Inc.*(b)

3,167

133,204

Microsoft

Corp.(b)

5,537

873,239

Monster

Beverage

Corp.*(c)

2,150

120,959

Moody's

Corp.(c)

196

41,454

MSC

Industrial

Direct

Co.,

Inc.,

Class

A(c)

2,470

135,776

Mylan

NV*

12,618

188,134

NewMarket

Corp.

57

21,824

Northrop

Grumman

Corp.(c)

111

33,583

NortonLifeLock,

Inc.

9,610

179,803

NOW,

Inc.*

3,736

19,278

nVent

Electric

plc

7,523

126,913

NVIDIA

Corp.

213

56,147

O-I

Glass,

Inc.

385

2,737

Oracle

Corp.(c)

6,572

317,624

Oshkosh

Corp.

138

8,878

Parsley

Energy,

Inc.,

Class

A

4,249

24,347

PBF

Energy,

Inc.,

Class

A

6,533

46,254

PepsiCo,

Inc.

327

39,273

Pfizer,

Inc.(b)(c)

6,209

202,662

Philip

Morris

International,

Inc.

109

7,953

Phillips

66

1,172

62,878

Pilgrim's

Pride

Corp.*

4,831

87,538

PolyOne

Corp.

5,534

104,980

Popular,

Inc.

1,912

66,920

PRA

Health

Sciences,

Inc.*

1,048

87,026

Procter

&

Gamble

Co.

(The)

1,409

154,990

Prologis,

Inc.,

REIT

836

67,189

Public

Storage,

REIT

111

22,046

PVH

Corp.

437

16,449

Qorvo,

Inc.*

1,184

95,466

QUALCOMM,

Inc.

1,025

69,341

Qurate

Retail,

Inc.,

Series

A*

12,654

77,253

Ralph

Lauren

Corp.(c)

449

30,007

Raytheon

Co.

219

28,722

Regal

Beloit

Corp.(c)

563

35,441

Regeneron

Pharmaceuticals,

Inc.*(c)

409

199,711

Robert

Half

International,

Inc.

2,391

90,260

S&P

Global,

Inc.

179

43,864

Sabre

Corp.

4,843

28,719

Schneider

National,

Inc.,

Class

B

1,608

31,099

Science

Applications

International

Corp.

82

6,120

Simon

Property

Group,

Inc.,

REIT

376

20,627

Skechers

U.S.A.,

Inc.,

Class

A*(c)

2,116

50,234

Skyworks

Solutions,

Inc.(c)

1,193

106,630

Spirit

AeroSystems

Holdings,

Inc.,

Class

A

1,009

24,145

Sprouts

Farmers

Market,

Inc.*

710

13,199

SS&C

Technologies

Holdings,

Inc.

1,282

56,177

Steel

Dynamics,

Inc.

4,883

110,063

Stifel

Financial

Corp.(c)

2,054

84,789

Synaptics,

Inc.*

543

31,423

Synchrony

Financial(c)

5,629

90,571

SYNNEX

Corp.

3,049

222,882

INVESTMENTS

SHARES

VALUE

United

States

-

17.6%

(continued)

Take-Two

Interactive

Software,

Inc.*

374

$

44,360

Tapestry,

Inc.

1,678

21,730

Target

Corp.

1,000

92,970

Teledyne

Technologies,

Inc.*(c)

83

24,673

Terex

Corp.

3,177

45,622

Texas

Instruments,

Inc.

680

67,952

Textron,

Inc.

5,666

151,112

Tiffany

&

Co.

195

25,253

Timken

Co.

(The)

1,737

56,175

TripAdvisor,

Inc.

1,984

34,502

Twitter,

Inc.*(c)

113

2,775

Tyson

Foods,

Inc.,

Class

A(b)

3,854

223,031

Ulta

Beauty,

Inc.*

57

10,015

United

Airlines

Holdings,

Inc.*

128

4,038

United

Technologies

Corp.

357

33,676

United

Therapeutics

Corp.*

1,747

165,659

UnitedHealth

Group,

Inc.

490

122,196

Universal

Health

Services,

Inc.,

Class

B(c)

1,746

172,994

Valero

Energy

Corp.

402

18,235

VeriSign,

Inc.*

274

49,345

Vertex

Pharmaceuticals,

Inc.*

511

121,592

ViacomCBS,

Inc.(c)

6,190

86,722

Vishay

Intertechnology,

Inc.

7,536

108,594

Walgreens

Boots

Alliance,

Inc.

2,216

101,382

Walmart,

Inc.

1,833

208,265

WESCO

International,

Inc.*

2,670

61,010

Westrock

Co.

1,233

34,845

Wintrust

Financial

Corp.

360

11,830

World

Fuel

Services

Corp.

5,720

144,030

Xerox

Holdings

Corp.(b)

5,940

112,504

Xilinx,

Inc.(c)

243

18,939

Yelp,

Inc.*

473

8,528

Zynga,

Inc.,

Class

A*

1,487

10,186

22,793,473

—

TOTAL

COMMON

STOCKS

(Cost

$34,748,402)

33,758,018

PRINCIPAL

AMOUNT

FOREIGN

GOVERNMENT

SECURITIES

-

1.8%

Federal

Republic

of

Germany

0.10%,

4/15/2023(2)(e)(f)(g)

EUR

75,275

84,748

0.10%,

4/15/2026(2)(e)(f)(g)

313,992

366,059

0.50%,

4/15/2030(2)(e)(f)(g)

1,362,147

1,727,924

French

Republic

1.85%,

7/25/2027(2)(e)(f)(g)

111,022

144,529

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$2,414,598)

2,323,260

U.S.

TREASURY

OBLIGATIONS

-

5.7%

U.S.

Treasury

Inflation

Linked

Notes

0.50%,

1/15/2028(2)

$

2,110,000

2,298,225

0.75%,

7/15/2028(2)

1,650,000

1,813,379

0.88%,

1/15/2029(2)(e)

1,920,000

2,130,742

0.25%,

7/15/2029(2)

1,100,000

1,151,835

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$7,078,176)

7,394,181

127

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

SHORT-TERM

INVESTMENTS

-

56.6%

REPURCHASE

AGREEMENTS

-

8.9%

BANA,

0.25%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$1,855,267,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.88%,

due

1/15/2029(2)

$

1,855,125

$

1,855,125

CITI,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$891,000,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.88%,

due

1/15/2029(2)

891,000

891,000

CITI,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$723,625,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2030(2)

723,625

723,625

CITI,

0.01%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$732,377,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2030(2)

732,375

732,375

CITI,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$1,893,375,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.88%,

due

1/15/2029(2)

1,893,375

1,893,375

JPMS,

0.00%,

dated

3/30/2020,

due

4/9/2020,

repurchase

price

$560,000,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.88%,

due

1/15/2029(2)

560,000

560,000

MPFS,

(0.60)%,

dated

3/26/2020,

due

4/15/2020,

repurchase

price

$793,475,

collateralized

by

Foreign

Government

Securities,

1.85%,

due

7/25/2027(2)

EUR

793,740

877,162

MPFS,

(0.60)%,

dated

3/26/2020,

due

4/15/2020,

repurchase

price

$543,873,

collateralized

by

Foreign

Government

Securities,

0.50%,

due

4/15/2030(2)

544,054

601,234

MPFS,

(0.60)%,

dated

3/26/2020,

due

4/15/2020,

repurchase

price

$760,127,

collateralized

by

Foreign

Government

Securities,

0.10%,

due

4/15/2026(2)

760,380

840,296

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

8.9%

(continued)

MPFS,

(0.60)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$518,498,

collateralized

by

Foreign

Government

Securities,

1.85%,

due

7/25/2027(2)

EUR

518,680

$

564,557

MPFS,

(0.60)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$84,527,

collateralized

by

Foreign

Government

Securities,

0.50%,

due

4/15/2030(2)

84,557

92,036

MPFS,

(0.60)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$294,305,

collateralized

by

Foreign

Government

Securities,

0.10%,

due

4/15/2026(2)

294,408

320,448

MPFS,

(0.60)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$21,876,

collateralized

by

Foreign

Government

Securities,

0.10%,

due

4/15/2023(2)

21,884

23,820

MPFS,

(0.59)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$205,229,

collateralized

by

Foreign

Government

Securities,

0.10%,

due

3/1/2029(2)

205,300

223,459

MPFS,

(0.60)%,

dated

3/24/2020,

due

4/15/2020,

repurchase

price

$242,370,

collateralized

by

Foreign

Government

Securities,

0.50%,

due

4/15/2030(2)

242,459

261,140

MPFS,

(0.65)%,

dated

3/24/2020,

due

4/15/2020,

repurchase

price

$113,305,

collateralized

by

Foreign

Government

Securities,

0.70%,

due

7/25/2030(2)

113,350

122,084

MPFS,

(0.60)%,

dated

3/23/2020,

due

4/15/2020,

repurchase

price

$613,659,

collateralized

by

Foreign

Government

Securities,

0.50%,

due

4/15/2030(2)

613,894

658,494

MPFS,

(0.65)%,

dated

3/25/2020,

due

4/15/2020,

repurchase

price

$228,293,

collateralized

by

Foreign

Government

Securities,

0.70%,

due

7/25/2030(2)

228,380

248,580

128

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

8.9%

(continued)

MPFS,

(0.55)%,

dated

3/18/2020,

due

4/15/2020,

repurchase

price

$113,062,

collateralized

by

Foreign

Government

Securities,

0.70%,

due

7/25/2030(2)

EUR

113,110

$

123,284

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$11,612,094)

11,612,094

SHARES

INVESTMENT

COMPANIES

-

22.5%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(h)(i)

4,409,149

4,409,149

J.P.

Morgan

U.S.

Treasury

Plus

Money

Market

Fund

-

IM

Shares,

0.36%(h)(i)

3

3

Limited

Purpose

Cash

Investment

Fund,

0.85%(h)

24,809,401

24,841,654

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(h)

25,347

25,347

TOTAL

INVESTMENT

COMPANIES

(Cost

$29,242,733)

29,276,153

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

25.2%

U.S.

Treasury

Bills

(0.04)%,

4/30/2020(2)(j)

$

9,677,000

9,676,569

1.55%,

5/7/2020(2)(j)(k)

1,711,000

1,710,891

1.56%,

6/18/2020(2)(j)

1,241,000

1,240,751

1.58%,

6/25/2020(2)(j)

2,482,000

2,481,610

1.57%,

7/2/2020(2)(j)(k)

1,761,000

1,760,550

1.55%,

7/30/2020(2)(j)(k)

1,675,000

1,674,510

1.53%,

8/6/2020(2)(j)(k)

2,280,000

2,279,314

1.52%,

8/13/2020(2)(j)

737,000

736,787

1.45%,

8/27/2020(2)(j)(k)

1,142,000

1,141,576

0.30%,

9/17/2020(2)(j)(k)

357,000

356,902

0.08%,

9/24/2020(2)(j)

9,677,000

9,672,553

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$32,681,314)

32,732,013

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$73,536,141)

73,620,260

TOTAL

LONG

POSITIONS

(Cost

$117,777,317)

117,095,719

SHARES

SHORT

POSITIONS

-

(6.0)%

COMMON

STOCKS

-

(6.0)%

Australia

-

(0.2)%

Alumina

Ltd.(2)

(60,676)

(54,378)

SEEK

Ltd.(2)

(12,709)

(116,138)

Seven

Group

Holdings

Ltd.(2)

(3,908)

(26,890)

(197,406)

—

Canada

-

(0.1)%

Bombardier,

Inc.,

Class

B*

(70,524)

(22,801)

Gildan

Activewear,

Inc.

(1,659)

(21,149)

PrairieSky

Royalty

Ltd.

(16,957)

(89,526)

INVESTMENTS

SHARES

VALUE

Canada

-

(0.1)%

(continued)

West

Fraser

Timber

Co.

Ltd.

(2,483)

$

(47,356)

(180,832)

—

Finland

-

(0.1)%

Nokian

Renkaat

OYJ(2)

(4,668)

(111,463)

Germany

-

(0.3)%

Delivery

Hero

SE(2)*(d)

(1,157)

(85,067)

Deutsche

Bank

AG

(Registered)(2)

(42,344)

(269,184)

thyssenkrupp

AG(2)*

(11,401)

(60,051)

United

Internet

AG

(Registered)(2)

(238)

(6,921)

(421,223)

—

Japan

-

0.0%(a)

Japan

Airport

Terminal

Co.

Ltd.(2)

(800)

(30,745)

Suzuki

Motor

Corp.(2)

(500)

(11,906)

(42,651)

—

Netherlands

-

(0.2)%

Just

Eat

Takeaway(2)*(d)

(948)

(71,690)

OCI

NV(2)*

(5,737)

(68,558)

SBM

Offshore

NV(2)

(5,098)

(67,398)

(207,646)

—

Switzerland

-

0.0%(a)

Temenos

AG

(Registered)(2)*

(472)

(61,525)

United

Kingdom

-

(0.3)%

Ocado

Group

plc(2)*

(23,298)

(349,476)

United

States

-

(4.7)%

2U,

Inc.*

(548)

(11,629)

Acadia

Healthcare

Co.,

Inc.*

(3,322)

(60,959)

Adient

plc*

(2,820)

(25,577)

Agios

Pharmaceuticals,

Inc.*

(1,932)

(68,547)

Albemarle

Corp.

(1,071)

(60,372)

Alnylam

Pharmaceuticals,

Inc.*

(389)

(42,343)

Amcor

plc

(12,120)

(98,414)

Apache

Corp.

(29,618)

(123,803)

Avanos

Medical,

Inc.*

(887)

(23,887)

Axon

Enterprise,

Inc.*

(570)

(40,339)

Baker

Hughes

Co.

(6,541)

(68,681)

BJ's

Wholesale

Club

Holdings,

Inc.*

(266)

(6,775)

Bluebird

Bio,

Inc.*

(1,287)

(59,151)

Boeing

Co.

(The)

(586)

(87,396)

Cabot

Microelectronics

Corp.

(440)

(50,222)

Cabot

Oil

&

Gas

Corp.

(677)

(11,638)

Cantel

Medical

Corp.

(1,065)

(38,234)

Carvana

Co.*

(781)

(43,025)

CenterPoint

Energy,

Inc.

(3,252)

(50,243)

CenturyLink,

Inc.

(281)

(2,658)

Charles

Schwab

Corp.

(The)

(639)

(21,483)

Chemours

Co.

(The)

(705)

(6,253)

Cheniere

Energy,

Inc.*

(5,919)

(198,287)

CNX

Resources

Corp.*

(21,348)

(113,571)

Colfax

Corp.*

(4,782)

(94,684)

Concho

Resources,

Inc.

(374)

(16,026)

Coty,

Inc.,

Class

A

(2,539)

(13,101)

Covetrus,

Inc.*

(11,366)

(92,519)

Cree,

Inc.*

(507)

(17,978)

DexCom,

Inc.*

(146)

(39,313)

Dycom

Industries,

Inc.*

(1,207)

(30,960)

129

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

(4.7)%

(continued)

EchoStar

Corp.,

Class

A*

(1,021)

$

(32,641)

Energizer

Holdings,

Inc.

(4,212)

(127,413)

EQT

Corp.

(25,207)

(178,213)

Equitrans

Midstream

Corp.

(26,001)

(130,785)

Exact

Sciences

Corp.*

(2,507)

(145,406)

Five

Below,

Inc.*

(1,508)

(106,133)

Floor

&

Decor

Holdings,

Inc.,

Class

A*

(1,539)

(49,387)

Freeport-McMoRan,

Inc.

(21,118)

(142,547)

Guardant

Health,

Inc.*

(756)

(52,618)

HealthEquity,

Inc.*

(2,406)

(121,720)

Hess

Corp.

(7,441)

(247,785)

II-VI,

Inc.*

(8,526)

(242,991)

International

Flavors

&

Fragrances,

Inc.

(752)

(76,764)

Knight-Swift

Transportation

Holdings,

Inc.

(1,578)

(51,758)

LendingTree,

Inc.*

(1,364)

(250,144)

Ligand

Pharmaceuticals,

Inc.*

(765)

(55,631)

Marriott

Vacations

Worldwide

Corp.

(98)

(5,447)

Marvell

Technology

Group

Ltd.

(1,189)

(26,907)

Mattel,

Inc.*

(4,564)

(40,209)

MKS

Instruments,

Inc.

(592)

(48,218)

Moderna,

Inc.*

(1,267)

(37,947)

MongoDB,

Inc.*

(111)

(15,156)

National

Fuel

Gas

Co.

(1,876)

(69,956)

National

Oilwell

Varco,

Inc.

(9,877)

(97,091)

Nektar

Therapeutics*

(3,057)

(54,567)

New

York

Times

Co.

(The),

Class

A

(883)

(27,117)

Noble

Energy,

Inc.

(8,812)

(53,224)

Occidental

Petroleum

Corp.

(15,313)

(177,325)

Olin

Corp.

(10,275)

(119,909)

Ollie's

Bargain

Outlet

Holdings,

Inc.*

(1,432)

(66,359)

Patterson-UTI

Energy,

Inc.

(23,797)

(55,923)

Penn

National

Gaming,

Inc.*

(899)

(11,372)

Penumbra,

Inc.*

(392)

(63,241)

Planet

Fitness,

Inc.,

Class

A*

(789)

(38,424)

Pluralsight,

Inc.,

Class

A*

(2,994)

(32,874)

Sage

Therapeutics,

Inc.*

(1,358)

(39,002)

Schlumberger

Ltd.

(7,766)

(104,763)

Scientific

Games

Corp.*

(5,325)

(51,653)

Sinclair

Broadcast

Group,

Inc.,

Class

A

(3,958)

(63,645)

Stericycle,

Inc.*

(1,252)

(60,822)

Transocean

Ltd.*

(145,546)

(168,833)

Trex

Co.,

Inc.*

(207)

(16,589)

Trinity

Industries,

Inc.

(2,013)

(32,349)

Twilio,

Inc.,

Class

A*

(1,136)

(101,661)

Under

Armour,

Inc.,

Class

A*

(6,252)

(57,581)

United

States

Steel

Corp.

(33,458)

(211,120)

Univar

Solutions,

Inc.*

(6,396)

(68,565)

ViaSat,

Inc.*

(464)

(16,667)

Virtu

Financial,

Inc.,

Class

A

(12,013)

(250,111)

Visteon

Corp.*

(1,387)

(66,548)

Westinghouse

Air

Brake

Technologies

Corp.

(220)

(10,589)

Wynn

Resorts

Ltd.

(892)

(53,689)

(6,045,457)

—

INVESTMENTS

SHARES

VALUE

Zambia

-

(0.1)%

First

Quantum

Minerals

Ltd.

(24,300)

$

(124,151)

TOTAL

COMMON

STOCKS

(Proceeds$(12,391,184))

(7,741,830)

TOTAL

SHORT

POSITIONS

(Proceeds

$(12,391,184))

(7,741,830)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

84.1%

(Cost

$105,386,133)

109,353,889

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

15.9%(l)

20,593,600

NET

ASSETS

-

100.0%

$129,947,489

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

2,453,803

1.9

%

Consumer

Discretionary

2,561,964

2.0

Consumer

Staples

2,074,480

1.6

Energy

(884,117)

(0.7)

Financials

2,268,111

1.7

Foreign

Government

Securities

2,323,260

1.8

Health

Care

5,657,058

4.4

Industrials

2,760,994

2.1

Information

Technology

6,908,164

5.3

Materials

1,170,902

0.9

Real

Estate

511,863

0.4

U.S.

Treasury

Obligations

7,394,181

5.7

Utilities

532,966

0.4

Short-Term

Investments

73,620,260

56.6

Total

Investments

In

Securities

At

Value

109,353,889

84.1

Other

Assets

in

Excess

of

Liabilities(l)

20,593,600

15.9

Net

Assets

$

129,947,489

100.0%

130

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$14,968,248.

(c)

All

or

a

portion

of

this

security

has

been

rehypothecated

in

connection

with

the

Fund's

Master

Securities

Loan

Agreement

with

State

Street

Bank

and

Trust

Company

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$2,372,663;

additional

securities

sold

but

not

yet

settled

totaling

$1,555,066

were

also

rehypothecated.

(d)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$159,422,

which

represents

approximately

0.12%

of

net

assets

of

the

fund.

(e)

On

3/31/2020,

securities

valued

at

$4,454,002

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(f)

Inflation

protected

security.

(g)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$2,323,260

or

1.79%

of

net

assets.

(h)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(i)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

Reverse

repurchase

agreements

at

March

31,

2020:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

BANA

3/6/2020

1.05%

4/9/2020

USD

$

5,608,800

CITI

3/6/2020

1.05%

4/9/2020

USD

744,625

MPFS

3/13/2020

(0.52)%

4/15/2020

EUR

235,950

MPFS

3/13/2020

(0.50)%

4/15/2020

EUR

1,627,063

MPFS

3/13/2020

(0.50)%

4/15/2020

EUR

527,133

MPFS

3/13/2020

(0.45)%

4/15/2020

EUR

1,576,087

MPFS

3/13/2020

(0.45)%

4/15/2020

EUR

111,323

MPFS

3/13/2020

(0.45)%

4/15/2020

EUR

3,507,928

$

13,938,909

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

March

31,

2020

was

$13,498,486

at

a

net

weighted

average

interest

rate

of

0.220%.

131

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

(62,640)

$

14,112

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/15/2020

USD

(62,640)

14,110

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/03/2020

USD

(1,018,250)

127,336

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(285,110)

22,657

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/05/2020

USD

(478,790)

31,340

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(265,800)

3,724

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(988,566)

84,053

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(56,875)

–

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

369,688

10,989

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

56,250

191

308,512

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

62,640

(27,000)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/15/2020

USD

62,640

(27,065)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

72,390

(21,742)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/12/2020

USD

72,390

(21,755)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

285,110

(70,663)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/03/2020

USD

1,018,250

(253,020)

132

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(36,830)

$

(1,138)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

257,810

(32,271)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/05/2020

USD

478,790

(58,695)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

265,800

(21,365)

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

988,566

(159,672)

Swiss

Market

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

06/19/2020

CHF

(1,367,250)

(103,664)

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

(253,125)

(25,567)

(823,617)

$

(515,105)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

35

Index

8

4/2020

EUR

$

596,766

$

47,894

LME

Aluminum

Base

Metal

1

4/2020

USD

37,538

(7,589)

LME

Aluminum

Base

Metal

3

4/2020

USD

112,868

(23,682)

LME

Aluminum

Base

Metal

3

4/2020

USD

112,911

(21,735)

LME

Aluminum

Base

Metal

4

4/2020

USD

149,665

(30,719)

LME

Aluminum

Base

Metal

5

4/2020

USD

187,169

(38,416)

LME

Aluminum

Base

Metal

5

4/2020

USD

188,256

(35,184)

LME

Aluminum

Base

Metal

13

4/2020

USD

488,173

(99,915)

LME

Aluminum

Base

Metal

15

4/2020

USD

559,946

(115,789)

LME

Copper

Base

Metal

1

4/2020

USD

123,602

(26,214)

LME

Copper

Base

Metal

1

4/2020

USD

123,592

(28,473)

LME

Copper

Base

Metal

1

4/2020

USD

123,656

(15,856)

LME

Copper

Base

Metal

2

4/2020

USD

247,167

(59,014)

LME

Copper

Base

Metal

2

4/2020

USD

247,075

(68,181)

LME

Nickel

Base

Metal

1

4/2020

USD

68,709

(7,494)

LME

Nickel

Base

Metal

1

4/2020

USD

68,637

(16,563)

LME

Nickel

Base

Metal

1

4/2020

USD

68,701

(8,975)

LME

Nickel

Base

Metal

1

4/2020

USD

68,658

(14,565)

LME

Nickel

Base

Metal

1

4/2020

USD

68,633

(15,523)

LME

Zinc

Base

Metal

1

4/2020

USD

47,496

(8,470)

LME

Zinc

Base

Metal

2

4/2020

USD

94,984

(18,597)

133

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Zinc

Base

Metal

3

4/2020

USD

$

142,354

$

(39,380)

RBOB

Gasoline

8

4/2020

USD

199,147

(308,198)

Sugar

No.

11

54

4/2020

USD

630,202

(263,634)

Brent

Crude

Oil

30

5/2020

USD

889,800

(326)

Coffee

'C'

7

5/2020

USD

313,819

32,094

Corn

33

5/2020

USD

562,238

(73,538)

Cotton

No.

2

3

5/2020

USD

76,695

(25,842)

Feeder

Cattle

1

5/2020

USD

61,450

(6,763)

KC

HRW

Wheat

6

5/2020

USD

147,900

1,924

LME

Aluminum

Base

Metal

1

5/2020

USD

37,919

(4,509)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,762

(5,566)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,510

(10,321)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,243

(15,991)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,373

(15,311)

LME

Copper

Base

Metal

1

5/2020

USD

123,663

(20,528)

LME

Copper

Base

Metal

1

5/2020

USD

123,631

(19,731)

LME

Copper

Base

Metal

1

5/2020

USD

123,684

(19,119)

LME

Copper

Base

Metal

1

5/2020

USD

123,684

(20,360)

LME

Copper

Base

Metal

2

5/2020

USD

247,400

(37,850)

LME

Copper

Base

Metal

2

5/2020

USD

247,348

(31,808)

LME

Copper

Base

Metal

3

5/2020

USD

371,003

(62,142)

LME

Lead

Base

Metal

1

5/2020

USD

43,569

(2,371)

LME

Lead

Base

Metal

1

5/2020

USD

43,566

(1,287)

LME

Nickel

Base

Metal

1

5/2020

USD

68,803

(7,250)

LME

Nickel

Base

Metal

1

5/2020

USD

68,787

(6,627)

LME

Zinc

Base

Metal

1

5/2020

USD

47,560

(6,018)

LME

Zinc

Base

Metal

1

5/2020

USD

47,521

(7,257)

LME

Zinc

Base

Metal

2

5/2020

USD

95,138

(4,143)

LME

Zinc

Base

Metal

2

5/2020

USD

95,091

(12,265)

LME

Zinc

Base

Metal

2

5/2020

USD

95,079

(12,502)

LME

Zinc

Base

Metal

3

5/2020

USD

142,610

(18,374)

LME

Zinc

Base

Metal

4

5/2020

USD

190,070

(31,492)

LME

Zinc

Base

Metal

6

5/2020

USD

285,404

(22,502)

NY

Harbor

ULSD

16

5/2020

USD

683,827

(27,077)

RBOB

Gasoline

9

5/2020

USD

249,102

2,363

Silver

6

5/2020

USD

424,680

(109,302)

Wheat

17

5/2020

USD

483,438

18,005

100

oz

Gold

7

6/2020

USD

1,117,620

(40,534)

Australia

10

Year

Bond

39

6/2020

AUD

3,612,987

11,659

Canada

10

Year

Bond

9

6/2020

CAD

940,993

1,734

EURO

STOXX

50

Index

19

6/2020

EUR

575,637

15,064

Euro-Bobl

137

6/2020

EUR

20,429,866

(38,338)

Euro-Bund

76

6/2020

EUR

14,459,857

(21,303)

FTSE/MIB

Index

8

6/2020

EUR

746,619

50,304

Japan

10

Year

Bond

10

6/2020

JPY

14,189,258

(105,849)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,125

(5,003)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,091

(12,681)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,331

(2,234)

LME

Aluminum

Base

Metal

4

6/2020

USD

152,250

(10,582)

LME

Aluminum

Base

Metal

4

6/2020

USD

151,971

(21,067)

LME

Aluminum

Base

Metal

4

6/2020

USD

152,409

(4,748)

LME

Aluminum

Base

Metal

5

6/2020

USD

189,938

(25,411)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,286

(17,566)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,179

(19,574)

LME

Aluminum

Base

Metal

6

6/2020

USD

227,862

(27,343)

LME

Aluminum

Base

Metal

7

6/2020

USD

265,988

(36,498)

134

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

9

6/2020

USD

$

343,350

$

(922)

LME

Aluminum

Base

Metal

12

6/2020

USD

457,419

(4,259)

LME

Aluminum

Base

Metal

64

6/2020

USD

2,436,000

(420,350)

LME

Copper

Base

Metal

1

6/2020

USD

123,700

6,822

LME

Copper

Base

Metal

1

6/2020

USD

123,781

(7,509)

LME

Copper

Base

Metal

1

6/2020

USD

123,803

(15,537)

LME

Copper

Base

Metal

1

6/2020

USD

123,800

(16,478)

LME

Copper

Base

Metal

1

6/2020

USD

123,706

1,128

LME

Copper

Base

Metal

2

6/2020

USD

247,448

(37,720)

LME

Copper

Base

Metal

2

6/2020

USD

247,486

(37,458)

LME

Copper

Base

Metal

2

6/2020

USD

247,463

(38,456)

LME

Copper

Base

Metal

2

6/2020

USD

247,496

6,585

LME

Copper

Base

Metal

4

6/2020

USD

494,868

(73,294)

LME

Copper

Base

Metal

6

6/2020

USD

742,838

(80,017)

LME

Copper

Base

Metal

39

6/2020

USD

4,826,981

(1,054,728)

LME

Lead

Base

Metal

1

6/2020

USD

43,558

(2,758)

LME

Lead

Base

Metal

1

6/2020

USD

43,553

(1,562)

LME

Lead

Base

Metal

1

6/2020

USD

43,552

(2,576)

LME

Lead

Base

Metal

2

6/2020

USD

87,110

(2,471)

LME

Lead

Base

Metal

10

6/2020

USD

435,625

(45,155)

LME

Nickel

Base

Metal

1

6/2020

USD

68,844

(8,289)

LME

Nickel

Base

Metal

1

6/2020

USD

68,856

(8,795)

LME

Nickel

Base

Metal

1

6/2020

USD

68,862

(6,621)

LME

Nickel

Base

Metal

1

6/2020

USD

68,826

(6,732)

LME

Nickel

Base

Metal

10

6/2020

USD

688,770

(157,836)

LME

Zinc

Base

Metal

1

6/2020

USD

47,586

(2,267)

LME

Zinc

Base

Metal

1

6/2020

USD

47,638

460

LME

Zinc

Base

Metal

1

6/2020

USD

47,575

1,916

LME

Zinc

Base

Metal

1

6/2020

USD

47,581

(3,022)

LME

Zinc

Base

Metal

3

6/2020

USD

142,849

(3,560)

LME

Zinc

Base

Metal

36

6/2020

USD

1,714,275

(404,166)

Long

Gilt

40

6/2020

GBP

6,766,464

201,894

Low

Sulphur

Gasoil

12

6/2020

USD

362,100

1,792

U.S.

Treasury

10

Year

Note

194

6/2020

USD

26,905,376

966,519

U.S.

Treasury

5

Year

Note

175

6/2020

USD

21,937,892

597,976

Cocoa

5

7/2020

USD

112,950

(13,601)

Silver

1

7/2020

USD

70,955

(429)

Soybean

9

7/2020

USD

400,275

9,340

Soybean

Meal

9

7/2020

USD

287,010

(2,383)

(2,782,547)

Short

Contracts

Amsterdam

Exchange

Index

(3)

4/2020

EUR

(319,409)

(18,817)

Hang

Seng

Index

(2)

4/2020

HKD

(305,956)

(1,941)

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,538)

7,597

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,911)

21,855

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,868)

23,323

LME

Aluminum

Base

Metal

(4)

4/2020

USD

(149,665)

30,023

LME

Aluminum

Base

Metal

(5)

4/2020

USD

(187,169)

37,879

LME

Aluminum

Base

Metal

(5)

4/2020

USD

(188,256)

35,604

LME

Aluminum

Base

Metal

(13)

4/2020

USD

(488,173)

100,526

LME

Aluminum

Base

Metal

(15)

4/2020

USD

(559,946)

112,580

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,592)

27,765

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,602)

25,791

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,656)

16,278

LME

Copper

Base

Metal

(2)

4/2020

USD

(247,167)

59,323

LME

Copper

Base

Metal

(2)

4/2020

USD

(247,075)

68,394

135

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Nickel

Base

Metal

(1)

4/2020

USD

$

(68,658)

$

14,829

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,637)

16,560

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,709)

7,080

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,633)

15,071

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,701)

7,785

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,496)

8,251

LME

Zinc

Base

Metal

(2)

4/2020

USD

(94,984)

16,951

LME

Zinc

Base

Metal

(3)

4/2020

USD

(142,354)

38,925

Natural

Gas

(6)

4/2020

USD

(98,400)

16,101

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,762)

5,569

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,919)

4,278

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,510)

10,919

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,373)

15,557

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,243)

15,412

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,663)

20,285

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,631)

19,429

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,684)

20,463

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,684)

18,538

LME

Copper

Base

Metal

(2)

5/2020

USD

(247,400)

37,544

LME

Copper

Base

Metal

(2)

5/2020

USD

(247,348)

34,095

LME

Copper

Base

Metal

(3)

5/2020

USD

(371,003)

62,900

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,569)

2,247

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,566)

1,609

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,787)

6,594

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,803)

6,756

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,560)

5,890

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,521)

7,499

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,091)

12,408

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,138)

5,529

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,079)

12,300

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,610)

18,444

LME

Zinc

Base

Metal

(4)

5/2020

USD

(190,070)

29,692

LME

Zinc

Base

Metal

(6)

5/2020

USD

(285,404)

22,571

Natural

Gas

(7)

5/2020

USD

(122,920)

1,024

Soybean

(3)

5/2020

USD

(132,900)

1,651

Soybean

Oil

(7)

5/2020

USD

(113,442)

(3,403)

WTI

Crude

Oil

(25)

5/2020

USD

(612,750)

20,397

DAX

Index

(2)

6/2020

EUR

(546,349)

(18,401)

FTSE

100

Index

(24)

6/2020

GBP

(1,679,965)

(118,789)

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,125)

5,185

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,091)

12,499

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,331)

1,891

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(152,409)

4,502

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(152,250)

8,616

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(151,971)

21,192

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(189,938)

25,048

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,286)

18,022

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,179)

19,478

LME

Aluminum

Base

Metal

(6)

6/2020

USD

(227,862)

28,045

LME

Aluminum

Base

Metal

(7)

6/2020

USD

(265,988)

36,267

LME

Aluminum

Base

Metal

(9)

6/2020

USD

(343,350)

(364)

LME

Aluminum

Base

Metal

(12)

6/2020

USD

(457,419)

4,551

LME

Aluminum

Base

Metal

(56)

6/2020

USD

(2,131,500)

123,535

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,781)

8,081

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,706)

(2,417)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,800)

16,125

136

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

6/2020

USD

$

(123,803)

$

14,851

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,700)

(5,315)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,496)

(7,151)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,486)

37,612

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,448)

36,852

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,463)

37,635

LME

Copper

Base

Metal

(4)

6/2020

USD

(494,868)

72,212

LME

Copper

Base

Metal

(6)

6/2020

USD

(742,838)

80,780

LME

Copper

Base

Metal

(31)

6/2020

USD

(3,836,831)

527,385

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,558)

2,535

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,552)

2,073

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,553)

1,140

LME

Lead

Base

Metal

(2)

6/2020

USD

(87,110)

1,666

LME

Lead

Base

Metal

(7)

6/2020

USD

(304,938)

12,952

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,826)

6,469

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,862)

5,804

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,844)

7,707

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,856)

8,381

LME

Nickel

Base

Metal

(13)

6/2020

USD

(895,401)

114,006

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,586)

1,996

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,575)

(1,196)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,638)

(971)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,581)

3,167

LME

Zinc

Base

Metal

(3)

6/2020

USD

(142,849)

3,389

LME

Zinc

Base

Metal

(34)

6/2020

USD

(1,619,038)

184,340

S&P

500

E-Mini

Index

(64)

6/2020

USD

(8,223,040)

(632,439)

S&P

Midcap

400

E-Mini

Index

(8)

6/2020

USD

(1,150,240)

(120,083)

S&P/TSX

60

Index

(7)

6/2020

CAD

(809,977)

(52,387)

SPI

200

Index

(7)

6/2020

AUD

(549,946)

15,199

Sugar

No.

11

(50)

6/2020

USD

(588,000)

77,871

TOPIX

Index

(16)

6/2020

JPY

(2,087,701)

(179,051)

Coffee

'C'

(3)

7/2020

USD

(135,394)

(9,729)

Corn

(76)

7/2020

USD

(1,314,800)

9,602

Cotton

No.

2

(2)

7/2020

USD

(50,900)

7,718

KC

HRW

Wheat

(3)

7/2020

USD

(74,925)

(8,437)

Soybean

Oil

(1)

7/2020

USD

(16,416)

(91)

1,553,488

$

(1,229,059)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

500,000

USD

302,455

CITI

6/17/2020

$

5,158

AUD

500,000

USD

302,456

JPMC

6/17/2020

5,157

CAD

659,000

USD

466,415

CITI

6/17/2020

2,201

CAD

659,000

USD

466,416

JPMC

6/17/2020

2,200

CHF

158,000

USD

162,764

CITI

6/17/2020

1,994

CHF

158,000

USD

162,765

JPMC

6/17/2020

1,994

CLP

50,062,508

USD

57,893

CITI

**

6/17/2020

716

CLP

50,062,492

USD

57,893

JPMC

**

6/17/2020

716

DKK

42,000

USD

6,207

CITI

6/17/2020

15

137

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

DKK

42,000

USD

6,207

JPMC

6/17/2020

$

15

EUR

2,896,500

USD

3,175,922

CITI

6/17/2020

28,026

EUR

2,895,500

USD

3,174,847

JPMC

6/17/2020

27,997

GBP

1,422,000

USD

1,728,267

CITI

6/17/2020

40,375

GBP

1,422,000

USD

1,728,269

JPMC

6/17/2020

40,373

HKD

3,188,500

USD

410,966

CITI

6/17/2020

187

HKD

3,188,500

USD

410,966

JPMC

6/17/2020

186

JPY

322,246,000

USD

2,963,805

CITI

6/17/2020

42,980

JPY

322,246,000

USD

2,963,809

JPMC

6/17/2020

42,976

KRW

331,358,958

USD

270,915

CITI

**

6/17/2020

1,663

KRW

331,358,958

USD

270,915

JPMC

**

6/17/2020

1,662

MXN

1,562,000

USD

63,944

CITI

6/17/2020

1,155

MXN

1,562,000

USD

63,944

JPMC

6/17/2020

1,155

NOK

8,989,500

USD

834,620

CITI

6/17/2020

30,302

NOK

8,989,500

USD

834,621

JPMC

6/17/2020

30,301

NZD

300,000

USD

172,964

CITI

6/17/2020

5,937

NZD

300,000

USD

172,964

JPMC

6/17/2020

5,936

RUB

13,149,000

USD

161,778

CITI

**

6/17/2020

4,616

RUB

13,149,000

USD

161,778

JPMC

**

6/17/2020

4,616

SEK

5,640,500

USD

550,450

CITI

6/17/2020

20,693

SEK

5,640,500

USD

550,451

JPMC

6/17/2020

20,693

SGD

296,000

USD

208,223

CITI

6/17/2020

276

SGD

296,000

USD

208,223

JPMC

6/17/2020

275

USD

1,479,562

AUD

2,252,000

CITI

6/17/2020

94,074

USD

1,479,561

AUD

2,252,000

JPMC

6/17/2020

94,072

USD

804,562

BRL

3,794,000

CITI

**

6/17/2020

77,939

USD

804,561

BRL

3,794,000

JPMC

**

6/17/2020

77,938

USD

1,519,197

CAD

2,070,993

CITI

6/17/2020

46,513

USD

1,519,205

CAD

2,071,007

JPMC

6/17/2020

46,511

USD

1,043,322

CHF

983,378

CITI

6/17/2020

17,880

USD

1,043,314

CHF

983,372

JPMC

6/17/2020

17,879

USD

18,746

CLP

15,276,508

CITI

**

6/17/2020

861

USD

18,745

CLP

15,276,492

JPMC

**

6/17/2020

861

USD

1,249,051

CNY

8,739,500

CITI

**

6/17/2020

17,973

USD

1,249,049

CNY

8,739,500

JPMC

**

6/17/2020

17,972

USD

917,097

CZK

21,415,000

CITI

6/17/2020

54,557

USD

917,096

CZK

21,415,000

JPMC

6/17/2020

54,555

USD

13,550

DKK

90,500

CITI

6/17/2020

143

USD

13,550

DKK

90,500

JPMC

6/17/2020

143

USD

6,375,920

EUR

5,677,939

CITI

6/17/2020

95,294

USD

6,347,012

EUR

5,651,939

JPMC

6/17/2020

95,148

USD

5,195,052

GBP

4,025,322

CITI

6/17/2020

188,476

USD

5,195,000

GBP

4,025,287

JPMC

6/17/2020

188,469

USD

282,792

HUF

86,358,500

CITI

6/17/2020

18,275

USD

282,791

HUF

86,358,500

JPMC

6/17/2020

18,275

USD

2,291,231

INR

171,630,500

CITI

**

6/17/2020

59,881

USD

2,291,227

INR

171,630,500

JPMC

**

6/17/2020

59,877

USD

734,898

JPY

77,053,000

CITI

6/17/2020

15,939

USD

734,897

JPY

77,053,000

JPMC

6/17/2020

15,937

USD

651,331

KRW

785,155,000

CITI

**

6/17/2020

5,459

USD

651,330

KRW

785,155,000

JPMC

**

6/17/2020

5,459

USD

2,250,088

MXN

47,231,500

CITI

6/17/2020

281,619

USD

2,250,085

MXN

47,231,500

JPMC

6/17/2020

281,617

USD

4,070,580

NOK

37,924,496

CITI

6/17/2020

421,684

USD

4,070,576

NOK

37,924,504

JPMC

6/17/2020

421,677

USD

1,033,426

NZD

1,650,000

CITI

6/17/2020

49,473

USD

1,033,425

NZD

1,650,000

JPMC

6/17/2020

49,472

USD

837,352

PLN

3,314,500

CITI

6/17/2020

36,384

138

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

837,351

PLN

3,314,500

JPMC

6/17/2020

$

36,383

USD

672,168

RUB

48,016,500

CITI

**

6/17/2020

64,540

USD

672,167

RUB

48,016,500

JPMC

**

6/17/2020

64,539

USD

720,604

SEK

6,945,500

CITI

6/17/2020

17,321

USD

720,603

SEK

6,945,500

JPMC

6/17/2020

17,320

USD

374,779

SGD

521,502

CITI

6/17/2020

7,440

USD

374,776

SGD

521,498

JPMC

6/17/2020

7,439

USD

1,523,078

ZAR

24,668,000

CITI

6/17/2020

157,794

USD

1,523,076

ZAR

24,668,000

JPMC

6/17/2020

157,792

Total

unrealized

appreciation

3,831,400

AUD

3,359,000

USD

2,168,230

CITI

6/17/2020

(101,689)

AUD

3,359,000

USD

2,168,233

JPMC

6/17/2020

(101,691)

BRL

4,053,504

USD

893,944

CITI

**

6/17/2020

(117,621)

BRL

4,053,496

USD

893,944

JPMC

**

6/17/2020

(117,622)

CAD

116,501

USD

87,327

CITI

6/17/2020

(4,484)

CAD

116,499

USD

87,326

JPMC

6/17/2020

(4,484)

CHF

2,144,000

USD

2,256,434

CITI

6/17/2020

(20,725)

CHF

2,144,000

USD

2,256,437

JPMC

6/17/2020

(20,728)

CLP

7,108,500

USD

8,371

CITI

**

6/17/2020

(48)

CLP

7,108,500

USD

8,371

JPMC

**

6/17/2020

(48)

CNY

13,562,497

USD

1,934,671

CITI

**

6/17/2020

(24,209)

CNY

13,562,503

USD

1,934,674

JPMC

**

6/17/2020

(24,211)

CZK

26,902,500

USD

1,158,502

CITI

6/17/2020

(74,940)

CZK

26,902,500

USD

1,158,504

JPMC

6/17/2020

(74,942)

DKK

2,135,000

USD

316,362

CITI

6/17/2020

(66)

DKK

2,135,000

USD

316,363

JPMC

6/17/2020

(67)

EUR

10,488,500

USD

11,760,463

CITI

6/17/2020

(158,656)

EUR

10,488,500

USD

11,760,477

JPMC

6/17/2020

(158,672)

GBP

1,178,500

USD

1,508,366

CITI

6/17/2020

(42,583)

GBP

1,178,498

USD

1,508,365

JPMC

6/17/2020

(42,585)

HUF

153,955,008

USD

500,534

CITI

6/17/2020

(28,970)

HUF

153,954,992

USD

500,535

JPMC

6/17/2020

(28,970)

INR

278,683,008

USD

3,806,141

CITI

**

6/17/2020

(183,012)

INR

278,682,992

USD

3,806,145

JPMC

**

6/17/2020

(183,017)

JPY

141,650,000

USD

1,354,722

CITI

6/17/2020

(33,026)

JPY

141,650,000

USD

1,354,724

JPMC

6/17/2020

(33,028)

KRW

1,723,283,044

USD

1,436,474

CITI

**

6/17/2020

(18,894)

KRW

1,723,283,039

USD

1,436,476

JPMC

**

6/17/2020

(18,895)

MXN

74,673,993

USD

3,814,673

CITI

6/17/2020

(702,484)

MXN

74,674,007

USD

3,814,678

JPMC

6/17/2020

(702,489)

NOK

28,050,000

USD

2,929,374

CITI

6/17/2020

(230,549)

NOK

28,050,000

USD

2,929,378

JPMC

6/17/2020

(230,553)

NZD

4,250,000

USD

2,693,307

CITI

6/17/2020

(158,882)

NZD

4,250,000

USD

2,693,311

JPMC

6/17/2020

(158,885)

PLN

5,696,000

USD

1,462,209

CITI

6/17/2020

(85,737)

PLN

5,696,000

USD

1,462,211

JPMC

6/17/2020

(85,739)

RUB

61,190,496

USD

919,075

CITI

**

6/17/2020

(144,736)

RUB

61,190,504

USD

919,076

JPMC

**

6/17/2020

(144,737)

SEK

8,284,000

USD

869,902

CITI

6/17/2020

(31,085)

SEK

8,284,000

USD

869,903

JPMC

6/17/2020

(31,086)

USD

898,735

AUD

1,523,000

CITI

6/17/2020

(38,252)

USD

898,734

AUD

1,523,000

JPMC

6/17/2020

(38,253)

USD

793,391

CAD

1,133,500

CITI

6/17/2020

(12,642)

USD

793,390

CAD

1,133,500

JPMC

6/17/2020

(12,643)

USD

2,067,376

CHF

2,009,130

CITI

6/17/2020

(27,695)

USD

2,067,363

CHF

2,009,120

JPMC

6/17/2020

(27,698)

USD

85,424

CNY

608,000

CITI

**

6/17/2020

(221)

USD

85,424

CNY

608,000

JPMC

**

6/17/2020

(221)

139

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

MULTI-ASSET

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

113,984

CZK

2,920,500

CITI

6/17/2020

$

(3,646)

USD

113,984

CZK

2,920,500

JPMC

6/17/2020

(3,646)

USD

427,593

DKK

2,941,000

CITI

6/17/2020

(8,111)

USD

427,592

DKK

2,941,000

JPMC

6/17/2020

(8,112)

USD

13,974,291

EUR

12,822,301

CITI

6/17/2020

(209,037)

USD

13,970,990

EUR

12,819,295

JPMC

6/17/2020

(209,016)

USD

1,064,004

GBP

883,500

CITI

6/17/2020

(34,866)

USD

1,064,003

GBP

883,500

JPMC

6/17/2020

(34,868)

USD

821,896

HKD

6,385,000

CITI

6/17/2020

(1,440)

USD

821,895

HKD

6,385,000

JPMC

6/17/2020

(1,441)

USD

67,669

HUF

22,340,500

CITI

6/17/2020

(759)

USD

67,669

HUF

22,340,500

JPMC

6/17/2020

(760)

USD

558,416

INR

43,473,000

CITI

**

6/17/2020

(6,772)

USD

558,416

INR

43,473,000

JPMC

**

6/17/2020

(6,773)

USD

4,233,875

JPY

466,585,000

CITI

6/17/2020

(119,696)

USD

4,233,870

JPY

466,585,000

JPMC

6/17/2020

(119,701)

USD

440,480

KRW

538,074,000

CITI

**

6/17/2020

(2,143)

USD

440,479

KRW

538,074,000

JPMC

**

6/17/2020

(2,144)

USD

459,003

MXN

11,224,000

CITI

6/17/2020

(8,779)

USD

459,002

MXN

11,224,000

JPMC

6/17/2020

(8,780)

USD

373,631

NOK

4,038,500

CITI

6/17/2020

(14,933)

USD

373,631

NOK

4,038,500

JPMC

6/17/2020

(14,932)

USD

297,504

NZD

500,000

CITI

6/17/2020

(664)

USD

297,504

NZD

500,000

JPMC

6/17/2020

(664)

USD

377,923

PLN

1,591,000

CITI

6/17/2020

(6,552)

USD

377,922

PLN

1,591,000

JPMC

6/17/2020

(6,553)

USD

129,789

RUB

10,395,000

CITI

**

6/17/2020

(1,755)

USD

129,789

RUB

10,395,000

JPMC

**

6/17/2020

(1,755)

USD

76,373

SEK

781,000

CITI

6/17/2020

(2,710)

USD

76,373

SEK

781,000

JPMC

6/17/2020

(2,710)

USD

75,127

SGD

108,500

CITI

6/17/2020

(1,299)

USD

75,127

SGD

108,500

JPMC

6/17/2020

(1,299)

ZAR

30,981,002

USD

1,989,502

CITI

6/17/2020

(274,817)

ZAR

30,981,000

USD

1,989,504

JPMC

6/17/2020

(274,820)

Total

unrealized

depreciation

(5,878,423)

Net

unrealized

depreciation

$

(2,047,023)

**

Non-deliverable

forward.

140

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

91.7%

COMMON

STOCKS

-

10.6%

Brazil

-

0.1%

Gol

Linhas

Aereas

Inteligentes

SA,

ADR*(a)

18,098

$

77,279

China

-

0.0%(b)

Trip.com

Group

Ltd.,

ADR*

1,067

25,021

United

States

-

10.5%

Clovis

Oncology,

Inc.*(a)

4,996

31,775

Illumina,

Inc.*(a)

16

4,370

Intercept

Pharmaceuticals,

Inc.*(a)

9

567

MINDBODY,

Inc.,

Class

A(3)*(c)(d)

93,547

3,266,103

Panera

Bread

Co.,

Class

A(3)*(c)(d)

38,740

–

Precigen

,

Inc.*(a)

21,205

72,097

RH*(a)

4

402

Sirius

XM

Holdings,

Inc.(a)

289

1,428

Tesla,

Inc.*(a)

3,757

1,968,668

Wayfair,

Inc.,

Class

A*(a)

8,396

448,682

5,794,092

—

TOTAL

COMMON

STOCKS

(Cost

$5,991,513)

5,896,392

PRINCIPAL

AMOUNT

CORPORATE

BONDS

-

0.4%

United

States

-

0.4%

SunEdison,

Inc.

2.00%,

10/1/2018(3)(a)(c)(e)

$

5,950,000

119,000

2.75%,

1/1/2021(3)(a)(c)(e)

4,925,000

98,500

TOTAL

CORPORATE

BONDS

(Cost

$15,555,747)

217,500

CONVERTIBLE

BONDS

-

2.9%

Brazil

-

0.8%

GOL

Equity

Finance

SA

3.75%,

7/15/2024(2)(a)(f)

1,175,000

432,547

United

States

-

2.1%

Precigen

,

Inc.

3.50%,

7/1/2023(2)(a)

2,025,000

997,312

SunEdison,

Inc.

0.25%,

1/15/2020(3)(a)(c)(e)

8,325,000

166,500

1,163,812

TOTAL

CONVERTIBLE

BONDS

(Cost

$12,239,094)

1,596,359

SHARES

SHORT-TERM

INVESTMENTS

-

77.8%

INVESTMENT

COMPANIES

-

71.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(g)(h)

16,093,541

16,093,541

Limited

Purpose

Cash

Investment

Fund,

0.85%(g)(

i

)

23,599,586

23,630,266

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(g)

47,726

47,726

TOTAL

INVESTMENT

COMPANIES

(Cost

$39,764,745)

39,771,533

—

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

6.0%

U.S.

Treasury

Bills

1.81%,

4/2/2020(2)(j)

$

826,000

$

826,000

1.45%,

8/27/2020(2)(j)(k)

1,714,000

1,713,364

(0.02)%,

9/17/2020(2)(j)

400,000

399,890

0.06%,

9/24/2020(2)(j)

400,000

399,816

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$3,329,740)

3,339,070

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$43,094,485)

43,110,603

TOTAL

LONG

POSITIONS

(Cost

$76,880,839)

50,820,854

SHARES

SHORT

POSITIONS

-

(8.7)%

COMMON

STOCKS

-

(4.5)%

China

-

0.0%(b)

Trip.com

Group

Ltd.,

ADR*

(1,067)

(25,021)

United

States

-

(4.5)%

Clovis

Oncology,

Inc.*

(4,996)

(31,775)

Illumina,

Inc.*

(16)

(4,370)

Intercept

Pharmaceuticals,

Inc.*

(9)

(567)

RH*

(4)

(402)

Sirius

XM

Holdings,

Inc.

(289)

(1,428)

Tesla,

Inc.*

(3,757)

(1,968,667)

Wayfair,

Inc.,

Class

A*

(8,396)

(448,682)

(2,455,891)

—

TOTAL

COMMON

STOCKS

(Proceeds$(2,896,340))

(2,480,912)

CONVERTIBLE

PREFERRED

STOCKS

-

(1.1)%

Canada

-

(1.1)%

GFL

Environmental,

Inc.

$50

par,

6.00%,

3/15/2023(2)

(Proceeds

$(541,061))

(13,100)

(599,849)

PRINCIPAL

AMOUNT

CONVERTIBLE

BONDS

-

(3.1)%

Canada

-

(3.1)%

Element

Fleet

Management

Corp.

4.25%,

6/30/2020(2)

(Proceeds

$(1,703,173))

CAD

(2,500,000)

(1,714,276)

TOTAL

SHORT

POSITIONS

(Proceeds

$(5,140,574))

(4,795,037)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

83.0%

(Cost

$71,740,265)

46,025,817

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

17.0%(l)

9,370,918

NET

ASSETS

-

100.0%

$55,396,735

141

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$4,483,969.

In

addition,

$4,012,308

of

cash

collateral

was

pledged.

(b)

Represents

less

than

0.05%

of

net

assets.

(c)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$3,650,103,

which

represents

approximately

6.59%

of

net

assets

of

the

fund.

(d)

Restricted

Security.

(e)

Defaulted

security.

(f)

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

March

31,

2020

amounted

to

$432,547,

which

represents

approximately

0.78%

of

net

assets

of

the

fund.

(g)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(i)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(j)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(k)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(l)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures,

swap

and

written

options

contracts.

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

–

0.0

%

(b)

Consumer

Discretionary

–

0.0(b)

Financials

(1,714,276)

(3.1)

Health

Care

1,069,410

1.9

Industrials

(90,023)

(0.2)

Information

Technology

3,650,103

6.6

Short-Term

Investments

43,110,603

77.8

Total

Investments

In

Securities

At

Value

46,025,817

83.0

Other

Assets

in

Excess

of

Liabilities(l)

9,370,918

17.0

Net

Assets

$

55,396,735

100.0%

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

42.7%

INVESTMENT

COMPANIES

-

42.7%

Limited

Purpose

Cash

Investment

Fund,

0.85%^(a)

(Cost

$23,623,478)

$61,268,016

$250,383,770

$(288,062,192)

$46,782

$(6,110)

$23,630,266

23,599,586

191,580

^    No

longer

affiliated

as

of

March

31,

2020.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

(3)

Level

3

security.

142

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Credit

default

swap

contracts

outstanding

-

buy

protection

as

of

March

31,

2020:

Exchange

Cleared

REFERENCE

ENTITY

FINANCING

RATE

PAID

PAYMENT

FREQUENCY

MATURITY

DATE

CREDIT

SPREAD

NOTIONAL

AMOUNT

UPFRONT

PAYMENTS

(RECEIPTS)

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

iTraxx

Europe

Crossover

Series

33.V1

5.00

%

Quarterly

6/20/2025

5.72

%

EUR

189,000

$

7,040

$

(1,136)

$

5,904

Markit

CDX

North

America

High

Yield

Index

Series

34.V1

5.00

Quarterly

6/20/2025

6.51

USD

4,196,000

232,582

21,827

254,409

Markit

CDX

North

America

Investment

Grade

Index

Series

34.V1

1.00

Quarterly

6/20/2025

1.14

USD

1,600,000

22,001

(11,306)

10,695

261,623

9,385

271,008

iTraxx

Europe

Series

33.V1

1.00

%

Quarterly

6/20/2025

0.97

%

EUR

1,512,000

$

2,051

$

(5,430)

$

(3,379)

2,051

(5,430)

(3,379)

$

263,674

$

3,955

$

267,629

Written

Call

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

2

GBP

(113,439)

GBP

5,850.00

5/15/2020

$

(5,353)

U.S.

Treasury

10

Year

Note

MSCL

1

USD

(100,000)

USD

135.00

5/22/2020

(4,063)

U.S.

Treasury

10

Year

Note

MSCL

2

USD

(200,000)

USD

136.00

4/24/2020

(5,813)

U.S.

Treasury

10

Year

Note

MSCL

2

USD

(200,000)

USD

136.50

5/22/2020

(5,563)

U.S.

Treasury

10

Year

Note

MSCL

1

USD

(100,000)

USD

137.50

4/24/2020

(1,656)

U.S.

Treasury

30

Year

Bond

MSCL

2

USD

(200,000)

USD

182.00

5/22/2020

(5,125)

(27,573)

Written

Put

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

2

GBP

(113,439)

GBP

4,900.00

5/15/2020

$

(2,832)

FTSE

100

Index

JPMS

2

GBP

(113,439)

GBP

5,100.00

5/15/2020

(3,826)

FTSE

100

Index

JPMS

1

GBP

(56,720)

GBP

5,200.00

4/17/2020

(1,000)

FTSE

100

Index

JPMS

2

GBP

(113,439)

GBP

5,300.00

5/15/2020

(5,117)

FTSE

100

Index

JPMS

2

GBP

(113,439)

GBP

5,600.00

5/15/2020

(7,738)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

16,750.00

5/8/2020

(4,557)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

18,000.00

5/8/2020

(7,161)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

18,500.00

5/8/2020

(8,603)

Nikkei

225

Index

JPMS

2

JPY

(37,834,020)

JPY

19,000.00

5/8/2020

(20,832)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

19,750.00

5/8/2020

(13,764)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

20,250.00

5/8/2020

(16,554)

U.S.

Treasury

10

Year

Note

MSCL

1

USD

(100,000)

USD

139.50

4/24/2020

(1,375)

(93,359)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($101,306))

$

(120,932)

143

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Written

Call

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

GSCO

3

EUR

(300,000)

EUR

174.50

4/24/2020

$

2,605

$

2,605

Written

Put

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

GSCO

3

EUR

(300,000)

EUR

172.50

4/24/2020

$

(3,067)

Euro-Bund

June

Futures

GSCO

6

EUR

(600,000)

EUR

173.50

4/24/2020

(8,101)

$

(11,168)

Total

Written

Option

Contracts

(Futures

Style)

$

(8,563)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/28/2020

HKD

481,700

$

287

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(733,140)

123,282

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(110,490)

6,577

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(2,923,800)

44,135

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(1,683,400)

18,782

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(132,900)

1,881

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

1,683,400

10,192

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

2,658,000

26,568

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

868,050

33,891

144

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

1,864,700

$

82,001

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(16,206)

2,054

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

06/19/2020

CHF

729,200

41,345

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/15/2020

TWD

5,757,000

22

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

682,500

24,258

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

881,563

29,952

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(344,432)

15,021

MSCI

Emerging

Markets

Thailand

Net

Total

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.30%)

Monthly

JPMC

06/17/2020

USD

(224,915)

43,945

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

USD

5,595

284

MSCI

Mexico

Net

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.35%)

Monthly

CITI

06/17/2020

MXN

(7,114,858)

51,458

MSCI

Singapore

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

SIBOR

plus

or

minus

a

specified

spread

(0.00%)

Monthly

CITI

06/17/2020

SGD

(134,381)

16,293

145

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(7,678,582)

$

75,510

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(118,308)

17,688

665,426

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/30/2020

TRY

833,820

(38,944)

Canada

10

Year

Bond

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

06/19/2020

CAD

(4,119,920)

(147,285)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

06/18/2020

ZAR

(678,720)

(2,107)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

JPMC

04/15/2020

BRL

1,455,760

(47,576)

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MSCS

06/11/2020

KRW

118,000,000

(11,616)

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/11/2020

KRW

413,000,000

(37,930)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

733,140

(155,538)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

110,490

(356)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MSCS

04/30/2020

USD

(325,679)

(25,025)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

04/30/2020

USD

(171,410)

(10,903)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

132,900

(3,278)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(1,864,700)

(142,990)

146

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(868,050)

$

(66,450)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(881,563)

(80,761)

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(682,500)

(56,135)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

JPMC

06/19/2020

PLN

(30,380)

(507)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(19,162)

(2,231)

MSCI

Emerging

Markets

Korea

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.20%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

USD

95,538

(14,780)

MSCI

Israel

Daily

Net

Total

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

JPMC

06/19/2020

USD

72,326

(8,822)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.80%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

47,875

(9,693)

(862,927)

$

(197,501)

147

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

5

4/2020

EUR

$

532,348

$

76,333

LME

Aluminum

Base

Metal

1

4/2020

USD

37,609

(7,693)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,700

(6,332)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,538

(7,787)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,399

(8,284)

LME

Aluminum

Base

Metal

2

4/2020

USD

74,868

(15,301)

LME

Aluminum

Base

Metal

3

4/2020

USD

113,138

(17,551)

LME

Aluminum

Base

Metal

6

4/2020

USD

223,979

(46,325)

LME

Copper

Base

Metal

1

4/2020

USD

123,602

(26,245)

LME

Copper

Base

Metal

1

4/2020

USD

123,638

(19,608)

LME

Copper

Base

Metal

1

4/2020

USD

123,629

(22,049)

LME

Copper

Base

Metal

1

4/2020

USD

123,569

(31,187)

LME

Copper

Base

Metal

2

4/2020

USD

247,294

(39,524)

LME

Copper

Base

Metal

4

4/2020

USD

494,325

(132,876)

LME

Copper

Base

Metal

5

4/2020

USD

618,281

(83,509)

LME

Zinc

Base

Metal

1

4/2020

USD

47,496

(8,549)

LME

Zinc

Base

Metal

1

4/2020

USD

47,477

(11,157)

LME

Zinc

Base

Metal

1

4/2020

USD

47,438

(11,657)

LME

Zinc

Base

Metal

1

4/2020

USD

47,473

(12,167)

LME

Zinc

Base

Metal

2

4/2020

USD

94,984

(18,435)

LME

Zinc

Base

Metal

2

4/2020

USD

94,999

(15,086)

OMXS30

Index

14

4/2020

SEK

209,451

9,714

Cocoa

1

5/2020

GBP

21,786

(3,206)

Corn

7

5/2020

USD

119,263

(7,366)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,755

(5,270)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,913

(4,590)

LME

Aluminum

Base

Metal

2

5/2020

USD

75,850

(8,173)

LME

Aluminum

Base

Metal

3

5/2020

USD

113,373

(14,888)

LME

Aluminum

Base

Metal

6

5/2020

USD

226,487

(31,176)

LME

Copper

Base

Metal

1

5/2020

USD

123,681

(15,649)

LME

Copper

Base

Metal

1

5/2020

USD

123,700

(19,540)

LME

Copper

Base

Metal

1

5/2020

USD

123,684

(18,656)

LME

Copper

Base

Metal

2

5/2020

USD

247,379

(40,939)

LME

Copper

Base

Metal

4

5/2020

USD

494,668

(73,574)

LME

Copper

Base

Metal

6

5/2020

USD

742,080

(119,730)

LME

Copper

Base

Metal

9

5/2020

USD

1,113,086

(158,587)

LME

Nickel

Base

Metal

1

5/2020

USD

68,736

(9,579)

LME

Nickel

Base

Metal

1

5/2020

USD

68,787

(7,971)

LME

Zinc

Base

Metal

1

5/2020

USD

47,521

(7,213)

LME

Zinc

Base

Metal

1

5/2020

USD

47,560

(6,125)

LME

Zinc

Base

Metal

1

5/2020

USD

47,568

(2,953)

LME

Zinc

Base

Metal

1

5/2020

USD

47,542

(6,398)

LME

Zinc

Base

Metal

1

5/2020

USD

47,525

(6,890)

LME

Zinc

Base

Metal

1

5/2020

USD

47,569

(2,786)

LME

Zinc

Base

Metal

1

5/2020

USD

47,518

(7,517)

LME

Zinc

Base

Metal

1

5/2020

USD

47,537

(6,204)

LME

Zinc

Base

Metal

2

5/2020

USD

95,135

(7,496)

Silver

1

5/2020

USD

70,780

(403)

Soybean

9

5/2020

USD

398,700

6,223

Soybean

Meal

1

5/2020

USD

32,150

(74)

Wheat

3

5/2020

USD

85,313

361

3

Month

Eurodollar

2

6/2020

USD

497,375

2,972

3

Month

Sterling

2

6/2020

GBP

309,159

56

148

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Australia

10

Year

Bond

12

6/2020

AUD

$

1,111,688

$

3,837

Australia

3

Year

Bond

62

6/2020

AUD

4,466,095

10,000

DJIA

CBOT

E-Mini

Index

1

6/2020

USD

108,755

9,262

EURO

STOXX

50

Index

3

6/2020

EUR

90,890

2,513

Euro-

Bobl

11

6/2020

EUR

1,640,354

(14,389)

Euro-BTP

2

6/2020

EUR

311,922

(8,408)

Euro-OAT

2

6/2020

EUR

368,832

(10,497)

Euro-Schatz

16

6/2020

EUR

1,979,750

(6,201)

FTSE/MIB

Index

9

6/2020

EUR

839,947

98,277

Japan

10

Year

Bond

2

6/2020

JPY

2,837,852

2,137

LME

Aluminum

Base

Metal

1

6/2020

USD

37,998

(4,667)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,110

(651)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,020

(3,712)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,063

(2,547)

LME

Aluminum

Base

Metal

1

6/2020

USD

37,988

(5,083)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,025

(4,542)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,036

(3,755)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,063

(2,515)

LME

Aluminum

Base

Metal

2

6/2020

USD

75,954

(9,399)

LME

Aluminum

Base

Metal

2

6/2020

USD

75,986

(10,531)

LME

Aluminum

Base

Metal

14

6/2020

USD

532,875

(57,127)

LME

Copper

Base

Metal

1

6/2020

USD

123,781

(7,509)

LME

Copper

Base

Metal

1

6/2020

USD

123,734

5,381

LME

Copper

Base

Metal

1

6/2020

USD

123,741

3,231

LME

Copper

Base

Metal

1

6/2020

USD

123,775

4,710

LME

Copper

Base

Metal

1

6/2020

USD

123,706

1,910

LME

Copper

Base

Metal

2

6/2020

USD

247,400

7,869

LME

Copper

Base

Metal

2

6/2020

USD

247,434

(36,136)

LME

Copper

Base

Metal

2

6/2020

USD

247,448

(37,816)

LME

Copper

Base

Metal

3

6/2020

USD

371,400

(48,383)

LME

Copper

Base

Metal

3

6/2020

USD

371,419

(33,352)

LME

Copper

Base

Metal

4

6/2020

USD

494,971

(73,529)

LME

Copper

Base

Metal

4

6/2020

USD

494,925

(76,633)

LME

Copper

Base

Metal

20

6/2020

USD

2,475,375

(338,320)

LME

Nickel

Base

Metal

1

6/2020

USD

68,877

(1,026)

LME

Nickel

Base

Metal

1

6/2020

USD

68,862

(4,791)

LME

Nickel

Base

Metal

1

6/2020

USD

68,832

(7,246)

LME

Nickel

Base

Metal

2

6/2020

USD

137,754

(8,913)

LME

Zinc

Base

Metal

1

6/2020

USD

47,601

(2,651)

LME

Zinc

Base

Metal

1

6/2020

USD

47,589

(2,947)

LME

Zinc

Base

Metal

1

6/2020

USD

47,599

(1,179)

LME

Zinc

Base

Metal

1

6/2020

USD

47,586

(2,016)

LME

Zinc

Base

Metal

1

6/2020

USD

47,584

(2,574)

LME

Zinc

Base

Metal

2

6/2020

USD

95,163

(6,373)

LME

Zinc

Base

Metal

2

6/2020

USD

95,213

(2,768)

LME

Zinc

Base

Metal

13

6/2020

USD

619,044

(32,450)

NASDAQ

100

E-Mini

Index

1

6/2020

USD

155,725

1,929

Russell

2000

E-Mini

Index

39

6/2020

USD

2,237,820

155,012

TOPIX

Index

6

6/2020

JPY

782,888

39,258

U.S.

Treasury

2

Year

Note

2

6/2020

USD

440,766

6,586

U.S.

Treasury

Long

Bond

1

6/2020

USD

179,063

(814)

3

Month

Eurodollar

5

9/2020

USD

1,245,563

7,941

3

Month

Sterling

15

9/2020

GBP

2,320,786

813

ASX

90

Day

Bank

Accepted

Bill

6

9/2020

AUD

3,687,418

758

3

Month

Eurodollar

6

12/2020

USD

1,494,900

9,343

3

Month

Sterling

18

12/2020

GBP

2,784,943

1,073

149

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

ASX

90

Day

Bank

Accepted

Bill

7

12/2020

AUD

$

4,301,881

$

793

3

Month

Eurodollar

4

3/2021

USD

997,150

1,842

3

Month

Sterling

17

3/2021

GBP

2,631,280

1,420

ASX

90

Day

Bank

Accepted

Bill

3

3/2021

AUD

1,843,709

327

3

Month

Euro

Euribor

3

6/2021

EUR

830,525

(484)

3

Month

Eurodollar

1

6/2021

USD

249,275

2,491

3

Month

Sterling

8

6/2021

GBP

1,238,001

2,205

3

Month

Euro

Euribor

3

9/2021

EUR

830,401

(510)

3

Month

Eurodollar

1

9/2021

USD

249,238

2,426

3

Month

Sterling

8

9/2021

GBP

1,237,753

1,999

3

Month

Euro

Euribor

3

12/2021

EUR

830,318

(584)

3

Month

Eurodollar

1

12/2021

USD

249,188

476

3

Month

Sterling

9

12/2021

GBP

1,392,192

2,187

3

Month

Euro

Euribor

2

3/2022

EUR

553,490

(522)

3

Month

Eurodollar

1

3/2022

USD

249,138

496

3

Month

Sterling

9

3/2022

GBP

1,392,122

574

(1,523,090)

Short

Contracts

Brent

Crude

Oil

(4)

4/2020

USD

(105,400)

25,817

FTSE

Bursa

Malaysia

KLCI

Index

(10)

4/2020

MYR

(154,167)

(1,330)

Hang

Seng

Index

(1)

4/2020

HKD

(152,978)

(3,455)

HSCEI

(2)

4/2020

HKD

(124,266)

(223)

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,700)

6,272

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,399)

8,387

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,538)

7,760

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,609)

7,689

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(74,868)

15,152

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(113,138)

17,198

LME

Aluminum

Base

Metal

(6)

4/2020

USD

(223,979)

44,873

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,638)

19,376

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,569)

31,422

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,629)

21,363

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,602)

25,798

LME

Copper

Base

Metal

(2)

4/2020

USD

(247,294)

37,778

LME

Copper

Base

Metal

(4)

4/2020

USD

(494,325)

130,963

LME

Copper

Base

Metal

(5)

4/2020

USD

(618,281)

84,427

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,477)

10,839

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,496)

8,254

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,473)

11,628

LME

Zinc

Base

Metal

(1)

4/2020

USD

(47,438)

11,334

LME

Zinc

Base

Metal

(2)

4/2020

USD

(94,984)

16,951

LME

Zinc

Base

Metal

(2)

4/2020

USD

(94,999)

14,842

MSCI

Singapore

Index

(3)

4/2020

SGD

(59,394)

184

Natural

Gas

(25)

4/2020

USD

(410,000)

41,761

SGX

FTSE

China

A50

Index

(4)

4/2020

USD

(50,400)

29

SGX

NIFTY

50

Index

(5)

4/2020

USD

(85,705)

(7,977)

Sugar

No.

11

(2)

4/2020

USD

(23,341)

1,176

WTI

Crude

Oil

(7)

4/2020

USD

(143,360)

16,057

Copper

(2)

5/2020

USD

(111,400)

2,212

Cotton

No.

2

(1)

5/2020

USD

(25,565)

3,716

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,913)

4,497

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,755)

5,458

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,850)

8,044

LME

Aluminum

Base

Metal

(3)

5/2020

USD

(113,373)

14,952

LME

Aluminum

Base

Metal

(6)

5/2020

USD

(226,487)

30,480

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,684)

18,041

150

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(1)

5/2020

USD

$

(123,700)

$

19,437

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,681)

15,941

LME

Copper

Base

Metal

(2)

5/2020

USD

(247,379)

40,381

LME

Copper

Base

Metal

(4)

5/2020

USD

(494,668)

72,558

LME

Copper

Base

Metal

(6)

5/2020

USD

(742,080)

119,402

LME

Copper

Base

Metal

(9)

5/2020

USD

(1,113,086)

160,158

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,736)

8,513

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,787)

7,774

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,518)

7,408

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,525)

6,477

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,569)

2,091

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,521)

7,519

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,560)

5,889

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,542)

6,724

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,537)

6,184

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,568)

3,454

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,135)

7,647

Low

Sulphur

Gasoil

(1)

5/2020

USD

(29,475)

4,989

Soybean

Oil

(1)

5/2020

USD

(16,206)

(6)

3

Month

Canadian

Bankers

Acceptance

(2)

6/2020

CAD

(352,963)

470

3

Month

Euro

Euribor

(3)

6/2020

EUR

(830,236)

1,193

DAX

Index

(2)

6/2020

EUR

(546,349)

(51,347)

Euro-Bund

(42)

6/2020

EUR

(7,990,974)

23,502

FTSE

100

Index

(7)

6/2020

GBP

(489,990)

(51,755)

FTSE/JSE

Top

40

Index

(7)

6/2020

ZAR

(160,622)

(15,237)

KOSPI

200

Index

(1)

6/2020

KRW

(48,466)

(604)

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,036)

3,336

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,063)

2,485

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,020)

3,465

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,063)

2,157

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(37,998)

4,849

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(37,988)

4,922

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,025)

4,535

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,110)

782

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(75,986)

10,534

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(75,954)

9,415

LME

Aluminum

Base

Metal

(15)

6/2020

USD

(570,938)

66,290

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,741)

(3,023)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,734)

(4,404)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,706)

(1,468)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,781)

7,980

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,775)

(4,439)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,400)

(7,268)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,448)

37,708

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,434)

36,660

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,419)

35,960

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,400)

50,879

LME

Copper

Base

Metal

(4)

6/2020

USD

(494,925)

75,646

LME

Copper

Base

Metal

(4)

6/2020

USD

(494,971)

73,406

LME

Copper

Base

Metal

(18)

6/2020

USD

(2,227,838)

191,993

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,862)

1,875

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,877)

(51)

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,832)

6,975

LME

Nickel

Base

Metal

(3)

6/2020

USD

(206,631)

11,031

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,601)

2,783

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,589)

3,045

151

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

6/2020

USD

$

(47,599)

$

735

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,584)

2,838

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,586)

2,186

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,163)

6,081

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,213)

1,706

LME

Zinc

Base

Metal

(14)

6/2020

USD

(666,663)

44,736

Long

Gilt

(3)

6/2020

GBP

(507,485)

(1,498)

MEX

BOLSA

Index

(4)

6/2020

MXN

(59,724)

2,958

Nikkei

225

Index

(5)

6/2020

JPY

(879,795)

22,453

S&P

500

E-Mini

Index

(103)

6/2020

USD

(13,233,956)

(895,104)

SPI

200

Index

(9)

6/2020

AUD

(707,073)

(30,684)

U.S.

Treasury

10

Year

Note

(26)

6/2020

USD

(3,605,875)

(32,990)

U.S.

Treasury

5

Year

Note

(64)

6/2020

USD

(8,023,000)

(46,851)

3

Month

Canadian

Bankers

Acceptance

(6)

9/2020

CAD

(1,059,795)

1,091

3

Month

Euro

Euribor

(12)

9/2020

EUR

(3,321,935)

634

3

Month

Canadian

Bankers

Acceptance

(7)

12/2020

CAD

(1,236,241)

95

3

Month

Euro

Euribor

(9)

12/2020

EUR

(2,491,823)

(274)

3

Month

Canadian

Bankers

Acceptance

(6)

3/2021

CAD

(1,059,529)

(1,309)

3

Month

Euro

Euribor

(5)

3/2021

EUR

(1,384,346)

(429)

804,939

$

(718,151)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

1,683,000

USD

1,002,519

CITI

6/17/2020

$

32,906

AUD

1,683,000

USD

1,002,521

JPMC

6/17/2020

32,905

CAD

804,000

USD

561,340

CITI

6/17/2020

10,384

CAD

804,000

USD

561,341

JPMC

6/17/2020

10,384

CHF

5,261,938

USD

5,414,818

CITI

6/17/2020

72,200

CHF

5,261,935

USD

5,414,822

JPMC

6/17/2020

72,195

CLP

265,067,000

USD

308,092

CITI

**

6/17/2020

2,227

CLP

265,067,000

USD

308,092

JPMC

**

6/17/2020

2,226

CNY

175,000

USD

24,575

CITI

**

6/17/2020

77

CNY

175,000

USD

24,575

JPMC

**

6/17/2020

77

COP

81,386,000

USD

19,776

CITI

**

6/17/2020

148

COP

81,386,000

USD

19,776

JPMC

**

6/17/2020

148

CZK

1,400,000

USD

55,894

CITI

6/17/2020

494

CZK

1,400,000

USD

55,894

JPMC

6/17/2020

494

EUR

12,611,495

USD

13,837,445

CITI

6/17/2020

112,701

EUR

12,611,505

USD

13,837,473

JPMC

6/17/2020

112,685

GBP

720,000

USD

867,555

CITI

6/17/2020

27,961

GBP

720,000

USD

867,556

JPMC

6/17/2020

27,959

HUF

89,791,500

USD

273,083

CITI

6/17/2020

1,948

HUF

89,791,500

USD

273,084

JPMC

6/17/2020

1,948

ILS

7,178,997

USD

1,959,719

CITI

6/17/2020

75,031

ILS

7,179,003

USD

1,959,723

JPMC

6/17/2020

75,029

INR

258,500

USD

3,307

CITI

**

6/17/2020

53

INR

258,500

USD

3,307

JPMC

**

6/17/2020

53

JPY

4,081,400,499

USD

37,144,925

CITI

6/17/2020

937,455

JPY

4,081,400,499

USD

37,144,971

JPMC

6/17/2020

937,408

152

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

KRW

3,561,642,666

USD

2,878,351

CITI

**

6/17/2020

$

51,472

KRW

3,561,642,666

USD

2,878,355

JPMC

**

6/17/2020

51,470

MXN

195,500

USD

7,982

CITI

6/17/2020

166

MXN

195,500

USD

7,982

JPMC

6/17/2020

166

NOK

1,252,500

USD

117,875

CITI

6/17/2020

2,634

NOK

1,252,500

USD

117,875

JPMC

6/17/2020

2,634

NZD

304,500

USD

174,940

CITI

6/17/2020

6,644

NZD

304,500

USD

174,940

JPMC

6/17/2020

6,644

PHP

195,000

USD

3,710

CITI

**

6/17/2020

66

PHP

195,000

USD

3,710

JPMC

**

6/17/2020

66

SEK

4,085,000

USD

398,736

CITI

6/17/2020

14,902

SEK

4,085,000

USD

398,736

JPMC

6/17/2020

14,900

SGD

94,000

USD

65,077

CITI

6/17/2020

1,135

SGD

94,000

USD

65,077

JPMC

6/17/2020

1,135

TWD

39,517,375

USD

1,309,910

CITI

**

6/17/2020

11,789

TWD

39,517,375

USD

1,309,912

JPMC

**

6/17/2020

11,787

USD

23,255,095

AUD

35,145,502

CITI

6/17/2020

1,632,693

USD

23,255,063

AUD

35,145,498

JPMC

6/17/2020

1,632,663

USD

17,230,773

BRL

78,172,015

CITI

**

6/17/2020

2,259,347

USD

17,230,745

BRL

78,171,985

JPMC

**

6/17/2020

2,259,325

USD

22,632,729

CAD

30,364,498

CITI

6/17/2020

1,040,514

USD

22,489,180

CAD

30,166,502

JPMC

6/17/2020

1,037,760

USD

6,588,663

CHF

6,231,816

CITI

6/17/2020

90,280

USD

6,588,654

CHF

6,231,815

JPMC

6/17/2020

90,275

USD

5,400,651

CLP

4,401,455,952

CITI

**

6/17/2020

247,791

USD

5,400,644

CLP

4,401,455,968

JPMC

**

6/17/2020

247,785

USD

2,864,838

CNY

20,069,935

CITI

**

6/17/2020

37,715

USD

2,864,835

CNY

20,069,943

JPMC

**

6/17/2020

37,711

USD

199,228

COP

723,924,212

CITI

**

6/17/2020

22,003

USD

199,228

COP

723,924,212

JPMC

**

6/17/2020

22,003

USD

2,394,895

CZK

55,900,000

CITI

6/17/2020

143,390

USD

2,394,892

CZK

55,900,000

JPMC

6/17/2020

143,386

USD

17,891,614

EUR

15,934,043

CITI

6/17/2020

266,248

USD

17,891,599

EUR

15,934,050

JPMC

6/17/2020

266,225

USD

26,178,432

GBP

20,395,002

CITI

6/17/2020

811,740

USD

26,178,399

GBP

20,395,002

JPMC

6/17/2020

811,707

USD

6,650,962

HUF

2,047,110,988

CITI

6/17/2020

380,657

USD

6,650,954

HUF

2,047,110,996

JPMC

6/17/2020

380,649

USD

1,876,720

IDR

27,197,878,008

CITI

**

6/17/2020

230,052

USD

1,876,698

IDR

27,197,877,992

JPMC

**

6/17/2020

230,029

USD

6,024,575

ILS

20,662,491

CITI

6/17/2020

168,181

USD

6,024,573

ILS

20,662,510

JPMC

6/17/2020

168,173

USD

4,478,885

INR

333,023,996

CITI

**

6/17/2020

149,276

USD

4,478,879

INR

333,024,004

JPMC

**

6/17/2020

149,270

USD

14,776,996

JPY

1,533,558,500

CITI

6/17/2020

467,800

USD

14,776,978

JPY

1,533,558,500

JPMC

6/17/2020

467,784

USD

19,134,595

KRW

22,955,486,253

CITI

**

6/17/2020

251,296

USD

19,134,571

KRW

22,955,486,236

JPMC

**

6/17/2020

251,272

USD

15,936,175

MXN

328,750,496

CITI

6/17/2020

2,234,839

USD

15,936,155

MXN

328,750,504

JPMC

6/17/2020

2,234,819

USD

10,944,242

NOK

104,484,994

CITI

6/17/2020

891,243

USD

10,944,229

NOK

104,485,006

JPMC

6/17/2020

891,230

USD

12,750,415

NZD

20,243,505

CITI

6/17/2020

678,498

USD

12,750,392

NZD

20,243,495

JPMC

6/17/2020

678,481

USD

657,966

PHP

33,725,500

CITI

**

6/17/2020

4,950

USD

657,966

PHP

33,725,500

JPMC

**

6/17/2020

4,949

USD

7,293,654

PLN

28,625,496

CITI

6/17/2020

376,133

USD

7,293,647

PLN

28,625,504

JPMC

6/17/2020

376,125

153

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

21,125,121

SEK

203,556,499

CITI

6/17/2020

$

513,494

USD

21,125,095

SEK

203,556,499

JPMC

6/17/2020

513,468

USD

8,398,349

SGD

11,719,500

CITI

6/17/2020

143,281

USD

8,398,338

SGD

11,719,500

JPMC

6/17/2020

143,270

USD

423,197

THB

13,384,000

CITI

6/17/2020

15,224

USD

423,197

THB

13,384,000

JPMC

6/17/2020

15,223

USD

3,610,329

TWD

107,412,377

CITI

**

6/17/2020

17,813

USD

3,610,324

TWD

107,412,373

JPMC

**

6/17/2020

17,808

USD

4,980,141

ZAR

80,662,995

CITI

6/17/2020

515,739

USD

4,980,135

ZAR

80,663,005

JPMC

6/17/2020

515,733

Total

unrealized

appreciation

29,902,026

AUD

33,714,499

USD

22,046,285

CITI

6/17/2020

(1,304,271)

AUD

33,714,501

USD

22,046,499

JPMC

6/17/2020

(1,304,482)

BRL

70,000,003

USD

14,843,871

CITI

**

6/17/2020

(1,437,540)

BRL

69,999,997

USD

14,843,888

JPMC

**

6/17/2020

(1,437,561)

CAD

29,314,502

USD

21,910,836

CITI

6/17/2020

(1,065,274)

CAD

26,819,498

USD

20,103,162

JPMC

6/17/2020

(1,031,799)

CHF

9,094,564

USD

9,676,522

CITI

6/17/2020

(192,937)

CHF

9,094,563

USD

9,676,533

JPMC

6/17/2020

(192,949)

CLP

3,974,144,500

USD

4,842,244

CITI

**

6/17/2020

(189,647)

CLP

3,974,144,500

USD

4,842,250

JPMC

**

6/17/2020

(189,651)

CNY

18,464,683

USD

2,633,299

CITI

**

6/17/2020

(32,297)

CNY

18,464,692

USD

2,633,303

JPMC

**

6/17/2020

(32,301)

COP

1,028,694,500

USD

293,009

CITI

**

6/17/2020

(41,175)

COP

1,028,694,500

USD

293,010

JPMC

**

6/17/2020

(41,175)

CZK

60,250,000

USD

2,592,324

CITI

6/17/2020

(165,612)

CZK

60,250,000

USD

2,592,328

JPMC

6/17/2020

(165,616)

EUR

28,606,989

USD

32,009,992

CITI

6/17/2020

(366,506)

EUR

28,607,011

USD

32,010,056

JPMC

6/17/2020

(366,545)

GBP

19,664,505

USD

25,485,331

CITI

6/17/2020

(1,027,207)

GBP

19,664,501

USD

25,485,357

JPMC

6/17/2020

(1,027,245)

HUF

1,882,000,499

USD

6,157,578

CITI

6/17/2020

(393,006)

HUF

1,882,000,501

USD

6,157,585

JPMC

6/17/2020

(393,014)

IDR

27,415,996,724

USD

1,891,333

CITI

**

6/17/2020

(231,459)

IDR

27,415,996,708

USD

1,891,335

JPMC

**

6/17/2020

(231,461)

ILS

14,396,004

USD

4,199,251

CITI

6/17/2020

(118,974)

ILS

14,395,996

USD

4,199,254

JPMC

6/17/2020

(118,979)

INR

377,603,500

USD

5,154,828

CITI

**

6/17/2020

(245,647)

INR

377,603,500

USD

5,154,834

JPMC

**

6/17/2020

(245,651)

JPY

179,307,500

USD

1,682,404

CITI

6/17/2020

(9,336)

JPY

179,307,500

USD

1,682,406

JPMC

6/17/2020

(9,338)

KRW

20,020,075,840

USD

16,730,926

CITI

**

6/17/2020

(262,309)

KRW

20,020,075,828

USD

16,730,947

JPMC

**

6/17/2020

(262,331)

MXN

381,537,489

USD

19,438,089

CITI

6/17/2020

(3,536,751)

MXN

381,537,519

USD

19,438,114

JPMC

6/17/2020

(3,536,773)

NOK

102,953,994

USD

11,042,332

CITI

6/17/2020

(1,136,638)

NOK

102,954,005

USD

11,042,347

JPMC

6/17/2020

(1,136,651)

NZD

21,971,506

USD

13,885,631

CITI

6/17/2020

(783,245)

NZD

21,971,492

USD

13,885,639

JPMC

6/17/2020

(783,262)

PHP

39,348,501

USD

770,408

CITI

**

6/17/2020

(8,513)

PHP

39,348,499

USD

770,409

JPMC

**

6/17/2020

(8,515)

PLN

31,258,494

USD

8,024,736

CITI

6/17/2020

(470,936)

PLN

31,258,506

USD

8,024,749

JPMC

6/17/2020

(470,946)

SEK

197,119,503

USD

20,641,976

CITI

6/17/2020

(682,145)

SEK

197,119,497

USD

20,642,001

JPMC

6/17/2020

(682,168)

SGD

13,385,500

USD

9,611,784

CITI

6/17/2020

(183,205)

SGD

13,385,500

USD

9,611,796

JPMC

6/17/2020

(183,217)

THB

18,623,500

USD

596,283

CITI

6/17/2020

(28,598)

154

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

THB

18,623,500

USD

596,284

JPMC

6/17/2020

$

(28,599)

TWD

114,726,624

USD

3,859,878

CITI

**

6/17/2020

(22,727)

TWD

114,726,626

USD

3,859,883

JPMC

**

6/17/2020

(22,735)

USD

757,623

AUD

1,288,500

CITI

6/17/2020

(35,097)

USD

757,622

AUD

1,288,500

JPMC

6/17/2020

(35,097)

USD

574,134

CAD

821,500

CITI

6/17/2020

(10,036)

USD

574,133

CAD

821,500

JPMC

6/17/2020

(10,036)

USD

8,887,256

CHF

8,634,182

CITI

6/17/2020

(116,252)

USD

8,887,250

CHF

8,634,187

JPMC

6/17/2020

(116,267)

USD

44,784

CLP

38,462,500

CITI

**

6/17/2020

(244)

USD

44,784

CLP

38,462,500

JPMC

**

6/17/2020

(245)

USD

2,958

CNY

21,000

CITI

**

6/17/2020

(1)

USD

2,958

CNY

21,000

JPMC

**

6/17/2020

(1)

USD

94,817

COP

392,774,500

CITI

**

6/17/2020

(1,337)

USD

94,817

COP

392,774,500

JPMC

**

6/17/2020

(1,337)

USD

218,755

CZK

5,600,000

CITI

6/17/2020

(6,798)

USD

218,755

CZK

5,600,000

JPMC

6/17/2020

(6,798)

USD

26,956,402

EUR

24,703,442

CITI

6/17/2020

(369,197)

USD

26,956,399

EUR

24,703,470

JPMC

6/17/2020

(369,230)

USD

718,378

GBP

604,500

CITI

6/17/2020

(33,481)

USD

718,377

GBP

604,500

JPMC

6/17/2020

(33,482)

USD

39,043

IDR

656,795,000

CITI

**

6/17/2020

(722)

USD

39,043

IDR

656,795,000

JPMC

**

6/17/2020

(722)

USD

50,460

ILS

182,504

CITI

6/17/2020

(1,267)

USD

50,458

ILS

182,496

JPMC

6/17/2020

(1,267)

USD

229,229

INR

17,844,000

CITI

**

6/17/2020

(2,760)

USD

229,228

INR

17,844,000

JPMC

**

6/17/2020

(2,760)

USD

22,260,413

JPY

2,466,384,162

CITI

6/17/2020

(752,712)

USD

22,260,385

JPY

2,466,384,162

JPMC

6/17/2020

(752,742)

USD

1,707,708

KRW

2,079,136,932

CITI

**

6/17/2020

(2,599)

USD

1,707,706

KRW

2,079,136,932

JPMC

**

6/17/2020

(2,601)

USD

1,457,956

MXN

35,779,000

CITI

6/17/2020

(33,206)

USD

1,457,954

MXN

35,779,000

JPMC

6/17/2020

(33,208)

USD

410,590

NOK

4,732,500

CITI

6/17/2020

(44,747)

USD

410,590

NOK

4,732,500

JPMC

6/17/2020

(44,748)

USD

144,702

NZD

255,000

CITI

6/17/2020

(7,364)

USD

144,702

NZD

255,000

JPMC

6/17/2020

(7,364)

USD

115,641

PHP

6,075,501

CITI

**

6/17/2020

(1,998)

USD

115,641

PHP

6,075,499

JPMC

**

6/17/2020

(1,998)

USD

586,613

PLN

2,476,500

CITI

6/17/2020

(11,847)

USD

586,612

PLN

2,476,500

JPMC

6/17/2020

(11,848)

USD

95,117

SEK

948,500

CITI

6/17/2020

(925)

USD

95,117

SEK

948,500

JPMC

6/17/2020

(925)

USD

391,021

SGD

564,500

CITI

6/17/2020

(6,606)

USD

391,021

SGD

564,500

JPMC

6/17/2020

(6,606)

USD

72,365

THB

2,382,000

CITI

6/17/2020

(244)

USD

72,365

THB

2,382,000

JPMC

6/17/2020

(244)

USD

986,515

TWD

29,738,625

CITI

**

6/17/2020

(8,124)

USD

986,513

TWD

29,738,625

JPMC

**

6/17/2020

(8,124)

ZAR

82,639,499

USD

5,257,336

CITI

6/17/2020

(683,543)

ZAR

82,639,504

USD

5,257,342

JPMC

6/17/2020

(683,550)

Total

unrealized

depreciation

(32,101,226)

Net

unrealized

depreciation

$

(2,199,200)

**

Non-deliverable

forward.

155

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-1.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

53-65

months

maturity

07/11/2024

$183,516

$3,438

$411,472

$414,910

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EUR/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(0.00%

to

0.02%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$416,211

$26,210

$61,861

$88,071

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TIIE

plus

or

minus

a

specified

spread

(-0.11%

to

0.05%),

which

is

denominated

in

MXN

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/10/2025

$362,195

$(2,287)

$(13,288)

$(15,575)

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.05%

to

0.07%),

which

is

denominated

in

PLN

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/28/2025

$382,663

$33,174

$(26,256)

$6,918

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/05/2025

$429,772

$3,964

$(155)

$3,809

156

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.00%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

02/21/2025

$367,040

$19,470

$(103,794)

$(84,324)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

GBP/

USD

1

Week

Forward

FX

Swap

Rate

plus

or

minus

a

specified

spread

(-0.30%

to

0.02%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

01/21/2025

$17,649,410

$895,000

$(1,975,774)

$(1,080,774)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

Rio

Tinto

plc

5,357

245,577

18,842

(1.7)

Netherlands

Royal

Dutch

Shell

plc

10,668

185,342

39,527

(3.7)

Russia

Evraz

plc

66,384

189,933

(15,533)

1.4

Switzerland

Coca-Cola

HBC

AG

15,293

327,978

41,120

(3.8)

United

Kingdom

Avast

plc

51,911

250,974

59,962

(5.5)

Aviva

plc

137,499

452,063

29,198

(2.7)

Barclays

plc

230,306

261,727

6,491

(0.6)

Bellway

plc

8,631

228,652

(3,161)

0.3

Berkeley

Group

Holdings

plc

3,466

154,700

(1,631)

0.2

British

American

Tobacco

plc

10,202

347,534

4,394

(0.4)

BT

Group

plc

98,476

143,240

(5,724)

0.5

Close

Brothers

Group

plc

25,631

356,386

22,653

(2.1)

ConvaTec

Group

plc

94,248

216,699

37,392

(3.5)

Direct

Line

Insurance

Group

plc

45,625

166,563

19,144

(1.8)

Dixons

Carphone

plc

418,368

401,082

37,523

(3.5)

Drax

Group

plc

105,513

199,546

(28,929)

2.7

Inchcape

plc

31,205

166,536

(2,944)

0.3

157

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

(continued)

Intermediate

Capital

Group

plc

19,961

220,313

14,503

(1.3)

JD

Sports

Fashion

plc

30,767

172,318

38,028

(3.5)

M&G

plc

110,609

153,858

10,810

(1.0)

Man

Group

plc

119,212

182,436

32,902

(3.0)

Mondi

plc

8,832

149,046

2,895

(0.3)

Moneysupermarket.com

Group

plc

49,729

184,796

35,367

(3.3)

Persimmon

plc

6,414

151,618

12,031

(1.1)

Royal

Mail

plc

116,837

180,107

(36,158)

3.3

Standard

Chartered

plc

66,507

367,704

(9,529)

0.9

Tate

&

Lyle

plc

45,493

370,124

36,662

(3.4)

Taylor

Wimpey

plc

104,330

150,127

(6,277)

0.6

Travis

Perkins

plc

18,985

206,381

15,937

(1.5)

Short

Positions

Common

Stocks

United

Kingdom

Admiral

Group

plc

(7,026)

(193,497)

1,027

(0.1)

Beazley

plc

(41,167)

(198,578)

2,923

(0.3)

Capita

plc

(441,605)

(178,681)

4,612

(0.4)

Daily

Mail

&

General

Trust

plc

(19,220)

(160,056)

(25,513)

2.4

Diageo

plc

(9,838)

(311,958)

(20,652)

1.9

Experian

plc

(6,294)

(174,919)

(13,173)

1.2

Hargreaves

Lansdown

plc

(28,175)

(478,718)

25,626

(2.4)

Hiscox

Ltd.

(20,289)

(231,052)

21,404

(2.0)

Intertek

Group

plc

(2,833)

(165,518)

(2,551)

0.2

John

Wood

Group

plc

(85,013)

(161,767)

32,426

(3.0)

Johnson

Matthey

plc

(9,306)

(205,049)

37,887

(3.5)

Jupiter

Fund

Management

plc

(73,503)

(180,220)

(10,233)

0.9

National

Grid

plc

(20,471)

(239,189)

814

(0.1)

Ocado

Group

plc

(12,870)

(193,054)

23,170

(2.1)

Pearson

plc

(54,327)

(371,926)

(18,601)

1.7

Prudential

plc

(32,568)

(408,072)

(85,706)

7.9

Reckitt

Benckiser

Group

plc

(2,477)

(188,687)

(12,179)

1.1

Severn

Trent

plc

(17,707)

(501,231)

30,419

(2.8)

Vodafone

Group

plc

(114,868)

(158,914)

(4,332)

0.4

Weir

Group

plc

(The)

(18,645)

(165,831)

25,162

(2.3)

Whitbread

plc

(11,278)

(417,980)

(86,574)

8.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-0.02%

to

0.07%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/06/2025

$1,886,819

$(30,065)

$15,915

$(14,150)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

158

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PRINCIPAL

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Convertible

Bonds

Canada

Element

Fleet

Management

Corp.,

4.25%,

6/30/2020

2,500,000

1,733,476

(59,862)

423.1

SHARES

Short

Positions

Common

Stocks

Canada

Element

Fleet

Management

Corp.

(727)

(4,629)

(100)

0.7

Ivory

Coast

Endeavour

Mining

Corp.

(10,459)

(148,714)

29,897

(211.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

DTBK

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

OBFR

plus

or

minus

a

specified

spread

(-0.23%

to

0.07%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

61

months

maturity

03/06/2025

$21,131,616

$(1,634,009)

$(5,012,134)

$(6,646,143)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Exact

Sciences

Corp.

50

2,900

6

(0.0)

PRINCIPAL

Convertible

Bonds

Canada

Aphria

,

Inc.,

5.25%,

6/1/2024

500,000

315,649

(31,483)

0.5

Ivory

Coast

Endeavour

Mining

Corp.,

3.00%,

2/15/2023

625,000

580,548

(88,807)

1.3

United

States

Allscripts

Healthcare

Solutions,

Inc.,

0.88%,

1/1/2027

575,000

456,079

(42,900)

0.6

Atlas

Air

Worldwide

Holdings,

Inc.,

1.88%,

6/1/2024

1,475,000

1,222,406

729

(0.0)

Benefitfocus

,

Inc.,

1.25%,

12/15/2023

450,000

345,633

(21,692)

0.3

Granite

Construction,

Inc.,

2.75%,

11/1/2024

700,000

540,569

(123,502)

1.9

Infinera

Corp.,

2.13%,

9/1/2024

2,125,000

1,784,686

(220,753)

3.3

MFA

Financial,

Inc.,

6.25%,

6/15/2024

750,000

465,671

(326,095)

4.9

PennyMac

Corp.,

5.50%,

11/1/2024

225,000

145,103

(82,626)

1.2

Redwood

Trust,

Inc.,

4.75%,

8/15/2023

1,000,000

654,558

(348,741)

5.2

SEACOR

Holdings,

Inc.,

2.50%,

12/15/2027

5,575,000

5,212,707

177,612

(2.7)

SMART

Global

Holdings,

Inc.,

2.25%,

2/15/2026

250,000

221,236

(32,980)

0.5

Vector

Group

Ltd.,

1.75%,

4/15/2020

650,000

651,101

(4,379)

0.1

159

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Convertible

Preferred

Stock

Canada

GFL

Environmental,

Inc.,

6.00%,

3/15/2023

13,100

547,580

(90,128)

1.4

United

States

NCR

Corp.,

5.50%,

12/31/2049

3,975

3,651,295

(726,372)

10.9

QTS

Realty

Trust,

Inc.,

6.50%

7,650

988,658

(77,140)

1.2

Short

Positions

Common

Stocks

United

States

Allscripts

Healthcare

Solutions,

Inc.

(23,749)

(167,193)

4,520

(0.1)

Atlas

Air

Worldwide

Holdings,

Inc.

(8,210)

(210,751)

(27,090)

0.4

Benefitfocus

,

Inc.

(677)

(6,032)

883

(0.0)

Granite

Construction,

Inc.

(7,341)

(111,436)

14,123

(0.2)

Infinera

Corp.

(120,525)

(638,782)

30,280

(0.5)

NCR

Corp.

(70,225)

(1,242,982)

352,412

(5.3)

OPKO

Health,

Inc.

(2,032)

(2,723)

924

(0.0)

QTS

Realty

Trust,

Inc.

(12,550)

(728,026)

7,479

(0.1)

SEACOR

Holdings,

Inc.

(5,307)

(143,077)

30,197

(0.5)

SMART

Global

Holdings,

Inc.

(3,878)

(94,235)

(8,486)

0.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

plus

or

minus

a

specified

spread

(0.01%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/14/2025

$1,171,378

$(20,260)

$3,627

$(16,633)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Keihin

Corp.

24,936

583,353

(13,496)

81.1

Showa

Corp.

28,208

588,025

(6,764)

40.7

160

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.80%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/20/2025

$8,493,484

$(18,487)

$(238,714)

$(257,201)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Anhui

Conch

Cement

Co.

Ltd.

10,500

72,131

(2,541)

1.0

BAIC

Motor

Corp.

Ltd.

270,500

106,403

(15,656)

6.1

Beijing

Capital

International

Airport

Co.

Ltd.

152,000

96,468

(23,866)

9.3

Beijing

Enterprises

Holdings

Ltd.

28,500

104,010

(13,392)

5.2

China

CITIC

Bank

Corp.

Ltd.

432,000

212,442

(5,942)

2.3

China

Communications

Services

Corp.

Ltd.

140,000

100,667

(8,360)

3.3

China

Lesso

Group

Holdings

Ltd.

55,000

71,203

(16,010)

6.2

China

Medical

System

Holdings

Ltd.

130,000

139,069

(14,523)

5.6

China

Resources

Cement

Holdings

Ltd.

94,000

110,434

(5,319)

2.1

China

Resources

Pharmaceutical

Group

Ltd.

182,000

108,668

(25,202)

9.8

China

Resources

Power

Holdings

Co.

Ltd.

76,000

83,352

(6,302)

2.5

CITIC

Ltd.

102,000

105,712

(3,738)

1.5

Dali

Foods

Group

Co.

Ltd.

98,000

67,966

(398)

0.2

Far

East

Horizon

Ltd.

374,000

299,351

(18,912)

7.4

Haier

Electronics

Group

Co.

Ltd.

42,000

110,874

(8,800)

3.4

Haitian

International

Holdings

Ltd.

50,000

92,741

(4,360)

1.7

Jiangxi

Copper

Co.

Ltd.

126,000

115,620

(23,112)

9.0

Kunlun

Energy

Co.

Ltd.

220,000

127,140

(4,010)

1.6

PICC

Property

&

Casualty

Co.

Ltd.

108,999

104,375

(6,930)

2.7

Sun

Art

Retail

Group

Ltd.

57,500

84,590

6,425

(2.5)

Tencent

Holdings

Ltd.

2,300

113,684

1,748

(0.7)

Uni

-President

China

Holdings

Ltd.

139,000

134,343

(12,086)

4.7

Weichai

Power

Co.

Ltd.

54,000

86,016

(12,853)

5.0

Hong

Kong

Kingboard

Laminates

Holdings

Ltd.

101,000

92,415

1,187

(0.5)

Short

Positions

Common

Stocks

China

BBMG

Corp.

(485,000)

(120,189)

13,648

(5.3)

Beijing

Enterprises

Water

Group

Ltd.

(184,000)

(71,335)

13,116

(5.1)

CGN

Power

Co.

Ltd.

(384,000)

(87,482)

5,110

(2.0)

China

Communications

Construction

Co.

Ltd.

(108,000)

(74,440)

5,225

(2.0)

China

Eastern

Airlines

Corp.

Ltd.

(320,000)

(109,572)

24,938

(9.7)

China

Gas

Holdings

Ltd.

(44,600)

(154,224)

1,917

(0.7)

China

International

Capital

Corp.

Ltd.

(64,000)

(102,431)

14,089

(5.5)

161

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

China

(continued)

China

Mengniu

Dairy

Co.

Ltd.

(30,000)

(103,462)

5,636

(2.2)

China

Merchants

Bank

Co.

Ltd.

(46,000)

(205,794)

8,639

(3.4)

China

Petroleum

&

Chemical

Corp.

(168,000)

(82,086)

669

(0.3)

China

Railway

Construction

Corp.

Ltd.

(74,000)

(81,814)

3,396

(1.3)

China

Southern

Airlines

Co.

Ltd.

(230,000)

(97,471)

24,100

(9.4)

China

Tower

Corp.

Ltd.

(416,000)

(92,436)

7,871

(3.1)

CITIC

Securities

Co.

Ltd.

(66,000)

(119,681)

16,478

(6.4)

COSCO

SHIPPING

Energy

Transportation

Co.

Ltd.

(270,000)

(142,967)

(25,598)

10.0

ENN

Energy

Holdings

Ltd.

(7,200)

(69,748)

7,536

(2.9)

Fosun

International

Ltd.

(108,500)

(124,559)

4,429

(1.7)

Guangzhou

Automobile

Group

Co.

Ltd.

(110,000)

(109,418)

13,410

(5.2)

Haidilao

International

Holding

Ltd.

(19,000)

(73,260)

6,486

(2.5)

Huaneng

Power

International,

Inc.

(240,000)

(89,498)

4,570

(1.8)

Huatai

Securities

Co.

Ltd.

(79,200)

(116,817)

15,119

(5.9)

Ping

An

Insurance

Group

Co.

of

China

Ltd.

(20,500)

(200,208)

22,093

(8.6)

Postal

Savings

Bank

of

China

Co.

Ltd.

(186,000)

(113,244)

1,434

(0.6)

Xiaomi

Corp.

(53,600)

(71,169)

12,171

(4.7)

Xinjiang

Goldwind

Science

&

Technology

Co.

Ltd.

(81,000)

(69,840)

5,984

(2.3)

Yanzhou

Coal

Mining

Co.

Ltd.

(120,000)

(92,959)

(1,495)

0.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-2.00%

to

0.08%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/12/2023

-

04/02/2025

$34,185,466

$(261,252)

$(247,092)

$(508,344)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Brazil

Petrobras

Distribuidora

SA

79,600

237,601

(135,883)

26.7

Ghana

Kosmos

Energy

Ltd.

362,994

325,097

42,579

(8.4)

United

States

Alexion

Pharmaceuticals,

Inc.

1,941

174,282

6,541

(1.3)

Alkermes

plc

14,976

215,954

(45,228)

8.9

Axis

Capital

Holdings

Ltd.

6,708

259,264

(82,508)

16.2

Biogen,

Inc.

736

232,856

14,124

(2.8)

Bunge

Ltd.

3,714

152,385

(9,471)

1.9

Cabot

Corp.

9,560

249,707

(60,228)

11.8

ConocoPhillips

14,302

440,502

(46,768)

9.2

Crown

Holdings,

Inc.

3,799

220,494

(22,642)

4.5

Element

Solutions,

Inc.

22,914

191,561

(6,416)

1.3

162

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Gilead

Sciences,

Inc.

2,223

166,191

2,757

(0.5)

Graphic

Packaging

Holding

Co.

21,937

267,631

(22,943)

4.5

Horizon

Therapeutics

plc

5,589

165,546

(14,531)

2.9

Monster

Beverage

Corp.

2,976

167,430

(16,666)

3.3

Mylan

NV

15,376

229,256

8,149

(1.6)

Pfizer,

Inc.

7,041

229,818

(7,886)

1.6

PolyOne

Corp.

17,492

331,823

(38,482)

7.6

Reliance

Steel

&

Aluminum

Co.

2,366

207,238

(15,758)

3.1

Steel

Dynamics,

Inc.

8,068

181,853

10,892

(2.1)

Targa

Resources

Corp.

22,440

155,060

(133,586)

26.3

Tyson

Foods,

Inc.

5,763

333,505

(17,347)

3.4

Westrock

Co.

10,266

290,117

17,070

(3.4)

Willis

Towers

Watson

plc

5,714

970,523

(85,081)

16.7

World

Fuel

Services

Corp.

14,848

373,873

37,120

(7.3)

Short

Positions

Common

Stocks

South

Korea

KB

Financial

Group,

Inc.

(5,511)

(154,992)

5,858

(1.2)

Taiwan

Formosa

Petrochemical

Corp.

(60,000)

(160,191)

4,992

(1.0)

United

States

Agilent

Technologies,

Inc.

(4,776)

(342,057)

(6,119)

1.2

Albemarle

Corp.

(3,158)

(178,016)

52,391

(10.3)

Amcor

plc

(35,931)

(291,760)

27,308

(5.4)

Athene

Holding

Ltd.

(6,270)

(155,621)

24,911

(4.9)

Berry

Global

Group,

Inc.

(12,471)

(420,397)

(23,445)

4.6

BioMarin

Pharmaceutical,

Inc.

(2,784)

(235,248)

807

(0.2)

Brown-Forman

Corp.

(5,334)

(296,090)

16,215

(3.2)

Compass

Minerals

International,

Inc.

(8,226)

(316,454)

74,363

(14.6)

Elanco

Animal

Health,

Inc.

(9,064)

(202,943)

13,041

(2.6)

Erie

Indemnity

Co.

(1,830)

(271,279)

3,202

(0.6)

Exact

Sciences

Corp.

(3,623)

(210,134)

21,883

(4.3)

Exxon

Mobil

Corp.

(4,112)

(156,133)

11,847

(2.3)

Globe

Life,

Inc.

(2,174)

(156,463)

6,522

(1.3)

Hain

Celestial

Group,

Inc.

(The)

(10,896)

(282,969)

(43,143)

8.5

Ingevity

Corp.

(6,319)

(222,429)

12,759

(2.5)

Mettler

-Toledo

International,

Inc.

(227)

(156,746)

(4,706)

0.9

ONEOK,

Inc.

(12,258)

(267,347)

196,210

(38.6)

PerkinElmer,

Inc.

(2,476)

(186,393)

5,323

(1.0)

Principal

Financial

Group,

Inc.

(11,849)

(371,348)

48,225

(9.5)

RLI

Corp.

(3,290)

(289,290)

(46,773)

9.2

Sensient

Technologies

Corp.

(4,156)

(180,828)

5,153

(1.0)

Waters

Corp.

(1,230)

(223,922)

10,504

(2.1)

Westlake

Chemical

Corp.

(4,745)

(181,117)

3,749

(0.7)

163

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Rand

Overnight

Deposit

Rate

plus

or

minus

a

specified

spread

(-0.05%

to

0.06%),

which

is

denominated

in

ZAR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/14/2025

-

03/17/2025

$1,541,824

$(11,369)

$(24,012)

$(35,381)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

South

Africa

Anglo

American

Platinum

Ltd.

1,111

46,409

(1,233)

3.5

Aspen

Pharmacare

Holdings

Ltd.

10,419

54,498

(7,499)

21.2

Capitec

Bank

Holdings

Ltd.

128

6,296

(3,123)

8.8

Foschini

Group

Ltd.

(The)

13,248

49,472

(44,734)

126.4

Impala

Platinum

Holdings

Ltd.

2,228

9,283

(6,104)

17.3

Investec

Ltd.

20,216

38,289

(19,243)

54.4

Kumba

Iron

Ore

Ltd.

1,616

25,198

1,218

(3.4)

Life

Healthcare

Group

Holdings

Ltd.

84,680

87,400

(24,785)

70.1

Momentum

Metropolitan

Holdings

87,731

76,471

(12,652)

35.8

Mr

Price

Group

Ltd.

7,759

49,237

(13,627)

38.5

MultiChoice

Group

7,503

35,656

(1,525)

4.3

Ninety

One

Ltd.

10,108

19,413

(3,891)

11.0

Northam

Platinum

Ltd.

5,491

20,950

(15,266)

43.1

Pick

n

Pay

Stores

Ltd.

27,556

93,366

12,501

(35.3)

RMB

Holdings

Ltd.

11,168

30,537

(10,513)

29.7

Telkom

SA

SOC

Ltd.

34,195

38,922

(20,108)

56.8

Tiger

Brands

Ltd.

6,518

67,515

10,098

(28.5)

Short

Positions

Common

Stocks

South

Africa

Bidvest

Group

Ltd.

(The)

(11,638)

(94,880)

24,101

(68.1)

Clicks

Group

Ltd.

(2,932)

(42,260)

(1,230)

3.5

Discovery

Ltd.

(15,660)

(68,284)

15,741

(44.5)

FirstRand

Ltd.

(12,357)

(27,731)

7,148

(20.2)

Liberty

Holdings

Ltd.

(5,992)

(22,076)

8,609

(24.3)

MTN

Group

Ltd.

(14,208)

(38,097)

14,783

(41.8)

Naspers

Ltd.

(443)

(62,957)

(4,210)

11.9

Nedbank

Group

Ltd.

(1,763)

(8,148)

7,334

(20.7)

Old

Mutual

Ltd.

(52,549)

(34,862)

9,262

(26.2)

PSG

Group

Ltd.

(7,589)

(54,655)

22,291

(63.0)

Sanlam

Ltd.

(39,175)

(111,556)

25,163

(71.1)

Sasol

Ltd.

(7,920)

(16,406)

23,393

(66.1)

Shoprite

Holdings

Ltd.

(10,664)

(74,530)

(5,486)

15.5

Sibanye

Stillwater

Ltd.

(2,075)

(2,618)

1,343

(3.8)

Standard

Bank

Group

Ltd.

(9,959)

(56,997)

7,166

(20.3)

164

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

South

Africa

(continued)

Vodacom

Group

Ltd.

(11,561)

(75,634)

(6,500)

18.4

Woolworths

Holdings

Ltd.

(792)

(1,221)

209

(0.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

04/02/2025

$3,314,424

$(63,957)

$3,232

$(60,725)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

5,243

51,248

1,171

(1.9)

Switzerland

Adecco

Group

AG

(Registered)

6,443

253,897

28,812

(47.4)

Alcon,

Inc.

1,073

54,991

4,153

(6.8)

Baloise

Holding

AG

(Registered)

967

126,070

3,172

(5.2)

Bucher

Industries

AG

(Registered)

75

19,768

536

(0.9)

Dufry

AG

(Registered)

1,549

47,539

12,691

(20.9)

Flughafen

Zurich

AG

(Registered)

61

6,824

761

(1.3)

Givaudan

SA

(Registered)

2

6,154

79

(0.1)

Helvetia

Holding

AG

(Registered)

1,656

141,484

3,385

(5.6)

LafargeHolcim

Ltd.

(Registered)

3,734

136,267

13,679

(22.5)

Logitech

International

SA

(Registered)

254

10,878

164

(0.3)

Nestle

SA

(Registered)

102

10,442

50

(0.1)

Novartis

AG

(Registered)

1,377

113,601

10,451

(17.2)

Roche

Holding

AG

106

34,105

2,465

(4.1)

Schindler

Holding

AG

135

29,535

685

(1.1)

SGS

SA

(Registered)

28

64,581

3

(0.0)

Sonova

Holding

AG

(Registered)

1,572

280,310

23,095

(38.0)

Sunrise

Communications

Group

AG

1,809

144,995

1,418

(2.3)

Swiss

Life

Holding

AG

(Registered)

92

30,879

3,985

(6.6)

UBS

Group

AG

(Registered)

7,822

71,697

8,389

(13.8)

165

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(3,863)

(67,143)

(4,479)

7.4

Chocoladefabriken

Lindt

&

Spruengli

AG

(8)

(67,148)

(8,950)

14.7

Cie

Financiere

Richemont

SA

(Registered)

(1,017)

(54,363)

(169)

0.3

DKSH

Holding

AG

(2,020)

(99,706)

(915)

1.5

dormakaba

Holding

AG

(27)

(11,946)

278

(0.5)

EMS-

Chemie

Holding

AG

(Registered)

(27)

(16,839)

(1,091)

1.8

Julius

Baer

Group

Ltd.

(132)

(4,422)

(855)

1.4

Kuehne

+

Nagel

International

AG

(Registered)

(505)

(68,791)

1,046

(1.7)

Partners

Group

Holding

AG

(22)

(15,063)

(2,342)

3.9

Sika

AG

(Registered)

(787)

(129,236)

(11,650)

19.2

Straumann

Holding

AG

(Registered)

(422)

(308,526)

(37,775)

62.2

Swatch

Group

AG

(The)

(27)

(5,303)

(620)

1.0

Swiss

Re

AG

(864)

(66,527)

(4,359)

7.2

Swisscom

AG

(Registered)

(173)

(92,638)

2,047

(3.4)

Temenos

AG

(Registered)

(3,264)

(425,461)

(63,254)

104.2

Vifor

Pharma

AG

(1,118)

(152,951)

(33,686)

55.5

Zurich

Insurance

Group

AG

(265)

(93,096)

(16,327)

26.9

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-1.40%

to

0.70%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

03/20/2025

$2,404,590

$8,837

$1,601

$10,438

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

281

249,069

(8,727)

(83.6)

Carlsberg

A/S

2,014

226,736

15,277

146.4

Danske

Bank

A/S

1,677

18,664

288

2.8

FLSmidth

&

Co.

A/S

5,740

128,652

(5,664)

(54.3)

Genmab

A/S

242

48,610

5,801

55.6

GN

Store

Nord

A/S

4,608

204,310

41,556

398.1

Jyske

Bank

A/S

(Registered)

805

19,888

(571)

(5.5)

Novo

Nordisk

A/S

3,427

204,647

17,061

163.5

Orsted

A/S

214

20,950

1,329

12.7

ROCKWOOL

International

A/S

545

98,165

2,597

24.9

Tryg

A/S

1,500

36,510

(416)

(4.0)

166

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Denmark

Chr

Hansen

Holding

A/S

(2,747)

(202,709)

(9,785)

(93.7)

Coloplast

A/S

(83)

(12,037)

(1,116)

(10.7)

Demant

A/S

(13,036)

(283,838)

(10,050)

(96.3)

DSV

Panalpina

A/S

(1,249)

(113,570)

(14,108)

(135.2)

H

Lundbeck

A/S

(5,396)

(158,439)

(7,494)

(71.8)

ISS

A/S

(8,956)

(122,523)

(5,992)

(57.4)

Novozymes

A/S

(2,686)

(120,485)

(6,689)

(64.1)

Pandora

A/S

(908)

(29,175)

(1,906)

(18.3)

Vestas

Wind

Systems

A/S

(1,298)

(105,613)

(2,554)

(24.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-6.90%

to

0.70%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

36-61

months

maturity

ranging

from

01/14/2021

-

04/02/2025

$10,755,769

$57,095

$(167,984)

$(110,889)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Finland

Huhtamaki

OYJ

3,016

96,565

9,023

(8.1)

Kesko

OYJ

2,561

144,821

(4,475)

4.0

Kone

OYJ

1,502

84,113

5,682

(5.1)

Orion

OYJ

5,538

225,376

26,521

(23.9)

UPM-

Kymmene

OYJ

7,721

210,528

23,853

(21.5)

Germany

adidas

AG

395

87,701

11,921

(10.8)

Aurubis

AG

6,617

269,278

27,634

(24.9)

Bayer

AG

(Registered)

3,127

179,172

4,530

(4.1)

Continental

AG

1,206

85,986

1,743

(1.6)

Deutsche

Post

AG

(Registered)

8,357

224,040

29,793

(26.9)

Deutsche

Telekom

AG

(Registered)

6,297

81,329

1,618

(1.5)

HUGO

BOSS

AG

3,467

86,786

(2,609)

2.4

LANXESS

AG

3,082

122,676

4,144

(3.7)

ProSiebenSat.1

Media

SE

12,448

97,673

12,046

(10.9)

Puma

SE

3,091

181,612

15,909

(14.3)

Rheinmetall

AG

2,423

168,391

30,933

(27.9)

Siemens

Healthineers

AG

2,468

95,404

8,446

(7.6)

Software

AG

5,902

175,901

17,756

(16.0)

Talanx

AG

2,572

86,537

17,639

(15.9)

Telefonica

Deutschland

Holding

AG

64,301

157,866

16,952

(15.3)

Volkswagen

AG

(Preference)

1,702

196,065

8,474

(7.6)

167

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

Adyen

NV

161

136,833

6,519

(5.9)

ASM

International

NV

3,455

351,518

75,583

(68.2)

ASR

Nederland

NV

11,600

291,663

36,302

(32.7)

Koninklijke

Philips

NV

3,507

143,988

24,880

(22.4)

NN

Group

NV

4,203

114,220

8,040

(7.3)

Wolters

Kluwer

NV

1,907

134,985

16,710

(15.1)

Short

Positions

Common

Stocks

Finland

Nokian

Renkaat

OYJ

(9,008)

(215,094)

(38,444)

34.7

Wartsila

OYJ

Abp

(20,686)

(151,058)

(14,411)

13.0

Germany

Commerzbank

AG

(36,246)

(129,030)

4,075

(3.7)

Delivery

Hero

SE

(1,133)

(83,303)

(8,422)

7.6

Duerr

AG

(4,462)

(90,547)

590

(0.5)

E.ON

SE

(54,379)

(557,803)

(34,693)

31.3

Fraport

AG

Frankfurt

Airport

Services

Worldwide

(3,059)

(123,140)

(21,265)

19.2

Freenet

AG

(6,151)

(107,620)

353

(0.3)

FUCHS

PETROLUB

SE

(Preference)

(3,926)

(140,043)

(23,271)

21.0

Henkel

AG

&

Co.

KGaA

(Preference)

(1,787)

(142,927)

(14,573)

13.1

Infineon

Technologies

AG

(5,642)

(81,447)

(2,359)

2.1

SAP

SE

(1,088)

(121,473)

(10,392)

9.4

Sartorius

AG

(Preference)

(910)

(217,559)

(33,388)

30.1

United

Internet

AG

(Registered)

(13,731)

(399,269)

(42,681)

38.5

Luxembourg

ArcelorMittal

SA

(22,599)

(213,345)

(33,312)

30.0

Netherlands

Aegon

NV

(158,841)

(396,690)

(64,022)

57.7

Heineken

NV

(2,406)

(204,183)

(6,459)

5.8

Just

Eat

Takeaway

(3,815)

(288,501)

13,910

(12.5)

Koninklijke

Ahold

Delhaize

NV

(4,427)

(103,134)

(3,677)

3.3

Koninklijke

Vopak

NV

(3,050)

(160,156)

(11,867)

10.7

OCI

NV

(12,987)

(155,196)

(11,250)

10.1

SBM

Offshore

NV

(18,151)

(239,965)

(11,170)

10.1

United

Kingdom

Dialog

Semiconductor

plc

(7,900)

(205,345)

(9,377)

8.5

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-9.50%

to

0.70%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-62

months

maturity

ranging

from

01/14/2021

-

04/02/2025

$46,166,294

$230,320

$(195,248)

$35,072

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

168

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Ajinomoto

Co.,

Inc.

19,400

361,509

45,715

130.3

Brother

Industries

Ltd.

18,800

284,754

29,929

85.3

Hikari

Tsushin,

Inc.

1,800

301,199

5,463

15.6

Hoya

Corp.

4,500

382,642

25,148

71.7

Ibiden

Co.

Ltd.

18,900

412,474

67,191

191.6

Lion

Corp.

12,000

255,916

34,733

99.0

Mitsubishi

Materials

Corp.

13,100

267,805

31,098

88.7

Nomura

Research

Institute

Ltd.

13,139

277,532

37,077

105.7

Obayashi

Corp.

39,025

331,148

28,670

81.7

Resona

Holdings,

Inc.

92,100

276,144

14,669

41.8

Sekisui

House

Ltd.

15,200

250,679

23,024

65.6

Sony

Corp.

5,700

337,631

27,309

77.9

Sugi

Holdings

Co.

Ltd.

5,100

273,102

26,663

76.0

Sumitomo

Mitsui

Trust

Holdings,

Inc.

16,200

465,429

40,221

114.7

Taiheiyo

Cement

Corp.

15,000

255,499

(2,061)

(5.9)

TIS,

Inc.

20,700

343,286

40,282

114.9

Tokyo

Electric

Power

Co.

Holdings,

Inc.

75,121

261,326

17,414

49.7

Tokyo

Gas

Co.

Ltd.

14,600

344,024

38,807

110.6

Toyo

Suisan

Kaisha

Ltd.

5,600

270,662

47,314

134.9

Toyota

Boshoku

Corp.

23,100

273,222

22,334

63.7

Yamazaki

Baking

Co.

Ltd.

13,100

273,040

39,990

114.0

Z

Holdings

Corp.

149,000

475,036

17,815

50.8

Short

Positions

Common

Stocks

Japan

Acom

Co.

Ltd.

(92,430)

(375,353)

(32,895)

(93.8)

AEON

Financial

Service

Co.

Ltd.

(26,500)

(283,128)

(7,641)

(21.8)

Asahi

Intecc

Co.

Ltd.

(11,166)

(276,158)

(14,655)

(41.8)

Canon,

Inc.

(11,100)

(241,213)

(20,980)

(59.8)

Chiba

Bank

Ltd.

(The)

(56,900)

(247,695)

(27,869)

(79.5)

Coca-Cola

Bottlers

Japan

Holdings,

Inc.

(12,900)

(264,753)

(45,239)

(129.0)

FamilyMart

Co.

Ltd.

(19,000)

(341,162)

(63,045)

(179.8)

Hitachi

Construction

Machinery

Co.

Ltd.

(14,000)

(280,784)

(15,048)

(42.9)

Japan

Airport

Terminal

Co.

Ltd.

(6,700)

(257,493)

(29,929)

(85.3)

Japan

Post

Holdings

Co.

Ltd.

(37,700)

(294,913)

(22,307)

(63.6)

Kansai

Electric

Power

Co.,

Inc.

(The)

(31,500)

(350,624)

(52,240)

(149.0)

Kansai

Paint

Co.

Ltd.

(71,600)

(1,358,105)

17,837

50.9

Kikkoman

Corp.

(10,284)

(436,036)

(68,845)

(196.3)

Kyowa

Kirin

Co.

Ltd.

(17,100)

(382,177)

(61,842)

(176.3)

Kyushu

Electric

Power

Co.,

Inc.

(40,300)

(323,216)

(25,836)

(73.7)

LINE

Corp.

(7,000)

(337,962)

(10,294)

(29.4)

MISUMI

Group,

Inc.

(12,200)

(263,898)

(37,182)

(106.0)

NGK

Spark

Plug

Co.

Ltd.

(39,500)

(553,686)

(53,400)

(152.3)

Nippon

Paint

Holdings

Co.

Ltd.

(19,200)

(999,403)

(94,280)

(268.8)

Odakyu

Electric

Railway

Co.

Ltd.

(16,100)

(353,576)

(43,299)

(123.5)

Oracle

Corp.

Japan

(2,900)

(252,947)

(33,794)

(96.4)

Park24

Co.

Ltd.

(19,900)

(293,359)

3,636

10.4

Seven

Bank

Ltd.

(90,400)

(233,306)

(10,740)

(30.6)

Suzuki

Motor

Corp.

(14,700)

(350,025)

54,454

155.3

Takeda

Pharmaceutical

Co.

Ltd.

(13,600)

(414,094)

(28,472)

(81.2)

Trend

Micro,

Inc.

(4,800)

(237,035)

(37,221)

(106.1)

Yamaha

Motor

Co.

Ltd.

(29,700)

(357,141)

(6,667)

(19.0)

Yamato

Holdings

Co.

Ltd.

(23,100)

(360,847)

(63,525)

(181.1)

169

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.70%

to

0.70%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

04/02/2025

$851,389

$41,935

$5,948

$47,883

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Norway

Leroy

Seafood

Group

ASA

20,308

99,407

3,565

7.4

Orkla

ASA

24,825

212,693

5,160

10.8

Telenor

ASA

9,466

138,352

8,303

17.3

Yara

International

ASA

3,728

117,876

9,318

19.5

Short

Positions

Common

Stocks

Norway

Equinor

ASA

(2,415)

(30,106)

(3,167)

(6.6)

Gjensidige

Forsikring

ASA

(1,879)

(31,998)

(1,298)

(2.7)

Mowi

ASA

(9,298)

(140,581)

16,039

33.5

Norsk

Hydro

ASA

(4,302)

(9,276)

(240)

(0.5)

Salmar

ASA

(1,370)

(45,325)

4,549

9.5

United

Kingdom

Subsea

7

SA

(5,457)

(25,775)

(294)

(0.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-1.70%

to

0.70%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

04/02/2025

$2,980,440

$102,198

$18,822

$121,020

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

170

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

AAK

AB

3,387

54,765

6,215

5.1

BillerudKorsnas

AB

575

6,270

282

0.2

Electrolux

AB

12,315

152,135

(10,650)

(8.8)

Electrolux

Professional

AB

17,553

50,569

49,021

40.5

Essity

AB

3,288

100,723

5,757

4.8

Getinge

AB

19,129

361,712

29,383

24.3

Hennes

&

Mauritz

AB

9,163

117,257

9,769

8.1

Holmen

AB

4,273

115,842

8,917

7.4

Husqvarna

AB

4,282

21,302

4,037

3.3

Nibe

Industrier

AB

1,206

17,444

643

0.5

Sandvik

AB

4,199

59,066

6,900

5.7

Skanska

AB

3,674

55,291

(229)

(0.2)

SKF

AB

4,655

63,434

2,265

1.9

Swedish

Match

AB

4,959

280,777

7,289

6.0

Telefonaktiebolaget

LM

Ericsson

7,601

61,530

7,105

5.9

Trelleborg

AB

2,992

31,831

1,178

1.0

Volvo

AB

4,172

49,588

3,902

3.2

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(826)

(22,949)

(2,470)

(2.0)

Finland

Nordea

Bank

Abp

(22,404)

(126,032)

(8,043)

(6.6)

Sweden

Alfa

Laval

AB

(4,225)

(72,336)

(1,327)

(1.1)

Assa

Abloy

AB

(2,583)

(48,221)

223

0.2

Atlas

Copco

AB

(3,920)

(130,357)

(12,600)

(10.4)

Boliden

AB

(188)

(3,373)

(150)

(0.1)

Elekta

AB

(16,471)

(134,278)

(14,360)

(11.9)

Epiroc

AB

(3,380)

(33,399)

(2,380)

(2.0)

Hexagon

AB

(1,552)

(65,627)

2,217

1.8

Hexpol

AB

(4,987)

(29,465)

(4,988)

(4.1)

Saab

AB

(1,949)

(37,030)

1,652

1.4

Skandinaviska

Enskilda

Banken

AB

(14,392)

(96,384)

(837)

(0.7)

SSAB

AB

(11,820)

(26,803)

(742)

(0.6)

Svenska

Cellulosa

AB

SCA

(3,423)

(33,873)

(5,426)

(4.5)

Svenska

Handelsbanken

AB

(18,041)

(148,786)

(3,567)

(2.9)

Swedbank

AB

(17,799)

(196,309)

26,737

22.1

Swedish

Orphan

Biovitrum

AB

(298)

(4,950)

(40)

(0.0)

Tele2

AB

(3,805)

(50,694)

(3,875)

(3.2)

Telia

Co.

AB

(33,536)

(120,038)

390

0.3

171

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-20.41%

to

1.40%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-63

months

maturity

ranging

from

01/22/2025

-

04/02/2025

$88,751,978

$1,050,279

$362,289

$1,412,568

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AGCO

Corp.

7,058

333,490

12,210

0.9

ALLETE,

Inc.

6,501

394,481

(42,191)

(3.0)

Ameriprise

Financial,

Inc.

3,180

325,886

14,437

1.0

Edison

International

6,434

352,519

22,069

1.6

Entergy

Corp.

23,509

2,209,141

(132,826)

(9.4)

First

Citizens

BancShares

,

Inc.

1,479

492,315

13,074

0.9

First

Hawaiian,

Inc.

109,741

1,814,019

(346,782)

(24.5)

Flex

Ltd.

41,795

350,033

75,022

5.3

Herman

Miller,

Inc.

19,865

441,003

110,052

7.8

Jabil,

Inc.

17,404

427,790

49,775

3.5

KBR,

Inc.

15,714

324,966

85,013

6.0

Kimberly-Clark

Corp.

2,910

372,102

(47,142)

(3.3)

M&T

Bank

Corp.

14,955

1,546,796

(94,665)

(6.7)

ManpowerGroup

,

Inc.

6,072

321,755

(139,838)

(9.9)

Northern

Trust

Corp.

5,437

410,276

37,570

2.7

Northrop

Grumman

Corp.

1,013

306,483

(16,998)

(1.2)

NorthWestern

Corp.

10,124

605,719

(47,380)

(3.4)

NortonLifeLock

,

Inc.

17,724

331,616

35,254

2.5

Popular,

Inc.

13,204

462,140

72,754

5.2

Regal

Beloit

Corp.

4,884

307,448

(28,327)

(2.0)

SYNNEX

Corp.

4,532

331,289

(8,248)

(0.6)

Tetra

Tech,

Inc.

5,869

414,469

(20,542)

(1.5)

Timken

Co.

(The)

11,673

377,505

23,229

1.6

Vishay

Intertechnology

,

Inc.

23,994

345,754

24,423

1.7

Wintrust

Financial

Corp.

27,184

893,266

67,416

4.8

Short

Positions

Common

Stocks

United

States

Boeing

Co.

(The)

(2,393)

(356,892)

(59,825)

(4.2)

BWX

Technologies,

Inc.

(33,519)

(1,632,710)

(34,860)

(2.5)

Cantel

Medical

Corp.

(9,008)

(323,387)

(21,889)

(1.5)

CMS

Energy

Corp.

(7,289)

(428,229)

44,244

3.1

Colfax

Corp.

(18,743)

(371,111)

(1,874)

(0.1)

Dominion

Energy,

Inc.

(5,945)

(429,170)

49,284

3.5

172

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Eversource

Energy

(5,770)

(451,272)

51,930

3.7

First

Republic

Bank

(4,398)

(361,867)

49,785

3.5

Fortive

Corp.

(7,175)

(395,988)

(18,153)

(1.3)

HealthEquity

,

Inc.

(8,055)

(407,502)

(66,151)

(4.7)

Huntington

Bancshares,

Inc.

(76,229)

(625,840)

12,197

0.9

II-VI,

Inc.

(20,040)

(571,140)

(30,862)

(2.2)

Intuitive

Surgical,

Inc.

(684)

(338,724)

(47,695)

(3.4)

Lennox

International,

Inc.

(1,919)

(348,855)

24,506

1.7

New

York

Times

Co.

(The)

(30,549)

(938,160)

58,043

4.1

NextEra

Energy,

Inc.

(1,689)

(406,407)

(31,855)

(2.3)

PPL

Corp.

(14,891)

(367,510)

12,968

0.9

Prosperity

Bancshares,

Inc.

(6,482)

(312,756)

55,227

3.9

Rollins,

Inc.

(14,736)

(532,559)

29,030

2.1

T.

Rowe

Price

Group,

Inc.

(11,038)

(1,077,861)

115,457

8.2

Toro

Co.

(The)

(6,003)

(390,735)

(29,235)

(2.1)

Trex

Co.,

Inc.

(3,738)

(299,563)

(36,894)

(2.6)

Trinity

Industries,

Inc.

(21,886)

(351,708)

31,297

2.2

Virtu

Financial,

Inc.

(18,296)

(380,923)

(11,709)

(0.8)

Xcel

Energy,

Inc.

(5,303)

(319,771)

24,553

1.7

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-4.85%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

03/26/2025

$1,110,126

$124,846

$19,834

$144,680

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Cineplex,

Inc.

49,223

409,230

91,346

63.1

Northview

Apartment

REIT

16,847

391,935

41,720

28.8

SEMAFO,

Inc.

22,200

43,065

1,530

1.1

Short

Positions

Common

Stocks

Canada

Brookfield

Renewable

Partners

LP

(5,254)

(220,979)

(8,806)

(6.1)

Kirkland

Lake

Gold

Ltd.

(1)

(29)

(1)

(0.0)

Ivory

Coast

Endeavour

Mining

Corp.

(3,157)

(44,888)

(943)

(0.7)

173

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.25%

to

0.00%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-60

months

maturity

01/21/2025

$1,016,354

$(197,791)

$1,289,417

$1,091,626

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Ireland

Flutter

Entertainment

plc

(11,372)

(1,016,354)

(197,791)

(18.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(0.35%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

59

months

maturity

01/21/2025

$1,673,360

$103,489

$975

$104,464

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Hitachi

Chemical

Co.

Ltd.

14,000

595,747

42,391

40.6

LINE

Corp.

14,500

700,064

21,323

20.4

Unizo

Holdings

Co.

Ltd.

6,800

377,549

39,775

38.1

174

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-1.00%

to

0.30%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24-61

months

maturity

ranging

from

01/14/2021

-

03/17/2025

$24,185,566

$1,161,592

$448,630

$1,610,222

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Stars

Group,

Inc.

(The)

50,480

1,030,802

385,667

24.0

United

States

Acacia

Communications,

Inc.

12,481

838,474

36,694

2.3

Advanced

Disposal

Services,

Inc.

12,691

416,265

6,345

0.4

Allergan

plc

5,092

901,793

26,784

1.7

Anixter

International,

Inc.

5,573

489,700

24,967

1.6

Caesars

Entertainment

Corp.

97,843

661,419

162,419

10.1

Carolina

Financial

Corp.

4,247

109,870

4,842

0.3

CenterState

Bank

Corp.

8,322

143,388

7,823

0.5

Cincinnati

Bell,

Inc.

16,664

243,961

12,998

0.8

Cypress

Semiconductor

Corp.

26,676

622,084

29,610

1.8

Delphi

Technologies

plc

32,943

265,191

(37,555)

(2.3)

E*TRADE

Financial

Corp.

17,497

600,497

25,371

1.6

El

Paso

Electric

Co.

7,154

486,186

17,813

1.1

FGL

Holdings

49,301

483,150

(3,944)

(0.2)

Fitbit,

Inc.

122,281

814,391

52,581

3.3

ForeScout

Technologies,

Inc.

16,798

530,649

101,628

6.3

Franklin

Financial

Network,

Inc.

8,100

165,159

(6,561)

(0.4)

Front

Yard

Residential

Corp.

17,409

208,038

30,640

1.9

Genworth

Financial,

Inc.

60,208

199,891

(71,046)

(4.4)

IBERIABANK

Corp.

13,559

490,293

(28,338)

(1.8)

KEMET

Corp.

30,978

748,428

62,266

3.9

Legg

Mason,

Inc.

14,906

728,158

14,012

0.9

LogMeIn,

Inc.

5,898

491,185

28,192

1.8

Mellanox

Technologies

Ltd.

7,933

962,432

89,088

5.5

Opus

Bank

5,140

89,076

3,135

0.2

QIAGEN

NV

5,974

248,518

20,013

1.2

Ra

Pharmaceuticals,

Inc.

16,964

814,442

55,303

3.4

Raytheon

Co.

1,277

167,479

2,809

0.2

Sprint

Corp.

41,901

361,187

29,750

1.8

Tallgrass

Energy

LP

62,490

1,028,585

78,112

4.9

Taubman

Centers,

Inc.

14,501

607,302

(41,473)

(2.6)

Tech

Data

Corp.

5,388

705,020

43,912

2.7

TerraForm

Power,

Inc.

13,788

217,437

8,273

0.5

Tiffany

&

Co.

5,648

731,416

76,926

4.8

WABCO

Holdings,

Inc.

6,834

922,932

85,357

5.3

Willis

Towers

Watson

plc

3,516

597,193

(11,497)

(0.7)

175

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Wright

Medical

Group

NV

26,623

762,749

48,986

3.0

Short

Positions

Common

Stocks

United

States

AbbVie,

Inc.

(4,410)

(335,998)

(13,980)

(0.9)

Aon

plc

(3,797)

(626,657)

(2,164)

(0.1)

BorgWarner,

Inc.

(14,935)

(363,966)

(31,065)

(1.9)

Eldorado

Resorts,

Inc.

(8,796)

(126,662)

(37,911)

(2.4)

FB

Financial

Corp.

(7,817)

(154,151)

(860)

(0.1)

First

Horizon

National

Corp.

(62,154)

(500,961)

49,723

3.1

Morgan

Stanley

(18,229)

(619,786)

(3,828)

(0.2)

Pacific

Premier

Bancorp,

Inc.

(4,626)

(87,154)

(3,839)

(0.2)

Precigen

,

Inc.

(86,540)

(294,236)

(164,564)

(10.2)

South

State

Corp.

(2,507)

(147,236)

(50)

(0.0)

T-Mobile

US,

Inc.

(4,289)

(359,847)

(23,804)

(1.5)

United

Bankshares

,

Inc.

(4,799)

(110,761)

5,951

0.4

United

Technologies

Corp.

(2,982)

(281,292)

(4,443)

(0.3)

176

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

FOREIGN

GOVERNMENT

SECURITIES

-

7.6%

Federal

Republic

of

Germany

0.10%,

4/15/2023(a)(b)

EUR

397,883

$

447,955

0.10%,

4/15/2026(a)(b)

177,929

207,434

0.50%,

4/15/2030(a)(b)

736,693

934,516

French

Republic

1.85%,

7/25/2027(a)(b)

111,022

144,529

0.10%,

3/1/2029(a)(b)

99,958

116,588

United

Kingdom

Gilt

Inflation

Linked

1.25%,

11/22/2027(a)(b)

GBP

149,742

247,943

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$2,239,066)

2,098,965

U.S.

TREASURY

OBLIGATIONS

-

13.9%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024(c)

$

100,000

101,773

0.38%,

7/15/2025(c)

200,000

221,911

0.13%,

7/15/2026

165,000

179,152

0.38%,

1/15/2027

200,000

218,562

0.38%,

7/15/2027

290,000

314,482

0.50%,

1/15/2028

810,000

882,257

0.75%,

7/15/2028

720,000

791,292

0.88%,

1/15/2029

650,000

721,345

0.25%,

7/15/2029(c)

400,000

418,849

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$3,700,367)

3,849,623

SHORT-TERM

INVESTMENTS

-

125.6%

REPURCHASE

AGREEMENTS

-

29.0%

CITI,

0.01%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$837,003,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2030

837,000

837,000

CITI,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$827,000,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

1/15/2030

827,000

827,000

JPMS,

0.05%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$101,002,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

10/15/2024

101,000

101,000

JPMS,

0.15%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$509,394,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

10/15/2024

509,375

509,375

JPMS,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$1,261,500,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

1,261,500

1,261,500

JPMS,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$112,500,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.63%,

due

1/15/2026

112,500

112,500

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

29.0%

(continued)

JPMS,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$222,500,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.38%,

due

7/15/2025

$

222,500

$

222,500

JPMS,

0.00%,

dated

3/30/2020,

due

4/9/2020,

repurchase

price

$1,102,500,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

1/15/2025

1,102,500

1,102,500

JPMS,

0.00%,

dated

3/30/2020,

due

4/9/2020,

repurchase

price

$211,250,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

211,250

211,250

JPMS,

0.00%,

dated

3/27/2020,

due

4/9/2020,

repurchase

price

$224,250,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.38%,

due

7/15/2025

224,250

224,250

JPMS,

0.10%,

dated

3/25/2020,

due

4/3/2020,

repurchase

price

$222,006,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.38%,

due

7/15/2025

222,000

222,000

JPMS,

0.10%,

dated

3/25/2020,

due

4/3/2020,

repurchase

price

$210,005,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

210,000

210,000

JPMS,

0.10%,

dated

3/25/2020,

due

4/3/2020,

repurchase

price

$203,505,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

10/15/2024

203,500

203,500

JPMS,

0.15%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$1,028,797,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

1,028,750

1,028,750

JPMS,

0.05%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$202,003,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.13%,

due

10/15/2024

202,000

202,000

JPMS,

0.15%,

dated

3/23/2020,

due

4/3/2020,

repurchase

price

$111,130,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.63%,

due

1/15/2026

111,125

111,125

JPMS,

0.00%,

dated

3/30/2020,

due

4/9/2020,

repurchase

price

$446,000,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.38%,

due

7/15/2025

446,000

446,000

177

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

REPURCHASE

AGREEMENTS

-

29.0%

(continued)

JPMS,

0.00%,

dated

3/31/2020,

due

4/9/2020,

repurchase

price

$210,250,

collateralized

by

U.S.

Treasury

Inflation

Linked

Notes,

0.25%,

due

7/15/2029

$

210,250

$

210,250

TOTAL

REPURCHASE

AGREEMENTS

(Cost

$8,042,500)

8,042,500

SHARES

INVESTMENT

COMPANIES

-

56.7%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(d)(e)

213,241

213,241

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

15,487,602

15,507,736

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(1)(d)

3,933

3,933

TOTAL

INVESTMENT

COMPANIES

(Cost

$15,703,650)

15,724,910

—

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

39.9%

U.S.

Treasury

Bills

1.70%,

4/9/2020(f)

$

268,000

$

267,995

1.63%,

4/16/2020(f)

245,000

244,992

1.61%,

4/23/2020(f)

350,000

349,993

1.62%,

4/30/2020(f)

217,000

216,990

1.56%,

5/14/2020(f)

351,000

350,968

1.53%,

7/9/2020(f)

107,000

106,978

1.52%,

8/13/2020(f)

225,000

224,935

1.45%,

8/27/2020(f)

123,000

122,954

0.30%,

9/17/2020(f)

644,000

643,823

0.08%,

9/24/2020(f)

2,576,000

2,574,816

0.10%,

10/1/2020(f)

5,974,000

5,970,338

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$11,071,086)

11,074,782

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$34,817,236)

34,842,192

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

147.1%

(Cost

$40,756,669)

40,790,780

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(47.1)%(g)

(13,060,301)

NET

ASSETS

-

100.0%

$27,730,479

(a)

Inflation

protected

security.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$2,098,965

or

7.57%

of

net

assets.

(c)

On

3/31/2020,

securities

valued

at

$742,533

were

pledged

as

collateral

for

repurchase

and

reverse

repurchase

agreements

outstanding.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

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.

Reverse

repurchase

agreements

at

March

31,

2020:

Over

the

Counter

COUNTERPARTY

TRADE

DATE

RATE

DUE

DATE

CURRENCY

PRINCIPAL

AMOUNT

AND

VALUE

OF

REVERSE

REPURCHASE

AGREEMENT

CITI

3/6/2020

1.05%

4/9/2020

USD

$

851,000

JPMS

3/16/2020

0.50%

4/9/2020

USD

101,875

JPMS

3/6/2020

0.78%

4/9/2020

USD

2,071,000

JPMS

3/6/2020

0.91%

4/9/2020

USD

1,127,500

JPMS

3/6/2020

0.91%

4/9/2020

USD

115,875

JPMS

3/6/2020

0.91%

4/9/2020

USD

623,250

JPMS

3/6/2020

0.91%

4/9/2020

USD

1,143,750

$

6,034,250

178

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

The

weighted

average

daily

balance

of

the

reverse

repurchase

agreements

during

the

period

ended

March

31,

2020

was

$7,257,895

at

a

net

weighted

average

interest

rate

of

1.536%.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2020

HKD

2,890,200

$

4,739

KC

HRW

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

49,300

575

SGX

NIFTY

50

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/30/2020

USD

85,705

7,351

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/15/2020

TWD

1,919,000

2,173

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

TWD

3,838,000

3,330

18,168

KC

HRW

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

(49,950)

(5,690)

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/11/2020

KRW

236,000,000

(21,663)

(27,353)

$

(9,185)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

35

Index

2

4/2020

EUR

$

149,191

$

11,478

LME

Aluminum

Base

Metal

1

4/2020

USD

37,623

(7,894)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,434

(7,683)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,637

(7,245)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,416

(7,680)

LME

Aluminum

Base

Metal

1

4/2020

USD

37,538

(7,589)

LME

Aluminum

Base

Metal

2

4/2020

USD

75,303

(14,074)

LME

Aluminum

Base

Metal

2

4/2020

USD

75,104

(15,372)

LME

Aluminum

Base

Metal

4

4/2020

USD

149,319

(30,877)

LME

Nickel

Base

Metal

1

4/2020

USD

68,709

(7,404)

RBOB

Gasoline

4

4/2020

USD

99,574

(155,972)

Sugar

No.

11

39

4/2020

USD

455,146

(193,468)

Brent

Crude

Oil

11

5/2020

USD

326,260

99

179

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Coffee

'C'

4

5/2020

USD

$

179,325

$

26,334

Corn

15

5/2020

USD

255,563

(33,454)

Cotton

No.

2

2

5/2020

USD

51,130

(17,191)

KC

HRW

Wheat

1

5/2020

USD

24,650

2,220

LME

Aluminum

Base

Metal

1

5/2020

USD

37,748

(5,330)

LME

Aluminum

Base

Metal

1

5/2020

USD

37,755

(5,160)

LME

Lead

Base

Metal

1

5/2020

USD

43,536

(2,317)

LME

Nickel

Base

Metal

1

5/2020

USD

68,810

(4,489)

LME

Zinc

Base

Metal

1

5/2020

USD

47,568

(3,397)

LME

Zinc

Base

Metal

3

5/2020

USD

142,702

(11,432)

NY

Harbor

ULSD

5

5/2020

USD

213,696

(12,113)

RBOB

Gasoline

2

5/2020

USD

55,356

(1,812)

Silver

2

5/2020

USD

141,560

(39,567)

Soybean

1

5/2020

USD

44,300

(790)

Wheat

15

5/2020

USD

426,563

14,175

100

oz

Gold

5

6/2020

USD

798,300

(30,239)

Australia

10

Year

Bond

7

6/2020

AUD

648,485

960

Canada

10

Year

Bond

5

6/2020

CAD

522,774

25,153

EURO

STOXX

50

Index

6

6/2020

EUR

181,780

22,362

Euro-Bund

35

6/2020

EUR

6,659,145

(30,480)

FTSE/MIB

Index

1

6/2020

EUR

93,327

11,340

Japan

10

Year

Bond

Mini

34

6/2020

JPY

4,826,877

(70,271)

Lean

Hogs

1

6/2020

USD

24,130

(7,524)

Live

Cattle

3

6/2020

USD

110,490

(13,759)

LME

Aluminum

Base

Metal

1

6/2020

USD

37,988

(5,082)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,030

(4,223)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,110

(745)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,125

(5,003)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,300

(241)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,072

(7,884)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,237

(743)

LME

Aluminum

Base

Metal

2

6/2020

USD

75,997

(10,428)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,172

(10,537)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,188

(7,563)

LME

Aluminum

Base

Metal

22

6/2020

USD

837,375

(155,954)

LME

Copper

Base

Metal

1

6/2020

USD

123,800

(16,478)

LME

Copper

Base

Metal

1

6/2020

USD

123,700

6,822

LME

Copper

Base

Metal

1

6/2020

USD

123,731

(19,334)

LME

Copper

Base

Metal

1

6/2020

USD

123,781

(7,509)

LME

Copper

Base

Metal

1

6/2020

USD

123,803

(15,537)

LME

Copper

Base

Metal

2

6/2020

USD

247,434

(36,547)

LME

Copper

Base

Metal

3

6/2020

USD

371,419

(36,865)

LME

Copper

Base

Metal

14

6/2020

USD

1,732,763

(448,339)

LME

Lead

Base

Metal

1

6/2020

USD

43,552

(2,576)

LME

Lead

Base

Metal

1

6/2020

USD

43,553

(1,562)

LME

Lead

Base

Metal

4

6/2020

USD

174,250

(18,387)

LME

Nickel

Base

Metal

1

6/2020

USD

68,874

(3,798)

LME

Nickel

Base

Metal

1

6/2020

USD

68,856

(8,795)

LME

Nickel

Base

Metal

4

6/2020

USD

275,508

(63,186)

LME

Zinc

Base

Metal

1

6/2020

USD

47,606

(947)

LME

Zinc

Base

Metal

1

6/2020

USD

47,601

(3,002)

LME

Zinc

Base

Metal

1

6/2020

USD

47,575

1,916

LME

Zinc

Base

Metal

1

6/2020

USD

47,581

(3,022)

LME

Zinc

Base

Metal

2

6/2020

USD

95,233

(2,373)

LME

Zinc

Base

Metal

11

6/2020

USD

523,806

(126,820)

Long

Gilt

18

6/2020

GBP

3,044,909

34,174

180

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Low

Sulphur

Gasoil

4

6/2020

USD

$

120,700

$

(12,750)

Russell

2000

E-Mini

Index

2

6/2020

USD

114,760

9,962

S&P

500

E-Mini

Index

13

6/2020

USD

1,670,305

(28,285)

S&P

Midcap

400

E-Mini

Index

1

6/2020

USD

143,780

4,191

TOPIX

Index

2

6/2020

JPY

260,963

3,000

U.S.

Treasury

10

Year

Note

98

6/2020

USD

13,591,374

541,501

Soybean

Meal

2

7/2020

USD

63,780

(595)

(1,094,006)

Short

Contracts

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,538)

7,597

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,623)

7,774

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,637)

7,285

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,416)

7,506

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,434)

7,576

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(75,303)

14,242

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(75,104)

15,466

LME

Aluminum

Base

Metal

(4)

4/2020

USD

(149,319)

30,021

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,709)

7,532

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,755)

5,459

LME

Aluminum

Base

Metal

(1)

5/2020

USD

(37,748)

5,137

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,536)

2,240

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,810)

4,377

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,568)

2,947

LME

Zinc

Base

Metal

(3)

5/2020

USD

(142,702)

11,162

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(37,988)

5,085

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,110)

630

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,030)

4,166

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,125)

5,185

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,237)

787

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(75,997)

10,373

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,072)

7,670

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,300)

(14)

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,188)

6,626

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,172)

10,813

LME

Aluminum

Base

Metal

(18)

6/2020

USD

(685,125)

47,135

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,700)

(5,315)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,781)

8,081

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,803)

14,851

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,800)

16,125

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,731)

18,817

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,434)

36,106

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,419)

37,642

LME

Copper

Base

Metal

(11)

6/2020

USD

(1,361,456)

132,384

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,552)

2,073

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,553)

1,140

LME

Lead

Base

Metal

(3)

6/2020

USD

(130,688)

6,454

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,874)

2,442

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,856)

8,381

LME

Nickel

Base

Metal

(4)

6/2020

USD

(275,508)

24,553

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,581)

3,167

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,601)

2,616

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,606)

1,315

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,575)

(1,196)

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,233)

2,259

LME

Zinc

Base

Metal

(10)

6/2020

USD

(476,188)

22,025

Sugar

No.

11

(36)

6/2020

USD

(423,360)

55,998

181

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

RISK

PARITY

II

HV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Coffee

'C'

(3)

7/2020

USD

$

(135,394)

$

(12,907)

Corn

(15)

7/2020

USD

(259,500)

9,705

Cotton

No.

2

(2)

7/2020

USD

(50,900)

11,324

Soybean

(1)

7/2020

USD

(44,475)

(49)

Wheat

(7)

7/2020

USD

(196,875)

(18,895)

613,873

$

(480,133)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

1,567,000

USD

1,704,718

CITI

6/17/2020

$

28,612

GBP

1,424,000

USD

1,662,165

CITI

6/17/2020

108,964

USD

1,008,779

EUR

898,234

CITI

6/17/2020

15,201

USD

1,008,773

EUR

898,230

JPMC

6/17/2020

15,200

USD

1,176,100

GBP

908,531

CITI

6/17/2020

46,096

USD

1,176,092

GBP

908,526

JPMC

6/17/2020

46,095

Total

unrealized

appreciation

260,168

EUR

1,143,000

USD

1,273,182

CITI

6/17/2020

(8,858)

GBP

158,000

USD

199,189

CITI

6/17/2020

(2,674)

USD

1,602,377

EUR

1,468,516

CITI

6/17/2020

(22,015)

USD

1,602,382

EUR

1,468,522

JPMC

6/17/2020

(22,017)

Total

unrealized

depreciation

(55,564)

Net

unrealized

appreciation

$

204,604

182

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

FOREIGN

GOVERNMENT

SECURITIES

-

5.2%

Federal

Republic

of

Germany

0.10%,

4/15/2023(a)(b)

EUR

914,056

$

1,029,085

0.10%,

4/15/2026(a)(b)

429,122

500,281

0.50%,

4/15/2030(a)(b)

1,639,194

2,079,365

French

Republic

1.85%,

7/25/2027(a)(b)

222,044

289,058

0.70%,

7/25/2030(a)(b)

104,145

130,065

United

Kingdom

Gilt

Inflation

Linked

0.13%,

3/22/2026(a)(b)

GBP

112,530

164,088

1.25%,

11/22/2027(a)(b)

157,229

260,340

0.13%,

3/22/2029(a)(b)

146,879

232,786

TOTAL

FOREIGN

GOVERNMENT

SECURITIES

(Cost

$4,951,963)

4,685,068

U.S.

TREASURY

OBLIGATIONS

-

9.3%

U.S.

Treasury

Inflation

Linked

Notes

0.13%,

10/15/2024

$

300,000

305,320

0.25%,

1/15/2025

400,000

439,575

0.38%,

7/15/2025(c)

500,000

554,779

0.13%,

7/15/2026

465,000

504,882

0.38%,

1/15/2027

500,000

546,405

0.38%,

7/15/2027(c)

490,000

531,366

0.50%,

1/15/2028(c)

1,700,000

1,851,651

0.75%,

7/15/2028

1,170,000

1,285,850

0.88%,

1/15/2029

1,495,000

1,659,093

0.25%,

7/15/2029

700,000

732,986

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$8,105,313)

8,411,907

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

100.7%

INVESTMENT

COMPANIES

-

54.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(d)(e)

687,811

$

687,811

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)

48,575,215

48,638,363

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(1)(d)

8,251

8,251

TOTAL

INVESTMENT

COMPANIES

(Cost

$49,266,695)

49,334,425

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

46.1%

U.S.

Treasury

Bills

1.81%,

4/2/2020(f)

$

4,875,000

4,875,000

1.56%,

5/14/2020(f)

2,545,000

2,544,765

1.55%,

5/21/2020(f)

1,557,000

1,556,860

1.56%,

6/18/2020(f)

1,267,000

1,266,745

1.54%,

7/16/2020(f)

158,000

157,963

1.53%,

7/23/2020(f)

3,736,000

3,735,047

1.55%,

7/30/2020(f)

1,533,000

1,532,552

1.53%,

8/6/2020(f)

249,000

248,925

1.52%,

8/13/2020(f)

830,000

829,760

1.45%,

8/27/2020(f)

234,000

233,913

0.08%,

9/24/2020(f)(g)

7,760,000

7,756,434

0.10%,

10/1/2020(f)

17,008,000

16,997,574

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$41,694,060)

41,735,538

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$90,960,755)

91,069,963

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

115.2%

(Cost

$104,018,031)

104,166,938

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(15.2)%(h)

(13,725,579)

NET

ASSETS

-

100.0%

$90,441,359

(a)

Inflation

protected

security.

(b)

Security

exempt

from

registration

pursuant

to

Regulation

S

under

the

Securities

Act

of

1933.

Regulation

S

applies

to

securities

offerings

that

are

made

outside

of

the

United

States

and

do

not

involve

direct

selling

efforts

in

the

United

States.

At

March

31,

2020,

the

value

of

these

securities

amounted

to

$4,685,068

or

5.18%

of

net

assets.

(c)

All

or

a

portion

of

the

security

pledged

as

collateral

for

futures

contracts.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

183

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Canada

10

Year

Bond

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

BANA

06/19/2020

CAD

735,700

$

25,047

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/03/2020

USD

(89,960)

12,460

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(22,490)

2,593

HSCEI

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/28/2020

HKD

6,262,100

9,978

KC

HRW

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

24,650

558

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/15/2020

USD

(125,280)

29,902

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

(20,880)

4,672

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2020

USD

(20,880)

4,797

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/12/2020

USD

(120,650)

11,479

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

(24,130)

3,930

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/12/2020

USD

(24,130)

7,459

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(692,410)

54,510

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/03/2020

USD

(488,760)

65,511

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/05/2020

USD

(184,150)

15,555

SGX

NIFTY

50

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/30/2020

USD

137,128

11,748

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

32,150

2,453

184

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

96,450

$

7,324

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(1,069,596)

82,803

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

TWD

13,433,000

8,880

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(56,875)

–

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(28,438)

–

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

227,500

6,585

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

28,125

95

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

56,250

271

368,610

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

22,490

(5,803)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/03/2020

USD

89,960

(24,911)

Cocoa

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/05/2020

USD

(90,360)

(114)

Cocoa

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(22,590)

(325)

Cocoa

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

22,590

(2,479)

Cocoa

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/05/2020

USD

90,360

(12,068)

iBovespa

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

BRL

363,940

(45,547)

KOSPI

200

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

06/11/2020

KRW

472,000,000

(43,326)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

20,880

(8,832)

185

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2020

USD

20,880

$

(8,943)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/15/2020

USD

125,280

(54,796)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

24,130

(7,326)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/12/2020

USD

24,130

(7,426)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/12/2020

USD

144,780

(44,875)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/03/2020

USD

488,760

(120,956)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

692,410

(171,544)

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(405,130)

(3,548)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/05/2020

USD

184,150

(22,889)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

626,110

(78,022)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(96,450)

(8,863)

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

(32,150)

(2,954)

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

1,069,596

(172,778)

Sugar

No.

11

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2020

USD

11,670

(5,302)

Sugar

No.

11

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2020

USD

23,341

(10,364)

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

341,250

(1,087)

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

(253,125)

(25,325)

186

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

(225,000)

$

(20,503)

(910,906)

$

(542,296)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

IBEX

35

Index

4

4/2020

EUR

$

298,383

$

23,452

LME

Aluminum

Base

Metal

1

4/2020

USD

37,538

(7,589)

LME

Aluminum

Base

Metal

2

4/2020

USD

75,246

(15,788)

LME

Aluminum

Base

Metal

2

4/2020

USD

75,274

(14,490)

LME

Aluminum

Base

Metal

3

4/2020

USD

112,954

(21,111)

LME

Aluminum

Base

Metal

3

4/2020

USD

112,301

(23,050)

LME

Aluminum

Base

Metal

6

4/2020

USD

225,311

(46,115)

LME

Aluminum

Base

Metal

9

4/2020

USD

335,968

(69,473)

LME

Copper

Base

Metal

1

4/2020

USD

123,583

(29,507)

LME

Copper

Base

Metal

1

4/2020

USD

123,602

(26,214)

LME

Nickel

Base

Metal

1

4/2020

USD

68,709

(7,494)

RBOB

Gasoline

8

4/2020

USD

199,147

(308,198)

Sugar

No.

11

85

4/2020

USD

991,984

(419,737)

Brent

Crude

Oil

24

5/2020

USD

711,840

(937)

Coffee

'C'

9

5/2020

USD

403,481

59,526

Corn

32

5/2020

USD

545,200

(71,168)

Cotton

No.

2

4

5/2020

USD

102,260

(34,674)

KC

HRW

Wheat

4

5/2020

USD

98,600

610

LME

Aluminum

Base

Metal

2

5/2020

USD

75,510

(10,321)

LME

Copper

Base

Metal

1

5/2020

USD

123,681

(15,384)

LME

Copper

Base

Metal

1

5/2020

USD

123,631

(19,731)

LME

Lead

Base

Metal

1

5/2020

USD

43,536

(2,317)

LME

Lead

Base

Metal

1

5/2020

USD

43,566

(1,287)

LME

Nickel

Base

Metal

1

5/2020

USD

68,728

(8,336)

LME

Nickel

Base

Metal

1

5/2020

USD

68,732

(10,051)

LME

Zinc

Base

Metal

2

5/2020

USD

95,138

(4,143)

LME

Zinc

Base

Metal

6

5/2020

USD

285,404

(22,864)

NY

Harbor

ULSD

9

5/2020

USD

384,653

(13,859)

RBOB

Gasoline

4

5/2020

USD

110,712

(3,624)

Silver

4

5/2020

USD

283,120

(83,081)

Soybean

2

5/2020

USD

88,600

(1,579)

Wheat

16

5/2020

USD

455,000

18,235

100

oz

Gold

10

6/2020

USD

1,596,600

(63,742)

Australia

10

Year

Bond

16

6/2020

AUD

1,482,251

1,502

Canada

10

Year

Bond

10

6/2020

CAD

1,045,548

50,305

EURO

STOXX

50

Index

14

6/2020

EUR

424,153

53,264

Euro-Bund

76

6/2020

EUR

14,459,858

(63,519)

FTSE

100

Index

1

6/2020

GBP

69,999

2,938

FTSE/MIB

Index

3

6/2020

EUR

279,982

34,019

Japan

10

Year

Bond

Mini

78

6/2020

JPY

11,073,425

(159,623)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,102

(1,187)

187

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

1

6/2020

USD

$

37,988

$

(5,082)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,030

(4,223)

LME

Aluminum

Base

Metal

2

6/2020

USD

76,221

(1,489)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,107

(12,039)

LME

Aluminum

Base

Metal

4

6/2020

USD

152,600

(462)

LME

Aluminum

Base

Metal

4

6/2020

USD

152,250

(10,007)

LME

Aluminum

Base

Metal

5

6/2020

USD

190,591

(1,710)

LME

Aluminum

Base

Metal

6

6/2020

USD

228,375

(15,379)

LME

Aluminum

Base

Metal

7

6/2020

USD

265,988

(36,498)

LME

Aluminum

Base

Metal

7

6/2020

USD

266,401

(24,595)

LME

Aluminum

Base

Metal

46

6/2020

USD

1,750,875

(323,253)

LME

Copper

Base

Metal

1

6/2020

USD

123,724

(18,354)

LME

Copper

Base

Metal

1

6/2020

USD

123,781

(7,509)

LME

Copper

Base

Metal

1

6/2020

USD

123,743

(18,885)

LME

Copper

Base

Metal

1

6/2020

USD

123,731

(19,122)

LME

Copper

Base

Metal

2

6/2020

USD

247,600

(32,518)

LME

Copper

Base

Metal

2

6/2020

USD

247,400

7,869

LME

Copper

Base

Metal

2

6/2020

USD

247,607

(30,374)

LME

Copper

Base

Metal

2

6/2020

USD

247,434

(36,547)

LME

Copper

Base

Metal

2

6/2020

USD

247,413

2,713

LME

Copper

Base

Metal

7

6/2020

USD

866,644

(91,401)

LME

Copper

Base

Metal

33

6/2020

USD

4,084,369

(1,044,832)

LME

Lead

Base

Metal

1

6/2020

USD

43,506

1,966

LME

Lead

Base

Metal

1

6/2020

USD

43,555

(1,236)

LME

Lead

Base

Metal

1

6/2020

USD

43,552

(2,576)

LME

Lead

Base

Metal

1

6/2020

USD

43,553

(1,562)

LME

Lead

Base

Metal

8

6/2020

USD

348,500

(36,342)

LME

Nickel

Base

Metal

1

6/2020

USD

68,826

(6,732)

LME

Nickel

Base

Metal

1

6/2020

USD

68,862

(2,034)

LME

Nickel

Base

Metal

1

6/2020

USD

68,874

(3,798)

LME

Nickel

Base

Metal

2

6/2020

USD

137,712

(17,228)

LME

Nickel

Base

Metal

9

6/2020

USD

619,893

(142,104)

LME

Zinc

Base

Metal

1

6/2020

USD

47,604

(2,087)

LME

Zinc

Base

Metal

1

6/2020

USD

47,601

(2,614)

LME

Zinc

Base

Metal

1

6/2020

USD

47,588

1,272

LME

Zinc

Base

Metal

1

6/2020

USD

47,581

(3,022)

LME

Zinc

Base

Metal

1

6/2020

USD

47,599

(717)

LME

Zinc

Base

Metal

1

6/2020

USD

47,575

1,916

LME

Zinc

Base

Metal

2

6/2020

USD

95,213

(3,656)

LME

Zinc

Base

Metal

3

6/2020

USD

142,849

(3,560)

LME

Zinc

Base

Metal

23

6/2020

USD

1,095,231

(265,672)

Long

Gilt

39

6/2020

GBP

6,597,302

58,572

Low

Sulphur

Gasoil

9

6/2020

USD

271,575

(28,097)

Russell

2000

E-Mini

Index

4

6/2020

USD

229,520

14,311

S&P

500

E-Mini

Index

27

6/2020

USD

3,469,095

(68,746)

S&P

Midcap

400

E-Mini

Index

2

6/2020

USD

287,560

19,578

SPI

200

Index

1

6/2020

AUD

78,564

1,735

TOPIX

Index

4

6/2020

JPY

521,925

5,999

U.S.

Treasury

10

Year

Note

207

6/2020

USD

28,708,314

1,188,964

Cocoa

1

7/2020

USD

22,590

4

Silver

1

7/2020

USD

70,955

(429)

Soybean

Meal

5

7/2020

USD

159,450

(1,144)

188

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Feeder

Cattle

1

8/2020

USD

$

64,450

$

1,933

(2,357,145)

Short

Contracts

LME

Aluminum

Base

Metal

(1)

4/2020

USD

(37,538)

7,597

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(75,274)

14,570

LME

Aluminum

Base

Metal

(2)

4/2020

USD

(75,246)

15,549

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,954)

21,362

LME

Aluminum

Base

Metal

(3)

4/2020

USD

(112,301)

22,727

LME

Aluminum

Base

Metal

(6)

4/2020

USD

(225,311)

46,397

LME

Aluminum

Base

Metal

(9)

4/2020

USD

(335,968)

67,548

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,583)

29,661

LME

Copper

Base

Metal

(1)

4/2020

USD

(123,602)

25,791

LME

Nickel

Base

Metal

(1)

4/2020

USD

(68,709)

7,080

LME

Aluminum

Base

Metal

(2)

5/2020

USD

(75,510)

10,919

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,631)

19,429

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,681)

15,632

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,536)

2,240

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,566)

1,609

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,728)

8,125

LME

Nickel

Base

Metal

(1)

5/2020

USD

(68,732)

9,867

LME

Zinc

Base

Metal

(2)

5/2020

USD

(95,138)

5,529

LME

Zinc

Base

Metal

(6)

5/2020

USD

(285,404)

22,496

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,030)

4,166

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(37,988)

5,085

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,102)

1,126

LME

Aluminum

Base

Metal

(2)

6/2020

USD

(76,221)

1,261

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,107)

11,808

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(152,600)

(27)

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(152,250)

10,369

LME

Aluminum

Base

Metal

(5)

6/2020

USD

(190,591)

1,882

LME

Aluminum

Base

Metal

(6)

6/2020

USD

(228,375)

13,088

LME

Aluminum

Base

Metal

(7)

6/2020

USD

(266,401)

25,230

LME

Aluminum

Base

Metal

(7)

6/2020

USD

(265,988)

36,267

LME

Aluminum

Base

Metal

(36)

6/2020

USD

(1,370,250)

84,176

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,781)

8,081

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,743)

18,806

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,731)

18,817

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,724)

18,426

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,607)

29,701

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,400)

(7,281)

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,600)

32,250

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,434)

36,106

LME

Copper

Base

Metal

(2)

6/2020

USD

(247,413)

(4,833)

LME

Copper

Base

Metal

(7)

6/2020

USD

(866,644)

92,411

LME

Copper

Base

Metal

(26)

6/2020

USD

(3,217,988)

329,459

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,553)

1,140

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,555)

833

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,506)

(1,983)

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,552)

2,073

LME

Lead

Base

Metal

(7)

6/2020

USD

(304,938)

5,784

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,826)

6,469

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,862)

2,770

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,874)

2,442

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,712)

16,762

LME

Nickel

Base

Metal

(9)

6/2020

USD

(619,893)

58,884

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,599)

1,132

189

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

RISK

PARITY

II

MV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Zinc

Base

Metal

(1)

6/2020

USD

$

(47,581)

$

3,167

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,604)

2,325

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,588)

(1,485)

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,601)

2,616

LME

Zinc

Base

Metal

(1)

6/2020

USD

(47,575)

(1,196)

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,213)

3,391

LME

Zinc

Base

Metal

(3)

6/2020

USD

(142,849)

3,389

LME

Zinc

Base

Metal

(20)

6/2020

USD

(952,375)

39,389

Sugar

No.

11

(83)

6/2020

USD

(976,080)

126,604

Coffee

'C'

(6)

7/2020

USD

(270,788)

(25,815)

Corn

(31)

7/2020

USD

(536,300)

19,519

Cotton

No.

2

(4)

7/2020

USD

(101,800)

12,392

KC

HRW

Wheat

(3)

7/2020

USD

(74,925)

(7,501)

Soybean

(1)

7/2020

USD

(44,475)

(49)

Wheat

(2)

7/2020

USD

(56,250)

(3,443)

1,390,111

$

(967,034)

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

EUR

3,601,000

USD

3,913,851

CITI

6/17/2020

$

69,379

GBP

2,810,000

USD

3,288,038

CITI

6/17/2020

206,956

USD

2,211,464

EUR

1,969,126

CITI

6/17/2020

33,325

USD

2,211,466

EUR

1,969,130

JPMC

6/17/2020

33,322

USD

2,577,248

GBP

1,990,910

CITI

6/17/2020

101,013

USD

2,577,257

GBP

1,990,920

JPMC

6/17/2020

101,011

Total

unrealized

appreciation

545,006

EUR

2,483,000

USD

2,759,212

CITI

6/17/2020

(12,653)

GBP

582,000

USD

739,854

CITI

6/17/2020

(15,980)

USD

3,593,069

EUR

3,292,772

CITI

6/17/2020

(49,216)

USD

3,593,074

EUR

3,292,781

JPMC

6/17/2020

(49,220)

Total

unrealized

depreciation

(127,069)

Net

unrealized

appreciation

$

417,937

190

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

96.6%

INVESTMENT

COMPANIES

-

52.9%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(a)(b)

3,162,170

$

3,162,170

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)

71,530,726

71,623,716

UBS

Select

Treasury

Preferred

Fund,

Class

I,

0.28%(1)(a)

983

983

TOTAL

INVESTMENT

COMPANIES

(Cost

$74,683,749)

74,786,869

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

43.7%

U.S.

Treasury

Bills

1.55%,

5/7/2020(c)

$

40,000

39,997

1.53%,

6/11/2020(c)

3,105,000

3,104,440

1.56%,

6/18/2020(c)

2,634,000

2,633,471

1.58%,

6/25/2020(c)

5,583,000

5,582,123

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

43.7%

(continued)

1.57%,

7/2/2020(c)

$

3,903,000

$

3,902,003

1.53%,

7/9/2020(c)

250,000

249,947

1.54%,

7/16/2020(c)

8,499,000

8,497,029

1.53%,

8/6/2020(c)

11,500,000

11,496,542

1.52%,

8/13/2020(c)

591,000

590,829

1.52%,

8/20/2020(c)

3,656,000

3,654,747

1.45%,

8/27/2020(c)

9,618,000

9,614,431

0.30%,

9/17/2020(c)

6,258,000

6,256,274

0.08%,

9/24/2020(c)

2,491,000

2,489,855

0.10%,

10/1/2020(c)

3,637,000

3,634,771

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$61,516,021)

61,746,459

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$136,199,770)

136,533,328

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

96.6%

(Cost

$136,199,770)

136,533,328

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

3.4%(d)

4,861,044

NET

ASSETS

-

100.0%

$141,394,372

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(b)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(c)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(d)

Includes

appreciation/(depreciation)

on

futures

and

swap

contracts.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/03/2020

USD

(112,450)

$

14,920

Cocoa

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/03/2020

USD

(67,470)

8,540

Coffee

‘C’

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/09/2020

USD

1,031,119

158,604

Coffee

‘C’

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/09/2020

USD

3,272,681

502,350

Coffee

‘C’

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/12/2020

USD

(902,625)

3,239

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(1,124,475)

–

191

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(1,124,475)

$

–

Corn

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

(5,743,600)

292,341

Corn

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

(2,145,200)

17,530

Cotton

No.

2

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/12/2020

USD

(2,036,000)

359,929

Cotton

No.

2

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

(127,250)

28,520

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

(856,080)

203,680

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2020

USD

(647,280)

154,627

Lean

Hogs

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/15/2020

USD

(438,480)

104,986

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

(989,330)

178,558

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/12/2020

USD

(748,030)

235,965

Lean

Hogs

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/12/2020

USD

(24,130)

4,390

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

(12,952,140)

1,358,296

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/03/2020

USD

(2,117,960)

503,508

Live

Cattle

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/03/2020

USD

(366,570)

87,462

Live

Cattle

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

(7,439,660)

125,337

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(6,113,400)

9,093

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(4,651,500)

70,188

192

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(132,900)

$

–

Soybean

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/26/2020

USD

4,447,500

17,500

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(7,169,450)

92,012

Soybean

Meal

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

(4,018,750)

23,406

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/24/2020

USD

4,018,750

317,183

Soybean

Meal

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

7,169,450

567,686

Soybean

Oil

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

(10,955,256)

194,650

Soybean

Oil

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/26/2020

USD

344,736

1,402

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(853,125)

–

Wheat

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(483,438)

–

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

2,559,375

90,256

Wheat

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

4,464,688

152,293

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

731,250

3,304

Wheat

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

843,750

2,859

5,884,614

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/03/2020

USD

67,470

(16,507)

Cocoa

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/03/2020

USD

112,450

(28,572)

Cocoa

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/05/2020

USD

67,770

(8,418)

193

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Cocoa

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/05/2020

USD

112,950

$

(14,498)

Coffee

‘C’

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/12/2020

USD

(1,038,019)

(82,692)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

5,656,450

(730,221)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

5,690,525

(738,359)

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

1,141,800

(2,769)

Corn

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

1,141,800

(2,178)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/09/2020

USD

127,825

(42,335)

Cotton

No.

2

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/09/2020

USD

2,684,325

(889,809)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/15/2020

USD

438,480

(193,353)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/15/2020

USD

647,280

(283,986)

Lean

Hogs

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/15/2020

USD

856,080

(373,152)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/12/2020

USD

506,730

(156,678)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/12/2020

USD

748,030

(231,374)

Lean

Hogs

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

06/12/2020

USD

989,330

(304,910)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/03/2020

USD

366,570

(91,534)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

04/03/2020

USD

2,117,960

(523,790)

Live

Cattle

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/03/2020

USD

12,952,140

(3,208,583)

194

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Live

Cattle

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/05/2020

USD

9,759,950

$

(1,212,720)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

487,300

(38,284)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

4,651,500

(375,054)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

24,010,600

(1,919,693)

Soybean

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/26/2020

USD

(18,145,800)

(488,745)

Soybean

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

133,425

(100)

Soybean

Meal

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

SOCG

06/26/2020

USD

(6,696,900)

(310,232)

Soybean

Meal

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MACQ

06/26/2020

USD

(2,136,630)

(87,235)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

95,670

(923)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MACQ

06/26/2020

USD

3,539,790

(29,779)

Soybean

Meal

July

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

06/26/2020

USD

6,696,900

(53,950)

Soybean

Oil

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

SOCG

04/24/2020

USD

12,332,766

(1,994,502)

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/26/2020

USD

(4,415,625)

(405,497)

Wheat

July

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

06/26/2020

USD

(1,743,750)

(121,030)

(14,961,462)

$

(9,076,848)

195

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

LME

Aluminum

Base

Metal

5

4/2020

USD

$

188,531

$

(29,845)

LME

Aluminum

Base

Metal

26

4/2020

USD

975,527

(191,755)

LME

Aluminum

Base

Metal

40

4/2020

USD

1,493,190

(308,770)

LME

Aluminum

Base

Metal

69

4/2020

USD

2,602,163

(384,879)

LME

Aluminum

Base

Metal

81

4/2020

USD

3,027,922

(667,086)

LME

Aluminum

Base

Metal

98

4/2020

USD

3,687,030

(773,605)

LME

Aluminum

Base

Metal

101

4/2020

USD

3,791,288

(766,527)

LME

Aluminum

Base

Metal

103

4/2020

USD

3,876,611

(746,232)

LME

Aluminum

Base

Metal

163

4/2020

USD

6,098,849

(1,251,816)

LME

Copper

Base

Metal

3

4/2020

USD

370,744

(99,065)

LME

Copper

Base

Metal

4

4/2020

USD

494,150

(135,933)

LME

Copper

Base

Metal

9

4/2020

USD

1,112,002

(277,400)

LME

Copper

Base

Metal

11

4/2020

USD

1,358,363

(328,373)

LME

Copper

Base

Metal

12

4/2020

USD

1,482,342

(348,668)

LME

Copper

Base

Metal

25

4/2020

USD

3,089,806

(711,830)

LME

Copper

Base

Metal

34

4/2020

USD

4,203,675

(1,139,525)

LME

Copper

Base

Metal

38

4/2020

USD

4,696,164

(1,121,274)

LME

Copper

Base

Metal

42

4/2020

USD

5,193,174

(793,871)

LME

Copper

Base

Metal

43

4/2020

USD

5,317,219

(688,033)

LME

Lead

Base

Metal

6

4/2020

USD

260,441

(27,502)

LME

Lead

Base

Metal

6

4/2020

USD

261,123

(16,320)

LME

Lead

Base

Metal

7

4/2020

USD

304,294

(30,677)

LME

Lead

Base

Metal

8

4/2020

USD

346,828

(35,146)

LME

Lead

Base

Metal

12

4/2020

USD

521,994

(73,841)

LME

Lead

Base

Metal

13

4/2020

USD

565,451

(74,982)

LME

Lead

Base

Metal

20

4/2020

USD

869,625

(113,684)

LME

Lead

Base

Metal

22

4/2020

USD

957,385

(76,680)

LME

Nickel

Base

Metal

2

4/2020

USD

137,223

(29,355)

LME

Nickel

Base

Metal

2

4/2020

USD

137,355

(27,151)

LME

Nickel

Base

Metal

7

4/2020

USD

480,606

(94,164)

LME

Nickel

Base

Metal

9

4/2020

USD

617,616

(120,402)

LME

Nickel

Base

Metal

15

4/2020

USD

1,029,870

(218,969)

LME

Nickel

Base

Metal

15

4/2020

USD

1,030,632

(111,062)

LME

Nickel

Base

Metal

27

4/2020

USD

1,855,033

(196,129)

LME

Nickel

Base

Metal

32

4/2020

USD

2,196,240

(496,750)

LME

Zinc

Base

Metal

3

4/2020

USD

142,175

(31,653)

LME

Zinc

Base

Metal

4

4/2020

USD

189,613

(48,658)

LME

Zinc

Base

Metal

5

4/2020

USD

237,496

(35,891)

LME

Zinc

Base

Metal

8

4/2020

USD

379,964

(67,760)

LME

Zinc

Base

Metal

10

4/2020

USD

473,745

(98,430)

LME

Zinc

Base

Metal

11

4/2020

USD

522,165

(147,088)

LME

Zinc

Base

Metal

19

4/2020

USD

901,322

(222,109)

RBOB

Gasoline

72

4/2020

USD

1,792,325

(2,760,931)

Sugar

No.

11

799

4/2020

USD

9,324,650

(3,935,780)

Brent

Crude

Oil

134

5/2020

USD

3,974,440

4,161

Coffee

'C'

143

5/2020

USD

6,410,869

903,172

Corn

531

5/2020

USD

9,046,913

(1,172,065)

Feeder

Cattle

46

5/2020

USD

2,826,700

(287,057)

LME

Aluminum

Base

Metal

7

5/2020

USD

264,588

(39,408)

LME

Aluminum

Base

Metal

12

5/2020

USD

453,666

(67,314)

LME

Aluminum

Base

Metal

15

5/2020

USD

566,325

(82,111)

LME

Aluminum

Base

Metal

31

5/2020

USD

1,175,675

(126,610)

LME

Aluminum

Base

Metal

46

5/2020

USD

1,736,397

(243,464)

196

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Aluminum

Base

Metal

111

5/2020

USD

$

4,208,981

$

(484,956)

LME

Aluminum

Base

Metal

139

5/2020

USD

5,269,838

(639,518)

LME

Aluminum

Base

Metal

144

5/2020

USD

5,441,904

(729,143)

LME

Copper

Base

Metal

1

5/2020

USD

123,680

(19,962)

LME

Copper

Base

Metal

6

5/2020

USD

742,136

(122,994)

LME

Copper

Base

Metal

9

5/2020

USD

1,113,253

(182,585)

LME

Copper

Base

Metal

9

5/2020

USD

1,113,066

(143,136)

LME

Copper

Base

Metal

22

5/2020

USD

2,720,878

(418,316)

LME

Copper

Base

Metal

31

5/2020

USD

3,834,204

(631,147)

LME

Copper

Base

Metal

79

5/2020

USD

9,769,693

(1,436,571)

LME

Copper

Base

Metal

82

5/2020

USD

10,143,400

(1,505,685)

LME

Lead

Base

Metal

1

5/2020

USD

43,539

(2,376)

LME

Lead

Base

Metal

9

5/2020

USD

392,011

(23,526)

LME

Lead

Base

Metal

10

5/2020

USD

435,358

(23,172)

LME

Lead

Base

Metal

13

5/2020

USD

566,475

(42,631)

LME

Lead

Base

Metal

21

5/2020

USD

914,954

(44,345)

LME

Lead

Base

Metal

22

5/2020

USD

958,183

(39,907)

LME

Lead

Base

Metal

28

5/2020

USD

1,219,883

(51,750)

LME

Nickel

Base

Metal

2

5/2020

USD

137,607

(14,499)

LME

Nickel

Base

Metal

4

5/2020

USD

275,226

(22,998)

LME

Nickel

Base

Metal

7

5/2020

USD

481,099

(74,582)

LME

Nickel

Base

Metal

7

5/2020

USD

481,263

(71,568)

LME

Nickel

Base

Metal

11

5/2020

USD

756,907

(49,376)

LME

Nickel

Base

Metal

12

5/2020

USD

825,069

(119,533)

LME

Zinc

Base

Metal

1

5/2020

USD

47,521

(7,257)

LME

Zinc

Base

Metal

13

5/2020

USD

617,728

(107,061)

LME

Zinc

Base

Metal

14

5/2020

USD

665,833

(84,258)

LME

Zinc

Base

Metal

15

5/2020

USD

713,520

(50,858)

LME

Zinc

Base

Metal

49

5/2020

USD

2,329,436

(306,297)

LME

Zinc

Base

Metal

55

5/2020

USD

2,614,989

(337,299)

LME

Zinc

Base

Metal

67

5/2020

USD

3,184,946

(403,227)

LME

Zinc

Base

Metal

101

5/2020

USD

4,804,292

(384,881)

NY

Harbor

ULSD

102

5/2020

USD

4,359,398

(188,642)

RBOB

Gasoline

30

5/2020

USD

830,340

(27,182)

Silver

63

5/2020

USD

4,459,140

(1,054,993)

100

oz

Gold

69

6/2020

USD

11,016,540

(432,014)

Lean

Hogs

8

6/2020

USD

193,040

(27,270)

LME

Aluminum

Base

Metal

1

6/2020

USD

38,102

(1,187)

LME

Aluminum

Base

Metal

3

6/2020

USD

114,331

(2,234)

LME

Aluminum

Base

Metal

4

6/2020

USD

152,377

(3,520)

LME

Aluminum

Base

Metal

24

6/2020

USD

913,500

(60,041)

LME

Aluminum

Base

Metal

39

6/2020

USD

1,482,770

(136,332)

LME

Aluminum

Base

Metal

45

6/2020

USD

1,709,438

(228,835)

LME

Aluminum

Base

Metal

49

6/2020

USD

1,860,873

(230,413)

LME

Aluminum

Base

Metal

54

6/2020

USD

2,055,092

(189,605)

LME

Aluminum

Base

Metal

61

6/2020

USD

2,321,813

(146,796)

LME

Aluminum

Base

Metal

64

6/2020

USD

2,434,288

(228,701)

LME

Aluminum

Base

Metal

81

6/2020

USD

3,077,858

(422,347)

LME

Aluminum

Base

Metal

89

6/2020

USD

3,395,350

(9,373)

LME

Aluminum

Base

Metal

99

6/2020

USD

3,764,995

(418,435)

LME

Aluminum

Base

Metal

136

6/2020

USD

5,184,082

(67,950)

LME

Aluminum

Base

Metal

277

6/2020

USD

10,532,925

(1,245,605)

LME

Aluminum

Base

Metal

1,208

6/2020

USD

45,979,500

(7,556,932)

LME

Copper

Base

Metal

1

6/2020

USD

123,731

(19,122)

LME

Copper

Base

Metal

7

6/2020

USD

866,091

67,210

LME

Copper

Base

Metal

11

6/2020

USD

1,361,151

30,119

197

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

22

6/2020

USD

$

2,721,400

$

152,078

LME

Copper

Base

Metal

25

6/2020

USD

3,094,375

94,277

LME

Copper

Base

Metal

26

6/2020

USD

3,218,501

(330,901)

LME

Copper

Base

Metal

28

6/2020

USD

3,465,875

(223,608)

LME

Copper

Base

Metal

28

6/2020

USD

3,463,775

37,524

LME

Copper

Base

Metal

30

6/2020

USD

3,714,000

(489,358)

LME

Copper

Base

Metal

33

6/2020

USD

4,085,507

(495,460)

LME

Copper

Base

Metal

36

6/2020

USD

4,454,739

(675,805)

LME

Copper

Base

Metal

39

6/2020

USD

4,828,444

(453,089)

LME

Copper

Base

Metal

39

6/2020

USD

4,825,236

(736,044)

LME

Copper

Base

Metal

60

6/2020

USD

7,423,020

(1,098,095)

LME

Copper

Base

Metal

651

6/2020

USD

80,573,456

(16,478,544)

LME

Lead

Base

Metal

1

6/2020

USD

43,528

3,387

LME

Lead

Base

Metal

2

6/2020

USD

87,122

1,572

LME

Lead

Base

Metal

3

6/2020

USD

130,604

7,509

LME

Lead

Base

Metal

6

6/2020

USD

261,347

(16,546)

LME

Lead

Base

Metal

7

6/2020

USD

304,763

4,131

LME

Lead

Base

Metal

7

6/2020

USD

304,861

(18,035)

LME

Lead

Base

Metal

10

6/2020

USD

435,533

(15,622)

LME

Lead

Base

Metal

11

6/2020

USD

479,091

(26,778)

LME

Lead

Base

Metal

12

6/2020

USD

522,075

20,265

LME

Lead

Base

Metal

17

6/2020

USD

740,431

(8,256)

LME

Lead

Base

Metal

18

6/2020

USD

784,071

(58,607)

LME

Lead

Base

Metal

21

6/2020

USD

914,550

(32,874)

LME

Lead

Base

Metal

225

6/2020

USD

9,801,563

(728,809)

LME

Nickel

Base

Metal

1

6/2020

USD

68,877

917

LME

Nickel

Base

Metal

2

6/2020

USD

137,808

1,422

LME

Nickel

Base

Metal

4

6/2020

USD

275,508

(2,640)

LME

Nickel

Base

Metal

4

6/2020

USD

275,448

(8,136)

LME

Nickel

Base

Metal

6

6/2020

USD

413,154

(38,033)

LME

Nickel

Base

Metal

9

6/2020

USD

619,866

(34,182)

LME

Nickel

Base

Metal

9

6/2020

USD

619,731

(47,277)

LME

Nickel

Base

Metal

10

6/2020

USD

688,320

(69,540)

LME

Nickel

Base

Metal

18

6/2020

USD

1,239,408

(151,253)

LME

Nickel

Base

Metal

23

6/2020

USD

1,582,998

(154,835)

LME

Nickel

Base

Metal

23

6/2020

USD

1,584,566

21,234

LME

Nickel

Base

Metal

186

6/2020

USD

12,811,122

(2,208,003)

LME

Zinc

Base

Metal

2

6/2020

USD

95,275

1,481

LME

Zinc

Base

Metal

2

6/2020

USD

95,208

(4,697)

LME

Zinc

Base

Metal

2

6/2020

USD

95,234

4,278

LME

Zinc

Base

Metal

3

6/2020

USD

142,763

4,371

LME

Zinc

Base

Metal

7

6/2020

USD

333,025

5,392

LME

Zinc

Base

Metal

7

6/2020

USD

333,235

14,422

LME

Zinc

Base

Metal

10

6/2020

USD

476,063

(9,467)

LME

Zinc

Base

Metal

12

6/2020

USD

571,395

(14,240)

LME

Zinc

Base

Metal

13

6/2020

USD

618,784

(9,317)

LME

Zinc

Base

Metal

19

6/2020

USD

904,091

(55,940)

LME

Zinc

Base

Metal

38

6/2020

USD

1,808,088

(114,825)

LME

Zinc

Base

Metal

43

6/2020

USD

2,046,854

(114,038)

LME

Zinc

Base

Metal

51

6/2020

USD

2,428,658

31,386

LME

Zinc

Base

Metal

441

6/2020

USD

20,999,869

(3,790,805)

Low

Sulphur

Gasoil

74

6/2020

USD

2,232,950

(10,224)

Cocoa

14

7/2020

USD

316,260

(38,084)

Cotton

No.

2

5

7/2020

USD

127,250

(1,370)

Silver

14

7/2020

USD

993,370

(6,009)

Soybean

87

7/2020

USD

3,869,325

80,559

198

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Soybean

Meal

92

7/2020

USD

$

2,933,880

$

82,029

Wheat

35

7/2020

USD

984,375

(2,082)

Platinum

23

2/2021

JPY

268,021

3,579

(70,341,526)

Short

Contracts

LME

Aluminum

Base

Metal

(5)

4/2020

USD

(188,531)

30,141

LME

Aluminum

Base

Metal

(26)

4/2020

USD

(975,527)

193,684

LME

Aluminum

Base

Metal

(40)

4/2020

USD

(1,493,190)

300,212

LME

Aluminum

Base

Metal

(69)

4/2020

USD

(2,602,163)

372,356

LME

Aluminum

Base

Metal

(81)

4/2020

USD

(3,027,922)

660,364

LME

Aluminum

Base

Metal

(98)

4/2020

USD

(3,687,030)

761,881

LME

Aluminum

Base

Metal

(101)

4/2020

USD

(3,791,288)

767,302

LME

Aluminum

Base

Metal

(103)

4/2020

USD

(3,876,611)

750,360

LME

Aluminum

Base

Metal

(163)

4/2020

USD

(6,098,849)

1,223,445

LME

Copper

Base

Metal

(3)

4/2020

USD

(370,744)

99,641

LME

Copper

Base

Metal

(4)

4/2020

USD

(494,150)

136,338

LME

Copper

Base

Metal

(9)

4/2020

USD

(1,112,002)

277,039

LME

Copper

Base

Metal

(11)

4/2020

USD

(1,358,363)

322,570

LME

Copper

Base

Metal

(12)

4/2020

USD

(1,482,342)

354,134

LME

Copper

Base

Metal

(25)

4/2020

USD

(3,089,806)

694,130

LME

Copper

Base

Metal

(34)

4/2020

USD

(4,203,675)

1,142,562

LME

Copper

Base

Metal

(38)

4/2020

USD

(4,696,164)

1,127,130

LME

Copper

Base

Metal

(42)

4/2020

USD

(5,193,174)

796,165

LME

Copper

Base

Metal

(43)

4/2020

USD

(5,317,219)

707,767

LME

Lead

Base

Metal

(6)

4/2020

USD

(261,123)

16,329

LME

Lead

Base

Metal

(6)

4/2020

USD

(260,441)

27,086

LME

Lead

Base

Metal

(7)

4/2020

USD

(304,294)

32,411

LME

Lead

Base

Metal

(8)

4/2020

USD

(346,828)

33,598

LME

Lead

Base

Metal

(12)

4/2020

USD

(521,994)

72,170

LME

Lead

Base

Metal

(13)

4/2020

USD

(565,451)

75,417

LME

Lead

Base

Metal

(20)

4/2020

USD

(869,625)

118,389

LME

Lead

Base

Metal

(22)

4/2020

USD

(957,385)

74,309

LME

Nickel

Base

Metal

(2)

4/2020

USD

(137,223)

28,765

LME

Nickel

Base

Metal

(2)

4/2020

USD

(137,355)

27,879

LME

Nickel

Base

Metal

(7)

4/2020

USD

(480,606)

100,503

LME

Nickel

Base

Metal

(9)

4/2020

USD

(617,616)

124,445

LME

Nickel

Base

Metal

(15)

4/2020

USD

(1,030,632)

112,982

LME

Nickel

Base

Metal

(15)

4/2020

USD

(1,029,870)

234,792

LME

Nickel

Base

Metal

(27)

4/2020

USD

(1,855,033)

194,875

LME

Nickel

Base

Metal

(32)

4/2020

USD

(2,196,240)

482,258

LME

Zinc

Base

Metal

(3)

4/2020

USD

(142,175)

31,516

LME

Zinc

Base

Metal

(4)

4/2020

USD

(189,613)

49,475

LME

Zinc

Base

Metal

(5)

4/2020

USD

(237,496)

36,321

LME

Zinc

Base

Metal

(8)

4/2020

USD

(379,964)

66,010

LME

Zinc

Base

Metal

(10)

4/2020

USD

(473,745)

99,351

LME

Zinc

Base

Metal

(11)

4/2020

USD

(522,165)

153,753

LME

Zinc

Base

Metal

(19)

4/2020

USD

(901,322)

218,959

Natural

Gas

(23)

4/2020

USD

(377,200)

40,370

Cotton

No.

2

(9)

5/2020

USD

(230,085)

54,669

LME

Aluminum

Base

Metal

(7)

5/2020

USD

(264,588)

38,892

LME

Aluminum

Base

Metal

(12)

5/2020

USD

(453,666)

65,899

LME

Aluminum

Base

Metal

(15)

5/2020

USD

(566,325)

76,756

LME

Aluminum

Base

Metal

(31)

5/2020

USD

(1,175,675)

118,446

LME

Aluminum

Base

Metal

(46)

5/2020

USD

(1,736,397)

234,295

LME

Aluminum

Base

Metal

(111)

5/2020

USD

(4,208,981)

489,054

LME

Aluminum

Base

Metal

(139)

5/2020

USD

(5,269,838)

636,234

199

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Aluminum

Base

Metal

(144)

5/2020

USD

$

(5,441,904)

$

709,630

LME

Copper

Base

Metal

(1)

5/2020

USD

(123,680)

19,380

LME

Copper

Base

Metal

(6)

5/2020

USD

(742,136)

119,450

LME

Copper

Base

Metal

(9)

5/2020

USD

(1,113,253)

181,821

LME

Copper

Base

Metal

(9)

5/2020

USD

(1,113,066)

153,467

LME

Copper

Base

Metal

(22)

5/2020

USD

(2,720,878)

407,298

LME

Copper

Base

Metal

(31)

5/2020

USD

(3,834,204)

634,355

LME

Copper

Base

Metal

(79)

5/2020

USD

(9,769,693)

1,428,571

LME

Copper

Base

Metal

(82)

5/2020

USD

(10,143,400)

1,519,333

LME

Lead

Base

Metal

(1)

5/2020

USD

(43,539)

1,958

LME

Lead

Base

Metal

(9)

5/2020

USD

(392,011)

23,988

LME

Lead

Base

Metal

(10)

5/2020

USD

(435,358)

22,397

LME

Lead

Base

Metal

(13)

5/2020

USD

(566,475)

46,112

LME

Lead

Base

Metal

(21)

5/2020

USD

(914,954)

43,569

LME

Lead

Base

Metal

(22)

5/2020

USD

(958,183)

35,162

LME

Lead

Base

Metal

(28)

5/2020

USD

(1,219,883)

52,982

LME

Nickel

Base

Metal

(2)

5/2020

USD

(137,607)

13,513

LME

Nickel

Base

Metal

(4)

5/2020

USD

(275,226)

21,682

LME

Nickel

Base

Metal

(7)

5/2020

USD

(481,099)

71,100

LME

Nickel

Base

Metal

(7)

5/2020

USD

(481,263)

72,465

LME

Nickel

Base

Metal

(11)

5/2020

USD

(756,907)

48,152

LME

Nickel

Base

Metal

(12)

5/2020

USD

(825,069)

120,940

LME

Zinc

Base

Metal

(1)

5/2020

USD

(47,521)

7,938

LME

Zinc

Base

Metal

(13)

5/2020

USD

(617,728)

103,036

LME

Zinc

Base

Metal

(14)

5/2020

USD

(665,833)

82,463

LME

Zinc

Base

Metal

(15)

5/2020

USD

(713,520)

43,938

LME

Zinc

Base

Metal

(49)

5/2020

USD

(2,329,436)

301,353

LME

Zinc

Base

Metal

(55)

5/2020

USD

(2,614,989)

341,232

LME

Zinc

Base

Metal

(67)

5/2020

USD

(3,184,946)

391,194

LME

Zinc

Base

Metal

(101)

5/2020

USD

(4,804,292)

386,003

Natural

Gas

(30)

5/2020

USD

(526,800)

5,021

Soybean

(64)

5/2020

USD

(2,835,200)

90,377

Soybean

Oil

(31)

5/2020

USD

(502,386)

(12,717)

Wheat

(32)

5/2020

USD

(910,000)

(69,277)

WTI

Crude

Oil

(135)

5/2020

USD

(3,308,850)

139,920

Live

Cattle

(6)

6/2020

USD

(220,980)

12,869

LME

Aluminum

Base

Metal

(1)

6/2020

USD

(38,102)

1,126

LME

Aluminum

Base

Metal

(3)

6/2020

USD

(114,331)

1,891

LME

Aluminum

Base

Metal

(4)

6/2020

USD

(152,377)

3,865

LME

Aluminum

Base

Metal

(24)

6/2020

USD

(913,500)

62,216

LME

Aluminum

Base

Metal

(39)

6/2020

USD

(1,482,770)

142,260

LME

Aluminum

Base

Metal

(45)

6/2020

USD

(1,709,438)

226,005

LME

Aluminum

Base

Metal

(49)

6/2020

USD

(1,860,873)

228,870

LME

Aluminum

Base

Metal

(54)

6/2020

USD

(2,055,092)

194,619

LME

Aluminum

Base

Metal

(61)

6/2020

USD

(2,321,813)

137,871

LME

Aluminum

Base

Metal

(64)

6/2020

USD

(2,434,288)

227,267

LME

Aluminum

Base

Metal

(81)

6/2020

USD

(3,077,858)

419,628

LME

Aluminum

Base

Metal

(89)

6/2020

USD

(3,395,350)

(2,341)

LME

Aluminum

Base

Metal

(99)

6/2020

USD

(3,764,995)

412,247

LME

Aluminum

Base

Metal

(136)

6/2020

USD

(5,184,082)

64,399

LME

Aluminum

Base

Metal

(277)

6/2020

USD

(10,532,925)

1,254,513

LME

Aluminum

Base

Metal

(1,117)

6/2020

USD

(42,515,813)

3,916,882

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,731)

18,817

LME

Copper

Base

Metal

(7)

6/2020

USD

(866,091)

(60,470)

LME

Copper

Base

Metal

(11)

6/2020

USD

(1,361,151)

(35,740)

LME

Copper

Base

Metal

(22)

6/2020

USD

(2,721,400)

(113,771)

200

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

LME

Copper

Base

Metal

(25)

6/2020

USD

$

(3,094,375)

$

(98,936)

LME

Copper

Base

Metal

(26)

6/2020

USD

(3,218,501)

353,233

LME

Copper

Base

Metal

(28)

6/2020

USD

(3,465,875)

226,472

LME

Copper

Base

Metal

(28)

6/2020

USD

(3,463,775)

(67,666)

LME

Copper

Base

Metal

(30)

6/2020

USD

(3,714,000)

483,922

LME

Copper

Base

Metal

(33)

6/2020

USD

(4,085,507)

489,630

LME

Copper

Base

Metal

(36)

6/2020

USD

(4,454,739)

667,059

LME

Copper

Base

Metal

(39)

6/2020

USD

(4,825,236)

718,938

LME

Copper

Base

Metal

(39)

6/2020

USD

(4,828,444)

461,790

LME

Copper

Base

Metal

(60)

6/2020

USD

(7,423,020)

1,082,788

LME

Copper

Base

Metal

(561)

6/2020

USD

(69,434,269)

8,986,076

LME

Lead

Base

Metal

(1)

6/2020

USD

(43,528)

(3,331)

LME

Lead

Base

Metal

(2)

6/2020

USD

(87,122)

(1,328)

LME

Lead

Base

Metal

(3)

6/2020

USD

(130,604)

(7,387)

LME

Lead

Base

Metal

(6)

6/2020

USD

(261,347)

15,077

LME

Lead

Base

Metal

(7)

6/2020

USD

(304,861)

14,309

LME

Lead

Base

Metal

(7)

6/2020

USD

(304,763)

(5,477)

LME

Lead

Base

Metal

(10)

6/2020

USD

(435,533)

10,881

LME

Lead

Base

Metal

(11)

6/2020

USD

(479,091)

26,326

LME

Lead

Base

Metal

(12)

6/2020

USD

(522,075)

(16,775)

LME

Lead

Base

Metal

(17)

6/2020

USD

(740,431)

5,394

LME

Lead

Base

Metal

(18)

6/2020

USD

(784,071)

56,134

LME

Lead

Base

Metal

(21)

6/2020

USD

(914,550)

36,081

LME

Lead

Base

Metal

(201)

6/2020

USD

(8,756,063)

564,241

LME

Nickel

Base

Metal

(1)

6/2020

USD

(68,877)

(756)

LME

Nickel

Base

Metal

(2)

6/2020

USD

(137,808)

(1,596)

LME

Nickel

Base

Metal

(4)

6/2020

USD

(275,508)

293

LME

Nickel

Base

Metal

(4)

6/2020

USD

(275,448)

11,080

LME

Nickel

Base

Metal

(6)

6/2020

USD

(413,154)

40,068

LME

Nickel

Base

Metal

(9)

6/2020

USD

(619,866)

21,757

LME

Nickel

Base

Metal

(9)

6/2020

USD

(619,731)

52,202

LME

Nickel

Base

Metal

(10)

6/2020

USD

(688,320)

72,376

LME

Nickel

Base

Metal

(18)

6/2020

USD

(1,239,408)

157,033

LME

Nickel

Base

Metal

(23)

6/2020

USD

(1,582,998)

148,772

LME

Nickel

Base

Metal

(23)

6/2020

USD

(1,584,566)

(25,339)

LME

Nickel

Base

Metal

(192)

6/2020

USD

(13,224,384)

1,643,634

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,208)

5,187

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,234)

(4,623)

LME

Zinc

Base

Metal

(2)

6/2020

USD

(95,275)

(2,049)

LME

Zinc

Base

Metal

(3)

6/2020

USD

(142,763)

(3,384)

LME

Zinc

Base

Metal

(7)

6/2020

USD

(333,235)

(12,323)

LME

Zinc

Base

Metal

(7)

6/2020

USD

(333,025)

(6,158)

LME

Zinc

Base

Metal

(10)

6/2020

USD

(476,063)

13,150

LME

Zinc

Base

Metal

(12)

6/2020

USD

(571,395)

13,382

LME

Zinc

Base

Metal

(13)

6/2020

USD

(618,784)

15,080

LME

Zinc

Base

Metal

(19)

6/2020

USD

(904,091)

48,505

LME

Zinc

Base

Metal

(38)

6/2020

USD

(1,808,088)

120,183

LME

Zinc

Base

Metal

(43)

6/2020

USD

(2,046,854)

119,682

LME

Zinc

Base

Metal

(51)

6/2020

USD

(2,428,658)

(26,383)

LME

Zinc

Base

Metal

(439)

6/2020

USD

(20,904,631)

2,080,687

Sugar

No.

11

(590)

6/2020

USD

(6,938,400)

764,105

Coffee

'C'

(128)

7/2020

USD

(5,776,800)

(467,611)

Copper

(9)

7/2020

USD

(502,538)

11,483

Corn

(634)

7/2020

USD

(10,968,200)

392,318

Soybean

Oil

(9)

7/2020

USD

(147,744)

(818)

201

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

Feeder

Cattle

(26)

8/2020

USD

$

(1,675,700)

$

(55,183)

48,676,463

$

(21,665,063)

202

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

90.8%

COMMON

STOCKS

-

4.4%

Italy

-

4.4%

A2A

SpA

(a)

3,658,800

$

4,514,029

Assicurazioni

Generali

SpA

(a)

878,218

11,895,284

Autogrill

SpA

(a)

53,584

248,656

BPER

Banca(a)

618,409

1,881,786

Enel

SpA

(a)

1,547,639

10,675,378

Eni

SpA

(a)

88,012

874,617

Hera

SpA

(a)

1,097,480

3,970,559

Intesa

Sanpaolo

SpA

(a)

588,487

952,208

Italgas

SpA

(a)

687,867

3,763,576

Leonardo

SpA

(a)

278,347

1,840,199

Poste

Italiane

SpA

(a)(b)

1,359,674

11,444,160

Saipem

SpA

*(a)

383,682

925,021

Snam

SpA

(a)

204,226

933,374

Telecom

Italia

SpA

*(a)

1,242,321

502,860

Terna

Rete

Elettrica

Nazionale

SpA

(a)

1,171,736

7,365,379

UniCredit

SpA

(a)

30,872

238,844

Unipol

Gruppo

SpA

(a)

685,883

2,339,047

UnipolSai

Assicurazioni

SpA

(a)

1,157,446

2,848,606

TOTAL

COMMON

STOCKS

(Cost

$68,955,052)

67,213,583

SHORT-TERM

INVESTMENTS

-

86.4%

INVESTMENT

COMPANIES

-

46.6%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(c)(d)

115,402,332

115,402,332

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(c)(e)

593,196,778

593,967,934

TOTAL

INVESTMENT

COMPANIES

(Cost

$708,533,453)

709,370,266

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

39.8%

U.S.

Treasury

Bills

1.81%,

4/2/2020(f)

$

7,739,000

7,739,000

1.63%,

4/16/2020(f)

12,266,000

12,265,617

1.61%,

4/23/2020(f)

30,503,000

30,502,413

1.62%,

4/30/2020(f)

59,046,000

59,043,372

1.55%,

5/7/2020(f)

2,568,000

2,567,836

1.56%,

5/14/2020(f)

25,975,000

25,972,595

1.53%,

8/6/2020(f)

10,420,000

10,416,866

1.52%,

8/13/2020(f)

40,743,000

40,731,209

1.52%,

8/20/2020(f)(g)

158,335,000

158,280,737

1.45%,

8/27/2020(f)(h)

173,276,000

173,211,710

0.40%,

9/10/2020(f)(h)

18,087,000

18,077,721

0.30%,

9/17/2020(f)(h)

67,674,000

67,655,336

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$604,089,948)

606,464,412

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$1,312,623,401)

1,315,834,678

TOTAL

LONG

POSITIONS

(Cost

$1,381,578,453)

1,383,048,261

INVESTMENTS

SHARES

VALUE

SHORT

POSITIONS

-

(2.8)%

COMMON

STOCKS

-

(2.8)%

Canada

-

(0.5)%

SNC-Lavalin

Group,

Inc.(1)

(474,261)

$

(6,996,133)

Italy

-

(1.9)%

Amplifon

SpA

(21,515)

(437,040)

Atlantia

SpA

(184,689)

(2,294,294)

Azimut

Holding

SpA

(15,719)

(223,724)

Banca

Generali

SpA

(10,663)

(221,572)

Buzzi

Unicem

SpA

(100,681)

(1,838,771)

Davide

Campari-Milano

SpA

(800,835)

(5,743,080)

Ferrari

NV

(53,268)

(8,205,134)

FinecoBank

Banca

Fineco

SpA

(447,553)

(4,026,674)

Freni

Brembo

SpA

(338,991)

(2,513,581)

Pirelli

&

C

SpA

(b)

(256,483)

(904,923)

Prysmian

SpA

(192,994)

(3,064,144)

(29,472,937)

—

Luxembourg

-

0.0%(

i

)

Tenaris

SA

(30,639)

(184,840)

Portugal

-

0.0%(

i

)

Banco

Espirito

Santo

SA

(Registered)(3)*(j)

(216,618)

(2)

United

Kingdom

-

(0.4)%

CNH

Industrial

NV

(1,005,762)

(5,728,110)

TOTAL

COMMON

STOCKS

(Proceeds$(59,068,010))

(42,382,022)

TOTAL

SHORT

POSITIONS

(Proceeds

$(59,068,010))

(42,382,022)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

88.0%

(Cost

$1,322,510,443)

1,340,666,239

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

12.0%(k)

183,039,590

NET

ASSETS

-

100.0%

$1,523,705,829

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

502,860

0.0

%

(

i

)

Consumer

Discretionary

(11,374,982)

(0.7)

Consumer

Staples

(5,743,080)

(0.4)

Energy

1,614,799

0.1

Financials

27,127,962

1.8

Health

Care

(437,040)

0.0

(

i

)

Industrials

(16,242,483)

(1.1)

Materials

(1,838,771)

(0.1)

Utilities

31,222,296

2.0

Short-Term

Investments

1,315,834,678

86.4

Total

Investments

In

Securities

At

Value

1,340,666,239

88.0

Other

Assets

in

Excess

of

Liabilities(k)

183,039,590

12.0

Net

Assets

$

1,523,705,829

100.0%

203

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$46,469,046.

(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

March

31,

2020

amounted

to

$10,539,237,

which

represents

approximately

0.69%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(e)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(f)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(g)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

and

futures

contracts.

(i)

Represents

less

than

0.05%

of

net

assets.

(j)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$(2),

which

represents

approximately

(0.00)%

of

net

assets

of

the

fund.

(k)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

39.0%

INVESTMENT

COMPANIES

-

39.0%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(a)

(Cost

$593,131,121)

$806,746,055

$1,076,098,219

$(1,289,968,296)

$447,391

$644,565

$593,967,934

593,196,778

2,915,801

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

(3)

Level

3

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(66,974,413)

$

8,868,098

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(26,834,063)

3,534,458

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

Monthly

MLIN

06/19/2020

CHF

17,318,500

2,127,215

Tel

Aviv

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2020

ILS

12,631,010

456,238

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(4,099,940)

461,661

204

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(10,647,689)

$

464,353

MSCI

Netherlands

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(0.03%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

10,322

1,325

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.55%)

Monthly

CITI

06/17/2020

PLN

(427,860)

2,636

MSCI

Poland

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

WIBOR

plus

or

minus

a

specified

spread

(-0.55%)

Monthly

CITI

06/17/2020

PLN

(1,768,691)

65,209

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(8,526,395)

65,352

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(31,355,020)

246,671

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(35,400,930)

250,114

205

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(179,593,912)

$

1,766,106

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

(-3.15%)

Monthly

CITI

06/17/2020

SEK

(49,330,122)

464,859

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(6,567,369)

307,652

19,081,947

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2020

TRY

8,274,060

(304,768)

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/30/2020

TRY

23,058,330

(858,514)

Canada

10

Year

Bond

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

06/19/2020

CAD

(131,101,740)

(5,012,969)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

16,100,438

(2,043,090)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

57,876,388

(5,070,569)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/18/2020

ZAR

(12,641,160)

(58,190)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2020

BRL

(53,499,180)

(24,961)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/30/2020

USD

(4,165,263)

(315,453)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

04/30/2020

USD

(2,828,265)

(241,829)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/30/2020

USD

(1,388,421)

(119,731)

206

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/19/2020

PLN

(151,900)

$

(2,506)

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

(0.18%)

Monthly

CITI

06/17/2020

AUD

(4,056,056)

(144,758)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(1,620,890)

(115,855)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.80%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

318,794

(64,547)

MSCI

Singapore

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

SIBOR

plus

or

minus

a

specified

spread

(0.15%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

SGD

922,518

(39,109)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(1,915,342)

(6,298)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(4,720,198)

(42,024)

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(4,868,749)

(21,502)

207

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.22%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

49,040,172

$

(10,022,720)

MSCI

Switzerland

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

LIBOR

plus

or

minus

a

specified

spread

(0.30%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

CHF

21,542,215

(998,393)

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(5,824,234)

(744,766)

(26,252,552)

$

(7,170,605)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

225

4/2020

EUR

$

23,955,650

$

3,333,133

FTSE

Bursa

Malaysia

KLCI

Index

253

4/2020

MYR

3,900,417

31,651

Hang

Seng

Index

51

4/2020

HKD

7,801,877

50,222

HSCEI

318

4/2020

HKD

19,758,228

253,728

IBEX

35

Index

690

4/2020

EUR

51,471,064

4,130,852

LME

Copper

Base

Metal

5

4/2020

USD

617,438

(149,260)

MSCI

Singapore

Index

224

4/2020

SGD

4,434,770

(78,975)

MSCI

Taiwan

Index

689

4/2020

USD

25,561,900

(249,216)

Copper

10

5/2020

USD

557,000

(87,734)

LME

Copper

Base

Metal

27

5/2020

USD

3,338,888

(543,211)

LME

Copper

Base

Metal

65

5/2020

USD

8,039,801

(1,330,511)

LME

Copper

Base

Metal

72

5/2020

USD

8,904,960

(1,436,764)

Silver

250

5/2020

USD

17,695,000

(5,721,357)

Soybean

436

5/2020

USD

19,314,800

512,262

3

Month

Eurodollar

502

6/2020

USD

124,841,125

1,053,535

Australia

10

Year

Bond

113

6/2020

AUD

10,468,397

17,518

Australia

3

Year

Bond

2,938

6/2020

AUD

211,635,290

614,635

Euro-

Bobl

65

6/2020

EUR

9,693,002

(50,062)

Euro-Schatz

2,670

6/2020

EUR

330,370,720

208,270

FTSE/MIB

Index

463

6/2020

EUR

43,210,586

5,055,818

Japan

10

Year

Bond

562

6/2020

JPY

797,436,316

(4,982,224)

KOSPI

200

Index

196

6/2020

KRW

9,499,322

359,434

208

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

LME

Copper

Base

Metal

14

6/2020

USD

$

1,732,374

$

38,333

LME

Copper

Base

Metal

16

6/2020

USD

1,980,400

46,489

LME

Copper

Base

Metal

17

6/2020

USD

2,104,655

(252,583)

LME

Copper

Base

Metal

31

6/2020

USD

3,835,444

(584,152)

LME

Copper

Base

Metal

33

6/2020

USD

4,082,100

26,538

LME

Copper

Base

Metal

37

6/2020

USD

4,580,831

(431,310)

LME

Copper

Base

Metal

48

6/2020

USD

5,939,100

(922,942)

LME

Copper

Base

Metal

234

6/2020

USD

28,961,888

(3,599,704)

SET50

Index

414

6/2020

THB

1,874,369

60,304

TOPIX

Index

524

6/2020

JPY

68,372,193

6,334,902

U.S.

Treasury

10

Year

Note

1,793

6/2020

USD

248,666,688

1,397,269

U.S.

Treasury

2

Year

Note

1,123

6/2020

USD

247,489,898

3,080,780

U.S.

Treasury

5

Year

Note

50

6/2020

USD

6,267,969

195,629

3

Month

Eurodollar

2,554

9/2020

USD

636,233,325

7,159,961

3

Month

Eurodollar

2,563

12/2020

USD

638,571,449

6,969,157

3

Month

Eurodollar

2,061

3/2021

USD

513,781,538

3,323,038

23,833,453

Short

Contracts

Brent

Crude

Oil

(213)

4/2020

USD

(5,612,550)

835,963

LME

Copper

Base

Metal

(5)

4/2020

USD

(617,438)

146,623

Natural

Gas

(684)

4/2020

USD

(11,217,600)

1,800,880

OMXS30

Index

(663)

4/2020

SEK

(9,918,979)

(552,609)

SGX

NIFTY

50

Index

(516)

4/2020

USD

(8,844,756)

(284,120)

WTI

Crude

Oil

(232)

4/2020

USD

(4,751,360)

345,124

LME

Copper

Base

Metal

(27)

5/2020

USD

(3,338,888)

547,413

LME

Copper

Base

Metal

(65)

5/2020

USD

(8,039,801)

1,307,936

LME

Copper

Base

Metal

(72)

5/2020

USD

(8,904,960)

1,435,578

100

oz

Gold

(82)

6/2020

USD

(13,092,120)

307,413

3

Month

Canadian

Bankers

Acceptance

(324)

6/2020

CAD

(57,180,026)

(569,890)

3

Month

Euro

Euribor

(233)

6/2020

EUR

(64,481,628)

13,051

3

Month

Sterling

(243)

6/2020

GBP

(37,562,781)

(91,697)

ASX

90

Day

Bank

Accepted

Bill

(106)

6/2020

AUD

(65,145,985)

(15,928)

EURO

STOXX

50

Index

(1,925)

6/2020

EUR

(58,321,077)

(6,859,004)

Euro-Bund

(2,177)

6/2020

EUR

(414,198,808)

287,651

Euro-

Buxl

(31)

6/2020

EUR

(7,176,460)

240,580

FTSE

100

Index

(289)

6/2020

GBP

(20,229,580)

(2,094,582)

FTSE/JSE

Top

40

Index

(487)

6/2020

ZAR

(11,174,683)

(1,272,145)

LME

Copper

Base

Metal

(14)

6/2020

USD

(1,732,374)

(45,991)

LME

Copper

Base

Metal

(16)

6/2020

USD

(1,980,400)

(50,222)

LME

Copper

Base

Metal

(17)

6/2020

USD

(2,104,655)

259,357

LME

Copper

Base

Metal

(31)

6/2020

USD

(3,835,444)

571,487

LME

Copper

Base

Metal

(33)

6/2020

USD

(4,082,100)

(65,105)

LME

Copper

Base

Metal

(37)

6/2020

USD

(4,580,831)

418,322

LME

Copper

Base

Metal

(48)

6/2020

USD

(5,939,100)

903,079

LME

Copper

Base

Metal

(126)

6/2020

USD

(15,594,863)

1,446,821

Long

Gilt

(610)

6/2020

GBP

(103,188,576)

104,816

MEX

BOLSA

Index

(83)

6/2020

MXN

(1,239,271)

61,974

S&P

500

E-Mini

Index

(833)

6/2020

USD

(107,028,005)

(4,401,687)

S&P/TSX

60

Index

(139)

6/2020

CAD

(16,083,820)

(1,414,028)

SPI

200

Index

(371)

6/2020

AUD

(29,147,113)

(1,093,318)

U.S.

Treasury

Long

Bond

(53)

6/2020

USD

(9,490,313)

(403,270)

3

Month

Canadian

Bankers

Acceptance

(1,749)

9/2020

CAD

(308,930,345)

(3,439,568)

3

Month

Euro

Euribor

(832)

9/2020

EUR

(230,320,815)

219,227

3

Month

Sterling

(1,537)

9/2020

GBP

(237,803,230)

(297,451)

ASX

90

Day

Bank

Accepted

Bill

(363)

9/2020

AUD

(223,088,771)

(42,189)

3

Month

Canadian

Bankers

Acceptance

(1,749)

12/2020

CAD

(308,883,740)

(3,252,861)

209

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euro

Euribor

(918)

12/2020

EUR

$

(254,165,981)

$

320,020

3

Month

Sterling

(1,655)

12/2020

GBP

(256,060,082)

(241,407)

ASX

90

Day

Bank

Accepted

Bill

(404)

12/2020

AUD

(248,280,010)

(42,352)

3

Month

Canadian

Bankers

Acceptance

(1,425)

3/2021

CAD

(251,638,110)

(1,764,423)

3

Month

Euro

Euribor

(748)

3/2021

EUR

(207,098,207)

225,986

3

Month

Sterling

(1,413)

3/2021

GBP

(218,705,818)

(151,716)

ASX

90

Day

Bank

Accepted

Bill

(298)

3/2021

AUD

(183,141,746)

(30,186)

(16,676,448)

$

7,157,005

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

20,294,000

USD

12,380,401

CITI

6/17/2020

$

104,982

AUD

20,294,000

USD

12,380,417

JPMC

6/17/2020

104,966

CHF

84,619,660

USD

87,352,513

CITI

6/17/2020

886,753

CHF

51,819,657

USD

53,220,618

JPMC

6/17/2020

815,627

CNY

50,597,500

USD

7,119,996

CITI

**

6/17/2020

7,349

CNY

50,597,500

USD

7,120,005

JPMC

**

6/17/2020

7,341

EUR

23,698,000

USD

25,846,783

CITI

6/17/2020

366,649

EUR

23,698,000

USD

25,846,815

JPMC

6/17/2020

366,617

GBP

4,741,000

USD

5,762,635

CITI

6/17/2020

134,079

GBP

4,741,000

USD

5,762,642

JPMC

6/17/2020

134,072

HUF

250,000,000

USD

755,787

CITI

6/17/2020

9,964

HUF

250,000,000

USD

755,788

JPMC

6/17/2020

9,963

ILS

115,459,498

USD

31,478,573

CITI

6/17/2020

1,246,252

ILS

115,459,502

USD

31,476,456

JPMC

6/17/2020

1,248,369

JPY

14,955,176,680

USD

135,288,154

CITI

6/17/2020

4,254,324

JPY

14,955,176,676

USD

135,288,323

JPMC

6/17/2020

4,254,152

KRW

50,200,000,000

USD

40,520,425

CITI

**

6/17/2020

774,345

KRW

50,200,000,000

USD

40,520,476

JPMC

**

6/17/2020

774,297

MXN

83,500,000

USD

3,382,013

CITI

6/17/2020

98,017

MXN

83,500,000

USD

3,382,017

JPMC

6/17/2020

98,013

NOK

130,612,000

USD

12,519,414

CITI

6/17/2020

47,389

NOK

130,612,000

USD

12,519,430

JPMC

6/17/2020

47,373

PLN

5,000,000

USD

1,182,121

CITI

6/17/2020

26,158

PLN

5,000,000

USD

1,182,123

JPMC

6/17/2020

26,157

SEK

108,737,500

USD

10,516,250

CITI

6/17/2020

494,239

SEK

108,737,500

USD

10,516,263

JPMC

6/17/2020

494,226

SGD

2,050,000

USD

1,407,351

CITI

6/17/2020

36,644

SGD

2,050,000

USD

1,407,352

JPMC

6/17/2020

36,642

TWD

80,000,000

USD

2,650,566

CITI

**

6/17/2020

25,115

TWD

80,000,000

USD

2,650,570

JPMC

**

6/17/2020

25,111

USD

50,290,412

BRL

227,827,522

CITI

**

6/17/2020

6,657,113

USD

50,290,347

BRL

227,827,512

JPMC

**

6/17/2020

6,657,050

USD

89,056,728

CAD

121,839,000

CITI

6/17/2020

2,416,933

USD

89,056,616

CAD

121,839,000

JPMC

6/17/2020

2,416,821

USD

74,552,943

CHF

70,269,234

CITI

6/17/2020

1,277,942

USD

74,552,850

CHF

70,269,234

JPMC

6/17/2020

1,277,847

USD

53,016,667

CNY

370,884,402

CITI

**

6/17/2020

772,557

USD

53,016,600

CNY

370,884,397

JPMC

**

6/17/2020

772,491

USD

88,923,489

EUR

79,241,710

CITI

6/17/2020

1,270,640

210

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

88,923,368

EUR

79,241,701

JPMC

6/17/2020

$

1,270,529

USD

113,725,001

GBP

88,587,996

CITI

6/17/2020

3,541,909

USD

113,724,869

GBP

88,588,004

JPMC

6/17/2020

3,541,767

USD

13,873,527

HUF

4,269,500,000

CITI

6/17/2020

796,040

USD

13,873,510

HUF

4,269,500,000

JPMC

6/17/2020

796,022

USD

53,269,864

ILS

182,703,544

CITI

6/17/2020

1,485,979

USD

53,269,798

ILS

182,703,547

JPMC

6/17/2020

1,485,913

USD

16,863,495

INR

1,265,000,000

CITI

**

6/17/2020

417,364

USD

16,863,474

INR

1,265,000,000

JPMC

**

6/17/2020

417,343

USD

80,745,914

JPY

8,444,683,000

CITI

6/17/2020

1,950,992

USD

80,745,813

JPY

8,444,683,000

JPMC

6/17/2020

1,950,891

USD

84,482,207

KRW

101,361,514,940

CITI

**

6/17/2020

1,101,718

USD

84,482,101

KRW

101,361,514,940

JPMC

**

6/17/2020

1,101,612

USD

54,493,580

MXN

1,148,500,000

CITI

6/17/2020

6,627,538

USD

54,493,512

MXN

1,148,500,000

JPMC

6/17/2020

6,627,470

USD

60,303,070

NOK

561,827,456

CITI

6/17/2020

6,246,970

USD

60,302,995

NOK

561,827,459

JPMC

6/17/2020

6,246,895

USD

959,905

NZD

1,604,000

CITI

6/17/2020

3,384

USD

959,904

NZD

1,604,000

JPMC

6/17/2020

3,382

USD

5,232,914

PLN

21,000,000

CITI

6/17/2020

158,140

USD

5,232,907

PLN

21,000,000

JPMC

6/17/2020

158,133

USD

34,983,095

SEK

337,072,407

CITI

6/17/2020

851,978

USD

34,983,051

SEK

337,072,408

JPMC

6/17/2020

851,935

USD

27,754,515

SGD

38,595,000

CITI

6/17/2020

568,683

USD

27,754,480

SGD

38,595,000

JPMC

6/17/2020

568,648

USD

715,795

THB

22,668,500

CITI

6/17/2020

24,808

USD

715,794

THB

22,668,500

JPMC

6/17/2020

24,807

USD

15,294,835

TWD

454,973,880

CITI

**

6/17/2020

77,774

USD

15,294,816

TWD

454,973,884

JPMC

**

6/17/2020

77,754

USD

44,976,773

ZAR

742,000,000

CITI

6/17/2020

3,909,793

USD

44,976,717

ZAR

742,000,000

JPMC

6/17/2020

3,909,737

Total

unrealized

appreciation

97,270,487

AUD

12,266,996

USD

7,689,316

CITI

6/17/2020

(142,349)

AUD

12,266,993

USD

7,689,323

JPMC

6/17/2020

(142,359)

BRL

168,000,000

USD

35,558,350

CITI

**

6/17/2020

(3,383,157)

BRL

168,000,000

USD

35,558,394

JPMC

**

6/17/2020

(3,383,203)

CAD

174,499,661

USD

130,836,430

CITI

6/17/2020

(6,749,604)

CAD

174,499,689

USD

130,836,614

JPMC

6/17/2020

(6,749,767)

CHF

122,169,797

USD

129,495,386

CITI

6/17/2020

(2,099,774)

CHF

122,169,798

USD

129,495,549

JPMC

6/17/2020

(2,099,935)

CNY

270,372,402

USD

38,541,166

CITI

**

6/17/2020

(455,538)

CNY

270,372,397

USD

38,541,214

JPMC

**

6/17/2020

(455,587)

EUR

120,940,497

USD

135,245,598

CITI

6/17/2020

(1,467,830)

EUR

120,940,503

USD

135,245,774

JPMC

6/17/2020

(1,467,999)

GBP

110,165,616

USD

142,608,947

CITI

6/17/2020

(5,588,257)

GBP

110,165,633

USD

142,609,147

JPMC

6/17/2020

(5,588,437)

HUF

1,695,000,000

USD

5,373,398

CITI

6/17/2020

(181,610)

HUF

1,695,000,000

USD

5,373,405

JPMC

6/17/2020

(181,617)

ILS

46,364,500

USD

13,364,139

CITI

6/17/2020

(222,991)

ILS

46,364,500

USD

13,364,155

JPMC

6/17/2020

(223,009)

INR

2,620,124,349

USD

35,784,607

CITI

**

6/17/2020

(1,720,648)

INR

2,620,124,341

USD

35,784,651

JPMC

**

6/17/2020

(1,720,693)

KRW

43,900,000,000

USD

36,679,038

CITI

**

6/17/2020

(566,679)

KRW

43,900,000,000

USD

36,679,084

JPMC

**

6/17/2020

(566,723)

MXN

1,690,567,168

USD

85,913,843

CITI

6/17/2020

(15,456,063)

MXN

1,690,567,173

USD

85,913,950

JPMC

6/17/2020

(15,456,168)

NOK

884,314,753

USD

92,504,033

CITI

6/17/2020

(7,419,891)

NOK

884,314,764

USD

92,504,149

JPMC

6/17/2020

(7,420,010)

211

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

NZD

71,967,929

USD

44,568,074

CITI

6/17/2020

$

(1,651,055)

NZD

71,967,928

USD

44,568,129

JPMC

6/17/2020

(1,651,111)

PLN

38,000,000

USD

9,782,716

CITI

6/17/2020

(599,793)

PLN

38,000,004

USD

9,782,729

JPMC

6/17/2020

(599,803)

SEK

203,864,775

USD

21,176,339

CITI

6/17/2020

(533,497)

SEK

203,864,772

USD

21,176,366

JPMC

6/17/2020

(533,523)

SGD

68,022,749

USD

48,854,416

CITI

6/17/2020

(940,049)

SGD

68,022,752

USD

48,854,480

JPMC

6/17/2020

(940,109)

THB

22,668,500

USD

723,467

CITI

6/17/2020

(32,480)

THB

22,668,500

USD

723,468

JPMC

6/17/2020

(32,481)

TWD

674,000,000

USD

22,692,506

CITI

**

6/17/2020

(149,894)

TWD

674,000,000

USD

22,692,534

JPMC

**

6/17/2020

(149,924)

USD

14,392,105

AUD

24,123,500

CITI

6/17/2020

(449,284)

USD

14,392,087

AUD

24,123,500

JPMC

6/17/2020

(449,302)

USD

38,455,929

CAD

55,631,994

CITI

6/17/2020

(1,104,021)

USD

38,455,889

CAD

55,632,006

JPMC

6/17/2020

(1,104,068)

USD

156,305,557

CHF

152,011,888

CITI

6/17/2020

(2,208,643)

USD

122,815,144

CHF

119,211,887

JPMC

6/17/2020

(1,496,033)

USD

2,682,589

CNY

19,081,500

CITI

**

6/17/2020

(5,300)

USD

2,682,586

CNY

19,081,500

JPMC

**

6/17/2020

(5,303)

USD

784,365

DKK

5,386,212

CITI

6/17/2020

(13,592)

USD

784,364

DKK

5,386,211

JPMC

6/17/2020

(13,593)

USD

111,846,818

EUR

102,028,481

CITI

6/17/2020

(1,011,510)

USD

111,846,677

EUR

102,028,480

JPMC

6/17/2020

(1,011,650)

USD

38,495,023

GBP

31,880,496

CITI

6/17/2020

(1,156,982)

USD

38,494,984

GBP

31,880,504

JPMC

6/17/2020

(1,157,031)

USD

10,577,955

INR

825,000,000

CITI

**

6/17/2020

(147,783)

USD

10,577,942

INR

825,000,000

JPMC

**

6/17/2020

(147,796)

USD

37,413,906

JPY

4,075,092,500

CITI

6/17/2020

(609,616)

USD

37,413,860

JPY

4,075,092,500

JPMC

6/17/2020

(609,663)

USD

7,463,455

KRW

9,078,319,540

CITI

**

6/17/2020

(4,416)

USD

7,463,446

KRW

9,078,319,540

JPMC

**

6/17/2020

(4,425)

USD

11,907,217

MXN

300,500,000

CITI

6/17/2020

(616,724)

USD

11,907,202

MXN

300,500,000

JPMC

6/17/2020

(616,739)

USD

20,315,247

NOK

224,567,000

CITI

6/17/2020

(1,291,415)

USD

20,315,222

NOK

224,567,000

JPMC

6/17/2020

(1,291,440)

USD

18,723,615

NZD

32,945,000

CITI

6/17/2020

(922,653)

USD

18,723,591

NZD

32,945,000

JPMC

6/17/2020

(922,676)

USD

5,090,309

PLN

21,500,000

CITI

6/17/2020

(105,293)

USD

5,090,303

PLN

21,500,000

JPMC

6/17/2020

(105,299)

USD

13,584,207

SGD

19,500,000

CITI

6/17/2020

(151,349)

USD

13,584,190

SGD

19,500,000

JPMC

6/17/2020

(151,365)

USD

2,938,971

TWD

88,657,960

CITI

**

6/17/2020

(26,284)

USD

2,938,968

TWD

88,657,960

JPMC

**

6/17/2020

(26,286)

ZAR

865,500,000

USD

54,471,263

CITI

6/17/2020

(6,569,011)

ZAR

865,500,000

USD

54,471,331

JPMC

6/17/2020

(6,569,080)

Total

unrealized

depreciation

(130,799,242)

Net

unrealized

depreciation

$

(33,528,755)

**

Non-deliverable

forward.

212

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

Total

R

eturn

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

16-37

months

maturity

02/17/2021

$15,229,137

$(759,649)

$(11,601)

$(771,250)

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

and

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.20%

to

0.20%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

02/25/2025

$11,827,780

$(950,557)

$(78,881)

$(1,029,438)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

BANA

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.96%

to

0.25%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

05/25/2021

$969,779,262

$19,934,389

$26,770,603

$46,704,992

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

Acuity

Brands,

Inc.

62,500

5,353,750

280,625

0.6

Akamai

Technologies,

Inc.

63,635

5,821,966

136,179

0.3

Alphabet,

Inc.

7,646

8,884,270

461,283

1.0

Amdocs

Ltd.

147,837

8,126,600

486,384

1.0

Anthem,

Inc.

27,790

6,309,442

296,519

0.6

Baxter

International,

Inc.

69,479

5,641,000

529,430

1.1

Booking

Holdings,

Inc.

4,210

5,663,797

(86,431)

(0.2)

Cadence

Design

Systems,

Inc.

107,013

7,067,139

501,891

1.1

Cirrus

Logic,

Inc.

130,033

8,534,066

721,683

1.5

213

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

States

(continued)

Cummins,

Inc.

42,154

5,704,279

318,263

0.7

Danaher

Corp.

45,117

6,244,644

410,114

0.9

Eaton

Corp.

plc

90,680

7,044,929

280,201

0.6

eBay,

Inc.

237,621

7,142,887

401,580

0.9

Electronic

Arts,

Inc.

79,909

8,004,485

841,442

1.8

Facebook,

Inc.

61,647

10,282,720

652,842

1.4

Humana,

Inc.

20,221

6,349,798

910,147

1.9

Huntington

Ingalls

Industries,

Inc.

49,414

9,003,725

235,705

0.5

J2

Global,

Inc.

113,477

8,493,753

1,017,889

2.2

Lockheed

Martin

Corp.

24,258

8,222,249

467,694

1.0

Masco

Corp.

182,925

6,323,717

82,316

0.2

Medtronic

plc

71,398

6,438,672

239,897

0.5

Murphy

USA,

Inc.

67,843

5,723,235

(8,141)

(0.0)

Northrop

Grumman

Corp.

27,364

8,278,978

388,295

0.8

NortonLifeLock

,

Inc.

368,958

6,903,204

302,546

0.6

Oshkosh

Corp.

91,790

5,904,851

500,256

1.1

Owens

Corning

166,590

6,465,358

131,606

0.3

Skyworks

Solutions,

Inc.

74,670

6,674,005

301,667

0.6

Snap-on,

Inc.

51,123

5,563,205

(57,258)

(0.1)

Target

Corp.

106,183

9,871,834

204,933

0.4

Universal

Health

Services,

Inc.

55,096

5,458,912

613,218

1.3

VeriSign,

Inc.

31,224

5,623,130

409,659

0.9

Short

Positions

Common

Stocks

United

States

Baker

Hughes

Co.

(949,429)

(9,969,004)

1,063,361

2.3

Boeing

Co.

(The)

(119,963)

(17,891,282)

1,150,445

2.5

Cabot

Oil

&

Gas

Corp.

(601,482)

(10,339,476)

(439,082)

(0.9)

Carvana

Co.

(102,039)

(5,621,329)

757,129

1.6

Cheniere

Energy,

Inc.

(347,561)

(11,643,294)

(66,037)

(0.1)

Chevron

Corp.

(233,686)

(16,932,888)

(745,458)

(1.6)

Concho

Resources,

Inc.

(132,493)

(5,677,325)

120,569

0.3

EQT

Corp.

(1,051,860)

(7,436,650)

694,228

1.5

Exxon

Mobil

Corp.

(402,877)

(15,297,240)

(273,956)

(0.6)

General

Electric

Co.

(956,698)

(7,596,182)

(363,545)

(0.8)

HealthEquity

,

Inc.

(156,708)

(7,927,858)

358,861

0.8

Hess

Corp.

(210,616)

(7,013,513)

303,287

0.6

Occidental

Petroleum

Corp.

(614,960)

(7,121,237)

258,283

0.6

Ollie's

Bargain

Outlet

Holdings,

Inc.

(210,528)

(9,755,868)

(983,166)

(2.1)

Schlumberger

Ltd.

(987,567)

(13,322,279)

1,096,199

2.3

Trex

Co.,

Inc.

(99,695)

(7,989,557)

132,594

0.3

Twilio

,

Inc.

(64,647)

(5,785,260)

474,509

1.0

Univar

Solutions,

Inc.

(643,849)

(6,902,061)

682,480

1.5

Williams

Cos.,

Inc.

(The)

(389,740)

(5,514,821)

(296,202)

(0.6)

214

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.13%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-61

months

maturity

ranging

from

04/02/2020

-

03/07/2025

$84,271,397

$7,308,766

$1,486,023

$8,794,789

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

935,550

9,790,849

(595,259)

(6.8)

Alumina

Ltd.

1,195,108

1,071,051

(70,559)

(0.8)

Aurizon

Holdings

Ltd.

557,596

1,445,050

(130,225)

(1.5)

Beach

Energy

Ltd.

3,547,663

2,472,341

(344,617)

(3.9)

BlueScope

Steel

Ltd.

770,861

4,035,860

(436,864)

(5.0)

Boral

Ltd.

447,140

561,623

(488,089)

(5.5)

Coca-Cola

Amatil

Ltd.

92,389

498,649

(114,001)

(1.3)

Evolution

Mining

Ltd.

124,836

291,759

(43,622)

(0.5)

Flight

Centre

Travel

Group

Ltd.(a)

15,656

76,761

(159,111)

(1.8)

Fortescue

Metals

Group

Ltd.

1,751,553

10,733,914

1,506,232

17.1

Harvey

Norman

Holdings

Ltd.

1,486,301

2,729,085

(329,456)

(3.7)

Iluka

Resources

Ltd.

185,161

782,993

(62,744)

(0.7)

South32

Ltd.

873,833

964,633

486

0.0

Telstra

Corp.

Ltd.

2,792,380

5,241,712

(735,372)

(8.4)

Treasury

Wine

Estates

Ltd.

362,555

2,250,947

173,962

2.0

Wesfarmers

Ltd.

92,325

1,956,386

(182,517)

(2.1)

Woodside

Petroleum

Ltd.

77,311

857,879

(166,508)

(1.9)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(191,643)

(2,228,508)

1,005,030

11.4

AMP

Ltd.

(4,222,117)

(3,447,965)

193,924

2.2

APA

Group

(928,790)

(5,893,875)

444,329

5.1

Atlas

Arteria

Ltd.

(495,945)

(1,675,105)

559,038

6.4

Challenger

Ltd.

(1,185,041)

(2,894,609)

2,339,672

26.6

Insurance

Australia

Group

Ltd.

(258,622)

(975,794)

33,365

0.4

Lendlease

Group

(259,450)

(1,626,697)

775,913

8.8

Medibank

Pvt

Ltd.

(1,914,306)

(3,148,090)

56,905

0.6

Origin

Energy

Ltd.

(694,955)

(1,867,504)

549,250

6.2

Qantas

Airways

Ltd.

(148,262)

(288,460)

27,154

0.3

QBE

Insurance

Group

Ltd.

(764,058)

(3,979,974)

1,116,469

12.7

Ramsay

Health

Care

Ltd.

(39,912)

(1,403,394)

111,902

1.3

REA

Group

Ltd.

(7,275)

(340,790)

30,024

0.3

SEEK

Ltd.

(341,093)

(3,116,991)

816,704

9.3

Washington

H

Soul

Pattinson

&

Co.

Ltd.

(22,564)

(233,163)

17,438

0.2

215

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Australia

(continued)

WiseTech

Global

Ltd.

(82,869)

(861,504)

(173,448)

(2.0)

United

States

James

Hardie

Industries

plc

(389,940)

(4,527,482)

1,583,361

18.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.33%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/07/2025

$89,346,692

$(1,326,872)

$178,384

$(1,148,488)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

479,000

1,314,865

(210,717)

18.3

Hong

Kong

CK

Asset

Holdings

Ltd.

427,000

2,316,769

(182,647)

15.9

CLP

Holdings

Ltd.

607,500

5,564,704

(784,547)

68.3

Henderson

Land

Development

Co.

Ltd.

1,410,580

5,338,880

(1,045,462)

91.0

HKT

Trust

&

HKT

Ltd.

1,120,000

1,523,254

(224,186)

19.5

Hysan

Development

Co.

Ltd.

150,000

484,410

(4,000)

0.3

Kerry

Properties

Ltd.

494,000

1,291,808

(90,467)

7.9

Melco

International

Development

Ltd.

733,000

1,050,662

(349,604)

30.4

New

World

Development

Co.

Ltd.

3,423,000

3,649,864

(503,366)

43.8

NWS

Holdings

Ltd.

863,000

879,472

(107,572)

9.4

Sun

Hung

Kai

Properties

Ltd.

322,500

4,216,377

(229,316)

20.0

WH

Group

Ltd.

4,469,000

4,124,927

(415,013)

36.1

Yue

Yuen

Industrial

Holdings

Ltd.

1,081,000

1,651,877

(711,849)

62.0

Macau

Sands

China

Ltd.

122,400

445,303

(75,496)

6.6

SJM

Holdings

Ltd.

1,034,000

862,804

(211,665)

18.4

Wynn

Macau

Ltd.

212,000

317,938

(72,337)

6.3

United

Kingdom

CK

Hutchison

Holdings

Ltd.

1,360,000

9,064,617

(2,155,867)

187.7

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(689,000)

(1,771,921)

311,519

(27.1)

Minth

Group

Ltd.

(1,174,000)

(2,496,097)

1,589,613

(138.4)

216

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

AIA

Group

Ltd.

(1,545,200)

(13,836,711)

364,216

(31.7)

ASM

Pacific

Technology

Ltd.

(344,500)

(3,194,317)

521,373

(45.4)

HK

Electric

Investments

&

HK

Electric

Investments

Ltd.

(1,281,500)

(1,230,330)

75,400

(6.6)

Hong

Kong

&

China

Gas

Co.

Ltd.

(5,010,400)

(8,204,180)

1,449,598

(126.2)

MTR

Corp.

Ltd.

(173,000)

(889,850)

32,701

(2.8)

Power

Assets

Holdings

Ltd.

(123,500)

(732,632)

147,181

(12.8)

Swire

Properties

Ltd.

(996,800)

(2,784,805)

81,581

(7.1)

Techtronic

Industries

Co.

Ltd.

(242,500)

(1,539,852)

368,686

(32.1)

Vitasoy

International

Holdings

Ltd.

(638,000)

(1,919,989)

387,964

(33.8)

Wharf

Holdings

Ltd.

(The)

(1,148,000)

(2,017,650)

332,901

(29.0)

Wharf

Real

Estate

Investment

Co.

Ltd.

(1,008,000)

(4,111,565)

340,642

(29.7)

Xinyi

Glass

Holdings

Ltd.

(252,000)

(287,750)

5,379

(0.5)

Macau

MGM

China

Holdings

Ltd.

(228,000)

(230,512)

38,485

(3.4)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

TONAR

or

LIBOR

plus

or

minus

a

specified

spread

(-0.48%

to

0.03%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

04/20/2023

-

03/26/2025

$846,415,344

$(17,420,246)

$3,464,487

$(13,955,759)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

AGC,

Inc.

264,800

6,452,516

(665,908)

4.8

Bandai

Namco

Holdings,

Inc.

125,800

6,101,708

(530,269)

3.8

Central

Japan

Railway

Co.

56,600

9,071,350

346,250

(2.5)

Haseko

Corp.

608,900

6,475,557

(692,972)

5.0

Hitachi

Ltd.

211,200

6,067,018

(511,929)

3.7

ITOCHU

Corp.

670,600

13,877,811

(221,338)

1.6

Kajima

Corp.

584,800

5,977,547

295,672

(2.1)

KDDI

Corp.

465,300

13,744,307

(399,870)

2.9

Kyocera

Corp.

91,900

5,423,092

(269,485)

1.9

Marubeni

Corp.

2,054,400

10,196,118

(1,586,176)

11.4

Mitsui

&

Co.

Ltd.

601,900

8,356,603

(757,131)

5.4

Nexon

Co.

Ltd.

473,200

7,732,486

593,992

(4.3)

Nippon

Telegraph

&

Telephone

Corp.

563,400

13,474,623

492,948

(3.5)

Obayashi

Corp.

1,155,200

9,802,485

(730,538)

5.2

ORIX

Corp.

708,000

8,446,911

(1,777,937)

12.7

Osaka

Gas

Co.

Ltd.

342,600

6,433,217

1,167,328

(8.4)

Resona

Holdings,

Inc.

1,979,400

5,934,850

(246,461)

1.8

Sekisui

House

Ltd.

344,100

5,674,910

(478,562)

3.4

Showa

Denko

KK

264,300

5,422,411

554,410

(4.0)

217

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Sojitz

Corp.

3,215,500

7,539,207

(822,197)

5.9

Tokyo

Electric

Power

Co.

Holdings,

Inc.

4,130,500

14,368,936

(270,665)

1.9

Tokyo

Gas

Co.

Ltd.

575,800

13,567,727

1,697,192

(12.2)

Toppan

Printing

Co.

Ltd.

385,600

5,887,351

(190,695)

1.4

Tosoh

Corp.

622,700

7,037,197

(652,850)

4.7

West

Japan

Railway

Co.

102,300

6,996,807

552,445

(4.0)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(660,200)

(14,626,099)

(2,831,745)

20.3

Asics

Corp.

(665,100)

(6,141,293)

386,947

(2.8)

Cosmos

Pharmaceutical

Corp.

(28,800)

(6,878,182)

(707,761)

5.1

CyberAgent

,

Inc.

(312,300)

(12,103,464)

(1,117,422)

8.0

Daifuku

Co.

Ltd.

(151,200)

(9,475,449)

(1,442,517)

10.3

Daikin

Industries

Ltd.

(71,200)

(8,594,842)

187,443

(1.3)

Kikkoman

Corp.

(241,300)

(10,230,999)

184,908

(1.3)

Kobe

Bussan

Co.

Ltd.

(213,900)

(8,406,400)

(188,975)

1.4

LIXIL

Group

Corp.

(666,300)

(8,209,607)

183,078

(1.3)

Marui

Group

Co.

Ltd.

(420,400)

(7,032,763)

751,084

(5.4)

MISUMI

Group,

Inc.

(280,100)

(6,058,829)

(439,865)

3.2

MonotaRO

Co.

Ltd.

(409,500)

(10,819,573)

(1,422,590)

10.2

Nidec

Corp.

(274,000)

(14,120,453)

1,777,953

(12.7)

Nippon

Paint

Holdings

Co.

Ltd.

(179,300)

(9,332,965)

(777,552)

5.6

Pigeon

Corp.

(236,400)

(9,050,631)

(1,672,675)

12.0

Ryohin

Keikaku

Co.

Ltd.

(501,800)

(5,580,313)

569,103

(4.1)

Shimano,

Inc.

(39,500)

(5,633,228)

(138,141)

1.0

SoftBank

Group

Corp.

(217,000)

(7,682,318)

1,080,764

(7.7)

Sony

Financial

Holdings,

Inc.

(348,600)

(5,853,588)

528,302

(3.8)

Takeda

Pharmaceutical

Co.

Ltd.

(275,200)

(8,379,320)

1,124,501

(8.1)

TOTO

Ltd.

(321,700)

(10,612,285)

734,755

(5.3)

Tsuruha

Holdings,

Inc.

(66,400)

(8,754,682)

(1,105,528)

7.9

Yakult

Honsha

Co.

Ltd.

(113,000)

(6,656,835)

(1,062,914)

7.6

Yamato

Holdings

Co.

Ltd.

(451,100)

(7,046,673)

(397,956)

2.9

Yaskawa

Electric

Corp.

(321,800)

(8,749,946)

217,358

(1.6)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.53%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/26/2025

$1,379,049,161

$(21,802,824)

$(1,919,423)

$(23,722,247)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

218

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AbbVie,

Inc.

95,034

7,240,640

(862,909)

3.6

Allstate

Corp.

(The)

83,830

7,689,726

(325,260)

1.4

Amgen,

Inc.

36,333

7,365,789

158,412

(0.7)

Assured

Guaranty

Ltd.

340,115

8,771,566

(3,836,497)

16.2

Athene

Holding

Ltd.

304,597

7,560,098

(2,509,879)

10.6

Biogen,

Inc.

38,767

12,265,103

743,939

(3.1)

Bio-Rad

Laboratories,

Inc.

32,750

11,480,840

(25,545)

0.1

Boston

Beer

Co.,

Inc.

(The)

22,247

8,177,107

452,726

(1.9)

Charles

River

Laboratories

International,

Inc.

126,140

15,920,129

(2,093,924)

8.8

Consolidated

Edison,

Inc.

126,644

9,878,232

(1,350,025)

5.7

Everest

Re

Group

Ltd.

59,016

11,355,859

(2,499,328)

10.5

Gilead

Sciences,

Inc.

109,186

8,162,745

135,391

(0.6)

Jabil,

Inc.

289,170

7,107,799

(1,327,290)

5.6

Kimberly-Clark

Corp.

64,095

8,195,828

(862,078)

3.6

Kroger

Co.

(The)

267,391

8,053,817

(302,152)

1.3

ManpowerGroup

,

Inc.

156,971

8,317,893

(2,279,219)

9.6

PepsiCo,

Inc.

77,346

9,289,255

(778,101)

3.3

Pfizer,

Inc.

383,367

12,513,099

(429,371)

1.8

Procter

&

Gamble

Co.

(The)

127,303

14,003,330

(771,456)

3.3

Regeneron

Pharmaceuticals,

Inc.

15,430

7,534,315

213,706

(0.9)

Robert

Half

International,

Inc.

190,459

7,189,827

(1,317,976)

5.6

Short

Positions

Common

Stocks

United

States

Agios

Pharmaceuticals,

Inc.

(234,578)

(8,322,827)

2,057,249

(8.7)

Amcor

plc

(1,084,686)

(8,807,650)

824,361

(3.5)

Ball

Corp.

(201,419)

(13,023,753)

1,581,139

(6.7)

Bank

of

America

Corp.

(373,545)

(7,930,360)

(391,899)

1.7

CenterPoint

Energy,

Inc.

(470,649)

(7,271,527)

1,214,274

(5.1)

Charter

Communications,

Inc.

(16,702)

(7,287,250)

449,284

(1.9)

Citigroup,

Inc.

(259,887)

(10,946,440)

(735,162)

3.1

Dominion

Energy,

Inc.

(149,936)

(10,823,880)

1,370,415

(5.8)

Edison

International

(218,242)

(11,957,479)

1,521,147

(6.4)

FedEx

Corp.

(84,161)

(10,205,363)

(467,935)

2.0

FirstEnergy

Corp.

(240,465)

(9,635,433)

687,730

(2.9)

Freeport-McMoRan,

Inc.

(1,062,069)

(7,168,966)

1,358,084

(5.7)

GCI

Liberty,

Inc.

(175,063)

(9,973,339)

1,036,373

(4.4)

Hain

Celestial

Group,

Inc.

(The)

(266,703)

(6,926,277)

(1,037,475)

4.4

Illumina,

Inc.

(27,610)

(7,540,843)

(367,765)

1.6

Liberty

Broadband

Corp.

(93,364)

(10,337,262)

324,907

(1.4)

Madison

Square

Garden

Co.

(The)

(33,842)

(7,154,537)

358,048

(1.5)

National

Fuel

Gas

Co.

(270,628)

(10,091,718)

254,390

(1.1)

Newmont

Corp.

(177,539)

(8,038,966)

443,848

(1.9)

NiSource,

Inc.

(409,459)

(10,224,191)

1,113,729

(4.7)

Pure

Storage,

Inc.

(672,792)

(8,275,342)

888,085

(3.7)

Sealed

Air

Corp.

(315,624)

(7,799,069)

1,186,746

(5.0)

ServiceMaster

Global

Holdings,

Inc.

(261,918)

(7,071,786)

1,746,993

(7.4)

Stericycle,

Inc.

(178,715)

(8,681,975)

1,111,607

(4.7)

Tesla,

Inc.

(26,935)

(14,113,940)

1,286,640

(5.4)

Union

Pacific

Corp.

(59,100)

(8,335,464)

(307,320)

1.3

United

Parcel

Service,

Inc.

(88,872)

(8,302,422)

(554,561)

2.3

Wells

Fargo

&

Co.

(285,364)

(8,189,947)

(301,085)

1.3

Willis

Towers

Watson

plc

(43,563)

(7,399,176)

648,653

(2.7)

219

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CDOR

plus

or

minus

a

specified

spread

(-1.58%

to

0.35%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-62

months

maturity

ranging

from

02/25/2025

-

03/26/2025

$176,359,350

$73,338

$233,982

$307,320

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Air

Canada

436,377

4,883,776

(107,919)

(35.1)

Alimentation

Couche-Tard,

Inc.

115,051

2,710,112

4,301

1.4

Atco

Ltd.

69,214

1,916,627

138,581

45.1

Bank

of

Montreal

88,115

4,449,266

595,553

193.8

Bank

of

Nova

Scotia

(The)

48,934

1,998,321

119,007

38.7

Canadian

Imperial

Bank

of

Commerce

99,273

5,784,400

459,492

149.5

Canadian

Tire

Corp.

Ltd.

34,248

2,067,097

142,678

46.4

Cenovus

Energy,

Inc.

584,112

1,178,766

125,164

40.7

CGI,

Inc.

76,808

4,158,318

5,994

2.0

CI

Financial

Corp.

237,503

2,357,647

(26,303)

(8.6)

Hydro

One

Ltd.

127,474

2,295,311

102,140

33.2

iA

Financial

Corp.,

Inc.

54,970

1,728,042

130,070

42.3

Intact

Financial

Corp.

39,440

3,408,717

170,621

55.5

Linamar

Corp.

120,222

2,488,501

17,758

5.8

Magna

International,

Inc.

128,371

4,096,597

(15,109)

(4.9)

Manulife

Financial

Corp.

578,119

7,258,838

1,376,320

447.8

National

Bank

of

Canada

108,729

4,202,210

633,756

206.2

Quebecor,

Inc.

152,954

3,381,226

126,644

41.2

Rogers

Communications,

Inc.

33,355

1,392,221

19,157

6.2

Royal

Bank

of

Canada

85,646

5,305,025

(110,706)

(36.0)

Seven

Generations

Energy

Ltd.

886,437

976,322

45,533

14.8

Toronto-Dominion

Bank

(The)

145,999

6,207,006

218,113

71.0

Tourmaline

Oil

Corp.

394,542

2,422,257

124,883

40.6

United

States

Bausch

Health

Cos.,

Inc.

105,711

1,638,284

73,287

23.8

BRP,

Inc.

154,582

2,521,994

(807,836)

(262.9)

Ovintiv

,

Inc.

683,075

1,873,566

(56,183)

(18.3)

220

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

(97,197)

(3,880,145)

203,278

66.1

AltaGas

Ltd.

(253,400)

(2,295,779)

(118,066)

(38.4)

Barrick

Gold

Corp.

(295,065)

(5,422,000)

(123,355)

(40.1)

BlackBerry

Ltd.

(383,274)

(1,571,442)

(440,207)

(143.2)

Cameco

Corp.

(388,890)

(2,965,103)

(394,315)

(128.3)

Canada

Goose

Holdings,

Inc.

(233,746)

(4,673,923)

(742,121)

(241.5)

CCL

Industries,

Inc.

(91,680)

(2,787,598)

(379,725)

(123.6)

Dollarama,

Inc.

(200,711)

(5,567,937)

(144,985)

(47.2)

Element

Fleet

Management

Corp.

(352,779)

(2,246,074)

(64,596)

(21.0)

Enbridge,

Inc.

(257,153)

(7,488,190)

(536,207)

(174.5)

Finning

International,

Inc.

(159,130)

(1,707,428)

(412,376)

(134.2)

Franco-Nevada

Corp.

(55,762)

(5,571,445)

373,467

121.5

Gildan

Activewear

,

Inc.

(74,848)

(954,148)

31,916

10.4

Inter

Pipeline

Ltd.

(297,085)

(1,777,486)

(15,262)

(5.0)

Keyera

Corp.

(109,512)

(1,017,848)

125,300

40.8

Pan

American

Silver

Corp.

(109,135)

(1,570,371)

204,831

66.7

Pembina

Pipeline

Corp.

(174,974)

(3,282,394)

(443,358)

(144.3)

Restaurant

Brands

International,

Inc.

(77,370)

(3,117,781)

(535,707)

(174.3)

Shopify,

Inc.

(10,961)

(4,592,358)

(662,239)

(215.5)

TC

Energy

Corp.

(26,022)

(1,156,595)

(166,069)

(54.0)

West

Fraser

Timber

Co.

Ltd.

(168,710)

(3,217,634)

716,303

233.1

Wheaton

Precious

Metals

Corp.

(291,362)

(8,018,511)

(111,108)

(36.2)

Chile

Lundin

Mining

Corp.

(564,437)

(2,121,702)

66,675

21.7

Zambia

First

Quantum

Minerals

Ltd.

(534,326)

(2,729,911)

(106,654)

(34.7)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-2.25%

to

0.25%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/21/2025

-

03/26/2025

$198,160,138

$2,047,556

$1,193,621

$3,241,177

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

978,716

2,800,228

(229,006)

(7.1)

Switzerland

Coca-Cola

HBC

AG

71,620

1,535,983

57,866

1.8

221

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

United

Kingdom

Aggreko

plc

363,974

2,175,299

430,226

13.3

Auto

Trader

Group

plc

411,513

2,223,732

202,095

6.2

Babcock

International

Group

plc

675,194

3,186,582

362,585

11.2

BAE

Systems

plc

272,595

1,751,429

111,589

3.4

Barratt

Developments

plc

698,723

3,776,820

(116,802)

(3.6)

Bellway

plc

158,896

4,209,470

(58,197)

(1.8)

Berkeley

Group

Holdings

plc

157,431

7,026,707

(74,101)

(2.3)

British

American

Tobacco

plc

45,352

1,544,928

19,247

0.6

Britvic

plc

300,780

2,606,808

194,191

6.0

BT

Group

plc

3,160,928

4,597,779

(183,721)

(5.7)

Close

Brothers

Group

plc

163,556

2,274,165

144,551

4.5

Hays

plc

1,723,917

2,455,398

(126,351)

(3.9)

Howden

Joinery

Group

plc

314,785

1,980,215

128,169

4.0

Micro

Focus

International

plc

480,076

2,368,978

10,270

0.3

Moneysupermarket.com

Group

plc

421,588

1,566,650

293,598

9.1

National

Grid

plc

206,398

2,411,611

(8,210)

(0.3)

Next

plc

49,971

2,506,986

(142,629)

(4.4)

Pennon

Group

plc

415,032

5,549,464

(29,822)

(0.9)

Persimmon

plc

63,919

1,510,960

119,894

3.7

RELX

plc

78,999

1,686,031

164,162

5.1

Royal

Mail

plc

2,691,502

4,149,013

(832,939)

(25.7)

Tate

&

Lyle

plc

316,527

2,575,213

264,943

8.2

Taylor

Wimpey

plc

2,387,916

3,436,117

(143,676)

(4.4)

United

Utilities

Group

plc

854,563

9,565,905

155,173

4.8

Short

Positions

Common

Stocks

South

Africa

Old

Mutual

Ltd.

(2,645,374)

(1,718,378)

277,026

8.5

United

Kingdom

B&M

European

Value

Retail

SA

(948,251)

(3,220,466)

44,840

1.4

Beazley

plc

(431,822)

(2,082,988)

30,662

0.9

Bunzl

plc

(72,837)

(1,457,952)

(191,635)

(5.9)

Burberry

Group

plc

(106,864)

(1,737,046)

(109,370)

(3.4)

easyJet

plc

(1,017,675)

(7,052,040)

336,631

10.4

Hargreaves

Lansdown

plc

(257,396)

(4,373,383)

234,110

7.2

Hiscox

Ltd.

(466,729)

(5,315,141)

492,376

15.2

Melrose

Industries

plc

(2,143,989)

(2,382,475)

969,357

29.9

Mondi

plc

(311,831)

(5,262,342)

(102,214)

(3.2)

Ocado

Group

plc

(118,036)

(1,770,573)

212,501

6.6

Prudential

plc

(433,247)

(5,428,519)

(905,012)

(27.9)

Reckitt

Benckiser

Group

plc

(103,667)

(7,896,896)

(509,735)

(15.7)

Rentokil

Initial

plc

(668,895)

(3,194,633)

111,882

3.5

Rolls-Royce

Holdings

plc

(642,255)

(2,714,459)

379,302

11.7

RSA

Insurance

Group

plc

(906,118)

(4,728,499)

(549,338)

(16.9)

SSE

plc

(208,293)

(3,347,071)

82,170

2.5

St

James's

Place

plc

(206,816)

(1,931,234)

108,333

3.3

Standard

Chartered

plc

(528,505)

(2,921,996)

75,725

2.3

Standard

Life

Aberdeen

plc

(1,516,196)

(4,184,405)

(243,125)

(7.5)

Tesco

plc

(1,242,664)

(3,509,317)

(27,211)

(0.8)

Vodafone

Group

plc

(4,688,628)

(6,486,458)

(176,804)

(5.5)

Weir

Group

plc

(The)

(206,533)

(1,836,932)

278,725

8.6

Whitbread

plc

(52,480)

(1,944,989)

(402,854)

(12.4)

222

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SIBOR

plus

or

minus

a

specified

spread

(-0.40%

to

0.40%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

02/25/2025

$15,721,277

$(76,330)

$(6,180)

$(82,510)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

Yangzijiang

Shipbuilding

Holdings

Ltd.

6,486,900

3,763,963

65,870

(79.8)

Singapore

ComfortDelGro

Corp.

Ltd.

1,525,800

1,624,722

(69,608)

84.4

Genting

Singapore

Ltd.

827,600

401,188

40,270

(48.8)

Venture

Corp.

Ltd.

276,400

2,633,010

(85,836)

104.0

Wilmar

International

Ltd.

626,900

1,417,677

10,996

(13.3)

Short

Positions

Common

Stocks

Singapore

City

Developments

Ltd.

(159,800)

(810,293)

48,652

(59.0)

Singapore

Telecommunications

Ltd.

(2,844,200)

(5,070,424)

(86,674)

105.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SARON

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

2-27

months

maturity

05/18/2020

$66,194,301

$(3,038,718)

$(214,290)

$(3,253,008)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

223

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

144,920

1,416,519

32,369

(1.0)

Switzerland

Adecco

Group

AG

(Registered)

41,708

1,643,572

186,512

(5.7)

Flughafen

Zurich

AG

(Registered)

5,725

640,471

71,466

(2.2)

Geberit

AG

(Registered)

1,068

467,976

29,586

(0.9)

Georg

Fischer

AG

(Registered)

686

468,083

56,352

(1.7)

Helvetia

Holding

AG

(Registered)

20,801

1,777,175

42,517

(1.3)

Nestle

SA

(Registered)

39,716

4,065,639

192,565

(5.9)

Novartis

AG

(Registered)

55,719

4,596,753

313,800

(9.6)

Roche

Holding

AG

29,851

9,604,321

328,018

(10.1)

Sonova

Holding

AG

(Registered)

11,576

2,064,168

170,067

(5.2)

Swiss

Life

Holding

AG

(Registered)

10,275

3,448,764

445,045

(13.7)

Swisscom

AG

(Registered)

6,113

3,273,395

(72,315)

2.2

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(298,777)

(5,193,055)

(346,462)

10.7

dormakaba

Holding

AG

(540)

(238,928)

5,555

(0.2)

Dufry

AG

(Registered)

(32,807)

(1,006,854)

(264,697)

8.1

EMS-

Chemie

Holding

AG

(Registered)

(1,211)

(755,268)

(48,917)

1.5

Idorsia

Ltd.

(205,237)

(5,304,569)

(752,295)

23.1

Julius

Baer

Group

Ltd.

(94,639)

(3,170,167)

(612,909)

18.8

Lonza

Group

AG

(Registered)

(6,127)

(2,520,182)

(408,610)

12.6

OC

Oerlikon

Corp.

AG

(Registered)

(251,523)

(1,991,502)

(395,932)

12.2

Partners

Group

Holding

AG

(2,775)

(1,899,948)

(295,414)

9.1

Sika

AG

(Registered)

(17,371)

(2,852,541)

(257,148)

7.9

Swiss

Re

AG

(12,205)

(939,772)

(195,743)

6.0

Temenos

AG

(Registered)

(26,534)

(3,458,697)

(514,207)

15.8

Vifor

Pharma

AG

(24,823)

(3,395,982)

(747,921)

23.0

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

18-37

months

maturity

02/17/2021

$41,326,513

$1,547,046

$(10,192)

$1,536,854

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

224

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

54,529

6,138,865

413,637

26.9

Coloplast

A/S

4,968

720,491

66,801

4.3

GN

Store

Nord

A/S

59,410

2,634,129

535,771

34.9

H

Lundbeck

A/S

61,999

1,820,438

86,108

5.6

ISS

A/S

69,237

947,198

46,322

3.0

Jyske

Bank

A/S

(Registered)

8,910

220,128

(8,889)

(0.6)

Novo

Nordisk

A/S

63,759

3,807,438

317,409

20.7

Pandora

A/S

136,698

4,392,261

286,916

18.7

ROCKWOOL

International

A/S

16,004

2,882,631

76,276

5.0

Vestas

Wind

Systems

A/S

5,536

450,440

10,893

0.7

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(11,425)

(10,126,718)

363,771

23.7

Chr

Hansen

Holding

A/S

(15,178)

(1,120,026)

(54,065)

(3.5)

DSV

Panalpina

A/S

(23,861)

(2,169,658)

(269,526)

(17.5)

FLSmidth

&

Co.

A/S

(28,276)

(633,757)

27,904

1.8

Genmab

A/S

(13,351)

(2,681,798)

(320,050)

(20.8)

Novozymes

A/S

(12,942)

(580,537)

(32,232)

(2.1)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-4.35%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

8-37

months

maturity

11/11/2020

$473,080,855

$(204,407)

$(424,918)

$(629,325)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

281,746

11,740,922

2,956,449

(469.8)

Proximus

SADP

168,480

3,869,064

14,994

(2.4)

France

BNP

Paribas

SA

144,746

4,225,894

(441,306)

70.1

Electricite

de

France

SA

907,182

7,093,723

(762,653)

121.2

Engie

SA

852,891

8,733,995

(966,187)

153.5

Orange

SA

583,691

7,067,016

310,383

(49.3)

Peugeot

SA

700,865

9,124,759

577,485

(91.8)

Sanofi

45,039

3,899,248

6,114

(1.0)

225

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

France

(continued)

Suez

432,674

4,395,706

158,775

(25.2)

TOTAL

SA

94,798

3,571,877

917,498

(145.8)

Germany

Allianz

SE

(Registered)

27,050

4,606,549

704,814

(112.0)

Deutsche

Telekom

AG

(Registered)

503,089

6,497,616

129,257

(20.5)

Hannover

Rueck

SE

66,342

9,367,874

1,206,633

(191.7)

HeidelbergCement

AG

144,589

6,177,288

575,689

(91.5)

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

(Registered)

35,960

7,230,494

1,005,120

(159.7)

Netherlands

ASM

International

NV

44,540

4,531,584

974,376

(154.8)

ASR

Nederland

NV

211,570

5,319,583

662,106

(105.2)

Koninklijke

Ahold

Delhaize

NV

594,335

13,845,966

493,611

(78.4)

NN

Group

NV

305,209

8,294,287

1,245,816

(198.0)

Randstad

NV

102,547

3,619,083

(119,523)

19.0

Signify

NV

204,143

3,956,340

(370,284)

58.8

Spain

Enagas

SA

194,845

3,843,747

118,549

(18.8)

Endesa

SA

607,221

12,849,039

2,071,097

(329.1)

Iberdrola

SA

462,796

4,526,614

(99,825)

15.9

Red

Electrica

Corp.

SA

265,944

4,778,882

401,922

(63.9)

Repsol

SA

515,659

4,600,328

740,867

(117.7)

United

Kingdom

Dialog

Semiconductor

plc

169,280

4,400,097

200,933

(31.9)

Short

Positions

Common

Stocks

Belgium

Umicore

SA

(107,744)

(3,716,227)

(94,440)

15.0

France

Accor

SA

(213,418)

(5,733,700)

(42,768)

6.8

Edenred

(247,077)

(10,253,569)

(1,202,109)

191.0

Iliad

SA

(46,155)

(6,218,660)

(171,497)

27.3

Orpea

(37,258)

(3,868,698)

(863,606)

137.2

Remy

Cointreau

SA

(58,926)

(6,422,272)

(892,658)

141.8

Ubisoft

Entertainment

SA

(73,553)

(5,376,065)

(127,841)

20.3

Worldline

SA

(61,128)

(3,607,850)

(564,116)

89.6

Germany

Delivery

Hero

SE

(111,483)

(8,196,695)

(828,725)

131.7

Deutsche

Bank

AG

(Registered)

(1,991,633)

(12,660,982)

(1,279,497)

203.3

E.ON

SE

(711,148)

(7,294,730)

(453,702)

72.1

OSRAM

Licht

AG

(87,883)

(3,896,629)

(572,758)

91.0

RWE

AG

(482,857)

(12,627,488)

(298,144)

47.4

thyssenkrupp

AG

(689,782)

(3,633,199)

(759,817)

120.7

United

Internet

AG

(Registered)

(155,776)

(4,529,641)

(484,211)

76.9

Luxembourg

ArcelorMittal

SA

(546,305)

(5,157,367)

(805,272)

128.0

Netherlands

Adyen

NV

(10,292)

(8,747,117)

(567,764)

90.2

Koninklijke

KPN

NV

(1,638,597)

(3,918,560)

(205,012)

32.6

Koninklijke

Vopak

NV

(88,423)

(4,643,105)

(344,037)

54.7

SBM

Offshore

NV

(299,520)

(3,959,796)

(184,316)

29.3

Spain

Cellnex

Telecom

SA

(434,740)

(19,720,889)

(577,413)

91.8

Ferrovial

SA

(469,866)

(11,153,088)

(926,583)

147.2

Grifols

SA

(111,991)

(3,746,928)

(394,964)

62.8

226

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MSIP

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-1.13%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

12-37

months

maturity

02/17/2021

$48,353,568

$(905,270)

$17,495

$(887,775)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

90,991

1,850,356

50,373

(5.7)

Essity

AB

130,381

3,994,037

259,277

(29.2)

Getinge

AB

139,774

2,643,003

214,697

(24.2)

Hennes

&

Mauritz

AB

181,550

2,323,257

206,030

(23.2)

ICA

Gruppen

AB

36,106

1,507,982

28,599

(3.2)

Sandvik

AB

25,017

351,906

39,395

(4.4)

Securitas

AB

204,660

2,198,551

109,917

(12.4)

Skanska

AB

45,782

688,981

(2,848)

0.3

SKF

AB

134,395

1,831,423

39,864

(4.5)

SSAB

AB

343,897

779,813

64,898

(7.3)

Swedish

Orphan

Biovitrum

AB

195,861

3,253,506

508,060

(57.2)

Telia

Co.

AB

203,827

729,574

(4,632)

0.5

Trelleborg

AB

30,959

329,361

4,531

(0.5)

Volvo

AB

217,837

2,589,196

219,031

(24.7)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(71,584)

(1,988,857)

(214,069)

24.1

Finland

Nordea

Bank

Abp

(128,560)

(723,203)

(53,496)

6.0

Sweden

Atlas

Copco

AB

(7,497)

(249,307)

(24,098)

2.7

BillerudKorsnas

AB

(159,901)

(1,743,518)

(94,589)

10.7

Elekta

AB

(47,560)

(387,727)

(41,463)

4.7

Hexpol

AB

(171,368)

(1,012,496)

(171,395)

19.3

Nibe

Industrier

AB

(45,998)

(665,335)

(101,934)

11.5

Saab

AB

(16,867)

(320,467)

(2,822)

0.3

Svenska

Cellulosa

AB

SCA

(1,038,351)

(10,275,348)

(1,645,956)

185.4

Svenska

Handelsbanken

AB

(61,776)

(509,473)

(11,065)

1.2

Swedish

Match

AB

(74,739)

(4,231,697)

(109,853)

12.4

Telefonaktiebolaget

LM

Ericsson

(145,176)

(1,175,194)

(171,722)

19.3

227

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

LONG

POSITIONS

-

104.5%

COMMON

STOCKS

-

2.9%

Italy

-

2.9%

A2A

SpA

(a)

234,281

$

289,043

Assicurazioni

Generali

SpA

(a)

47,846

648,064

Autogrill

SpA

(a)

5,270

24,455

BPER

Banca(a)

33,808

102,876

Enel

SpA

(a)

92,592

638,686

Eni

SpA

(a)

6,252

62,129

Hera

SpA

(a)

60,968

220,575

Intesa

Sanpaolo

SpA

(a)

67,448

109,135

Italgas

SpA

(a)

39,014

213,460

Leonardo

SpA

(a)

29,062

192,134

Mediobanca

Banca

di

Credito

Finanziario

SpA

(a)

2,679

14,609

Poste

Italiane

SpA

(a)(b)

77,419

651,624

Saipem

SpA

*(a)

34,713

83,690

Snam

SpA

(a)

17,131

78,294

Telecom

Italia

SpA

*(a)

278,104

112,569

Terna

Rete

Elettrica

Nazionale

SpA

(a)

36,449

229,114

Unipol

Gruppo

SpA

(a)

66,346

226,258

3,896,715

—

Luxembourg

-

0.0%(c)

Tenaris

SA

3,604

21,742

TOTAL

COMMON

STOCKS

(Cost

$4,334,580)

3,918,457

SHORT-TERM

INVESTMENTS

-

101.6%

INVESTMENT

COMPANIES

-

52.8%

Goldman

Sachs

Financial

Square

Funds

-

Treasury

Instruments

Fund,

0.52%(1)(d)(e)

9,991,636

9,991,636

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)(d)(f)

61,632,429

61,712,551

TOTAL

INVESTMENT

COMPANIES

(Cost

$71,609,821)

71,704,187

—

PRINCIPAL

AMOUNT

U.S.

TREASURY

OBLIGATIONS

-

48.8%

U.S.

Treasury

Bills

1.81%,

4/2/2020(g)

$

2,338,000

2,338,000

1.55%,

5/7/2020(g)

919,000

918,941

1.56%,

5/14/2020(g)

8,960,000

8,959,171

1.55%,

5/21/2020(g)

5,940,000

5,939,464

1.59%,

5/28/2020(g)

3,427,000

3,426,593

1.58%,

6/4/2020(g)

3,433,000

3,432,558

1.53%,

6/11/2020(g)

9,173,000

9,171,345

1.58%,

6/25/2020(g)

360,000

359,943

1.57%,

7/2/2020(g)

7,974,000

7,971,962

1.53%,

7/9/2020(g)(h)

2,589,000

2,588,455

1.54%,

7/16/2020(g)(h)

803,000

802,814

1.53%,

8/6/2020(g)(h)

1,260,000

1,259,621

1.52%,

8/13/2020(g)

1,655,000

1,654,521

1.45%,

8/27/2020(g)(h)

6,274,000

6,271,672

INVESTMENTS

PRINCIPAL

AMOUNT

VALUE

U.S.

TREASURY

OBLIGATIONS

-

48.8%

(continued)

1.02%,

9/3/2020(g)(h)

$

11,192,000

$

11,187,350

TOTAL

U.S.

TREASURY

OBLIGATIONS

(Cost

$66,071,122)

66,282,410

TOTAL

SHORT-TERM

INVESTMENTS

(Cost

$137,680,943)

137,986,597

TOTAL

LONG

POSITIONS

(Cost

$142,015,523)

141,905,054

SHARES

SHORT

POSITIONS

-

(1.5)%

COMMON

STOCKS

-

(1.5)%

Italy

-

(1.3)%

Amplifon

SpA

(868)

(17,632)

Atlantia

SpA

(14,556)

(180,821)

Banca

Generali

SpA

(1,835)

(38,130)

Davide

Campari-Milano

SpA

(44,537)

(319,391)

Ferrari

NV

(2,695)

(415,125)

FinecoBank

Banca

Fineco

SpA

(27,521)

(247,609)

Freni

Brembo

SpA

(20,597)

(152,725)

Moncler

SpA

(2,690)

(97,751)

Pirelli

&

C

SpA

(b)

(30,314)

(106,954)

Prysmian

SpA

(9,511)

(151,005)

(1,727,143)

—

United

Kingdom

-

(0.2)%

CNH

Industrial

NV

(57,904)

(329,780)

TOTAL

COMMON

STOCKS

(Proceeds$(2,828,637))

(2,056,923)

TOTAL

SHORT

POSITIONS

(Proceeds

$(2,828,637))

(2,056,923)

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

103.0%

(Cost

$139,186,886)

139,848,131

LIABILITIES

IN

EXCESS

OF

OTHER

ASSETS

-

(3.0)%(

i

)

(4,035,364)

NET

ASSETS

-

100.0%

$135,812,767

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

112,569

0.1

%

Consumer

Discretionary

(748,098)

(0.6)

Consumer

Staples

(319,391)

(0.2)

Energy

167,561

0.1

Financials

1,466,826

1.1

Health

Care

(17,632)

0.0

(a)

Industrials

(469,473)

(0.3)

Utilities

1,669,172

1.2

Short-Term

Investments

137,986,597

101.6

Total

Investments

In

Securities

At

Value

139,848,131

103.0

Liabilities

in

Excess

of

Other

Assets(b)

(4,035,364)

(3.0)

Net

Assets

$

135,812,767

100.0%

228

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

*

Non-income

producing

security.

(a)

All

or

a

portion

of

this

security

is

segregated

in

connection

with

obligations

for

securities

sold

short

with

a

total

value

of

$2,293,587.

(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

March

31,

2020

amounted

to

$544,670,

which

represents

approximately

0.40%

of

net

assets

of

the

fund.

(c)

Represents

less

than

0.05%

of

net

assets.

(d)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(e)

All

or

a

portion

of

the

security

pledged

as

collateral

for

forward

foreign

currency

exchange

and

swap

contracts.

(f)

For

the

period

ended

March

31,

2020,

transactions

in

and

earnings

from

issuers

considered

to

be

an

affiliated

person

were

as

follows:

(g)

The

rate

shown

was

the

effective

yield

at

the

date

of

purchase.

(h)

All

or

a

portion

of

the

security

pledged

as

collateral

for

swap

contracts.

(i)

Includes

appreciation/(depreciation)

on

forward

foreign

currency

exchange,

futures

and

swap

contracts.

AFFILIATE

VALUE

AT

12/31/19

PURCHASES

AT

COST

PROCEEDS

FROM

SALES

NET

REALIZED

GAIN

(LOSS)

NET

CHANGE

IN

UNREALIZED

APPRECIATION

(DEPRECIATION)

VALUE

AT

03/31/20

SHARES

HELD

AT

03/31/20

DIVIDEND

INCOME

SHORT-TERM

INVESTMENTS

-

45.4%

INVESTMENT

COMPANIES

-

45.4%

Limited

Purpose

Cash

Investment

Fund,

0.85%(1)^(a)

(Cost

$61,618,185)

$159,933,629

$98,285,644

$(196,691,327)

$112,038

$72,567

$61,712,551

61,632,429

477,706

^    No

longer

affiliated

as

of

March

31,

2020.

(a)

Represents

7-day

effective

yield

as

of

March

31,

2020.

All

securities

are

Level

2

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(1)

Level

1

security.

Total

return

swap

contracts

outstanding

as

of

March

31,

2020

:

Over

the

Counter

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

(3,441,575)

$

455,650

Corn

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(1,260,775)

165,952

Soybean

May

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

(132,900)

1,562

Swiss

Market

Index

June

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

06/19/2020

CHF

2,825,650

344,887

TAIEX

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2020

TWD

1,919,000

1,654

Tel

Aviv

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

MLIN

04/22/2020

ILS

797,748

28,815

229

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(564,155)

$

24,603

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(1,265,087)

142,451

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(1,633,201)

11,539

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Month

ly

CITI

06/17/2020

ZAR

(2,081,966)

15,958

MSCI

South

Africa

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

JIBAR

plus

or

minus

a

specified

spread

(-1.64%)

Monthly

CITI

06/17/2020

ZAR

(9,608,250)

94,486

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

(-3.15%)

Monthly

CITI

06/17/2020

SEK

(4,167,614)

39,273

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(393,256)

18,422

1,345,252

BIST

30

Index

April

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/30/2020

TRY

1,592,810

(60,914)

230

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Canada

10

Year

Bond

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

BANA

06/19/2020

CAD

(7,504,140)

$

(280,218)

Corn

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

CITI

04/24/2020

USD

3,390,463

(286,458)

DTOP

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

MLIN

06/18/2020

ZAR

(763,560)

(3,544)

iBovespa

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/15/2020

BRL

(4,003,340)

(19,455)

SGX

NIFTY

50

Index

April

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

04/30/2020

USD

(85,705)

(6,377)

Soybean

May

Futures

Decreases

in

total

return

of

reference

entity

Increases

in

total

return

of

reference

entity

At

termination

GSIN

04/24/2020

USD

132,900

(2,457)

WIG20

Index

June

Futures

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

At

termination

CITI

06/19/2020

PLN

(60,760)

(747)

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

(0.18%)

Monthly

CITI

06/17/2020

AUD

(223,715)

(7,984)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(140,383)

(7,203)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(254,117)

(9,573)

MSCI

Canada

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

BA

plus

or

minus

a

specified

spread

(-0.90%)

Monthly

CITI

06/17/2020

CAD

(420,819)

(25,810)

231

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

PAYMENTS

MADE

BY

FUND

PAYMENTS

RECEIVED

BY

FUND

PAYMENT

FREQUENCY

COUNTERPARTY

MATURITY

DATE

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

MSCI

Italy

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.80%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

70,392

$

(14,252)

MSCI

Spain

Net

Return

Index

Decreases

in

total

return

of

reference

entity

and

pays

the

EURIBOR

plus

or

minus

a

specified

spread

(-0.22%)

Increases

in

total

return

of

reference

entity

Monthly

CITI

06/19/2020

EUR

2,827,936

(577,968)

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(304,482)

(44,852)

MSCI

United

Kingdom

Net

Return

Index

Increases

in

total

return

of

reference

entity

Decreases

in

total

return

of

reference

entity

and

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.21%)

Monthly

CITI

06/17/2020

GBP

(308,796)

(39,487)

(1,387,299)

$

(42,047)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

Amsterdam

Exchange

Index

17

4/2020

EUR

$

1,809,982

$

248,886

FTSE

Bursa

Malaysia

KLCI

Index

14

4/2020

MYR

215,833

2,425

Hang

Seng

Index

4

4/2020

HKD

611,912

4,734

HSCEI

21

4/2020

HKD

1,304,789

16,573

IBEX

35

Index

40

4/2020

EUR

2,983,830

239,470

MSCI

Singapore

Index

16

4/2020

SGD

316,769

(6,619)

MSCI

Taiwan

Index

42

4/2020

USD

1,558,200

(16,138)

LME

Copper

Base

Metal

2

5/2020

USD

247,360

(39,910)

LME

Copper

Base

Metal

9

5/2020

USD

1,113,086

(157,668)

LME

Copper

Base

Metal

12

5/2020

USD

1,484,400

(215,873)

Silver

16

5/2020

USD

1,132,480

(301,008)

Soybean

31

5/2020

USD

1,373,300

54,601

3

Month

Eurodollar

29

6/2020

USD

7,211,938

61,894

Australia

10

Year

Bond

14

6/2020

AUD

1,296,970

2,110

232

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

(continued)

Australia

3

Year

Bond

170

6/2020

AUD

$

12,245,745

$

35,489

Euro-

Bobl

5

6/2020

EUR

745,616

(2,356)

Euro-Schatz

175

6/2020

EUR

21,653,512

1,744

FTSE/MIB

Index

25

6/2020

EUR

2,333,185

272,992

Japan

10

Year

Bond

37

6/2020

JPY

52,500,255

(485,539)

KOSPI

200

Index

13

6/2020

KRW

630,057

23,471

LME

Copper

Base

Metal

1

6/2020

USD

123,775

2,805

LME

Copper

Base

Metal

1

6/2020

USD

123,741

2,738

LME

Copper

Base

Metal

1

6/2020

USD

123,743

(18,885)

LME

Copper

Base

Metal

1

6/2020

USD

123,724

(19,365)

LME

Copper

Base

Metal

3

6/2020

USD

371,119

3,516

LME

Copper

Base

Metal

4

6/2020

USD

494,925

(76,912)

LME

Copper

Base

Metal

6

6/2020

USD

742,200

10,913

LME

Copper

Base

Metal

24

6/2020

USD

2,970,450

(412,827)

SET50

Index

24

6/2020

THB

108,659

3,940

TOPIX

Index

38

6/2020

JPY

4,958,289

437,423

U.S.

Treasury

10

Year

Note

36

6/2020

USD

4,992,750

5,476

U.S.

Treasury

2

Year

Note

90

6/2020

USD

19,834,453

246,980

U.S.

Treasury

5

Year

Note

3

6/2020

USD

376,078

9,836

3

Month

Eurodollar

150

9/2020

USD

37,366,875

271,724

3

Month

Eurodollar

150

12/2020

USD

37,372,500

276,805

3

Month

Eurodollar

121

3/2021

USD

30,163,788

121,869

605,314

Short

Contracts

Brent

Crude

Oil

(15)

4/2020

USD

(395,250)

84,194

Natural

Gas

(36)

4/2020

USD

(590,400)

87,714

OMXS30

Index

(20)

4/2020

SEK

(299,215)

(26,684)

SGX

NIFTY

50

Index

(62)

4/2020

USD

(1,062,742)

(66,169)

WTI

Crude

Oil

(16)

4/2020

USD

(327,680)

23,875

LME

Copper

Base

Metal

(2)

5/2020

USD

(247,360)

39,572

LME

Copper

Base

Metal

(9)

5/2020

USD

(1,113,086)

160,612

LME

Copper

Base

Metal

(12)

5/2020

USD

(1,484,400)

216,789

100

oz

Gold

(4)

6/2020

USD

(638,640)

14,995

3

Month

Canadian

Bankers

Acceptance

(19)

6/2020

CAD

(3,353,150)

3,977

3

Month

Euro

Euribor

(7)

6/2020

EUR

(1,937,216)

384

3

Month

Sterling

(17)

6/2020

GBP

(2,627,849)

(7,965)

ASX

90

Day

Bank

Accepted

Bill

(12)

6/2020

AUD

(7,375,017)

(1,707)

EURO

STOXX

50

Index

(121)

6/2020

EUR

(3,665,896)

(406,700)

Euro-Bund

(149)

6/2020

EUR

(28,348,931)

24,043

Euro-

Buxl

(2)

6/2020

EUR

(462,997)

17,359

FTSE

100

Index

(12)

6/2020

GBP

(839,983)

(86,972)

FTSE/JSE

Top

40

Index

(30)

6/2020

ZAR

(688,379)

(76,145)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,741)

(3,285)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,775)

(3,134)

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,724)

18,435

LME

Copper

Base

Metal

(1)

6/2020

USD

(123,743)

18,534

LME

Copper

Base

Metal

(3)

6/2020

USD

(371,119)

(4,403)

LME

Copper

Base

Metal

(4)

6/2020

USD

(494,925)

75,257

LME

Copper

Base

Metal

(6)

6/2020

USD

(742,200)

(15,160)

LME

Copper

Base

Metal

(16)

6/2020

USD

(1,980,300)

98,199

Long

Gilt

(36)

6/2020

GBP

(6,089,818)

9,501

MEX

BOLSA

Index

(5)

6/2020

MXN

(74,655)

3,562

S&P

500

E-Mini

Index

(52)

6/2020

USD

(6,681,220)

(343,565)

SPI

200

Index

(26)

6/2020

AUD

(2,042,655)

(77,822)

U.S.

Treasury

Long

Bond

(3)

6/2020

USD

(537,188)

(24,855)

3

Month

Canadian

Bankers

Acceptance

(102)

9/2020

CAD

(18,016,521)

6,293

233

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Short

Contracts

(continued)

3

Month

Euro

Euribor

(10)

9/2020

EUR

$

(2,768,279)

$

3,283

3

Month

Sterling

(100)

9/2020

GBP

(15,471,908)

(13,866)

ASX

90

Day

Bank

Accepted

Bill

(69)

9/2020

AUD

(42,405,304)

(7,751)

3

Month

Canadian

Bankers

Acceptance

(100)

12/2020

CAD

(17,660,591)

4,907

3

Month

Euro

Euribor

(15)

12/2020

EUR

(4,153,039)

4,869

3

Month

Sterling

(107)

12/2020

GBP

(16,554,942)

(14,329)

ASX

90

Day

Bank

Accepted

Bill

(71)

12/2020

AUD

(43,633,368)

(7,502)

3

Month

Canadian

Bankers

Acceptance

(81)

3/2021

CAD

(14,303,640)

442

3

Month

Euro

Euribor

(17)

3/2021

EUR

(4,706,777)

5,884

3

Month

Sterling

(89)

3/2021

GBP

(13,775,526)

(12,144)

ASX

90

Day

Bank

Accepted

Bill

(57)

3/2021

AUD

(35,030,468)

(5,650)

(283,128)

$

322,186

Forward

foreign

currency

contracts

outstanding

as

of

March

31,

2020:

Over

the

Counter

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

AUD

2,630,000

USD

1,598,019

CITI

6/17/2020

$

20,024

AUD

2,630,000

USD

1,598,021

JPMC

6/17/2020

20,022

CHF

2,323,000

USD

2,386,484

CITI

6/17/2020

35,882

CHF

2,323,000

USD

2,386,487

JPMC

6/17/2020

35,880

CNY

2,021,000

USD

284,678

CITI

**

6/17/2020

7

CNY

2,021,000

USD

284,679

JPMC

**

6/17/2020

7

DKK

2,926,000

USD

428,230

CITI

6/17/2020

5,252

DKK

2,926,000

USD

428,230

JPMC

6/17/2020

5,251

EUR

2,995,499

USD

3,269,558

CITI

6/17/2020

43,898

EUR

2,995,501

USD

3,269,565

JPMC

6/17/2020

43,896

GBP

584,000

USD

700,929

CITI

6/17/2020

25,433

GBP

584,000

USD

700,930

JPMC

6/17/2020

25,432

HUF

5,000,000

USD

15,116

CITI

6/17/2020

199

HUF

5,000,000

USD

15,116

JPMC

6/17/2020

199

ILS

6,200,000

USD

1,693,877

CITI

6/17/2020

63,397

ILS

6,200,000

USD

1,693,879

JPMC

6/17/2020

63,395

JPY

1,098,280,500

USD

9,938,671

CITI

6/17/2020

309,071

JPY

1,098,280,500

USD

9,938,684

JPMC

6/17/2020

309,057

KRW

3,130,000,000

USD

2,529,580

CITI

**

6/17/2020

45,174

KRW

3,130,000,000

USD

2,529,583

JPMC

**

6/17/2020

45,171

MXN

8,650,000

USD

351,610

CITI

6/17/2020

8,897

MXN

8,650,000

USD

351,610

JPMC

6/17/2020

8,896

NOK

3,510,500

USD

335,201

CITI

6/17/2020

2,561

NOK

3,510,500

USD

335,202

JPMC

6/17/2020

2,560

PLN

250,000

USD

59,235

CITI

6/17/2020

1,179

PLN

250,000

USD

59,236

JPMC

6/17/2020

1,178

SEK

14,769,000

USD

1,470,876

CITI

6/17/2020

24,597

SEK

14,769,000

USD

1,470,878

JPMC

6/17/2020

24,595

SGD

450,000

USD

311,758

CITI

6/17/2020

5,217

SGD

450,000

USD

311,758

JPMC

6/17/2020

5,217

THB

1,393,500

USD

42,129

CITI

6/17/2020

348

THB

1,393,500

USD

42,129

JPMC

6/17/2020

348

USD

757,675

AUD

1,194,000

CITI

6/17/2020

23,097

USD

757,675

AUD

1,194,000

JPMC

6/17/2020

23,095

234

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

USD

3,743,580

BRL

17,155,008

CITI

**

6/17/2020

$

458,070

USD

3,743,571

BRL

17,154,992

JPMC

**

6/17/2020

458,065

USD

6,331,786

CAD

8,634,001

CITI

6/17/2020

192,141

USD

6,331,776

CAD

8,633,999

JPMC

6/17/2020

192,133

USD

6,278,637

CHF

5,917,875

CITI

6/17/2020

107,626

USD

6,278,631

CHF

5,917,877

JPMC

6/17/2020

107,616

USD

3,255,683

CNY

22,762,504

CITI

**

6/17/2020

49,276

USD

3,255,678

CNY

22,762,496

JPMC

**

6/17/2020

49,272

USD

5,914,878

EUR

5,265,460

CITI

6/17/2020

90,515

USD

5,914,872

EUR

5,265,461

JPMC

6/17/2020

90,508

USD

9,964,113

GBP

7,758,002

CITI

6/17/2020

314,943

USD

9,964,095

GBP

7,757,998

JPMC

6/17/2020

314,930

USD

667,282

HUF

205,000,000

CITI

6/17/2020

39,367

USD

667,281

HUF

205,000,000

JPMC

6/17/2020

39,366

USD

3,351,526

ILS

11,495,000

CITI

6/17/2020

93,485

USD

3,351,522

ILS

11,495,000

JPMC

6/17/2020

93,480

USD

629,711

INR

47,500,000

CITI

**

6/17/2020

12,168

USD

629,710

INR

47,500,000

JPMC

**

6/17/2020

12,168

USD

7,066,939

JPY

741,138,500

CITI

6/17/2020

151,588

USD

7,066,930

JPY

741,138,500

JPMC

6/17/2020

151,578

USD

5,304,910

KRW

6,365,114,578

CITI

**

6/17/2020

68,935

USD

5,304,904

KRW

6,365,114,589

JPMC

**

6/17/2020

68,929

USD

4,087,642

MXN

85,400,000

CITI

6/17/2020

528,424

USD

4,087,637

MXN

85,400,000

JPMC

6/17/2020

528,419

USD

5,488,245

NOK

51,132,504

CITI

6/17/2020

568,544

USD

5,488,238

NOK

51,132,496

JPMC

6/17/2020

568,535

USD

92,460

NZD

154,500

CITI

6/17/2020

326

USD

92,460

NZD

154,500

JPMC

6/17/2020

326

USD

135,265

PLN

550,000

CITI

6/17/2020

2,355

USD

135,265

PLN

550,000

JPMC

6/17/2020

2,354

USD

4,063,654

SEK

39,154,498

CITI

6/17/2020

98,966

USD

4,063,649

SEK

39,154,502

JPMC

6/17/2020

98,961

USD

2,225,698

SGD

3,091,000

CITI

6/17/2020

48,437

USD

2,225,696

SGD

3,091,000

JPMC

6/17/2020

48,435

USD

66,331

THB

2,072,500

CITI

6/17/2020

3,157

USD

66,331

THB

2,072,500

JPMC

6/17/2020

3,157

USD

953,393

TWD

28,400,000

CITI

**

6/17/2020

3,526

USD

953,392

TWD

28,400,000

JPMC

**

6/17/2020

3,524

USD

2,415,941

ZAR

39,750,000

CITI

6/17/2020

215,924

USD

2,415,938

ZAR

39,750,000

JPMC

6/17/2020

215,921

Total

unrealized

appreciation

7,323,882

AUD

904,000

USD

599,412

CITI

6/17/2020

(43,248)

AUD

904,000

USD

599,413

JPMC

6/17/2020

(43,249)

BRL

13,100,000

USD

2,793,959

CITI

**

6/17/2020

(285,060)

BRL

13,100,000

USD

2,793,963

JPMC

**

6/17/2020

(285,066)

CAD

11,123,496

USD

8,338,706

CITI

6/17/2020

(428,779)

CAD

11,123,504

USD

8,338,723

JPMC

6/17/2020

(428,790)

CHF

13,345,000

USD

14,047,884

CITI

6/17/2020

(132,052)

CHF

13,345,000

USD

14,047,902

JPMC

6/17/2020

(132,069)

CNY

16,823,504

USD

2,396,851

CITI

**

6/17/2020

(27,032)

CNY

16,823,496

USD

2,396,852

JPMC

**

6/17/2020

(27,033)

EUR

7,055,507

USD

7,866,232

CITI

6/17/2020

(61,815)

EUR

7,055,493

USD

7,866,226

JPMC

6/17/2020

(61,826)

GBP

8,514,001

USD

11,021,340

CITI

6/17/2020

(431,883)

GBP

8,513,999

USD

11,021,351

JPMC

6/17/2020

(431,895)

HUF

61,500,000

USD

191,008

CITI

6/17/2020

(2,634)

HUF

61,500,000

USD

191,008

JPMC

6/17/2020

(2,634)

ILS

4,150,000

USD

1,205,187

CITI

6/17/2020

(28,947)

235

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ILS

4,150,000

USD

1,205,188

JPMC

6/17/2020

$

(28,948)

INR

127,149,996

USD

1,736,564

CITI

**

6/17/2020

(83,499)

INR

127,150,004

USD

1,736,566

JPMC

**

6/17/2020

(83,501)

KRW

2,795,000,000

USD

2,345,996

CITI

**

6/17/2020

(46,814)

KRW

2,795,000,000

USD

2,345,999

JPMC

**

6/17/2020

(46,818)

MXN

111,204,994

USD

5,659,414

CITI

6/17/2020

(1,024,723)

MXN

111,205,006

USD

5,659,422

JPMC

6/17/2020

(1,024,730)

NOK

85,582,008

USD

8,941,542

CITI

6/17/2020

(707,290)

NOK

85,581,992

USD

8,941,551

JPMC

6/17/2020

(707,302)

NZD

4,389,500

USD

2,755,545

CITI

6/17/2020

(137,932)

NZD

4,389,500

USD

2,755,548

JPMC

6/17/2020

(137,934)

PLN

1,250,000

USD

320,885

CITI

6/17/2020

(18,815)

PLN

1,250,000

USD

320,886

JPMC

6/17/2020

(18,817)

SEK

21,136,500

USD

2,227,784

CITI

6/17/2020

(87,554)

SEK

21,136,500

USD

2,227,786

JPMC

6/17/2020

(87,557)

SGD

4,124,998

USD

2,961,601

CITI

6/17/2020

(56,004)

SGD

4,125,002

USD

2,961,608

JPMC

6/17/2020

(56,008)

THB

679,000

USD

21,319

CITI

6/17/2020

(622)

THB

679,000

USD

21,319

JPMC

6/17/2020

(622)

TWD

44,150,000

USD

1,487,109

CITI

**

6/17/2020

(10,469)

TWD

44,150,000

USD

1,487,111

JPMC

**

6/17/2020

(10,471)

USD

1,011,690

AUD

1,702,500

CITI

6/17/2020

(35,731)

USD

1,011,689

AUD

1,702,500

JPMC

6/17/2020

(35,732)

USD

2,371,261

CAD

3,409,996

CITI

6/17/2020

(53,589)

USD

2,371,264

CAD

3,410,004

JPMC

6/17/2020

(53,592)

USD

10,932,128

CHF

10,617,625

CITI

6/17/2020

(139,668)

USD

10,932,112

CHF

10,617,623

JPMC

6/17/2020

(139,679)

USD

105,666

CNY

751,500

CITI

**

6/17/2020

(194)

USD

105,666

CNY

751,500

JPMC

**

6/17/2020

(194)

USD

378,624

DKK

2,600,000

CITI

6/17/2020

(6,561)

USD

378,624

DKK

2,600,000

JPMC

6/17/2020

(6,561)

USD

7,694,399

EUR

7,022,542

CITI

6/17/2020

(73,554)

USD

7,694,384

EUR

7,022,537

JPMC

6/17/2020

(73,564)

USD

2,004,047

GBP

1,681,499

CITI

6/17/2020

(87,351)

USD

2,004,047

GBP

1,681,501

JPMC

6/17/2020

(87,353)

USD

513,927

INR

40,000,000

CITI

**

6/17/2020

(6,109)

USD

513,926

INR

40,000,000

JPMC

**

6/17/2020

(6,110)

USD

1,807,536

JPY

197,777,000

CITI

6/17/2020

(37,865)

USD

1,807,534

JPY

197,777,000

JPMC

6/17/2020

(37,866)

USD

448,063

KRW

545,010,416

CITI

**

6/17/2020

(265)

USD

448,063

KRW

545,010,417

JPMC

**

6/17/2020

(266)

USD

608,929

MXN

15,250,000

CITI

6/17/2020

(26,644)

USD

608,928

MXN

15,250,000

JPMC

6/17/2020

(26,645)

USD

1,951,417

NOK

21,679,000

CITI

6/17/2020

(134,423)

USD

1,951,415

NOK

21,679,000

JPMC

6/17/2020

(134,424)

USD

1,008,831

NZD

1,761,500

CITI

6/17/2020

(41,614)

USD

1,008,830

NZD

1,761,500

JPMC

6/17/2020

(41,615)

USD

236,301

PLN

1,000,000

CITI

6/17/2020

(5,356)

USD

236,300

PLN

1,000,000

JPMC

6/17/2020

(5,355)

USD

570,338

SGD

815,000

CITI

6/17/2020

(3,738)

USD

570,337

SGD

815,000

JPMC

6/17/2020

(3,739)

USD

157,606

TWD

4,750,000

CITI

**

6/17/2020

(1,263)

USD

157,605

TWD

4,750,000

JPMC

**

6/17/2020

(1,262)

ZAR

48,550,000

USD

3,068,227

CITI

6/17/2020

(381,163)

236

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

CURRENCY

PURCHASED

CURRENCY

SOLD

COUNTERPARTY

SETTLEMENT

DATE

UNREALIZED

APPRECIATION

(DEPRECIATION)

ZAR

48,550,000

USD

3,068,231

JPMC

6/17/2020

$

(381,165)

Total

unrealized

depreciation

(9,300,652)

Net

unrealized

depreciation

$

(1,976,770)

**

Non-deliverable

forward.

Total

Return

Basket

Swaps

Outstanding

at

March

31,

2020

Over

the

Counter

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

NIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

NOK

based

on

the

local

currencies

of

the

positions

within

the

swap.

60

months

maturity

02/25/2025

$668,649

$(26,602)

$(543)

$(27,145)

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SOR

plus

or

minus

a

specified

spread

(-0.30%

to

0.35%),

which

is

denominated

in

SGD

based

on

the

local

currencies

of

the

positions

within

the

swap.

24

months

maturity

02/21/2022

-

03/28/2022

$1,258,728

$8,296

$(68,781)

$(60,485)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

AOISR

plus

or

minus

a

specified

spread

(-0.12%

to

0.04%),

which

is

denominated

in

AUD

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-61

months

maturity

ranging

from

04/01/2020

-

03/31/2025

$4,059,533

$373,106

$21,224

$394,330

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

237

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Australia

AGL

Energy

Ltd.

51,767

541,759

(32,938)

(8.4)

Ansell

Ltd.

3,052

50,541

(41)

(0.0)

Aurizon

Holdings

Ltd.

29,422

76,249

(6,871)

(1.7)

Beach

Energy

Ltd.

221,870

154,620

(25,799)

(6.5)

BlueScope

Steel

Ltd.

34,032

178,175

(19,287)

(4.9)

Coca-Cola

Amatil

Ltd.

16,102

86,907

(19,869)

(5.0)

Crown

Resorts

Ltd.

3,792

17,598

(1,316)

(0.3)

Flight

Centre

Travel

Group

Ltd.(a)

2,267

11,115

(23,039)

(5.8)

Fortescue

Metals

Group

Ltd.

102,021

625,208

87,732

22.2

Harvey

Norman

Holdings

Ltd.

84,192

154,590

(18,662)

(4.7)

Santos

Ltd.

13,755

28,249

(13,185)

(3.3)

Star

Entertainment

Grp

Ltd.

(The)

11,315

15,030

(7,018)

(1.8)

Telstra

Corp.

Ltd.

44,124

82,827

(11,620)

(2.9)

Treasury

Wine

Estates

Ltd.

5,384

33,427

2,583

0.7

Wesfarmers

Ltd.

663

14,049

(1,311)

(0.3)

Short

Positions

Common

Stocks

Australia

Afterpay

Ltd.

(13,535)

(157,391)

64,382

16.3

AMP

Ltd.

(141,694)

(115,714)

6,508

1.7

APA

Group

(37,954)

(240,847)

18,157

4.6

Atlas

Arteria

Ltd.

(18,035)

(60,915)

20,329

5.2

Challenger

Ltd.

(47,563)

(116,179)

93,906

23.8

Insurance

Australia

Group

Ltd.

(10,304)

(38,878)

1,329

0.3

Medibank

Pvt

Ltd.

(133,453)

(219,464)

3,967

1.0

Newcrest

Mining

Ltd.

(3,102)

(42,599)

14,938

3.8

Northern

Star

Resources

Ltd.

(5,242)

(33,958)

12,326

3.1

Origin

Energy

Ltd.

(32,167)

(86,440)

25,423

6.4

Qantas

Airways

Ltd.

(31,845)

(61,958)

(938)

(0.2)

QBE

Insurance

Group

Ltd.

(38,476)

(200,421)

56,223

14.3

Ramsay

Health

Care

Ltd.

(1,614)

(56,752)

4,525

1.1

SEEK

Ltd.

(28,984)

(264,863)

69,399

17.6

Suncorp

Group

Ltd.

(2,996)

(16,638)

2,538

0.6

WiseTech

Global

Ltd.

(4,512)

(46,907)

(9,444)

(2.4)

United

States

James

Hardie

Industries

plc

(19,746)

(229,265)

80,179

20.3

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EONIA

plus

or

minus

a

specified

spread

(-0.20%

to

0.03%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/06/2025

$14,058,505

$(912,681)

$(53,124)

$(965,805)

238

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

France

BNP

Paribas

SA

9,898

288,974

(81,426)

8.4

Bouygues

SA

4,245

123,195

(24,550)

2.5

Cie

de

Saint-Gobain

10,256

246,097

(80,754)

8.4

CNP

Assurances

15,058

145,800

(44,503)

4.6

Electricite

de

France

SA

48,348

378,058

(232,030)

24.0

Engie

SA

46,682

478,045

(230,021)

23.8

Eutelsat

Communications

SA

19,936

207,238

(10,946)

1.1

Natixis

SA

57,021

181,569

17,423

(1.8)

Orange

SA

54,070

654,650

(23,772)

2.5

Peugeot

SA

41,239

536,902

(119,358)

12.4

Publicis

Groupe

SA

5,165

147,610

(29,177)

3.0

Sanofi

1,661

143,801

(2,710)

0.3

Societe

Generale

SA

11,257

184,414

(35,683)

3.7

Suez

33,613

341,488

(151,370)

15.7

TOTAL

SA

6,749

254,294

20,973

(2.2)

Veolia

Environnement

SA

5,962

125,923

(37,217)

3.9

Germany

Bayer

AG

(Registered)

3,343

191,549

(24,811)

2.6

Beiersdorf

AG

946

95,254

(5,342)

0.6

Deutsche

Telekom

AG

(Registered)

41,285

533,214

(92,774)

9.6

Freenet

AG

7,749

135,579

(10,397)

1.1

Hannover

Rueck

SE

2,179

307,687

(44,613)

4.6

HeidelbergCement

AG

6,268

267,788

(58,171)

6.0

Henkel

AG

&

Co.

KGaA

(Preference)

3,033

242,584

(10,713)

1.1

HOCHTIEF

AG

2,142

140,643

(33,941)

3.5

Merck

KGaA

1,046

105,606

(13,737)

1.4

United

Kingdom

Dialog

Semiconductor

plc

12,386

321,949

(42,886)

4.4

Short

Positions

Common

Stocks

France

Accor

SA

(10,945)

(294,049)

40,086

(4.2)

BioMerieux

(953)

(107,888)

(23,835)

2.5

Bollore

SA

(43,407)

(117,964)

12,636

(1.3)

Edenred

(10,884)

(451,680)

73,113

(7.6)

Getlink

SE

(8,422)

(101,861)

18,732

(1.9)

Iliad

SA

(2,005)

(270,142)

3,133

(0.3)

Imerys

SA

(5,273)

(130,874)

40,929

(4.2)

Ingenico

Group

SA

(1,883)

(196,829)

43,870

(4.5)

JCDecaux

SA

(5,879)

(104,517)

21,185

(2.2)

Kering

SA

(442)

(230,465)

(5,423)

0.6

Legrand

SA

(1,406)

(89,677)

8,194

(0.8)

Orpea

(3,136)

(325,628)

37,614

(3.9)

Remy

Cointreau

SA

(3,207)

(349,527)

(13,785)

1.4

Sartorius

Stedim

Biotech

(521)

(103,968)

(5,665)

0.6

SEB

SA

(2,061)

(255,267)

1,569

(0.2)

Ubisoft

Entertainment

SA

(5,310)

(388,113)

(23,139)

2.4

Valeo

SA

(6,875)

(111,896)

27,542

(2.9)

Worldline

SA

(3,145)

(185,622)

29,313

(3.0)

239

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Germany

Commerzbank

AG

(45,385)

(161,564)

21,637

(2.2)

Daimler

AG

(Registered)

(3,235)

(96,611)

12,102

(1.3)

Deutsche

Bank

AG

(Registered)

(88,639)

(563,486)

14,085

(1.5)

RWE

AG

(24,793)

(648,377)

136,489

(14.1)

United

Internet

AG

(Registered)

(8,918)

(259,317)

(9,156)

0.9

Zalando

SE

(4,561)

(171,905)

14,656

(1.5)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

SONIA

plus

or

minus

a

specified

spread

(-0.03%

to

0.03%),

which

is

denominated

in

GBP

based

on

the

local

currencies

of

the

positions

within

the

swap.

1-61

months

maturity

ranging

from

04/03/2020

-

03/31/2025

$9,816,733

$(116,101)

$40,439

$(75,662)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Russia

Evraz

plc

40,172

114,937

(965)

1.3

United

Kingdom

Aggreko

plc

21,129

126,278

(10,788)

14.3

Auto

Trader

Group

plc

21,900

118,343

(10,930)

14.4

Babcock

International

Group

plc

44,838

211,613

(9,962)

13.2

BAE

Systems

plc

20,932

134,489

(10,158)

13.4

Barratt

Developments

plc

20,848

112,690

(61,316)

81.0

Bellway

plc

9,531

252,495

(143,401)

189.5

British

American

Tobacco

plc

4,514

153,771

(13,114)

17.3

Britvic

plc

18,022

156,194

(27,938)

36.9

BT

Group

plc

133,322

193,926

(6,552)

8.7

GlaxoSmithKline

plc

5,928

111,234

(2,973)

3.9

Hays

plc

87,744

124,975

(4,089)

5.4

Howden

Joinery

Group

plc

19,780

124,430

(20,614)

27.2

M&G

plc

70,517

98,090

(40,653)

53.7

Micro

Focus

International

plc

27,458

135,494

(66,152)

87.4

Moneysupermarket.com

Group

plc

50,996

189,505

3,620

(4.8)

Next

plc

2,556

128,232

(40,238)

53.2

Pennon

Group

plc

17,194

229,904

2,169

(2.9)

Persimmon

plc

3,602

85,146

(26,307)

34.8

RELX

plc

6,636

141,628

(2,098)

2.8

Rightmove

plc

13,530

81,599

(13,720)

18.1

Royal

Mail

plc

141,991

218,882

(55,190)

72.9

Tate

&

Lyle

plc

17,637

143,492

(4,945)

6.5

Taylor

Wimpey

plc

123,688

177,982

(108,023)

142.8

United

Utilities

Group

plc

37,423

418,910

(7,572)

10.0

240

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Short

Positions

Common

Stocks

Switzerland

Glencore

plc

(65,587)

(99,269)

24,810

(32.8)

United

Kingdom

B&M

European

Value

Retail

SA

(41,221)

(139,995)

15,188

(20.1)

Beazley

plc

(25,738)

(124,153)

28,257

(37.3)

Burberry

Group

plc

(7,019)

(114,092)

17,977

(23.8)

Capita

plc

(179,080)

(72,459)

38,055

(50.3)

Croda

International

plc

(1,611)

(84,992)

2,453

(3.2)

DS

Smith

plc

(21,209)

(71,886)

7,865

(10.4)

easyJet

plc

(55,365)

(383,655)

188,369

(249.0)

Hargreaves

Lansdown

plc

(12,750)

(216,634)

(15,421)

20.4

Hiscox

Ltd.

(24,485)

(278,837)

60,867

(80.4)

Mondi

plc

(14,462)

(244,055)

23,416

(30.9)

Ocado

Group

plc

(9,411)

(141,168)

(15,718)

20.8

Prudential

plc

(24,989)

(313,108)

14,128

(18.7)

Reckitt

Benckiser

Group

plc

(5,358)

(408,149)

(24,540)

32.4

Rentokil

Initial

plc

(21,785)

(104,045)

22,426

(29.6)

Rolls-Royce

Holdings

plc

(38,020)

(160,690)

107,363

(141.9)

RSA

Insurance

Group

plc

(46,773)

(244,081)

30,182

(39.9)

Signature

Aviation

plc

(39,424)

(80,110)

36,545

(48.3)

SSE

plc

(9,551)

(153,476)

18,827

(24.9)

St

James's

Place

plc

(13,642)

(127,388)

21,893

(28.9)

Standard

Life

Aberdeen

plc

(81,121)

(223,878)

18,530

(24.5)

Tesco

plc

(79,561)

(224,682)

13,256

(17.5)

Vodafone

Group

plc

(188,213)

(260,382)

32,608

(43.1)

Weir

Group

plc

(The)

(14,795)

(131,589)

70,195

(92.8)

Whitbread

plc

(2,581)

(95,656)

10,473

(13.8)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

HONIX

plus

or

minus

a

specified

spread

(-0.33%

to

0.02%),

which

is

denominated

in

HKD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/06/2025

$3,985,454

$(38,864)

$(18,358)

$(57,222)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

China

BOC

Hong

Kong

Holdings

Ltd.

38,000

104,311

(16,717)

29.2

Hong

Kong

CK

Asset

Holdings

Ltd.

13,500

73,247

(5,775)

10.1

CLP

Holdings

Ltd.

27,500

251,900

(35,514)

62.1

Henderson

Land

Development

Co.

Ltd.

41,190

155,899

(30,528)

53.4

241

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Hong

Kong

(continued)

HKT

Trust

&

HKT

Ltd.

37,000

50,322

(7,406)

12.9

Hysan

Development

Co.

Ltd.

8,000

25,835

(213)

0.4

Kerry

Properties

Ltd.

50,000

130,750

(9,157)

16.0

Melco

International

Development

Ltd.

13,000

18,634

(6,200)

10.8

New

World

Development

Co.

Ltd.

91,000

97,031

(13,382)

23.4

NWS

Holdings

Ltd.

56,000

57,069

(6,980)

12.2

Power

Assets

Holdings

Ltd.

6,000

35,593

(7,151)

12.5

Sun

Hung

Kai

Properties

Ltd.

16,000

209,185

(11,377)

19.9

WH

Group

Ltd.

167,500

154,604

(15,555)

27.2

Yue

Yuen

Industrial

Holdings

Ltd.

58,500

89,394

(30,294)

52.9

Macau

SJM

Holdings

Ltd.

104,000

86,781

(21,289)

37.2

Wynn

Macau

Ltd.

10,400

15,597

(3,549)

6.2

United

Kingdom

CK

Hutchison

Holdings

Ltd.

69,500

463,229

(110,171)

192.5

Short

Positions

Common

Stocks

China

Budweiser

Brewing

Co.

APAC

Ltd.

(67,100)

(172,563)

30,338

(53.0)

Minth

Group

Ltd.

(58,000)

(123,317)

78,533

(137.2)

Hong

Kong

AIA

Group

Ltd.

(50,800)

(454,896)

12,795

(22.4)

ASM

Pacific

Technology

Ltd.

(12,100)

(112,195)

18,312

(32.0)

Hong

Kong

&

China

Gas

Co.

Ltd.

(279,000)

(456,843)

80,720

(141.1)

MTR

Corp.

Ltd.

(3,500)

(18,003)

662

(1.2)

Swire

Properties

Ltd.

(28,800)

(80,460)

2,357

(4.1)

Techtronic

Industries

Co.

Ltd.

(10,500)

(66,674)

15,964

(27.9)

Vitasoy

International

Holdings

Ltd.

(34,000)

(102,319)

20,675

(36.1)

Wharf

Holdings

Ltd.

(The)

(36,000)

(63,271)

10,439

(18.2)

Wharf

Real

Estate

Investment

Co.

Ltd.

(60,000)

(244,736)

20,276

(35.4)

Xinyi

Glass

Holdings

Ltd.

(62,000)

(70,796)

1,323

(2.3)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

GSIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

Federal

Funds

Floating

Rate

plus

or

minus

a

specified

spread

(-0.58%

to

0.02%),

which

is

denominated

in

USD

based

on

the

local

currencies

of

the

positions

within

the

swap.

59-61

months

maturity

ranging

from

01/13/2025

-

03/31/2025

$101,872,125

$(1,553,762)

$(1,111,962)

$(2,665,724)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

242

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

United

States

AbbVie,

Inc.

5,528

421,178

(50,194)

1.9

Alexion

Pharmaceuticals,

Inc.

4,057

364,278

13,672

(0.5)

Allstate

Corp.

(The)

4,567

418,931

(17,720)

0.7

Alphabet,

Inc.

348

404,359

(18,736)

0.7

Amdocs

Ltd.

6,305

346,586

(49,431)

1.9

Amgen,

Inc.

1,772

359,238

7,726

(0.3)

Athene

Holding

Ltd.

16,438

407,991

(135,449)

5.1

Biogen,

Inc.

1,774

561,258

34,043

(1.3)

Bio-Rad

Laboratories,

Inc.

1,433

502,352

(1,118)

0.0

Charles

River

Laboratories

International,

Inc.

4,999

630,924

(82,983)

3.1

eBay,

Inc.

11,898

357,654

(64,963)

2.4

Electronic

Arts,

Inc.

3,907

391,364

(2,969)

0.1

Everest

Re

Group

Ltd.

2,239

430,828

(94,822)

3.6

Facebook,

Inc.

2,560

427,008

(6,912)

0.3

Gilead

Sciences,

Inc.

5,007

374,323

6,209

(0.2)

J2

Global,

Inc.

5,511

412,498

(61,393)

2.3

Kimberly-Clark

Corp.

3,509

448,696

(47,196)

1.8

ManpowerGroup

,

Inc.

8,148

431,763

(118,309)

4.4

Owens

Corning

9,657

374,788

(81,022)

3.0

Pfizer,

Inc.

17,164

560,233

(19,224)

0.7

Target

Corp.

3,875

360,259

(42,857)

1.6

Short

Positions

Common

Stocks

United

States

Altice

USA,

Inc.

(22,983)

(512,291)

8,274

(0.3)

Amcor

plc

(62,554)

(507,938)

47,541

(1.8)

Baker

Hughes

Co.

(41,505)

(435,802)

43,059

(1.6)

Ball

Corp.

(11,121)

(719,084)

87,300

(3.3)

Boeing

Co.

(The)

(3,858)

(575,382)

(59,261)

2.2

CenterPoint

Energy,

Inc.

(26,852)

(414,863)

69,278

(2.6)

Cheniere

Energy,

Inc.

(12,959)

(434,126)

48,985

(1.8)

Chevron

Corp.

(6,005)

(435,122)

22,571

(0.8)

CSX

Corp.

(6,418)

(367,751)

19,832

(0.7)

Dominion

Energy,

Inc.

(5,798)

(418,558)

52,994

(2.0)

Edison

International

(9,170)

(502,424)

63,915

(2.4)

Exxon

Mobil

Corp.

(9,973)

(378,675)

(945)

0.0

FedEx

Corp.

(4,070)

(493,528)

(22,629)

0.8

GCI

Liberty,

Inc.

(10,224)

(582,461)

60,526

(2.3)

General

Electric

Co.

(45,242)

(359,221)

12,215

(0.5)

HealthEquity

,

Inc.

(6,913)

(349,729)

30,625

(1.1)

IAA,

Inc.

(12,023)

(360,209)

104,961

(3.9)

LendingTree,

Inc.

(2,196)

(402,724)

145,755

(5.5)

Liberty

Broadband

Corp.

(3,528)

(390,620)

12,277

(0.5)

National

Fuel

Gas

Co.

(13,025)

(485,702)

12,244

(0.5)

NiSource,

Inc.

(27,022)

(674,739)

73,500

(2.8)

NRG

Energy,

Inc.

(13,611)

(371,036)

39,064

(1.5)

Ollie's

Bargain

Outlet

Holdings,

Inc.

(10,575)

(490,046)

6,980

(0.3)

Pure

Storage,

Inc.

(29,684)

(365,113)

39,183

(1.5)

Schlumberger

Ltd.

(44,870)

(605,296)

126,072

(4.7)

Stericycle,

Inc.

(9,185)

(446,207)

57,131

(2.1)

Tesla,

Inc.

(699)

(366,276)

50,814

(1.9)

United

Parcel

Service,

Inc.

(3,868)

(361,349)

(24,136)

0.9

Univar

Solutions,

Inc.

(35,827)

(384,065)

69,863

(2.6)

243

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

(a)

Security

fair

valued

as

of

March

31,

2020

in

accordance

with

procedures

approved

by

the

Board

of

Trustees.

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

CHF

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

02/25/2025

-

03/19/2025

$3,914,667

$(165,842)

$(43,522)

$(209,364)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Austria

ams

AG

7,648

74,755

1,708

(0.8)

Switzerland

Adecco

Group

AG

(Registered)

2,944

116,013

13,165

(6.3)

Flughafen

Zurich

AG

(Registered)

648

72,494

8,089

(3.9)

Geberit

AG

(Registered)

435

190,608

12,051

(5.8)

Helvetia

Holding

AG

(Registered)

2,056

175,658

4,203

(2.0)

Nestle

SA

(Registered)

924

94,588

4,480

(2.1)

Novartis

AG

(Registered)

2,712

223,737

15,274

(7.3)

Roche

Holding

AG

1,245

400,569

13,681

(6.5)

Sonova

Holding

AG

(Registered)

407

72,574

5,979

(2.9)

Swatch

Group

AG

(The)

135

26,514

3,097

(1.5)

Swiss

Life

Holding

AG

(Registered)

215

72,164

9,312

(4.4)

Swisscom

AG

(Registered)

1,080

578,319

(12,776)

6.1

Short

Positions

Common

Stocks

Switzerland

ABB

Ltd.

(Registered)

(18,697)

(324,973)

(21,681)

10.4

Clariant

AG

(Registered)

(1,139)

(18,958)

(26)

0.0

Credit

Suisse

Group

AG

(Registered)

(9,210)

(74,337)

(8,915)

4.3

Dufry

AG

(Registered)

(1,263)

(38,762)

(10,190)

4.9

Idorsia

Ltd.

(9,017)

(233,054)

(33,052)

15.8

Julius

Baer

Group

Ltd.

(7,095)

(237,665)

(45,949)

21.9

Lonza

Group

AG

(Registered)

(329)

(135,326)

(21,941)

10.5

OC

Oerlikon

Corp.

AG

(Registered)

(4,495)

(35,590)

(7,076)

3.4

Sika

AG

(Registered)

(1,483)

(243,528)

(21,953)

10.5

Temenos

AG

(Registered)

(3,342)

(435,628)

(64,765)

30.9

Vifor

Pharma

AG

(284)

(38,853)

(8,557)

4.1

244

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

CIBOR

plus

or

minus

a

specified

spread

(-0.35%

to

0.35%),

which

is

denominated

in

DKK

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

02/25/2025

-

03/26/2025

$2,205,324

$80,031

$698

$80,729

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Denmark

Carlsberg

A/S

4,149

467,094

31,473

39.0

GN

Store

Nord

A/S

1,397

61,940

12,598

15.6

H

Lundbeck

A/S

614

18,028

853

1.1

ISS

A/S

1,425

19,495

953

1.2

Novo

Nordisk

A/S

2,287

136,571

11,385

14.1

Pandora

A/S

13,263

426,155

27,838

34.5

ROCKWOOL

International

A/S

844

152,021

4,023

5.0

Short

Positions

Common

Stocks

Denmark

AP

Moller

-

Maersk

A/S

(577)

(511,432)

18,372

22.8

Chr

Hansen

Holding

A/S

(2,745)

(202,561)

(9,778)

(12.1)

Danske

Bank

A/S

(1,199)

(13,344)

(865)

(1.1)

DSV

Panalpina

A/S

(958)

(87,110)

(10,821)

(13.4)

FLSmidth

&

Co.

A/S

(1,422)

(31,872)

1,403

1.7

Genmab

A/S

(241)

(48,409)

(5,777)

(7.2)

Novozymes

A/S

(653)

(29,292)

(1,626)

(2.0)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

EURIBOR

plus

or

minus

a

specified

spread

(-1.55%

to

0.35%),

which

is

denominated

in

EUR

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

02/25/2025

-

03/31/2025

$11,635,178

$109,263

$11,958

$121,221

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

245

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Belgium

Ageas

15,095

629,039

158,396

130.7

Colruyt

SA

1,964

106,464

1,661

1.4

Galapagos

NV

214

42,025

7,732

6.4

KBC

Group

NV

1,087

49,323

3,457

2.9

Proximus

SADP

15,426

354,251

1,373

1.1

UCB

SA

838

71,701

10,803

8.9

Finland

Fortum

OYJ

12,580

183,002

(1,760)

(1.5)

Kesko

OYJ

2,253

127,404

(3,937)

(3.2)

Orion

OYJ

3,947

160,628

18,902

15.6

Germany

OSRAM

Licht

AG

1,335

47,817

4,390

3.6

Netherlands

ASM

International

NV

2,345

238,585

51,300

42.3

ASR

Nederland

NV

9,303

233,909

29,114

24.0

Koninklijke

Ahold

Delhaize

NV

30,835

718,350

25,609

21.1

Koninklijke

Philips

NV

1,447

59,410

10,266

8.5

NN

Group

NV

5,041

136,993

20,577

17.0

Randstad

NV

7,809

275,595

(9,102)

(7.5)

Signify

NV

7,901

153,123

(14,331)

(11.8)

Wolters

Kluwer

NV

672

47,567

5,888

4.9

Spain

ACS

Actividades

de

Construccion

y

Servicios

SA

3,512

69,746

16,604

13.7

Banco

Bilbao

Vizcaya

Argentaria

SA

53,303

165,056

(1,442)

(1.2)

Enagas

SA

8,856

174,704

5,388

4.4

Endesa

SA

30,344

642,091

103,497

85.4

Iberdrola

SA

15,429

150,911

(3,328)

(2.7)

Mapfre

SA

100,326

170,193

(11,257)

(9.3)

Naturgy

Energy

Group

SA

6,782

118,982

2,117

1.7

Red

Electrica

Corp.

SA

16,595

298,204

25,080

20.7

Repsol

SA

25,987

231,837

37,336

30.8

Telefonica

SA

15,891

72,321

(3,779)

(3.1)

United

Kingdom

Unilever

NV

2,795

137,378

4,189

3.5

Short

Positions

Common

Stocks

Belgium

Anheuser-Busch

InBev

SA/NV

(1,477)

(65,239)

(9,443)

(7.8)

Telenet

Group

Holding

NV

(5,236)

(157,230)

(10,896)

(9.0)

Umicore

SA

(4,705)

(162,281)

(4,124)

(3.4)

China

Prosus

NV

(1,437)

(100,084)

(16,314)

(13.5)

Finland

Nokia

OYJ

(56,119)

(172,839)

(28,154)

(23.2)

Nokian

Renkaat

OYJ

(7,981)

(190,571)

(35,068)

(28.9)

Germany

Continental

AG

(794)

(56,611)

562

0.5

E.ON

SE

(34,845)

(357,429)

(13,356)

(11.0)

OSRAM

Licht

AG

(10,781)

(478,017)

(70,263)

(58.0)

Luxembourg

ArcelorMittal

SA

(30,718)

(289,992)

(45,279)

(37.4)

246

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Netherlands

Adyen

NV

(400)

(339,958)

(22,066)

(18.2)

Aegon

NV

(53,165)

(132,775)

1,394

1.1

Akzo

Nobel

NV

(1,288)

(84,710)

(8,079)

(6.7)

Boskalis

Westminster

(6,451)

(117,480)

16,513

13.6

Koninklijke

Vopak

NV

(2,895)

(152,017)

(11,264)

(9.3)

OCI

NV

(14,771)

(176,515)

(12,796)

(10.6)

SBM

Offshore

NV

(17,444)

(230,618)

(10,442)

(8.6)

Spain

Amadeus

IT

Group

SA

(2,977)

(140,124)

3,189

2.6

Cellnex

Telecom

SA

(19,924)

(903,802)

(26,463)

(21.8)

Ferrovial

SA

(33,918)

(805,103)

(66,887)

(55.2)

Grifols

SA

(7,180)

(240,224)

(25,322)

(20.9)

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

LIBOR

plus

or

minus

a

specified

spread

(-5.50%

to

0.35%),

which

is

denominated

in

JPY

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

02/26/2025

-

03/31/2025

$37,730,844

$(526,594)

$32,897

$(493,697)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Japan

Alfresa

Holdings

Corp.

15,500

288,479

17,911

(3.6)

Bandai

Namco

Holdings,

Inc.

6,100

295,870

16,842

(3.4)

Central

Japan

Railway

Co.

2,200

352,597

24,062

(4.9)

Chubu

Electric

Power

Co.,

Inc.

27,500

388,113

37,229

(7.5)

Haseko

Corp.

27,800

295,649

14,129

(2.9)

ITOCHU

Corp.

34,500

713,964

58,896

(11.9)

KDDI

Corp.

22,400

661,664

73,978

(15.0)

Kyushu

Railway

Co.

12,400

356,196

16,431

(3.3)

Marubeni

Corp.

88,600

439,727

(5,113)

1.0

Medipal

Holdings

Corp.

15,400

287,763

21,506

(4.4)

Mitsui

&

Co.

Ltd.

25,200

349,869

3,299

(0.7)

MS&AD

Insurance

Group

Holdings,

Inc.

10,500

292,962

26,346

(5.3)

Nexon

Co.

Ltd.

21,700

354,596

50,185

(10.2)

Nippon

Telegraph

&

Telephone

Corp.

25,200

602,699

59,209

(12.0)

Obayashi

Corp.

54,900

465,856

40,333

(8.2)

ORIX

Corp.

24,700

294,687

(19,772)

4.0

Resona

Holdings,

Inc.

106,700

319,919

16,994

(3.4)

Sekisui

House

Ltd.

24,200

399,107

36,657

(7.4)

Sojitz

Corp.

144,100

337,863

15,780

(3.2)

Sumitomo

Corp.

25,200

287,387

10,772

(2.2)

Teijin

Ltd.

18,600

314,619

43,068

(8.7)

247

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Japan

(continued)

Tokyo

Electric

Power

Co.

Holdings,

Inc.

95,700

332,915

22,185

(4.5)

Tokyo

Gas

Co.

Ltd.

28,700

676,266

76,285

(15.5)

Toppan

Printing

Co.

Ltd.

22,000

335,897

30,013

(6.1)

Tosoh

Corp.

29,900

337,903

19,162

(3.9)

Short

Positions

Common

Stocks

Japan

Aeon

Co.

Ltd.

(24,200)

(536,128)

(70,135)

14.2

Asics

Corp.

(34,900)

(322,254)

(59,447)

12.0

CyberAgent

,

Inc.

(9,800)

(379,808)

(40,109)

8.1

Daifuku

Co.

Ltd.

(5,300)

(332,142)

(64,886)

13.1

Daikin

Industries

Ltd.

(3,100)

(374,214)

(24,258)

4.9

FamilyMart

Co.

Ltd.

(15,200)

(272,930)

(50,436)

10.2

Japan

Airport

Terminal

Co.

Ltd.

(8,900)

(342,043)

(39,756)

8.1

Kikkoman

Corp.

(10,300)

(436,715)

(68,952)

14.0

LIXIL

Group

Corp.

(27,000)

(332,672)

(50,114)

10.2

MISUMI

Group,

Inc.

(20,000)

(432,619)

(60,955)

12.3

MonotaRO

Co.

Ltd.

(13,200)

(348,763)

(34,139)

6.9

Nidec

Corp.

(14,800)

(762,711)

(20,003)

4.1

Nippon

Paint

Holdings

Co.

Ltd.

(6,900)

(359,160)

(33,882)

6.9

Persol

Holdings

Co.

Ltd.

(27,400)

(274,167)

(19,834)

4.0

Pigeon

Corp.

(7,200)

(275,654)

(44,052)

8.9

Ryohin

Keikaku

Co.

Ltd.

(28,500)

(316,937)

(12,314)

2.5

Shiseido

Co.

Ltd.

(7,100)

(417,284)

(59,929)

12.1

SoftBank

Group

Corp.

(9,800)

(346,943)

(12,209)

2.5

Takeda

Pharmaceutical

Co.

Ltd.

(9,200)

(280,123)

(19,606)

4.0

Toshiba

Corp.

(13,800)

(302,473)

(2,890)

0.6

TOTO

Ltd.

(14,100)

(465,133)

(41,294)

8.4

Unicharm

Corp.

(9,700)

(363,108)

(66,119)

13.4

Yakult

Honsha

Co.

Ltd.

(7,000)

(412,370)

(37,883)

7.7

Yamato

Holdings

Co.

Ltd.

(25,900)

(404,586)

(73,271)

14.8

Yaskawa

Electric

Corp.

(15,200)

(413,298)

(59,591)

12.1

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

JPMC

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

STIBOR

plus

or

minus

a

specified

spread

(-0.85%

to

0.35%),

which

is

denominated

in

SEK

based

on

the

local

currencies

of

the

positions

within

the

swap.

60-61

months

maturity

ranging

from

02/25/2025

-

03/31/2025

$2,484,473

$1,639

$(2,906)

$(1,267)

The

following

table

represents

disclosures

associated

with

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

248

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Sweden

Axfood

AB

6,716

136,574

3,718

(293.4)

Essity

AB

17,050

522,303

33,906

(2676.1)

Getinge

AB

8,959

169,407

13,761

(1086.1)

Hennes

&

Mauritz

AB

9,798

125,383

11,119

(877.6)

ICA

Gruppen

AB

3,190

133,232

2,527

(199.4)

Securitas

AB

9,173

98,541

4,926

(388.8)

Skanska

AB

3,993

60,091

(248)

19.6

SKF

AB

3,522

47,995

1,045

(82.5)

SSAB

AB

7,179

16,279

1,029

(81.2)

Swedish

Orphan

Biovitrum

AB

10,222

169,801

26,516

(2092.8)

Volvo

AB

10,437

124,054

10,494

(828.3)

Short

Positions

Common

Stocks

Colombia

Millicom

International

Cellular

SA

(2,312)

(64,236)

(6,914)

545.7

Sweden

Atlas

Copco

AB

(905)

(30,095)

(2,909)

229.6

BillerudKorsnas

AB

(10,506)

(114,555)

(6,215)

490.5

Electrolux

AB

(1,387)

(17,135)

(328)

25.9

Hexpol

AB

(13,151)

(77,700)

(13,153)

1038.1

Saab

AB

(548)

(10,412)

(507)

40.0

Svenska

Cellulosa

AB

SCA

(46,830)

(463,422)

(74,233)

5859.0

Svenska

Handelsbanken

AB

(2,188)

(18,045)

(683)

53.9

Swedish

Match

AB

(1,505)

(85,213)

(2,212)

174.6

COUNTERPARTY

DESCRIPTION

TERMINATION

DATE

ABSOLUTE

NOTIONAL

VALUE

NET

UNREALIZED

APPRECIATION

NET

CASH

AND

OTHER

RECEIVABLES

(PAYABLES)

VALUE

MLIN

The

Fund

receives

the

total

return

on

a

portfolio

of

long

and

short

equity

positions

and

pays

or

receives

the

BA

plus

or

minus

a

specified

spread

(-1.75%

to

0.23%),

which

is

denominated

in

CAD

based

on

the

local

currencies

of

the

positions

within

the

swap.

13-14

months

maturity

ranging

from

03/25/2021

-

05/25/2021

$9,500,718

$307,802

$(665,335)

$(357,533)

The

following

table

represents

disclosures

associated

with

a

subset

of

the

underlying

components

of

the

total

return

basket

swap

as

of

period

end.

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Long

Positions

Common

Stocks

Canada

Alimentation

Couche-Tard,

Inc.

8,043

189,459

(3,206)

0.9

Atco

Ltd.

5,539

153,382

17,249

(4.8)

Bank

of

Montreal

4,106

207,328

3,988

(1.1)

Bank

of

Nova

Scotia

(The)

4,771

194,834

678

(0.2)

Canadian

Imperial

Bank

of

Commerce

6,923

403,387

1,625

(0.5)

249

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

Consolidated

Schedule

of

Investments

March

31,

2020

(Unaudited)

REFERENCE

ENTITY

SHARES

NOTIONAL

VALUE

($)

NET

UNREALIZED

APPRECIATION

(DEPRECIATION)

($)

PERCENTAGE

OF

SWAP

VALUE

(%)

Canada

(continued)

Canadian

Tire

Corp.

Ltd.

1,538

92,829

(10,456)

2.9

Cenovus

Energy,

Inc.

33,017

66,630

(74)

0.0

CGI,

Inc.

3,822

206,920

15,642

(4.4)

CI

Financial

Corp.

14,429

143,234

9,050

(2.5)

Emera,

Inc.

3,386

133,534

11,968

(3.3)

Hydro

One

Ltd.

11,982

215,749

(587)

0.2

iA

Financial

Corp.,

Inc.

3,194

100,407

11,670

(3.3)

Linamar

Corp.

5,393

111,631

130

(0.0)

Magna

International,

Inc.

7,423

236,884

7,160

(2.0)

Manulife

Financial

Corp.

14,407

180,894

9,091

(2.5)

National

Bank

of

Canada

7,597

293,612

15,851

(4.4)

Onex

Corp.

1,813

66,359

4,651

(1.3)

Quebecor,

Inc.

9,427

208,395

1,726

(0.5)

Rogers

Communications,

Inc.

1,709

71,333

4,611

(1.3)

Royal

Bank

of

Canada

3,870

239,713

5,565

(1.6)

Stantec

,

Inc.

3,949

101,019

4,215

(1.2)

Toronto-Dominion

Bank

(The)

3,498

148,714

510

(0.1)

Tourmaline

Oil

Corp.

25,895

158,980

8,190

(2.3)

United

States

Bausch

Health

Cos.,

Inc.

5,674

87,934

(2,414)

0.7

BRP,

Inc.

8,416

137,306

(243)

0.1

Ovintiv

,

Inc.

48,447

132,882

(5,215)

1.5

Short

Positions

Common

Stocks

Canada

Agnico

Eagle

Mines

Ltd.

(5,285)

(210,979)

11,333

(3.2)

Barrick

Gold

Corp.

(8,190)

(150,496)

8,412

(2.4)

BlackBerry

Ltd.

(30,650)

(125,667)

(8,451)

2.4

Cameco

Corp.

(19,257)

(146,826)

(21,608)

6.0

Canada

Goose

Holdings,

Inc.

(17,270)

(345,326)

(2,962)

0.8

CCL

Industries,

Inc.

(6,455)

(196,269)

(17,908)

5.0

Dollarama,

Inc.

(11,843)

(328,537)

19,267

(5.4)

Element

Fleet

Management

Corp.

(16,749)

(106,638)

486

(0.1)

Enbridge,

Inc.

(5,634)

(164,060)

(1,540)

0.4

Finning

International,

Inc.

(7,643)

(82,008)

2,990

(0.8)

Franco-Nevada

Corp.

(1,942)

(194,034)

23,614

(6.6)

Gildan

Activewear

,

Inc.

(5,492)

(70,011)

(2,105)

0.6

Methanex

Corp.

(6,121)

(74,506)

15,884

(4.4)

Pan

American

Silver

Corp.

(6,091)

(87,645)

15,890

(4.4)

Pembina

Pipeline

Corp.

(7,071)

(132,647)

25,021

(7.0)

PrairieSky

Royalty

Ltd.

(16,198)

(85,519)

4,916

(1.4)

Restaurant

Brands

International,

Inc.

(5,569)

(224,414)

22,936

(6.4)

Shopify,

Inc.

(627)

(262,696)

20,150

(5.6)

SNC-Lavalin

Group,

Inc.

(19,073)

(281,358)

21,581

(6.0)

TC

Energy

Corp.

(5,506)

(244,724)

(14,815)

4.1

West

Fraser

Timber

Co.

Ltd.

(12,838)

(244,846)

22,498

(6.3)

Wheaton

Precious

Metals

Corp.

(12,036)

(331,240)

23,195

(6.5)

Chile

Lundin

Mining

Corp.

(31,618)

(118,851)

(683)

0.2

Zambia

First

Quantum

Minerals

Ltd.

(32,642)

(166,770)

(1,506)

0.4

250

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

COMMON

STOCKS

-

49.9%

Australia

-

1.0%

Aurizon

Holdings

Ltd.(2)

992

$

2,571

BHP

Group

Ltd.(2)

446

8,091

BHP

Group

plc(2)

1,407

21,836

BlueScope

Steel

Ltd.(2)

546

2,859

Dexus,

REIT(2)

458

2,538

Fortescue

Metals

Group

Ltd.(2)

5,085

31,162

Goodman

Group,

REIT(2)

1,206

8,840

Rio

Tinto

plc(2)

402

18,429

Scentre

Group,

REIT(2)

1,888

1,808

Wesfarmers

Ltd.(2)

91

1,928

100,062

—

Belgium

-

0.3%

Ageas(2)

351

14,627

UCB

SA(2)

133

11,380

26,007

—

Canada

-

1.5%

Alimentation

Couche-Tard,

Inc.,

Class

B

724

17,054

Barrick

Gold

Corp.

393

7,222

CGI,

Inc.*

285

15,430

Constellation

Software,

Inc.

27

24,539

Empire

Co.

Ltd.,

Class

A

243

4,754

Franco-Nevada

Corp.

79

7,893

Kinross

Gold

Corp.*

7,667

30,780

Magna

International,

Inc.

164

5,234

Manulife

Financial

Corp.

167

2,097

Onex

Corp.

495

18,118

Open

Text

Corp.

307

10,735

RioCan,

REIT

213

2,441

Shopify,

Inc.,

Class

A*

12

5,028

151,325

—

Chile

-

0.0%(a)

Lundin

Mining

Corp.

488

1,834

China

-

0.0%(a)

Yangzijiang

Shipbuilding

Holdings

Ltd.(2)

7,400

4,294

Denmark

-

0.7%

H

Lundbeck

A/S(2)

186

5,461

Novo

Nordisk

A/S,

Class

B(2)

786

46,937

Pandora

A/S(2)

722

23,199

75,597

—

Finland

-

0.5%

Fortum

OYJ(2)

593

8,626

Kone

OYJ,

Class

B(2)

104

5,824

Neste

OYJ(2)

268

8,910

Orion

OYJ,

Class

B(2)

816

33,209

56,569

—

France

-

1.8%

AXA

SA(2)

1,064

18,016

BNP

Paribas

SA(2)

156

4,554

Cie

de

Saint-Gobain(2)

551

13,221

Electricite

de

France

SA(2)

3,751

29,331

Engie

SA(2)

226

2,314

INVESTMENTS

SHARES

VALUE

France

-

1.8%

(continued)

Eutelsat

Communications

SA(2)

205

$

2,131

Hermes

International(2)

21

14,289

Kering

SA(2)

51

26,592

Klepierre

SA,

REIT(2)

79

1,506

Natixis

SA(2)

1,085

3,455

Orange

SA(2)

695

8,415

Peugeot

SA(2)

3,479

45,294

Schneider

Electric

SE(2)

124

10,481

Unibail-Rodamco-Westfield,

REIT(2)

110

6,306

185,905

—

Germany

-

1.4%

adidas

AG(2)

31

6,883

Allianz

SE

(Registered)(2)

224

38,147

Bayer

AG

(Registered)(2)

745

42,686

Deutsche

Lufthansa

AG

(Registered)(2)

1,155

10,803

Infineon

Technologies

AG(2)

918

13,252

KION

Group

AG(2)

40

1,722

SAP

SE(2)

291

32,490

145,983

—

Hong

Kong

-

1.1%

CK

Asset

Holdings

Ltd.(2)

5,500

29,842

CLP

Holdings

Ltd.(2)

500

4,580

HKT

Trust

&

HKT

Ltd.(2)

3,000

4,080

Hong

Kong

Exchanges

&

Clearing

Ltd.(2)

200

5,992

Kerry

Properties

Ltd.(2)

6,500

16,997

Link,

REIT(2)

500

4,214

New

World

Development

Co.

Ltd.

(2)

7,000

7,464

Power

Assets

Holdings

Ltd.(2)

500

2,966

Sun

Hung

Kai

Properties

Ltd.(2)

500

6,537

WH

Group

Ltd.(2)(b)

30,000

27,691

Yue

Yuen

Industrial

Holdings

Ltd.(2)

2,000

3,056

113,419

—

Italy

-

0.8%

Enel

SpA(2)

6,167

42,539

Intesa

Sanpaolo

SpA(2)

9,115

14,749

Mediobanca

Banca

di

Credito

Finanziario

SpA(2)

3,003

16,376

Poste

Italiane

SpA(2)(b)

1,248

10,504

84,168

—

Japan

-

3.3%

Aozora

Bank

Ltd.(2)

300

5,725

Astellas

Pharma,

Inc.(2)

1,700

26,193

Bandai

Namco

Holdings,

Inc.(2)

100

4,850

Brother

Industries

Ltd.(2)

100

1,515

Hitachi

Ltd.(2)

700

20,108

ITOCHU

Corp.(2)

500

10,347

Japan

Retail

Fund

Investment

Corp.,

REIT(2)

1

1,137

Kamigumi

Co.

Ltd.(2)

100

1,688

Koito

Manufacturing

Co.

Ltd.(2)

300

10,086

Marubeni

Corp.(2)

1,400

6,948

Mebuki

Financial

Group,

Inc.(2)

3,700

7,505

251

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

Japan

-

3.3%

(continued)

MINEBEA

MITSUMI,

Inc.(2)

200

$

2,954

Mitsubishi

Corp.(2)

500

10,576

Mitsubishi

UFJ

Financial

Group,

Inc.(2)

4,800

17,959

MS&AD

Insurance

Group

Holdings,

Inc.(2)

600

16,741

Nippon

Telegraph

&

Telephone

Corp.(2)

800

19,133

Nitto

Denko

Corp.(2)

100

4,442

Obayashi

Corp.(2)

500

4,243

Olympus

Corp.(2)

200

2,883

Resona

Holdings,

Inc.(2)

8,300

24,886

Sankyo

Co.

Ltd.(2)

100

2,900

Shimizu

Corp.(2)

400

3,113

Shinsei

Bank

Ltd.(2)

1,300

17,218

Shionogi

&

Co.

Ltd.(2)

100

4,926

SoftBank

Group

Corp.(2)

200

7,080

Sompo

Holdings,

Inc.(2)

100

3,082

Sony

Corp.(2)

700

41,464

SUMCO

Corp.(2)

600

7,624

Sumitomo

Corp.(2)

400

4,562

Sumitomo

Mitsui

Trust

Holdings,

Inc.(2)

100

2,873

Taiheiyo

Cement

Corp.(2)

300

5,110

Teijin

Ltd.(2)

200

3,383

Tokio

Marine

Holdings,

Inc.(2)

400

18,302

Tokyo

Electron

Ltd.(2)

100

18,637

340,193

—

Netherlands

-

1.1%

ASML

Holding

NV(2)

21

5,536

ING

Groep

NV(2)

533

2,731

Koninklijke

Ahold

Delhaize

NV(2)

2,787

64,927

Koninklijke

Philips

NV(2)

327

13,426

NN

Group

NV(2)

408

11,088

Royal

Dutch

Shell

plc,

Class

B(2)

505

8,471

Wolters

Kluwer

NV(2)

64

4,530

110,709

—

Singapore

-

0.0%(a)

ComfortDelGro

Corp.

Ltd.(2)

3,600

3,833

South

Africa

-

0.1%

Anglo

American

plc(2)

620

10,865

Spain

-

0.8%

Banco

Bilbao

Vizcaya

Argentaria

SA(2)

4,100

12,696

Banco

de

Sabadell

SA(2)

18,085

9,146

Bankia

SA(2)

3,815

4,160

Enagas

SA(2)

1,129

22,273

Endesa

SA(2)

1,013

21,435

Iberdrola

SA(2)

264

2,582

Naturgy

Energy

Group

SA(2)

76

1,333

Red

Electrica

Corp.

SA(2)

521

9,362

82,987

—

INVESTMENTS

SHARES

VALUE

Sweden

-

0.1%

Hennes

&

Mauritz

AB,

Class

B(2)

179

$

2,291

Skanska

AB,

Class

B(2)*

263

3,958

Telefonaktiebolaget

LM

Ericsson,

Class

B(2)*

308

2,493

8,742

—

Switzerland

-

2.3%

Adecco

Group

AG

(Registered)(2)

657

25,890

Coca-Cola

HBC

AG(2)

456

9,780

Novartis

AG

(Registered)(2)

423

34,897

Roche

Holding

AG(2)

285

91,697

Sonova

Holding

AG

(Registered)(2)

128

22,824

Swiss

Life

Holding

AG

(Registered)

(2)

58

19,467

Zurich

Insurance

Group

AG(2)

88

30,915

235,470

—

United

Kingdom

-

1.3%

AstraZeneca

plc(2)

23

2,049

Aviva

plc(2)

561

1,844

BAE

Systems

plc(2)

2,214

14,225

Barratt

Developments

plc(2)

1,573

8,503

Berkeley

Group

Holdings

plc(2)

297

13,256

BT

Group

plc(2)

6,541

9,514

Burberry

Group

plc(2)

131

2,129

CK

Hutchison

Holdings

Ltd.(2)

500

3,333

Fiat

Chrysler

Automobiles

NV(2)

142

1,014

GlaxoSmithKline

plc(2)

662

12,422

M&G

plc(2)*

7,427

10,331

Persimmon

plc(2)

437

10,330

RELX

plc(2)

269

5,741

Sage

Group

plc

(The)(2)

2,719

19,772

Smith

&

Nephew

plc(2)

750

13,212

Standard

Life

Aberdeen

plc(2)

2,516

6,944

Taylor

Wimpey

plc(2)

2,225

3,202

137,821

—

United

States

-

31.8%

AbbVie,

Inc.

137

10,438

Adobe,

Inc.*

184

58,555

Aflac,

Inc.

61

2,089

Akamai

Technologies,

Inc.*

204

18,664

Alexion

Pharmaceuticals,

Inc.*

497

44,626

Alleghany

Corp.

11

6,076

Allergan

plc

47

8,324

Allstate

Corp.

(The)

611

56,046

Alphabet,

Inc.,

Class

A*

48

55,773

Alphabet,

Inc.,

Class

C*

42

48,838

Altria

Group,

Inc.

135

5,220

Amazon.com,

Inc.*

36

70,189

American

Electric

Power

Co.,

Inc.

140

11,197

American

Tower

Corp.,

REIT

48

10,452

AmerisourceBergen

Corp.

65

5,753

Amgen,

Inc.

72

14,597

Anthem,

Inc.

32

7,265

Apple,

Inc.

702

178,511

Applied

Materials,

Inc.

933

42,750

Arch

Capital

Group

Ltd.*

55

1,565

Arrow

Electronics,

Inc.*

326

16,910

Autodesk,

Inc.*

15

2,342

252

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

31.8%

(continued)

AutoZone,

Inc.*

15

$

12,690

AvalonBay

Communities,

Inc.,

REIT

95

13,981

Bausch

Health

Cos.,

Inc.*

137

2,123

Berkshire

Hathaway,

Inc.,

Class

B*

174

31,812

Best

Buy

Co.,

Inc.

418

23,826

Biogen,

Inc.*

174

55,049

Boston

Properties,

Inc.,

REIT

25

2,306

Bristol-Myers

Squibb

Co.

240

13,378

Broadcom,

Inc.

13

3,082

Capital

One

Financial

Corp.

93

4,689

CDW

Corp.

156

14,550

Chipotle

Mexican

Grill,

Inc.*

37

24,213

Church

&

Dwight

Co.,

Inc.

125

8,023

Cisco

Systems,

Inc.

686

26,967

Citigroup,

Inc.

192

8,087

Citizens

Financial

Group,

Inc.

584

10,985

Colgate-Palmolive

Co.

543

36,033

Comcast

Corp.,

Class

A

1,251

43,009

Crown

Castle

International

Corp.,

REIT

37

5,343

Cummins,

Inc.

34

4,601

Dell

Technologies,

Inc.,

Class

C*

77

3,045

Digital

Realty

Trust,

Inc.,

REIT

38

5,279

Discover

Financial

Services

57

2,033

Eaton

Corp.

plc

350

27,192

Edwards

Lifesciences

Corp.*

34

6,413

Electronic

Arts,

Inc.*

189

18,932

Eli

Lilly

&

Co.

18

2,497

Equinix,

Inc.,

REIT

4

2,498

Equity

Residential,

REIT

47

2,900

Essex

Property

Trust,

Inc.,

REIT

7

1,542

Everest

Re

Group

Ltd.

203

39,061

Expedia

Group,

Inc.

40

2,251

Facebook,

Inc.,

Class

A*

547

91,239

Fidelity

National

Financial,

Inc.

582

14,480

Fifth

Third

Bancorp

514

7,633

Fiserv,

Inc.*

22

2,090

Flex

Ltd.*

699

5,854

Fortinet,

Inc.*

113

11,432

Garmin

Ltd.

310

23,238

General

Dynamics

Corp.

82

10,849

General

Motors

Co.

543

11,284

Gilead

Sciences,

Inc.

394

29,455

Hartford

Financial

Services

Group,

Inc.

(The)

83

2,925

HCA

Healthcare,

Inc.

86

7,727

Hershey

Co.

(The)

176

23,320

Hologic,

Inc.*

81

2,843

Home

Depot,

Inc.

(The)

274

51,159

Humana,

Inc.

146

45,847

Huntington

Ingalls

Industries,

Inc.

63

11,479

IAC/InterActiveCorp*

69

12,367

Incyte

Corp.*

395

28,926

Ingredion,

Inc.

273

20,612

Intel

Corp.

1,191

64,456

International

Business

Machines

Corp.

253

28,065

Intuit,

Inc.

100

23,000

Jazz

Pharmaceuticals

plc*

128

12,767

Johnson

&

Johnson

401

52,583

INVESTMENTS

SHARES

VALUE

United

States

-

31.8%

(continued)

Johnson

Controls

International

plc

187

$

5,042

JPMorgan

Chase

&

Co.

25

2,251

Keysight

Technologies,

Inc.*

20

1,674

Kimberly-Clark

Corp.

156

19,948

Kroger

Co.

(The)

131

3,946

Laboratory

Corp.

of

America

Holdings*

48

6,067

Lam

Research

Corp.

162

38,880

Lockheed

Martin

Corp.

82

27,794

Lowe's

Cos.,

Inc.

76

6,540

Lululemon

Athletica,

Inc.*

73

13,837

ManpowerGroup,

Inc.

499

26,442

Mastercard,

Inc.,

Class

A

226

54,593

Maxim

Integrated

Products,

Inc.

78

3,792

McDonald's

Corp.

10

1,654

McKesson

Corp.

237

32,057

Medtronic

plc

183

16,503

Merck

&

Co.,

Inc.

1,144

88,018

MetLife,

Inc.

575

17,578

Micron

Technology,

Inc.*

761

32,008

Microsoft

Corp.

1,379

217,481

Monster

Beverage

Corp.*

597

33,587

Moody's

Corp.

23

4,865

Mylan

NV*

1,572

23,439

NextEra

Energy,

Inc.

48

11,550

NIKE,

Inc.,

Class

B

621

51,382

Northrop

Grumman

Corp.

93

28,137

NortonLifeLock,

Inc.

1,073

20,076

NVIDIA

Corp.

52

13,707

Oracle

Corp.

688

33,251

O'Reilly

Automotive,

Inc.*

24

7,225

PepsiCo,

Inc.

260

31,226

Pfizer,

Inc.

881

28,756

Philip

Morris

International,

Inc.

324

23,639

Pinnacle

West

Capital

Corp.

127

9,625

PNC

Financial

Services

Group,

Inc.

(The)

50

4,786

Procter

&

Gamble

Co.

(The)

382

42,020

Prologis,

Inc.,

REIT

140

11,252

Public

Service

Enterprise

Group,

Inc.

292

13,114

Public

Storage,

REIT

81

16,087

Qorvo,

Inc.*

184

14,836

QUALCOMM,

Inc.

518

35,043

Ralph

Lauren

Corp.

74

4,945

Raytheon

Co.

40

5,246

Regeneron

Pharmaceuticals,

Inc.*

27

13,184

Robert

Half

International,

Inc.

229

8,645

Ross

Stores,

Inc.

35

3,044

S&P

Global,

Inc.

34

8,332

SBA

Communications

Corp.,

REIT

8

2,160

Seagate

Technology

plc

292

14,250

Signature

Bank

47

3,778

Simon

Property

Group,

Inc.,

REIT

80

4,389

Skyworks

Solutions,

Inc.

381

34,054

Southwest

Airlines

Co.

415

14,778

Starbucks

Corp.

142

9,335

Steel

Dynamics,

Inc.

406

9,151

Synchrony

Financial

1,277

20,547

Target

Corp.

207

19,245

253

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

INVESTMENTS

SHARES

VALUE

United

States

-

31.8%

(continued)

Texas

Instruments,

Inc.

241

$

24,083

Textron,

Inc.

147

3,920

TJX

Cos.,

Inc.

(The)

388

18,550

Tractor

Supply

Co.

20

1,691

Travelers

Cos.,

Inc.

(The)

276

27,421

Tyson

Foods,

Inc.,

Class

A

493

28,530

United

Rentals,

Inc.*

20

2,058

United

Technologies

Corp.

26

2,453

UnitedHealth

Group,

Inc.

75

18,704

Universal

Health

Services,

Inc.,

Class

B

306

30,318

Verizon

Communications,

Inc.

277

14,883

Vertex

Pharmaceuticals,

Inc.*

15

3,569

ViacomCBS,

Inc.

112

1,569

Vistra

Energy

Corp.

459

7,326

Walgreens

Boots

Alliance,

Inc.

138

6,314

Walmart,

Inc.

502

57,036

Walt

Disney

Co.

(The)

48

4,637

Waste

Management,

Inc.

68

6,294

Wells

Fargo

&

Co.

462

13,259

Xerox

Holdings

Corp.

1,658

31,403

3,283,009

—

TOTAL

COMMON

STOCKS

(Cost

$5,285,370)

5,158,792

INVESTMENTS

SHARES

VALUE

SHORT-TERM

INVESTMENTS

-

47.5%

INVESTMENT

COMPANIES

-

47.5%

Limited

Purpose

Cash

Investment

Fund,

0.85%(c)

(Cost

$4,901,171)

4,901,662

$

4,908,034

TOTAL

INVESTMENTS

IN

SECURITIES

AT

VALUE

-

97.4%

(Cost

$10,186,541)

10,066,826

OTHER

ASSETS

IN

EXCESS

OF

LIABILITIES

-

2.6%(d)

268,635

NET

ASSETS

-

100.0%

$10,335,461

SECTOR

VALUE

%

OF

NET

ASSETS

Communication

Services

$

341,603

3.3

%

Consumer

Discretionary

582,795

5.6

Consumer

Staples

463,659

4.5

Energy

17,381

0.2

Financials

660,547

6.4

Health

Care

975,428

9.4

Industrials

339,786

3.3

Information

Technology

1,246,563

12.1

Materials

163,058

1.6

Real

Estate

167,818

1.6

Utilities

200,154

1.9

Short-Term

Investments

4,908,034

47.5

Total

Investments

In

Securities

At

Value

10,066,826

97.4

Other

Assets

in

Excess

of

Liabilities(d)

268,635

2.6

Net

Assets

$

10,335,461

100.0%

*

Non-income

producing

security.

(a)

Represents

less

than

0.05%

of

net

assets.

(b)

Securities

exempt

from

registration

under

Rule

144A

or

section

4(2),

of

the

Securities

Act

of

1933.

Under

procedures

approved

by

the

Board

of

Trustees,

such

securities

have

been

determined

to

be

liquid

by

the

investment

adviser

and

may

be

resold,

normally

to

qualified

institutional

buyers

in

transactions

exempt

from

registration.

Total

value

of

all

such

securities

at

March

31,

2020

amounted

to

$38,195,

which

represents

approximately

0.37%

of

net

assets

of

the

fund.

(c)

Represents

7-day

effective

yield

as

of

March

31,

2020.

(d)

Includes

appreciation/(depreciation)

on

futures

and

written

options

contracts.

All

securities

are

Level

1

with

respect

to

ASC

820,

unless

otherwise

noted

in

parentheses.

(2)

Level

2

security.

254

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

(Continued)

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Written

Call

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

U.S.

Treasury

10

Year

Note

JPMS

1

USD

(100,000)

USD

135.00

5/22/2020

$

(4,062)

U.S.

Treasury

10

Year

Note

JPMS

1

USD

(100,000)

USD

136.50

4/24/2020

(2,453)

U.S.

Treasury

10

Year

Note

JPMS

2

USD

(200,000)

USD

137.50

4/24/2020

(3,313)

U.S.

Treasury

10

Year

Note

JPMS

2

USD

(200,000)

USD

138.00

5/22/2020

(3,375)

U.S.

Treasury

30

Year

Bond

JPMS

2

USD

(200,000)

USD

188.00

4/24/2020

(1,000)

(14,203)

Written

Put

Option

Contracts

(Premium

Style)

as

of

March

31,

2020:

Exchange

Traded

D

ESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

FTSE

100

Index

JPMS

3

GBP

(170,159)

GBP

5,000.00

4/17/2020

$

(1,919)

Nikkei

225

Index

JPMS

1

JPY

(18,917,010)

JPY

17,000.00

4/10/2020

(2,325)

U.S.

Treasury

10

Year

Note

JPMS

1

USD

(100,000)

USD

135.00

5/22/2020

(375)

U.S.

Treasury

10

Year

Note

JPMS

2

USD

(200,000)

USD

137.00

4/24/2020

(719)

U.S.

Treasury

10

Year

Note

JPMS

1

USD

(100,000)

USD

138.00

4/24/2020

(625)

U.S.

Treasury

10

Year

Note

JPMS

1

USD

(100,000)

USD

139.50

4/24/2020

(1,375)

U.S.

Treasury

30

Year

Bond

JPMS

1

USD

(100,000)

USD

181.00

4/24/2020

(3,703)

(11,041)

Total

Written

Option

Contracts

(Premium

Style)

(Premiums

Received

($41,272))

$

(25,244)

Written

Call

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

JPMS

2

EUR

(200,000)

EUR

174.50

4/24/2020

$

1,737

Euro-Bund

June

Futures

JPMS

4

EUR

(400,000)

EUR

175.00

4/24/2020

2,952

Euro-Bund

June

Futures

JPMS

4

EUR

(400,000)

EUR

176.00

4/24/2020

1,953

$

6,642

Written

Put

Option

Contracts

(Futures

Style)

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

COUNTERPARTY

NUMBER

OF

CONTRACTS

NOTIONAL

AMOUNT

EXERCISE

PRICE

EXPIRATION

DATE

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Euro-Bund

June

Futures

JPMS

3

EUR

(300,000)

EUR

172.50

4/24/2020

$

(3,067)

Euro-Bund

June

Futures

JPMS

3

EUR

(300,000)

EUR

173.50

4/24/2020

(4,051)

Euro-Bund

June

Futures

JPMS

1

EUR

(100,000)

EUR

174.50

4/24/2020

(1,658)

$

(8,776)

Total

Written

Option

Contracts

(Futures

Style)

$

(2,134)

255

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

AQR

VOLATILITY

RISK

PREMIUM

FUND

Schedule

of

Investments

March

31,

2020

(Unaudited)

Futures

contracts

outstanding

as

of

March

31,

2020:

Exchange

Traded

DESCRIPTION

NUMBER

OF

CONTRACTS

EXPIRATION

DATE

TRADING

CURRENCY

NOTIONAL

AMOUNT

VALUE

AND

UNREALIZED

APPRECIATION

(DEPRECIATION)

Long

Contracts

FTSE

100

Index

1

6/2020

GBP

$

69,999

$

6,944

Nikkei

225

Index

1

6/2020

JPY

175,959

20,762

S&P

500

E-Mini

Index

1

6/2020

USD

128,485

9,035

36,741

Short

Contracts

Euro-Bund

(3)

6/2020

EUR

(570,784)

(6,082)

U.S.

Treasury

10

Year

Note

(1)

6/2020

USD

(138,688)

(2,188)

U.S.

Treasury

Long

Bond

(2)

6/2020

USD

(358,125)

(8,540)

(16,810)

$

19,931

256

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

See

notes

to

Schedule

of

Investments.

Abbreviations

ADR

-

American

Depositary

Receipt

CVR

-

Contingent

Value

Rights

FHLMC

-

Federal

Home

Loan

Mortgage

Corp.

FNMA

-

Federal

National

Mortgage

Association

ICE

-

Intercontinental

Exchange

LIBOR

-

London

Interbank

Offered

Rate

OYJ

-

Public

Traded

Company

Preference

-

A

special

type

of

equity

investment

that

shares

in

the

earnings

of

the

company,

has

limited

voting

rights,

and

may

have

a

dividend

preference.  Preference

shares

may

also

have

liquidation

preference.

REIT

-

Real

Estate

Investment

Trust

SCA

-

Limited

partnership

with

share

capital

SDR

-

Swedish

Depositary

Receipt

Currencies

AUD

-

Australian

Dollar

BRL

-

Brazilian

Real

CAD

-

Canadian

Dollar

CHF

-

Swiss

Franc

CLP

-

Chilean

Peso

CNY

-

Chinese

Renminbi

COP

-

Colombian

Peso

CZK

-

Czech

Republic

Koruna

DKK

-

Danish

Krone

EUR

-

Euro

GBP

-

British

Pound

HKD

-

Hong

Kong

Dollar

HUF

-

Hungarian

Forint

IDR

-

Indonesian

Rupiah

ILS

-

Israeli

Shekel

INR

-

Indian

Rupee

JPY

-

Japanese

Yen

KRW

-

Korean

Won

MXN

-

Mexican

Peso

MYR

-

Malaysian

Ringgit

NOK

-

Norwegian

Krone

NZD

-

New

Zealand

Dollar

PHP

-

Philippine

Peso

PLN

-

Poland

Zloty

RUB

-

Russian

Ruble

SEK

-

Swedish

Krona

SGD

-

Singapore

Dollar

THB

-

Thai

Baht

TRY

-

Turkish

Lira

TWD

-

New

Taiwan

Dollar

USD

-

United

States

Dollar

ZAR

-

South

African

Rand

The

following

abbreviations

are

used

for

counterparty

descriptions:

BANA

-

Bank

of

America,

NA

CITI

-

Citibank

NA

DTBK

-

Deutsche

Bank

AG

GSCO

-

Goldman

Sachs

&

Co.

GSIN

-

Goldman

Sachs

International

JPMC

-

J.P.

Morgan

Chase

Bank,

NA

JPMS

-

J.P.

Morgan

Securities

LLC

MACQ

-

Macquarie

Bank

Ltd.

MLIN

-

Merrill

Lynch

International

MPFS

-

Merrill

Lynch,

Pierce,

Fenner

&

Smith,

Inc.

MSCL

-

Morgan

Stanley

&

Co.

LLC

MSCS

-

Morgan

Stanley

Capital

Services

LLC

MSIP

-

Morgan

Stanley

&

Co.

International

plc

SOCG

-

Societe

Generale

257

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

See

notes

to

Schedule

of

Investments.

March

31,

2020

(Unaudited)

The

following

reference

rates,

and

their

values

as

of

period-end,

are

used

for

security

descriptions:

Australian

Bank-Bill

Reference

Rate

(“BBR”):

0.35%

Australian

Overnight

Indexed

Swap

Rate

(“AOISR”):

0.37%

Bank

of

Japan

Estimate

Unsecured

Overnight

Call

Rate:

-0.07%

Brazilian

Interbank

Certificate

of

Deposit

(“CDI”):

3.65%

Canadian

Bankers’

Acceptance

Rate

("BA"):

1.23%

Canadian

Dollar

Offered

Rate

(“CDOR”):

1.23%

Copenhagen

Interbank

Offered

Rate(“CIBOR”):

-0.22%

EUR/USD

1

Week

Forward

Swap

Rate:

-0.51%

Euro

Interbank

Offered

Rate

(“EURIBOR”):

-0.42%

Euro

Overnight

Index

Average

(“EONIA”):

-0.44%

Federal

Funds

Floating

Rate:

0.08%

GBP/USD

1

Week

Forward

FX

Swap

Rate:

1.30%

HKD/USD

1

Month

Forward

FX

Swap

Rate:

2.05%

Hong

Kong

Interbank

Offered

Rate

(“HIBOR”):

2.05%

Hong

Kong

Overnight

Index

Average

(“HONIX”):

1.60%

Johannesburg

Interbank

Agreed

Rate

(“JIBAR”):

5.52%

JPY/USD

1

Week

Forward

Swap

Rate:

-0.18%

London

Interbank

Offered

Rate

(“LIBOR”):

0.99%

Mexico

Equilibrium

Interbank

Interest

Rate

("TIIE"):

6.71%

Norway

Interbank

Offered

Rate

("NIBOR"):

0.63%

Overnight

Bank

Funding

Rate

("OBFR"):

0.06%

Rand

Overnight

Deposit

Rate:

5.11%

Reserve

Bank

of

Australia

Cash

Rate  (“RBACR”):  0.20%

Singapore

Interbank

Offered

Rate

(“SIBOR”):

0.99%

Singapore

Swap

Offered

Rate

(“SOR”):

0.41%

Sterling

Overnight

Index

Average

(“SONIA”):

0.07%

Stockholm

Interbank

Offered

Rate

(“STIBOR”):

0.16%

Swiss

Average

Rate

Overnight

(“SARON”):

-0.67%

Tokyo

Overnight

Average

Rate

(“TONAR”):  -0.62%

Warsaw

Interbank

Offered

Rate(“WIBOR”):

1.04%

258

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

The

Consolidated

Schedules

of

Investments

of AQR

Global

Macro

Fund,

AQR

Managed

Futures

Strategy

Fund,

AQR

Managed

Futures

Strategy

HV

Fund,

AQR

Multi-Asset

Fund,

AQR

Multi-Strategy

Alternative

Fund,

AQR

Risk-Balanced

Commodities

Strategy

Fund,

AQR

Risk

Parity

II

HV

Fund,

AQR

Risk

Parity

II

MV

Fund,

AQR

Style

Premia

Alternative

Fund

and

AQR

Style

Premia

Alternative

LV

Fund

(“Consolidated

Funds”)

include

the

accounts

of

AQR

Global

Macro

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

Offshore

Fund

Ltd.,

AQR

Managed

Futures

Strategy

HV

Offshore

Fund

Ltd.,

AQR

Multi-Strategy

Alternative

Offshore

Fund

Ltd.,

AQR

Multi-Asset

Offshore

Fund

Ltd.,

AQR

Risk-Balanced

Commodities

Strategy

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

HV

Offshore

Fund

Ltd.,

AQR

Risk

Parity

II

MV

Offshore

Fund

Ltd.,

AQR

Style

Premia

Alternative

Offshore

Fund

Ltd.

and

AQR

Style

Premia

Alternative

LV

Offshore

Fund

Ltd.,

respectively,

which

are

wholly-owned

and

controlled

subsidiaries

(the

“Subsidiaries”).

Subsequent

references

to

the

Funds

collectively

refer

to

the

Consolidated

Funds

and

their

Subsidiaries.

Fair

Value

Hierarchy:

Various

inputs

are

utilized

in

determining

the

value

of

each

Fund’s

investments.

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.

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities. Changes

in

valuation

techniques

may

result

in

transfers

into

or

out

of

an

assigned

level

within

the

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.

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.

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.

The

following

tables

represent

each

Fund’s

valuation

inputs

as

presented

on

the

Schedule

of

Investments.

AQR

ALTERNATIVE

RISK

PREMIA

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

120,816,582

$

88,409,605

$

14,523

$

209,240,710

Short-Term

Investments

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

139,907,257

91,011,088

–

230,918,345

Written

Options

(Futures

Style)*

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

46,984

–

–

46,984

Futures

Contracts*

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

1,311,194

–

–

1,311,194

Forward

Foreign

Currency

Exchange

Contracts*

........

–

12,787,284

–

12,787,284

Total

Return

Swaps

Contracts*

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

–

479,705

–

479,705

Total

Assets

$

262,082,017

$

192,687,682

$

14,523

$

454,784,222

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(103,210,594)

$

(80,293,556)

$

–

$

(183,504,150)

Written

Options

(Future

Style)*

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

(93,043)

–

–

(93,043)

Written

Options

(Premium

Style)*

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

(489,485)

–

–

(489,485)

Futures

Contracts*

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

(1,692,661)

–

–

(1,692,661)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(15,941,212)

–

(15,941,212)

Total

Return

Swaps

Contracts*

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

–

(748,405)

–

(748,405)

Total

Liabilities

$

(105,485,783)

$

(96,983,173)

$

–

$

(202,468,956)

259

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

AQR

DIVERSIFIED

ARBITRAGE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

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

$

67,231,559

$

23,625,326

$

1,530,786

$

92,387,671

Convertible

Preferred

Stocks

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

–

21,008,411

–

21,008,411

Corporate

Bonds

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

–

23,452,504

1,642,110

25,094,614

Convertible

Bonds

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

–

141,697,899

14,695

141,712,594

Closed

End

Funds

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

19,326,730

–

–

19,326,730

Loan

Participations

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

–

1,647,892

99,871

1,747,763

Preferred

Stocks

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

1,577,663

1,257,117

617,171

3,451,951

U.S.

Treasury

Obligations

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

–

87,210

–

87,210

Rights

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

173,818

245,215

172,701

591,734

Securities

in

Litigation

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

–

–

234,299

234,299

Warrants

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

5,881,729

1,245,004

205,481

7,332,214

Short-Term

Investments

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

163,267,728

53,080,373

–

216,348,101

Futures

Contracts*

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

44,315

–

–

44,315

Forward

Foreign

Currency

Exchange

Contracts*

........

–

952,045

–

952,045

Credit

Default

Swap

Contracts*

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

–

1,880,273

–

1,880,273

Total

Return

Basket

Swaps

Contracts*

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

–

3,428,260

–

3,428,260

Total

Assets

$

257,503,542

$

273,607,529

$

4,517,114

$

535,628,185

LIABILITIES

Common

Stocks(Sold

Short)

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

$

(89,600,652)

$

(55)

$

–

(a)

$

(89,600,707)

Convertible

Bonds(Sold

Short)

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

–

(897,210)

–

(897,210)

Master

Limited

Partnerships(Sold

Short)

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

(1,166,177)

–

–

(1,166,177)

U.S.

Treasury

Obligations(Sold

Short)

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

–

(568,817)

–

(568,817)

Futures

Contracts*

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

(802,159)

–

–

(802,159)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(601,952)

–

(601,952)

Total

Return

Basket

Swaps

Contracts*

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

–

(9,370,846)

–

(9,370,846)

Total

Liabilities

$

(91,568,988)

$

(11,438,880)

$

–

(a)

$

(103,007,868)

AQR

EQUITY

MARKET

NEUTRAL

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

7,009,288

$

60,761,845

$

–

$

67,771,133

Short-Term

Investments

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

103,104,600

87,518,427

–

190,623,027

Futures

Contracts*

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

30,155

–

–

30,155

Forward

Foreign

Currency

Exchange

Contracts*

........

–

414,290

–

414,290

Total

Return

Basket

Swaps

Contracts*

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

–

1,753,728

–

1,753,728

Total

Assets

$

110,144,043

$

150,448,290

$

–

$

260,592,333

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(7,220,526)

$

(42,886,522)

$

–

$

(50,107,048)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(508,811)

–

(508,811)

Total

Return

Basket

Swaps

Contracts*

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

–

(1,510,614)

–

(1,510,614)

Total

Liabilities

$

(7,220,526)

$

(44,905,947)

$

–

$

(52,126,473)

AQR

GLOBAL

MACRO

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

10,107,873

$

13,158,101

$

–

$

23,265,974

Futures

Contracts*

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

1,569,785

–

–

1,569,785

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,745,577

–

2,745,577

Interest

Rate

Swap

Contracts*

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

–

815,553

–

815,553

Total

Return

Swaps

Contracts*

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

–

164,637

–

164,637

Total

Assets

$

11,677,658

$

16,883,868

$

–

$

28,561,526

LIABILITIES

Futures

Contracts*

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

$

(1,322,864)

$

–

$

–

$

(1,322,864)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(2,700,463)

–

(2,700,463)

Interest

Rate

Swap

Contracts*

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

–

(351,263)

–

(351,263)

Total

Return

Swaps

Contracts*

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

–

(415,574)

–

(415,574)

Total

Liabilities

$

(1,322,864)

$

(3,467,300)

$

–

$

(4,790,164)

260

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

AQR

LONG-SHORT

EQUITY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

409,434

$

–

$

–

$

409,434

Short-Term

Investments

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

277,066,316

364,072,470

–

641,138,786

Futures

Contracts*

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

6,291,377

–

–

6,291,377

Forward

Foreign

Currency

Exchange

Contracts*

........

–

2,873,392

–

2,873,392

Total

Return

Basket

Swaps

Contracts*

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

–

17,703,964

–

17,703,964

Total

Return

Swaps

Contracts*

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

–

1,665,197

–

1,665,197

Total

Assets

$

283,767,127

$

386,315,023

$

–

$

670,082,150

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(1,373,201)

$

–

$

–

$

(1,373,201)

Futures

Contracts*

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

(6,039,668)

–

–

(6,039,668)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(3,847,467)

–

(3,847,467)

Total

Return

Basket

Swaps

Contracts*

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

–

(19,847,150)

–

(19,847,150)

Total

Return

Swaps

Contracts*

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

–

(2,129,919)

–

(2,129,919)

Total

Liabilities

$

(7,412,869)

$

(25,824,536)

$

–

$

(33,237,405)

AQR

MANAGED

FUTURES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

595,950,786

$

3,626,980,789

$

–

$

4,222,931,575

Futures

Contracts*

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

121,404,080

–

–

121,404,080

Forward

Foreign

Currency

Exchange

Contracts*

........

–

541,032,540

–

541,032,540

Total

Return

Swaps

Contracts*

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

–

13,701,950

–

13,701,950

Total

Assets

$

717,354,866

$

4,181,715,279

$

–

$

4,899,070,145

LIABILITIES

Futures

Contracts*

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

$

(71,430,050)

$

–

$

–

$

(71,430,050)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(512,713,179)

–

(512,713,179)

Total

Return

Swaps

Contracts*

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

–

(23,458,221)

–

(23,458,221)

Total

Liabilities

$

(71,430,050)

$

(536,171,400)

$

–

$

(607,601,450)

AQR

MANAGED

FUTURES

STRATEGY

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

52,669,436

$

217,382,477

$

–

$

270,051,913

Futures

Contracts*

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

12,246,862

–

–

12,246,862

Forward

Foreign

Currency

Exchange

Contracts*

........

–

54,053,729

–

54,053,729

Total

Return

Swaps

Contracts*

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

–

1,342,973

–

1,342,973

Total

Assets

$

64,916,298

$

272,779,179

$

–

$

337,695,477

LIABILITIES

Futures

Contracts*

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

$

(7,140,847)

$

–

$

–

$

(7,140,847)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(51,147,662)

–

(51,147,662)

Total

Return

Swaps

Contracts*

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

–

(2,301,138)

–

(2,301,138)

Total

Liabilities

$

(7,140,847)

$

(53,448,800)

$

–

$

(60,589,647)

AQR

MULTI-ASSET

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

23,696,315

$

10,061,703

$

–

$

33,758,018

Foreign

Government

Securities

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

–

2,323,260

–

2,323,260

U.S.

Treasury

Obligations

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

–

7,394,181

–

7,394,181

Short-Term

Investments

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

29,276,153

44,344,107

–

73,620,260

Futures

Contracts*

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

4,709,943

–

–

4,709,943

Forward

Foreign

Currency

Exchange

Contracts*

........

–

3,831,400

–

3,831,400

Total

Return

Swaps

Contracts*

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

–

308,512

–

308,512

Total

Assets

$

57,682,411

$

68,263,163

$

–

$

125,945,574

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(6,350,440)

$

(1,391,390)

$

–

$

(7,741,830)

Reverse

Repurchase

Agreements

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

–

(13,938,909)

–

(13,938,909)

Futures

Contracts*

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

(5,939,002)

–

–

(5,939,002)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(5,878,423)

–

(5,878,423)

Total

Return

Swaps

Contracts*

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

–

(823,617)

–

(823,617)

Total

Liabilities

$

(12,289,442)

$

(22,032,339)

$

–

$

(34,321,781)

261

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

2,630,289

$

–

$

3,266,103

$

5,896,392

Corporate

Bonds

†

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

–

–

217,500

217,500

Convertible

Bonds

†

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

–

1,429,859

166,500

1,596,359

Short-Term

Investments

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

39,771,533

3,339,070

–

43,110,603

Written

Options

(Futures

Style)*

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

2,605

–

–

2,605

Futures

Contracts*

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

2,451,400

–

–

2,451,400

Forward

Foreign

Currency

Exchange

Contracts*

........

–

29,902,026

–

29,902,026

Credit

Default

Swap

Contracts*

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

–

271,008

–

271,008

Total

Return

Basket

Swaps

Contracts*

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

–

5,091,681

–

5,091,681

Total

Return

Swaps

Contracts*

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

–

665,426

–

665,426

Total

Assets

$

44,855,827

$

40,699,070

$

3,650,103

$

89,205,000

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(2,480,912)

$

–

$

–

$

(2,480,912)

Convertible

Preferred

Stocks

(Sold

Short)

†

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

–

(599,849)

–

(599,849)

Convertible

Bonds

(Sold

Short)

†

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

–

(1,714,276)

–

(1,714,276)

Written

Options

(Future

Style)*

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

(11,168)

–

–

(11,168)

Written

Options

(Premium

Style)*

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

(120,932)

–

–

(120,932)

Futures

Contracts*

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

(3,169,551)

–

–

(3,169,551)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(32,101,226)

–

(32,101,226)

Credit

Default

Swap

Contracts*

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

–

(3,379)

–

(3,379)

Total

Return

Basket

Swaps

Contracts*

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

–

(8,830,139)

–

(8,830,139)

Total

Return

Swaps

Contracts*

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

–

(862,927)

–

(862,927)

Total

Liabilities

$

(5,782,563)

$

(44,111,796)

$

–

$

(49,894,359)

AQR

RISK-BALANCED

COMMODITIES

STRATEGY

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Short-Term

Investments

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

$

74,786,869

$

61,746,459

$

–

$

136,533,328

Futures

Contracts*

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

51,354,377

–

–

51,354,377

Total

Return

Swaps

Contracts*

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

–

5,884,614

–

5,884,614

Total

Assets

$

126,141,246

$

67,631,073

$

–

$

193,772,319

LIABILITIES

Futures

Contracts*

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

$

(73,019,440)

$

–

$

–

$

(73,019,440)

Total

Return

Swaps

Contracts*

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

–

(14,961,462)

–

(14,961,462)

Total

Liabilities

$

(73,019,440)

$

(14,961,462)

$

–

$

(87,980,902)

AQR

RISK

PARITY

II

HV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

2,098,965

$

–

$

2,098,965

U.S.

Treasury

Obligations

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

–

3,849,623

–

3,849,623

Short-Term

Investments

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

15,724,910

19,117,282

–

34,842,192

Futures

Contracts*

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

1,367,936

–

–

1,367,936

Forward

Foreign

Currency

Exchange

Contracts*

........

–

260,168

–

260,168

Total

Return

Swaps

Contracts*

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

–

18,168

–

18,168

Total

Assets

$

17,092,846

$

25,344,206

$

–

$

42,437,052

LIABILITIES

Reverse

Repurchase

Agreements

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

$

–

$

(6,034,250)

$

–

$

(6,034,250)

Futures

Contracts*

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

(1,848,069)

–

–

(1,848,069)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(55,564)

–

(55,564)

Total

Return

Swaps

Contracts*

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

–

(27,353)

–

(27,353)

Total

Liabilities

$

(1,848,069)

$

(6,117,167)

$

–

$

(7,965,236)

262

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

AQR

RISK

PARITY

II

MV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Foreign

Government

Securities

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

$

–

$

4,685,068

$

–

$

4,685,068

U.S.

Treasury

Obligations

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

–

8,411,907

–

8,411,907

Short-Term

Investments

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

49,334,425

41,735,538

–

91,069,963

Futures

Contracts*

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

2,994,407

–

–

2,994,407

Forward

Foreign

Currency

Exchange

Contracts*

........

–

545,006

–

545,006

Total

Return

Swaps

Contracts*

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

–

368,610

–

368,610

Total

Assets

$

52,328,832

$

55,746,129

$

–

$

108,074,961

LIABILITIES

Futures

Contracts*

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

$

(3,961,441)

$

–

$

–

$

(3,961,441)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(127,069)

–

(127,069)

Total

Return

Swaps

Contracts*

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

–

(910,906)

–

(910,906)

Total

Liabilities

$

(3,961,441)

$

(1,037,975)

$

–

$

(4,999,416)

AQR

STYLE

PREMIA

ALTERNATIVE

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

67,213,583

$

–

$

67,213,583

Short-Term

Investments

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

709,370,266

606,464,412

–

1,315,834,678

Futures

Contracts*

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

56,052,759

–

–

56,052,759

Forward

Foreign

Currency

Exchange

Contracts*

........

–

97,270,487

–

97,270,487

Total

Return

Basket

Swaps

Contracts*

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

–

60,585,132

–

60,585,132

Total

Return

Swaps

Contracts*

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

–

19,081,947

–

19,081,947

Total

Assets

$

765,423,025

$

850,615,561

$

–

$

1,616,038,586

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

(6,996,133)

$

(35,385,887)

$

(2)

$

(42,382,022)

Futures

Contracts*

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

(48,895,754)

–

–

(48,895,754)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(130,799,242)

–

(130,799,242)

Total

Return

Basket

Swaps

Contracts*

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

–

(45,479,800)

–

(45,479,800)

Total

Return

Swaps

Contracts*

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

–

(26,252,552)

–

(26,252,552)

Total

Liabilities

$

(55,891,887)

$

(237,917,481)

$

(2)

$

(293,809,370)

AQR

STYLE

PREMIA

ALTERNATIVE

LV

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

–

$

3,918,457

$

–

$

3,918,457

Short-Term

Investments

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

71,704,187

66,282,410

–

137,986,597

Futures

Contracts*

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

3,281,094

–

–

3,281,094

Forward

Foreign

Currency

Exchange

Contracts*

........

–

7,323,882

–

7,323,882

Total

Return

Basket

Swaps

Contracts*

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

–

596,280

–

596,280

Total

Return

Swaps

Contracts*

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

–

1,345,252

–

1,345,252

Total

Assets

$

74,985,281

$

79,466,281

$

–

$

154,451,562

LIABILITIES

Common

Stocks

(Sold

Short)

†

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

$

–

$

(2,056,923)

$

–

$

(2,056,923)

Futures

Contracts*

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

(2,958,908)

–

–

(2,958,908)

Forward

Foreign

Currency

Exchange

Contracts*

........

–

(9,300,652)

–

(9,300,652)

Total

Return

Basket

Swaps

Contracts*

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

–

(4,913,904)

–

(4,913,904)

Total

Return

Swaps

Contracts*

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

–

(1,387,299)

–

(1,387,299)

Total

Liabilities

$

(2,958,908)

$

(17,658,778)

$

–

$

(20,617,686)

AQR

VOLATILITY

RISK

PREMIUM

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

ASSETS

Common

Stocks

†

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

$

3,436,168

$

1,722,624

$

–

$

5,158,792

Short-Term

Investments

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

4,908,034

–

–

4,908,034

Written

Options

(Futures

Style)*

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

6,642

–

–

6,642

Futures

Contracts*

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

36,741

–

–

36,741

Total

Assets

$

8,387,585

$

1,722,624

$

–

$

10,110,209

263

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

Transfers

to

Level

3

or

from

Level

3

are

generally

due

to

a

decline

or

an

increase

in

market

activity

(e.g.,

frequency

of

trades),

which

resulted

in

a

lack

of

or

increase

in

available

market

inputs

to

determine

price.

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

AQR

Alternative

Risk

Premia

Fund

and

AQR

Style

Premia

Alternative

Fund.

The

following

tables

include

a

rollforward

of

the

balances

of

investments

classified

within

Level

3

of

the

fair

value

hierarchy

for

the

period

for

each

Fund

that

held

Level

3

securities

that

were

considered

quantitatively

significant:

AQR

VOLATILITY

RISK

PREMIUM

FUND

LEVEL

1

LEVEL

2

LEVEL

3

TOTALS

LIABILITIES

Written

Options

(Future

Style)*

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

$

(8,776)

$

–

$

–

$

(8,776)

Written

Options

(Premium

Style)*

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

(25,244)

–

–

(25,244)

Futures

Contracts*

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

(16,810)

–

–

(16,810)

Total

Liabilities

$

(50,830)

$

–

$

–

$

(50,830)

*

Derivative

instruments,

including

futures,

total

return

swap,

total

return

basket

swap,

forward

foreign

currency

exchange

contracts

and

written

options

(future

style)

are

reported

at

the

cumulative

unrealized

appreciation/

(depreciation)

of

the

instrument

within

the

Funds’

Schedule

of

Investments.

Credit

default

swaps,

interest

rate

swaps,

purchased

option

and

written

options

(premium

style)

are

reported

at

market

value.

†

Please

refer

to

the

Schedule

of

Investments

to

view

securities

segregated

by

country.

(a)

Security

has

zero

value.

AQR

DIVERSIFIED

ARBITRAGE

FUND

COMMON

STOCKS

LOAN

PARTICIPATIONS/

CORPORATE

BONDS

CONVERTIBLE

BONDS

PREFERRED

STOCKS

RIGHTS

WARRANTS

SECURITIES

IN

LITIGATION

SHORT

COMMON

STOCKS

Balance

as

of

December

31,

2019

..........

$

6,583,920

$

2,793,195

$

12,219

$

593,216

$

191,830

$

786,305

$

225,010

$

–(a)

Accrued

discounts/

(premiums)

........

–

140,543

484

–

–

–

–

–

Realized

gain/(loss)

...

146,785

–

–

–

–

39,617

–

–

Change

in

unrealized

appreciation/

(depreciation)

......

(1,043,375)

(183,282)

(1,606)

23,955

(19,129)

(267,166)

(15,052)

–

Purchases

1

..........

–

23,025

458

–

–

–

24,341

–

Sales

2

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

(4,156,544)

–

–

–

–

(39,617)

–

–

Transfers

into

Level

3

..

–

–

3,140

–

–

240,341

–

–

Transfers

out

of

Level

3

.

–

(1,031,500)

–

–

–

(553,999)

–

–

Balance

as

of

March

31,

2020

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

$

1,530,786

$

1,741,981

$

14,695

$

617,171

$

172,701

$

205,481

$

234,299

$

–(a)

Change

in

Unrealized

appreciation/

(depreciation)

for

the

securities

still

held

at

March

31,

2020

....

$

(948,944)

$

(39,177)

$

(719)

$

23,955

$

(19,129)

$

(82,777)

$

(2,946)

$

–

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.

(a)

Security

has

zero

value.

AQR

MULTI-STRATEGY

ALTERNATIVE

FUND

COMMON

STOCKS

CORPORATE

BONDS

CONVERTIBLE

BONDS

Balance

as

of

December

31,

2019

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

$

4,321,615

$

231,094

$

176,906

Accrued

discounts/(premiums)

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

–

–

–

Realized

gain/(loss)

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

–

–

–

Change

in

unrealized

appreciation/(depreciation)

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

(1,055,512)

(13,594)

(10,406)

Purchases

1

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

–

–

–

Sales

2

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

–

–

–

Transfers

into

Level

3

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

–

–

–

Transfers

out

of

Level

3

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

–

–

–

Balance

as

of

March

31,

2020

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

$

3,266,103

$

217,500

$

166,500

Change

in

Unrealized

appreciation/(depreciation)

for

the

securities

still

held

at

March

31,

2020

$

(1,055,512)

$

(13,594)

$

(10,406)

264

Notes

to

Schedule

of

Investments

AQR

Funds

|

N-PORT

Part

F

|

March

2020

March

31,

2020

(Unaudited)

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.

For

more

information

on

the

Funds’

policy

regarding

the

valuation

of

investments

and

other

significant

accounting

policies,

please

refer

to

the

notes

to

the

financial

statements

as

disclosed

in

the

most

recent

semi-annual

and

annual

report. 

1

Purchases

include

all

purchases

of

securities

and

securities

received

in

corporate

actions.

2

Sales

include

all

sales

of

securities,

maturities,

pay

downs

and

securities

tendered

in

a

corporate

action.